0001558629-20-000019.txt : 20200225
0001558629-20-000019.hdr.sgml : 20200225
20200225105449
ACCESSION NUMBER: 0001558629-20-000019
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200225
PERIOD START: 20200630
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIMCO Dynamic Credit & Mortgage Income Fund
CENTRAL INDEX KEY: 0001558629
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22758
FILM NUMBER: 20648431
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
FORMER COMPANY:
FORMER CONFORMED NAME: PIMCO Dynamic Credit Income Fund
DATE OF NAME CHANGE: 20120920
NPORT-P
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N/A
ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1
04542BHM7
821087.800000
PA
USD
805475.470000
0.0251716
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Floating
2.842
Y
N
N
N
N
N
ASSET BACKED FUNDING CERTS 2005-OPT1
N/A
ASSET BACKED FUNDING CERTIFICA ABFC 2005 OPT1 M2
04542BQB1
7400000.000000
PA
USD
7194239.300000
0.2248242
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.617
N
N
N
N
N
N
ASSET BACKED SEC CORP HOME EQY 2003-HE4
N/A
ASSET BACKED SECURITIES CORP H ABSHE 2003 HE4 M2
04541GEV0
481428.120000
PA
USD
482131.390000
0.0150669
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Floating
4.34011
N
N
N
N
N
N
ASSOCIATED MATERIALS LLC / AMH NEW FINANCE INC
N/A
ASSOC MAT LLC/AMH NEW FI SR SECURED 144A 01/24 9
04570XAB5
54965000.000000
PA
USD
48369200.000000
1.5115659
Long
DBT
CORP
US
N
2
2024-01-01
Fixed
9
N
N
N
N
N
N
AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)
95980020140005848404
GENERALITAT DE CATALUNYA SR UNSECURED 02/20 4.95
959FFKII0
100000.000000
PA
112783.060000
0.0035245
Long
DBT
NUSS
ES
N
2
2020-02-11
Fixed
4.95
N
N
N
N
N
N
AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)
95980020140005848404
GENERALITAT DE CATALUNYA SR UNSECURED 09/21 4.9
B5BMDRII6
100000.000000
PA
120586.420000
0.0037684
Long
DBT
NUSS
ES
N
2
2021-09-15
Fixed
4.9
N
N
N
N
N
N
BAFFINLAND IRON MINES CORP / BAFFINLAND IRON MINES LP
N/A
BAFFINLAND IRON CORP/LP SR SECURED 144A 07/26 8.75
056623AA9
7500000.000000
PA
USD
7570125.000000
0.2365708
Long
DBT
CORP
CA
N
2
2026-07-15
Fixed
8.75
N
N
N
N
N
N
BANC OF AMERICA ALT LOAN TRUST 2006-1
N/A
BANC OF AMERICA ALTERNATIVE LO BOAA 2006 1 4CB1
05948K2L2
2161610.710000
PA
USD
2162151.330000
0.0675685
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
6.5
Y
N
N
N
N
N
BANC OF AMERICA ALT LOAN TRUST 2006-3
N/A
BANC OF AMERICA ALTERNATIVE LO BOAA 2006 3 3A6
05948K4L0
960399.430000
PA
USD
911711.690000
0.0284915
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6
N
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
1321660.780000
PA
USD
1283089.300000
0.0400973
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 3A1
059475AQ6
574539.450000
PA
USD
116675.980000
0.0036462
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
4.848
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
534348.350000
PA
USD
418474.320000
0.0130776
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
2.152
Y
N
N
N
N
N
BANC OF AMERICA ALTERNATIVE LOAN TRUST 2005-8
N/A
BANC OF AMERICA ALTERNATIVE LO BOAA 2005 8 1CB2
05948KK40
294238.660000
PA
USD
364579.470000
0.0113933
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
12.9976
Y
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2005-B
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 1A1
05946XRT2
2116206.970000
PA
USD
1974048.860000
0.0616902
Long
ABS-MBS
CORP
US
N
2
2035-04-20
Floating
4.33402
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
2720090.940000
PA
USD
2655866.330000
0.0829974
Long
ABS-MBS
CORP
US
N
2
2046-09-20
Floating
4.37019
Y
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2007-3
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A
059515AD8
1708831.700000
PA
USD
1455079.930000
0.0454721
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
2.002
Y
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2007-8
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 1A1
05953LAB5
4755957.890000
PA
USD
3595693.930000
0.1123675
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Fixed
6
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2007-E
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 8A1
05954DAR7
280730.560000
PA
USD
252501.000000
0.0078908
Long
ABS-MBS
CORP
US
N
2
2047-09-20
Floating
3.98169
Y
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2007-E
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 9A1
05954DAW6
661856.380000
PA
USD
506289.290000
0.0158218
Long
ABS-MBS
CORP
US
N
2
2037-09-20
Floating
3.87618
Y
N
N
N
N
N
BANC OF AMERICA FUNDING TRUST 2011-R1
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2011 R1 A4 144A
05956TAE9
4962798.570000
PA
USD
4283914.520000
0.1338748
Long
ABS-MBS
CORP
US
N
2
2036-08-26
Floating
5.4327
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
30671994.800000
PA
USD
7781914.490000
0.2431894
Long
ABS-MBS
CORP
US
N
2
2036-11-26
Variable
0
N
N
N
N
N
N
BANCO DE CREDITO DEL PERU
549300EQYQ8SCQZ4BY14
BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65
05971U2B2
4000000.000000
PA
1219438.580000
0.0381082
Long
DBT
CORP
PE
N
2
2024-09-17
Fixed
4.65
N
N
N
N
N
N
BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2
N/A
THE BANCORP COMMERCIAL MORTGAG BANC 2017 CRE2 D 144A
05972AAJ9
3470000.000000
PA
USD
3504563.280000
0.1095197
Long
ABS-MBS
CORP
US
N
2
2032-08-15
Floating
5.48975
N
N
N
N
N
N
BANK OF AMERICA MTGE SEC 2006-3
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A10
05950LAK8
168110.310000
PA
USD
166303.460000
0.0051971
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
1385407.180000
PA
USD
1355704.330000
0.0423666
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Fixed
5.75
Y
N
N
N
N
N
BANK OF AMERICA MTGE SECS-2007-2
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 2 A6
05952FAF0
989153.160000
PA
USD
884766.740000
0.0276495
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
5200000.000000
PA
USD
5684718.000000
0.1776508
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
2800000.000000
PA
USD
3134502.000000
0.0979550
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
3400000.000000
PA
5007483.990000
0.1564868
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
48751000.000000
PA
70571018.870000
2.2053857
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 VAR
ACI1CH093
800000.000000
PA
1200087.420000
0.0375034
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
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 01/33 3.25
ACI0ZVTR8
1000000.000000
PA
1393931.930000
0.0435612
Long
DBT
CORP
GB
N
2
2033-01-17
Fixed
3.25
N
N
N
N
N
N
BAUSCH HEALTH COS INC (AKA: VALEANT PHARMACEUTICALS INTERN)
B3BS7ACMDUWISF18KY76
BAUSCH HEALTH COS INC SR UNSECURED 144A 01/28 5
071734AH0
448000.000000
PA
USD
460942.720000
0.0144047
Long
DBT
CORP
CA
N
2
2028-01-30
Fixed
5
N
N
N
N
N
N
BAUSCH HEALTH COS INC (AKA: VALEANT PHARMACEUTICALS INTERN)
B3BS7ACMDUWISF18KY76
BAUSCH HEALTH COS INC SR UNSECURED 144A 01/30 5.25
071734AJ6
448000.000000
PA
USD
465696.000000
0.0145533
Long
DBT
CORP
CA
N
2
2030-01-30
Fixed
5.25
N
N
N
N
N
N
BAYVIEW COMMERCIAL ASSET TRUST 2004-2
N/A
BAYVIEW COMMERCIAL ASSET TRUST BAYC 2004 2 A 144A
07324SAR3
116143.970000
PA
USD
114899.270000
0.0035907
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
2.222
N
N
N
N
N
N
BAYVIEW COMMERCIAL ASSET TRUST 2006-4A
N/A
BAYVIEW COMMERCIAL ASSET TRUST BAYC 2006 4A A1 144A
07325BAB4
249218.270000
PA
USD
241677.250000
0.0075526
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
2.022
N
N
N
N
N
N
BAYVIEW COMMERCIAL ASSET TRUST 2007-1
N/A
BAYVIEW COMMERCIAL ASSET TRUST BAYC 2007 1 A1 144A
07325MAA2
182315.030000
PA
USD
174138.260000
0.0054419
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0
N
N
N
N
N
N
BBVA-6 FTPYME FTA 6
N/A
BBVA 6 FTPYME FTA BBVAP 6 C REGS
E22473AC1
388715.040000
PA
296266.070000
0.0092585
Long
ABS-O
CORP
ES
N
2
2046-03-22
Floating
0.252
Y
N
N
N
N
N
CLEAR CHANNEL OUTDOOR HOLDINGS INC
N/A
CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK
18453H106
2994420.000000
NS
USD
8564041.200000
0.2676313
Long
EC
CORP
US
N
1
N
N
N
BCAP LLC TRUST 2009-RR14
N/A
BCAP LLC TRUST BCAP 2009 RR14 2A2 144A
05532LAD1
737363.980000
PA
USD
689025.720000
0.0215325
Long
ABS-MBS
CORP
US
N
2
2036-07-26
Floating
4.1508
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR1
N/A
BCAP LLC TRUST BCAP 2010 RR1 1A4 144A
05532TAD4
1513756.280000
PA
USD
1346514.370000
0.0420794
Long
ABS-MBS
CORP
US
N
2
2037-03-26
Floating
4.03713
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR11
N/A
BCAP LLC TRUST BCAP 2010 RR11 5A3 144A
05533JBE2
7255420.800000
PA
USD
6278906.460000
0.1962195
Long
ABS-MBS
CORP
US
N
2
2037-03-27
Floating
4.02799
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR2
N/A
BCAP LLC TRUST BCAP 2010 RR2 2A2 144A
05532VAG2
10170595.770000
PA
USD
9337628.040000
0.2918064
Long
ABS-MBS
CORP
US
N
2
2035-12-26
Variable
5.5
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR7
N/A
BCAP LLC TRUST BCAP 2010 RR7 1610 144A
05533DGV2
20741451.440000
PA
USD
18136395.660000
0.5667730
Long
ABS-MBS
CORP
US
N
2
2047-02-26
Floating
3.09
N
N
N
N
N
N
BCAP LLC TRUST 2011-RR5
N/A
BCAP LLC TRUST BCAP 2011 RR5 14A6 144A
05533YBS8
3245410.880000
PA
USD
3179126.280000
0.0993496
Long
ABS-MBS
CORP
US
N
2
2036-07-26
Floating
4.04398
N
N
N
N
N
N
BCAP LLC TRUST 2012-RR10-I
N/A
BCAP LLC TRUST BCAP 2012 RR10 1A2 144A
05541HAB3
16704362.960000
PA
USD
13988819.870000
0.4371588
Long
ABS-MBS
CORP
US
N
2
2037-02-26
Floating
1.87503
N
N
N
N
N
N
BCAP LLC TRUST 2012-RR12
N/A
BCAP LLC TRUST BCAP 2012 RR12 3A3 144A
05542BAL3
4732160.470000
PA
USD
4861291.190000
0.1519182
Long
ABS-MBS
CORP
US
N
2
2037-06-26
Variable
5.99126
N
N
N
N
N
N
BCAP LLC TRUST 2013-RR1
N/A
BCAP LLC TRUST BCAP 2013 RR1 3A4 144A
05490BAQ4
3907388.290000
PA
USD
3407107.780000
0.1064741
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
6728062.700000
PA
USD
6029028.420000
0.1884107
Long
ABS-MBS
CORP
US
N
2
2036-05-26
Floating
1.888
N
N
N
N
N
N
BCAP LLC TRUST 2013-RR12
N/A
BCAP LLC TRUST BCAP 2013 RR12 1A5 144A
05490CAE9
7070751.720000
PA
USD
5983629.300000
0.1869919
Long
ABS-MBS
CORP
US
N
2
2035-05-26
Floating
2.208
N
N
N
N
N
N
BCAP LLC TRUST 2015-RR6
N/A
BCAP LLC TRUST BCAP 2015 RR6 2A2 144A
05490QAG3
15864520.540000
PA
USD
5653440.880000
0.1766733
Long
ABS-MBS
CORP
US
N
2
2036-01-26
Variable
9.82988
N
N
N
N
N
N
BEAR STEARNS COMM MTGE SEC 2006-T22
N/A
BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T22 H 144A
07387BGC1
1120000.000000
PA
USD
1132668.770000
0.0353966
Long
ABS-MBS
CORP
US
N
2
2038-04-12
Variable
5.72798
N
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
737816.080000
PA
USD
727303.380000
0.0227287
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
4.06511
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
6327863.170000
PA
USD
6248292.190000
0.1952628
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.917
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-10
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1
07386HYW5
8056435.200000
PA
USD
9331981.580000
0.2916299
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.292
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
5571206.880000
PA
USD
3730980.980000
0.1165953
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
4.04689
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
1872617.380000
PA
USD
1334536.690000
0.0417051
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
4.01877
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-5
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 5 1A1
073873AA9
27081012.220000
PA
USD
24030994.260000
0.7509827
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
2.132
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
4733241.500000
PA
USD
3301372.520000
0.1031698
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
3.96007
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
3867392.080000
PA
USD
3771033.300000
0.1178470
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
3.68421
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-R1
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 R1 4E22
073866BH7
54186095.750000
PA
USD
32640544.500000
1.0200362
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
4.04399
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
6183436.480000
PA
USD
5403871.470000
0.1688742
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
3.66723
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
18650228.040000
PA
USD
18312105.000000
0.5722640
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
3.667
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC1
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC1 22A2
07387UCY5
474653.810000
PA
USD
413403.910000
0.0129191
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
15149416.460000
PA
USD
16637819.360000
0.5199416
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.932
Y
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
360778.190000
PA
USD
336641.980000
0.0105203
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
4.29592
N
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2001-3
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 M1
07384YBQ8
146301.820000
PA
USD
148603.450000
0.0046439
Long
ABS-MBS
CORP
US
N
2
2032-10-27
Floating
3.292
N
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2005-HE7
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE7 M3
073879ZJ0
39756000.000000
PA
USD
40076775.260000
1.2524227
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.992
Y
N
N
N
N
N
BEAR STEARNS MORTGAGE FUNDING TRUST 2006-AC1
N/A
BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AC1 A1
07400XAA6
2908412.700000
PA
USD
2797032.420000
0.0874089
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
7.5
N
N
N
N
N
N
BIOCEANICO SOVEREIGN CERTIFICATE LTD
N/A
BIOCEANICO SOVEREIGN SR SECURED 144A 06/34 0.00000
09076AAA5
450000.000000
PA
USD
314145.000000
0.0098172
Long
DBT
CORP
KY
N
2
2034-06-05
None
0
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC SR UNSECURED 144A 01/23 6.125
097751BF7
5429000.000000
PA
USD
5578758.970000
0.1743395
Long
DBT
CORP
CA
N
2
2023-01-15
Fixed
6.125
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC SR UNSECURED 144A 03/25 7.5
097751BM2
3919000.000000
PA
USD
4051227.060000
0.1266032
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 04/27 7.875
097751BT7
12862000.000000
PA
USD
13264259.050000
0.4145159
