0001752724-20-216515.txt : 20201027
0001752724-20-216515.hdr.sgml : 20201027
20201027132407
ACCESSION NUMBER: 0001752724-20-216515
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200831
FILED AS OF DATE: 20201027
PERIOD START: 20210228
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: JPMorgan Trust I
CENTRAL INDEX KEY: 0001217286
IRS NUMBER: 331043149
STATE OF INCORPORATION: DE
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21295
FILM NUMBER: 201263276
BUSINESS ADDRESS:
STREET 1: 277 PARK AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10172
BUSINESS PHONE: 800-480-4111
MAIL ADDRESS:
STREET 1: 277 PARK AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10172
FORMER COMPANY:
FORMER CONFORMED NAME: JP MORGAN MUTUAL FUND SERIES
DATE OF NAME CHANGE: 20030204
0001217286
S000044081
JPMorgan Income Fund
C000136811
Class A
JGIAX
C000136812
Class C
JGCGX
C000136813
Class I
JMSIX
C000136814
Class R6
JMSFX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001217286
XXXXXXXX
S000044081
C000136811
C000136814
C000136813
C000136812
JPMorgan Trust I
811-21295
0001217286
549300DM5WZMCZZ70R78
277 Park Avenue
New York
10172
800-480-4111
JPMorgan Income Fund
S000044081
549300J9G10ZQTTAFU03
2021-02-28
2020-08-31
N
6606105127.53
133824578.69
6472280548.84
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
4769071.98000000
USD
N
FGI Operating Co. LLC
N/A
FGI Operating Co. LLC, 1st Lien Term Loan B
30252ESC3
247136.10000000
PA
USD
0.00000000
0.000000
Long
LON
CORP
US
N
2
2022-05-16
Variable
0.00000000
Y
N
N
N
N
N
Renaissance Home Equity Loan Trust
N/A
Renaissance Home Equity Loan Trust, Series 2003-4, Class M2F
759950BV9
139448.85000000
PA
USD
139651.97000000
0.002157693396
Long
ABS-O
CORP
US
N
3
2034-03-25
Variable
6.24399800
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2019-3, Class D
26209WAG8
1780000.00000000
PA
USD
1820874.85000000
0.028133435135
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
3.18000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners I LLC
N/A
Pretium Mortgage Credit Partners I LLC, Series 2019-CFL1, Class A2
74142QAB2
4551240.56000000
PA
USD
4225653.00000000
0.065288470858
Long
ABS-O
CORP
US
Y
3
2059-01-25
Variable
4.94880100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K059, Class X3
3137BSRH8
8000000.00000000
PA
USD
805984.80000000
0.012452871811
Long
ABS-MBS
USGSE
US
N
2
2044-11-25
Variable
1.97995700
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class C
05377RDN1
3000000.00000000
PA
USD
3058961.70000000
0.047262501631
Long
ABS-O
CORP
US
Y
2
2025-09-22
Fixed
4.24000000
N
N
N
N
N
N
Spectrum Brands, Inc.
549300VU3EH2E73C1Q04
Spectrum Brands, Inc.
84762LAV7
2578000.00000000
PA
USD
2681120.00000000
0.041424656730
Long
DBT
CORP
US
Y
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397ZW6
3245000.00000000
PA
USD
3311928.13000000
0.051170960606
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
4.54200000
N
N
N
N
N
N
NextEra Energy Operating Partners LP
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAK8
213000.00000000
PA
USD
227343.42000000
0.003512570542
Long
DBT
CORP
US
Y
2
2024-07-15
Fixed
4.25000000
N
N
N
N
N
N
Commercial Mortgage Trust
549300BCCWSDWINK2593
Commercial Mortgage Trust, Series 2013-CR11, Class D
12626LAY8
3402000.00000000
PA
USD
2683813.31000000
0.041466269729
Long
ABS-MBS
CORP
US
Y
3
2050-08-10
Variable
5.28542300
N
N
N
N
N
N
Sirius XM Radio, Inc.
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NBC1
1664000.00000000
PA
USD
1827537.92000000
0.028236382928
Long
DBT
CORP
US
Y
2
2029-07-01
Fixed
5.50000000
N
N
N
N
N
N
Antero Midstream Partners LP
N/A
Antero Midstream Partners LP
03690AAF3
695000.00000000
PA
USD
614345.25000000
0.009491944073
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-105
38379UG26
19096949.50000000
PA
USD
1073825.29000000
0.016591142517
Long
ABS-MBS
USGA
US
N
2
2057-10-16
Variable
0.97504900
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-LC19, Class D
200474AE4
1000000.00000000
PA
USD
876857.60000000
0.013547892329
Long
ABS-MBS
CORP
US
Y
3
2048-02-10
Fixed
2.86700000
N
N
N
N
N
N
Oxford Finance Funding LLC
N/A
Oxford Finance Funding LLC, Series 2020-1A, Class A2
69144AAA7
4000000.00000000
PA
USD
4057517.60000000
0.062690694097
Long
ABS-O
CORP
US
Y
2
2028-02-15
Fixed
3.10100000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2020-R01, Class 1B1
20754CAF6
2000000.00000000
PA
USD
1387848.20000000
0.021442954914
Long
ABS-MBS
CORP
US
Y
3
2040-01-25
Floating
3.42513000
N
N
N
N
N
N
Hertz Corp. (The)
549300PD0C69OJ0NLB27
Hertz Corp. (The)
428040CZ0
1450000.00000000
PA
USD
596312.50000000
0.009213328988
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
6.00000000
Y
N
N
N
N
N
DCP Midstream Operating LP
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAG2
4290000.00000000
PA
USD
4608747.00000000
0.071207466444
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.37500000
N
N
N
N
N
N
Cinemark USA, Inc.
54930008H2137JSCPQ09
Cinemark USA, Inc.
172441AZ0
3316000.00000000
PA
USD
3051383.20000000
0.047145409982
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
4.87500000
N
N
N
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAU0
202000.00000000
PA
USD
242905.00000000
0.003753004805
Long
DBT
CORP
US
Y
2
2029-11-15
Fixed
5.37500000
N
N
N
N
N
N
RAMP Trust
N/A
RAMP Trust, Series 2002-RS2, Class AI5
760985JL6
91145.68000000
PA
USD
94426.44000000
0.001458936139
Long
ABS-O
CORP
US
N
3
2032-03-25
Variable
5.47871000
N
N
N
N
N
N
DT Asset Trust
549300T4SDR2TFSYK933
DT Asset Trust
26252LAA1
500000.00000000
PA
USD
500500.00000000
0.007732977521
Long
ABS-MBS
CORP
US
N
2
2022-12-16
Fixed
5.84000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2020-1A, Class E
30167HAJ7
12860000.00000000
PA
USD
12397655.99000000
0.191550040151
Long
ABS-O
CORP
US
Y
2
2027-01-15
Fixed
3.74000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR Trust, Series 2020-SFR2, Class E2
00178UAF6
10005000.00000000
PA
USD
10378051.43000000
0.160346130729
Long
ABS-O
CORP
US
Y
3
2037-07-17
Fixed
4.27700000
N
N
N
N
N
N
ACC Trust
549300U9SU9NK6P6TK25
ACC Trust, Series 2018-1, Class B
00435QAB3
42510.56000000
PA
USD
42579.50000000
0.000657874758
Long
ABS-O
CORP
US
Y
2
2021-05-20
Fixed
4.82000000
N
N
N
N
N
N
Brookfield Property REIT, Inc.
N/A
Brookfield Property REIT, Inc.
11284DAA3
3421000.00000000
PA
USD
2788115.00000000
0.043077783463
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
5.75000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M3
3137G0KQ1
5212612.27000000
PA
USD
5421669.82000000
0.083767534164
Long
ABS-MBS
CORP
US
N
2
2028-12-25
Floating
5.17513000
N
N
N
N
N
N
Lending Point Asset Securitization Trust
N/A
Lending Point Asset Securitization Trust, Series 2020-1, Class C
52606TAC9
4500000.00000000
PA
USD
4330086.75000000
0.066902024986
Long
ABS-O
CORP
US
Y
3
2026-02-10
Fixed
4.14300000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KG01, Class B
30298CAS0
3000000.00000000
PA
USD
2811109.80000000
0.043433064725
Long
ABS-MBS
USGSE
US
Y
2
2029-04-25
Variable
4.30697500
N
N
N
N
N
N
Global Partners LP
N/A
Global Partners LP
37954FAG9
635000.00000000
PA
USD
638175.00000000
0.009860125734
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
7.00000000
N
N
N
N
N
N
Republic of Cote d'Ivoire
254900ICW11T82O6H590
Republic of Cote d'Ivoire
N/A
13737000.00000000
PA
USD
14252137.50000000
0.220202715139
Long
DBT
NUSS
CI
Y
2
2028-03-03
Fixed
6.37500000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21, Class XA
61764XBK0
22249020.04000000
PA
USD
672594.55000000
0.010391925147
Long
ABS-MBS
CORP
US
N
2
2048-03-15
Variable
1.01570400
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL Commercial Mortgage Trust, Series 2019-C16, Class C
12596WAJ3
2500000.00000000
PA
USD
2412829.75000000
0.037279437005
Long
ABS-MBS
CORP
US
N
3
2052-06-15
Variable
4.23709900
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2019-4A, Class E
14686YAH0
6990000.00000000
PA
USD
6944840.41000000
0.107301288279
Long
ABS-O
CORP
US
Y
2
2026-10-15
Fixed
4.70000000
N
N
N
N
N
N
Bombardier, Inc.
W7L3VLU8EHQY34Z36697
Bombardier, Inc.
097751BM2
5000000.00000000
PA
USD
3675000.00000000
0.056780604182
Long
DBT
CORP
CA
Y
2
2025-03-15
Fixed
7.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2020-K737, Class C
30300SAU6
6000000.00000000
PA
USD
6135827.40000000
0.094801629096
Long
ABS-MBS
USGSE
US
Y
2
2053-01-25
Variable
3.41477600
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-147, Class SD
38381AFR2
5576023.50000000
PA
USD
1125230.95000000
0.017385385900
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Floating
5.99199800
N
N
N
N
N
N
Ashtead Capital, Inc.
213800J1134IW58IC398
Ashtead Capital, Inc.
045054AD5
2000000.00000000
PA
USD
2060000.00000000
0.031828039351
Long
DBT
CORP
US
Y
2
2025-08-15
Fixed
4.12500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KF59, Class B
30297XAG1
991810.27000000
PA
USD
921273.22000000
0.014234136067
Long
ABS-MBS
USGSE
US
Y
2
2029-02-25
Floating
2.50488000
N
N
N
N
N
N
CenturyLink, Inc.
8M3THTGWLTYZVE6BBY25
CenturyLink, Inc.
156700AZ9
2711000.00000000
PA
USD
2924491.25000000
0.045184865333
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.62500000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175AY0
30000.00000000
PA
USD
34904.16000000
0.000539286882
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
Barclays plc
213800LBQA1Y9L22JB70
Barclays plc
06738EBA2
9750000.00000000
PA
USD
10326609.54000000
0.159551327574
Long
DBT
CORP
GB
N
2
2023-09-15
Variable
7.75000100
N
N
N
N
N
N
NOVA Chemicals Corp.
5493007M1XGU5E55ZJ25
NOVA Chemicals Corp.
66977WAQ2
3250000.00000000
PA
USD
3225625.00000000
0.049837533704
Long
DBT
CORP
CA
Y
2
2024-06-01
Fixed
4.87500000
N
N
N
N
N
N
Altice France Holding SA
5299000JVHXKJPOE6H40
Altice France Holding SA
02156TAB0
5232000.00000000
PA
USD
5997180.00000000
0.092659456813
Long
DBT
CORP
LU
Y
2
2027-05-15
Fixed
10.50000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBD6
750000.00000000
PA
USD
816630.63000000
0.012617355255
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.39000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2017-C07, Class 2M2
30711XWX8
4939967.99000000
PA
USD
4899766.04000000
0.075703857442
Long
ABS-MBS
CORP
US
N
2
2030-05-25
Floating
2.67513100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K082, Class X3
3137FJKH1
27200000.00000000
PA
USD
3891008.96000000
0.060118051599
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Variable
2.28565100
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2018-2, Class C
12326RAC6
992264.61000000
PA
USD
993508.51000000
0.015350207743
Long
ABS-O
CORP
US
Y
2
2033-06-15
Fixed
6.65600000
N
N
N
N
N
N
Chemours Co. (The)
549300M1BOLNXL8DOV14
Chemours Co. (The)
163851AD0
7326000.00000000
PA
USD
7490835.00000000
0.115737180171
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
7.00000000
N
N
N
N
N
N
Ascend Learning LLC
549300T466HKRLVCD610
Ascend Learning LLC
043502AB9
1350000.00000000
PA
USD
1390500.00000000
0.021483926562
Long
DBT
CORP
US
Y
2
2025-08-01
Fixed
6.87500000
N
N
N
N
N
N
Alcoa Nederland Holding BV
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AA9
6290000.00000000
PA
USD
6506250.20000000
0.100524848249
Long
DBT
CORP
NL
Y
2
2024-09-30
Fixed
6.75000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-HQA1, Class M2
3137G0NE5
10803869.30000000
PA
USD
11020441.50000000
0.170271381421
Long
ABS-MBS
CORP
US
N
2
2029-08-25
Floating
3.72512900
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2018-2A, Class E
23343DAJ8
1200000.00000000
PA
USD
1229819.40000000
0.019001330222
Long
ABS-O
CORP
US
Y
2
2025-06-16
Fixed
5.54000000
N
N
N
N
N
N
Kennedy-Wilson, Inc.
5EA4464UK7FM5QNNKL62
Kennedy-Wilson, Inc.
489399AG0
54000.00000000
PA
USD
54657.72000000
0.000844489350
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
5.87500000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL Commercial Mortgage Trust, Series 2019-C18, Class XA
12597DAF2
53378974.08000000
PA
USD
3797166.70000000
0.058668141335
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Variable
1.21361800
N
N
N
N
N
N
Caesars Resort Collection LLC
N/A
Caesars Resort Collection LLC
12652AAA1
2240000.00000000
PA
USD
2144508.80000000
0.033133742949
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
5.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C04, Class 2B1
30711XR30
4250000.00000000
PA
USD
3888467.38000000
0.060078782905
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
4.67512900
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2018-INV2, Class A1FL
92537LAM4
4254417.08000000
PA
USD
4235877.61000000
0.065446446241
Long
ABS-MBS
CORP
US
Y
2
2058-10-25
Floating
1.37513200
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2016-K53, Class B
30288LAN3
69000.00000000
PA
USD
75905.18000000
0.001172773328
Long
ABS-MBS
USGSE
US
Y
2
2049-03-25
Variable
4.15790300
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates, Series 2003-S4, Class 2A2
9292274U7
138181.99000000
PA
USD
142950.98000000
0.002208664765
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-38
38380PCQ5
143143310.27800000
PA
USD
11720917.79000000
0.181094093520
Long
ABS-MBS
USGA
US
N
2
2062-04-16
Variable
0.94500000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CH3
294000.00000000
PA
USD
320460.00000000
0.004951268684
Long
DBT
CORP
US
Y
2
2029-06-15
Fixed
5.25000000
N
N
N
N
N
N
AmeriGas Partners LP
N/A
AmeriGas Partners LP
030981AH7
189000.00000000
PA
USD
206344.53000000
0.003188127097
Long
DBT
CORP
US
N
2
2024-05-20
Fixed
5.62500000
N
N
N
N
N
N
Crestwood Midstream Partners LP
N/A
Crestwood Midstream Partners LP
226373AQ1
4235000.00000000
PA
USD
3885612.50000000
0.060034673569
Long
DBT
CORP
US
Y
2
2027-05-01
Fixed
5.62500000
N
N
N
N
N
N
Credit Suisse Mortgage Capital Certificates
N/A
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class B
12653VAC0
4400000.00000000
PA
USD
4383472.28000000
0.067726858360
Long
ABS-MBS
CORP
US
Y
3
2036-05-15
Floating
1.39187900
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust, Series 2020-1, Class M1
24381RAD1
9500000.00000000
PA
USD
8940766.35000000
0.138139351076
Long
ABS-MBS
CORP
US
Y
3
2060-01-25
Variable
3.01000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust, Series 2020-1, Class B1
24381RAE9
4000000.00000000
PA
USD
3783996.40000000
0.058464653555
Long
ABS-MBS
CORP
US
Y
3
2060-01-25
Variable
3.66400100
N
N
N
N
N
N
Bombardier, Inc.
W7L3VLU8EHQY34Z36697
Bombardier, Inc.
097751BJ9
338000.00000000
PA
USD
287300.00000000
0.004438929954
Long
DBT
CORP
CA
Y
2
2022-10-15
Fixed
6.00000000
N
N
N
N
N
N
ACC Trust
N/A
ACC Trust, Series 2019-1, Class B
00085MAB5
4133000.00000000
PA
USD
4137796.76000000
0.063931047623
Long
ABS-O
CORP
US
Y
2
2022-10-20
Fixed
4.47000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C06, Class 1B1
30711X3M4
15310000.00000000
PA
USD
14122398.71000000
0.218198185375
Long
ABS-MBS
CORP
US
N
2
2031-03-25
Floating
3.92513000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2017-C06, Class 2B1
30711XSW5
8015000.00000000
PA
USD
7533654.37000000
0.116398761041
Long
ABS-MBS
CORP
US
N
2
2030-02-25
Floating
4.62512900
N
N
N
N
N
N
Macy's, Inc.
529900NZQ81TIOW3CW52
Macy's, Inc.
55616PAA2
3100000.00000000
PA
USD
3253822.00000000
0.050273191581
Long
DBT
CORP
US
Y
2
2025-06-15
Fixed
8.37500000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust, Series 2019-4A, Class B1
24381MAE0
6690000.00000000
PA
USD
6478533.11000000
0.100096605224
Long
ABS-MBS
CORP
US
Y
3
2059-10-25
Variable
3.98599900
N
N
N
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013092AA9
1480000.00000000
PA
USD
1653604.00000000
0.025549016108
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Ultra Bond
N/A
-56.00000000
NC
USD
154314.33000000
0.002384234256
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury Ultra Bond
2020-12-21
-12286750.00000000
USD
154314.33000000
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4694, Class SA
3137BYWM8
1339040.54570000
PA
USD
210148.76000000
0.003246904370
Long
ABS-MBS
USGSE
US
N
2
2047-06-15
Floating
5.93812100
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2018-3A, Class E
30166PAJ0
9255000.00000000
PA
USD
9873562.55000000
0.152551522998
Long
ABS-O
CORP
US
Y
2
2024-08-15
Fixed
5.43000000
N
N
N
N
N
N
LP LMS Asset Securitization Trust
N/A
LP LMS Asset Securitization Trust, Series 2019-1A, Class A
50214CAA8
7104493.88000000
PA
USD
7200582.16000000
0.111252627349
Long
ABS-O
CORP
US
Y
2
2025-11-10
Fixed
4.21200000
N
N
N
N
N
N
Energizer Holdings, Inc.
5493000D6NN0V57UME20
Energizer Holdings, Inc.
29272WAB5
5700000.00000000
PA
USD
6243124.50000000
0.096459423427
Long
DBT
CORP
US
Y
2
2027-01-15
Fixed
7.75000000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2018-3, Class E
02530AAJ1
1810000.00000000
PA
USD
1871385.97000000
0.028913857424
Long
ABS-O
CORP
US
Y
2
2024-10-15
Fixed
5.17000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc., Series R
172967KD2
43000.00000000
PA
USD
43264.32000000
0.000668455572
Long
DBT
CORP
US
N
2
2020-11-15
Variable
6.12500000
N
N
N
N
N
N
NCR Corp.
549300YKTY8JX1DV2R67
NCR Corp.
62886EAV0
3491000.00000000
PA
USD
3744097.50000000
0.057848195419
Long
DBT
CORP
US
Y
2
2029-09-01
Fixed
6.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 277, Class S6
31325TT90
27954659.48000000
PA
USD
5251843.55000000
0.081143632609
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Floating
5.88812000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2018-3A, Class F
30166PAL5
5130000.00000000
PA
USD
5336291.15000000
0.082448390636
Long
ABS-O
CORP
US
Y
2
2025-08-25
Fixed
6.55000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2016-C02, Class 1M2
30711XCB8
2862302.92000000
PA
USD
3025685.17000000
0.046748362453
Long
ABS-MBS
CORP
US
N
2
2028-09-25
Floating
6.17513000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2018-3A, Class D
30166PAG6
1515000.00000000
PA
USD
1569898.15000000
0.024255718492
Long
ABS-O
CORP
US
Y
2
2024-06-17
Fixed
4.35000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2019-R01, Class 2M2
20754FAK8
14529164.66000000
PA
USD
14383463.29000000
0.222231764854
Long
ABS-MBS
CORP
US
Y
2
2031-07-25
Floating
2.62513100
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2018-A, Class D
12595MAD9
400000.00000000
PA
USD
408864.12000000
0.006317156942
Long
ABS-O
CORP
US
Y
2
2023-12-15
Fixed
3.66000000
N
N
N
N
N
N
CHL GMSR Issuer Trust
N/A
CHL GMSR Issuer Trust, Series 2018-GT1, Class B
17026XAB7
850000.00000000
PA
USD
735833.02000000
0.011368991415
Long
ABS-MBS
CORP
US
Y
3
2023-05-25
Floating
3.67512800
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC, Series 2018-1A, Class C
05377RDA9
560000.00000000
PA
USD
578456.65000000
0.008937447096
Long
ABS-O
CORP
US
Y
2
2024-09-20
Fixed
4.73000000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2019-BN23, Class E
06541RAL7
3000000.00000000
PA
USD
2026339.20000000
0.031307963007
Long
ABS-MBS
CORP
US
Y
3
2052-12-15
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-62, Class SP
3136B63E1
30340187.18000000
PA
USD
6880471.80000000
0.106306760778
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
5.87486900
N
N
N
N
N
N
ACC Trust
N/A
ACC Trust, Series 2020-A, Class A
00086CAA8
6066715.54000000
PA
USD
6108372.64000000
0.094377439202
Long
ABS-O
CORP
US
Y
2
2023-03-20
Fixed
6.00000000
N
N
N
N
N
N
Cheniere Energy Partners LP
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAG6
3845000.00000000
PA
USD
3997146.65000000
0.061757932460
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
Level 3 Financing, Inc.
N/A
Level 3 Financing, Inc.
527298BK8
375000.00000000
PA
USD
379218.75000000
0.005859121018
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.37500000
N
N
N
N
N
N
FirstKey Homes Trust
N/A
FirstKey Homes Trust, Series 2020-SFR1, Class F2
33767MAN5
9000000.00000000
PA
USD
9048287.70000000
0.139800610182
Long
ABS-O
CORP
US
Y
2
2025-09-17
Fixed
4.28400000
N
N
N
N
N
N
Denbury Resources, Inc.
549300KCWA5W52MS5559
Denbury Resources, Inc.
247916AF6
1725000.00000000
PA
USD
862500.00000000
0.013326060165
Long
DBT
CORP
US
Y
2
2021-05-15
Fixed
9.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2017-C02, Class 2M2
30711XGP3
12105944.94000000
PA
USD
12288002.61000000
0.189855840105
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
3.82513000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2017-C07, Class 1B1
30711XUW2
5200000.00000000
PA
USD
4939767.04000000
0.076321893075
Long
ABS-MBS
CORP
US
N
2
2030-05-25
Floating
4.17512900
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K102, Class C
30312WAG4
9100000.00000000
PA
USD
9216066.86000000
0.142392882855
Long
ABS-MBS
USGSE
US
Y
2
2051-12-25
Variable
3.65193700
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2020-K105, Class C
302975BG1
13000000.00000000
PA
USD
12789324.60000000
0.197601517787
Long
ABS-MBS
USGSE
US
Y
2
2053-03-25
Variable
3.53000200
N
N
N
N
N
N
Trivium Packaging Finance BV
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAB2
1545000.00000000
PA
USD
1699500.00000000
0.026258132464
Long
DBT
CORP
NL
Y
2
2027-08-15
Fixed
8.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 342, Class S7
31325VM50
16320496.15000000
PA
USD
3730968.57000000
0.057645346827
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Floating
5.94812200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-33, Class SB
38382DVU0
33909475.56000000
PA
USD
8727749.68000000
0.134848136049
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Floating
5.89200100
N
N
N
N
N
N
FREED ABS Trust
N/A
FREED ABS Trust, Series 2019-1, Class B
30308XAB9
11550000.00000000
PA
USD
11532318.11000000
0.178180133308
Long
ABS-O
CORP
US
Y
3
2026-06-18
Fixed
3.87000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M2
20753QAE9
9211271.77000000
PA
USD
9170960.48000000
0.141695966526
Long
ABS-MBS
CORP
US
Y
2
2031-04-25
Floating
2.57513000
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAR2
3261000.00000000
PA
USD
3424050.00000000
0.052903300068
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2020-4, Class PT
21056PAA1
7228656.11000000
PA
USD
6203510.51000000
0.095847367294
Long
ABS-O
CORP
US
Y
3
2045-03-15
Variable
25.96595000
N
N
N
N
N
N
E3
N/A
E3, Series 2019-1, Class C
269330AC0
1191317.30000000
PA
USD
1194955.46000000
0.018462664759
Long
ABS-O
CORP
KY
Y
3
2055-09-20
Fixed
5.00000000
N
Y
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2014-CR20, Class D
12592LAN2
2510000.00000000
PA
USD
1889923.33000000
0.029200268989
Long
ABS-MBS
CORP
US
Y
3
2047-11-10
Fixed
3.22200000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K100, Class B
30313PAS2
5188000.00000000
PA
USD
5660473.75000000
0.087457175369
Long
ABS-MBS
USGSE
US
Y
2
2052-11-25
Variable
3.60965200
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KF58, Class B
302986AC8
831338.22000000
PA
USD
787005.70000000
0.012159635140
Long
ABS-MBS
USGSE
US
Y
2
2026-01-25
Floating
2.30487800
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2016-3A, Class D
30166LAD2
3750000.00000000
PA
USD
3863863.88000000
0.059698646417
Long
ABS-O
CORP
US
Y
2
2023-07-17
Fixed
6.40000000
N
N
N
N
N
N
Crestwood Midstream Partners LP
N/A
Crestwood Midstream Partners LP
226373AL2
340000.00000000
PA
USD
334828.60000000
0.005173270804
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
6.25000000
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPBT9
18685000.00000000
PA
USD
19899898.70000000
0.307463475197
Long
DBT
CORP
US
Y
2
2027-05-01
Fixed
5.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617JWBT3
1161873.49000000
PA
USD
1258763.76000000
0.019448535187
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 304, Class C32
31325UPM2
370533.18000000
PA
USD
21011.02000000
0.000324630859
Long
ABS-MBS
USGSE
US
N
2
2026-10-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4628, Class PI
3137BSWW9
477069.59420000
PA
USD
58651.79000000
0.000906199747
Long
ABS-MBS
USGSE
US
N
2
2045-07-15
Fixed
4.00000000
N
N
N
N
N
N
CVR Partners LP
N/A
CVR Partners LP
12663QAA3
2392000.00000000
PA
USD
2350140.00000000
0.036310848738
Long
DBT
CORP
US
Y
2
2023-06-15
Fixed
9.25000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2020-1A, Class D
23344EAG1
5260000.00000000
PA
USD
5291757.25000000
0.081760319412
Long
ABS-O
CORP
US
Y
2
2025-11-17
Fixed
2.55000000
N
N
N
N
N
N
Harsco Corp.
KAO98FK89NPNNPQGUZ43
Harsco Corp.
415864AM9
139000.00000000
PA
USD
145246.66000000
0.002244134179
Long
DBT
CORP
US
Y
2
2027-07-31
Fixed
5.75000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2014-CR21, Class D
12592RAL3
2600000.00000000
PA
USD
1850400.76000000
0.028589625342
Long
ABS-MBS
CORP
US
Y
3
2047-12-10
Variable
4.07316600
N
N
N
N
N
N
Uniti Group LP
N/A
Uniti Group LP
20341WAA3
4795000.00000000
PA
USD
4844148.75000000
0.074844542251
Long
DBT
CORP
US
Y
2
2023-04-15
Fixed
6.00000000
N
N
N
N
N
N
Ziggo BV
213800TQASLF9JXH5J59
Ziggo BV
98955DAA8
2750000.00000000
PA
USD
2916952.50000000
0.045068387842
Long
DBT
CORP
NL
Y
2
2030-01-15
Fixed
4.87500000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
549300KR7NUJOX0UJ040
Exeter Automobile Receivables Trust, Series 2019-1A, Class E
30167DAE7
6375000.00000000
PA
USD
6581989.24000000
0.101695054630
Long
ABS-O
CORP
US
Y
2
2026-01-15
Fixed
5.20000000
N
N
N
N
N
N
Oil and Gas Holding Co. BSCC (The)
549300OBH16L6TS6IW50
Oil and Gas Holding Co. BSCC (The)
N/A
1400000.00000000
PA
USD
1535625.00000000
0.023726181033
Long
DBT
CORP
BH
Y
2
2024-11-07
Fixed
7.62500000
N
N
N
N
N
N
Ball Corp.
0BGI85ALH27ZJP15DY16
Ball Corp.
058498AS5
40000.00000000
PA
USD
42500.00000000
0.000656646442
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.00000000
N
N
N
N
N
N
Entercom Media Corp.
549300S5JUSXRHNCHD80
Entercom Media Corp.
124847AC8
2875000.00000000
PA
USD
2300000.00000000
0.035536160440
Long
DBT
CORP
US
Y
2
2024-11-01
Fixed
7.25000000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
25272KAK9
4170000.00000000
PA
USD
4909369.94000000
0.075852242543
Long
DBT
CORP
US
Y
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
HERO Funding II
N/A
HERO Funding II, Series 2016-3B, Class B
42770YAA3
481927.31000000
PA
USD
485555.60000000
0.007502079001
Long
ABS-O
CORP
KY
Y
3
2042-09-20
Fixed
5.24000000
N
N
N
N
N
N
ADT Security Corp. (The)
5493009JEEDYLVRA0J13
ADT Security Corp. (The)
00101JAH9
246000.00000000
PA
USD
257073.69000000
0.003971918214
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
4.12500000
N
N
N
N
N
N
Blue Racer Midstream LLC
N/A
Blue Racer Midstream LLC
095796AE8
905000.00000000
PA
USD
796400.00000000
0.012304781815
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust, Series 2019-INV3, Class A11
12557LBK0
5540173.10000000
PA
USD
5511417.39000000
0.085154179402
Long
ABS-MBS
CORP
US
Y
2
2049-08-25
Floating
1.12163000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KW08, Class B
30297YAE4
10000000.00000000
PA
USD
10026462.00000000
0.154913896644
Long
ABS-MBS
USGSE
US
Y
2
2029-01-25
Variable
4.39170800
N
N
N
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397XA6
934000.00000000
PA
USD
929227.26000000
0.014357029998
Long
DBT
CORP
US
N
2
2022-01-09
Fixed
3.21900000
N
N
N
N
N
N
CenturyLink, Inc.
8M3THTGWLTYZVE6BBY25
CenturyLink, Inc., Series G
156686AM9
17000.00000000
PA
USD
18700.00000000
0.000288924434
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.87500000
N
N
N
N
N
N
Sierra Timeshare Receivables Funding LLC
N/A
Sierra Timeshare Receivables Funding LLC, Series 2019-3A, Class D
82652NAD0
4805795.72000000
PA
USD
4557014.09000000
0.070408166883
Long
ABS-O
CORP
US
Y
3
2036-08-20
Fixed
4.18000000
N
N
N
N
N
N
Steel Dynamics, Inc.
549300HGGKEL4FYTTQ83
Steel Dynamics, Inc.
858119BF6
28000.00000000
PA
USD
29947.33000000
0.000462701358
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2017-P7, Class D
17325HAA2
1294000.00000000
PA
USD
1015300.09000000
0.015686898649
Long
ABS-MBS
CORP
US
Y
3
2050-04-14
Fixed
3.25000000
N
N
N
N
N
N
CARS-DB4 LP
N/A
CARS-DB4 LP, Series 2020-1A, Class A4
12510HAD2
3500000.00000000
PA
USD
3516385.95000000
0.054329937082
Long
ABS-O
CORP
US
Y
2
2050-02-15
Fixed
3.19000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2019-3, Class B
26209WAE3
870000.00000000
PA
USD
885954.84000000
0.013688449277
Long
ABS-O
CORP
US
N
2
2024-02-15
Fixed
2.65000000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2019-BN21, Class XA
06540BBE8
125813706.92000000
PA
USD
8308347.18000000
0.128368155819
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Variable
0.99707000
N
N
N
N
N
N
TransDigm, Inc.
88Q84GB3X55CF5OC7582
TransDigm, Inc.
893647BE6
5712000.00000000
PA
USD
6027359.52000000
0.093125745624
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
C&W Senior Financing DAC
5493009O8OIWZPZRY516
C&W Senior Financing DAC
12674TAA4
2620000.00000000
PA
USD
2743795.00000000
0.042393017102
Long
DBT
CORP
IE
Y
2
2027-09-15
Fixed
6.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617LT4F5
742390.29000000
PA
USD
858419.17000000
0.013263009282
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
4.50000000
N
N
N
N
N
N
LABL Escrow Issuer LLC
N/A
LABL Escrow Issuer LLC
50168AAB6
7145000.00000000
PA
USD
7663012.50000000
0.118397409416
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
6.75000000
N
N
N
N
N
N
United Airlines Holdings, Inc.
98450079DA0B78DD6764
United Airlines Holdings, Inc.
910047AK5
388000.00000000
PA
USD
332710.00000000
0.005140537365
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.87500000
N
N
N
N
N
N
Kaiser Aluminum Corp.
N/A
Kaiser Aluminum Corp.
483007AJ9
3750000.00000000
PA
USD
3709200.00000000
0.057309011437
Long
DBT
CORP
US
Y
2
2028-03-01
Fixed
4.62500000
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
071734AF4
156000.00000000
PA
USD
171210.00000000
0.002645280882
Long
DBT
CORP
CA
Y
2
2029-05-30
Fixed
7.25000000
N
N
N
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953CD1
4428000.00000000
PA
USD
4505490.00000000
0.069612093697
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
4.62500000
N
N
N
N
N
N
Genesis Sales Finance Master Trust
N/A
Genesis Sales Finance Master Trust, Series 2019-AA, Class A
37186XAA3
2650000.00000000
PA
USD
2666107.76000000
0.041192710048
Long
ABS-O
CORP
US
Y
2
2023-08-20
Fixed
4.68000000
N
N
N
N
N
N
Colorado Health Facilities Authority
5493002JB6DRFRZPEQ21
Colorado Health Facilities Authority, Vail Valley Medical Centre Project
19648A4N2
175000.00000000
PA
USD
189871.50000000
0.002933610472
Long
DBT
MUN
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
AMC Networks, Inc.
549300VGG9K75226LR46
AMC Networks, Inc.
00164VAE3
1785000.00000000
PA
USD
1847475.00000000
0.028544420873
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.75000000
N
N
N
N
N
N
STACR Trust
549300YG8OJES76WL398
STACR Trust, Series 2018-HRP2, Class M3
35564ABF7
14145000.00000000
PA
USD
13348724.20000000
0.206244523847
Long
ABS-MBS
CORP
US
Y
3
2047-02-25
Floating
2.57513000
N
N
N
N
N
N
Standard Industries, Inc.
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AC1
340000.00000000
PA
USD
355024.60000000
0.005485309193
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
5.00000000
N
N
N
N
N
N
Kabbage Funding LLC
N/A
Kabbage Funding LLC, Series 2019-1, Class D
48283PAH4
13579000.00000000
PA
USD
7334017.90000000
0.113314276855
Long
ABS-O
CORP
US
Y
3
2024-03-15
Fixed
5.68800000
N
N
N
N
N
N
BWX Technologies, Inc.
549300NP85N265KWMS58
BWX Technologies, Inc.
05605HAA8
1885000.00000000
PA
USD
1974537.50000000
0.030507600606
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
5.37500000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AQ4
2260000.00000000
PA
USD
2239999.00000000
0.034609114717
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.95000000
N
N
N
N
N
N
Icahn Enterprises LP
N/A
Icahn Enterprises LP
451102BW6
500000.00000000
PA
USD
516250.00000000
0.007976322968
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
4.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K-1516, Class X3
3137FUZL1
22000000.00000000
PA
USD
7283379.40000000
0.112531886481
Long
ABS-MBS
USGSE
US
N
2
2038-10-25
Variable
3.57441800
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C06, Class 1M2
30711X3H5
1379426.44000000
PA
USD
1346556.78000000
0.020804981641
Long
ABS-MBS
CORP
US
N
2
2031-03-25
Floating
2.17513100
N
N
N
N
N
N
Bellemeade Re Ltd.
2549009SOTYJD2MZFC61
Bellemeade Re Ltd., Series 2018-3A, Class M1B
07877TAB7
619393.82000000
PA
USD
613723.33000000
0.009482335096
Long
ABS-MBS
CORP
BM
Y
3
2028-10-25
Floating
2.02513000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-124
38380PU36
18490320.00000000
PA
USD
1765355.91000000
0.027275639501
Long
ABS-MBS
USGA
US
N
2
2061-12-16
Variable
1.20769900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K101, Class X3
3137FQ4C4
35000000.00000000
PA
USD
4774675.50000000
0.073771145486
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Variable
1.94970200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-42, Class LI
31395DVD8
2405790.24000000
PA
USD
437501.86000000
0.006759624473
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
Floating
6.38487000
N
N
N
N
N
N
NuStar Logistics LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAE5
336000.00000000
PA
USD
337680.00000000
0.005217326372
Long
DBT
CORP
US
N
2
2027-04-28
Fixed
5.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K736, Class X1
3137FNWZ9
91970411.39000000
PA
USD
5910285.35000000
0.091316890629
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Variable
1.43718500
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2020-VIV2, Class C
05605NAA5
25175000.00000000
PA
USD
23884088.94000000
0.369021224586
Long
ABS-MBS
CORP
US
Y
2
2044-03-09
Variable
3.66045100
N
N
N
N
N
N
L Brands, Inc.
GR3KVMWVCR54YWQNXU90
L Brands, Inc.
501797AR5
1254000.00000000
PA
USD
1335510.00000000
0.020634303317
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
7.50000000
N
N
N
N
N
N
Altice France SA
5493001ZMCICV4N02J21
Altice France SA
02156LAA9
400000.00000000
PA
USD
446000.00000000
0.006890925024
Long
DBT
CORP
FR
Y
2
2027-02-01
Fixed
8.12500000
N
N
N
N
N
N
Virgin Media Secured Finance plc
213800X3RLP4NOTPY579
Virgin Media Secured Finance plc
92769XAM7
2560000.00000000
PA
USD
2697600.00000000
0.041679281045
Long
DBT
CORP
GB
Y
2
2026-08-15
Fixed
5.50000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust, Series 2019-5, Class B1
03464KAE8
2470000.00000000
PA
USD
2385982.95000000
0.036864640399
Long
ABS-MBS
CORP
US
Y
3
2049-10-25
Variable
3.95700100
N
N
N
N
N
N
DCP Midstream Operating LP
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311RAA4
124000.00000000
PA
USD
124000.00000000
0.001915862562
Long
DBT
CORP
US
Y
2
2037-09-15
Fixed
6.75000000
N
N
N
N
N
N
Sprint Corp.
549300ZTTY7CXOLJ6539
Sprint Corp.
85207UAE5
115000.00000000
PA
USD
121336.50000000
0.001874710144
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
7.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4902, Class SA
3137FN3M0
38934705.52000000
PA
USD
6991501.18000000
0.108022220718
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Floating
5.88812000
N
N
N
N
N
N
Lamar Media Corp.
N/A
Lamar Media Corp.
513075BQ3
710000.00000000
PA
USD
709112.50000000
0.010956145900
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
3.75000000
N
N
N
N
N
N
Beacon Roofing Supply, Inc.
549300HDXQWWCBOYXP31
Beacon Roofing Supply, Inc.
073685AD1
2875000.00000000
PA
USD
2850188.75000000
0.044036854219
Long
DBT
CORP
US
Y
2
2025-11-01
Fixed
4.87500000
N
N
N
N
N
N
Antler Mortgage Trust
N/A
Antler Mortgage Trust, Series 2019-RTL1, Class A2
03720BAC2
2000000.00000000
PA
USD
2047984.00000000
0.031642386088
Long
ABS-MBS
CORP
US
Y
2
2022-08-25
Variable
4.94799800
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K97, Class C
30298PAU6
2000000.00000000
PA
USD
2102714.20000000
0.032487995292
Long
ABS-MBS
USGSE
US
Y
2
2051-09-25
Variable
3.89315900
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2017-KF40, Class B
30306JAG1
216029.42000000
PA
USD
205287.03000000
0.003171788188
Long
ABS-MBS
USGSE
US
Y
2
2027-11-25
Floating
2.85487900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2018-27, Class SE
3136B1M92
5537151.67000000
PA
USD
1249491.50000000
0.019305274092
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Floating
6.02487000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-133, Class NS
3136AAZZ1
1628663.09000000
PA
USD
391526.37000000
0.006049279956
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Floating
5.97487000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-56
38379UQN9
43604643.68000000
PA
USD
2295012.69000000
0.035459103984
Long
ABS-MBS
USGA
US
N
2
2057-11-16
Variable
0.87532900
N
N
N
N
N
N
CARS-DB4 LP
N/A
CARS-DB4 LP, Series 2020-1A, Class B3
12510HAJ9
4510000.00000000
PA
USD
4258649.13000000
0.065798277714
Long
ABS-O
CORP
US
Y
3
2050-02-15
Fixed
4.95000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AJ7
9000000.00000000
PA
USD
9707400.00000000
0.149984227765
Long
DBT
CORP
CH
Y
2
2023-07-17
Variable
7.49999900
N
N
N
N
N
N
GLS Auto Receivables Issuer Trust
N/A
GLS Auto Receivables Issuer Trust, Series 2019-1A, Class D
36256DAD8
830000.00000000
PA
USD
842599.98000000
0.013018594815
Long
ABS-O
CORP
US
Y
2
2025-12-15
Fixed
4.94000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2014-CR20, Class E
12592LAQ5
1000000.00000000
PA
USD
596250.70000000
0.009212374146
Long
ABS-MBS
CORP
US
Y
3
2047-11-10
Fixed
3.22000000
N
N
N
N
N
N
Altice France SA
5493001ZMCICV4N02J21
Altice France SA
02156LAC5
3500000.00000000
PA
USD
3675000.00000000
0.056780604182
Long
DBT
CORP
FR
Y
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
Oasis Petroleum, Inc.
529900FA4V2YNIKZ0M71
Oasis Petroleum, Inc.
674215AK4
1895000.00000000
PA
USD
341100.00000000
0.005270167098
Long
DBT
CORP
US
Y
2
2026-05-01
Fixed
6.25000000
N
N
N
N
N
N
CIG Auto Receivables Trust
N/A
CIG Auto Receivables Trust, Series 2017-1A, Class C
171787AC8
500000.00000000
PA
USD
500434.00000000
0.007731957788
Long
ABS-O
CORP
US
Y
2
2024-12-16
Fixed
5.33000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2018-1A, Class F
96042NAQ0
3500000.00000000
PA
USD
3497371.85000000
0.054036159644
Long
ABS-O
CORP
US
Y
2
2024-07-15
Fixed
5.60000000
N
N
N
N
N
N
CLUB Credit Trust
N/A
CLUB Credit Trust, Series 2019-46, Class PT
21056LAA0
13854513.43000000
PA
USD
12110978.33000000
0.187120725664
Long
ABS-O
CORP
US
Y
2
2044-12-15
Variable
25.49059200
N
N
N
N
N
N
Antler Mortgage Trust
N/A
Antler Mortgage Trust, Series 2019-RTL1, Class M
03720BAD0
3000000.00000000
PA
USD
3017343.00000000
0.046619471718
Long
ABS-MBS
CORP
US
Y
3
2023-01-25
Variable
6.90000100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K047, Class X3
3137BKRL6
3400000.00000000
PA
USD
211343.66000000
0.003265366178
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Variable
1.54578600
N
N
N
N
N
N
Triumph Group, Inc.
5493007L6S47Q14SL582
Triumph Group, Inc.
896818AQ4
2566000.00000000
PA
USD
2099013.66000000
0.032430820082
Long
DBT
CORP
US
Y
2
2024-09-15
Fixed
6.25000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust, Series 2019-3A, Class B2
24381NAF5
2000000.00000000
PA
USD
1757321.20000000
0.027151499177
Long
ABS-MBS
CORP
US
Y
3
2059-07-25
Variable
5.66300200
N
N
N
N
N
N
Olin Corp.
549300GKK294V7W57P06
Olin Corp.
680665AL0
2620000.00000000
PA
USD
2620000.00000000
0.040480321893
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
5.62500000
N
N
N
N
N
N
Republic of Kenya
549300VVURQQYU45PR87
Republic of Kenya
491798AK0
1780000.00000000
PA
USD
1824500.00000000
0.028189445532
Long
DBT
NUSS
KE
Y
2
2032-05-22
Fixed
8.00000000
N
N
N
N
N
N
DT Auto Owner Trust
549300XVMF0FUK76JG97
DT Auto Owner Trust, Series 2019-1A, Class D
23343GAG7
2990000.00000000
PA
USD
3090140.78000000
0.047744234148
Long
ABS-O
CORP
US
Y
2
2024-11-15
Fixed
3.87000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175AZ7
221000.00000000
PA
USD
305498.35000000
0.004720103643
Long
DBT
CORP
US
N
2
2035-10-23
Fixed
6.38400000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AT8
1635000.00000000
PA
USD
1643142.30000000
0.025387377564
Long
DBT
CORP
US
Y
2
2025-03-01
Fixed
4.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-94
38380PNV2
114337504.21000000
PA
USD
10643346.69000000
0.164445076348
Long
ABS-MBS
USGA
US
N
2
2062-03-16
Variable
1.19713000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K95, Class C
30311MAU6
8250000.00000000
PA
USD
8517337.95000000
0.131597168659
Long
ABS-MBS
USGSE
US
Y
2
2052-08-25
Variable
4.05288700
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The), Series R
38144GAB7
4072000.00000000
PA
USD
4212975.45000000
0.065092596314
Long
DBT
CORP
US
N
2
2025-02-10
Variable
4.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2017-C05, Class 1M2
30711XNX8
11366689.58000000
PA
USD
11139163.69000000
0.172105699157
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
2.37512900
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AS6
210000.00000000
PA
USD
223959.75000000
0.003460291134
Long
DBT
CORP
US
Y
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-180, Class SD
38380UDW0
8784738.46000000
PA
USD
2023792.03000000
0.031268607946
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Floating
6.04199900
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2020-8, Class PT
21056UAA0
7409924.35000000
PA
USD
6523380.25000000
0.100789516164
Long
ABS-O
CORP
US
Y
2
2045-04-17
Variable
25.93098000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-85, Class SA
38376M6H5
8281519.26000000
PA
USD
1582459.20000000
0.024449793052
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Floating
5.99199800
N
N
N
N
N
N
Callon Petroleum Co.
549300EFOWPEB0WLZW21
Callon Petroleum Co.
144577AH6
1687000.00000000
PA
USD
596809.99000000
0.009221015459
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
6.25000000
N
N
N
N
N
N
JBS USA LUX SA
N/A
JBS USA LUX SA
466112AP4
299000.00000000
PA
USD
304980.00000000
0.004712094874
Long
DBT
CORP
US
Y
2
2024-07-15
Fixed
5.87500000
N
N
N
N
N
N
Refinitiv US Holdings, Inc.
549300NF240HXJO7N016
Refinitiv US Holdings, Inc.
31740LAA1
2967000.00000000
PA
USD
3185816.25000000
0.049222468432
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
6.25000000
N
N
N
N
N
N
Precision Drilling Corp.
549300WF2OE8T5BP4B84
Precision Drilling Corp.
740212AK1
75000.00000000
PA
USD
58500.00000000
0.000903854515
Long
DBT
CORP
CA
N
2
2023-12-15
Fixed
7.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K155, Class X3
3137FG6V2
5560000.00000000
PA
USD
1487330.58000000
0.022980007877
Long
ABS-MBS
USGSE
US
N
2
2036-05-25
Variable
3.22928300
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2016-C03, Class 1M2
30711XCL6
2491560.88000000
PA
USD
2591555.44000000
0.040040839089
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
5.47512800
N
N
N
N
N
N
Dominican Republic
N/A
Dominican Republic Government Bond
25714PEE4
13650000.00000000
PA
USD
13044281.25000000
0.201540726666
Long
DBT
NUSS
DO
Y
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
Community Health Systems, Inc.
5493007X5NC5XI1BB106
Community Health Systems, Inc.
12543DBA7
815000.00000000
PA
USD
566425.00000000
0.008751552033
Long
DBT
CORP
US
Y
2
2024-06-30
Fixed
8.12500000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AP6
900000.00000000
PA
USD
828000.00000000
0.012793017758
Long
DBT
CORP
US
N
2
2044-10-15
Fixed
5.60000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KF71, Class B
30314GAA0
5534000.00000000
PA
USD
5137758.96000000
0.079380968133
Long
ABS-MBS
USGSE
US
Y
2
2029-10-25
Floating
2.45488000
N
N
N
N
N
N
Frontier Communications Corp.
549300ZCZ76HYCS0H445
Frontier Communications Corp.
35906ABC1
5235000.00000000
PA
USD
5261175.00000000
0.081287808219
Long
DBT
CORP
US
Y
2
2027-04-01
Fixed
8.00000000
Y
N
N
N
N
N
Catalent Pharma Solutions, Inc.
549300HALRZ339MSTH85
Catalent Pharma Solutions, Inc.
14879EAD0
277000.00000000
PA
USD
282540.00000000
0.004365385552
Long
DBT
CORP
US
Y
2
2026-01-15
Fixed
4.87500000
N
N
N
N
N
N
Conn's Receivables Funding LLC
N/A
Conn's Receivables Funding LLC, Series 2019-B, Class B
20824LAB1
4530000.00000000
PA
USD
4407568.60000000
0.068099158661
Long
ABS-O
CORP
US
Y
3
2024-06-17
Fixed
3.62000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2018-3A, Class C
30166PAE1
738000.00000000
PA
USD
747999.09000000
0.011556963335
Long
ABS-O
CORP
US
Y
2
2023-06-15
Fixed
3.71000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2017-2A, Class D
30166MAG3
1000000.00000000
PA
USD
1016150.20000000
0.015700033277
Long
ABS-O
CORP
US
Y
2
2024-02-15
Fixed
6.39000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Credit Trust
N/A
Consumer Loan Underlying Bond Credit Trust, Series 2018-P2, Class C
21052NAC6
1500000.00000000
PA
USD
1452311.85000000
0.022438950831
Long
ABS-O
CORP
US
Y
3
2025-10-15
Fixed
5.21000000
N
N
N
N
N
N
Central Garden & Pet Co.
5493004DVZLD37DJ0H83
Central Garden & Pet Co.
153527AM8
2775000.00000000
PA
USD
2941500.00000000
0.045447659102
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 421, Class C3
31397VGA9
563203.11000000
PA
USD
52088.99000000
0.000804801176
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Fixed
4.00000000
N
N
N
N
N
N
Endo Dac
N/A
Endo Dac
29273DAC4
171000.00000000
PA
USD
132473.70000000
0.002046785503
Long
DBT
CORP
US
Y
2
2028-06-30
Fixed
6.00000000
N
N
N
N
N
N
Republic of Senegal
549300NP14ZLQGWIUZ97
Republic of Senegal
N/A
1400000.00000000
PA
USD
1440250.00000000
0.022252589162
Long
DBT
NUSS
SN
Y
2
2033-05-23
Fixed
6.25000000
N
N
N
N
N
N
CommScope, Inc.
549300Z6K4JXMFE8QY54
CommScope, Inc.
20338QAB9
170000.00000000
PA
USD
175525.00000000
0.002711949809
Long
DBT
CORP
US
Y
2
2024-03-01
Fixed
5.50000000
N
N
N
N
N
N
Hertz Vehicle Financing II LP
549300FPK70TCB78NG05
Hertz Vehicle Financing II LP, Series 2019-3A, Class C
42806DCQ0
6500000.00000000
PA
USD
6349643.95000000
0.098105202672
Long
ABS-O
CORP
US
Y
2
2025-12-26
Fixed
3.43000000
N
N
N
N
N
N
Sunoco LP
N/A
Sunoco LP
86765LAJ6
63000.00000000
PA
USD
64027.53000000
0.000989257642
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
4.87500000
N
N
N
N
N
N
Acadia Healthcare Co., Inc.
5493005CW985Y9D0NC11
Acadia Healthcare Co., Inc.
00404AAM1
211000.00000000
PA
USD
217330.00000000
0.003357858151
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
6.50000000
N
N
N
N
N
N
Eagle RE Ltd.
254900L82OLW9QTLJ788
Eagle RE Ltd., Series 2019-1, Class M1B
269822AB8
541408.29000000
PA
USD
537113.95000000
0.008298681522
Long
ABS-MBS
CORP
BM
Y
3
2029-04-25
Floating
1.97512900
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2019-PRM, Class E
29429JAL4
4500000.00000000
PA
USD
4614025.95000000
0.071289028885
Long
ABS-MBS
CORP
US
Y
2
2036-05-10
Variable
4.88849000
N
N
N
N
N
N
WPX Energy, Inc.
ZXZE9GCS2BB547GJW219
WPX Energy, Inc.
98212BAG8
1521000.00000000
PA
USD
1709451.90000000
0.026411894340
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
8.25000000
N
N
N
N
N
N
Dana, Inc.
KVWHW7YLZPFJM8QYNJ51
Dana, Inc.
235825AF3
2745000.00000000
PA
USD
2911319.55000000
0.044981355922
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.37500000
N
N
N
N
N
N
Embarq Corp.
N/A
Embarq Corp.
29078EAA3
1643000.00000000
PA
USD
1970334.89000000
0.030442668162
Long
DBT
CORP
US
N
2
2036-06-01
Fixed
7.99500000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2020-1A, Class C
30167HAE8
4940000.00000000
PA
USD
5038696.26000000
0.077850399437
Long
ABS-O
CORP
US
Y
2
2025-01-15
Fixed
2.49000000
N
N
N
N
N
N
Level 3 Financing, Inc.
N/A
Level 3 Financing, Inc.
527298BM4
3416000.00000000
PA
USD
3561521.60000000
0.055027305647
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.25000000
N
N
N
N
N
N
Development Bank of the Republic of Belarus JSC
253400D4JRB0M70A0687
Development Bank of the Republic of Belarus JSC
25161EAA9
2600000.00000000
PA
USD
2444000.00000000
0.037761033094
Long
DBT
NUSS
BY
Y
2
2024-05-02
Fixed
6.75000000
N
N
N
N
N
N
Hill-Rom Holdings, Inc.
JLZ01A0E2071OH26RE45
Hill-Rom Holdings, Inc.
431475AB8
1093000.00000000
PA
USD
1128686.45000000
0.017438775119
Long
DBT
CORP
US
Y
2
2025-02-15
Fixed
5.00000000
N
N
N
N
N
N
Ashtead Capital, Inc.
213800J1134IW58IC398
Ashtead Capital, Inc.
045054AF0
500000.00000000
PA
USD
520000.00000000
0.008034262360
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
4.37500000
N
N
N
N
N
N
Air Medical Group Holdings, Inc.
N/A
Air Medical Group Holdings, Inc.
00913CAA7
375000.00000000
PA
USD
369922.50000000
0.005715489265
Long
DBT
CORP
US
Y
2
2023-05-15
Fixed
6.37500000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AR9
4760000.00000000
PA
USD
4849250.00000000
0.074923359137
Long
DBT
CORP
CH
Y
2
2027-02-11
Variable
5.24999900
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AZ0
6970000.00000000
PA
USD
7854318.75000000
0.121353187500
Long
DBT
CORP
US
Y
2
2029-02-01
Fixed
6.50000000
N
N
N
N
N
N
Orange County Water District
549300KBQTX6CMJ3U708
Orange County Water District, Series 2017B
68442CCA2
290000.00000000
PA
USD
319139.20000000
0.004930861658
Long
DBT
MUN
US
N
2
2041-08-15
Fixed
4.06000000
N
N
N
N
N
N
JBS USA LUX SA
N/A
JBS USA LUX SA
46590XAA4
757000.00000000
PA
USD
859338.83000000
0.013277218493
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
6.50000000
N
N
N
N
N
N
CIG Auto Receivables Trust
N/A
CIG Auto Receivables Trust, Series 2019-1A, Class D
125504AD2
1660000.00000000
PA
USD
1673482.69000000
0.025856151898
Long
ABS-O
CORP
US
Y
2
2026-05-15
Fixed
4.85000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2019-C7, Class XA
17328CAJ1
148855485.25000000
PA
USD
9677273.72000000
0.149518761539
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Variable
1.00669700
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAV3
1140000.00000000
PA
USD
1185600.00000000
0.018318118181
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
5493007QHGZZPPA34T64
American Credit Acceptance Receivables Trust, Series 2018-2, Class E
02529KAJ2
560000.00000000
PA
USD
581190.01000000
0.008979678887
Long
ABS-O
CORP
US
Y
2
2024-09-10
Fixed
5.16000000
N
N
N
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP, Series B
29278NAB9
223000.00000000
PA
USD
168144.23000000
0.002597913188
Long
DBT
CORP
US
N
2
2028-02-15
Variable
6.62500100
N
N
N
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AJ4
200000.00000000
PA
USD
237000.00000000
0.003661769575
Long
DBT
CORP
FR
Y
2
2025-12-23
Variable
8.12499800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K067, Class X3
3137FAWV6
8580000.00000000
PA
USD
1064004.08000000
0.016439399867
Long
ABS-MBS
USGSE
US
N
2
2044-09-25
Variable
2.18507000
N
N
N
N
N
N
CF Hippolyta LLC
N/A
CF Hippolyta LLC, Series 2020-1, Class A1
12530MAA3
6000000.00000000
PA
USD
6086670.60000000
0.094042131735
Long
ABS-O
CORP
US
Y
2
2060-07-15
Fixed
1.69000000
N
N
N
N
N
N
Downstream Development Authority of the Quapaw Tribe of Oklahoma
549300NM30NX0VZ5ZB32
Downstream Development Authority of the Quapaw Tribe of Oklahoma
26112TAJ5
851000.00000000
PA
USD
774410.00000000
0.011965025220
Long
DBT
CORP
US
Y
2
2023-02-15
Fixed
10.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2015-C03, Class 1M2
30711XBB9
3656053.70000000
PA
USD
3765916.65000000
0.058185312295
Long
ABS-MBS
CORP
US
N
3
2025-07-25
Floating
5.17513000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2019-R01, Class 2B1
20754FAL6
1000000.00000000
PA
USD
934984.20000000
0.014445977626
Long
ABS-MBS
CORP
US
Y
3
2031-07-25
Floating
4.52513200
N
N
N
N
N
N
Arbor Realty Trust, Inc.
