0001510599-22-000034.txt : 20220829
0001510599-22-000034.hdr.sgml : 20220829
20220826181950
ACCESSION NUMBER: 0001510599-22-000034
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220630
FILED AS OF DATE: 20220829
DATE AS OF CHANGE: 20220826
PERIOD START: 20220630
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIMCO Dynamic Income Fund
CENTRAL INDEX KEY: 0001510599
IRS NUMBER: 274580758
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22673
FILM NUMBER: 221206666
BUSINESS ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
BUSINESS PHONE: 212-739-4000
MAIL ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
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N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-439.650000
-0.0000098
N/A
DFE
PE
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
32268.990000
USD
122154.260000
PEN
2022-07-27
-439.650000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
-434283.480000
-0.0097143
N/A
DFE
ZA
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
7695543.000000
USD
118971555.670000
ZAR
2022-09-12
-434283.480000
N
N
N
N/A
N/A
SOLD CHF/BOUGHT USD
000000000
1.000000
NC
-258748.860000
-0.0057878
N/A
DFE
CH
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
5228562.010000
CHF
5233240.000000
USD
2022-08-16
-258748.860000
N
N
N
N/A
N/A
SOLD CNY/BOUGHT USD
000000000
1.000000
NC
1237.910000
0.0000277
N/A
DFE
CN
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
29829431.960000
CNY
4457010.170000
USD
2022-08-10
1237.910000
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BHP3
N/A
BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BHP3 C 144A
05891HAE3
7579000.000000
PA
USD
7419008.830000
0.1659520
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
3.474
N
N
N
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BHP3
N/A
BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BHP3 D 144A
05891HAG8
6728250.000000
PA
USD
6426821.040000
0.1437583
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
3.574
N
N
N
N
N
N
BANC OF AMERICA ALT LOAN TRUST 2006-5
N/A
BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB17
05950BAS3
51796.220000
PA
USD
47050.160000
0.0010524
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Fixed
6
Y
N
N
N
N
N
BANC OF AMERICA ALT LOAN TRUST 2006-6
N/A
BANC OF AMERICA ALTERNATIVE LO BOAA 2006 6 CB3
059487AC2
816681.490000
PA
USD
714129.160000
0.0159740
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Fixed
6
Y
N
N
N
N
N
BANC OF AMERICA ALT LOAN TRUST 2007-2
N/A
BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 2A1
059475AF0
117239.670000
PA
USD
102117.530000
0.0022842
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6
Y
N
N
N
N
N
BANC OF AMERICA ALT LOAN TRUST 2007-2
N/A
BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A1
059475AQ6
347599.300000
PA
USD
41216.480000
0.0009220
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
5.01643
Y
N
N
N
N
N
BANC OF AMERICA ALT LOAN TRUST 2007-2
N/A
BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A2
059475AS2
323283.480000
PA
USD
242306.920000
0.0054200
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.98357
Y
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2004-B
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 1A1
05946XHV8
490564.550000
PA
USD
315153.330000
0.0070495
Long
ABS-MBS
CORP
US
N
2
2034-12-20
Floating
2.02828
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2004-D
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2004 D 5A2
05946XNF6
125663.970000
PA
USD
125124.570000
0.0027988
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
2.68059
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2005-A
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2005 A 5M1
05946XRH8
3970097.470000
PA
USD
3920161.580000
0.0876881
Long
ABS-MBS
CORP
US
N
2
2035-02-20
Floating
2.28729
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2005-B
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 1A1
05946XRT2
1349500.170000
PA
USD
1248855.260000
0.0279350
Long
ABS-MBS
CORP
US
N
2
2035-04-20
Floating
2.74532
Y
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2006-B
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 2A1
058928AD4
1049183.860000
PA
USD
970000.070000
0.0216974
Long
ABS-MBS
CORP
US
N
2
2036-03-20
Floating
3.03415
Y
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2006-H
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 1A1
05950PAA1
826544.880000
PA
USD
803642.640000
0.0179763
Long
ABS-MBS
CORP
US
N
2
2046-09-20
Floating
2.87247
Y
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2006-I
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 1A1
05951VAA7
30275.980000
PA
USD
29857.860000
0.0006679
Long
ABS-MBS
CORP
US
N
2
2036-12-20
Floating
2.3785
N
N
N
N
N
N
N/A
N/A
IRS EUR -0.15000 03/18/20-10Y LCH
000000000
1.000000
NC
3349182.020000
0.0749161
N/A
DIR
N/A
N
2
London Clearing house
N/A
N/A
Euribor 6 Month ACT/360
Y
2030-03-18
373344.300000
EUR
0.000000
EUR
20400000.000000
EUR
2975837.720000
N
N
N
BANC OF AMERICA FUNDING CORP 2006-I
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1
05951VAH2
316689.290000
PA
USD
267288.260000
0.0059788
Long
ABS-MBS
CORP
US
N
2
2046-10-20
Floating
12.3583
Y
N
N
N
N
N
N/A
N/A
IRS EUR 0.15000 06/17/20-10Y LCH
000000000
1.000000
NC
178430.770000
0.0039912
N/A
DIR
N/A
N
2
London Clearing house
N/A
N/A
Euribor 6 Month ACT/360
Y
2030-06-17
0.000000
EUR
-849.310000
EUR
1200000.000000
EUR
179280.080000
N
N
N
N/A
N/A
IRS EUR 0.25000 03/18/20-30Y LCH
000000000
1.000000
NC
995516.410000
0.0222682
N/A
DIR
N/A
N
2
London Clearing house
N/A
N/A
Euribor 6 Month ACT/360
Y
2050-03-18
138837.840000
EUR
0.000000
EUR
2500000.000000
EUR
856678.570000
N
N
N
BANC OF AMERICA FUNDING CORP 2006-J
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 2A3
05951EAE7
92182.620000
PA
USD
83268.280000
0.0018626
Long
ABS-MBS
CORP
US
N
2
2047-01-20
Floating
3.26563
Y
N
N
N
N
N
N/A
N/A
IRS EUR 0.50000 06/17/20-30Y LCH
000000000
1.000000
NC
173343.800000
0.0038774
N/A
DIR
N/A
N
2
London Clearing house
N/A
N/A
Euribor 6 Month ACT/360
Y
2050-06-17
0.000000
EUR
-16176.800000
EUR
500000.000000
EUR
189520.600000
N
N
N
N/A
N/A
IRS EUR 0.50000 09/21/22-30Y LCH
000000000
1.000000
NC
18822567.550000
0.4210324
N/A
DIR
N/A
N
2
London Clearing house
N/A
N/A
Euribor 6 Month ACT/360
Y
2052-09-23
4583052.750000
EUR
0.000000
EUR
52900000.000000
EUR
14239514.800000
N
N
N
BANC OF AMERICA FUNDING CORP 2007-3
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A
059515AD8
1036356.920000
PA
USD
983867.620000
0.0220076
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
2.04357
Y
N
N
N
N
N
N/A
N/A
IRS MXN 4.50000 03/05/21-2Y CME
000000000
1.000000
NC
-274168.230000
-0.0061327
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2023-03-03
0.000000
MXN
-2896.600000
MXN
173000000.000000
MXN
-271271.630000
N
N
N
N/A
N/A
IRS MXN 4.55000 03/01/21-2Y CME
000000000
1.000000
NC
-454009.310000
-0.0101555
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2023-02-27
34806.390000
MXN
0.000000
MXN
292200000.000000
MXN
-488815.700000
N
N
N
BANC OF AMERICA FUNDING CORP 2007-8
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 1A1
05953LAB5
2955809.820000
PA
USD
2407864.460000
0.0538603
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Fixed
6
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2007-B
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1
05952EAA4
5226376.700000
PA
USD
4890905.510000
0.1094022
Long
ABS-MBS
CORP
US
N
2
2047-04-20
Floating
2.03229
Y
N
N
N
N
N
N/A
N/A
IRS MXN 7.49500 01/26/22-10Y* CME
000000000
1.000000
NC
10286.490000
0.0002301
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2032-01-14
9437.260000
MXN
0.000000
MXN
2300000.000000
MXN
849.230000
N
N
N
N/A
N/A
IRS MXN 7.49750 01/27/22-10Y* CME
000000000
1.000000
NC
42420.020000
0.0009489
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2032-01-15
39009.870000
MXN
0.000000
MXN
9500000.000000
MXN
3410.150000
N
N
N
N/A
N/A
IRS MXN 8.41000 04/06/22-5Y* CME
000000000
1.000000
NC
8784.130000
0.0001965
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2027-03-31
0.000000
MXN
0.000000
MXN
7600000.000000
MXN
8784.130000
N
N
N
N/A
N/A
IRS MXN 8.66000 04/07/22-2Y CME
000000000
1.000000
NC
22921.020000
0.0005127
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2024-04-04
0.000000
MXN
0.000000
MXN
32100000.000000
MXN
22921.020000
N
N
N
BANC OF AMERICA FUNDING CORP 2007-E
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 8A1
05954DAR7
193869.740000
PA
USD
164134.600000
0.0036714
Long
ABS-MBS
CORP
US
N
2
2047-09-20
Floating
2.88286
Y
N
N
N
N
N
N/A
N/A
IRS MXN 8.67500 04/06/22-2Y CME
000000000
1.000000
NC
44688.120000
0.0009996
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2024-04-03
0.000000
MXN
0.000000
MXN
63800000.000000
MXN
44688.120000
N
N
N
BANC OF AMERICA FUNDING CORP 2007-E
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 9A1
05954DAW6
399862.840000
PA
USD
300341.020000
0.0067182
Long
ABS-MBS
CORP
US
N
2
2037-09-20
Floating
3.31716
Y
N
N
N
N
N
N/A
N/A
IRS MXN 8.70100 04/13/22-10Y* CME
000000000
1.000000
NC
3111.890000
0.0000696
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2032-03-31
0.000000
MXN
0.000000
MXN
5600000.000000
MXN
3111.890000
N
N
N
N/A
N/A
IRS MXN 8.73000 04/12/22-5Y* CME
000000000
1.000000
NC
2277.680000
0.0000509
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2027-04-06
0.000000
MXN
0.000000
MXN
4700000.000000
MXN
2277.680000
N
N
N
BANC OF AMERICA FUNDING CORP 2007-R1
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2007 R1 A2 144A
05953BAB7
2684655.220000
PA
USD
2395291.270000
0.0535790
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
1.4257
Y
N
N
N
N
N
N/A
N/A
IRS MXN 8.73200 04/12/22-10Y* CME
000000000
1.000000
NC
1084.130000
0.0000243
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2032-03-30
0.000000
MXN
0.000000
MXN
2400000.000000
MXN
1084.130000
N
N
N
N/A
N/A
IRS MXN 8.75000 04/08/22-2Y CME
000000000
1.000000
NC
6581.110000
0.0001472
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2024-04-05
0.000000
MXN
0.000000
MXN
11300000.000000
MXN
6581.110000
N
N
N
BANC OF AMERICA FUNDING CORP 2009-R6
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 2A2 144A
05955DAE5
2096985.230000
PA
USD
1919975.980000
0.0429470
Long
ABS-MBS
CORP
US
N
2
2035-06-26
Variable
0
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2009-R6
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 4A2 144A
05955DAJ4
9134355.260000
PA
USD
3477993.460000
0.0777975
Long
ABS-MBS
CORP
US
N
2
2036-07-26
Variable
6.6188
N
N
N
N
N
N
BANC OF AMERICA FUNDING TRUST 2014-R2
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2014 R2 1C 144A
05968KAC8
27297074.030000
PA
USD
7578366.560000
0.1695166
Long
ABS-MBS
CORP
US
N
2
2036-11-26
Variable
0
N
N
N
N
N
N
BANC OF AMERICA FUNDING TRUST 2014-R4
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2014 R4 1A2 144A
05958SAB5
5941471.390000
PA
USD
5144767.610000
0.1150807
Long
ABS-MBS
CORP
US
N
2
2036-05-26
Variable
1.92433
N
N
N
N
N
N
N/A
N/A
IRS USD 0.50000 06/16/21-5Y CME
000000000
1.000000
NC
USD
-17769252.990000
-0.3974713
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2026-06-16
0.000000
USD
-3835876.680000
USD
184100000.000000
USD
-13933376.310000
N
N
N
N/A
N/A
IRS USD 0.50000 06/16/21-7Y CME
000000000
1.000000
NC
USD
-92296.610000
-0.0020645
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-06-16
0.000000
USD
-32929.770000
USD
660000.000000
USD
-59366.840000
N
N
N
N/A
N/A
IRS USD 0.66000 06/21/20-6Y* CME
000000000
1.000000
NC
USD
-48807608.850000
-1.0917524
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2026-12-21
0.000000
USD
-86055.000000
USD
483000000.000000
USD
-48721553.850000
N
N
N
N/A
N/A
IRS USD 0.93000 06/19/20-18Y* CME
000000000
1.000000
NC
USD
41669797.410000
0.9320904
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2038-12-20
381220.040000
USD
0.000000
USD
142200000.000000
USD
41288577.370000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875
ACI1T7K79
28732000.000000
PA
25217896.980000
0.5640862
Long
DBT
CORP
IT
N
2
2026-01-09
Fixed
1.875
N
N
N
N
N
N
N/A
N/A
IRS USD 1.15000 12/11/20-30Y CME
000000000
1.000000
NC
USD
22612468.400000
0.5058067
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2050-12-12
0.000000
USD
-3148368.890000
USD
63900000.000000
USD
25760837.290000
N
N
N
N/A
N/A
IRS USD 1.25000 06/16/21-30Y CME
000000000
1.000000
NC
USD
15063268.430000
0.3369425
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2051-06-16
8404459.000000
USD
0.000000
USD
44700000.000000
USD
6658809.430000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625
ACI1J7WJ1
27530000.000000
PA
25629502.070000
0.5732932
Long
DBT
CORP
IT
N
2
2025-04-28
Fixed
2.625
N
N
N
N
N
N
N/A
N/A
IRS USD 1.36000 02/15/22-5Y CME
000000000
1.000000
NC
USD
937348.490000
0.0209671
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2027-02-16
0.000000
USD
0.000000
USD
13450000.000000
USD
937348.490000
N
N
N
N/A
N/A
IRS USD 1.50000 06/21/17-10Y CME
000000000
1.000000
NC
USD
-15136147.450000
-0.3385727
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2027-06-21
0.000000
USD
-15185635.790000
USD
209400000.000000
USD
49488.340000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625
BJSF9FII4
35346000.000000
PA
34274223.270000
0.7666625
Long
DBT
CORP
IT
N
2
2024-09-24
Fixed
3.625
N
N
N
N
N
N
N/A
N/A
IRS USD 1.60000 11/15/21-5Y* CME
000000000
1.000000
NC
USD
-3144909.700000
-0.0703469
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2027-02-16
0.000000
USD
-185119.830000
USD
53800000.000000
USD
-2959789.870000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR
ACI0ZY1X9
29389000.000000
PA
18303679.760000
0.4094256
Long
DBT
CORP
IT
N
2
2028-01-18
Floating
5.375
N
N
N
N
N
N
N/A
N/A
IRS USD 1.75000 12/15/21-10Y LCH
000000000
1.000000
NC
USD
1798003.250000
0.0402186
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2031-12-15
0.000000
USD
-254549.470000
USD
16600000.000000
USD
2052552.720000
N
N
N
N/A
N/A
IRS USD 1.75000 12/21/16-10Y CME
000000000
1.000000
NC
USD
-16752619.180000
-0.3747308
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2026-12-21
7432549.780000
USD
0.000000
USD
303000000.000000
USD
-24185168.960000
N
N
N
N/A
N/A
IRS USD 1.75000 12/21/16-7Y CME
000000000
1.000000
NC
USD
-3459968.390000
-0.0773943
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2023-12-21
2868259.120000
USD
0.000000
USD
152800000.000000
USD
-6328227.510000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR
ACI1J42S1
13920000.000000
PA
9343270.690000
0.2089948
Long
DBT
CORP
IT
N
2
2030-01-22
Floating
8
N
N
N
N
N
N
N/A
N/A
IRS USD 2.00000 01/15/20-30Y CME
000000000
1.000000
NC
USD
217136.320000
0.0048570
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2050-01-18
0.000000
USD
-8639.300000
USD
1200000.000000
USD
225775.620000
N
N
N
N/A
N/A
IRS USD 2.25000 03/12/20-30Y CME
000000000
1.000000
NC
USD
2743981.270000
0.0613787
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2050-03-14
0.000000
USD
-32914.870000
USD
20500000.000000
USD
2776896.140000
N
N
N
N/A
N/A
IRS USD 2.25000 06/20/18-10Y CME
000000000
1.000000
NC
USD
-361514.010000
-0.0080865
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-06-20
0.000000
USD
-489198.750000
USD
8200000.000000
USD
127684.740000
N
N
N
N/A
N/A
IRS USD 2.50000 06/20/18-30Y CME
000000000
1.000000
NC
USD
294116.930000
0.0065790
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2048-06-22
287446.000000
USD
0.000000
USD
3100000.000000
USD
6670.930000
N
N
N
N/A
N/A
IRS USD 2.50000 12/20/17-10Y CME
000000000
1.000000
NC
USD
-2568143.530000
-0.0574455
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2027-12-20
1071466.780000
USD
0.000000
USD
91250000.000000
USD
-3639610.310000
N
N
N
N/A
N/A
IRS USD 2.75000 03/20/13-30Y CME
000000000
1.000000
NC
USD
68536.640000
0.0015331
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2043-03-20
0.000000
USD
-4333.430000
USD
1300000.000000
USD
72870.070000
N
N
N
N/A
N/A
IRS USD 2.75000 12/16/15-30Y CME
000000000
1.000000
NC
USD
109401.540000
0.0024471
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2045-12-18
0.000000
USD
-32121.000000
USD
2000000.000000
USD
141522.540000
N
N
N
N/A
N/A
IRS USD 2.75000 12/16/15-30Y LCH
000000000
1.000000
NC
USD
96354.850000
0.0021553
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2045-12-18
0.000000
USD
-19624.130000
USD
1800000.000000
USD
115978.980000
N
N
N
N/A
N/A
IRS USD 2.75000 12/19/18-5Y CME
000000000
1.000000
NC
USD
-245411.830000
-0.0054895
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2023-12-19
0.000000
USD
-283918.540000
USD
30600000.000000
USD
38506.710000
N
N
N
N/A
N/A
IRS USD 2.86000 01/26/18-5Y* CME
000000000
1.000000
NC
USD
5982.130000
0.0001338
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2023-04-26
0.000000
USD
-19221.970000
USD
7100000.000000
USD
25204.100000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5
ACI1DBG64
17716000.000000
PA
12988411.350000
0.2905311
Long
DBT
CORP
IT
N
2
2029-07-23
Fixed
10.5
N
N
N
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR
ACI1R35P7
4762000.000000
PA
3304102.720000
0.0739078
Long
DBT
CORP
IT
N
2
2030-09-10
Floating
8.5
N
N
N
N
N
N
N/A
N/A
IRS ZAR 5.87300 05/12/21-5Y CME
000000000
1.000000
NC
-3548318.100000
-0.0793705
N/A
DIR
ZA
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month
Y
2026-05-12
0.000000
ZAR
-15925.550000
ZAR
882000000.000000
ZAR
-3532392.550000
N
N
N
N/A
N/A
OIS GBP SONIO/0.50000 09/16/20-10Y LCH
000000000
1.000000
NC
4576256.920000
0.1023639
N/A
DIR
GB
N
2
London Clearing house
N/A
SONIA O/N Deposit Rates Swap
N/A
N/A
Y
2030-09-16
334751.650000
GBP
0.000000
GBP
27000000.000000
GBP
4241505.270000
N
N
N
N/A
N/A
OIS USD SOFR/1.00000 12/15/21-5Y CME
000000000
1.000000
NC
USD
-801915.230000
-0.0179376
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2026-12-15
21383.000000
USD
0.000000
USD
11200000.000000
USD
-823298.230000
N
N
N
N/A
N/A
OIS USD SOFR/1.75000 12/15/21-30Y CME
000000000
1.000000
NC
USD
4418351.290000
0.0988318
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2051-12-15
0.000000
USD
-2442331.990000
USD
25100000.000000
USD
6860683.280000
N
N
N
N/A
N/A
RFR GBP SONIO/0.75000 09/21/22-30Y LCH
000000000
1.000000
NC
18317514.170000
0.4097351
N/A
DIR
GB
N
2
London Clearing house
N/A
SONIA O/N Deposit Rates Swap
N/A
N/A
Y
2052-09-23
0.000000
GBP
-1112825.140000
GBP
47600000.000000
GBP
19430339.310000
N
N
N
BANCO DE CREDITO DEL PERU SA
549300EQYQ8SCQZ4BY14
BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65
05971U2B2
6500000.000000
PA
1572580.650000
0.0351763
Long
DBT
CORP
PE
N
2
2024-09-17
Fixed
4.65
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/1.50000 12/15/21-10Y CME
000000000
1.000000
NC
USD
10001318.830000
0.2237144
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2031-12-15
0.000000
USD
-2198700.000000
USD
98500000.000000
USD
12200018.830000
N
N
N
N/A
N/A
ZCS BRL 11.14 03/29/22-01/02/25 CME
000000000
1.000000
NC
-42698.130000
-0.0009551
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
7800000.000000
BRL
-42698.130000
N
N
N
N/A
N/A
ZCS BRL 11.16 03/29/22-01/02/25 CME
000000000
1.000000
NC
-28077.390000
-0.0006280
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
5200000.000000
BRL
-28077.390000
N
N
N
N/A
N/A
ZCS BRL 11.22 03/25/22-01/04/27 CME
000000000
1.000000
NC
-62762.760000
-0.0014039
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
9400000.000000
BRL
-62762.760000
N
N
N
N/A
N/A
ZCS BRL 11.245 03/25/22-01/04/27 CME
000000000
1.000000
NC
-30758.440000
-0.0006880
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
4700000.000000
BRL
-30758.440000
N
N
N
N/A
N/A
ZCS BRL 11.26 03/25/22-01/04/27 CME
000000000
1.000000
NC
-30385.050000
-0.0006797
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
4700000.000000
BRL
-30385.050000
N
N
N
N/A
N/A
ZCS BRL 11.35 03/28/22-01/02/25 CME
000000000
1.000000
NC
-30046.210000
-0.0006721
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
6400000.000000
BRL
-30046.210000
N
N
N
N/A
N/A
ZCS BRL 11.7 03/24/22-01/04/27 CME
000000000
1.000000
NC
-9987.740000
-0.0002234
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
2400000.000000
BRL
-9987.740000
N
N
N
N/A
N/A
ZCS BRL 11.715 03/24/22-01/04/27 CME
000000000
1.000000
NC
-42880.960000
-0.0009592
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
10500000.000000
BRL
-42880.960000
N
N
N
N/A
N/A
ZCS BRL 11.87 03/22/22-01/04/27 CME
000000000
1.000000
NC
-82403.950000
-0.0018433
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
25100000.000000
BRL
-82403.950000
N
N
N
N/A
N/A
ZCS BRL 12 03/23/22-01/02/25 CME
000000000
1.000000
NC
-40075.410000
-0.0008964
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
17400000.000000
BRL
-40075.410000
N
N
N
N/A
N/A
ZCS BRL 12.015 03/17/22-01/04/27 CME
000000000
1.000000
NC
-1107998.260000
-0.0247842
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
437000000.000000
BRL
-1107998.260000
N
N
N
N/A
N/A
ZCS BRL 12.08 03/21/22-01/02/25 CME
000000000
1.000000
NC
-58013.430000
-0.0012977
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
28900000.000000
BRL
-58013.430000
N
N
N
N/A
N/A
ZCS BRL 12.14 03/21/22-01/02/25 CME
000000000
1.000000
NC
-26116.410000
-0.0005842
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
14600000.000000
BRL
-26116.410000
N
N
N
N/A
N/A
ZCS BRL 12.145 03/22/22-01/02/25 CME
000000000
1.000000
NC
-25356.390000
-0.0005672
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
14300000.000000
BRL
-25356.390000
N
N
N
N/A
N/A
ZCS BRL 12.16 03/21/22-01/02/25 CME
000000000
1.000000
NC
-49936.490000
-0.0011170
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
29100000.000000
BRL
-49936.490000
N
N
N
N/A
N/A
ZCS BRL 12.67 03/29/22-01/02/23 CME
000000000
1.000000
NC
17002.290000
0.0003803
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
23500000.000000
BRL
17002.290000
N
N
N
N/A
N/A
ZCS BRL 12.69 03/29/22-01/02/23 CME
000000000
1.000000
NC
10906.330000
0.0002440
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
15600000.000000
BRL
10906.330000
N
N
N
N/A
N/A
ZCS BRL 12.74 03/25/22-01/02/23 CME
000000000
1.000000
NC
25284.740000
0.0005656
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
40500000.000000
BRL
25284.740000
N
N
N
N/A
N/A
ZCS BRL 12.75 03/28/22-01/02/23 CME
000000000
1.000000
NC
12009.020000
0.0002686
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
19400000.000000
BRL
12009.020000
N
N
N
N/A
N/A
ZCS BRL 12.76 03/25/22-01/02/23 CME
000000000
1.000000
NC
24228.270000
0.0005419
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
40400000.000000
BRL
24228.270000
N
N
N
N/A
N/A
ZCS BRL 12.9 03/21/22-01/02/23 CME
000000000
1.000000
NC
32700.510000
0.0007315
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
82600000.000000
BRL
32700.510000
N
N
N
N/A
N/A
ZCS BRL 12.93 03/24/22-01/02/23 CME
000000000
1.000000
NC
3904.010000
0.0000873
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
10200000.000000
BRL
3904.010000
N
N
N
N/A
N/A
ZCS BRL 12.9385 03/21/22-01/02/23 CME
000000000
1.000000
NC
14359.530000
0.0003212
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
41300000.000000
BRL
14359.530000
N
N
N
N/A
N/A
ZCS BRL 12.946 03/22/22-01/02/23 CME
000000000
1.000000
NC
35936.200000
0.0008038
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
103700000.000000
BRL
35936.200000
N
N
N
N/A
N/A
ZCS BRL 12.96 03/21/22-01/02/23 CME
000000000
1.000000
NC
26496.650000
0.0005927
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
82600000.000000
BRL
26496.650000
N
N
N
N/A
N/A
ZCS BRL 12.97 03/22/22-01/02/23 CME
000000000
1.000000
NC
13109.690000
0.0002932
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
41400000.000000
BRL
13109.690000
N
N
N
N/A
N/A
ZCS BRL 12.97 03/23/22-01/02/23 CME
000000000
1.000000
NC
16610.030000
0.0003715
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
51100000.000000
BRL
16610.030000
N
N
N
N/A
N/A
ZCS BRL 12.97 03/24/22-01/02/23 CME
000000000
1.000000
NC
14437.930000
0.0003230
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
43300000.000000
BRL
14437.930000
N
N
N
N/A
N/A
ZCS BRL 6.17 03/18/21-01/02/23 CME
000000000
1.000000
NC
-5514109.660000
-0.1233423
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
-110568.270000
BRL
599300000.000000
BRL
-5403541.390000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
-1034038.230000
-0.0231299
N/A
DFE
BR
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
82600711.050000
USD
430564466.430000
BRL
2022-08-02
-1034038.230000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
34034.580000
0.0007613
N/A
DFE
GB
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
9732195.200000
USD
8019000.000000
GBP
2022-08-02
34034.580000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
985541.440000
0.0220451
N/A
DFE
BR
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
430564466.430000
BRL
83257172.280000
USD
2022-07-05
985541.440000
N
N
N
BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2
N/A
THE BANCORP COMMERCIAL MORTGAG BANC 2017 CRE2 D 144A
05972AAJ9
6720155.320000
PA
USD
6672979.830000
0.1492645
Long
ABS-MBS
CORP
US
N
2
2032-08-15
Floating
5.074
N
N
N
N
N
N
N/A
N/A
SOLD HUF/BOUGHT USD
000000000
1.000000
NC
34807.340000
0.0007786
N/A
DFE
HU
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
161784187.000000
HUF
461335.000000
USD
2022-07-21
34807.340000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-249976.510000
-0.0055916
N/A
DFE
MX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
166053333.150000
MXN
7992632.440000
USD
2022-07-15
-249976.510000
N
N
N
N/A
N/A
WINDSTREAM HOLDINGS II, LLC 8725909B2
000000000
3155914.000000
NC
USD
67296527.090000
1.5053216
N/A
DE
US
N
3
None
N/A
Call
Purchased
WINDSTREAM HOLDINGS INC
WINDSTREAM *BACKSTOP COMMITMENT*
N/A
0.000000
USD
2055-09-21
XXXX
42187663.270000
N
N
N
BANK OF AMERICA MTGE SEC 2006-3
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A10
05950LAK8
86738.740000
PA
USD
75234.430000
0.0016829
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Fixed
6
Y
N
N
N
N
N
BANK OF AMERICA MTGE SEC 2006-3
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A9
05950LAJ1
714819.150000
PA
USD
610712.600000
0.0136607
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Fixed
5.75
Y
N
N
N
N
N
BANK OF AMERICA MTGE SECS-2005-L
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 3A1
05949CPM2
174439.190000
PA
USD
165153.320000
0.0036942
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
3.21951
Y
N
N
N
N
N
BANK OF AMERICA MTGE SECS-2006-B
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 1A1
05950TAA3
128167.950000
PA
USD
112197.660000
0.0025097
Long
ABS-MBS
CORP
US
N
2
2046-10-20
Floating
2.12175
N
N
N
N
N
N
BANK OF AMERICA MTGE SECS-2007-2
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 2 A6
05952FAF0
667297.320000
PA
USD
546960.460000
0.0122347
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
5.75
Y
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA 12/99 VAR
06738EBA2
4800000.000000
PA
USD
4728000.000000
0.1057582
Long
DBT
CORP
GB
N
2
2023-09-15
Floating
7.75
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA 12/99 VAR
06738EBG9
2400000.000000
PA
USD
2364000.000000
0.0528791
Long
DBT
CORP
GB
N
2
2024-06-15
Floating
8
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA REGS 12/49 VAR
ACI0G5LH6
1970000.000000
PA
2393573.140000
0.0535406
Long
DBT
CORP
GB
N
2
2022-09-15
Floating
7.875
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA REGS 12/99 VAR
ACI0SSSH6
2055000.000000
PA
2466012.510000
0.0551610
Long
DBT
CORP
GB
N
2
2023-03-15
Floating
7.25
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA REGS VAR
ACI1FNQ32
1250000.000000
PA
1404269.990000
0.0314114
Long
DBT
CORP
GB
N
2
2025-12-15
Floating
6.375
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA VAR
ACI1CH093
6200000.000000
PA
7260465.740000
0.1624056
Long
DBT
CORP
GB
N
2
2025-06-15
Floating
7.125
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BAYVIEW COMMERCIAL ASSET TRUST 2007-1
N/A
BAYVIEW COMMERCIAL ASSET TRUST BAYC 2007 1 A1 144A
07325MAA2
175915.600000
PA
USD
161239.810000
0.0036067
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
1.84357
N
N
N
N
N
N
CLEAR CHANNEL OUTDOOR HOLDINGS INC
N/A
CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK
18453H106
4853248.000000
NS
USD
5192975.360000
0.1161590
Long
EC
CORP
US
N
1
N
N
N
BBVA-6 FTPYME FTA 6
N/A
BBVA 6 FTPYME FTA BBVAP 6 C REGS
E22473AC1
602370.720000
PA
386958.690000
0.0086557
Long
ABS-O
CORP
ES
N
2
2046-03-22
Floating
0.3514
Y
N
N
N
N
N
BCAP LLC TRUST 2009-RR11
N/A
BCAP LLC TRUST BCAP 2009 RR11 7A2 144A
05532FAR3
3621093.480000
PA
USD
2704557.790000
0.0604969
Long
ABS-MBS
CORP
US
N
2
2036-02-26
Floating
3.06586
N
N
N
N
N
N
BCAP LLC TRUST 2009-RR14
N/A
BCAP LLC TRUST BCAP 2009 RR14 11A2 144A
05532LBX6
7021148.030000
PA
USD
5912936.340000
0.1322634
Long
ABS-MBS
CORP
US
N
2
2037-04-26
Floating
2.96459
N
N
N
N
N
N
BCAP LLC TRUST 2009-RR14
N/A
BCAP LLC TRUST BCAP 2009 RR14 2A2 144A
05532LAD1
445469.960000
PA
USD
402834.830000
0.0090108
Long
ABS-MBS
CORP
US
N
2
2036-07-26
Floating
3.35737
N
N
N
N
N
N
BCAP LLC TRUST 2009-RR14
N/A
BCAP LLC TRUST BCAP 2009 RR14 9A3 144A
05532LBF5
886801.640000
PA
USD
716686.040000
0.0160312
Long
ABS-MBS
CORP
US
N
2
2035-07-26
Floating
3.15818
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR1
N/A
BCAP LLC TRUST BCAP 2010 RR1 1A4 144A
05532TAD4
835886.890000
PA
USD
687717.750000
0.0153832
Long
ABS-MBS
CORP
US
N
2
2037-03-26
Floating
3.20691
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR11
N/A
BCAP LLC TRUST BCAP 2010 RR11 5A3 144A
05533JBE2
5354372.000000
PA
USD
4538061.580000
0.1015096
Long
ABS-MBS
CORP
US
N
2
2037-03-27
Floating
3.27707
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR2
N/A
BCAP LLC TRUST BCAP 2010 RR2 2A2 144A
05532VAG2
5968204.730000
PA
USD
4011297.240000
0.0897267
Long
ABS-MBS
CORP
US
N
2
2035-12-26
Variable
5.5
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR2
N/A
BCAP LLC TRUST BCAP 2010 RR2 7A4 144A
05532VBR7
2321410.740000
PA
USD
2019297.010000
0.0451686
Long
ABS-MBS
CORP
US
N
2
2036-06-26
Floating
3.26031
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR3
N/A
BCAP LLC TRUST BCAP 2010 RR3 14A6 144A
05532WGU3
2334524.930000
PA
USD
1937053.380000
0.0433290
Long
ABS-MBS
CORP
US
N
2
2037-08-26
Variable
6
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR3
N/A
BCAP LLC TRUST BCAP 2010 RR3 7A6 144A
05532WDF9
2622298.440000
PA
USD
2418023.490000
0.0540875
Long
ABS-MBS
CORP
US
N
2
2035-11-26
Floating
2.68004
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR4
N/A
BCAP LLC TRUST BCAP 2010 RR4 6A12 144A
05532XAL7
4546769.040000
PA
USD
3038628.480000
0.0679695
Long
ABS-MBS
CORP
US
N
2
2035-12-26
Fixed
5.5
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR7
N/A
BCAP LLC TRUST BCAP 2010 RR7 1610 144A
05533DGV2
12661978.720000
PA
USD
10380716.860000
0.2322009
Long
ABS-MBS
CORP
US
N
2
2047-02-26
Floating
1.02416
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR7
N/A
BCAP LLC TRUST BCAP 2010 RR7 2A13 144A
05533DAW6
4215111.550000
PA
USD
4010379.370000
0.0897061
Long
ABS-MBS
CORP
US
N
2
2045-07-26
Floating
2.89944
N
N
N
N
N
N
BCAP LLC TRUST 2012-RR10-I
N/A
BCAP LLC TRUST BCAP 2012 RR10 1A2 144A
05541HAB3
9368226.470000
PA
USD
8256221.740000
0.1846792
Long
ABS-MBS
CORP
US
N
2
2037-02-26
Floating
1.37688
N
N
N
N
N
N
BCAP LLC TRUST 2012-RR12
N/A
BCAP LLC TRUST BCAP 2012 RR12 3A3 144A
05542BAL3
1929471.020000
PA
USD
1744048.280000
0.0390117
Long
ABS-MBS
CORP
US
N
2
2037-06-26
Variable
6
N
N
N
N
N
N
BCAP LLC TRUST 2012-RR3
N/A
BCAP LLC TRUST BCAP 2012 RR3 2A8 144A
05539BAQ7
1749127.930000
PA
USD
1655777.320000
0.0370372
Long
ABS-MBS
CORP
US
N
2
2037-05-26
Variable
3.14816
N
N
N
N
N
N
BCAP LLC TRUST 2013-RR1
N/A
BCAP LLC TRUST BCAP 2013 RR1 3A4 144A
05490BAQ4
1767080.290000
PA
USD
1538439.360000
0.0344126
Long
ABS-MBS
CORP
US
N
2
2037-10-26
Variable
6
N
N
N
N
N
N
BCAP LLC TRUST 2013-RR11
N/A
BCAP LLC TRUST BCAP 2013 RR11 4A2 144A
05542XAP6
4364427.510000
PA
USD
3588673.220000
0.0802732
Long
ABS-MBS
CORP
US
N
2
2036-05-26
Floating
1.36571
N
N
N
N
N
N
BCAP LLC TRUST 2013-RR12
N/A
BCAP LLC TRUST BCAP 2013 RR12 1A5 144A
05490CAE9
5817750.800000
PA
USD
5166287.790000
0.1155620
Long
ABS-MBS
CORP
US
N
2
2035-05-26
Floating
1.50571
N
N
N
N
N
N
BCAP LLC TRUST 2015-RR6
N/A
BCAP LLC TRUST BCAP 2015 RR6 2A2 144A
05490QAG3
18775732.380000
PA
USD
5423843.450000
0.1213232
Long
ABS-MBS
CORP
US
N
2
2036-01-26
Variable
7.61951
N
N
N
N
N
N
BCP TRUST 2021-330N
N/A
BCP TRUST BCP 2021 330N E 144A
05553BAN5
11100000.000000
PA
USD
10335151.170000
0.2311817
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
4.962
N
N
N
N
N
N
BEAR STEARNS ADJ RATE MTGE TR 2004-6
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 1A1
07384MW40
38267.930000
PA
USD
34366.490000
0.0007687
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
2.37239
N
N
N
N
N
N
BEAR STEARNS ADJ RATE MTGE TR 2004-6
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 3A
07384MW81
12766.990000
PA
USD
11283.660000
0.0002524
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
2.13088
N
N
N
N
N
N
BEAR STEARNS ADJ RATE MTGE TR 2006-4
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 4 1A1
073882AA0
146740.160000
PA
USD
135254.560000
0.0030254
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
3.0878
Y
N
N
N
N
N
BEAR STEARNS ADJ RATE MTGE TR 2007-4
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 22A1
07401CAV5
1473834.490000
PA
USD
1383823.590000
0.0309540
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
3.61456
Y
N
N
N
N
N
BEAR STEARNS ADJ RATE MTGE TR 2007-5
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 5 1A1
07386YAA2
180532.190000
PA
USD
154944.530000
0.0034659
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
3.09016
Y
N
N
N
N
N
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1
07387AGE9
353926.500000
PA
USD
334492.610000
0.0074821
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
3.33326
Y
N
N
N
N
N
BEAR STEARNS ALT-A TR 2005-2
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 2 1M2
07386HQT1
5826837.680000
PA
USD
6782074.880000
0.1517048
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.74857
Y
N
N
N
N
N
BEAR STEARNS ALT-A TR 2005-3
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 3 1A1
07386HRU7
166943.050000
PA
USD
145677.140000
0.0032586
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
2.88725
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2004-9
N/A
BEAR STEARNS ALT A TRUST BALTA 2004 9 1A1
07386HKY6
199499.670000
PA
USD
196029.490000
0.0043849
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
2.125
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-1
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 1 M2
07386HQJ3
982102.280000
PA
USD
1022118.920000
0.0228633
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
2.74857
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-10
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1
07386HYW5
4444227.710000
PA
USD
5999535.860000
0.1342005
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.12357
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-4
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 4 22A1
07386HTP6
166976.670000
PA
USD
159707.980000
0.0035724
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.75611
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-5
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 5 26A1
07386HUN9
226785.010000
PA
USD
174107.910000
0.0038945
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
4.03979
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-7
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 7 26A1
07386HVX6
7970089.400000
PA
USD
3682928.900000
0.0823816
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
3.01079
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-9
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 9 25A1
07386HYF2
32070.690000
PA
USD
24810.650000
0.0005550
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.81122
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-9
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 9 26A1
07386HYH8
10916766.040000
PA
USD
7678026.830000
0.1717459
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.9461
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-2
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 2 24A1
07386HG39
1446653.460000
PA
USD
923883.970000
0.0206659
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.89913
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-3
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 3 23A1
07386HL66
347788.740000
PA
USD
323129.540000
0.0072279
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.36087
Y
N
N
N
N
N
COMPEER FINANCIAL ACA
54930020HTACTODKHT04
COMPEER FINANCIAL ACA JR SUBORDINA 144A VAR
20453QAA0
1900000.000000
NS
USD
1683875.610000
0.0376658
Long
EP
CORP
US
N
2
N
N
N
BEAR STEARNS ALT-A TRUST 2006-5
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 5 1A1
073873AA9
16135388.290000
PA
USD
14050547.680000
0.3142895
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
1.96357
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-5
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2
073873AK7
299987.140000
PA
USD
172797.030000
0.0038652
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
3.49718
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-6
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1
073868AM3
1747644.480000
PA
USD
1072101.420000
0.0239813
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
3.23162
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-7
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 7 1AE4 144A
073875BJ4
3521912.500000
PA
USD
2205069.420000
0.0493241
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
3.11387
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-8
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1
07387QAA8
1363707.150000
PA
USD
1199208.610000
0.0268245
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
1.94357
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-8
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 8 2A1
07387QAM2
2765151.390000
PA
USD
2041176.690000
0.0456580
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
2.94393
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-8
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 8 3A2
07387QAY6
2822008.890000
PA
USD
2621954.990000
0.0586492
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
2.02357
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-R1
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 R1 4E22
073866BH7
54709490.010000
PA
USD
30427607.460000
0.6806196
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
3.41496
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2007-2
N/A
BEAR STEARNS ALT A TRUST BALTA 2007 2 2A1
073870AG2
4636691.840000
PA
USD
3635577.210000
0.0813224
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
2.98549
Y
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE11 M3
073879PA0
18122663.590000
PA
USD
17346131.010000
0.3880067
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
3.49857
N
N
N
N
N
N
CONSTELLATION OIL SERVICES HOLDING SA
5493005YJTU769NW5I10
CONSTELLATION OIL B SHS EQUITY EQTYMR935
944PZA905
252651.000000
NS
USD
27386.360000
0.0006126
Long
EC
CORP
US
Y
3
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC1
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC1 22A2
07387UCY5
358739.800000
PA
USD
258821.370000
0.0057894
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
6
Y
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE10 22A
07389RAR7
10505317.080000
PA
USD
13814786.110000
0.3090159
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.76357
Y
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A2
073888BF5
90523.620000
PA
USD
89773.330000
0.0020081
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
2.71814
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD4 2A1
07389NAC9
233436.410000
PA
USD
213778.310000
0.0047819
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
2.75679
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 22A1
07389QAN8
2670479.220000
PA
USD
1654968.880000
0.0370192
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Fixed
2.88968
Y
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2001-3
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 M1
07384YBQ8
1413.460000
PA
USD
1991.300000
0.0000445
Long
ABS-MBS
CORP
US
N
2
2032-10-27
Floating
3.12357
N
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2005-C
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1
073879U97
168913.360000
PA
USD
162459.130000
0.0036340
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
2.12357
N
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2005-C
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A2
073879V21
57748.170000
PA
USD
55541.600000
0.0012424
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
2.12357
N
N
N
N
N
N
BEAR STEARNS MORTGAGE FUNDING TRUST 2006-AC1
N/A
BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AC1 A1
07400XAA6
601710.530000
PA
USD
602163.140000
0.0134695
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
7.5
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REG COMMON STOCK CHF.04
717158901
277457.000000
NS
1575254.740000
0.0352361
Long
EC
CORP
CH
N
1
N
N
N
BMO 2022-C1 MORTGAGE TRUST
N/A
BMO 2022 C1 MORTGAGE TRUST BMO 2022 C1 111D 144A
05609MCQ6
7850000.000000
PA
USD
6530624.600000
0.1460802
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
3.37762
N
N
N
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO SR UNSECURED 05/40 5.705
097023CV5
7234000.000000
PA
USD
6760067.750000
0.1512125
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.705
N
N
N
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO SR UNSECURED 05/50 5.805
097023CW3
6065000.000000
PA
USD
5581519.250000
0.1248501
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.805
N
N
N
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO SR UNSECURED 05/60 5.93
097023CX1
8393000.000000
PA
USD
7660439.320000
0.1713524
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93
N
N
N
N
N
N
BOI FINANCE BV
724500ZH3H2YACBUNF38
BOI FINANCE BV 02/27 7.5
ACI23L5Y2
10000000.000000
PA
8488918.980000
0.1898843
Long
DBT
MUN
NL
N
2
2027-02-16
Fixed
7.5
N
N
N
N
N
N
BOMBARDIER CAPITAL MTGE SEC BCM 2000 A
N/A
BOMBARDIER CAPITAL MORTGAGE SE BCM 2000 A A3
09774XBP6
3548567.430000
PA
USD
598995.700000
0.0133986
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
7.83
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC SR UNSECURED 144A 03/25 7.5
097751BM2
20871000.000000
PA
USD
18919144.080000
0.4231926
Long
DBT
CORP
CA
N
2
2025-03-15
Fixed
7.5
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC SR UNSECURED 144A 06/26 7.125
097751BV2
24600000.000000
PA
USD
20361420.000000
0.4554542
Long
DBT
CORP
CA
N
2
2026-06-15
Fixed
7.125
N
N
N
N
N
N
DESARROLLADORA HOMEX SA DE CV (AKA: HOMEX)
N/A
DESARROLLADORA HOMEX SAB DE COMMON STOCK
B01RQ2907
719113.000000
NS
1358.870000
0.0000304
Long
EC
CORP
MX
N
1
N
N
N
BRITISH AIRWAYS 2020-1 CLASS A PASS THROUGH TRUST
N/A
BRITISH AIR 20 1 A PTT PASS THRU CE 144A 05/34 4.25
11044MAA4
55569.520000
PA
USD
53587.930000
0.0011987
Long
DBT
CORP
US
N
2
2034-05-15
Fixed
4.25
N
N
N
N
N
N
BSST 2021-1818 MORTGAGE TRUST
N/A
BSST MORTGAGE TRUST BSST 2021 1818 E 144A
07403PAN2
6000000.000000
PA
USD
5746218.600000
0.1285342
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
4.774
N
N
N
N
N
N
BUFFALO THUNDER DEVELOPMENT AUTHORITY
54930030AKDVPHKOL630
BUFFALO THUNDER DEV AUTH 11/29 0
119818AD4
2482664.770000
PA
USD
1620.060000
0.0000362
Long
DBT
CORP
US
Y
3
2029-11-15
Fixed
0
N
N
N
N
N
N
BUFFALO THUNDER DEVELOPMENT AUTHORITY
54930030AKDVPHKOL630
BUFFALO THUNDER DEV AUTH SR SECURED 144A 12/22 11
119818AC6
5598360.000000
PA
USD
3219057.000000
0.0720054
Long
DBT
CORP
US
N
2
2022-12-09
Fixed
11
Y
N
N
N
N
N
BX TRUST 2017-APPL
N/A
BX TRUST BX 2017 APPL E 144A
12433PAN6
3177148.090000
PA
USD
3119270.620000
0.0697734
Long
ABS-MBS
CORP
US
N
2
2034-07-15
Floating
4.474
N
N
N
N
N
N
BX TRUST 2017-SLCT
N/A
BX TRUST BX 2017 SLCT E 144A
05607DAN7
11912455.470000
PA
USD
11703899.350000
0.2617985
Long
ABS-MBS
CORP
US
N
2
2034-07-15
Floating
4.474
N
N
N
N
N
N
BX TRUST 2018-BILT 2018-BILT
N/A
BX TRUST BX 2018 BILT F 144A
05606JAQ8
5500000.000000
PA
USD
5162282.400000
0.1154725
Long
ABS-MBS
CORP
US
N
2
2030-05-15
Floating
4.244
N
N
N
N
N
N
BX TRUST 2019-ATL
N/A
BX TRUST BX 2019 ATL E 144A
056058AN0
1010000.000000
PA
USD
922157.470000
0.0206273
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
3.5606
N
N
N
N
N
N
BX TRUST 2019-ATL
N/A
BX TRUST BX 2019 ATL F 144A
056058AQ3
7992500.000000
PA
USD
7343325.170000
0.1642591
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
4.0606
N
N
N
N
N
N
C-BASS CBO XVI CORP 16A
N/A
C BASS LTD CBCL 16A A 144A
12498YAA7
98372552.260000
PA
USD
2234729.270000
0.0499875
Long
ABS-CBDO
CORP
KY
N
2
2041-09-06
Floating
1.86071
N
N
N
N
N
N
CABINETWORKS (ACPRODUCTS HOLDINGS INC)
N/A
VICTORS MERGER CORP SR UNSECURED 144A 05/29 6.375
92641PAA4
2700000.000000
PA
USD
1651198.500000
0.0369348
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
6.375
N
N
N
N
N
N
CAESARS RESORT COLLECTION LLC (AKA: CAESARS GROWTH PROPERTIES HOLDINGS LLC)
549300V3UCT773B1KR38
CAESARS RESORT COLLECTION LLC 2020 TERM LOAN
12769LAD1
198484.840000
PA
USD
191847.900000
0.0042913
Long
LON
CORP
US
N
2
2025-07-21
Floating
5.1661
N
N
N
N
N
N
CAESARS RESORT COLLECTION LLC (AKA: CAESARS GROWTH PROPERTIES HOLDINGS LLC)
549300V3UCT773B1KR38
CAESARS RESORT COLLECTION LLC TERM B LOANS
12769LAB5
7562430.260000
PA
USD
7300898.730000
0.1633101
Long
LON
CORP
US
N
2
2024-12-23
Floating
4.4161
N
N
N
N
N
N
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRUST 2018-1
N/A
CALIFORNIA REPUBLIC AUTO RECEI CRART 2018 1 R
13057FAH4
10100000.000000
PA
USD
11143966.000000
0.2492737
Long
ABS-O
CORP
US
N
3
2025-04-15
Fixed
0
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A
N/A
CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A
14311CAA6
2900000.000000
PA
USD
989160.130000
0.0221260
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Variable
0
N
N
N
N
N
N
CARNIVAL CORPORATION
F1OF2ZSX47CR0BCWA982
CARNIVAL CORP SECURED 144A 02/26 10.5
143658BG6
200000.000000
PA
USD
199484.000000
0.0044622
Long
DBT
CORP
PA
N
2
2026-02-01
Fixed
10.5
N
N
N
N
N
N
CARNIVAL CORPORATION
F1OF2ZSX47CR0BCWA982
CARNIVAL CORPORATION 2021 INCREMENTAL TERM LOAN B
P2121YAS7
8426655.000000
PA
USD
7583989.500000
0.1696424
Long
LON
CORP
PA
N
3
2028-10-18
Floating
6.1269
N
N
N
N
N
N
CARNIVAL CORPORATION
F1OF2ZSX47CR0BCWA982
CARNIVAL CORPORATION EUR TERM LOAN B
P2121YAP3
22676569.610000
PA
22041027.570000
0.4930245
Long
LON
CORP
PA
N
2
2025-06-30
Floating
3.9744
N
N
N
N
N
N
CARRINGTON MTGE LOAN TRUST 2006-FRE2
N/A
CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A5
14454AAE9
657498.150000
PA
USD
546804.790000
0.0122312
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
1.70357
N
N
N
N
N
N
CARRINGTON MTGE LOAN TRUST 2007-FRE1
N/A
CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A4
144527AD0
13201000.000000
PA
USD
10769800.870000
0.2409042
Long
ABS-MBS
CORP
US
N
2
2036-12-26
Floating
2.04357
N
N
N
N
N
N
CARVANA CO
5493003WEAK2PJ5WS063
CARVANA CO COMPANY GUAR 144A 05/30 10.25
146869AJ1
18300000.000000
PA
USD
15066573.000000
0.3370165
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
10.25
N
N
N
N
N
N
CASINO GUICHARD PERRACHON SA
969500VHL8F83GBL6L29
CASINO GUICHARD PERRACHON SA 2021 EUR TERM LOAN
944WEWII6
3200000.000000
PA
3022287.800000
0.0676040
Long
LON
CORP
FR
N
2
2025-08-31
Floating
4
N
N
N
N
N
N
CASSINI SAS
9695009FFM30CUZ8FO85
COMEXPOSIUM 2019 EUR 1ST LIEN TLB
945AYZII4
18769557.350000
PA
16251971.990000
0.3635320
Long
LON
CORP
FR
N
2
2026-03-28
Fixed
4
N
N
Y
N
N
N
CASSINI SAS
9695009FFM30CUZ8FO85
COMEXPOSIUM 2019 EUR REVOLVER
945BLZII6
7873921.830000
PA
6621809.800000
0.1481199
Long
LON
CORP
FR
N
2
2025-03-28
Floating
4
N
N
N
N
N
N
CAVENDISH SQUARE FUNDING PLC
N/A
CAVENDISH SQUARE FUNDING PLC CAVSQ 1 C REGS
B0X5X3II1
1206004.630000
PA
1265746.720000
0.0283128
Long
ABS-CBDO
CORP
IE
N
2
2055-02-11
Floating
1.448
N
N
N
N
N
N
CBA COMMERCIAL SMALL BALANCE CMM 2006-2A
N/A
CBS COMMERCIAL SMALL BALANCE C CBAC 2006 2A A 144A
14983CAA3
385197.880000
PA
USD
352921.530000
0.0078943
Long
ABS-MBS
CORP
US
N
2
2039-01-25
Variable
6.04
Y
N
N
N
N
N
CENGAGE LEARNING INC
549300BYGM0FWUSVXJ88
CENGAGE LEARNING INC 2021 TERM LOAN B
15134NAF3
3391420.070000
PA
USD
3070930.870000
0.0686921
Long
LON
CORP
US
N
2
2026-07-14
Floating
5.75
N
N
N
N
N
N
CGG SA
969500FCVQ5SLAAUJV59
CGG SA SR SECURED 144A 04/27 7.75
ACI1WM066
38535000.000000
PA
34527738.630000
0.7723333
Long
DBT
CORP
FR
N
2
2027-04-01
Fixed
7.75
N
N
N
N
N
N
CGG SA
969500FCVQ5SLAAUJV59
CGG SA SR SECURED 144A 04/27 8.75
12531TAF6
56461000.000000
PA
USD
48111829.630000
1.0761889
Long
DBT
CORP
FR
N
2
2027-04-01
Fixed
8.75
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 06/62 3.95
161175CG7
200000.000000
PA
USD
134000.660000
0.0029974
Long
DBT
CORP
US
N
2
2062-06-30
Fixed
3.95
N
N
N
N
N
N
CHASE MORGAGE FINANCE CORP 2005-A2
N/A
CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A1
16162WQH5
4010716.340000
PA
USD
3499284.230000
0.0782737
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.8393
Y
N
N
N
N
N
CHASE MORTGAGE FINANCE CORP 2007-A1
N/A
CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 12A3
161630BZ0
1128701.240000
PA
USD
1078648.080000
0.0241277
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
3.05701
Y
N
N
N
N
N
CHASE MORTGAGE FINANCE CORP 2007-S2
N/A
CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 1A4
16163EAD0
536087.950000
PA
USD
315767.170000
0.0070632
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6
Y
N
N
N
N
N
CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1
126694U97
28190630.280000
PA
USD
19028148.270000
0.4256309
Long
ABS-MBS
CORP
US
N
2
2046-03-25
Floating
3.49357
Y
N
N
N
N
N
CHS/COMMUNITY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8
12543DBC3
4179000.000000
PA
USD
3817809.030000
0.0853986
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
8
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/COMMUNITY HEALTH SYS SR SECURED 144A 05/30 5.25
12543DBM1
3400000.000000
PA
USD
2589847.860000
0.0579310
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
5.25
N
N
N
N
N
N
CIFC FUNDING LTD 2014-2RA
N/A
CIFC FUNDING LTD CIFC 2014 2RA INC 144A
125475AA1
3390000.000000
PA
USD
1021060.510000
0.0228396
Long
ABS-CBDO
CORP
KY
N
2
2030-04-24
Fixed
0
N
N
N
N
N
N
CIFI HOLDINGS (GROUP) CO LTD
549300WGKSV867C0JF48
CIFI HOLDINGS GROUP COMPANY GUAR REGS 04/27 4.375
ACI1TXLK2
400000.000000
PA
USD
217100.000000
0.0048562
Long
DBT
CORP
KY
N
2
2027-04-12
Fixed
4.375
N
N
N
N
N
N
CIFI HOLDINGS (GROUP) CO LTD
549300WGKSV867C0JF48
CIFI HOLDINGS GROUP COMPANY GUAR REGS 05/26 5.25
ACI1SPDG8
200000.000000
PA
USD
113631.990000
0.0025418
Long
DBT
CORP
KY
N
2
2026-05-13
Fixed
5.25
N
N
N
N
N
N
CIFI HOLDINGS (GROUP) CO LTD
549300WGKSV867C0JF48
CIFI HOLDINGS GROUP COMPANY GUAR REGS 08/26 4.45
ACI1XQPZ5
300000.000000
PA
USD
170745.550000
0.0038193
Long
DBT
CORP
KY
N
2
2026-08-17
Fixed
4.45
N
N
N
N
N
N
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ
17311QBN9
6101048.740000
PA
USD
2713470.710000
0.0606962
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.69271
Y
N
N
N
N
N
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJFX 144A
17311QAE0
4660538.120000
PA
USD
2084658.700000
0.0466307
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.69271
Y
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TR 2006-WF1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF1 A2D
17307G4J4
1532303.690000
PA
USD
809259.840000
0.0181019
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
6.423
Y
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TR 2006-WF2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2C
17309BAB3
387636.100000
PA
USD
160370.170000
0.0035872
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
6.352
Y
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TR 2006-WF2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2E
17309BAD9
2254609.850000
PA
USD
931853.020000
0.0208441
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
6.851
Y
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2006-AR5
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR5 2A1A
17309FAS7
1915176.020000
PA
USD
1187927.190000
0.0265721
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
2.84921
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2009-7
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 3A2 144A
17315MAF2
4348174.780000
PA
USD
2723451.880000
0.0609195
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2009-7
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 5A2 144A
17315MAK1
1995786.560000
PA
USD
1202580.950000
0.0268999
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.5
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2009-9
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 9 3A2 144A
17315XAH4
960558.170000
PA
USD
629477.210000
0.0140805
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.5
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2015-9
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 9 2A2 144A
17324MAD6
5677266.030000
PA
USD
5278226.330000
0.1180659
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
2.98432
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC 2015-5
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 5 3A2 144A
17323XAH4
6114534.000000
PA
USD
5862441.550000
0.1311340
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.24733
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2006-AR1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1
17307G3C0
126279.020000
PA
USD
118421.380000
0.0026489
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.49
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2006-NC2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B
17309TAC2
11859506.930000
PA
USD
9081827.770000
0.2031468
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
1.94357
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-10
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA
17313QAL2
2532878.610000
PA
USD
2306943.050000
0.0516028
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
3.3957
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-6
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A1A
17312VAA6
2063181.420000
PA
USD
1792032.750000
0.0400851
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
2.9058
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AHL2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A3B
17312TAJ2
467803.480000
PA
USD
346351.730000
0.0077474
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
1.82357
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AMC1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A
17311BAS2
12237072.060000
PA
USD
7048600.010000
0.1576665
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.78357
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AMC1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B
17311BAB9
18439963.270000
PA
USD
7725422.610000
0.1728060
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.77357
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AMC1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2C
17311BAC7
13510271.480000
PA
USD
5700622.570000
0.1275143
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.84357
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AR4
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A1A
17311WAD9
181583.050000
PA
USD
174292.090000
0.0038987
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
2.52352
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AR4
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A3A
17311WAH0
607994.640000
PA
USD
582792.650000
0.0130362
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
3.13362
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AR5
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A
17311LAJ0
373273.500000
PA
USD
320381.730000
0.0071665
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
2.94257
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AR8
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR8 1A2A
17313FAC6
1874351.400000
PA
USD
965481.970000
0.0215964
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
2.125
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-SHL1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 M1 144A
17312WAB2
4267000.000000
PA
USD
3718835.580000
0.0831847
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
2.32357
N
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-8
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 8 1A3A
17307GE61
1222327.160000
PA
USD
1171221.780000
0.0261985
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
3.068
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-9
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 9 21A1
17307GK98
245773.100000
PA
USD
231427.620000
0.0051767
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.5
Y
N
N
N
N
N
CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3
N/A
CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ
14986DAJ9
1535986.300000
PA
USD
1398964.190000
0.0312927
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
5.688
Y
N
N
N
N
N
CITY OF BUENOS AIRES
5299007MC8RF52X0ON96
CITY OF BUENOS AIRES UNSECURED 02/28 VAR
ACI0Z1129
155766380.000000
PA
591707.400000
0.0132356
Long
DBT
MUN
AR
N
2
2028-02-22
Floating
45.236
N
N
N
N
N
N
CITY OF CHICAGO
T5UYO5SYLC8K73MJQX30
CHICAGO IL CHI 01/29 FIXED 7.045
167486M89
60000.000000
PA
USD
61120.760000
0.0013672
Long
DBT
MUN
US
N
2
2029-01-01
Fixed
7.045
N
N
N
N
N
N
CITY OF CHICAGO
T5UYO5SYLC8K73MJQX30
CHICAGO IL CHI 01/29 FIXED 7.045
167486M97
420000.000000
PA
USD
446814.940000
0.0099946
Long
DBT
MUN
US
N
2
2029-01-01
Fixed
7.045
N
N
N
N
N
N
CITY OF CHICAGO
T5UYO5SYLC8K73MJQX30
CHICAGO IL CHI 01/42 FIXED 7.75
167486D22
165000.000000
PA
USD
176823.260000
0.0039553
Long
DBT
MUN
US
N
2
2042-01-01
Fixed
7.75
N
N
N
N
N
N
CLAVEAU RE LTD
N/A
CLAVEAU RE LTD UNSECURED 144A 07/28 VAR
182896AA8
8500000.000000
PA
USD
8276875.000000
0.1851412
Long
DBT
CORP
BM
N
2
2028-07-08
Floating
17.25
N
N
N
N
N
N
CLEAR CHANNEL OUTDOOR HOLDINGS INC
N/A
CLEAR CHANNEL OUTDOOR HLDNGS I TERM LOAN B
18452RAD7
9677620.090000
PA
USD
8331830.890000
0.1863705
Long
LON
CORP
US
N
2
2026-08-21
Floating
4.7389
N
N
N
N
N
N
COLOGIX CANADIAN ISSUER LP 2022-1CAN
N/A
COLOGIX DATA CENTERS ISSUER LL CLGIX 2022 1CAN C 144A
19521DAN1
2000000.000000
PA
1460720.940000
0.0326741
Long
ABS-O
CORP
CA
N
2
2052-01-25
Fixed
7.74
N
N
N
N
N
N
COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR
N/A
COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR F 144A
12564NAQ5
14200000.000000
PA
USD
13069874.540000
0.2923533
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
4.741
N
N
N
N
N
N
COLT 2022-5 MORTGAGE LOAN TRUST
N/A
COLT FUNDING LLC COLT 2022 5 M1 144A
19688LAD4
4900000.000000
PA
USD
4384849.770000
0.0980825
Long
ABS-MBS
CORP
US
N
2
2067-03-25
Variable
4.56967
N
N
N
N
N
N
COMETE HOLDING
N/A
COMEXPOSIUM 2019 EUR TERM LOAN B
964NDFII9
45356520.820000
PA
39272791.160000
0.8784730
Long
LON
CORP
FR
N
2
2026-03-28
Fixed
4
N
N
Y
N
N
N
COMM 2021-2400 MORTGAGE TRUST
N/A
COMM MORTGAGE TRUST COMM 2021 2400 E 144A
20048FAN8
10004200.000000
PA
USD
9573280.090000
0.2141398
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
5.475
N
N
N
N
N
N
COMM 2021-2400 MORTGAGE TRUST
N/A
COMM MORTGAGE TRUST COMM 2021 2400 F 144A
20048FAQ1
5000000.000000
PA
USD
4824790.500000
0.1079233
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
6.325
N
N
N
N
N
N
COMM 2021-2400 MORTGAGE TRUST
N/A
COMM MORTGAGE TRUST COMM 2021 2400 G 144A
20048FAS7
3360000.000000
PA
USD
3221326.750000
0.0720562
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
7.325
N
N
N
N
N
N
COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1
N/A
COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM
20173WAH1
6904370.910000
PA
USD
1182602.050000
0.0264530
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
6.67299
N
N
N
N
N
N
COMMRCL MRTG LEASE-BACKED CRT 2001-CMLB
N/A
COMMERCIAL MORTGAGE LEASE BACK CMLBC 2001 CMLB H 144A
201736AM7
6007000.000000
PA
USD
5893355.370000
0.1318254
Long
ABS-MBS
CORP
US
N
2
2031-06-20
Variable
6.25
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2021-R01
N/A
FANNIE MAE CAS CAS 2021 R01 1B2 144A
20754RAJ5
3600000.000000
PA
USD
3028151.160000
0.0677352
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
6.92566
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2021-R03
N/A
FANNIE MAE CAS CAS 2021 R03 1B1 144A
20754AAF0
2600000.000000
PA
USD
2194199.020000
0.0490809
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
3.67566
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2021-R03
N/A
FANNIE MAE CAS CAS 2021 R03 1B2 144A
20754AAJ2
1200000.000000
PA
USD
990291.960000
0.0221513
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
6.42566
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2022-R04
N/A
FANNIE MAE CAS CAS 2022 R04 1B1 144A
20753YAF9
1400000.000000
PA
USD
1312586.800000
0.0293606
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
6.17566
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2022-R04
N/A
FANNIE MAE CAS CAS 2022 R04 1B2 144A
20753YAL6
3400000.000000
PA
USD
3137966.420000
0.0701916
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
10.4257
N
N
N
N
N
N
CONSECO FINANCE SECUR CORP 2002-1
N/A
CONSECO FINANCE SECURITIZATION CNF 2002 1 M2
20846QJT6
6480000.000000
PA
USD
6341429.090000
0.1418482
Long
ABS-O
CORP
US
N
2
2033-12-01
Fixed
9.546
N
N
N
N
N
N
CONSECO FINANCE SECUR CORP 2002-2
N/A
CONSECO FINANCE SECURITIZATION CNF 2002 2 M2
20846QJZ2
9709644.480000
PA
USD
8800541.150000
0.1968548
Long
ABS-O
CORP
US
N
2
2033-03-01
Variable
9.163
Y
N
N
N
N
N
CONSECO FINANCE SECURITIZATION 2000-2
N/A
CONSECO FINANCE SECURITIZATION CNF 2000 2 A5
20846QCQ9
5630274.160000
PA
USD
1407014.520000
0.0314728
Long
ABS-O
CORP
US
N
2
2030-12-01
Fixed
8.85
N
N
N
N
N
N
CONSECO FINANCE SECURITIZATION 2000-3
N/A
CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A
20846QDJ4
4607316.970000
PA
USD
1454517.530000
0.0325354
Long
ABS-O
CORP
US
N
2
2030-12-01
Variable
8.26
N
N
N
N
N
N
CONSECO FINANCE SECURITIZATION 2000-5
N/A
CONSECO FINANCE SECURITIZATION CNF 2000 5 A6
20846QEQ7
1466103.380000
PA
USD
526642.950000
0.0117802
Long
ABS-O
CORP
US
N
2
2031-05-01
Fixed
7.96
N
N
N
N
N
N
CONSECO FINANCE SECURITIZATIONS CORP.