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
7.875
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC SR UNSECURED 144A 12/24 7.5
097751BR1
7978000.000000
PA
USD
8398560.270000
0.2624599
Long
DBT
CORP
CA
N
2
2024-12-01
Fixed
7.5
N
N
N
N
N
N
BURGER KING/TIM HORT (1011778 BC UNLIMITED LIABILITY CO/NEW RED FINANCE INC)
N/A
1011778 BC / NEW RED FIN SECURED 144A 01/28 4.375
68245XAJ8
432000.000000
PA
USD
433879.200000
0.0135590
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
4.375
N
N
N
N
N
N
C-BASS CBO XVI CORP 16A
N/A
C BASS LTD CBCL 16A A 144A
12498YAA7
65384693.900000
PA
USD
5132698.470000
0.1603998
Long
ABS-CBDO
CORP
KY
N
2
2041-09-06
Floating
2.13713
N
N
N
N
N
N
CAESARS ENTERTAINMENT CORPORATION
529900CJT4VQO26ONP04
CAESARS ENTERTAIN CORP SR UNSECURED 10/24 5
127686AA1
2951964.000000
PA
USD
5686220.740000
0.1776977
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5
N
N
N
Y
N
CAESARS ENTERTAINMENT CORPORATION
CAESARS ENTERTAINMENT CORP
USD
XXXX
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
7910245.460000
0.2471998
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
1811595.750000
0.0566134
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Variable
0
N
N
N
N
N
N
CARRINGTON MORTGAGE LN TR 2005-OPT2
N/A
CARRINGTON MORTGAGE LOAN TRUST CARR 2005 OPT2 M5
144531CN8
4400000.000000
PA
USD
4408907.800000
0.1377810
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.842
N
N
N
N
N
N
CARRINGTON MTGE LOAN TRUST 2006-FRE2
N/A
CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A5
14454AAE9
870545.360000
PA
USD
696301.960000
0.0217598
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
1.872
N
N
N
N
N
N
CARRINGTON MTGE LOAN TRUST 2007-FRE1
N/A
CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3
144527AC2
9100000.000000
PA
USD
8567060.320000
0.2677257
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
2.052
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
11394914.430000
0.3560978
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
2.212
N
N
N
N
N
N
CAVENDISH SQUARE FUNDING PLC
N/A
CAVENDISH SQUARE FUNDING PLC CAVSQ 1 B REGS
ACI06FC02
1500000.000000
PA
1687705.170000
0.0527418
Long
ABS-CBDO
CORP
IE
N
2
2055-02-11
Floating
0.54
N
N
N
N
N
N
CAVENDISH SQUARE FUNDING PLC
N/A
CAVENDISH SQUARE FUNDING PLC CAVSQ 1 C REGS
B0X5X3II1
3500000.000000
PA
3802555.130000
0.1188321
Long
ABS-CBDO
CORP
IE
N
2
2055-02-11
Floating
1.45
N
N
N
N
N
N
CBL & ASSOCIATES LIMITED PARTNERSHIP
549300VS75TWHD9JTH89
CBL + ASSOCIATES LP COMPANY GUAR 12/26 5.95
12505JAD5
3196000.000000
PA
USD
1925022.710000
0.0601581
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.95
N
N
N
N
N
N
CBL & ASSOCIATES LIMITED PARTNERSHIP
549300VS75TWHD9JTH89
CBL + ASSOCIATES LP LIMITD GUARA 10/24 4.6
12505JAB9
13000.000000
PA
USD
8422.900000
0.0002632
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
4.6
N
N
N
N
N
N
CBL & ASSOCIATES LIMITED PARTNERSHIP
549300VS75TWHD9JTH89
CBL + ASSOCIATES LP LIMITD GUARA 12/23 5.25
12505JAA1
611000.000000
PA
USD
429481.070000
0.0134215
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
5.25
N
N
N
N
N
N
CENTENE CORPORATION
549300Z7JJ4TQSQGT333
CENTENE CORP SR UNSECURED 144A 01/25 4.75
15135BAN1
1106000.000000
PA
USD
1151141.390000
0.0359738
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.75
N
N
N
N
N
N
CENTENE CORPORATION
549300Z7JJ4TQSQGT333
CENTENE CORP SR UNSECURED 144A 12/27 4.25
15135BAQ4
622000.000000
PA
USD
641033.200000
0.0200327
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25
N
N
N
N
N
N
CENTENE CORPORATION
549300Z7JJ4TQSQGT333
CENTENE CORP SR UNSECURED 144A 12/29 4.625
15135BAS0
1218000.000000
PA
USD
1285842.600000
0.0401833
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.625
N
N
N
N
N
N
CENTURYLINK INC
8M3THTGWLTYZVE6BBY25
CENTURYLINK INC SR UNSECURED 144A 12/26 5.125
156700BB1
47000.000000
PA
USD
47946.110000
0.0014983
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.125
N
N
N
N
N
N
CHARTER COMMUNICATIONS (CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CO)
N/A
CCO HLDGS LLC/CAP CORP SR UNSECURED 144A 03/30 4.75
1248EPCD3
883000.000000
PA
USD
902320.040000
0.0281980
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 03/50 4.8
161175BT0
1068000.000000
PA
USD
1124190.560000
0.0351316
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.8
N
N
N
N
N
N
CHESAPEAKE ENERGY CORPORATION
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORPORATION 2019 LAST OUT TERM LOAN
16516FAH2
1086000.000000
PA
USD
1121295.000000
0.0350411
Long
LON
CORP
US
N
2
2024-06-27
Floating
9.9278
N
N
N
N
N
N
DOMMO ENERGIA SA (AKA: OGX PETROLEO E GAS SA)
254900VV84SMDXCU2986
DOMMO ENERGIA SA COMMON STOCK
BYXHG7900
1213488.190000
NS
883864.170000
0.0276213
Long
EC
CORP
BR
N
1
N
N
N
CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1
126694U97
39232287.060000
PA
USD
27022673.610000
0.8444744
Long
ABS-MBS
CORP
US
N
2
2046-03-25
Floating
3.662
Y
N
N
N
N
N
DOMMO ENERGIA SA (AKA: OGX PETROLEO E GAS SA)
254900VV84SMDXCU2986
DOMMO ENERGIA SA SP ADR
257553206
8580.000000
NS
USD
62493.850000
0.0019530
Long
EC
CORP
BR
N
3
N
N
N
CHS/COMMUNITY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/COMMUNITY HEALTH SYS SR SECURED 03/23 6.25
12543DAY6
60690000.000000
PA
USD
61752075.000000
1.9297886
Long
DBT
CORP
US
N
2
2023-03-31
Fixed
6.25
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/COMMUNITY HEALTH SYS SR SECURED 144A 01/24 8.625
12543DBB5
1078000.000000
PA
USD
1145364.220000
0.0357933
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
8.625
N
N
N
N
N
N
DOMMO ENERGIA SA (AKA: OGX PETROLEO E GAS SA)
254900VV84SMDXCU2986
EQTY04518 DOMMO PLACEHOLDER
965RMZII5
3076285.810000
NS
1853028.790000
0.0579082
Long
EC
CORP
BR
N
3
N
N
N
CHS/COMMUNITY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8
12543DBC3
2212000.000000
PA
USD
2282505.290000
0.0713296
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
8
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
1675123.620000
0.0523486
Long
ABS-CBDO
CORP
KY
N
2
2030-04-24
Fixed
0
N
N
N
N
N
N
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ
17311QBN9
7637152.690000
PA
USD
4895033.020000
0.1529727
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.58901
Y
N
N
N
N
N
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJFX 144A
17311QAE0
7378077.720000
PA
USD
4723002.670000
0.1475966
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.58901
Y
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TR 2006-WF2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2E
17309BAD9
2744483.240000
PA
USD
1511927.860000
0.0472486
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
6.351
Y
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2006-AR5
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR5 2A1A
17309FAS7
3087548.330000
PA
USD
2377939.260000
0.0743120
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
3.4388
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2009-7
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 3A2 144A
17315MAF2
5141151.980000
PA
USD
3996864.710000
0.1249044
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
3292310.480000
PA
USD
2643829.680000
0.0826212
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
1471529.290000
PA
USD
1143254.360000
0.0357274
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.5
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
5362667.660000
0.1675865
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.19459
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2006-NC2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B
17309TAC2
16129343.220000
PA
USD
13056171.070000
0.4080130
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
1.952
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-6
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A1A
17312VAA6
3349828.210000
PA
USD
3011252.030000
0.0941034
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
3.72896
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AHL2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A3B
17312TAJ2
643269.810000
PA
USD
472669.190000
0.0147712
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
1.992
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AMC1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B
17311BAB9
22518180.100000
PA
USD
12123617.030000
0.3788701
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.942
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AMC1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2C
17311BAC7
4534906.840000
PA
USD
2475818.330000
0.0773708
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
2.012
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AMC2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A2 144A
17311XAT2
24862588.800000
PA
USD
22117189.640000
0.6911752
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.932
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AR4
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A3A
17311WAH0
1473585.590000
PA
USD
1441824.520000
0.0450579
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
3.98896
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AR5
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A
17311LAJ0
568605.800000
PA
USD
506808.360000
0.0158381
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
3.85639
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AR8
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR8 1A2A
17313FAC6
3570290.730000
PA
USD
2626941.020000
0.0820934
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
4.36878
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
4867000.000000
PA
USD
3902085.610000
0.1219425
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
2.492
N
N
N
N
N
N
CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3
N/A
CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ
14986DAJ9
17535612.480000
PA
USD
9106441.710000
0.2845816
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
5.688
Y
N
N
N
N
N
CITIGROUP/DEUTSCHE BK COMM MTGE 2007-CD4
N/A
CD COMMERCIAL MORTGAGE TRUST CD 2007 CD4 AJ
12513YAJ9
109923.700000
PA
USD
103594.510000
0.0032374
Long
ABS-MBS
CORP
US
N
2
2049-12-11
Fixed
5.398
Y
N
N
N
N
N
CITY OF BUENOS AIRES
5299007MC8RF52X0ON96
CITY OF BUENOS AIRES UNSECURED 03/24 VAR
BD8QV0II3
1686318000.000000
PA
19447225.560000
0.6077372
Long
DBT
MUN
AR
N
2
2024-03-29
Floating
54.1271
N
N
N
N
N
N
CITY OF CHICAGO
T5UYO5SYLC8K73MJQX30
CHICAGO IL CHI 01/29 FIXED 7.045
167486ZZ5
580000.000000
PA
USD
636822.600000
0.0199011
Long
DBT
MUN
US
N
2
2029-01-01
Fixed
7.045
N
N
N
N
N
N
CLARIVATE (CAMELOT FINANCE SA)
N/A
CAMELOT FINANCE SA SR SECURED 144A 11/26 4.5
13323AAB6
39000.000000
PA
USD
40145.590000
0.0012546
Long
DBT
CORP
LU
N
2
2026-11-01
Fixed
4.5
N
N
N
N
N
N
CLEAR CHANNEL WORLDWIDE HOLDINGS INC
N/A
CLEAR CHANNEL WORLDWIDE COMPANY GUAR 144A 02/24 9.25
18451QAN8
15711000.000000
PA
USD
17432689.940000
0.5447818
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
9.25
N
N
N
N
N
N
COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1
N/A
COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM
20173WAH1
16722061.280000
PA
USD
11096992.300000
0.3467875
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
6.05237
N
N
N
N
N
N
ENEVA SA
549300T1AP7HKCABII19
ENEVA SA COMMON STOCK
ACI072474
138393.000000
NS
1503067.630000
0.0469717
Long
EC
CORP
BR
N
1
N
N
N
CONSECO FINANCE SECUR CORP 2002-1
N/A
CONSECO FINANCE SECURITIZATION CNF 2002 1 M2
20846QJT6
6480000.000000
PA
USD
6846069.460000
0.2139437
Long
ABS-O
CORP
US
N
2
2033-12-01
Fixed
9.546
N
N
N
N
N
N
CONSTELLATION OIL SERVICES HOLDING SA
5493005YJTU769NW5I10
CONSTELLATION OIL SA SR SECURED REGS 11/24 9.5
L7877XAB5
452465.000000
PA
USD
228494.830000
0.0071406
Long
DBT
CORP
LU
N
3
2024-11-09
Fixed
9.5
Y
Y
Y
N
N
N
CORK STREET CLO DESIGNATED ACTIVITY CO 1A
N/A
CORK STREET CLO DESIGNATED ACT CRKST 1A SUB 144A
ACI0QPJC5
2667264.000000
PA
2777812.550000
0.0868083
Long
ABS-CBDO
CORP
IE
N
2
2028-11-27
Fixed
0
N
N
N
N
N
N
CORNERSTONE BUILDING BRANDS
549300IW41QEWQ6T0H29
PISCES MIDCO INC TERM LOAN B
72431HAB6
197919.980000
PA
USD
197835.860000
0.0061825
Long
LON
CORP
US
N
2
2025-04-12
Floating
5.4856
N
N
N
N
N
N
CORNING INCORPORATED
549300X2937PB0CJ7I56
CORNING INC SR UNSECURED 11/79 5.45
219350BQ7
482000.000000
PA
USD
528710.780000
0.0165225
Long
DBT
CORP
US
N
2
2079-11-15
Fixed
5.45
N
N
N
N
N
N
CORONADO CDO LTD 1A
N/A
CORONADO CDO LTD CORON 1A B1 144A
21976RAB2
24817134.040000
PA
USD
15572751.610000
0.4866576
Long
ABS-CBDO
CORP
KY
N
2
2038-09-04
Floating
3.40013
Y
N
N
N
N
N
CORONADO CDO LTD 1A
N/A
CORONADO CDO LTD CORON 1A B2 144A
21976RAE6
3981853.600000
PA
USD
3028199.660000
0.0946330
Long
ABS-CBDO
CORP
KY
N
2
2038-09-04
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALT LN TRUST 2005-1CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A1
12667F2Q7
394756.110000
PA
USD
299074.850000
0.0093463
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
679839.150000
PA
USD
478321.570000
0.0149478
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
6.25
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-24
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 24 1A1
12667GNS8
11239575.800000
PA
USD
9653890.830000
0.3016898
Long
ABS-MBS
CORP
US
N
2
2035-07-20
Floating
3.54948
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-51
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1
12668ACP8
182892.870000
PA
USD
176550.970000
0.0055173
Long
ABS-MBS
CORP
US
N
2
2035-11-20
Floating
2.36463
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2
12668AKQ7
1991489.620000
PA
USD
1589816.920000
0.0496827
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.5
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A7
02149JAG1
1200528.740000
PA
USD
733040.690000
0.0229080
Long
ABS-MBS
CORP
US
N
2
2037-02-25
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
623031.930000
PA
USD
436660.280000
0.0136459
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
4707104.910000
PA
USD
4645837.700000
0.1451852
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
1528068.350000
PA
USD
1508179.620000
0.0471315
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
5.5
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-OA21
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA21 A1
23245QAA7
716950.800000
PA
USD
621924.130000
0.0194355
Long
ABS-MBS
CORP
US
N
2
2047-03-20
Floating
1.95463
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-OC1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC1 1A1