549300ASFUWYQO0RW077
Arbor Realty Trust, Inc., Series QIB
038923AQ1
20000000.00000000
PA
USD
17772002.00000000
0.274586397574
Long
DBT
CORP
US
Y
2
2027-03-15
Fixed
4.50000000
N
N
N
N
N
N
MultiPlan, Inc.
N/A
MultiPlan, Inc., 1st Lien Term Loan B
55328HAE1
1285000.00000000
PA
USD
1270543.75000000
0.019630541976
Long
LON
CORP
US
N
2
2023-06-07
Variable
3.75000000
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15137TAA8
7395000.00000000
PA
USD
7820212.50000000
0.120826228730
Long
DBT
CORP
US
Y
2
2026-06-01
Fixed
5.37500000
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2019-1, Class A
12326QAA2
9907676.59000000
PA
USD
9933442.49000000
0.153476698283
Long
ABS-O
CORP
US
Y
2
2034-07-15
Fixed
4.21200000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2020-BN26, Class D
06540JAJ1
3250000.00000000
PA
USD
2479314.18000000
0.038306654992
Long
ABS-MBS
CORP
US
Y
2
2063-03-15
Fixed
2.50000000
N
N
N
N
N
N
Barclays Commercial Mortgage Trust
N/A
Barclays Commercial Mortgage Trust, Series 2019-C4, Class D
07335CAT1
3410000.00000000
PA
USD
2623559.88000000
0.040535323835
Long
ABS-MBS
CORP
US
Y
3
2052-08-15
Fixed
3.25000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2020-1, Class D
26208QAG2
2000000.00000000
PA
USD
2047642.80000000
0.031637114376
Long
ABS-O
CORP
US
N
2
2027-05-17
Fixed
2.70000000
N
N
N
N
N
N
EnLink Midstream Partners LP
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAE7
4292000.00000000
PA
USD
3825116.24000000
0.059099975829
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.15000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2016-1, Class D
33843MAG8
1000000.00000000
PA
USD
1022915.90000000
0.015804566756
Long
ABS-O
CORP
US
Y
2
2023-05-15
Fixed
8.59000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2020-2A, Class B
30167YAC5
3000000.00000000
PA
USD
3036551.40000000
0.046916251189
Long
ABS-O
CORP
US
Y
2
2024-07-15
Fixed
2.08000000
N
N
N
N
N
N
TerraForm Power Operating LLC
5493000S2OLR3UT5BE13
TerraForm Power Operating LLC
88104LAE3
172000.00000000
PA
USD
191115.22000000
0.002952826574
Long
DBT
CORP
US
Y
2
2028-01-31
Fixed
5.00000000
N
N
N
N
N
N
VeriSign, Inc.
LMPL4N8ZOJRMF0KOF759
VeriSign, Inc.
92343EAL6
5000.00000000
PA
USD
5362.60000000
0.000082854875
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.75000000
N
N
N
N
N
N
5AIF Juniper 2 LLC
N/A
5AIF Juniper 2 LLC, Series 2018-1, Class A
33835FAA6
1117604.30000000
PA
USD
1117604.30000000
0.017267550310
Long
ABS-O
CORP
US
Y
3
2022-08-15
Fixed
5.45000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2019-2A, Class E
14686UAG0
3000000.00000000
PA
USD
3041913.60000000
0.046999099885
Long
ABS-O
CORP
US
Y
2
2026-04-15
Fixed
5.01000000
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2019-1, Class C
12326QAC8
5217067.68000000
PA
USD
5209638.58000000
0.080491544528
Long
ABS-O
CORP
US
Y
3
2034-07-15
Fixed
6.94800000
N
N
N
N
N
N
Cheniere Energy Partners LP
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAD3
32000.00000000
PA
USD
33542.08000000
0.000518242059
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
5.62500000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-1A, Class D
96042JAL0
3350000.00000000
PA
USD
3459953.70000000
0.053458030347
Long
ABS-O
CORP
US
Y
2
2024-03-15
Fixed
3.67000000
N
N
N
N
N
N
Southern Co. (The)
549300FC3G3YU2FBZD92
Southern Co. (The), Series 2020
842587800
193000.00000000
NS
USD
5176260.00000000
0.079975828627
Long
EP
CORP
US
N
1
N
N
N
1011778 BC ULC
N/A
1011778 BC ULC
68245XAH2
1970000.00000000
PA
USD
2019250.00000000
0.031198431291
Long
DBT
CORP
CA
Y
2
2028-01-15
Fixed
3.87500000
N
N
N
N
N
N
Cooper-Standard Automotive, Inc.
ITCH5B3Q4RTX2PH9UN62
Cooper-Standard Automotive, Inc.
216762AF1
884000.00000000
PA
USD
499018.00000000
0.007710079874
Long
DBT
CORP
US
Y
2
2026-11-15
Fixed
5.62500000
N
N
N
N
N
N
CWABS, Inc. Asset-Backed Certificates Trust
N/A
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-4, Class M1
1266715K8
1431355.75000000
PA
USD
1400742.34000000
0.021642175882
Long
ABS-O
CORP
US
N
3
2034-07-25
Floating
0.89512900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-79, Class SD
3136A0WN3
6772620.99000000
PA
USD
1348193.83000000
0.020830274890
Long
ABS-MBS
USGSE
US
N
2
2041-08-25
Floating
5.72487100
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc., Series P
172967JM4
4714000.00000000
PA
USD
5090177.20000000
0.078645805934
Long
DBT
CORP
US
N
2
2025-05-15
Variable
5.95000100
N
N
N
N
N
N
Staples, Inc.
XQM2JINI1UL7642TU573
Staples, Inc.
855030AP7
3080000.00000000
PA
USD
2140600.00000000
0.033073350016
Long
DBT
CORP
US
Y
2
2027-04-15
Fixed
10.75000000
N
N
N
N
N
N
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust
N/A
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-8, Class 1A5
1729734C0
55296.22000000
PA
USD
54507.39000000
0.000842166676
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
Service Corp. International
549300RKVM2ME20JHZ15
Service Corp. International
817565CE2
3309000.00000000
PA
USD
3665941.83000000
0.056640650885
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C02, Class 2M2
30711XC36
1450514.55000000
PA
USD
1420574.48000000
0.021948592451
Long
ABS-MBS
CORP
US
N
2
2030-08-25
Floating
2.37512900
N
N
N
N
N
N
ReadyCap Lending Small Business Loan Trust
N/A
ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A
75576QAA6
14960897.78000000
PA
USD
13932729.53000000
0.215267700849
Long
ABS-O
CORP
US
Y
2
2044-12-27
Floating
2.75000000
N
N
N
N
N
N
FHLMC
N/A
FHLMC
3137FUZK3
5998807.32000000
PA
USD
1005623.86000000
0.015537396013
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Variable
1.63123900
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust, Series 2019-A, Class D
88165GAG5
2700000.00000000
PA
USD
2778150.96000000
0.042923834018
Long
ABS-O
CORP
US
Y
2
2023-01-20
Fixed
3.37000000
N
N
N
N
N
N
Envision Healthcare Corp.
549300OL60X0LPKY8N60
Envision Healthcare Corp.
29373TAA2
1122000.00000000
PA
USD
493680.00000000
0.007627605081
Long
DBT
CORP
US
Y
2
2026-10-15
Fixed
8.75000000
N
N
N
N
N
N
Level 3 Financing, Inc.
N/A
Level 3 Financing, Inc.
527298BC6
42000.00000000
PA
USD
42000.00000000
0.000648921190
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
5.62500000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967GD7
865000.00000000
PA
USD
906087.50000000
0.013999509031
Long
DBT
CORP
US
N
2
2023-01-30
Variable
5.95000100
N
N
N
N
N
N
Sunoco LP
N/A
Sunoco LP
86765LAL1
218000.00000000
PA
USD
224622.84000000
0.003470536209
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
N/A
3700000.00000000
PA
USD
4230950.00000000
0.065370312180
Long
DBT
NUSS
UA
Y
2
2028-11-01
Fixed
9.75000000
N
N
N
N
N
N
ABFC Trust
N/A
ABFC Trust, Series 2002-OPT1, Class M1
04542BBL5
246471.22000000
PA
USD
242700.58000000
0.003749846413
Long
ABS-O
CORP
US
N
3
2032-05-25
Floating
1.27013000
N
N
N
N
N
N
ME Funding LLC
N/A
ME Funding LLC, Series 2019-1, Class A2
55282GAA5
26916600.00000000
PA
USD
21974443.07000000
0.339516232403
Long
ABS-O
CORP
US
Y
2
2049-07-30
Fixed
6.44800000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAB7
160000.00000000
PA
USD
155527.61000000
0.002402980044
Long
DBT
CORP
KY
Y
2
2023-10-01
Fixed
5.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-101, Class SA
38382F5M2
99121012.79000000
PA
USD
24633930.76000000
0.380606659030
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Floating
6.04199900
N
N
N
N
N
N
Carvana Auto Receivables Trust
549300PQFD4GEYYTOY78
Carvana Auto Receivables Trust, Series 2019-1A, Class E
146868AG9
500000.00000000
PA
USD
516502.65000000
0.007980226538
Long
ABS-O
CORP
US
Y
2
2026-01-15
Fixed
5.64000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K-1511, Class X3
3137FLYM0
30261160.00000000
PA
USD
9148493.37000000
0.141348838341
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Variable
3.53699300
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C01, Class 1B1
30711XYW8
2870000.00000000
PA
USD
2643936.41000000
0.040850151504
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
3.72512900
N
N
N
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AM6
342000.00000000
PA
USD
361237.50000000
0.005581301633
Long
DBT
CORP
US
Y
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AH0
1168000.00000000
PA
USD
1264360.00000000
0.019534999919
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
5.25000000
N
N
N
N
N
N
Cogent Communications Group, Inc.
549300KFWFYF8Q1U0Y26
Cogent Communications Group, Inc.
19240CAA1
1515000.00000000
PA
USD
1560450.00000000
0.024109739808
Long
DBT
CORP
US
Y
2
2022-03-01
Fixed
5.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617H2YQ2
641505.84000000
PA
USD
710944.41000000
0.010984449833
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
FREED ABS Trust
N/A
FREED ABS Trust, Series 2018-1, Class B
35633CAB0
600000.00000000
PA
USD
601056.84000000
0.009286631434
Long
ABS-O
CORP
US
Y
3
2024-07-18
Fixed
4.56000000
N
N
N
N
N
N
Transocean Proteus Ltd.
5493000CTMQ2LH21VM89
Transocean Proteus Ltd.
893829AA9
312650.00000000
PA
USD
275132.00000000
0.004250928214
Long
DBT
CORP
KY
Y
2
2024-12-01
Fixed
6.25000000
N
N
N
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2007-AR7, Class 1A1
86364KAA2
17252390.66000000
PA
USD
13054990.98000000
0.201706197398
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
1.02163000
N
N
N
N
N
N
Sartori & C Srl
N/A
Sartori & C Srl, Series 4, Class B
N/A
2003974.06000000
PA
USD
1944738.59000000
0.030047192412
Long
ABS-MBS
CORP
US
N
3
2024-10-15
Fixed
4.70000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K87, Class C
35709CAU7
4250000.00000000
PA
USD
4610385.13000000
0.071232776379
Long
ABS-MBS
USGSE
US
Y
2
2051-01-25
Variable
4.46936000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2020-1, Class B1
92536PAG9
1150000.00000000
PA
USD
999206.83000000
0.015438249662
Long
ABS-MBS
CORP
US
Y
3
2060-01-25
Variable
3.62400100
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2018-SFR3, Class E
74331MAE6
524000.00000000
PA
USD
541221.73000000
0.008362148796
Long
ABS-O
CORP
US
Y
3
2035-10-17
Fixed
4.87300000
N
N
N
N
N
N
Marlette Funding Trust
54930083FUKNQ9ZNFO83
Marlette Funding Trust, Series 2017-3A, Class D
57109DAD3
4500000.00000000
PA
USD
4438090.35000000
0.068570735098
Long
ABS-O
CORP
US
Y
3
2024-12-15
Fixed
5.03000000
N
N
N
N
N
N
Scientific Games Corp.
N/A
Scientific Games Corp., 1st Lien Term Loan B-5
80875AAP6
98987.35000000
PA
USD
92359.16000000
0.001426995620
Long
LON
CORP
US
N
2
2024-08-14
Variable
3.47215100
N
N
N
N
N
N
L Brands, Inc.
GR3KVMWVCR54YWQNXU90
L Brands, Inc.
501797AN4
57000.00000000
PA
USD
54720.00000000
0.000845451608
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.25000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class D
17318UAJ3
1875000.00000000
PA
USD
1541257.88000000
0.023813211871
Long
ABS-MBS
CORP
US
Y
3
2045-09-10
Variable
5.04400300
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2017-90, Class SP
3136AYQT3
4690441.86000000
PA
USD
1147287.24000000
0.017726166709
Long
ABS-MBS
USGSE
US
N
2
2047-11-25
Floating
5.97487000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K721, Class X1
3137BM6Q4
63468225.42000000
PA
USD
355885.38000000
0.005498608679
Long
ABS-MBS
USGSE
US
N
2
2022-08-25
Variable
0.43571500
N
N
N
N
N
N
Antero Midstream Partners LP
N/A
Antero Midstream Partners LP
03690AAD8
675000.00000000
PA
USD
602437.50000000
0.009307963328
Long
DBT
CORP
US
Y
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K036, Class X3
3137B7N39
3253000.00000000
PA
USD
199747.86000000
0.003086205217
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Variable
2.17982500
N
N
N
N
N
N
Spectrum Brands, Inc.
549300VU3EH2E73C1Q04
Spectrum Brands, Inc.
84762LAU9
4325000.00000000
PA
USD
4465562.50000000
0.068995193677
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2016-6, Class KI
3136AQ5C0
628411.04000000
PA
USD
69577.10000000
0.001075001299
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Fixed
4.00000000
N
N
N
N
N
N
Boyne USA, Inc.
N/A
Boyne USA, Inc.
103557AA2
594000.00000000
PA
USD
629640.00000000
0.009728255678
Long
DBT
CORP
US
Y
2
2025-05-01
Fixed
7.25000000
N
N
N
N
N
N
Station Casinos LLC
5493004E7Q60TX54WL62
Station Casinos LLC
857691AF6
3136000.00000000
PA
USD
3098775.68000000
0.047877647710
Long
DBT
CORP
US
Y
2
2025-10-01
Fixed
5.00000000
N
N
N
N
N
N
Novelis Corp.
549300G5F3W3B52WYL23
Novelis Corp.
670001AC0
3762000.00000000
PA
USD
3930537.60000000
0.060728789031
Long
DBT
CORP
US
Y
2
2026-09-30
Fixed
5.87500000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2019-3, Class A
92257HAA7
4382602.64000000
PA
USD
4340626.51000000
0.067064869596
Long
ABS-MBS
CORP
US
Y
2
2049-10-25
Variable
3.03000100
N
N
N
N
N
N
FHLMC
N/A
FHLMC Multiclass Certificates, Series 2020-RR06, Class AX
3137FRV73
50000000.00000000
PA
USD
6303025.00000000
0.097384916374
Long
ABS-MBS
USGSE
US
N
2
2028-10-27
Variable
1.87800100
N
N
N
N
N
N
MV24 Capital BV
N/A
MV24 Capital BV
N/A
487570.00000000
PA
USD
503263.66000000
0.007775677463
Long
DBT
CORP
NL
Y
2
2034-06-01
Fixed
6.74800000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264AAP0
10415000.00000000
PA
USD
10903203.13000000
0.168459989453
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.50000000
N
N
N
N
N
N
Bear Stearns Asset-Backed Securities Trust
N/A
Bear Stearns Asset-Backed Securities Trust, Series 2003-AC4, Class M1
07384YKH8
123656.43000000
PA
USD
118670.69000000
0.001833522034
Long
ABS-MBS
CORP
US
N
3
2033-09-25
Variable
5.65800100
N
N
N
N
N
N
Deutsche Mortgage Securities, Inc., Mortgage Loan Trust
N/A
Deutsche Mortgage Securities, Inc., Mortgage Loan Trust, Series 2004-1, Class 3A5
251563CA8
152269.79000000
PA
USD
158108.39000000
0.002442854397
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Variable
6.16000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-98
38380MCB5
104667604.84000000
PA
USD
5356741.48000000
0.082764358553
Long
ABS-MBS
USGA
US
N
2
2060-08-16
Variable
0.46734800
N
N
N
N
N
N
ATS Automation Tooling Systems, Inc.
5493005KP4RP3IU7HQ41
ATS Automation Tooling Systems, Inc.
001940AA3
530000.00000000
PA
USD
536073.80000000
0.008282610680
Long
DBT
CORP
CA
Y
2
2023-06-15
Fixed
6.50000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
549300FU8TZDHFLQZL50
CSAIL Commercial Mortgage Trust, Series 2016-C5, Class D
12636LAG5
2750000.00000000
PA
USD
2036033.45000000
0.031457744061
Long
ABS-MBS
CORP
US
Y
3
2048-11-15
Variable
3.72422200
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAD3
355000.00000000
PA
USD
344270.01000000
0.005319145352
Long
DBT
CORP
KY
Y
2
2024-05-15
Fixed
5.25000000
N
N
N
N
N
N
CDW LLC
N/A
CDW LLC
12513GBC2
468000.00000000
PA
USD
484965.00000000
0.007492953933
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-89
38378BXV6
16483304.73480000
PA
USD
212621.44000000
0.003285108523
Long
ABS-MBS
USGA
US
N
2
2053-12-16
Variable
0.50144000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-76, Class SB
31393D5Z0
2856411.63430000
PA
USD
509765.79000000
0.007876138652
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
6.87487000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2019-4A, Class D
30167GAG5
7490000.00000000
PA
USD
7558774.68000000
0.116786882505
Long
ABS-O
CORP
US
Y
2
2025-09-15
Fixed
2.58000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4495, Class PI
3137BKQV5
656241.46000000
PA
USD
61620.61000000
0.000952069514
Long
ABS-MBS
USGSE
US
N
2
2043-09-15
Fixed
4.00000000
N
N
N
N
N
N
Aviation Capital Group LLC
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAH4
2710000.00000000
PA
USD
2786927.28000000
0.043059432590
Long
DBT
CORP
US
Y
2
2024-12-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-93, Class FS
3136A8JC5
3901348.84000000
PA
USD
726719.07000000
0.011228176289
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Floating
5.97487000
N
N
N
N
N
N
Neiman Marcus Group Ltd. LLC
N/A
Neiman Marcus Group Ltd. LLC
64021VAE2
57445.00000000
PA
USD
15510.15000000
0.000239639642
Long
DBT
CORP
US
Y
2
2024-04-25
Fixed
14.00000000
Y
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K92, Class C
302973AJ1
7000000.00000000
PA
USD
7507045.00000000
0.115987632849
Long
ABS-MBS
USGSE
US
Y
2
2052-05-25
Variable
4.33663600
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2016-90, Class IN
3136AUMX6
677843.41000000
PA
USD
97229.25000000
0.001502240968
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Fixed
3.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2018-2, Class A1
92535TAA5
367139.47000000
PA
USD
371335.21000000
0.005737316347
Long
ABS-MBS
CORP
US
Y
2
2058-06-01
Variable
3.67700000
N
N
N
N
N
N
Sensata Technologies UK Financing Co. plc
635400EUADS212PJER83
Sensata Technologies UK Financing Co. plc
81727TAA6
5275000.00000000
PA
USD
5525984.50000000
0.085379248601
Long
DBT
CORP
GB
Y
2
2026-02-15
Fixed
6.25000000
N
N
N
N
N
N
Sprint Corp.
549300ZTTY7CXOLJ6539
Sprint Corp.
85207UAF2
1582000.00000000
PA
USD
1840063.75000000
0.028429913322
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.87500000
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GCS7
1712000.00000000
PA
USD
1751376.00000000
0.027059642838
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series Q012, Class X
3137FVNQ1
38000000.00000000
PA
USD
9992252.00000000
0.154385334884
Long
ABS-MBS
USGSE
US
N
2
2035-09-25
Variable
4.24131100
N
N
N
N
N
N
Camillo Issuer LLC
N/A
Camillo Issuer LLC, Series 2017-SFR1, Class A
133716AA8
960400.17000000
PA
USD
960400.17000000
0.014838667186
Long
ABS-O
CORP
US
Y
3
2027-06-05
Fixed
5.50000000
N
N
N
N
N
N
Advanced Drainage Systems, Inc.
6QQTOZ5MF5DHM7K92I60
Advanced Drainage Systems, Inc.
00790RAA2
125000.00000000
PA
USD
130360.00000000
0.002014127771
Long
DBT
CORP
US
Y
2
2027-09-30
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-HQA2, Class M3
3137G0HJ1
2887137.82000000
PA
USD
2982492.76000000
0.046081017927
Long
ABS-MBS
CORP
US
N
2
2028-05-25
Floating
4.97513200
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2020-K104, Class C
302984AU3
13102000.00000000
PA
USD
13163741.86000000
0.203386453363
Long
ABS-MBS
USGSE
US
Y
2
2052-02-25
Variable
3.53886800
N
N
N
N
N
N
Orange Lake Timeshare Trust
N/A
Orange Lake Timeshare Trust, Series 2018-A, Class C
68504WAC1
2775496.65000000
PA
USD
2753346.24000000
0.042540588579
Long
ABS-O
CORP
US
Y
2
2030-11-08
Fixed
3.74000000
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPBR3
3082000.00000000
PA
USD
3220690.00000000
0.049761285464
Long
DBT
CORP
US
Y
2
2026-05-01
Fixed
5.50000000
N
N
N
N
N
N
Goodyear Tire & Rubber Co. (The)
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co. (The)
382550BG5
118000.00000000
PA
USD
117634.20000000
0.001817507741
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
4.87500000
N
N
N
N
N
N
KFC Holding Co.
N/A
KFC Holding Co.
48250NAC9
1440000.00000000
PA
USD
1512000.00000000
0.023361162863
Long
DBT
CORP
US
Y
2
2027-06-01
Fixed
4.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-173
38380JFQ6
19513740.10000000
PA
USD
1557381.84000000
0.024062335188
Long
ABS-MBS
USGA
US
N
2
2057-09-16
Variable
1.35632900
N
N
N
N
N
N
National Australia Bank Ltd.
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd.
632525AS0
1400000.00000000
PA
USD
1559082.00000000
0.024088603518
Long
DBT
CORP
AU
Y
2
2034-08-02
Variable
3.93300000
N
N
N
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953CF6
4150000.00000000
PA
USD
4388625.00000000
0.067806470484
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
WPX Energy, Inc.
ZXZE9GCS2BB547GJW219
WPX Energy, Inc.
98212BAH6
2977000.00000000
PA
USD
3039368.15000000
0.046959771398
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-1, Class SG
38381BXX7
20215176.17000000
PA
USD
3847920.38000000
0.059452311298
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.89200100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2017-39, Class ST
3136AWHF7
2735911.67000000
PA
USD
622868.05000000
0.009623625633
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Floating
5.92486900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4689, Class SD
3137F1DW5
1296325.31000000
PA
USD
248859.46000000
0.003845004216
Long
ABS-MBS
USGSE
US
N
2
2047-06-15
Floating
5.98812100
N
N
N
N
N
N
Sprint Corp.
549300ZTTY7CXOLJ6539
Sprint Corp.
85207UAH8
7672000.00000000
PA
USD
8916475.12000000
0.137764039316
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
FHLMC STACR Trust
5493005RUXPCBST1N217
FHLMC STACR Trust, Series 2018-HQA2, Class M2
35563XAH5
8430000.00000000
PA
USD
8218788.04000000
0.126984421920
Long
ABS-MBS
CORP
US
Y
2
2048-10-25
Floating
2.47513000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AF4
115000.00000000
PA
USD
120750.00000000
0.001865648423
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
6.75000000
N
N
N
N
N
N
NuStar Logistics LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAF2
1579000.00000000
PA
USD
1652534.03000000
0.025532484531
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
6.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K88, Class C
302971AT3
6700000.00000000
PA
USD
7239280.32000000
0.111850533446
Long
ABS-MBS
USGSE
US
Y
2
2052-02-25
Variable
4.52544800
N
N
N
N
N
N
Sierra Timeshare Receivables Funding LLC
N/A
Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class D
826525AD9
4600000.00000000
PA
USD
4654473.20000000
0.071913959305
Long
ABS-O
CORP
US
Y
2
2037-07-20
Fixed
6.59000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
N/A
500000.00000000
PA
USD
464218.75000000
0.007172413904
Long
DBT
NUSS
GH
Y
2
2051-03-26
Fixed
8.95000000
N
N
N
N
N
N
Lennar Corp.
529900G61XVRLX5TJX09
Lennar Corp.
526057CV4
1100000.00000000
PA
USD
1251250.00000000
0.019332443804
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.00000000
N
N
N
N
N
N
Apache Corp.
72ZZ1XRHOOU9P9X16K08
Apache Corp.
037411BH7
2304000.00000000
PA
USD
2355840.00000000
0.036398916614
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.62500000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2019-BN19, Class XA
06540WBH5
22258992.99000000
PA
USD
1562703.73000000
0.024144561074
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Variable
1.09583300
N
N
N
N
N
N
Edgewell Personal Care Co.
549300CY8QZDL4Z3RU59
Edgewell Personal Care Co.
28035QAA0
2000000.00000000
PA
USD
2135020.00000000
0.032987136201
Long
DBT
CORP
US
Y
2
2028-06-01
Fixed
5.50000000
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBR2
2025000.00000000
PA
USD
2040288.75000000
0.031523490593
Long
DBT
CORP
US
Y
2
2031-02-01
Fixed
4.87500000
N
N
N
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953CC3
745000.00000000
PA
USD
785975.00000000
0.012143710305
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K092, Class X3
3137FLYY4
46582991.00000000
PA
USD
7283446.29000000
0.112532919965
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Variable
2.32321000
N
N
N
N
N
N
B&G Foods, Inc.
549300TRW1LZMDJZAQ78
B&G Foods, Inc.
05508RAE6
2741000.00000000
PA
USD
2836140.11000000
0.043819795643
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-1A, Class F
96042JAQ9
3009000.00000000
PA
USD
2971213.88000000
0.045906753540
Long
ABS-O
CORP
US
Y
2
2026-02-17
Fixed
5.67000000
N
N
N
N
N
N
Enterprise Development Authority (The)
N/A
Enterprise Development Authority (The)
29390WAA4
1032000.00000000
PA
USD
1130040.00000000
0.017459688149
Long
DBT
CORP
US
Y
2
2024-07-15
Fixed
12.00000000
N
N
N
N
N
N
OnDeck Asset Securitization Trust LLC
N/A
OnDeck Asset Securitization Trust LLC, Series 2018-1A, Class C
68235RAE4
540000.00000000
PA
USD
541308.42000000
0.008363488200
Long
ABS-O
CORP
US
Y
3
2022-04-18
Fixed
4.52000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C05, Class 1M2
30711XY24
1158104.51000000
PA
USD
1142140.16000000
0.017646641726
Long
ABS-MBS
CORP
US
N
2
2031-01-25
Floating
2.52513000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2020-2, Class D
80285RAG3
2350000.00000000
PA
USD
2389430.89000000
0.036917912812
Long
ABS-O
CORP
US
N
2
2026-09-15
Fixed
2.22000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-63, Class SB
38380WUP2
7358001.66000000
PA
USD
1259549.35000000
0.019460672949
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Floating
6.04199900
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AR2
1610000.00000000
PA
USD
1610000.00000000
0.024875312308
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.12500000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Ultra Note
N/A
1787.00000000
NC
USD
-179627.95000000
-0.00277534245
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 10 Year Ultra Note
2020-12-21
284468062.50000000
USD
-179627.95000000
N
N
N
Natwest Group plc
2138005O9XJIJN4JPN90
Natwest Group plc
780097BB6
5500000.00000000
PA
USD
5781435.00000000
0.089326087711
Long
DBT
CORP
GB
N
2
2021-08-15
Variable
8.62499900
N
N
N
N
N
N
Avis Budget Car Rental LLC
N/A
Avis Budget Car Rental LLC
053773BA4
3436000.00000000
PA
USD
3278803.00000000
0.050659160635
Long
DBT
CORP
US
Y
2
2025-03-15
Fixed
5.25000000
N
N
N
N
N
N
SART
N/A
SART
N/A
439913.56000000
PA
USD
437713.99000000
0.006762901989
Long
ABS-MBS
CORP
US
N
2
2024-07-15
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
8017000.00000000
PA
USD
-1145901.83000000
-0.01770476142
N/A
DCR
GB
N
2
MORGAN STANLEY CO INTERNATIONAL LIMITED
4PQUHN3JPFGFNF3BB653
Markit CMBX North American BBB- 12
Markit CMBX North American BBB- 12
Y
Payout of notional amount upon default event with regard to the reference instrument
2061-08-17
0.00000000
USD
96862.44000000
USD
8017000.00000000
USD
-1145901.83000000
N
N
N
Community Health Systems, Inc.
5493007X5NC5XI1BB106
Community Health Systems, Inc.
12543DBC3
101000.00000000
PA
USD
104661.25000000
0.001617069118
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
8.00000000
N
N
N
N
N
N
Lendingpoint Asset Securitization Trust
N/A
Lendingpoint Asset Securitization Trust, Series 2019-2, Class B
52605WAB5
12000000.00000000
PA
USD
11999854.80000000
0.185403811059
Long
ABS-O
CORP
US
Y
3
2025-11-10
Fixed
3.72500000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2020-1, Class E
02529VAJ8
10080000.00000000
PA
USD
9819300.96000000
0.151713154056
Long
ABS-O
CORP
US
Y
2
2026-03-13
Fixed
3.32000000
N
N
N
N
N
N
UPC Holding BV
213800G1DU7LKI6ZCD69
UPC Holding BV
90320LAG2
2900000.00000000
PA
USD
3027136.00000000
0.046770778509
Long
DBT
CORP
NL
Y
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
LHOME Mortgage Trust
N/A
LHOME Mortgage Trust, Series 2019-RTL2, Class A2
501888AD3
8580000.00000000
PA
USD
8148324.76000000
0.125895728692
Long
ABS-MBS
CORP
US
Y
2
2024-03-25
Variable
4.33500100
N
N
N
N
N
N
CDW LLC
N/A
CDW LLC
12513GBA6
390000.00000000
PA
USD
432777.15000000
0.006686625320
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-83, Class SA
38379XJB7
4305007.53650000
PA
USD
878790.66000000
0.013577759081
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Floating
5.94200200
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K104, Class X3
3137FREL1
25300000.00000000
PA
USD
3577657.82000000
0.055276618388
Long
ABS-MBS
USGSE
US
N
2
2047-02-25
Variable
1.89582100
N
N
N
N
N
N
Security National Mortgage Loan Trust
N/A
Security National Mortgage Loan Trust, Series 2004-2A, Class AF3
81441PBZ3
87054.89000000
PA
USD
86865.74000000
0.001342119510
Long
ABS-O
CORP
US
Y
3
2034-11-25
Variable
5.77199900
N
N
N
N
N
N
Hughes Satellite Systems Corp.
N/A
Hughes Satellite Systems Corp.
444454AF9
1919000.00000000
PA
USD
2173267.50000000
0.033578079374
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
6.62500000
N
N
N
N
N
N
Antero Resources Corp.
APVBKPOULHUX7YZLKU17
Antero Resources Corp.
03674XAC0
7592000.00000000
PA
USD
6595550.00000000
0.101904575214
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
5.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-138, Class SW
38382AM51
5384707.89000000
PA
USD
972686.09000000
0.015028490848
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Floating
5.89200100
N
N
N
N
N
N
Wyndham Destinations, Inc.
T4VNTWMFQ7JQB65L7T35
Wyndham Destinations, Inc.
98310WAJ7
8000.00000000
PA
USD
8077.76000000
0.000124805467
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
4.25000000
N
N
N
N
N
N
Clarios Global LP
N/A
Clarios Global LP
69867DAA6
2900000.00000000
PA
USD
3075812.50000000
0.047522854993
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
6.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-115
38379KC97
4001222.51000000
PA
USD
141148.33000000
0.002180812913
Long
ABS-MBS
USGA
US
N
2
2057-07-16
Variable
0.52421000
N
N
N
N
N
N
Ally Financial, Inc.
549300JBN1OSM8YNAI90
Ally Financial, Inc.
02005NAY6
35000.00000000
PA
USD
36234.88000000
0.000559847177
Long
DBT
CORP
US
N
2
2022-02-13
Fixed
4.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2017-C01, Class 1M2
30711XEP5
8789248.26000000
PA
USD
8965554.43000000
0.138522339418
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
3.72512900
N
N
N
N
N
N
Vodafone Group plc
213800TB53ELEUKM7Q61
Vodafone Group plc
92857WBQ2
3300000.00000000
PA
USD
3970381.47000000
0.061344396925
Long
DBT
CORP
GB
N
2
2079-04-04
Variable
6.99999800
N
N
N
N
N
N
Videotron Ltd.
549300LW4GNJRBECSD81
Videotron Ltd.
92660FAG9
190000.00000000
PA
USD
206834.95000000
0.003195704333
Long
DBT
CORP
CA
Y
2
2024-06-15
Fixed
5.37500000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AU5
1635000.00000000
PA
USD
1669073.40000000
0.025788026143
Long
DBT
CORP
US
Y
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
ACC Trust
N/A
ACC Trust, Series 2019-1, Class A
00085MAA7
97296.55000000
PA
USD
97988.07000000
0.001513965120
Long
ABS-O
CORP
US
Y
2
2022-05-20
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Note
N/A
-3904.00000000
NC
USD
-434608.90000000
-0.00671492678
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 2 Year Note
2020-12-31
-862540000.00000000
USD
-434608.90000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-97, Class GS
38381YHN7
44183046.31000000
PA
USD
7875972.63000000
0.121687750871
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
5.94200200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-7, Class DS
38380UM67
5959626.66680000
PA
USD
889586.32000000
0.013744557475
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Floating
5.54199800
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-2, Class B
02530DAB2
490000.00000000
PA
USD
492554.42000000
0.007610214302
Long
ABS-O
CORP
US
Y
2
2023-05-12
Fixed
3.05000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series KC04, Class X1
3137FMCG5
48001378.16000000
PA
USD
2704868.06000000
0.041791576239
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
1.40505500
N
N
N
N
N
N
Fenix Power Peru SA
549300VBTI7WLU4G4642
Fenix Power Peru SA
N/A
2678235.29000000
PA
USD
2692463.41000000
0.041599918138
Long
DBT
CORP
PE
Y
2
2027-09-20
Fixed
4.31700000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-65, Class ST
38381VLL2
20662208.56000000
PA
USD
3215957.05000000
0.049688158999
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Floating
5.89200100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2017-57, Class SA
3136AXNV3
1331194.58000000
PA
USD
271077.41000000
0.004188282753
Long
ABS-MBS
USGSE
US
N
2
2057-08-25
Floating
5.92486900
N
N
N
N
N
N
Oman Government International Bond
549300SZ20F0QTKNQC75
Sultanate of Oman Government Bond
N/A
4100000.00000000
PA
USD
4015437.50000000
0.062040535321
Long
DBT
NUSS
OM
Y
2
2025-02-01
Fixed
4.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K094, Class X1
3137FMU26
32951368.10000000
PA
USD
2229189.71000000
0.034442105733
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Variable
1.01598500
N
N
N
N
N
N
EMC Corp.
KDMDXRWU7UTJ30FC8R59
EMC Corp.
268648AN2
2695000.00000000
PA
USD
2782587.50000000
0.042992380799
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.37500000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
5000000.00000000
PA
USD
-522122.41000000
-0.00806705466
N/A
DCR
US
N
2
Merrill Lynch
549300J8H1BYG1YAFY05
Markit CMBX North American BBB- 12
Markit CMBX North American BBB- 12
Y
Payout of notional amount upon default event with regard to the reference instrument
2061-08-17
0.00000000
USD
252958.21000000
USD
5000000.00000000
USD
-522122.41000000
N
N
N
Intelsat Jackson Holdings SA
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TBA2
5163000.00000000
PA
USD
3510840.00000000
0.054244249357
Long
DBT
CORP
LU
Y
2
2024-10-15
Fixed
8.50000000
Y
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
750000.00000000
PA
USD
794002.80000000
0.012267743865
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
Ally Financial, Inc.
549300JBN1OSM8YNAI90
Ally Financial, Inc.
36186CBY8
418000.00000000
PA
USD
567844.70000000
0.008773487115
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
8.00000000
N
N
N
N
N
N
Lightstone Holdco LLC
N/A
Lightstone Holdco LLC, 1st Lien Term Loan C
53226GAH4
2455.32000000
PA
USD
2072.27000000
0.000032017617
Long
LON
CORP
US
N
2
2024-01-30
Variable
4.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4717, Class SP
3137FB6P6
34203378.36000000
PA
USD
8375371.00000000
0.129403707654
Long
ABS-MBS
USGSE
US
N
2
2047-08-15
Floating
5.93812100
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust, Series 2020-GC45, Class XA
36258YBJ6
74873655.67000000
PA
USD
3834714.17000000
0.059248268690
Long
ABS-MBS
CORP
US
N
2
2053-02-13
Variable
0.67520500
N
N
N
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397A29
2350000.00000000
PA
USD
2335665.00000000
0.036087202684
Long
DBT
CORP
US
N
2
2023-01-09
Fixed
3.08700000
N
N
N
N
N
N
Shelf Drilling Holdings Ltd.
54930078ZJ3XP4MRYB68
Shelf Drilling Holdings Ltd.
822538AE4
660000.00000000
PA
USD
250800.00000000
0.003874986538
Long
DBT
CORP
KY
Y
2
2025-02-15
Fixed
8.25000000
N
N
N
N
N
N
CCM Merger, Inc.
549300P77RSBKKFME089
CCM Merger, Inc.
14985VAD3
1038000.00000000
PA
USD
1032810.00000000
0.015957435593
Long
DBT
CORP
US
Y
2
2022-03-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K041, Class X3
3137BFEB3
4580000.00000000
PA
USD
278210.27000000
0.004298489039
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Variable
1.69862000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BW8
17085000.00000000
PA
USD
20752722.38000000
0.320640031336
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.87500000
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
071734AJ6
2673000.00000000
PA
USD
2656935.27000000
0.041050990449
Long
DBT
CORP
CA
Y
2
2030-01-30
Fixed
5.25000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust, Series 2020-1, Class B1
03464RAE3
1550000.00000000
PA
USD
1472555.96000000
0.022751732544
Long
ABS-MBS
CORP
US
Y
3
2059-12-25
Variable
3.76400200
N
N
N
N
N
N
FHLMC STACR Trust
5493005RUXPCBST1N217
FHLMC STACR Trust, Series 2018-HQA2, Class B1
35563XBD3
1670000.00000000
PA
USD
1498602.72000000
0.023154168128
Long
ABS-MBS
CORP
US
Y
2
2048-10-25
Floating
4.42513100
N
N
N
N
N
N
Endo Dac
N/A
Endo Dac
29273DAB6
135000.00000000
PA
USD
146137.50000000
0.002257898107
Long
DBT
CORP
US
Y
2
2027-07-31
Fixed
9.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2016-C01, Class 2M2
30711XBU7
4757814.26000000
PA
USD
5020144.44000000
0.077563764458
Long
ABS-MBS
CORP
US
N
2
2028-08-25
Floating
7.12513100
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GCN8
1765000.00000000
PA
USD
1879725.00000000
0.029042699645
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
6.75000000
N
N
N
N
N
N
AMC Entertainment Holdings, Inc.
549300ZO77UNR6NRBR11
AMC Entertainment Holdings, Inc.
00165CAP9
2432000.00000000
PA
USD
900326.40000000
0.013910497130
Long
DBT
CORP
US
Y
2
2026-06-15
Fixed
12.00000000
N
N
Y
N
N
N
QEP Resources, Inc.
Q6JQDZPXKEDQKVK58165
QEP Resources, Inc.
74733VAD2
79000.00000000
PA
USD
50757.50000000
0.000784228984
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
5.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-63, Class BS
38380WUK3
13434536.57000000
PA
USD
2903468.01000000
0.044860045668
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Floating
6.04199900
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2020-2A, Class C
23343RAE8
3437000.00000000
PA
USD
3582059.62000000
0.055344628419
Long
ABS-O
CORP
US
Y
2
2026-03-16
Fixed
3.28000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBD6
480000.00000000
PA
USD
522643.60000000
0.008075107314
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.39000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AS8
5096000.00000000
PA
USD
5270618.98000000
0.081433722475
Long
DBT
CORP
IT
Y
2
2035-06-30
Variable
5.45900000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K114, Class X1
3137FVNJ7
10000000.00000000
PA
USD
940626.00000000
0.014533146282
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.21327900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-65, Class SP
3136B7AL5
39133793.63000000
PA
USD
7351791.87000000
0.113588893660
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
5.87486900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-155
38379U2L9
77918674.30920000
PA
USD
4873883.20000000
0.075303954506
Long
ABS-MBS
USGA
US
N
2
2058-02-16
Variable
0.83327000
N
N
N
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAF9
3380000.00000000
PA
USD
3584422.40000000
0.055381134562
Long
DBT
CORP
US
Y
2
2027-07-31
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series KC03, Class X1
3137FKWE2
99965710.83000000
PA
USD
1791725.42000000
0.027683061735
Long
ABS-MBS
USGSE
US
N
2
2024-11-25
Variable
0.63213500
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPBM4
10531000.00000000
PA
USD
11037119.86000000
0.170529070498
Long
DBT
CORP
US
Y
2
2026-02-15
Fixed
5.75000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust, Series 2018-2A, Class D
68269CAD8
1500000.00000000
PA
USD
1563363.00000000
0.024154747128
Long
ABS-O
CORP
US
Y
3
2033-03-14
Fixed
4.29000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust, Series 2012-GCJ9, Class D
36192PAK2
400000.00000000
PA
USD
359806.84000000
0.005559197214
Long
ABS-MBS
CORP
US
Y
3
2045-11-10
Variable
4.89820700
N
N
N
N
N
N
Nexstar Broadcasting, Inc.
5493006PK6I4I2OOT688
Nexstar Broadcasting, Inc.
65341XAA6
1235000.00000000
PA
USD
1267159.40000000
0.019578252061
Long
DBT
CORP
US
Y
2
2024-08-01
Fixed
5.62500000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust, Series 2020-1, Class A1
24381RAA7
4025313.83000000
PA
USD
4065239.31000000
0.062809998412
Long
ABS-MBS
CORP
US
Y
2
2060-01-25
Variable
2.33899900
N
N
N
N
N
N
Democratic Socialist Republic of Sri Lanka
254900HXCCIOHM74FA02
Democratic Socialist Republic of Sri Lanka
N/A
3800000.00000000
PA
USD
3098187.50000000
0.047868560032
Long
DBT
NUSS
LK
Y
2
2027-05-11
Fixed
6.20000000
N
N
N
N
N
N
Dun & Bradstreet Corp. (The)
RI37BMPWE56BCJ747E14
Dun & Bradstreet Corp. (The)
26483EAJ9
756000.00000000
PA
USD
820260.00000000
0.012673430853
Long
DBT
CORP
US
Y
2
2026-08-15
Fixed
6.87500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
5493002S7XBI8CVRR075
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class E
94989HBR0
3230000.00000000
PA
USD
1999254.04000000
0.030889483620
Long
ABS-MBS
CORP
US
Y
3
2048-05-15
Variable
2.88100100
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABE4
1995000.00000000
PA
USD
2280105.45000000
0.035228779605
Long
DBT
CORP
US
Y
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
DT Auto Owner Trust
54930028PUXRRYF5WB25
DT Auto Owner Trust, Series 2017-4A, Class E
23342LAJ1
1925000.00000000
PA
USD
1969408.02000000
0.030428347552
Long
ABS-O
CORP
US
Y
2
2024-11-15
Fixed
5.15000000
N
N
N
N
N
N
JP Morgan Alternative Loan Trust
N/A
J.P. Morgan Alternative Loan Trust, Series 2006-S3, Class A4
46628VAG1
3258959.88000000
PA
USD
3113734.44000000
0.048108768099
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
6.31000100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, STRIPS, Series 311, Class S1
31325URK4
1583858.38000000
PA
USD
250605.49000000
0.003871981260
Long
ABS-MBS
USGSE
US
N
2
2043-08-15
Floating
5.78812000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-33, Class PI
38381TCG8
209060.02030000
PA
USD
38759.90000000
0.000598860010
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
4.00000000
N
N
N
N
N
N
GLP Capital LP
N/A
GLP Capital LP
361841AK5
250000.00000000
PA
USD
284340.00000000
0.004393196460
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K050, Class X3
3137BLWB0
5232306.00000000
PA
USD
357847.35000000
0.005528922105
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
Variable
1.60620500
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-48
38379KHJ0
3644142.89000000
PA
USD
133922.25000000
0.002069166331
Long
ABS-MBS
USGA
US
N
2
2050-02-16
Variable
0.65837200
N
N
N
N
N
N
Epobuyeritrus3.06
N/A
Epobuyeritrus3.06
N/A
9976402.19000000
PA
USD
9677110.12000000
0.149516233837
Long
ABS-MBS
CORP
US
N
3
2055-04-14
Fixed
3.06000000
N
N
N
N
N
N
Colfax Corp.
635400OP2DYYYMOIYL17
Colfax Corp.
15723RAC8
23000.00000000
PA
USD
24725.00000000
0.000382013724
Long
DBT
CORP
US
Y
2
2026-02-15
Fixed
6.37500000
N
N
N
N
N
N
Grupo KUO SAB de CV
549300WIYIAVCFZI6Z04
Grupo KUO SAB de CV
40052CAC0
1100000.00000000
PA
USD
1035031.25000000
0.015991755026
Long
DBT
CORP
MX
Y
2
2027-07-07
Fixed
5.75000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
N/A
900000.00000000
PA
USD
947595.60000000
0.014640830119
Long
DBT
CORP
NL
Y
2
2022-04-16
Variable
6.87499900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2016-43, Class MI
3136ASWZ5
524384.32000000
PA
USD
80218.84000000
0.001239421551
Long
ABS-MBS
USGSE
US
N
2
2045-10-25
Fixed
4.00000000
N
N
N
N
N
N
Peabody Energy Corp.
EJCO258LNNVSKAR2JX59
Peabody Energy Corp.
70457LAA2
50000.00000000
PA
USD
23250.00000000
0.000359224230
Long
DBT
CORP
US
Y
2
2022-03-31
Fixed
6.00000000
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2018-2, Class A
12326RAA0
15383837.99000000
PA
USD
15381542.72000000
0.237652595618
Long
ABS-O
CORP
US
Y
2
2033-06-15
Fixed
4.44700000
N
N
N
N
N
N
MSCI, Inc.
549300HTIN2PD78UB763
MSCI, Inc.
55354GAF7
2543000.00000000
PA
USD
2745715.25000000
0.042422685933
Long
DBT
CORP
US
Y
2
2027-05-15
Fixed
5.37500000
N
N
N
N
N
N
DKT Finance ApS
529900CPZ2SMDPG5RV48
DKT Finance ApS
255882AA0
1150000.00000000
PA
USD
1158625.00000000
0.017901340821
Long
DBT
CORP
DK
Y
2
2023-06-17
Fixed
9.37500000
N
N
N
N
N
N
CenturyLink, Inc.
8M3THTGWLTYZVE6BBY25
CenturyLink, Inc.
156700BB1
6300000.00000000
PA
USD
6533257.50000000
0.100942124660
Long
DBT
CORP
US
Y
2
2026-12-15
Fixed
5.12500000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust, Series 2007-AR21, Class 6A1
45670BAL3
16683556.44000000
PA
USD
13737667.47000000
0.212253893605
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
3.28913600
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class X3
3137FEBT6
20640000.00000000
PA
USD
2687872.90000000
0.041528992442
Long
ABS-MBS
USGSE
US
N
2
2045-12-25
Variable
2.20556900
N
N
N
N
N
N
Brink's Co. (The)
XFP140TFNOQMIVFTVQ13
Brink's Co. (The)
109696AA2
995000.00000000
PA
USD
1033257.75000000
0.015964353556
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
4.62500000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2007-5, Class 4A1
059523AL4
458831.31000000
PA
USD
293388.21000000
0.004532995870
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.54513000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-32, Class PI
3136B4YN2
2256867.70000000
PA
USD
365396.81000000
0.005645565071
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Fixed
5.00000000
N
N
N
N
N
N
Republic of El Salvador
529900AKDMUSFSDOM949
Republic of El Salvador
N/A
3700000.00000000
PA
USD
3182000.00000000
0.049163505444
Long
DBT
NUSS
SV
Y
2
2050-01-20
Fixed
7.12460000
N
N
N
N
N
N
AMC Entertainment Holdings, Inc.
549300ZO77UNR6NRBR11
AMC Entertainment Holdings, Inc.
00165CAR5
915000.00000000
PA
USD
786900.00000000
0.012158002022
Long
DBT
CORP
US
Y
2
2026-04-24
Fixed
10.50000000
N
N
N
N
N
N
Genesis Energy LP
N/A
Genesis Energy LP
37185LAK8
455000.00000000
PA
USD
384647.90000000
0.005943004125
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
6.25000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
N/A
1100000.00000000
PA
USD
980890.68000000
0.015155255903
Long
DBT
NUSS
MX
Y
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4769
3137FEE48
6097689.82000000
PA
USD
625310.16000000
0.009661357465
Long
ABS-MBS
USGSE
US
N
2
2047-09-15
Fixed
4.00000000
N
N
N
N
N
N
Accelerated Assets LLC
N/A
Accelerated Assets LLC, Series 2018-1, Class B
00436MAB1
374809.69000000
PA
USD
374991.14000000
0.005793802310
Long
ABS-O
CORP
US
Y
3
2033-12-02
Fixed
4.51000000
N
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust, Series 2005-3, Class 2A1
05948KYR4
3558.60000000
PA
USD
3533.20000000
0.000054589722
Long
ABS-MBS
CORP
US
N
2
2020-04-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4931, Class SY
3137FPXH3
30842789.42000000
PA
USD
5704355.40000000
0.088135169001
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
5.88812000
N
N
N
N
N
N
AmeriGas Partners LP
N/A
AmeriGas Partners LP
030981AJ3
2038000.00000000
PA
USD
2309451.41000000
0.035682189493
Long
DBT
CORP
US
N
2
2026-08-20
Fixed
5.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-40
38379UMP8
46028568.67000000
PA
USD
1925554.54000000
0.029750789161
Long
ABS-MBS
USGA
US
N
2
2057-07-16
Variable
0.69343900
N
N
N
N
N
N
Telecom Italia Capital SA
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAV0
860000.00000000
PA
USD
1198177.80000000
0.018512451537
Long
DBT
CORP
LU
N
2
2038-06-04
Fixed
7.72100000
N
N
N
N
N
N
AmeriGas Partners LP
N/A
AmeriGas Partners LP
030981AL8
277000.00000000
PA
USD
312012.80000000
0.004820755182
Long
DBT
CORP
US
N
2
2027-05-20
Fixed
5.75000000
N
N
N
N
N
N
FHLMC
N/A
FHLMC Multiclass Certificates, Series 2020-RR06, Class BX
3137FRV99
20000000.00000000
PA
USD
3253504.00000000
0.050268278320
Long
ABS-MBS
USGSE
US
N
2
2033-05-27
Variable
1.83575200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-23
38380NY52
141703109.91000000
PA
USD
10015575.81000000
0.154745699516
Long
ABS-MBS
USGA
US
N
2
2062-04-16
Variable
0.79355200
N
N
N
N
N
N
NCR Corp.
549300YKTY8JX1DV2R67
NCR Corp.
62886EAY4
1204000.00000000
PA
USD
1213030.00000000
0.018741925521
Long
DBT
CORP
US
Y
2
2028-10-01
Fixed
5.00000000
N
N
N
N
N
N
Uniti Group LP
N/A
Uniti Group LP
20341WAE5
65000.00000000
PA
USD
62482.55000000
0.000965386922
Long
DBT
CORP
US
Y
2
2024-12-15
Fixed
7.12500000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A
05377RDQ4
13500000.00000000
PA
USD
13783603.95000000
0.212963635398
Long
ABS-O
CORP
US
Y
2
2026-03-20
Fixed
2.36000000
N
N
N
N
N
N
Transcanada Trust
N/A
Transcanada Trust
89356BAE8
6000000.00000000
PA
USD
6390000.00000000
0.098728724006
Long
DBT
CORP
CA
N
2
2079-09-15
Variable
5.50000100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K111, Class X3
3137FUZF4
16504918.00000000
PA
USD
3983721.09000000
0.061550500784
Long
ABS-MBS
USGSE
US
N
2
2048-04-25
Variable
3.28559000
N
N
N
N
N
N
Masonite International Corp.
549300H0H07ZFT4JYM32
Masonite International Corp.
575385AD1
2710000.00000000
PA
USD
2899700.00000000
0.044801828012
Long
DBT
CORP
CA
Y
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2015-GC31, Class D
17323YAJ8
3800000.00000000
PA
USD
3363283.48000000
0.051964426674
Long
ABS-MBS
CORP
US
N
3
2048-06-10
Variable
4.19064500
N
N
N
N
N
N
TEGNA, Inc.
549300YC5EDBGX85AO10
TEGNA, Inc.
87901JAC9
2090000.00000000
PA
USD
2102247.40000000
0.032480782996
Long
DBT
CORP
US
Y
2
2029-09-15
Fixed
5.00000000
N
N
N
N
N
N
RBS Global, Inc.
N/A
RBS Global, Inc.
75524DAP5
2525000.00000000
PA
USD
2584968.75000000
0.039939071406
Long
DBT
CORP
US
Y
2
2025-12-15
Fixed
4.87500000
N
N
N
N
N
N
Staples, Inc.
XQM2JINI1UL7642TU573
Staples, Inc.
855030AN2
8935000.00000000
PA
USD
7953937.00000000
0.122892339724
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
7.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KF63, Class B
30311FAC1
2982405.05000000
PA
USD
2786958.80000000
0.043059919590
Long
ABS-MBS
USGSE
US
Y
2
2029-05-25
Floating
2.50488000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4714, Class SA
3137F2MJ2
987527.18000000
PA
USD
211348.89000000
0.003265446984
Long
ABS-MBS
USGSE
US
N
2
2047-08-15
Floating
5.98812100
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2018-HQA1, Class B1
3137G0UX5
7510000.00000000
PA
USD
6833532.24000000
0.105581520894
Long
ABS-MBS
CORP
US
N
2
2030-09-25
Floating
4.52513200
N
N
N
N
N
N
Eagle RE Ltd.
254900L82OLW9QTLJ788
Eagle RE Ltd., Series 2019-1, Class M2
269822AC6
2240000.00000000
PA
USD
2136076.54000000
0.033003460277
Long
ABS-MBS
CORP
BM
Y
3
2029-04-25
Floating
3.47513000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-86
38379RB77
9649179.76000000
PA
USD
535424.30000000
0.008272575577
Long
ABS-MBS
USGA
US
N
2
2059-05-16
Variable
0.78367000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4919, Class SH
3137FPA39
28293776.94000000
PA
USD
4412103.28000000
0.068169221755
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Floating
5.83812000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119CA5
1515000.00000000
PA
USD
1588822.48000000
0.024548108939
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
Toll Brothers Finance Corp.
N/A
Toll Brothers Finance Corp.