N/A
CONSECO FINANCE SECURITIZATION CNF 2000 6 A5
20846QFQ6
402036.300000
PA
USD
409483.540000
0.0091595
Long
ABS-O
CORP
US
N
2
2031-09-01
Variable
7.77
N
N
N
N
N
N
CONSECO FINANCIAL SECURITIZATIONS 2000-1
N/A
CONSECO FINANCE SECURITIZATION CNF 2000 1 A5
20846QBP2
2914060.560000
PA
USD
756110.130000
0.0169130
Long
ABS-O
CORP
US
N
2
2029-09-01
Fixed
8.06
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO JR SUBORDINA 12/49 VAR
369604BQ5
2372000.000000
NS
USD
2087241.400000
0.0466884
Long
EP
CORP
US
N
2
N
N
N
CONSTELLATION OIL SERVICES HOLDING SA
5493005YJTU769NW5I10
CONSTELLATION OIL SA SR SECURED 12/26 3
21038MAM5
223136.000000
PA
USD
164818.700000
0.0036867
Long
DBT
CORP
LU
N
3
2026-12-31
Fixed
3
N
N
Y
N
N
N
CORESTATE CAPITAL HOLDING SA
529900GNB86RB7HRX793
CORESTATE CAPITAL HOLD SR UNSECURED REGS 04/23 3.5
ACI11QWM1
1300000.000000
PA
307000.830000
0.0068671
Long
DBT
CORP
LU
N
2
2023-04-15
Fixed
3.5
N
N
N
N
N
N
CORESTATE CAPITAL HOLDING SA
529900GNB86RB7HRX793
CORESTATE CAPITAL HOLD SR UNSECURED REGS 11/22 1.375
ACI0Z2W07
9900000.000000
PA
2698979.510000
0.0603721
Long
DBT
CORP
LU
N
2
2022-11-28
Fixed
1.375
N
N
N
Y
N
CORESTATE CAPITAL HOLDING SA
CORESTATE CAPITAL HOLDING S.
EUR
XXXX
N
N
N
CORK STREET CLO DESIGNATED ACTIVITY CO 1A
N/A
CORK STREET CLO DESIGNATED ACT CRKST 1A SUB 144A
ACI0QPJC5
2101215.860000
PA
471234.610000
0.0105408
Long
ABS-CBDO
CORP
IE
N
2
2028-11-27
Fixed
0
N
N
N
N
N
N
CORONADO CDO LTD 1A
N/A
CORONADO CDO LTD CORON 1A B1 144A
21976RAB2
24839081.890000
PA
USD
12280193.700000
0.2746894
Long
ABS-CBDO
CORP
KY
N
2
2038-09-04
Floating
3.11071
Y
N
N
N
N
N
CORONADO CDO LTD 1A
N/A
CORONADO CDO LTD CORON 1A B2 144A
21976RAE6
3935542.840000
PA
USD
2316610.070000
0.0518191
Long
ABS-CBDO
CORP
KY
N
2
2038-09-04
Fixed
6
Y
N
N
N
N
N
CORSAIR INTERNATIONAL LIMITED
213800F3PS68ENYG4O41
CORSAIR INTERNATIONAL SECURED 144A 01/29 VAR
ACI236434
2100000.000000
PA
2055449.130000
0.0459773
Long
DBT
CORP
JE
N
2
2029-01-28
Floating
5.2
N
N
N
N
N
N
CORSAIR INTERNATIONAL LIMITED
213800F3PS68ENYG4O41
CORSAIR INTERNATIONAL SR UNSECURED 144A 01/27 VAR
ACI236343
4900000.000000
PA
4847397.520000
0.1084290
Long
DBT
CORP
JE
N
2
2027-01-28
Floating
4.85
N
N
N
N
N
N
COSAINT RE PTE LTD
N/A
COSAINT RE PTE LTD BONDS 144A 04/28 VAR
22112CAA0
600000.000000
PA
USD
590100.000000
0.0131996
Long
DBT
CORP
SG
N
2
2028-04-03
Floating
10.412
N
N
N
N
N
N
COTY INC
549300BO9IWPF3S48F93
COTY INC SR SECURED 144A 04/26 3.875
ACI1YJLH4
9600000.000000
PA
8925515.910000
0.1996503
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.875
N
N
N
N
N
N
COTY INC
549300BO9IWPF3S48F93
COTY INC TERM LOAN B
22207EBG8
17865875.440000
PA
USD
17081456.310000
0.3820863
Long
LON
CORP
US
N
2
2025-04-07
Floating
3.4097
N
N
N
N
N
N
COTY INC, HFC PRESTIGE PRODUCTS INC AND HFC PRESTIGE INTERNATIONAL US LLC
N/A
COTY/HFC PRESTIGE/INT US SR SECURED 144A 01/29 4.75
222070AG9
2100000.000000
PA
USD
1806871.500000
0.0404170
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.75
N
N
N
N
N
N
COUNTRY GARDEN HOLDINGS COMPANY LIMITED
549300MGHLPT1EFHGF84
COUNTRY GARDEN HLDGS SR SECURED REGS 01/24 8
G24524AV5
200000.000000
PA
USD
133000.000000
0.0029750
Long
DBT
CORP
KY
N
2
2024-01-27
Fixed
8
N
N
N
N
N
N
COUNTRY GARDEN HOLDINGS COMPANY LIMITED
549300MGHLPT1EFHGF84
COUNTRY GARDEN HLDGS SR SECURED REGS 07/26 2.7
ACI1TXND6
200000.000000
PA
USD
93913.390000
0.0021007
Long
DBT
CORP
KY
N
2
2026-07-12
Fixed
2.7
N
N
N
N
N
N
COUNTRY GARDEN HOLDINGS COMPANY LIMITED
549300MGHLPT1EFHGF84
COUNTRY GARDEN HLDGS SR SECURED REGS 08/30 4.8
ACI1PP9T8
200000.000000
PA
USD
85294.530000
0.0019079
Long
DBT
CORP
KY
N
2
2030-08-06
Fixed
4.8
N
N
N
N
N
N
COUNTRY GARDEN HOLDINGS COMPANY LIMITED
549300MGHLPT1EFHGF84
COUNTRY GARDEN HLDGS SR SECURED REGS 09/25 6.15
ACI1FGXS4
1000000.000000
PA
USD
540500.000000
0.0120902
Long
DBT
CORP
KY
N
2
2025-09-17
Fixed
6.15
N
N
N
N
N
N
COUNTRY GARDEN HOLDINGS COMPANY LIMITED
549300MGHLPT1EFHGF84
COUNTRY GARDEN HLDGS SR SECURED REGS 10/25 3.125
ACI1S6K23
1200000.000000
PA
USD
591000.000000
0.0132198
Long
DBT
CORP
KY
N
2
2025-10-22
Fixed
3.125
N
N
N
N
N
N
COUNTRY GARDEN HOLDINGS COMPANY LIMITED
549300MGHLPT1EFHGF84
COUNTRY GARDEN HLDGS SR SECURED REGS 10/30 3.875
ACI1S6R75
800000.000000
PA
USD
338000.000000
0.0075605
Long
DBT
CORP
KY
N
2
2030-10-22
Fixed
3.875
N
N
N
N
N
N
COUNTRYWIDE ALT LN TRUST 2005-1CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A1
12667F2Q7
293454.120000
PA
USD
164448.870000
0.0036785
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALT LOAN TRUST 2006-36T2
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7
02146XAF5
507169.670000
PA
USD
260421.030000
0.0058252
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
6.25
Y
N
N
N
N
N
COUNTRYWIDE ALT LOAN TRUST 2006-36T2
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A5
02146XAW8
153613.270000
PA
USD
78892.370000
0.0017647
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALT LOAN TRUST 2006-41CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 41CB 1A4
02149CAD3
8240643.880000
PA
USD
5292981.220000
0.1183960
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
5.75
Y
N
N
N
N
N
COUNTRYWIDE ALT LOAN TRUST 2006-OA16
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4C
23242GAZ7
113180.590000
PA
USD
88603.820000
0.0019819
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
2.30357
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-24
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 24 1A1
12667GNS8
5513218.750000
PA
USD
4627920.970000
0.1035196
Long
ABS-MBS
CORP
US
N
2
2035-07-20
Floating
1.7859
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A5
12668AFL4
340925.760000
PA
USD
238343.790000
0.0053314
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.5
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-51
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1
12668ACP8
100908.820000
PA
USD
93213.140000
0.0020850
Long
ABS-MBS
CORP
US
N
2
2035-11-20
Floating
2.22629
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2
12668AKQ7
1502166.810000
PA
USD
1033514.500000
0.0231182
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.5
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-56
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 1A1
12668AGN9
8745794.690000
PA
USD
8150780.670000
0.1823206
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
3.08357
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A8
12668AUX1
734036.830000
PA
USD
452514.990000
0.0101221
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.5
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-62
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 1X2
12668ATS4
8560881.930000
PA
USD
307998.270000
0.0068895
Long
ABS-O
CORP
US
N
2
2035-12-25
Floating
0.802233
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-62
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2X1
12668ATW5
3607722.770000
PA
USD
222705.090000
0.0049816
Long
ABS-O
CORP
US
N
2
2035-12-25
Floating
1.72068
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 64CB 2A1
12668AA62
325028.020000
PA
USD
77035.960000
0.0017232
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 1A8
12668AU52
67829.600000
PA
USD
64113.050000
0.0014341
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
5.5
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 2A3
12668AV51
140488.310000
PA
USD
90957.990000
0.0020346
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
5.75
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-J7
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J7 1A6
12667GF73
758513.010000
PA
USD
471321.020000
0.0105427
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.5
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1
021467AA3
320030.990000
PA
USD
184798.660000
0.0041337
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.5
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 20CB A5
02147MAE1
7262413.450000
PA
USD
1385597.310000
0.0309937
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
5.52643
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 2A5
02146VAM4
8333447.600000
PA
USD
3275984.920000
0.0732788
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Fixed
6.5
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-40T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 40T1 1A2
02148KAB0
929160.230000
PA
USD
710000.510000
0.0158816
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A7
02149JAG1
1686048.220000
PA
USD
731318.020000
0.0163585
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-4CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 4CB 1A6
12668BPS6
188991.440000
PA
USD
114638.310000
0.0025643
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A4
12668BMX8
490594.360000
PA
USD
266966.340000
0.0059716
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A1
12668BRW5
2849841.950000
PA
USD
2502773.380000
0.0559833
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
5.5
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A5
12668BSA2
925143.950000
PA
USD
812475.390000
0.0181738
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
5.5
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 2A6
12668BSL8
1198907.210000
PA
USD
399388.240000
0.0089337
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.97357
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-9T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 9T1 A3
12668BVC4
148923.950000
PA
USD
76650.400000
0.0017146
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
5.75
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-OA14
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA14 3A1
02146SAG4
2653116.850000
PA
USD
2283987.640000
0.0510893
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
1.3259
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-OA21
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA21 A1
23245QAA7
458166.350000
PA
USD
370909.440000
0.0082967
Long
ABS-MBS
CORP
US
N
2
2047-03-20
Floating
1.80229
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-OC1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC1 1A1
12668BJD6
8710927.620000
PA
USD
8570314.960000
0.1917050
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.08357
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A27
02150GBD9
666969.340000
PA
USD
801478.450000
0.0179279
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
29.2586
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-26R
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 26R A1
02152JAA8
5119056.010000
PA
USD
1264524.060000
0.0282855
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
7
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A8
02149VAH2
3822832.510000
PA
USD
2076163.130000
0.0464406
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A31
02150EBG7
1591607.340000
PA
USD
979188.830000
0.0219030
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
5.5
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A9
02147BAJ4
5276241.810000
PA
USD
2752975.720000
0.0615799
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-AL1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 AL1 A1
02150NAA1
568755.990000
PA
USD
469061.880000
0.0104922
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.87357
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 3A1
02150QAG1
90729.740000
PA
USD
78279.400000
0.0017510
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
2.94987
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY6 A1
02151JAA9
907568.830000
PA
USD
807450.920000
0.0180615
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
2.04357
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-J1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A3
02149MAR0
2633218.800000
PA
USD
1283485.090000
0.0287096
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-J1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A8
02149MAW9
8546038.880000
PA
USD
4165515.400000
0.0931763
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA4 A2
02150DAB1
5506188.940000
PA
USD
3114185.940000
0.0696596
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
2.06357
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A2
02150PAC2
6155355.700000
PA
USD
5102738.170000
0.1141405
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
2.12357
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TRUST 2005-41
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 41 2A2
12667GS20
2528425.720000
PA
USD
1583103.220000
0.0354116
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.30357
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A3
12667GLD3
65820.210000
PA
USD
68538.220000
0.0015331
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
15.3352
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY10 2A1
12668BUH4
2941075.730000
PA
USD
2675262.780000
0.0598416
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
3.09575
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A4
02147DAU5
6125551.700000
PA
USD
5500942.670000
0.1230478
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
2.00357
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A15
12668ABM6
126600.920000
PA
USD
97941.240000
0.0021908
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Fixed
5.5
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A9
12667G4Q3
518499.260000
PA
USD
363015.440000
0.0081201
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.32357
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 6A1
12668AJU0
76302.820000
PA
USD
72617.070000
0.0016243
Long
ABS-MBS
CORP
US
N
2
2032-09-25
Fixed
6.5
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J1 1A3
12668BJZ7
877133.060000
PA
USD
686204.880000
0.0153494
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.5
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A4
23245LAD2
477625.260000
PA
USD
249427.900000
0.0055793
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A11
12668BFL2
936259.290000
PA
USD
650877.250000
0.0145591
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.5
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A13
02146TAN7
837646.840000
PA
USD
435211.060000
0.0097350
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
1.97357
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A23
02146TAY3
243694.300000
PA
USD
159975.730000
0.0035784
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-39CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 39CB 1A20
02148JAU1
667676.680000
PA
USD
607168.610000
0.0135814
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A3
02151BAT5
7760308.730000
PA
USD
3355194.310000
0.0750506
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A5
02148FAE5
1089776.340000
PA
USD
979512.230000
0.0219102
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
5.75
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 1A
021455AA8
8180479.970000
PA
USD
7661100.480000
0.1713672
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.98357
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 2A3
021455AE0
8566399.650000
PA
USD
7317949.700000
0.1636915
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
2.14357
N
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERT 2007-BC2
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A
12669QAA7
19833830.350000
PA
USD
20016964.040000
0.4477492
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.82357
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERT 2007-SD1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SD1 A1 144A
12669TAA1
1058788.390000
PA
USD
910027.770000
0.0203559
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Floating
2.52357
N
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERT 2007-SEA1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SEA1 1A1 144A
23248AAA9
6019534.590000
PA
USD
4728587.610000
0.1057714
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
2.17357
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTS 2006-BC1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC1 M3
126670XT0
8762000.020000
PA
USD
7542942.080000
0.1687242
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.20857
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTS 2006-BC5
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A
12666SAA6
12992142.280000
PA
USD
12749777.760000
0.2851932
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
1.90357
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2005-10
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 10 AF6
126670AF5
4069.350000
PA
USD
4019.820000
0.0000899
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
4.915
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2005-7
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 7 MV7
1266732N1
3132121.200000
PA
USD
2109382.460000
0.0471837
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
3.64857
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-12
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A
12667AAA4
9138976.080000
PA
USD
8307500.160000
0.1858262
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.88357
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-17
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 17 2A3
12666VAD3
7655260.040000
PA
USD
6743634.930000
0.1508449
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Floating
2.10357
Y
N
N
N
N
N
AMERICAN AGCREDIT CORPORATION
N/A
AMER AGCREDIT ACA JR SUBORDINA 144A VAR
02369GAA3
10000000.000000
NS
USD
9187500.000000
0.2055105
Long
EP
CORP
US
N
2
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-8
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 M1
045427AE1
35850578.580000
PA
USD
29682414.830000
0.6639507
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
2.01357
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-9
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 9 1AF3
12666RAC4
767489.770000
PA
USD
773214.550000
0.0172956
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Fixed
5.859
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-IM1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 IM1 A2
126670SP4
423021.550000
PA
USD
368023.210000
0.0082321
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.10357
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-S6
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 S6 A6
126684AF6
40.990000
PA
USD
40.890000
0.0000009
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
5.657
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-SD4
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A
232433AA0
306002.650000
PA
USD
236276.890000
0.0052852
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
2.30357
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-4
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A3
12668WAC1
6373617.270000
PA
USD
6185299.190000
0.1383558
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Floating
5.714
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-ABC1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 ABC1 A2
23242NAB5
1001407.370000
PA
USD
1136517.450000
0.0254222
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.94357
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTS 2005-13
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 13 MV3
126670HL5
15850000.000000
PA
USD
13130105.130000
0.2937006
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.35857
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 1A
126670KJ6
17299429.500000
PA
USD
16632489.780000
0.3720436
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.10357
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2004-12
N/A
COUNTRYWIDE HOME LOANS CWHL 2004 12 11A1
12669FN58
3037.110000
PA
USD
3047.720000
0.0000682
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
3.57098
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2004-J8
N/A
COUNTRYWIDE HOME LOANS CWHL 2004 J8 3A8
12669GDX6
53329.640000
PA
USD
51774.930000
0.0011581
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Fixed
5.5
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-11
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1
12669GUX7
146167.470000
PA
USD
108455.240000
0.0024260
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.22357
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-15
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 15 A7
12669GR37
31287.590000
PA
USD
19902.770000
0.0004452
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.5
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-22
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 22 2A1
126694LU0
859305.750000
PA
USD
771907.820000
0.0172664
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.48665
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-24
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 24 A22
126694KN7
20990.320000
PA
USD
13126.660000
0.0002936
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-24
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 24 A7
126694JX7
25413.010000
PA
USD
16206.260000
0.0003625
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.5
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-HYB3
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 HYB3 1A1
12669GA50
19636.990000
PA
USD
19266.660000
0.0004310
Long
ABS-MBS
CORP
US
N
2
2035-06-20
Floating
2.89197
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-HYB4
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 HYB4 2A1
12669GM24
32671.480000
PA
USD
30752.730000
0.0006879
Long
ABS-MBS
CORP
US
N
2
2035-08-20
Floating
2.97336
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-HYB7
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 HYB7 6A1
126694MH8
5708190.230000
PA
USD
5171353.780000
0.1156754
Long
ABS-MBS
CORP
US
N
2
2035-11-20
Variable
2.78358
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2006-3
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2
126694YN2
567161.780000
PA
USD
327445.410000
0.0073245
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.30357
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2006-HYB3
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 4A1B
1266944K1
949502.300000
PA
USD
800955.890000
0.0179162
Long
ABS-MBS
CORP
US
N
2
2036-05-20
Floating
2.77248
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2006-HYB5
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 3A1A
170256AK7
2633226.610000
PA
USD
2374844.940000
0.0531217
Long
ABS-MBS
CORP
US
N
2
2036-09-20
Variable
2.98117
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2007-10
N/A
COUNTRYWIDE HOME LOANS CWHL 2007 10 A18
12545CAT7
144555.750000
PA
USD
83065.690000
0.0018581
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2007-11
N/A
COUNTRYWIDE HOME LOANS CWHL 2007 11 A1
12544LAA9
3201526.370000
PA
USD
1791830.920000
0.0400805
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2007-13
N/A
COUNTRYWIDE HOME LOANS CWHL 2007 13 A14
17025JAP8
1421.950000
PA
USD
850.230000
0.0000190
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2007-HY3
N/A
COUNTRYWIDE HOME LOANS CWHL 2007 HY3 4A1
12544WAG2
1349412.200000
PA
USD
1361351.800000
0.0304514
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
3.64217
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2007-HY5
N/A
COUNTRYWIDE HOME LOANS CWHL 2007 HY5 1A1
12544BAA1
341239.170000
PA
USD
285058.030000
0.0063763
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Floating
3.20741
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2007-HYB1
N/A
COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 1A1
22239EAA4
683873.780000
PA
USD
543675.420000
0.0121612
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
3.30527
Y
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
CREDIT AGRICOLE SA JR SUBORDINA REGS 12/49 VAR
F22797RT7
300000.000000
PA
USD
296809.500000
0.0066392
Long
DBT
CORP
FR
N
2
2024-01-23
Floating
7.875
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2001-HE8
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE8 M1
22540AB64
610319.920000
PA
USD
572468.000000
0.0128052
Long
ABS-MBS
CORP
US
N
2
2031-02-25
Floating
2.67357
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR
225401AJ7
2600000.000000
PA
USD
2405000.000000
0.0537962
Long
DBT
CORP
CH
N
2
2023-07-17
Floating
7.5
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR
225401AK4
960000.000000
PA
USD
834239.160000
0.0186607
Long
DBT
CORP
CH
N
2
2025-09-12
Floating
7.25
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA REGS 12/99 VAR
H3698DBW3
600000.000000
PA
USD
555000.000000
0.0124145
Long
DBT
CORP
CH
N
2
2023-07-17
Floating
7.5
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2007-5R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5R A5
12640QAE3
11225805.850000
PA
USD
3429159.260000
0.0767051
Long
ABS-MBS
CORP
US
N
2
2036-07-26
Fixed
6.5
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2007-C2
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 C 144A
22545YAL5
10300000.000000
PA
USD
12328697.270000
0.2757743
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
5.79208
Y
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2009-16R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 10A3 144A
12642YGQ1
5915659.380000
PA
USD
5287366.070000
0.1182704
Long
ABS-MBS
CORP
US
N
2
2037-07-26
Floating
3.36733
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2009-16R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 11A3 144A
12642YGT5
14481799.920000
PA
USD
3819104.070000
0.0854276
Long
ABS-MBS
CORP
US
N
2
2036-08-26
Fixed
7
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2009-1R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2009 1R 2A2 144A
12640XAG3
7763446.520000
PA
USD
7360933.560000
0.1646530
Long
ABS-MBS
CORP
US
N
2
2035-04-26
Floating
3.0505
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERT 2006
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 3 1A4A
225470M67
4991412.140000
PA
USD
2950837.500000
0.0660058
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
6.396
Y
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-12R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2009 12R 16A1 144A
12642MBQ2
2939815.210000
PA
USD
1436085.320000
0.0321231
Long
ABS-MBS
CORP
US
N
2
2036-08-27
Fixed
7
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-5R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2009 5R 2A4 144A
12641TAT3
3648204.980000
PA
USD
3536461.190000
0.0791053
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
2.71485
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-9R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2009 9R 6A2 144A
12642HCW9
10613323.450000
PA
USD
10077641.420000
0.2254216
Long
ABS-MBS
CORP
US
N
2
2036-10-26
Floating
3.01024
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-4R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2011 4R 6A2 144A
12645KES6
2404744.780000
PA
USD
1805613.440000
0.0403888
Long
ABS-MBS
CORP
US
N
2
2036-05-27
Variable
3.3164
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-10R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2012 10R 3A2 144A
12646NAQ7
4483657.390000
PA
USD
3761080.130000
0.0841297
Long
ABS-MBS
CORP
US
N
2
2036-05-26
Variable
3.36087
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-11R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2012 11R 2A2 144A
12646QAG2
3169664.160000
PA
USD
2266517.170000
0.0506986
Long
ABS-MBS
CORP
US
N
2
2037-12-29
Floating
2.47721
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-4R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2012 4R 5A2 144A
12646DAY2
34799722.870000
PA
USD
15133045.770000
0.3385034
Long
ABS-MBS
CORP
US
N
2
2047-02-27
Variable
2.23652
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-7R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2012 7R 3A2 144A
12646JBN2
17521578.300000
PA
USD
9577823.850000
0.2142414
Long
ABS-MBS
CORP
US
N
2
2047-09-26
Variable
3.22445
N
N
N
N
N
N
CREDIT SUISSE MRTG CAPITAL CERT 2006-4
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 3A1
12637HAQ1
2415796.700000
PA
USD
1074180.140000
0.0240278
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.5
Y
N
N
N
N
N
CREDIT SUISSE MRTG CAPITAL CERT 2006-4
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 9A1
12637HAY4
318534.520000
PA
USD
145475.290000
0.0032541
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.5
Y
N
N
N
N
N
CREDIT SUISSE MRTG CAPITAL CERT 2006-6
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A12
22942JBG7
136590.020000
PA
USD
82062.660000
0.0018356
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6
N
N
N
N
N
N
CREDIT SUISSE MRTG CAPITAL CERT 2006-6
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A4
22942JAD5
1282704.550000
PA
USD
770642.990000
0.0172381
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6
N
N
N
N
N
N
CREDIT SUISSE MRTG CAPITAL CERT 2006-6
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A6
22942JAF0
151888.520000
PA
USD
91253.920000
0.0020412
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6
N
N
N
N
N
N
CREDIT SUISSE MRTG CAPITAL CERT 2006-6
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A8
22942JAH6
283544.340000
PA
USD
170356.330000
0.0038106
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6
N
N
N
N
N
N
CREDIT SUISSE MRTG CAPITAL CERT 2006-6
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 2A1
22942JAM5
407410.740000
PA
USD
61030.410000
0.0013652
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
2.22357
Y
N
N
N
N
N
CROMWELL EREIT LUX FINCO SARL
213800VKBKU9G6DF2O19
CROMWELL ERIET LUX FINCO SARL EUR TERM LOAN A
937JHBII7
2000000.000000
PA
1896690.130000
0.0424261
Long
LON
CORP
LU
N
3
2024-11-21
Floating
1.5
N
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2002-10
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 10 2A1
22540VQ47
762668.030000
PA
USD
778834.610000
0.0174214
Long
ABS-MBS
CORP
US
N
2
2032-05-25
Fixed
7.5
N
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2005-12
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 6A1
225470RY1
246937.950000
PA
USD
175067.300000
0.0039160
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
6
Y
N
N
N
N
N
CSAB MORTGAGE BACKED TR 2007-1
N/A
CSAB MORTGAGE BACKED TRUST CSAB 2007 1 2A5
12629EBB0
2175627.730000
PA
USD
1866459.280000
0.0417499
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
5.5
Y
N
N
N
N
N
CSMC 2021-ADV TRUST
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV D 144A
12660WAL9
15850000.000000
PA
USD
14941091.260000
0.3342096
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
4.225
N
N
N
N
N
N
CSMC 2021-ADV TRUST
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV E 144A
12660WAN5
13700000.000000
PA
USD
12884095.130000
0.2881977
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
5.225
N
N
N
N
N
N
CSMC SERIES 2009-14R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2009 14R 1A9 144A
12639GAJ7
13113459.240000
PA
USD
9960367.310000
0.2227984
Long
ABS-MBS
CORP
US
N
2
2037-05-26
Fixed
5.75
N
N
N
N
N
N
CSMC SERIES 2011-6R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2011 6R 4A2 144A
12645QCY2
2409204.090000
PA
USD
2348259.180000
0.0525270
Long
ABS-MBS
CORP
US
N
2
2037-04-28
Floating
3.28139
N
N
N
N
N
N
CSMC SERIES 2014-9R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2014 9R 3A2 144A
12648UAL0
8379151.560000
PA
USD
7418425.690000
0.1659390
Long
ABS-MBS
CORP
US
N
2
2037-11-27
Floating
3.34814
N
N
N
N
N
N
CSMC SERIES 2015-8R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2015 8R 3A2 144A
12650NAQ0
7569160.420000
PA
USD
7042474.770000
0.1575295
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Floating
3.34814
N
N
N
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC CLASS A COMMON STOCK
45174J509
2021190.000000
NS
USD
15947189.100000
0.3567145
Long
EC
CORP
US
N
1
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507
126650BS8
1852778.790000
PA
USD
2021284.820000
0.0452131
Long
DBT
CORP
US
N
2
2032-01-10
Fixed
7.507
N
N
N
N
N
N
DBGS 2021-W52 MORTGAGE TRUST
N/A
DBGS MORTGAGE TRUST DBGS 2021 W52 E 144A
23308LAN4
26404000.000000
PA
USD
25232129.750000
0.5644046
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
4.475
N
N
N
N
N
N
DBUBS MORTGAGE TRUST 2011-LC1A
N/A
DBUBS MORTGAGE TRUST DBUBS 2011 LC1A H 144A
233050AM5
9979774.230000
PA
USD
3542819.850000
0.0792475
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Fixed
4.652
N
N
N
N
N
N
DEBUSSY DTC 1A
N/A
DEBUSSY DTC DBSSY 1A B 144A
ACI06HWX4
15000000.000000
PA
5954424.280000
0.1331915
Long
ABS-MBS
CORP
GB
N
2
2025-07-12
Fixed
8.25
N
N
N
N
N
N
DELUXE CORPORATION
KWGNKB8TX9LE5TV29231
DELUXE CORP COMPANY GUAR 144A 06/29 8
248019AU5
7036000.000000
PA
USD
5745105.080000
0.1285093
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
8
N
N
N
N
N
N
DEUTSCHE ALT-A SEC INC MTGE LO 2005-6
N/A
DEUTSCHE ALT A SECURITIES INC DBALT 2005 6 2A3
251510KH5
383964.150000
PA
USD
341646.350000
0.0076421
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.5
Y
N
N
N
N
N
DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3
N/A
DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB3 A1
25151EAA1
42021.440000
PA
USD
36905.770000
0.0008255
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
6.25
Y
N
N
N
N
N
DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1
N/A
DEUTSCHE ALT A SECURITIES INC DBALT 2007 AB1 A1
25151WAA1
4296430.960000
PA
USD
3020176.140000
0.0675568
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
1.92357
N
N
N
N
N
N
DEUTSCHE ALT-A SECURITIES INC 2007-OA1
N/A
DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA1 A1
25151VAA3
338113.060000
PA
USD
216986.960000
0.0048537
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
1.77357
N
N
N
N
N
N
DEUTSCHE MTGE SEC INC 2004-1
N/A
DEUTSCHE MORTGAGE SECURITIES, DMSI 2004 1 1A1
251563CG5
69618.470000
PA
USD
65857.620000
0.0014731
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Fixed
5.5
N
N
N
N
N
N
INTELSAT SA
549300YV2L21F4K80V46
INTELSAT EMERGENCE SA COMMON STOCK
000000000
1751422.000000
NS
USD
49039816.000000
1.0969465
Long
EC
CORP
LU
Y
3
N
N
N
DIAMOND INFRASTRUCTURE FUNDING LLC 2021 1A
N/A
DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A C 144A
25265LAE0
1000000.000000
PA
USD
853951.300000
0.0191016
Long
ABS-O
CORP
US
N
2
2049-04-15
Fixed
3.475
N
N
N
N
N
N
DIRECTV FINANCING LLC
N/A
DIRECTV FINANCING LLC TERM LOAN
25460HAB8
3730000.000000
PA
USD
3449582.330000
0.0771619
Long
LON
CORP
US
N
2
2027-08-02
Floating
6.6661
N
N
N
N
N
N
DISH DBS CORPORATION
N/A
DISH DBS CORP SR SECURED 144A 12/26 5.25
25470XBE4
14340000.000000
PA
USD
11267153.100000
0.2520292
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25
N
N
N
N
N
N
DISH DBS CORPORATION
N/A
DISH DBS CORP SR SECURED 144A 12/28 5.75
25470XBF1
23800000.000000
PA
USD
17666383.000000
0.3951703
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75
N
N
N
N
N
N
DOLP TRUST 2021-NYC
N/A
DOLP TRUST DOLP 2021 NYC F 144A
23345LAN9
20000000.000000
PA
USD
15061088.000000
0.3368938
Long
ABS-MBS
CORP
US
N
2
2041-05-10
Variable
3.70378
N
N
N
N
N
N
DORIC NIMROD AIR ALPHA 2013-1 CLASS A PASS THROUGH TRUST
N/A
DORIC NIMROD 2013 1 CL A PASS THRU CE 144A 05/25 5.25
233283AA8
50257.030000
PA
USD
49599.690000
0.0011095
Long
DBT
CORP
GG
N
2
2025-05-30
Fixed
5.25
N
N
N
N
N
N
DORIC NIMROD AIR FINANCE ALPHA LTD 2012-1 CLASS A PASS THROUGH TRUST
N/A
DORIC NIMROD AIR 2012 1A PASS THRU CE 144A 11/24 5.125
258258AA0
29117.520000
PA
USD
28865.650000
0.0006457
Long
DBT
CORP
GG
N
2
2024-11-30
Fixed
5.125
N
N
N
N
N
N
DSLA MORTGAGE LOAN TRUST 2007-AR1
N/A
DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 2A1B
23333YAD7
221389.100000
PA
USD
248801.170000
0.0055653
Long
ABS-MBS
CORP
US
N
2
2047-04-19
Floating
1.79229
Y
N
N
N
N
N
DSSV SARL
N/A
DSSV DSSV PRL A
ACI1DSVZ6
9160373.170000
PA
9525696.050000
0.2130754
Long
ABS-MBS
CORP
LU
N
3
2024-10-15
Floating
3
N
N
N
N
N
N
DTEK FINANCE PLC
549300VBCR9V58ZYQ356
DTEK FINANCE PLC COMPANY GUAR REGS 12/27 7.5
ACI1XVP76
46834439.000000
PA
USD
11269536.880000
0.2520825
Long
DBT
CORP
GB
N
2
2027-12-31
Fixed
7.5
N
N
Y
N
N
N
DUFRY ONE BV
7245003K5MN9U7XW0808
DUFRY ONE BV COMPANY GUAR REGS 02/27 2
ACI1GQQH3
1837000.000000
PA
1449765.470000
0.0324291
Long
DBT
CORP
NL
N
2
2027-02-15
Fixed
2
N
N
N
N
N
N
DUFRY ONE BV
7245003K5MN9U7XW0808
DUFRY ONE BV COMPANY GUAR REGS 04/26 3.625
ACI1X5JS4
3000000.000000
PA
2785413.500000
0.0623055
Long
DBT
CORP
NL
N
2
2026-04-15
Fixed
3.625
N
N
N
N
N
N
DUKE FUNDING LTD 2004-6A
N/A
DUKE FUNDING LTD DUKEF 2004 6A A1S 144A
264407AA5
7559171.180000
PA
USD
771405.860000
0.0172552
Long
ABS-CBDO
CORP
KY
N
2
2039-04-08
Floating
1.48643
N
N
N
N
N
N
ECAF I LTD 2015-1A
N/A
ECAF LTD ECAF 2015 1A A1 144A
26827EAA3
1253346.850000
PA
USD
808423.760000
0.0180832
Long
ABS-O
CORP
KY
N
2
2040-06-15
Fixed
3.473
N
N
N
N
N
N
ECAF I LTD 2015-1A
N/A
ECAF LTD ECAF 2015 1A A2 144A
26827EAC9
8296986.540000
PA
USD
5247943.550000
0.1173886
Long
ABS-O
CORP
KY
N
2
2040-06-15
Fixed
4.947
N
N
N
N
N
N
ECUADOR GOVT
5299003Y2U5XK0A35H71
REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 VAR
ACI1Q6J43
2960000.000000
PA
USD
1952667.600000
0.0436782
Long
DBT
NUSS
EC
N
2
2030-07-31
Variable
5
N
N
N
N
N
N
EMC MORTGAGE LOAN TRUST 2004-AA
N/A
EMC MORTGAGE LOAN TRUST EMCM 2004 AA M2 144A
268668DE7
1711042.160000
PA
USD
1640477.070000
0.0366950
Long
ABS-MBS
CORP
US
N
2
2042-04-25
Floating
4.99857
N
N
N
N
N
N
ENCINA SPV
N/A
ENCINA PRIVATE CREDIT LLC NOTE
938DREII2
8919247.990000
PA
USD
8698841.240000
0.1945799
Long
DBT
CORP
US
N
3
2025-11-30
Floating
2.294
N
N
N
N
N
N
ENCORE CREDIT RECEIVABLES TR 2005-1
N/A
ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2
126673VQ2
420964.850000
PA
USD
410519.660000
0.0091827
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.31357
N
N
N
N
N
N
ENDURANCE INTERNATIONAL GROUP HOLDINGS INC
549300UTQC2651SB0W88
ENDURANCE INTERNATIONAL SR UNSECURED 144A 02/29 6
29279XAA8
6000000.000000
PA
USD
4339027.200000
0.0970575
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6
N
N
N
N
N
N
EQUINITI (ARMOR HOLDCO INC)
254900X6HLK0YPTHHF09
ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5
04625PAA9
5100000.000000
PA
USD
4223516.190000
0.0944737
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
8.5
N
N
N
N
N
N
ESKOM HOLDINGS SOC LTD
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD SR UNSECURED REGS 08/23 6.75
S25221AC6
53680000.000000
PA
USD
49519800.000000
1.1076830
Long
DBT
CORP
ZA
N
2
2023-08-06
Fixed
6.75
N
N
N
N
N
N
EUROMAX-V
N/A
EUROMAX EUMAX V A2 REGS
G3233MAD9
9282086.760000
PA
9397667.050000
0.2102116
Long
ABS-CBDO
CORP
IE
N
2
2095-11-10
Floating
0
N
N
N
N
N
N
EUROSAIL PLC 2007-1X
N/A
EUROSAIL PLC ESAIL 2007 1X D1A REGS
ACI05RDQ9
7067000.000000
PA
6367183.750000
0.1424243
Long
ABS-MBS
CORP
GB
N
2
2045-03-13
Floating
0.558
N
N
N
N
N
N
EUROSAIL PLC 2007-6NCX
N/A
EUROSAIL PLC ESAIL 2007 6NCX B1A REGS
G329A0AA2
15554163.700000
PA
17803686.680000
0.3982415
Long
ABS-MBS
CORP
GB
N
2
2045-09-13
Floating
3.1904
N
N
N
N
N
N
EUROSAIL PLC 2007-6NCX
N/A
EUROSAIL PLC ESAIL 2007 6NCX C1A REGS
G329A0AF1
11113345.420000
PA
12783727.950000
0.2859527
Long
ABS-MBS
CORP
GB
N
2
2045-09-13
Floating
3.8404
N
N
N
N
N
N
EUROSAIL PLC 2007-6NCX
N/A
EUROSAIL PLC ESAIL 2007 6NCX D1A REGS
G329A0AE4
9265829.420000
PA
11133659.520000
0.2490431
Long
ABS-MBS
CORP
GB
N
2
2045-09-13
Floating
5.4404
N
N
N
N
N
N
EUROSAIL-UK 2007-4BL PLC 4X
N/A
EUROSAIL PLC ESAIL 2007 4X C1A REGS
G3299TAD5
16970251.000000
PA
18747356.410000
0.4193500
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
2.8404
N
N
N
N
N
N
EUROSAIL-UK 2007-4BL PLC 4X
N/A
EUROSAIL PLC ESAIL 2007 4X D1A REGS
G3299TAJ2
10085869.500000
PA
10789189.130000
0.2413378
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
3.3404
N
N
N
N
N
N
EUROSAIL-UK 2007-4BL PLC 4X
N/A
EUROSAIL PLC ESAIL 2007 4X E1C REGS
G3299TAF0
3586370.680000
PA
4127551.220000
0.0923271
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
5.0904
N
N
N
N
N
N
EUROSAIL-UK 2007-4BL PLC 4X
N/A
EUROSAIL PLC ESAIL 2007 4X RESD REGS
B2428WII0
5718.000000
PA
5159702.020000
0.1154147
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Variable
0
N
N
N
N
N
N
EXELA INTERMEDIATE LLC / EXELA FINANCE INC
N/A
EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5
30162RAC5
697000.000000
PA
USD
233495.000000
0.0052229
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
11.5
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2019-2A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2019 2A R 144A
30167LAL3
22018.000000
PA
USD
10712385.960000
0.2396199
Long
ABS-O
CORP
US
N
3
2031-05-15
Fixed
0
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2019-3A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2019 3A R 144A
30167EAL9
23724.000000
PA
USD
15992823.940000
0.3577353
Long
ABS-O
CORP
US
N
3
2031-08-15
Fixed
0
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2021-2A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2021 2A R
30165XAJ4
26820.000000
PA
USD
53498181.660000
1.1966734
Long
ABS-O
CORP
US
N
3
2033-07-15
Fixed
0
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2021 4A R 144A
30165JAN6
28207.000000
PA
USD
23811705.910000
0.5326319
Long
ABS-O
CORP
US
N
3
2033-12-15
Fixed
0
N
N
N
N
N
N
EXPORT CREDIT BANK OF TURKEY (TURK EXIMBANK)
789000JVRVYLAXGDWR11
TURK IHRACAT KR BK SR UNSECURED 144A 01/24 8.25
90015LAF4
1400000.000000
PA
USD
1378286.000000
0.0308302
Long
DBT
CORP
TR
N
2
2024-01-24
Fixed
8.25
N
N
N
N
N
N
EXTENDED STAY AMERICA TRUST 2021-ESH
N/A
EXTENDED STAY AMERICA TRUST ESA 2021 ESH F 144A
30227FAN0
45619235.960000
PA
USD
43985159.490000
0.9838815
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
5.025
N
N
N
N
N
N
FAB UK LTD 2004-1
N/A
FAB FAB 2004 1 S2 REGS
ACI0MWFN4
13221568.450000
PA
4790666.790000
0.1071600
Long
ABS-CBDO
CORP
JE
N
2
2045-12-06
Fixed
0
N
N
N
N
N
N
FAIRFAX INDIA HOLDINGS CORPORATION
549300K2JHXU7AX7CV78
FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5
303897AA0
12350000.000000
PA
USD
12022107.500000
0.2689164
Long
DBT
CORP
CA
N
2
2028-02-26
Fixed
5
N
N
N
N
N
N
FANNIE MAE 2003-49
N/A
FANNIE MAE FNR 2003 49 SY
31393C2N2
104489.480000
PA
USD
1951.740000
0.0000437
Long
ABS-MBS
USGSE
US
N
2
2023-06-25
Floating
5.47643
N
N
N
N
N
N
AMH NEW FINANCE INC
N/A
ASSOCIATED MATERIALS GROUP INC ASSOCIATED MATERIALS DUMMY
936LNQ902
11411610.000000
NS
USD
2645496.490000
0.0591758
Long
EC
CORP
US
N
3
N
N
N
FANNIE MAE 2006-121
N/A
FANNIE MAE FNR 2006 121 SD
31396LR85
1538925.840000
PA
USD
202529.410000
0.0045303
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
5.01643
N
N
N
N
N
N
FANNIE MAE 2007-109
N/A
FANNIE MAE FNR 2007 109 PI
31396X2X1
63933.140000
PA
USD
7508.970000
0.0001680
Long
ABS-MBS
USGSE
US
N
2
2037-12-25
Floating
4.72643
N
N
N
N
N
N
FANNIE MAE 2007-53
N/A
FANNIE MAE FNR 2007 53 SL
31396WCX2
165435.870000
PA
USD
16481.220000
0.0003687
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
5.09643
N
N
N
N
N
N
FANNIE MAE 2008-10
N/A
FANNIE MAE FNR 2008 10 LI
31396YKY7
945701.750000
PA
USD
124489.250000
0.0027846
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
5.35643
N
N
N
N
N
N
FANNIE MAE 2010-134
N/A
FANNIE MAE FNR 2010 134 BS
31398SPK3
2638751.410000
PA
USD
206914.260000
0.0046284
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Floating
4.44643
N
N
N
N
N
N
FANNIE MAE 2011-63
N/A
FANNIE MAE FNR 2011 63 CS
31397USG5
2172319.710000
PA
USD
235920.650000
0.0052772
Long
ABS-MBS
USGSE
US
N
2
2041-07-25
Floating
4.29643
N
N
N
N
N
N
FANNIE MAE 2020-36
N/A
FANNIE MAE FNR 2020 36 NI
3136B95E3
18521829.650000
PA
USD
3675069.950000
0.0822058
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE 2020-37
N/A
FANNIE MAE FNR 2020 37 IA
3136B9T56
2590169.670000
PA
USD
485512.280000
0.0108602
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE 2020-37
N/A
FANNIE MAE FNR 2020 37 IM
3136B9W45
8987978.370000
PA
USD
1780712.660000
0.0398318
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE CONNECTICULT AVENUE SECURITIES 2017-C01
N/A
FANNIE MAE CAS CAS 2017 C01 1B1
30711XEQ3
9180000.000000
PA
USD
9815830.670000
0.2195653
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Floating
7.37357
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST 2022-R06
N/A
FANNIE MAE CAS CAS 2022 R06 1B1 144A
20754NAQ8
550000.000000
PA
USD
542561.140000
0.0121363
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Floating
7.29768
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST 2022-R06
N/A
FANNIE MAE CAS CAS 2022 R06 1B2 144A
20754NAR6
600000.000000
PA
USD
576582.240000
0.0128973
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Floating
11.5477
N
N
N
N
N
N
FANNIE MAE REMICS 2006-113
N/A
FANNIE MAE FNR 2006 113 BQ
31396LZ52
47392.510000
PA
USD
4413.850000
0.0000987
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
5.02643
N
N
N
N
N
N
FANNIE MAE REMICS 2007-88
N/A
FANNIE MAE FNR 2007 88 MI
31396XUW2
371694.440000
PA
USD
37962.680000
0.0008492
Long
ABS-MBS
USGSE
US
N
2
2037-09-25
Floating
4.89643
N
N
N
N
N
N
FANNIE MAE REMICS 2008-73
N/A
FANNIE MAE FNR 2008 73 SC
31397L6S3
420849.880000
PA
USD
41447.150000
0.0009271
Long
ABS-MBS
USGSE
US
N
2
2038-08-25
Floating
4.37643
N
N
N
N
N
N
FANNIE MAE REMICS 2008-9
N/A
FANNIE MAE FNR 2008 9 SA
31396YGT3
546660.640000
PA
USD
78648.390000
0.0017592
Long
ABS-MBS
USGSE
US
N
2
2038-02-25
Floating
5.37643
N
N
N
N
N
N
FANNIE MAE REMICS 2011-111
N/A
FANNIE MAE FNR 2011 111 PS
3136A2HD8
2290039.540000
PA
USD
161950.910000
0.0036226
Long
ABS-MBS
USGSE
US
N
2
2040-03-25
Floating
4.97643
N
N
N
N
N
N
FANNIE MAE REMICS 2012-46
N/A
FANNIE MAE FNR 2012 46 LS
3136A5J64
4290112.880000
PA
USD
4505832.630000
0.1007887
Long
ABS-MBS
USGSE
US
N
2
2041-01-25
Floating
8.72197
N
N
N
N
N
N
FANNIE MAE REMICS 2012-85
N/A
FANNIE MAE FNR 2012 85 PI
3136A7E73
888907.090000
PA
USD
93436.050000
0.0020900
Long
ABS-MBS
USGSE
US
N
2
2032-08-25
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE REMICS 2012-91
N/A
FANNIE MAE FNR 2012 91 MI
3136A7TF9
762795.520000
PA
USD
111606.140000
0.0024965
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE REMICS 2013-5
N/A
FANNIE MAE FNR 2013 5 GS
3136ABG72
1201836.470000
PA
USD
1041477.950000
0.0232963
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Floating
5.31167
N
N
N
N
N
N
FANNIE MAE REMICS 2013-53
N/A