12668BJD6
15053215.060000
PA
USD
12924982.480000
0.4039133
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.022
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-26R
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 26R A1
02152JAA8
5559010.630000
PA
USD
2368387.020000
0.0740135
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
5323825.370000
PA
USD
3739276.060000
0.1168546
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY6 A1
02151JAA9
1382241.710000
PA
USD
1257683.070000
0.0393033
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
2.002
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA4 A2
02150DAB1
10733884.900000
PA
USD
6584636.220000
0.2057737
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
2.012
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A3
12667GLD3
111040.170000
PA
USD
138730.370000
0.0043354
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
14.872
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY10 2A1
12668BUH4
6461576.220000
PA
USD
5997923.230000
0.1874386
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
4.27415
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A9
12667G4Q3
966261.640000
PA
USD
778606.190000
0.0243319
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.492
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J1 1A3
12668BJZ7
1436519.540000
PA
USD
1297638.990000
0.0405520
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
621787.570000
PA
USD
428097.700000
0.0133783
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
1400403.670000
PA
USD
1201553.630000
0.0375493
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.5
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-39CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 39CB 1A20
02148JAU1
1094627.560000
PA
USD
1103451.900000
0.0344835
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 1A
021455AA8
15358920.690000
PA
USD
13663583.060000
0.4269950
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.972
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 2A3
021455AE0
7667976.570000
PA
USD
6703730.050000
0.2094955
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
2.052
N
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERT 2007-BC2
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A
12669QAA7
17842046.310000
PA
USD
17291001.850000
0.5403540
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.992
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERT 2007-SD1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SD1 A1 144A
12669TAA1
1496490.050000
PA
USD
1140635.340000
0.0356455
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Floating
2.242
N
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERT 2007-SEA1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SEA1 1A1 144A
23248AAA9
2598802.570000
PA
USD
2184431.560000
0.0682648
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
2.342
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTS 2006-20
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 2A4
12667HAE1
35000000.000000
PA
USD
29230239.500000
0.9134621
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
2.022
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTS 2006-22
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A
12666BAA3
57054667.340000
PA
USD
51938763.600000
1.6231168
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
1.932
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
7994427.790000
0.2498306
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.182
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTS 2006-BC5
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A
12666SAA6
18288355.550000
PA
USD
16770206.240000
0.5240788
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
1.932
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2004-7
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2004 7 MV5
126673EG3
13611413.030000
PA
USD
13663652.270000
0.4269972
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
3.517
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-12
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A
12667AAA4
27956037.160000
PA
USD
26354877.500000
0.8236054
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.922
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-15
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 15 A3
12666UAC7
334044.170000
PA
USD
327528.300000
0.0102355
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Variable
4.59999
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-17
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 17 2A2
12666VAC5
9497784.550000
PA
USD
9361744.930000
0.2925600
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Floating
1.942
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-23
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 2A4
12666CAE3
10900000.000000
PA
USD
10478505.720000
0.3274595
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
2.012
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-24
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A
23243HAA9
39927395.790000
PA
USD
36643183.820000
1.1451210
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
1.932
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-24
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 2A4
23243HAE1
19000000.010000
PA
USD
16765252.310000
0.5239240
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
2.012
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-IM1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 IM1 A2
126670SP4
586739.040000
PA
USD
553145.350000
0.0172861
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.032
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 2A3
23245CAD2
8231508.830000
PA
USD
7519484.960000
0.2349883
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
1.932
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-2
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 2 2A4
12668NAE7
26000000.000000
PA
USD
23543065.000000
0.7357346
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
2.012
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-4
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A3
12668WAC1
17286865.540000
PA
USD
16194702.120000
0.5060939
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Floating
4.7383
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-7
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A4
12669VAE8
59229000.000000
PA
USD
51644140.180000
1.6139097
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Floating
2.082
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-ABC1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 ABC1 A2
23242NAB5
5351115.760000
PA
USD
5188724.380000
0.1621507
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.952
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
11469313.600000
0.3584228
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.282
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTS 2005-17
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 17 MV3
126670RF7
32299999.990000
PA
USD
26784726.540000
0.8370384
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.312
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 1A
126670KJ6
25448316.550000
PA
USD
24183428.330000
0.7557463
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.032
N
N
N
N
N
N
FORBES ENERGY SERVICES LTD
5493000KNGZL65YWY755
FORBES ENERGY SERVICES LTD COMMON STOCK
345143200
152625.000000
NS
USD
38156.250000
0.0011924
Long
EC
CORP
US
Y
1
N
N
N
COUNTRYWIDE HOME LOANS 2006-HYB3
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 4A1B
1266944K1
2061067.780000
PA
USD
1729245.760000
0.0540399
Long
ABS-MBS
CORP
US
N
2
2036-05-20
Floating
3.98731
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2006-HYB5
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 3A1A
170256AK7
4267064.330000
PA
USD
3730172.480000
0.1165701
Long
ABS-MBS
CORP
US
N
2
2036-09-20
Variable
4.10732
N
N
N
N
N
N
CRECERA AMERICAS LLC 2017-1
N/A
CRECERA AMERICAS LLC CALLC 2017 1 A 144A
22534CAA0
49923000.000000
PA
USD
49976891.380000
1.5618072
Long
ABS-O
CORP
US
N
2
2020-08-31
Floating
5.16375
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR
225401AJ7
1600000.000000
PA
USD
1752104.000000
0.0547543
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
560000.000000
PA
USD
625578.800000
0.0195497
Long
DBT
CORP
CH
N
2
2025-09-12
Floating
7.25
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
17223332.320000
PA
USD
16666260.860000
0.5208304
Long
ABS-MBS
CORP
US
N
2
2036-10-26
Floating
3.69304
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
6101679.740000
PA
USD
5318195.990000
0.1661967
Long
ABS-MBS
CORP
US
N
2
2036-05-27
Variable
3.58741
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
7346792.530000
PA
USD
6068455.770000
0.1896428
Long
ABS-MBS
CORP
US
N
2
2036-05-26
Variable
3.74095
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
4785426.910000
PA
USD
3946560.710000
0.1233323
Long
ABS-MBS
CORP
US
N
2
2037-12-29
Floating
3.52433
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
23834275.990000
PA
USD
17822716.250000
0.5569703
Long
ABS-MBS
CORP
US
N
2
2047-09-26
Variable
3.86245
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-12R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2015 12R 2A2 144A
12651DAG3
10750000.000000
PA
USD
9789819.680000
0.3059376
Long
ABS-MBS
CORP
US
N
2
2037-11-30
Floating
2.208
N
N
N
N
N
N
CREDIT SUISSE MRTG CAPITAL CERT 2006-4
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 3A1
12637HAQ1
2985656.470000
PA
USD
1896592.590000
0.0592696
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
165748.510000
PA
USD
136396.980000
0.0042625
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
1556529.310000
PA
USD
1280891.780000
0.0400286
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
184312.850000
PA
USD
151673.860000
0.0047399
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
343971.490000
PA
USD
283148.220000
0.0088485
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6
N
N
N
N
N
N
CREDIT-BASED ASSET SERVC SEC 2005-CB4
N/A
CREDIT BASED ASSET SERVICING A CBASS 2005 CB4 M5
12489WMH4
3000000.000000
PA
USD
2856939.000000
0.0892810
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.422
N
N
N
N
N
N
CRH EUROPE (CLAY HOLDCO BV)
N/A
CLAY HOLDCO BV EUR TERM LOAN A
965PCGII2
28900000.000000
PA
30380879.600000
0.9494203
Long
LON
CORP
NL
N
3
2025-11-30
Floating
4.5
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
326228.340000
PA
USD
289337.530000
0.0090420
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
6
Y
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2005-C5
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 C5 G 144A
225470BA0
3292635.340000
PA
USD
3187456.710000
0.0996099
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Variable
5.1
N
N
N
N
N
N
CSMC SERIES 2009-14R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2009 14R 1A9 144A
12639GAJ7
21125167.880000
PA
USD
18008432.440000
0.5627741
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
4556095.220000
PA
USD
4651928.580000
0.1453755
Long
ABS-MBS
CORP
US
N
2
2037-04-28
Floating
4.19638
N
N
N
N
N
N
CSMC SERIES 2014-9R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2014 9R 3A2 144A
12648UAL0
8778271.560000
PA
USD
5589057.030000
0.1746613
Long
ABS-MBS
CORP
US
N
2
2037-11-27
Floating
3.4195
N
N
N
N
N
N
CSMC SERIES 2015-8R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2015 8R 3A2 144A
12650NAQ0
10763415.900000
PA
USD
8926975.870000
0.2789732
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Floating
3.563
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO JR SUBORDINA 12/49 VAR
369604BQ5
1461000.000000
NS
USD
1433211.780000
0.0447887
Long
EP
CORP
US
N
2
N
N
N
DBUBS MORTGAGE TRUST 2011-LC1A
N/A
DBUBS MORTGAGE TRUST DBUBS 2011 LC1A H 144A
233050AM5
19202872.000000
PA
USD
17288458.960000
0.5402745
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 A 144A
ACI06HWY2
48431232.570000
PA
64145586.040000
2.0045872
Long
ABS-MBS
CORP
GB
N
2
2025-07-12
Fixed
5.93
N
N
N
N
N
N
DEBUSSY DTC 1A
N/A
DEBUSSY DTC DBSSY 1A B 144A
ACI06HWX4
10000000.000000
PA
13220830.660000
0.4131587
Long
ABS-MBS
CORP
GB
N
2
2025-07-12
Fixed
8.25
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
587084.350000
PA
USD
567070.120000
0.0177213
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 2007-AB1
N/A
DEUTSCHE ALT A SECURITIES INC DBALT 2007 AB1 A1
25151WAA1
6997559.330000
PA
USD
4485557.290000
0.1401763
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
2.092
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY SR UNSECURED 11/25 VAR
251526CB3
7050000.000000
PA
USD
7205034.860000
0.2251616
Long
DBT
CORP
DE
N
2
2025-11-26
Floating
3.961
N
N
N
N
N
N
DIAMOND RESORTS INTERNATIONAL INC
5493008MIJR7VMQP7U77
DIAMOND RESORTS INTL INC SR SECURED 144A 09/23 7.75
23422RAB8
550000.000000
PA
USD
567077.500000
0.0177215
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
7.75
N
N
N
N
N
N
DIAMOND RESORTS INTERNATIONAL INC
5493008MIJR7VMQP7U77
DIAMOND RESORTS INTL INC SR UNSECURED 144A 09/24 10.75
23422RAA0
16800000.000000
PA
USD
17646972.000000
0.5514782
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
10.75
N
N
N
N
N
N
DIAMOND RESORTS INTERNATIONAL INC
5493008MIJR7VMQP7U77
DIAMOND RESORTS INTL INC TERM LOAN
25272YAE3
9016911.340000
PA
USD
8830937.540000
0.2759720
Long
LON
CORP
US
N
2
2023-09-02
Floating
5.5494
N
N
N
N
N
N
DISH DBS CORPORATION
N/A
DISH DBS CORP COMPANY GUAR 07/22 5.875
25470XAJ4
54000.000000
PA
USD
57336.120000
0.0017918
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
5.875
N
N
N
N
N
N
DRIVETIME AUTOMOTIVE GROUP INC / BRIDGECREST ACCEPTANCE CORP
N/A
DRIVETIME AUTO GP + BRID SR SECURED 144A 06/21 8
26209NAK9
16047000.000000
PA
USD
16337851.880000
0.5105675
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
8
N
N
N
N
N
N
DTEK FINANCE PLC
549300VBCR9V58ZYQ356
DTEK FINANCE PLC SR SECURED 12/24 10.75
ACI0RPV63
5249116.000000
PA
USD
5387167.750000
0.1683522
Long
DBT
CORP
GB
N
2
2024-12-31
Fixed
10.75
N
N
Y
N
N
N
DTEK HOLDINGS LIMITED
N/A
DTEK HOLDINGS LTD EUR TERM LOAN
935YHVII2
242818.730000
PA
243205.530000
0.0076003
Long
LON
CORP
CY
N
3
2026-08-01
Floating
5
N
N
N
N
N
N
DTEK HOLDINGS LIMITED
N/A
DTEK HOLDINGS LTD EUR TERM LOAN B
935YHXII8
595069.470000
PA
596017.380000
0.0186259
Long
LON
CORP
CY
N
3
2026-08-01
Floating
5
N
N
N
N
N
N
DTEK TRADING SA