88947EAU4
595000.00000000
PA
USD
627725.00000000
0.009698667961
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
3.80000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2020-M10, Class X6
3136B9EF0
37000000.00000000
PA
USD
3504991.50000000
0.054153887081
Long
ABS-MBS
USGSE
US
N
2
2028-08-25
Variable
1.49710000
N
N
N
N
N
N
PMT Credit Risk Transfer Trust
N/A
PMT Credit Risk Transfer Trust, Series 2019-2R, Class A
69345WAA6
2352028.89000000
PA
USD
2202180.42000000
0.034024798575
Long
ABS-MBS
CORP
US
Y
2
2023-05-27
Floating
2.92025200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-155
38380NXA2
181808980.52000000
PA
USD
11855054.56000000
0.183166574293
Long
ABS-MBS
USGA
US
N
2
2061-07-16
Variable
0.67025200
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4670, Class TI
3137BWFF6
937088.35000000
PA
USD
104794.40000000
0.001619126352
Long
ABS-MBS
USGSE
US
N
2
2044-01-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C04, Class 2M2
30711XR63
4439411.55000000
PA
USD
4392259.67000000
0.067862627969
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
2.72513200
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4585, Class JI
3137BPGA1
457859.36320000
PA
USD
66757.22000000
0.001031432730
Long
ABS-MBS
USGSE
US
N
2
2045-05-15
Fixed
4.00000000
N
N
N
N
N
N
MGM Growth Properties Operating Partnership LP
N/A
MGM Growth Properties Operating Partnership LP
55303XAJ4
2400000.00000000
PA
USD
2655000.00000000
0.041021089552
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.75000000
N
N
N
N
N
N
Instituto Costarricense de Electricidad
5493009VA6AFUB2Q0289
Instituto Costarricense de Electricidad
N/A
240000.00000000
PA
USD
186075.00000000
0.002874952632
Long
DBT
NUSS
CR
Y
2
2043-05-15
Fixed
6.37500000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2020-BN25, Class XA
06539WBC9
191924346.61000000
PA
USD
13123575.70000000
0.202765865925
Long
ABS-MBS
CORP
US
N
2
2063-01-15
Variable
0.88775300
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2017-3A, Class C
30165YAE3
773000.00000000
PA
USD
788303.70000000
0.012179689895
Long
ABS-O
CORP
US
Y
2
2023-07-17
Fixed
3.68000000
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GCU2
3302000.00000000
PA
USD
3368040.00000000
0.052037917308
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.12500000
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAA3
3443000.00000000
PA
USD
3520467.50000000
0.054392999089
Long
DBT
CORP
US
Y
2
2026-12-01
Fixed
4.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3145, Class GI
31396NCP9
2551359.88000000
PA
USD
555049.87000000
0.008575800536
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
Floating
6.43812100
N
N
N
N
N
N
Quicken Loans LLC
549300FGXN1K3HLB1R50
Quicken Loans LLC
74840LAA0
983000.00000000
PA
USD
1012490.00000000
0.015643481341
Long
DBT
CORP
US
Y
2
2025-05-01
Fixed
5.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-163, Class HS
38380KSX4
17044028.82000000
PA
USD
3147999.74000000
0.048638184272
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Floating
6.04199900
N
N
N
N
N
N
Standard Industries, Inc.
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AH0
1064000.00000000
PA
USD
1056020.00000000
0.016316041803
Long
DBT
CORP
US
Y
2
2031-01-15
Fixed
3.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-32
38380M2B6
111682794.76010000
PA
USD
7913061.06000000
0.122260785827
Long
ABS-MBS
USGA
US
N
2
2061-05-16
Variable
0.65689900
N
N
N
N
N
N
Republic of Kenya
549300VVURQQYU45PR87
Republic of Kenya
N/A
1400000.00000000
PA
USD
1435000.00000000
0.022171474014
Long
DBT
NUSS
KE
Y
2
2032-05-22
Fixed
8.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-146
38379R6G3
51633735.19000000
PA
USD
2905182.44000000
0.044886534476
Long
ABS-MBS
USGA
US
N
2
2057-09-16
Variable
0.76320000
N
N
N
N
N
N
Ahern Rentals, Inc.
N/A
Ahern Rentals, Inc.
008674AH6
835000.00000000
PA
USD
346525.00000000
0.005353986085
Long
DBT
CORP
US
Y
2
2023-05-15
Fixed
7.37500000
N
N
N
N
N
N
Parsley Energy LLC
N/A
Parsley Energy LLC
701885AF2
2500000.00000000
PA
USD
2567475.00000000
0.039668784142
Long
DBT
CORP
US
Y
2
2025-08-15
Fixed
5.25000000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust, Series 2018-1A, Class C
52603VAC7
1305000.00000000
PA
USD
1339111.66000000
0.020689950781
Long
ABS-O
CORP
US
Y
2
2026-12-21
Fixed
5.03000000
N
N
N
N
N
N
Renaissance Home Equity Loan Trust
N/A
Renaissance Home Equity Loan Trust, Series 2005-2, Class M1
75970NAP2
577567.67000000
PA
USD
618746.11000000
0.009559939581
Long
ABS-O
CORP
US
N
3
2035-08-25
Variable
5.05100200
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2014-UBS2, Class D
12591UAP8
3210000.00000000
PA
USD
2647829.49000000
0.040910301554
Long
ABS-MBS
CORP
US
Y
3
2047-03-10
Variable
5.15930400
N
N
N
N
N
N
Avantor Funding, Inc.
5493003VM0XB4U8YD238
Avantor Funding, Inc.
05352TAA7
2257000.00000000
PA
USD
2387228.90000000
0.036883890955
Long
DBT
CORP
US
Y
2
2028-07-15
Fixed
4.62500000
N
N
N
N
N
N
United Rentals North America, Inc.
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911365BF0
5925000.00000000
PA
USD
6338861.25000000
0.097938604517
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HRQD5
524607.75000000
PA
USD
580490.82000000
0.008968876049
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
292.00000000
NC
USD
-10503.93000000
-0.00016229101
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 10 Year Note
2020-12-21
40633625.00000000
USD
-10503.93000000
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAC9
590000.00000000
PA
USD
591038.40000000
0.009131841482
Long
DBT
CORP
US
Y
2
2025-02-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4995, Class SB
3137FUY57
20636511.08000000
PA
USD
4965365.38000000
0.076717400343
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Floating
5.93812100
N
N
N
N
N
N
MEG Energy Corp.
5493002WXPTG5ZC1T326
MEG Energy Corp.
552704AD0
3949000.00000000
PA
USD
4027980.00000000
0.062234323274
Long
DBT
CORP
CA
Y
2
2025-01-15
Fixed
6.50000000
N
N
N
N
N
N
CF Hippolyta LLC
N/A
CF Hippolyta LLC, Series 2020-1, Class B1
12530MAC9
4450000.00000000
PA
USD
4534002.21000000
0.070052621727
Long
ABS-O
CORP
US
Y
2
2060-07-15
Fixed
2.28000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K088, Class X3
3137FL6H2
59033525.00000000
PA
USD
9487236.48000000
0.146582590300
Long
ABS-MBS
USGSE
US
N
2
2047-02-25
Variable
2.42434800
N
N
N
N
N
N
Goodyear Tire & Rubber Co. (The)
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co. (The)
382550BF7
503000.00000000
PA
USD
504664.93000000
0.007797327791
Long
DBT
CORP
US
N
2
2026-05-31
Fixed
5.00000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBH7
6530000.00000000
PA
USD
7091077.84000000
0.109560730356
Long
DBT
CORP
US
N
2
2029-09-06
Fixed
3.46200000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-69
38379RYE7
15242606.25000000
PA
USD
868464.26000000
0.013418210991
Long
ABS-MBS
USGA
US
N
2
2059-07-16
Variable
0.80065100
N
N
N
N
N
N
Federal Republic of Nigeria
549300GSBZD84TNEQ285
Federal Republic of Nigeria
N/A
5100000.00000000
PA
USD
5127093.75000000
0.079216185258
Long
DBT
NUSS
NG
Y
2
2030-02-23
Fixed
7.14300000
N
N
N
N
N
N
Sierra Timeshare Receivables Funding LLC
N/A
Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class D
82652MAD2
2078660.92000000
PA
USD
2001337.64000000
0.030921676291
Long
ABS-O
CORP
US
Y
3
2036-05-20
Fixed
4.54000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-146, Class NS
38380AT72
6792510.33000000
PA
USD
1592659.60000000
0.024607394379
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Floating
5.94200200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-110
38378XGD7
25648626.98000000
PA
USD
898196.96000000
0.013877596207
Long
ABS-MBS
USGA
US
N
2
2057-01-16
Variable
0.67894900
N
N
N
N
N
N
XPO Logistics, Inc.
54930096DB9LCLPN7H13
XPO Logistics, Inc.
983793AF7
3005000.00000000
PA
USD
3053831.25000000
0.047183233590
Long
DBT
CORP
US
Y
2
2023-09-01
Fixed
6.12500000
N
N
N
N
N
N
Whiting Petroleum Corp.
52990028CHK9KUB1B293
Whiting Petroleum Corp.
966387BG6
797000.00000000
PA
USD
187295.00000000
0.002893802247
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.62500000
Y
N
N
N
N
N
Westgate Resorts LLC
N/A
Westgate Resorts LLC, Series 2020-1A, Class C
96034LAE1
11771513.82000000
PA
USD
12169094.34000000
0.188018647340
Long
ABS-O
CORP
US
Y
3
2034-03-20
Fixed
6.21300000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-23CB, Class A7
12667GLH4
28165.70000000
PA
USD
26942.20000000
0.000416270583
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K731, Class X3
3137F4X49
11528628.00000000
PA
USD
974268.21000000
0.015052935401
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Variable
2.17662100
N
N
N
N
N
N
GLS Auto Receivables Issuer Trust
N/A
GLS Auto Receivables Issuer Trust, Series 2019-2A, Class D
36257NAD5
1000000.00000000
PA
USD
1005700.30000000
0.015538577050
Long
ABS-O
CORP
US
Y
2
2026-02-17
Fixed
4.52000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-125, Class SU
38380Y8D0
25199583.30000000
PA
USD
4907765.01000000
0.075827445565
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
6.04199900
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599EA9
3112000.00000000
PA
USD
3516560.00000000
0.054332626243
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
8.87500000
N
N
N
N
N
N
HERO Funding II
N/A
HERO Funding II, Series 2016-4B, Class B
42771VAA8
372728.65000000
PA
USD
381180.50000000
0.005889431045
Long
ABS-O
CORP
KY
Y
3
2047-09-20
Fixed
4.99000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-132, Class SK
38381Y4X9
27889073.87000000
PA
USD
4249212.76000000
0.065652481037
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Floating
5.89200100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4212, Class MI
3137B2RB8
2181325.24000000
PA
USD
221190.09000000
0.003417498489
Long
ABS-MBS
USGSE
US
N
2
2033-06-15
Fixed
3.00000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2019-4, Class C
33845FAE6
4100000.00000000
PA
USD
4238025.27000000
0.065479628672
Long
ABS-O
CORP
US
Y
2
2025-12-15
Fixed
2.77000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-106
38380MDA6
26687876.26000000
PA
USD
1358367.53000000
0.020987463688
Long
ABS-MBS
USGA
US
N
2
2060-04-16
Variable
0.48919000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K723, Class X3
3137BSPZ0
6850000.00000000
PA
USD
359453.75000000
0.005553741796
Long
ABS-MBS
USGSE
US
N
2
2034-10-25
Variable
1.98456100
N
N
N
N
N
N
Golden Bear LLC
N/A
Golden Bear LLC, Series 2016-R, Class R
380797AA8
777976.50000000
PA
USD
768362.27000000
0.011871584740
Long
ABS-O
CORP
US
Y
3
2047-09-20
Fixed
5.65000000
N
N
N
N
N
N
Clearway Energy Operating LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
18539UAB1
55000.00000000
PA
USD
58300.00000000
0.000900764414
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.75000000
N
N
N
N
N
N
Ensemble RCM LLC
N/A
Ensemble RCM LLC, 1st Lien Term Loan
29359BAB7
89225.75000000
PA
USD
88355.80000000
0.001365141688
Long
LON
CORP
US
N
2
2026-08-03
Variable
4.01063000
N
N
N
N
N
N
CenturyLink, Inc.
8M3THTGWLTYZVE6BBY25
CenturyLink, Inc., Series Y
156700BA3
3707000.00000000
PA
USD
4202811.25000000
0.064935554296
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
7.50000000
N
N
N
N
N
N
Service Corp. International
549300RKVM2ME20JHZ15
Service Corp. International
817565BT0
535000.00000000
PA
USD
647350.00000000
0.010001884113
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
7.50000000
N
N
N
N
N
N
CAMB Commercial Mortgage Trust
N/A
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class G
12482HAS3
1000000.00000000
PA
USD
951966.60000000
0.014708364274
Long
ABS-MBS
CORP
US
Y
3
2037-12-15
Floating
3.41187800
N
N
N
N
N
N
Kabbage Funding LLC
N/A
Kabbage Funding LLC, Series 2019-1, Class B
48283PAF8
1000000.00000000
PA
USD
958500.00000000
0.014809308600
Long
ABS-O
CORP
US
Y
3
2024-03-15
Fixed
4.07100000
N
N
N
N
N
N
Huntsman International LLC
3YTEJFW18LGIUQ2N5J61
Huntsman International LLC
44701QBD3
200000.00000000
PA
USD
214998.91000000
0.003321841634
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
5.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-157
38379U2A3
36145915.55000000
PA
USD
2258631.75000000
0.034897000106
Long
ABS-MBS
USGA
US
N
2
2057-11-16
Variable
0.92403000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-172
38378XB83
40810507.10000000
PA
USD
1298794.39000000
0.020067028618
Long
ABS-MBS
USGA
US
N
2
2049-01-16
Variable
0.71201200
N
N
N
N
N
N
Encompass Health Corp.
549300FVRPM9DRQZRG64
Encompass Health Corp.
421924BT7
1960000.00000000
PA
USD
2027228.00000000
0.031321695416
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
5.75000000
N
N
N
N
N
N
Republic of Costa Rica
549300S1EK2VN6XVJP58
Republic of Costa Rica
N/A
1200000.00000000
PA
USD
985200.00000000
0.015221837072
Long
DBT
NUSS
CR
Y
2
2043-04-30
Fixed
5.62500000
N
N
N
N
N
N
Lendmark Funding Trust
549300PMR5HYNUPR5R97
Lendmark Funding Trust, Series 2019-1A, Class D
52604FAD9
3000000.00000000
PA
USD
2382564.60000000
0.036811825167
Long
ABS-O
CORP
US
Y
3
2027-12-20
Fixed
5.34000000
N
N
N
N
N
N
Wyndham Destinations, Inc.
T4VNTWMFQ7JQB65L7T35
Wyndham Destinations, Inc.
98310WAM0
143000.00000000
PA
USD
150150.00000000
0.002319893256
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.35000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4612, Class QI
3137BRSR7
727394.72530000
PA
USD
64573.96000000
0.000997700262
Long
ABS-MBS
USGSE
US
N
2
2044-05-15
Fixed
3.50000000
N
N
N
N
N
N
Live Nation Entertainment, Inc.
5493007B9BM9ZXJINO78
Live Nation Entertainment, Inc.
538034AN9
643000.00000000
PA
USD
633355.00000000
0.009785654302
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
5.62500000
N
N
N
N
N
N
Sprint Capital Corp.
549300L17W0GQBR1PO80
Sprint Capital Corp.
852060AT9
12816000.00000000
PA
USD
19357767.00000000
0.299087266905
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
GLS Auto Receivables Issuer Trust
N/A
GLS Auto Receivables Issuer Trust, Series 2019-4A, Class D
36258HAG0
950000.00000000
PA
USD
948598.37000000
0.014656323421
Long
ABS-O
CORP
US
Y
2
2026-08-17
Fixed
4.09000000
N
N
N
N
N
N
Multifamily Connecticut Avenue Securities Trust
549300HG8ZEWVWVSN227
Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M7
62547NAA7
6622395.27000000
PA
USD
6359035.19000000
0.098250302069
Long
ABS-MBS
CORP
US
Y
3
2049-10-15
Floating
1.87512800
N
N
N
N
N
N
Gray Television, Inc.
529900TM5726KDN7UU35
Gray Television, Inc.
389375AK2
109000.00000000
PA
USD
111429.61000000
0.001721643695
Long
DBT
CORP
US
Y
2
2024-10-15
Fixed
5.12500000
N
N
N
N
N
N
Mallinckrodt International Finance SA
N/A
Mallinckrodt International Finance SA
561233AC1
225000.00000000
PA
USD
45000.00000000
0.000695272704
Long
DBT
CORP
LU
Y
2
2025-04-15
Fixed
5.50000000
N
N
N
N
N
N
TEGNA, Inc.
549300YC5EDBGX85AO10
TEGNA, Inc.
87901JAE5
1360000.00000000
PA
USD
1373600.00000000
0.021222813035
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
4.62500000
N
N
N
N
N
N
Lendmark Funding Trust
549300PMR5HYNUPR5R97
Lendmark Funding Trust, Series 2019-1A, Class C
52604FAC1
800000.00000000
PA
USD
690667.36000000
0.010671159180
Long
ABS-O
CORP
US
Y
3
2027-12-20
Fixed
3.90000000
N
N
N
N
N
N
OBX Trust
N/A
OBX Trust, Series 2020-INV1, Class A11
67113CAL0
3760116.53000000
PA
USD
3732595.11000000
0.057670477690
Long
ABS-MBS
CORP
US
Y
2
2049-12-25
Floating
1.07512900
N
N
N
N
N
N
DISH DBS Corp.
N/A
DISH DBS Corp.
25470XAE5
730000.00000000
PA
USD
748250.00000000
0.011560840021
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
6.75000000
N
N
N
N
N
N
PBF Holding Co. LLC
N/A
PBF Holding Co. LLC
69318FAH1
3460000.00000000
PA
USD
2917645.00000000
0.045079087316
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
6.00000000
N
N
N
N
N
N
GCP Applied Technologies, Inc.
5493007G654QKQVEKV09
GCP Applied Technologies, Inc.
36164YAB7
3485000.00000000
PA
USD
3624400.00000000
0.055998808652
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-14
38380NK73
158325674.96000000
PA
USD
11370285.01000000
0.175676640161
Long
ABS-MBS
USGA
US
N
2
2062-02-16
Variable
0.75505000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2011-78, Class JS
3136A0UA3
3081306.39270000
PA
USD
692352.29000000
0.010697192199
Long
ABS-MBS
USGSE
US
N
2
2041-08-25
Floating
5.82486800
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2019-SFR3, Class E
74332WAJ2
6100000.00000000
PA
USD
6246684.87000000
0.096514432940
Long
ABS-O
CORP
US
Y
3
2036-09-17
Fixed
3.36900000
N
N
N
N
N
N
IQVIA, Inc.
549300PLWY28YB00C717
IQVIA, Inc.
46266TAA6
2912000.00000000
PA
USD
3065185.76000000
0.047358666498
Long
DBT
CORP
US
Y
2
2027-05-15
Fixed
5.00000000
N
N
N
N
N
N
Matador Resources Co.
549300CI3Q2UUK5R4G79
Matador Resources Co.
576485AE6
455000.00000000
PA
USD
395850.00000000
0.006116082221
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.87500000
N
N
N
N
N
N
Park Aerospace Holdings Ltd.
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd.
70014LAB6
990000.00000000
PA
USD
975989.90000000
0.015079536380
Long
DBT
CORP
KY
Y
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4550, Class DI
3137BMZ33
484657.52260000
PA
USD
50862.04000000
0.000785844179
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-9, Class 1A1
86364JAA5
2564488.64000000
PA
USD
2376326.21000000
0.036715438894
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
1.81487900
N
N
N
N
N
N
Pilgrim's Pride Corp.
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp.
72147KAE8
397000.00000000
PA
USD
421812.50000000
0.006517215946
Long
DBT
CORP
US
Y
2
2027-09-30
Fixed
5.87500000
N
N
N
N
N
N
University of California
N/A
Regents of the University of California
91412F7Y7
140000.00000000
PA
USD
206320.80000000
0.003187760456
Long
DBT
MUN
US
N
2
2043-05-15
Fixed
5.77000000
N
N
N
N
N
N
Par Pharmaceutical, Inc.
549300KK5WR4MGN4YT97
Par Pharmaceutical, Inc.
69888XAA7
5830000.00000000
PA
USD
6223525.00000000
0.096156601263
Long
DBT
CORP
US
Y
2
2027-04-01
Fixed
7.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2018-KC02, Class B
30297FAH8
2520000.00000000
PA
USD
2537317.69000000
0.039202838487
Long
ABS-MBS
USGSE
US
Y
2
2025-07-25
Variable
4.21750400
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAE5
2240000.00000000
PA
USD
2244928.00000000
0.034685270254
Long
DBT
CORP
US
Y
2
2030-08-15
Fixed
4.12500000
N
N
N
N
N
N
Sprint Corp.
549300ZTTY7CXOLJ6539
Sprint Corp.
85207UAK1
17132000.00000000
PA
USD
21069190.58000000
0.325529624697
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
7.62500000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2017-4, Class D
33843RAG7
175000.00000000
PA
USD
179578.60000000
0.002774579974
Long
ABS-O
CORP
US
Y
2
2024-01-15
Fixed
3.58000000
N
N
N
N
N
N
Frontier Communications Corp.
549300ZCZ76HYCS0H445
Frontier Communications Corp.
35906AAQ1
357000.00000000
PA
USD
142391.24000000
0.002200016499
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
6.87500000
Y
N
N
N
N
N
FREED ABS Trust
N/A
FREED ABS Trust, Series 2020-FP1, Class C
35634TAC0
5000000.00000000
PA
USD
4748947.00000000
0.073373627180
Long
ABS-O
CORP
US
Y
3
2027-03-18
Fixed
4.37000000
N
N
N
N
N
N
Prestige Brands, Inc.
549300JBVP4J6D42I235
Prestige Brands, Inc.
74112BAK1
3750000.00000000
PA
USD
3871087.50000000
0.059810254991
Long
DBT
CORP
US
Y
2
2024-03-01
Fixed
6.37500000
N
N
N
N
N
N
Hill-Rom Holdings, Inc.
JLZ01A0E2071OH26RE45
Hill-Rom Holdings, Inc.
431475AD4
3560000.00000000
PA
USD
3722211.40000000
0.057510044132
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
4.37500000
N
N
N
N
N
N
GLS Auto Receivables Issuer Trust
N/A
GLS Auto Receivables Issuer Trust, Series 2020-1A, Class C
36258XAC4
5000000.00000000
PA
USD
5063991.00000000
0.078241215932
Long
ABS-O
CORP
US
Y
2
2025-11-17
Fixed
2.72000000
N
N
N
N
N
N
William Carter Co. (The)
TGI2A0HXEYNQPU7TYV27
William Carter Co. (The)
96926JAC1
3510000.00000000
PA
USD
3728953.80000000
0.057614217614
Long
DBT
CORP
US
Y
2
2027-03-15
Fixed
5.62500000
N
N
N
N
N
N
Scientific Games International, Inc.
RLTHESQ0RNFQJWPBJN60
Scientific Games International, Inc.
80874YAW0
4321000.00000000
PA
USD
4275110.98000000
0.066052621602
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
5.00000000
N
N
N
N
N
N
Builders FirstSource, Inc.
549300W0SKP6L3H7DP63
Builders FirstSource, Inc.
12008RAM9
1696000.00000000
PA
USD
1848640.00000000
0.028562420711
Long
DBT
CORP
US
Y
2
2027-06-01
Fixed
6.75000000
N
N
N
N
N
N
SBALR Commercial Mortgage Trust
N/A
SBALR Commercial Mortgage Trust, Series 2020-RR1, Class D
78397EAU0
4750000.00000000
PA
USD
3465533.98000000
0.053544248489
Long
ABS-MBS
CORP
US
Y
3
2053-02-13
Variable
4.06103000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BT5
145000.00000000
PA
USD
171116.16000000
0.002643831006
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.25000000
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAJ0
421000.00000000
PA
USD
433032.18000000
0.006690565662
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.75000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2020-HR8, Class XA
61692BBU3
31345121.48000000
PA
USD
4599802.54000000
0.071069270024
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Variable
1.97332900
N
N
N
N
N
N
Westlake Automobile Receivables Trust
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust, Series 2018-3A, Class F
96042GAQ5
3690000.00000000
PA
USD
3683792.31000000
0.056916449807
Long
ABS-O
CORP
US
Y
2
2025-02-18
Fixed
6.02000000
N
N
N
N
N
N
Transocean Pontus Ltd.
N/A
Transocean Pontus Ltd.
89382PAA3
4650360.00000000
PA
USD
4164490.39000000
0.064343477674
Long
DBT
CORP
KY
Y
2
2025-08-01
Fixed
6.12500000
N
N
N
N
N
N
Masonite International Corp.
549300H0H07ZFT4JYM32
Masonite International Corp.
575385AB5
3330000.00000000
PA
USD
3496033.80000000
0.054015486096
Long
DBT
CORP
CA
Y
2
2026-09-15
Fixed
5.75000000
N
N
N
N
N
N
Indonesia Asahan Aluminium Persero PT
2549008P48EB9SN2OI80
Indonesia Asahan Aluminium Persero PT
N/A
1050000.00000000
PA
USD
1305150.00000000
0.020165225999
Long
DBT
NUSS
ID
Y
2
2028-11-15
Fixed
6.53000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4160
3137AXUK7
1687772.00000000
PA
USD
168018.04000000
0.002595963489
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
3.00000000
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
91911KAP7
5295000.00000000
PA
USD
5796436.50000000
0.089557868455
Long
DBT
CORP
CA
Y
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-1, Class E
02528CAJ1
1035000.00000000
PA
USD
1066011.08000000
0.016470409030
Long
ABS-O
CORP
US
Y
2
2025-04-14
Fixed
4.84000000
N
N
N
N
N
N
Hertz Corp. (The)
549300PD0C69OJ0NLB27
Hertz Corp. (The)
428040CN7
185000.00000000
PA
USD
75159.95000000
0.001161259148
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
6.25000000
Y
N
N
N
N
N
CIT Group, Inc.
N8O96ZZJQRFYQUJY7K79
CIT Group, Inc.
125581GW2
1094000.00000000
PA
USD
1192460.00000000
0.018424108643
Long
DBT
CORP
US
N
2
2025-03-07
Fixed
5.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-42, Class SJ
38381TF59
13418702.35000000
PA
USD
1943759.42000000
0.030032063742
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Floating
5.89200100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K-1510, Class X3
3137FL2P8
24400217.00000000
PA
USD
7244709.91000000
0.111934423350
Long
ABS-MBS
USGSE
US
N
2
2037-01-25
Variable
3.51657700
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBG6
2230000.00000000
PA
USD
2279684.40000000
0.035222274170
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4925, Class SA
3137FPCA1
41475207.20000000
PA
USD
7723670.69000000
0.119334609056
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Floating
5.88812000
N
N
N
N
N
N
Hertz Corp. (The)
549300PD0C69OJ0NLB27
Hertz Corp. (The)
428040CS6
5875000.00000000
PA
USD
2379375.00000000
0.036762544238
Long
DBT
CORP
US
Y
2
2024-10-15
Fixed
5.50000000
Y
N
N
N
N
N
IRB Holding Corp.
549300HVW4WNWYBXN830
IRB Holding Corp.
44988MAA3
858000.00000000
PA
USD
871942.50000000
0.013471951554
Long
DBT
CORP
US
Y
2
2026-02-15
Fixed
6.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-6, Class CS
38380U4S9
6633388.98000000
PA
USD
1501834.42000000
0.023204099523
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Floating
6.04199900
N
N
N
N
N
N
Glencore Finance Canada Ltd.
5493005TTO0UJ33KCK70
Glencore Finance Canada Ltd.
98417EAN0
65000.00000000
PA
USD
77235.92000000
0.001193333932
Long
DBT
CORP
CA
Y
2
2041-11-15
Fixed
6.00000000
N
N
N
N
N
N
Icahn Enterprises LP
N/A
Icahn Enterprises LP
451102BM8
370000.00000000
PA
USD
381100.00000000
0.005888187279
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
6.75000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust, Series 2019-1A, Class B
68267DAB2
745000.00000000
PA
USD
770783.03000000
0.011908986703
Long
ABS-O
CORP
US
Y
3
2031-02-14
Fixed
3.79000000
N
N
N
N
N
N
United Rentals North America, Inc.
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911363AM1
2067000.00000000
PA
USD
2126426.25000000
0.032854358428
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.87500000
N
N
N
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397ZJ5
7970000.00000000
PA
USD
8188298.30000000
0.126513340053
Long
DBT
CORP
US
N
2
2025-06-09
Fixed
4.68700000
N
N
N
N
N
N
Vericrest Opportunity Loan Trust
N/A
Vericrest Opportunity Loan Trust, Series 2019-NPL5, Class A1B
91834DAB8
9495000.00000000
PA
USD
9335273.21000000
0.144234681107
Long
ABS-O
CORP
US
Y
2
2049-09-25
Variable
4.25000200
N
N
N
N
N
N
Newell Brands, Inc.
549300LWGYFM1TVO1Z12
Newell Brands, Inc.
651229AX4
2780000.00000000
PA
USD
3128000.40000000
0.048329184379
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
5.87499800
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617H0B65
2526274.21000000
PA
USD
2800892.09000000
0.043275195950
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2018-2, Class M3
92259BAK6
427055.42000000
PA
USD
406298.69000000
0.006277519754
Long
ABS-MBS
CORP
US
Y
3
2048-10-26
Variable
4.72000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABA2
1990000.00000000
PA
USD
2198552.00000000
0.033968737656
Long
DBT
CORP
US
Y
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-175
38379RKJ1
33144272.82000000
PA
USD
1877805.35000000
0.029013040084
Long
ABS-MBS
USGA
US
N
2
2058-09-16
Variable
0.84682100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617K5WX8
215880.30000000
PA
USD
232299.59000000
0.003589145869
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
JB Poindexter & Co., Inc.
549300W6P81HOZZGPQ16
JB Poindexter & Co., Inc.
730481AJ7
331000.00000000
PA
USD
351813.28000000
0.005435692679
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
7.12500000
N
N
N
N
N
N
TVC Mortgage Trust
N/A
TVC Mortgage Trust, Series 2020-RTL1, Class A2
90114YAB5
5500000.00000000
PA
USD
5144465.70000000
0.079484590650
Long
ABS-MBS
CORP
US
Y
2
2024-09-25
Variable
3.96699800
N
N
N
N
N
N
Trinseo Materials Operating SCA
N/A
Trinseo Materials Operating SCA
89668QAE8
2026000.00000000
PA
USD
2031672.80000000
0.031390369818
Long
DBT
CORP
LU
Y
2
2025-09-01
Fixed
5.37500000
N
N
N
N
N
N
Marriott Ownership Resorts, Inc.
N/A
Marriott Ownership Resorts, Inc.
57165PAB1
3565000.00000000
PA
USD
3703143.75000000
0.057215439319
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
6.50000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2020-2, Class B
80285RAE8
1500000.00000000
PA
USD
1503555.75000000
0.023230694940
Long
ABS-O
CORP
US
N
2
2024-11-15
Fixed
0.96000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KF61, Class B
30311LAG9
1942070.76000000
PA
USD
1818174.80000000
0.028091718000
Long
ABS-MBS
USGSE
US
Y
2
2029-04-25
Floating
2.35487900
N
N
N
N
N
N
Summit Materials LLC
N/A
Summit Materials LLC
86614RAM9
1145000.00000000
PA
USD
1222287.50000000
0.018884958567
Long
DBT
CORP
US
Y
2
2027-03-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-177
38379RJQ7
75197843.21000000
PA
USD
3873643.94000000
0.059849753278
Long
ABS-MBS
USGA
US
N
2
2057-01-16
Variable
0.74498000
N
N
N
N
N
N
Santander Revolving Auto Loan Trust
N/A
Santander Revolving Auto Loan Trust, Series 2019-A, Class C
80286JAC9
4120000.00000000
PA
USD
4324640.81000000
0.066817882466
Long
ABS-O
CORP
US
Y
2
2032-01-26
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
383230000.00000000
PA
USD
-29301852.49000000
-0.45272840490
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American High Yield Index Series 34-V8
Markit CDX North American High Yield Index Series 34-V8
Y
Receipt of notional amount upon default event with regard to the reference instrument
2025-06-20
5194057.90000000
USD
0.00000000
USD
383230000.00000000
USD
-29301852.49000000
N
N
N
Indianapolis Local Public Improvement Bond Bank
549300LX8ESJHDSESB87
Indianapolis Local Public Improvement Bond Bank, Marion County Health and Hospital
45528S5S1
240000.00000000
PA
USD
359510.40000000
0.005554617067
Long
DBT
MUN
US
N
2
2040-01-15
Fixed
6.11600000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-H13, Class GI
38376RCK0
2594324.54000000
PA
USD
113921.98000000
0.001760152069
Long
ABS-MBS
USGA
US
N
2
2065-04-20
Variable
1.60965000
N
N
N
N
N
N
Constellium SE
724500KRJEMC79KAAU28
Constellium SE
N/A
1600000.00000000
PA
USD
1637904.00000000
0.025306443187
Long
DBT
CORP
FR
Y
2
2026-02-15
Fixed
5.87500000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-3, Class E
02529NAJ6
1393000.00000000
PA
USD
1395279.09000000
0.021557765913
Long
ABS-O
CORP
US
Y
2
2025-09-12
Fixed
3.80000000
N
N
N
N
N
N
Oil and Gas Holding Co. BSCC (The)
549300OBH16L6TS6IW50
Oil and Gas Holding Co. BSCC (The)
N/A
700000.00000000
PA
USD
802375.00000000
0.012397098579
Long
DBT
CORP
BH
Y
2
2028-11-07
Fixed
8.37500000
N
N
N
N
N
N
Paraguay Government International Bond
529900UXKJTJPCU0HK83
Republic of Paraguay
699149AH3
2970000.00000000
PA
USD
3742200.00000000
0.057818878087
Long
DBT
NUSS
PY
Y
2
2050-03-30
Fixed
5.40000000
N
N
N
N
N
N
Cleveland Electric Illuminating Co. (The)
N/A
Cleveland Electric Illuminating Co. (The)
186108CL8
500000.00000000
PA
USD
599144.85000000
0.009257090224
Long
DBT
CORP
US
Y
2
2030-11-15
Fixed
4.55000000
N
N
N
N
N
N
SCE Trust II
N/A
SCE Trust II
78407R204
54450.00000000
NS
USD
1343826.00000000
0.020762789713
Long
EP
CORP
US
N
1
N
N
N
Summit Materials LLC
N/A
Summit Materials LLC
86614RAL1
260000.00000000
PA
USD
262600.00000000
0.004057302492
Long
DBT
CORP
US
Y
2
2025-06-01
Fixed
5.12500000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust, Series 2020-2A, Class A
682696AA7
13500000.00000000
PA
USD
13588875.90000000
0.209954988778
Long
ABS-O
CORP
US
Y
2
2035-09-14
Fixed
1.75000000
N
N
N
N
N
N
Arroyo Mortgage Trust
N/A
Arroyo Mortgage Trust, Series 2019-2, Class A3
042858AC4
1552725.39000000
PA
USD
1593541.88000000
0.024621026050
Long
ABS-MBS
CORP
US
Y
2
2049-04-25
Variable
3.80000200
N
N
N
N
N
N
Go Daddy Operating Co. LLC
N/A
Go Daddy Operating Co. LLC
38016LAA3
551000.00000000
PA
USD
585437.50000000
0.009045304751
Long
DBT
CORP
US
Y
2
2027-12-01
Fixed
5.25000000
N
N
N
N
N
N
Standard Industries, Inc.
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AD9
7193000.00000000
PA
USD
7570632.50000000
0.116970091807
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-103, Class SC
38381XX50
37511053.18000000
PA
USD
6770032.39000000
0.104600416173
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
5.89200100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-89, Class KS
38381W6P8
26966103.58000000
PA
USD
4456315.81000000
0.068852327651
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Floating
5.94200200
N
N
N
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAV8
1855000.00000000
PA
USD
2149481.25000000
0.033210569810
Long
DBT
CORP
US
Y
2
2030-06-15
Fixed
4.87500000
N
N
N
N
N
N
OI European Group BV
72450053F5WRDY8CDZ66
OI European Group BV
67777LAC7
14000.00000000
PA
USD
14142.94000000
0.000218515558
Long
DBT
CORP
NL
Y
2
2023-03-15
Fixed
4.00000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2020-CBM, Class F
20049AAJ7
17870000.00000000
PA
USD
14295540.74000000
0.220873317096
Long
ABS-MBS
CORP
US
Y
2
2037-02-10
Variable
3.75377800
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BS7
15089000.00000000
PA
USD
17276905.00000000
0.266936899128
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.87500000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264AAM7
200000.00000000
PA
USD
200250.00000000
0.003093963534
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
6.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust, Series 2016-C1, Class D1
46645LAC1
1500000.00000000
PA
USD
1439271.90000000
0.022237477024
Long
ABS-MBS
CORP
US
Y
2
2049-03-15
Variable
4.39465000
N
N
N
N
N
N
Entegris, Inc.
IYX6OWO7BT5DKO3BYG52
Entegris, Inc.
29362UAB0
3955000.00000000
PA
USD
4084763.55000000
0.063111657771
Long
DBT
CORP
US
Y
2
2026-02-10
Fixed
4.62500000
N
N
N
N
N
N
OBX Trust
549300ELWOCL265HSB73
OBX Trust, Series 2019-EXP1, Class 2A1B
67448QAT8
4115000.00000000
PA
USD
4032595.48000000
0.062305634769
Long
ABS-MBS
CORP
US
Y
2
2059-01-25
Floating
1.12513000
N
N
N
N
N
N
Carter Services, Inc.
N/A
Carter Services, Inc.
N/A
1001458.87000000
PA
USD
973137.61000000
0.015035467060
Long
ABS-MBS
CORP
US
N
3
2024-02-15
Fixed
5.64000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K087, Class X3
3137FKUS3
59463897.00000000
PA
USD
9156001.11000000
0.141464836712
Long
ABS-MBS
USGSE
US
N
2
2046-01-25
Variable
2.39430600
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust, Series 2019-2A, Class C
52604AAC2
3040000.00000000
PA
USD
2824014.69000000
0.043632451787
Long
ABS-O
CORP
US
Y
3
2028-04-20
Fixed
3.72000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4707, Class SA
3137F2MT0
1102388.31000000
PA
USD
253987.73000000
0.003924238575
Long
ABS-MBS
USGSE
US
N
2
2047-08-15
Floating
5.98812100
N
N
N
N
N
N
NextEra Energy Operating Partners LP
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAC6
52000.00000000
PA
USD
55380.00000000
0.000855648941
Long
DBT
CORP
US
Y
2
2024-09-15
Fixed
4.25000000
N
N
N
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2020-1A, Class A1
69359GAA4
5445747.92000000
PA
USD
5417073.33000000
0.083696516075
Long
ABS-O
CORP
US
Y
3
2025-02-25
Variable
2.98100200
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2018-MP, Class D
61691DAL1
1000000.00000000
PA
USD
863045.30000000
0.013334485325
Long
ABS-MBS
CORP
US
Y
3
2040-07-11
Variable
4.41853200
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D
03066GAG4
495000.00000000
PA
USD
513690.16000000
0.007936772148
Long
ABS-O
CORP
US
N
2
2025-03-18
Fixed
3.62000000
N
N
N
N
N
N
Hilton Grand Vacations Borrower LLC
N/A
Hilton Grand Vacations Borrower LLC
43283QAB6
459000.00000000
PA
USD
474491.25000000
0.007331129212
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
6.12500000
N
N
N
N
N
N
JPMorgan Prime Money Market Fund
549300YD7H8SEEU7VG41
JPMorgan Prime Money Market Fund, Class Institutional
4812A2603
97669698.51510000
NS
USD
97747834.27000000
1.510253357103
Long
STIV
RF
US
N
1
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust, Series 2019-AA, Class D
56847MAD2
5120000.00000000
PA
USD
4711335.94000000
0.072792517327
Long
ABS-O
CORP
US
Y
3
2032-07-20
Fixed
5.44000000
N
N
N
N
N
N
BlueMountain CLO Ltd.
549300WSX4P5CXVKVR97
BlueMountain CLO Ltd., Series 2012-2A, Class DR2
09626RBC8
600000.00000000
PA
USD
557842.80000000
0.008618952713
Long
ABS-CBDO
CORP
KY
Y
3
2028-11-20
Floating
3.15299900
N
N
N
N
N
N
Sprint Corp.
549300ZTTY7CXOLJ6539
Sprint Corp.
85207UAJ4
6859000.00000000
PA
USD
8213652.50000000
0.126905075236
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.62500000
N
N
N
N
N
N
Oasis Petroleum, Inc.
529900FA4V2YNIKZ0M71
Oasis Petroleum, Inc.
674215AE8
2458000.00000000
PA
USD
471628.75000000
0.007286902142
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
6.87500000
N
N
N
N
N
N
Howmet Aerospace, Inc.
549300HO5WFZUT5N2T22
Howmet Aerospace, Inc.
013817AK7
110000.00000000
PA
USD
124384.72000000
0.001921806680
Long
DBT
CORP
US
N
2
2037-02-01
Fixed
5.95000000
N
N
N
N
N
N
Commercial Metals Co.
549300OQS2LO07ZJ7N73
Commercial Metals Co.
201723AL7
359000.00000000
PA
USD
381056.96000000
0.005887522290
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.37500000
N
N
N
N
N
N
United Rentals North America, Inc.
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911365BH6
905000.00000000
PA
USD
925362.50000000
0.014297317506
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.62500000
N
N
N
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
Illinois Finance Authority
45203HRF1
25000.00000000
PA
USD
26360.00000000
0.000407275299
Long
DBT
MUN
US
N
2
2049-10-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2916, Class S
31395LVZ1
2893131.12000000
PA
USD
677062.12000000
0.010460951358
Long
ABS-MBS
USGSE
US
N
2
2035-01-15
Floating
7.08811900
N
N
N
N
N
N
Ally Financial, Inc.
549300JBN1OSM8YNAI90
Ally Financial, Inc.
02005NAV2
128000.00000000
PA
USD
143239.88000000
0.002213128416
Long
DBT
CORP
US
N
2
2024-09-30
Fixed
5.12500000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2019-3A, Class C
30167EAC9
2360000.00000000
PA
USD
2406387.69000000
0.037179903927
Long
ABS-O
CORP
US
Y
2
2024-05-15
Fixed
2.79000000
N
N
N
N
N
N
Valvoline, Inc.
549300CMHPBEY6VPOT75
Valvoline, Inc.
92047WAB7
15000.00000000
PA
USD
15565.50000000
0.000240494828
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
4.37500000
N
N
N
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2020-2, Class A1
693590AA9
1965000.00000000
PA
USD
1965276.08000000
0.030364506995
Long
ABS-MBS
CORP
US
Y
2
2025-08-25
Variable
3.67099900
N
N
N
N
N
N
Republic of Kenya
549300VVURQQYU45PR87
Republic of Kenya
N/A
1700000.00000000
PA
USD
1746750.00000000
0.026988168804
Long
DBT
NUSS
KE
Y
2
2024-06-24
Fixed
6.87500000
N
N
N
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AQ7
1095000.00000000
PA
USD
1142906.25000000
0.017658478203
Long
DBT
CORP
US
Y
2
2030-04-15
Fixed
4.62500000
N
N
N
N
N
N
Harborwalk Funding Trust
N/A
Harborwalk Funding Trust
41161EAA6
600000.00000000
PA
USD
719918.12000000
0.011123098181
Long
DBT
CORP
US
Y
2
2069-02-15
Variable
5.07700100
N
N
N
N
N
N
SES GLOBAL Americas Holdings GP
5299000YGN3VJ3R60481
SES GLOBAL Americas Holdings GP
78413KAB8
110000.00000000
PA
USD
114392.62000000
0.001767423694
Long
DBT
CORP
US
Y
2
2044-03-25
Fixed
5.30000000
N
N
N
N
N
N
Six Flags Entertainment Corp.
549300JYTDUAA4JQ3717
Six Flags Entertainment Corp.
83001AAC6
1740000.00000000
PA
USD
1696500.00000000
0.026211780951
Long
DBT
CORP
US
Y
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2017-KF35, Class B
30305CAC6
206100.82000000
PA
USD
200799.49000000
0.003102453431
Long
ABS-MBS
USGSE
US
Y
2
2024-08-25
Floating
2.90488000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264AAU9
3656000.00000000
PA
USD
3774125.36000000
0.058312141006
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
4.50000000
N
N
N
N
N
N
Macdonald Dettwiler & Associates Ltd.
N/A
Macdonald Dettwiler & Associates Ltd., Term Loan B
C5400EAD3
3609.67000000
PA
USD
3480.34000000
0.000053773008
Long
LON
CORP
US
N
2
2024-10-04
Variable
2.90638000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-101, Class SK
38380F2Y1
12444420.80000000
PA
USD
2502682.53000000
0.038667707790
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Floating
6.04199900
N
N
N
N
N
N
Teleflex, Inc.
UUL85LWXB4NGSWWXIQ25
Teleflex, Inc.
879369AE6
386000.00000000
PA
USD
403370.00000000
0.006232270016
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
4.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K097, Class X1
3137FNX70
74293914.24000000
PA
USD
6293192.31000000
0.097232996352
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Variable
1.21825800
N
N
N
N
N
N
Nielsen Finance LLC
N/A
Nielsen Finance LLC
65409QBB7
5180000.00000000
PA
USD
5184921.00000000
0.080109645446
Long
DBT
CORP
US
Y
2
2022-04-15
Fixed
5.00000000
N
N
N
N
N
N
Octane Receivables Trust
N/A
Octane Receivables Trust, Series 2019-1A, Class B
67576TAB5
12591000.00000000
PA
USD
12463176.17000000
0.192562359989
Long
ABS-O
CORP
US
Y
3
2024-07-22
Fixed
3.77000000
N
N
N
N
N
N
Whiting Petroleum Corp.
52990028CHK9KUB1B293
Whiting Petroleum Corp.
966387AP7
2940000.00000000
PA
USD
661500.00000000
0.010220508752
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
6.25000000
Y
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2018-KF53, Class B
35708AAG3
1513682.59000000
PA
USD
1424953.09000000
0.022016244185
Long
ABS-MBS
USGSE
US
N
2
2025-10-25
Floating
2.20488100
N
N
N
N
N
N
Cencosud SA
549300NLTGCFV7482429
Cencosud SA
N/A
2600000.00000000
PA
USD
3032250.00000000
0.046849792389
Long
DBT
CORP
CL
Y
2
2045-02-12
Fixed
6.62500000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2020-1, Class D
33843FAG3
4000000.00000000
PA
USD
4009811.20000000
0.061953606147
Long
ABS-O
CORP
US
Y
2
2026-03-16
Fixed
2.48000000
N
N
N
N
N
N
FNMA
N/A
FNMA, Multifamily REMIC Trust, Series 2020-M37, Class X
3136BBGX4
108904938.00000000
PA
USD
9212486.52000000
0.142337564796
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Variable
1.22649800
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-115, Class SW
38381YVS0
45161492.39790000
PA
USD
7171748.86000000
0.110807138316
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
5.94200200
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-HQA3, Class B1
3137G0SE0
1000000.00000000
PA
USD
934942.60000000
0.014445334885
Long
ABS-MBS
CORP
US
N
2
2030-04-25
Floating
4.62512900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-43, Class LS
38381TP82
5925150.51000000
PA
USD
1110066.88000000
0.017151093368
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Floating
5.89200100
N
N
N
N
N
N
Republic of Costa Rica
549300S1EK2VN6XVJP58
Republic of Costa Rica
N/A
1100000.00000000
PA
USD
1017500.00000000
0.015720888368
Long
DBT
NUSS
CR
Y
2
2025-04-30
Fixed
4.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-151
38379R7G2
19159189.85000000
PA
USD
1044296.55000000
0.016134908586
Long
ABS-MBS
USGA
US
N
2
2057-09-16
Variable
0.70888000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-72
38378KQR3
138493991.21000000
PA
USD
3276601.64000000
0.050625148512
Long
ABS-MBS
USGA
US
N
2
2047-11-16
Variable
0.47346100
N
N
N
N
N
N
OBX Trust
N/A
OBX Trust, Series 2019-EXP3, Class 2A1B
67113ABA7
2704000.00000000
PA
USD
2707629.31000000
0.041834238945
Long
ABS-MBS
CORP
US
Y
2
2059-10-25
Floating
1.07512900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-115, Class US
38381YVF8
22206050.73000000
PA
USD
4241568.87000000
0.065534379080
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
5.89200100
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BR9
2180000.00000000
PA
USD
2455007.00000000
0.037931096797
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.37500000
N
N
N
N
N
N
Global Aircraft Leasing Co. Ltd.
N/A
Global Aircraft Leasing Co. Ltd.
37960JAA6
3580000.00000000
PA
USD
2110589.00000000
0.032609664925
Long
DBT
CORP
KY
Y
2
2024-09-15
Fixed
6.50000000
N
N
Y
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-2, Class E
02530DAE6
555000.00000000
PA
USD
569447.76000000
0.008798255200
Long
ABS-O
CORP
US
Y
2
2025-06-12
Fixed
4.29000000
N
N
N
N
N
N
Aramark Services, Inc.
42YMHYH0XMHJEXDUB065
Aramark Services, Inc.
038522AQ1
5696000.00000000
PA
USD
5703120.00000000
0.088116081448
Long
DBT
CORP
US
Y
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
Novelis Corp.
549300G5F3W3B52WYL23
Novelis Corp.
670001AE6
1620000.00000000
PA
USD
1641821.40000000
0.025366968993
Long
DBT
CORP
US
Y
2
2030-01-30
Fixed
4.75000000
N
N
N
N
N
N
Eskom Holdings SOC Ltd.
3789001900ED06F65111
Eskom Holdings SOC Ltd.
N/A
3900000.00000000
PA
USD
3806156.25000000
0.058807034418
Long
DBT
NUSS
ZA
Y
2
2021-01-26
Fixed
5.75000000
N
N
N
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAT3
5335000.00000000
PA
USD
6548712.50000000
0.101180912208
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.87500000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust, Series 2018-3A, Class E
96042GAN2
670000.00000000
PA
USD
692108.59000000
0.010693426911
Long
ABS-O
CORP
US
Y
2
2023-12-15
Fixed
4.90000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
-8502.00000000
NC
USD
-1471149.37000000
-0.02273000001
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 10 Year Note
2020-12-21
-1183106437.50000000
USD
-1471149.37000000
N
N
N
Performance Food Group, Inc.
549300OMUOGBYK0FFO76
Performance Food Group, Inc.
69346VAA7
4207000.00000000
PA
USD
4385797.50000000
0.067762784182
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4983, Class SY
3137FTHL4
24530765.36000000
PA
USD
5679924.55000000
0.087757700043
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Floating
5.93812100
N
N
N
N
N
N
Hexion, Inc.
54930030FZF8HYAEHM46
Hexion, Inc.
42829LAF1
3110000.00000000
PA
USD
3117775.00000000
0.048171196790
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
7.87500000
N
N
N
N
N
N
SBALR Commercial Mortgage Trust
N/A
SBALR Commercial Mortgage Trust, Series 2020-RR1, Class B
78397EAQ9
11440000.00000000
PA
USD
11586486.91000000
0.179017068598
Long
ABS-MBS
CORP
US
Y
3
2053-02-13
Fixed
3.47700000
N
N
N
N
N
N
Yum! Brands, Inc.
549300JE8XHZZ7OHN517
Yum! Brands, Inc.
988498AL5
3563000.00000000
PA
USD
3928207.50000000
0.060692787810
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
4.75000000
N
N
N
N
N
N
RHP Hotel Properties LP
N/A
RHP Hotel Properties LP
749571AD7
875000.00000000
PA
USD
860238.75000000
0.013291122711
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
5.00000000
N
N
N
N
N
N
Ascent Resources Utica Holdings LLC
N/A
Ascent Resources Utica Holdings LLC
04364VAG8
3495000.00000000
PA
USD
2420287.50000000
0.037394663005
Long
DBT
CORP
US
Y
2
2026-11-01
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-148
38380JBD9
30395003.88000000
PA
USD
1472747.36000000
0.022754689771
Long
ABS-MBS
USGA
US
N
2
2059-07-16
Variable
0.64649900
N
N
N
N
N
N
Sunoco LP
N/A
Sunoco LP
86765LAQ0
623000.00000000
PA
USD
663177.27000000
0.010246423420
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K054, Class X3
3137BNGV0
2745000.00000000
PA
USD
208568.94000000
0.003222495354
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Variable
1.65355200
N
N
N
N
N
N
Southwestern Energy Co.
EFWMP121W54QV9MGOP87
Southwestern Energy Co.
845467AM1
4275000.00000000
PA
USD
4296375.00000000
0.066381161440
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
7.50000000
N
N
N
N
N
N
Sirius XM Radio, Inc.
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NAW8
1264000.00000000
PA
USD
1322460.00000000
0.020432674233
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
5.37500000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2020-2A, Class C
96042PAE2
1000000.00000000
PA
USD
1012746.80000000
0.015647449030
Long
ABS-O
CORP
US
Y
2
2025-07-15
Fixed
2.01000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2017-112, Class SC
3136B0QA7
6007487.12000000
PA
USD
1089910.15000000
0.016839661720
Long
ABS-MBS
USGSE
US
N
2
2048-01-25
Floating
5.97487000
N
N
N
N
N
N
JPMCC Re-REMIC Trust
N/A
JPMCC Re-REMIC Trust, Series 2015-FRR2, Class BK39
46644KAJ9
1500000.00000000
PA
USD
1291150.80000000
0.019948931296
Long
ABS-MBS
CORP
US
Y
2
2047-08-27
None
0.00000000
N
N
N
N
N
N
WESCO Distribution, Inc.
549300I2CEZJG9N4AH67
WESCO Distribution, Inc.
95081QAM6
245000.00000000
PA
USD
251737.50000000
0.003889471386
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
5.37500000
N
N
N
N
N
N
United Rentals North America, Inc.
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911365BE3
2705000.00000000
PA
USD
2878931.50000000
0.044480944209
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4910, Class PI
3137FNHC7
3229962.65000000
PA
USD
626095.31000000
0.009673488429
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Fixed
5.00000000
N
N
N
N
N
N
SBALR Commercial Mortgage Trust
N/A
SBALR Commercial Mortgage Trust, Series 2020-RR1, Class A2
78397EAC0
4000000.00000000
PA
USD
4094504.00000000
0.063262152638
Long
ABS-MBS
CORP
US
Y
2
2053-02-13
Fixed
2.53000000
N
N
N
N
N
N
Cedar Fair LP
N/A
Cedar Fair LP
150190AB2
24000.00000000
PA
USD
23865.36000000
0.000368731853
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.37500000
N
N
N
N
N
N
Nouryon Holding BV
N/A
Nouryon Holding BV
85529VAA2
6070000.00000000
PA
USD
6502123.30000000
0.100461085562
Long
DBT
CORP
NL
Y
2
2026-10-01
Fixed
8.00000000
N
N
N
N
N
N
OneMain Finance Corp.
5493008I795YYBFWFU90
OneMain Finance Corp.
85172FAQ2
4603000.00000000
PA
USD
5254370.53000000
0.081182675725
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C06, Class 2B1
30711X5V2
2860000.00000000
PA
USD
2673072.97000000
0.041300326057
Long
ABS-MBS
CORP
US
N
2
2031-03-25
Floating
4.27513000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K93, Class C
30313FAU9
10500000.00000000
PA
USD
11117215.20000000
0.171766583912
Long
ABS-MBS
USGSE
US
Y
2
2052-05-25
Variable
4.25771300
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 5 Year Note
N/A
-1238.00000000
NC
USD
-108866.01000000
-0.00168203478
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 5 Year Note
2020-12-31
-155988000.00000000
USD
-108866.01000000
N
N
N
Advanz Pharma Corp. Ltd.
549300WZSXRSISJ4VI31
Advanz Pharma Corp. Ltd.
20653PAB8
395000.00000000
PA
USD
389075.00000000
0.006011405053
Long
DBT
CORP
JE
N
2
2024-09-06
Fixed
8.00000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners I LLC
N/A
Pretium Mortgage Credit Partners I LLC, Series 2019-NPL3, Class A2
74142RAB0
2500000.00000000
PA
USD
2409361.25000000
0.037225846930
Long
ABS-O
CORP
US
Y
3
2059-07-27
Variable
4.58110100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-111, Class SA
38379YV47
8305760.95000000
PA
USD
1889242.51000000
0.029189749976
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Floating
5.94200200
N
N
N
N
N
N
Republic of Belarus
635400CVCOWYLHF4ZB08
Republic of Belarus
N/A
1600000.00000000
PA
USD
1572000.00000000
0.024288193135
Long
DBT
NUSS
BY
Y
2
2023-02-28
Fixed
6.87500000
N
N
N
N
N
N
Arivo Acceptance Auto Loan Receivables Trust
N/A
Arivo Acceptance Auto Loan Receivables Trust, Series 2019-1, Class C
04046LAC5
1500000.00000000
PA
USD
1481390.55000000
0.022888231417
Long
ABS-O
CORP
US
Y
2
2026-06-15
Fixed
4.35000000
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
071734AC1
2215000.00000000
PA
USD
2378998.60000000
0.036756728668
Long
DBT
CORP
CA
Y
2
2027-08-15
Fixed
5.75000000
N
N
N
N
N
N
Republic of South Africa
N/A
Republic of South Africa
836205BB9
3600000.00000000
PA
USD
3218625.00000000
0.049729380173
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2018-1A, Class E
301656AJ3
2260000.00000000
PA
USD
2295167.41000000
0.035461494486
Long
ABS-O
CORP
US
Y
2
2024-10-15
Fixed
4.64000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C17, Class D
61763UAE2
6750000.00000000
PA
USD
3775596.30000000
0.058334867772
Long
ABS-MBS
CORP
US
Y
3
2047-08-15
Variable
4.90253000
N
N
N
N
N
N
GLS Auto Receivables Issuer Trust
N/A
GLS Auto Receivables Issuer Trust, Series 2020-1A, Class D
36258XAD2
1250000.00000000
PA
USD
1204790.00000000
0.018614613364
Long
ABS-O
CORP
US
Y
2
2026-11-16
Fixed
3.68000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K033, Class X1
3137B4WC6
6595670.33000000
PA
USD
49970.78000000
0.000772073763
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Variable
0.41003300
N
N
N
N
N
N
OL SP 2018
N/A
OL SP 2018, Term Loan
67090UAD5
966958.47000000
PA
USD
943388.86000000
0.014575833863
Long
LON
CORP
US
N
3
2025-05-15
Variable
4.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K720, Class X3
3137BLUT3
16800000.00000000
PA
USD
353127.60000000
0.005455999586
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Variable
1.37642000
N
N
N
N
N
N
UCI Holdings LLC
N/A
UCI Holdings LLC
N/A
1536.00000000
NS
USD
55296.00000000
0.000854351099
Long
EC
CORP
US
N
3
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-11, Class SN
38382B5X7
31335407.61000000
PA
USD
5421009.85000000
0.083757337295
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Floating
5.89200100
N
N
N
N
N
N
CARS-DB4 LP
N/A
CARS-DB4 LP, Series 2020-1A, Class A5
12510HAE0
3000000.00000000
PA
USD
3018419.70000000
0.046636107276
Long
ABS-O
CORP
US
Y
2
2050-02-15
Fixed
3.48000000
N
N
N
N
N
N
Foundation Finance Trust
5493002KPTN6JUQ40J20
Foundation Finance Trust, Series 2019-1A, Class C
35041JAC9
3055000.00000000
PA
USD
2993597.56000000
0.046252592689
Long
ABS-O
CORP
US
Y
3
2034-11-15
Fixed
5.66000000
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BAY8
2315000.00000000
PA
USD
2357364.50000000
0.036422470908
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
6.75000000
N
N
N
N
N
N
Antler Mortgage Trust
N/A
Antler Mortgage Trust, Series 2018-RTL1, Class M
03719KAD3
1700000.00000000
PA
USD
1418696.58000000
0.021919577949
Long
ABS-MBS
CORP
US
Y
3
2023-05-25
Variable
7.38500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-9
38380MH46
38306842.55000000
PA
USD
2581819.90000000
0.039890420084
Long
ABS-MBS
USGA
US
N
2
2060-08-16
Variable
0.65418100
N
N
N
N
N
N
California Resources Corp.