FANNIE MAE FNR 2013 53 MI
3136AEFR3
171970.230000
PA
USD
12373.460000
0.0002768
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS 2013-6
N/A
FANNIE MAE FNR 2013 6 JS
3136ABN25
1713736.440000
PA
USD
230729.590000
0.0051611
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Floating
4.52643
N
N
N
N
N
N
FANNIE MAE REMICS 2017-111
N/A
FANNIE MAE FNR 2017 111 AI
3136B0KK1
4784063.450000
PA
USD
1082459.900000
0.0242130
Long
ABS-MBS
USGSE
US
N
2
2048-01-25
Fixed
5
N
N
N
N
N
N
FANNIE MAE REMICS 2019-42
N/A
FANNIE MAE FNR 2019 42 SK
3136B5VS1
200255.350000
PA
USD
28675.140000
0.0006414
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Floating
4.42643
N
N
N
N
N
N
FANNIE MAE REMICS 2020-2
N/A
FANNIE MAE FNR 2020 2 S
3136B8JL4
7606272.450000
PA
USD
1315149.610000
0.0294179
Long
ABS-MBS
USGSE
US
N
2
2059-07-25
Floating
4.42643
N
N
N
N
N
N
FANNIE MAE REMICS 2020-34
N/A
FANNIE MAE FNR 2020 34 IB
3136BAHR8
1141554.290000
PA
USD
211379.320000
0.0047282
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
5
N
N
N
N
N
N
FANNIE MAE REMICS 2020-70
N/A
FANNIE MAE FNR 2020 70 MI
3136BB3N0
26492297.190000
PA
USD
1638855.890000
0.0366587
Long
ABS-MBS
USGSE
US
N
2
2060-10-25
Variable
1.73355
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2003-W18
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W18 1IO2
31393UNU3
23253765.010000
PA
USD
766306.900000
0.0171411
Long
ABS-MBS
USGSE
US
N
2
2043-08-25
Variable
1.03211
N
N
N
N
N
N
FBR SECURITIZATION TRUST 2005-3
N/A
FBR SECURITIZATION TRUST FBRSI 2005 3 AV24
30246QBB8
1532.160000
PA
USD
1532.360000
0.0000343
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.30357
N
N
N
N
N
N
FEL ENERGY VI SA RL
254900H2U8PBIY32VI94
FEL ENERGY VI SARL SR SECURED 144A 12/40 5.75
30260LAA3
16671424.220000
PA
USD
12130128.260000
0.2713326
Long
DBT
CORP
LU
N
2
2040-12-01
Fixed
5.75
N
N
N
N
N
N
FERROGLOBE FINANCE COMPANY PLC / GLOBE SPECIALTY METALS INC
N/A
FERROGLOBE / GLOBE SPEC SR SECURED 12/25 9.375
ACI1ZL3W5
1750000.000000
PA
USD
1767500.000000
0.0395363
Long
DBT
CORP
GB
Y
2
2025-12-31
Fixed
9.375
N
N
N
N
N
N
MCDERMOTT INTERNATIONAL LTD
54930004RAXI4B3L4752
MCDERMOTT INTERNATIONAL LTD COMMON STOCK
G5924V106
584497.000000
NS
USD
333163.290000
0.0074524
Long
EC
CORP
BM
N
3
N
N
N
FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-2
N/A
FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 2 2A2
31659EAC2
4451027.220000
PA
USD
2448526.100000
0.0547698
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.96357
N
N
N
N
N
N
FINSBURY SQUARE 2020-2A
N/A
FINSBURY SQUARE FSQ 2020 2A E 144A
ACI1N8695
1000000.000000
PA
1218886.290000
0.0272646
Long
ABS-MBS
CORP
GB
N
2
2070-06-16
Floating
6.60992
N
N
N
N
N
N
FIRST FRANKLIN MORTGAGE LOAN TRUS 2006-FF3
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF3 M1
362334AW4
5500000.000000
PA
USD
5025272.450000
0.1124077
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.19357
N
N
N
N
N
N
FIRST FRANKLIN MTG LN ASSET CERT2005-FF8
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF8 M3
362341QT9
5831246.320000
PA
USD
5377444.740000
0.1202853
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.56857
Y
N
N
N
N
N
FIRST FRANKLIN MTG LOAN ASSET 2005-FF6
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF6 M4
32027NSM4
13701664.610000
PA
USD
12297334.420000
0.2750728
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.59857
Y
N
N
N
N
N
FIRST HORIZON ALT MTG SEC 2005-AA6
N/A
FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 2A2
32051GPZ2
366082.560000
PA
USD
56235.740000
0.0012579
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.61686
Y
N
N
N
N
N
FIRST HORIZON ALT MTG SEC 2006-AA6
N/A
FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA6 2A1
32052MAE1
495254.920000
PA
USD
375675.220000
0.0084033
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
2.82021
Y
N
N
N
N
N
FIRST HORIZON ALT MTG SEC 2006-FA6
N/A
FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A1
32052FAH9
58164.210000
PA
USD
24451.380000
0.0005469
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Fixed
6.25
Y
N
N
N
N
N
FIRST HORIZON ALT MTG SEC 2006-FA6
N/A
FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A15
32052FAX4
767005.600000
PA
USD
142102.900000
0.0031786
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
5.47643
Y
N
N
N
N
N
FIRST HORIZON ALT MTGE SEC 2005-AA12
N/A
FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA12 1A1
32051GQ57
34274.510000
PA
USD
27445.280000
0.0006139
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.93998
N
N
N
N
N
N
FIRST HORIZON ALTER MTGE SEC 2006-AA2
N/A
FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA2 2A1
32051GW76
549742.110000
PA
USD
483995.540000
0.0108262
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.70818
Y
N
N
N
N
N
FIRST HORIZON ASSET SECURITIES 2007-4
N/A
FIRST HORIZON MORTGAGE PASS TH FHASI 2007 4 1A5
32056CAE9
212719.780000
PA
USD
92825.870000
0.0020764
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Fixed
5.5
Y
N
N
N
N
N
FIRST HORIZON MTGE PT TR 2006-AR4
N/A
FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR4 1A2
32053AAB2
238178.060000
PA
USD
168214.210000
0.0037627
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
2.89425
Y
N
N
N
N
N
FIRST HORIZON MTGE PT TR 2007-AR1
N/A
FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR1 1A1
32053EAA6
2267741.290000
PA
USD
1035850.480000
0.0231704
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
2.84952
Y
N
N
N
N
N
FIRST HORIZON MTGE PT TR 2007-AR2
N/A
FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR2 2A1
32055GAE1
14611.780000
PA
USD
10216.960000
0.0002285
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
3.28974
Y
N
N
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS L COMPANY GUAR 144A 03/24 6.5
335934AP0
6456000.000000
PA
USD
6212787.760000
0.1389707
Long
DBT
CORP
CA
N
2
2024-03-01
Fixed
6.5
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS L COMPANY GUAR 144A 03/26 6.875
335934AR6
3270000.000000
PA
USD
3018111.900000
0.0675106
Long
DBT
CORP
CA
N
2
2026-03-01
Fixed
6.875
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST 2020-3
N/A
FLAGSHIP CREDIT AUTO TRUST FCAT 2020 3 R 144A
33844T107
9000.000000
PA
USD
1538299.690000
0.0344094
Long
ABS-O
CORP
US
N
3
2027-12-15
Fixed
0
N
N
N
N
N
N
FLOODSMART RE LTD
549300KK1LNVFW95S875
FLOODSMART RE LTD UNSECURED 144A 03/24 VAR
33975CAG0
6084000.000000
PA
USD
5613706.800000
0.1255701
Long
DBT
CORP
BM
N
2
2024-03-01
Floating
13.58
N
N
N
N
N
N
FLOODSMART RE LTD
549300KK1LNVFW95S875
FLOODSMART RE LTD UNSECURED 144A 03/24 VAR
33975CAH8
1737000.000000
PA
USD
1534118.400000
0.0343159
Long
DBT
CORP
BM
N
2
2024-03-01
Floating
17.33
N
N
N
N
N
N
FLY LEASING (FLY WILLOW FUNDING LTD)
N/A
FLY FUNDING II SARL 2020 TERM LOAN B
G3643LAB9
630777.880000
PA
USD
621316.210000
0.0138979
Long
LON
CORP
LU
N
3
2025-10-08
Floating
7.0122
N
N
N
N
N
N
FMG RESOURCES (AUGUST 2006) PTY LIMITED
549300EFD6S2NFE9D745
FMG RESOURCES AUG 2006 COMPANY GUAR 144A 04/30 5.875
30251GBD8
3500000.000000
PA
USD
3155722.500000
0.0705887
Long
DBT
CORP
AU
N
2
2030-04-15
Fixed
5.875
N
N
N
N
N
N
FMG RESOURCES (AUGUST 2006) PTY LIMITED
549300EFD6S2NFE9D745
FMG RESOURCES AUG 2006 SR UNSECURED 144A 04/32 6.125
30251GBE6
3700000.000000
PA
USD
3337344.500000
0.0746514
Long
DBT
CORP
AU
N
2
2032-04-15
Fixed
6.125
N
N
N
N
N
N
NATIONWIDE BUILDING SOCIETY
549300XFX12G42QIKN82
NATIONWIDE BLDG SOCIETY JR SUBORDINA REGS 06/49 VAR
ACI07BWB4
114542.000000
NS
20424837.080000
0.4568727
Long
EP
CORP
GB
N
2
N
N
N
NMG PARENT
N/A
NEIMAN MARCUS USD COMMON STOCK EQUITY
967DUC905
602840.000000
NS
USD
104200098.850000
2.3307986
Long
EC
CORP
US
Y
3
N
N
N
NOBLE CORPORATION
N/A
NOBLE CORP COMMON STOCK USD.00001
000000000
193054.000000
NS
USD
4893918.900000
0.1094696
Long
EC
CORP
KY
Y
1
N
N
N
OCP CLO LTD 2016-11A
N/A
OCP CLO 2016 11 LTD PREFERRED STOCK 04/28 0.00000
67092H209
2600.000000
NS
USD
1748267.170000
0.0391061
Long
EP
CORP
KY
N
2
N
N
N
FORBES ENERGY SERVICES LLC
N/A
FORBES ENERGY SERVICES LLC 2018 PIK FIIXED TERM LOAN
943UMZII5
36459.520000
PA
USD
36467.520000
0.0008157
Long
LON
CORP
US
N
3
2022-12-30
Fixed
11
N
N
Y
N
N
N
FORBES ENERGY SERVICES LLC
N/A
FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN
962XCSII2
2629086.890000
PA
USD
262.910000
0.0000059
Long
LON
CORP
US
N
3
2022-09-30
Fixed
5.2961
Y
Y
Y
N
N
N
FORTRESS TRANSPORTATION AND INFRASTRUCTURE INVESTORS LLC
529900E7PUVK6BC8PE80
FORTRESS TRANS + INFRAST SR UNSECURED 144A 10/25 6.5
34960PAB7
1183000.000000
PA
USD
1118372.710000
0.0250163
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC 3181
N/A
FREDDIE MAC FHR 3181 PS
31396URJ1
1222565.400000
PA
USD
151993.730000
0.0033999
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Floating
5.146
N
N
N
N
N
N
FREDDIE MAC 3211
N/A
FREDDIE MAC FHR 3211 SH
31397BA50
382526.660000
PA
USD
51150.930000
0.0011442
Long
ABS-MBS
USGSE
US
N
2
2036-09-15
Floating
5.256
N
N
N
N
N
N
FREDDIE MAC 3311
N/A
FREDDIE MAC FHR 3311 EI
31397H6H6
80069.210000
PA
USD
9157.680000
0.0002048
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Floating
5.086
N
N
N
N
N
N
FREDDIE MAC 3384
N/A
FREDDIE MAC FHR 3384 SM
31397PCY4
968773.000000
PA
USD
127514.460000
0.0028523
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Floating
4.976
N
N
N
N
N
N
FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1
N/A
FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A
35563CAB4
266424951.970000
PA
USD
22612324.910000
0.5058035
Long
ABS-MBS
USGSE
US
N
2
2055-11-25
Variable
0.7
N
N
N
N
N
N
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071
N/A
FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3
3137FCLG7
75137000.000000
PA
USD
6931576.090000
0.1550489
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Variable
2.07911
N
N
N
N
N
N
FREDDIE MAC REMICS 3213
N/A
FREDDIE MAC FHR 3213 LS
31397AZX4
685882.800000
PA
USD
113028.680000
0.0025283
Long
ABS-MBS
USGSE
US
N
2
2036-09-15
Floating
6.456
N
N
N
N
N
N
FREDDIE MAC REMICS 3868
N/A
FREDDIE MAC FHR 3868 SA
3137AAEG4
791567.390000
PA
USD
135455.780000
0.0030299
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
5.276
N
N
N
N
N
N
FREDDIE MAC REMICS 3922
N/A
FREDDIE MAC FHR 3922 GS
3137AFHT2
602120.490000
PA
USD
610502.070000
0.0136560
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Floating
11.3649
N
N
N
N
N
N
FREDDIE MAC REMICS 4020
N/A
FREDDIE MAC FHR 4020 PI
3137AMLU9
173288.000000
PA
USD
10618.260000
0.0002375
Long
ABS-MBS
USGSE
US
N
2
2027-03-15
Fixed
4
N
N
N
N
N
N
FREDDIE MAC REMICS 4120
N/A
FREDDIE MAC FHR 4120 WS
3137AVJC2
684630.710000
PA
USD
65558.530000
0.0014664
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Floating
4.876
N
N
N
N
N
N
FREDDIE MAC REMICS 4687
N/A
FREDDIE MAC FHR 4687 SG
3137BY4V9
302815.220000
PA
USD
48094.960000
0.0010758
Long
ABS-MBS
USGSE
US
N
2
2047-01-15
Floating
4.826
N
N
N
N
N
N
FREDDIE MAC REMICS 4983
N/A
FREDDIE MAC FHR 4983 IO
3137FTH34
2537760.260000
PA
USD
454552.710000
0.0101677
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC REMICS 4988
N/A
FREDDIE MAC FHR 4988 LI
3137FUQK3
15958302.750000
PA
USD
3493722.500000
0.0781493
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
4
N
N
N
N
N
N
FREDDIE MAC REMICS 4988
N/A
FREDDIE MAC FHR 4988 VI
3137FUZ64
10374929.450000
PA
USD
2203126.640000
0.0492806
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC REMICS 4988
N/A
FREDDIE MAC FHR 4988 WI
3137FURL0
12446855.790000
PA
USD
2491834.390000
0.0557386
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
3
N
N
N
N
N
N
FREDDIE MAC REMICS 4990
N/A
FREDDIE MAC FHR 4990 BI
3137FURT3
5173670.570000
PA
USD
1139270.200000
0.0254838
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
4
N
N
N
N
N
N
FREDDIE MAC REMICS 4990
N/A
FREDDIE MAC FHR 4990 KS
3137FUS70
1223963.750000
PA
USD
174871.370000
0.0039116
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Floating
4.47643
N
N
N
N
N
N
FREDDIE MAC REMICS 4990
N/A
FREDDIE MAC FHR 4990 SN
3137FUYG3
8699876.140000
PA
USD
1297951.050000
0.0290332
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Floating
4.52643
N
N
N
N
N
N
FREDDIE MAC REMICS 5000
N/A
FREDDIE MAC FHR 5000 IA
3137FVFL1
7856454.540000
PA
USD
1313031.960000
0.0293705
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Fixed
5
N
N
N
N
N
N
FREDDIE MAC REMICS 5009
N/A
FREDDIE MAC FHR 5009 NI
3137FWEG1
16805526.320000
PA
USD
3533955.140000
0.0790492
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC REMICS 5051
N/A
FREDDIE MAC FHR 5051 SX
3137F83L5
42695234.460000
PA
USD
2111497.090000
0.0472310
Long
ABS-MBS
USGSE
US
N
2
2048-11-15
Floating
3.47076
N
N
N
N
N
N
FREDDIE MAC REMICS 5062
N/A
FREDDIE MAC FHR 5062 BS
3137F8TX1
6728802.220000
PA
USD
1422873.190000
0.0318275
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Floating
5.37434
N
N
N
N
N
N
FREDDIE MAC REMICS 5062
N/A
FREDDIE MAC FHR 5062 SC
3137F8UF8
3028199.190000
PA
USD
600911.300000
0.0134415
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Floating
5.37434
N
N
N
N
N
N
AT&T MOBILITY II LLC
N/A
AT+T MOBILITY II LLC PREFERRED STOCK 7
04651L206
1336067.000000
NS
USD
33920708.970000
0.7587550
Long
EP
CORP
US
Y
3
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-DNA1
N/A
FREDDIE MAC STACR STACR 2021 DNA1 B2 144A
35564KBE8
2300000.000000
PA
USD
1803349.270000
0.0403382
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Floating
5.67566
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-DNA6
N/A
FREDDIE MAC STACR STACR 2021 DNA6 B2 144A
35564KLV9
4900000.000000
PA
USD
4226421.500000
0.0945387
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
8.42566
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-HQA3
N/A
FREDDIE MAC STACR STACR 2021 HQA3 B1 144A
35564KKK4
6000000.000000
PA
USD
5061811.200000
0.1132251
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Floating
4.27566
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-HQA3
N/A
FREDDIE MAC STACR STACR 2021 HQA3 B2 144A
35564KKL2
6400000.000000
PA
USD
5133511.680000
0.1148289
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Floating
7.17566
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2020-DNA5
N/A
FREDDIE MAC STACR STACR 2020 DNA5 B1 144A
35566ABD0
2500000.000000
PA
USD
2534424.500000
0.0566912
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Floating
5.72566
N
N
N
N
N
N
FREDDIE MAC STACR TRUST 2021-HQA4
N/A
FREDDIE MAC STACR STACR 2021 HQA4 B2 144A
35564KPP8
500000.000000
PA
USD
406700.800000
0.0090973
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
7.92566
N
N
N
N
N
N
FREDDIE MAC STRIPS 259
N/A
FREDDIEMAC STRIP FHS 259 S17
31325TCC1
1343524.000000
PA
USD
216514.660000
0.0048431
Long
ABS-MBS
USGSE
US
N
2
2039-04-15
Floating
4.626
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-HQ1
N/A
FREDDIE MAC STACR STACR 2015 HQ1 B
3137G0EM7
5402400.660000
PA
USD
5446100.680000
0.1218210
Long
ABS-MBS
USGSE
US
N
2
2025-03-25
Floating
12.3736
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2016-DNA2
N/A
FREDDIE MAC STACR STACR 2016 DNA2 B
3137G0JZ3
1482868.760000
PA
USD
1560345.540000
0.0349026
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Floating
12.1236
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2016-HQA3
N/A
FREDDIE MAC STACR STACR 2016 HQA3 B
3137G0LF4
6856203.150000
PA
USD
6923236.930000
0.1548623
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Floating
10.6236
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2017-DNA2
N/A
FREDDIE MAC STACR STACR 2017 DNA2 B1
3137G0PR4
8600000.000000
PA
USD
8879544.720000
0.1986220
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
6.77357
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2
N/A
FREDDIE MAC STACR STACR 2022 DNA2 B1 144A
35564KSJ9
7800000.000000
PA
USD
6902337.780000
0.1543949
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
5.67566
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2
N/A
FREDDIE MAC STACR STACR 2022 DNA2 B2 144A
35564KSQ3
2350000.000000
PA
USD
2036242.810000
0.0455477
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
9.42566
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2
N/A
FREDDIE MAC STACR STACR 2022 DNA2 M2 144A
35564KRN1
16000000.000000
PA
USD
14430817.600000
0.3227956
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
4.67566
N
N
N
N
N
N
FREDDIE MAC-3136
N/A
FREDDIE MAC FHR 3136 NS
31396NH41
329061.760000
PA
USD
28888.990000
0.0006462
Long
ABS-MBS
USGSE
US
N
2
2036-04-15
Floating
5.376
N
N
N
N
N
N
FREED ABS TRUST 2020-3FP
N/A
FREED ABS TRUST FREED 2020 3FP CERT 144A
35634LAD5
9954.000000
PA
USD
2152433.480000
0.0481467
Long
ABS-O
CORP
US
N
3
2027-09-20
Fixed
0
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2006-3
N/A
FREMONT HOME LOAN TRUST FHLT 2006 3 2A4
35729MAE7
1186896.750000
PA
USD
465439.660000
0.0104112
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
2.10357
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2006-E
N/A
FREMONT HOME LOAN TRUST FHLT 2006 E 2A3
35729NAD7
3039790.900000
PA
USD
1449439.780000
0.0324218
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.77357
N
N
N
N
N
N
FRESH MARKET INC/THE
529900QM5ZSBEBR6CS58
FRESH MARKET INC SR SECURED 144A 05/23 9.75
35804HAA4
33556000.000000
PA
USD
33556000.000000
0.7505970
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
9.75
N
N
N
N
N
N
FRONTIER COMMUNICATIONS HOLDINGS LLC
N/A
FRONTIER COMMUNICATIONS CORP 2021 DIP TERM LOAN B
35906EAQ3
7502867.860000
PA
USD
7048006.500000
0.1576532
Long
LON
CORP
US
N
2
2028-05-01
Floating
6.0625
N
N
N
N
N
N
FRONTIER COMMUNICATIONS HOLDINGS LLC
N/A
FRONTIER COMMUNICATIONS SECURED 144A 01/30 6
35908MAB6
13262000.000000
PA
USD
10241247.950000
0.2290812
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6
N
N
N
N
N
N
FULL HOUSE RESORTS INC
5493009DKIWW0H901Y82
FULL HOUSE RESORTS INC SR SECURED 144A 02/28 8.25
359678AC3
1427000.000000
PA
USD
1142558.430000
0.0255573
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
8.25
N
N
N
N
N
N
GATEWAY CASINOS & ENTERTAINMENT LIMITED
549300JSKBQMMD1B3U44
GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN
943ZHKII3
19628679.990000
PA
15077577.180000
0.3372626
Long
LON
CORP
CA
N
3
2027-10-18
Fixed
9.59
N
N
Y
N
N
N
GATEWAY CASINOS & ENTERTAINMENT LIMITED
549300JSKBQMMD1B3U44
GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN
943ZERII1
89919875.220000
PA
USD
88852076.700000
1.9874866
Long
LON
CORP
CA
N
2
2027-10-15
Fixed
9.59
N
N
Y
N
N
N
GAZPROM PJSC VIA GAZ CAPITAL SA
213800568PRHV2JR9650
GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 04/34 8.625
368266AA0
1081000.000000
PA
USD
405375.000000
0.0090676
Long
DBT
CORP
LU
N
2
2034-04-28
Fixed
8.625
N
N
N
N
N
N
GAZPROM PJSC VIA GAZ CAPITAL SA
213800568PRHV2JR9650
GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 08/37 7.288
368266AH5
300000.000000
PA
USD
105000.000000
0.0023487
Long
DBT
CORP
LU
N
2
2037-08-16
Fixed
7.288
N
N
N
N
N
N
GAZPROM PJSC VIA GAZ FINANCE PLC
213800UNP9N6BPNYMQ45
GAZPROM PJSC (GAZ FN) SR UNSECURED REGS 06/27 3
ACI1NC340
200000.000000
PA
USD
60000.000000
0.0013421
Long
DBT
CORP
GB
N
2
2027-06-29
Fixed
3
N
N
N
N
N
N
GC PASTOR HIPOTECARIO FTA 5
N/A
PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS
997AAZII7
22993648.380000
PA
21571192.230000
0.4825150
Long
ABS-MBS
CORP
ES
N
2
2046-06-21
Floating
0.001
N
N
N
N
N
N
GENESIS ENERGY LP / GENESIS ENERGY FINANCE CORP
N/A
GENESIS ENERGY LP/FIN COMPANY GUAR 01/27 8
37185LAM4
3925000.000000
PA
USD
3484615.000000
0.0779456
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
8
N
N
N
N
N
N
GENESIS ENERGY LP / GENESIS ENERGY FINANCE CORP
N/A
GENESIS ENERGY LP/FIN COMPANY GUAR 10/25 6.5
37185LAJ1
200000.000000
PA
USD
184770.000000
0.0041330
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.5
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 02/27 6.375
37443GAG6
4477000.000000
PA
USD
2579781.710000
0.0577058
Long
DBT
NUSS
GH
N
2
2027-02-11
Fixed
6.375
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 02/35 7.875
37443GAH4
5412000.000000
PA
USD
2551893.300000
0.0570820
Long
DBT
NUSS
GH
N
2
2035-02-11
Fixed
7.875
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 03/61 8.75
37443GAJ0
1500000.000000
PA
USD
712155.000000
0.0159298
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75
N
N
N
N
N
N
GIBSON BRANDS INC (AKA: GIBSON GUITAR CORP)
549300KU4ACNZQGB7J14
GIBSON BRANDS INC 2021 TERM LOAN
37476YAB8
3383000.100000
PA
USD
2934752.590000
0.0656460
Long
LON
CORP
US
N
2
2028-08-11
Floating
6.4113
N
N
N
N
N
N
GLACIER FUNDING CDO III LTD 2005-3A
N/A
GLACIER FUNDING CDO GLCR 2005 3A A1 144A
37638XAA7
31478837.700000
PA
USD
4684334.360000
0.1047815
Long
ABS-CBDO
CORP
KY
N
2
2035-08-04
Floating
1.60486
N
N
N
N
N
N
GMAC MORTGAGE CORP LOAN TRUST 2005-AR4
N/A
GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR4 3A1
76112BUG3
23477.890000
PA
USD
21347.130000
0.0004775
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
3.71134
N
N
N
N
N
N
GMAC MORTGAGE CORPORATION LN TR 2007-HE2
N/A
GMAC MORTGAGE CORPORATION LOAN GMACM 2007 HE2 A6
36186LAG8
869848.390000
PA
USD
887814.330000
0.0198591
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Variable
6.749
Y
N
N
N
N
N
SEQUA CORPORATION
549300JLD7TQRZ92KO78
SEQUA CORP PREFERRED STOCK
000000000
90397.000000
NS
USD
98903357.700000
2.2123186
Long
EP
CORP
US
N
3
N
N
N
SIERRA HAMILTON HOLDINGS LLC
N/A
SIERRA HAMILTON HOLDER LLC
932BTZ902
30337712.000000
NS
USD
3033.770000
0.0000679
Long
EC
CORP
US
Y
3
N
N
N
STEARNS HOLDINGS LLC
549300B7MV13XJXKBZ36
STEARNS HOLDING LLC CLASS B STEARNS HOLDING LLC CLASSB
9353MP906
59964.000000
NS
USD
0.060000
0.0000000
Long
EC
CORP
US
N
3
N
N
N
STICHTING AK RABOBANK CERTIFICATEN
N/A
STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR
BJBQCWII7
103752850.000000
NS
105876956.280000
2.3683074
Long
EP
CORP
NL
N
2
N
N
N
GOLDEN NUGGET LLC (FERTITTA ENTERTAINMENT LLC/FERTITTA ENTERTAINMENT FINANCE CO)
N/A
FERTITTA ENTERTAINMENT COMPANY GUAR 144A 01/30 6.75
31556TAC3
2000000.000000
PA
USD
1540760.000000
0.0344645
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6.75
N
N
N
N
N
N
AXIS ENERGY SERVICES HOLDINGS LLC
N/A
AXIS ENERGY SERVICES CLASS A EQTY009T1 AXIS ENERGY SERVICES
942WZK900
17104.850000
NS
USD
251894.580000
0.0056345
Long
EC
CORP
US
Y
3
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-140
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2011 140 PS
38377YUL2
216586.130000
PA
USD
2539.280000
0.0000568
Long
ABS-MBS
USGSE
US
N
2
2039-08-16
Floating
5.19071
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 DS
38375GSY8
1260644.110000
PA
USD
109558.290000
0.0024507
Long
ABS-MBS
USGSE
US
N
2
2040-12-20
Floating
4.65486
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 SD
38375GTB7
1605149.720000
PA
USD
230301.100000
0.0051515
Long
ABS-MBS
USGSE
US
N
2
2042-08-20
Floating
4.52486
N
N
N
N
N
N
SYNIVERSE CORPORATION
N/A
SYNIVERSE PFD PIK PFDJJZ917
936UVD902
15325103.000000
NS
USD
15018600.940000
0.3359434
Long
EP
CORP
US
Y
3
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-96
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 KI
38378HFV3
224097.120000
PA
USD
40705.650000
0.0009105
Long
ABS-MBS
USGSE
US
N
2
2042-06-20
Fixed
3.5
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-168
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2018 168 AS
38381BGP3
3555867.930000
PA
USD
395566.480000
0.0088482
Long
ABS-MBS
USGSE
US
N
2
2048-12-20
Floating
4.50486
N
N
N
N
N
N
GOVERNMENT NATIONAL MTGE ASSOC 2021-160
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2021 160 VI
38383ATZ7
56661204.180000
PA
USD
5130507.720000
0.1147617
Long
ABS-MBS
USGSE
US
N
2
2036-09-20
Fixed
2.5
N
N
N
N
N
N
GREEN TREE FINANCIAL CORP 1999-3
N/A
CONSECO FINANCIAL CORP GT 1999 3 A8
393505X80
2479815.590000
PA
USD
2273642.230000
0.0508579
Long
ABS-O
CORP
US
N
2
2031-02-01
Fixed
7.06
N
N
N
N
N
N
GREEN TREE FINANCIAL CORP 1999-3
N/A
CONSECO FINANCIAL CORP GT 1999 3 A9
393505X98
570190.830000
PA
USD
513327.520000
0.0114824
Long
ABS-O
CORP
US
N
2
2031-02-01
Fixed
6.53
N
N
N
N
N
N
GREEN TREE FINANCIAL CORP 1999-5
N/A
CONSECO FINANCIAL CORP GT 1999 5 A6
3935053Q3
6514323.440000
PA
USD
3007297.680000
0.0672687
Long
ABS-O
CORP
US
N
2
2030-03-01
Variable
7.5
N
N
N
N
N
N
GREENPOINT MANUFACTURED HOUSING 1999-5
N/A
GREENPOINT MANUFACTURED HOUSIN GPMH 1999 5 M2
395383AG7
6163057.150000
PA
USD
5469096.910000
0.1223354
Long
ABS-O
CORP
US
N
2
2029-12-15
Fixed
9.23
Y
N
N
N
N
N
GREENPOINT MORTGAGE FUND TRUST 2006-OH1
N/A
GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1
39539GAA0
572546.160000
PA
USD
506190.580000
0.0113227
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.80357
N
N
N
N
N
N
GREENPOINT MTGE FUNDING TR 2006-AR7
N/A
GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32
39538CAF9
2801411.530000
PA
USD
2602122.480000
0.0582055
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
2.02357
Y
N
N
N
N
N
GREENWICH CAPITAL COMMERCIAL F-2006-GG7
N/A
GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2006 GG7 AJ
20173MAH3
4688273.580000
PA
USD
3752963.000000
0.0839481
Long
ABS-MBS
CORP
US
N
2
2038-07-10
Variable
6.21351
N
N
N
N
N
N
GRIFOLS ESCROW ISSUER SA
959800HLB3PGTGSLVV62
GRIFOLS ESCROW ISSUER SR UNSECURED 144A 10/28 3.875
ACI20T312
8000000.000000
PA
6944085.580000
0.1553287
Long
DBT
CORP
ES
N
2
2028-10-15
Fixed
3.875
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II 2010-C1
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2010 C1 X 144A
36249KAE0
1036500.920000
PA
USD
7782.200000
0.0001741
Long
ABS-MBS
CORP
US
N
2
2043-08-10
Variable
0.58274
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II 2017-SLP
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP F 144A
36255MAQ0
33197000.000000
PA
USD
31855973.990000
0.7125700
Long
ABS-MBS
CORP
US
N
2
2032-10-10
Variable
4.74434
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II 2017-SLP
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP G 144A
36255MAS6
6160000.000000
PA
USD
5868765.670000
0.1312754
Long
ABS-MBS
CORP
US
N
2
2032-10-10
Variable
4.74434
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 AIOS 144A
36260AAP1
134519822.910000
PA
USD
478029.640000
0.0106928
Long
ABS-O
CORP
US
N
2
2059-07-25
Fixed
0
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 B 144A
36260AAU0
20073000.000000
PA
USD
15477368.950000
0.3462053
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Floating
3.81287
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 SA 144A
36260AAH9
131350.250000
PA
USD
126096.240000
0.0028206
Long
ABS-MBS
CORP
US
N
2
2059-07-25
None
0
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 X 144A
36260AAQ9
146638442.680000
PA
USD
1415926.140000
0.0316721
Long
ABS-O
CORP
US
N
2
2059-07-25
Variable
0
N
N
N
N
N
N
GSAMP TRUST 2004-AR1
N/A
GSAMP TRUST GSAMP 2004 AR1 M4
36228F6S0
1252520.690000
PA
USD
1227854.050000
0.0274652
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
3.49857
N
N
N
N
N
N
GSAMP TRUST 2004-WF
N/A
GSAMP TRUST GSAMP 2004 WF M2
36242DKL6
114128.670000
PA
USD
109316.930000
0.0024453
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
3.27357
N
N
N
N
N
N
GSAMP TRUST 2006-FM1
N/A
GSAMP TRUST GSAMP 2006 FM1 A2C
362334PJ7
469929.180000
PA
USD
331821.320000
0.0074223
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
1.94357
N
N
N
N
N
N
GSAMP TRUST 2006-FM1
N/A
GSAMP TRUST GSAMP 2006 FM1 A2D
362334PK4
16755960.320000
PA
USD
11996595.680000
0.2683457
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.16357
N
N
N
N
N
N
GSAMP TRUST 2006-FM3
N/A
GSAMP TRUST GSAMP 2006 FM3 A2C
36245TAD7
3581250.000000
PA
USD
1902463.500000
0.0425552
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.82357
N
N
N
N
N
N
GSAMP TRUST 2007-FM1
N/A
GSAMP TRUST GSAMP 2007 FM1 A1
3622MAAA9
858319.070000
PA
USD
491495.730000
0.0109940
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.76357
N
N
N
N
N
N
TEXGEN POWER LLC
5493003XDLS9LCQ3SY55
TEXGEN POWER LLC
933KFF900
450094.000000
NS
USD
11252350.000000
0.2516981
Long
EC
CORP
US
N
3
N
N
N
GSAMP TRUST 2007-FM1
N/A
GSAMP TRUST GSAMP 2007 FM1 A2D
3622MAAE1
4007204.390000
PA
USD
2126777.250000
0.0475728
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.87357
N
N
N
N
N
N
GSAMP TRUST 2007-FM2
N/A
GSAMP TRUST GSAMP 2007 FM2 A2A
3622MHAB2
2782441.030000
PA
USD
1791266.530000
0.0400679
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.68357
N
N
N
N
N
N
GSAMP TRUST 2007-FM2
N/A
GSAMP TRUST GSAMP 2007 FM2 A2B
3622MHAC0
830080.510000
PA
USD
534431.400000
0.0119544
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.71357
N
N
N
N
N
N
GSC CAPITAL CORP MORTGAGE TRUST 2006-2
N/A
GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1
362480AD7
1363604.140000
PA
USD
1295810.510000
0.0289853
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.98357
Y
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2004-10F
N/A
GSR MORTGAGE LOAN TRUST GSR 2004 10F 8A3
36242DFC2
268519.290000
PA
USD
267281.230000
0.0059787
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
6
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2004-14
N/A
GSR MORTGAGE LOAN TRUST GSR 2004 14 3A1
36242DPF4
8867.920000
PA
USD
8468.810000
0.0001894
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
2.72727
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2005-AR7
N/A
GSR MORTGAGE LOAN TRUST GSR 2005 AR7 1A1
362341WX3
127993.240000
PA
USD
79958.230000
0.0017885
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.42446
Y
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2006-7F
N/A
GSR MORTGAGE LOAN TRUST GSR 2006 7F 4A1
36298NAY0
609798.810000
PA
USD
275176.230000
0.0061553
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
6.5
Y
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2006-AR1
N/A
GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1
3623414A4
328010.780000
PA
USD
325135.400000
0.0072728
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.8667
Y
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2007-4F
N/A
GSR MORTGAGE LOAN TRUST GSR 2007 4F 4A1
362669AS2
234602.650000
PA
USD
48705.010000
0.0010895
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
2.07357
Y
N
N
N
N
N
GUARA NORTE SARL
549300U2I4L03BBA3485
GUARA NORTE SARL SR SECURED 144A 06/34 5.198
400666AA1
374460.000000
PA
USD
304456.580000
0.0068102
Long
DBT
CORP
LU
N
2
2034-06-15
Fixed
5.198
N
N
N
N
N
N
GUARA NORTE SARL
549300U2I4L03BBA3485
GUARA NORTE SARL SR SECURED REGS 06/34 5.198
L4R02QAA8
9387712.200000
PA
USD
7632726.340000
0.1707325
Long
DBT
CORP
LU
N
2
2034-06-15
Fixed
5.198
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2004-11
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 2A2A
41161PKA0
117935.460000
PA
USD
100889.020000
0.0022567
Long
ABS-MBS
CORP
US
N
2
2035-01-19
Floating
2.25229
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2005-7
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1
41161PPN7
946686.920000
PA
USD
489979.870000
0.0109601
Long
ABS-MBS
CORP
US
N
2
2045-06-19
Floating
2.073
Y
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2005-9
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B2
41161PSW4
4587932.740000
PA
USD
4286195.410000
0.0958757
Long
ABS-MBS
CORP
US
N
2
2035-06-20
Floating
2.58729
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2005-9
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B4
41161PSY0
1058847.490000
PA
USD
976628.300000
0.0218457
Long
ABS-MBS
CORP
US
N
2
2035-06-20
Floating
2.96229
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-1
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A
41161PA86
7668463.370000
PA
USD
7310011.020000
0.1635139
Long
ABS-MBS
CORP
US
N
2
2036-03-19
Floating
2.07514
Y
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-6
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 4A1A
41161UAG7
71680.490000
PA
USD
65125.930000
0.0014568
Long
ABS-MBS
CORP
US
N
2
2036-08-19
Floating
3.36903
Y
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-9
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 9 2A1A
41161XAC0
1236012.390000
PA
USD
1081901.050000
0.0242005
Long
ABS-MBS
CORP
US
N
2
2036-11-19
Floating
2.03229
Y
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-BU1
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 BU1 2A1A
41161PG72
841088.200000
PA
USD
721137.670000
0.0161308
Long
ABS-MBS
CORP
US
N
2
2046-02-19
Floating
1.99229
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TRUST 2004-4
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 4 2A
41161PDW0
88720.190000
PA
USD
82509.450000
0.0018456
Long
ABS-MBS
CORP
US
N
2
2034-06-19
Floating
2.15514
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TRUST 2005-16
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A
41161PYZ0
4508270.240000
PA
USD
2883376.940000
0.0644968
Long
ABS-MBS
CORP
US
N
2
2036-01-19
Floating
2.11229
Y
N
N
N
N
N
HAWAIIAN BRAND INTELLECTUAL PROPERTY LTD / HAWAIIANMILES LOYALTY LTD
N/A
HAWAIIAN BRAND INTELLECT SR SECURED 144A 01/26 5.75
41984LAA5
1200000.000000
PA
USD
1078410.000000
0.0241224
Long
DBT
CORP
KY
N
2
2026-01-20
Fixed
5.75
N
N
N
N
N
N
HILLCREST CDO I LTD 2004-1A
N/A
HILLCREST CDO LTD HILLC 2004 1A A1A 144A
43147XAA9
33380258.880000
PA
USD
8152293.720000
0.1823545
Long
ABS-CBDO
CORP
KY
N
2
2039-12-10
Floating
0.5405
N
N
N
N
N
N
HOMEBANC MORTGAGE TRUST 2005-1
N/A
HOMEBANC MORTGAGE TRUST HMBT 2005 1 A1
43739EAP2
96632.350000
PA
USD
83019.740000
0.0018570
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.12357
N
N
N
N
N
N
HOMEBANC MORTGAGE TRUST 2006-1
N/A
HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2
43739ECR6
2929389.980000
PA
USD
2722741.140000
0.0609036
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
2.76315
Y
N
N
N
N
N
HOUT BAY 2006-1
N/A
HOUT BAY HOUT 2006 1A A1 144A
442451AA8
109563790.500000
PA
USD
20315646.730000
0.4544303
Long
ABS-CBDO
CORP
KY
N
2
2041-07-05
Floating
1.62675
N
N
N
N
N
N
HOUT BAY 2006-1
N/A
HOUT BAY HOUT 2006 1A A2 144A
442451AB6
4870529.650000
PA
USD
617909.490000
0.0138217
Long
ABS-CBDO
CORP
KY
N
2
2041-07-05
Floating
1.82675
N
N
N
N
N
N
HOUT BAY 2006-1
N/A
HOUT BAY HOUT 2006 1A B 144A
442451AC4
1690000.000000
PA
USD
4615.390000
0.0001032
Long
ABS-CBDO
CORP
KY
N
2
2041-07-05
Floating
1.95675
N
N
N
N
N
N
HSI ASSET LOAN OBLIGATION 2007-1
N/A
HSI ASSET LOAN OBLIGATION HALO 2007 1 1A1
40431TAA9
2575067.780000
PA
USD
2287901.890000
0.0511769
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6
Y
N
N
N
N
N
HSI ASSET SEC CORP TRUST 2006-HE1
N/A
HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A3
44328AAD2
6844794.730000
PA
USD
3135523.120000
0.0701369
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.94357
N
N
N
N
N
N
HSI ASSET SEC CORP TRUST 2006-HE2
N/A
HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2
44328BAD0
20517173.780000
PA
USD
6630805.880000
0.1483211
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.84357
N
N
N
N
N
N
HSI ASSET SEC CORP TRUST 2006-HE2
N/A
HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3
44328BAE8
12566832.030000
PA
USD
4038260.990000
0.0903298
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.96357
N
N
N
N
N
N
HSI ASSET SECUR CORP TRUST 2007-HE1
N/A
HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 2A3
40430FAD4
30658653.530000
PA
USD
22954035.790000
0.5134471
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.81357
N
N
N
N
N
N
HSI ASSET SECUR CORP TRUST 2007-OPT1
N/A
HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 1A
40431JAA1
9565687.090000
PA
USD
8271405.620000
0.1850188
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.76357
N
N
N
N
N
N
HUARONG FINANCE 2017 CO LTD
5493006V07LYI3HE6G83
HUARONG FINANCE 2017 CO COMPANY GUAR REGS 04/27 4.75
G463PSAE4
1200000.000000
PA
USD
1084500.000000
0.0242586
Long
DBT
CORP
VG
N
2
2027-04-27
Fixed
4.75
N
N
N
N
N
N
HUARONG FINANCE 2017 CO LTD
5493006V07LYI3HE6G83
HUARONG FINANCE 2017 CO COMPANY GUAR REGS 11/27 4.25
ACI0YNJ23
200000.000000
PA
USD
174500.000000
0.0039033
Long
DBT
CORP
VG
N
2
2027-11-07
Fixed
4.25
N
N
N
N
N
N
HUARONG FINANCE 2017 CO LTD
5493006V07LYI3HE6G83
HUARONG FINANCE 2017 CO COMPANY GUAR REGS 11/47 4.95
ACI0YNJJ6
800000.000000
PA
USD
564000.000000
0.0126158
Long
DBT
CORP
VG
N
2
2047-11-07
Fixed
4.95
N
N
N
N
N
N
HUARONG FINANCE 2019 CO LTD
549300M6T6OW4AGYHK10
HUARONG FINANCE 2019 COMPANY GUAR REGS 02/30 3.375
ACI1K6N02
1800000.000000
PA
USD
1356750.000000
0.0303484
Long
DBT
CORP
VG
N
2
2030-02-24
Fixed
3.375
N
N
N
N
N
N
HUARONG FINANCE 2019 CO LTD
549300M6T6OW4AGYHK10
HUARONG FINANCE 2019 COMPANY GUAR REGS 05/29 4.5
ACI1C6PX7
1300000.000000
PA
USD
1083875.000000
0.0242446
Long
DBT
CORP
VG
N
2
2029-05-29
Fixed
4.5
N
N
N
N
N
N
HUARONG FINANCE 2019 CO LTD
549300M6T6OW4AGYHK10
HUARONG FINANCE 2019 COMPANY GUAR REGS 09/30 3.625
ACI1RSZZ7
900000.000000
PA
USD
693000.000000
0.0155014
Long
DBT
CORP
VG
N
2
2030-09-30
Fixed
3.625
N
N
N
N
N
N
HUARONG FINANCE 2019 CO LTD
549300M6T6OW4AGYHK10
HUARONG FINANCE 2019 COMPANY GUAR REGS 11/29 3.875
ACI1GS152
1200000.000000
PA
USD
958500.000000
0.0214402
Long
DBT
CORP
VG
N
2
2029-11-13
Fixed
3.875
N
N
N
N
N
N
HUDSON RIVER TRADING LLC
549300SMOBUC8O5UOE10
HUDSON RIVER TRADING LLC 2021 TERM LOAN
44413EAF5
1695717.870000
PA
USD
1587615.860000
0.0355126
Long
LON
CORP
US
N
2
2028-03-20
Floating
4.6398
N
N
N
N
N
N
UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)
549300V3NU625PJUVA84
UNITI GROUP INC REIT USD.0001
91325V108
2146174.000000
NS
USD
20216959.080000
0.4522228
Long
EC
CORP
US
N
1
N
N
N
IM PASTOR FTH 3
N/A
PASTOR IM FTH/FTA IMPAS 3 A REGS
B0BL9JII2
17690982.810000
PA
16234927.440000
0.3631508
Long
ABS-MBS
CORP
ES
N
2
2043-03-22
Floating
0
N
N
N
N
N
N
IMPAC CMB TR 2004-8
N/A
IMPAC CMB TRUST IMM 2004 8 1A
45254NKQ9
81089.090000
PA
USD
76432.780000
0.0017097
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
2.34357
Y
N
N
N
N
N
IMPAC CMB TR 2005-7
N/A
IMPAC CMB TRUST IMM 2005 7 A1
45254NQX8
122265.930000
PA
USD
111255.190000
0.0024886
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.14357
Y
N
N
N
N
N
IMPAC SECURED ASSETS CORP. 2007-2
N/A
IMPAC SECURED ASSETS CORP. IMSA 2007 2 1A1A
452570AA2
2491.390000
PA
USD
2217.330000
0.0000496
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
1.73357
Y
N
N
N
N
N
URBI DESARROLLOS URBANOS SA DE CV (AKA: URBIMM)
N/A
URBI DESARROLLOS URBANOS SAB COMMON STOCK
B0126X906
4776.000000
NS
1971.250000
0.0000441
Long
EC
CORP
MX
N
1
N
N
N
INDYMAC HM EQ LN ASSET BACKED TR 2000-C
N/A
INDYMAC HOME EQUITY LOAN ASSET INHEL 2000 C MF1
456606BJ0
493639.870000
PA
USD
193621.450000
0.0043310
Long
ABS-MBS
CORP
US
N
2
2031-12-25
Variable
8.74
Y
N
N
N
N
N
INDYMAC IMSC MTGE LN TRUST 2007-AR1
N/A
INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 AR1 2A1
456672AC8
2913016.100000
PA
USD
2145281.090000
0.0479867
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
2.98057
Y
N
N
N
N
N
INDYMAC INDA MORTGAGE LOAN TR 2007-AR1
N/A
INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR1 3A1
45669AAG9
19289.860000
PA
USD
17332.030000
0.0003877
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
2.82632
N
N
N
N
N
N
INDYMAC INDA MTGE LOAN TRUST 2006-AR3
N/A
INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR3 1A1
45662FAA8
468558.940000
PA
USD
417610.980000
0.0093413
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
2.93818
Y
N
N
N
N
N
VALARIS LIMITED
N/A
VALARIS LTD COMMON STOCK USD.01
G9460G101
10960.000000
NS
USD
462950.400000
0.0103555
Long
EC
CORP
BM
N
1
N
N
N
INDYMAC INDX MORTGAGE LN TRUST 2004-AR5
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR5 2A1B
45660NS48
121103.350000
PA
USD
106997.300000
0.0023934
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
2.42357
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2005-AR23
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 6A1
45660LF95
2578073.690000
PA
USD
2358111.930000
0.0527474
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.91556
Y
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2005-AR8
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR8 2A1A
45660LJJ9
42428.690000
PA
USD
38571.650000
0.0008628
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
2.08357
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2006-AR11
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1
45661KAD2
641707.140000
PA
USD
607709.750000
0.0135935
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
3.23595
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2006-FLX1
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 FLX1 A1
45667WAA6
117679.300000
PA
USD
113733.360000
0.0025440
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.83357
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2007-AR5
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR5 2A1
45669EAC0
1781651.980000
PA
USD
1528911.640000
0.0341994
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
2.9844
Y
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2007-AR7
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1
45670CAC1
148927.950000
PA
USD
126736.140000
0.0028349
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
2.81023
Y
N
N
N
N
N
INDYMAC INDX MTGE LOAN TRUST 2004-AR15
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR15 1A1
45660LBE8
215582.960000
PA
USD
198311.360000
0.0044359
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
2.84161
N
N
N
N
N
N
INDYMAC INDX MTGE LOAN TRUST 2004-AR7
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR7 A2
45660NT96
213439.470000
PA
USD
191696.220000
0.0042880
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
2.48357
N
N
N
N
N
N
INDYMAC INDX MTGE LOAN TRUST 2006-AR13
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR13 A2
45661XAB8
342274.930000
PA
USD
253790.840000
0.0056769
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
2.22357
N
N
N
N
N
N
INDYMAC INDX MTGE LOAN TRUST 2006-AR14
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A
45668GAD4
3738304.260000
PA
USD
3584347.060000
0.0801764
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
2.02357
Y
N
N
N
N
N
INDYMAC INDX MTGE LOAN TRUST 2006-AR31
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR31 A5
45667QAE1
615345.790000
PA
USD
575868.590000
0.0128813
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
3.00879
Y
N
N
N
N
N
INDYMAC INDX MTGE LOAN TRUST 2007-FLX1
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3
45668WAC1
2302302.730000
PA
USD
1598221.950000
0.0357498
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
1.87357
N
N
N
N
N
N
INDYMAC RESIDENTIAL ASSET BACKED 2006-D
N/A
INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A3
43709LAC1
3670933.100000
PA
USD
3213770.140000
0.0718872
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.78357
N
N
N
N
N
N
INDYMAC RESIDENTIAL ASSET BACKED 2007-A
N/A
INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3
43710BAD8
13464417.220000
PA
USD
9355981.890000
0.2092792
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
1.86357
N
N
N
N
N
N
INDYMAC RESIDENTIAL ASSET BACKED 2007-A
N/A
INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A4A
43710BAE6
2961897.910000
PA
USD
2587276.770000
0.0578735
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
1.94357
N
N
N
N
N
N
INNOPHOS (IRIS HOLDINGS INC)
N/A
IRIS HOLDINGS INC SR UNSECURED 144A 02/26 8.75
46272EAA1
1900000.000000
PA
USD
1522954.500000
0.0340662
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
8.75
N
N
Y
N
N
N
INSTANT BRANDS HOLDINGS INC
N/A
INSTANT BRANDS HOLDINGS INC TERM LOAN
45783DAB5
3956943.690000
PA
USD
3178743.450000
0.0711037
Long
LON
CORP
US
N
2
2028-04-12
Floating
7.0757
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5
45824TBC8
129139000.000000
PA
USD
106862522.500000
2.3903530
Long
DBT
CORP
LU
N
2
2030-03-15
Fixed
6.5
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B
L5137LAQ8
36499772.710000
PA
USD
33488541.460000
0.7490880
Long
LON
CORP
LU
N
2
2029-02-01
Floating
4.9195
N
N
N
N
N
N
INTER MEDIA AND COMMUNICATION SPA
81560082CE2ED97AFD36
INTER MEDIA COMMUNICATIO SR SECURED 144A 02/27 6.75
ACI239TV9
10250000.000000
PA
9613180.170000
0.2150323
Long
DBT
CORP
IT
N
2
2027-02-09
Fixed
6.75
N
N
N
N
N
N
VICI PROPERTIES INC
254900RKH6RY9KCJQH63
VICI PROPERTIES INC REIT USD.01
925652109
934693.000000
NS
USD
27844504.470000
0.6228395
Long
EC
CORP
US
N
1
N
N
N
IVORY COAST GOVT (AKA: COTE D'IVOIRE)
254900ICW11T82O6H590
IVORY COAST SR UNSECURED 144A 01/32 4.875
ACI1T3TK0
14700000.000000
PA
11125174.450000
0.2488533
Long
DBT
NUSS
CI
N
2
2032-01-30
Fixed
4.875
N
N
N
N
N
N
IVORY COAST GOVT (AKA: COTE D'IVOIRE)
254900ICW11T82O6H590
IVORY COAST SR UNSECURED 144A 03/48 6.625
ACI11JRN1
8000000.000000
PA
5645589.010000
0.1262833
Long
DBT
NUSS
CI
N
2
2048-03-22
Fixed
6.625
N
N
N
N
N
N
IVORY COAST GOVT (AKA: COTE D'IVOIRE)
254900ICW11T82O6H590
REPUBLIC OF COTE DIVOIRE THE 2021 EUR TERM LOAN A
937JLBII2
1000000.000000
PA
1007823.580000
0.0225435
Long
LON
NUSS
CI
N
3
2027-03-19
Floating
5
N
N
N
N
N
N
IXIS REAL ESTATE CAPITAL TRUST 2005-HE2
N/A
IXIS REAL ESTATE CAPITAL TRUST IXIS 2005 HE2 M5
45071KBN3
3546461.400000
PA
USD
3431905.730000
0.0767665
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.59857
Y
N
N
N
N
N
J.P. MORGAN ALTERNATIVE LN TRUST 2005-S1
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 S1 2A12
46627MAX5
556741.970000
PA
USD
439765.750000
0.0098369
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
6
Y
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST D 144A
46652DAG0
2500000.000000
PA
USD
2343976.750000
0.0524312
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.824
N
N
N
N
N
N
JACKSON PARK TRUST 2019-LIC
N/A
JACKSON PARK TRUST JAX 2019 LIC E 144A
46868RAN4
3900000.000000
PA
USD
2925809.250000
0.0654459
Long
ABS-MBS
CORP
US
N
2
2039-10-14
Variable
3.35048
N
N
N
N
N
N
VOYAGER AVIATION HOLDINGS LLC
549300KHOKL1CX4NIJ92
VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9
942UCF009
16278.000000
NS
USD
0.020000
0.0000000
Long
EC
CORP
US
N
3
N
N
N
JEFFERIES & CO 2009-R7
N/A
JEFFERIES + CO JMAC 2009 R7 10A2 144A
47233AAV9
3567554.340000
PA
USD
1285085.870000
0.0287454
Long
ABS-MBS
CORP
US
N
2
2036-12-26
Fixed
6
N
N
N
N
N
N
JEFFERSON CAPITAL HOLDINGS LLC
N/A
JEFFERSON CAPITAL HOLDIN COMPANY GUAR 144A 08/26 6
472481AA8
11750000.000000
PA
USD
10302165.000000
0.2304439
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6
N
N
N
N
N
N
JP MORGAN ALTERNATIVE LN TRUST 2006-A2
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1
46628GAL3
618346.110000
PA
USD
403793.300000