N/A
DTEK TRADING SA 2019 TERM LOAN
935YHYII6
6450000.000000
PA
USD
5805000.000000
0.1814097
Long
LON
CORP
CH
N
2
2026-08-01
Floating
5
N
N
N
N
N
N
DUBAI WORLD CORP
N/A
DUBAI WORLD TL B1
922KUQII3
66605539.970000
PA
USD
62192922.950000
1.9435653
Long
LON
CORP
AE
N
2
2022-09-30
Fixed
2
N
N
Y
N
N
N
ECAF I LTD 2015-1A
N/A
ECAF LTD ECAF 2015 1A A2 144A
26827EAC9
5832532.900000
PA
USD
5863565.470000
0.1832399
Long
ABS-O
CORP
KY
N
2
2040-06-15
Fixed
4.947
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL SR UNSECURED 06/27 5.75
281020AN7
249000.000000
PA
USD
279698.690000
0.0087407
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.75
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL SR UNSECURED 09/22 2.4
281020AL1
846000.000000
PA
USD
843823.410000
0.0263700
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
2.4
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL SR UNSECURED 11/22 3.125
281020AP2
478000.000000
PA
USD
485561.990000
0.0151741
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
3.125
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL SR UNSECURED 11/24 3.55
281020AQ0
482000.000000
PA
USD
493839.970000
0.0154328
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.55
N
N
N
N
N
N
EI GROUP PLC
2138004TQBE43SK9FT76
EI GROUP PLC 1ST MORTGAGE 05/25 6.875
060026II4
2210000.000000
PA
2975426.380000
0.0929838
Long
DBT
CORP
GB
N
2
2025-05-09
Fixed
6.875
N
N
N
N
N
N
ELDORADO RESORTS INC
5299000BKFWWVND5L441
ELDORADO RESORTS INC COMPANY GUAR 09/26 6
28470RAG7
11145000.000000
PA
USD
12294316.980000
0.3842046
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
6
N
N
N
N
N
N
EMERALD BAY SA
2221008SU8XG8LZVS860
EMERALD BAY SA PASS THRU CE 144A 10/20 0.0000
ACI0YB9V6
1574000.000000
PA
1728036.050000
0.0540021
Long
DBT
CORP
LU
N
2
2020-10-08
None
0
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
413488.680000
0.0129218
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.482
N
N
N
N
N
N
ENSCO JERSEY FINANCE LIMITED
N/A
ENSCO JERSEY FINANCE LTD COMPANY GUAR 01/24 3
29359WAB1
48000.000000
PA
USD
34530.000000
0.0010791
Long
DBT
CORP
JE
N
2
2024-01-31
Fixed
3
N
N
N
Y
N
VALARIS PLC
VALARIS PLC
USD
XXXX
N
N
N
ENVISION HEALTHCARE CORPORATION
549300OL60X0LPKY8N60
ENTERPRISE MERGER SUB INC INITIAL TERM LOANS
29373UAC5
70472858.400000
PA
USD
60371772.190000
1.8866533
Long
LON
CORP
US
N
2
2025-10-10
Floating
5.5494
N
N
N
N
N
N
ENVISION HEALTHCARE CORPORATION
549300OL60X0LPKY8N60
ENVISION HEALTHCARE CORP COMPANY GUAR 144A 10/26 8.75
29373TAA2
12973000.000000
PA
USD
8080200.620000
0.2525110
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
8.75
N
N
N
N
N
N
ESH HOSPITALITY INC
54930042FMK7X7SQ2896
ESH HOSPITALITY INC COMPANY GUAR 144A 10/27 4.625
26907YAB0
534000.000000
PA
USD
541662.900000
0.0169273
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.625
N
N
N
N
N
N
EUROMAX-V
N/A
EUROMAX EUMAX V A2 REGS
G3233MAD9
6000000.000000
PA
5996529.100000
0.1873951
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
6350926.250000
0.1984702
Long
ABS-MBS
CORP
GB
N
2
2045-03-13
Floating
0.447
N
N
N
N
N
N
EUROSAIL PLC 2007-3X
N/A
EUROSAIL PLC ESAIL 2007 3X B1C REGS
ACI00RTY0
1593682.800000
PA
1881531.540000
0.0587990
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
1.07863
N
N
N
N
N
N
EUROSAIL PLC 2007-6NCX
N/A
EUROSAIL PLC ESAIL 2007 6NCX B1A REGS
G329A0AA2
14141536.160000
PA
17849541.000000
0.5578086
Long
ABS-MBS
CORP
GB
N
2
2045-09-13
Floating
2.39963
N
N
N
N
N
N
EUROSAIL PLC 2007-6NCX
N/A
EUROSAIL PLC ESAIL 2007 6NCX C1A REGS
G329A0AF1
10087973.640000
PA
12760159.870000
0.3987625
Long
ABS-MBS
CORP
GB
N
2
2045-09-13
Floating
3.04963
N
N
N
N
N
N
EUROSAIL PLC 2007-6NCX
N/A
EUROSAIL PLC ESAIL 2007 6NCX D1A REGS
G329A0AE4
8382721.400000
PA
11999200.940000
0.3749821
Long
ABS-MBS
CORP
GB
N
2
2045-09-13
Floating
4.64963
N
N
N
N
N
N
EUROSAIL-UK 2007-4BL PLC 4X
N/A
EUROSAIL PLC ESAIL 2007 4X B1A REGS
G3299TAB9
14958251.750000
PA
18660130.020000
0.5831400
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
1.77863
N
N
N
N
N
N
EUROSAIL-UK 2007-4BL PLC 4X
N/A
EUROSAIL PLC ESAIL 2007 4X C1A REGS
G3299TAD5
15434066.100000
PA
18642621.070000
0.5825928
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
2.02863
N
N
N
N
N
N
EUROSAIL-UK 2007-4BL PLC 4X
N/A
EUROSAIL PLC ESAIL 2007 4X D1A REGS
G3299TAJ2
9500213.500000
PA
11553014.410000
0.3610385
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
2.52863
N
N
N
N
N
N
EUROSAIL-UK 2007-4BL PLC 4X
N/A
EUROSAIL PLC ESAIL 2007 4X E1C REGS
G3299TAF0
3369901.920000
PA
4261308.600000
0.1331684
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
4.27863
N
N
N
N
N
N
EUROSAIL-UK 2007-4BL PLC 4X
N/A
EUROSAIL PLC ESAIL 2007 4X RESD REGS
B2428WII0
4045.000000
PA
5789786.080000
0.1809342
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 07/23 10
30162RAA9
618000.000000
PA
USD
248745.000000
0.0077734
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
10
N
N
N
N
N
N
EXPORT CREDIT BANK OF TURKEY (TURK EXIMBANK)
789000JVRVYLAXGDWR11
EXPORT CREDIT BANK OF TU SR UNSECURED 144A 01/24 8.25
90015LAF4
800000.000000
PA
USD
871960.000000
0.0272493
Long
DBT
CORP
TR
N
2
2024-01-24
Fixed
8.25
N
N
N
N
N
N
FAB UK LTD 2004-1
N/A
FAB FAB 2004 1 S2 REGS
ACI0MWFN4
11710721.760000
PA
5284719.130000
0.1651506
Long
ABS-CBDO
CORP
JE
N
2
2045-12-06
Fixed
0
N
N
N
N
N
N
FAIR ISAAC CORPORATION
RI6HET5SJUEY30V1PS26
FAIR ISAAC CORP SR UNSECURED 144A 06/28 4
303250AF1
46000.000000
PA
USD
46460.000000
0.0014519
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4
N
N
N
N
N
N
FANNIE MAE 2006-121
N/A
FANNIE MAE FNR 2006 121 SD
31396LR85
2521567.830000
PA
USD
514276.780000
0.0160715
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
4.848
N
N
N
N
N
N
FANNIE MAE CONNECTICULT AVENUE SECURITIES 2017-C01
N/A
FANNIE MAE CAS CAS 2017 C01 1B1
30711XEQ3
6000000.000000
PA
USD
7108779.600000
0.2221535
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Floating
7.542
N
N
N
N
N
N
FANNIE MAE CONNECTICULT AVENUE SECURITIES 2017-C01
N/A
FANNIE MAE CAS CAS 2017 C01 1M2
30711XEP5
4480000.000000
PA
USD
4744857.150000
0.1482796
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Fixed
5.342
N
N
N
N
N
N
FANNIE MAE REMICS 2008-73
N/A
FANNIE MAE FNR 2008 73 SC
31397L6S3
682299.120000
PA
USD
86596.520000
0.0027062
Long
ABS-MBS
USGSE
US
N
2
2038-08-25
Floating
4.208
N
N
N
N
N
N
FANNIE MAE REMICS 2012-85
N/A
FANNIE MAE FNR 2012 85 PI
3136A7E73
1841719.880000
PA
USD
191944.410000
0.0059984
Long
ABS-MBS
USGSE
US
N
2
2032-08-25
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE REMICS 2013-5
N/A
FANNIE MAE FNR 2013 5 GS
3136ABG72
2794919.280000
PA
USD
3010622.770000
0.0940837
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Floating
4.91867
N
N
N
N
N
N
FANNIE MAE REMICS 2013-53
N/A
FANNIE MAE FNR 2013 53 MI
3136AEFR3
735217.060000
PA
USD
35871.020000
0.0011210
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
3688563.740000
PA
USD
424493.930000
0.0132657
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Floating
4.358
N
N
N
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC CLASS A COMMON STOCK
45174J509
165846.000000
NS
USD
2802797.400000
0.0875891
Long
EC
CORP
US
N
1
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC COMMON STOCK UNIT
45174J608
2228.000000
NS
USD
33887.880000
0.0010590
Long
EC
CORP
US
N
2
N
N
N
FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-2
N/A
FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 2 2A2
31659EAC2
5538219.360000
PA
USD
3412569.910000
0.1066448
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
2.048
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
5138374.450000
0.1605772
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.172
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
5828150.280000
PA
USD
4788642.560000
0.1496479
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.737
Y
N
N
N
N
N
FIRST FRANKLIN MTG LOAN 2006-FF5
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A4
32027EAF8
6825000.000000
PA
USD
6423041.630000
0.2007238
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.032
N
N
N
N
N
N
FIRST FRANKLIN MTG LOAN 2006-FF5
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A5
32027EAG6
8040000.000000
PA
USD
7380330.060000
0.2306396
Long
ABS-MBS
CORP
US
N
2
2036-04-25
None
0
N
N
N
N
N
N
FIRST FRANKLIN MTG LOAN ASSET 2005-FF6
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF6 M4
32027NSM4
13499442.220000
PA
USD
12137576.640000
0.3793064
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.767
Y
N
N
N
N
N
FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-FA3
N/A
FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 FA3 2APO
32051GKL8
3241.690000
PA
USD
932.500000
0.0000291
Long
ABS-MBS
CORP
US
N
2
2020-05-25
None
0
N
N
N
N
N
N
FIRST HORIZON MTGE PT TR 2007-AR1
N/A
FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR1 1A1
32053EAA6
4824055.540000
PA
USD
3746830.430000
0.1170906
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
4.82304
Y
N
N
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS L COMPANY GUAR 144A 03/24 6.5
335934AP0
8692000.000000
PA
USD
8731852.820000
0.2728755
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
9630000.000000
PA
USD
9768190.500000
0.3052617
Long
DBT
CORP
CA
N
2
2026-03-01
Fixed
6.875
N
N
N
N
N
N
FLEET US BIDCO INC
N/A
FLEET US BIDCO INC TERM LOAN B
G4001CAB3
57855.000000
PA
USD
58361.230000
0.0018238
Long
LON
CORP
US
N
3
2026-10-07
Floating
5.235
N
N
N
N
N
N
NATIONWIDE BUILDING SOCIETY
549300XFX12G42QIKN82
NATIONWIDE BLDG SOCIETY JR SUBORDINA REGS 06/49 VAR
ACI07BWB4
285475.000000
NS
62771261.480000
1.9616388
Long
EP
CORP
GB
N
2
N
N
N
FONDO DE TITULIZACION DE ACTIVOS UCI 16
N/A
FTA UCL 16 ABS UCI 16 A2 REGS
B1GGX8II3
2861806.640000
PA
3098216.810000
0.0968211
Long
ABS-MBS
CORP
ES
N
2
2049-06-16
Floating
0
N
N
N
N
N
N
FORBES ENERGY SERVICES LLC
N/A
FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN
962XCSII2
2316834.380000
PA
USD
2300102.200000
0.0718795
Long
LON
CORP
US
N
2
2021-04-13
Fixed
5
N
N
Y
N
N
N
FORTRESS TRANSPORTATION AND INFRASTRUCTURE INVESTORS LLC
529900E7PUVK6BC8PE80
FORTRESS TRANS + INFRAST SR UNSECURED 144A 10/25 6.5
34960PAB7
2021000.000000
PA
USD
2139056.720000
0.0668468
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC 3084
N/A
FREDDIE MAC FHR 3084 SI
31396GDY4
872696.690000
PA
USD
32468.510000
0.0010147
Long
ABS-MBS
USGSE
US
N
2
2034-12-15
Floating
4.76025
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
169412287.980000
PA
USD
13529028.140000
0.4227901
Long
ABS-MBS
USGSE
US
N
2
2055-11-25
Variable
1.93877
N
N
N
N
N
N
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071
N/A
FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3
3137FCLG7
51924000.000000
PA
USD
6997569.010000
0.2186781
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Variable
2.01066
N
N
N
N
N
N
FREDDIE MAC REMICS 4020
N/A
FREDDIE MAC FHR 4020 PI
3137AMLU9
552587.530000
PA
USD
49428.400000
0.0015447
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
1243518.710000
PA
USD
188346.830000
0.0058859
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Floating
4.46025
N
N
N
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
2046258.760000
0.0639468
Long
EP
CORP
KY
N
2
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-HQ1
N/A
FREDDIE MAC STACR STACR 2015 HQ1 B
3137G0EM7
7065618.250000
PA
USD
9263660.020000
0.2894948
Long
ABS-MBS
USGSE
US
N
2
2025-03-25
Floating
12.542
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
991412.660000
PA
USD
1367227.060000
0.0427266
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Floating
12.292
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
4779613.900000
PA
USD
5994807.310000
0.1873412
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Floating
10.792
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
5500000.000000
PA
USD
6363966.400000
0.1988777
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
6.942
N
N
N
N
N
N
FREMF 2013-KF02 MORTGAGE TRUST
N/A
FREMF MORTGAGE TRUST FREMF 2013 KF02 D 144A
30291QAL1
4173370.630000
PA
USD
4131143.420000
0.1291007
Long
ABS-MBS
USGSE
US
N
2
2045-12-25
Floating
11.4471
N
N
N
N
N
N
FREMF MORTGAGE TRUST 2014-K715
N/A
FREMF MORTGAGE TRUST FREMF 2014 K715 D 144A
30291XAJ1
34903000.000000
PA
USD
32366672.290000
1.0114775
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
None
0
N
N
N
N
N
N
FREMF MORTGAGE TRUST 2014-K715
N/A
FREMF MORTGAGE TRUST FREMF 2014 K715 X2A 144A
30291XAA0
346061698.220000
PA
USD
208225.320000
0.0065072
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
Fixed
0.1
N
N
N
N
N
N
FREMF MORTGAGE TRUST 2014-K715
N/A
FREMF MORTGAGE TRUST FREMF 2014 K715 X2B 144A
30291XAC6
73311000.000000
PA
USD
64682.300000
0.0020214
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
Fixed
0.1
N
N
N
N
N
N
FREMF MORTGAGE TRUST 2017-K71
N/A
FREMF MORTGAGE TRUST FREMF 2017 K71 D 144A
35708WAW0
55633030.000000
PA
USD
29562924.820000
0.9238587
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Fixed
0
N
N
N
N
N
N
FREMF MORTGAGE TRUST 2017-K71
N/A
FREMF MORTGAGE TRUST FREMF 2017 K71 X2A 144A
35708WAN0
598998184.340000
PA
USD
3079449.670000
0.0962346
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Fixed
0.1
N
N
N
N
N
N
FREMF MORTGAGE TRUST 2017-K71
N/A
FREMF MORTGAGE TRUST FREMF 2017 K71 X2B 144A
35708WAQ3
139082721.000000
PA
USD
756178.850000
0.0236310
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Fixed
0.1
N
N
N
N
N
N
FREMF MORTGAGE TRUST 2018-KL3L
N/A
FREMF MORTGAGE TRUST FREMF 2018 KL3L BLNZ 144A
30307VAL2
5400000.000000
PA
USD
5159692.440000
0.1612434
Long
ABS-MBS
USGSE
US
N
2
2025-04-25
Variable
4.11833
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2006-3
N/A
FREMONT HOME LOAN TRUST FHLT 2006 3 2A4
35729MAE7
1439642.990000
PA
USD
732579.040000
0.0228935
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
2.032
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2006-E
N/A
FREMONT HOME LOAN TRUST FHLT 2006 E 2A3
35729NAD7
3536236.490000
PA
USD
2026558.080000
0.0633311
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.942
N
N
N
N
N
N
FRESH MARKET INC/THE
529900QM5ZSBEBR6CS58
FRESH MARKET INC SR SECURED 144A 05/23 9.75
35804HAA4
21546000.000000
PA
USD
10988460.000000
0.3433958
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
9.75
N
N
N
N
N
N
FRONTIER COMMUNICATIONS CORPORATION
549300ZCZ76HYCS0H445
FRONTIER COMMUNICATIONS CORP TERM LOAN B
35906EAJ9
6060150.350000
PA
USD
6104843.960000
0.1907800
Long
LON
CORP
US
N
2
2024-06-15
Floating
5.55
N
N
N
N
N
N