N/A
California Resources Corp., Term Loan
N/A
220000.00000000
PA
USD
79505.80000000
0.001228404723
Long
LON
CORP
US
N
2
2022-12-31
Variable
0.00000000
N
N
N
N
N
N
MV24 Capital BV
N/A
MV24 Capital BV
55388RAA4
4300367.40000000
PA
USD
4438785.48000000
0.068581475208
Long
DBT
CORP
NL
Y
2
2034-06-01
Fixed
6.74800000
N
N
N
N
N
N
SPX FLOW, Inc.
5493003YXEKRBINIEM78
SPX FLOW, Inc.
78469XAE7
295000.00000000
PA
USD
310487.50000000
0.004797188528
Long
DBT
CORP
US
Y
2
2026-08-15
Fixed
5.87500000
N
N
N
N
N
N
AI Candelaria Spain SLU
N/A
AI Candelaria Spain SLU
N/A
4300000.00000000
PA
USD
4719293.00000000
0.072915457919
Long
DBT
CORP
ES
Y
2
2028-12-15
Fixed
7.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K102, Class B
30312WAE9
7932000.00000000
PA
USD
8682010.26000000
0.134141438933
Long
ABS-MBS
USGSE
US
Y
2
2051-12-25
Variable
3.65193700
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBL5
3016000.00000000
PA
USD
3257280.00000000
0.050326619426
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.50000000
N
N
N
N
N
N
PFP Ltd.
N/A
PFP Ltd., Series 2019-5, Class D
69346TAJ3
3500000.00000000
PA
USD
3327611.00000000
0.051413268860
Long
ABS-MBS
CORP
KY
Y
3
2036-04-14
Floating
2.80800000
N
N
N
N
N
N
Vericrest Opportunity Loan Trust
N/A
Vericrest Opportunity Loan Trust, Series 2020-NPL2, Class A1B
91834UAB0
12000000.00000000
PA
USD
11536886.40000000
0.178250715693
Long
ABS-O
CORP
US
Y
3
2050-02-25
Variable
3.67179800
N
N
N
N
N
N
ViacomCBS, Inc.
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92553PBC5
509000.00000000
PA
USD
567535.00000000
0.008768702093
Long
DBT
CORP
US
N
2
2057-02-28
Variable
6.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-56
38380PGL2
92760762.49000000
PA
USD
7862912.41000000
0.121485963883
Long
ABS-MBS
USGA
US
N
2
2061-11-16
Variable
1.05282000
N
N
N
N
N
N
Royal Caribbean Cruises Ltd.
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd.
780153AZ5
3418000.00000000
PA
USD
3964569.41000000
0.061254597665
Long
DBT
CORP
LR
Y
2
2025-06-01
Fixed
11.50000000
N
N
N
N
N
N
Royal Caribbean Cruises Ltd.
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd.
780153AY8
1180000.00000000
PA
USD
1301289.53000000
0.020105579790
Long
DBT
CORP
LR
Y
2
2023-06-01
Fixed
10.87500000
N
N
N
N
N
N
Merlin Entertainments Ltd.
549300ZTI0VEFO6WV007
Merlin Entertainments Ltd.
59010QAB2
3050000.00000000
PA
USD
2966125.00000000
0.045828127776
Long
DBT
CORP
GB
Y
2
2026-06-15
Fixed
5.75000000
N
N
N
N
N
N
EnLink Midstream Partners LP
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAF4
1215000.00000000
PA
USD
1061509.05000000
0.016400850395
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
4.85000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K736, Class X3
3137FNX21
83580486.00000000
PA
USD
8583130.85000000
0.132613702160
Long
ABS-MBS
USGSE
US
N
2
2047-09-25
Variable
2.08058000
N
N
N
N
N
N
Six Flags Entertainment Corp.
549300JYTDUAA4JQ3717
Six Flags Entertainment Corp.
83001AAB8
3291000.00000000
PA
USD
3191282.70000000
0.049306927842
Long
DBT
CORP
US
Y
2
2024-07-31
Fixed
4.87500000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Note
N/A
4448.00000000
NC
USD
408326.40000000
0.006308848896
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 2 Year Note
2020-12-31
982730000.00000000
USD
408326.40000000
N
N
N
Kingdom of Bahrain
N/A
Kingdom of Bahrain
N/A
1900000.00000000
PA
USD
2163031.25000000
0.033419924146
Long
DBT
NUSS
BH
Y
2
2028-10-12
Fixed
7.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-56, Class GS
38381VYQ7
13558051.72000000
PA
USD
2712236.73000000
0.041905425908
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Floating
5.99199800
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
91911KAN2
10780000.00000000
PA
USD
11127116.00000000
0.171919556268
Long
DBT
CORP
CA
Y
2
2025-11-01
Fixed
5.50000000
N
N
N
N
N
N
Moran Foods LLC
N/A
Moran Foods LLC, 1st Lien Term Loan B
61647DAD4
2141410.23000000
PA
USD
2141410.23000000
0.033085868479
Long
LON
CORP
US
N
3
2024-04-01
Variable
7.00000000
N
N
N
N
N
N
JELD-WEN, Inc.
549300XWE6NM0N1HFW16
JELD-WEN, Inc.
475795AC4
440000.00000000
PA
USD
442200.00000000
0.006832213107
Long
DBT
CORP
US
Y
2
2025-12-15
Fixed
4.62500000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
59500000.00000000
PA
USD
-4278781.41000000
-0.06610933159
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American Emerging Markets Index Series 33-V2
Markit CDX North American Emerging Markets Index Series 33-V2
Y
Receipt of notional amount upon default event with regard to the reference instrument
2025-06-20
6044986.82000000
USD
0.00000000
USD
59500000.00000000
USD
-4278781.41000000
N
N
N
GEO Group, Inc. (The)
N/A
GEO Group, Inc. (The)
36162JAA4
250000.00000000
PA
USD
196250.00000000
0.003032161515
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
5.87500000
N
N
N
N
N
N
Marriott Ownership Resorts, Inc.
BW4532OH033VURR0IT68
Marriott Ownership Resorts, Inc.
57164PAF3
18000.00000000
PA
USD
16973.46000000
0.000262248520
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
JELD-WEN, Inc.
549300XWE6NM0N1HFW16
JELD-WEN, Inc.
475795AD2
950000.00000000
PA
USD
988000.00000000
0.015265098484
Long
DBT
CORP
US
Y
2
2027-12-15
Fixed
4.87500000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2019-NQM5, Class B1
64830PAE6
3042000.00000000
PA
USD
2794327.05000000
0.043173762770
Long
ABS-MBS
CORP
US
Y
3
2059-11-25
Variable
4.04422900
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2013-CR13, Class E
12630BAG3
1500000.00000000
PA
USD
870690.45000000
0.013452606750
Long
ABS-MBS
CORP
US
Y
3
2046-11-10
Variable
5.04977000
N
N
N
N
N
N
Golden Nugget, Inc.
N/A
Golden Nugget, Inc., 1st Lien Term Loan B
51508PAG9
0.00010000
PA
USD
0.00000000
0.000000
Long
LON
CORP
US
N
2
2023-10-04
Variable
3.25000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-2A, Class D
96041LAF9
1013000.00000000
PA
USD
1040194.49000000
0.016071529689
Long
ABS-O
CORP
US
Y
2
2024-11-15
Fixed
3.20000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K718, Class X3
3137BHY27
6035000.00000000
PA
USD
101454.99000000
0.001567530783
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Variable
1.48485200
N
N
N
N
N
N
Intelsat Jackson Holdings SA
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TAP0
8602000.00000000
PA
USD
5720330.00000000
0.088381984631
Long
DBT
CORP
LU
N
2
2023-08-01
Fixed
5.50000000
Y
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-42, Class SK
3136B5VS1
14648308.79000000
PA
USD
2690525.19000000
0.041569971661
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Floating
5.87486900
N
N
N
N
N
N
Howmet Aerospace, Inc.
549300HO5WFZUT5N2T22
Howmet Aerospace, Inc.
013817AW1
4373000.00000000
PA
USD
4690605.31000000
0.072472218634
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2020-M6, Class XL
3136B8UC1
33606459.73000000
PA
USD
2788062.47000000
0.043076971848
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Variable
1.11190000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
2500000.00000000
PA
USD
-262216.03000000
-0.00405136996
N/A
DCR
US
N
2
Morgan Stanley
I7331LVCZKQKX5T7XV54
Markit CMBX North American BBB- 12
Markit CMBX North American BBB- 12
Y
Payout of notional amount upon default event with regard to the reference instrument
2061-08-17
0.00000000
USD
125324.28000000
USD
2500000.00000000
USD
-262216.03000000
N
N
N
DCP Midstream LP
52990024YYS3MLGW0E91
DCP Midstream LP, Series A
23311PAA8
235000.00000000
PA
USD
172725.00000000
0.002668688396
Long
DBT
CORP
US
N
2
2022-12-15
Variable
7.37500000
N
N
N
N
N
N
Triumph Group, Inc.
5493007L6S47Q14SL582
Triumph Group, Inc.
896818AP6
2540000.00000000
PA
USD
1504950.00000000
0.023252236806
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
7.75000000
N
N
N
N
N
N
Avis Budget Car Rental LLC
N/A
Avis Budget Car Rental LLC
053773BC0
648000.00000000
PA
USD
621192.24000000
0.009597733523
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
5.75000000
N
N
N
N
N
N
New Albertsons LP
N/A
New Albertsons LP
013104AL8
870000.00000000
PA
USD
1000500.00000000
0.015458229791
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
8.00000000
N
N
N
N
N
N
SBALR Commercial Mortgage Trust
N/A
SBALR Commercial Mortgage Trust, Series 2020-RR1, Class XA
78397EAJ5
95108497.23000000
PA
USD
8700087.83000000
0.134420746510
Long
ABS-MBS
CORP
US
Y
2
2053-02-13
Variable
1.28746400
N
N
N
N
N
N
Endo Dac
N/A
Endo Dac
29273DAA8
700000.00000000
PA
USD
701750.00000000
0.010842391560
Long
DBT
CORP
US
Y
2
2024-10-15
Fixed
5.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-37, Class CS
3136B4Z76
6686458.32000000
PA
USD
1695364.88000000
0.026194242774
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
5.87486900
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GCY4
9842000.00000000
PA
USD
10235680.00000000
0.158146420303
Long
DBT
CORP
US
Y
2
2026-01-01
Fixed
4.87500000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA3, Class M2
3137G0QQ5
1860000.00000000
PA
USD
1873954.65000000
0.028953544826
Long
ABS-MBS
CORP
US
N
2
2030-03-25
Floating
2.67513100
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBJ0
7125000.00000000
PA
USD
7499062.50000000
0.115864299197
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.87500000
N
N
N
N
N
N
Delek Logistics Partners LP
N/A
Delek Logistics Partners LP
24665FAB8
575000.00000000
PA
USD
530437.50000000
0.008195527001
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.75000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class E
46590KBA1
3250000.00000000
PA
USD
2257321.95000000
0.034876763035
Long
ABS-MBS
CORP
US
Y
3
2049-01-15
Variable
4.38539000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 3A5
17307GBU1
118319.03000000
PA
USD
119849.55000000
0.001851736016
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Fixed
5.25000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2018-3, Class D
26208KAG5
1456000.00000000
PA
USD
1520222.70000000
0.023488207727
Long
ABS-O
CORP
US
N
2
2024-09-16
Fixed
4.30000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-J14, Class A3
12668AQ24
351474.30000000
PA
USD
285872.68000000
0.004416877140
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
EQM Midstream Partners LP
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAF7
1990000.00000000
PA
USD
2111887.50000000
0.032629727405
Long
DBT
CORP
US
Y
2
2025-07-01
Fixed
6.00000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2018-2A, Class E
96042FAG9
450000.00000000
PA
USD
466007.85000000
0.007200056401
Long
ABS-O
CORP
US
Y
2
2024-01-16
Fixed
4.86000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-3A, Class F
96042HAQ3
1400000.00000000
PA
USD
1345059.94000000
0.020781854708
Long
ABS-O
CORP
US
Y
2
2026-04-15
Fixed
4.72000000
N
N
N
N
N
N
CoreVest American Finance Trust
N/A
CoreVest American Finance Trust, Series 2019-3, Class XA
21872NAC4
46549579.87750000
PA
USD
3795289.66000000
0.058639140120
Long
ABS-O
CORP
US
Y
2
2052-10-15
Variable
2.19283600
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K095, Class X1
3137FNAG5
51800376.75000000
PA
USD
3732186.06000000
0.057664157661
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Variable
1.08238300
N
N
N
N
N
N
DISH DBS Corp.
N/A
DISH DBS Corp.
25470XAY1
8220000.00000000
PA
USD
9411900.00000000
0.145418603674
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
Welk Resorts LLC
N/A
Welk Resorts LLC, Series 2019-AA, Class C
94946DAC5
4154674.07000000
PA
USD
4003240.77000000
0.061852089689
Long
ABS-O
CORP
US
Y
2
2038-06-15
Fixed
3.34000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KF65, Class B
30298JAG1
1900000.00000000
PA
USD
1781943.50000000
0.027531926135
Long
ABS-MBS
USGSE
US
Y
2
2029-07-25
Floating
2.55488000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M3
3137G0LU1
16338389.94000000
PA
USD
16951561.55000000
0.261910178677
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
4.07513200
N
N
N
N
N
N
Telecom Italia Capital SA
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAF5
6765000.00000000
PA
USD
8420463.15000000
0.130100404122
Long
DBT
CORP
LU
N
2
2033-11-15
Fixed
6.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-57
38380JZX9
121426192.62000000
PA
USD
5397892.11000000
0.083400156548
Long
ABS-MBS
USGA
US
N
2
2059-10-16
Variable
0.40964000
N
N
N
N
N
N
DISH DBS Corp.
N/A
DISH DBS Corp.
25470XAL9
704000.00000000
PA
USD
728640.00000000
0.011257855627
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
Lamb Weston Holdings, Inc.
5493005SMYID1D2OY946
Lamb Weston Holdings, Inc.
513272AB0
4405000.00000000
PA
USD
4609303.90000000
0.071216070830
Long
DBT
CORP
US
Y
2
2026-11-01
Fixed
4.87500000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2020-CBM, Class E
20049AAH1
2670000.00000000
PA
USD
2256629.80000000
0.034866068968
Long
ABS-MBS
CORP
US
Y
3
2037-02-10
Variable
3.75377800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4681, Class SD
3137BYHQ6
877837.01000000
PA
USD
166517.78000000
0.002572783715
Long
ABS-MBS
USGSE
US
N
2
2047-05-15
Floating
5.98812100
N
N
N
N
N
N
American Woodmark Corp.
N/A
American Woodmark Corp.
030506AA7
1525000.00000000
PA
USD
1551687.50000000
0.023974354762
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
4.87500000
N
N
N
N
N
N
Vericrest Opportunity Loan Trust
N/A
Vericrest Opportunity Loan Trust, Series 2019-NPL7, Class A1B
92870DAB1
9000000.00000000
PA
USD
8698099.50000000
0.134390025808
Long
ABS-O
CORP
US
Y
3
2049-10-25
Variable
3.96709900
N
N
N
N
N
N
20 Times Square Trust
N/A
20 Times Square Trust, Series 2018-20TS, Class F
90137LAL4
600000.00000000
PA
USD
547785.48000000
0.008463562045
Long
ABS-MBS
CORP
US
Y
3
2035-05-15
Variable
3.20323000
N
N
N
N
N
N
Diamond Sports Group LLC
N/A
Diamond Sports Group LLC
25277LAA4
9755000.00000000
PA
USD
7608900.00000000
0.117561343989
Long
DBT
CORP
US
Y
2
2026-08-15
Fixed
5.37500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-179
38378NHY2
57139492.76000000
PA
USD
800758.57000000
0.012372123920
Long
ABS-MBS
USGA
US
N
2
2055-01-16
Variable
0.54821200
N
N
N
N
N
N
Bellemeade Re Ltd.
2549009SOTYJD2MZFC61
Bellemeade Re Ltd., Series 2018-3A, Class M2
07877TAC5
1140000.00000000
PA
USD
1086560.68000000
0.016787910718
Long
ABS-MBS
CORP
BM
Y
3
2028-10-25
Floating
2.92513000
N
N
N
N
N
N
Standard Industries, Inc.
54930064UHXCIUWVI755
Standard Industries, Inc.
120111BN8
205000.00000000
PA
USD
211416.50000000
0.003266491592
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4599, Class SA
3137BQU39
358895.22000000
PA
USD
75903.50000000
0.001172747371
Long
ABS-MBS
USGSE
US
N
2
2046-07-15
Floating
5.83812000
N
N
N
N
N
N
Covanta Holding Corp.
40XIFLS8XDQGGHGPGC04
Covanta Holding Corp.
22282EAF9
200000.00000000
PA
USD
203800.00000000
0.003148812825
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
5.87500000
N
N
N
N
N
N
FTF Funding II LLC
549300881VLD4ANNI662
FTF Funding II LLC
N/A
6500000.00000000
PA
USD
3315000.00000000
0.051218422548
Long
ABS-MBS
CORP
US
N
2
2024-08-15
Fixed
3.00000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
855000.00000000
PA
USD
970254.00000000
0.014990913831
Long
DBT
NUSS
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
Freeport-McMoRan, Inc.
549300IRDTHJQ1PVET45
Freeport-McMoRan, Inc.
35671DCE3
2488000.00000000
PA
USD
2600208.80000000
0.040174537867
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.12500000
N
N
N
N
N
N
Cincinnati Bell, Inc.
549300JYVZOCUJOHL272
Cincinnati Bell, Inc.
171871AP1
1740000.00000000
PA
USD
1798725.00000000
0.027791208777
Long
DBT
CORP
US
Y
2
2024-07-15
Fixed
7.00000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
SoFi Consumer Loan Program Trust, Series 2018-1, Class B
83405RAC1
450000.00000000
PA
USD
463032.54000000
0.007154086361
Long
ABS-O
CORP
US
Y
2
2027-02-25
Fixed
3.65000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Long Bond
N/A
97.00000000
NC
USD
-127114.80000000
-0.00196398779
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury Long Bond
2020-12-21
16993187.50000000
USD
-127114.80000000
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2018-1A, Class E
23342WAJ7
1055000.00000000
PA
USD
1075599.82000000
0.016618559901
Long
ABS-O
CORP
US
Y
2
2025-03-17
Fixed
5.42000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2004-S2, Class 2A4
92922FQK7
147236.46000000
PA
USD
152147.11000000
0.002350749613
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Fixed
5.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust, Series 2019-2A, Class B1
24381PAE3
1500000.00000000
PA
USD
1418421.60000000
0.021915329369
Long
ABS-MBS
CORP
US
Y
3
2059-04-25
Variable
4.72200100
N
N
N
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013092AB7
1317000.00000000
PA
USD
1422360.00000000
0.021976179636
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
5.87500000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2019-R05, Class 1B1
20754HAD0
1500000.00000000
PA
USD
1282263.00000000
0.019811610302
Long
ABS-MBS
CORP
US
Y
2
2039-07-25
Floating
4.27513000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-4, Class D
02529RAG3
5600000.00000000
PA
USD
5696549.04000000
0.088014556801
Long
ABS-O
CORP
US
Y
2
2025-12-12
Fixed
2.97000000
N
N
N
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAB8
1370000.00000000
PA
USD
1448775.00000000
0.022384304714
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
5.62500000
N
N
N
N
N
N
Hertz Corp. (The)
549300PD0C69OJ0NLB27
Hertz Corp. (The)
428040CY3
2755000.00000000
PA
USD
1115775.00000000
0.017239286702
Long
DBT
CORP
US
Y
2
2026-08-01
Fixed
7.12500000
Y
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust, Series 2018-2A, Class D
52603JAD2
2500000.00000000
PA
USD
2430546.75000000
0.037553173594
Long
ABS-O
CORP
US
Y
2
2027-04-20
Fixed
6.78000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust, Series 2020-2A, Class C
682696AC3
2000000.00000000
PA
USD
2013074.40000000
0.031103015155
Long
ABS-O
CORP
US
Y
2
2035-09-14
Fixed
2.76000000
N
N
N
N
N
N
FMG Resources August 2006 Pty. Ltd.
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty. Ltd.
30251GBA4
1830000.00000000
PA
USD
1976400.00000000
0.030536377171
Long
DBT
CORP
AU
Y
2
2027-09-15
Fixed
4.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2019-INV1, Class M1
92537FAD7
1190000.00000000
PA
USD
1189958.11000000
0.018385453180
Long
ABS-MBS
CORP
US
Y
3
2059-12-25
Variable
4.03400200
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
N/A
1700000.00000000
PA
USD
1696600.00000000
0.026213326001
Long
DBT
NUSS
UA
Y
2
2020-09-01
Fixed
7.75000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2019-INV3, Class B1
92537MAG5
7606000.00000000
PA
USD
6878120.25000000
0.106270428145
Long
ABS-MBS
CORP
US
Y
3
2059-11-25
Variable
3.73100000
N
N
N
N
N
N
Sinclair Television Group, Inc.
549300CQGEN0CH65UD62
Sinclair Television Group, Inc.
829259AW0
3210000.00000000
PA
USD
3121725.00000000
0.048232226283
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
5.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-41
38379RPH0
19430191.65000000
PA
USD
1054647.49000000
0.016294835831
Long
ABS-MBS
USGA
US
N
2
2058-07-16
Variable
0.74549200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HRX21
882347.96000000
PA
USD
976243.66000000
0.015083457100
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDA7
15390000.00000000
PA
USD
12791398.50000000
0.197633560589
Long
DBT
NUSS
MX
Y
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2018-2, Class E
80285FAH7
5584000.00000000
PA
USD
5727543.98000000
0.088493444262
Long
ABS-O
CORP
US
N
2
2025-09-15
Fixed
5.02000000
N
N
N
N
N
N
Smurfit Kappa Treasury Funding DAC
N/A
Smurfit Kappa Treasury Funding DAC
832724AB4
950000.00000000
PA
USD
1162220.50000000
0.017956893111
Long
DBT
CORP
IE
N
2
2025-11-20
Fixed
7.50000000
N
N
N
N
N
N
VOLT Frn
N/A
VOLT Frn
N/A
19687000.00000000
PA
USD
18850912.80000000
0.291256113787
Long
ABS-MBS
CORP
US
N
3
2023-07-27
Fixed
3.91389800
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust, Series 2018-1A, Class B
52603VAB9
790000.00000000
PA
USD
806892.57000000
0.012466897315
Long
ABS-O
CORP
US
Y
3
2026-12-21
Fixed
4.09000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-9
38380JMW5
158001605.00010000
PA
USD
8229244.99000000
0.127145987073
Long
ABS-MBS
USGA
US
N
2
2060-01-16
Variable
0.54387000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K153, Class X3
3137BXHE5
4450000.00000000
PA
USD
1332327.78000000
0.020585136412
Long
ABS-MBS
USGSE
US
N
2
2035-04-25
Variable
3.90291500
N
N
N
N
N
N
Comstock Resources, Inc.
I03QQGEA4SS774AURI46
Comstock Resources, Inc.
205677AB3
1539000.00000000
PA
USD
1627507.89000000
0.025145818042
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
9.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2017-13, Class AS
3136AVFQ7
1117628.33000000
PA
USD
247992.90000000
0.003831615427
Long
ABS-MBS
USGSE
US
N
2
2047-02-25
Floating
5.87486900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4612, Class PI
3137BRSE6
59124.33000000
PA
USD
5978.54000000
0.000092371459
Long
ABS-MBS
USGSE
US
N
2
2044-06-15
Fixed
3.50000000
N
N
N
N
N
N
FREED ABS Trust
N/A
FREED ABS Trust, Series 2020-FP1, Class B
35634TAB2
6150000.00000000
PA
USD
6105267.36000000
0.094329461059
Long
ABS-O
CORP
US
Y
2
2027-03-18
Fixed
3.06000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-92
38379UWY8
1401172.66000000
PA
USD
78407.80000000
0.001211440069
Long
ABS-MBS
USGA
US
N
2
2058-04-16
Variable
0.89539900
N
N
N
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust, Series 2018-IMC1, Class B1
85572KAE4
1000000.00000000
PA
USD
1037734.70000000
0.016033524693
Long
ABS-MBS
CORP
US
Y
2
2048-03-25
Variable
5.28900100
N
N
N
N
N
N
Instituto Costarricense de Electricidad
5493009VA6AFUB2Q0289
Instituto Costarricense de Electricidad
N/A
1300000.00000000
PA
USD
1300000.00000000
0.020085655901
Long
DBT
NUSS
CR
Y
2
2021-11-10
Fixed
6.95000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HLAJ2
946191.94000000
PA
USD
1047383.94000000
0.016182610319
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
EnLink Midstream Partners LP
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAB3
374000.00000000
PA
USD
345950.00000000
0.005345102045
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.40000000
N
N
N
N
N
N
CD Mortgage Trust
N/A
CD Mortgage Trust, Series 2017-CD5, Class D
12515HAA3
266000.00000000
PA
USD
176169.49000000
0.002721907504
Long
ABS-MBS
CORP
US
Y
3
2050-08-15
Fixed
3.35000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-13
38379UDZ6
22038154.73000000
PA
USD
1103362.25000000
0.017047503452
Long
ABS-MBS
USGA
US
N
2
2057-04-16
Variable
0.84462100
N
N
N
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM
00774CAB3
1928000.00000000
PA
USD
2114148.40000000
0.032664659451
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.12500000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2017-3, Class E
80284YAH7
5770000.00000000
PA
USD
6005219.24000000
0.092783667127
Long
ABS-O
CORP
US
N
2
2025-01-15
Fixed
4.97000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HX4Y0
669913.03000000
PA
USD
740307.16000000
0.011438119136
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.37500000
N
N
N
N
N
N
Accelerated Assets LLC
N/A
Accelerated Assets LLC, Series 2018-1, Class C
00436MAC9
812089.88000000
PA
USD
825896.14000000
0.012760512060
Long
ABS-O
CORP
US
Y
3
2033-12-02
Fixed
6.65000000
N
N
N
N
N
N
TerraForm Power Operating LLC
5493000S2OLR3UT5BE13
TerraForm Power Operating LLC
88104LAC7
255000.00000000
PA
USD
263976.00000000
0.004078562386
Long
DBT
CORP
US
Y
2
2023-01-31
Fixed
4.25000000
N
N
N
N
N
N
Prime Security Services Borrower LLC
N/A
Prime Security Services Borrower LLC
74166MAB2
653000.00000000
PA
USD
692180.00000000
0.010694530232
Long
DBT
CORP
US
Y
2
2024-04-15
Fixed
5.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2016-75, Class SC
3136AT2D5
12309299.74000000
PA
USD
2600131.54000000
0.040173344161
Long
ABS-MBS
USGSE
US
N
2
2046-10-25
Floating
5.92486900
N
N
N
N
N
N
IHO Verwaltungs GmbH
529900JL0HDVGZMUJF32
IHO Verwaltungs GmbH
80627DAC0
4960000.00000000
PA
USD
5031424.00000000
0.077738039351
Long
DBT
CORP
DE
Y
2
2026-09-15
Fixed
4.75000000
N
N
Y
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2017-R
33844JAG4
615106.49000000
PA
USD
584351.17000000
0.009028520404
Long
ABS-O
CORP
US
N
2
2023-10-18
Fixed
8.24000000
N
N
N
N
N
N
GS Mortgage Securities Trust
54930070360RBP384M53
GS Mortgage Securities Trust, Series 2015-GC34, Class D
36250VAM4
1810000.00000000
PA
USD
1278054.21000000
0.019746582373
Long
ABS-MBS
CORP
US
N
3
2048-10-10
Fixed
2.97900000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-53, Class IA
38380M4K4
10335416.90000000
PA
USD
742772.31000000
0.011476206947
Long
ABS-MBS
USGA
US
N
2
2061-06-16
Variable
0.74315900
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2018-KF56, Class B
30307QAC3
1026430.65000000
PA
USD
972328.82000000
0.015022970847
Long
ABS-MBS
USGSE
US
Y
2
2028-11-25
Floating
2.60488100
N
N
N
N
N
N
Curo Group Holdings Corp.
54930007KH8KCGJ4YE72
Curo Group Holdings Corp.
23131LAA5
1166000.00000000
PA
USD
961950.00000000
0.014862612841
Long
DBT
CORP
US
Y
2
2025-09-01
Fixed
8.25000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-HQA2, Class B1
3137G0QN2
2500000.00000000
PA
USD
2493753.75000000
0.038529753634
Long
ABS-MBS
CORP
US
N
2
2029-12-25
Floating
4.92513100
N
N
N
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAL0
50000.00000000
PA
USD
57750.00000000
0.000892266637
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.87500000
N
N
N
N
N
N
Quebecor Media, Inc.
5493006O1E1TBNKPQW25
Quebecor Media, Inc.
74819RAP1
220000.00000000
PA
USD
235950.00000000
0.003645546546
Long
DBT
CORP
CA
N
2
2023-01-15
Fixed
5.75000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2003-A5, Class 2A6
5899293T3
89777.60000000
PA
USD
87725.86000000
0.001355408798
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
2.94937900
N
N
N
N
N
N
ACC Trust
N/A
ACC Trust, Series 2019-1, Class C
00085MAC3
2280000.00000000
PA
USD
2229479.30000000
0.034446580045
Long
ABS-O
CORP
US
Y
2
2024-02-20
Fixed
6.41000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2018-3A, Class E
23343CAJ0
1340000.00000000
PA
USD
1376710.24000000
0.021270867812
Long
ABS-O
CORP
US
Y
2
2025-11-17
Fixed
5.33000000
N
N
N
N
N
N
Service Corp. International
549300RKVM2ME20JHZ15
Service Corp. International
817565CF9
1426000.00000000
PA
USD
1452737.50000000
0.022445527338
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
3.37500000
N
N
N
N
N
N
BXG Receivables Note Trust
549300MVRSYZ837KPY83
BXG Receivables Note Trust, Series 2018-A, Class C
05607UAC3
2012509.50000000
PA
USD
1999728.86000000
0.030896819828
Long
ABS-O
CORP
US
Y
2
2034-02-02
Fixed
4.44000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2017-93, Class SA
3136AYH63
27041092.93000000
PA
USD
4950112.73000000
0.076481739205
Long
ABS-MBS
USGSE
US
N
2
2047-11-25
Floating
5.97487000
N
N
N
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013093AD1
6124000.00000000
PA
USD
6292410.00000000
0.097220909268
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
5.75000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2019-4A, Class C
23343JAE6
7500000.00000000
PA
USD
7664912.25000000
0.118426761512
Long
ABS-O
CORP
US
Y
2
2025-07-15
Fixed
2.73000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
12500000.00000000
PA
USD
-1877804.98000000
-0.02901303436
N/A
DCR
GB
N
2
MORGAN STANLEY CO INTERNATIONAL LIMITED
4PQUHN3JPFGFNF3BB653
Markit CMBX North American BBB- 12
Markit CMBX North American BBB- 12
Y
Payout of notional amount upon default event with regard to the reference instrument
2061-08-17
0.00000000
USD
59896.58000000
USD
12500000.00000000
USD
-1877804.98000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-73
38380PJB1
59723720.93000000
PA
USD
5928911.14000000
0.091604668482
Long
ABS-MBS
USGA
US
N
2
2062-03-16
Variable
1.31621000
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BAP7
175000.00000000
PA
USD
176099.00000000
0.002720818398
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.25000000
N
N
N
N
N
N
Refinitiv US Holdings, Inc.
549300NF240HXJO7N016
Refinitiv US Holdings, Inc.
31740LAC7
201000.00000000
PA
USD
222607.50000000
0.003439398189
Long
DBT
CORP
US
Y
2
2026-11-15
Fixed
8.25000000
N
N
N
N
N
N
Summit Midstream Holdings LLC
N/A
Summit Midstream Holdings LLC
86614WAD8
431000.00000000
PA
USD
245670.00000000
0.003795725450
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.75000000
N
N
N
N
N
N
PMT Credit Risk Transfer Trust
N/A
PMT Credit Risk Transfer Trust, Series 2019-1R, Class A
73021CAA3
5766010.65000000
PA
USD
5472630.26000000
0.084554898674
Long
ABS-MBS
CORP
US
Y
2
2024-03-27
Floating
2.17024900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2019-M30, Class X2
3136B7G62
127877732.61000000
PA
USD
1956938.52000000
0.030235687486
Long
ABS-MBS
USGSE
US
N
2
2029-12-25
Variable
0.29599900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-3
38379RKZ5
95710268.14000000
PA
USD
5344652.79000000
0.082577582193
Long
ABS-MBS
USGA
US
N
2
2058-09-16
Variable
0.82067000
N
N
N
N
N
N
Exela Intermediate LLC
N/A
Exela Intermediate LLC
30162RAA9
998000.00000000
PA
USD
289420.00000000
0.004471685023
Long
DBT
CORP
US
Y
2
2023-07-15
Fixed
10.00000000
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2018-1, Class B
123262AQ0
984403.06000000
PA
USD
997139.17000000
0.015406303272
Long
ABS-O
CORP
US
Y
3
2033-02-15
Fixed
6.04800000
N
N
N
N
N
N
Antler Mortgage Trust
N/A
Antler Mortgage Trust, Series 2018-RTL1, Class A1
03719KAA9
1213521.19000000
PA
USD
1215705.41000000
0.018783261955
Long
ABS-MBS
CORP
US
Y
2
2022-07-25
Fixed
4.33500000
N
N
N
N
N
N
STACR Trust
549300BL200YC56BUV20
STACR Trust, Series 2018-DNA3, Class B1
35563WBD5
2300000.00000000
PA
USD
2084086.81000000
0.032200192718
Long
ABS-MBS
CORP
US
Y
3
2048-09-25
Floating
4.07513200
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2004-NCM2, Class 3CB2
17307GHE1
6242.73000000
PA
USD
6237.24000000
0.000096368504
Long
ABS-MBS
CORP
US
N
3
2019-08-25
Fixed
6.50000000
N
N
N
N
N
N
Transocean, Inc.
DOL4HJ22ADYSIWES4H94
Transocean, Inc.
893830BF5
464000.00000000
PA
USD
143840.00000000
0.002222400572
Long
DBT
CORP
KY
Y
2
2026-01-15
Fixed
7.50000000
N
N
N
N
N
N
FMG Resources August 2006 Pty. Ltd.
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty. Ltd.
30251GAY3
165000.00000000
PA
USD
173496.68000000
0.002680611241
Long
DBT
CORP
AU
Y
2
2023-03-15
Fixed
5.12500000
N
N
N
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AK0
2852000.00000000
PA
USD
2959805.60000000
0.045730489858
Long
DBT
CORP
US
Y
2
2026-08-15
Fixed
5.00000000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2019-BN23, Class XA
06541RBC6
38998932.01000000
PA
USD
2173890.17000000
0.033587699939
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Variable
0.81692300
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K084, Class X3
3137FJZC6
19450000.00000000
PA
USD
2867365.68000000
0.044302246454
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Variable
2.30960200
N
N
N
N
N
N
EP Energy LLC
N/A
EP Energy LLC
268787AJ7
982000.00000000
PA
USD
213585.00000000
0.003299996012
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
7.75000000
Y
N
N
N
N
N
AMN Healthcare, Inc.
549300H27NUKBFFQEE84
AMN Healthcare, Inc.
00175PAA1
420000.00000000
PA
USD
427350.00000000
0.006602773114
Long
DBT
CORP
US
Y
2
2024-10-01
Fixed
5.12500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K89, Class C
302972AU8
9000000.00000000
PA
USD
9678307.50000000
0.149534733962
Long
ABS-MBS
USGSE
US
Y
2
2051-01-25
Variable
4.43162500
N
N
N
N
N
N
CommScope, Inc.
549300Z6K4JXMFE8QY54
CommScope, Inc.
20338QAA1
4945000.00000000
PA
USD
5352913.05000000
0.082705207377
Long
DBT
CORP
US
Y
2
2027-03-01
Fixed
8.25000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C
05377REC4
1800000.00000000
PA
USD
1838838.60000000
0.028410984136
Long
ABS-O
CORP
US
Y
2
2027-02-20
Fixed
4.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-119
38380MMF5
42463341.95000000
PA
USD
2572348.57000000
0.039744083257
Long
ABS-MBS
USGA
US
N
2
2060-05-16
Variable
0.66917200
N
N
N
N
N
N
Clearwater Paper Corp.
549300HCVV19GXN4P292
Clearwater Paper Corp.
18538RAG8
206000.00000000
PA
USD
207648.00000000
0.003208266366
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
4.50000000
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599EC5
1225000.00000000
PA
USD
1238934.38000000
0.019142161262
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
6.37500000
N
N
N
N
N
N
Democratic Socialist Republic of Sri Lanka
254900HXCCIOHM74FA02
Democratic Socialist Republic of Sri Lanka
N/A
4050000.00000000
PA
USD
3302015.63000000
0.051017807480
Long
DBT
NUSS
LK
Y
2
2027-05-11
Fixed
6.20000000
N
N
N
N
N
N
United Rentals North America, Inc.
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911365BM5
885000.00000000
PA
USD
922612.50000000
0.014254828619
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.87500000
N
N
N
N
N
N
DCP Midstream Operating LP
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAF4
25000.00000000
PA
USD
23750.00000000
0.000366949482
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.60000000
N
N
N
N
N
N
Empresa de Transmision Electrica SA
254900RX1DOMC83TZ320
Empresa de Transmision Electrica SA
29247QAA2
1100000.00000000
PA
USD
1294218.75000000
0.019996332671
Long
DBT
CORP
PA
Y
2
2049-05-02
Fixed
5.12500000
N
N
N
N
N
N
GMACM Mortgage Loan Trust
N/A
GMACM Mortgage Loan Trust, Series 2004-J2, Class A8
36185N2E9
50529.39000000
PA
USD
51177.26000000
0.000790714487
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Fixed
5.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-120, Class SA
38380ARZ2
27945119.59000000
PA
USD
6523204.12000000
0.100786794867
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Floating
5.94200200
N
N
N
N
N
N
AMSR Trust
N/A
AMSR Trust, Series 2019-SFR1, Class F
00178XAF0
5310000.00000000
PA
USD
5099297.08000000
0.078786712682
Long
ABS-O
CORP
US
Y
3
2039-01-19
Variable
3.86700100
N
N
N
N
N
N
Gap, Inc. (The)
T2ZG1WRWZ4BUCMQL9224
Gap, Inc. (The)
364760AN8
2730000.00000000
PA
USD
3078075.00000000
0.047557811760
Long
DBT
CORP
US
Y
2
2027-05-15
Fixed
8.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-115, Class SD
38381YUA0
45522666.12000000
PA
USD
5848906.92000000
0.090368562917
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
5.94200200
N
N
N
N
N
N
Vertical US Newco, Inc.
549300C2AFWPAYWS5574
Vertical US Newco, Inc.
92537RAA7
2085000.00000000
PA
USD
2171006.25000000
0.033543141920
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
5.25000000
N
N
N
N
N
N
Mattel, Inc.
549300VELLG24KHTJ564
Mattel, Inc.
577081BB7
8363000.00000000
PA
USD
8875233.75000000
0.137126839342
Long
DBT
CORP
US
Y
2
2025-12-31
Fixed
6.75000000
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDC1
86000.00000000
PA
USD
88365.00000000
0.001365283833
Long
DBT
CORP
US
Y
2
2024-09-01
Fixed
4.62500000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2017-1, Class D
26208EAG9
213201.86000000
PA
USD
216032.09000000
0.003337804787
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
3.84000000
N
N
N
N
N
N
Csma Consulting Ltd.
213800ORKYBFKN7JZO69
Csma Consulting Ltd.
N/A
6810119.55000000
PA
USD
6673917.16000000
0.103115387376
Long
ABS-MBS
CORP
GB
N
3
2023-07-31
None
0.00000000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2019-BN20, Class XA
06540AAE1
55249974.06000000
PA
USD
3427885.19000000
0.052962555688
Long
ABS-MBS
CORP
US
N
2
2062-09-15
Variable
0.96280200
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2020-CBM, Class D
20049AAG3
1630000.00000000
PA
USD
1483684.35000000
0.022923671784
Long
ABS-MBS
CORP
US
Y
3
2037-02-10
Variable
3.75377800
N
N
N
N
N
N
PG&E Corp.
8YQ2GSDWYZXO2EDN3511
PG&E Corp.
69331CAH1
4100000.00000000
PA
USD
4089750.00000000
0.063188700939
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
5.00000000
N
N
N
N
N
N
Claire's Stores, Inc.
N/A
Claire's Stores, Inc., 1st Lien Term Loan B
17958DAL1
12430.01000000
PA
USD
9648.80000000
0.000149078828
Long
LON
CORP
US
N
2
2026-12-18
Variable
6.80788000
N
N
N
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013092AG6
1783000.00000000
PA
USD
1796372.50000000
0.027754861465
Long
DBT
CORP
US
Y
2
2029-03-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K065, Class X3
3137F1G77
13305000.00000000
PA
USD
1647856.18000000
0.025460209389
Long
ABS-MBS
USGSE
US
N
2
2045-07-25
Variable
2.25739400
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAH2
3390000.00000000
PA
USD
3530468.75000000
0.054547523448
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
5.37500000
N
N
N
N
N
N
United Natural Foods, Inc.
N/A
United Natural Foods, Inc., 1st Lien Term Loan B
91116KAB1
262336.68000000
PA
USD
255450.34000000
0.003946836637
Long
LON
CORP
US
N
2
2025-10-22
Variable
4.40638000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class F
61765XAS3
6334000.00000000
PA
USD
3096340.43000000
0.047840021869
Long
ABS-MBS
CORP
US
Y
3
2047-12-15
Variable
3.23700100
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2019-A, Class D
12596HAD9
3120000.00000000
PA
USD
3237235.87000000
0.050016927504
Long
ABS-O
CORP
US
Y
2
2024-12-16
Fixed
4.35000000
N
N
N
N
N
N
VOLT LXXXIV LLC
N/A
VOLT LXXXIV LLC, Series 2019-NP10, Class A1B
92870FAB6
14250000.00000000
PA
USD
13823466.15000000
0.213579526500
Long
ABS-O
CORP
US
Y
3
2049-12-27
Variable
3.96709900
N
N
N
N
N
N
SoFi Consumer Loan Program LLC
N/A
SoFi Consumer Loan Program LLC, Series 2017-6, Class C
83405QAD1
100000.00000000
PA
USD
100742.71000000
0.001556525698
Long
ABS-O
CORP
US
Y
3
2026-11-25
Fixed
4.02000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A
05377RDY7
3750000.00000000
PA
USD
3796995.00000000
0.058665488483
Long
ABS-O
CORP
US
Y
2
2027-02-20
Fixed
2.02000000
N
N
N
N
N
N
DT Auto Owner Trust
549300XVMF0FUK76JG97
DT Auto Owner Trust, Series 2019-1A, Class E
23343GAJ1
2735000.00000000
PA
USD
2772951.68000000
0.042843502519
Long
ABS-O
CORP
US
Y
2
2026-02-17
Fixed
4.94000000
N
N
N
N
N
N
Aeropuerto Internacional de Tocumen SA
254900FO1PHX49ZIGB14
Aeropuerto Internacional de Tocumen SA
N/A
1700000.00000000
PA
USD
1894437.50000000
0.029270015193
Long
DBT
NUSS
PA
Y
2
2048-11-18
Fixed
6.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617G83N1
1195937.89000000
PA
USD
1340877.33000000
0.020717231273
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
5.50000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2018-2, Class A
92259BAA8
3843618.46000000
PA
USD
3906997.42000000
0.060365081373
Long
ABS-MBS
CORP
US
Y
2
2048-10-26
Variable
4.05000000
N
N
N
N
N
N
Banco Mercantil del Norte SA
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA
N/A
3700000.00000000
PA
USD
3710406.25000000
0.057327648608
Long
DBT
CORP
MX
Y
2
2029-06-27
Variable
7.49999900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-137, Class PI
38382AYC3
27537212.11000000
PA
USD
3212045.06000000
0.049627716780
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.50000000
N
N
N
N
N
N
Natwest Group plc
2138005O9XJIJN4JPN90
Natwest Group plc
780097BQ3
12295000.00000000
PA
USD
12952413.65000000
0.200121325895
Long
DBT
CORP
GB
N
2
2025-12-29
Variable
6.00000100
N
N
N
N
N
N
University of California
N/A
University of California
91412GXY6
100000.00000000
PA
USD
124234.00000000
0.001919477980
Long
DBT
MUN
US
N
2
2045-05-15
Fixed
4.13100000
N
N
N
N
N
N
Arroyo Mortgage Trust
N/A
Arroyo Mortgage Trust, Series 2019-3, Class M1
04285AAD7
1000000.00000000
PA
USD
1017118.30000000
0.015714990911
Long
ABS-MBS
CORP
US
Y
3
2048-10-25
Variable
4.20400100
N
N
N
N
N
N
FRR Re-REMIC Trust
N/A
FRR Re-REMIC Trust, Series 2018-C1, Class BK43
30307WAL0
6012660.00000000
PA
USD
4979463.75000000
0.076935227273
Long
ABS-MBS
CORP
US
Y
3
2048-02-27
Variable
2.88622100
N
N
N
N
N
N
Millicom International Cellular SA
549300CTHC1CP86P2G96
Millicom International Cellular SA
N/A
2600000.00000000
PA
USD
2714562.50000000
0.041941360228
Long
DBT
CORP
LU
Y
2
2028-01-15
Fixed
5.12500000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA2, Class B1
3137G0PR4
7000000.00000000
PA
USD
7087610.60000000
0.109507159748
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
5.32513100
N
N
N
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP, Series G
29278NAT0
11705000.00000000
PA
USD
10217294.50000000
0.157862355052
Long
DBT
CORP
US
N
2
2030-05-15
Variable
7.12500100
N
N
N
N
N
N
Dole Food Co., Inc.
549300BHY23LFYB85T03
Dole Food Co., Inc.
256603AC5
650000.00000000
PA
USD
650000.00000000
0.010042827950
Long
DBT
CORP
US
Y
2
2025-06-15
Fixed
7.25000000
N
N
N
N
N
N
Telecom Italia Capital SA
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAV0
3060000.00000000
PA
USD
4263283.80000000
0.065869885704
Long
DBT
CORP
LU
N
2
2038-06-04
Fixed
7.72100000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K103, Class C
30315DAU2
10158000.00000000
PA
USD
10066613.55000000
0.155534258350
Long
ABS-MBS
USGSE
US
Y
2
2051-12-25
Variable
3.57185500
N
N
N
N
N
N
PNMAC GMSR Issuer Trust
N/A
PNMAC GMSR Issuer Trust, Series 2018-GT2, Class A
69354WAD8
4320000.00000000
PA
USD
4128376.03000000
0.063785492591
Long
ABS-O
CORP
US
Y
2
2025-08-25
Floating
2.82512900
N
N
N
N
N
N
Clarios Global LP
N/A
Clarios Global LP
69867DAC2
2780000.00000000
PA
USD
2951769.25000000
0.045606324196
Long
DBT
CORP
US
Y
2
2027-05-15
Fixed
8.50000000
N
N
N
N
N
N
Scotts Miracle-Gro Co. (The)
2TH9E0JTOUXOEGI2R879
Scotts Miracle-Gro Co. (The)
810186AS5
2975000.00000000
PA
USD
3183071.50000000
0.049180060659
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.50000000
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
91831AAC5
5981000.00000000
PA
USD
6152953.75000000
0.095066239844
Long
DBT
CORP
CA
Y
2
2025-04-15
Fixed
6.12500000
N
N
N
N
N
N
VCAT LLC
N/A
VCAT LLC, Series 2020-NPL1, Class A1
91822XAA0
6000000.00000000
PA
USD
6000450.00000000
0.092709979963
Long
ABS-O
CORP
US
Y
2
2050-08-25
Variable
3.67099900
N
N
N
N
N
N
Centex Home Equity Loan Trust
N/A
Centex Home Equity Loan Trust, Series 2004-A, Class AF4
152314HY9
147051.70000000
PA
USD
152569.58000000
0.002357276988
Long
ABS-O
CORP
US
N
3
2032-08-25
Variable
5.01000100
N
N
N
N
N
N
Kabbage Funding LLC
N/A
Kabbage Funding LLC, Series 2019-1, Class C
48283PAG6
1000000.00000000
PA
USD
845000.00000000
0.013055676335
Long
ABS-O
CORP
US
Y
3
2024-03-15
Fixed
4.61100000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
25272KAU7
99000.00000000
PA
USD
99154.44000000
0.001531986125
Long
DBT
CORP
US
Y
2
2021-06-15
Fixed
5.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4983, Class SA
3137FTHH3
22100633.99000000
PA
USD
4722708.79000000
0.072968233598
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Floating
5.93812100
N
N
N
N
N
N
Elementia SAB de CV
549300BH08XQJ1ITLQ77
Elementia SAB de CV
N/A
1400000.00000000
PA
USD
1298937.50000000
0.020069239740
Long
DBT
CORP
MX
Y
2
2025-01-15
Fixed
5.50000000
N
N
N
N
N
N
Sprint Capital Corp.
549300L17W0GQBR1PO80
Sprint Capital Corp.
852060AD4
148000.00000000
PA
USD
189327.52000000
0.002925205707
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
6.87500000
N
N
N
N
N
N
Transocean, Inc.
DOL4HJ22ADYSIWES4H94
Transocean, Inc.
893830BL2
1645000.00000000
PA
USD
503781.25000000
0.007783674489
Long
DBT
CORP
KY
Y
2
2027-02-01
Fixed
8.00000000
N
N
N
N
N
N
PetSmart, Inc.
N/A
PetSmart, Inc.
04021LAA8
3880000.00000000
PA
USD
3908673.20000000
0.060390973019
Long
DBT
CORP
US
Y
2
2023-03-15
Fixed
7.12500000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A
05377RDG6
5656000.00000000
PA
USD
5774270.92000000
0.089215399061
Long
ABS-O
CORP
US
Y
2
2023-03-20
Fixed
3.45000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2020-2A, Class B
23343RAC2
2000000.00000000
PA
USD
2029168.20000000
0.031351672485
Long
ABS-O
CORP
US
Y
2
2026-03-16
Fixed
2.08000000
N
N
N
N
N
N
Telefonica Celular del Paraguay SA
254900R8A8IKGF4THL54
Telefonica Celular del Paraguay SA
87936VAB3
800000.00000000
PA
USD
843000.00000000
0.013024775326
Long
DBT
CORP
PY
Y
2
2027-04-15
Fixed
5.87500000
N
N
N
N
N
N
NRZ Excess Spread-Collateralized Notes
N/A
NRZ Excess Spread-Collateralized Notes, Series 2018-FNT1, Class E
64829TAE1
464434.19000000
PA
USD
448515.99000000
0.006929798339
Long
ABS-O
CORP
US
Y
3
2023-05-25
Fixed
4.89000000
N
N
N
N
N
N
Clear Channel Outdoor Holdings, Inc.
N/A
Clear Channel Outdoor Holdings, Inc.
18453H106
5550.00000000
NS
USD
6493.50000000
0.000100327851
Long
EC
CORP
US
N
1
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404121AG0
355000.00000000
PA
USD
388725.00000000
0.006005997377
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.87500000
N
N
N
N
N
N
CARS-DB4 LP
N/A
CARS-DB4 LP, Series 2020-1A, Class B1
12510HAG5
3500000.00000000
PA
USD
3418431.80000000
0.052816496043
Long
ABS-O
CORP
US
Y
3
2050-02-15
Fixed
4.17000000
N
N
N
N
N
N
CDW LLC
N/A
CDW LLC
12513GBD0
6300000.00000000
PA
USD
6583500.00000000
0.101718396635
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
4.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K098, Class X3
3137FPHN8
95472259.00000000
PA
USD
13445176.84000000
0.207734765799
Long
ABS-MBS
USGSE
US
N
2
2047-10-25
Variable
2.06873600
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 5 Year Note
N/A
-18.00000000
NC
USD
-1582.87000000
-0.00002445614
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 5 Year Note
2020-12-31
-2268000.00000000
USD
-1582.87000000
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013092AC5
1755000.00000000
PA
USD
1854403.20000000
0.028651465059
Long
DBT
CORP
US
Y
2
2027-01-15
Fixed
4.62500000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
State of Qatar
74727PBE0
6900000.00000000
PA
USD
8952750.00000000
0.138324504514
Long
DBT
NUSS
QA
Y
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
Whiting Petroleum Corp.
52990028CHK9KUB1B293
Whiting Petroleum Corp.
966387AL6
149000.00000000
PA
USD
34270.00000000
0.000529488790
Long
DBT
CORP
US
N
2
2049-12-31
Fixed
1.25000000
Y
N
N
N
N
Whiting Petroleum Corp.
Whiting Petroleum Corp.
USD
XXXX
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust, Series 2020-GC47, Class XA
36258RBC6
80868131.53000000
PA
USD
7340101.09000000
0.113408265210
Long
ABS-MBS
CORP
US
N
2
2053-05-12
Variable
1.24732100
N
N
N
N
N
N
Lennar Corp.
529900G61XVRLX5TJX09
Lennar Corp.
526057CT9
4166000.00000000
PA
USD
4701455.98000000
0.072639866960
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.25000000
N
N
N
N
N
N
NextEra Energy Operating Partners LP
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAB8
201000.00000000
PA
USD
219592.50000000
0.003392814918
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
4.50000000
N
N
N
N
N
N
Mauser Packaging Solutions Holding Co.
549300DNGHXL0OMHW304
Mauser Packaging Solutions Holding Co.
12429TAE4
5185000.00000000
PA
USD
5040908.85000000
0.077884585069
Long
DBT
CORP
US
Y
2
2025-04-15
Fixed
7.25000000
N
N
N
N
N
N
Live Nation Entertainment, Inc.
5493007B9BM9ZXJINO78
Live Nation Entertainment, Inc.
538034AR0
1820000.00000000
PA
USD
1721601.70000000
0.026599614880
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
Mallinckrodt International Finance SA
N/A
Mallinckrodt International Finance SA
561233AD9
445000.00000000
PA
USD
89000.00000000
0.001375094904
Long
DBT
CORP
LU
Y
2
2023-10-15
Fixed
5.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-80
38378KSD2
23558068.23000000
PA
USD
674696.01000000
0.010424393765
Long
ABS-MBS
USGA
US
N
2
2052-03-16
Variable
0.71494900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-115
38378BL80
45856158.82000000
PA
USD
1047171.24000000
0.016179323997
Long
ABS-MBS
USGA
US
N
2
2054-04-16
Variable
0.41668900
N
N
N
N
N
N
Vericrest Opportunity Loan Trust
N/A
Vericrest Opportunity Loan Trust, Series 2020-NPL6, Class A1A
91832QAA3
8218088.26000000
PA
USD
8240020.69000000
0.127312477075
Long
ABS-O
CORP
US
Y
3
2050-04-25
Variable
3.96709900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-72
38380PKN3
110717480.40000000
PA
USD
10281634.88000000
0.158856446385
Long
ABS-MBS
USGA
US
N
2
2062-05-16
Variable
1.18694900
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Trust, Series 2018-3A, Class D
36255XAD5
680000.00000000
PA
USD
705307.76000000
0.010897360747
Long
ABS-O
CORP
US
Y
2
2025-08-15
Fixed
5.34000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2019-4A, Class E
30167GAJ9
11000000.00000000
PA
USD
10869612.60000000
0.167940998817
Long
ABS-O
CORP
US
Y
2
2026-10-15
Fixed
3.56000000
N
N
N
N
N
N
PNMAC GMSR Issuer Trust
N/A
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A
69354WAC0
4655000.00000000
PA
USD
4546016.67000000
0.070238251195
Long
ABS-O
CORP
US
Y
2
2023-02-25
Floating
3.02513000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K103, Class B
30315DAS7
2303000.00000000
PA
USD
2477851.36000000
0.038284053685
Long
ABS-MBS
USGSE
US
Y
2
2051-12-25
Variable
3.57185500
N
N
N
N
N
N
MFA LLC
N/A
MFA LLC, Series 2017-NPL1, Class A1
552761AA6
210911.38000000
PA
USD
211767.11000000
0.003271908694
Long
ABS-O
CORP
US
Y
3
2047-11-25
Variable
3.35149900
N
N
N
N
N
N
LL ABS Trust
N/A
LL ABS Trust, Series 2019-1A, Class C
50202AAC2
3500000.00000000
PA
USD
3320099.30000000
0.051297209305
Long
ABS-O
CORP
US
Y
3
2027-03-15
Fixed
5.07000000
N
N
N
N
N
N
Freeport-McMoRan, Inc.
549300IRDTHJQ1PVET45
Freeport-McMoRan, Inc.
35671DCG8
2060000.00000000
PA
USD
2164266.90000000
0.033439015562
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
4.37500000
N
N
N
N
N
N
QEP Resources, Inc.