0.0090322
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
3.0484
Y
N
N
N
N
N
JP MORGAN ALTERNATIVE LN TRUST 2006-A6
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A1
466285AK9
7743.170000
PA
USD
3819.860000
0.0000854
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
5.5
Y
N
N
N
N
N
JP MORGAN ALTERNATIVE LN TRUST 2006-A6
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A7
466285AR4
114515.020000
PA
USD
111189.610000
0.0024871
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
2.57405
Y
N
N
N
N
N
JP MORGAN ALTERNATIVE LN TRUST 2006-S4
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S4 A4
466302AG1
2837041.150000
PA
USD
2743444.040000
0.0613667
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
6.46
Y
N
N
N
N
N
JP MORGAN ALTERNATIVE LN TRUST 2007-A2
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 12A1
466278AC2
23261085.560000
PA
USD
10687666.310000
0.2390669
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
2.02357
N
N
N
N
N
N
JP MORGAN ALTERNATIVE LN TRUST 2008-R4
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A1 144A
466309AC5
5353056.810000
PA
USD
4171537.070000
0.0933110
Long
ABS-MBS
CORP
US
N
2
2037-06-27
Floating
1.523
N
N
N
N
N
N
JP MORGAN ALTERNATIVE LN TRUST 2008-R4
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A2 144A
466309AD3
13280733.090000
PA
USD
6738450.070000
0.1507289
Long
ABS-MBS
CORP
US
N
2
2037-06-27
Fixed
8.58935
N
N
N
N
N
N
JP MORGAN CHASE COMM MTGE SEC 2004-PNC1
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2004 PNC1 E
46625M5N5
719852.330000
PA
USD
700947.210000
0.0156791
Long
ABS-MBS
CORP
US
N
2
2041-06-12
Variable
6.07719
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5
N/A
JP MORGAN CHASE COMMERCIAL 11/38 VAR
46654PAN6
11300000.000000
PA
USD
10550767.060000
0.2360047
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
4.84
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 G 144A
46654PAS5
19700000.000000
PA
USD
18593837.120000
0.4159160
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
6.585
N
N
N
N
N
N
JP MORGAN MORTGAGE ACQ CORP 2005-RM1
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2
46629NAC7
5770.550000
PA
USD
2854.060000
0.0000638
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
1.78357
N
N
N
N
N
N
JP MORGAN MORTGAGE ACQ CORP 2007-HE1
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 HE1 AV3
46630KAT3
466035.080000
PA
USD
462069.820000
0.0103358
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Floating
1.81357
N
N
N
N
N
N
JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4
46628TAD3
1387552.600000
PA
USD
703408.550000
0.0157342
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.92357
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2006-A3
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A1
46628KAG5
211771.820000
PA
USD
182177.280000
0.0040750
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
3.23185
Y
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2006-A6
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L
46628BAG5
14695.480000
PA
USD
11840.520000
0.0002649
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
2.99132
Y
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2006-A6
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1
46628BBC3
378104.290000
PA
USD
295510.620000
0.0066101
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
2.90785
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2007-A1
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 6A1
46630GAX3
26888.950000
PA
USD
26338.030000
0.0005891
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
3.06506
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2007-A4
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2007 A4 1A1
46631JAA6
1893700.370000
PA
USD
1591683.570000
0.0356036
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
3.39701
Y
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2007-S3
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A96
46631NDZ9
346790.980000
PA
USD
212821.050000
0.0047605
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Fixed
6
Y
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2006-CH2
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AF3
46629QAD8
2859460.650000
PA
USD
1941148.870000
0.0434206
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Variable
5.462
Y
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2006-CH2
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AF5
46629QAF3
7834138.790000
PA
USD
5315553.260000
0.1189009
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
5.888
Y
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2006-WF1
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A3B
46628SAF0
1023915.940000
PA
USD
333747.860000
0.0074654
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.94357
Y
N
N
N
N
N
JP MORGAN REREMIC 2009-4
N/A
JP MORGAN REREMIC JPMRR 2009 4 4A2 144A
46633JBD7
4092037.110000
PA
USD
1674735.340000
0.0374613
Long
ABS-MBS
CORP
US
N
2
2036-04-26
Variable
6.5
N
N
N
N
N
N
JP MORGAN REREMIC 2010-2
N/A
JP MORGAN REREMIC JPMRR 2010 2 2A4 144A
46634FAR4
478495.920000
PA
USD
443366.850000
0.0099174
Long
ABS-MBS
CORP
US
N
2
2037-03-21
Floating
2.41495
N
N
N
N
N
N
JP MORGAN RESECURITIZATION TRUST SERIES 2009-9 2009-9
N/A
JP MORGAN REREMIC JPMRR 2009 9 A2 144A
46633XAB1
1190988.930000
PA
USD
927469.050000
0.0207461
Long
ABS-MBS
CORP
US
N
2
2036-09-26
Fixed
6
N
N
N
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND MINING HOLDINGS L COMMON
935ZXN908
240900.000000
NS
USD
24.090000
0.0000005
Long
EC
CORP
US
Y
3
N
N
N
KGS-ALPHA SBA COOF TRUST SERIES 2012-5
N/A
KGS ALPHA SBA COOF TRUST KSBA 2012 5 A 144A
48248JAA7
1106749.370000
PA
USD
20787.930000
0.0004650
Long
ABS-O
CORP
US
N
3
2038-04-25
Variable
1.01234
N
N
N
N
N
N
KIK CUSTOM PRODUCTS (KRONOS ACQUISITION HOLDINGS INC)
N/A
KRONOS ACQUISITION HOLDINGS 2021 1ST LIEN TERM LOAN
50106JAF3
8258500.000000
PA
USD
8093330.000000
0.1810356
Long
LON
CORP
US
N
3
2026-12-22
Floating
7.6485
N
N
N
N
N
N
LABRADOR AVIATION FINANCE LTD 2016-1A
N/A
LABRADOR AVIATION FINANCE LIMI LAFL 2016 1A A1 144A
50543LAA0
3611710.500000
PA
USD
3238212.680000
0.0724339
Long
ABS-O
CORP
US
N
2
2042-01-15
Fixed
4.3
N
N
N
N
N
N
LANSDOWNE MORTGAGE SEC PLC
N/A
LANSDOWNE MORTGAGE SECURITIES LANSD 2 A2 REGS
B1L1F5II6
7230608.280000
PA
6857470.930000
0.1533913
Long
ABS-MBS
CORP
IE
N
2
2048-09-16
Floating
0.097
N
N
N
N
N
N
LANSDOWNE MORTGAGE SECURITIES NO.1 PLC
N/A
LANSDOWNE MORTGAGE SECURITIES LANSD 1 M1 REGS
B12GGNII4
800000.000000
PA
651950.990000
0.0145832
Long
ABS-MBS
CORP
IE
N
2
2045-06-15
Floating
0.179
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP SR UNSECURED 08/24 3.2
517834AG2
100000.000000
PA
USD
94567.570000
0.0021153
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.2
N
N
N
N
N
N
LAVENDER TRUST 2010-RR1A
N/A
LAVENDER TRUST LTS 2010 RR1A A4 144A
519440DG3
7337419.410000
PA
USD
6858130.370000
0.1534060
Long
ABS-MBS
CORP
US
N
2
2036-11-26
Fixed
6
N
N
N
N
N
N
LAVENDER TRUST SERIES 2010-RR2A
N/A
LAVENDER TRUST LTS 2010 RR2A A4 144A
519440AD3
3741332.910000
PA
USD
2270919.860000
0.0507970
Long
ABS-MBS
CORP
US
N
2
2036-10-26
Fixed
6.25
N
N
N
N
N
N
LEALAND FINANCE COMPANY BV
N/A
LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL
N5200EAC5
385329.940000
PA
USD
240831.210000
0.0053870
Long
LON
CORP
US
N
3
2024-06-28
Floating
4.6661
N
N
N
N
N
N
LEALAND FINANCE COMPANY BV
N/A
LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL
N5200EAB7
5640321.880000
PA
USD
2890664.960000
0.0646598
Long
LON
CORP
US
N
2
2025-06-30
Fixed
2.6661
N
N
Y
N
N
N
LEHMAN ABS MTGE LN TR 2007-1
N/A
LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A1 144A
52521MAB8
3681224.030000
PA
USD
2637283.010000
0.0589920
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.71357
N
N
N
N
N
N
LEHMAN MORTGAGE TRUST 2006-2
N/A
LEHMAN MORTGAGE TRUST LMT 2006 2 1A1
52520MGG2
202079.280000
PA
USD
147037.550000
0.0032890
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
5.91896
Y
N
N
N
N
N
LEHMAN MORTGAGE TRUST 2006-4
N/A
LEHMAN MORTGAGE TRUST LMT 2006 4 1A1
52520RAA0
518147.820000
PA
USD
459567.740000
0.0102798
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
6
Y
N
N
N
N
N
LEHMAN MORTGAGE TRUST 2006-5
N/A
LEHMAN MORTGAGE TRUST LMT 2006 5 1A12
52520TAM0
340896.540000
PA
USD
224178.750000
0.0050145
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6
Y
N
N
N
N
N
LEHMAN MORTGAGE TRUST 2007-10
N/A
LEHMAN MORTGAGE TRUST LMT 2007 10 1A1
52522QAA0
527612.840000
PA
USD
521817.380000
0.0116723
Long
ABS-MBS
CORP
US
N
2
2038-01-25
Fixed
6
Y
N
N
N
N
N
LEHMAN MORTGAGE TRUST 2007-4
N/A
LEHMAN MORTGAGE TRUST LMT 2007 4 4A1
52521LBG8
103268.730000
PA
USD
119460.870000
0.0026722
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6
Y
N
N
N
N
N
LEHMAN MORTGAGE TRUST 2007-8
N/A
LEHMAN MORTGAGE TRUST LMT 2007 8 2A1
52521YAC0
3150335.210000
PA
USD
1276097.150000
0.0285444
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6.5
Y
N
N
N
N
N
LEHMAN MORTGAGE TRUST 2007-8
N/A
LEHMAN MORTGAGE TRUST LMT 2007 8 3A1
52521YAL0
31154158.900000
PA
USD
10162044.240000
0.2273096
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
7.25
Y
N
N
N
N
N
LEHMAN XS TRUST 2006-11
N/A
LEHMAN XS TRUST LXS 2006 11 2A4
52522WAH2
545249.400000
PA
USD
567860.130000
0.0127022
Long
ABS-MBS
CORP
US
N
2
2046-06-24
Variable
6.67
Y
N
N
N
N
N
LEHMAN XS TRUST 2007-10H
N/A
LEHMAN XS TRUST LXS 2007 10H 1A3
525237AC7
22485141.140000
PA
USD
15807027.240000
0.3535793
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
2.18357
Y
N
N
N
N
N
LEHMAN XS TRUST 2007-14H
N/A
LEHMAN XS TRUST LXS 2007 14H A12
52525LAR1
3395246.120000
PA
USD
2899909.590000
0.0648666
Long
ABS-MBS
CORP
US
N
2
2047-07-25
Floating
2.62357
N
N
N
N
N
N
LEHMAN XS TRUST 2007-15N
N/A
LEHMAN XS TRUST LXS 2007 15N 4A1
52524VAQ2
255524.600000
PA
USD
231643.650000
0.0051815
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
1.90571
Y
N
N
N
N
N
LEHMAN XS TRUST 2007-6
N/A
LEHMAN XS TRUST LXS 2007 6 3A6
52524PAM4
7699272.930000
PA
USD
6759556.650000
0.1512011
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
6.5
Y
N
N
N
N
N
LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST1
N/A
LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST1 CERT 144A
52607NAB3
1400000.000000
PA
USD
1341223.480000
0.0300011
Long
ABS-O
CORP
US
N
3
2028-03-15
Fixed
0
N
N
N
N
N
N
LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2
N/A
LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 CERT 144A
52607QAB6
1700000.000000
PA
USD
1602168.690000
0.0358381
Long
ABS-O
CORP
US
N
3
2028-04-15
Fixed
0
N
N
N
N
N
N
245 PARK AVENUE TRUST 2017-245P
N/A
PARK AVENUE TRUST PRKAV 2017 245P D 144A
90187LAL3
2500000.000000
PA
USD
2120643.250000
0.0474356
Long
ABS-MBS
CORP
US
N
2
2037-06-05
Variable
3.77931
N
N
N
N
N
N
245 PARK AVENUE TRUST 2017-245P
N/A
PARK AVENUE TRUST PRKAV 2017 245P E 144A
90187LAN9
1326000.000000
PA
USD
1090237.200000
0.0243870
Long
ABS-MBS
CORP
US
N
2
2037-06-05
Variable
3.77931
N
N
N
N
N
N
LIFEMILES LTD
254900CGQFLUG99LJ840
LIFEMILES LTD 2021 TERM LOAN B
G6368CAE9
16503820.960000
PA
USD
15523906.590000
0.3472463
Long
LON
CORP
BM
N
2
2026-08-30
Floating
6.8249
N
N
N
N
N
N
LIFEPOINT HEALTH INC
549300G8ZVHRTBBBSZ90
REGIONALCARE HOSPITAL PARTNERS 2018 TERM LOAN B
75915TAD4
259617.720000
PA
USD
242803.320000
0.0054311
Long
LON
CORP
US
N
2
2025-11-16
Floating
5.4161
N
N
N
N
N
N
280 PARK AVENUE 2017-280P MORTGAGE TRUST
N/A
280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P F 144A
90205FAQ3
2500000.000000
PA
USD
2323061.250000
0.0519634
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
4.01799
N
N
N
N
N
N
510 LOAN ACQUISITION TRUST 2020-1
N/A
510 LOAN ACQUISITION TRUST FTLA 2020 1 A 144A
33831HAA6
19771778.040000
PA
USD
19297566.770000
0.4316574
Long
ABS-MBS
CORP
US
N
2
2060-09-25
Fixed
5.107
N
N
N
N
N
N
LOANCORE ISSUER LTD 2021-CRE4
N/A
LOANCORE 2018 CRE1 ISSUER, LTD LNCR 2021 CRE4 E 144A
53946CAJ8
2705000.000000
PA
USD
2597004.360000
0.0580911
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
3.94372
N
N
N
N
N
N
LONG BEACH MORTGAGE LOAD TR 2005-WL3
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL3 M2
542514PS7
56091376.410000
PA
USD
53157758.160000
1.1890587
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.32857
N
N
N
N
N
N
LONG BEACH MORTGAGE LOAD TR 2006-1
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 2A3
542514RL0
44022646.890000
PA
USD
37384872.570000
0.8362431
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.00357
N
N
N
N
N
N
LONG BEACH MORTGAGE LOAN TRUST 2006-3
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A4
542514UL6
6819777.270000
PA
USD
2443375.480000
0.0546546
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
2.16357
N
N
N
N
N
N
LUXE TRUST 2021-TRIP
N/A
LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP F 144A
55066WAL8
5211000.000000
PA
USD
4837149.310000
0.1081997
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
4.574
N
N
N
N
N
N
MADISON PARK FUNDING XXIII LTD 2017-23A
N/A
MADISON PARK FUNDING LTD MDPK 2017 23A SUB 144A
55820UAC9
5600000.000000
PA
USD
3257138.640000
0.0728573
Long
ABS-CBDO
CORP
KY
N
2
2047-07-27
Variable
0
N
N
N
N
N
N
MARGATE FUNDING LTD
N/A
MARGATE FUNDING LTD MGATE 2004 1A A1S 144A
56659NAA3
17560688.240000
PA
USD
5996465.770000
0.1341319
Long
ABS-CBDO
CORP
KY
N
2
2044-12-04
Floating
0.85214
N
N
N
N
N
N
MARKET BIDCO FINCO PLC
549300UGYX6EBVHRVG53
MARKET BIDCO FINCO PLC SR SECURED 144A 11/27 4.75
ACI261ZG9
6600000.000000
PA
5512426.590000
0.1233046
Long
DBT
CORP
GB
N
2
2027-11-04
Fixed
4.75
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2019-2
N/A
MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A
57109H102
16400.000000
PA
USD
1230110.230000
0.0275157
Long
ABS-O
CORP
US
N
3
2029-07-16
Fixed
0
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2019-3
N/A
MARLETTE FUNDING TRUST MFT 2019 3A CERT 144A
57109M101
35261.000000
PA
USD
2909382.920000
0.0650785
Long
ABS-O
CORP
US
N
3
2029-09-17
Fixed
0
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2020-1A
N/A
MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A
57109J108
33014.000000
PA
USD
2475076.040000
0.0553637
Long
ABS-O
CORP
US
N
3
2030-03-15
Fixed
0
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2020-2A
N/A
MARLETTE FUNDING TRUST MFT 2020 2A CERT 144A
57108R101
8800.000000
PA
USD
1030917.840000
0.0230601
Long
ABS-O
CORP
US
N
3
2030-09-16
Fixed
0
N
N
N
N
N
N
AADVANTAGE LOYALTY IP LTD
N/A
AADVANTAGE LOYALTY IP LTD 2021 TERM LOAN
02376CBJ3
9397000.000000
PA
USD
9002326.000000
0.2013684
Long
LON
CORP
KY
N
2
2028-04-20
Floating
5.8127
N
N
N
N
N
N
MASTR ADJUSTABLE RATE MTGES TR 2007-1
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 1 I2A3
576431AD2
66529.660000
PA
USD
65317.530000
0.0014611
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
1.2159
Y
N
N
N
N
N
MASTR ADJUSTABLE RATE MTGES TRU 2004-10
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1
576433SV9
194489.220000
PA
USD
181718.440000
0.0040648
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
2.98247
N
N
N
N
N
N
MASTR ALT LN TR 2006-2
N/A
MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1
5764342H6
26450174.120000
PA
USD
2457110.090000
0.0549618
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.02357
Y
N
N
N
N
N
MASTR ALT LN TR 2006-2
N/A
MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A3
5764342K9
20011120.980000
PA
USD
1824273.820000
0.0408062
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
1.97357
Y
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2006-FRE1
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 FRE1 M1
57643LPQ3
15130379.950000
PA
USD
12603199.490000
0.2819145
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
2.16357
Y
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2006-FRE2
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A4
57643GAD9
5652941.070000
PA
USD
4130113.930000
0.0923844
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
1.92357
N
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2006-HE2
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A4
57644UAF2
2792202.870000
PA
USD
1237989.320000
0.0276919
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
2.10357
N
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2006-NC1
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M1
57643LNG7
226855.220000
PA
USD
222291.870000
0.0049723
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.19357
N
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2006-NC2
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A3
55275BAC1
2881274.490000
PA
USD
1233017.790000
0.0275807
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
1.84357
N
N
N
N
N
N
MASTR ASSET BACKED SEC TRUST 2006-WMC1
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 WMC1 A3
57643LRK4
6489717.950000
PA
USD
2839176.320000
0.0635081
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
1.98357
N
N
N
N
N
N
MASTR ASSET BACKED SECURITIES TRUST 2006-AM2
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 AM2 A3
57645FAC1
4389926.360000
PA
USD
3940799.140000
0.0881497
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.96357
N
N
N
N
N
N
MASTR ASSET SECURIZATION TR 2007-3
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5
57645NAT7
6765000.000000
PA
USD
5756454.180000
0.1287632
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
2.30357
Y
N
N
N
N
N
MBRT 2019-MBR
N/A
MBRT 2019 MBR MBRT 2019 MBR F 144A
55282DAN4
9308000.000000
PA
USD
8687017.710000
0.1943155
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
4.12349
N
N
N
N
N
N
MCAFEE CORP
2549009UKR8UEZYVCR93
CONDOR MERGER SUB INC SR UNSECURED 144A 02/30 7.375
579063AB4
4100000.000000
PA
USD
3344493.000000
0.0748113
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
7.375
N
N
N
N
N
N
MCAFEE CORP
2549009UKR8UEZYVCR93
MCAFEE LLC 2022 USD TERM LOAN B
57906HAD9
14600000.000000
PA
USD
13282350.000000
0.2971061
Long
LON
CORP
US
N
2
2029-03-01
Floating
5.6985
N
N
N
N
N
N
MELCO RESORTS FINANCE LIMITED
N/A
MELCO RESORTS FINANCE SR UNSECURED 144A 07/28 5.75
58547DAE9
36928000.000000
PA
USD
23818560.000000
0.5327852
Long
DBT
CORP
KY
N
2
2028-07-21
Fixed
5.75
N
N
N
N
N
N
MELCO RESORTS FINANCE LIMITED
N/A
MELCO RESORTS FINANCE SR UNSECURED 144A 12/29 5.375
58547DAD1
2600000.000000
PA
USD
1573090.300000
0.0351877
Long
DBT
CORP
KY
N
2
2029-12-04
Fixed
5.375
N
N
N
N
N
N
MELCO RESORTS FINANCE LIMITED
N/A
MELCO RESORTS FINANCE SR UNSECURED REGS 07/28 5.75
G5975LAF3
200000.000000
PA
USD
129000.000000
0.0028855
Long
DBT
CORP
KY
N
2
2028-07-21
Fixed
5.75
N
N
N
N
N
N
MERRILL LYNCH ALTERNATIVE NT 2007-AF1
N/A
MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 1AF8
59024KAH6
2450034.350000
PA
USD
2097525.370000
0.0469185
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6
Y
N
N
N
N
N
MERRILL LYNCH MTGE INVESTORS 2006-A1
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1
59020U5W1
7015531.030000
PA
USD
4087841.890000
0.0914388
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.60585
Y
N
N
N
N
N
MERRILL LYNCH MTGE INVESTORS 2006-A3
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A3 1A
59023CAA0
1932364.970000
PA
USD
1848825.930000
0.0413554
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.69122
Y
N
N
N
N
N
MFA 2020-NQM2 TRUST
N/A
MFRA TRUST MFRA 2020 NQM2 B1 144A
552751AE9
14456000.000000
PA
USD
13980871.760000
0.3127310
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
4.039
N
N
N
N
N
N
MGM CHINA HOLDINGS LIMITED
529900VZFN87OS7WJM66
MGM CHINA HOLDINGS LTD SR UNSECURED 144A 02/27 4.75
55300RAG6
1200000.000000
PA
USD
849708.000000
0.0190067
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
4.75
N
N
N
N
N
N
MGM CHINA HOLDINGS LIMITED
529900VZFN87OS7WJM66
MGM CHINA HOLDINGS LTD SR UNSECURED 144A 05/24 5.375
55300RAA9
200000.000000
PA
USD
170693.000000
0.0038181
Long
DBT
CORP
KY
N
2
2024-05-15
Fixed
5.375
N
N
N
N
N
N
MGM CHINA HOLDINGS LIMITED
529900VZFN87OS7WJM66
MGM CHINA HOLDINGS LTD SR UNSECURED 144A 05/26 5.875
55300RAB7
1500000.000000
PA
USD
1136177.540000
0.0254146
Long
DBT
CORP
KY
N
2
2026-05-15
Fixed
5.875
N
N
N
N
N
N
MGM CHINA HOLDINGS LIMITED
529900VZFN87OS7WJM66
MGM CHINA HOLDINGS LTD SR UNSECURED 144A 06/25 5.25
55300RAE1
1400000.000000
PA
USD
1076132.820000
0.0240715
Long
DBT
CORP
KY
N
2
2025-06-18
Fixed
5.25
N
N
N
N
N
N
MGM CHINA HOLDINGS LIMITED
529900VZFN87OS7WJM66
MGM CHINA HOLDINGS LTD SR UNSECURED REGS 02/27 4.75
G60744AG7
200000.000000
PA
USD
141618.000000
0.0031678
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
4.75
N
N
N
N
N
N
ACACIA CDO LTD 5A
N/A
ACACIA CDO LTD ACCDO 5A B 144A
00388EAB7
8856447.480000
PA
USD
3073142.990000
0.0687416
Long
ABS-CBDO
CORP
KY
N
2
2039-11-08
Floating
2.22071
N
N
N
N
N
N
ACCESS FINANCIAL MANUF HSG 1995-1
N/A
ACCESS FINANCIAL MANUF HSG CON ACCFC 1995 1 B1
004313AE2
199763.930000
PA
USD
3594.990000
0.0000804
Long
ABS-O
CORP
US
N
2
2022-08-15
Fixed
7.65
N
N
N
N
N
N
MID-STATE TRUST 2006-1
N/A
MID STATE TRUST MDST 2006 1 M2 144A
59548PAC3
3289764.110000
PA
USD
3322411.730000
0.0743173
Long
ABS-O
CORP
US
N
2
2040-10-15
Fixed
6.742
N
N
N
N
N
N
MODULAIRE (BCP V MODULAR SERVICES FINANCE II PLC)
213800227GGD6UI7PI97
BCP MODULAR SERVICES SR SECURED 144A 11/28 6.125
ACI210XN3
1300000.000000
PA
1241947.920000
0.0277805
Long
DBT
CORP
GB
N
2
2028-11-30
Fixed
6.125
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2004-HE4
N/A
MORGAN STANLEY CAPITAL INC MSAC 2004 HE4 M2
61746RGL9
646345.330000
PA
USD
641799.520000
0.0143561
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
3.57357
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2005-WMC1
N/A
MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M4
61744CLX2
6376089.830000
PA
USD
5406551.810000
0.1209364
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
2.65857
Y
N
N
N
N
N
ACE SECURITIES CORP 2005-HE4
N/A
ACE SECURITIES CORP. ACE 2005 HE4 M6
004421PV9
17938000.000000
PA
USD
15390072.130000
0.3442526
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.71857
Y
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE4
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3
61748BAC8
4936160.990000
PA
USD
2833611.610000
0.0633836
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.92357
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE8
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2C
61750SAE2
7691776.000000
PA
USD
3915791.630000
0.0875903
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.76357
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE8
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2D
61750SAF9
3706660.860000
PA
USD
1894516.250000
0.0423775
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.84357
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE8
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2FP
61750SAB8
1478963.490000
PA
USD
749827.240000
0.0167725
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.69357
N
N
N
N
N
N
ACE SECURITIES CORP 2005-HE5
N/A
ACE SECURITIES CORP. ACE 2005 HE5 M5
004421RJ4
5024135.670000
PA
USD
3584886.600000
0.0801885
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.58357
Y
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-NC4
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C
61748LAD4
523117.060000
PA
USD
456673.090000
0.0102151
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.92357
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-HE1
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2B
617526AD0
1281912.030000
PA
USD
812649.540000
0.0181777
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.72357
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-HE1
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C
617526AE8
13974158.860000
PA
USD
8881772.750000
0.1986718
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.77357
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-NC2
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2D
61753NAF7
4774371.230000
PA
USD
2712825.900000
0.0606818
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
1.95357
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL-2006-HE6
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C
61750FAE0
6759774.750000
PA
USD
2743407.260000
0.0613659
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
1.92357
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL-2006-HE6
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2FP
61750FAB6
3364681.280000
PA
USD
1350063.900000
0.0301989
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
1.74357
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I INC 2021-230P
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P F 144A
61772WAQ0
18000000.000000
PA
USD
17281368.000000
0.3865581
Long
ABS-MBS
CORP
US
N
2
2023-12-15
Floating
5.5191
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I INC 2021-230P
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P G 144A
61772WAS6
19500000.000000
PA
USD
18764867.550000
0.4197417
Long
ABS-MBS
CORP
US
N
2
2023-12-15
Floating
6.418
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2019-NUGS
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS E 144A
61692AAN2
18590000.000000
PA
USD
17607683.950000
0.3938573
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
3.74391
N
N
N
N
N
N
MORGAN STANLEY CAPITAL INC 2006-HE2
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C
617451EU9
11764.960000
PA
USD
9809.240000
0.0002194
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
1.98357
N
N
N
N
N
N
MORGAN STANLEY HOME EQUITY LN 2007-2
N/A
MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3
61752UAC9
23373950.560000
PA
USD
13630591.730000
0.3048957
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
1.85357
N
N
N
N
N
N
MORGAN STANLEY MORTGAGE LN TR-2006-6AR
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 1A1
61749CAA9
151375.750000
PA
USD
40182.810000
0.0008988
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.96357
N
N
N
N
N
N
MORGAN STANLEY MORTGAGE LN TR-2006-6AR
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 3A4
61749CAK7
1873675.700000
PA
USD
1064724.460000
0.0238163
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
3.31782
Y
N
N
N
N
N
MORGAN STANLEY MORTGAGE TRUST-2004-11AR
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A2A
61748HHB0
334610.100000
PA
USD
308311.720000
0.0068965
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
1.93357
N
N
N
N
N
N
MORGAN STANLEY MORTGAGE TRUST-2004-11AR
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR B1
61748HHP9
191950.350000
PA
USD
162199.640000
0.0036282
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
2.77976
N
N
N
N
N
N
MORGAN STANLEY MORTGAGE TRUST-2005-10
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2005 10 1A2
61748HRT0
186389.970000
PA
USD
147147.910000
0.0032915
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.75
Y
N
N
N
N
N
MORGAN STANLEY MORTGAGE TRUST-2005-3AR
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A
61745M4R1
633797.790000
PA
USD
557710.940000
0.0124752
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.74785
Y
N
N
N
N
N
MORGAN STANLEY MTGE LN TR 2006-7
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2006 7 5A2
61749JAS5
1870287.240000
PA
USD
651371.110000
0.0145702
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
5.962
Y
N
N
N
N
N
MORGAN STANLEY MTGE LN TR 2007-12
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2007 12 3A1
61755GAJ2
142658.850000
PA
USD
69598.670000
0.0015568
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Fixed
6
Y
N
N
N
N
N
MORGAN STANLEY RE-REMIC TRUST 2010-R4
N/A
MORGAN STANLEY REREMIC TRUST MSRR 2010 R4 4B 144A
61759FAU5
2281491.820000
PA
USD
2172573.630000
0.0485972
Long
ABS-MBS
CORP
US
N
2
2037-02-26
Floating
0.64817
N
N
N
N
N
N
MORGAN STANLEY REREMIC TRUST 2009-R2
N/A
MORGAN STANLEY REREMIC TRUST MSRR 2009 R2 1A1B 144A
61758MAD9
7969245.480000
PA
USD
7849221.470000
0.1755752
Long
ABS-MBS
CORP
US
N
2
2036-04-26
Fixed
6
N
N
N
N
N
N
MORGAN STANLEY REREMIC TRUST 2010-R1
N/A
MORGAN STANLEY REREMIC TRUST MSRR 2010 R1 2C 144A
61758QAQ1
8394551.810000
PA
USD
8219961.080000
0.1838681
Long
ABS-MBS
CORP
US
N
2
2035-07-26
Floating
3.06506
N
N
N
N
N
N
MORGAN STANLEY REREMIC TRUST 2010-R2
N/A
MORGAN STANLEY REREMIC TRUST MSRR 2010 R2 1B 144A
61758VAL1
896184.300000
PA
USD
865071.110000
0.0193503
Long
ABS-MBS
CORP
US
N
2
2035-09-26
Floating
2.65076
N
N
N
N
N
N
MORGAN STANLEY REREMIC TRUST 2010-R5
N/A
MORGAN STANLEY REREMIC TRUST MSRR 2010 R5 3B 144A
61759HAZ0
1431232.300000
PA
USD
1408604.800000
0.0315084
Long
ABS-MBS
CORP
US
N
2
2037-03-26
Floating
1.78126
N
N
N
N
N
N
ACE SECURITIES CORP 2006-NC3
N/A
ACE SECURITIES CORP. ACE 2006 NC3 A2B
00442EAF2
22022968.510000
PA
USD
6639636.500000
0.1485186
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.73357
N
N
N
N
N
N
MORGAN STANLEY RESECURITIZATION TRUST 2015-R7
N/A
MORGAN STANLEY REREMIC TRUST MSRR 2015 R7 2B 144A
61765PAF8
10890309.030000
PA
USD
8249766.290000
0.1845348
Long
ABS-MBS
CORP
US
N
2
2035-06-26
Floating
2.99568
N
N
N
N
N
N
MORTGAGE EQUITY CONVER ASSET TR 2010-1A
N/A
MORTGAGE EQUITY CONVERSION ASS MECA 2010 1A A 144A
61911BAA3
4919649.380000
PA
USD
4615423.180000
0.1032400
Long
ABS-MBS
CORP
US
N
2
2060-07-25
Fixed
4
N
N
N
N
N
N
MORTGAGE FUNDING 2008-1 PLC
N/A
MORTGAGE FUNDING PLC MFD 2008 1 B1 REGS
ACI1690J6
1000000.000000
PA
1178647.460000
0.0263646
Long
ABS-MBS
CORP
GB
N
2
2046-03-13
Floating
4.7904
N
N
N
N
N
N
MULTIPLAN CORPORATION
N/A
MULTIPLAN CORP SR UNSECURED 144A 10/27 6
000000000
33700000.000000
PA
USD
27853050.000000
0.6230306
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
6
N
N
Y
Y
N
MULTIPLAN CORPORATION
MULTIPLAN CORP
USD
XXXX
N
N
N
MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)
5493002WXOPRPTXWTU06
MPH ACQUISITION HOLDINGS LLC 2021 TERM LOAN B
55328HAK7
9925000.000000
PA
USD
9174421.880000
0.2052179
Long
LON
CORP
US
N
2
2028-09-01
Floating
5.8249
N
N
N
N
N
N
NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A5
N/A
NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A5 1O 144A
63546CAA0
41400000.000000
PA
USD
13036860.000000
0.2916148
Long
ABS-O
CORP
US
N
2
2038-03-25
Floating
0
N
N
N
N
N
N
NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A6
N/A
NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A6 1O 144A
63546EAA6
41775000.000000
PA
USD
13232899.650000
0.2960000
Long
ABS-O
CORP
US
N
2
2038-03-25
Floating
0
N
N
N
N
N
N
NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6
N/A
NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A6 1O 144A
63546GAA1
52025000.000000
PA
USD
14942724.550000
0.3342462
Long
ABS-O
CORP
US
N
2
2038-03-25
Floating
0
N
N
N
N
N
N
NATIONAL HEALTH INVS INC
549300ZPKZIG6DKDEC02
NATIONAL HEALTH INVESTOR COMPANY GUAR 02/31 3
63633DAF1
200000.000000
PA
USD
153720.110000
0.0034385
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
3
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-TECH
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 TECH F 144A
63874LAS3
8574230.000000
PA
USD
8122499.260000
0.1816880
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
4.325
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-TECH
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 TECH G 144A
63874LAU8
3718239.990000
PA
USD
3527700.640000
0.0789093
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
5.325
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC JR SUBORDINA 12/49 VAR
780099CK1
10802000.000000
PA
USD
10715367.960000
0.2396866
Long
DBT
CORP
GB
N
2
2025-08-10
Floating
8
N
N
N
N
Y
NATWEST GROUP PLC
NATWEST GROUP PLC
GBP
XXXX
N
N
N
ADAGIO VI CLO DAC VI-A
N/A
ADAGIO CLO ADAGI VI A SUB 144A
ACI0YQYN3
1800000.000000
PA
704823.480000
0.0157658
Long
ABS-CBDO
CORP
IE
N
2
2031-04-30
Variable
0
N
N
N
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL CORPORATION LTD SR SECURED 144A 02/27 5.875
62886HBE0
14122000.000000
PA
USD
12100859.360000
0.2706779
Long
DBT
CORP
BM
N
2
2027-02-15
Fixed
5.875
N
N
N
N
N
N
NESTLE SKIN HEALTH SA (SUNSHINE LUXEMBOURG VII SARL)
254900CHQOBZNYV4DY60
SUNSHINE LUXEMBOURG VII SARL 2021 TERM LOAN B3
L8908YAE8
1484.960000
PA
USD
1379.160000
0.0000308
Long
LON
CORP
LU
N
2
2026-10-01
Floating
6.0004
N
N
N
N
N
N
NEW CENTURY HOME EQUITY LOAN TRUST 2003-2
N/A
NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M2
64352VCS8
282386.370000
PA
USD
246983.200000
0.0055246
Long
ABS-MBS
CORP
US
N
2
2033-01-25
Floating
4.62357
Y
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 B5 144A
64828XAJ2
8300000.000000
PA
USD
5174988.170000
0.1157567
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Floating
3.87799
N
N
N
N
N
N
NEW YORK MORTGAGE TRUST 2021-SP1
N/A
NEW YORK MORTGAGE TRUST NYMT 2021 SP1 A2 144A
62955RAB1
1000000.000000
PA
USD
905849.200000
0.0202625
Long
ABS-MBS
CORP
US
N
2
2061-08-25
Fixed
3.5582
N
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2007-1
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 3A22
007037BP8
1454485.920000
PA
USD
1311838.520000
0.0293438
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
3.44859
N
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2007-1
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 5A1
007037AE4
840233.830000
PA
USD
891391.210000
0.0199391
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
1.92357
Y
N
N
N
N
N
NEWGATE FUNDING PLC 2007-3X
N/A
NEWGATE FUNDING PLC NGATE 2007 3X BB REGS
B2NDQHII8
1231445.600000
PA
1179375.480000
0.0263808
Long
ABS-MBS
CORP
GB
N
2
2050-12-15
Floating
0.969
N
N
N
N
N
N
NEWGATE FUNDING PLC 2007-3X
N/A
NEWGATE FUNDING PLC NGATE 2007 3X CB REGS
B2NDQJII4
2350941.600000
PA
2183491.660000
0.0488414
Long
ABS-MBS
CORP
GB
N
2
2050-12-15
Floating
1.219
N
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2007-3
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 3 2A1 144A
00703RAE0
898201.910000
PA
USD
693007.410000
0.0155015
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Floating
5.46349
Y
N
N
N
N
N
NGD HOLDINGS BV
984500ED2ABF0UF46690
NGD HOLDINGS BV SR SECURED 12/26 6.75
ACI1XVPP6
6184686.000000
PA
USD
2752185.270000
0.0615622
Long
DBT
CORP
NL
N
2
2026-12-31
Fixed
6.75
N
N
N
N
N
N
ADJUSTABLE RATE MORTGAGE TRUST 2006-1
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 6A1
225470B93
3632075.770000
PA
USD
2415947.840000
0.0540411
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
1.88357
N
N
N
N
N
N
NIGERIA GOVT
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA SR UNSECURED 144A 09/51 8.25
65412JAT0
7300000.000000
PA
USD
4567719.500000
0.1021730
Long
DBT
NUSS
NG
N
2
2051-09-28
Fixed
8.25
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER GROUP SA SR UNSECURED REGS 01/26 1.875
ACI1TZD42
3000000.000000
PA
1634896.320000
0.0365702
Long
DBT
CORP
LU
N
2
2026-01-14
Fixed
1.875
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER GROUP SA SR UNSECURED REGS 04/27 2.25
ACI1X8QD3
4900000.000000
PA
2495382.730000
0.0558179
Long
DBT
CORP
LU
N
2
2027-04-27
Fixed
2.25
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER GROUP SA SR UNSECURED REGS 07/24 1.5
ACI0WDFD7
600000.000000
PA
368215.260000
0.0082364
Long
DBT
CORP
LU
N
2
2024-07-26
Fixed
1.5
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER GROUP SA SR UNSECURED REGS 08/25 3.25
ACI1PQN37
1300000.000000
PA
746750.310000
0.0167037
Long
DBT
CORP
LU
N
2
2025-08-05
Fixed
3.25
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER GROUP SA SR UNSECURED REGS 11/26 2.75
ACI1SQBP8
1100000.000000
PA
589306.300000
0.0131819
Long
DBT
CORP
LU
N
2
2026-11-13
Fixed
2.75
N
N
N
N
N
N
ADLER REAL ESTATE AG
529900Y6QFNN3D363B76
ADLER REAL ESTATE AG SR UNSECURED REGS 02/24 2.125
BD3J8HII3
400000.000000
PA
306814.610000
0.0068630
Long
DBT
CORP
DE
N
2
2024-02-06
Fixed
2.125
N
N
N
N
N
N
ADLER REAL ESTATE AG
529900Y6QFNN3D363B76
ADLER REAL ESTATE AG SR UNSECURED REGS 04/23 1.875
BD8ZD2II9
600000.000000
PA
495020.560000
0.0110729
Long
DBT
CORP
DE
N
2
2023-04-27
Fixed
1.875
N
N
N
N
N
N
ADLER REAL ESTATE AG
529900Y6QFNN3D363B76
ADLER REAL ESTATE AG SR UNSECURED REGS 04/26 3
BD5N5GII7
800000.000000
PA
559360.500000
0.0125120
Long
DBT
CORP
DE
N
2
2026-04-27
Fixed
3
N
N
N
N
N
N
NISSAN MOTOR CO LTD
353800DRBDH1LUTNAY26
NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81
654744AD3
2400000.000000
PA
USD
2134416.650000
0.0477437
Long
DBT
CORP
JP
N
2
2030-09-17
Fixed
4.81
N
N
N
N
N
N
NOBLE FINANCE COMPANY
5493003DTPH8AMMK4P51
NOBLE FINANCE CO SECURED 02/28 11
65505JAC5
1578544.000000
PA
USD
1728505.680000
0.0386641
Long
DBT
CORP
KY
N
2
2028-02-15
Fixed
11
N
N
Y
N
N
N
NOBLE FINANCE COMPANY
5493003DTPH8AMMK4P51
NOBLE FINANCE CO SECURED 144A 02/28 11
65505JAA9
3748897.000000
PA
USD
4105042.220000
0.0918236
Long
DBT
CORP
KY
N
2
2028-02-15
Fixed
11
N
N
Y
N
N
N
AEGIS ASSET BACKED SEC TR 2004-3
N/A
AEGIS ASSET BACKED SECURITIES AABST 2004 3 M3
00764MCH8
740219.190000
PA
USD
710777.120000
0.0158990
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
3.72357
N
N
N
N
N
N
NOMURA HOME EQUITY LOAN INC 2006-AF1
N/A
NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4
65535AAD6
4330268.250000
PA
USD
1034008.730000
0.0231292
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.95357
Y
N
N
N
N
N
NOMURA HOME EQUITY LOAN INC 2006-HE3
N/A
NOMURA HOME EQUITY LOAN INC NHELI 2006 HE3 2A4
65536QAE8
3500000.000000
PA
USD
2975556.500000
0.0665587
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.90357
N
N
N
N
N
N
NOMURA RESECURITIZATION TRUST 2014-8R
N/A
NOMURA RESECURITIZATION TRUST NMRR 2014 8R 2A4 144A
65540QAH5
3967553.990000
PA
USD
3563024.570000
0.0796995
Long
ABS-MBS
CORP
US
N
2
2035-09-26
Variable
4.65368
N
N
N
N
N
N
NORFOLK SOUTHERN CORPORATION
54930036C8MWP850MI84
NORFOLK SOUTHERN CORP SR UNSECURED 05/21 4.1
655844CJ5
100000.000000
PA
USD
75452.980000
0.0016878
Long
DBT
CORP
US
N
2
2121-05-15
Fixed
4.1
N
N
N
N
N
N
NOVASTAR HOME EQUITY LOAN 2006-5
N/A
NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2C
66988YAD4
1138175.250000
PA
USD
427764.050000
0.0095684
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.96357
N
N
N
N
N
N
NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1
N/A
NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 2A1A
66988UAB6
181374.840000
PA
USD
174815.060000
0.0039103
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
2.00357
N
N
N
N
N
N
OAKWOOD MORTGAGE INVESTORS INC 1999-D
N/A
OAKWOOD MORTGAGE INVESTORS INC OAK 1999 D A1
67087TAQ4
1517255.040000
PA
USD
1604272.350000
0.0358851
Long
ABS-O
CORP
US
N
2
2029-11-15
Fixed
7.84
N
N
N
N
N
N
OAKWOOD MORTGAGE INVESTORS INC 2000-C
N/A
OAKWOOD MORTGAGE INVESTORS INC OAK 2000 C M1
67087TBP5
1182957.520000
PA
USD
1146554.960000
0.0256467
Long
ABS-O
CORP
US
N
2
2030-10-15
Fixed
8.49
Y
N
N
N
N
N
OAKWOOD MORTGAGE INVESTORS INC 2002-B
N/A
OAKWOOD MORTGAGE INVESTORS INC OAK 2002 B A1
67087TDM0
2858.720000
PA
USD
2809.420000
0.0000628
Long
ABS-O
CORP
US
N
2
2032-06-15
Floating
1.554
N
N
N
N
N
N
OCP CLO 2020-18 LTD 2020-18A
N/A
OCP CLO LTD OCP 2020 18A PREF 144A
67570T105
10500.000000
PA
USD
4877194.880000
0.1090955
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
0
N
N
N
N
N
N
ODEBRECHT DRILLING NORBE VIII/IX LTD
549300YNW6BY570L6488
ODEBRECHT DRILL VIII/IX SR SECURED 144A 12/26 7.35
675757AC2
4914962.000000
PA
USD
3032531.550000
0.0678331
Long
DBT
CORP
KY
N
2
2026-12-01
Fixed
7.35
N
N
Y
N
N
N
ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED
549300L7LF2PIRAWID66
ODBRCHT OFFSHRE DRLL FIN SR SECURED 144A 12/22 6.72
67576GAC1
916143.240000
PA
USD
884078.230000
0.0197755
Long
DBT
CORP
KY
N
2
2022-12-01
Fixed
6.72
N
N
N
N
N
N
ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED
549300L7LF2PIRAWID66
ODBRCHT OFFSHRE DRLL FIN SR SECURED 144A 12/26 7.72
67576GAD9
24320029.000000
PA
USD
6080007.250000
0.1360006
Long
DBT
CORP
KY
N
2
2026-12-01
Fixed
7.72
N
N
Y
N
N
N
ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED
549300L7LF2PIRAWID66
ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/22 6.72
G6711KAC9
4022813.180000
PA
USD
3882014.720000
0.0868348
Long
DBT
CORP
KY
N
2
2022-12-01
Fixed
6.72
N
N
N
N
N
N
ODEBRECHT OIL & GAS FINANCE LIMITED
N/A
ODEBRECHT OIL + FINANCE COMPANY GUAR 144A 12/99 0.0000
67576JAB7
5220246.000000
PA
USD
22186.050000
0.0004963
Long
DBT
CORP
KY
N
2
2022-08-08
None
0
N
N
N
N
N
N
OI S.A. - EM RECUPERA\xc7\xc3O JUDICIAL
N/A
OI SA TERM LOAN 2
938XAMII8
3020109.870000
PA
USD
1057038.450000
0.0236444
Long
LON
CORP
BR
N
3
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
OI SA (AKA: BRASIL TELECOM S/A)
254900YEMWCRRAGD4978
OI SA COMPANY GUAR 07/25 VAR
P7354PAA2
48943000.000000
PA
USD
24028046.560000
0.5374711
Long
DBT
CORP
BR
N
2
2025-07-27
Fixed
10
N
N
Y
N
N
N
OPTION ONE MORTGAGE LOAN TRUST 2007-1
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 1A1
68400DAA2
293318.160000
PA
USD
202965.340000
0.0045400
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.76357
N
N
N
N
N
N
OPTION ONE MORTGAGE LOAN TRUST 2007-1
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3
68400DAE4
8436327.630000
PA
USD
5265185.470000
0.1177742
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.76357
N
N
N
N
N
N
OPTION ONE MORTGAGE LOAN TRUST 2007-1
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A4
68400DAF1
1720602.220000
PA
USD
1074101.590000
0.0240260
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.84357
N
N
N
N
N
N
OPTION ONE MORTGAGE LOAN TRUST 2007-2
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A3
68401TAE8
514497.750000
PA
USD
292941.740000
0.0065527
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
1.87357
N
N
N
N
N
N
OPTION ONE MORTGAGE LOAN TRUST 2007-3
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A4
68402BAE6
2109197.430000
PA
USD
1088195.490000
0.0243413
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
1.95357
N
N
N
N
N
N
OPTION ONE MORTGAGE LOAN TRUST 2007-6
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2
68403KAB1
12548166.560000
PA
USD
9643839.450000
0.2157181
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
1.75357
N
N
N
N
N
N
OPTION ONE MORTGAGE LOAN TRUST 2007-FXD1
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 FXD1 3A6
68402VAH5
2623.920000
PA
USD
2425.210000
0.0000542
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
5.662
Y
N
N
N
N
N
ORIENT POINT CDO LTD
N/A
ORIENT POINT CDO LTD ORPT 2005 1A A1VB 144A
68619MAQ4
199483275.720000
PA
USD
65497939.780000
1.4650899
Long
ABS-CBDO
CORP
KY
N
2
2045-10-03
Floating
2.56286
N
N
N
N
N
N
ORIENT POINT CDO LTD
N/A
ORIENT POINT CDO LTD ORPT 2005 1A A1VF 144A
68619MAL5
198593519.810000
PA
USD
65205799.110000
1.4585551
Long
ABS-CBDO
CORP
KY
N
2
2045-10-03
Floating
2.56286
N
N
N
N
N
N
OWNIT MORTGAGE LN ASSET-BCK CERT 2006-1
N/A
OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 1 AF2
69121PCH4
1687724.640000
PA
USD
1063037.330000
0.0237785
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
5.79
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75
694308HH3
57224000.000000
PA
USD
43961091.090000
0.9833431
Long
DBT
CORP
US
N
2
2044-02-15
Fixed
4.75
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2
694308KB2
3800000.000000
PA
USD
3395567.670000
0.0759537
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.2
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4
694308KC0
3300000.000000
PA
USD
2868360.860000
0.0641609
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
4.4
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3
694308HL4
1115000.000000
PA
USD
812483.130000
0.0181740
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.3
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25
694308HN0
2332000.000000
PA
USD
1707599.700000
0.0381964
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
4.25
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/52 5.25
694308KD8
3500000.000000
PA
USD
2890129.870000
0.0646478
Long
DBT
CORP
US
N
2
2052-03-01
Fixed
5.25
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45
694308GZ4
5473000.000000
PA
USD
4118974.710000
0.0921352
Long
DBT
CORP
US
N
2
2042-04-15
Fixed
4.45
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/25 4.95
694308KE6
900000.000000
PA
USD
883418.660000
0.0197607
Long
DBT
CORP
US
N
2
2025-06-08
Fixed
4.95
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/27 5.45
694308KF3
700000.000000
PA
USD
678061.380000
0.0151672
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.45
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/32 5.9
694308KG1
600000.000000
PA
USD
580639.740000
0.0129880
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
5.9
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6
694308HD2
1221000.000000
PA
USD
933670.100000
0.0208848
Long
DBT
CORP
US
N
2
2043-06-15
Fixed
4.6
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/25 3.45
694308JL2
1167500.000000
PA
USD
1099099.210000
0.0245852
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.45
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55
694308JM0
17261000.000000
PA
USD
15353820.370000
0.3434417
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.55
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5
694308JQ1
22912000.000000
PA
USD
17792492.540000
0.3979912
Long
DBT
CORP
US
N
2
2040-07-01
Fixed
4.5
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95
694308JN8
23853500.000000
PA
USD
19078524.740000
0.4267577
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.95
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75
694308HA8
2842000.000000
PA
USD
1928382.830000
0.0431350
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
3.75
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/50 3.5
694308JJ7
1200000.000000
PA
USD
803815.560000
0.0179801
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.5
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5
694308GY7
1802000.000000
PA
USD
1328282.470000
0.0297117
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
4.5
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4
694308HR1
57000.000000
PA
USD
40080.820000
0.0008965
Long
DBT
CORP
US
N
2
2046-12-01
Fixed
4
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/47 3.95
694308HY6
700000.000000
PA
USD
486083.910000
0.0108730
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
3.95
N
N
N
N
N
N
PALISADES CDO LTD. 2004-1A
N/A
PALISADES CDO LTD PALIS 2004 1A B1 144A
696399AD6
6700000.000000