FRONTIER COMMUNICATIONS CORPORATION
549300ZCZ76HYCS0H445
FRONTIER COMMUNICATIONS SR SECURED 144A 04/27 8
35906ABC1
570000.000000
PA
USD
596704.500000
0.0186474
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
8
N
N
N
N
N
N
FRONTIER FINANCE PLC
213800XVLIFOCEEVIS52
FRONTIER FINANCE PLC COMPANY GUAR 144A 03/22 8
ACI0T8JS5
24200000.000000
PA
32966327.350000
1.0302171
Long
DBT
CORP
GB
N
2
2022-03-23
Fixed
8
N
N
N
N
N
N
FULL HOUSE RESORTS INC
5493009DKIWW0H901Y82
FULL HOUSE RESORTS INC 02/24 1
359678AB5
147000.000000
PA
USD
144811.170000
0.0045254
Long
DBT
CORP
US
N
2
2024-02-02
Floating
9.7375
N
N
N
N
N
N
FULL HOUSE RESORTS INC
5493009DKIWW0H901Y82
FULL HSE RESORTS INC 01/24 1
359678AA7
1763000.000000
PA
USD
1736748.930000
0.0542744
Long
DBT
CORP
US
N
2
2024-01-31
Floating
9.13175
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
421481.400000
0.0131715
Long
DBT
CORP
LU
N
2
2037-08-16
Fixed
7.288
N
N
N
N
N
N
GC PASTOR HIPOTECARIO FTA 5
N/A
PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS
997AAZII7
22488352.700000
PA
22556871.870000
0.7049155
Long
ABS-MBS
CORP
ES
N
2
2046-06-21
Floating
0
N
N
N
N
N
N
GE CAPITAL COMMERCIAL MTGE CORP 2007-C1
N/A
GE COMMERCIAL MORTGAGE CORPORA GECMC 2007 C1 AM
36159XAH3
5349606.720000
PA
USD
4680905.880000
0.1462811
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Fixed
5.606
N
N
N
N
N
N
GE CAPITAL INTERNATIONAL FUNDING COMPANY
549300G6UZOB126GBY72
GE CAPITAL INTL FUNDING COMPANY GUAR 11/35 4.418
36164QNA2
510000.000000
PA
USD
543942.290000
0.0169985
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.418
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO SR UNSECURED 01/38 5.875
36962G3P7
22000.000000
PA
USD
26656.020000
0.0008330
Long
DBT
CORP
US
N
2
2038-01-14
Fixed
5.875
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO SR UNSECURED 01/39 6.875
36962G4B7
204000.000000
PA
USD
271810.960000
0.0084943
Long
DBT
CORP
US
N
2
2039-01-10
Fixed
6.875
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO SR UNSECURED 08/37 6.15
36962G3A0
26000.000000
PA
USD
32232.710000
0.0010073
Long
DBT
CORP
US
N
2
2037-08-07
Fixed
6.15
N
N
N
N
N
N
GLACIER FUNDING CDO III LTD 2005-3A
N/A
GLACIER FUNDING CDO GLCR 2005 3A A1 144A
37638XAA7
23883755.200000
PA
USD
5747577.920000
0.1796152
Long
ABS-CBDO
CORP
KY
N
2
2035-08-04
Floating
2.17225
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-140
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2011 140 PS
38377YUL2
1915597.480000
PA
USD
150761.540000
0.0047114
Long
ABS-MBS
USGSE
US
N
2
2039-08-16
Floating
4.96025
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 DS
38375GSY8
2329939.890000
PA
USD
305786.200000
0.0095560
Long
ABS-MBS
USGSE
US
N
2
2040-12-20
Floating
4.48537
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 SD
38375GTB7
2567108.700000
PA
USD
490397.860000
0.0153252
Long
ABS-MBS
USGSE
US
N
2
2042-08-20
Floating
4.35537
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-96
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 KI
38378HFV3
927370.210000
PA
USD
122901.220000
0.0038407
Long
ABS-MBS
USGSE
US
N
2
2042-06-20
Fixed
3.5
N
N
N
N
N
N
GREENPOINT MANUFACTURED HOUSING 1999-5
N/A
GREENPOINT MANUFACTURED HOUSIN GPMH 1999 5 M2
395383AG7
8222811.530000
PA
USD
6997684.970000
0.2186818
Long
ABS-O
CORP
US
N
2
2029-12-15
Fixed
9.23
Y
N
N
N
N
N
GREENWICH CAP COMMERCIAL FUND 2004-GG1
N/A
GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2004 GG1 G 144A
396789FZ7
2850000.000000
PA
USD
2859757.830000
0.0893691
Long
ABS-MBS
CORP
US
N
2
2036-06-10
Variable
6.3942
N
N
N
N
N
N
GREENWICH CAPITAL COMMERCIAL F-2006-GG7
N/A
GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2006 GG7 AJ
20173MAH3
10700000.000000
PA
USD
9913166.940000
0.3097923
Long
ABS-MBS
CORP
US
N
2
2038-07-10
Variable
5.61931
N
N
N
N
N
N
GRIFONAS FINANCE NO.1 PLC GRIF-1
N/A
GRIFONAS FINANCE PLC GRIF 1 A REGS
B1DFQWII3
8290132.290000
PA
8605413.490000
0.2689242
Long
ABS-MBS
CORP
GB
N
2
2039-08-28
Floating
0
N
N
N
N
N
N
GROWTHPOINT PROPERTIES INTERNATIONAL (PTY) LTD
378900C761245FC57265
GROWTHPOINT PROPERTIES L COMPANY GUAR 144A 05/23 5.872
40009VAA6
600000.000000
PA
USD
645050.400000
0.0201582
Long
DBT
CORP
ZA
N
2
2023-05-02
Fixed
5.872
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
21097000.000000
PA
USD
20752066.160000
0.6485142
Long
ABS-MBS
CORP
US
N
2
2032-10-10
Variable
4.5913
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
4060000.000000
PA
USD
3891895.700000
0.1216240
Long
ABS-MBS
CORP
US
N
2
2032-10-10
Variable
4.5913
N
N
N
N
N
N
GSAA TRUST 2005-7
N/A
GSAA HOME EQUITY TRUST GSAA 2005 7 AF4
362341AQ2
4717020.570000
PA
USD
4852496.230000
0.1516434
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
5.058
N
N
N
N
N
N
GSAMP TRUST 2003-AHL
N/A
GSAMP TRUST GSAMP 2003 AHL M2
36228FXL5
170924.830000
PA
USD
174539.210000
0.0054545
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
4.342
N
N
N
N
N
N
GSAMP TRUST 2004-WF
N/A
GSAMP TRUST GSAMP 2004 WF M2
36242DKL6
305085.230000
PA
USD
296444.580000
0.0092641
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
3.442
N
N
N
N
N
N
GSAMP TRUST 2006-FM1
N/A
GSAMP TRUST GSAMP 2006 FM1 A2C
362334PJ7
617307.980000
PA
USD
456529.990000
0.0142668
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
1.952
N
N
N
N
N
N
GSAMP TRUST 2006-FM1
N/A
GSAMP TRUST GSAMP 2006 FM1 A2D
362334PK4
22010952.230000
PA
USD
16623131.150000
0.5194826
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.062
N
N
N
N
N
N
GSAMP TRUST 2006-FM3
N/A
GSAMP TRUST GSAMP 2006 FM3 A2C
36245TAD7
4422847.960000
PA
USD
2746991.950000
0.0858451
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.992
N
N
N
N
N
N
GSAMP TRUST 2007-FM1
N/A
GSAMP TRUST GSAMP 2007 FM1 A2D
3622MAAE1
4787759.740000
PA
USD
2845124.790000
0.0889118
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
2.042
N
N
N
N
N
N
GSAMP TRUST 2007-FM2
N/A
GSAMP TRUST GSAMP 2007 FM2 A2A
3622MHAB2
3575908.730000
PA
USD
2391117.190000
0.0747238
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.852
N
N
N
N
N
N
GSAMP TRUST 2007-FM2
N/A
GSAMP TRUST GSAMP 2007 FM2 A2B
3622MHAC0
1066794.400000
PA
USD
716510.540000
0.0223914
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.882
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
2215295.070000
PA
USD
2094075.670000
0.0654411
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.972
Y
N
N
N
N
N
HALCYON LOAN ADVISORS EUROPEAN FUNDING 2014 BV 1A
N/A
HALCYON LOAN ADVISORS EUROPEAN HLAE 2014 1A SUB 144A
ACI0QFG97
1400000.000000
PA
1021603.890000
0.0319257
Long
ABS-CBDO
CORP
NL
N
2
2030-04-15
Fixed
0
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2005-7
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1
41161PPN7
1194205.360000
PA
USD
779425.000000
0.0243575
Long
ABS-MBS
CORP
US
N
2
2045-06-19
Floating
2.977
Y
N
N
N
N
N
HILLCREST CDO I LTD 2004-1A
N/A
HILLCREST CDO LTD HILLC 2004 1A A1A 144A
43147XAA9
42115994.560000
PA
USD
15827190.760000
0.4946090
Long
ABS-CBDO
CORP
KY
N
2
2039-12-10
Floating
2.47413
N
N
N
N
N
N
HIPOCAT-HIP0-11
N/A
HIPOCAT HIPO HIPO 11 A3 REGS
ACI062FW8
410505.600000
PA
456218.590000
0.0142571
Long
ABS-MBS
CORP
ES
N
2
2050-01-15
Floating
0
N
N
N
N
N
N
HOME EQUITY ASSET TRUST 2005-1
N/A
HOME EQUITY ASSET TRUST HEAT 2005 1 M5
437084HU3
3800000.000000
PA
USD
3814560.840000
0.1192073
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.887
N
N
N
N
N
N
HOME EQUITY LOAN TRUST 2007-FRE1
N/A
HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV4
43710XAE8
13500000.000000
PA
USD
11670741.900000
0.3647175
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
2.132
N
N
N
N
N
N
HOME EQUITY PASS-THRU CERTS 2005-2
N/A
HOME EQUITY ASSET TRUST HEAT 2005 2 M6
437084JV9
4000000.000000
PA
USD
3861892.000000
0.1206864
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.992
N
N
N
N
N
N
HOMEBANC MORTGAGE TRUST 2006-1
N/A
HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2
43739ECR6
5155332.990000
PA
USD
4838215.570000
0.1511971
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
4.12844
Y
N
N
N
N
N
HOUT BAY 2006-1
N/A
HOUT BAY HOUT 2006 1A A1 144A
442451AA8
81189408.520000
PA
USD
19363673.930000
0.6051262
Long
ABS-CBDO
CORP
KY
N
2
2041-07-05
Floating
1.95363
N
N
N
N
N
N
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
HSBC BANK 05/23 0
ACI16FNH1
48900000.000000
PA
USD
51550494.430000
1.6109832
Long
DBT
CORP
GB
N
2
2023-05-23
Floating
6.15263
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR
404280BP3
2870000.000000
PA
USD
3159583.000000
0.0987388
Long
DBT
CORP
GB
N
2
2028-03-23
Floating
6.5
N
N
N
N
Y
HSBC HOLDINGS PLC
HSBC HOLDINGS PLC
GBP
XXXX
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR
BFM4XMII1
1200000.000000
PA
1752238.900000
0.0547585
Long
DBT
CORP
GB
N
2
2026-09-28
Floating
5.875
N
N
N
N
Y
HSBC HOLDINGS PLC
HSBC HOLDINGS PLC
GBP
XXXX
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC JR SUBORDINA REGS 12/49 VAR
ACI0H2TW1
700000.000000
PA
907970.130000
0.0283746
Long
DBT
CORP
GB
N
2
2023-09-29
Floating
6
N
N
N
N
Y
HSBC HOLDINGS PLC
HSBC HOLDINGS PLC
GBP
XXXX
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC JR SUBORDINA REGS 12/99 VAR
BYXL2ZII5
240000.000000
PA
303948.200000
0.0094986
Long
DBT
CORP
GB
N
2
2029-07-04
Floating
4.75
N
N
N
N
Y
HSBC HOLDINGS PLC
HSBC HOLDINGS PLC
GBP
XXXX
N
N
N
HSI ASSET LOAN OBLIGATION 2007-1
N/A
HSI ASSET LOAN OBLIGATION HALO 2007 1 1A1
40431TAA9
8241658.180000
PA
USD
7498309.240000
0.2343266
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
8437567.070000
PA
USD
4547336.490000
0.1421069
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.952
N
N
N
N
N
N
HSI ASSET SEC CORP TRUST 2006-HE2
N/A
HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2
44328BAD0
23269395.110000
PA
USD
8994526.390000
0.2810842
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.902
N
N
N
N
N
N
HSI ASSET SEC CORP TRUST 2006-HE2
N/A
HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3
44328BAE8
14252576.050000
PA
USD
5515547.400000
0.1723641
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.962
N
N
N
N
N
N
HSI ASSET SECUR CORP TRUST 2007-HE1
N/A
HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 2A3
40430FAD4
40109511.680000
PA
USD
31762966.970000
0.9926114
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.982
N
N
N
N
N
N
HSI ASSET SECURI CORP TRUS 2005-I1
N/A
HSI ASSET SECURITIZATION CORPO HASC 2005 I1 2A4
40430HCN6
5321172.070000
PA
USD
5256088.810000
0.1642559
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.182
N
N
N
N
N
N
HUNT COMPANIES INC
549300ODPWDNCH5TKM49
HUNT COS INC SR SECURED 144A 02/26 6.25
445587AC2
136000.000000
PA
USD
134615.860000
0.0042068
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
6.25
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
IHEARTCOMMUNICATIONS INC. EXIT TERM LOAN
45175AAB7
19768373.130000
PA
USD
19983710.020000
0.6245027
Long
LON
CORP
US
N
2
2026-05-01
Floating
5.6911
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
IHEARTCOMMUNICATIONS INC COMPANY GUAR 05/27 8.375
45174HBD8
9167900.000000
PA
USD
10147490.120000
0.3171150
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
8.375
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
IHEARTCOMMUNICATIONS INC SR SECURED 05/26 6.375
45174HBC0
6368100.000000
PA
USD
6921322.320000
0.2162954
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.375
N
N
N
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
ILLINOIS ST ILS 04/35 FIXED 6.725
452152FA4
145000.000000
PA
USD
170302.500000
0.0053221
Long
DBT
MUN
US
N
2
2035-04-01
Fixed
6.725
N
N
N
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
ILLINOIS ST ILS 06/33 FIXED 5.1
452151LF8
1360000.000000
PA
USD
1467249.600000
0.0458524
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.1
N
N
N
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
ILLINOIS ST ILS 07/35 FIXED 7.35
452152GS4
115000.000000
PA
USD
139682.450000
0.0043652
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
7.35
N
N
N
N
N
N
IM PASTOR FTH 3
N/A
PASTOR IM FTH/FTA IMPAS 3 A REGS
B0BL9JII2
27404762.490000
PA
28314070.870000
0.8848313
Long
ABS-MBS
CORP
ES
N
2
2043-03-22
Floating
0
N
N
N
N
N
N
IMPAC SECURED ASSETS CORP. 2006-4
N/A
IMPAC SECURED ASSETS CORP. IMSA 2006 4 A2B
45257BAC4
6924.520000
PA
USD
6953.220000
0.0002173
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.962
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
3745200.380000
PA
USD
3563361.160000
0.1113571
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
3.67251
Y
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2006-AR11
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1
45661KAD2
968523.870000
PA
USD
915678.210000
0.0286155
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
4.08565
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
204063.660000
PA
USD
199111.120000
0.0062223
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
2.002
N
N
N
N
N
N
INDYMAC RESIDENTIAL ASSET BACKED 2005-D
N/A
INDYMAC RESIDENTIAL ASSET BACK INABS 2005 D M1
456606JP8
1504000.000000
PA
USD
1446121.870000
0.0451922
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.232
N
N
N
N
N
N
INDYMAC RESIDENTIAL ASSET BACKED 2006-D
N/A
INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A3
43709LAC1
5263910.910000
PA
USD
4338141.110000
0.1355695
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.952
N
N
N
N
N
N
INDYMAC RESIDENTIAL ASSET BACKED 2007-A
N/A
INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3
43710BAD8
3581154.090000
PA
USD
2650051.160000
0.0828157
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
2.032
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV JR SUBORDINA VAR
456837AR4
1200000.000000
PA
USD
1264350.000000
0.0395117
Long
DBT
CORP
NL
N
2
2026-11-16
Floating
5.75
N
N
N
N
Y
ING GROEP NV
ING GROEP NV
EUR
XXXX
N
N
N
INMARSAT (CONNECT FINCO SARL/CONNECT US FINCO LLC)
N/A
CONNECT FINCO SARL/CONNE SR SECURED 144A 10/26 6.75
20752TAA2
310000.000000
PA
USD
330537.500000
0.0103295
Long
DBT
CORP
LU
N
2
2026-10-01
Fixed
6.75
N
N
N
N
N
N
INTELSAT (LUXEMBOURG) SA
54930027UF5LR7S2XC75
INTELSAT LUXEMBOURG SA COMPANY GUAR 06/21 7.75
458204AP9
47838000.000000
PA
USD
37899655.500000
1.1843865
Long
DBT
CORP
LU
N
2
2021-06-01
Fixed
7.75
N
N
N
N
N
N
INTELSAT (LUXEMBOURG) SA
54930027UF5LR7S2XC75
INTELSAT LUXEMBOURG SA COMPANY GUAR 06/23 8.125
458204AQ7
1289000.000000
PA
USD
765330.860000
0.0239170
Long
DBT
CORP
LU
N
2
2023-06-01
Fixed
8.125
N
N
N
N
N
N
INTELSAT CONNECT FINANCE SA
549300T8SOCBO2H77X11
INTELSAT CONNECT FINANCE COMPANY GUAR 144A 02/23 9.5