Q6JQDZPXKEDQKVK58165
QEP Resources, Inc.
74733VAC4
85000.00000000
PA
USD
69700.00000000
0.001076900166
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.25000000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CC4
495000.00000000
PA
USD
529749.00000000
0.008184889329
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.62500000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2020-2, Class C
02529WAC1
2000000.00000000
PA
USD
2100820.80000000
0.032458741306
Long
ABS-O
CORP
US
Y
2
2026-04-13
Fixed
3.88000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K90, Class C
30308QAU2
2000000.00000000
PA
USD
2202194.60000000
0.034025017663
Long
ABS-MBS
USGSE
US
Y
2
2052-02-25
Variable
4.46032400
N
N
N
N
N
N
Global Partners LP
N/A
Global Partners LP
37954FAD6
119000.00000000
PA
USD
119000.00000000
0.001838610040
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
7.00000000
N
N
N
N
N
N
Tempur Sealy International, Inc.
549300HFEKVR3US71V91
Tempur Sealy International, Inc.
88023UAG6
6754000.00000000
PA
USD
7066372.50000000
0.109179020388
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-68, Class DS
38376UR43
22549378.49000000
PA
USD
4836356.87000000
0.074724153774
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Floating
5.99199800
N
N
N
N
N
N
JELD-WEN, Inc.
549300XWE6NM0N1HFW16
JELD-WEN, Inc.
475795AE0
1015000.00000000
PA
USD
1089704.00000000
0.016836476598
Long
DBT
CORP
US
Y
2
2025-05-15
Fixed
6.25000000
N
N
N
N
N
N
Remington Outdoor Co., Inc.
N/A
Remington Outdoor Co., Inc.
75959V104
4916.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
FRR Re-REMIC Trust
N/A
FRR Re-REMIC Trust, Series 2018-C1, Class B725
30307WBC9
2225260.00000000
PA
USD
1888583.28000000
0.029179564540
Long
ABS-MBS
CORP
US
Y
3
2050-02-27
Variable
3.09132700
N
N
N
N
N
N
MEG Energy Corp.
5493002WXPTG5ZC1T326
MEG Energy Corp.
552704AC2
3481000.00000000
PA
USD
3454892.50000000
0.053379832254
Long
DBT
CORP
CA
Y
2
2024-03-31
Fixed
7.00000000
N
N
N
N
N
N
Frontier Communications Corp.
549300ZCZ76HYCS0H445
Frontier Communications Corp.
35906AAZ1
369000.00000000
PA
USD
157747.50000000
0.002437278464
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
11.00000000
Y
N
N
N
N
N
University of California
N/A
University of California, Medical Center
913366DF4
255000.00000000
PA
USD
409603.95000000
0.006328587688
Long
DBT
MUN
US
N
2
2049-05-15
Fixed
6.58300000
N
N
N
N
N
N
Los Angeles Community College District/CA
N/A
Los Angeles Community College District, Series E
54438CPA4
100000.00000000
PA
USD
183669.00000000
0.002837778718
Long
DBT
MUN
US
N
2
2049-08-01
Fixed
6.75000000
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GCX6
10278000.00000000
PA
USD
10791900.00000000
0.166740299938
Long
DBT
CORP
US
Y
2
2027-02-01
Fixed
6.25000000
N
N
N
N
N
N
Nokia OYJ
549300A0JPRWG1KI7U06
Nokia OYJ
654902AE5
2600000.00000000
PA
USD
2845700.00000000
0.043967500767
Long
DBT
CORP
FI
N
2
2027-06-12
Fixed
4.37500000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2019-R02, Class 1B1
20753KAF9
10130000.00000000
PA
USD
9648445.13000000
0.149073345279
Long
ABS-MBS
CORP
US
Y
3
2031-08-25
Floating
4.32513000
N
N
N
N
N
N
Iron Mountain, Inc.
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAE1
763000.00000000
PA
USD
802584.44000000
0.012400334533
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
5.25000000
N
N
N
N
N
N
WPX Energy, Inc.
ZXZE9GCS2BB547GJW219
WPX Energy, Inc.
98212BAM5
1000000.00000000
PA
USD
1015000.00000000
0.015682262107
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.87500000
N
N
N
N
N
N
Georgian Railway JSC
2138005UZV4ZT2B2ZO19
Georgian Railway JSC
N/A
3000000.00000000
PA
USD
3120000.00000000
0.048205574162
Long
DBT
CORP
GE
Y
2
2022-07-11
Fixed
7.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2019-M31, Class X
3136B7T84
57657420.74000000
PA
USD
4485043.91000000
0.069296191290
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Variable
0.98600000
N
N
N
N
N
N
Telecom Italia Capital SA
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAM0
2211000.00000000
PA
USD
2686365.00000000
0.041505694626
Long
DBT
CORP
LU
N
2
2034-09-30
Fixed
6.00000000
N
N
N
N
N
N
Greif, Inc.
54930070FVGKR0Z1FI24
Greif, Inc.
397624AH0
1690000.00000000
PA
USD
1799850.00000000
0.027808590595
Long
DBT
CORP
US
Y
2
2027-03-01
Fixed
6.50000000
N
N
N
N
N
N
Veros Automobile Receivables Trust
N/A
Veros Automobile Receivables Trust, Series 2018-1, Class D
92511AAD8
2500000.00000000
PA
USD
2510382.75000000
0.038786680074
Long
ABS-O
CORP
US
Y
2
2025-08-15
Fixed
5.74000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-49, Class SB
38379WFD9
7202135.86000000
PA
USD
1475441.80000000
0.022796320228
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Floating
5.89200100
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2020-2, Class D
02529WAD9
900000.00000000
PA
USD
987945.30000000
0.015264253342
Long
ABS-O
CORP
US
Y
2
2026-05-13
Fixed
5.65000000
N
N
N
N
N
N
Vericrest Opportunity Loan Trust
N/A
Vericrest Opportunity Loan Trust, Series 2019-NPL4, Class A2
92872NAC5
3910000.00000000
PA
USD
3647725.41000000
0.056359198005
Long
ABS-O
CORP
US
Y
3
2049-08-25
Variable
5.43800200
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-2, Class D
02530DAD8
6780000.00000000
PA
USD
6967696.84000000
0.107654431655
Long
ABS-O
CORP
US
Y
2
2025-06-12
Fixed
3.41000000
N
N
N
N
N
N
Nuance Communications, Inc.
AEMSOT3SS15TNMJCE605
Nuance Communications, Inc.
67020YAQ3
684000.00000000
PA
USD
725040.00000000
0.011202233811
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.62500000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2019-L3, Class D
61691UAJ8
4500000.00000000
PA
USD
3707025.75000000
0.057275418177
Long
ABS-MBS
CORP
US
Y
2
2052-11-15
Variable
2.49999800
N
N
N
N
N
N
GCI LLC
549300N3IE9H88Q20221
GCI LLC
36155WAK2
1725000.00000000
PA
USD
1787531.25000000
0.027618259692
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
6.87500000
N
N
N
N
N
N
Howmet Aerospace, Inc.
549300HO5WFZUT5N2T22
Howmet Aerospace, Inc.
022249AU0
118000.00000000
PA
USD
136894.48000000
0.002115088784
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.75000000
N
N
N
N
N
N
Rackspace Hosting, Inc.
549300QTYCKLMFSE8I97
Rackspace Hosting, Inc., 1st Lien Term Loan B
75008QAL0
145136.27000000
PA
USD
143413.50000000
0.002215810932
Long
LON
CORP
US
N
2
2023-11-03
Variable
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2020-M10, Class X3
3136B9DY0
68760604.88000000
PA
USD
5741269.85000000
0.088705515879
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Variable
1.43809900
N
N
N
N
N
N
SoFi Consumer Loan Program LLC
N/A
SoFi Consumer Loan Program LLC, Series 2017-6, Class B
83405QAC3
100000.00000000
PA
USD
102718.90000000
0.001587058830
Long
ABS-O
CORP
US
Y
2
2026-11-25
Fixed
3.52000000
N
N
N
N
N
N
Tallgrass Energy Partners LP
N/A
Tallgrass Energy Partners LP
87470LAA9
224000.00000000
PA
USD
219520.00000000
0.003391694756
Long
DBT
CORP
US
Y
2
2024-09-15
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
7500000.00000000
PA
USD
-1121512.56000000
-0.01732793489
N/A
DCR
US
N
2
Bank of America
AHYI0DDQ2LCHPGHJC422
Markit CMBX North American BBB- 12
Markit CMBX North American BBB- 12
Y
Payout of notional amount upon default event with regard to the reference instrument
2061-08-17
0.00000000
USD
41108.38000000
USD
7500000.00000000
USD
-1121512.56000000
N
N
N
Chemours Co. (The)
549300M1BOLNXL8DOV14
Chemours Co. (The)
163851AB4
970000.00000000
PA
USD
974840.30000000
0.015061774480
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
6.62500000
N
N
N
N
N
N
Open Text Corp.
549300HP7ONDQODZJV16
Open Text Corp.
683715AC0
1235000.00000000
PA
USD
1270271.60000000
0.019626337122
Long
DBT
CORP
CA
Y
2
2028-02-15
Fixed
3.87500000
N
N
N
N
N
N
VOLT LXXXIII LLC
N/A
VOLT LXXXIII LLC, Series 2019-NPL9, Class A1B
92870EAB9
12130000.00000000
PA
USD
11835008.10000000
0.182856846372
Long
ABS-O
CORP
US
Y
3
2049-11-26
Variable
4.09000000
N
N
N
N
N
N
Cascade MH Asset Trust
N/A
Cascade MH Asset Trust, Series 2019-MH1, Class A
14732FAA0
8066978.00000000
PA
USD
8360373.18000000
0.129171983768
Long
ABS-O
CORP
US
Y
2
2044-11-25
Variable
4.00000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2019-1, Class M1
92257CAB6
1869909.59000000
PA
USD
1854142.51000000
0.028647437267
Long
ABS-MBS
CORP
US
Y
3
2049-03-25
Variable
3.93999800
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
5000000.00000000
PA
USD
-598314.42000000
-0.00924425966
N/A
DCR
US
N
2
Bank of America
AHYI0DDQ2LCHPGHJC422
Markit CMBX North American BBB- 12
Markit CMBX North American BBB- 12
Y
Payout of notional amount upon default event with regard to the reference instrument
2061-08-17
0.00000000
USD
176766.20000000
USD
5000000.00000000
USD
-598314.42000000
N
N
N
American Axle & Manufacturing, Inc.
RY5TAKFOBLDUGX31MS24
American Axle & Manufacturing, Inc.
02406PAU4
3140000.00000000
PA
USD
3226350.00000000
0.049848735320
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
6.50000000
N
N
N
N
N
N
James Hardie International Finance DAC
635400G32A4Q1LVQ8M88
James Hardie International Finance DAC
47032FAB5
500000.00000000
PA
USD
531240.00000000
0.008207926031
Long
DBT
CORP
IE
Y
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-55, Class AI
3136AEQT7
3634866.07000000
PA
USD
353376.95000000
0.005459852170
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Fixed
3.00000000
N
N
N
N
N
N
Gartner, Inc.
PP55B5R38BFB8O8HH686
Gartner, Inc.
366651AB3
1813000.00000000
PA
USD
1884976.10000000
0.029123831789
Long
DBT
CORP
US
Y
2
2025-04-01
Fixed
5.12500000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2018-BN12, Class D
06541KAJ7
1250000.00000000
PA
USD
807366.63000000
0.012474221781
Long
ABS-MBS
CORP
US
Y
3
2061-05-15
Fixed
3.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2004-18CB, Class 5A1
12667FQU2
33310.15000000
PA
USD
34778.26000000
0.000537341664
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6.25000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 Multifamily Housing Mortgage Loan Trust, Series 2019-Q009, Class B
67052MAB3
3839860.45000000
PA
USD
3809941.41000000
0.058865517049
Long
ABS-MBS
CORP
US
Y
3
2024-04-25
Floating
2.90488000
N
N
N
N
N
N
Popular ABS Mortgage Pass-Through Trust
N/A
Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class M1
73316PDS6
267543.44000000
PA
USD
273126.91000000
0.004219948562
Long
ABS-O
CORP
US
N
3
2035-07-25
Variable
3.92442800
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-97
38379UXZ4
42662072.96000000
PA
USD
2728546.73000000
0.042157423637
Long
ABS-MBS
USGA
US
N
2
2056-07-16
Variable
1.03772900
N
N
N
N
N
N
Acadia Healthcare Co., Inc.
5493005CW985Y9D0NC11
Acadia Healthcare Co., Inc.
00404AAJ8
738000.00000000
PA
USD
747225.00000000
0.011545003254
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
5.62500000
N
N
N
N
N
N
SPDR Blackstone
549300ME4SR63Y3TRD06
SPDR Blackstone
78467V608
975000.00000000
NS
USD
43699500.00000000
0.675179323118
Long
RF
US
N
1
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
071734AH0
6204000.00000000
PA
USD
6110940.00000000
0.094417106209
Long
DBT
CORP
CA
Y
2
2028-01-30
Fixed
5.00000000
N
N
N
N
N
N
Vistra Operations Co. LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAA0
501000.00000000
PA
USD
526050.00000000
0.008127737912
Long
DBT
CORP
US
Y
2
2026-09-01
Fixed
5.50000000
N
N
N
N
N
N
GLS Auto Receivables Issuer Trust
N/A
GLS Auto Receivables Issuer Trust, Series 2019-1A, Class C
36256DAC0
1140000.00000000
PA
USD
1178367.61000000
0.018206374107
Long
ABS-O
CORP
US
Y
2
2024-12-16
Fixed
3.87000000
N
N
N
N
N
N
LHOME Mortgage Trust
N/A
LHOME Mortgage Trust, Series 2019-RTL3, Class A2
501878AC6
9300000.00000000
PA
USD
8764123.77000000
0.135410134092
Long
ABS-MBS
CORP
US
Y
2
2024-07-25
Variable
4.33500100
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust, Series 2019-3, Class C
26209WAF0
2080000.00000000
PA
USD
2147044.64000000
0.033172922956
Long
ABS-O
CORP
US
N
2
2025-08-15
Fixed
2.90000000
N
N
N
N
N
N
Crown Americas LLC
N/A
Crown Americas LLC
228187AB6
860000.00000000
PA
USD
896507.00000000
0.013851485473
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
4.75000000
N
N
N
N
N
N
GLS Auto Receivables Issuer Trust
N/A
GLS Auto Receivables Issuer Trust, Series 2019-4A, Class C
36258HAE5
1050000.00000000
PA
USD
1069644.45000000
0.016526546430
Long
ABS-O
CORP
US
Y
2
2025-08-15
Fixed
3.06000000
N
N
N
N
N
N
Adient US LLC
213800SOTRCDGZUHL712
Adient US LLC
00688JAA5
4760000.00000000
PA
USD
5113334.80000000
0.079003602538
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
7.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2020-1, Class M1
92536PAF1
1990000.00000000
PA
USD
1870728.75000000
0.028903703043
Long
ABS-MBS
CORP
US
Y
3
2060-01-25
Variable
3.02100100
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust, Series 2020-2A, Class D
682696AD1
7000000.00000000
PA
USD
7064637.30000000
0.109152210672
Long
ABS-O
CORP
US
Y
2
2035-09-14
Fixed
3.45000000
N
N
N
N
N
N
Republic of Namibia
549300T6Y4CWK77SML15
Republic of Namibia
N/A
4900000.00000000
PA
USD
4967375.00000000
0.076748449986
Long
DBT
NUSS
NA
Y
2
2025-10-29
Fixed
5.25000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A
92922FAS7
155832.52000000
PA
USD
156711.29000000
0.002421268497
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
2.86692500
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPBX0
12412000.00000000
PA
USD
13125690.00000000
0.202798532927
Long
DBT
CORP
US
Y
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2004-24CB, Class 1A1
12667FVN2
21589.12000000
PA
USD
21895.09000000
0.000338290187
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
6.00000000
N
N
N
N
N
N
MYT Holding Co.
549300853MX08B1AUK51
MYT Holding Co.
55406M204
16402.00000000
NS
USD
14679.79000000
0.000226810162
Long
EP
CORP
US
Y
2
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2018-SFR3, Class D
74331MAD8
1047000.00000000
PA
USD
1083066.22000000
0.016733919548
Long
ABS-O
CORP
US
Y
2
2035-10-17
Fixed
4.42700000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-89, Class IA
38380PTL8
49866808.90000000
PA
USD
4800697.64000000
0.074173200679
Long
ABS-MBS
USGA
US
N
2
2062-04-16
Variable
1.25192900
N
N
N
N
N
N
Conn's Receivables Funding LLC
N/A
Conn's Receivables Funding LLC, Series 2019-A, Class B
20827DAB6
1704467.38000000
PA
USD
1700534.32000000
0.026274113230
Long
ABS-O
CORP
US
Y
3
2023-10-16
Fixed
4.36000000
N
N
N
N
N
N
Renew
N/A
Renew, Series 2017-1A, Class B
75973LAB4
250766.12000000
PA
USD
258242.81000000
0.003989981708
Long
ABS-O
CORP
KY
Y
3
2052-09-20
Fixed
5.75000000
N
Y
N
N
N
N
Vista Outdoor, Inc.
549300QI2D33ESTJLN81
Vista Outdoor, Inc.
928377AB6
350000.00000000
PA
USD
355687.50000000
0.005495551333
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
5.87500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KF73, Class B
30313BAA2
12268000.00000000
PA
USD
11565852.06000000
0.178698249754
Long
ABS-MBS
USGSE
US
Y
2
2029-11-25
Floating
2.60488100
N
N
N
N
N
N
Energy Transfer Operating LP
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29273RBL2
430000.00000000
PA
USD
413029.65000000
0.006381516482
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
5.30000000
N
N
N
N
N
N
Park Aerospace Holdings Ltd.
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd.
70014LAC4
2496000.00000000
PA
USD
2381879.59000000
0.036801241417
Long
DBT
CORP
KY
Y
2
2023-03-15
Fixed
4.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Arab Republic of Egypt
N/A
5600000.00000000
PA
USD
5565000.00000000
0.085982057761
Long
DBT
NUSS
EG
Y
2
2032-01-15
Fixed
7.05290000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2019-1, Class D
80285HAG5
1410000.00000000
PA
USD
1454661.89000000
0.022475260134
Long
ABS-O
CORP
US
N
2
2025-04-15
Fixed
3.65000000
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPBK8
3524000.00000000
PA
USD
3704605.00000000
0.057238016369
Long
DBT
CORP
US
Y
2
2027-05-01
Fixed
5.87500000
N
N
N
N
N
N
Colfax Corp.
635400OP2DYYYMOIYL17
Colfax Corp.
15723RAA2
1935000.00000000
PA
USD
2007562.50000000
0.031017853519
Long
DBT
CORP
US
Y
2
2024-02-15
Fixed
6.00000000
N
N
N
N
N
N
Berry Global, Inc.
549300AP2Q7ERHX6RI89
Berry Global, Inc.
08576PAA9
525000.00000000
PA
USD
535282.13000000
0.008270378979
Long
DBT
CORP
US
Y
2
2026-02-15
Fixed
4.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K724, Class X3
3137BTU58
4930000.00000000
PA
USD
276426.09000000
0.004270922558
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Variable
1.92761600
N
N
N
N
N
N
Tallgrass Energy Partners LP
N/A
Tallgrass Energy Partners LP
87470LAD3
54000.00000000
PA
USD
49410.00000000
0.000763409429
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
United Rentals North America, Inc.
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911365BG8
4625000.00000000
PA
USD
4917392.50000000
0.075976195143
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.87500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2017-K67, Class B
30300YAS8
145000.00000000
PA
USD
161102.41000000
0.002489113517
Long
ABS-MBS
USGSE
US
Y
2
2049-09-25
Variable
4.07881400
N
N
N
N
N
N
Colt Merger Sub, Inc.
N/A
Colt Merger Sub, Inc.
12770RAA1
234000.00000000
PA
USD
245115.00000000
0.003787150420
Long
DBT
CORP
US
Y
2
2025-07-01
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
iHeartMedia Capital I LLC
N/A
2083.00000000
NS
USD
15622.50000000
0.000241375507
N/A
DO
US
N
3
iHeartMedia Capital I LLC
N/A
Call
Purchased
Clear Channel Outdoor Holdings, Inc.
Clear Channel Outdoor Holdings, Inc.
0.00000000
1.00000000
USD
2039-05-02
XXXX
-21663.20000000
N
N
N
Oasis Petroleum, Inc.
529900FA4V2YNIKZ0M71
Oasis Petroleum, Inc.
674215AG3
3819000.00000000
PA
USD
742318.13000000
0.011469189637
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
6.87500000
N
N
N
N
N
N
Leviathan Bond Ltd.
254900D9T8VKYVQNZ220
Leviathan Bond Ltd.
N/A
1553000.00000000
PA
USD
1618226.00000000
0.025002408158
Long
DBT
CORP
IL
Y
2
2030-06-30
Fixed
6.75000000
N
N
N
N
N
N
Tenneco, Inc.
549300U0EXXFAQFAD785
Tenneco, Inc.
88037EAJ0
540000.00000000
PA
USD
415800.00000000
0.006424319787
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
5.37500000
N
N
N
N
N
N
Southwestern Energy Co.
EFWMP121W54QV9MGOP87
Southwestern Energy Co.
845467AN9
160000.00000000
PA
USD
163616.00000000
0.002527949750
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
7.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2017-69, Class SH
3136AXA54
1534023.58000000
PA
USD
330028.15000000
0.005099101429
Long
ABS-MBS
USGSE
US
N
2
2047-09-25
Floating
6.02487000
N
N
N
N
N
N
Toorak Mortgage Corp. Ltd.
N/A
Toorak Mortgage Corp. Ltd., Series 2018-1, Class A1
89051QAA1
940000.00000000
PA
USD
949175.06000000
0.014665233573
Long
ABS-MBS
CORP
US
Y
2
2021-08-25
Variable
4.33559900
N
N
N
N
N
N
Qorvo, Inc.
254900YAUJV2EUEVBR11
Qorvo, Inc.
74736KAF8
2519000.00000000
PA
USD
2672281.15000000
0.041288092038
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
5.50000000
N
N
N
N
N
N
Lamar Media Corp.
N/A
Lamar Media Corp.
513075BS9
500000.00000000
PA
USD
510625.00000000
0.007889413880
Long
DBT
CORP
US
Y
2
2030-02-15
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA2, Class M2
3137G0NX3
2720000.00000000
PA
USD
2784249.39000000
0.043018057838
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
3.62513200
N
N
N
N
N
N
Mauser Packaging Solutions Holding Co.
549300DNGHXL0OMHW304
Mauser Packaging Solutions Holding Co.
12429TAD6
5060000.00000000
PA
USD
5135900.00000000
0.079352246263
Long
DBT
CORP
US
Y
2
2024-04-15
Fixed
5.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2019-4, Class M1
92537KAD6
5200000.00000000
PA
USD
5236171.20000000
0.080901486894
Long
ABS-MBS
CORP
US
Y
3
2059-11-25
Variable
3.20699900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K103, Class X3
3137FQKR3
80100000.00000000
PA
USD
10738862.82000000
0.165920848748
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Variable
1.91349000
N
N
N
N
N
N
DCP Midstream Operating LP
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAD9
350000.00000000
PA
USD
354375.00000000
0.005475272546
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.87500000
N
N
N
N
N
N
Sabre GLBL, Inc.
F2TJC7HPPHLHU1AQMP98
Sabre GLBL, Inc.
78573NAA0
4975000.00000000
PA
USD
5024750.00000000
0.077634922684
Long
DBT
CORP
US
Y
2
2023-04-15
Fixed
5.37500000
N
N
N
N
N
N
Constellium SE
724500KRJEMC79KAAU28
Constellium SE
N/A
550000.00000000
PA
USD
563029.50000000
0.008699089845
Long
DBT
CORP
FR
Y
2
2026-02-15
Fixed
5.87500000
N
N
N
N
N
N
Emirate of Abu Dhabi United Arab Emirates
213800FER4348CINTA77
United Arab Emirates Government Bond
29135LAJ9
2100000.00000000
PA
USD
2564625.00000000
0.039624750204
Long
DBT
NUSS
AE
Y
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K093, Class X3
3137FMCU4
50763750.00000000
PA
USD
7776666.38000000
0.120153419205
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Variable
2.28092400
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust, Series 2020-2A, Class B
682696AB5
4000000.00000000
PA
USD
4043416.80000000
0.062472829623
Long
ABS-O
CORP
US
Y
2
2035-09-14
Fixed
2.21000000
N
N
N
N
N
N
Gulfport Energy Corp.
549300FJX18IDUFPHD40
Gulfport Energy Corp.
402635AP1
27000.00000000
PA
USD
15795.00000000
0.000244040719
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.37500000
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599EB7
1225000.00000000
PA
USD
1231125.00000000
0.019021502401
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.87500000
N
N
N
N
N
N
OneMain Finance Corp.
5493008I795YYBFWFU90
OneMain Finance Corp.
85172FAM1
935000.00000000
PA
USD
1054497.68000000
0.016292521191
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K094, Class X3
3137FMU34
19360000.00000000
PA
USD
2905122.88000000
0.044885614244
Long
ABS-MBS
USGSE
US
N
2
2047-07-25
Variable
2.19705500
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2016-CR28, Class E
12593YAL7
3587500.00000000
PA
USD
2673209.48000000
0.041302435205
Long
ABS-MBS
CORP
US
Y
3
2049-02-10
Variable
4.29415600
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2020-2A, Class D
96042PAF9
2000000.00000000
PA
USD
2048245.20000000
0.031646421760
Long
ABS-O
CORP
US
Y
2
2026-01-15
Fixed
2.76000000
N
N
N
N
N
N
SM Energy Co.
84BUTVXV5ODI6BXNMH43
SM Energy Co.
78454LAK6
3580000.00000000
PA
USD
2794082.60000000
0.043169985894
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
6.12500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K94, Class C
30310XAG4
13000000.00000000
PA
USD
13461773.00000000
0.207991184844
Long
ABS-MBS
USGSE
US
Y
2
2052-07-25
Variable
4.10114900
N
N
N
N
N
N
PRPM
N/A
PRPM, Series 2019-GS1, Class A2
69359CAB1
4805982.16000000
PA
USD
4719291.85000000
0.072915440151
Long
ABS-MBS
CORP
US
Y
2
2024-10-25
Variable
4.74999800
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
25272KAW3
247000.00000000
PA
USD
256457.63000000
0.003962399776
Long
DBT
CORP
US
Y
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-67
38380NBW8
27847210.58000000
PA
USD
2037452.30000000
0.031479666009
Long
ABS-MBS
USGA
US
N
2
2060-02-16
Variable
0.90121000
N
N
N
N
N
N
Service Corp. International
549300RKVM2ME20JHZ15
Service Corp. International
817565CB8
300000.00000000
PA
USD
305490.00000000
0.004719974631
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
5.37500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2016-56, Class ST
3136ATAH7
8860058.25000000
PA
USD
2111549.46000000
0.032624504516
Long
ABS-MBS
USGSE
US
N
2
2046-08-25
Floating
5.82486800
N
N
N
N
N
N
Bellemeade Re Ltd.
254900SCWI9IDKK5LV64
Bellemeade Re Ltd., Series 2019-3A, Class B1
07877GAD1
1000000.00000000
PA
USD
871547.50000000
0.013465848605
Long
ABS-MBS
CORP
BM
Y
3
2029-07-25
Floating
2.67513100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4937, Class MS
3137FQAD5
65923183.93000000
PA
USD
12017974.42000000
0.185683768330
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Floating
5.88812000
N
N
N
N
N
N
Multifamily Connecticut Avenue Securities Trust
549300HG8ZEWVWVSN227
Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10
62547NAB5
26000000.00000000
PA
USD
23960882.40000000
0.370207722288
Long
ABS-MBS
CORP
US
Y
3
2049-10-15
Floating
3.42513000
N
N
N
N
N
N
Newell Brands, Inc.
549300LWGYFM1TVO1Z12
Newell Brands, Inc.
651229AW6
6000000.00000000
PA
USD
6495420.00000000
0.100357516195
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
4.70000200
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust, Series 2019-2A, Class B2
24381PAF0
1500000.00000000
PA
USD
1321920.90000000
0.020424344866
Long
ABS-MBS
CORP
US
Y
3
2059-04-25
Variable
5.78800100
N
N
N
N
N
N
CSFB Mortgage-Backed Pass-Through Certificates
N/A
CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 2A5
225458PS1
298975.34620000
PA
USD
226884.14000000
0.003505474434
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.72513000
N
N
N
N
N
N
Plantronics, Inc.
5493006O3W5M472F6668
Plantronics, Inc.
727493AB4
2380000.00000000
PA
USD
2246720.00000000
0.034712957558
Long
DBT
CORP
US
Y
2
2023-05-31
Fixed
5.50000000
N
N
N
N
N
N
FREED ABS Trust
N/A
FREED ABS Trust, Series 2020-3FP, Class B
35634LAB9
3000000.00000000
PA
USD
3017657.70000000
0.046624333992
Long
ABS-O
CORP
US
Y
2
2027-09-20
Fixed
4.18000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2017-2, Class E
33844HAJ2
530000.00000000
PA
USD
553296.26000000
0.008548706376
Long
ABS-O
CORP
US
Y
2
2024-07-15
Fixed
5.55000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
12500000.00000000
PA
USD
-1796655.92000000
-0.02775924044
N/A
DCR
GB
N
2
MORGAN STANLEY CO INTERNATIONAL LIMITED
4PQUHN3JPFGFNF3BB653
Markit CMBX North American BBB- 12
Markit CMBX North American BBB- 12
Y
Payout of notional amount upon default event with regard to the reference instrument
2061-08-17
0.00000000
USD
141045.64000000
USD
12500000.00000000
USD
-1796655.92000000
N
N
N
Nationstar Mortgage Holdings, Inc.
N/A
Nationstar Mortgage Holdings, Inc.
93369KAB1
440000.00000000
PA
USD
478640.80000000
0.007395241853
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
9.12500000
N
N
N
N
N
N
Wachovia Capital Trust III
529900IS945AVTZGWM53
Wachovia Capital Trust III
92978AAA0
4738000.00000000
PA
USD
4762874.50000000
0.073588814082
Long
DBT
CORP
US
N
2
2020-10-05
Floating
5.56975100
N
N
N
N
N
N
Ardagh Packaging Finance plc
N/A
Ardagh Packaging Finance plc
03969AAP5
7832000.00000000
PA
USD
8148256.16000000
0.125894668788
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
Santander Prime Auto Issuance Notes Trust
N/A
Santander Prime Auto Issuance Notes Trust, Series 2018-A, Class E
80285BAE3
1241639.60000000
PA
USD
1252347.38000000
0.019349398879
Long
ABS-O
CORP
US
Y
2
2025-09-15
Fixed
5.04000000
N
N
N
N
N
N
Telenet Finance Luxembourg Notes SARL
2138007RI9GLJPCC3E25
Telenet Finance Luxembourg Notes SARL
N/A
2400000.00000000
PA
USD
2551200.00000000
0.039417327180
Long
DBT
CORP
LU
Y
2
2028-03-01
Fixed
5.50000000
N
N
N
N
N
N
Leviathan Bond Ltd.
254900D9T8VKYVQNZ220
Leviathan Bond Ltd.
N/A
2700000.00000000
PA
USD
2817281.25000000
0.043528416741
Long
DBT
CORP
IL
Y
2
2027-06-30
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-51
38379RUE1
13505186.20000000
PA
USD
806618.85000000
0.012462668203
Long
ABS-MBS
USGA
US
N
2
2059-05-16
Variable
0.80313800
N
N
N
N
N
N
CIG Auto Receivables Trust
N/A
CIG Auto Receivables Trust, Series 2017-1A, Class B
171787AB0
75000.00000000
PA
USD
75090.44000000
0.001160185184
Long
ABS-O
CORP
US
Y
2
2023-05-15
Fixed
3.81000000
N
N
N
N
N
N
Catalent Pharma Solutions, Inc.
549300HALRZ339MSTH85
Catalent Pharma Solutions, Inc.
14879EAE8
980000.00000000
PA
USD
1033900.00000000
0.015974276643
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
5.00000000
N
N
N
N
N
N
VOLT LXXX LLC
N/A
VOLT LXXX LLC, Series 2019-NPL6, Class A1B
91834YAB2
17435000.00000000
PA
USD
16836501.78000000
0.260132447179
Long
ABS-O
CORP
US
Y
2
2049-10-25
Variable
4.09000000
N
N
N
N
N
N
Tif Funding II LLC
N/A
Tif Funding II LLC, Series 2020-1A, Class A
872480AA6
5000000.00000000
PA
USD
5017784.50000000
0.077527302194
Long
ABS-MBS
CORP
US
Y
2
2045-08-20
Fixed
3.00000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust, Series 2014-C22, Class D
92890KAJ4
6540000.00000000
PA
USD
4975081.33000000
0.076867516672
Long
ABS-MBS
CORP
US
Y
3
2057-09-15
Variable
4.04965400
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2014-CR19, Class D
12592GAG8
2500000.00000000
PA
USD
2172357.75000000
0.033564023277
Long
ABS-MBS
CORP
US
Y
2
2047-08-10
Variable
4.86807800
N
N
N
N
N
N
Chesapeake Energy Corp.
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp.
165167DD6
3304000.00000000
PA
USD
427901.04000000
0.006611286960
Long
DBT
CORP
US
Y
2
2025-01-01
Fixed
11.50000000
Y
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust, Series 2019-1A, Class D
252722AD5
3069434.56000000
PA
USD
2889356.67000000
0.044642018345
Long
ABS-O
CORP
US
Y
3
2032-02-20
Fixed
5.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-86, Class TS
38382GAP7
18299466.48000000
PA
USD
3374255.09000000
0.052133943585
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Floating
5.44200100
N
N
N
N
N
N
Instituto Costarricense de Electricidad
5493009VA6AFUB2Q0289
Instituto Costarricense de Electricidad
N/A
450000.00000000
PA
USD
348890.63000000
0.005390536262
Long
DBT
NUSS
CR
Y
2
2043-05-15
Fixed
6.37500000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust, Series 2006-14, Class 1A1A
41162NAA5
9857292.09000000
PA
USD
9296844.91000000
0.143640944483
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
0.34138100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2018-67, Class SN
3136B2S86
10785937.64000000
PA
USD
2122140.78000000
0.032788145754
Long
ABS-MBS
USGSE
US
N
2
2048-09-25
Floating
6.02487000
N
N
N
N
N
N
Sensata Technologies BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAH6
200000.00000000
PA
USD
218000.00000000
0.003368209989
Long
DBT
CORP
NL
Y
2
2024-11-01
Fixed
5.62500000
N
N
N
N
N
N
Regional Management Issuance Trust
N/A
Regional Management Issuance Trust, Series 2018-1, Class A
75907PAA8
1480359.33000000
PA
USD
1481817.04000000
0.022894820903
Long
ABS-O
CORP
US
Y
2
2027-07-15
Fixed
3.83000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
549300U48YU2VDL8N523
New Residential Mortgage Loan Trust, Series 2018-3A, Class A1IC
64830KAH0
41254248.97750000
PA
USD
1760718.97000000
0.027203996438
Long
ABS-MBS
CORP
US
Y
2
2058-05-25
Variable
1.50000100
N
N
N
N
N
N
Spectrum Brands, Inc.
549300VU3EH2E73C1Q04
Spectrum Brands, Inc.
84762LAS4
673000.00000000
PA
USD
693190.00000000
0.010710135241
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
6.12500000
N
N
N
N
N
N
Republic of El Salvador
529900AKDMUSFSDOM949
Republic of El Salvador
N/A
5400000.00000000
PA
USD
5531625.00000000
0.085466397172
Long
DBT
NUSS
SV
Y
2
2029-02-28
Fixed
8.62500000
N
N
N
N
N
N
Conn's Receivables Funding LLC
N/A
Conn's Receivables Funding LLC, Series 2019-A, Class C
20827DAC4
11728046.64000000
PA
USD
11299797.02000000
0.174587565151
Long
ABS-O
CORP
US
Y
3
2023-10-16
Fixed
5.29000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp., Series DD
060505EU4
34000.00000000
PA
USD
39316.26000000
0.000607456053
Long
DBT
CORP
US
N
2
2026-03-10
Variable
6.30000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-81
38379RXJ7
24296953.36000000
PA
USD
1367286.75000000
0.021125270137
Long
ABS-MBS
USGA
US
N
2
2058-12-16
Variable
0.80514000
N
N
N
N
N
N
AmeriGas Partners LP
N/A
AmeriGas Partners LP
030981AK0
3952000.00000000
PA
USD
4337320.00000000
0.067013782348
Long
DBT
CORP
US
N
2
2025-05-20
Fixed
5.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2020-K737, Class B
30300SAS1
3750000.00000000
PA
USD
4066872.00000000
0.062835224297
Long
ABS-MBS
USGSE
US
Y
2
2053-01-25
Variable
3.41477600
N
N
N
N
N
N
AMSR Trust
N/A
AMSR Trust, Series 2019-SFR1, Class G
00178XAG8
2125000.00000000
PA
USD
2032393.99000000
0.031401512568
Long
ABS-O
CORP
US
Y
3
2039-01-19
Variable
4.85700100
N
N
N
N
N
N
Wabash National Corp.
5299004ZAWHQZI5XO485
Wabash National Corp.
929566AJ6
660000.00000000
PA
USD
653400.00000000
0.010095359666
Long
DBT
CORP
US
Y
2
2025-10-01
Fixed
5.50000000
N
N
N
N
N
N
GLS Auto Receivables Issuer Trust
N/A
GLS Auto Receivables Issuer Trust, Series 2019-2A, Class B
36257NAB9
1748000.00000000
PA
USD
1801711.84000000
0.027837356962
Long
ABS-O
CORP
US
Y
2
2024-03-15
Fixed
3.32000000
N
N
N
N
N
N
LHOME Mortgage Trust
549300VCHJCK9EK5QK41
LHOME Mortgage Trust, Series 2019-RTL1, Class A1
501890AA5
1125000.00000000
PA
USD
1135846.13000000
0.017549395787
Long
ABS-MBS
CORP
US
Y
2
2023-10-25
Variable
4.57999900
N
N
N
N
N
N
Bioceanico Sovereign Certificate Ltd.
N/A
Bioceanico Sovereign Certificate Ltd.
N/A
3378401.80600000
PA
USD
2486292.58000000
0.038414474793
Long
DBT
CORP
KY
Y
2
2034-06-05
None
0.00000000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00772BAM3
2164000.00000000
PA
USD
2225522.48000000
0.034385445179
Long
DBT
CORP
IE
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
9950000.00000000
PA
USD
-721420.12000000
-0.01114630483
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American Emerging Markets Index Series 33-V2
Markit CDX North American Emerging Markets Index Series 33-V2
Y
Receipt of notional amount upon default event with regard to the reference instrument
2025-06-20
1016777.16000000
USD
0.00000000
USD
9950000.00000000
USD
-721420.12000000
N
N
N
1011778 BC ULC
N/A
1011778 BC ULC
68245XAC3
1658000.00000000
PA
USD
1689087.50000000
0.026097254086
Long
DBT
CORP
CA
Y
2
2024-05-15
Fixed
4.25000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL Commercial Mortgage Trust, Series 2019-C18, Class E
12597DAU9
6515000.00000000
PA
USD
4501370.51000000
0.069548445498
Long
ABS-MBS
CORP
US
Y
3
2052-12-15
Fixed
2.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300SSCQUZ3RRV2T53
GS Mortgage Securities Trust, Series 2013-GC12, Class E
36197XAC8
3550000.00000000
PA
USD
2204389.90000000
0.034058936156
Long
ABS-MBS
CORP
US
Y
3
2046-06-10
Fixed
3.25000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class D
95001MAP5
1000000.00000000
PA
USD
772701.70000000
0.011938631123
Long
ABS-MBS
CORP
US
Y
3
2050-07-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K109, Class X1
3137FTG27
17994551.73000000
PA
USD
2302384.90000000
0.035573008348
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.70032000
N
N
N
N
N
N
Cirsa Finance International SARL
254900KUJN6DHWH2K029
Cirsa Finance International SARL
50200RAA1
1820000.00000000
PA
USD
1638000.00000000
0.025307926435
Long
DBT
CORP
LU
Y
2
2023-12-20
Fixed
7.87500000
N
N
N
N
N
N
WESCO Distribution, Inc.
549300I2CEZJG9N4AH67
WESCO Distribution, Inc.
95081QAN4
1500000.00000000
PA
USD
1648395.00000000
0.025468534430
Long
DBT
CORP
US
Y
2
2025-06-15
Fixed
7.12500000
N
N
N
N
N
N
NOVA Chemicals Corp.
5493007M1XGU5E55ZJ25
NOVA Chemicals Corp.
66977WAP4
1272000.00000000
PA
USD
1272000.00000000
0.019653041774
Long
DBT
CORP
CA
Y
2
2025-05-01
Fixed
5.00000000
N
N
N
N
N
N
DaVita, Inc.
M2XHYMU3TZNEZURC6H66
DaVita, Inc.
23918KAT5
3063000.00000000
PA
USD
3023242.26000000
0.046710618261
Long
DBT
CORP
US
Y
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
INEOS Group Holdings SA
213800WOJR3Q33H3EB73
INEOS Group Holdings SA
44986UAD1
2500000.00000000
PA
USD
2530412.50000000
0.039096149817
Long
DBT
CORP
LU
Y
2
2024-08-01
Fixed
5.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-171
38380JGF9
5995489.75000000
PA
USD
341137.97000000
0.005270753754
Long
ABS-MBS
USGA
US
N
2
2059-09-16
Variable
0.69406900
N
N
N
N
N
N
Rite Aid Corp.
529900W353T1JY1DKT44
Rite Aid Corp.
767754CK8
2814000.00000000
PA
USD
2814000.00000000
0.043477719773
Long
DBT
CORP
US
Y
2
2025-07-01
Fixed
7.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2019-INV1, Class B1
92537FAE5
750000.00000000
PA
USD
693955.80000000
0.010721967238
Long
ABS-MBS
CORP
US
Y
3
2059-12-25
Fixed
4.99100000
N
N
N
N
N
N
HAT Holdings I LLC
N/A
HAT Holdings I LLC
418751AA1
483000.00000000
PA
USD
505797.60000000
0.007814828114
Long
DBT
CORP
US
Y
2
2024-07-15
Fixed
5.25000000
N
N
N
N
N
N
SM Energy Co.
84BUTVXV5ODI6BXNMH43
SM Energy Co.
78454LAP5
2778000.00000000
PA
USD
1361220.00000000
0.021031535789
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2019-M30, Class X4
3136B7G96
49948241.84000000
PA
USD
2487956.89000000
0.038440189222
Long
ABS-MBS
USGSE
US
N
2
2028-08-25
Variable
1.07700100
N
N
N
N
N
N
Sirius XM Radio, Inc.
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NBE7
202000.00000000
PA
USD
210080.00000000
0.003245841993
Long
DBT
CORP
US
Y
2
2024-07-15
Fixed
4.62500000
N
N
N
N
N
N
Wolverine Escrow LLC
N/A
Wolverine Escrow LLC
97789LAC0
2565000.00000000
PA
USD
1975050.00000000
0.030515518990
Long
DBT
CORP
US
Y
2
2024-11-15
Fixed
8.50000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2
20754CAB5
3800000.00000000
PA
USD
3647762.88000000
0.056359776936
Long
ABS-MBS
CORP
US
Y
3
2040-01-25
Floating
2.22513100
N
N
N
N
N
N
Crestwood Midstream Partners LP
N/A
Crestwood Midstream Partners LP
226373AP3
229000.00000000
PA
USD
219078.58000000
0.003384874594
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.75000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2017-K728, Class B
30305GAS2
250000.00000000
PA
USD
268673.93000000
0.004151147775
Long
ABS-MBS
USGSE
US
Y
2
2050-11-25
Variable
3.76312000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust, Series 2020-GC45, Class E
36258YAE8
7000000.00000000
PA
USD
4879026.60000000
0.075383422631
Long
ABS-MBS
CORP
US
Y
3
2053-02-13
Variable
2.85000100
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2018-R07, Class 1ED2
20753QAV1
196306.48000000
PA
USD
193628.15000000
0.002991652610
Long
ABS-MBS
CORP
US
Y
2
2031-04-25
Floating
1.27513100
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark Mortgage Trust, Series 2019-B11, Class D
08162BAJ1
1900000.00000000
PA
USD
1516848.09000000
0.023436068300
Long
ABS-MBS
CORP
US
Y
3
2052-05-15
Fixed
3.00000000
N
N
N
N
N
N
Tricolor Auto Securitization Trust
N/A
Tricolor Auto Securitization Trust, Series 2018-1A, Class B
89613MAC7
2700000.00000000
PA
USD
2775753.90000000
0.042886798232
Long
ABS-O
CORP
US
Y
2
2021-02-16
Fixed
7.30000000
N
N
N
N
N
N
EQM Midstream Partners LP
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAD2
880000.00000000
PA
USD
896728.80000000
0.013854912394
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
4.75000000
N
N
N
N
N
N
Plains All American Pipeline LP
5521FA2ITF25TVH63740
Plains All American Pipeline LP, Series B
726503AE5
475000.00000000
PA
USD
332500.00000000
0.005137292759
Long
DBT
CORP
US
N
2
2022-11-15
Variable
6.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2017-C05, Class 1B1
30711XNW0
2760000.00000000
PA
USD
2555435.70000000
0.039482770882
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
3.77512900
N
N
N
N
N
N
Sonic Capital LLC
N/A
Sonic Capital LLC, Series 2020-1A, Class A2II
83546DAJ7
2985000.01000000
PA
USD
3172935.61000000
0.049023456045
Long
ABS-O
CORP
US
Y
2
2050-01-20
Fixed
4.33600000
N
N
N
N
N
N
PGT Innovations, Inc.
549300LRW9WM59C1S579
PGT Innovations, Inc.
69344BAA3
265000.00000000
PA
USD
282887.50000000
0.004370754602
Long
DBT
CORP
US
Y
2
2026-08-01
Fixed
6.75000000
N
N
N
N
N
N
Gray Television, Inc.
529900TM5726KDN7UU35
Gray Television, Inc.
389375AJ5
1237000.00000000
PA
USD
1283387.50000000
0.019828984394
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
5.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K726, Class X3
3137BYPT1
21130000.00000000
PA
USD
1463197.56000000
0.022607140542
Long
ABS-MBS
USGSE
US
N
2
2044-07-25
Variable
2.21087500
N
N
N
N
N
N
Peabody Energy Corp.
EJCO258LNNVSKAR2JX59
Peabody Energy Corp.
70457LAB0
236000.00000000
PA
USD
79060.00000000
0.001221516888
Long
DBT
CORP
US
Y
2
2025-03-31
Fixed
6.37500000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
5000000.00000000
PA
USD
-717865.38000000
-0.01109138231
N/A
DCR
US
N
2
Bank of America
AHYI0DDQ2LCHPGHJC422
Markit CMBX North American BBB- 12
Markit CMBX North American BBB- 12
Y
Payout of notional amount upon default event with regard to the reference instrument
2061-08-17
0.00000000
USD
57215.24000000
USD
5000000.00000000
USD
-717865.38000000
N
N
N
ESH Hospitality, Inc.
54930042FMK7X7SQ2896
ESH Hospitality, Inc.
26907YAB0
1915000.00000000
PA
USD
1914961.70000000
0.029587124438
Long
DBT
CORP
US
Y
2
2027-10-01
Fixed
4.62500000
N
N
N
N
N
N
Cedar Fair LP
549300TUVLNQQ6BVKH61
Cedar Fair LP
150190AE6
1975000.00000000
PA
USD
1914012.00000000
0.029572451094
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.25000000
N
N
N
N
N
N
United Airlines Holdings, Inc.
98450079DA0B78DD6764
United Airlines Holdings, Inc.
910047AH2
266000.00000000
PA
USD
240065.00000000
0.003709125372
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-99, Class SJ
38381XVK9
19351929.05000000
PA
USD
3214185.12000000
0.049660781786
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
5.89200100
N
N
N
N
N
N
FNMA
N/A
FNMA, Series 2020-M31, Class X2
3136BASJ4
33522212.85000000
PA
USD
3514633.05000000
0.054302853893
Long
ABS-MBS
USGSE
US
N
2
2032-12-25
Variable
1.35473000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
SoFi Consumer Loan Program Trust, Series 2018-1, Class C
83405RAD9
450000.00000000
PA
USD
454975.38000000
0.007029599173
Long
ABS-O
CORP
US
Y
3
2027-02-25
Fixed
3.97000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-44
38378BSB6
8268576.67000000
PA
USD
43486.93000000
0.000671895009
Long
ABS-MBS
USGA
US
N
2
2049-03-16
Variable
0.22473000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KC03, Class B
30297UAA0
5000000.00000000
PA
USD
5130559.50000000
0.079269732844
Long
ABS-MBS
USGSE
US
Y
2
2026-01-25
Variable
4.51100500
N
N
N
N
N
N
NOVA Chemicals Corp.
5493007M1XGU5E55ZJ25
NOVA Chemicals Corp.
66977WAR0
3451000.00000000
PA
USD
3338842.50000000
0.051586801202
Long
DBT
CORP
CA
Y
2
2027-06-01
Fixed
5.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2017-81, Class SM
3136AX4E2
29176459.04300000
PA
USD
7182535.23000000
0.110973793175
Long
ABS-MBS
USGSE
US
N
2
2047-10-25
Floating
6.02487000
N
N
N
N
N
N
SS&C Technologies, Inc.
549300KY09TR3J12JU49
SS&C Technologies, Inc.
78466CAC0
4174000.00000000
PA
USD
4470771.40000000
0.069075673810
Long
DBT
CORP
US
Y
2
2027-09-30
Fixed
5.50000000
N
N
N
N
N
N
Freeport-McMoRan, Inc.
549300IRDTHJQ1PVET45
Freeport-McMoRan, Inc.
35671DCF0
1539000.00000000
PA
USD
1616904.18000000
0.024981985372
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.25000000
N
N
N
N
N
N
Jackson Park Trust
N/A
Jackson Park Trust, Series 2019-LIC, Class E
46868RAN4
3725000.00000000
PA
USD
3484456.26000000
0.053836607262
Long
ABS-MBS
CORP
US
Y
3
2039-10-14
Variable
3.24240100
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAT8
3950000.00000000
PA
USD
4328568.00000000
0.066878559533
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates
N/A
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-11, Class M2
03072SLW3
275884.16000000
PA
USD
272510.57000000
0.004210425798
Long
ABS-O
CORP
US
N
3
2033-12-25
Floating
2.65012900
N
N
N
N
N
N
Cumulus Media New Holdings, Inc.
5493001D9VBAVY1OKJ46
Cumulus Media New Holdings, Inc.
23110AAA4
369000.00000000
PA
USD
332100.00000000
0.005131112557
Long
DBT
CORP
US
Y
2
2026-07-01
Fixed
6.75000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The), Series P
38148BAD0
5070000.00000000
PA
USD
4867200.00000000
0.075200695694
Long
DBT
CORP
US
N
2
2022-11-10
Variable
5.00000000
N
N
N
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397A78
2620000.00000000
PA
USD
2633650.20000000
0.040691224370
Long
DBT
CORP
US
N
2
2023-11-17
Fixed
3.37000000
N
N
N
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AP9
4455000.00000000
PA
USD
4883571.00000000
0.075453635903
Long
DBT
CORP
US
Y
2
2029-12-15
Fixed
5.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-48
38378KFD6
9462735.79000000
PA
USD
302749.82000000
0.004677637468
Long
ABS-MBS
USGA
US
N
2
2054-07-16
Variable
0.62722100
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
12500000.00000000
PA
USD
-1559393.04000000
-0.02409340924
N/A
DCR
US
N
2
Morgan Stanley
I7331LVCZKQKX5T7XV54
Markit CMBX North American BBB- 12
Markit CMBX North American BBB- 12
Y
Payout of notional amount upon default event with regard to the reference instrument
2061-08-17
0.00000000
USD
378308.52000000
USD
12500000.00000000
USD
-1559393.04000000
N
N
N
MGM Growth Properties Operating Partnership LP
N/A
MGM Growth Properties Operating Partnership LP
55303XAC9
4022000.00000000
PA
USD
4343760.00000000
0.067113283597
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
5.62500000
N
N
N
N
N
N
SBA Communications Corp.
5299001HX8ZN8Y8QIT49
SBA Communications Corp.
78388JAV8
1225000.00000000
PA
USD
1258320.00000000
0.019441678871
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.87500000
N
N
N
N
N
N
GCAT Trust
N/A
GCAT Trust, Series 2020-NQM1, Class B1
36167FAE9
3000000.00000000
PA
USD
2844400.80000000
0.043947427472
Long
ABS-MBS
CORP
US
Y
3
2060-01-25
Variable
3.63800200
N
N
N
N
N
N
iHeartCommunications, Inc.
54930076J6KDZL504O62
iHeartCommunications, Inc.
45174HBE6
3128000.00000000
PA
USD
3120180.00000000
0.048208355253
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HX5Y9
1581456.76000000
PA
USD
1777456.72000000
0.027462603120
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
4.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-182, Class MS
38378PFB9
15814041.68000000
PA
USD
3873821.88000000
0.059852502541
Long
ABS-MBS
USGA
US
N
2
2043-12-20
Floating
5.98200100
N
N
N
N
N
N
Gateway Casinos & Entertainment Ltd.
N/A
Gateway Casinos & Entertainment Ltd., 1st Lien Term Loan
C3604MAM4
290040.40000000
PA
USD
255838.84000000
0.003952839158
Long
LON
CORP
US
N
2
2023-12-01
Variable
7.50000000
N
N
N
N
N
N
Adient Global Holdings Ltd.
213800VA38VCKE6M8790
Adient Global Holdings Ltd.
00687YAA3
3620000.00000000
PA
USD
3393750.00000000
0.052435149780
Long
DBT
CORP
JE
Y
2
2026-08-15
Fixed
4.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-108, Class SM
38379YYJ1
4868940.13000000
PA
USD
1128252.23000000
0.017432066201
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Floating
5.94200200
N
N
N
N
N
N
Tennant Co.
JYAIRLT8DVP6DP8UT336
Tennant Co.
880345AB9
679000.00000000
PA
USD
705311.25000000
0.010897414669
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-15
38378B5P0
11032018.47000000
PA
USD
269037.83000000
0.004156770213
Long
ABS-MBS
USGA
US
N
2
2051-08-16
Variable
0.62443100
N
N
N
N
N
N
Hunt Companies Finance Trust, Inc.
N/A
Hunt Companies Finance Trust, Inc.
N/A
1500000.00000000
PA
USD
1500000.00000000
0.023175756809
Long
ABS-MBS
CORP
US
N
2
2025-02-13
Fixed
7.25000000
N
N
N
N
N
N
Callon Petroleum Co.
549300EFOWPEB0WLZW21
Callon Petroleum Co.
13123XAT9
294000.00000000
PA
USD
96009.38000000
0.001483393361
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
6.12500000
N
N
N
N
N
N
FHLMC
N/A
FHLMC, Series 2020-RR05, Class X
3137FRV24
38620000.00000000
PA
USD
5764641.33000000
0.089066617037
Long
ABS-MBS
USGSE
US
N
2
2029-01-27
Variable
2.01300100
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2019-4A, Class D
14686YAG2
4591000.00000000
PA
USD
4685793.13000000
0.072397868025
Long
ABS-O
CORP
US
Y
2
2025-07-15
Fixed
3.07000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KC06, Class B
30312MAL5
7609000.00000000
PA
USD
7327767.56000000
0.113217705949
Long
ABS-MBS
USGSE
US
Y
2
2026-09-25
Variable
3.82061200
N
N
N
N
N
N
XPO Logistics, Inc.
54930096DB9LCLPN7H13
XPO Logistics, Inc.
983793AG5
3998000.00000000
PA
USD
4251273.30000000
0.065684317419
Long
DBT
CORP
US
Y
2
2024-08-15
Fixed
6.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K064, Class X3
3137BXR38
18830000.00000000
PA
USD
2251019.17000000
0.034779381904
Long
ABS-MBS
USGSE
US
N
2
2027-05-25
Variable
2.20554400
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4932, Class SA
3137FQDJ9
35580150.03000000
PA
USD
6298216.70000000
0.097310625713
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
5.83812000
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BAM4
43000.00000000
PA
USD
43223.60000000
0.000667826428
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K096, Class X3
3137FNBB5
48669127.00000000
PA
USD
6943575.68000000
0.107281747563
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Variable
2.11103300
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4844, Class PI
3137FJM22
2550193.18000000
PA
USD
121209.66000000
0.001872750402
Long
ABS-MBS
USGSE
US
N
2
2046-01-15
Fixed
4.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HX5K9
749319.47000000
PA
USD
826880.04000000
0.012775713811
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class E
61765XAQ7
2500000.00000000
PA
USD
1507187.50000000
0.023286807310
Long
ABS-MBS
CORP
US
Y
3
2047-12-15
Variable
3.23700100
N
N
N
N
N
N
Open Text Corp.
549300HP7ONDQODZJV16
Open Text Corp.
683715AB2
508000.00000000
PA
USD
533400.00000000
0.008241299121
Long
DBT
CORP
CA
Y
2
2026-06-01
Fixed
5.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-110
38380PVU5
49931645.37000000
PA
USD
4497802.67000000
0.069493320570
Long
ABS-MBS
USGA
US
N
2
2062-03-16
Variable
1.10409800
N
N
N
N
N
N
Avantor, Inc.
N/A
Avantor, Inc.
05352AAA8
7180000.00000000
PA
USD
7521050.00000000
0.116204017165
Long
DBT
CORP
US
Y
2
2024-10-01
Fixed
6.00000000
N
N
N
N
N
N
Natwest Group plc
2138005O9XJIJN4JPN90
Natwest Group plc
780097AZ4
665000.00000000
PA
USD
749749.18000000
0.011584003108
Long
DBT
CORP
GB
N
2
2023-12-19
Fixed
6.00000000
N
N
N
N
N
N
Inkia Energy Ltd.