PA
USD
3199263.400000
0.0715627
Long
ABS-CBDO
CORP
KY
N
2
2039-07-22
Floating
2.08629
N
N
N
N
N
N
AIM AVIATION FINANCE LIMITED 2015-1A
N/A
DCAL AVIATION FINANCE LIMITED DCAL 2015 1A A1 144A
001406AA5
2163840.790000
PA
USD
1770785.600000
0.0396098
Long
ABS-O
CORP
KY
N
2
2040-02-15
Variable
6.213
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
AIR CANADA 2021 TERM LOAN B
C0102MAP0
6000000.000000
PA
USD
5535000.000000
0.1238096
Long
LON
CORP
CA
N
3
2028-08-11
Floating
4.25
N
N
N
N
N
N
PARK PLACE SECURITIES INC 2004-WCW2
N/A
PARK PLACE SECURITIES INC PPSI 2004 WCW2 M5
70069FBB2
1160975.700000
PA
USD
1117302.230000
0.0249924
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
3.49857
N
N
N
N
N
N
PARK PLACE SECURITIES INC 2004-WWF1
N/A
PARK PLACE SECURITIES INC PPSI 2004 WWF1 M6
70069FDP9
25974378.690000
PA
USD
24624059.050000
0.5508030
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
3.64857
N
N
N
N
N
N
PASTOR IM FTH/FTA 4
N/A
PASTOR IM FTH/FTA IMPAS 4 A REGS
B16Q8CII1
818516.860000
PA
770487.180000
0.0172346
Long
ABS-MBS
CORP
ES
N
2
2044-03-22
Floating
0
N
N
N
N
N
N
PENNYMAC CORP
EWN0I878407TKQNXZ933
PENNYMAC CORP COMPANY GUAR 03/26 5.5
70932AAF0
7700000.000000
PA
USD
6786010.000000
0.1517928
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.5
N
N
N
Y
N
PENNYMAC MORTGAGE INVESTMENT TRUST
PENNYMAC MORTGAGE INVESTMENT
USD
XXXX
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
BONOS DE TESORERIA BONDS 02/29 5.94
ACI16QTC2
100000.000000
PA
23879.850000
0.0005342
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
BONOS DE TESORERIA SR UNSECURED 08/32 6.15
ACI0WBN59
221000.000000
PA
51082.550000
0.0011426
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
BONOS DE TESORERIA SR UNSECURED 08/40 5.35
ACI1H2BH1
100000.000000
PA
19582.080000
0.0004380
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
5.35
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU BONDS REGS 08/37 6.9
715638CQ3
900000.000000
PA
213056.810000
0.0047658
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.9
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU BONDS REGS 08/40 5.35
715638DC3
121000.000000
PA
23694.320000
0.0005300
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
5.35
N
N
N
N
N
N
AIR CANADA 2020-2 CLASS A PASS THROUGH TRUST
N/A
AIR CANADA 2020 2A PTT PASS THRU CE 144A 10/30 5.25
00909DAA1
811445.140000
PA
USD
812281.580000
0.0181695
Long
DBT
CORP
CA
N
2
2030-10-01
Fixed
5.25
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED 144A 02/29 5.94
715638BX9
1554000.000000
PA
371092.850000
0.0083008
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED 144A 08/26 8.2
715638AX0
1740000.000000
PA
475419.720000
0.0106344
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.2
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED 144A 08/28 6.35
715638BV3
2472000.000000
PA
609021.770000
0.0136229
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95
715638BD3
271000.000000
PA
67256.980000
0.0015044
Long
DBT
NUSS
PE
N
2
2031-08-12
Fixed
6.95
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15
715638BY7
155000.000000
PA
35827.130000
0.0008014
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED 144A 08/34 5.4
715638CZ3
7000.000000
PA
1477.320000
0.0000330
Long
DBT
NUSS
PE
N
2
2034-08-12
Fixed
5.4
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9
715638AV4
35000.000000
PA
8285.540000
0.0001853
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.9
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94
P78024AE9
2000.000000
PA
477.600000
0.0000107
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED REGS 08/26 8.2
715638AY8
250000.000000
PA
68307.430000
0.0015279
Long
DBT
NUSS
PE
N
2
2026-08-12
Fixed
8.2
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED REGS 08/28 6.35
P78024AC3
922000.000000
PA
227151.320000
0.0050810
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35
N
N
N
N
N
N
PERU LNG SRL
254900F70J1LOALV5K70
PERU LNG SRL SR UNSECURED REGS 03/30 5.375
P7721BAE1
42051000.000000
PA
USD
34063622.810000
0.7619517
Long
DBT
CORP
PE
N
2
2030-03-22
Fixed
5.375
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/34 6.625
ACI07KN16
11917000.000000
PA
13354238.160000
0.2987141
Long
DBT
CORP
NL
N
2
2034-01-16
Fixed
6.625
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE COMPANY GUAR 06/50 6.75
71647NBG3
18890000.000000
PA
USD
16405492.750000
0.3669661
Long
DBT
CORP
NL
N
2
2050-06-03
Fixed
6.75
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE COMPANY GUAR 12/26 6.25
B71QWNII2
932000.000000
PA
1102762.860000
0.0246671
Long
DBT
CORP
NL
N
2
2026-12-14
Fixed
6.25
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE COMPANY GUAR 12/99 6.85
71647NAN9
9413000.000000
PA
USD
7751934.960000
0.1733991
Long
DBT
CORP
NL
N
2
2099-12-31
Fixed
6.85
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 01/31 5.95
71654QDE9
14145000.000000
PA
USD
10388795.250000
0.2323816
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 01/50 7.69
71654QDD1
18477000.000000
PA
USD
12621361.550000
0.2823208
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 01/60 6.95
71654QDF6
1000000.000000
PA
USD
618650.000000
0.0138383
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7
71643VAB1
69042000.000000
PA
USD
52789513.200000
1.1808216
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.7
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 06/35 6.625
706451BG5
13250000.000000
PA
USD
9077310.000000
0.2030457
Long
DBT
CORP
MX
N
2
2035-06-15
Fixed
6.625
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 09/47 6.75
71654QCC4
25819000.000000
PA
USD
16032437.150000
0.3586214
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75
N
N
N
N
N
N
PETRORIO LUXEMBOURG SARL
222100466T5WZDU1B498
PETRORIO LUX TRAD SARL SR SECURED 144A 06/26 6.125
71677WAA0
3680000.000000
PA
USD
3390936.000000
0.0758501
Long
DBT
CORP
LU
N
2
2026-06-09
Fixed
6.125
N
N
N
N
N
N
PETRORIO LUXEMBOURG SARL
222100466T5WZDU1B498
PETRORIO LUX TRAD SARL SR SECURED REGS 06/26 6.125
L75833AA8
1800000.000000
PA
USD
1658610.000000
0.0371006
Long
DBT
CORP
LU
N
2
2026-06-09
Fixed
6.125
N
N
N
N
N
N
PG&E WILDFIRE RECOVERY FUNDING LLC
N/A
PG+E WILDFIRE RECOVERY SR SECURED 12/49 4.451
693342AD9
6950000.000000
PA
USD
7017807.740000
0.1569777
Long
DBT
CORP
US
N
2
2049-12-01
Fixed
4.451
N
N
N
N
N
N
PG&E WILDFIRE RECOVERY FUNDING LLC
N/A
PG+E WILDFIRE RECOVERY SR SECURED 12/53 4.674
693342AE7
1750000.000000
PA
USD
1751688.980000
0.0391826
Long
DBT
CORP
US
N
2
2053-12-01
Fixed
4.674
N
N
N
N
N
N
PINNACOL ASSURANCE
549300D37RE2C54DGD62
PINNACOL ASSURANCE SUBORDINATE 06/34 8.625
000000000
36300000.000000
PA
USD
40468300.690000
0.9052147
Long
DBT
CORP
US
Y
3
2034-06-25
Fixed
8.625
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST 2021-1R
N/A
PMT CREDIT RISK TRANSFER TRUST PMTCR 2021 1R A 144A
69356UAA6
4917709.610000
PA
USD
4805961.050000
0.1075021
Long
ABS-MBS
CORP
US
N
2
2024-02-27
Floating
4.52357
N
N
N
N
N
N
PREFERRED TERM SECURITIES XVIII LTD / PREFERRED TERM SECURITIES XVIII INC
N/A
PREFERRED TERM XVIII SECURED 144A 09/35 VAR
74042WAA2
106467.620000
PA
USD
105536.030000
0.0023607
Long
DBT
CORP
KY
N
2
2035-09-23
Floating
2.20886
N
N
N
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL3 A2 144A
74143EAB8
1200000.000000
PA
USD
1059382.440000
0.0236968
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Fixed
3.721
N
N
N
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A2 144A
74143FAB5
2900000.000000
PA
USD
2668672.510000
0.0596942
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
3.8441
N
N
N
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN3 A2 144A
74143JAB7
3900000.000000
PA
USD
3606140.070000
0.0806639
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
3.967
N
N
N
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL3
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 NPL3 A2 144A
74143NAB8
3500000.000000
PA
USD
3519782.840000
0.0787322
Long
ABS-MBS
CORP
US
N
3
2052-06-25
Variable
7.8701
N
N
N
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 RN1 A2 144A
69363JAB0
2100000.000000
PA
USD
1993724.040000
0.0445966
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Fixed
6.1701
N
N
N
N
N
N
PRIME MORTGAGE TR 2005-5
N/A
PRIME MORTGAGE TRUST PRIME 2005 5 1A1
74160MLQ3
58810.340000
PA
USD
52532.490000
0.0011751
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Fixed
7
Y
N
N
N
N
N
PRIME MORTGAGE TRUST 2006-1
N/A
PRIME MORTGAGE TRUST PRIME 2006 1 3A1
74161BAL9
1690199.990000
PA
USD
1187184.810000
0.0265555
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.97357
Y
N
N
N
N
N
PROFRAC SERVICES LLC
N/A
PROFRAC SERVICES LLC 2022 TERM LOAN
945AEHII6
18268750.000000
PA
USD
17994718.750000
0.4025146
Long
LON
CORP
US
N
3
2025-03-04
Floating
10.0074
N
N
N
N
N
N
PROJECT ANFORA
N/A
PROJECT ANFORA SENIOR TERM LOAN
938BZJII6
36091483.910000
PA
36831132.320000
0.8238567
Long
LON
CORP
US
Y
3
2026-10-01
Floating
2.75
N
N
N
N
N
N
PROJECT OMNI
N/A
PROJECT OMNI SENIOR TERM LOAN
965HDEII4
4534234.600000
PA
4751651.150000
0.1062873
Long
LON
CORP
US
Y
3
2026-09-03
Floating
3
N
N
N
N
N
N
PROJECT QUASAR HOLDCO SLU
N/A
PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1
944ZSGII9
21589934.910000
PA
22266972.150000
0.4980785
Long
LON
CORP
ES
N
3
2026-03-15
Floating
3.25
N
N
N
N
N
N
PROJECT QUASAR INVESTMENTS 2017 SLU
N/A
NEPTUNE QUASAR PPN
936TNJII2
1.000000
PA
0.000000
0.0000000
Long
LON
CORP
LU
N
3
2028-03-15
None
0
N
N
N
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES SA 2022 EUR PIK JUNIOR TERM LOAN
945BECII5
24009204.410000
PA
22801653.980000
0.5100385
Long
LON
CORP
ES
N
2
2027-06-30
Fixed
9
N
N
Y
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES SA 2022 EUR PIK SENIOR TERM LOAN
945BEBII7
74496345.600000
PA
70066429.740000
1.5672801
Long
LON
CORP
ES
N
2
2026-12-31
Floating
5.25
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED 144A 01/30 2.085
ACI22XZ08
1100000.000000
PA
883081.060000
0.0197532
Long
DBT
CORP
NL
N
2
2030-01-19
Fixed
2.085
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED 144A 01/32 4.193
74365PAH1
1500000.000000
PA
USD
1199131.700000
0.0268228
Long
DBT
CORP
NL
N
2
2032-01-19
Fixed
4.193
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED 144A 01/34 2.778
ACI22XT05
900000.000000
PA
658930.530000
0.0147393
Long
DBT
CORP
NL
N
2
2034-01-19
Fixed
2.778
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED 144A 01/52 4.987
74365PAJ7
1300000.000000
PA
USD
935503.920000
0.0209258
Long
DBT
CORP
NL
N
2
2052-01-19
Fixed
4.987
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED 144A 08/32 2.031
ACI1PPLN7
500000.000000
PA
363308.020000
0.0081267
Long
DBT
CORP
NL
N
2
2032-08-03
Fixed
2.031
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED 144A 08/50 4.027
74365PAD0
4500000.000000
PA
USD
2801594.880000
0.0626674
Long
DBT
CORP
NL
N
2
2050-08-03
Fixed
4.027
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED REGS 02/51 3.832
N7163RAQ6
25600000.000000
PA
USD
15463938.300000
0.3459049
Long
DBT
CORP
NL
N
2
2051-02-08
Fixed
3.832
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED REGS 08/50 4.027
N7163RAD5
3300000.000000
PA
USD
2054502.910000
0.0459561
Long
DBT
CORP
NL
N
2
2050-08-03
Fixed
4.027
N
N
N
N
N
N
PROVINCE OF BUENOS AIRES ARGENTINA
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
ACI11ZNP4
75030000.000000
PA
282539.950000
0.0063200
Long
DBT
NUSS
AR
N
2
2025-04-12
Floating
42.0333
N
N
N
N
N
N
PROVINCE OF BUENOS AIRES ARGENTINA
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
P1910WRC5
2209837000.000000
PA
8321567.930000
0.1861409
Long
DBT
NUSS
AR
N
2
2025-04-12
Floating
42.0333
N
N
N
N
N
N
PRPM-2022-1
N/A
PRESTON RIDGE PARTNERS MORTGAG PRPM 2022 1 A2 144A
693582AB4
1000000.000000
PA
USD
960684.400000
0.0214891
Long
ABS-MBS
CORP
US
N
2
2027-02-25
Fixed
6.291
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/23 FIXED 5.25
74514L3E5
2080139.000000
PA
USD
2118442.260000
0.0473864
Long
DBT
MUN
PR
N
2
2023-07-01
Fixed
5.25
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/24 ZEROCPNOID 0
74514L3Q8
958070.000000
PA
USD
877344.550000
0.0196249
Long
DBT
MUN
PR
N
2
2024-07-01
None
0
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/33 FIXED 4
74514L3K1
1862500.000000
PA
USD
1710928.450000
0.0382709
Long
DBT
MUN
PR
N
2
2033-07-01
Fixed
4
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/33 ZEROCPNOID 0
74514L3R6
2396859.000000
PA
USD
1349821.110000
0.0301935
Long
DBT
MUN
PR
N
2
2033-07-01
None
0
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/35 FIXED 4
74514L3L9
1674139.000000
PA
USD
1503720.690000
0.0336360
Long
DBT
MUN
PR
N
2
2035-07-01
Fixed
4
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/37 FIXED 4
74514L3M7
1436853.000000
PA
USD
1275389.950000
0.0285285
Long
DBT
MUN
PR
N
2
2037-07-01
Fixed
4
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/41 FIXED 4
74514L3N5
1300000.000000
PA
USD
1128791.430000
0.0252494
Long
DBT
MUN
US
N
2
2041-07-01
Fixed
4
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR
74514L3T2
40349660.000000
PA
USD
20124392.930000
0.4501522
Long
DBT
MUN
PR
N
2
2043-11-01
Variable
0
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR
74514L4G9
10800000.000000
PA
USD
4657500.000000
0.1041812
Long
DBT
MUN
PR
N
2
2051-11-01
Variable
0
N
N
N
N
N
N
PUTNAM STRUCTURED PRODUCT FUNDING 2003-1A LTD
N/A
PUTNAM STRUCTURED PRODUCT FUND PTNM 2003 1A B 144A
74686PAJ9
918539.880000
PA
USD
657926.230000
0.0147168
Long
ABS-CBDO
CORP
KY
N
2
2038-10-15
Floating
1.58363
N
N
N
N
N
N
QUANTUM BIDCO LIMITED
259400QEGOEU126C6775
ADDO AND WINTERBOTHAM GBP TERM LOAN
937ICLII2
16500000.000000
PA
16721140.850000
0.3740266
Long
LON
CORP
GB
N
2
2028-01-29
Floating
7.6316
N
N
N
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC INC SR SECURED 03/43 5.95
747262AM5
4151000.000000
PA
USD
2806534.520000
0.0627779
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.95
N
N
N
N
N
N
RAAC SERIES 2007-RP1
N/A
RAAC SERIES RAAC 2007 RP1 M2 144A
74977YAC3
17151000.000000
PA
USD
15421006.070000
0.3449446
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
4.24857
N
N
N
N
N
N
RAMP SERIES 2004-KR1 TRUST 2004-KR1
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI1 144A
760985X89
743569.560000
PA
USD
723563.670000
0.0161850
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
2.49357
N
N
N
N
N
N
RAMP SERIES 2004-KR1 TRUST 2004-KR1
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI2 144A
760985X97
1737782.050000
PA
USD
1547890.090000
0.0346240
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
3.60357
Y
N
N
N
N
N
RAMP SERIES 2004-KR1 TRUST 2004-KR1
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII1 144A
760985Y88
1745565.030000
PA
USD
1700399.930000
0.0380354
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
2.37357
N
N
N
N
N
N
RAMP SERIES 2004-KR1 TRUST 2004-KR1
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII2 144A
760985Y96
1041433.410000
PA
USD
934753.660000
0.0209090
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
3.19857
Y
N
N
N
N
N
RBSSP RESECURITIZATION TRUST 2009-13
N/A
RBSSP RESECURITIZATION TRUST RBSSP 2009 13 11A4 144A
74928GBN7
3737390.030000
PA
USD
2375713.830000
0.0531411
Long
ABS-MBS
CORP
US
N
2
2035-09-26
Floating
3.17316
N
N
N
N
N
N
RBSSP RESECURITIZATION TRUST 2009-6
N/A
RBSSP RESECURITIZATION TRUST RBSSP 2009 6 17A3 144A
74928XDE8
444550.600000
PA
USD
394930.880000
0.0088340
Long
ABS-MBS
CORP
US
N
2
2037-06-26
Variable
5.99999
N
N
N
N
N
N
RBSSP RESECURITIZATION TRUST 2009-7
N/A
RBSSP RESECURITIZATION TRUST RBSSP 2009 7 3A2 144A
75524MAK6
3542154.890000
PA
USD
2209151.330000
0.0494154
Long
ABS-MBS
CORP
US
N
2
2036-03-26
Fixed
6
N
N
N
N
N
N
RBSSP RESECURITIZATION TRUST 2010-1
N/A
RBSSP RESECURITIZATION TRUST RBSSP 2010 1 2A2 144A
74928YAD1
13871923.380000
PA
USD
13506851.810000
0.3021279
Long
ABS-MBS
CORP
US
N
2
2045-07-26
Floating
2.45094
N
N
N
N
N
N
RBSSP RESECURITIZATION TRUST 2010-3
N/A
RBSSP RESECURITIZATION TRUST RBSSP 2010 3 12A2 144A
74929FCN7
3116359.890000
PA
USD
2175213.280000
0.0486562
Long
ABS-MBS
CORP
US
N
2
2037-05-26
Floating
2.82293
N
N
N
N
N
N
REGAL TRUST IV 1999-1
N/A
REGAL TRUST IV REGAL 1999 1 A 144A
758842AA6
1030.500000
PA
USD
997.890000
0.0000223
Long
ABS-MBS
CORP
US
N
2
2031-09-29
Floating
1.742
N
N
N
N
N
N
RENAISSANCE HOME EQUITY LOAN TR 2007-1
N/A
RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3
75970JAF3
3152204.660000
PA
USD
1061722.740000
0.0237491
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
5.612
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2005-QS-17
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A3
761118PS1
1479466.320000
PA
USD
1330900.090000
0.0297702
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2005-QS10
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A
761118CW6
697151.910000
PA
USD
616094.200000
0.0137811
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2006-QA1
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA1 A31
761118TD0
120165.990000
PA
USD
114619.680000
0.0025639
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.34868
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2006-QA5
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A1
75115BAA7
7155983.240000
PA
USD
3402130.470000
0.0761005
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.98357
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2006-QS16
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A10
74922LAK9
1595280.660000
PA
USD
1364090.190000
0.0305126
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2006-QS6
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A13
74922EAN9
79801.600000
PA
USD
68984.660000
0.0015431
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2006-QS6
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A15
74922EAQ2
85795.780000
PA
USD
74166.340000
0.0016590
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QA2
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3
74922PAC8
352807.660000
PA
USD
324460.690000
0.0072577
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
1.92357
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QA4
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA4 A1B
74923YAB0
787415.240000
PA
USD
756387.690000
0.0169192
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
2.04357
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QS1
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1
74922KAA3
245355.920000
PA
USD
211467.110000
0.0047302
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QS10
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS10 A1
74924DAA7
887026.890000
PA
USD
762872.840000
0.0170643
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6.5
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QS6
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS6 A62
75116CCP9
48069.370000
PA
USD
41414.980000
0.0009264
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
5.5
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2005-QO5
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO5 A1
761118QM3
3138343.720000
PA
USD
2775802.250000
0.0620905
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
1.4759
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2006-QS12
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 1A4
751151AD3
3222214.000000
PA
USD
1674682.250000
0.0374601
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2007-QH4
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A1
74922TAA4
7736246.890000
PA
USD
6998534.630000
0.1565466
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
2.00357
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2007-QS11
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS11 A1
74925GAA9
5206443.800000
PA
USD
4408530.780000
0.0986122
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Fixed
7
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2007-QS3
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A5
75116BAE8
2421936.960000
PA
USD
2034223.360000
0.0455025
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.25
Y
N
N
N
N
N
RESIDENTIAL ASSET MTG PROD INC 2003-RS7
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2003 RS7 MII1
760985YC9
470565.560000
PA
USD
458022.210000
0.0102453
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
2.74857
N
N
N
N
N
N
RESIDENTIAL ASSET MTG PRODS INC 2005-SL1
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 SL1 A7
76112BMS6
428322.450000
PA
USD
302773.900000
0.0067726
Long
ABS-MBS
CORP
US
N
2
2032-05-25
Fixed
8
Y
N
N
N
N
N
RESIDENTIAL ASSET MTGE PROD 2005-RS2
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS2 M4
76112BKE9
35032.230000
PA
USD
35000.030000
0.0007829
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
2.70357
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC SR UNSECURED 11/31 8
370425RZ5
478000.000000
PA
USD
523607.720000
0.0117123
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
8
N
N
N
N
N
N
RESIDENTIAL ASSET SEC CORP 2006-EMX3
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX3 M1
76113ACB5
5930369.470000
PA
USD
5179486.250000
0.1158573
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.11857
Y
N
N
N
N
N
RESIDENTIAL ASSET SEC CORP 2006-EMX7
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX7 A4
74924TAD6
10681054.640000
PA
USD
9606452.960000
0.2148818
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
2.10357
N
N
N
N
N
N
RESIDENTIAL ASSET SEC CORP 2006-EMX9
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 2A
74924VAE9
5292234.250000
PA
USD
4819205.360000
0.1077983
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.88357
N
N
N
N
N
N
RESIDENTIAL ASSET SEC TRUST 2005-A9
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2005 A9 A5
45660LTS8
624534.190000
PA
USD
427424.640000
0.0095608
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.5
Y
N
N
N
N
N
RESIDENTIAL ASSET SEC TRUST 2007-A1
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1
761136AA8
2442209.250000
PA
USD
986027.580000
0.0220559
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ASSET SEC TRUST 2007-A1
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A8
761136AH3
363237.670000
PA
USD
147253.030000
0.0032938
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ASSET SEC TRUST 2007-A8
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A8 2A5
761128AH0
4068563.410000
PA
USD
1276985.760000
0.0285642
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Fixed
6.25
Y
N
N
N
N
N
RESIDENTIAL ASSET SECUR TR 2007-A7
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A2
76114QAB1
6189381.470000
PA
USD
2815935.850000
0.0629882
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES 2005-EMX5
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX5 A3
76110W7R1
8083009.960000
PA
USD
7254359.180000
0.1622690
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
2.28357
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES CORP 2006-EMX8
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX8 1A3
74924UAC5
4404503.500000
PA
USD
4111797.820000
0.0919747
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.96357
Y
N
N
N
N
N
RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A16
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2006 A16 1A3
76114GAC1
167960.910000
PA
USD
89034.080000
0.0019916
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6
Y
N
N
N
N
N
ALTERNATIVE LOAN TRUST 2006-27CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 27CB A7
02147YAG0
233316.370000
PA
USD
154513.370000
0.0034562
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL FUNDING MORTGAGE SECURITIES I INC 2005-S7
N/A
RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 S7 A2
76111XZS5
59983.880000
PA
USD
58814.360000
0.0013156
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.85
Y
N
N
N
N
N
RESIDENTIAL FUNDING MTGE SEC 2007-S4
N/A
RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A14
74958YAN2
449564.100000
PA
USD
391343.170000
0.0087538
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL FUNDING MTGE SEC 2007-S6
N/A
RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 1A10
762009AK4
176603.110000
PA
USD
154226.440000
0.0034498
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL FUNDING MTGE SEC 2007-SA3
N/A
RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA3 3A4
74958TAJ2
125329.870000
PA
USD
101052.080000
0.0022604
Long
ABS-MBS
CORP
US
N
2
2037-07-27
Floating
4.89986
Y
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
ALTICE FINANCING SA SR SECURED 144A 08/29 5.75
02154CAH6
15830000.000000
PA
USD
12748453.050000
0.2851636
Long
DBT
CORP
LU
N
2
2029-08-15
Fixed
5.75
N
N
N
N
N
N
RIO OIL FINANCE TRUST SERIES 2014-1
549300V5D1W52HY8NO65
RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25
76716XAA0
9847413.950000
PA
USD
10214427.070000
0.2284813
Long
DBT
CORP
US
N
2
2024-07-06
Variable
9.25
N
N
N
N
N
N
RIO OIL FINANCE TRUST SERIES 2014-1
549300V5D1W52HY8NO65
RIO OIL FINANCE TRUST SR SECURED REGS 07/24 9.25
U76673AA7
1097231.940000
PA
USD
1138125.770000
0.0254582
Long
DBT
CORP
US
N
2
2024-07-06
Variable
9.25
N
N
N
N
N
N
RIO OIL FINANCE TRUST SERIES 2014-3
N/A
RIO OIL FINANCE TRUST SR SECURED 144A 01/27 9.75
76716XAB8
4276618.680000
PA
USD
4560564.780000
0.1020129
Long
DBT
CORP
US
N
2
2027-01-06
Variable
9.75
N
N
N
N
N
N
RIO OIL FINANCE TRUST SERIES 2014-3
N/A
RIO OIL FINANCE TRUST SR SECURED REGS 01/27 9.75
U76673AB5
308179.240000
PA
USD
328640.800000
0.0073512
Long
DBT
CORP
US
N
2
2027-01-06
Variable
9.75
N
N
N
N
N
N
RIO OIL FINANCE TRUST SERIES 2018-1
N/A
RIO OIL FINANCE TRUST SR SECURED 144A 04/28 8.2
76716XAC6
295548.000000
PA
USD
307510.310000
0.0068785
Long
DBT
CORP
US
N
2
2028-04-06
Fixed
8.2
N
N
N
N
N
N
RIVERVIEW HECM TRUST-2007-1
N/A
RIVERVIEW HECM TRUST RVMLT 2007 1 A 144A
769422AA4
11085065.420000
PA
USD
10564191.500000
0.2363050
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
3.28
N
N
N
N
N
N
ROCKFORD TOWER CLO LTD 2017-1A
N/A
ROCKFORD TOWER CLO LTD ROCKT 2017 1A SUB 144A
77340FAC7
22000000.000000
PA
USD
14658293.540000
0.3278839
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0
N
N
N
N
N
N
ROCKFORD TOWER CLO LTD 2017-2
N/A
ROCKFORD TOWER CLO LTD ROCKT 2017 2A SUB 144A
77340HAC3
11666667.000000
PA
USD
7031838.530000
0.1572916
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Variable
0
N
N
N
N
N
N
ROCKFORD TOWER CLO LTD 2017-3
N/A
ROCKFORD TOWER CLO LTD ROCKT 2017 3A SUB 144A
77341TAC6
4966667.000000
PA
USD
2834344.740000
0.0634000
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Variable
0
N
N
N
N
N
N
ROCKFORD TOWER CLO LTD 2018-2A
N/A
ROCKFORD TOWER CLO LTD ROCKT 2018 2A SUB 144A
77342LAC2
4966667.000000
PA
USD
2520094.390000
0.0563707
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
0
N
N
N
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
ROLLS ROYCE PLC COMPANY GUAR 144A 10/27 5.75
77578JAC2
500000.000000
PA
USD
451952.500000
0.0101095
Long
DBT
CORP
GB
N
2
2027-10-15
Fixed
5.75
N
N
N
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
ROLLS ROYCE PLC COMPANY GUAR REGS 02/26 4.625
ACI1S5ZS2
800000.000000
PA
789609.370000
0.0176624
Long
DBT
CORP
GB
N
2
2026-02-16
Fixed
4.625
N
N
N
N
N
N
ROMANIA GOVT
315700IASY927EDWBK92
ROMANIA SR UNSECURED 144A 02/34 3.75
ACI23CJP6
2330000.000000
PA
1835444.920000
0.0410561
Long
DBT
NUSS
RO
N
2
2034-02-07
Fixed
3.75
N
N
N
N
N
N
ROMANIA GOVT
315700IASY927EDWBK92
ROMANIA SR UNSECURED 144A 03/28 2.125
ACI23CKY5
20200000.000000
PA
17470446.860000
0.3907875
Long
DBT
NUSS
RO
N
2
2028-03-07
Fixed
2.125
N
N
N
N
N
N
ROMANIA GOVT
315700IASY927EDWBK92
ROMANIA UNSECURED 144A 04/41 2.75
ACI1X0DG7
2500000.000000
PA
1535883.750000
0.0343554
Long
DBT
NUSS
RO
N
2
2041-04-14
Fixed
2.75
N
N
N
N
N
N
ROMANIA GOVT
315700IASY927EDWBK92
ROMANIA UNSECURED 144A 04/42 2.875
ACI1Z3VF1
8600000.000000
PA
5290963.080000
0.1183508
Long
DBT
NUSS
RO
N
2
2042-04-13
Fixed
2.875
N
N
N
N
N
N
ROMANIA GOVT
315700IASY927EDWBK92
ROMANIA UNSECURED 144A 12/40 2.625
ACI1T3QG2
8600000.000000
PA
5252846.880000
0.1174982
Long
DBT
NUSS
RO
N
2
2040-12-02
Fixed
2.625
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES COMPANY GUAR 144A 06/23 9.125
780153BC5
500000.000000
PA
USD
495677.500000
0.0110876
Long
DBT
CORP
LR
N
2
2023-06-15
Fixed
9.125
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES LTD 2017 NON EXTENDED REVOLVER
937MWXII5
31250000.000000
PA
USD
30625000.000000
0.6850349
Long
LON
CORP
LR
N
2
2022-10-12
Floating
2.5387
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES SR SECURED 144A 06/23 10.875
780153AY8
1400000.000000
PA
USD
1408036.000000
0.0314956
Long
DBT
CORP
LR
N
2
2023-06-01
Fixed
10.875
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES SR SECURED 144A 06/25 11.5
780153AZ5
1650000.000000
PA
USD
1699442.250000
0.0380140
Long
DBT
CORP
LR
N
2
2025-06-01
Fixed
11.5
N
N
N
N
N
N
RSA SECURITY (REDSTONE HOLDCO 2 LP)
N/A
REDSTONE HOLDCO 2 LP 2021 2ND LIEN TERM LOAN
75774EAK1
2000000.000000
PA
USD
1733334.000000
0.0387721
Long
LON
CORP
US
N
2
2029-04-27
Floating
8.9749
N
N
N
N
N
N
RUSSIAN GOVT
5493004EHVGF71PDBU58
RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625
78307ADE0
3000000.000000
PA
USD
885000.000000
0.0197961
Long
DBT
NUSS
RU
N
2
2042-04-04
Fixed
5.625
N
N
N
N
N
N
RUSSIAN GOVT
5493004EHVGF71PDBU58
RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1
X5424XCG1
600000.000000
PA
USD
159000.000000
0.0035566
Long
DBT
NUSS
RU
N
2
2035-03-28
Fixed
5.1
N
N
N
N
N
N
RUSSIAN GOVT
5493004EHVGF71PDBU58
RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625
X74344DS2
7200000.000000
PA
USD
2124000.000000
0.0475107
Long
DBT
NUSS
RU
N
2
2042-04-04
Fixed
5.625
N
N
N
N
N
N
RUSSIAN GOVT
5493004EHVGF71PDBU58
RUSSIAN FEDERATION SR UNSECURED REGS 09/43 5.875
X74359AC8
200000.000000
PA
USD
59000.000000
0.0013197
Long
DBT
NUSS
RU
N
2
2043-09-16
Fixed
5.875
N
N
N
N
N
N
RZD CAPITAL PUBLIC LIMITED COMPANY
635400VKMH1VQDFMW392
RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487
B3SXQ5II3
200000.000000
PA
24346.010000
0.0005446
Long
DBT
CORP
IE
N
2
2031-03-25
Fixed
7.487
N
N
N
N
N
N
SALOMON BROTHERS MTG SECURITIES 1999-2
N/A
SALOMON BROTHERS MORTGAGE SECU SBM7 1999 2 A4
79548KH35
139412.720000
PA
USD
134279.950000
0.0030036
Long
ABS-MBS
CORP
US
N
2
2029-02-25
Fixed
6.5
N
N
N
N
N
N
SANDERS RE III LTD
N/A
SANDERS RE III LTD UNSECURED 144A 04/29 VAR
80000XAC3
11610000.000000
PA
USD
11619868.500000
0.2599189
Long
DBT
CORP
BM
N
2
2029-04-09
Floating
11.75
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 01/26 3.8
80007RAK1
200000.000000
PA
USD
160561.000000
0.0035915
Long
DBT
CORP
KY
N
2
2026-01-08
Variable
3.8
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 06/30 4.875
80007RAL9
400000.000000
PA
USD
293052.000000
0.0065551
Long
DBT
CORP
KY
N
2
2030-06-18
Variable
4.625
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 08/25 5.125
80007RAF2
200000.000000
PA
USD
168113.000000
0.0037604
Long
DBT
CORP
KY
N
2
2025-08-08
Variable
5.125
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 08/28 5.4
80007RAE5
2158000.000000
PA
USD
1667378.700000
0.0372967
Long
DBT
CORP
KY
N
2
2028-08-08
Variable
5.4
N
N
N
N
N
N
AMBAC ASSURANCE CORPORATION
549300RYYRVPPB8NC636
AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1
023138AA8
185145.640000
PA
USD
169408.260000
0.0037894
Long
DBT
CORP
US
N
2
2099-12-31
Fixed
5.1
N
N
N
N
N
N
SASOL FINANCING LIMITED
378900A5BC68CC18C276
SASOL LTD REVOLVER
937HWVII0
30013560.450000
PA
USD
29728274.350000
0.6649765
Long
LON
CORP
ZA
N
3
2022-11-23
Floating
0.56
N
N
N
N
N
N
SAXON ASSET SECURITIES TRUST 2004-1
N/A
SAXON ASSET SECURITIES TRUST SAST 2004 1 M2
805564PP0
5379505.280000
PA
USD
3173203.940000
0.0709798
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
3.31857
N
N
N
N
N
N
SAXON ASSET SECURITIES TRUST 2005-3
N/A
SAXON ASSET SECURITIES TRUST SAST 2005 3 M5
805564SW2
5547000.000000
PA
USD
3435286.500000
0.0768422
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.59857
Y
N
N
N
N
N
SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)
529900JL0HDVGZMUJF32
IHO VERWALTUNGS GMBH SR SECURED REGS 05/27 3.875
ACI1C6196
700000.000000
PA
573840.020000
0.0128359
Long
DBT
CORP
DE
N
2
2027-05-15
Fixed
3.875
N
N
Y
N
N
N
SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)
529900JL0HDVGZMUJF32
IHO VERWALTUNGS GMBH SR SECURED REGS 09/26 3.75
ACI0PR4T1
500000.000000
PA
435853.410000
0.0097494
Long
DBT
CORP
DE
N
2
2026-09-15
Fixed
3.75
N
N
Y
N
N
N
SCHENCK PROCESS (PLATIN 1426 GMBH)
213800NMYXIGFN77O655
PLATIN 1426 GMBH SR SECURED 144A 06/23 6.875
BGGC6YII2
3800000.000000
PA
3906548.010000
0.0873836
Long
DBT
CORP
DE
N
2
2023-06-15
Fixed
6.875
N
N
N
N
N
N
SCHENCK PROCESS (PLATIN 1426 GMBH)
213800NMYXIGFN77O655
PLATIN 1426 GMBH SR SECURED REGS 06/23 6.875
ACI147DK5
3170000.000000
PA
3258883.470000
0.0728963
Long
DBT
CORP
DE
N
2
2023-06-15
Fixed
6.875
N
N
N
N
N
N
SEAGATE HDD CAYMAN
529900BD50TRWEG1SF63
SEAGATE HDD CAYMAN COMPANY GUAR 01/31 4.125
81180WBD2
200000.000000
PA
USD
163850.000000
0.0036651
Long
DBT
CORP
KY
N
2
2031-01-15
Fixed
4.125
N
N
N
N
N
N
SEAGATE HDD CAYMAN
529900BD50TRWEG1SF63
SEAGATE HDD CAYMAN COMPANY GUAR 06/29 4.091
81180WBC4
2700000.000000
PA
USD
2327076.000000
0.0520532
Long
DBT
CORP
KY
N
2
2029-06-01
Fixed
4.091
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2
N/A
FREDDIE MAC SCRT SCRT 2020 2 BXS 144A
35563PRM3
6801151.840000
PA
USD
3208548.800000
0.0717704
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
5.24382
N
N
N
N
N
N
AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST
N/A
AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7
02377AAA6
780379.720000
PA
USD
677389.810000
0.0151522
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.7
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2
N/A
FREDDIE MAC SCRT SCRT 2020 2 M 144A
35563PRE1
4530000.000000
PA
USD
4073225.600000
0.0911119
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
4.25
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1
N/A
FREDDIE MAC SCRT SCRT 2021 1 BXS 144A
35563PWX3
1600000.000000
PA
USD
1307753.600000
0.0292525
Long
ABS-MBS
CORP
US
N
2
2060-09-25
Fixed
12.2087
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1
N/A
FREDDIE MAC SCRT SCRT 2021 1 M 144A
35563PWQ8
1500000.000000
PA
USD
1360449.300000
0.0304312
Long
ABS-MBS
CORP
US
N
2
2060-09-25
Fixed
4.25
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-2
N/A
FREDDIE MAC SCRT SCRT 2021 2 BXS 144A
35563P4Q9
1199418.410000
PA
USD
983251.310000
0.0219938
Long
ABS-MBS
CORP
US
N
2
2060-11-25
Variable
11.3772
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3
N/A
FREDDIE MAC SCRT SCRT 2021 3 BXS 144A
35563P6W4
499860.550000
PA
USD
293635.880000
0.0065682
Long
ABS-MBS
CORP
US
N
2
2061-03-25
Variable
6.77981
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3
N/A
FREDDIE MAC SCRT SCRT 2021 3 M 144A
35563P6P9
700000.000000
PA
USD
603986.320000
0.0135103
Long
ABS-MBS
CORP
US
N
2
2061-03-25
Variable
4.25
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1
N/A
FREDDIE MAC SCRT SCRT 2022 1 BXS 144A
35563PD71
4499112.770000
PA
USD
1703464.870000
0.0381039
Long
ABS-O
CORP
US
N
2
2061-11-25
Fixed
3.56422
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1
N/A
FREDDIE MAC SCRT SCRT 2022 1 M 144A
35563PC80
3900000.000000
PA
USD
3364678.590000
0.0752628
Long
ABS-MBS
CORP
US
N
2
2061-11-25
Fixed
4.5
N
N
N
N
N
N
SEAZEN GROUP LIMITED
5493006M8GRAQRCSCD67
SEAZEN GROUP LTD SR SECURED REGS 04/23 6.15
ACI1B3VB6
200000.000000
PA
USD
149100.000000
0.0033351
Long
DBT
CORP
KY
N
2
2023-04-15
Fixed
6.15
N
N
N
N
N
N
SEAZEN GROUP LIMITED
5493006M8GRAQRCSCD67
SEAZEN GROUP LTD SR SECURED REGS 07/25 4.45
ACI1TYCZ7
200000.000000
PA
USD
117450.000000
0.0026272
Long
DBT
CORP
KY
N
2
2025-07-13
Fixed
4.45
N
N
N
N
N
N
SEAZEN GROUP LIMITED
5493006M8GRAQRCSCD67
SEAZEN GROUP LTD SR SECURED REGS 08/24 6
ACI1Q0RZ8
200000.000000
PA
USD
120000.000000
0.0026842
Long
DBT
CORP
KY
N
2
2024-08-12
Fixed
6
N
N
N
N
N
N
SEC ASSET BACKED REC LLC 2006-FR1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2006 FR1 M1
81375WJU1
11424477.930000
PA
USD
9597532.540000
0.2146823
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.22357
Y
N
N
N
N
N
SEC ASSET BACKED REC LLC 2006-FR3
N/A
SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3
813765AC8
16484079.320000
PA
USD
9687726.380000
0.2166998
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.12357
N
N
N
N
N
N
SECURITIZED ASSET BACKED REC 2006-HE1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C
81376YAD3
2275098.840000
PA
USD
903227.440000
0.0202038
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.94357
N
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2
81375WCT1
6855.190000
PA
USD
6396.740000
0.0001431
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
2.29857
N
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2
N/A
SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A1 144A
81377AAA0
14110790.110000
PA
USD
12516670.160000
0.2799790
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.90357
N
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR2
N/A
SECURITIZED ASSET BACKED RECEI SABR 2007 BR2 A2
81378PAB4
236452.110000
PA
USD
112676.050000
0.0025204
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
1.85357
Y
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1
81375WFU5
1750968.760000
PA
USD
1328044.320000
0.0297063
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.28357
Y
N
N
N
N
N
SEGOVIA EUROPEAN CLO 1 2014-1A
N/A
SEGOVIA EUROPEAN CLO 1 2014 SEGOV 2014 1A SUB 144A
ACI0QFG97
1400000.000000
PA
714988.710000
0.0159932
Long
ABS-CBDO
CORP
IE
N
2
2035-04-15
Fixed
0
N
N
N
N
N
N
AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST
N/A
AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375
023770AA8
588490.890000
PA
USD
528531.730000
0.0118225
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.375
N
N
N
N
N
N
SEQUA MEZZANINE HOLDINGS LLC
N/A
SEQUA MEZZANINE HOLDINGS LLC 2020 EXTENDED TERM LOAN
81733HAE6
7933000.930000
PA
USD
7899944.120000
0.1767098
Long
LON
CORP
US
N
2
2023-11-28
Fixed
8.3029
N
N
Y
N
N
N
SEQUOIA MORTGAGE TRUST 10
N/A
SEQUOIA MORTGAGE TRUST SEMT 10 B1
81743VAG8
352469.860000
PA
USD
323233.510000
0.0072302
Long
ABS-MBS
CORP
US
N
2
2027-10-20
Floating
2.79514
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2004-1
N/A
SEQUOIA MORTGAGE TRUST SEMT 2004 1 A
81744FAA5
202727.880000
PA
USD
181297.090000
0.0040553
Long
ABS-MBS
CORP
US
N
2
2034-02-20
Floating
1.02986
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2007-2
N/A
SEQUOIA MORTGAGE TRUST SEMT 2007 2 2AA1
81744LAL8
93321.840000
PA
USD
77117.710000
0.0017250
Long
ABS-MBS
CORP
US
N
2
2038-01-20
Floating
2.9799
Y
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2007-3
N/A
SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A2
81744MAB8
159495.170000
PA
USD
3285.010000
0.0000735
Long
ABS-MBS
CORP
US
N
2
2036-07-20
Floating
2.33514
Y
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 9
N/A
SEQUOIA MORTGAGE TRUST SEMT 9 2A
81743SAB6
238299.200000
PA
USD
218329.110000
0.0048837
Long
ABS-MBS
CORP
US
N
2
2032-09-20
Floating
1.86455
N
N
N
N
N
N
SG COMMERCIAL MORTGAGE SECURITIES TRUST 2019-787E
N/A
SG COMMERCIAL MORTGAGE SECURIT SGCMS 2019 787E E 144A
78426RAF9
9000000.000000
PA
USD
7798050.000000
0.1744306
Long
ABS-MBS
CORP
US
N
2
2041-02-15
Variable
4.65973
N
N
N
N
N
N
SIERRA HAMILTON HOLDINGS CORPORATION
N/A
SIERRA HAMILTON LLC 2ND LIEN NOTES
935ZLRII3
6310.190000
PA
USD
6310.190000
0.0001411
Long
DBT
CORP
US
N
3
2023-09-12
Fixed
15
N
N
Y
N
N
N
SKYMILES IP LTD
2549008L7P4I8VB90936
SKYMILES IP LTD. 2020 SKYMILES TERM LOAN B
24736CBS2
1400000.000000
PA
USD
1390250.400000
0.0310978
Long
LON
CORP
US
N
2
2027-10-20
Floating
4.8127
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2013-M1
N/A
SLM STUDENT LOAN TRUST SLMA 2013 M1 M1R 144A
78447T103
36440.000000
PA
USD
30399202.060000
0.6799842
Long
ABS-O
CORP
US
N
3
2029-10-28
Fixed
0
N
N
N
N
N
N
SLM STUDENT LOAN TRUST-2007-4
N/A
SLM STUDENT LOAN TRUST SLMA 2007 4 R
78444A107
30999.000000
PA
USD
11137772.130000
0.2491351
Long
ABS-O
CORP
US
N
3
2042-01-25
Fixed
0
N
N
N
N
N
N
SLOVENIA BROADBAND SARL (UNITED GROUP BV)
213800PC85O8BJ7DU398
UNITED GROUP BV SR SECURED REGS 07/24 4.875
ACI0W96J3
300000.000000
PA
286697.110000
0.0064130
Long
DBT
CORP
NL
N
2
2024-07-01
Fixed
4.875
N
N
N
N
N
N
AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST
N/A
AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35
02376AAA7
626808.820000
PA
USD
577329.160000
0.0129140
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.35
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2015-A
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A
78448P100
8000.000000
PA
USD
3696074.630000
0.0826756
Long
ABS-O
CORP
US
N
3
2048-10-15
Fixed
0
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA R 144A
78449VAF3
16155807.170000
PA
USD
22733747.940000
0.5085196
Long
ABS-O
CORP
US
N
3
2054-09-15
Fixed
0
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB R 144A
78449DAF3
51145596.190000
PA
USD
73179835.070000
1.6369223
Long
ABS-O
CORP
US
N
3
2054-09-15
Fixed
0
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2022-A
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2022 A R 144A
78450FAG2
5200.000000
PA
USD
5352788.170000
0.1197338
Long
ABS-O
CORP
US
N
3
2054-11-16
Fixed
0
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2022-B
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B D 144A
83206NAE7
11206000.000000
PA
USD
11027015.530000
0.2466577
Long
ABS-O
CORP
US
N
2
2055-02-16
Fixed
5.95
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2022-B
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A
83206NAF4
9288.000000
PA
USD
16582416.940000
0.3709236
Long
ABS-O
CORP
US
N
3
2055-02-16
Fixed
0
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2016-D
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 D R 144A
83404L101
33000000.000000
PA
USD
3090884.610000
0.0691384
Long
ABS-O
CORP
US
N
3
2039-01-25
Fixed
0
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 B R 144A
83403Y104
31475000.000000
PA
USD
4218194.520000
0.0943546
Long
ABS-O
CORP
US
N
2
2040-05-25
Fixed
0
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 C R1 144A
83405D108
156587.000000
PA
USD
2160900.600000
0.0483361
Long
ABS-O
CORP
US
N
3
2040-07-25
Fixed
0
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A
78471C109
14219400.000000
PA
USD
2292167.280000
0.0512723
Long
ABS-O
CORP
US
N
3
2040-09-25
Fixed
0
N
N
N
N
N
N
SOFTBANK VISION FUND II
N/A
SOFTBANK VISION FUND II FIXED TERM LOAN
944YFGII6
36903085.740000
PA
USD
36903085.740000
0.8254662
Long
LON
CORP
GB
N
3
2025-12-21
Variable
5
N
N
N
N
N
N
AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD
N/A
AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/26 5.5
00253XAA9
4600000.000000
PA
USD
4242580.000000
0.0949001
Long
DBT
CORP
US
N
2
2026-04-20
Fixed
5.5
N
N
N
N
N
N
SOLENIS (OLYMPUS WATER US HOLDING CORPORATION)
549300YU2GGVCBN3MY89
OLYMPUS WTR US HLDG CORP SR UNSECURED 144A 10/29 5.375
ACI20N5P0
2200000.000000
PA
1664918.270000
0.0372417
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.375
N
N
N
N
N
N
SOLOSO CDO LTD 2007-1A
N/A
SOLOSO CDO LTD SLOSO 2007 1A A1LB 144A
83438JAC0
17418036.000000
PA
USD
14805330.600000
0.3311729
Long
ABS-CBDO
CORP
KY
N
2
2037-10-07
Floating
1.28657
N
N
N
N
N
N
AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD
N/A
AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/29 5.75
00253XAB7
700000.000000
PA
USD
600019.000000
0.0134215
Long
DBT
CORP
US
N
2
2029-04-20
Fixed
5.75
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A2
83612TAC6
2437112.460000
PA
USD
1760795.230000
0.0393863
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.77357
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A4
83612TAE2
6022417.160000
PA
USD
4353179.580000
0.0973740
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.90357
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 2A3
83613AAR3
1868190.030000
PA
USD
1584517.700000
0.0354433
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
2.72357
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A2
83613FAC5
4614302.170000
PA
USD
3704801.060000
0.0828708
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
2.57357
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2
83612NAD7
7331161.940000
PA
USD
2248688.770000
0.0502998
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
1.80357
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A3
83612NAE5
8508183.340000
PA
USD
2647328.050000
0.0592167
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
1.88357
N
N
N
N
N
N
SOUTH COAST FUNDING 7A
N/A
SOUTH COAST FUNDING SCF 7A A1AN 144A
83743YAS2
159226863.520000
PA
USD
33539705.760000
0.7502325
Long
ABS-CBDO
CORP
KY
N
2
2041-01-06
Floating
0.45425
N
N
N
N
N
N
SOUTH COAST FUNDING 7A
N/A
SOUTH COAST FUNDING SCF 7A A1AV 144A
83743YAA1
10025862.770000
PA
USD
2111857.760000
0.0472391
Long
ABS-CBDO
CORP
KY
N
2
2041-01-06
Floating
0.45425
N
N
N
N
N
N
SOUTH COAST FUNDING 7A
N/A
SOUTH COAST FUNDING SCF 7A A1B 144A
83743YAB9
47730.180000
PA
USD
10053.930000
0.0002249
Long
ABS-CBDO
CORP
KY
N
2
2041-01-06
Floating
0.45425
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON COMPANY
9R1Z5I36FERIBVKW4P77
SOUTHERN CAL EDISON 1ST MORTGAGE 03/49 4.875
842400GR8
11000.000000
PA
USD
9992.400000
0.0002235
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
4.875
N
N
N
N
N
N
SPECIALTY UNDERWRITING & RESID 2006-AB2
N/A
SPECIALTY UNDERWRITING + RESID SURF 2006 AB2 A2C
84751VAD8
3137975.520000
PA
USD
1659673.680000
0.0371244
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.92357
N
N
N
N
N
N
SPECIALTY UNDERWRITING & RESID 2006-BC2
N/A
SPECIALTY UNDERWRITING + RESID SURF 2006 BC2 A2D
84751PLP2
2658442.220000
PA
USD
1142069.170000
0.0255464
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
6.3501
Y
N
N
N
N
N
SPECIALTY UNDERWRITING & RESID 2007-AB1
N/A
SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A2D
84752CAE7
307503.750000
PA
USD
194229.890000
0.0043446
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
1.97357
N
N
N
N
N
N
SPIRIT AEROSYSTEMS INC
ZD2NBKV6GCC3UMGBM518
SPIRIT AEROSYSTEMS INC 2021 TERM LOAN B
84857HAX8
2466362.500000
PA
USD
2405731.910000
0.0538126
Long
LON
CORP
US
N
2
2025-01-15
Floating
5.4161