45827AAD5
1479000.000000
PA
USD
1038553.800000
0.0324554
Long
DBT
CORP
LU
N
2
2023-02-15
Fixed
9.5
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDG COMPANY GUAR 144A 07/25 9.75
45824TAY1
2822000.000000
PA
USD
2616233.870000
0.0817588
Long
DBT
CORP
LU
N
2
2025-07-15
Fixed
9.75
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDG COMPANY GUAR 144A 10/24 8.5
45824TBA2
13078000.000000
PA
USD
11939102.370000
0.3731040
Long
DBT
CORP
LU
N
2
2024-10-15
Fixed
8.5
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDG SR SECURED 144A 02/24 8
45824TAR6
1383000.000000
PA
USD
1422187.310000
0.0444442
Long
DBT
CORP
LU
N
2
2024-02-15
Fixed
8
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDGS S A TERM LOAN B 3
L5137LAF2
750000.000000
PA
USD
752437.500000
0.0235141
Long
LON
CORP
LU
N
2
2023-11-27
Floating
5.682
N
N
N
N
N
N
INTERNET BRANDS INC (MH SUB I LLC)
N/A
MH SUB I LLC AMENDMENT NO. 2 INITIAL TERM
45567YAJ4
596275.000000
PA
USD
599629.050000
0.0187388
Long
LON
CORP
US
N
2
2024-09-13
Floating
5.5494
N
N
N
N
N
N
INTRADO CORPORATION
5493005Z5DB0O5S30R71
OLYMPUS MERGER SUB INC TERM LOAN B
68162RAC5
97608.850000
PA
USD
82967.520000
0.0025928
Long
LON
CORP
US
N
2
2024-10-10
Floating
5.9271
N
N
N
N
N
N
IOWA TOBACCO SETTLEMENT AUTHORITY
N/A
TOBACCO SETTLEMENT AUTH IA TOB TOBGEN 06/23 FIXED 6.5
888805AP3
1090000.000000
PA
USD
1106219.200000
0.0345700
Long
DBT
MUN
US
N
2
2023-06-01
Fixed
6.5
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
5457000.000000
PA
USD
5158684.360000
0.1612119
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.767
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
1010422.680000
PA
USD
945321.150000
0.0295418
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 2017-FL11
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2017 FL11 BC 144A
46648PAS4
4700000.000000
PA
USD
4521990.320000
0.1413149
Long
ABS-MBS
CORP
US
N
2
2032-10-15
Floating
5.1667
N
N
N
N
N
N
SEQUA CORPORATION
549300JLD7TQRZ92KO78
SEQUA CORP PREFERRED STOCK
000000000
58977.000000
NS
USD
68362010.010000
2.1363529
Long
EP
CORP
US
N
3
N
N
N
JEFFERIES & CO 2009-R7
N/A
JEFFERIES + CO JMAC 2009 R7 10A2 144A
47233AAV9
3902255.150000
PA
USD
1885172.830000
0.0589128
Long
ABS-MBS
CORP
US
N
2
2036-12-26
Fixed
6
N
N
N
N
N
N
JEFFERIES FINANCE LLC
549300SKVB18YSSIDT75
JEFFERIES FINANCE LLC 2019 TERM LOAN
47232UAB0
115709.270000
PA
USD
115588.700000
0.0036122
Long
LON
CORP
US
N
2
2026-06-03
Floating
5.5
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
743518.810000
PA
USD
558585.010000
0.0174561
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
4.10703
Y
N
N
N
N
N
JP MORGAN ALTERNATIVE LN TRUST 2006-A6
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A5
466285AP8
312359.680000
PA
USD
313701.450000
0.0098034
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
3.58359
Y
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
10611277.050000
PA
USD
9164677.730000
0.2864016
Long
ABS-MBS
CORP
US
N
2
2037-06-27
Floating
2.1995
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
13796397.610000
PA
USD
11054342.890000
0.3454547
Long
ABS-MBS
CORP
US
N
2
2037-06-27
Fixed
10.195
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
10975000.000000
PA
USD
11359125.000000
0.3549793
Long
ABS-MBS
CORP
US
N
2
2041-06-12
Variable
2.61201
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
1733186.300000
PA
USD
970883.130000
0.0303407
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.942
N
N
N
N
N
N
SIERRA HAMILTON HOLDINGS LLC
N/A
SIERRA HAMILTON HOLDER LLC
932BTZ902
30136800.000000
NS
USD
5706704.450000
0.1783379
Long
EC
CORP
US
Y
3
N
N
N
JP MORGAN MTGE ACQUIS CORP 2006-CH2
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AF3
46629QAD8
3440348.620000
PA
USD
2748274.330000
0.0858852
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
11467828.760000
PA
USD
9156843.380000
0.2861567
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
1235471.070000
PA
USD
510769.690000
0.0159619
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.952
Y
N
N
N
N
N
JP MORGAN REREMIC 2009-4
N/A
JP MORGAN REREMIC JPMRR 2009 4 4A2 144A
46633JBD7
5563244.810000
PA
USD
3519712.560000
0.1099931
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
3362079.760000
PA
USD
3020792.690000
0.0944015
Long
ABS-MBS
CORP
US
N
2
2037-03-21
Floating
4.39561
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
2248955.350000
PA
USD
2050171.310000
0.0640691
Long
ABS-MBS
CORP
US
N
2
2036-09-26
Fixed
6
N
N
N
N
N
N
JUBILEE CLO 2014-XIV BV 14-14A
N/A
JUBILEE CDO BV JUBIL 2014 14A SUB 144A
ACI0SM998
7000000.000000
PA
3003112.630000
0.0938490
Long
ABS-CBDO
CORP
NL
N
2
2028-01-15
Variable
0
N
N
N
N
N
N
KANTAR GROUP (SUMMER BC HOLDCO B SARL)
984500NRF59D5DB9B654
SUMMER BC HOLDCO B SARL TERM LOAN B
938BZLII1
16320000.000000
PA
USD
15565200.000000
0.4864216
Long
LON
CORP
LU
N
2
2026-10-15
Floating
7.01563
N
N
N
N
N
N
KIK CUSTOM PRODUCTS INC
54930093YQIEW0FV8L89
KRONOS ACQUISITION HOLDI COMPANY GUAR 144A 08/23 9
50106GAA0
4800000.000000
PA
USD
4597992.000000
0.1436899
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
9
N
N
N
N
N
N
LANSDOWNE MORTGAGE SEC PLC
N/A
LANSDOWNE MORTGAGE SECURITIES LANSD 2 A2 REGS
B1L1F5II6
9468301.640000
PA
9717843.110000
0.3036883
Long
ABS-MBS
CORP
IE
N
2
2048-09-16
Floating
0
N
N
N
N
N
N
LAVENDER TRUST SERIES 2010-RR2A
N/A
LAVENDER TRUST LTS 2010 RR2A A4 144A
519440AD3
5096286.400000
PA
USD
4003080.480000
0.1250986
Long
ABS-MBS
CORP
US
N
2
2036-10-26
Fixed
6.25
N
N
N
N
N
N
LEGG MASON MORTGAGE CAPTIAL CORP PASS THRU 1998-CTL
N/A
LEGG MASON PT (RITE AID) 01/21 1
ACI0D0G86
8383147.400000
PA
USD
8397905.680000
0.2624395
Long
ABS-O
CORP
US
N
3
2021-01-10
Fixed
7.13
N
N
N
N
N
N
LEHMAN MORTGAGE TRUST 2007-10
N/A
LEHMAN MORTGAGE TRUST LMT 2007 10 1A1
52522QAA0
2533693.060000
PA
USD
2647117.880000
0.0827240
Long
ABS-MBS
CORP
US
N
2
2038-01-25
Fixed
6
Y
N
N
N
N
N
LEHMAN XS TRUST 2007-15N
N/A
LEHMAN XS TRUST LXS 2007 15N 4A1
52524VAQ2
413582.530000
PA
USD
377521.030000
0.0117978
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
2.692
Y
N
N
N
N
N
LEHMAN XS TRUST 2007-6
N/A
LEHMAN XS TRUST LXS 2007 6 3A6
52524PAM4
10304783.150000
PA
USD
9942721.500000
0.3107159
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
4.69027
Y
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR
539439AU3
2600000.000000
PA
USD
2917473.000000
0.0911727
Long
DBT
CORP
GB
N
2
2025-09-27
Floating
7.5
N
N
N
N
Y
LLOYDS BANKING GROUP PLC
LLOYDS BANKING GROUP PLC
GBP
XXXX
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR
ACI0808F5
2680000.000000
PA
3990700.670000
0.1247117
Long
DBT
CORP
GB
N
2
2023-06-27
Floating
7.625
N
N
N
N
Y
LLOYDS BANKING GROUP PLC
LLOYDS BANKING GROUP PLC
GBP
XXXX
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR
ACI0808H1
32425000.000000
PA
54332582.350000
1.6979251
Long
DBT
CORP
GB
N
2
2029-06-27
Floating
7.875
N
N
N
N
Y
LLOYDS BANKING GROUP PLC
LLOYDS BANKING GROUP PLC
GBP
XXXX
N
N
N
LOANCORE CAPITAL MARKETS LLC / JLC FINANCE CORP
N/A
LOANCORE CAP/JLC FIN COR SR UNSECURED 144A 06/20 6.875
47233GAA2
7600000.000000
PA
USD
7604750.000000
0.2376529
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
6.875
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
37495871.220000
PA
USD
32453235.230000
1.0141826
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.497
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
42965825.510000
PA
USD
38310435.350000
1.1972236
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
1.982
N
N
N
N
N
N
LONG BEACH MTGE LOAN TRUST 2004-5
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 5 M1
542514HD9
1215857.680000
PA
USD
1194784.920000
0.0373377
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
2.442
N
N
N
N
N
N
MALLINCKRODT INTERNATIONAL FINANCE SA / MALLINCKRODT CB LLC
N/A
MALLINCKRODT FIN/SB COMPANY GUAR 144A 04/25 5.5
561233AC1
4352000.000000
PA
USD
1555840.000000
0.0486209
Long
DBT
CORP
LU
N
2
2025-04-15
Fixed
5.5
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
4570269.950000
0.1428236
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
20024.000000
PA
USD
7795763.260000
0.2436222
Long
ABS-O
CORP
US
N
3
2029-09-17
Fixed
0
N
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2006-FRE1
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 FRE1 M1
57643LPQ3
15448371.400000
PA
USD
12288352.960000
0.3840182
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
2.332
Y
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2006-HE2
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A4
57644UAF2
3533309.750000
PA
USD
2076941.300000
0.0649056
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
2.032
N
N
N
N
N
N
MASTR ASSET BACKED SEC TRUST 2006-WMC1
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 WMC1 A3
57643LRK4
7951950.700000
PA
USD
4090357.000000
0.1278261
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
1.972
N
N
N
N
N
N
MASTR ASSET BACKED SECURITIES TRUST 2006-AM2
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 AM2 A3
57645FAC1
6382989.100000
PA
USD
5922014.730000
0.1850664
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.962
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
MATTEL INC COMPANY GUAR 144A 12/27 5.875
577081BD3
117000.000000
PA
USD
123505.200000
0.0038596
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
5.875
N
N
N
N
N
N
MCDERMOTT TECHNOLOGY (AMERICAS) INC
549300MSF84ZAB7RHN59
MCDERMOTT TECHNOLOGY (AMERICAS TERM LOAN
58004GAB4
11321513.240000
PA
USD
6660819.850000
0.2081545
Long
LON
CORP
US
N
2
2025-05-09
Floating
6.9446
N
N
N
N
N
N
MCDERMOTT TECHNOLOGY (AMERICAS) INC
549300MSF84ZAB7RHN59
MCDERMOTT TECHNOLOGY AMERICAS SUPER PRIORITY TERM LOAN
58004GAE8
6420975.230000
PA
USD
6573473.390000
0.2054249
Long
LON
CORP
US
N
2
2021-10-21
Floating
7.5586
N
N
N
N
N
N
MELCO RESORTS FINANCE LIMITED
N/A
MELCO RESORTS FINANCE SR UNSECURED 144A 12/29 5.375
58547DAD1
570000.000000
PA
USD
585991.030000
0.0183126
Long
DBT
CORP
KY
N
2
2029-12-04
Fixed
5.375
N
N
N
N
N
N
MERRILL LYNCH ALTERNATIVE NT 2007-AF1
N/A
MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 1AF8
59024KAH6
3350229.920000
PA
USD
3234408.120000
0.1010772
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
9958791.620000
PA
USD
7096526.360000
0.2217706
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
4.22741
Y
N
N
N
N
N
MESSER INDUSTRIES USA INC
529900HNC1EZT3TC1260
MESSER INDS GMBH TERM LOAN B 1
D6000EAB8
381257.570000
PA
USD
383759.380000
0.0119927
Long
LON
CORP
US
N
2
2026-03-01
Floating
4.4446
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2004-HE4
N/A
MORGAN STANLEY CAPITAL INC MSAC 2004 HE4 M2
61746RGL9
1792598.470000
PA
USD
1798114.300000
0.0561921
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
3.742
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2005-HE5
N/A
MORGAN STANLEY CAPITAL INC MSAC 2005 HE5 M3
61744CUU8
18121465.000000
PA
USD
17342202.140000
0.5419540
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.467
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2005-WMC1
N/A
MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M4
61744CLX2
4262032.600000
PA
USD
2879513.610000
0.0899865
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
2.827
Y
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE4
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3
61748BAC8
6576113.610000
PA
USD
4570624.520000
0.1428347
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.942
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE8
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2C
61750SAE2
9488369.450000
PA
USD
6016471.650000
0.1880183
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.932
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE8
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2D
61750SAF9
4572437.820000
PA
USD
2932719.550000
0.0916492
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
2.012
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE8
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2FP
61750SAB8
4182.650000
PA
USD
2625.450000
0.0000820
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.862
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-NC4
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C
61748LAD4
754737.230000
PA
USD
652395.470000
0.0203877
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.942
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-HE1
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C
617526AE8
17818103.020000
PA
USD
12341671.640000
0.3856845
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.942
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL-2006-HE6
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C
61750FAE0
7758012.250000
PA
USD
3695452.330000
0.1154851
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
1.942
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL-2006-HE6
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2FP
61750FAB6
3861554.680000
PA
USD
1798756.190000
0.0562122
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
1.852
N
N
N
N
N
N
MORGAN STANLEY CAPITAL 2006-T23
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2006 T23 D 144A
61749MAD1
3775664.390000
PA
USD
3848232.660000
0.1202595
Long
ABS-MBS
CORP
US
N
2
2041-08-12
Variable
6.18633
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I 2006-IQ12
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2006 IQ12 AJ
61750WAZ6
1062860.210000
PA
USD
743764.070000
0.0232431
Long
ABS-MBS
CORP
US
N
2
2043-12-15
Fixed
5.399
Y
N
N
N
N
N
MORGAN STANLEY MORTGAGE LN TR-2006-6AR
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 1A1
61749CAA9
170592.510000
PA
USD
64119.170000
0.0020038
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.962
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
2252602.440000
PA
USD
1634421.200000
0.0510766
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
4.21547
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
2107384.200000
PA
USD
844246.980000
0.0263832
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
5.962
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
3838650.740000
PA
USD
3453493.960000
0.1079237
Long
ABS-MBS
CORP
US
N
2
2037-02-26
Floating
3.02697
N
N
N
N
N
N
MORGAN STANLEY REREMIC TRUST 2010-R5
N/A
MORGAN STANLEY REREMIC TRUST MSRR 2010 R5 3B 144A
61759HAZ0
2348198.740000
PA
USD
2182668.810000
0.0682097
Long
ABS-MBS
CORP
US
N
2
2037-03-26
Floating
3.16177
N
N
N
N
N
N
MORGAN STANLEY RESECURITIZATION TRUST 2015-R7
N/A