N/A
Inkia Energy Ltd.
N/A
2200000.00000000
PA
USD
2321000.00000000
0.035860621035
Long
DBT
CORP
BM
Y
2
2027-11-09
Fixed
5.87500000
N
N
N
N
N
N
Glencore Finance Canada Ltd.
5493005TTO0UJ33KCK70
Glencore Finance Canada Ltd.
98417EAN0
620000.00000000
PA
USD
736711.89000000
0.011382570400
Long
DBT
CORP
CA
Y
2
2041-11-15
Fixed
6.00000000
N
N
N
N
N
N
Team Health Holdings, Inc.
549300PVTQ4UDTTMQT11
Team Health Holdings, Inc.
88047PAA2
1018000.00000000
PA
USD
692240.00000000
0.010695457262
Long
DBT
CORP
US
Y
2
2025-02-01
Fixed
6.37500000
N
N
N
N
N
N
LB-UBS Commercial Mortgage Trust
N/A
LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class AJ
50179MAH4
150521.88010000
PA
USD
86700.60000000
0.001339568013
Long
ABS-MBS
CORP
US
N
3
2039-09-15
Variable
5.45199800
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2019-2A, Class D
30167LAG4
1000000.00000000
PA
USD
1034395.20000000
0.015981927733
Long
ABS-O
CORP
US
Y
2
2025-03-17
Fixed
3.71000000
N
N
N
N
N
N
Frontier Communications Corp.
549300ZCZ76HYCS0H445
Frontier Communications Corp.
35906AAN8
158000.00000000
PA
USD
65570.00000000
0.001013089582
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
7.62500000
Y
N
N
N
N
N
Outfront Media Capital LLC
N/A
Outfront Media Capital LLC
69007TAB0
3463000.00000000
PA
USD
3401358.60000000
0.052552706489
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
5.00000000
N
N
N
N
N
N
Amsted Industries, Inc.
N2VLGYMEEBIU3PFSUY86
Amsted Industries, Inc.
032177AH0
116000.00000000
PA
USD
123250.00000000
0.001904274684
Long
DBT
CORP
US
Y
2
2027-07-01
Fixed
5.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-36, Class SG
38380VU33
5642725.76000000
PA
USD
1191543.36000000
0.018409946092
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Floating
6.04199900
N
N
N
N
N
N
MFA LLC
N/A
MFA LLC, Series 2018-NPL2, Class A1
55281WAA1
167237.81000000
PA
USD
167189.73000000
0.002583165682
Long
ABS-O
CORP
US
Y
3
2048-07-25
Variable
4.16369900
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2019-3A, Class D
30167EAD7
4260000.00000000
PA
USD
4351887.35000000
0.067238855256
Long
ABS-O
CORP
US
Y
2
2025-08-15
Fixed
3.11000000
N
N
N
N
N
N
BBCMS Mortgage Trust
N/A
BBCMS Mortgage Trust, Series 2018-TALL, Class E
05548WAJ6
6000000.00000000
PA
USD
5547358.80000000
0.085709492320
Long
ABS-MBS
CORP
US
Y
2
2037-03-15
Floating
2.59888000
N
N
N
N
N
N
Amkor Technology, Inc.
529900VHLRTKPWZJBM84
Amkor Technology, Inc.
031652BK5
788000.00000000
PA
USD
856950.00000000
0.013240309865
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
6.62500000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust, Series 2018-3A, Class D
96042GAL6
3240000.00000000
PA
USD
3338827.45000000
0.051586568672
Long
ABS-O
CORP
US
Y
2
2023-10-16
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-132, Class KI
38381Y6X7
2719446.59320000
PA
USD
238304.29000000
0.003681921514
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
3.50000000
N
N
N
N
N
N
Moran Foods LLC
N/A
Moran Foods LLC, 1st Lien Term Loan B-2
N/A
77006.94000000
PA
USD
60319.54000000
0.000931967326
Long
LON
CORP
US
N
3
2025-04-01
Variable
11.75000000
N
N
N
N
N
N
Videotron Ltd.
549300LW4GNJRBECSD81
Videotron Ltd.
92660FAK0
7040000.00000000
PA
USD
7444800.00000000
0.115025916194
Long
DBT
CORP
CA
Y
2
2027-04-15
Fixed
5.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-33
38379KFF0
39691680.12000000
PA
USD
1597197.18000000
0.024677502279
Long
ABS-MBS
USGA
US
N
2
2056-02-16
Variable
0.69831000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2016-C07, Class 2M2
30711XEC4
6211001.94000000
PA
USD
6397521.43000000
0.098844933895
Long
ABS-MBS
CORP
US
N
2
2029-05-25
Floating
4.52513200
N
N
N
N
N
N
Southwestern Energy Co.
EFWMP121W54QV9MGOP87
Southwestern Energy Co.
845467AL3
2165000.00000000
PA
USD
2174829.10000000
0.033602206881
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
6.45000100
N
N
N
N
N
N
FORA Financial Asset Securitization LLC
N/A
FORA Financial Asset Securitization LLC, Series 2019-1, Class A
34513FAA3
226290.95000000
PA
USD
226170.38000000
0.003494446482
Long
ABS-O
CORP
US
Y
2
2024-10-15
Fixed
4.01800000
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599ED3
1225000.00000000
PA
USD
1258687.50000000
0.019447356932
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
6.62500000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
37443GAH4
1420000.00000000
PA
USD
1297525.00000000
0.020047415902
Long
DBT
NUSS
GH
Y
2
2035-02-11
Fixed
7.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HNCN7
605025.60000000
PA
USD
670574.44000000
0.010360713429
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
American Axle & Manufacturing, Inc.
RY5TAKFOBLDUGX31MS24
American Axle & Manufacturing, Inc.
02406PAR1
9630000.00000000
PA
USD
9930937.50000000
0.153437994924
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
6.25000000
N
N
N
N
N
N
Jaguar Land Rover Automotive plc
529900L73GEWN1O5NH84
Jaguar Land Rover Automotive plc
47010BAF1
1000000.00000000
PA
USD
840000.00000000
0.012978423813
Long
DBT
CORP
GB
Y
2
2027-10-01
Fixed
4.50000000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CE0
3166000.00000000
PA
USD
3443025.00000000
0.053196473391
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
OneMain Finance Corp.
5493008I795YYBFWFU90
OneMain Finance Corp.
85172FAL3
272000.00000000
PA
USD
288320.00000000
0.004454689468
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.62500000
N
N
N
N
N
N
Genesys Telecom Holdings US, Inc.
549300CVRD4OUCPHWQ42
Genesys Telecom Holdings US, Inc., 1st lien Term Loan B
39479UAJ2
96204.68000000
PA
USD
94541.30000000
0.001460710784
Long
LON
CORP
US
N
2
2023-12-01
Variable
3.40638000
N
N
N
N
N
N
Vmd-wl jan21
N/A
Vmd-wl jan21
N/A
7593545.38000000
PA
USD
7548743.46000000
0.116631895095
Long
ABS-MBS
CORP
US
N
2
2021-01-31
Fixed
0.00000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2020-2A, Class D
23343RAG3
3770000.00000000
PA
USD
4057163.54000000
0.062685223691
Long
ABS-O
CORP
US
Y
2
2026-03-16
Fixed
4.73000000
N
N
N
N
N
N
Broadcom Corp.
N/A
Broadcom Corp.
11134LAR0
870000.00000000
PA
USD
941988.85000000
0.014554203002
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
Intelsat Jackson Holdings SA
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TAY1
1765000.00000000
PA
USD
1217850.00000000
0.018816396953
Long
DBT
CORP
LU
Y
2
2025-07-15
Fixed
9.75000000
Y
N
N
N
N
N
NAK Naftogaz Ukraine via Kondor Finance plc
N/A
NAK Naftogaz Ukraine via Kondor Finance plc
N/A
4700000.00000000
PA
USD
4582500.00000000
0.070801937051
Long
DBT
CORP
GB
Y
2
2026-11-08
Fixed
7.62500000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust, Series 2019-5, Class M1
03464KAD0
8000000.00000000
PA
USD
7796425.60000000
0.120458709123
Long
ABS-MBS
CORP
US
Y
3
2049-10-25
Variable
3.30400100
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2018-4A, Class E
30166EAJ5
2810000.00000000
PA
USD
2875222.35000000
0.044423635970
Long
ABS-O
CORP
US
Y
2
2025-07-15
Fixed
5.38000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4954, Class SY
3137FRE31
37204858.85000000
PA
USD
7418816.28000000
0.114624454610
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Floating
5.88812000
N
N
N
N
N
N
AerCap Ireland Capital DAC
N/A
AerCap Ireland Capital DAC
00774MAP0
2900000.00000000
PA
USD
2980835.82000000
0.046055417368
Long
DBT
CORP
IE
N
2
2023-09-15
Fixed
4.50000000
N
N
N
N
N
N
ILFC E-Capital Trust II
N/A
ILFC E-Capital Trust II
44965UAA2
1135000.00000000
PA
USD
621412.50000000
0.009601136652
Long
SN
CORP
US
Y
2
2065-12-21
Floating
3.26999900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K075, Class X3
3137F4XA5
5471000.00000000
PA
USD
735869.74000000
0.011369558758
Long
ABS-MBS
USGSE
US
N
2
2028-05-25
Variable
2.20223200
N
N
N
N
N
N
Murphy Oil Corp.
QBKYQD0ODE7DC7PDIN91
Murphy Oil Corp.
626717AJ1
2680000.00000000
PA
USD
2569450.00000000
0.039699298888
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.75000000
N
N
N
N
N
N
Icahn Enterprises LP
N/A
Icahn Enterprises LP
451102BT3
4191000.00000000
PA
USD
4473892.50000000
0.069123896379
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
6.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2016-95, Class ES
3136AUWF4
3049671.67000000
PA
USD
723785.29000000
0.011182847908
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Floating
5.82486800
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
91911KAK8
2949000.00000000
PA
USD
3063893.04000000
0.047338693322
Long
DBT
CORP
CA
Y
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
ACI Worldwide, Inc.
5493003BPVMZUJ6F5C02
ACI Worldwide, Inc.
004498AB7
605000.00000000
PA
USD
635930.63000000
0.009825449085
Long
DBT
CORP
US
Y
2
2026-08-15
Fixed
5.75000000
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPCK7
4673000.00000000
PA
USD
4881955.44000000
0.075428674686
Long
DBT
CORP
US
Y
2
2031-02-01
Fixed
4.25000000
N
N
N
N
N
N
H&E Equipment Services, Inc.
N/A
H&E Equipment Services, Inc.
404030AH1
2690000.00000000
PA
USD
2790875.00000000
0.043120426856
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.62500000
N
N
N
N
N
N
AMC Networks, Inc.
549300VGG9K75226LR46
AMC Networks, Inc.
00164VAD5
2730000.00000000
PA
USD
2781187.50000000
0.042970750093
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
5.00000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XBG0
270000.00000000
PA
USD
306926.17000000
0.004742164182
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
5.25000000
N
N
N
N
N
N
DISH DBS Corp.
N/A
DISH DBS Corp.
25470XAW5
24468000.00000000
PA
USD
25862003.13000000
0.399580996757
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
SART
N/A
SART
N/A
1063153.17000000
PA
USD
1068468.94000000
0.016508384207
Long
ABS-MBS
CORP
US
N
2
2025-06-15
Fixed
4.75700000
N
N
N
N
N
N
NCR Corp.
549300YKTY8JX1DV2R67
NCR Corp.
62886EAU2
3770000.00000000
PA
USD
3958500.00000000
0.061160822219
Long
DBT
CORP
US
Y
2
2027-09-01
Fixed
5.75000000
N
N
N
N
N
N
Wynn Las Vegas LLC
N/A
Wynn Las Vegas LLC
983130AV7
5189000.00000000
PA
USD
5137110.00000000
0.079370941374
Long
DBT
CORP
US
Y
2
2025-03-01
Fixed
5.50000000
N
N
N
N
N
N
EnPro Industries, Inc.
549300Y5CFT2LKCFDN54
EnPro Industries, Inc.
29355XAG2
265000.00000000
PA
USD
276925.00000000
0.004278630969
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
5.75000000
N
N
N
N
N
N
Sealed Air Corp.
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp.
81211KAX8
250000.00000000
PA
USD
280000.00000000
0.004326141271
Long
DBT
CORP
US
Y
2
2025-09-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2019-M30, Class X1
3136B7F97
84786776.58000000
PA
USD
1773476.53000000
0.027401107177
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Variable
0.43899800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K111, Class X1
3137FUZE7
19996812.20000000
PA
USD
2582010.39000000
0.039893363251
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.68198800
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust, Series 2020-A, Class D
88167HAG1
2000000.00000000
PA
USD
2015704.40000000
0.031143649982
Long
ABS-O
CORP
US
Y
2
2024-02-20
Fixed
2.33000000
N
N
N
N
N
N
Octane Receivables Trust
N/A
Octane Receivables Trust, Series 2019-1A, Class A
67576TAA7
7250231.59000000
PA
USD
7230705.27000000
0.111718044597
Long
ABS-O
CORP
US
Y
2
2023-09-20
Fixed
3.16000000
N
N
N
N
N
N
Allegheny Technologies, Inc.
ZW1LRE7C3H17O2ZN9B45
Allegheny Technologies, Inc.
01741RAF9
135000.00000000
PA
USD
141844.50000000
0.002191569091
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
7.87500000
N
N
N
N
N
N
American Axle & Manufacturing, Inc.
RY5TAKFOBLDUGX31MS24
American Axle & Manufacturing, Inc.
02406PAY6
828000.00000000
PA
USD
843920.37000000
0.013038995507
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
Avolon Holdings Funding Ltd.
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAE1
5500000.00000000
PA
USD
5323153.17000000
0.082245402216
Long
DBT
CORP
KY
Y
2
2022-05-01
Fixed
3.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-134, Class SD
38380GG24
12124164.64000000
PA
USD
2627308.90000000
0.040593248085
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Floating
6.04199900
N
N
N
N
N
N
AMSR Trust
N/A
AMSR Trust, Series 2019-SFR1, Class H
00178XAH6
2125000.00000000
PA
USD
2004731.16000000
0.030974107887
Long
ABS-O
CORP
US
Y
3
2039-01-19
Variable
6.04000100
N
N
N
N
N
N
Sensata Technologies, Inc.
N/A
Sensata Technologies, Inc.
81728UAA2
2770000.00000000
PA
USD
2922350.00000000
0.045151781940
Long
DBT
CORP
US
Y
2
2030-02-15
Fixed
4.37500000
N
N
N
N
N
N
Lightstone Holdco LLC
N/A
Lightstone Holdco LLC, 1st Lien Term Loan B
53226GAG6
43532.82000000
PA
USD
36741.26000000
0.000567671004
Long
LON
CORP
US
N
2
2024-01-30
Variable
4.75000000
N
N
N
N
N
N
Clear Channel Worldwide Holdings, Inc.
N/A
Clear Channel Worldwide Holdings, Inc.
18451QAP3
4560000.00000000
PA
USD
4468800.00000000
0.069045214685
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
9.25000000
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599DZ5
2762000.00000000
PA
USD
3057188.75000000
0.047235108659
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
8.50000000
N
N
N
N
N
N
Voya CLO Ltd.
549300001G5S0D8B8343
Voya CLO Ltd., Series 2016-3A, Class CR
92915HAU7
535000.00000000
PA
USD
501694.11000000
0.007751427123
Long
ABS-CBDO
CORP
KY
Y
3
2031-10-18
Floating
3.52175000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBH7
5400000.00000000
PA
USD
5863984.74000000
0.090601522844
Long
DBT
CORP
US
N
2
2029-09-06
Fixed
3.46200000
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAB1
1532000.00000000
PA
USD
1593280.00000000
0.024616979872
Long
DBT
CORP
US
Y
2
2029-12-01
Fixed
4.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2020-M15, Class X1
3136B9MX2
26401154.84000000
PA
USD
2734166.96000000
0.042244259026
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Variable
1.57591100
N
N
N
N
N
N
Bancorp Commercial Mortgage Trust
N/A
Bancorp Commercial Mortgage Trust, Series 2019-CRE5, Class D
05972MAJ3
1000000.00000000
PA
USD
906706.00000000
0.014009065168
Long
ABS-MBS
CORP
US
Y
3
2036-03-15
Floating
2.51187800
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2020-C55, Class E
95002EAC1
6850000.00000000
PA
USD
4333754.57000000
0.066958694656
Long
ABS-MBS
CORP
US
Y
3
2053-02-15
Fixed
2.50000000
N
N
N
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust, Series 2004-8, Class M3
86358EMB9
179356.89000000
PA
USD
176696.09000000
0.002730043740
Long
ABS-O
CORP
US
N
3
2034-09-25
Floating
1.15013200
N
N
N
N
N
N
Vericrest Opportunity Loan Trust
N/A
Vericrest Opportunity Loan Trust, Series 2019-NPL8, Class A1B
91833HAB0
15000000.00000000
PA
USD
14496702.00000000
0.223981360057
Long
ABS-O
CORP
US
Y
2
2049-11-25
Variable
4.09000000
N
N
N
N
N
N
ACCO Brands Corp.
JCT8P4Y190IH4I1NX328
ACCO Brands Corp.
00081TAJ7
2689000.00000000
PA
USD
2750067.19000000
0.042489925602
Long
DBT
CORP
US
Y
2
2024-12-15
Fixed
5.25000000
N
N
N
N
N
N
Aeropuerto Internacional de Tocumen SA
254900FO1PHX49ZIGB14
Aeropuerto Internacional de Tocumen SA
N/A
390716.92000000
PA
USD
435405.17000000
0.006727229555
Long
DBT
NUSS
PA
Y
2
2048-11-18
Fixed
6.00000000
N
N
N
N
N
N
Gulfport Energy Corp.
549300FJX18IDUFPHD40
Gulfport Energy Corp.
402635AE6
3075000.00000000
PA
USD
1875750.00000000
0.028981283889
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
6.62500000
N
N
N
N
N
N
MASTR Asset Securitization Trust
N/A
MASTR Asset Securitization Trust, Series 2003-11, Class 7A2
55265K2G3
60465.67000000
PA
USD
61880.84000000
0.000956090199
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Fixed
5.25000000
N
N
N
N
N
N
International Game Technology plc
549300UQ6KHRCZDRGZ76
International Game Technology plc
460599AB9
1227000.00000000
PA
USD
1260705.69000000
0.019478538986
Long
DBT
CORP
GB
Y
2
2022-02-15
Fixed
6.25000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-LC21, Class E
12593FAL8
3000000.00000000
PA
USD
1532553.30000000
0.023678721718
Long
ABS-MBS
CORP
US
Y
3
2048-07-10
Fixed
3.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-71, Class SA
38381WDR6
22323741.71000000
PA
USD
4262562.21000000
0.065858736774
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Floating
5.99199800
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
5000000.00000000
PA
USD
-524432.05000000
-0.00810273976
N/A
DCR
US
N
2
Morgan Stanley
I7331LVCZKQKX5T7XV54
Markit CMBX North American BBB- 12
Markit CMBX North American BBB- 12
Y
Payout of notional amount upon default event with regard to the reference instrument
2061-08-17
0.00000000
USD
250648.57000000
USD
5000000.00000000
USD
-524432.05000000
N
N
N
PBF Logistics LP
N/A
PBF Logistics LP
69318UAB1
195000.00000000
PA
USD
193418.55000000
0.002988414184
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
6.87500000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264AAN5
1380000.00000000
PA
USD
1409325.00000000
0.021774782309
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
6.37500000
N
N
N
N
N
N
SCE Trust VI
N/A
SCE Trust VI
78410V200
240200.00000000
NS
USD
5762398.00000000
0.089031956456
Long
EP
CORP
US
N
1
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2020-1, Class A3
92536PAE4
4483058.88000000
PA
USD
4564845.12000000
0.070529160248
Long
ABS-MBS
CORP
US
Y
2
2060-01-25
Variable
2.72400100
N
N
N
N
N
N
Sierra Timeshare Receivables Funding LLC
N/A
Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class D
82653EAD9
735009.19000000
PA
USD
722392.39000000
0.011161326900
Long
ABS-O
CORP
US
Y
3
2036-01-20
Fixed
4.75000000
N
N
N
N
N
N
Boyd Gaming Corp.
254900787YGRYS2A1Z35
Boyd Gaming Corp.
103304BQ3
1625000.00000000
PA
USD
1704218.75000000
0.026331039532
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.00000000
N
N
N
N
N
N
CD Mortgage Trust
N/A
CD Mortgage Trust, Series 2017-CD3, Class D
12515GAM9
700000.00000000
PA
USD
532319.41000000
0.008224603460
Long
ABS-MBS
CORP
US
Y
2
2050-02-10
Fixed
3.25000000
N
N
N
N
N
N
Sirius XM Radio, Inc.
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NBA5
10277000.00000000
PA
USD
10900608.36000000
0.168419898948
Long
DBT
CORP
US
Y
2
2027-08-01
Fixed
5.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage Trust
N/A
Barclays Commercial Mortgage Trust, Series 2019-C5, Class XA
05492JBA9
96520641.44000000
PA
USD
5805436.67000000
0.089696925622
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Variable
1.02238900
N
N
N
N
N
N
Regional Management Issuance Trust
N/A
Regional Management Issuance Trust, Series 2019-1, Class C
75907TAC6
5110000.00000000
PA
USD
4951126.52000000
0.076497402772
Long
ABS-O
CORP
US
Y
3
2028-11-15
Fixed
4.11000000
N
N
N
N
N
N
Sinclair Television Group, Inc.
549300CQGEN0CH65UD62
Sinclair Television Group, Inc.
829259AR1
890000.00000000
PA
USD
890000.00000000
0.013750949040
Long
DBT
CORP
US
Y
2
2024-08-01
Fixed
5.62500000
N
N
N
N
N
N
Hanesbrands, Inc.
GX5LWVWZLL5S4W1L2F20
Hanesbrands, Inc.
410345AJ1
35000.00000000
PA
USD
36750.00000000
0.000567806041
Long
DBT
CORP
US
Y
2
2024-05-15
Fixed
4.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-48, Class DS
38379WSE3
30879384.20000000
PA
USD
6382845.91000000
0.098618189706
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Floating
5.94200200
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
Republic of Angola
N/A
500000.00000000
PA
USD
411875.00000000
0.006363676557
Long
DBT
NUSS
AO
Y
2
2029-11-26
Fixed
8.00000000
N
N
N
N
N
N
Leviathan Bond Ltd.
254900D9T8VKYVQNZ220
Leviathan Bond Ltd.
N/A
2490000.00000000
PA
USD
2583873.00000000
0.039922141515
Long
DBT
CORP
IL
Y
2
2025-06-30
Fixed
6.12500000
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPCD3
4817000.00000000
PA
USD
5175143.95000000
0.079958585091
Long
DBT
CORP
US
Y
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
Foundation Finance Trust
5493002KPTN6JUQ40J20
Foundation Finance Trust, Series 2019-1A, Class B
35041JAB1
855000.00000000
PA
USD
854201.09000000
0.013197837818
Long
ABS-O
CORP
US
Y
2
2034-11-15
Fixed
4.22000000
N
N
N
N
N
N
Goodgreen Trust
N/A
Goodgreen Trust, Series 2017-R1
38218AAA3
447820.14000000
PA
USD
451292.72000000
0.006972700218
Long
ABS-MBS
CORP
US
N
2
2051-10-20
Fixed
5.00000000
N
N
N
N
N
N
Photo Holdings Merger Sub, Inc.
N/A
Photo Holdings Merger Sub, Inc.
719245AD4
2900000.00000000
PA
USD
2665274.00000000
0.041179828035
Long
DBT
CORP
US
Y
2
2026-10-01
Fixed
8.50000000
N
N
N
N
N
N
Live Nation Entertainment, Inc.
5493007B9BM9ZXJINO78
Live Nation Entertainment, Inc.
538034AK5
3410000.00000000
PA
USD
3350666.00000000
0.051769480242
Long
DBT
CORP
US
Y
2
2024-11-01
Fixed
4.87500000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class D
61763XAT3
7157000.00000000
PA
USD
5818173.65000000
0.089893718390
Long
ABS-MBS
CORP
US
Y
3
2047-10-15
Fixed
3.38900000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-2, Class C
02530DAC0
790000.00000000
PA
USD
803286.22000000
0.012411177388
Long
ABS-O
CORP
US
Y
2
2025-06-12
Fixed
3.17000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2019-1, Class D
33844RAG6
3833000.00000000
PA
USD
4001913.79000000
0.061831587178
Long
ABS-O
CORP
US
Y
2
2025-02-18
Fixed
4.08000000
N
N
N
N
N
N
CommScope Technologies LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20337YAA5
4096000.00000000
PA
USD
4199260.16000000
0.064880688164
Long
DBT
CORP
US
Y
2
2025-06-15
Fixed
6.00000000
N
N
N
N
N
N
Ziggo BV
213800TQASLF9JXH5J59
Ziggo BV
98954NAA7
2363000.00000000
PA
USD
2483536.63000000
0.038371893975
Long
DBT
CORP
NL
Y
2
2027-01-15
Fixed
5.50000000
N
N
N
N
N
N
Moran Foods Backstop Equity
N/A
Moran Foods Backstop Equity
N/A
45425.55000000
NS
USD
45425.55000000
0.000701847666
Long
EC
CORP
US
N
3
N
N
N
Coty, Inc.
549300BO9IWPF3S48F93
Coty, Inc.
222070AB0
280000.00000000
PA
USD
230633.20000000
0.003563399303
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
6.50000000
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
Republic of Angola
035198AD2
5720000.00000000
PA
USD
4711850.00000000
0.072800459813
Long
DBT
NUSS
AO
Y
2
2029-11-26
Fixed
8.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-119, Class SA
38381YYY4
32438671.13000000
PA
USD
5940182.43000000
0.091778815599
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
5.89200100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2016-C06, Class 1M2
30711XDS0
24393890.50000000
PA
USD
25065349.41000000
0.387272294840
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
4.42513100
N
N
N
N
N
N
Allied Universal Holdco LLC
N/A
Allied Universal Holdco LLC
019576AB3
72000.00000000
PA
USD
79740.00000000
0.001232023231
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
9.75000000
N
N
N
N
N
N
Precision Drilling Corp.
549300WF2OE8T5BP4B84
Precision Drilling Corp.
74022DAJ9
201000.00000000
PA
USD
141202.50000000
0.002181649867
Long
DBT
CORP
CA
N
2
2024-11-15
Fixed
5.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2016-C05, Class 2M2
30711XDK7
1957859.43000000
PA
USD
2026924.88000000
0.031317012059
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Floating
4.62512900
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2019-3A, Class E
14686XAG4
9700000.00000000
PA
USD
9761218.64000000
0.150815752907
Long
ABS-O
CORP
US
Y
2
2026-07-15
Fixed
4.60000000
N
N
N
N
N
N
Sealed Air Corp.
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp.
81211KAW0
1995000.00000000
PA
USD
2194500.00000000
0.033906132211
Long
DBT
CORP
US
Y
2
2024-12-01
Fixed
5.12500000
N
N
N
N
N
N
Banc of America Commercial Mortgage Trust
N/A
Banc of America Commercial Mortgage Trust, Series 2007-5, Class AJ
05952CAH3
193439.30000000
PA
USD
205165.05000000
0.003169903536
Long
ABS-MBS
CORP
US
N
2
2051-02-10
Variable
6.01588100
N
N
N
N
N
N
Penske Automotive Group, Inc.
549300W7UTQ0M4C7LB15
Penske Automotive Group, Inc.
70959WAG8
3335000.00000000
PA
USD
3472568.75000000
0.053652939235
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
5.50000000
N
N
N
N
N
N
New Albertsons LP
N/A
New Albertsons LP
01310QDB8
8000.00000000
PA
USD
8640.00000000
0.000133492359
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
6.62500000
N
N
N
N
N
N
General Motors Co.
54930070NSV60J38I987
General Motors Co.
37045VAH3
240000.00000000
PA
USD
260445.13000000
0.004024008663
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
91911KAE2
7000.00000000
PA
USD
6991.25000000
0.000108018339
Long
DBT
CORP
CA
Y
2
2023-03-01
Fixed
5.50000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MASTR Alternative Loan Trust, Series 2003-5, Class 30B1
576434FU3
63381.97000000
PA
USD
64785.66000000
0.001000971133
Long
ABS-MBS
CORP
US
N
3
2033-08-25
Variable
5.91683800
N
N
N
N
N
N
LB Commercial Mortgage Trust
N/A
LB Commercial Mortgage Trust, Series 2007-C3, Class AJ
50177AAH2
18578.13000000
PA
USD
18350.99000000
0.000283532054
Long
ABS-MBS
CORP
US
N
2
2044-07-15
Variable
6.10865300
N
N
N
N
N
N
State Oil Co. of the Azerbaijan Republic
2549002HARR1VE257O76
State Oil Co. of the Azerbaijan Republic
N/A
2860000.00000000
PA
USD
3553550.00000000
0.054904140405
Long
DBT
NUSS
AZ
Y
2
2030-03-18
Fixed
6.95000000
N
N
N
N
N
N
Rain CII Carbon LLC
N/A
Rain CII Carbon LLC
75079RAC2
150000.00000000
PA
USD
148125.00000000
0.002288605984
Long
DBT
CORP
US
Y
2
2025-04-01
Fixed
7.25000000
N
N
N
N
N
N
Welbilt, Inc.
549300UR3W71YLZWI068
Welbilt, Inc.
563568AB0
295000.00000000
PA
USD
299425.00000000
0.004626267321
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
9.50000000
N
N
N
N
N
N
Aramark Services, Inc.
42YMHYH0XMHJEXDUB065
Aramark Services, Inc.
038522AP3
620000.00000000
PA
USD
626200.00000000
0.009675105942
Long
DBT
CORP
US
Y
2
2025-04-01
Fixed
5.00000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust, Series 2020-1, Class A3
24381RAC3
5093603.07000000
PA
USD
5051993.43000000
0.078055847423
Long
ABS-MBS
CORP
US
Y
2
2060-01-25
Variable
2.64700100
N
N
N
N
N
N
Ziggo Bond Co. BV
213800JYI4P7V5QDOG59
Ziggo Bond Co. BV
98954UAB9
1050000.00000000
PA
USD
1105125.00000000
0.017074738829
Long
DBT
CORP
NL
Y
2
2027-01-15
Fixed
6.00000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust, Series 2020-1, Class M1
03464RAD5
4400000.00000000
PA
USD
4276268.04000000
0.066070498763
Long
ABS-MBS
CORP
US
Y
3
2059-12-25
Variable
3.16100200
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368JKG4
739000.00000000
PA
USD
765493.15000000
0.011827255388
Long
DBT
CORP
FR
Y
2
2021-09-13
Variable
7.37500000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
99045000.00000000
PA
USD
-6547607.56000000
-0.10116384032
N/A
DCR
GB
N
2
Barclays
G5GSEF7VJP5I7OUK5573
Markit CDX North American Emerging Markets Index Series 32-V3
Markit CDX North American Emerging Markets Index Series 32-V3
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
8549710.33000000
USD
0.00000000
USD
99045000.00000000
USD
-6547607.56000000
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K738, Class X1
3137FTFU6
44693269.94000000
PA
USD
3750279.32000000
0.057943707657
Long
ABS-MBS
USGSE
US
N
2
2027-01-25
Variable
1.63006900
N
N
N
N
N
N
GCI LLC
549300N3IE9H88Q20221
GCI LLC
36166TAA8
615000.00000000
PA
USD
648825.00000000
0.010024673607
Long
DBT
CORP
US
Y
2
2024-06-15
Fixed
6.62500000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M3
3137G0KE8
16767409.74000000
PA
USD
17438746.64000000
0.269437434122
Long
ABS-MBS
CORP
US
N
2
2028-11-25
Floating
5.32513100
N
N
N
N
N
N
OneMain Finance Corp.
5493008I795YYBFWFU90
OneMain Finance Corp.
85172FAK5
245000.00000000
PA
USD
257250.00000000
0.003974642292
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
6.12500000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2019-R07, Class 1B1
20753WAE6
3000000.00000000
PA
USD
2444420.10000000
0.037767523851
Long
ABS-MBS
CORP
US
Y
3
2039-10-25
Floating
3.57513100
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1
362341RX9
182894.93000000
PA
USD
184691.29000000
0.002853573614
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
3.79073500
N
N
N
N
N
N
Southern Gas Corridor CJSC
213800DG58KG59XY6318
Southern Gas Corridor CJSC
N/A
3200000.00000000
PA
USD
3819200.00000000
0.059008566936
Long
DBT
NUSS
AZ
Y
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
Sensata Technologies BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAJ2
517000.00000000
PA
USD
561823.90000000
0.008680462717
Long
DBT
CORP
NL
Y
2
2025-10-01
Fixed
5.00000000
N
N
N
N
N
N
Oman Government International Bond
549300SZ20F0QTKNQC75
Sultanate of Oman Government Bond
N/A
1400000.00000000
PA
USD
1363250.00000000
0.021062900313
Long
DBT
NUSS
OM
Y
2
2027-03-08
Fixed
5.37500000
N
N
N
N
N
N
Bombardier, Inc.
W7L3VLU8EHQY34Z36697
Bombardier, Inc.
097751BR1
589000.00000000
PA
USD
441750.00000000
0.006825260380
Long
DBT
CORP
CA
Y
2
2024-12-01
Fixed
7.50000000
N
N
N
N
N
N
RSFR
N/A
RSFR, Series 2020-1, Class PT
74985BAA7
19898399.28000000
PA
USD
17670952.57000000
0.273025132897
Long
ABS-MBS
CORP
US
Y
2
2025-02-17
Variable
4.21300100
N
N
N
N
N
N
Welk Resorts LLC
N/A
Welk Resorts LLC, Series 2019-AA, Class D
94946DAD3
1637853.51000000
PA
USD
1493138.83000000
0.023069748270
Long
ABS-O
CORP
US
Y
3
2038-06-15
Fixed
4.03000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-86, Class ST
38381WF60
21402458.55000000
PA
USD
3325451.94000000
0.051379910294
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Floating
5.94200200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-H14, Class FG
38376R4U7
549084.90000000
PA
USD
561474.29000000
0.008675061066
Long
ABS-MBS
USGA
US
N
2
2067-06-20
Floating
1.58550100
N
N
N
N
N
N
Blue Racer Midstream LLC
N/A
Blue Racer Midstream LLC
095796AA6
7705000.00000000
PA
USD
7666475.00000000
0.118450906788
Long
DBT
CORP
US
Y
2
2022-11-15
Fixed
6.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2020-M33, Class X
3136BBAL6
43402561.81000000
PA
USD
4695627.68000000
0.072549816785
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Variable
2.05517200
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2018-2A, Class F
96042FAH7
1320000.00000000
PA
USD
1325174.40000000
0.020474613082
Long
ABS-O
CORP
US
Y
2
2025-01-15
Fixed
6.04000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368JFA3
200000.00000000
PA
USD
227500.00000000
0.003514989782
Long
DBT
CORP
FR
Y
2
2025-09-29
Variable
7.99999900
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2020-KF76, Class B
30316EAE5
3500000.00000000
PA
USD
3323193.30000000
0.051345013166
Long
ABS-MBS
USGSE
US
Y
2
2030-01-25
Floating
2.90488000
N
N
N
N
N
N
CNX Resources Corp.
549300JK3KH8PWM3B226
CNX Resources Corp.
20854PAL3
852000.00000000
PA
USD
855578.40000000
0.013219117952
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
5.87500000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2018-HQA1, Class M2
3137G0UD9
8675602.05000000
PA
USD
8501704.81000000
0.131355628759
Long
ABS-MBS
CORP
US
N
2
2030-09-25
Floating
2.47513000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2016-C03, Class 2M2
30711XCT9
1229608.94000000
PA
USD
1289744.32000000
0.019927200470
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
6.07513000
N
N
N
N
N
N
Hilcorp Energy I LP
N/A
Hilcorp Energy I LP
431318AQ7
163000.00000000
PA
USD
153220.00000000
0.002367326305
Long
DBT
CORP
US
Y
2
2025-10-01
Fixed
5.75000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300SSCQUZ3RRV2T53
GS Mortgage Securities Trust, Series 2013-GC12, Class D
36197XAB0
2240000.00000000
PA
USD
1728442.02000000
0.026705301276
Long
ABS-MBS
CORP
US
Y
3
2046-06-10
Variable
4.58857100
N
N
N
N
N
N
CHL GMSR Issuer Trust
N/A
CHL GMSR Issuer Trust, Series 2018-GT1, Class A
17026XAA9
840000.00000000
PA
USD
802371.70000000
0.012397047593
Long
ABS-MBS
CORP
US
Y
2
2023-05-25
Floating
2.92513000
N
N
N
N
N
N
Prosper Marketplace Issuance Trust
549300TGOSXMW5LM7I70
Prosper Marketplace Issuance Trust, Series 2019-2A, Class B
74361PAB8
2081000.00000000
PA
USD
2081374.58000000
0.032158287396
Long
ABS-O
CORP
US
Y
3
2025-09-15
Fixed
3.69000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-2A, Class F
96041LAH5
1880000.00000000
PA
USD
1823757.36000000
0.028177971369
Long
ABS-O
CORP
US
Y
2
2026-03-16
Fixed
5.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K052, Class X3
3137BMTZ9
2915000.00000000
PA
USD
217986.62000000
0.003368003261
Long
ABS-MBS
USGSE
US
N
2
2044-01-25
Variable
1.66795900
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264AAS4
75000.00000000
PA
USD
76884.38000000
0.001187902462
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.12500000
N
N
N
N
N
N
LPL Holdings, Inc.
549300Z5YF8CCRMYUL26
LPL Holdings, Inc.
50212YAB0
1150000.00000000
PA
USD
1196000.00000000
0.018478803429
Long
DBT
CORP
US
Y
2
2025-09-15
Fixed
5.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K734, Class X3
3137FLN67
26250000.00000000
PA
USD
2756066.25000000
0.042582614106
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Variable
2.24478700
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2017-KF41, Class B
30306KAC7
163125.35000000
PA
USD
156918.27000000
0.002424466442
Long
ABS-MBS
USGSE
US
Y
2
2024-11-25
Floating
2.65488100
N
N
N
N
N
N
Santander Prime Auto Issuance Notes Trust
N/A
Santander Prime Auto Issuance Notes Trust, Series 2018-A, Class F
80285BAF0
2526736.70000000
PA
USD
2543193.84000000
0.039293627969
Long
ABS-O
CORP
US
Y
2
2025-09-15
Fixed
6.80000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4321, Class PI
3137B8GR2
513388.21000000
PA
USD
79515.05000000
0.001228547640
Long
ABS-MBS
USGSE
US
N
2
2044-01-15
Fixed
4.50000000
N
N
N
N
N
N
CARS-DB4 LP
N/A
CARS-DB4 LP, Series 2020-1A, Class B2
12510HAH3
4290000.00000000
PA
USD
4130789.09000000
0.063822775586
Long
ABS-O
CORP
US
Y
3
2050-02-15
Fixed
4.52000000
N
N
N
N
N
N
Jackson Park Trust
N/A
Jackson Park Trust, Series 2019-LIC, Class F
46868RAQ7
24015000.00000000
PA
USD
20732243.16000000
0.320323617055
Long
ABS-MBS
CORP
US
Y
2
2039-10-14
Variable
3.24240100
N
N
N
N
N
N
Elara HGV Timeshare Issuer LLC
N/A
Elara HGV Timeshare Issuer LLC, Series 2019-A, Class C
28416TAC9
2222457.66000000
PA
USD
2183705.78000000
0.033739356066
Long
ABS-O
CORP
US
Y
3
2034-01-25
Fixed
3.45000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-LC21, Class D
12593FBJ2
4200000.00000000
PA
USD
3397810.08000000
0.052497880064
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Variable
4.48042300
N
N
N
N
N
N
Rite Aid Corp.
529900W353T1JY1DKT44
Rite Aid Corp.
767754CL6
3876000.00000000
PA
USD
3924450.00000000
0.060634732539
Long
DBT
CORP
US
Y
2
2026-11-15
Fixed
8.00000000
N
N
N
N
N
N
FMG Resources August 2006 Pty. Ltd.
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty. Ltd.
30251GAU1
59000.00000000
PA
USD
60991.25000000
0.000942345584
Long
DBT
CORP
AU
Y
2
2022-05-15
Fixed
4.75000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2017-K728, Class C
30305GAU7
105000.00000000
PA
USD
109610.03000000
0.001693530266
Long
ABS-MBS
USGSE
US
Y
2
2050-11-25
Variable
3.76312000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
40409000.00000000
PA
USD
-3073200.76000000
-0.04748250229
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American Emerging Markets Index Series 33-V2
Markit CDX North American Emerging Markets Index Series 33-V2
Y
Receipt of notional amount upon default event with regard to the reference instrument
2025-06-20
4272706.55000000
USD
0.00000000
USD
40409000.00000000
USD
-3073200.76000000
N
N
N
Ardagh Packaging Finance plc
N/A
Ardagh Packaging Finance plc
03969AAL4
2246000.00000000
PA
USD
2342858.75000000
0.036198349752
Long
DBT
CORP
US
Y
2
2025-02-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-107, Class KS
38380TB21
11528663.91000000
PA
USD
2097340.65000000
0.032404971233
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Floating
6.04199900
N
N
N
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2019-1A, Class A1
69359AAA7
1808163.28000000
PA
USD
1821128.90000000
0.028137360336
Long
ABS-MBS
CORP
US
Y
2
2024-01-25
Variable
4.50000000
N
N
N
N
N
N
Calpine Corp.
43R4VPJBXTU2O15HEF41
Calpine Corp.
131347CP9
1000000.00000000
PA
USD
1022420.00000000
0.015796904851
Long
DBT
CORP
US
Y
2
2029-02-01
Fixed
4.62500000
N
N
N
N
N
N
Goodyear Tire & Rubber Co. (The)
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co. (The)
382550BE0
813000.00000000
PA
USD
815040.63000000
0.012592788953
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
5.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617JNH67
783286.60000000
PA
USD
845595.22000000
0.013064872785
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class D
29425AAJ2
8000000.00000000
PA
USD
5771949.60000000
0.089179533495
Long
ABS-MBS
CORP
US
N
3
2058-09-10
Fixed
3.17200000
N
N
N
N
N
N
Allied Universal Holdco LLC
N/A
Allied Universal Holdco LLC
019576AA5
1542000.00000000
PA
USD
1653795.00000000
0.025551967154
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-70
38380PLS1
69761031.38000000
PA
USD
5876348.38000000
0.090792547320
Long
ABS-MBS
USGA
US
N
2
2062-04-16
Variable
1.00063100
N
N
N
N
N
N
CoreVest American Finance Trust
N/A
CoreVest American Finance Trust, Series 2019-3, Class D
21872NAL4
8689000.00000000
PA
USD
8441240.99000000
0.130421432234
Long
ABS-O
CORP
US
Y
3
2052-10-15
Fixed
3.76000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series KC06, Class X1
3137FQ3Q4
39727000.00000000
PA
USD
1445280.18000000
0.022330307981
Long
ABS-MBS
USGSE
US
N
2
2026-06-25
Variable
0.90295900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K737, Class X1
3137FQXL2
138215631.06000000
PA
USD
4727831.52000000
0.073047382361
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Variable
0.75146400
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-115, Class SA
38381YTX2
18320233.62000000
PA
USD
3198844.70000000
0.049423764558
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
5.89200100
N
N
N
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013092AE1
1160000.00000000
PA
USD
1247000.00000000
0.019266779160
Long
DBT
CORP
US
Y
2
2030-02-15
Fixed
4.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2020-M10, Class X5
3136B9ED5
59900000.00000000
PA
USD
5970837.99000000
0.092252459468
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Variable
1.55436100
N
N
N
N
N
N
US Auto Funding LLC
549300P0OJXVYBPHN411
US Auto Funding LLC, Series 2019-1A, Class C
90352VAC0
7000000.00000000
PA
USD
7088763.50000000
0.109524972635
Long
ABS-O
CORP
US
Y
2
2023-03-15
Fixed
5.34000000
N
N
N
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust, Series 2019-1, Class M1
85571KAD7
3500000.00000000
PA
USD
3426018.40000000
0.052933712841
Long
ABS-MBS
CORP
US
Y
3
2049-06-25
Variable
3.76400200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-59
38379KKY3
10327822.25000000
PA
USD
460340.99000000
0.007112500555
Long
ABS-MBS
USGA
US
N
2
2056-06-16
Variable
0.92462000
N
N
N
N
N
N
Virgin Media Secured Finance plc
213800X3RLP4NOTPY579
Virgin Media Secured Finance plc
92769XAP0
6015000.00000000
PA
USD
6503718.75000000
0.100485736069
Long
DBT
CORP
GB
Y
2
2029-05-15
Fixed
5.50000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners I LLC
N/A
Pretium Mortgage Credit Partners I LLC, Series 2019-NPL2, Class A2
74142NAB9
3020000.00000000
PA
USD
3006701.73000000
0.046455058727
Long
ABS-O
CORP
US
Y
3
2058-12-27
Variable
5.92679900
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M3
3137G0HW2
12696636.22000000
PA
USD
13428019.60000000
0.207469677784
Long
ABS-MBS
CORP
US
N
2
2028-07-25
Floating
5.72513000
N
N
N
N
N
N
Sinclair Television Group, Inc.
549300CQGEN0CH65UD62
Sinclair Television Group, Inc.
829259AU4
184000.00000000
PA
USD
184460.00000000
0.002850000067
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
5.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-23
38379RMS9
24811149.08000000
PA
USD
1248760.02000000
0.019293972357
Long
ABS-MBS
USGA
US
N
2
2059-05-16
Variable
0.72051100
N
N
N
N
N
N
Iron Mountain, Inc.
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAC5
3444000.00000000
PA
USD
3573150.00000000
0.055206970294
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
4.87500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-130, Class IB
38378XQX2
2016441.98000000
PA
USD
65886.64000000
0.001017981830
Long
ABS-MBS
USGA
US
N
2
2054-08-16
Variable
0.82338100
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K071, Class X3
3137FCLG7
12470000.00000000
PA
USD
1521337.51000000
0.023505432104
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Variable
2.07941400
N
N
N
N
N
N
Callon Petroleum Co.
549300EFOWPEB0WLZW21
Callon Petroleum Co.
13123XAZ5
159000.00000000
PA
USD
47302.50000000
0.000730847490
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
6.37500000
N
N
N
N
N
N
Consumer Loan Underlying Bond Certificate Issuer Trust I
N/A
Consumer Loan Underlying Bond Certificate Issuer Trust I, Series 2019-54, Class PT
21055NAA7
19957478.81000000
PA
USD
16907085.94000000
0.261223008063
Long
ABS-O
CORP
US
Y
2
2045-02-15
Variable
26.15162800
N
N
N
N
N
N
Multifamily Connecticut Avenue Securities Trust
5493002KQF9IH3CTQZ40
Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10
62548QAD3
25000000.00000000
PA
USD
22972082.50000000
0.354930264945
Long
ABS-MBS
CORP
US
Y
2
2050-03-25
Floating
3.92513000
N
N
N
N
N
N
Axalta Dupont PC
N/A
Axalta Dupont PC, Term Loan B
90347BAH1
259456.18000000
PA
USD
252515.73000000
0.003901495432
Long
LON
CORP
US
N
2
2024-06-01
Variable
2.05788000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-36, Class SL
38376MNL7
11331062.50310000
PA
USD
2381879.99000000
0.036801247597
Long
ABS-MBS
USGA
US
N
2
2047-03-16
Floating
6.03812200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HX4U8
1189719.93000000
PA
USD
1333165.54000000
0.020598080227
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2020-BN26, Class XA
06540JBM3
149893428.79000000
PA
USD
13654392.00000000
0.210967245578
Long
ABS-MBS
CORP
US
N
2
2063-03-15
Variable
1.35699100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HX5P8
1081947.81000000
PA
USD
1214883.34000000
0.018770560559
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
4.50000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-23CB, Class A16
12667GMX8
78560.42000000
PA
USD
76276.12000000
0.001178504538
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.50000000
N
N
N
N
N
N
Republic of Paraguay
529900UXKJTJPCU0HK83
Republic of Paraguay
N/A
900000.00000000
PA
USD
1202625.00000000
0.018581163021
Long
DBT
NUSS
PY
Y
2
2044-08-11
Fixed
6.10000000
N
N
N
N
N
N
Iron Mountain, Inc.
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAF8
1325000.00000000
PA
USD
1376675.00000000
0.021270323336
Long
DBT
CORP
US
Y
2
2029-09-15
Fixed
4.87500000
N
N
N
N
N
N
Sabre GLBL, Inc.
F2TJC7HPPHLHU1AQMP98
Sabre GLBL, Inc.
78573NAB8
875000.00000000
PA
USD
868437.50000000
0.013417797535
Long
DBT
CORP
US
Y
2
2023-11-15
Fixed
5.25000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2019-4, Class B1
92537KAE4
2200000.00000000
PA
USD
2046544.72000000
0.031620148486
Long
ABS-MBS
CORP
US
Y
3
2059-11-25
Variable
3.85999900
N
N
N
N
N
N
OBX Trust
N/A
OBX Trust, Series 2020-EXP1, Class 2A1
67448TBE4
4584871.48000000
PA
USD
4545462.68000000
0.070229691770
Long
ABS-MBS
CORP
US
Y
2
2060-02-25
Floating
0.92513200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-108, Class SN
38379YYP7
21400507.36000000
PA
USD
4861153.07000000
0.075107267574
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Floating
5.92200000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2020-1, Class C
02529VAE9
5850000.00000000
PA
USD
5917142.21000000
0.091422832575
Long
ABS-O
CORP
US
Y
2
2026-03-13
Fixed
2.19000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-93
38379KUR7
32496826.25000000
PA
USD
982830.76000000
0.015185231118
Long
ABS-MBS
USGA
US
N
2
2054-11-16
Variable
0.68104100
N
N
N
N
N
N
Quicken Loans LLC
549300FGXN1K3HLB1R50
Quicken Loans LLC
74840LAB8
285000.00000000
PA
USD
303882.68000000
0.004695140726
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
5.25000000
N
N
N
N
N
N
Revlon Consumer Products Corp.
2MKZBE7NMX7EJWQLHS95
Revlon Consumer Products Corp.
761519BF3
207000.00000000
PA
USD
30295.49000000
0.000468080605
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
6.25000000
N
N
N
N
N
N
Bausch Health Americas, Inc.
KOO0397YRO83WY5MGD97
Bausch Health Americas, Inc.
91911XAV6
10452000.00000000
PA
USD
11588445.96000000
0.179047336909
Long
DBT
CORP
US
Y
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
DBJPM Mortgage Trust
N/A
DBJPM Mortgage Trust, Series 2016-C3, Class D
23312VAS5
800000.00000000
PA
USD
606345.60000000
0.009368345445
Long
ABS-MBS
CORP
US
Y
2
2049-08-10
Variable
3.63187400
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4102, Class BI
3137AUKS7
1832649.00000000
PA
USD
235377.74000000
0.003636704840
Long
ABS-MBS
USGSE
US
N
2
2027-08-15
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-28
38380N3R8
22070123.28000000
PA
USD
1644537.58000000
0.025408935344
Long
ABS-MBS
USGA
US
N
2
2061-11-16
Variable
0.86225000
N
N
N
N
N
N
MPT Operating Partnership LP
N/A
MPT Operating Partnership LP
55342UAJ3
1472000.00000000
PA
USD
1571301.12000000
0.024277395087
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.62500000
N
N
N
N
N
N
PRPM
N/A
PRPM, Series 2019-GS1, Class A1
69359CAA3
12233409.18000000
PA
USD
12179484.31000000
0.188179177618
Long
ABS-MBS
CORP
US
Y
2
2024-10-25
Variable
3.49999900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K104, Class X1
3137FREK3
77125753.55000000
PA
USD
6922128.93000000
0.106950384455
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Variable
1.12711000
N
N
N
N
N
N
Telecom Italia SpA
549300W384M3RI3VXU42
Telecom Italia SpA
87927YAA0
500000.00000000
PA
USD
551980.00000000
0.008528369495
Long
DBT
CORP
IT
Y
2
2024-05-30
Fixed
5.30300000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust, Series 2020-2, Class C
80285RAF5
2500000.00000000
PA
USD
2519568.50000000
0.038928604546
Long
ABS-O
CORP
US
N
2
2025-09-15
Fixed
1.46000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-65, Class DS
38380WP37
8282041.70000000
PA
USD
1953654.13000000
0.030184942003
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Floating
6.04199900
N
N
N
N
N
N
Station Casinos LLC
5493004E7Q60TX54WL62
Station Casinos LLC
857691AG4
760000.00000000
PA
USD
722456.00000000
0.011162309707
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
4.50000000
N
N
N
N
N
N
1011778 BC ULC
N/A
1011778 BC ULC
68245XAE9
2725000.00000000
PA
USD
2798329.75000000
0.043235606505
Long
DBT
CORP
CA
Y
2
2025-10-15
Fixed
5.00000000
N
N
N
N
N
N
United States Cellular Corp.
N/A
United States Cellular Corp.
911684AD0
790000.00000000
PA
USD
1025048.70000000
0.015837519592
Long
DBT
CORP
US
N
2
2033-12-15
Fixed
6.70000000
N
N
N
N
N
N
Entercom Media Corp.
549300S5JUSXRHNCHD80
Entercom Media Corp.
29365DAA7
1123000.00000000
PA
USD
957357.50000000
0.014791656399
Long
DBT
CORP
US
Y
2
2027-05-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K097, Class X3
3137FNX88
51390000.00000000
PA
USD
7372296.34000000
0.113905698066
Long
ABS-MBS
USGSE
US
N
2
2046-09-25
Variable
2.08563100
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2019-3A, Class D
26253KAD6
2300000.00000000
PA
USD
2327507.77000000
0.035961169365
Long
ABS-O
CORP
US
Y
2
2025-04-15
Fixed
2.96000000
N
N
N
N
N
N
SBALR Commercial Mortgage Trust
N/A
SBALR Commercial Mortgage Trust, Series 2020-RR1, Class C
78397EAS5
4750000.00000000
PA
USD
4660732.30000000
0.072010665557
Long
ABS-MBS
CORP
US
Y
3
2053-02-13
Variable
3.97900100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-54
38380PFX7
199016002.20000000
PA
USD
17012584.42000000
0.262853012807
Long
ABS-MBS
USGA
US
N
2
2062-04-16
Variable
1.02445900
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-CR22, Class D
12592XAG1
4173500.00000000
PA
USD
3610213.97000000
0.055779627331
Long
ABS-MBS
CORP
US
Y
3
2048-03-10
Variable
4.24388200
N
N
N
N
N
N
Ally Financial, Inc.
549300JBN1OSM8YNAI90
Ally Financial, Inc.
02005NBF6
5925000.00000000
PA
USD
6650990.25000000
0.102761155049
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
5.75000000
N
N
N
N
N
N
Marlette Funding Trust
54930083FUKNQ9ZNFO83
Marlette Funding Trust, Series 2017-3A, Class C
57109DAC5
105453.02000000
PA
USD
105505.71000000
0.001630116451
Long
ABS-O
CORP
US
Y
3
2024-12-15
Fixed
4.01000000
N
N
N
N
N
N
Sigma Holdco BV
254900RAPCKVT00GAO59
Sigma Holdco BV
82660CAA0
3000000.00000000
PA
USD
3045000.00000000
0.047046786322
Long
DBT
CORP
NL
Y
2
2026-05-15
Fixed
7.87500000
N
N
N
N
N
N
LHOME Mortgage Trust
N/A
LHOME Mortgage Trust, Series 2020-RTL1, Class A2
50201TAD0
4250000.00000000
PA
USD
3938577.85000000
0.060853014950
Long
ABS-MBS
CORP
US
Y
2
2024-10-25
Variable
3.72100000
N
N
N
N
N
N
Centene Corp.
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAL5
873000.00000000
PA
USD
905737.50000000
0.013994101355
Long
DBT
CORP
US
Y
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
Republic FInance Issuance Trust
N/A
Republic FInance Issuance Trust, Series 2019-A, Class A
76041QAA1
4185000.00000000
PA
USD
4195310.17000000
0.064819658825
Long
ABS-O
CORP
US
Y
2
2027-11-22
Fixed
3.43000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-71, Class QI
38379UUY0
77213284.19000000
PA
USD
4577388.80000000
0.070722966432
Long
ABS-MBS
USGA
US
N
2
2057-11-16
Variable
0.95182900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-91, Class IU
38380PSK1
260924686.77000000
PA
USD
24074085.76000000
0.371956771316
Long
ABS-MBS
USGA
US
N
2
2062-05-16
Variable
1.27073200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-71, Class SK
38381WEL8
19241726.26310000
PA
USD
3328397.25000000
0.051425416819
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Floating
5.99199800
N
N
N
N
N
N
DBJPM Mortgage Trust
N/A
DBJPM Mortgage Trust, Series 2017-C6, Class D
23312JAQ6
1800000.00000000
PA
USD
1578872.16000000
0.024394371475
Long
ABS-MBS
CORP
US
Y
2
2050-06-10
Variable
3.37564100
N
N
N
N
N
N
FREMF Mortgage Trust
549300LI8XT0ZWPV2P54
FREMF Mortgage Trust, Series 2018-KF50, Class B
35709BAC9
312857.81000000
PA
USD
286945.14000000
0.004433447188
Long
ABS-MBS
USGSE
US
Y
2
2028-07-25
Floating
2.05488000
N
N
N
N
N
N
Hudbay Minerals, Inc.
549300WI524AL577IX21
Hudbay Minerals, Inc.