N
N
N
N
N
N
SPIRIT AEROSYSTEMS INC
ZD2NBKV6GCC3UMGBM518
SPIRIT AEROSYSTEMS INC COMPANY GUAR 06/23 3.95
85205TAJ9
13764000.000000
PA
USD
12924808.920000
0.2891084
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.95
N
N
N
N
N
N
SPIRIT AIRLINES 2015-1 PASS THROUGH TRUST A
N/A
SPIRIT AIR 2015 1 PTT A PASS THRU CE 10/29 4.1
84858DAA6
317831.240000
PA
USD
304980.940000
0.0068220
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.1
N
N
N
N
N
N
SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)
N/A
AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR
00846NAA5
35500000.000000
PA
USD
19398162.050000
0.4339076
Long
DBT
CORP
US
N
2
2067-01-15
Floating
2.79429
N
N
N
N
N
N
AMERICAN HOME MORTGAGE ASSETS 2007-4
N/A
AMERICAN HOME MORTGAGE ASSETS AHMA 2007 4 A4
026934AD1
8857891.830000
PA
USD
8221415.980000
0.1839006
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
2.20357
Y
N
N
N
N
N
AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2
N/A
AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 12A1
02660CAD2
2674318.950000
PA
USD
1146481.340000
0.0256451
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
2.16357
Y
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
STANDARD INDUSTRIES INC SR UNSECURED 144A 07/30 4.375
853496AG2
1400000.000000
PA
USD
1106819.000000
0.0247579
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
4.375
N
N
N
N
N
N
START IRELAND 2019-1
N/A
START LTD. STARR 2019 1 A 144A
85573LAA9
724040.250000
PA
USD
664093.840000
0.0148548
Long
ABS-O
CORP
BM
N
2
2044-03-15
Fixed
4.089
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6
N/A
STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B1 144A
85573RAH1
100000.000000
PA
USD
74955.110000
0.0016766
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Fixed
3.935
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6
N/A
STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B2 144A
85573RAK4
400000.000000
PA
USD
285346.640000
0.0063828
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Fixed
3.935
N
N
N
N
N
N
AMERICAN HOME MORTGAGE INVT TR 2007-A
N/A
AMERICAN HOME MORTGAGE INVESTM AHM 2007 A 13A1 144A
026931AC9
4652680.500000
PA
USD
981678.360000
0.0219587
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
6.6
N
N
N
N
N
N
AMERICAN HOME MTGE ASSETS 2005-1
N/A
AMERICAN HOME MORTGAGE ASSETS AHMA 2005 1 3A11
02660VAE8
596359.280000
PA
USD
557074.710000
0.0124609
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.16357
N
N
N
N
N
N
STEENBOK LUX FINCO 1 SARL
N/A
STEENBOK LUX FINCO 2 SARL EUR PIK TERM LOAN A1
943ZWJII9
41975555.440000
PA
26612911.410000
0.5952906
Long
LON
CORP
LU
N
2
2022-12-31
Fixed
10
N
N
Y
N
N
N
STEENBOK LUX FINCO 2 SARL
N/A
STEENBOK LUX FINCO 2 SARL EUR 1ST LIEN FIXED RATE TL A1
935YNSII2
13799519.880000
PA
14406977.330000
0.3222623
Long
LON
CORP
LU
N
2
2022-12-29
Fixed
7.875
N
N
Y
N
N
N
STEENBOK LUX FINCO 2 SARL
N/A
STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN FIXED RATE TL A2
935YNTII0
109595318.260000
PA
74796331.990000
1.6730808
Long
LON
CORP
LU
N
3
2022-12-29
Fixed
10.75
N
N
Y
N
N
N
AMERICAN HOME MTGE INV TRUST 2005-2
N/A
AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 1A1
02660TEK5
3116313.000000
PA
USD
2813274.930000
0.0629287
Long
ABS-MBS
CORP
US
N
2
2045-09-25
Floating
2.22357
N
N
N
N
N
N
STRUCTURED ADJ RATE MTG LN 2006-7
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 4A1
86361BAJ6
2291856.660000
PA
USD
670433.160000
0.0149966
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
3.15316
Y
N
N
N
N
N
AMERICAN HOME MTGE INVEST TR 2004-2
N/A
AMERICAN HOME MORTGAGE INVESTM AHM 2004 2 M1
02660TBF9
9738682.380000
PA
USD
9086322.130000
0.2032473
Long
ABS-MBS
CORP
US
N
2
2044-02-25
Floating
2.52357
Y
N
N
N
N
N
STRUCTURED ADJUSTABLE RT MTGE LN 2005-23
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1
863579L48
597777.490000
PA
USD
397690.540000
0.0088957
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
3.16689
Y
N
N
N
N
N
STRUCTURED ADJUSTABLE RT MTGE LN 2007-1
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 2A3
86362TAF4
6458597.460000
PA
USD
4860246.370000
0.1087164
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
2.87605
Y
N
N
N
N
N
STRUCTURED ADJUSTABLE RT MTGE LN 2007-3
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2007 3 3A1
86363GAF1
1147285.390000
PA
USD
629701.120000
0.0140855
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
3.38681
Y
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR2
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1
86359LJA8
63610.180000
PA
USD
57521.460000
0.0012867
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Floating
2.08357
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2006-AR3
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 3A2
86360KBK3
3140047.980000
PA
USD
1813538.160000
0.0405661
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
2.99634
Y
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2006-AR7
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1A
86361HAA2
1154742.150000
PA
USD
1095915.310000
0.0245140
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
2.04357
Y
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2007-AR2
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A2
86363DAJ0
980380.260000
PA
USD
294629.560000
0.0065904
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
1.96357
Y
N
N
N
N
N
STRUCTURED ASSET MTGE INVEST 2006-AR5
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1
86360JAA9
1130150.150000
PA
USD
915062.690000
0.0204686
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.04357
N
N
N
N
N
N
STRUCTURED ASSET MTGE INVEST 2006-AR6
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1
86360UAF3
9520515.240000
PA
USD
7398411.430000
0.1654913
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
2.00357
Y
N
N
N
N
N
STRUCTURED ASSET SEC CORP 2003-40A
N/A
STRUCTURED ASSET SECURITIES CO SASC 2003 40A 3A2
86359BEK3
82768.010000
PA
USD
80214.140000
0.0017943
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
2.93503
N
N
N
N
N
N
STRUCTURED ASSET SEC CORP 2003-BC1
N/A
STRUCTURED ASSET SECURITIES CO SASC 2003 BC1 B1
86359AMC4
5599770.650000
PA
USD
4661032.380000
0.1042602
Long
ABS-MBS
CORP
US
N
2
2032-05-25
Floating
7.62357
Y
N
N
N
N
N
STRUCTURED ASSET SEC CORP 2005-9XS
N/A
STRUCTURED ASSET SECURITIES CO SASC 2005 9XS 2A1
86359DDS3
58895.750000
PA
USD
58659.070000
0.0013121
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
2.07357
N
N
N
N
N
N
STUBHUB (PUG LLC)
N/A
PUG LLC 2021 INCREMENTAL TERM LOAN B
74530DAG0
1488750.000000
PA
USD
1380815.630000
0.0308868
Long
LON
CORP
US
N
3
2027-02-12
Floating
5.9161
N
N
N
N
N
N
STUBHUB (PUG LLC)
N/A
PUG LLC USD TERM LOAN
74530DAC9
2441101.040000
PA
USD
2236658.830000
0.0500307
Long
LON
CORP
US
N
2
2027-02-12
Floating
4.5596
N
N
N
N
N
N
STUDIO CITY CO LTD
N/A
STUDIO CITY CO LTD SR SECURED 144A 02/27 7
86400GAC3
700000.000000
PA
USD
607808.760000
0.0135958
Long
DBT
CORP
VG
N
2
2027-02-15
Fixed
7
N
N
N
N
N
N
STUDIO CITY FINANCE LIMITED
254900D6R731QAUIG324
STUDIO CITY FINANCE LTD COMPANY GUAR 144A 01/28 6.5
86389QAF9
3000000.000000
PA
USD
1686600.000000
0.0377267
Long
DBT
CORP
VG
N
2
2028-01-15
Fixed
6.5
N
N
N
N
N
N
STUDIO CITY FINANCE LIMITED
254900D6R731QAUIG324
STUDIO CITY FINANCE LTD COMPANY GUAR 144A 01/29 5
86389QAG7
2400000.000000
PA
USD
1242828.000000
0.0278002
Long
DBT
CORP
VG
N
2
2029-01-15
Fixed
5
N
N
N
N
N
N
STUDIO CITY FINANCE LIMITED
254900D6R731QAUIG324
STUDIO CITY FINANCE LTD COMPANY GUAR 144A 07/25 6
86389QAE2
3200000.000000
PA
USD
2031040.000000
0.0454313
Long
DBT
CORP
VG
N
2
2025-07-15
Fixed
6
N
N
N
N
N
N
STUDIO CITY FINANCE LIMITED
254900D6R731QAUIG324
STUDIO CITY FINANCE LTD COMPANY GUAR REGS 01/29 5
G85381AG9
400000.000000
PA
USD
207138.000000
0.0046334
Long
DBT
CORP
VG
N
2
2029-01-15
Fixed
5
N
N
N
N
N
N
STWD 2021-HTS MORTGAGE TRUST 2021-HTS
N/A
STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS E 144A
78486DAJ9
9723500.000000
PA
USD
9291131.930000
0.2078286
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
4.324
N
N
N
N
N
N
STWD 2021-HTS MORTGAGE TRUST 2021-HTS
N/A
STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS F 144A
78486DAL4
6612000.000000
PA
USD
6334201.450000
0.1416865
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
5.324
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LIMITED
549300OLARYHDXP3WK18
SUNAC CHINA HOLDINGS LTD SR SECURED REGS 07/25 7
ACI1NTG15
600000.000000
PA
USD
90000.000000
0.0020132
Long
DBT
CORP
KY
N
2
2025-07-09
Fixed
7
Y
Y
N
N
N
N
SUNSEEKER ISSUER LLC
N/A
SUNSEEKER TERM LOAN
943ZJCII9
25100000.000000
PA
USD
24814526.660000
0.5550634
Long
DBT
CORP
US
N
3
2028-10-31
Fixed
4.4597
N
N
N
N
N
N
SUNTRUST ADJR MRTG LN TR 2007-1
N/A
SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 3A2
78473NAF0
1298644.020000
PA
USD
1147716.260000
0.0256727
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
2.11274
Y
N
N
N
N
N
SUNTRUST ALTERNATIVE LN TRUST 2006-1F
N/A
SUNTRUST ALTERNATIVE LOAN TRUS STALT 2006 1F 3S
86800RAG6
4003326.430000
PA
USD
771986.660000
0.0172682
Long
ABS-O
CORP
US
N
2
2036-04-25
Floating
5.52643
Y
N
N
N
N
N
SURGERY PARTNERS (SURGERY CENTER HOLDINGS INC)
54930054EVI5HWPPW113
SURGERY CENTER HOLDINGS, INC. 2021 TERM LOAN
86880NAX1
792000.000000
PA
USD
740272.900000
0.0165588
Long
LON
CORP
US
N
2
2026-08-31
Floating
4.95
N
N
N
N
N
N
SYMPHONY CLO XIV LTD 2014-14A
N/A
SYMPHONY CLO LTD SYMP 2014 14A E 144A
87159QAW8
15100000.000000
PA
USD
14546533.210000
0.3253840
Long
ABS-CBDO
CORP
KY
N
2
2026-07-14
Floating
5.63843
N
N
N
N
N
N
SYNIVERSE HOLDINGS LLC
549300CYZBHMZC8VLL59
SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN
87168TAB7
79499929.610000
PA
USD
70158687.880000
1.5693438
Long
LON
CORP
US
N
2
2027-05-13
Floating
8.2864
N
N
N
N
N
N
TABERNA PREFERRED FUNDING IX LTD 2007-9A
N/A
TABERNA PREFERED FUNDING LTD TBRNA 2007 9A A1AD 144A
87331XAC8
843968.310000
PA
USD
801769.890000
0.0179344
Long
ABS-CBDO
CORP
KY
N
2
2038-05-05
Floating
1.70329
N
N
N
N
N
N
TABERNA PREFERRED FUNDING IX LTD 2007-9A
N/A
TABERNA PREFERED FUNDING LTD TBRNA 2007 9A A1LA 144A
87331XAA2
2776720.840000
PA
USD
2637884.800000
0.0590055
Long
ABS-CBDO
CORP
KY
N
2
2038-05-05
Floating
1.70329
N
N
N
N
N
N
TABERNA PREFERRED FUNDING LTD 2006-5A
N/A
TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1A 144A
87331BAA0
3107743.470000
PA
USD
2765891.690000
0.0618688
Long
ABS-CBDO
CORP
KY
N
2
2036-08-05
Floating
1.74329
N
N
N
N
N
N
TABERNA PREFERRED FUNDING LTD 2006-5A
N/A
TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1AD 144A
87331BAB8
12500979.080000
PA
USD
11125871.380000
0.2488689
Long
ABS-CBDO
CORP
KY
N
2
2036-08-05
Floating
1.74329
N
N
N
N
N
N
TABERNA PREFERRED FUNDING VII LTD 2006-7A
N/A
TABERNA PREFERED FUNDING LTD TBRNA 2006 7A A1LA 144A
873315AA3
16090699.410000
PA
USD
14441402.720000
0.3230323
Long
ABS-CBDO
CORP
KY
N
2
2037-02-05
Floating
1.71329
N
N
N
N
N
N
TALON FUNDING LTD 1A
N/A
TALON FUNDING LTD TALON 1A A 144A
87483UAA4
675611.880000
PA
USD
108320.850000
0.0024230
Long
ABS-CBDO
CORP
KY
N
2
2035-06-05
Floating
2.10071
N
N
N
N
N
N
TBW MTGE BACKED PASS THRU CERT 2006-2
N/A
TBW MORTGAGE BACKED PASS THROU TBW 2006 2 4A1
878048AH0
212421.040000
PA
USD
99999.880000
0.0022368
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6
Y
N
N
N
N
N
TBW MTGE BACKED PASS THRU CERT 2006-2
N/A
TBW MORTGAGE BACKED PASS THROU TBW 2006 2 5A1
878048AJ6
18323794.900000
PA
USD
5314527.190000
0.1188779
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.5
Y
N
N
N
N
N
TDA FTA 28
N/A
TITULIZACION DE ACTIVOS TDA 28 A REGS
B241Q4II4
8673144.550000
PA
5243857.520000
0.1172972
Long
ABS-MBS
CORP
ES
N
2
2050-10-28
Floating
0
N
N
N
N
N
N
TEAM HEALTH HOLDINGS INC
549300PVTQ4UDTTMQT11
TEAM HEALTH INC DEL TERM LOAN B
87817JAE8
88414883.430000
PA
USD
78983933.060000
1.7667511
Long
LON
CORP
US
N
2
2024-02-06
Floating
4.4161
N
N
N
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE S A TERM LOAN 1
938VCGII3
31245859.010000
PA
USD
10936050.650000
0.2446229
Long
LON
CORP
BR
N
3
2035-02-26
Fixed
4.0004
N
N
Y
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN 2
938VGTII1
37301086.760000
PA
USD
13055380.360000
0.2920291
Long
LON
CORP
BR
N
3
2035-02-26
Fixed
1.75
N
N
N
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN 3
938VGUII8
8577462.090000
PA
USD
3002111.730000
0.0671527
Long
LON
CORP
BR
N
3
2035-02-26
Fixed
1.75
N
N
N
N
N
N
TELEPIZZA (FOODCO BONDCO SL)
959800QP38XCGBED7808
FOODCO BONDCO SAU SR SECURED REGS 05/26 6.25
ACI1BNB99
1200000.000000
PA
954091.830000
0.0213416
Long
DBT
CORP
ES
N
2
2026-05-15
Fixed
6.25
N
N
N
N
N
N
TEXGEN POWER LLC
5493003XDLS9LCQ3SY55
EXGEN TEXAS POWER LLC 2021 2ND LIEN TERM LOAN
941VXVII2
60819173.820000
PA
USD
61145634.720000
1.3677354
Long
LON
CORP
US
N
3
2026-10-08
Floating
7.75
N
N
N
N
N
N
AMERIQUEST MORTGAGE SEC 2002-AR1
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2002 AR1 M2
03072SDC6
1147647.350000
PA
USD
1149666.640000
0.0257163
Long
ABS-MBS
CORP
US
N
2
2032-09-25
Floating
3.57357
N
N
N
N
N
N
THARALDSON HOTEL PORTFOLIO TRUST 2018
N/A
THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL E 144A
88327HAN3
2529880.660000
PA
USD
2308175.580000
0.0516304
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
4.6
N
N
N
N
N
N
AMERIQUEST MTAGE SEC INC 2004-R3
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R3 M2
03072SQD0
153997.490000
PA
USD
149376.720000
0.0033413
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
3.34857
N
N
N
N
N
N
TIMES SQUARE HOTEL TRUST
N/A
TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528
887367AA8
2436358.290000
PA
USD
2507548.190000
0.0560901
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
8.528
N
N
N
N
N
N
TITULIZACION DE ACTIVOS 27
N/A
TITULIZACION DE ACTIVOS TDA 27 A3 REGS
E9053PAF3
3102349.680000
PA
2563978.980000
0.0573523
Long
ABS-MBS
CORP
ES
N
2
2050-12-28
Floating
0
N
N
N
N
N
N
TOBACCO SETTLEMENT FINANCE AUTHORITY
N/A
TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0
88880LAB9
355485000.000000
PA
USD
28796133.520000
0.6441260
Long
DBT
MUN
US
N
2
2047-06-01
None
0
N
N
N
N
N
N
TOLL ROAD INVESTORS PARTNERSHIP II LP
N/A
TOLL ROAD INV PART II INSURED 144A 02/43 0.00000
88948ABM8
28415716.920000
PA
USD
7477038.680000
0.1672500
Long
DBT
CORP
US
N
2
2043-02-15
None
0
N
N
N
N
N
N
TOPAZ SOLAR FARMS LLC
N/A
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875
89054XAD7
16792642.000000
PA
USD
14565014.080000
0.3257973
Long
DBT
CORP
US
N
2
2039-09-30
Fixed
4.875
N
N
N
N
N
N
TOPAZ SOLAR FARMS LLC
N/A
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75
89054XAC9
91204591.000000
PA
USD
82947383.350000
1.8554075
Long
DBT
CORP
US
N
2
2039-09-30
Fixed
5.75
N
N
N
N
N
N
AMERIQUEST MTGE SECURITIES INC 2002-3
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2002 3 M3
03072SCW3
362443.130000
PA
USD
354820.910000
0.0079368
Long
ABS-MBS
CORP
US
N
2
2032-08-25
Floating
4.47357
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC COMPANY GUAR 144A 01/26 7.5
893830BF5
389000.000000
PA
USD
278667.930000
0.0062334
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
7.5
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC COMPANY GUAR 144A 02/27 8
893830BL2
884000.000000
PA
USD
593477.820000
0.0132752
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
8
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC COMPANY GUAR 144A 11/25 7.25
893830BK4
764000.000000
PA
USD
566406.680000
0.0126697
Long
DBT
CORP
KY
N
2
2025-11-01
Fixed
7.25
N
N
N
N
N
N
TRANSOCEAN PONTUS LIMITED
N/A
TRANSOCEAN PONTUS LTD SR SECURED 144A 08/25 6.125
89382PAA3
813030.000000
PA
USD
745024.110000
0.0166651
Long
DBT
CORP
KY
N
2
2025-08-01
Fixed
6.125
N
N
N
N
N
N
TRANSOCEAN POSEIDON LIMITED
N/A
TRANSOCEAN POSEIDON LTD SR SECURED 144A 02/27 6.875
89383JAA6
975000.000000
PA
USD
859272.380000
0.0192206
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
6.875
N
N
N
N
N
N
TROPIC CDO CORP 2006-5A
N/A
TROPIC CDO CORP TROPC 2006 5A A1L2 144A
89708BAB9
3623802.110000
PA
USD
3429022.750000
0.0767021
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
1.36429
N
N
N
N
N
N
TROPICANA (NAKED JUICE CO)
549300Y5TU1XQ1KVLJ64
NAKED JUICE LLC 2ND LIEN TERM LOAN
62984CAB9
1300000.000000
PA
USD
1202500.000000
0.0268981
Long
LON
CORP
US
N
2
2030-01-24
Floating
8.1544
N
N
N
N
N
N
AMMC CLO 16 LTD 2015-16A
N/A
AMERICAN MONEY MANAGEMENT CORP AMMC 2015 16A ER 144A
00176KAE3
6100000.000000
PA
USD
5595467.290000
0.1251621
Long
ABS-CBDO
CORP
KY
N
2
2029-04-14
Floating
7.09843
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
UBER TECHNOLOGIES INC COMPANY GUAR 144A 05/25 7.5
90353TAF7
200000.000000
PA
USD
198577.020000
0.0044419
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
7.5
N
N
N
N
N
N
UCFC HOME EQUITY LOAN 1998-D
N/A
UCFC HOME EQUITY LOAN UCFC 1998 D MF2
90263BHE1
429725.560000
PA
USD
413678.360000
0.0092534
Long
ABS-MBS
CORP
US
N
2
2030-04-15
Variable
7.75
Y
N
N
N
N
N
UKRAINE GOVT
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT SR UNSECURED 144A 01/30 4.375
ACI1J9SD5
10155000.000000
PA
2660483.060000
0.0595110
Long
DBT
NUSS
UA
N
2
2030-01-27
Fixed
4.375
N
N
N
N
N
N
UKRAINE GOVT
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT SR UNSECURED 144A 05/29 6.876
90372UAR5
13000000.000000
PA
USD
3217500.000000
0.0719706
Long
DBT
NUSS
UA
N
2
2029-05-21
Fixed
6.876
N
N
N
N
N
N
AMSURG LLC
N/A
ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN
943TEZII7
118497274.830000
PA
USD
110202465.590000
2.4650625
Long
LON
CORP
US
N
3
2028-04-30
Fixed
13
N
N
Y
N
N
N
UNIQUE PUB FINANCE CO PLC
213800FOMWLKHQTI5562
UNIQUE PUB FINANCE CO ASSET BACKED REGS 03/24 7.395
565675II8
4801732.000000
PA
6016104.920000
0.1345712
Long
DBT
CORP
GB
N
2
2024-03-28
Fixed
7.395
N
N
N
N
N
N
UNIQUE PUB FINANCE CO PLC
213800FOMWLKHQTI5562
UNIQUE PUB FINANCE CO ASSET BACKED REGS 06/27 5.659
743541II7
1036917.000000
PA
1332472.060000
0.0298054
Long
DBT
CORP
GB
N
2
2027-06-30
Fixed
5.659
N
N
N
N
N
N
AMSURG LLC
N/A
ENVISION HEALTHCARE CORPORTION 2022 DELAYED DRAW TERM LOAN
945BFLII4
9476923.080000
PA
USD
9358461.540000
0.2093346
Long
LON
CORP
US
N
2
2027-04-30
Floating
8.92005
N
N
N
N
N
N
UNITED AIRLINES 2018-1 CLASS AA PASS THROUGH TRUST
N/A
UNITED AIR 2018 1 AA PTT PASS THRU CE 09/31 3.5
909318AA5
833896.200000
PA
USD
763635.360000
0.0170814
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
3.5
N
N
N
N
N
N
CAESARS ENTERTAINMENT INC
549300FA4CTCW903Y781
CAESARS ENTERTAINMENT INC COMMON STOCK
12769G100
2.000000
NS
USD
76.600000
0.0000017
Long
EC
CORP
US
N
1
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
UNITED AIRLINES INC SR SECURED 144A 04/29 4.625
90932LAH0
900000.000000
PA
USD
766525.500000
0.0171460
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.625
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
UNITED AIRLINES, INC. 2021 TERM LOAN B
90932RAJ3
6616993.730000
PA
USD
6160421.160000
0.1377993
Long
LON
CORP
US
N
2
2028-04-21
Floating
5.3916
N
N
N
N
N
N
AMSURG LLC
N/A
ENVISION HEALTHCARE CORPORTION 2022 TERM LOAN
945BFKII6
52123076.930000
PA
USD
51471538.470000
1.1513405
Long
LON
CORP
US
N
2
2027-04-30
Floating
10.4672
N
N
N
N
N
N
ANCESTRY.COM
2549009ADY4208OH2Y47
ARCHES BUYER INC SR SECURED 144A 06/28 4.25
039524AA1
5000000.000000
PA
USD
4085000.000000
0.0913753
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.25
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 07/22 0.00000
912796S59
110100000.000000
PA
USD
110011437.760000
2.4607895
Long
DBT
UST
US
N
2
2022-07-28
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 07/22 0.00000
912796X20
700000.000000
PA
USD
699643.880000
0.0156500
Long
DBT
UST
US
N
2
2022-07-19
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 07/22 0.00000
912796X38
53467000.000000
PA
USD
53429220.220000
1.1951309
Long
DBT
UST
US
N
2
2022-07-26
None
0
N
N
N
N
N
N
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
N/A
UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6
91327AAB8
51751000.000000
PA
USD
35870170.630000
0.8023615
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6
N
N
N
N
N
N
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
N/A
UNITI GRP/UNITI HLD/CSL SR SECURED 144A 02/25 7.875
91327AAA0
76481000.000000
PA
USD
74036667.240000
1.6560883
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.875
N
N
N
N
N
N
UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC
N/A
UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5
91327BAA8
9015000.000000
PA
USD
6629991.600000
0.1483029
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6.5
N
N
N
N
N
N
UNIVISION COMMUNICATIONS INC
549300YQDE2JSGTL8V47
UNIVISION COMMUNICATIONS 2017 REPLACEMENT REPRICED NEW
914908AX6
2753988.670000
PA
USD
2709236.350000
0.0606015
Long
LON
CORP
US
N
2
2024-03-15
Floating
4.4161
N
N
N
N
N
N
UPFIELD BV (AKA: FLORA FOOD GROUP, SIGMA BIDCO BV)
2549002VGA888UKFKS25
SIGMA BIDCO B.V. 2018 EUR TERM LOAN B
933XDNII8
690000.000000
PA
548641.120000
0.0122723
Long
LON
CORP
NL
N
2
2025-07-02
Floating
3.738
N
N
N
N
N
N
UPFIELD BV (AKA: FLORA FOOD GROUP, SIGMA BIDCO BV)
2549002VGA888UKFKS25
SIGMA BIDCO B.V. 2018 PLN TERM LOAN B
933XDYII4
85526750.000000
PA
13836500.590000
0.3095016
Long
LON
CORP
NL
N
2
2025-07-02
Floating
6.32
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
U.S. RENAL CARE, INC. 2019 TERM LOAN B
90290PAN4
2480867.350000
PA
USD
1708352.550000
0.0382133
Long
LON
CORP
US
N
2
2026-06-26
Floating
6.6875
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US RENAL CARE INC 2021 TERM LOAN B
90290PAQ7
10024250.000000
PA
USD
6991914.380000
0.1563986
Long
LON
CORP
US
N
3
2026-06-26
Floating
7.1875
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US RENAL CARE INC SR UNSECURED 144A 07/27 10.625
07335BAA4
21168000.000000
PA
USD
7990920.000000
0.1787448
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
10.625
N
N
N
N
N
N
VALARIS LIMITED
N/A
VALARIS LTD SR SECURED 04/28 8.25
000000000
6673000.000000
PA
USD
6482686.040000
0.1450079
Long
DBT
CORP
BM
N
2
2028-04-30
Fixed
8.25
N
N
N
N
N
N
ANTHRACITE LTD 2004-HY1A
N/A
ANTHRACITE LTD SER 2004 HY1 CL D 144A
000000000
2103266.540000
PA
USD
100620.270000
0.0022507
Long
ABS-MBS
CORP
US
N
2
2041-06-20
Fixed
5.678
N
N
N
N
N
N
VALARIS LIMITED
N/A
VALARIS LTD SR SECURED 144A 04/28 8.25
91889FAA9
1259000.000000
PA
USD
1223093.320000
0.0273587
Long
DBT
CORP
BM
N
2
2028-04-30
Fixed
8.25
N
N
Y
N
N
N
VALE SA
254900SMTWBX7RU2SR20
VALE SA SUBORDINATED 12/49 VAR
B011X9II2
830470000.000000
PA
68018740.490000
1.5214764
Long
DBT
CORP
BR
N
3
2049-12-29
Variable
3.20163
N
N
N
N
N
N
VENEZUELAN GOVT
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25
922646AS3
734000.000000
PA
USD
64225.000000
0.0014366
Long
DBT
NUSS
VE
N
2
2027-09-15
Fixed
9.25
Y
Y
N
N
N
N
VENEZUELAN GOVT
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25
P97475AP5
136000.000000
PA
USD
11560.000000
0.0002586
Long
DBT
NUSS
VE
N
2
2024-10-13
Fixed
8.25
Y
Y
N
N
N
N
VERDE CDO LTD 2005-1A
N/A
VERDE CDO LTD VERDE 2005 1A A1 144A
923367AA4
242568471.610000
PA
USD
61913904.400000
1.3849204
Long
ABS-CBDO
CORP
KY
N
2
2045-10-05
Floating
2.52286
N
N
N
N
N
N
VERITAS US INC
549300RFUWCPWS8FQ104
VERITAS US INC 2021 TERM LOAN B
G9341JAN0
4679415.370000
PA
USD
3857593.050000
0.0862885
Long
LON
CORP
US
N
2
2025-09-01
Floating
7.2504
N
N
N
N
N
N
VERITAS US INC / VERITAS BERMUDA LTD
N/A
VERITAS US INC/BERMUDA L SR SECURED 144A 09/25 7.5
92346LAE3
21985000.000000
PA
USD
16541514.000000
0.3700087
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
7.5
N
N
N
N
N
N
VIAD CORP
549300PXU4ZW7LPO5Y40
VIAD CORP INITIAL TERM LOAN
92553BAL7
3771500.000000
PA
USD
3545210.000000
0.0793010
Long
LON
CORP
US
N
3
2028-07-30
Floating
6.6661
N
N
N
N
N
N
VICI PROPERTIES LP / VICI NOTE CO INC
N/A
VICI PROPERTIES / NOTE COMPANY GUAR 144A 01/28 4.5
92564RAK1
300000.000000
PA
USD
273926.910000
0.0061273
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.5
N
N
N
N
N
N
VICI PROPERTIES LP / VICI NOTE CO INC
N/A
VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/27 5.75
92564RAJ4
1100000.000000
PA
USD
1045775.500000
0.0233924
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.75
N
N
N
N
N
N
VICI PROPERTIES LP / VICI NOTE CO INC
N/A
VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/29 3.875
92564RAL9
7100000.000000
PA
USD
6120323.610000
0.1369024
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.875
N
N
N
N
N
N
VICI PROPERTIES LP / VICI NOTE CO INC
N/A
VICI PROPERTIES / NOTE COMPANY GUAR 144A 09/26 4.5
92564RAH8
200000.000000
PA
USD
184360.000000
0.0041239
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
4.5
N
N
N
N
N
N
VIKING CRUISES LTD
549300IJP90T4MV2GL84
VIKING CRUISES LTD SR SECURED 144A 05/25 13
92676XAE7
48033000.000000
PA
USD
49290011.600000
1.1025430
Long
DBT
CORP
BM
N
2
2025-05-15
Fixed
13
N
N
N
N
N
N
VIKING OCEAN CRUISES SHIP VII LTD
N/A
VIKING OCEAN CRUISES SHI SR SECURED 144A 02/29 5.625
92682RAA0
12300000.000000
PA
USD
9714225.120000
0.2172925
Long
DBT
CORP
BM
N
2
2029-02-15
Fixed
5.625
N
N
N
N
N
N
VNDO TRUST 2016-350P
N/A
VNO MORTGAGE TRUST VNDO 2016 350P E 144A
91831UAG2
4814000.000000
PA
USD
4091862.450000
0.0915288
Long
ABS-MBS
CORP
US
N
2
2035-01-10
Variable
4.03272
N
N
N
N
N
N
VNET GROUP INC
529900672GYJQ3T38I58
VNET GROUP INC SR UNSECURED 02/26 0.00000
90138VAB3
21000000.000000
PA
USD
17299800.000000
0.3869704
Long
DBT
CORP
KY
N
2
2026-02-01
None
0
N
N
N
Y
N
VNET GROUP INC
VNET GROUP INC-ADR
USD
XXXX
N
N
N
VOC ESCROW LTD
N/A
VOC ESCROW LTD SR SECURED 144A 02/28 5
91832VAA2
7300000.000000
PA
USD
5875624.000000
0.1314288
Long
DBT
CORP
BM
N
2
2028-02-15
Fixed
5
N
N
N
N
N
N
APOLLO COMMERCIAL REAL ESTATE FINANCE INC
549300E0AN7M2AQHSY29
APOLLO CMMRL REAL EST FI SR SECURED 144A 06/29 4.625
03762UAD7
4700000.000000
PA
USD
3507774.500000
0.0784636
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.625
N
N
N
N
N
N
VOYAGER AVIATION HOLDINGS LLC
549300KHOKL1CX4NIJ92
VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5
92918XAA3
122450000.000000
PA
USD
109592750.000000
2.4514241
Long
DBT
CORP
US
N
2
2026-05-09
Fixed
8.5
N
N
N
N
N
N
WAMU MTGE P/T CERT 2007-HY1
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3
92925VAK6
209651.310000
PA
USD
198108.520000
0.0044314
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
3.12495
Y
N
N
N
N
N
WAMU MTGE P/T CERT 2007-HY3
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 1A1
933634AA5
256657.200000
PA
USD
211770.320000
0.0047370
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
2.91338
Y
N
N
N
N
N
WAMU MTGE P/T CERT 2007-HY3
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 3A3
933634AG2
1776717.980000
PA
USD
1689971.860000
0.0378021
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
3.28678
Y
N
N
N
N
N
WAMU MTGE P/T CERT 2007-HY6
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 1A1
92927XAA2
695131.320000
PA
USD
630953.810000
0.0141135
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
3.18771
Y
N
N
N
N
N
WAMU MTGE P/T CERT 2007-HY7
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 1A1
93364FAA9
1135413.590000
PA
USD
886714.750000
0.0198345
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
3.08825
Y
N
N
N
N
N
CAPITAL FARM CREDIT ACA
254900S6K5I3OISPS518
CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR
14019TAA4
4300000.000000
NS
USD
3859250.000000
0.0863256
Long
EP
CORP
US
N
2
N
N
N
WAMU MTGE P/T CERT 2007-HY7
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A2
93364FAH4
546164.440000
PA
USD
521601.900000
0.0116674
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
3.17578
Y
N
N
N
N
N
WAMU MTGE P/T CERT 2007-OA5
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A1B
93364BAB6
1834013.430000
PA
USD
1397257.800000
0.0312545
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
1.2259
Y
N
N
N
N
N
WARWICK FINANCE RESIDENTIAL MORTGAGES 3A
N/A
WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A
ACI0Y9JX6
646000.000000
PA
781641.040000
0.0174841
Long
ABS-MBS
CORP
GB
N
2
2049-12-21
Floating
3.80969
N
N
N
N
N
N
WARWICK FINANCE RESIDENTIAL MORTGAGES 3A
N/A
WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A
ACI0Y9JP3
646000.000000
PA
780532.250000
0.0174593
Long
ABS-MBS
CORP
GB
N
2
2049-12-21
Floating
4.30969
N
N
N
N
N
N
WARWICK FINANCE RESIDENTIAL MORTGAGES 3A
N/A
WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A
ACI0YB0Q6
176.000000
PA
404570.880000
0.0090496
Long
ABS-MBS
CORP
GB
N
2
2049-12-21
Variable
0
N
N
N
N
N
N
WARWICK FINANCE RESIDENTIAL MORTGAGES 3A
N/A
WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A
ACI0YB0R4
176.000000
PA
92444.640000
0.0020678
Long
ABS-MBS
CORP
GB
N
2
2049-12-21
Fixed
0
N
N
N
N
N
N
WASHING MUTUAL MTGE P/T 2006-5
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 1A1
93934NAA3
3565813.080000
PA
USD
2375848.840000
0.0531441
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
2.22357
Y
N
N
N
N
N
WASHINGTON MUTUAL 2003-AR1
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A6
939336PC1
27201.840000
PA
USD
26326.520000
0.0005889
Long
ABS-MBS
CORP
US
N
2
2033-03-25
Fixed
2.36775
N
N
N
N
N
N
WASHINGTON MUTUAL 2004-AR8
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A1
92922FTJ7
91128.300000
PA
USD
85986.450000
0.0019234
Long
ABS-MBS
CORP
US
N
2
2044-06-25
Floating
2.46357
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR8
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 1A1A
92922FR67
116977.280000
PA
USD
111919.720000
0.0025035
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
2.16357
N
N
N
N
N
N
WASHINGTON MUTUAL 2006 AR7
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A
93363CAC3
2851271.760000
PA
USD
2564794.510000
0.0573706
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
1.723
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR13
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A
93363RAA4
233000.010000
PA
USD
205410.360000
0.0045947
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
1.3559
Y
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR14
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR14 2A3
93363PAK6
108917.950000
PA
USD
100077.100000
0.0022386
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
2.49105
Y
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR8
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 2A1
93362FAF0
1059976.690000
PA
USD
1009282.880000
0.0225761
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
2.78064
Y
N
N
N
N
N
WASHINGTON MUTUAL 2007-OA6
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A
92927BAA0
12157738.160000
PA
USD
10250533.110000
0.2292889
Long
ABS-MBS
CORP
US
N
2
2047-07-25
Floating
1.2859
N
N
N
N
N
N
WASHINGTON MUTUAL 2007-OA6
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 2A
92927BAC6
394978.350000
PA
USD
351620.350000
0.0078652
Long
ABS-MBS
CORP
US
N
2
2047-07-25
Floating
1.473
Y
N
N
N
N
N
WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-3
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 3 A6
93936JAF9
1536619.880000
PA
USD
1385225.480000
0.0309854
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6
Y
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH 2006-4
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 4 3A3
939344AN7
3891161.200000
PA
USD
3537684.230000
0.0791326
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
6.467
Y
N
N
N
N
N
WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3
N/A
WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 1A
939336G23
66762.110000
PA
USD
64619.620000
0.0014454
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Floating
3.725
N
N
N
N
N
N
WASHINGTON MUTUAL MTGE P/T 2006-AR4
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR4 DA
939345AD6
5813940.860000
PA
USD
3438482.070000
0.0769136
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
1.4459
N
N
N
N
N
N
WASHINGTON MUTUAL MTGE P/T 2007-OC1
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OC1 A1
93936FAA8
8014010.210000
PA
USD
7555828.410000
0.1690125
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
1.86357
Y
N
N
N
N
N
WELLS FARGO ALTERNATIVE LOAN 2007-PA4
N/A
WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1
94984UAE6
1472389.740000
PA
USD
1319454.530000
0.0295142
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
3.41104
Y
N
N
N
N
N
WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3
N/A
WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 1A1
94985GAA4
197472.510000
PA
USD
183970.290000
0.0041151
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
5.75
Y
N
N
N
N
N
WELLS FARGO MORTGAGE LOAN 2011-RR3 TRUST
N/A
WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2011 RR3 A5 144A
94987VAL5
3495358.560000
PA
USD
2440893.120000
0.0545991
Long
ABS-MBS
CORP
US
N
2
2037-03-27
Floating
2.73638
N
N
N
N
N
N
WELLS FARGO MORTGAGE LOAN TRUST 2011-RR1
N/A
WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2011 RR1 A3 144A
94987TAE6
4013799.130000
PA
USD
3680746.120000
0.0823327
Long
ABS-MBS
CORP
US
N
2
2036-04-27
Floating
2.87017
N
N
N
N
N
N
WELLS FARGO MTGE BACKED SEC 2007-7
N/A
WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A38
94985JBP4
34550.380000
PA
USD
30938.750000
0.0006921
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6
Y
N
N
N
N
N
WELLS FARGO MTGE BACKED SEC 2007-7
N/A
WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A6
94985JAF7
33536.300000
PA
USD
30030.250000
0.0006717
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6
Y
N
N
N
N
N
WELLS FARGO MTGE BK SEC TR 2006-AR13
N/A
WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR13 A2
94984DAB0
5000.760000
PA
USD
4762.080000
0.0001065
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
2.66393
Y
N
N
N
N
N
WELLS FARGO MTGE BK SEC TR 2006-AR14
N/A
WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 2A3
94984MAP9
5595.760000
PA
USD
5303.010000
0.0001186
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
2.60867
Y
N
N
N
N
N
WESCO AIRCRAFT HOLDINGS INC
529900P5VTXZS191P208
WESCO AIRCRAFT HOLDINGS SR UNSECURED 144A 11/24 8.5
97789LAC0
2265000.000000
PA
USD
1200450.000000
0.0268523
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
8.5
N
N
N
N
N
N
WEST MARINE (RISING TIDE HOLDINGS INC)
254900T03WM6VU0KWL83
RISING TIDE HOLDINGS INC TERM LOAN
76770EAB3
17028000.000000
PA
USD
14927885.680000
0.3339142
Long
LON
CORP
US
N
2
2028-06-01
Floating
6.4161
N
N
N
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND COAL CO PIK TERM LOAN
96106JAE9
21030489.680000
PA
USD
12618293.810000
0.2822522
Long
LON
CORP
US
N
2
2029-03-15
Fixed
15
N
N
Y
N
N
N
WHLN - SV PORTFOLIO
N/A
PREYLOCK REITMAN SANTA CRUZ TERM LOAN
933BWMII7
37100000.000000
PA
USD
36773968.910000
0.8225781
Long
LON
CORP
US
Y
3
2022-11-09
Floating
6.819
N
N
N
N
N
N
WINDSTREAM SERVICES II LLC
549300KT9GVEBYCD2N29
WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B
97381JAE3
14312118.320000
PA
USD
13453391.220000
0.3009320
Long
LON
CORP
US
N
2
2027-09-21
Floating
7.25
N
N
N
N
N
N
WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)
549300L3SXBFJVGRCF66
WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75
97382WAA1
64273000.000000
PA
USD
51917801.210000
1.1613227
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
7.75
N
N
N
N
N
N
WMALT MTGE PASS-THRU CERT 2005-10
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 2A1
93934FFZ0
907510.200000
PA
USD
870229.500000
0.0194657
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.75
Y
N
N
N
N
N
WMALT MTGE PASS-THRU CERT 2006-AR8
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 2A
93935LAB4
275655.870000
PA
USD
234761.630000
0.0052513
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
1.3259
Y
N
N
N
N
N
WOLVERINE ESCROW LLC
N/A
WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5
950814AA1
199745524.000000
PA
USD
189563717.630000
4.2402537
Long
DBT
CORP
US
N
3
2026-11-15
Fixed
10.5
N
N
Y
N
N
N
WORLDWIDE PLAZA TRUST 2017-WWP
N/A
WORLDWIDE PLAZA TRUST WPT 2017 WWP E 144A
98162JAN6
5000000.000000
PA
USD
4053363.500000
0.0906676
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.71539
N
N
N
N
N
N
WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP
N/A
WYNN LAS VEGAS LLC/CORP COMPANY GUAR 144A 03/25 5.5
983130AV7
6100000.000000
PA
USD
5593578.000000
0.1251199
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.5
N
N
N
N
N
N
WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP
N/A
WYNN LAS VEGAS LLC/CORP COMPANY GUAR 144A 05/27 5.25
983130AX3
9610000.000000
PA
USD
8243794.350000
0.1844012
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.25
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED 144A 01/26 5.5
98313RAG1
1800000.000000
PA
USD
1249380.000000
0.0279467
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
5.5
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED 144A 08/28 5.625
98313RAH9
7500000.000000
PA
USD
4640887.500000
0.1038096
Long
DBT
CORP
KY
N
2
2028-08-26
Fixed
5.625
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED 144A 10/24 4.875
98313RAC0
600000.000000
PA
USD
447000.000000
0.0099987
Long
DBT
CORP
KY
N
2
2024-10-01
Fixed
4.875
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED 144A 10/27 5.5
98313RAD8
1200000.000000
PA
USD
778362.000000
0.0174108
Long
DBT
CORP
KY
N
2
2027-10-01
Fixed
5.5
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED 144A 12/29 5.125
98313RAE6
4100000.000000
PA
USD
2551307.000000
0.0570689
Long
DBT
CORP
KY
N
2
2029-12-15
Fixed
5.125
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED REGS 01/26 5.5
G98149AG5
200000.000000
PA
USD
138820.000000
0.0031052
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
5.5
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED REGS 08/28 5.625
G98149AH3
600000.000000
PA
USD
371271.000000
0.0083048
Long
DBT
CORP
KY
N
2
2028-08-26
Fixed
5.625
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED REGS 10/27 5.5
G98149AD2
1300000.000000
PA
USD
843225.500000
0.0188617
Long
DBT
CORP
KY
N
2
2027-10-01
Fixed
5.5
N
N
N
N
N
N
YAHOO (AKA: AP CORE HOLDINGS II LLC)
549300PND8ZZ4RWYRZ56
AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1
00187GAC3
4097762.140000
PA
USD
3865554.250000
0.0864666
Long
LON
CORP
US
N
2
2027-09-01
Floating
7.1661
N
N
N
N
N
N
YAHOO (AKA: AP CORE HOLDINGS II LLC)
549300PND8ZZ4RWYRZ56
AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2
00187GAD1
4851000.000000
PA
USD
4582172.130000
0.1024963
Long
LON
CORP
US
N
2
2027-09-01
Floating
7.1661
N
N
N
N
N
N
YELLOWSTONE ENERGY LP
N/A
YELLOWSTONE ENERGY LP SR SECURED 12/26 5.75
98580LAA3
2429608.250000
PA
USD
2505556.130000
0.0560455
Long
DBT
CORP
US
N
3
2026-12-31
Fixed
5.75
N
N
N
N
N
N
N/A
N/A
BARCLAYS REV REPO EUR
000000000
-8533426.000000
PA
-8921460.990000
-0.1995596
Short
RA
GB
N
2
Reverse repurchase
N
-0.4200000
2023-12-16
9776000.000000
EUR
8187732.380000
EUR
CDS
N
N
N
N/A
N/A
BARCLAYS REV REPO EUR
000000000
-3613930.850000
PA
-3765302.200000
-0.0842241
Short
RA
GB
N
2
Reverse repurchase
N
-5.5000000
2024-05-23
5600000.000000
EUR
3328136.000000
EUR
CDS
N
N
N
N/A
N/A
BARCLAYS REV REPO EUR
000000000
-2351430.870000
PA
-2461589.210000
-0.0550620
Short
RA
GB
N
2
Reverse repurchase
N
-1.0000000
2024-05-23
2944000.000000
EUR
2059622.400000
EUR
CDS
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-46832496.510000
PA
USD
-47010616.100000
-1.0515564
Short
RA
US
N
2
Reverse repurchase
N
1.6300000
2022-07-08
75454692.750000
USD
54893715.870000
USD
PLCMO
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-68336094.100000
PA
USD
-68519462.580000
-1.5326768
Short
RA
US
N
2
Reverse repurchase
N
2.1000000
2022-08-16
136836903.640000
USD
81044470.020000
USD
PLCMO
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-8158318.320000
PA
USD
-8177694.330000
-0.1829227
Short
RA
US
N
2
Reverse repurchase
N
2.2500000
2022-08-24
12797362.070000
USD
10789818.130000
USD
PLCMO
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-54606244.240000
PA
USD
-54707326.470000
-1.2237202
Short
RA
US
N
2
Reverse repurchase
N
2.3800000
2022-09-06
107847475.440000
USD
68513667.220000
USD
PLCMO
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-39352869.830000
PA
USD
-39415834.420000
-0.8816726
Short
RA
US
N
2
Reverse repurchase
N
2.4000000
2022-09-09
53468540.340000
USD
49623496.420000
USD
PLCMO
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-42156648.580000
PA
USD
-42156648.580000
-0.9429805
Short
RA
US
N
2
Reverse repurchase
N
2.9800000
2022-10-06
73167323.030000
USD
53138569.390000
USD
PLCMO
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
2940000.000000
PA
USD
2940000.000000
0.0657634
Long
RA
US
N
2
Repurchase
N
0.4000000
2022-07-01
3002100.000000
USD
2998815.700000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-11700378.000000
PA
USD
-11746997.500000
-0.2627626
Short
RA
US
N
2
Reverse repurchase
N
0.8800000
2022-07-18
14307250.000000
USD
13845829.860000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-12964838.210000
PA
USD
-13010442.020000
-0.2910239
Short
RA
US
N
2
Reverse repurchase
N
1.8900000
2022-07-29
19035427.720000
USD
17184523.130000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-1228540.980000
PA
USD
-1232797.870000
-0.0275758
Short
RA
US
N
2
Reverse repurchase
N
1.8900000
2022-08-01
1520041.860000
USD
1503672.030000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-12648937.660000
PA
USD
-12696722.540000
-0.2840065
Short
RA
US
N
2
Reverse repurchase
N
1.6000000
2022-07-07
18205976.170000
USD
14949835.630000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-12888163.440000
PA
USD
-12923605.880000
-0.2890815
Short
RA
US
N
2
Reverse repurchase
N
1.6500000
2022-08-02
14856000.000000
USD
12960628.990000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-24127342.780000
PA
USD
-24188516.530000
-0.5410605
Short
RA
US
N
2
Reverse repurchase
N
1.8300000
2022-08-12
29579548.000000
USD
25071139.110000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-21649268.210000
PA
USD
-21712063.120000
-0.4856660
Short
RA
US
N
2
Reverse repurchase
N
2.2700000
2022-08-17
34273000.000000
USD
27513218.410000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-24871843.090000
PA
USD
-24932226.400000
-0.5576962
Short
RA
US
N
2
Reverse repurchase
N
2.3000000
2022-08-24
35844636.940000
USD
29863361.090000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-18772108.000000
PA
USD
-18801898.270000
-0.4205700
Short
RA
US
N
2
Reverse repurchase
N
1.9700000
2022-09-01
30810000.000000
USD
17123701.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-1202056.000000
PA
USD
-1206521.970000
-0.0269881
Short
RA
US
N
2
Reverse repurchase
N
1.2500000
2022-09-16
1272135.650000
USD
1162448.280000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-2024213.000000
PA
USD
-2026165.240000
-0.0453223
Short
RA
US
N
2
Reverse repurchase
N
2.4800000
2022-09-19
2858000.000000
USD
2209551.530000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-4778926.000000
PA
USD
-4798288.600000
-0.1073305
Short
RA
US
N
2
Reverse repurchase
N
1.4300000
2022-09-22
5561000.000000
USD
3662764.710000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-19662585.940000
PA
USD
-19738622.380000
-0.4415231
Short
RA
US
N
2
Reverse repurchase
N
1.4200000
2022-09-23
23035000.000000
USD
19272002.020000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-4937510.740000
PA
USD
-4957319.760000
-0.1108877
Short
RA
US
N
2
Reverse repurchase
N
1.4300000
2022-09-23
5658000.000000
USD
2873271.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-912032.720000
PA
USD
-912545.480000
-0.0204123
Short
RA
US
N
2
Reverse repurchase
N
2.5300000
2022-09-26
1204000.000000
USD
980523.580000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-1030500.000000
PA
USD
-1034206.900000
-0.0231336
Short
RA
US
N
2
Reverse repurchase
N
1.6500000
2022-10-14
1188000.000000
USD
981082.280000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-20940472.000000
PA
USD
-21013216.870000
-0.4700339
Short
RA
US
N
2
Reverse repurchase
N
1.6900000
2022-10-17
27500000.000000
USD
19506933.520000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-33594109.890000
PA
USD
-33714815.390000
-0.7541494
Short
RA
US
N
2
Reverse repurchase
N
1.9900000
2022-10-27
38558000.000000
USD
33169680.090000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-14047067.680000
PA
USD
-14097215.710000
-0.3153334
Short
RA
US
N
2
Reverse repurchase
N
2.0400000
2022-10-31
16746000.000000
USD
13516167.090000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-18568213.770000
PA
USD
-18609497.110000
-0.4162663
Short
RA
US
N
2
Reverse repurchase
N
2.7600000
2022-12-02
31157983.250000
USD
24358930.440000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-25106479.060000
PA
USD
-25161350.690000
-0.5628214
Short
RA
US
N
2
Reverse repurchase
N
2.8100000
2022-12-02
33772804.760000
USD
30981999.740000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-39306124.170000
PA
USD
-39372846.300000
-0.8807110
Short
RA
US
N
2
Reverse repurchase
N
2.9100000
2022-12-09
50633119.370000
USD
49482817.940000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-4876845.990000
PA
USD
-4879501.160000
-0.1091471
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2022-12-19
7039653.550000
USD
6179637.830000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-2526583.520000
PA
USD
-2526583.520000
-0.0565159
Short
RA
US
N
2
Reverse repurchase
N
1.7800000
2022-07-01
3200000.000000
USD
2753328.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-10754628.000000
PA
USD
-10782095.330000
-0.2411792
Short
RA
US
N
2
Reverse repurchase
N
1.0800000
2022-07-06
32415716.920000
USD
10304310.940000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-12862521.930000
PA
USD
-12894981.940000
-0.2884412
Short
RA
US
N
2
Reverse repurchase
N
1.1500000
2022-07-13
14718000.000000
USD
13616308.280000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-6690238.060000
PA
USD
-6707549.060000
-0.1500377
Short
RA
US
N
2
Reverse repurchase
N
1.1500000
2022-07-15
12859000.000000
USD
7391626.520000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-12424051.430000
PA
USD
-12452005.540000
-0.2785325
Short
RA
US
N
2
Reverse repurchase
N
1.3500000
2022-08-02
15045387.650000
USD
12004593.160000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-34016379.600000
PA
USD
-34116148.540000
-0.7631267
Short
RA
US
N
2
Reverse repurchase
N
0.8000000
2022-08-05
37453970.000000
USD