MORGAN STANLEY REREMIC TRUST MSRR 2015 R7 2B 144A
61765PAF8
10839002.750000
PA
USD
8536052.840000
0.2667567
Long
ABS-MBS
CORP
US
N
2
2035-06-26
Floating
4.36489
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
4394579.860000
PA
USD
4288510.960000
0.1340185
Long
ABS-MBS
CORP
US
N
2
2060-07-25
Fixed
4
N
N
N
N
N
N
MOTEL 6 TRUST 2017-M6MZ
N/A
MOTEL 6 TRUST MOTEL 2017 M6MZ M 144A
61975GAA5
32954153.390000
PA
USD
33536987.140000
1.0480505
Long
ABS-MBS
CORP
US
N
2
2024-08-15
Floating
8.66625
N
N
N
N
N
N
TEXGEN POWER LLC
5493003XDLS9LCQ3SY55
TEXGEN POWER LLC
933KFF900
285522.000000
NS
USD
10207411.500000
0.3189876
Long
EC
CORP
US
N
3
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI INC COMPANY GUAR 144A 11/29 4
55354GAH3
170000.000000
PA
USD
172652.000000
0.0053955
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4
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
26600000.000000
PA
USD
9460787.420000
0.2956552
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
26875000.000000
PA
USD
9619215.560000
0.3006061
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
33525000.000000
PA
USD
11999355.170000
0.3749869
Long
ABS-O
CORP
US
N
2
2038-03-25
Floating
0
N
N
N
N
N
N
NATIONSTAR MORTGAGE LLC / NATIONSTAR CAPITAL CORP
N/A
NATIONSTAR MORT/CAP CORP COMPANY GUAR 07/21 6.5
63860UAK6
3316000.000000
PA
USD
3333906.400000
0.1041865
Long
DBT
CORP
US
N
2
2021-07-01
Fixed
6.5
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
7293870.000000
PA
USD
7243775.700000
0.2263722
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
4.73975
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
3163009.990000
PA
USD
3109799.310000
0.0971831
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
5.73975
N
N
N
N
N
N
NBTY INC (ALPHABET HOLDING CO INC)
5493000J3OND4HN47659
ALPHABET HOLDING COMPANY INC. INITIAL TERM LOAN
18913EAB3
97750.000000
PA
USD
94491.700000
0.0029529
Long
LON
CORP
US
N
2
2024-09-26
Floating
5.2994
N
N
N
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL CORPORATION LTD SR UNSECURED 144A 12/24 3.625
62886HAP6
571000.000000
PA
USD
580278.750000
0.0181341
Long
DBT
CORP
BM
N
2
2024-12-15
Fixed
3.625
N
N
N
N
N
N
NCR CORPORATION
549300YKTY8JX1DV2R67
NCR CORP COMPANY GUAR 144A 09/27 5.75
62886EAU2
8000.000000
PA
USD
8538.580000
0.0002668
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
5.75
N
N
N
N
N
N
NEIMAN MARCUS GROUP LTD LLC
549300VXED5TMJSBCI17
NEIMAN MARCUS GROUP LTD INC TERM LOAN
64021SAE9
41324230.230000
PA
USD
33610360.150000
1.0503435
Long
LON
CORP
US
N
2
2023-10-25
Floating
7.2131
N
N
N
N
N
N
NEIMAN MARCUS GROUP LTD LLC
549300VXED5TMJSBCI17
NEIMAN MARCUS GROUP LTD LLC CASH PAY EXTENDED TERM LOAN
64021SAD1
62006770.270000
PA
USD
51062575.320000
1.5957354
Long
LON
CORP
US
N
2
2023-10-25
Floating
7.7131
N
N
N
N
N
N
NESTLE SKIN HEALTH SA (SUNSHINE LUXEMBOURG VII SARL)
254900CHQOBZNYV4DY60
SUNSHINE LUXEMBOURG VII SARL EUR 1ST LIEN TERM LOAN
L8908YAC2
1000000.000000
PA
1131514.830000
0.0353605
Long
LON
CORP
LU
N
2
2026-10-01
Floating
3.75
N
N
N
N
N
N
NESTLE SKIN HEALTH SA (SUNSHINE LUXEMBOURG VII SARL)
254900CHQOBZNYV4DY60
SUNSHINE LUXEMBOURG VII SARL USD 1ST LIEN TERM LOAN
L8908YAB4
1076000.000000
PA
USD
1087625.100000
0.0339889
Long
LON
CORP
LU
N
2
2026-10-01
Floating
6.1946
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC SR UNSECURED 05/29 4.625
ACI1GLZT8
1500000.000000
PA
1880880.510000
0.0587786
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.625
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC SR UNSECURED 144A 06/30 3.625
ACI1GCQ68
800000.000000
PA
925402.470000
0.0289194
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
3.625
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC SR UNSECURED 144A 06/30 4.875
64110LAV8
600000.000000
PA
USD
610485.000000
0.0190780
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.875
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC SR UNSECURED 144A 11/29 3.875
ACI1BLL27
4211000.000000
PA
5012791.590000
0.1566527
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.875
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC SR UNSECURED 144A 11/29 5.375
64110LAU0
326000.000000
PA
USD
347786.580000
0.0108685
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.375
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
409951.850000
PA
USD
371877.040000
0.0116214
Long
ABS-MBS
CORP
US
N
2
2033-01-25
Floating
4.792
Y
N
N
N
N
N
NEW JERSEY ECONOMIC DEVELOPMENT AUTHORITY
5493006JS6QWDVU4R678
NEW JERSEY ST ECON DEV AUTH RE NJSDEV 09/36 FIXED 6.5
645918DK6
6130000.000000
PA
USD
6104307.020000
0.1907632
Long
DBT
MUN
US
N
3
2036-09-01
Fixed
6.5
N
N
N
N
N
N
NOBLE HOLDING INTERNATIONAL LIMITED
549300GNEZBJHMST9U32
NOBLE HOLDING INTL LTD COMPANY GUAR 144A 02/26 7.875
65504LAQ0
1313000.000000
PA
USD
955663.770000
0.0298651
Long
DBT
CORP
KY
N
2
2026-02-01
Fixed
7.875
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
4765737.370000
PA
USD
1575371.200000
0.0492313
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
2.122
Y
N
N
N
N
N
NOMURA HOME EQUITY LOAN INC 2006-HE1
N/A
NOMURA HOME EQUITY LOAN INC NHELI 2006 HE1 M2
65536HCT3
31899042.000000
PA
USD
29296357.690000
0.9155284
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.212
N
N
N
N
N
N
NOURYON (STARFRUIT US HOLDCO LLC)
549300K7VB5G6LULFT41
STARFRUIT FINCO B V TERM LOAN B
N8232NAB3
1193476.860000
PA
USD
1196453.390000
0.0373899
Long
LON
CORP
NL
N
2
2025-10-01
Floating
4.9601
N
N
N
N
N
N
OCEAN TRAILS CLO IV 2013-4A
N/A
OCEAN TRAILS CLO OCTR 2013 4A ER 144A
67514TAG9
3500000.000000
PA
USD
3494671.250000
0.1092105
Long
ABS-CBDO
CORP
KY
N
2
2025-08-13
Floating
7.00463
N
N
N
N
N
N
ODEBRECHT DRILLING NORBE VIII/IX LTD
549300YNW6BY570L6488
ODEBRECHT DRILL VIII/IX SR SECURED 144A 12/21 6.35
675757AB4
1874766.710000
PA
USD
1870848.450000
0.0584651
Long
DBT
CORP
KY
N
2
2021-12-01
Fixed
6.35
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
2191663.000000
PA
USD
1200719.010000
0.0375232
Long
DBT
CORP
KY
N
2
2026-12-01
Fixed
7.35
N
N
Y
N
N
N
ODEBRECHT DRILLING NORBE VIII/IX LTD
549300YNW6BY570L6488
ODEBRECHT DRILL VIII/IX SR SECURED REGS 12/21 6.35
G67106AB3
2410017.880000
PA
USD
2404980.940000
0.0751571
Long
DBT
CORP
KY
N
2
2021-12-01
Fixed
6.35
N
N
N
N
N
N
ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED
549300L7LF2PIRAWID66
ODBRCHT OFFSHRE DRLL FIN SR SECURED 144A 12/22 6.72
67576GAC1
7115563.280000
PA
USD
7008900.990000
0.2190323
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
20906174.000000
PA
USD
5226752.560000
0.1633391
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
21961662.820000
PA
USD
21632457.490000
0.6760270
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
4070245.420000
PA
USD
40702.450000
0.0012720
Long
DBT
CORP
KY
N
2
2020-02-03
None
0
N
N
N
N
N
N
OPPENHEIMER HOLDINGS INC
N/A
OPPENHEIMER HOLDINGS INC SR SECURED 07/22 6.75
683797AD6
1542000.000000
PA
USD
1595970.000000
0.0498750
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
6.75
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
10648593.330000
PA
USD
7213575.420000
0.2254285
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.932
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
2171797.240000
PA
USD
1489096.040000
0.0465351
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
2.012
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
665379.150000
PA
USD
425017.390000
0.0132820
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
2.042
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
2530485.650000
PA
USD
1664474.000000
0.0520158
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
2.122
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
16397901.300000
PA
USD
12245790.350000
0.3826881
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
1.922
N
N
N
N
N
N
ORTHO-CLINICAL DIAGNOSTICS INC / ORTHO-CLINICAL DIAGNOSTICS SA
N/A
ORTHO CLINICAL INC/SA SR UNSECURED 144A 05/22 6.625
22663AAA7
6714000.000000
PA
USD
6688778.860000
0.2090283
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
6.625
N
N
N
N
N
N
PACIFIC DRILLING SA
549300VEJMMZCY6OBU06
PACIFIC DRILLING SA SR SECURED 144A 10/23 8.375
694183AA2
1675000.000000
PA
USD
1532608.250000
0.0478949
Long
DBT
CORP
LU
N
2
2023-10-01
Fixed
8.375
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 01/40 5.4
694308GS0
92000.000000
PA
USD
95919.200000
0.0029975
Long
DBT
CORP
US
N
2
2040-01-15
Fixed
5.4
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 02/24 3.75
694308HG5
1093000.000000
PA
USD
1112581.100000
0.0347688
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.75
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 02/38 6.35
694308GM3
4204000.000000
PA
USD
4462819.260000
0.1394657
Long
DBT
CORP
US
N
2
2038-02-15
Fixed
6.35
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 02/44 4.75
694308HH3
5572000.000000
PA
USD
5739717.200000
0.1793695
Long
DBT
CORP
US
N
2
2044-02-15
Fixed
4.75
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 03/26 2.95
694308HP5
4152000.000000
PA
USD
4172230.620000
0.1303847
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
2.95
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 03/27 3.3
694308HS9
11351000.000000
PA
USD
11379661.280000
0.3556211
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.3
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 03/34 6.05
694308GE1
11464000.000000
PA
USD
12029748.400000
0.3759367
Long
DBT
CORP
US
N
2
2034-03-01
Fixed
6.05
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 03/37 5.8
694308GJ0
18496000.000000
PA
USD
19330169.600000
0.6040791
Long
DBT
CORP
US
N
2
2037-03-01
Fixed
5.8
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 03/39 6.25
694308GQ4
3534000.000000
PA
USD
3731674.290000
0.1166170
Long
DBT
CORP
US
N
2
2039-03-01
Fixed
6.25
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 03/45 4.3
694308HL4
664000.000000
PA
USD
676240.840000
0.0211329
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.3
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 05/21 4.25
694308GV3
2797000.000000
PA
USD
2812103.800000
0.0878799
Long
DBT
CORP
US
N
2
2021-05-15
Fixed
4.25
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 06/23 3.25
694308HC4
5617000.000000
PA
USD
5605288.560000
0.1751686
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.25
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 06/25 3.5
694308HM2
2321000.000000
PA
USD
2326779.290000
0.0727132
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.5
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 06/43 4.6
694308HD2
88000.000000
PA
USD
89622.280000
0.0028007
Long
DBT
CORP
US
N
2
2043-06-15
Fixed
4.6
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 08/22 2.45
694308HB6
1086000.000000
PA
USD
1088376.170000
0.0340124
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.45
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 08/24 3.4
694308HK6
1092000.000000
PA
USD
1108833.180000
0.0346517
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.4
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 08/42 3.75
694308HA8
116000.000000
PA
USD
116398.460000
0.0036375
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
3.75
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 09/21 3.25
694308GW1
293000.000000
PA
USD
294582.200000
0.0092059
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.25
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 10/20 3.5
694308GT8
1265000.000000
PA
USD
1269617.250000
0.0396763
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
3.5
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 11/23 3.85
694308HE0
501000.000000
PA
USD
507470.420000
0.0158587
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
3.85
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 11/43 5.125
694308HF7
6679000.000000
PA
USD
6856427.640000
0.2142674
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
5.125
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 12/27 3.3
694308HW0
10890000.000000
PA
USD
10917497.250000
0.3411782
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.3
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 12/41 4.5
694308GY7
1251000.000000
PA
USD
1264679.690000
0.0395220
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
4.5
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 12/46 4
694308HR1
45000.000000
PA
USD
44779.500000
0.0013994
Long
DBT
CORP
US
N
2
2046-12-01
Fixed
4
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 144A 08/23 4.25
694308HZ3
6487000.000000
PA
USD
6668084.610000
0.2083816
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
4.25
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR UNSECURED 144A 08/28 4.65
694308JA6
5289000.000000
PA
USD
5475952.930000
0.1711267
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
4.65
Y
Y
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS ELECTRIC COMPANY TERM LOAN
964PHYII9
250000.000000
PA
USD
248125.000000
0.0077541
Long
LON
CORP
US
N
3
2049-02-22
Floating
7.5
Y
Y
N
N
N
N
PAN AMERICAN ENERGY LLC/ARGENTINA BRANCH
N/A
PAN AMERICAN ENERGY LLC UNSECURED 11/20 VAR
ACI1G4F84
273836000.000000
PA
3808195.990000
0.1190084
Long
DBT
CORP
AR
N
3
2020-11-20
Floating
56.7
N
N
N
N
N
N
PAR PHARMACEUTICAL INC
549300KK5WR4MGN4YT97
PAR PHARMACEUTICAL INC SR SECURED 144A 04/27 7.5
69888XAA7
650000.000000
PA
USD
648391.250000
0.0202626
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
7.5
N
N
N
N
N
N
PAREXEL INTERNATIONAL CORPORATION
549300GCZVUYB6P2OA17
PAREXEL INTL CORP TERM LOAN B
69946EAT8
273775.780000
PA
USD
268813.590000
0.0084006
Long
LON
CORP
US
N
2
2024-09-27
Floating
4.5494
N
N
N
N
N
N
PARK PLACE SECURITIES INC 2004-MCW1
N/A
PARK PLACE SECURITIES INC PPSI 2004 MCW1 M3
70069FCJ4
10000000.000000
PA
USD
9890507.000000
0.3090841
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
2.917
N
N
N
N
N
N
PARK PLACE SECURITIES INC 2004-WHQ2
N/A
PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M5
70069FEM5
29447079.870000
PA
USD
29229200.930000
0.9134297
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
3.517
N
N
N
N
N
N
VICI PROPERTIES INC
254900RKH6RY9KCJQH63
VICI PROPERTIES INC REIT USD.01
925652109
2572665.000000
NS
USD
65731590.750000
2.0541508
Long
EC
CORP
US
N
1
N
N
N
PARK PLACE SECURITIES INC 2004-WWF1
N/A
PARK PLACE SECURITIES INC PPSI 2004 WWF1 M6
70069FDP9
25974378.690000
PA
USD
23239559.730000
0.7262499
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
3.817
N
N
N
N
N
N
PARK PLACE SECURITIES INC 2005-WCW2
N/A