443628AG7
85000.00000000
PA
USD
88187.50000000
0.001362541369
Long
DBT
CORP
CA
Y
2
2025-01-15
Fixed
7.62500000
N
N
N
N
N
N
CoreVest American Finance Trust
N/A
CoreVest American Finance Trust, Series 2019-3, Class XB
21872NAE0
53875000.00000000
PA
USD
5103799.64000000
0.078856279505
Long
ABS-O
CORP
US
Y
2
2052-10-15
Variable
1.54949800
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust, Series 2019-A, Class C
038370AC6
7400000.00000000
PA
USD
7431464.80000000
0.114819880626
Long
ABS-O
CORP
US
Y
3
2040-07-16
Fixed
4.01000000
N
N
N
N
N
N
Republic of El Salvador
529900AKDMUSFSDOM949
Republic of El Salvador
N/A
4400000.00000000
PA
USD
4049375.00000000
0.062564886819
Long
DBT
NUSS
SV
Y
2
2041-02-01
Fixed
7.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C05, Class 1B1
30711XY32
3000000.00000000
PA
USD
2759880.00000000
0.042641538468
Long
ABS-MBS
CORP
US
N
2
2031-01-25
Floating
4.42513100
N
N
N
N
N
N
Steel Dynamics, Inc.
549300HGGKEL4FYTTQ83
Steel Dynamics, Inc.
858119BH2
399000.00000000
PA
USD
408157.58000000
0.006306240542
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.12500000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust, Series 2007-7, Class 5A7
52519BBP4
14766739.25000000
PA
USD
10780598.27000000
0.166565682507
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class D
29429MAJ2
790000.00000000
PA
USD
806236.87000000
0.012456766419
Long
ABS-MBS
CORP
US
Y
3
2036-01-10
Variable
4.90310300
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4844, Class S
3137FJMX4
11261683.53000000
PA
USD
1596023.81000000
0.024659373121
Long
ABS-MBS
USGSE
US
N
2
2048-11-15
Floating
5.93812100
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2019-M32, Class X2
3136B7U41
29302256.00000000
PA
USD
2291922.84000000
0.035411364243
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Variable
1.18599800
N
N
N
N
N
N
BANK
N/A
BANK, Series 2017-BNK9, Class D
06540RAU8
2149000.00000000
PA
USD
1636763.07000000
0.025288815242
Long
ABS-MBS
CORP
US
Y
2
2054-11-15
Fixed
2.80000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-110, Class MS
38379MTQ7
11210525.36000000
PA
USD
1798120.06000000
0.027781862149
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Floating
5.55199900
N
N
N
N
N
N
Range Resources Corp.
H3Y3WLYCX0BTO1TRW162
Range Resources Corp.
75281ABA6
6465000.00000000
PA
USD
6440626.95000000
0.099510935927
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
Gray Television, Inc.
529900TM5726KDN7UU35
Gray Television, Inc.
389284AA8
3427000.00000000
PA
USD
3718295.00000000
0.057449533776
Long
DBT
CORP
US
Y
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
Reynolds American, Inc.
02S2RPPVO9RP4NEU2740
Reynolds American, Inc.
761713BB1
1360000.00000000
PA
USD
1680093.35000000
0.025958289930
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
N/A
250000.00000000
PA
USD
282500.00000000
0.004364767532
Long
DBT
CORP
CH
Y
2
2025-02-19
Variable
6.99999800
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2016-2A, Class D
30165MAG4
1209689.34000000
PA
USD
1234235.27000000
0.019069557641
Long
ABS-O
CORP
US
Y
2
2023-04-17
Fixed
8.25000000
N
N
N
N
N
N
Solera LLC
N/A
Solera LLC
83422AAA1
201000.00000000
PA
USD
210798.75000000
0.003256947043
Long
DBT
CORP
US
Y
2
2024-03-01
Fixed
10.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2020-1, Class A2
92536PAD6
6306676.06000000
PA
USD
6436588.54000000
0.099448540455
Long
ABS-MBS
CORP
US
Y
2
2060-01-25
Variable
2.64200000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL Commercial Mortgage Trust, Series 2019-C18, Class C
12597DAK1
4327000.00000000
PA
USD
4030248.71000000
0.062269375988
Long
ABS-MBS
CORP
US
N
3
2052-12-15
Variable
4.08154300
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2018-73, Class SC
3136B3EB2
7893980.34000000
PA
USD
1550941.37000000
0.023962826677
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Floating
6.02487000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K090, Class X3
3137FLMY7
97000000.00000000
PA
USD
15956548.50000000
0.246536725032
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Variable
2.38946400
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2014-M13, Class X2
3136ALYJ4
74660325.26050000
PA
USD
974623.35000000
0.015058422493
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Variable
0.16999900
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-CR23, Class D
12593ABF1
1490000.00000000
PA
USD
1286071.90000000
0.019870459728
Long
ABS-MBS
CORP
US
N
3
2048-05-10
Variable
4.43500200
N
N
N
N
N
N
ArcelorMittal SA
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAP9
200000.00000000
PA
USD
257000.00000000
0.003970779666
Long
DBT
CORP
LU
N
2
2039-10-15
Fixed
7.25000000
N
N
N
N
N
N
Commercial Metals Co.
549300OQS2LO07ZJ7N73
Commercial Metals Co.
201723AK9
40000.00000000
PA
USD
41600.00000000
0.000642740988
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.87500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCW0
800000.00000000
PA
USD
713375.04000000
0.011022004293
Long
DBT
NUSS
MX
Y
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
Visio Trust
N/A
Visio Trust, Series 2019-2, Class B1
92837DAE7
820000.00000000
PA
USD
771846.24000000
0.011925413834
Long
ABS-MBS
CORP
US
Y
3
2054-11-25
Variable
3.91000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
549300KR7NUJOX0UJ040
Exeter Automobile Receivables Trust, Series 2019-1A, Class D
30167DAD9
14475000.00000000
PA
USD
15004263.90000000
0.231823447497
Long
ABS-O
CORP
US
Y
2
2024-12-16
Fixed
4.13000000
N
N
N
N
N
N
FREED ABS Trust
N/A
FREED ABS Trust, Series 2019-1, Class C
30308XAC7
8200000.00000000
PA
USD
8139173.22000000
0.125754332782
Long
ABS-O
CORP
US
Y
2
2026-06-18
Fixed
5.39000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-151
38379UV45
105138292.90000000
PA
USD
7039218.99000000
0.108759484958
Long
ABS-MBS
USGA
US
N
2
2058-06-16
Variable
1.06058200
N
N
N
N
N
N
Ashtead Capital, Inc.
213800J1134IW58IC398
Ashtead Capital, Inc.
045054AJ2
2630000.00000000
PA
USD
2728625.00000000
0.042158632948
Long
DBT
CORP
US
Y
2
2028-05-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4149
3137AXRF2
523935.75000000
PA
USD
54550.57000000
0.000842833829
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2017-C06, Class 1M2
30711XQX5
2412073.47000000
PA
USD
2395244.67000000
0.037007738646
Long
ABS-MBS
CORP
US
N
2
2030-02-25
Floating
2.82512900
N
N
N
N
N
N
Ardagh Packaging Finance plc
N/A
Ardagh Packaging Finance plc
03969AAR1
950000.00000000
PA
USD
988361.00000000
0.015270676117
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class B
05377RDR2
3000000.00000000
PA
USD
3019501.50000000
0.046652821632
Long
ABS-O
CORP
US
Y
2
2026-03-20
Fixed
2.65000000
N
N
N
N
N
N
Altice France Holding SA
5299000JVHXKJPOE6H40
Altice France Holding SA
02156TAA2
1450000.00000000
PA
USD
1450000.00000000
0.022403231582
Long
DBT
CORP
LU
Y
2
2028-02-15
Fixed
6.00000000
N
N
N
N
N
N
Affirm Asset Securitization Trust
N/A
Affirm Asset Securitization Trust, Series 2020-A, Class A
00833LAA4
8000000.00000000
PA
USD
8021627.20000000
0.123938187466
Long
ABS-O
CORP
US
Y
2
2025-02-18
Fixed
2.95000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2016-M12, Class X2
3136AULA7
135051840.98000000
PA
USD
1039737.11000000
0.016064462937
Long
ABS-MBS
USGSE
US
N
2
2026-09-25
Variable
0.07800100
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
071734AD9
140000.00000000
PA
USD
149100.00000000
0.002303670226
Long
DBT
CORP
CA
Y
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
Small Business Lending Trust
N/A
Small Business Lending Trust, Series 2020-A, Class C
83165WAC0
3250000.00000000
PA
USD
2231890.38000000
0.034483832447
Long
ABS-O
CORP
US
Y
3
2026-12-15
Fixed
5.01000000
N
N
N
N
N
N
Avis Budget Car Rental LLC
N/A
Avis Budget Car Rental LLC
053773BB2
1015000.00000000
PA
USD
994700.00000000
0.015368616865
Long
DBT
CORP
US
Y
2
2024-04-01
Fixed
6.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K721, Class X3
3137BM6R2
12550000.00000000
PA
USD
313227.92000000
0.004839529399
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Variable
1.33864200
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2017-KF32, Class B
30300WAC7
307777.18000000
PA
USD
291630.91000000
0.004505844698
Long
ABS-MBS
USGSE
US
Y
2
2024-05-25
Floating
2.70488200
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust, Series 2003-4, Class M2
542514EJ9
48102.36000000
PA
USD
48966.17000000
0.000756552031
Long
ABS-O
CORP
US
N
3
2033-08-25
Floating
2.80013000
N
N
N
N
N
N
Clear Channel Worldwide Holdings, Inc.
N/A
Clear Channel Worldwide Holdings, Inc.
18453HAA4
11409000.00000000
PA
USD
11526512.70000000
0.178090436794
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
5.12500000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2017-3A, Class E
23342EAE8
905000.00000000
PA
USD
932583.50000000
0.014408885600
Long
ABS-O
CORP
US
Y
2
2024-08-15
Fixed
5.60000000
N
N
N
N
N
N
Mattel, Inc.
549300VELLG24KHTJ564
Mattel, Inc.
577081BD3
2635000.00000000
PA
USD
2865826.00000000
0.044278457622
Long
DBT
CORP
US
Y
2
2027-12-15
Fixed
5.87500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2017-K67, Class C
30300YAU3
2010000.00000000
PA
USD
2107829.92000000
0.032567035747
Long
ABS-MBS
USGSE
US
Y
2
2049-09-25
Variable
4.07881400
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-130
38380AF44
48920437.69000000
PA
USD
3100396.34000000
0.047902687725
Long
ABS-MBS
USGA
US
N
2
2058-03-16
Variable
1.00743100
N
N
N
N
N
N
Telefonica Celular del Paraguay SA
254900R8A8IKGF4THL54
Telefonica Celular del Paraguay SA
N/A
500000.00000000
PA
USD
526875.00000000
0.008140484579
Long
DBT
CORP
PY
Y
2
2027-04-15
Fixed
5.87500000
N
N
N
N
N
N
Commercial Mortgage Trust
549300NGGFIEJ2ER3D22
Commercial Mortgage Trust, Series 2013-CR8, Class D
12625KAP0
750000.00000000
PA
USD
712064.18000000
0.011001750845
Long
ABS-MBS
CORP
US
Y
3
2046-06-10
Variable
4.08319600
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2015-P1, Class D
17324DAA2
2285000.00000000
PA
USD
1753323.92000000
0.027089739184
Long
ABS-MBS
CORP
US
Y
3
2048-09-15
Fixed
3.22500000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2020-BN25, Class E
06539WAC0
4250000.00000000
PA
USD
2860880.28000000
0.044202043752
Long
ABS-MBS
CORP
US
Y
3
2063-01-15
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C06, Class 2M2
30711X5R1
954855.20000000
PA
USD
930707.20000000
0.014379895818
Long
ABS-MBS
CORP
US
N
2
2031-03-25
Floating
2.27513200
N
N
N
N
N
N
Community Health Systems, Inc.
5493007X5NC5XI1BB106
Community Health Systems, Inc.
12543DAY6
4288000.00000000
PA
USD
4298720.00000000
0.066417392873
Long
DBT
CORP
US
N
2
2023-03-31
Fixed
6.25000000
N
N
N
N
N
N
Conn's Receivables Funding LLC
N/A
Conn's Receivables Funding LLC, Series 2018-A, Class B
20826JAB4
32272.94000000
PA
USD
32200.05000000
0.000497507018
Long
ABS-O
CORP
US
Y
3
2023-01-15
Fixed
4.65000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4709, Class SE
3137FANE4
889755.80000000
PA
USD
180518.82000000
0.002789106847
Long
ABS-MBS
USGSE
US
N
2
2047-08-15
Floating
5.98812100
N
N
N
N
N
N
VOLT LXXXV LLC
N/A
VOLT LXXXV LLC, Series 2020-NPL1, Class A1B
91834TAB3
25000000.00000000
PA
USD
23923515.00000000
0.369630377105
Long
ABS-O
CORP
US
Y
3
2050-01-25
Variable
3.72100000
N
N
N
N
N
N
LV Tower 52 Issuer
N/A
LV Tower 52 Issuer, Series 2013-1, Class M
50244VAD4
160130.51000000
PA
USD
161506.03000000
0.002495349649
Long
ABS-O
CORP
US
Y
3
2019-07-15
Fixed
7.75000000
N
N
N
N
N
N
Prumo Participacoes e Investimentos S/A
N/A
Prumo Participacoes e Investimentos S/A
74444JAE7
1251420.38000000
PA
USD
1309689.64000000
0.020235365728
Long
DBT
CORP
BR
Y
2
2031-12-31
Fixed
7.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-101, Class SJ
38382F5Q3
74660859.38000000
PA
USD
17467691.99000000
0.269884654384
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Floating
6.04199900
N
N
N
N
N
N
James Hardie International Finance DAC
635400G32A4Q1LVQ8M88
James Hardie International Finance DAC
47032FAA7
450000.00000000
PA
USD
463826.25000000
0.007166349581
Long
DBT
CORP
IE
Y
2
2025-01-15
Fixed
4.75000000
N
N
N
N
N
N
Allison Transmission, Inc.
MWKQ3I0U1GXP2YDSZW75
Allison Transmission, Inc.
019736AF4
3485000.00000000
PA
USD
3816075.00000000
0.058960284110
Long
DBT
CORP
US
Y
2
2029-06-01
Fixed
5.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4746, Class SC
3137FDDW9
13951772.65000000
PA
USD
3106567.27000000
0.047998031707
Long
ABS-MBS
USGSE
US
N
2
2048-01-15
Floating
5.98812100
N
N
N
N
N
N
Icahn Enterprises LP
N/A
Icahn Enterprises LP
451102BJ5
1575000.00000000
PA
USD
1592718.75000000
0.024608308276
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
6.25000000
N
N
N
N
N
N
Whiting Petroleum Corp.
52990028CHK9KUB1B293
Whiting Petroleum Corp.
966387AH5
3365000.00000000
PA
USD
757125.00000000
0.011697963249
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
5.75000000
Y
N
N
N
N
N
Genesys Telecommunications Laboratories, Inc.
N/A
Genesys Telecommunications Laboratories, Inc.
39479TAA4
445000.00000000
PA
USD
472812.50000000
0.007305191677
Long
DBT
CORP
US
Y
2
2024-11-30
Fixed
10.00000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class B
05377REA8
1800000.00000000
PA
USD
1860066.00000000
0.028738958176
Long
ABS-O
CORP
US
Y
2
2027-02-20
Fixed
2.96000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-33, Class US
38379VP81
18185142.82000000
PA
USD
3362687.50000000
0.051955218483
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Floating
5.89200100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-49, Class SB
38381TWQ4
12557265.96000000
PA
USD
2070345.32000000
0.031987879764
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Floating
5.38200000
N
N
N
N
N
N
Intelsat Jackson Holdings SA
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TAR6
5129000.00000000
PA
USD
5231580.00000000
0.080830550538
Long
DBT
CORP
LU
Y
2
2024-02-15
Fixed
8.00000000
Y
N
N
N
N
N
GFL Environmental, Inc.
549300FYK4MBXWIVZU26
GFL Environmental, Inc.
36168QAK0
1750000.00000000
PA
USD
1760850.00000000
0.027206020918
Long
DBT
CORP
CA
Y
2
2025-08-01
Fixed
3.75000000
N
N
N
N
N
N
Level 3 Financing, Inc.
N/A
Level 3 Financing, Inc.
527298BN2
5776000.00000000
PA
USD
6050360.00000000
0.093481114644
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
4.62500000
N
N
N
N
N
N
Herc Holdings, Inc.
549300TP80QLITMSBP82
Herc Holdings, Inc.
42704LAA2
5058000.00000000
PA
USD
5298255.00000000
0.081860712928
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
5.50000000
N
N
N
N
N
N
Ally Financial, Inc.
549300JBN1OSM8YNAI90
Ally Financial, Inc.
02005NBA7
1366000.00000000
PA
USD
1511212.85000000
0.023349000998
Long
DBT
CORP
US
N
2
2025-03-30
Fixed
4.62500000
N
N
N
N
N
N
Berry Global, Inc.
549300AP2Q7ERHX6RI89
Berry Global, Inc.
085790AY9
80000.00000000
PA
USD
81000.00000000
0.001251490867
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
5.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-155, Class KS
38380HG89
8740853.02000000
PA
USD
1540113.83000000
0.023795535721
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Floating
6.04199900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4842, Class PI
3137FJGD5
550818.25000000
PA
USD
36968.72000000
0.000571185376
Long
ABS-MBS
USGSE
US
N
2
2046-04-15
Fixed
4.50000000
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
Republic of Angola
N/A
5100000.00000000
PA
USD
4118250.00000000
0.063629040319
Long
DBT
NUSS
AO
Y
2
2049-11-26
Fixed
9.12500000
N
N
N
N
N
N
LHOME Mortgage Trust
N/A
LHOME Mortgage Trust, Series 2019-RTL3, Class A1
501878AA0
12000000.00000000
PA
USD
12099522.00000000
0.186943719585
Long
ABS-MBS
CORP
US
Y
2
2024-07-25
Fixed
3.86800000
N
N
N
N
N
N
Boyd Gaming Corp.
254900787YGRYS2A1Z35
Boyd Gaming Corp.
103304BM2
2069000.00000000
PA
USD
2156953.19000000
0.033326015053
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
6.37500000
N
N
N
N
N
N
Avis Budget Car Rental LLC
N/A
Avis Budget Car Rental LLC
053773BD8
1000000.00000000
PA
USD
1159220.00000000
0.017910533872
Long
DBT
CORP
US
Y
2
2025-05-15
Fixed
10.50000000
N
N
N
N
N
N
Freeport-McMoRan, Inc.
549300IRDTHJQ1PVET45
Freeport-McMoRan, Inc.
35671DBJ3
98000.00000000
PA
USD
110778.22000000
0.001711579390
Long
DBT
CORP
US
N
2
2034-11-14
Fixed
5.40000000
N
N
N
N
N
N
Hilton Domestic Operating Co., Inc.
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co., Inc.
432833AF8
1404000.00000000
PA
USD
1446120.00000000
0.022343283624
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.87500000
N
N
N
N
N
N
OneMain Financial Issuance Trust
549300KQ3WN93FBBU117
OneMain Financial Issuance Trust, Series 2017-1A, Class D
68267LAE8
1100000.00000000
PA
USD
1101646.15000000
0.017020988841
Long
ABS-O
CORP
US
Y
3
2032-09-14
Fixed
4.52000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust, Series 2019-4A, Class B2
24381MAF7
5650000.00000000
PA
USD
5188259.97000000
0.080161234217
Long
ABS-MBS
CORP
US
Y
3
2059-10-25
Variable
4.91500100
N
N
N
N
N
N
Midcontinent Communications
N/A
Midcontinent Communications
59565XAC4
326000.00000000
PA
USD
337044.88000000
0.005207513448
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
5.37500000
N
N
N
N
N
N
Battalion Oil Corp.
3XHTN2NNIMMPORDAMJ28
Battalion Oil Corp.
07134L107
667.00000000
NS
USD
5562.78000000
0.000085947757
Long
EC
CORP
US
N
1
N
N
N
GLP Capital LP
N/A
GLP Capital LP
361841AJ8
225000.00000000
PA
USD
243378.00000000
0.003760312893
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.25000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-127, Class AI
3136A9B72
771420.44510000
PA
USD
104834.19000000
0.001619741128
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Fixed
4.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2017-KF33, Class B
30303CAG9
4184698.71000000
PA
USD
3958497.33000000
0.061160780966
Long
ABS-MBS
USGSE
US
Y
2
2027-06-25
Floating
2.70488200
N
N
N
N
N
N
Liberty Interactive LLC
549300SZUIU7Z32Q0664
Liberty Interactive LLC
530715AJ0
275000.00000000
PA
USD
295625.00000000
0.004567555404
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
8.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-27
38380N6A2
29302261.56000000
PA
USD
2207339.36000000
0.034104506801
Long
ABS-MBS
USGA
US
N
3
2062-03-16
Variable
0.90474800
N
N
N
N
N
N
Parsley Energy LLC
N/A
Parsley Energy LLC
701885AD7
1140000.00000000
PA
USD
1161375.00000000
0.017943829709
Long
DBT
CORP
US
Y
2
2025-01-15
Fixed
5.37500000
N
N
N
N
N
N
Martin Midstream Partners LP
N/A
Martin Midstream Partners LP
573334AF6
116041.00000000
PA
USD
120508.58000000
0.001861918362
Long
DBT
CORP
US
Y
2
2024-02-29
Fixed
10.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K100, Class C
30313PAU7
10000000.00000000
PA
USD
10178117.00000000
0.157257042910
Long
ABS-MBS
USGSE
US
Y
2
2052-11-25
Variable
3.60965200
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust, Series 2006-2, Class 1A4
007034BN0
1743176.20000000
PA
USD
1654634.53000000
0.025564938316
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.90929400
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2017-C02, Class 2B1
30711XGQ1
5500000.00000000
PA
USD
5524037.20000000
0.085349161834
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
5.67513000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K070, Class X3
3137FCJN5
42244907.00000000
PA
USD
5234435.47000000
0.080874668990
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Variable
2.10755900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-120, Class DS
38381YSU9
23189244.82000000
PA
USD
4365507.52000000
0.067449293754
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
5.89200100
N
N
N
N
N
N
Hashemite Kingdom of Jordan
5493000JZ4MYPVMBVN50
Hashemite Kingdom of Jordan
N/A
4700000.00000000
PA
USD
4899750.00000000
0.075703609616
Long
DBT
NUSS
JO
Y
2
2047-10-10
Fixed
7.37500000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M3
3137G0LJ6
2412875.47000000
PA
USD
2491491.30000000
0.038494797640
Long
ABS-MBS
CORP
US
N
2
2029-03-25
Floating
3.97513100
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBN1
2240000.00000000
PA
USD
2475200.00000000
0.038243088835
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CA8
2315000.00000000
PA
USD
2475012.80000000
0.038240196501
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
7.25000000
N
N
N
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397XU2
1500000.00000000
PA
USD
1525980.00000000
0.023577160917
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
4.38900000
N
N
N
N
N
N
MetLife, Inc.
C4BXATY60WC6XEOZDX54
MetLife, Inc., Series F
59156R850
97000.00000000
NS
USD
2569530.00000000
0.039700534929
Long
EP
CORP
US
N
1
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2020-2A, Class E
23343RAJ7
2130000.00000000
PA
USD
2265296.96000000
0.034999980963
Long
ABS-O
CORP
US
Y
2
2027-06-15
Fixed
7.17000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-192, Class PI
38380UAH6
2081820.30000000
PA
USD
168011.43000000
0.002595861361
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
4.00000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2018-3A, Class D
23343CAG6
1230000.00000000
PA
USD
1274815.42000000
0.019696541433
Long
ABS-O
CORP
US
Y
2
2024-07-15
Fixed
4.19000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2020-54, Class AS
3136BBGH9
49233071.70000000
PA
USD
11039275.66000000
0.170562378696
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Floating
5.97487000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2017-C01, Class 1B1
30711XEQ3
16485000.00000000
PA
USD
16980117.08000000
0.262351376023
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
5.92512800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K737, Class X3
3137FQXM0
43660808.00000000
PA
USD
4133652.49000000
0.063867016560
Long
ABS-MBS
USGSE
US
N
2
2048-01-25
Variable
1.82935400
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 5 Year Note
N/A
296.00000000
NC
USD
24907.86000000
0.000384839003
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 5 Year Note
2020-12-31
37296000.00000000
USD
24907.86000000
N
N
N
RAAC Trust
N/A
RAAC Trust, Series 2005-SP1, Class 4A1
76112BQY9
124556.01000000
PA
USD
128981.34000000
0.001992826779
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
7.00000000
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBB7
170000.00000000
PA
USD
173615.90000000
0.002682453251
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.12500000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2019-3A, Class E
30167EAE5
7092000.00000000
PA
USD
7056693.19000000
0.109029470165
Long
ABS-O
CORP
US
Y
2
2026-08-17
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
40390000.00000000
PA
USD
-3080813.45000000
-0.04760012219
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American Emerging Markets Index Series 33-V2
Markit CDX North American Emerging Markets Index Series 33-V2
Y
Receipt of notional amount upon default event with regard to the reference instrument
2025-06-20
4279755.24000000
USD
0.00000000
USD
40390000.00000000
USD
-3080813.45000000
N
N
N
Prime Security Services Borrower LLC
N/A
Prime Security Services Borrower LLC
74166MAC0
4665000.00000000
PA
USD
5154825.00000000
0.079644647062
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2014-UBS5, Class D
12592KAG9
3760000.00000000
PA
USD
2157046.58000000
0.033327457975
Long
ABS-MBS
CORP
US
Y
3
2047-09-10
Fixed
3.49500000
N
N
N
N
N
N
SART
N/A
SART
N/A
1888318.06000000
PA
USD
1831978.49000000
0.028304991975
Long
ABS-MBS
CORP
US
N
3
2026-07-15
Fixed
0.00000000
N
N
N
N
N
N
Constellium SE
724500KRJEMC79KAAU28
Constellium SE
210383AF2
2610000.00000000
PA
USD
2688300.00000000
0.041535591353
Long
DBT
CORP
FR
Y
2
2025-03-01
Fixed
6.62500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series KC05, Class X1
3137FPJQ9
107466843.90000000
PA
USD
6444539.45000000
0.099571386026
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Variable
1.20409900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-120, Class NS
38380ATU1
5508058.90000000
PA
USD
1230407.82000000
0.019010421608
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Floating
5.94200200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-86
38379KRY6
25141793.86000000
PA
USD
866388.73000000
0.013386143005
Long
ABS-MBS
USGA
US
N
2
2052-05-16
Variable
0.64694900
N
N
N
N
N
N
Lamar Media Corp.
N/A
Lamar Media Corp.
513075BL4
1030000.00000000
PA
USD
1074084.00000000
0.016595139717
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
5.75000000
N
N
N
N
N
N
Angel Oak Mortgage Trust I LLC
N/A
Angel Oak Mortgage Trust I LLC, Series 2018-PB1, Class A
03463RAA2
106533.65000000
PA
USD
106610.78000000
0.001647190340
Long
ABS-MBS
CORP
US
Y
2
2021-08-25
Fixed
4.00000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2014-CR19, Class E
12592GAJ2
6000000.00000000
PA
USD
3440394.60000000
0.053155832384
Long
ABS-MBS
CORP
US
Y
3
2047-08-10
Variable
4.36807800
N
N
N
N
N
N
GCAT Trust
N/A
GCAT Trust, Series 2020-NQM1, Class M1
36167FAD1
10871000.00000000
PA
USD
10229807.77000000
0.158055691387
Long
ABS-MBS
CORP
US
Y
3
2060-01-25
Variable
2.93400000
N
N
N
N
N
N
Clean Harbors, Inc.
5493000SJVZVZJKHJF48
Clean Harbors, Inc.
184496AN7
2860000.00000000
PA
USD
3000483.20000000
0.046358979301
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
4.87500000
N
N
N
N
N
N
eG Global Finance plc
549300TL8Q5207VYET27
eG Global Finance plc
28228PAA9
2500000.00000000
PA
USD
2584375.00000000
0.039929897668
Long
DBT
CORP
GB
Y
2
2025-02-07
Fixed
6.75000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2016-2, Class D
33843NAJ0
1290000.00000000
PA
USD
1338612.36000000
0.020682236344
Long
ABS-O
CORP
US
Y
2
2023-11-15
Fixed
8.56000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc., Series T
172967KM2
83000.00000000
PA
USD
94205.00000000
0.001455514780
Long
DBT
CORP
US
N
2
2026-08-15
Variable
6.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-7
38378B4P1
81325246.42000000
PA
USD
1365670.47000000
0.021100297796
Long
ABS-MBS
USGA
US
N
2
2053-05-16
Variable
0.32738000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-117, Class SA
38381YRF3
26605572.95920000
PA
USD
5480319.68000000
0.084673704093
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
5.94200200
N
N
N
N
N
N
OneMain Finance Corp.
5493008I795YYBFWFU90
OneMain Finance Corp.
85172FAN9
3197000.00000000
PA
USD
3668541.52000000
0.056680817407
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
7.12500000
N
N
N
N
N
N
United Auto Credit Securitization Trust
N/A
United Auto Credit Securitization Trust, Series 2018-1, Class D
90943TAD9
52706.62000000
PA
USD
52743.31000000
0.000814910750
Long
ABS-O
CORP
US
Y
2
2022-11-10
Fixed
3.52000000
N
N
N
N
N
N
Service Corp. International
549300RKVM2ME20JHZ15
Service Corp. International
817565CD4
2455000.00000000
PA
USD
2645262.50000000
0.040870640264
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.62500000
N
N
N
N
N
N
SART
N/A
SART
N/A
1525672.08000000
PA
USD
1483394.26000000
0.022919189747
Long
ABS-MBS
CORP
US
N
3
2026-04-15
Fixed
0.00000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A
05377RCQ5
1500000.00000000
PA
USD
1532758.65000000
0.023681894479
Long
ABS-O
CORP
US
Y
2
2023-09-20
Fixed
3.07000000
N
N
N
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953CE9
4419000.00000000
PA
USD
4734958.50000000
0.073157497798
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
5.75000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4906, Class QS
3137FNWB2
26605919.49000000
PA
USD
5905221.08000000
0.091238645102
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Floating
5.88812000
N
N
N
N
N
N
Bear Stearns ALT-A Trust
N/A
Bear Stearns ALT-A Trust, Series 2004-7, Class 2A1
07386HKK6
146532.16000000
PA
USD
148410.17000000
0.002293012005
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.28318600
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-HQA1, Class M3
3137G0JJ9
1962550.80000000
PA
USD
2075917.15000000
0.032073967349
Long
ABS-MBS
CORP
US
N
2
2028-09-25
Floating
6.52513000
N
N
N
N
N
N
BANK
N/A
BANK, Series 2019-BN24, Class XA
06540VBC8
100567282.09000000
PA
USD
5247138.17000000
0.081070932114
Long
ABS-MBS
CORP
US
N
2
2062-11-15
Variable
0.76781200
N
N
N
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013093AB5
467000.00000000
PA
USD
482037.40000000
0.007447721036
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
6.62500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-85, Class CS
38381XSG2
34831175.19370000
PA
USD
6917464.43000000
0.106878315576
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Floating
5.94200200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-157
38380JBV9
9803596.80000000
PA
USD
493399.34000000
0.007623268742
Long
ABS-MBS
USGA
US
N
2
2059-12-16
Variable
0.57024000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HRZT0
685706.47000000
PA
USD
759033.47000000
0.011727450073
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
Allison Transmission, Inc.
MWKQ3I0U1GXP2YDSZW75
Allison Transmission, Inc.
019736AE7
1648000.00000000
PA
USD
1722160.00000000
0.026608240897
Long
DBT
CORP
US
Y
2
2027-10-01
Fixed
4.75000000
N
N
N
N
N
N
Antero Resources Corp.
APVBKPOULHUX7YZLKU17
Antero Resources Corp.
03674XAF3
300000.00000000
PA
USD
238500.00000000
0.003684945332
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
5.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2019-M30, Class X5
3136B7H53
198966785.64000000
PA
USD
5223395.44000000
0.080704094956
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Variable
0.46100200
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2019-GC41, Class E
17328FAC9
5000000.00000000
PA
USD
3657369.50000000
0.056508204061
Long
ABS-MBS
CORP
US
Y
3
2056-08-10
Fixed
3.00000000
N
N
N
N
N
N
Sensata Technologies BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAG8
255000.00000000
PA
USD
269025.00000000
0.004156571983
Long
DBT
CORP
NL
Y
2
2023-10-15
Fixed
4.87500000
N
N
N
N
N
N
Hilcorp Energy I LP
N/A
Hilcorp Energy I LP
431318AN4
370000.00000000
PA
USD
350575.00000000
0.005416560628
Long
DBT
CORP
US
Y
2
2024-12-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2017-16, Class SM
3136AVB73
7078622.83000000
PA
USD
1430826.10000000
0.022106985153
Long
ABS-MBS
USGSE
US
N
2
2047-03-25
Floating
5.87486900
N
N
N
N
N
N
Gateway Casinos & Entertainment Ltd.
549300AK9XBIDV7T6V58
Gateway Casinos & Entertainment Ltd.
36760BAE9
982000.00000000
PA
USD
824880.00000000
0.012744812184
Long
DBT
CORP
CA
Y
2
2024-03-01
Fixed
8.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617K5WY6
237534.27000000
PA
USD
258247.62000000
0.003990056025
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
4.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KC05, Class B
30295SAN9
16737000.00000000
PA
USD
16555721.55000000
0.255794250961
Long
ABS-MBS
USGSE
US
Y
2
2029-07-25
Variable
4.14978800
N
N
N
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013092AF8
1787000.00000000
PA
USD
1823079.53000000
0.028167498553
Long
DBT
CORP
US
Y
2
2026-03-15
Fixed
3.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4116, Class LS
3137AVMB0
395476.88000000
PA
USD
94215.25000000
0.001455673147
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Floating
6.03812200
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2017-KF38, Class B
30305MAG5
402481.18000000
PA
USD
387019.87000000
0.005979652258
Long
ABS-MBS
USGSE
US
Y
2
2024-09-25
Floating
2.65488100
N
N
N
N
N
N
Western Digital Corp.
549300QQXOOYEF89IC56
Western Digital Corp.
958102AM7
3068000.00000000
PA
USD
3320005.52000000
0.051295760357
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
4.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-31, Class S
3136B5NQ4
19394869.53000000
PA
USD
4213997.00000000
0.065108379777
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
5.87486900
N
N
N
N
N
N
Driven Brands Funding LLC
N/A
Driven Brands Funding LLC, Series 2019-2A, Class A2
26208LAE8
3940225.00000000
PA
USD
4122145.19000000
0.063689222970
Long
ABS-O
CORP
US
Y
2
2049-10-20
Fixed
3.98100000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2017-2, Class E
02529LAJ0
1330000.00000000
PA
USD
1348289.36000000
0.020831750877
Long
ABS-O
CORP
US
Y
2
2024-03-12
Fixed
5.52000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2019-SFR2, Class E
74333NAJ1
4000000.00000000
PA
USD
4118325.60000000
0.063630208377
Long
ABS-O
CORP
US
Y
3
2036-05-17
Fixed
4.14200000
N
N
N
N
N
N
International Game Technology plc
549300UQ6KHRCZDRGZ76
International Game Technology plc
460599AC7
1825000.00000000
PA
USD
1984687.50000000
0.030664423228
Long
DBT
CORP
GB
Y
2
2025-02-15
Fixed
6.50000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2019-R05, Class 1M2
20754HAE8
1533036.71000000
PA
USD
1526675.68000000
0.023587909524
Long
ABS-MBS
CORP
US
Y
3
2039-07-25
Floating
2.17513100
N
N
N
N
N
N
Hilton Worldwide Finance LLC
N/A
Hilton Worldwide Finance LLC
432891AK5
3059000.00000000
PA
USD
3135475.00000000
0.048444670720
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.87500000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-3A, Class E
96042HAN0
600000.00000000
PA
USD
590707.74000000
0.009126732618
Long
ABS-O
CORP
US
Y
2
2025-03-17
Fixed
3.59000000
N
N
N
N
N
N
Driven Brands Funding LLC
N/A
Driven Brands Funding LLC, Series 2020-1A, Class A2
26209XAA9
500000.00000000
PA
USD
521555.00000000
0.008058287895
Long
ABS-O
CORP
US
Y
2
2050-07-20
Fixed
3.78600000
N
N
N
N
N
N
CDK Global, Inc.
5493000L10CYRTHIJ385
CDK Global, Inc.
12508EAJ0
1639000.00000000
PA
USD
1788017.88000000
0.027625778371
Long
DBT
CORP
US
Y
2
2029-05-15
Fixed
5.25000000
N
N
N
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Republic of Ghana
37443GAJ0
3300000.00000000
PA
USD
3003000.00000000
0.046397865131
Long
DBT
NUSS
GH
Y
2
2061-03-11
Fixed
8.75000000
N
N
N
N
N
N
Tempur Sealy International, Inc.
549300HFEKVR3US71V91
Tempur Sealy International, Inc.
88023UAD3
1162000.00000000
PA
USD
1182335.00000000
0.018267672284
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
5.62500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KW09, Class B
30298GAN2
12670000.00000000
PA
USD
12503651.77000000
0.193187728431
Long
ABS-MBS
USGSE
US
Y
2
2029-05-25
Variable
4.14831600
N
N
N
N
N
N
US Auto Funding LLC
549300437ZXANCCWB466
US Auto Funding LLC, Series 2018-1A, Class B
90291LAB8
1844938.92000000
PA
USD
1914361.76000000
0.029577855062
Long
ABS-O
CORP
US
Y
2
2023-07-15
Fixed
7.50000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust, Series 2016-C6, Class D
12532AAA7
1900000.00000000
PA
USD
1477474.58000000
0.022827727705
Long
ABS-MBS
CORP
US
Y
3
2049-11-10
Variable
4.34609300
N
N
N
N
N
N
Standard Chartered plc
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BA7
500000.00000000
PA
USD
525625.00000000
0.008121171448
Long
DBT
CORP
GB
Y
2
2022-04-02
Variable
7.49999900
N
N
N
N
N
N
EnLink Midstream Partners LP
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP, Series C
29336UAH0
460000.00000000
PA
USD
184000.00000000
0.002842892835
Long
DBT
CORP
US
N
2
2022-12-15
Variable
6.00000100
N
N
N
N
N
N
Encompass Health Corp.
549300FVRPM9DRQZRG64
Encompass Health Corp.
29261AAA8
4630000.00000000
PA
USD
4747463.10000000
0.073350700177
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.50000000
N
N
N
N
N
N
ACC
N/A
ACC
N/A
7357398.37000000
PA
USD
7357398.37000000
0.113675516913
Long
ABS-MBS
CORP
US
N
3
2021-01-15
Fixed
0.00000000
N
N
N
N
N
N
Axalta Coating Systems LLC
549300G80QONCHILSF69
Axalta Coating Systems LLC
05453GAA3
800000.00000000
PA
USD
819504.00000000
0.012661750272
Long
DBT
CORP
US
Y
2
2024-08-15
Fixed
4.87500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2017-6, Class SB
3136AVDL0
218256.68000000
PA
USD
45330.71000000
0.000700382340
Long
ABS-MBS
USGSE
US
N
2
2047-02-25
Floating
5.87486900
N
N
N
N
N
N
Republic of South Africa
N/A
Republic of South Africa
836205BB9
2420000.00000000
PA
USD
2163631.25000000
0.033429194449
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
Cenovus Energy, Inc.
549300EIRQ0Z2B9C1W06
Cenovus Energy, Inc.
15135UAS8
2950000.00000000
PA
USD
3001752.17000000
0.046378585528
Long
DBT
CORP
CA
N
2
2025-07-15
Fixed
5.37500000
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2020-A, Class D
12597JAD4
1950000.00000000
PA
USD
1982774.63000000
0.030634868421
Long
ABS-O
CORP
US
Y
2
2025-12-15
Fixed
2.90000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2019-M28, Class XAV3
3136B7GL9
36643137.36700000
PA
USD
1953709.48000000
0.030185797189
Long
ABS-MBS
USGSE
US
N
2
2027-02-25
Variable
1.21500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2015-35, Class SA
3136ANL88
17756185.75000000
PA
USD
3167366.17000000
0.048937405387
Long
ABS-MBS
USGSE
US
N
2
2045-06-25
Floating
5.42486900
N
N
N
N
N
N
CPS Auto Receivables Trust
N/A
CPS Auto Receivables Trust, Series 2020-A, Class B
12597JAB8
3200000.00000000
PA
USD
3248847.68000000
0.050196335827
Long
ABS-O
CORP
US
Y
2
2024-02-15
Fixed
2.36000000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-1, Class D
02528CAG7
1580000.00000000
PA
USD
1632918.31000000
0.025229411761
Long
ABS-O
CORP
US
Y
2
2025-04-14
Fixed
3.81000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4657, Class QI
3137BVPS9
763897.19000000
PA
USD
76493.30000000
0.001181860078
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2019-2A, Class E
30167LAJ8
5520000.00000000
PA
USD
5625172.01000000
0.086911745675
Long
ABS-O
CORP
US
Y
2
2026-05-15
Fixed
4.68000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2019-R06, Class 2B1
20754JAC8
26974000.00000000
PA
USD
21982143.01000000
0.339635200361
Long
ABS-MBS
CORP
US
Y
2
2039-09-25
Floating
3.92513000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-87
38379UVH6
42898660.76000000
PA
USD
2519764.38000000
0.038931630991
Long
ABS-MBS
USGA
US
N
2
2058-08-16
Variable
0.97060000
N
N
N
N
N
N
NRZ Excess Spread-Collateralized Notes
N/A
NRZ Excess Spread-Collateralized Notes, Series 2018-FNT1, Class D
64829TAD3
549391.65000000
PA
USD
533124.22000000
0.008237038181
Long
ABS-O
CORP
US
Y
3
2023-05-25
Fixed
4.69000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2020-1A, Class E
23344EAJ5
5500000.00000000
PA
USD
5345536.90000000
0.082591242138
Long
ABS-O
CORP
US
Y
2
2027-02-16
Fixed
3.48000000
N
N
N
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397A45
13840000.00000000
PA
USD
13943800.00000000
0.215438745196
Long
DBT
CORP
US
N
2
2027-01-09
Fixed
4.27100000
N
N
N
N
N
N
Community Health Systems, Inc.
5493007X5NC5XI1BB106
Community Health Systems, Inc.
12543DBB5
5285000.00000000
PA
USD
5522825.00000000
0.085330432732
Long
DBT
CORP
US
Y
2
2024-01-15
Fixed
8.62500000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR7, Class A3
92922FQ43
100139.16000000
PA
USD
100622.37000000
0.001554666384
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
2.95513600
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-11, Class LS
38382B6C2
82413833.64120000
PA
USD
13219632.19000000
0.204249987160
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Floating
5.89200100
N
N
N
N
N
N
FHLMC STACR Trust
549300NKHCH87PYOHD44
FHLMC STACR Trust, Series 2019-HQA2, Class M2
35564MAH8
1452987.50000000
PA
USD
1425666.25000000
0.022027262867
Long
ABS-MBS
CORP
US
Y
2
2049-04-25
Floating
2.22513100
N
N
N
N
N
N
CoreVest American Finance Trust
N/A
CoreVest American Finance Trust, Series 2019-2, Class E
21872GAN5
1250000.00000000
PA
USD
1246778.63000000
0.019263358882
Long
ABS-O
CORP
US
Y
3
2052-06-15
Variable
5.39082400
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2019-GC44, Class E
12655TAJ8
3493000.00000000
PA
USD
2460440.56000000
0.038015048041
Long
ABS-MBS
CORP
US
Y
2
2057-08-15
Fixed
2.50000000
N
N
N
N
N
N
Prumo Participacoes e Investimentos S/A
N/A
Prumo Participacoes e Investimentos S/A
N/A
893871.69000000
PA
USD
935492.59000000
0.014453832508
Long
DBT
CORP
BR
Y
2
2031-12-31
Fixed
7.50000000
N
N
N
N
N
N
Lennar Corp.
529900G61XVRLX5TJX09
Lennar Corp.
526057BV5
874000.00000000
PA
USD
957030.00000000
0.014786596359
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
4.75000000
N
N
N
N
N
N
Allison Transmission, Inc.
MWKQ3I0U1GXP2YDSZW75
Allison Transmission, Inc.
019736AD9
2130000.00000000
PA
USD
2151363.90000000
0.033239657702
Long
DBT
CORP
US
Y
2
2024-10-01
Fixed
5.00000000
N
N
N
N
N
N
SM Energy Co.
84BUTVXV5ODI6BXNMH43
SM Energy Co.
78454LAN0
179000.00000000
PA
USD
87710.00000000
0.001355163753
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
6.75000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K735, Class C
30298FAK0
4774000.00000000
PA
USD
4961311.71000000
0.076654769096
Long
ABS-MBS
USGSE
US
Y
2
2026-05-25
Variable
4.15722600
N
N
N
N
N
N
Frontier Communications Corp.
549300ZCZ76HYCS0H445
Frontier Communications Corp.
35906ABA5
2274000.00000000
PA
USD
2302425.00000000
0.035573627914
Long
DBT
CORP
US
Y
2
2026-04-01
Fixed
8.50000000
Y
N
N
N
N
N
SM Energy Co.
84BUTVXV5ODI6BXNMH43
SM Energy Co.
78454LAH3
38000.00000000
PA
USD
22420.00000000
0.000346400311
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2015-172
38379K7D4
19345234.02000000
PA
USD
818063.52000000
0.012639494129
Long
ABS-MBS
USGA
US
N
2
2057-03-16
Variable
0.78457000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K105, Class X1
3137FRUL3
52875942.29000000
PA
USD
6471031.84000000
0.099980706818
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Variable
1.64517100
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust, Series 2017-GS5, Class D
36252HAL5
2000000.00000000
PA
USD
1626188.80000000
0.025125437436
Long
ABS-MBS
CORP
US
Y
2
2050-03-10
Variable
3.50899900
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2017-KF29, Class B
30300PAA6
184131.06000000
PA
USD
179923.57000000
0.002779909935
Long
ABS-MBS
USGSE
US
Y
2
2024-02-25
Floating
4.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K081, Class X3
3137FJEL9
29425000.00000000
PA
USD
4290741.73000000
0.066294124576
Long
ABS-MBS
USGSE
US
N
2
2046-09-25
Variable
2.30852900
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-147, Class AS
38380A2K2
10053707.30000000
PA
USD
2019435.91000000
0.031201303694
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Floating
5.94200200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-46, Class AS
38380V4N8
20553439.71000000
PA
USD
4891089.72000000
0.075569803921
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Floating
6.04199900
N
N
N
N
N
N
Howmet Aerospace, Inc.
549300HO5WFZUT5N2T22
Howmet Aerospace, Inc.
013817AJ0
3054000.00000000
PA
USD
3453152.36000000
0.053352946213
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.90000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-134, Class SB
38380GG40
7873880.07000000
PA
USD
1319351.28000000
0.020384642940
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Floating
6.04199900
N
N
N
N
N
N
Berry Global, Inc.
549300AP2Q7ERHX6RI89
Berry Global, Inc.
085770AA3
7076000.00000000
PA
USD
7518250.00000000
0.116160755753
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
4.87500000
N
N
N
N
N
N
Trivium Packaging Finance BV
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAA4
6991000.00000000
PA
USD
7372848.42000000
0.113914227981
Long
DBT
CORP
NL
Y
2
2026-08-15
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K016, Class X1
3137AJMG6
15120083.12000000
PA
USD
192759.89000000
0.002978237555
Long
ABS-MBS
USGSE
US
N
2
2021-10-25
Variable
1.63778800
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2019-3A, Class E
26253KAE4
3500000.00000000
PA
USD
3503174.85000000
0.054125818922
Long
ABS-O
CORP
US
Y
2
2026-08-17
Fixed
3.85000000
N
N
N
N
N
N
Gulfport Energy Corp.
549300FJX18IDUFPHD40
Gulfport Energy Corp.
402635AH9
6189000.00000000
PA
USD
3682455.00000000
0.056895787693
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
6.00000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBF1
910000.00000000
PA
USD
990694.42000000
0.015306728633
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K078, Class X3
3137FGR64
2680000.00000000
PA
USD
375607.90000000
0.005803331563
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Variable
2.28536300
N
N
N
N
N
N
Sunoco LP
N/A
Sunoco LP
86765LAN7
19000.00000000
PA
USD
19902.50000000
0.000307503666
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.87500000
N
N
N
N
N
N
Axalta Coating Systems LLC
N/A
Axalta Coating Systems LLC
05454NAA7
3740000.00000000
PA
USD
3917650.00000000
0.060529669108
Long
DBT
CORP
US
Y
2
2027-06-15
Fixed
4.75000000
N
N
N
N
N
N
CoreVest American Finance Trust
N/A
CoreVest American Finance Trust, Series 2019-3, Class E
21872NAN0
3650000.00000000
PA
USD
3440407.15000000
0.053156026288
Long
ABS-O
CORP
US
Y
3
2052-10-15
Variable
4.89783600
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-54
38379RSG9
22185039.39000000
PA
USD
1171372.30000000
0.018098293038
Long
ABS-MBS
USGA
US
N
2
2058-12-16
Variable
0.61790000
N
N
N
N
N
N
Martin Midstream Partners LP
N/A
Martin Midstream Partners LP
573334AH2
526975.00000000
PA
USD
470325.19000000
0.007266761483
Long
DBT
CORP
US
Y
2
2025-02-28
Fixed
11.50000000
N
N
N
N
N
N
EP Energy LLC
N/A
EP Energy LLC
268787AE8
310000.00000000
PA
USD
310.00000000
0.000004789656
Long
DBT
CORP
US
Y
2
2024-11-29
Fixed
8.00000000
Y
N
N
N
N
N
Credit Suisse Commercial Mortgage Trust
549300FW5RBJHRQ6VP04
Credit Suisse Commercial Mortgage Trust, Series 2007-C1, Class AM
22545XAF0
583.13000000
PA
USD
561.22000000
0.000008671132
Long
ABS-MBS
CORP
US
N
2
2040-02-15
Fixed
5.41600000
N
N
N
N
N
N
Clearway Energy Operating LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
62943WAE9
316000.00000000
PA
USD
331629.36000000
0.005123840932
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.00000000
N
N
N
N
N
N
Comstock Resources, Inc.
I03QQGEA4SS774AURI46
Comstock Resources, Inc.
22304LAA8
1100000.00000000
PA
USD
1091596.00000000
0.016865708953
Long
DBT
CORP
US
Y
2
2025-05-15
Fixed
7.50000000
N
N
N
N
N
N
DISH DBS Corp.
N/A
DISH DBS Corp.
25470XAJ4
580000.00000000
PA
USD
612190.00000000
0.009458644373
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
5.87500000
N
N
N
N
N
N
Transocean Poseidon Ltd.
N/A
Transocean Poseidon Ltd.
89383JAA6
259000.00000000
PA
USD
214970.00000000
0.003321394960
Long
DBT
CORP
KY
Y
2
2027-02-01
Fixed
6.87500000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A
05377RDL5
5385000.00000000
PA
USD
5661987.17000000
0.087480558472
Long
ABS-O
CORP
US
Y
2
2025-09-22
Fixed
3.35000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class XA
17328RBE8
165902992.34480000
PA
USD
12343132.86000000
0.190707630283
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Variable
1.10875700
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2018-78, Class SA
3136B3ET3
32035184.15000000
PA
USD
5620979.91000000
0.086846975615
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Floating
6.02487000
N
N
N
N
N
N
BAMLL Re-REMIC Trust
N/A
BAMLL Re-REMIC Trust, Series 2013-FRR3, Class A
05525FAA9
7500000.00000000
PA
USD
6383122.50000000
0.098622463161
Long
ABS-MBS
CORP
US
Y
2
2023-06-26
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2018-C03, Class 1M2
30711XJ70
325357.77000000
PA
USD
318438.35000000
0.004920033172
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
2.32512800
N
N
N
N
N
N
Calpine Corp.
43R4VPJBXTU2O15HEF41
Calpine Corp.
131347CK0
6286000.00000000
PA
USD
6561641.10000000
0.101380665601
Long
DBT
CORP
US
Y
2
2026-06-01
Fixed
5.25000000
N
N
N
N
N
N
Santander Revolving Auto Loan Trust
N/A
Santander Revolving Auto Loan Trust, Series 2019-A, Class A
80286JAA3
11500000.00000000
PA
USD
12256306.70000000
0.189366122304
Long
ABS-O
CORP
US
Y
2
2032-01-26
Fixed
2.51000000
N
N
N
N
N
N
CDK Global, Inc.
5493000L10CYRTHIJ385
CDK Global, Inc.
12508EAF8
2890000.00000000
PA
USD
3048950.00000000
0.047107815815
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
4.87500000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2017-3A, Class D
30165YAG8
1000000.00000000
PA
USD
1014289.80000000
0.015671289159
Long
ABS-O
CORP
US
Y
2
2024-10-15
Fixed
5.28000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust, Series 2005-1, Class 1A2
45254NMM6
347837.15000000
PA
USD
335316.37000000
0.005180807096
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
0.79512800
N
N
N
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397A86
2620000.00000000
PA
USD
2615834.20000000
0.040415958181
Long
DBT
CORP
US
N
2
2027-08-17
Fixed
4.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K112, Class X3
3137FUZY3
21670000.00000000
PA
USD
4955844.49000000
0.076570297789
Long
ABS-MBS
USGSE
US
N
2
2048-07-25
Variable
3.10478000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K051, Class X3
3137BM7E0
4995000.00000000
PA
USD
360690.95000000
0.005572857160
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
Variable
1.66899600
N
N
N
N
N
N
Precision Drilling Corp.
549300WF2OE8T5BP4B84
Precision Drilling Corp.
740212AL9
3376000.00000000
PA
USD
2295680.00000000
0.035469414260
Long
DBT
CORP
CA
Y
2
2026-01-15
Fixed
7.12500000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-135
38380NRB7
52485164.72000000
PA
USD
3727874.29000000
0.057597538639
Long
ABS-MBS
USGA
US
N
2
2060-02-16
Variable
0.88162900
N
N
N
N
N
N
W&T Offshore, Inc.
549300Q7EOY2YIO3YK85
W&T Offshore, Inc.
92922PAL0
471000.00000000
PA
USD
341569.20000000
0.005277416475
Long
DBT
CORP
US
Y
2
2023-11-01
Fixed
9.75000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2018-1A, Class D
301656AG9
1500000.00000000
PA
USD
1539100.65000000
0.023779881579
Long
ABS-O
CORP
US
Y
2
2023-11-15
Fixed
3.53000000
N
N
N
N
N
N
Wyndham Destinations, Inc.
T4VNTWMFQ7JQB65L7T35
Wyndham Destinations, Inc.
98310WAN8
1508000.00000000
PA
USD
1545700.00000000
0.023881844866
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
5.74999900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 4839, Class WS
3137FJK99
42046993.46000000
PA
USD
10885659.66000000
0.168188933990
Long
ABS-MBS
USGSE
US
N
2
2056-08-15
Floating
5.93812100
N
N
N
N
N
N
Hilcorp Energy I LP
N/A
Hilcorp Energy I LP
431318AS3
292000.00000000
PA
USD
274480.00000000
0.004240854485
Long
DBT
CORP
US
Y
2
2028-11-01
Fixed
6.25000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2019-2, Class E
33845WAJ8
4500000.00000000
PA
USD
4513312.35000000
0.069732952951
Long
ABS-O
CORP
US
Y
2
2026-12-15
Fixed
4.52000000
N
N
N
N
N
N
FGI Operating Co. LLC
N/A
FGI Operating Co. LLC, 1st Lien Term Loan
30252KAF4
57879.89000000
PA
USD
28939.95000000
0.000447136828
Long
LON
CORP
US
N
3
2022-05-16
Variable
0.00000000
Y
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2020-1, Class C
33843FAE8
10000000.00000000
PA
USD
10159406.00000000
0.156967948520
Long
ABS-O
CORP
US
Y
2
2026-01-15
Fixed
2.24000000
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAD7
1945000.00000000
PA
USD
1940137.50000000
0.029976103250
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
3.75000000
N
N
N
N
N
N
Nielsen Co. Luxembourg SARL (The)
549300MFMRJBOPHHM352
Nielsen Co. Luxembourg SARL (The)
65410CAC4
146000.00000000
PA
USD
148555.00000000
0.002295249701
Long
DBT
CORP
LU
Y
2
2025-02-01
Fixed
5.00000000
N
N
N
N
N
N
International Game Technology plc
549300UQ6KHRCZDRGZ76
International Game Technology plc
460599AD5
3085000.00000000
PA
USD
3380234.50000000
0.052226328486
Long
DBT
CORP
GB
Y
2
2027-01-15
Fixed
6.25000000
N
N
N
N
N
N
JBS USA LUX SA
N/A
JBS USA LUX SA
472141AA8
1253000.00000000
PA
USD
1385739.69000000
0.021410377370
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
6.75000000
N
N
N
N
N
N
AES Corp. (The)
2NUNNB7D43COUIRE5295
AES Corp. (The)
00130HBW4
3838000.00000000
PA
USD
3953466.23000000
0.061083047932
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.50000000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust, Series 2020-A, Class E
88167HAH9
2500000.00000000
PA
USD
2523910.00000000
0.038995682911
Long
ABS-O
CORP
US
Y
2
2024-08-20
Fixed
4.64000000
N
N
N
N
N
N
Nexstar Broadcasting, Inc.
5493006PK6I4I2OOT688
Nexstar Broadcasting, Inc.