30432521.150000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-6222808.130000
PA
USD
-6238296.010000
-0.1395412
Short
RA
US
N
2
Reverse repurchase
N
1.6000000
2022-08-05
7935000.000000
USD
5928411.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-2424071.060000
PA
USD
-2429352.830000
-0.0543409
Short
RA
US
N
2
Reverse repurchase
N
1.4800000
2022-08-09
2826000.000000
USD
2385370.660000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-1971115.670000
PA
USD
-1974053.180000
-0.0441566
Short
RA
US
N
2
Reverse repurchase
N
1.8500000
2022-09-06
2272150.170000
USD
2153246.100000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-16282204.260000
PA
USD
-16303461.580000
-0.3646838
Short
RA
US
N
2
Reverse repurchase
N
1.8800000
2022-09-06
19615000.000000
USD
17356056.600000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-3071984.460000
PA
USD
-3075547.960000
-0.0687954
Short
RA
US
N
2
Reverse repurchase
N
1.7400000
2022-09-07
3924000.000000
USD
2997798.910000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-7833625.720000
PA
USD
-7843652.760000
-0.1754507
Short
RA
US
N
2
Reverse repurchase
N
1.9200000
2022-09-07
10000000.000000
USD
8528268.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-14757432.230000
PA
USD
-14772497.110000
-0.3304384
Short
RA
US
N
2
Reverse repurchase
N
1.7500000
2022-09-12
18615574.000000
USD
14347811.180000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-184117.620000
PA
USD
-184325.980000
-0.0041231
Short
RA
US
N
2
Reverse repurchase
N
1.9400000
2022-09-12
200000.000000
USD
191972.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-363092.150000
PA
USD
-364532.410000
-0.0081540
Short
RA
US
N
2
Reverse repurchase
N
1.4000000
2022-09-16
500000.000000
USD
311756.750000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-1864770.650000
PA
USD
-1871867.370000
-0.0418708
Short
RA
US
N
2
Reverse repurchase
N
1.7100000
2022-10-11
2286570.000000
USD
2165852.440000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-10886621.520000
PA
USD
-10919521.090000
-0.2442532
Short
RA
US
N
2
Reverse repurchase
N
1.7800000
2022-10-14
13600000.000000
USD
11104044.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATIXIS
000000000
-5354462.000000
PA
-5610879.630000
-0.1255069
Short
RA
N/A
N
2
Reverse repurchase
N
-0.3000000
2022-07-25
6600000.000000
EUR
5260200.000000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-12002862.440000
PA
USD
-12033958.770000
-0.2691815
Short
RA
US
N
2
Reverse repurchase
N
1.0000000
2022-07-01
13946427.990000
USD
10907063.150000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-4615468.000000
PA
USD
-4615468.000000
-0.1032410
Short
RA
US
N
2
Reverse repurchase
N
2.2000000
2022-08-01
5826793.920000
USD
5015320.490000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-4600587.680000
PA
USD
-4605303.290000
-0.1030137
Short
RA
US
N
2
Reverse repurchase
N
2.0500000
2022-09-13
6200000.000000
USD
5543125.610000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-24032422.800000
PA
USD
-24045039.830000
-0.5378512
Short
RA
US
N
2
Reverse repurchase
N
2.7000000
2022-09-23
37513000.000000
USD
26604485.060000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-132851.000000
PA
USD
-133181.910000
-0.0029791
Short
RA
US
N
2
Reverse repurchase
N
1.8300000
2022-08-12
161618.480000
USD
167642.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-2711487.000000
PA
USD
-2715789.980000
-0.0607481
Short
RA
US
N
2
Reverse repurchase
N
1.9700000
2022-09-01
3300000.000000
USD
3044250.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-335500.000000
PA
USD
-336823.360000
-0.0075342
Short
RA
US
N
2
Reverse repurchase
N
1.4200000
2022-09-23
500000.000000
USD
324317.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-3093292.000000
PA
USD
-3096708.370000
-0.0692687
Short
RA
US
N
2
Reverse repurchase
N
1.4200000
2022-09-23
3700000.000000
USD
3337344.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-2757799.000000
PA
USD
-2760565.990000
-0.0617497
Short
RA
US
N
2
Reverse repurchase
N
1.2900000
2022-07-05
3479000.000000
USD
2759757.640000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-823267.000000
PA
USD
-824093.020000
-0.0184337
Short
RA
US
N
2
Reverse repurchase
N
1.2900000
2022-07-05
1200000.000000
USD
763250.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1680935.000000
PA
USD
-1685592.600000
-0.0377042
Short
RA
US
N
2
Reverse repurchase
N
0.5700000
2022-07-06
1533000.000000
USD
1349239.810000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-34919682.000000
PA
USD
-35006688.250000
-0.7830467
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-06
41650000.000000
USD
35611395.940000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-710600.000000
PA
USD
-711724.130000
-0.0159202
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-06
800000.000000
USD
787592.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-33439593.000000
PA
USD
-33548503.900000
-0.7504293
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-08
39077258.030000
USD
32051453.720000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-4318323.000000
PA
USD
-4332387.540000
-0.0969090
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-08
5100000.000000
USD
4704750.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-7830816.000000
PA
USD
-7855217.690000
-0.1757093
Short
RA
US
N
2
Reverse repurchase
N
1.4200000
2022-07-13
8400000.000000
USD
7639506.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-13128714.000000
PA
USD
-13169624.530000
-0.2945846
Short
RA
US
N
2
Reverse repurchase
N
1.4200000
2022-07-13
16380000.000000
USD
15110550.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-2321381.000000
PA
USD
-2328112.350000
-0.0520764
Short
RA
US
N
2
Reverse repurchase
N
1.4300000
2022-07-25
2898956.590000
USD
2674992.950000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1195795.000000
PA
USD
-1199285.390000
-0.0268262
Short
RA
US
N
2
Reverse repurchase
N
1.4800000
2022-07-25
1600000.000000
USD
1255302.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1340590.440000
PA
USD
-1344283.020000
-0.0300696
Short
RA
US
N
2
Reverse repurchase
N
1.4800000
2022-07-29
1700000.000000
USD
1292750.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-2423368.000000
PA
USD
-2429931.290000
-0.0543539
Short
RA
US
N
2
Reverse repurchase
N
1.5000000
2022-08-01
3621000.000000
USD
2313416.770000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1526237.000000
PA
USD
-1530370.560000
-0.0342321
Short
RA
US
N
2
Reverse repurchase
N
1.5000000
2022-08-01
2100000.000000
USD
1354500.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-66680769.000000
PA
USD
-66974090.280000
-1.4981091
Short
RA
US
N
2
Reverse repurchase
N
1.0700000
2022-08-03
94743217.190000
USD
78159782.990000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-10384246.000000
PA
USD
-10411135.440000
-0.2328814
Short
RA
US
N
2
Reverse repurchase
N
1.5800000
2022-08-03
12957000.000000
USD
10723065.010000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-409488.000000
PA
USD
-410548.350000
-0.0091833
Short
RA
US
N
2
Reverse repurchase
N
1.5800000
2022-08-03
600000.000000
USD
373085.990000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-41548816.000000
PA
USD
-41657258.420000
-0.9318099
Short
RA
US
N
2
Reverse repurchase
N
1.6200000
2022-08-04
48873029.000000
USD
43376152.740000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1364483.280000
PA
USD
-1364483.280000
-0.0305214
Short
RA
US
N
2
Reverse repurchase
N
1.9800000
2022-08-04
1869000.000000
USD
1435818.520000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-298127.000000
PA
USD
-298127.000000
-0.0066687
Short
RA
US
N
2
Reverse repurchase
N
1.9800000
2022-08-04
400000.000000
USD
319500.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-7840586.040000
PA
USD
-7860821.290000
-0.1758347
Short
RA
US
N
2
Reverse repurchase
N
1.6300000
2022-08-05
9540000.000000
USD
8197557.600000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-5980466.000000
PA
USD
-5995722.830000
-0.1341153
Short
RA
US
N
2
Reverse repurchase
N
1.6400000
2022-08-08
6885731.000000
USD
6316795.240000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1985000.000000
PA
USD
-1990063.950000
-0.0445147
Short
RA
US
N
2
Reverse repurchase
N
1.6400000
2022-08-08
2500000.000000
USD
2306250.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-7373304.920000
PA
USD
-7387594.450000
-0.1652493
Short
RA
US
N
2
Reverse repurchase
N
1.6700000
2022-08-09
8980000.000000
USD
7759398.750000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-20755072.500000
PA
USD
-20815348.690000
-0.4656079
Short
RA
US
N
2
Reverse repurchase
N
2.0500000
2022-08-09
28422000.000000
USD
26976798.580000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-242980.000000
PA
USD
-243573.820000
-0.0054484
Short
RA
US
N
2
Reverse repurchase
N
1.6600000
2022-08-12
375000.000000
USD
232271.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-6996646.250000
PA
USD
-7012023.330000
-0.1568484
Short
RA
US
N
2
Reverse repurchase
N
1.7200000
2022-08-12
8043932.210000
USD
7934724.560000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-7980721.000000
PA
USD
-8000224.990000
-0.1789529
Short
RA
US
N
2
Reverse repurchase
N
1.6600000
2022-08-12
10824000.000000
USD
8768035.320000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-866800.000000
PA
USD
-868780.660000
-0.0194333
Short
RA
US
N
2
Reverse repurchase
N
1.7200000
2022-08-12
1100000.000000
USD
1014750.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-22116341.860000
PA
USD
-22167245.220000
-0.4958478
Short
RA
US
N
2
Reverse repurchase
N
2.1804800
2022-08-24
34835322.790000
USD
27823926.320000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-9814618.480000
PA
USD
-9836726.590000
-0.2200327
Short
RA
US
N
2
Reverse repurchase
N
2.1916900
2022-08-25
13716897.530000
USD
12794606.390000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-45516036.670000
PA
USD
-45586796.340000
-1.0197077
Short
RA
US
N
2
Reverse repurchase
N
1.9000000
2022-08-31
62952650.630000
USD
49332123.660000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-12661701.180000
PA
USD
-12676240.710000
-0.2835483
Short
RA
US
N
2
Reverse repurchase
N
2.7559400
2022-09-16
17881000.150000
USD
15519820.700000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-21602807.130000
PA
USD
-21621979.620000
-0.4836510
Short
RA
US
N
2
Reverse repurchase
N
2.1300000
2022-09-19
24844000.000000
USD
25298710.590000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-784389.620000
PA
USD
-784938.690000
-0.0175579
Short
RA
US
N
2
Reverse repurchase
N
2.5200000
2022-09-21
1028962.840000
USD
924403.140000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-72719.760000
PA
USD
-72770.660000
-0.0016278
Short
RA
US
N
2
Reverse repurchase
N
2.5200000
2022-09-21
80809.240000
USD
83821.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-6506739.780000
PA
USD
-6508828.610000
-0.1455927
Short
RA
US
N
2
Reverse repurchase
N
2.8892300
2022-09-23
9762550.310000
USD
8441632.350000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-2555707.000000
PA
USD
-2555707.000000
-0.0571673
Short
RA
US
N
2
Reverse repurchase
N
2.5800000
2022-10-06
3479000.000000
USD
2759757.640000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-563323.000000
PA
USD
-563323.000000
-0.0126007
Short
RA
US
N
2
Reverse repurchase
N
2.5800000
2022-10-06
800000.000000
USD
594250.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO UBS AG LONDON
000000000
-888176.000000
PA
USD
-891094.650000
-0.0199324
Short
RA
US
N
2
Reverse repurchase
N
1.3000000
2022-07-01
1050000.000000
USD
1060500.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO UBS AG LONDON
000000000
-470350.000000
PA
USD
-471761.050000
-0.0105526
Short
RA
US
N
2
Reverse repurchase
N
1.3500000
2022-07-13
600000.000000
USD
590694.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO UBS AG LONDON
000000000
-1155003.000000
PA
USD
-1158208.130000
-0.0259074
Short
RA
US
N
2
Reverse repurchase
N
1.3500000
2022-07-20
1400000.000000
USD
1291500.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO UBS AG LONDON
000000000
-432550.000000
PA
USD
-433725.090000
-0.0097018
Short
RA
US
N
2
Reverse repurchase
N
1.6300000
2022-08-02
500000.000000
USD
505000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-21179874.000000
PA
USD
-21249473.420000
-0.4753186
Short
RA
US
N
2
Reverse repurchase
N
1.3000000
2022-07-01
27028000.000000
USD
19992968.540000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-12326137.160000
PA
USD
-12372154.740000
-0.2767464
Short
RA
US
N
2
Reverse repurchase
N
1.6000000
2022-07-08
18607968.850000
USD
16046173.810000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-388945.000000
PA
USD
-389293.510000
-0.0087079
Short
RA
US
N
2
Reverse repurchase
N
1.3500000
2022-07-13
496971.090000
USD
463177.200000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-25659771.140000
PA
USD
-25734825.980000
-0.5756491
Short
RA
US
N
2
Reverse repurchase
N
1.3500000
2022-07-14
29149979.000000
USD
26112073.150000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-58610707.430000
PA
USD
-58874455.590000
-1.3169325
Short
RA
US
N
2
Reverse repurchase
N
1.0000000
2022-07-19
95911200.110000
USD
71571228.230000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-50167000.330000
PA
USD
-50402576.180000
-1.1274294
Short
RA
US
N
2
Reverse repurchase
N
1.0500000
2022-07-20
86253775.300000
USD
64960486.770000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-34392688.000000
PA
USD
-34488127.690000
-0.7714473
Short
RA
US
N
2
Reverse repurchase
N
1.3500000
2022-07-20
45084237.470000
USD
33264876.100000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-10737867.000000
PA
USD
-10767038.200000
-0.2408424
Short
RA
US
N
2
Reverse repurchase
N
1.6300000
2022-08-02
14328544.000000
USD
13822098.030000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-9994954.000000
PA
USD
-10021698.830000
-0.2241702
Short
RA
US
N
2
Reverse repurchase
N
1.6900000
2022-08-05
11823455.000000
USD
10413507.580000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-3562165.000000
PA
USD
-3571080.310000
-0.0798797
Short
RA
US
N
2
Reverse repurchase
N
1.7000000
2022-08-09
4818563.550000
USD
3512799.840000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-12258461.250000
PA
USD
-12281650.170000
-0.2747219
Short
RA
US
N
2
Reverse repurchase
N
2.2700000
2022-09-02
27271326.480000
USD
15719189.860000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-42517501.460000
PA
USD
-42592899.170000
-0.9527387
Short
RA
US
N
2
Reverse repurchase
N
2.2800000
2022-09-02
101820700.370000
USD
52955477.250000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-28806549.620000
PA
USD
-28853760.350000
-0.6454150
Short
RA
US
N
2
Reverse repurchase
N
2.3600000
2022-09-07
42330227.720000
USD
35665865.500000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-18885707.100000
PA
USD
-18985801.340000
-0.4246837
Short
RA
US
N
2
Reverse repurchase
N
1.8000000
2022-09-16
24763635.950000
USD
22890622.240000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-295370.240000
PA
USD
-295640.180000
-0.0066130
Short
RA
US
N
2
Reverse repurchase
N
2.3500000
2022-09-19
385000.000000
USD
307733.880000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-4037240.000000
PA
USD
-4041086.580000
-0.0903930
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2022-09-19
5388130.000000
USD
4375497.120000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-17554974.550000
PA
USD
-17554974.550000
-0.3926782
Short
RA
US
N
2
Reverse repurchase
N
2.7000000
2022-10-03
27028000.000000
USD
19992968.540000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-42714324.190000
PA
USD
-42714324.190000
-0.9554548
Short
RA
US
N
2
Reverse repurchase
N
2.7500000
2022-10-03
52726633.000000
USD
49535471.680000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-14503388.570000
PA
USD
-14551153.060000
-0.3254873
Short
RA
US
N
2
Reverse repurchase
N
1.5200000
2022-07-14
18094000.000000
USD
16760240.800000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-18823978.060000
PA
USD
-18890050.240000
-0.4225419
Short
RA
US
N
2
Reverse repurchase
N
1.6200000
2022-07-14
25640360.000000
USD
24022469.250000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-15558793.370000
PA
USD
-15561905.130000
-0.3480963
Short
RA
US
N
2
Reverse repurchase
N
1.8000000
2022-07-29
22389000.000000
USD
17118629.400000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-2914125.020000
PA
USD
-2916278.230000
-0.0652327
Short
RA
US
N
2
Reverse repurchase
N
1.9000000
2022-07-29
3775509.575400
USD
3099635.940000
USD
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-20705716.000000
PA
USD
-20721417.840000
-0.4635068
Short
RA
US
N
2
Reverse repurchase
N
1.9500000
2022-07-29
3183479280.000000
ARS
3116957718.360000
ARS
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-18261050.000000
PA
USD
-18275253.030000
-0.4087898
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2022-07-29
76143153.000000
USD
19206941.940000
USD
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-22052903.000000
PA
USD
-22070055.260000
-0.4936738
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2022-07-29
81306899.000000
USD
23358884.190000
USD
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-440261.000000
PA
USD
-440611.990000
-0.0098558
Short
RA
US
N
2
Reverse repurchase
N
2.0500000
2022-07-29
1086000.000000
USD
513750.570000
USD
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-25850907.280000
PA
USD
-25926736.610000
-0.5799419
Short
RA
US
N
2
Reverse repurchase
N
1.7600000
2022-08-02
31660000.000000
USD
29586986.960000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-134297.870000
PA
USD
-134637.340000
-0.0030116
Short
RA
US
N
2
Reverse repurchase
N
1.8200000
2022-08-12
166854.110000
USD
159003.860000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-4038040.220000
PA
USD
-4048527.910000
-0.0905594
Short
RA
US
N
2
Reverse repurchase
N
1.8700000
2022-08-12
5083958.620000
USD
4553461.610000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-2612359.680000
PA
USD
-2619053.850000
-0.0585843
Short
RA
US
N
2
Reverse repurchase
N
2.0500000
2022-08-17
3360000.000000
USD
3221326.750000
USD
PLCMO
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-5079085.000000
PA
-5318943.790000
-0.1189767
Short
RA
LU
N
2
Reverse repurchase
N
-0.3800000
2022-07-27
5000000.000000
EUR
4868900.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-60494470.000000
PA
-63356808.170000
-1.4171960
Short
RA
LU
N
2
Reverse repurchase
N
-0.3600000
2022-07-29
62770000.000000
EUR
61124170.600000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-31505608.000000
PA
-32996257.820000
-0.7380764
Short
RA
LU
N
2
Reverse repurchase
N
-0.3800000
2022-08-04
32940000.000000
EUR
32076313.200000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-1625420.000000
PA
-1702406.420000
-0.0380803
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-08-04
2200000.000000
EUR
1588738.270000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-1469177.000000
PA
-1538726.320000
-0.0344190
Short
RA
LU
N
2
Reverse repurchase
N
-0.4000000
2022-08-09
1800000.000000
EUR
1596960.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-3648409.000000
PA
-3821234.330000
-0.0854752
Short
RA
LU
N
2
Reverse repurchase
N
-0.3800000
2022-08-09
3800000.000000
EUR
3727800.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-1899431.000000
PA
-1989494.120000
-0.0445020
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-08-09
1980000.000000
EUR
1942380.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-8595925.000000
PA
-9003773.520000
-0.2014008
Short
RA
LU
N
2
Reverse repurchase
N
-0.3800000
2022-08-17
10250000.000000
EUR
9173319.500000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-2038421.000000
PA
-2136254.890000
-0.0477848
Short
RA
LU
N
2
Reverse repurchase
N
0.0300000
2022-08-17
2682629.460000
EUR
2349192.030000
EUR
ABS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-16636151.170000
PA
-17379453.170000
-0.3887521
Short
RA
LU
N
2
Reverse repurchase
N
-0.4000000
2023-10-08
18096000.000000
EUR
16744391.660000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-11874739.000000
PA
-12409013.000000
-0.2775709
Short
RA
LU
N
2
Reverse repurchase
N
-0.4000000
2023-11-02
12800000.000000
EUR
11843955.200000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-2126418.000000
PA
-2219897.100000
-0.0496557
Short
RA
LU
N
2
Reverse repurchase
N
-1.0000000
2024-02-18
2410000.000000
EUR
1686036.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-1533025.000000
PA
-1604360.670000
-0.0358871
Short
RA
LU
N
2
Reverse repurchase
N
-0.9500000
2024-05-09
1745000.000000
EUR
1314145.540000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-2866998.000000
PA
-2980845.970000
-0.0666770
Short
RA
LU
N
2
Reverse repurchase
N
-5.5000000
2024-05-10
4600000.000000
EUR
2733826.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-2962606.000000
PA
-3084032.120000
-0.0689851
Short
RA
LU
N
2
Reverse repurchase
N
-5.5000000
2024-05-18
4589000.000000
EUR
2727288.590000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-293395.000000
PA
-305977.360000
-0.0068443
Short
RA
LU
N
2
Reverse repurchase
N
-4.0000000
2024-05-18
430000.000000
EUR
275415.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-2756275.000000
PA
-2877968.980000
-0.0643758
Short
RA
LU
N
2
Reverse repurchase
N
-3.0000000
2024-05-18
3762000.000000
EUR
2490820.200000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-15520742.000000
PA
-16263531.880000
-0.3637906
Short
RA
LU
N
2
Reverse repurchase
N
-0.4500000
2024-06-23
20228000.000000
EUR
17148637.870000
EUR
CDS
N
N
N
N/A
N/A
REV REPO CREDIT AGRICOLE CIB ZCP
000000000
-3172822.000000
PA
-3323897.220000
-0.0743506
Short
RA
LU
N
2
Reverse repurchase
N
-0.1700000
2022-07-25
3723916.800000
EUR
3335773.800000
EUR
ABS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-2956029.000000
PA
-3093980.420000
-0.0692077
Short
RA
N/A
N
2
Reverse repurchase
N
-0.3000000
2022-08-08
3130000.000000
EUR
2676187.560000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-6481756.000000
PA
-6789629.790000
-0.1518738
Short
RA
N/A
N
2
Reverse repurchase
N
-0.2900000
2022-08-08
8000000.000000
EUR
6626352.000000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-8274775.000000
PA
-8671647.260000
-0.1939716
Short
RA
N/A
N
2
Reverse repurchase
N
0.0500000
2022-09-22
10405880.940000
EUR
9112481.970000
EUR
ABS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-2974430.000000
PA
-3107859.970000
-0.0695181
Short
RA
N/A
N
2
Reverse repurchase
N
-3.0000000
2024-05-26
4500000.000000
EUR
2882250.000000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-6095595.000000
PA
-6381598.320000
-0.1427467
Short
RA
N/A
N
2
Reverse repurchase
N
-1.0000000
2024-05-26
9800000.000000
EUR
5824238.000000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-477107.000000
PA
-499787.640000
-0.0111795
Short
RA
N/A
N
2
Reverse repurchase
N
-0.4000000
2024-05-26
500000.000000
EUR
470925.000000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-724223.000000
PA
-758781.460000
-0.0169728
Short
RA
N/A
N
2
Reverse repurchase
N
-8.0000000
2024-06-29
1000000.000000
EUR
662100.000000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-2182008.000000
PA
-2286508.720000
-0.0511457
Short
RA
N/A
N
2
Reverse repurchase
N
-2.0000000
2024-06-29
3240000.000000
EUR
2075220.000000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-9548587.000000
PA
-10006164.830000
-0.2238228
Short
RA
N/A
N
2
Reverse repurchase
N
-1.0000000
2024-06-29
12362000.000000
EUR
8648455.200000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-19413085.000000
PA
-20343689.080000
-0.4550576
Short
RA
N/A
N
2
Reverse repurchase
N
-0.4500000
2024-06-29
22158000.000000
EUR
19684480.300000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-2929120.000000
PA
-3069145.510000
-0.0686521
Short
RA
LU
N
2
Reverse repurchase
N
-0.0750000
2022-07-26
3753140.730000
EUR
3361439.760000
EUR
ABS
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-5337991.000000
PA
-5594984.920000
-0.1251514
Short
RA
LU
N
2
Reverse repurchase
N
0.1500000
2022-08-16
7229376.000000
EUR
6542585.280000
EUR
ABS
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-9742119.000000
PA
-10208494.620000
-0.2283486
Short
RA
LU
N
2
Reverse repurchase
N
-0.0520000
2022-08-17
12479765.250000
EUR
11172030.620000
EUR
ABS
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-2360714.000000
PA
-2473826.980000
-0.0553358
Short
RA
LU
N
2
Reverse repurchase
N
-0.0400000
2022-08-31
3193606.500000
EUR
2796657.180000
EUR
ABS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-13069601.310000
PA
USD
-13098165.650000
-0.2929862
Short
RA
US
N
2
Reverse repurchase
N
2.8100000
2022-12-02
16950562.860000
USD
16224253.280000
USD
PLCMO
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO EUR ZCP
000000000
-3879990.000000
PA
-4063212.000000
-0.0908879
Short
RA
LU
N
2
Reverse repurchase
N
-0.4200000
2022-08-03
6300000.000000
EUR
3671945.930000
EUR
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO EUR ZCP
000000000
-902354.000000
PA
-945074.640000
-0.0211399
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-08-03
940000.000000
EUR
922140.000000
EUR
CDS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO EUR ZCP
000000000
-5910199.000000
PA
-6190624.540000
-0.1384749
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2022-08-04
9700000.000000
EUR
2523455.000000
EUR
CDS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO EUR ZCP
000000000
-13069645.000000
PA
-13689212.860000
-0.3062070
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-08-08
15200000.000000
EUR
12996182.400000
EUR
CDS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO EUR ZCP
000000000
-4019772.000000
PA
-4207022.360000
-0.0941047
Short
RA
LU
N
2
Reverse repurchase
N
-0.3200000
2022-08-08
5780000.000000
EUR
1445000.000000
EUR
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO EUR ZCP
000000000
-341091.000000
PA
-357231.670000
-0.0079907
Short
RA
LU
N
2
Reverse repurchase
N
-0.4200000
2022-08-17
500000.000000
EUR
346684.500000
EUR
CDS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO EUR ZCP
000000000
-8961879.000000
PA
-9383201.840000
-0.2098880
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2022-09-19
10000000.000000
EUR
8100500.000000
EUR
CDS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO EUR ZCP
000000000
-816719.000000
PA
-855578.040000
-0.0191380
Short
RA
LU
N
2
Reverse repurchase
N
-0.3400000
2024-05-24
1000000.000000
EUR
888369.000000
EUR
CDS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO EUR ZCP
000000000
-405272.000000
PA
-424559.050000
-0.0094967
Short
RA
LU
N
2
Reverse repurchase
N
-0.3300000
2024-05-24
500000.000000
EUR
418767.000000
EUR
CDS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO EUR ZCP
000000000
-7108809.000000
PA
-7447197.290000
-0.1665825
Short
RA
LU
N
2
Reverse repurchase
N
-0.3200000
2024-05-24
10200000.000000
EUR
7185819.690000
EUR
N
N
N
N/A
N/A
REV REPO STANDARD CHARTERED BA ZCP
000000000
-7577018.000000
PA
-7933498.550000
-0.1774604
Short
RA
LU
N
2
Reverse repurchase
N
-0.4200000
2022-07-19
11100000.000000
EUR
6514477.620000
EUR
N
N
N
N/A
N/A
REV REPO STANDARD CHARTERED BA ZCP
000000000
-2218876.000000
PA
-2323745.540000
-0.0519787
Short
RA
LU
N
2
Reverse repurchase
N
-0.3200000
2022-07-19
2800000.000000
EUR
1968465.370000
EUR
N
N
N
N/A
N/A
REV REPO STANDARD CHARTERED BA ZCP
000000000
-19132119.000000
PA
-20036398.390000
-0.4481839
Short
RA
LU
N
2
Reverse repurchase
N
-0.4400000
2022-08-08
22500000.000000
EUR
18399980.380000
EUR
N
N
N
N/A
N/A
REV REPO STANDARD CHARTERED BA ZCP
000000000
-1449194.000000
PA
-1517727.520000
-0.0339493
Short
RA
LU
N
2
Reverse repurchase
N
-0.4400000
2022-08-17
2300000.000000
EUR
1340551.690000
EUR
N
N
N
N/A
N/A
REV REPO STANDARD CHARTERED BA ZCP
000000000
-7174014.000000
PA
-7514031.180000
-0.1680775
Short
RA
LU
N
2
Reverse repurchase
N
-0.3700000
2022-08-17
9700000.000000
EUR
6849115.350000
EUR
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-22890404.900000
PA
USD
-22949156.940000
-0.5133379
Short
RA
US
N
2
Reverse repurchase
N
2.1000000
2022-08-16
35799399.200000
USD
29640040.970000
USD
PLCMO
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-13183222.410000
PA
USD
-13218597.390000
-0.2956800
Short
RA
US
N
2
Reverse repurchase
N
2.1000000
2022-08-16
17938000.000000
USD
15390072.130000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-2982394.880000
PA
USD
-2996131.090000
-0.0670189
Short
RA
US
N
2
Reverse repurchase
N
1.0298600
2022-07-20
3716222.460000
USD
3331916.750000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-627763.190000
PA
USD
-629823.300000
-0.0140882
Short
RA
US
N
2
Reverse repurchase
N
1.7900000
2022-08-01
881071.140000
USD
837017.580000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-2203081.850000
PA
USD
-2210421.170000
-0.0494438
Short
RA
US
N
2
Reverse repurchase
N
1.7900000
2022-07-29
2898791.910000
USD
2753852.310000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-5287552.660000
PA
USD
-5307328.100000
-0.1187169
Short
RA
US
N
2
Reverse repurchase
N
2.0400000
2022-08-01
7293870.000000
USD
6909594.650000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-4340117.930000
PA
USD
-4342666.540000
-0.0971389
Short
RA
US
N
2
Reverse repurchase
N
1.5100000
2022-09-01
5590000.000000
USD
5294618.250000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-3161112.500000
PA
USD
-3176522.920000
-0.0710540
Short
RA
US
N
2
Reverse repurchase
N
1.1700000
2022-08-01
4900000.000000
USD
4226421.500000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO GOLDMAN
000000000
-95020931.000000
PA
USD
-95293456.330000
-2.1315705
Short
RA
US
N
2
Reverse repurchase
N
2.9500000
2022-08-29
398076795.250000
USD
130703738.800000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO GOLDMAN
000000000
-82680963.000000
PA
USD
-82880775.380000
-1.8539176
Short
RA
US
N
2
Reverse repurchase
N
3.0000000
2022-09-02
513214373.390000
USD
116156621.310000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-12922008.000000
PA
USD
-12965081.360000
-0.2900093
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2022-07-29
20000000.000000
USD
15061088.000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-13601250.000000
PA
USD
-13639786.880000
-0.3051014
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2022-08-09
18000000.000000
USD
17281368.000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-2120043.750000
PA
USD
-2122434.050000
-0.0474756
Short
RA
US
N
2
Reverse repurchase
N
2.7059400
2022-09-16
2705000.000000
USD
2597004.360000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-5211389.360000
PA
USD
-5237026.500000
-0.1171444
Short
RA
US
N
2
Reverse repurchase
N
1.1000000
2022-07-20
6859076.790000
USD
6926138.670000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-16896000.000000
PA
USD
-16949996.800000
-0.3791458
Short
RA
US
N
2
Reverse repurchase
N
1.9500000
2022-08-03
24000000.000000
USD
20269200.000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-1818720.000000
PA
USD
-1822192.240000
-0.0407597
Short
RA
US
N
2
Reverse repurchase
N
2.3700000
2022-09-02
3600000.000000
USD
3028151.160000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-2588040.000000
PA
USD
-2592835.060000
-0.0579978
Short
RA
US
N
2
Reverse repurchase
N
2.3000000
2022-09-02
3900000.000000
USD
3606140.070000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079
000000000
-3542017.410000
PA
USD
-3548266.120000
-0.0793693
Short
RA
US
N
2
Reverse repurchase
N
2.1900000
2022-09-01
4516957.520000
USD
4437877.340000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079
000000000
-23765084.370000
PA
USD
-23778505.290000
-0.5318892
Short
RA
US
N
2
Reverse repurchase
N
2.9043400
2022-09-23
33243467.700000
USD
31504811.070000
USD
PLCMO
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-1155971.000000
PA
-1210530.560000
-0.0270777
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-07-19
1450000.000000
EUR
1155686.400000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-285134.000000
PA
-298622.370000
-0.0066797
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2022-07-19
300000.000000
EUR
273579.000000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-1545217.000000
PA
-1618019.210000
-0.0361926
Short
RA
LU
N
2
Reverse repurchase
N
-0.4000000
2022-07-21
2000000.000000
EUR
1471455.300000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-2623571.750000
PA
-2747455.670000
-0.0614564
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-07-21
3000000.000000
CHF
2659095.000000
CHF
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-11930638.000000
PA
-12495987.320000
-0.2795163
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2022-07-28
13100000.000000
EUR
11200657.200000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-3480852.000000
PA
-3646010.510000
-0.0815557
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2022-08-04
4000000.000000
EUR
3548800.000000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-888664.000000
PA
-931112.570000
-0.0208276
Short
RA
LU
N
2
Reverse repurchase
N
-0.1200000
2022-08-09
4370000.000000
EUR
1092500.000000
EUR
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-3239463.000000
PA
-3393653.200000
-0.0759109
Short
RA
LU
N
2
Reverse repurchase
N
-0.2400000
2022-08-10
3800000.000000
EUR
3371360.000000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-2856214.000000
PA
-2991742.930000
-0.0669208
Short
RA
LU
N
2
Reverse repurchase
N
-0.3400000
2022-08-12
3042850.000000
EUR
2963066.470000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-3753212.000000
PA
-3888585.970000
-0.0869818
Short
RA
LU
N
2
Reverse repurchase
N
-4.0000000
2024-03-22
5656000.000000
EUR
3622668.000000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-2464626.000000
PA
-2566035.870000
-0.0573983
Short
RA
LU
N
2
Reverse repurchase
N
-5.5000000
2024-05-19
3800000.000000
EUR
2258378.000000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-4265554.000000
PA
-4468682.410000
-0.0999577
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2024-05-29
4746000.000000
EUR
4396478.810000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-2115800.000000
PA
-2216655.310000
-0.0495832
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2024-05-29
2600000.000000
EUR
2192838.900000
EUR
CDS
N
N
N
N/A
N/A
HSBC REVERSE REPO GBP ZCP
000000000
-11285120.000000
PA
-13776388.300000
-0.3081570
Short
RA
GB
N
2
Reverse repurchase
N
1.5900000
2022-07-28
13915693.850000
GBP
13084900.490000
GBP
ABS
N
N
N
N/A
N/A
HSBC REVERSE REPO GBP ZCP
000000000
-7625369.000000
PA
-9309550.850000
-0.2082406
Short
RA
GB
N
2
Reverse repurchase
N
1.6400000
2022-07-28
9887318.000000
GBP
9343153.630000
GBP
ABS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-5432436.000000
PA
-6629832.320000
-0.1482993
Short
RA
GB
N
2
Reverse repurchase
N
1.2500000
2022-07-19
5800000.000000
GBP
5579600.000000
GBP
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-5459228.000000
PA
-6665695.880000
-0.1491015
Short
RA
GB
N
2
Reverse repurchase
N
1.7000000
2022-07-28
7353000.000000
GBP
6461633.310000
GBP
ABS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-6729409.000000
PA
-8217313.300000
-0.1838089
Short
RA
GB
N
2
Reverse repurchase
N
1.7500000
2022-07-28
8248848.160000
GBP
8142339.860000
GBP
ABS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-1991144.000000
PA
-2431611.830000
-0.0543915
Short
RA
GB
N
2
Reverse repurchase
N
1.8000000
2022-07-28
2609760.000000
GBP
2467403.330000
GBP
ABS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-1831562.000000
PA
-2234432.070000
-0.0499809
Short
RA
GB
N
2
Reverse repurchase
N
1.4000000
2022-08-04
2000000.000000
GBP
1971586.000000
GBP
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-987478.000000
PA
-1203225.660000
-0.0269143
Short
RA
GB
N
2
Reverse repurchase
N
1.6000000
2022-09-08
1300000.000000
GBP
1020247.800000
GBP
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO GBP ZCP
000000000
-193342.000000
PA
-235789.030000
-0.0052742
Short
RA
GB
N
2
Reverse repurchase
N
0.9000000
2022-07-19
200000.000000
GBP
184575.000000
GBP
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO GBP ZCP
000000000
-197791.000000
PA
-241239.460000
-0.0053962
Short
RA
GB
N
2
Reverse repurchase
N
0.9500000
2022-07-19
200000.000000
GBP
192400.000000
GBP
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO GBP ZCP
000000000
-9809687.000000
PA
-11974929.180000
-0.2678611
Short
RA
GB
N
2
Reverse repurchase
N
1.7100000
2022-08-03
13509000.000000
GBP
12259626.890000
GBP
ABS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO GBP ZCP
000000000
-1032763.000000
PA
-1260538.620000
-0.0281963
Short
RA
GB
N
2
Reverse repurchase
N
0.6500000
2024-02-09
1050000.000000
GBP
969018.750000
GBP
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO GBP ZCP
000000000
-942208.510000
PA
-1148532.070000
-0.0256909
Short
RA
GB
N
2
Reverse repurchase
N
1.1500000
2024-05-18
932000.000000
GBP
905908.660000
GBP
CDS
N
N
N
N/A
N/A
REV REPO CREDIT AGRICOLE CIB ZCP
000000000
-856857.000000
PA
-1045083.540000
-0.0233769
Short
RA
GB
N
2
Reverse repurchase
N
1.5500000
2022-08-11
1000000.000000
GBP
968247.100000
GBP
ABS
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-2447205.000000
PA
-2986840.000000
-0.0668111
Short
RA
GB
N
2
Reverse repurchase
N
1.6900000
2022-08-05
3420000.000000
GBP
3103703.010000
GBP
ABS
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-1807654.000000
PA
-2202281.770000
-0.0492617
Short
RA
GB
N
2
Reverse repurchase
N
1.2500000
2024-06-06
1970000.000000
GBP
1966296.400000
GBP
CDS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO GBP ZCP
000000000
-797879.000000
PA
-973425.660000
-0.0217741
Short
RA
GB
N
2
Reverse repurchase
N
1.2300000
2022-07-27
790032.000000
GBP
833990.450000
GBP
CDS
N
N
N
N/A
N/A
REV REPO CANADIAN IMPERIAL BA
000000000
-10901328.000000
PA
-13285917.450000
-0.2971859
Short
RA
GB
N
2
Reverse repurchase
N
1.1500000
2024-05-24
11900000.000000
GBP
10954723.500000
GBP
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS
000000000
-236428.760000
PA
-288478.190000
-0.0064528
Short
RA
GB
N
2
Reverse repurchase
N
1.2500000
2022-07-25
246885.000000
GBP
260622.020000
GBP
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-8734404.640000
PA
USD
-8736129.690000
-0.1954140
Short
RA
US
N
2
Reverse repurchase
N
2.3700000
2022-07-28
11206000.000000
USD
11027015.530000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-18562500.000000
PA
USD
-18618172.030000
-0.4164604
Short
RA
US
N
2
Reverse repurchase
N
1.8300000
2022-08-03
25000000.000000
USD
23725652.750000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-6083325.080000
PA
USD
-6096938.220000
-0.1363793
Short
RA
US
N
2
Reverse repurchase
N
2.1200000
2022-08-24
13126223.710000
USD
8186732.050000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-30774697.000000
PA
USD
-30808446.590000
-0.6891384
Short
RA
US
N
2
Reverse repurchase
N
1.8800000
2022-09-12
37028506.120000
USD
31362621.880000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-6615027.230000
PA
USD
-6615027.230000
-0.1479682
Short
RA
US
N
2
Reverse repurchase
N
2.3700000
2022-10-12
8389594.200000
USD
8242714.220000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-165361.290000
PA
USD
-165525.270000
-0.0037025
Short
RA
US
N
2
Reverse repurchase
N
2.5500000
2022-07-01
232000.000000
USD
191060.120000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-15205790.640000
PA
USD
-15229752.440000
-0.3406665
Short
RA
US
N
2
Reverse repurchase
N
1.8300000
2022-07-01
18179112.270000
USD
17756592.580000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-85395548.980000
PA
USD
-85533794.880000
-1.9132617
Short
RA
US
N
2
Reverse repurchase
N
1.8800000
2022-07-01
141672906.290000
USD
107053102.260000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-814618.750000
PA
USD
-816759.380000
-0.0182697
Short
RA
US
N
2
Reverse repurchase
N
1.1000000
2022-07-06
1100000.000000
USD
680663.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-20649564.320000
PA
USD
-20730011.590000
-0.4636990
Short
RA
US
N
2
Reverse repurchase
N
1.6500000
2022-07-07
34346680.930000
USD
26785108.480000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-10974508.000000
PA
USD
-11001974.750000
-0.2460975
Short
RA
US
N
2
Reverse repurchase
N
1.7000000
2022-07-13
41474858.000000
USD
11311973.800000
USD
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-3777111.280000
PA
USD
-3786842.580000
-0.0847059
Short
RA
US
N
2
Reverse repurchase
N
1.7500000
2022-07-13
13000000.000000
USD
3217500.000000
USD
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1631184.030000
PA
USD
-1635146.450000
-0.0365758
Short
RA
US
N
2
Reverse repurchase
N
1.6500000
2022-07-13
2740000.000000
USD
1807536.900000
USD
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-14998783.850000
PA
USD
-14998783.850000
-0.3355001
Short
RA
US
N
2
Reverse repurchase
N
2.4000000
2022-08-01
18004869.050000
USD
17585575.870000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-82845959.730000
PA
USD
-82845959.730000
-1.8531388
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2022-08-01
140625113.070000
USD
106257550.900000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-33915289.360000
PA
USD
-34023818.280000
-0.7610614
Short
RA
US
N
2
Reverse repurchase
N
1.9200000
2022-08-02
43237295.550000
USD
41319818.360000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-3232602.630000
PA
USD
-3243216.340000
-0.0725458
Short
RA
US
N
2
Reverse repurchase
N
1.9700000
2022-08-02
4195134.230000
USD
4066638.110000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2460519.470000
PA
USD
-2471431.190000
-0.0552822
Short
RA
US
N
2
Reverse repurchase
N
1.0300000
2022-08-04
3329880.650000
USD
3051555.170000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1600042.240000
PA
USD
-1604520.570000
-0.0358907
Short
RA
US
N
2
Reverse repurchase
N
1.9376900
2022-08-08
2110428.200000
USD
2003909.400000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-13343251.840000
PA
USD
-13380687.070000
-0.2993057
Short
RA
US
N
2
Reverse repurchase
N
2.0200000
2022-08-12
18544000.000000
USD
16405125.170000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-35582191.250000
PA
USD
-35684907.340000
-0.7982174
Short
RA
US
N
2
Reverse repurchase
N
2.0376900
2022-08-15
49199500.000000
USD
46412414.060000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-6642263.000000
PA
USD
-6659892.680000
-0.1489717
Short
RA
US
N
2
Reverse repurchase
N
1.9500000
2022-08-16
7940834.000000
USD
6871918.270000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1082520.000000
PA
USD
-1084053.570000
-0.0242486
Short
RA
US
N
2
Reverse repurchase
N
0.2500000
2022-08-18
1200000.000000
USD
803815.560000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-31135029.830000
PA
USD
-31203838.240000
-0.6979827
Short
RA
US
N
2
Reverse repurchase
N
2.2100000
2022-08-26
109552340.600000
USD
38801600.150000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-17715447.740000
PA
USD
-17754347.910000
-0.3971379
Short
RA
US
N
2
Reverse repurchase
N
2.5500000
2022-08-31
27862593.740000
USD
22388487.650000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-15092512.560000
PA
USD
-15125003.400000
-0.3383235
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2022-08-31
20937500.000000
USD
18676700.880000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-7041067.350000
PA
USD
-7056831.520000
-0.1578507
Short
RA
US
N
2
Reverse repurchase
N
2.6000000
2022-08-31
9738682.370000
USD
9086322.120000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-8678400.000000
PA
USD
-8693789.700000
-0.1944669
Short
RA
US
N
2
Reverse repurchase
N
2.2800000
2022-09-06
11300000.000000
USD
10550767.060000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-3159738.280000
PA
USD
-3164807.030000
-0.0707919
Short
RA
US
N
2
Reverse repurchase
N
2.3100000
2022-09-07
4258323.370000
USD
4089411.520000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-45713212.860000
PA
USD
-45784957.210000
-1.0241403
Short
RA
US
N
2
Reverse repurchase
N
2.2600000
2022-09-07
73124355.510000
USD
54829174.660000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-60730390.720000
PA
USD
-60827812.410000
-1.3606262
Short
RA
US
N
2
Reverse repurchase
N
2.3100000
2022-09-07
79771052.890000
USD
74393839.970000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1519495.700000
PA
USD
-1521091.170000
-0.0340245
Short
RA
US
N
2
Reverse repurchase
N
2.1000000
2022-09-14
2000000.000000
USD
1633060.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2740709.520000
PA
USD
-2743686.230000
-0.0613721
Short
RA
US
N
2
Reverse repurchase
N
2.3000000
2022-09-14
3513730.150000
USD
3489063.760000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-768366.740000
PA
USD
-769384.190000
-0.0172100
Short
RA
US
N
2
Reverse repurchase
N
2.2700000
2022-09-14
900897.810000
USD
869620.980000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-10391206.000000
PA
USD
-10405874.930000
-0.2327637
Short
RA
US
N
2
Reverse repurchase
N
2.4200000
2022-09-14
13427141.590000
USD
12861978.750000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2627856.400000
PA
USD
-2630928.070000
-0.0588499
Short
RA
US
N
2
Reverse repurchase
N
2.6300000
2022-09-15
3700000.000000
USD
2778896.480000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2091159.000000
PA
USD
-2093482.510000
-0.0468280
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2022-09-15
3188000.000000
USD
2582455.340000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-8845807.690000
PA
USD
-8854800.930000
-0.1980685
Short
RA
US
N
2
Reverse repurchase
N
2.4400000
2022-09-16
40745997.880000
USD
11361275.890000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-15763763.140000
PA
USD
-15779395.540000
-0.3529612
Short
RA
US
N
2
Reverse repurchase
N
2.5500000
2022-09-19
21090029.210000
USD
17535759.250000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-19209192.740000
PA
USD
-19228690.090000
-0.4301167
Short
RA
US
N
2
Reverse repurchase
N
2.6100000
2022-09-19
28417000.000000
USD
22907972.760000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2703267.950000
PA
USD
-2717595.270000
-0.0607885
Short
RA
US
N
2
Reverse repurchase
N
1.8000000
2022-09-19
3212439.630000
USD
3189888.300000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-7784461.600000
PA
USD
-7826865.290000
-0.1750751
Short
RA
US
N
2
Reverse repurchase
N
1.8500000
2022-09-19
9630000.000000
USD
8970924.930000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-31743780.770000
PA
USD
-31779457.230000
-0.7108584
Short
RA
US
N
2
Reverse repurchase
N
2.8900000
2022-09-19
84570532.120000
USD
40413844.460000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-19762119.820000
PA
USD
-19781717.260000
-0.4424871
Short
RA
US
N
2
Reverse repurchase
N
2.5500000
2022-09-19
24500000.000000
USD
22263915.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-18909664.620000
PA
USD
-18924372.140000
-0.4233096
Short
RA
US
N
2
Reverse repurchase
N
2.8000000
2022-09-21
31939586.860000
USD
24886812.540000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-157035.000000
PA
USD
-157120.500000
-0.0035145
Short
RA
US
N
2
Reverse repurchase
N
2.8000000
2022-09-27
200000.000000
USD
185000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-26851508.240000
PA
USD
-26866457.470000
-0.6009620
Short
RA
US
N
2
Reverse repurchase
N
2.8632200
2022-09-27
41376774.250000
USD
36116282.720000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-6497910.000000
PA
USD
-6501338.110000
-0.1454251
Short
RA
US
N
2
Reverse repurchase
N
2.7132200
2022-09-27
9000000.000000
USD
7798050.000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-13396743.750000
PA
USD
-13391533.910000
-0.2995484
Short
RA
US
N
2
Reverse repurchase
N
-1.0000000
2024-06-16
18300000.000000
USD
15066573.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-637779.600000
PA
USD
-638238.450000
-0.0142764
Short
RA
US
N
2
Reverse repurchase
N
1.8500000
2024-06-16
1044000.000000
USD
394110.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2005256.250000
PA
USD
-2006815.890000
-0.0448894
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2024-06-16
2700000.000000
USD
2180979.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-57678105.170000
PA
USD
-57728573.510000
-1.2913009
Short
RA
US
N
2
Reverse repurchase
N
2.2500000
2024-06-16
132558441.000000
USD
102460163.010000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-6844321.000000
PA
USD
-6849378.200000
-0.1532102
Short
RA
US
N
2
Reverse repurchase
N
1.9000000
2024-06-16
14609000.000000
USD
8301888.240000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-519225.000000
PA
USD
-519396.630000
-0.0116181
Short
RA
US
N
2
Reverse repurchase
N
0.8500000
2024-06-16
1000000.000000
USD
540500.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-532800.000000
PA
USD
-533069.360000
-0.0119240
Short
RA
US
N
2
Reverse repurchase
N
1.3000000
2024-06-16
1200000.000000
USD
591000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-689512.500000
PA
USD
-689901.310000
-0.0154320
Short
RA
US
N
2
Reverse repurchase
N
1.4500000
2024-06-16
900000.000000
USD
750375.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1182268.500000
PA
USD
-1183119.080000
-0.0264646
Short
RA
US
N
2
Reverse repurchase
N
1.8500000
2024-06-16
2944000.000000
USD
1534966.010000
USD
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-941357.980000
PA
USD
-941855.850000
-0.0210679
Short
RA
US
N
2
Reverse repurchase
N
2.3800000
2022-09-26
1305000.000000
USD
1002537.810000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-6607744.230000
PA
USD
-6624280.110000
-0.1481751
Short
RA
US
N
2
Reverse repurchase
N
0.9900000
2022-07-01
10200000.000000
USD
6211407.600000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-2047100.000000
PA
USD
-2052234.820000
-0.0459054
Short
RA
US
N
2
Reverse repurchase
N
1.0500000
2022-07-06
2600000.000000
USD
2013000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-11080080.000000
PA
USD
-11107872.520000
-0.2484663
Short
RA
US
N
2
Reverse repurchase
N
1.0500000
2022-07-06
17200000.000000
USD
10434273.270000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-7034187.750000
PA
USD
-7052230.440000
-0.1577477
Short
RA
US
N
2
Reverse repurchase
N
1.6200000
2022-08-05
8466000.000000
USD
6838580.820000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-1249200.000000
PA
USD
-1252367.410000
-0.0280136
Short
RA
US
N
2
Reverse repurchase
N
1.6300000
2022-08-08
1800000.000000
USD
1458099.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-268650.000000
PA
USD
-269322.820000
-0.0060243
Short
RA
US
N
2
Reverse repurchase
N
1.6100000
2022-08-08
300000.000000
USD
276690.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-2251315.630000
PA
USD
-2256988.940000
-0.0504854
Short
RA
US
N
2
Reverse repurchase
N
1.6200000
2022-08-08
2990000.000000
USD
2347560.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-412463.000000
PA
USD
-413508.820000
-0.0092496
Short
RA
US
N
2
Reverse repurchase
N
1.6300000
2022-08-08
600000.000000
USD
373362.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-5736268.000000
PA
USD
-5751169.550000
-0.1286450
Short
RA
US
N
2
Reverse repurchase
N
1.6700000
2022-08-08
7132000.000000
USD
6129568.920000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-20444872.890000
PA
USD
-20473035.700000
-0.4579509
Short
RA
US
N
2
Reverse repurchase
N
1.7100000
2022-09-02
27164000.000000
USD
20892306.940000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-2781036.410000
PA
USD
-2785091.320000
-0.0622983
Short
RA
US
N
2
Reverse repurchase
N
1.8100000
2022-09-02
3358000.000000
USD
3200859.700000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-1235813.190000
PA
USD
-1237149.930000
-0.0276732
Short
RA
US
N
2
Reverse repurchase
N
1.7700000
2022-09-12
1412000.000000
USD
1262387.320000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-4939685.860000
PA
USD
-4944843.720000
-0.1106087
Short
RA
US
N
2
Reverse repurchase
N
1.7900000
2022-09-13
6587000.000000
USD
5114812.940000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-5973154.000000
PA
USD
-5992852.140000
-0.1340510
Short
RA
US
N
2
Reverse repurchase
N
1.1200000
2022-09-15
7700000.000000
USD
4966500.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-12800582.410000
PA
USD
-12838649.920000
-0.2871812
Short
RA
US
N
2
Reverse repurchase
N
1.0100000
2022-09-15
12821101.220000
USD
10927813.890000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-1481472.840000
PA
USD
-1486489.270000
-0.0332505
Short
RA
US
N
2
Reverse repurchase
N
1.1500000
2022-09-15
1830000.000000
USD
1559388.750000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-6082418.890000
PA
USD
-6085091.770000
-0.1361143
Short
RA
US
N
2
Reverse repurchase
N
2.2600000
2022-09-26
8820000.000000
USD
6755655.520000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-18705301.140000
PA
USD
-18713957.540000
-0.4186029
Short
RA
US
N
2
Reverse repurchase
N
2.3800000
2022-09-26
30817000.000000
USD
20707341.340000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-7446628.480000
PA
USD
-7446745.450000
-0.1665724
Short
RA
US
N
2
Reverse repurchase
N
2.3400000
2022-09-30
13500000.000000
USD
8204805.900000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-455199.770000
PA
USD
-456540.080000
-0.0102121
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2022-11-07
700000.000000
USD
435803.650000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-16615269.140000
PA
USD
-16639665.660000
-0.3722042
Short
RA
US
N
2
Reverse repurchase
N
2.1000000
2022-11-07
19745765.000000
USD
17358266.010000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-4471540.700000
PA
USD
-4481448.020000
-0.1002432
Short
RA
US
N
2
Reverse repurchase
N
2.1100000
2022-11-07
5600000.000000
USD
4706819.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-2084713.480000
PA
USD
-2089482.840000
-0.0467386
Short
RA
US
N
2
Reverse repurchase
N
1.1600000
2022-07-22
2412031.880000
USD
1754994.400000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-23520000.000000
PA
USD
-23558024.000000
-0.5269574
Short
RA
US
N
2
Reverse repurchase
N
1.9400000
2022-07-01
35000000.000000
USD
33215913.850000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-3350432.100000
PA
USD
-3365479.260000
-0.0752807
Short
RA
US
N
2
Reverse repurchase
N
0.9400000
2022-07-11
4178262.980000
USD
4028598.020000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-2770232.800000
PA
USD
-2772171.960000
-0.0620093
Short
RA
US
N
2
Reverse repurchase
N
1.8000000
2022-07-12
3152926.000000
USD
2882121.910000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-22865850.000000
PA
USD
-22865850.000000
-0.5114745
Short
RA
US
N
2
Reverse repurchase
N
2.7000000
2022-07-29
35000000.000000
USD
33215913.850000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-9471737.500000
PA
USD
-9493864.530000
-0.2123634
Short
RA
US
N
2
Reverse repurchase
N
1.4500000
2022-08-04
10600000.000000
USD
9154058.400000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-33061605.930000
PA
USD
-33075548.580000
-0.7398500
Short
RA
US
N
2
Reverse repurchase
N
2.4200000
2022-09-26
41424400.580000
USD
34638049.900000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-983135.000000
PA
USD
-983635.850000
-0.0220024
Short
RA
US
N
2
Reverse repurchase
N
2.6200000
2022-09-26
1400000.000000
USD
1099012.570000
USD
CDS
N
N
N
ARGENT SECURITIES INC 2005-W3
N/A
ARGENT SECURITIES INC. ARSI 2005 W3 M2
040104PD7
29850602.000000
PA
USD
25210325.920000
0.5639169
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.31357
N
N
N
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1796835.000000
PA
USD
-1801813.730000
-0.0403038
Short
RA
US
N
2
Reverse repurchase
N
0.5700000
2022-07-08
2000000.000000
USD
1245153.280000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-6146837.810000
PA
USD
-6163618.680000
-0.1378708
Short
RA
US
N
2
Reverse repurchase
N
1.0800000
2022-07-01
7700000.000000
USD
6786010.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-5580671.250000
PA
USD
-5580671.250000
-0.1248312
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2022-10-03
7700000.000000
USD
6786010.000000
USD
CDS
N
N
N
ARGENT SECURITIES INC 2005-W4
N/A
ARGENT SECURITIES INC. ARSI 2005 W4 A2D
040104PT2
22740877.770000
PA
USD
18516655.120000
0.4141896
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.38357
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-25315260.000000
PA
USD
-25407555.220000
-0.5683286
Short
RA
US
N
2
Reverse repurchase
N
1.2500000
2022-09-16
29139000.000000
USD
24112522.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-1753636.890000
PA
USD
-1760213.030000
-0.0393733
Short
RA
US
N
2
Reverse repurchase
N
1.2500000
2022-09-16
2000000.000000
USD
1633060.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-221920.880000
PA
USD
-222609.580000
-0.0049794
Short
RA
US
N
2
Reverse repurchase
N
1.3300000
2022-07-08
227000.000000
USD
225179.460000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-1002528.000000
PA
USD
-1005713.810000
-0.0224963
Short
RA
US
N
2
Reverse repurchase
N
1.4300000
2022-09-22
1200000.000000
USD
1065360.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-1471475.260000
PA
USD
-1476176.620000
-0.0330198
Short
RA
US
N
2
Reverse repurchase
N
1.4200000
2022-09-23
1648508.490000
USD
1709948.400000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-23058055.020000
PA
USD
-23126076.280000
-0.5172954
Short
RA
US
N
2
Reverse repurchase
N
1.8000000
2022-08-03
25000000.000000
USD
23725652.750000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-1777686.700000
PA
USD
-1782345.720000
-0.0398684
Short
RA
US
N
2
Reverse repurchase
N
1.8500000
2022-08-09
2949000.000000
USD
1447780.260000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-842556.740000
PA
USD
-844729.130000
-0.0188953
Short
RA
US
N
2
Reverse repurchase
N
1.8200000
2022-08-09
1100000.000000
USD
948219.150000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-38519760.000000
PA
USD
-38620949.270000
-0.8638922
Short
RA
US
N
2
Reverse repurchase
N
1.9300000
2022-08-12
50000000.000000
USD
41375000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-3995609.380000
PA
USD
-4002318.670000
-0.0895258
Short
RA
US
N
2
Reverse repurchase
N
1.9500000
2022-08-31
6780000.000000
USD
3328569.060000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-949566.970000
PA
USD
-950872.620000
-0.0212696
Short
RA
US
N
2
Reverse repurchase
N
1.6500000
2022-08-02
1320000.000000
USD
1037143.800000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-254542.000000
PA
USD
-254923.110000
-0.0057022
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2022-12-09
396000.000000
USD
245038.860000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-7477136.700000
PA
USD
-7485018.850000
-0.1674286
Short
RA
US
N
2
Reverse repurchase
N
2.5300000
2022-09-16
14152000.000000
USD
6947774.250000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-417953.410000
PA
USD
-418195.820000
-0.0093544
Short
RA
US
N
2
Reverse repurchase
N
2.6100000
2022-09-26
495000.000000
USD
421801.880000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO MERRILL LYNCH
000000000
-3496514.000000
PA
USD
-3506227.510000
-0.0784290
Short
RA
US
N
2
Reverse repurchase
N
1.3700000
2022-07-20
3866492.000000
USD
3516439.150000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO MERRILL LYNCH
000000000
-391266.000000
PA
USD
-392352.950000
-0.0087763
Short
RA
US
N
2
Reverse repurchase
N
1.3700000
2022-07-20
500000.000000
USD
383575.950000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO MERRILL LYNCH
000000000
-22594466.000000
PA
USD
-22658150.990000
-0.5068286
Short
RA
US
N
2
Reverse repurchase
N
1.3900000
2022-07-20
28958000.000000
USD
22241391.490000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO MERRILL LYNCH
000000000
-1424732.000000
PA
USD
-1428806.330000
-0.0319602
Short
RA
US
N
2
Reverse repurchase
N
1.4500000
2022-07-22
1864637.240000
USD
1429903.880000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO MERRILL LYNCH
000000000
-1608482.000000
PA
USD
-1612822.670000
-0.0360764
Short
RA
US
N
2
Reverse repurchase
N
1.4500000
2022-07-26
2058460.690000
USD
1573286.420000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO MERRILL LYNCH
000000000
-2691865.000000
PA
USD
-2695998.180000
-0.0603054
Short
RA
US
N
2
Reverse repurchase
N
1.8500000
2024-03-30
2988000.000000
USD
2284624.800000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-1453957.470000
PA
USD
-1458394.060000
-0.0326221
Short
RA
US
N
2
Reverse repurchase
N
0.6500000
2022-07-14
1800000.000000
USD
1233144.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-4007808.000000
PA
USD
-4019714.530000
-0.0899149
Short
RA
US
N
2
Reverse repurchase
N
1.1500000
2022-09-06
4544000.000000
USD
3474342.400000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-581198.240000
PA
USD
-583534.170000
-0.0130528
Short
RA
US
N
2
Reverse repurchase
N
1.5900000
2022-09-30
800000.000000
USD
497816.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-424942.630000
PA
USD
-426650.540000
-0.0095435
Short
RA
US
N
2
Reverse repurchase
N
1.5900000
2022-09-30
500000.000000
USD
460725.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-2782775.060000
PA
USD
-2791378.470000
-0.0624389
Short
RA
US
N
2
Reverse repurchase
N
1.5900000
2022-09-30
3300000.000000
USD
3026034.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-758938.650000
PA
USD
-760635.720000
-0.0170143
Short
RA
US
N
2
Reverse repurchase
N
1.1500000
2022-09-07
900000.000000
USD
825282.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-718703.050000
PA
USD
-719593.840000
-0.0160962
Short
RA
US
N
2
Reverse repurchase
N
1.9400000
2022-09-07
1000000.000000
USD
694100.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-2040312.400000
PA
USD
-2042210.460000
-0.0456812
Short
RA
US
N
2
Reverse repurchase
N
1.9700000
2022-09-14
2800000.000000
USD
2056460.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-3675069.860000
PA
USD
-3684767.960000
-0.0824227
Short
RA
US
N
2
Reverse repurchase
N
1.0000000
2022-07-01
4400000.000000
USD
1661000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-14236102.220000
PA
USD
-14257851.820000
-0.3189266
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2022-07-05
18000000.000000
USD
17082469.980000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-21104625.000000
PA
USD
-21124733.020000
-0.4725283
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2024-06-16
33700000.000000
USD
27853050.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-802743.750000
PA
USD
-803321.280000
-0.0179691
Short
RA
US
N
2
Reverse repurchase
N
1.8500000
2024-06-16
1005000.000000
USD
884349.750000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-5248607.080000
PA
USD
-5251413.630000
-0.1174662
Short
RA
US
N
2
Reverse repurchase
N
2.7500000
2022-09-23
6100000.000000
USD
5938045.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1567304.000000
PA
USD
-1571708.560000
-0.0351567
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-08
2000000.000000
USD
1540760.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-2489047.000000
PA
USD
-2500541.560000
-0.0559333
Short
RA
US
N
2
Reverse repurchase
N
1.7500000
2022-09-27
3000000.000000
USD
2556375.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-245026.870000
PA
USD
-245382.570000
-0.0054888
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-06
270954.000000
USD
246423.180000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-976059.000000
PA
USD
-978747.500000
-0.0218931
Short
RA
US
N
2
Reverse repurchase
N
1.4800000
2022-07-29
1300000.000000
USD
1053071.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1079542.030000
PA
USD
-1080265.320000
-0.0241639
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-06
1300000.000000
USD
1154140.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-573090.760000
PA
USD
-573812.850000
-0.0128353
Short
RA
US
N
2
Reverse repurchase
N
1.6200000
2022-08-04
686000.000000
USD
648523.820000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-716411.640000
PA
USD
-716598.310000
-0.0160292
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-08
1000000.000000
USD
757451.690000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1880904.960000
PA
USD
-1881041.850000
-0.0420761
Short
RA
US
N
2
Reverse repurchase
N
2.6200000
2022-09-30
2400000.000000
USD
2214000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-143625.180000
PA
USD
-143625.180000
-0.0032127
Short
RA
US
N
2
Reverse repurchase
N
2.6800000
2022-10-06
400000.000000
USD
169000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO THE BANK OF NOVA REVERSE REPO
000000000
-4289625.000000
PA
USD
-4302598.730000
-0.0962426
Short
RA
US
N
2
Reverse repurchase
N
2.0800000
2022-07-01
5400000.000000
USD
4404942.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO THE BANK OF NOVA REVERSE REPO
000000000
-11381215.000000
PA
USD
-11405988.110000
-0.2551347
Short
RA
US
N
2
Reverse repurchase
N
2.1200000
2022-07-01
15800000.000000
USD
13232546.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO THE BANK OF NOVA REVERSE REPO
000000000
-3256937.000000
PA
USD
-3256937.000000
-0.0728528
Short
RA
US
N
2
Reverse repurchase
N
2.1000000
2022-07-06
4100000.000000
USD
3344493.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO THE BANK OF NOVA REVERSE REPO
000000000
-436873.400000
PA
USD
-437744.240000
-0.0097917
Short
RA
US
N
2
Reverse repurchase
N
1.3800000
2022-08-10
560000.000000
USD
486639.510000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO THE BANK OF NOVA REVERSE REPO
000000000
-2138712.010000
PA
USD
-2142935.960000
-0.0479342
Short
RA
US
N
2
Reverse repurchase
N
0.9000000
2022-09-26
2801000.000000
USD
1057377.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO THE BANK OF NOVA REVERSE REPO
000000000
-31759960.250000
PA
USD
-31820833.520000
-0.7117839
Short
RA
US
N
2
Reverse repurchase
N
1.3800000
2022-09-26
39337000.000000
USD
36095568.940000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO THE BANK OF NOVA REVERSE REPO
000000000
-6856421.000000
PA
USD
-6856421.000000
-0.1533678
Short
RA
US
N
2
Reverse repurchase
N
2.1200000
2022-09-26
9613000.000000
USD
7936704.960000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO THE BANK OF NOVA REVERSE REPO
000000000
-1064352.000000
PA
USD
-1065991.100000
-0.0238446
Short
RA
US
N
2
Reverse repurchase
N
0.8800000
2022-10-26
1300000.000000
USD
1076582.560000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-176848.370000
PA
USD
-177385.550000
-0.0039678
Short
RA
US
N
2
Reverse repurchase
N
1.3500000
2022-07-12
285000.000000
USD
204165.450000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-40927245.000000
PA
USD
-41023878.770000
-0.9176421
Short
RA
US
N
2
Reverse repurchase
N
1.7000000
2022-08-12
50000000.000000
USD
41375000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-40700763.140000
PA
USD
-40741916.130000
-0.9113351
Short
RA
US
N
2
Reverse repurchase
N
2.6000000
2022-09-19
50000000.000000
USD
47451305.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-12079775.000000
PA
USD
-12088700.610000
-0.2704060
Short
RA
US
N
2
Reverse repurchase
N
1.9000000
2024-06-16
16525000.000000
USD
14789875.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF MONTREAL REVERSE REPO
000000000
-9310358.740000
PA
USD
-9334100.140000
-0.2087897
Short
RA
US
N
2
Reverse repurchase
N
1.5300000
2022-08-01
139114095.000000
USD
10743975.300000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO BANK OF MONTREAL REVERSE REPO
000000000
-4419065.600000
PA
USD
-4424169.620000
-0.0989620
Short
RA
US
N
2
Reverse repurchase
N
1.9800000
2022-09-08
30678239.780000
USD
6007993.000000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO WOOD GUNDY REVERSE REPO
000000000
-14197234.560000
PA
USD
-14212023.370000
-0.3179015
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2022-09-16
90642266.630000
USD
17376402.960000
USD
AMBS
N
N
N
ARGENT SECURITIES INC 2006-M2
N/A
ARGENT SECURITIES INC. ARSI 2006 M2 A2C
04013BAC6
7925800.460000
PA
USD
2899964.790000
0.0648678
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
1.77357
N
N
N
N
N
N
N/A
N/A
ABX.HE.AA.06-1 SP GST
000000000
1.000000
NC
USD
-394642.270000
-0.0088276
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
ABX.HE.AA.06-1
N/A
N/A
Y
Single Leg Swap
2045-07-26
0.000000
USD
-1149885.410000
USD
5778318.310000
USD
755243.140000
N
N
N
N/A
N/A
ABX.HE.AA.06-2 SP FBF
000000000
1.000000
NC
USD
-5441434.270000
-0.1217167
N/A
DCR
US
N
2
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
ABX.HE.AA.06-2
N/A
N/A
Y
Single Leg Swap
2046-05-26
0.000000
USD
-20537898.250000
USD
23075067.670000
USD
15096463.980000
N
N
N
N/A
N/A
ABX.HE.PENAAA.07-1 SP GST
000000000
1.000000
NC
USD
-215079.370000
-0.0048110
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
ABX.HE.PENAAA.07-1
N/A
N/A
Y
Single Leg Swap
2037-08-26
0.000000
USD
-543808.220000
USD
1897934.510000
USD
328728.850000
N
N
N
ARGENT SECURITIES INC. 2006-W2
N/A
ARGENT SECURITIES INC. ARSI 2006 W2 A2B
040104RV5
10572585.860000
PA
USD
6153442.680000
0.1376432
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.00357
N
N
N
N
N
N
N/A
N/A
ATLANTIA SPA SNR SE ICE
000000000
1.000000
NC
-6842.010000
-0.0001530
N/A
DCR
IT
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
ATLANTIA SPA
ATLANTIA SPA SR UNSEC
Y
Single Leg Swap
2025-12-21
0.000000
EUR
-4472.810000
EUR
100000.000000
EUR
-2369.200000
N
N
N
ARGENT SECURITIES INC. 2006-W3
N/A
ARGENT SECURITIES INC. ARSI 2006 W3 A2B
040104SQ5
1071105.980000
PA
USD
384059.940000
0.0085908
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
1.86357
N
N
N
N
N
N
N/A
N/A
BANCA MONTE DEI PASCHI DI SNR SE SP BYL
000000000
1.000000
NC
-90205.850000
-0.0020178
N/A
DCR
IT
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
BANCA MONTE DEI PASCHI DI SIENA SPA
Y
Single Leg Swap
2022-12-21
0.000000
EUR
-182249.000000
EUR
5700000.000000
EUR
92043.150000
N
N
N
ARGENT SECURITIES TRUST 2006-W5
N/A
ARGENT SECURITIES INC. ARSI 2006 W5 A2B
04012XAC9
6705910.940000
PA
USD
2115430.570000
0.0473190
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.82357
N
N
N
N
N
N
ARGENT SECURITIES TRUST 2006-W5
N/A
ARGENT SECURITIES INC. ARSI 2006 W5 A2C
04012XAD7
3775294.740000
PA
USD
1191401.850000
0.0266499
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.92357
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
BONCER BONDS 03/23 1.4
ACI1L3HY1
556320062.190000
PA
2049290.390000
0.0458395
Long
DBT
NUSS
AR
N
2
2023-03-25
Fixed
1.4
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
BONCER BONDS 08/23 1.45
ACI1WSBF1
816947524.700000
PA
2810989.370000
0.0628776
Long
DBT
NUSS
AR
N
2
2023-08-13
Fixed
1.45
N
N
N
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-17159.430000
-0.0003838
N/A
DFE
N/A
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2372951.030000
USD
2248000.000000
EUR
2022-07-05
-17159.430000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BILLS 09/22 0.00000
ACI24ZDF2
770400000.000000
PA
2582421.560000
0.0577649
Long
DBT
NUSS
AR
N
2
2022-09-30
None
0
N
N
N
N
N
N
N/A
N/A
BOUGHT NOK/SOLD USD
000000000
1.000000
NC
-281624.210000
-0.0062995
N/A
DFE
NO
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
8661693.000000
USD
82470854.740000
NOK
2022-08-16
-281624.210000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
76121.620000
0.0017027
N/A
DFE
PE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1430320.620000
USD
5780783.800000
PEN
2022-07-26
76121.620000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
180631.820000
0.0040405
N/A
DFE
PE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3798393.320000
USD
15260804.840000
PEN
2022-07-21
180631.820000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-157362.640000
-0.0035200
N/A
DFE
PE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
11614453.820000
USD
43908442.670000
PEN
2022-07-14
-157362.640000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-1052.530000
-0.0000235
N/A
DFE
PE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
287430.430000
USD
1099766.310000
PEN
2022-08-02
-1052.530000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
538830.690000
0.0120528
N/A
DFE
RU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
307941.000000
USD
48131178.300000
RUB
2022-08-19
538830.690000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
-72079.780000
-0.0016123
N/A
DFE
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1755149.510000
USD
27731327.160000
ZAR
2022-11-08
-72079.780000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
-354895.160000
-0.0079385
N/A
DFE
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
6158153.000000
USD
94487620.560000
ZAR
2022-07-13
-354895.160000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
23957.430000
0.0005359
N/A
DFE
N/A
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
5916000.000000
EUR
6223629.630000
USD
2022-07-05
23957.430000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 07/30 VAR
ACI1QL1T4
31687180.000000
PA
USD
6733525.750000
0.1506188
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.5
N
N
N
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
7562616.990000
0.1691643
N/A
DFE
GB
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
160610372.000000
GBP
203073666.420000
USD
2022-07-05
7562616.990000
N
N
N
N/A
N/A
SOLD IDR/BOUGHT USD
000000000
1.000000
NC
300.870000
0.0000067
N/A
DFE
ID
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
370413946.000000
IDR
25152.030000
USD
2022-08-10
300.870000
N
N
N
N/A
N/A
SOLD IDR/BOUGHT USD
000000000
1.000000
NC
181.860000
0.0000041
N/A
DFE
ID
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
159672951.000000
IDR
10891.000000
USD
2022-08-23
181.860000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
176.000000
0.0000039
N/A
DFE
PE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1099766.310000
PEN
280323.790000
USD
2023-05-05
176.000000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 07/35 VAR
ACI1QL1M9
35144000.000000
PA
USD
7471614.400000
0.1671287
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.125
N
N
N
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
7634.620000
0.0001708
N/A
DFE
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1117150.830000
USD
924000.000000
GBP
2022-07-05
7634.620000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-30354.760000
-0.0006790
N/A
DFE
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
3110124.450000
USD
2530000.000000
GBP
2022-07-05
-30354.760000
N
N
N
N/A
N/A
BOUGHT IDR/SOLD USD
000000000
1.000000
NC
-38468.700000
-0.0008605
N/A
DFE
ID
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5427859.730000
USD
80342094152.000000
IDR
2022-08-16
-38468.700000
N
N
N
N/A
N/A
BOUGHT NOK/SOLD USD
000000000
1.000000
NC
-33917.790000
-0.0007587
N/A
DFE
NO
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5970229.490000
USD
58421083.650000
NOK
2022-08-16
-33917.790000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
-70609.570000
-0.0015794
N/A
DFE
ZA
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
745422.800000
USD
11118651.940000
ZAR
2022-11-08
-70609.570000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
-2878.650000
-0.0000644
N/A
DFE
ZA
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
654697.370000
USD
10843359.720000
ZAR
2023-02-13
-2878.650000
N
N
N
CAYENNE AVIATION LLC
N/A
VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5
942UCF900
97668.000000
NS
USD
29529638.130000
0.6605334
Long
EP
CORP
US
N
3
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 10/26 15.5
ACI0QD081
555410000.000000
PA
724466.290000
0.0162052
Long
DBT
NUSS
AR
N
2
2026-10-17
Fixed
15.5
N
N
N
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
17670.850000
0.0003953
N/A
DFE
ZA
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
10948260.250000
ZAR
682142.670000
USD
2022-11-08
17670.850000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR
040114HU7
93277380.000000
PA
USD
27283633.650000
0.6102936
Long
DBT
NUSS
AR
N
2
2038-01-09
Variable
2
N
N
N
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
7043.100000
0.0001575
N/A
DFE
CA
N
2
BNP Paribas S.A.
N/A
1439542.000000
USD
1861995.610000
CAD
2022-08-16
7043.100000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1
040114HX1
5301539.000000
PA
USD
1249837.820000
0.0279570
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1
N
N
N
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-26001.430000
-0.0005816
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
13417754.480000
USD
12779000.000000
EUR
2022-07-05
-26001.430000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-74918.910000
-0.0016758
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
16002710.960000
USD
15199000.000000
EUR
2022-07-05
-74918.910000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-1424973.430000
-0.0318745
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
389295361.930000
USD
370122991.000000
EUR
2022-07-05
-1424973.430000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-28981.510000
-0.0006483
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
6308297.910000
USD
5992000.000000
EUR
2022-07-05
-28981.510000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-84488.660000
-0.0018899
N/A
DFE
GB
N
2
BNP Paribas S.A.
N/A
2504481.600000
USD
1988000.000000
GBP
2022-07-05
-84488.660000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-29911.360000
-0.0006691
N/A
DFE
GB
N
2
BNP Paribas S.A.
N/A
1148610.310000
USD
919000.000000
GBP
2022-07-05
-29911.360000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-24077.610000
-0.0005386
N/A
DFE
GB
N
2
BNP Paribas S.A.
N/A
1128168.960000
USD
907000.000000
GBP
2022-07-05
-24077.610000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
2605.950000
0.0000583
N/A
DFE
GB
N
2
BNP Paribas S.A.
N/A
9758924.930000
USD
8019000.000000
GBP
2022-07-05
2605.950000
N
N
N
N/A
N/A
BOUGHT IDR/SOLD USD
000000000
1.000000
NC
-53968.620000
-0.0012072
N/A
DFE
ID
N
2
BNP Paribas S.A.
N/A
4952411.000000
USD
73023300195.000000
IDR
2022-08-16
-53968.620000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR
040114HS2
5172592.000000
PA
USD
1143142.830000
0.0255704
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.5
N
N
N
N
N
N
N/A
N/A
BOUGHT INR/SOLD USD
000000000
1.000000
NC
-283.180000
-0.0000063
N/A
DFE
IN
N
2
BNP Paribas S.A.
N/A
18117.330000
USD
1412263.990000
INR
2022-08-10
-283.180000
N
N
N
N/A
N/A
BOUGHT MXN/SOLD USD
000000000
1.000000
NC
2908451.720000
0.0650577
N/A
DFE
MX
N
2
BNP Paribas S.A.
N/A
34056303.410000
USD
748084166.240000
MXN
2022-08-09
2908451.720000
N
N
N
N/A
N/A
BOUGHT MXN/SOLD USD
000000000
1.000000
NC
-5331.400000
-0.0001193
N/A
DFE
MX
N
2
BNP Paribas S.A.
N/A
8624342.320000
USD
173324000.000000
MXN
2022-07-01
-5331.400000
N
N
N
N/A
N/A
BOUGHT PLN/SOLD USD
000000000
1.000000
NC
-63.750000
-0.0000014
N/A
DFE
PL
N
2
BNP Paribas S.A.
N/A
17890.750000
USD
80000.000000
PLN
2022-07-15
-63.750000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR
040114HT0
1111973.000000
PA
USD
235182.290000
0.0052607
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.125
N
N
N
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
-14429.790000
-0.0003228
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
374659.960000
USD
5865204.110000
ZAR
2022-07-13
-14429.790000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR
040114HV5
20323470.000000
PA
USD
5284102.200000
0.1181974
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
2.5
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR
040114HW3
229986.000000
PA
USD
53011.770000
0.0011858
Long
DBT
NUSS
AR
N
2
2046-07-09
Variable
1.125
N
N
N
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
1421658.600000
0.0318004
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
370122991.000000
EUR
390004887.710000
USD
2022-08-02
1421658.600000
N
N
N
CBL & ASSOCIATES PROPERTIES INC
529900EIVFBRS4PUBZ13
CBL + ASSOCIATES PROPERTIES REIT USD.01
124830878
17153.000000
NS
USD
402923.970000
0.0090128
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
-24909.130000
-0.0005572
N/A
DFE
GB
N
2
BNP Paribas S.A.
N/A
3597000.000000
GBP
4353719.950000
USD
2022-07-05
-24909.130000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA UNSECURED 10/22 VAR
P0761DAQ6
1476000.000000
PA
1267.050000
0.0000283
Long
DBT
NUSS
AR
N
2
2022-10-04
Floating
40.1781
N
N
N
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-8427.750000
-0.0001885
N/A
DFE
MX
N
2
BNP Paribas S.A.
N/A
173324000.000000
MXN
8497334.510000
USD
2022-09-15
-8427.750000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-138360.400000
-0.0030949
N/A
DFE
PE
N
2
BNP Paribas S.A.
N/A
10079585.700000
PEN
2469215.770000
USD
2022-10-05
-138360.400000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
20265.930000
0.0004533
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
15900893.980000
ZAR
985323.000000
USD
2022-11-08
20265.930000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
11036.950000
0.0002469
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
6095272.780000
ZAR
384080.000000
USD
2022-08-16
11036.950000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
4504.790000
0.0001008
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
3552925.020000
ZAR
221951.000000
USD
2022-08-16
4504.790000
N
N
N
N/A
N/A
BOMBARDIER INC SNR S* ICE
000000000
1.000000
NC
USD
-180348.480000
-0.0040341
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BOMBARDIER INC
BOMBARDIER INC SR UNSEC REGS
Y
Single Leg Swap
2024-06-21
0.000000
USD
-37843.800000
USD
3800000.000000
USD
-142504.680000
N
N
N
N/A
N/A
BOMBARDIER INC SNR S* ICE
000000000
1.000000
NC
USD
-137399.990000
-0.0030734
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BOMBARDIER INC
BOMBARDIER INC SR UNSEC REGS
Y
Single Leg Swap
2024-12-21
0.000000
USD
-7547.830000
USD
2100000.000000
USD
-129852.160000
N
N
N
N/A
N/A
BOMBARDIER INC SNR S* ICE
000000000
1.000000
NC
USD
-32664.850000
-0.0007307
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BOMBARDIER INC
BOMBARDIER INC SR UNSEC REGS
Y
Single Leg Swap
2025-06-21
0.000000
USD
-30000.000000
USD
400000.000000
USD
-2664.850000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
-6355617.480000
-0.1421656
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
88627248.320000
USD
430564466.430000
BRL
2022-07-05
-6355617.480000
N
N
N
ASG RESECURITIZATION TRUST 2009-4
N/A
ASG RESECURITIZATION TRUST ASG 2009 4 M40 144A
00212MBP9
27086583.460000
PA
USD
15612704.000000
0.3492326
Long
ABS-MBS
CORP
US
N
2
2037-06-28
Fixed
6
N
N
N
N
N
N
ASG RESECURITIZATION TRUST 2010-2
N/A
ASG RESECURITIZATION TRUST ASG 2010 2 M30 144A
001990BM1
9852746.940000
PA
USD
8075137.980000
0.1806286
Long
ABS-MBS
CORP
US
N
2
2037-01-28
Floating
2.55009
N
N
N
N
N
N
N/A
N/A
BOUGHT MXN/SOLD USD
000000000
1.000000
NC
576.870000
0.0000129
N/A
DFE
MX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
99096.880000
USD
2008000.000000
MXN
2022-07-15
576.870000
N
N
N
ASHFORD HOSPITALITY TRUST 2018-ASHF
N/A
ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF E 144A
04410RAN6
6800000.000000
PA
USD
6215548.160000
0.1390324
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Floating
4.424
N
N
N
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
33548.350000
0.0007504
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
585999.480000
USD
2377692.900000
PEN
2022-07-27
33548.350000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
219269.500000
0.0049047
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2757253.860000
USD
11563922.680000
PEN
2022-12-06
219269.500000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
109565.600000
0.0024508
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4567521.540000
USD
18129406.510000
PEN
2022-11-08
109565.600000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-24197.170000
-0.0005413
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2581402.100000
USD
9939688.800000
PEN
2022-12-12
-24197.170000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-6253.880000
-0.0001399
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
289968.920000
USD
1090225.130000
PEN
2022-08-08
-6253.880000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-1138.020000
-0.0000255
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
55175.880000
USD
207207.510000
PEN
2022-07-19
-1138.020000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
25569.240000
0.0005719
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3864297.100000
USD
15260804.840000
PEN
2023-04-27
25569.240000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
187.340000
0.0000042
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
44102.910000
USD
170193.120000
PEN
2022-08-08
187.340000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-681.280000
-0.0000152
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
44164.350000
USD
167091.390000
PEN
2022-08-08
-681.280000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-1169.860000
-0.0000262
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
43052.100000
USD
160700.590000
PEN
2022-07-25
-1169.860000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-826.970000
-0.0000185
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
49057.820000
USD
185335.540000
PEN
2022-08-08
-826.970000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-167.480000
-0.0000037
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
9674.620000
USD
36451.070000
PEN
2022-07-18
-167.480000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-467.200000
-0.0000105
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
26987.090000
USD
101679.260000
PEN
2022-07-18
-467.200000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-434.440000
-0.0000097
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
16931.960000
USD
63252.720000
PEN
2022-07-18
-434.440000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-92.150000
-0.0000021
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3591.630000
USD
13417.250000
PEN
2022-07-18
-92.150000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-1304.500000
-0.0000292
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
48607.070000
USD
181673.790000
PEN
2022-08-03
-1304.500000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-47.310000
-0.0000011
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4930.270000
USD
18763.620000
PEN
2022-08-08
-47.310000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
-27074.050000
-0.0006056
N/A
DFE
ZA
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
630709.980000
USD
9863005.460000
ZAR
2022-08-16
-27074.050000
N
N
N
N/A
N/A
SOLD AUD/BOUGHT USD
000000000
1.000000
NC
6291.300000
0.0001407
N/A
DFE
AU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
444000.000000
AUD
312865.040000
USD
2022-08-16
6291.300000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-236800.220000
-0.0052969
N/A
DFE
MX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
173324000.000000
MXN
8382210.700000
USD
2022-07-01
-236800.220000
N
N
N
ASSET BACKED FUNDING CERT 2004-FF1
N/A
ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1
04542BHM7
515619.780000
PA
USD
495563.510000
0.0110850
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Floating
2.67357
Y
N
N
N
N
N
ASSET BACKED FUNDING CERT 2004-OPT2
N/A
ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT2 A2
04542BFV9
166854.080000
PA
USD
159003.830000
0.0035567
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
2.18357
N
N
N
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-194521.620000
-0.0043512
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
13786453.620000
PEN
3397770.450000
USD
2022-07-27
-194521.620000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-14373.960000
-0.0003215
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1099766.310000
PEN
272003.940000
USD
2022-08-02
-14373.960000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
776.790000
0.0000174
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1050849.870000
PEN
270802.700000
USD
2022-12-27
776.790000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-18882.720000
-0.0004224
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
15260804.840000
PEN
3960142.420000
USD
2022-07-21
-18882.720000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
46.520000
0.0000010
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
18763.620000
PEN
4947.560000
USD
2022-07-05
46.520000
N
N
N
ASSET BACKED FUNDING CERT 2006-OPT2
N/A
ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A3C
00075XAE7
2014732.720000
PA
USD
1967366.350000
0.0440070
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.77357
N
N
N
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-1058.040000
-0.0000237
N/A
DFE
PE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
23900.340000
USD
87654.480000
PEN
2022-07-26
-1058.040000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
3.180000
0.0000001
N/A
DFE
RU
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
5.000000
USD
457.000000
RUB
2022-08-10
3.180000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
554362.260000
0.0124002
N/A
DFE
RU
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
1051809.000000
USD
101394387.600000
RUB
2022-10-21
554362.260000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
-411760.760000
-0.0092105
N/A
DFE
ZA
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
8303595.000000
USD
130464423.920000
ZAR
2022-12-12
-411760.760000
N
N
N
N/A
N/A
SOLD PLN/BOUGHT USD
000000000
1.000000
NC
507183.100000
0.0113449
N/A
DFE
PL
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
79582117.200000
PLN
18241064.730000
USD
2022-07-15
507183.100000
N
N
N
N/A
N/A
BOUGHT MXN/SOLD USD
000000000
1.000000
NC
2764.700000
0.0000618
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
11191256.720000
USD
229073833.760000
MXN
2022-10-07
2764.700000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-1742.280000
-0.0000390
N/A
DFE
PE
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
77619.020000
USD
290791.900000
PEN
2022-07-14
-1742.280000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
107.730000
0.0000024
N/A
DFE
PE
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
20028.410000
USD
77261.600000
PEN
2022-07-25
107.730000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-396.790000
-0.0000089
N/A
DFE
PE
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
15738.910000
USD
58954.800000
PEN
2022-08-08
-396.790000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-337.430000
-0.0000075
N/A
DFE
PE
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
12969.580000
USD
48448.230000
PEN
2022-07-21
-337.430000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
1398608.290000
0.0312848
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
2642572.000000
USD
250251568.400000
RUB
2022-10-07
1398608.290000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
11586.380000
0.0002592
N/A
DFE
PE
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1848429.770000
PEN
492613.010000
USD
2022-08-08
11586.380000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
7736.710000
0.0001731
N/A
DFE
ZA
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
11439000.000000
ZAR
710299.290000
USD
2022-07-13
7736.710000
N
N
N
N/A
N/A
GUARANTEED RATE INC WTS 7214419C9
000000000
288.000000
NC
USD
0.000000
0.0000000
N/A
DE
US
N
3
None
N/A
Call
Purchased
GUARANTEED RATE INC
GUARANTEED RATE INC
N/A
0.010000
USD
2060-12-31
XXXX
-37727.300000
N
N
N
ATLANTIC AVIATION (AKA: KKR APPLE BIDCO LLC)
2549001SCJD3WEYJFM53
KKR APPLE BIDCO, LLC 2021 2ND LIEN TERM LOAN
938PNZII2
1225000.000000
PA
USD
1179062.500000
0.0263738
Long
LON
CORP
US
N
2
2029-09-21
Floating
7.4161
N
N
N
N
N
N
N/A
N/A
BOUGHT CLP/SOLD USD
000000000
1.000000
NC
-6801.030000
-0.0001521
N/A
DFE
CL
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
72913.860000
USD
61098168.000000
CLP
2022-08-05
-6801.030000
N
N
N
N/A
N/A
BOUGHT CNH/SOLD USD
000000000
1.000000
NC
89.370000
0.0000020
N/A
DFE
CN
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
30540.000000
USD
205076.100000
CNY
2022-08-10
89.370000
N
N
N
2022-08-12
PIMCO Dynamic Income Fund
/s/ Bijal Parikh
Bijal Parikh
Treasurer