65343HAA9
5683000.00000000
PA
USD
5995565.00000000
0.092634504248
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
5.62500000
N
N
N
N
N
N
Ladder Capital Finance Holdings LLLP
N/A
Ladder Capital Finance Holdings LLLP
505742AG1
2190000.00000000
PA
USD
2080500.00000000
0.032144774694
Long
DBT
CORP
US
Y
2
2025-10-01
Fixed
5.25000000
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust, Series 2020-AA, Class C
038413AC4
4250000.00000000
PA
USD
4268972.00000000
0.065957771264
Long
ABS-O
CORP
US
Y
2
2046-07-17
Fixed
3.97000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2020-2A, Class C
30167YAE1
6591000.00000000
PA
USD
6863327.60000000
0.106041874239
Long
ABS-O
CORP
US
Y
2
2025-05-15
Fixed
3.28000000
N
N
N
N
N
N
Nielsen Co. Luxembourg SARL (The)
549300MFMRJBOPHHM352
Nielsen Co. Luxembourg SARL (The)
65410CAA8
125000.00000000
PA
USD
125156.25000000
0.001933727208
Long
DBT
CORP
LU
Y
2
2021-10-01
Fixed
5.50000000
N
N
N
N
N
N
Nabors Industries, Inc.
549300VFQWRKICUFNU92
Nabors Industries, Inc.
62957HAF2
414000.00000000
PA
USD
119025.00000000
0.001838996302
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.75000000
N
N
N
N
N
N
Lamar Media Corp.
N/A
Lamar Media Corp.
513075BE0
7000.00000000
PA
USD
7078.75000000
0.000109370259
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K734, Class C
302977AU7
4150000.00000000
PA
USD
4318462.20000000
0.066722419824
Long
ABS-MBS
USGSE
US
Y
2
2051-02-25
Variable
4.19026000
N
N
N
N
N
N
Bausch Health Cos., Inc.
B3BS7ACMDUWISF18KY76
Bausch Health Cos., Inc.
91831AAB7
92000.00000000
PA
USD
92000.00000000
0.001421446417
Long
DBT
CORP
CA
Y
2
2023-05-15
Fixed
5.87500000
N
N
N
N
N
N
Bausch Health Americas, Inc.
KOO0397YRO83WY5MGD97
Bausch Health Americas, Inc.
91911XAW4
4349000.00000000
PA
USD
4783900.00000000
0.073913668665
Long
DBT
CORP
US
Y
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
LL ABS Trust
N/A
LL ABS Trust, Series 2019-1A, Class A
50202AAA6
2945814.44000000
PA
USD
2958745.39000000
0.045714109079
Long
ABS-O
CORP
US
Y
2
2027-03-15
Fixed
2.87000000
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAC9
350000.00000000
PA
USD
403788.50000000
0.006238736052
Long
DBT
CORP
US
N
2
2025-03-31
Fixed
5.87500000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2018-R07, Class 1B1
20753QAF6
8186000.00000000
PA
USD
7804321.20000000
0.120580700127
Long
ABS-MBS
CORP
US
Y
3
2031-04-25
Floating
4.52513200
N
N
N
N
N
N
PulteGroup, Inc.
N/A
PulteGroup, Inc.
745867AX9
1460000.00000000
PA
USD
1664400.00000000
0.025715819755
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
5.00000000
N
N
N
N
N
N
CenturyLink, Inc.
8M3THTGWLTYZVE6BBY25
CenturyLink, Inc., Series W
156700AX4
388000.00000000
PA
USD
429713.88000000
0.006639296253
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
6.75000000
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPCB7
1229000.00000000
PA
USD
1350634.13000000
0.020867978756
Long
DBT
CORP
US
Y
2
2029-06-01
Fixed
5.37500000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2018-2A, Class E
30167BAE1
1100000.00000000
PA
USD
1124410.65000000
0.017372711851
Long
ABS-O
CORP
US
Y
2
2025-05-15
Fixed
5.33000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2018-M15, Class X
3136B3YT1
9356120.36300000
PA
USD
538334.32000000
0.008317536854
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Variable
0.82900100
N
N
N
N
N
N
N/A
N/A
CDI
N/A
16150000.00000000
PA
USD
-1223459.27000000
-0.01890306300
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American Emerging Markets Index Series 33-V2
Markit CDX North American Emerging Markets Index Series 33-V2
Y
Receipt of notional amount upon default event with regard to the reference instrument
2025-06-20
1702857.88000000
USD
0.00000000
USD
16150000.00000000
USD
-1223459.27000000
N
N
N
QEP Resources, Inc.
Q6JQDZPXKEDQKVK58165
QEP Resources, Inc.
74733VAB6
135000.00000000
PA
USD
118125.00000000
0.001825090848
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
5.37500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K090, Class X1
3137FLMX9
32070252.95200000
PA
USD
1754194.73000000
0.027103193638
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Variable
0.85241200
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Connecticut Avenue Securities, Series 2017-C03, Class 1B1
30711XJW5
3000000.00000000
PA
USD
2962466.40000000
0.045771600560
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
5.02512800
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2018-KF49, Class B
30307PAA9
708373.18000000
PA
USD
673308.35000000
0.010402953718
Long
ABS-MBS
USGSE
US
Y
2
2025-06-25
Floating
2.05488000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2016-63, Class AS
3136ATXY5
184769.10000000
PA
USD
41811.01000000
0.000646001199
Long
ABS-MBS
USGSE
US
N
2
2046-09-25
Floating
5.82486800
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-102
38379UYJ9
30995660.15000000
PA
USD
1242253.37000000
0.019193441332
Long
ABS-MBS
USGA
US
N
2
2055-10-16
Variable
0.73690900
N
N
N
N
N
N
FRR Re-REMIC Trust
N/A
FRR Re-REMIC Trust, Series 2018-C1, Class A725
30307WBA3
1000000.00000000
PA
USD
865644.60000000
0.013374645821
Long
ABS-MBS
CORP
US
Y
2
2050-02-27
Fixed
2.75889000
N
N
N
N
N
N
OneMain Direct Auto Receivables Trust
N/A
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class D
68268XAD3
580000.00000000
PA
USD
597578.76000000
0.009232893344
Long
ABS-O
CORP
US
Y
2
2028-01-14
Fixed
4.40000000
N
N
N
N
N
N
Republic of Paraguay
529900UXKJTJPCU0HK83
Republic of Paraguay
N/A
5475000.00000000
PA
USD
7315968.75000000
0.113035408381
Long
DBT
NUSS
PY
Y
2
2044-08-11
Fixed
6.10000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2019-158, Class SG
38382BDW0
29091612.67000000
PA
USD
5100807.00000000
0.078810041708
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Floating
5.89200100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HRTZ3
1193259.83000000
PA
USD
1321726.72000000
0.020421344687
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-120, Class ES
38380GRS5
9601748.02000000
PA
USD
2148362.31000000
0.033193281622
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Floating
6.04199900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K733, Class X3
3137FJXT1
17500000.00000000
PA
USD
1705527.25000000
0.026351256518
Long
ABS-MBS
USGSE
US
N
2
2026-01-25
Variable
2.25999400
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2019-SFR1, Class E
74333BAJ7
2000000.00000000
PA
USD
2054818.80000000
0.031747987197
Long
ABS-O
CORP
US
Y
3
2035-08-17
Fixed
4.46600000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2016-KF24, Class B
30295TAA5
106796.71000000
PA
USD
107874.74000000
0.001666719160
Long
ABS-MBS
USGSE
US
Y
2
2026-10-25
Floating
5.15488000
N
N
N
N
N
N
Hilton Domestic Operating Co., Inc.
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co., Inc.
432833AD3
4492000.00000000
PA
USD
4638124.76000000
0.071661367658
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
5.12500000
N
N
N
N
N
N
Hilton Worldwide Finance LLC
N/A
Hilton Worldwide Finance LLC
432891AH2
1379000.00000000
PA
USD
1392790.00000000
0.021519308217
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.62500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-101, Class SC
3136A76V9
12517346.83000000
PA
USD
2148230.82000000
0.033191250036
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Floating
5.82486800
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
5500000.00000000
PA
USD
-786136.96000000
-0.01214621266
N/A
DCR
GB
N
2
MORGAN STANLEY CO INTERNATIONAL LIMITED
4PQUHN3JPFGFNF3BB653
Markit CMBX North American BBB- 12
Markit CMBX North American BBB- 12
Y
Payout of notional amount upon default event with regard to the reference instrument
2061-08-17
0.00000000
USD
66451.73000000
USD
5500000.00000000
USD
-786136.96000000
N
N
N
Genesis Energy LP
N/A
Genesis Energy LP
37185LAL6
2665000.00000000
PA
USD
2371850.00000000
0.036646279191
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
7.75000000
N
N
N
N
N
N
iHeartCommunications, Inc.
54930076J6KDZL504O62
iHeartCommunications, Inc.
45174HBD8
1354191.00000000
PA
USD
1360961.96000000
0.021027548940
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
8.37500000
N
N
N
N
N
N
Arivo Acceptance Auto Loan Receivables Trust
N/A
Arivo Acceptance Auto Loan Receivables Trust, Series 2019-1, Class B
04046LAB7
4500000.00000000
PA
USD
4493803.95000000
0.069431538328
Long
ABS-O
CORP
US
Y
2
2025-06-15
Fixed
3.37000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-3A, Class C
96042HAJ9
1630000.00000000
PA
USD
1661035.36000000
0.025663834369
Long
ABS-O
CORP
US
Y
2
2024-10-15
Fixed
2.49000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2017-M8, Class X
3136AW7K7
177920568.46000000
PA
USD
2448542.86000000
0.037831222573
Long
ABS-MBS
USGSE
US
N
2
2027-05-25
Variable
0.22500000
N
N
N
N
N
N
Altice Financing SA
549300DIYGW8HVDF7Q17
Altice Financing SA
02154CAE3
7710000.00000000
PA
USD
8228112.00000000
0.127128481806
Long
DBT
CORP
LU
Y
2
2026-05-15
Fixed
7.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-80, Class AS
38376U3F4
5598002.91000000
PA
USD
1200839.36000000
0.018553573982
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Floating
6.04199900
N
N
N
N
N
N
Polaris Intermediate Corp.
N/A
Polaris Intermediate Corp.
73107GAA1
455500.00000000
PA
USD
462901.88000000
0.007152067598
Long
DBT
CORP
US
Y
2
2022-12-01
Fixed
8.50000000
N
N
Y
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M2
20753WAF3
14838986.55000000
PA
USD
14764684.78000000
0.228121829215
Long
ABS-MBS
CORP
US
Y
2
2039-10-25
Floating
2.27513200
N
N
N
N
N
N
Gulf Finance LLC
N/A
Gulf Finance LLC, 1st Lien Term Loan B
40227UAB2
678423.90000000
PA
USD
466077.22000000
0.007201128203
Long
LON
CORP
US
N
2
2023-08-25
Variable
6.25000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2018-2, Class M2
92259BAG5
235184.92000000
PA
USD
229334.98000000
0.003543341149
Long
ABS-MBS
CORP
US
Y
3
2048-10-26
Variable
4.51000100
N
N
N
N
N
N
Prestige Auto Receivables Trust
549300L40MNGIY25DE37
Prestige Auto Receivables Trust, Series 2018-1A, Class E
74114NAN7
720000.00000000
PA
USD
738410.33000000
0.011408812155
Long
ABS-O
CORP
US
Y
2
2026-01-15
Fixed
5.03000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2019-C52, Class XA
95002MAY5
16725466.48000000
PA
USD
1835544.68000000
0.028360091410
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Variable
1.76586500
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B
22534GAC7
4550000.00000000
PA
USD
4632361.83000000
0.071572327482
Long
ABS-O
CORP
US
Y
2
2029-04-16
Fixed
2.39000000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-4, Class E
02529RAJ7
4990000.00000000
PA
USD
5008577.27000000
0.077385045845
Long
ABS-O
CORP
US
Y
2
2025-12-12
Fixed
3.85000000
N
N
N
N
N
N
Transocean, Inc.
DOL4HJ22ADYSIWES4H94
Transocean, Inc.
893830BK4
8000.00000000
PA
USD
2560.00000000
0.000039553291
Long
DBT
CORP
KY
Y
2
2025-11-01
Fixed
7.25000000
N
N
N
N
N
N
PNMAC FMSR Issuer Trust
N/A
PNMAC FMSR Issuer Trust, Series 2018-FT1, Class A
69346MAA7
4626000.00000000
PA
USD
4445230.72000000
0.068681057417
Long
ABS-O
CORP
US
Y
2
2023-04-25
Floating
2.52513000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-133, Class HS
3136AAYZ2
356737.44000000
PA
USD
90942.26000000
0.001405103800
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Floating
5.97487000
N
N
N
N
N
N
Nexa Resources SA
549300QRMRHM7GAU7L47
Nexa Resources SA
N/A
1900000.00000000
PA
USD
2009843.75000000
0.031053099982
Long
DBT
CORP
LU
Y
2
2027-05-04
Fixed
5.37500000
N
N
N
N
N
N
Level 3 Financing, Inc.
N/A
Level 3 Financing, Inc.
527298BH5
4436000.00000000
PA
USD
4568636.40000000
0.070587737436
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.37500000
N
N
N
N
N
N
Triumph Group, Inc.
5493007L6S47Q14SL582
Triumph Group, Inc.
896818AL5
50000.00000000
PA
USD
39000.00000000
0.000602569677
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
5.25000000
N
N
N
N
N
N
iHeartMedia, Inc.
N/A
iHeartMedia, Inc., Class A
45174J509
277.00000000
NS
USD
2553.94000000
0.000039459661
Long
EC
CORP
US
N
1
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2017-70, Class SA
3136AXT39
1725923.86000000
PA
USD
387178.23000000
0.005982099000
Long
ABS-MBS
USGSE
US
N
2
2047-09-25
Floating
5.97487000
N
N
N
N
N
N
ADT Security Corp. (The)
5493009JEEDYLVRA0J13
ADT Security Corp. (The)
74166NAA2
1405000.00000000
PA
USD
1503350.00000000
0.023227515999
Long
DBT
CORP
US
Y
2
2032-07-15
Fixed
4.87500000
N
N
N
N
N
N
Hertz Corp. (The)
549300PD0C69OJ0NLB27
Hertz Corp. (The)
428040CT4
443000.00000000
PA
USD
385410.00000000
0.005954778954
Long
DBT
CORP
US
Y
2
2022-06-01
Fixed
7.62500000
Y
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-106, Class IC
38380PVD3
99863758.46000000
PA
USD
9024877.59000000
0.139438912171
Long
ABS-MBS
USGA
US
N
2
2062-06-16
Variable
1.06744000
N
N
N
N
N
N
ViacomCBS, Inc.
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92553PBD3
530000.00000000
PA
USD
549692.15000000
0.008493021058
Long
DBT
CORP
US
N
2
2057-02-28
Variable
5.87499800
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2013-178
38378NJF1
42266447.37000000
PA
USD
834293.18000000
0.012890250564
Long
ABS-MBS
USGA
US
N
2
2055-06-16
Variable
0.43773800
N
N
N
N
N
N
L Brands, Inc.
GR3KVMWVCR54YWQNXU90
L Brands, Inc.
501797AM6
4435000.00000000
PA
USD
4524143.50000000
0.069900299683
Long
DBT
CORP
US
N
2
2036-07-01
Fixed
6.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-50
38380PDY7
84662461.08000000
PA
USD
6240766.32000000
0.096422988356
Long
ABS-MBS
USGA
US
N
2
2062-06-16
Variable
0.78625100
N
N
N
N
N
N
Windstream Services LLC
N/A
Windstream Services LLC
97381LAB4
477000.00000000
PA
USD
288887.42000000
0.004463456394
Long
DBT
CORP
US
Y
2
2025-10-31
Fixed
8.62500000
Y
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HRPL8
617903.02000000
PA
USD
684714.55000000
0.010579185262
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage Trust
N/A
Deephaven Residential Mortgage Trust, Series 2019-3A, Class B1
24381NAE8
2000000.00000000
PA
USD
1902373.40000000
0.029392628852
Long
ABS-MBS
CORP
US
Y
3
2059-07-25
Variable
4.25800100
N
N
N
N
N
N
Genesis Energy LP
N/A
Genesis Energy LP
37185LAG7
53000.00000000
PA
USD
49572.49000000
0.000765919981
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
6.00000000
N
N
N
N
N
N
Homeward Opportunities Fund I Trust
N/A
Homeward Opportunities Fund I Trust, Series 2019-1, Class M1
43789EAD8
2220000.00000000
PA
USD
2225222.55000000
0.034380811109
Long
ABS-MBS
CORP
US
Y
3
2059-01-25
Variable
3.95100000
N
N
N
N
N
N
Claire's Stores, Inc.
549300N5HNYXI6JY7625
Claire's Stores, Inc.
N/A
9.00000000
NS
USD
4950.00000000
0.000076479997
Long
EC
CORP
US
N
3
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K729, Class X3
3137FCM76
21409999.96000000
PA
USD
1555579.94000000
0.024034494924
Long
ABS-MBS
USGSE
US
N
2
2044-11-25
Variable
2.03569200
N
N
N
N
N
N
Delphi Technologies plc
549300SEU65CJHRH6V04
Delphi Technologies plc
24718PAA5
2940000.00000000
PA
USD
3369975.00000000
0.052067814035
Long
DBT
CORP
JE
Y
2
2025-10-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2020-M21, Class XA
3136B9L62
82524228.25000000
PA
USD
7834462.37000000
0.121046396411
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Variable
1.20544900
N
N
N
N
N
N
Springleaf Funding Trust
N/A
Springleaf Funding Trust, Series 2015-BA, Class B
85172MAB0
900000.00000000
PA
USD
903554.73000000
0.013960376457
Long
ABS-O
CORP
US
Y
3
2028-05-15
Fixed
3.80000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust, Series 2020-2, Class A1
92537UAA0
945604.16000000
PA
USD
951038.74000000
0.014694028369
Long
ABS-MBS
CORP
US
Y
2
2060-05-25
Variable
2.22599900
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2019-M31, Class X1
3136B7S93
40755309.04000000
PA
USD
4427636.40000000
0.068409216296
Long
ABS-MBS
USGSE
US
N
2
2034-04-25
Variable
1.19949100
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC, Series 2016-2A, Class A
05377RCK8
1400000.00000000
PA
USD
1420064.66000000
0.021940715475
Long
ABS-O
CORP
US
Y
2
2022-11-20
Fixed
2.72000000
N
N
N
N
N
N
Freeport-McMoRan, Inc.
549300IRDTHJQ1PVET45
Freeport-McMoRan, Inc.
35671DBC8
2072000.00000000
PA
USD
2330046.88000000
0.036000399896
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
PetSmart, Inc.
N/A
PetSmart, Inc.
716768AC0
6781000.00000000
PA
USD
6975953.75000000
0.107782005080
Long
DBT
CORP
US
Y
2
2025-06-01
Fixed
5.87500000
N
N
N
N
N
N
VM DEBT TRUST
N/A
VM DEBT TRUST
91834VAB8
9270459.14000000
PA
USD
8218960.09000000
0.126987080179
Long
ABS-O
CORP
US
N
2
2024-05-31
Fixed
9.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K105, Class X3
3137FRUM1
43410000.00000000
PA
USD
6342409.37000000
0.097993424761
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
2.04183000
N
N
N
N
N
N
Dana Financing Luxembourg SARL
222100DKCE3D036DQU13
Dana Financing Luxembourg SARL
235822AA1
2380000.00000000
PA
USD
2507925.00000000
0.038748706596
Long
DBT
CORP
LU
Y
2
2026-06-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2019-47, Class QI
3136B5SB2
4593562.61000000
PA
USD
762621.43000000
0.011782885866
Long
ABS-MBS
USGSE
US
N
2
2049-06-25
Fixed
4.50000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2019-2A, Class A1IB
64830DAG8
19593463.51000000
PA
USD
530941.71000000
0.008203317300
Long
ABS-MBS
CORP
US
Y
2
2057-12-25
Variable
1.00000100
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-119
38379UM37
151903651.02000000
PA
USD
8477226.29000000
0.130977423275
Long
ABS-MBS
USGA
US
N
2
2058-04-16
Variable
1.06184200
N
N
N
N
N
N
CommScope, Inc.
549300Z6K4JXMFE8QY54
CommScope, Inc.
20338QAD5
7760000.00000000
PA
USD
8245000.00000000
0.127389409927
Long
DBT
CORP
US
Y
2
2026-03-01
Fixed
6.00000000
N
N
N
N
N
N
Wynn Resorts Finance LLC
N/A
Wynn Resorts Finance LLC
983133AA7
4453000.00000000
PA
USD
4341675.00000000
0.067081069296
Long
DBT
CORP
US
Y
2
2029-10-01
Fixed
5.12500000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264AAV7
7101000.00000000
PA
USD
7651327.50000000
0.118216870271
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.75000000
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBE1
75000.00000000
PA
USD
77437.50000000
0.001196448445
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.37500000
N
N
N
N
N
N
MPH Acquisition Holdings LLC
5493002WXOPRPTXWTU06
MPH Acquisition Holdings LLC
553283AB8
1203000.00000000
PA
USD
1221405.90000000
0.018871337402
Long
DBT
CORP
US
Y
2
2024-06-01
Fixed
7.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA UMBS, 30 Year
31418DQH8
67146452.44000000
PA
USD
70659052.58000000
1.091718012635
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
Republic of Guatemala
529900QKDFFU9UWW5315
Republic of Guatemala
401494AQ2
2100000.00000000
PA
USD
2363156.25000000
0.036511956367
Long
DBT
NUSS
GT
Y
2
2030-06-01
Fixed
4.90000000
N
N
N
N
N
N
Dominion Financial Services 2 LLC
N/A
Dominion Financial Services 2 LLC, Series 2018-1, Class A
25736DAA7
6825000.00000000
PA
USD
6825000.00000000
0.105449693481
Long
ABS-O
CORP
US
Y
3
2022-09-15
Variable
5.35000000
N
N
N
N
N
N
Concordia Healthcare Corp.
549300WZSXRSISJ4VI31
Concordia Healthcare Corp., Initial Dollar Term Loan
C2620KAK4
674381.79000000
PA
USD
643191.63000000
0.009937635199
Long
LON
CORP
JE
N
2
2024-09-06
Variable
6.56763000
N
N
N
N
N
N
Cincinnati Bell, Inc.
N/A
Cincinnati Bell, Inc., Term Loan B
17187MAM2
206223.20000000
PA
USD
206008.73000000
0.003182938818
Long
LON
CORP
US
N
2
2024-10-02
Variable
4.25000000
N
N
N
N
N
N
Trinidad Petroleum Holdings Ltd.
5493004LGJQF7TV6GH26
Trinidad Petroleum Holdings Ltd.
896366AA9
4100000.00000000
PA
USD
4443375.00000000
0.068652385607
Long
DBT
NUSS
TT
Y
2
2026-06-15
Fixed
9.75000000
N
N
N
N
N
N
Intelsat Jackson Holdings SA
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA, 1st Lien Term Loan
N/A
50000.00000000
PA
USD
50305.50000000
0.000777245356
Long
LON
CORP
LU
N
2
2023-11-27
Variable
8.00000000
N
N
N
N
N
N
Sunoco Logistics Partners Operations LP
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAQ2
740000.00000000
PA
USD
707307.43000000
0.010928256657
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
5.35000000
N
N
N
N
N
N
Stars Group Holdings BV
N/A
Stars Group Holdings BV
85572NAA6
3716000.00000000
PA
USD
3961256.00000000
0.061203403809
Long
DBT
CORP
NL
Y
2
2026-07-15
Fixed
7.00000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust, Series 2017-2A, Class E
23341TAJ5
1320000.00000000
PA
USD
1355952.84000000
0.020950155509
Long
ABS-O
CORP
US
Y
2
2024-01-15
Fixed
6.03000000
N
N
N
N
N
N
Republic of Cote d'Ivoire
254900ICW11T82O6H590
Republic of Cote d'Ivoire
N/A
2541460.00000000
PA
USD
2484277.15000000
0.038383335383
Long
DBT
NUSS
CI
Y
2
2032-12-31
Variable
5.74999900
N
N
N
N
N
N
Viskase Cos., Inc.
N/A
Viskase Cos., Inc., Initial Term Loan
92835EAB3
96391.78000000
PA
USD
84174.12000000
0.001300532623
Long
LON
CORP
US
N
2
2021-01-30
Variable
4.25000000
N
N
N
N
N
N
Navient Corp.
54930067J0ZNOEBRW338
Navient Corp.
78442FET1
5680000.00000000
PA
USD
5950822.40000000
0.091943208504
Long
DBT
CORP
US
N
2
2024-03-25
Fixed
6.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA ACES, Series 2019-M21, Class X2
3136B6XA6
16918895.54000000
PA
USD
1803351.24000000
0.027862686519
Long
ABS-MBS
USGSE
US
N
2
2031-02-25
Variable
1.46599900
N
N
N
N
N
N
Republic of Senegal
549300NP14ZLQGWIUZ97
Republic of Senegal
N/A
4500000.00000000
PA
USD
4471875.00000000
0.069092724987
Long
DBT
NUSS
SN
Y
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
Harvest Commercial Capital Loan Trust
N/A
Harvest Commercial Capital Loan Trust, Series 2019-1, Class A
41753CAA4
11343285.28000000
PA
USD
11433217.11000000
0.176648972857
Long
ABS-MBS
CORP
US
Y
2
2046-09-25
Variable
3.29000000
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599CP8
405000.00000000
PA
USD
398185.88000000
0.006152172746
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.70000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2020-C57, Class C
95002XBG9
13830000.00000000
PA
USD
13439541.76000000
0.207647700970
Long
ABS-MBS
CORP
US
N
2
2053-08-15
Variable
4.15850000
N
N
N
N
N
N
New Albertsons LP
N/A
New Albertsons LP
013104AF1
113000.00000000
PA
USD
127690.00000000
0.001972874924
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
7.45000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HRSP6
873348.73000000
PA
USD
968078.82000000
0.014957306202
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
EP Energy LLC
N/A
EP Energy LLC
268787AH1
499000.00000000
PA
USD
49.90000000
0.000000770980
Long
DBT
CORP
US
Y
2
2024-05-01
Fixed
9.37500000
Y
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-68, Class SA
38376UP94
5063296.79000000
PA
USD
1039905.97000000
0.016067071910
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Floating
5.99199800
N
N
N
N
N
N
Hillman Group, Inc. (The)
BDPO7HREUXNPHVMSIT54
Hillman Group, Inc. (The)
40423BAA8
130000.00000000
PA
USD
127400.00000000
0.001968394278
Long
DBT
CORP
US
Y
2
2022-07-15
Fixed
6.37500000
N
N
N
N
N
N
JBS USA LUX SA
N/A
JBS USA LUX SA
466112AR0
1228000.00000000
PA
USD
1267910.00000000
0.019589849210
Long
DBT
CORP
US
Y
2
2025-06-15
Fixed
5.75000000
N
N
N
N
N
N
Mattel, Inc.
549300VELLG24KHTJ564
Mattel, Inc.
577081AY8
765000.00000000
PA
USD
751773.15000000
0.011615274466
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.15000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-64CB, Class 1A15
12668AA21
543484.27000000
PA
USD
529230.96000000
0.008176885349
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K730, Class X3
3137FEUD0
47270000.00000000
PA
USD
3708686.03000000
0.057301070341
Long
ABS-MBS
USGSE
US
N
2
2045-02-25
Variable
2.10275300
N
N
N
N
N
N
Business Jet Securities LLC
N/A
Business Jet Securities LLC, Series 2018-1, Class A
123262AN7
260765.66000000
PA
USD
261203.93000000
0.004035732506
Long
ABS-O
CORP
US
Y
2
2033-02-15
Fixed
4.33500000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-2A, Class E
96041LAG7
4815000.00000000
PA
USD
4858007.58000000
0.075058668167
Long
ABS-O
CORP
US
Y
2
2025-04-15
Fixed
4.02000000
N
N
N
N
N
N
Meredith Corp.
549300YC8BC386CCTS24
Meredith Corp.
589433AB7
4270000.00000000
PA
USD
3709295.63000000
0.057310488969
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
6.87500000
N
N
N
N
N
N
Indonesia Asahan Aluminium Persero PT
2549008P48EB9SN2OI80
Indonesia Asahan Aluminium Persero PT
N/A
3600000.00000000
PA
USD
4768875.00000000
0.073681524835
Long
DBT
NUSS
ID
Y
2
2048-11-15
Fixed
6.75700000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404121AJ4
11934000.00000000
PA
USD
14193285.21000000
0.219293417565
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.62500000
N
N
N
N
N
N
MMFL Re-REMIC Trust
N/A
MMFL Re-REMIC Trust, Series 2019-1, Class A
55316RAA1
3923581.16000000
PA
USD
3610864.29000000
0.055789675103
Long
ABS-MBS
CORP
US
Y
2
2024-01-28
Floating
1.57163000
N
N
N
N
N
N
Motion Bondco DAC
635400KFD3IETNQLA755
Motion Bondco DAC
61978XAA5
500000.00000000
PA
USD
431390.00000000
0.006665193153
Long
DBT
CORP
IE
Y
2
2027-11-15
Fixed
6.62500000
N
N
N
N
N
N
IQVIA, Inc.
549300PLWY28YB00C717
IQVIA, Inc.
449934AD0
2787000.00000000
PA
USD
2911606.77000000
0.044985793616
Long
DBT
CORP
US
Y
2
2026-10-15
Fixed
5.00000000
N
N
N
N
N
N
AES Corp. (The)
2NUNNB7D43COUIRE5295
AES Corp. (The)
00130HBY0
500000.00000000
PA
USD
539745.00000000
0.008339332572
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
5.12500000
N
N
N
N
N
N
Netflix, Inc.
549300Y7VHGU0I7CE873
Netflix, Inc.
64110LAS5
3845000.00000000
PA
USD
4450587.50000000
0.068763822371
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
4.87500000
N
N
N
N
N
N
Hologic, Inc.
549300DYP6F5ZJL0LB74
Hologic, Inc.
436440AK7
4315000.00000000
PA
USD
4404104.75000000
0.068045640431
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
4.37500000
N
N
N
N
N
N
Live Nation Entertainment, Inc.
5493007B9BM9ZXJINO78
Live Nation Entertainment, Inc.
538034AV1
1985000.00000000
PA
USD
2168552.95000000
0.033505237197
Long
DBT
CORP
US
Y
2
2027-05-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2017-102, Class IJ
3136B0EF9
1399712.63890000
PA
USD
132076.04000000
0.002040641455
Long
ABS-MBS
USGSE
US
N
2
2047-12-25
Fixed
3.50000000
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPBG7
265000.00000000
PA
USD
272618.75000000
0.004212097234
Long
DBT
CORP
US
Y
2
2025-05-01
Fixed
5.37500000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2020-2A, Class D
30167YAG6
1000000.00000000
PA
USD
1070965.90000000
0.016546963499
Long
ABS-O
CORP
US
Y
2
2026-04-15
Fixed
4.73000000
N
N
N
N
N
N
Conn's Receivables Funding LLC
N/A
Conn's Receivables Funding LLC, Series 2018-A, Class C
20826JAC2
143376.53000000
PA
USD
142670.11000000
0.002204325182
Long
ABS-O
CORP
US
Y
3
2023-01-15
Fixed
6.02000000
N
N
N
N
N
N
FMG Resources August 2006 Pty. Ltd.
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty. Ltd.
30251GAW7
174000.00000000
PA
USD
187920.00000000
0.002903458813
Long
DBT
CORP
AU
Y
2
2024-05-15
Fixed
5.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K738, Class X3
3137FTFV4
71537135.00000000
PA
USD
13096854.14000000
0.202353004341
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Variable
3.42684000
N
N
N
N
N
N
Carvana Auto Receivables Trust
549300PQFD4GEYYTOY78
Carvana Auto Receivables Trust, Series 2019-1A, Class D
146868AF1
2000000.00000000
PA
USD
2056441.00000000
0.031773051005
Long
ABS-O
CORP
US
Y
2
2024-10-15
Fixed
3.88000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class E
29425AAP8
4330000.00000000
PA
USD
2573489.60000000
0.039761712746
Long
ABS-MBS
CORP
US
Y
3
2058-09-10
Variable
4.72398500
N
N
N
N
N
N
Hughes Satellite Systems Corp.
N/A
Hughes Satellite Systems Corp.
444454AD4
2620000.00000000
PA
USD
2868900.00000000
0.044325952473
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
5.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2016-96
38379UZW9
3598644.13000000
PA
USD
197527.06000000
0.003051892737
Long
ABS-MBS
USGA
US
N
2
2057-12-16
Variable
0.93053200
N
N
N
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AN4
100000.00000000
PA
USD
106905.00000000
0.001651736187
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
5.62500000
N
N
N
N
N
N
GSMSC Pass-Through Trust
N/A
GSMSC Pass-Through Trust, Series 2008-2R, Class 2A1
3622X1AC3
179494.30000000
PA
USD
89946.73000000
0.001389722360
Long
ABS-MBS
CORP
US
Y
2
2036-10-25
Variable
7.49999900
N
N
N
N
N
N
Alcoa Nederland Holding BV
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AB7
945000.00000000
PA
USD
1011150.00000000
0.015622777664
Long
DBT
CORP
NL
Y
2
2026-09-30
Fixed
7.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2016-68, Class BI
3136ATQ80
1209318.61000000
PA
USD
100729.23000000
0.001556317425
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Fixed
3.00000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-3A, Class D
96042HAL4
6310000.00000000
PA
USD
6418583.74000000
0.099170357211
Long
ABS-O
CORP
US
Y
2
2024-11-15
Fixed
2.72000000
N
N
N
N
N
N
Nabors Industries Ltd.
N/A
Nabors Industries Ltd.
629571AA8
3575000.00000000
PA
USD
1608750.00000000
0.024855999177
Long
DBT
CORP
BM
Y
2
2026-01-15
Fixed
7.25000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2020-1A, Class D
30167HAG3
10000000.00000000
PA
USD
10132558.00000000
0.156553133374
Long
ABS-O
CORP
US
Y
2
2025-12-15
Fixed
2.73000000
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDA5
2291000.00000000
PA
USD
2417005.00000000
0.037343946724
Long
DBT
CORP
US
Y
2
2027-11-01
Fixed
5.12500000
N
N
N
N
N
N
BP Capital Markets plc
549300CRVT18MXX0AG93
BP Capital Markets plc
05565QDU9
17690000.00000000
PA
USD
18574500.00000000
0.286985396566
Long
DBT
CORP
GB
N
2
2025-06-22
Variable
4.37500100
N
N
N
N
N
N
Pilgrim's Pride Corp.
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp.
72147KAC2
2695000.00000000
PA
USD
2769112.50000000
0.042784185251
Long
DBT
CORP
US
Y
2
2025-03-15
Fixed
5.75000000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2017-3, Class AIO
35563PCH0
28468990.15170000
PA
USD
27643.39000000
0.000427104322
Long
ABS-MBS
CORP
US
N
2
2056-07-25
Variable
0.02123600
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K108, Class X3
3137FTBQ9
75067000.00000000
PA
USD
19279555.20000000
0.297878855134
Long
ABS-MBS
USGSE
US
N
2
2048-04-25
Variable
3.60600100
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class D
46641BAP8
250000.00000000
PA
USD
235471.55000000
0.003638154252
Long
ABS-MBS
CORP
US
Y
3
2046-12-15
Variable
5.19446500
N
N
N
N
N
N
Stanwich Mortgage Loan Trust
N/A
Stanwich Mortgage Loan Trust, Series 2019-NPB2, Class A1
85503DAA2
4688027.22000000
PA
USD
4640494.37000000
0.071697979328
Long
ABS-O
CORP
US
Y
3
2024-11-16
Variable
3.47500100
N
N
N
N
N
N
CenturyLink, Inc.
8M3THTGWLTYZVE6BBY25
CenturyLink, Inc.
156700BC9
5090000.00000000
PA
USD
5172101.70000000
0.079911580793
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA3, Class B1
3137G0RJ0
3500000.00000000
PA
USD
3482534.30000000
0.053806912010
Long
ABS-MBS
CORP
US
N
2
2030-03-25
Floating
4.62512900
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp., Series AA
060505EN0
716000.00000000
PA
USD
803387.80000000
0.012412746850
Long
DBT
CORP
US
N
2
2025-03-17
Variable
6.09999800
N
N
N
N
N
N
New Residential Mortgage LLC
549300FB4YR8GY21CA08
New Residential Mortgage LLC, Series 2020-FNT1, Class A
64830YAA5
23479295.20000000
PA
USD
23650215.08000000
0.365407755450
Long
ABS-O
CORP
US
Y
2
2025-06-25
Fixed
5.43700000
N
N
N
N
N
N
Antero Midstream Partners LP
N/A
Antero Midstream Partners LP
03690AAC0
4290000.00000000
PA
USD
3957525.00000000
0.061145757977
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
5.37500000
N
N
N
N
N
N
Tronox, Inc.
549300EPZ4YXC7E5P181
Tronox, Inc.
897051AA6
1804000.00000000
PA
USD
1857509.42000000
0.028699457725
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HX5F0
1700640.88000000
PA
USD
1909517.33000000
0.029503006175
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
4.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust, Series 2020-1INV, Class A11
33851YAL0
2682276.68000000
PA
USD
2672080.54000000
0.041284992512
Long
ABS-MBS
CORP
US
Y
2
2050-03-25
Floating
1.02512900
N
N
N
N
N
N
Bellemeade Re Ltd.
254900K56RF3Z7VQ3U81
Bellemeade Re Ltd., Series 2019-1A, Class M2
07876RAC0
1000000.00000000
PA
USD
914439.90000000
0.014128557825
Long
ABS-MBS
CORP
BM
Y
3
2029-03-25
Floating
2.87512900
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2006-S1, Class 1A1
466247M67
59902.30000000
PA
USD
64877.08000000
0.001002383619
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15, Class D
61763KAE4
1000000.00000000
PA
USD
831634.90000000
0.012849178797
Long
ABS-MBS
CORP
US
Y
3
2047-04-15
Variable
5.07039500
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
3290000.00000000
PA
USD
3733492.00000000
0.057684335093
Long
DBT
NUSS
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-K98, Class C
30312DAJ0
12873000.00000000
PA
USD
13299782.43000000
0.205488348807
Long
ABS-MBS
USGSE
US
Y
2
2052-10-25
Variable
3.86165200
N
N
N
N
N
N
ACC Trust
N/A
ACC Trust, Series 2019-2, Class B
00108GAB1
12470000.00000000
PA
USD
12549598.50000000
0.193897628591
Long
ABS-O
CORP
US
Y
2
2023-08-21
Fixed
3.63000000
N
N
N
N
N
N
Celulosa Arauco y Constitucion SA
549300QEKV8G0AMNQD28
Celulosa Arauco y Constitucion SA
N/A
2300000.00000000
PA
USD
2455250.00000000
0.037934851270
Long
DBT
CORP
CL
Y
2
2029-04-30
Fixed
4.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K729, Class X1
3137FCM68
18735250.35000000
PA
USD
229795.34000000
0.003550453943
Long
ABS-MBS
USGSE
US
N
2
2024-10-25
Variable
0.48952400
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, STRIPS, Series 421, Class 7
31397VEB9
331411.29660000
PA
USD
22103.60000000
0.000341511772
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-2
38380NW21
87100353.79000000
PA
USD
6190013.10000000
0.095638825500
Long
ABS-MBS
USGA
US
N
2
2062-03-16
Variable
0.81168100
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599DY8
2604000.00000000
PA
USD
2833178.04000000
0.043774030167
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
8.00000000
N
N
N
N
N
N
Tesco plc
2138002P5RNKC5W2JZ46
Tesco plc
881575AC8
870000.00000000
PA
USD
1122566.67000000
0.017344221430
Long
DBT
CORP
GB
Y
2
2037-11-15
Fixed
6.15000000
N
N
N
N
N
N
Wells Fargo Re-REMIC Trust
N/A
Wells Fargo Re-REMIC Trust, Series 2013-FRR1, Class BK20
94988DAQ3
8000000.00000000
PA
USD
7366166.40000000
0.113810987401
Long
ABS-MBS
CORP
US
Y
2
2045-05-27
None
0.00000000
N
N
N
N
N
N
CoreVest American Finance Trust
N/A
CoreVest American Finance Trust, Series 2019-1, Class E
21872FAG2
575000.00000000
PA
USD
587975.28000000
0.009084514732
Long
ABS-O
CORP
US
Y
3
2052-03-15
Fixed
5.48870200
N
N
N
N
N
N
Constellation Merger Sub, Inc.
N/A
Constellation Merger Sub, Inc.
210374AA2
726000.00000000
PA
USD
617100.00000000
0.009534506351
Long
DBT
CORP
US
Y
2
2025-09-15
Fixed
8.50000000
N
N
N
N
N
N
FNMA
N/A
FNMA, Multifamily REMIC Trust, Series 2020-M31, Class X1
3136BASF2
99957838.50000000
PA
USD
5567301.75000000
0.086017620960
Long
ABS-MBS
USGSE
US
N
2
2032-10-25
Variable
0.89921200
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
N/A
3400000.00000000
PA
USD
3704937.50000000
0.057243153661
Long
DBT
NUSS
UA
Y
2
2024-02-01
Fixed
8.99400000
N
N
N
N
N
N
Santander Revolving Auto Loan Trust
N/A
Santander Revolving Auto Loan Trust, Series 2019-A, Class D
80286JAD7
8085000.00000000
PA
USD
8417816.60000000
0.130059513589
Long
ABS-O
CORP
US
Y
2
2032-01-26
Fixed
3.45000000
N
N
N
N
N
N
REPO FUNDS
N/A
REPO FUNDS
N/A
3999000.00000000
PA
USD
3999000.00000000
0.061786567652
Long
ABS-MBS
CORP
US
N
3
2022-05-14
None
0.00000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AQ0
400000.00000000
PA
USD
426584.00000000
0.006590938028
Long
DBT
CORP
US
Y
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2020-2A, Class E
30167YAJ0
10510000.00000000
PA
USD
11418737.69000000
0.176425258513
Long
ABS-O
CORP
US
Y
2
2027-09-15
Fixed
7.19000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K079, Class X3
3137FGZW8
9000000.00000000
PA
USD
1306354.50000000
0.020183836132
Long
ABS-MBS
USGSE
US
N
2
2046-07-25
Variable
2.33131000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2019-1, Class A
92257CAA8
4009909.73000000
PA
USD
4033736.61000000
0.062323265803
Long
ABS-MBS
CORP
US
Y
2
2049-03-25
Variable
3.75999800
N
N
N
N
N
N
Prestige Auto Receivables Trust
N/A
Prestige Auto Receivables Trust, Series 2017-1A, Class E
74113YAG9
1160000.00000000
PA
USD
1191649.21000000
0.018411581528
Long
ABS-O
CORP
US
Y
2
2024-05-15
Fixed
4.89000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class E
61764PAQ5
6500000.00000000
PA
USD
3930458.35000000
0.060727564578
Long
ABS-MBS
CORP
US
Y
3
2047-12-15
Fixed
3.25000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2020-111
38380PYF5
22582527.60000000
PA
USD
1964257.61000000
0.030348771119
Long
ABS-MBS
USGA
US
N
2
2062-09-15
Variable
1.05419900
N
N
N
N
N
N
Tenneco, Inc.
549300U0EXXFAQFAD785
Tenneco, Inc.
880349AR6
1335000.00000000
PA
USD
977887.50000000
0.015108855257
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
5.00000000
N
N
N
N
N
N
Altice France SA
5493001ZMCICV4N02J21
Altice France SA
67054KAA7
11290000.00000000
PA
USD
11986028.50000000
0.185190187748
Long
DBT
CORP
FR
Y
2
2026-05-01
Fixed
7.37500000
N
N
N
N
N
N
iHeartCommunications, Inc.
54930076J6KDZL504O62
iHeartCommunications, Inc.
45174HBC0
3253347.00000000
PA
USD
3383480.88000000
0.052276486695
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.37500000
N
N
N
N
N
N
Vericrest Opportunity Loan Trust
N/A
Vericrest Opportunity Loan Trust, Series 2019-NPL4, Class A1B
92872NAB7
7850000.00000000
PA
USD
7587905.77000000
0.117236972543
Long
ABS-O
CORP
US
Y
3
2049-08-25
Variable
4.15000100
N
N
N
N
N
N
Cheniere Energy Partners LP
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAB7
3038000.00000000
PA
USD
3108603.12000000
0.048029486616
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.25000000
N
N
N
N
N
N
RHP Hotel Properties LP
N/A
RHP Hotel Properties LP
749571AF2
5575000.00000000
PA
USD
5073250.00000000
0.078384272154
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2018-16, Class SN
3136B1BN3
4066220.10000000
PA
USD
685232.91000000
0.010587194186
Long
ABS-MBS
USGSE
US
N
2
2048-03-25
Floating
6.07487000
N
N
N
N
N
N
ACC Trust
N/A
ACC Trust, Series 2019-2, Class C
00108GAC9
11285000.00000000
PA
USD
11010000.35000000
0.170110060386
Long
ABS-O
CORP
US
Y
2
2024-10-21
Fixed
5.24000000
N
N
N
N
N
N
Homeward Opportunities Fund I Trust
N/A
Homeward Opportunities Fund I Trust, Series 2019-3, Class B1
43800KAE7
5000000.00000000
PA
USD
4656886.00000000
0.071951238282
Long
ABS-MBS
CORP
US
Y
3
2059-11-25
Variable
4.01800000
N
N
N
N
N
N
ESH Hospitality, Inc.
54930042FMK7X7SQ2896
ESH Hospitality, Inc.
26907YAA2
3700000.00000000
PA
USD
3755500.00000000
0.058024369797
Long
DBT
CORP
US
Y
2
2025-05-01
Fixed
5.25000000
N
N
N
N
N
N
Lennar Corp.
529900G61XVRLX5TJX09
Lennar Corp.
526057CR3
117000.00000000
PA
USD
130747.50000000
0.002020114842
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust, Series 2018-1, Class D
252724AD1
814668.24000000
PA
USD
796259.18000000
0.012302606075
Long
ABS-O
CORP
US
Y
3
2031-01-21
Fixed
5.90000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KF70, Class B
30298UAG6
3000000.00000000
PA
USD
2871107.10000000
0.044360053281
Long
ABS-MBS
USGSE
US
Y
2
2029-09-25
Floating
2.45488000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2016-3, Class E
33843PAL0
1110000.00000000
PA
USD
1140790.73000000
0.017625792352
Long
ABS-O
CORP
US
Y
2
2023-10-15
Fixed
6.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K727, Class X3
3137FARH3
15000000.00000000
PA
USD
1064425.50000000
0.016445911019
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Variable
2.07165200
N
N
N
N
N
N
BANK
N/A
BANK, Series 2017-BNK7, Class D
06541XAV2
1000000.00000000
PA
USD
758559.20000000
0.011720122362
Long
ABS-MBS
CORP
US
Y
3
2060-09-15
Fixed
2.70800000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K103, Class X1
3137FQKQ5
120944106.20000000
PA
USD
6327783.54000000
0.097767448308
Long
ABS-MBS
USGSE
US
N
2
2029-11-25
Variable
0.75646400
N
N
N
N
N
N
MEG Energy Corp.
5493002WXPTG5ZC1T326
MEG Energy Corp.
552704AE8
2262000.00000000
PA
USD
2164213.74000000
0.033438194214
Long
DBT
CORP
CA
Y
2
2027-02-01
Fixed
7.12500000
N
N
N
N
N
N
COLT Mortgage Loan Trust
N/A
COLT Mortgage Loan Trust, Series 2020-1, Class A1
12597KAA7
2040255.40000000
PA
USD
2059139.39000000
0.031814742492
Long
ABS-MBS
CORP
US
Y
2
2050-02-25
Variable
2.48800000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust, Series 2019-1A, Class E
96042JAN6
950000.00000000
PA
USD
982702.42000000
0.015183248201
Long
ABS-O
CORP
US
Y
2
2024-07-15
Fixed
4.49000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K113, Class X1
3137FV5Q1
119000000.00000000
PA
USD
13691949.60000000
0.211547529447
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.49023100
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2019-R04, Class 2B1
20753TAC7
5000000.00000000
PA
USD
4399354.50000000
0.067972246672
Long
ABS-MBS
CORP
US
Y
2
2039-06-25
Floating
5.42513200
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-186
38378XW72
6364664.54000000
PA
USD
226982.40000000
0.003506992601
Long
ABS-MBS
USGA
US
N
2
2054-08-16
Variable
0.69958100
N
N
N
N
N
N
Homeward Opportunities Fund I Trust
N/A
Homeward Opportunities Fund I Trust, Series 2019-1, Class B1
43789EAE6
2600000.00000000
PA
USD
2627209.00000000
0.040591704580
Long
ABS-MBS
CORP
US
Y
3
2059-01-25
Variable
4.79999900
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K089, Class X3
3137FL6S8
93789108.00000000
PA
USD
14718728.01000000
0.227411773932
Long
ABS-MBS
USGSE
US
N
2
2046-01-25
Variable
2.37410600
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2016-4, Class D
02529FAG9
95387.41000000
PA
USD
95678.92000000
0.001478287587
Long
ABS-O
CORP
US
Y
2
2023-04-12
Fixed
4.11000000
N
N
N
N
N
N
STACR Trust
549300D2VO9JVX6KU482
STACR Trust, Series 2018-HRP1, Class B1
3137G0VA4
2830000.00000000
PA
USD
2555645.93000000
0.039486019042
Long
ABS-MBS
CORP
US
Y
3
2043-04-25
Floating
3.92513000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617HR3D0
1200631.96000000
PA
USD
1328650.14000000
0.020528315019
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
Alcoa Nederland Holding BV
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AC5
2625000.00000000
PA
USD
2835000.00000000
0.043802180369
Long
DBT
CORP
NL
Y
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K099, Class X3
3137FPJK2
49100000.00000000
PA
USD
6842934.43000000
0.105726789473
Long
ABS-MBS
USGSE
US
N
2
2047-10-25
Variable
2.01704800
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multi-Family Structured Pass-Through Certificates, Series K068, Class X3
3137FBC20
19730099.00000000
PA
USD
2398323.75000000
0.037055311986
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Variable
2.12961200
N
N
N
N
N
N
Archrock Partners LP
N/A
Archrock Partners LP
03959KAA8
1701000.00000000
PA
USD
1752030.00000000
0.027069747468
Long
DBT
CORP
US
Y
2
2027-04-01
Fixed
6.87500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K114, Class X3
3137FVNK4
10750000.00000000
PA
USD
2255939.10000000
0.034855397305
Long
ABS-MBS
USGSE
US
N
2
2048-08-25
Variable
2.83033100
N
N
N
N
N
N
ACC Trust
N/A
ACC Trust, Series 2019-2, Class A
00108GAA3
3438297.80000000
PA
USD
3456359.18000000
0.053402493200
Long
ABS-O
CORP
US
Y
2
2023-02-21
Fixed
2.82000000
N
N
N
N
N
N
Hudbay Minerals, Inc.
549300WI524AL577IX21
Hudbay Minerals, Inc.
443628AF9
160000.00000000
PA
USD
162000.00000000
0.002502981735
Long
DBT
CORP
CA
Y
2
2023-01-15
Fixed
7.25000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D2
46645JBJ0
1000000.00000000
PA
USD
778523.20000000
0.012028576235
Long
ABS-MBS
CORP
US
Y
3
2048-12-15
Variable
4.26537000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
10630000.00000000
PA
USD
-810820.68000000
-0.01252758859
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American Emerging Markets Index Series 33-V2
Markit CDX North American Emerging Markets Index Series 33-V2
Y
Receipt of notional amount upon default event with regard to the reference instrument
2025-06-20
1126362.92000000
USD
0.00000000
USD
10630000.00000000
USD
-810820.68000000
N
N
N
Encompass Health Corp.
549300FVRPM9DRQZRG64
Encompass Health Corp.
421924BK6
378000.00000000
PA
USD
379886.22000000
0.005869433766
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
5.75000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABC8
1995000.00000000
PA
USD
2256165.45000000
0.034858894526
Long
DBT
CORP
US
Y
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-161, Class DS
38380HZL9
5964825.96000000
PA
USD
1457103.79000000
0.022512988721
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Floating
6.09199900
N
N
N
N
N
N
Cincinnati Bell, Inc.
549300JYVZOCUJOHL272
Cincinnati Bell, Inc.
14987RAA6
325000.00000000
PA
USD
347392.50000000
0.005367389398
Long
DBT
CORP
US
Y
2
2025-10-15
Fixed
8.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Multifamily Structured Pass-Through Certificates, Series K095, Class X3
3137FNAH3
66697142.00000000
PA
USD
9873558.10000000
0.152551454243
Long
ABS-MBS
USGSE
US
N
2
2047-08-25
Variable
2.17118500
N
N
N
N
N
N
P -stlb9.25
N/A
P -stlb9.25
N/A
7700000.00000000
PA
USD
7700000.00000000
0.118968884953
Long
ABS-MBS
CORP
US
N
3
2022-10-11
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
12381000.00000000
PA
USD
-859437.05000000
-0.01327873604
N/A
DCR
GB
N
2
Barclays
G5GSEF7VJP5I7OUK5573
Markit CDX North American Emerging Markets Index Series 32-V3
Markit CDX North American Emerging Markets Index Series 32-V3
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
1109707.47000000
USD
0.00000000
USD
12381000.00000000
USD
-859437.05000000
N
N
N
ACC Trust
549300U9SU9NK6P6TK25
ACC Trust, Series 2018-1, Class C
00435QAC1
1510000.00000000
PA
USD
1507886.91000000
0.023297613547
Long
ABS-O
CORP
US
Y
2
2023-02-21
Fixed
6.81000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2014-LC17, Class D
12592MAN0
500000.00000000
PA
USD
417477.80000000
0.006450242643
Long
ABS-MBS
CORP
US
Y
2
2047-10-10
Fixed
3.68700000
N
N
N
N
N
N
GNMA
N/A
GNMA I
38382CGK1
10864906.00000000
PA
USD
1942880.96000000
0.030018491091
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Floating
5.94200200
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class C
94987MAF8
1300000.00000000
PA
USD
1297131.94000000
0.020041342927
Long
ABS-MBS
CORP
US
Y
3
2043-11-15
Variable
5.80005400
N
N
N
N
N
N
Darling Ingredients, Inc.
L1N0SPPKS7EXZYUMZ898
Darling Ingredients, Inc.
237266AH4
1640000.00000000
PA
USD
1740450.00000000
0.026890830625
Long
DBT
CORP
US
Y
2
2027-04-15
Fixed
5.25000000
N
N
N
N
N
N
New Jersey Transportation Trust Fund Authority
549300YUVD5TEXR6L889
New Jersey Transportation Trust Fund Authority, Transportation System, Series 2012A
646136J85
25000.00000000
PA
USD
26045.25000000
0.000402412253
Long
DBT
MUN
US
N
2
2042-06-15
Fixed
5.00000000
N
N
N
N
N
N
Wolverine Escrow LLC
N/A
Wolverine Escrow LLC
97789LAB2
5895000.00000000
PA
USD
4539150.00000000
0.070132157679
Long
DBT
CORP
US
Y
2
2026-11-15
Fixed
9.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2014-124, Class IE
38378XLN9
20509507.04000000
PA
USD
617658.16000000
0.009543130204
Long
ABS-MBS
USGA
US
N
2
2054-05-16
Variable
0.71399200
N
N
N
N
N
N
Orange Lake Timeshare Trust
N/A
Orange Lake Timeshare Trust, Series 2019-A, Class D
68504UAD3
3268397.45000000
PA
USD
3145295.87000000
0.048596408117
Long
ABS-O
CORP
US
Y
3
2038-04-09
Fixed
4.93000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2020-C55, Class D
95002EAA5
4500000.00000000
PA
USD
3346278.75000000
0.051701695016
Long
ABS-MBS
CORP
US
Y
3
2053-02-15
Fixed
2.50000000
N
N
N
N
N
N
Acre
N/A
Acre
N/A
500000.00000000
PA
USD
495000.00000000
0.007647999746
Long
ABS-MBS
USGA
US
N
3
2020-12-15
Fixed
8.71200000
N
N
N
N
N
N
Uniti Group LP
N/A
Uniti Group LP
20341WAD7
99000.00000000
PA
USD
98010.00000000
0.001514303949
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
8.25000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-41CB, Class 2A13
02149CBD2
660338.05000000
PA
USD
513746.77000000
0.007937646801
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
5.75000000
N
N
N
N
N
N
WMG Acquisition Corp.
549300NAS11NXI33CP80
WMG Acquisition Corp.
92933BAP9
525000.00000000
PA
USD
546000.00000000
0.008435975478
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Ultra Bond
N/A
361.00000000
NC
USD
-1183716.17000000
-0.01828901205
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury Ultra Bond
2020-12-21
79205656.25000000
USD
-1183716.17000000
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Series 2019-4, Class C
02529RAE8
5307000.00000000
PA
USD
5418675.73000000
0.083721273963
Long
ABS-O
CORP
US
Y
2
2025-12-12
Fixed
2.69000000
N
N
N
N
N
N
Covanta Holding Corp.
40XIFLS8XDQGGHGPGC04
Covanta Holding Corp.
22282EAG7
1390000.00000000
PA
USD
1450242.60000000
0.022406979874
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
5.87500000
N
N
N
N
N
N
Scotts Miracle-Gro Co. (The)
2TH9E0JTOUXOEGI2R879
Scotts Miracle-Gro Co. (The)
810186AP1
1775000.00000000
PA
USD
1900812.00000000
0.029368504434
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.25000000
N
N
N
N
N
N
CPS Auto Receivables Trust
549300RMJRP95RN5CL91
CPS Auto Receivables Trust, Series 2019-B, Class C
22412AAC7
160000.00000000
PA
USD
163360.59000000
0.002524003537
Long
ABS-O
CORP
US
Y
2
2024-01-15
Fixed
3.35000000
N
N
N
N
N
N
North Texas Tollway Authority
PQGZGRE0F2WPMYQQ1B78
North Texas Tollway Authority System
66285WFB7
131000.00000000
PA
USD
235541.93000000
0.003639241658
Long
DBT
MUN
US
N
2
2049-01-01
Fixed
6.71800000
N
N
N
N
N
N
2020-09-30
JPMorgan Trust I
Timothy J. Clemens
Timothy J. Clemens
Treasurer and Principal Financial Officer