PARK PLACE SECURITIES INC PPSI 2005 WCW2 M3
70069FLJ4
20950000.000000
PA
USD
20843079.580000
0.6513585
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.617
N
N
N
N
N
N
PARK PLACE SECURITIES INC 2005-WCW3
N/A
PARK PLACE SECURITIES INC PPSI 2005 WCW3 M2
70069FLX3
8350000.000000
PA
USD
8161745.910000
0.2550593
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.282
N
N
N
N
N
N
PARK PLACE SECURITIES INC 2005-WLL1
N/A
PARK PLACE SECURITIES INC PPSI 2005 WLL1 M5 144A
70069FHA8
7500000.000000
PA
USD
7236836.250000
0.2261554
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.827
Y
N
N
N
N
N
PARK PLACE SECURITIES INC-2005-WCW1
N/A
PARK PLACE SECURITIES INC PPSI 2005 WCW1 M4
70069FKH9
7240000.000000
PA
USD
6886341.930000
0.2152022
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.422
N
N
N
N
N
N
PASTOR IM FTH/FTA 4
N/A
PASTOR IM FTH/FTA IMPAS 4 A REGS
B16Q8CII1
851600.820000
PA
884495.010000
0.0276410
Long
ABS-MBS
CORP
ES
N
2
2044-03-22
Floating
0
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/34 6.625
ACI07KN16
11017000.000000
PA
17593343.970000
0.5498023
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 10/29 5.375
ACI02HTF1
2320000.000000
PA
3418088.360000
0.1068173
Long
DBT
CORP
NL
N
2
2029-10-01
Fixed
5.375
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 02/28 5.35
71654QCK6
3481000.000000
PA
USD
3473507.150000
0.1085491
Long
DBT
CORP
MX
N
2
2028-02-12
Fixed
5.35
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 03/27 6.5
71654QCG5
6499000.000000
PA
USD
6918624.180000
0.2162111
Long
DBT
CORP
MX
N
2
2027-03-13
Fixed
6.5
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 09/47 6.75
71654QCC4
260000.000000
PA
USD
261381.900000
0.0081683
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 144A 01/27 6.49
71654QCQ3
390000.000000
PA
USD
415197.900000
0.0129752
Long
DBT
CORP
MX
N
2
2027-01-23
Fixed
6.49
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 144A 01/30 6.84
71654QCT7
1170000.000000
PA
USD
1249665.300000
0.0390528
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
6.84
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 144A 01/50 7.69
71654QCW0
590000.000000
PA
USD
645917.250000
0.0201853
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69
N
N
N
N
N
N
PETSMART INC
N/A
PETSMART INC CONSENTING TERM LOAN
71677HAG0
862243.450000
PA
USD
855058.380000
0.0267211
Long
LON
CORP
US
N
2
2022-03-11
Floating
5.74
N
N
N
N
N
N
PETSMART INC
N/A
PETSMART INC SR SECURED 144A 06/25 5.875
716768AC0
414000.000000
PA
USD
422797.500000
0.0132127
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.875
N
N
N
N
N
N
PHH ALTERNATIVE MORTGAGE TRUST 2007-1
N/A
PHH ALTERNATIVE MORTGAGE TRUST PHHAM 2007 1 22PO
69337BAN4
3489.690000
PA
USD
3095.340000
0.0000967
Long
ABS-MBS
CORP
US
N
2
2037-02-25
None
0
Y
N
N
N
N
N
PINNACOL ASSURANCE
549300D37RE2C54DGD62
PINNACOL ASSURANCE SUBORDINATE 06/34 8.625
000000000
23200000.000000
PA
USD
24829696.760000
0.7759426
Long
DBT
CORP
US
Y
3
2034-06-25
Fixed
8.625
N
N
N
N
N
N
PLAYTIKA HOLDING CORP
N/A
PLAYTIKA HOLDING CORP TERM LOAN B
72814CAE8
22400000.000000
PA
USD
22680000.000000
0.7087633
Long
LON
CORP
US
N
2
2024-12-10
Floating
7.7994
N
N
N
N
N
N
POPULAR ABS MTGE PASS THRU TRUST 2005-A
N/A
POPULAR ABS MORTGAGE PASS THRO POPLR 2005 A M3
73316PDC1
626247.490000
PA
USD
616973.640000
0.0192808
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
2.482
N
N
N
N
N
N
POPULAR ABS MTGE PASS THRU TRUST 2005-A
N/A
POPULAR ABS MORTGAGE PASS THRO POPLR 2005 A M4
73316PDD9
1349172.910000
PA
USD
1348567.940000
0.0421435
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
2.942
N
N
N
N
N
N
PPDI (PHARMACEUTICAL PRODUCT DEVELOPMENT) EAGLE HOLDING COMPANY II LLC
N/A
EAGLE HOLDING CO II LLC UNSECURED 144A 05/22 VAR
26959XAC7
96000.000000
PA
USD
97647.360000
0.0030515
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
7.75
N
N
Y
N
N
N
PRESS GANEY (EMERALD TOPCO INC)
549300KISPZJ80F65D65
EMERALD TOPCO INC TERM LOAN
29102TAB8
588525.000000
PA
USD
592865.370000
0.0185274
Long
LON
CORP
US
N
2
2026-07-24
Floating
5.2994
N
N
N
N
N
N
PROJECT ANFORA
N/A
PROJECT ANFORA SENIOR TERM LOAN
938BZJII6
20000000.000000
PA
22377914.180000
0.6993229
Long
LON
CORP
US
Y
3
2026-10-01
Floating
2.325
N
N
N
N
N
N
PROVINCE OF BUENOS AIRES ARGENTINA
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE UNSECURED 05/22 VAR
ACI0VF965
2330000.000000
PA
19602.230000
0.0006126
Long
DBT
NUSS
AR
N
2
2022-05-31
Floating
59.7387
N
N
N
N
N
N
PROVINCE OF BUENOS AIRES ARGENTINA
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
ACI11ZNP4
66400000.000000
PA
608160.320000
0.0190054
Long
DBT
NUSS
AR
N
2
2025-04-12
Floating
44.0625
N
N
N
N
N
N
PROVINCE OF BUENOS AIRES ARGENTINA
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
P1910WRC5
1400286000.000000
PA
12825276.830000
0.4007974
Long
DBT
NUSS
AR
N
2
2025-04-12
Floating
44.0625
N
N
N
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND MINING HOLDINGS L COMMON
935ZXN908
240452.000000
NS
USD
3606780.000000
0.1127140
Long
EC
CORP
US
Y
3
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC INC SR SECURED 03/43 5.95
747262AM5
3378000.000000
PA
USD
3163804.940000
0.0988708
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
15439405.660000
0.4824905
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
3.542
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
3461101.620000
PA
USD
3444778.370000
0.1076513
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
2.578
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
1471063.440000
0.0459716
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
3.688
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
3303526.480000
PA
USD
3289247.980000
0.1027909
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
2.458
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
1191767.150000
PA
USD
984860.880000
0.0307775
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
3.283
Y
N
N
N
N
N
RBSSP RESECURITIZATION TRUST 2009-13
N/A
RBSSP RESECURITIZATION TRUST RBSSP 2009 13 11A4 144A
74928GBN7
6996477.820000
PA
USD
5446841.940000
0.1702170
Long
ABS-MBS
CORP
US
N
2
2035-09-26
Floating
4.50662
N
N
N
N
N
N
RBSSP RESECURITIZATION TRUST 2009-6
N/A
RBSSP RESECURITIZATION TRUST RBSSP 2009 6 17A3 144A
74928XDE8
1422810.750000
PA
USD
1195385.980000
0.0373565
Long
ABS-MBS
CORP
US
N
2
2037-06-26
Fixed
6
N
N
N
N
N
N
RCN GRANDE (RADIATE HOLDCO LLC / RADIATE FINANCE INC)
N/A
RADIATE HOLDCO / FINANCE SR UNSECURED 144A 02/23 6.875
75026JAB6
107000.000000
PA
USD
109184.410000
0.0034121
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
6.875
N
N
N
N
N
N
REFINITIV US HOLDINGS INC (AKA: FINANCIAL & RISK US HOLDINGS I)
549300NF240HXJO7N016
FINANCIAL RISK US HLDGS INC TERM LOAN B
31740MAC5
3807540.000000
PA
USD
3845021.420000
0.1201592
Long
LON
CORP
US
N
2
2025-10-01
Floating
5.0494
N
N
N
N
N
N
REFINITIV US HOLDINGS INC (AKA: FINANCIAL & RISK US HOLDINGS I)
549300NF240HXJO7N016
REFINITIV US HOLDINGS SR SECURED REGS 05/26 4.5
ACI1544Z8
1000000.000000
PA
1225176.780000
0.0382875
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.5
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
3154414.350000
PA
USD
1402028.670000
0.0438142
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
2544661.640000
PA
USD
2492299.120000
0.0778858
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2006-QS16
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A10
74922LAK9
3019659.840000
PA
USD
2781485.080000
0.0869230
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QA2
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3
74922PAC8
539782.960000
PA
USD
494566.850000
0.0154555
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
1.942
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QS10
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS10 A1
74924DAA7
1463194.660000
PA
USD
1423593.150000
0.0444881
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6.5
Y
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2007-QS3
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A5
75116BAE8
3956658.820000
PA
USD
3667396.200000
0.1146083
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.25
Y
N
N
N
N
N
RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2006-NC1
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC1 M1
76112BX39
4360000.000000
PA
USD
4273333.660000
0.1335442
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.172
N
N
N
N
N
N
RESIDENTIAL ASSET MTG PRODS INC 2005-SL1
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 SL1 A7
76112BMS6
706393.440000
PA
USD
546002.920000
0.0170629
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
235751.640000
PA
USD
236731.900000
0.0073980
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
2.512
N
N
N
N
N
N
RESIDENTIAL ASSET MTGE PROD 2006-RS1
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS1 AI3
76112BT91
10520885.040000
PA
USD
9805079.790000
0.3064145
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.112
N
N
N
N
N
N
RESIDENTIAL ASSET SEC CORP 2006-EMX3
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX3 A3
76113ACA7
5270000.000000
PA
USD
5159042.790000
0.1612231
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.072
N
N
N
N
N
N
RESIDENTIAL ASSET SEC CORP 2006-EMX3
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX3 M1
76113ACB5
5863792.160000
PA
USD
4521196.020000
0.1412900
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.122
Y
N
N
N
N
N
RESIDENTIAL ASSET SEC CORP 2006-EMX9
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 2A
74924VAE9
9059926.630000
PA
USD
8259582.680000
0.2581168
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.922
N
N
N
N
N
N
RESIDENTIAL ASSET SEC CORP 2007-KS4
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2007 KS4 A4
74924NAD9
9275000.000000
PA
USD
9101832.040000
0.2844376
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
2.132
N
N
N
N
N
N
RESIDENTIAL ASSET SEC TRUST 2006-A11
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2006 A11 1A4
76113TAD2
118977.630000
PA
USD
119451.330000
0.0037329
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Fixed
6.25
Y
N
N
N
N
N
RESIDENTIAL ASSET SEC TRUST 2007-A1
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1
761136AA8
2803309.490000
PA
USD
1571087.890000
0.0490974
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES 2005-EMX5
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX5 A3
76110W7R1
13269250.310000
PA
USD
11628840.570000
0.3634081
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
2.452
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES 2005-KS1
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2005 KS1 M2
76110WM45
1900099.960000
PA
USD
1902434.800000
0.0594522
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
2.917
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES CORP 2006-EMX8
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX8 1A3
74924UAC5
9163748.700000
PA
USD
7084119.320000
0.2213829
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.962
Y
N
N
N
N
N
RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A16
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2006 A16 1A3
76114GAC1
209076.760000
PA
USD
148504.380000
0.0046408
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A4
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2006 A4 2A4
45661EDU5
854527.880000
PA
USD
840814.590000
0.0262759
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6
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
12398189.010000
PA
USD
13922236.390000
0.4350781
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
1038230.270000
PA
USD
1165854.730000
0.0364336
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
3079236.690000
PA
USD
3648926.270000
0.1140311
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
422097.640000
PA
USD
500189.920000
0.0156312
Long
DBT
CORP
US
N
2
2027-01-06
Variable
9.75
N
N
N
N
N
N
RIVERVIEW HECM TRUST-2007-1
N/A
RIVERVIEW HECM TRUST RVMLT 2007 1 A 144A
769422AA4
15829738.990000
PA
USD
14857303.880000
0.4642995
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
2.03
N
N
N
N
N
N
AA BOND CO LIMITED
2138002EPF6QVRZBMC58
AA BOND CO LTD SR SECURED REGS 07/43 2.75
BYP2QHII0
4500000.000000
PA
5716107.800000
0.1786317
Long
DBT
CORP
JE
N
2
2043-07-31
Fixed
2.75
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC JR SUBORDINA 12/49 VAR
780099CK1
9027000.000000
PA
USD
10408356.680000
0.3252673
Long
DBT
CORP
GB
N
2
2025-08-10
Floating
8
N
N
N
N
Y
ROYAL BANK OF SCOTLAND GROUP PLC
RBS GROUP
GBP
XXXX
N
N
N
RUSSIAN RAILWAYS VIA RZD CAPITAL PLC
635400VKMH1VQDFMW392
RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487
B3SXQ5II3
100000.000000
PA
178363.990000
0.0055740
Long
DBT
CORP
IE
N
2
2031-03-25
Fixed
7.487
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS JR SUBORDINA REGS 12/49 VAR
ACI0CTJV0
11845000.000000
PA
17139237.800000
0.5356112
Long
DBT
CORP
GB
N
2
2022-06-24
Floating
7.375
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS JR SUBORDINA REGS 12/99 VAR
ACI0TF455
23460000.000000
PA
34290993.910000
1.0716137
Long
DBT
CORP
GB
N
2
2024-06-24
Floating
6.75
N
N
N
N
N
N
SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)
529900JL0HDVGZMUJF32
IHO VERWALTUNGS GMBH SR SECURED 144A 05/25 3.625
ACI1C5ZQ3
1100000.000000
PA
1295780.610000
0.0404939
Long
DBT
CORP
DE
N
2
2025-05-15
Fixed
3.625
N
N
Y
N
N
N
SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)
529900JL0HDVGZMUJF32
IHO VERWALTUNGS GMBH SR SECURED 144A 05/27 3.875
ACI1C5ZJ9
600000.000000
PA
714242.450000
0.0223205
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 144A 05/27 6
44963BAE8
2456000.000000
PA
USD
2610353.460000
0.0815751
Long
DBT
CORP
DE
N
2
2027-05-15
Fixed
6
N
N
Y
N
N
N
SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)
529900JL0HDVGZMUJF32
IHO VERWALTUNGS GMBH SR SECURED 144A 05/29 6.375
44963BAD0
1746000.000000
PA
USD
1881921.740000
0.0588112
Long
DBT
CORP
DE
N
2
2029-05-15
Fixed
6.375
N
N
Y
N
N
N
SCHENCK PROCESS (PLATIN 1426 GMBH)
213800NMYXIGFN77O655
PLATIN 1426 GMBH SR SECURED 144A 06/23 6.875
BGGC6YII2
2300000.000000
PA
2647632.540000
0.0827401
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
1980000.000000
PA
2279266.270000
0.0712284
Long
DBT
CORP
DE
N
2
2023-06-15
Fixed
6.875
N
N
N
N
N
N
SCOTTS MIRACLE-GRO CO
2TH9E0JTOUXOEGI2R879
SCOTTS MIRACLE GRO CO COMPANY GUAR 144A 10/29 4.5
810186AQ9
35000.000000
PA
USD
35865.380000
0.0011208
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.5
N
N
N
N
N
N
SEALED AIR CORPORATION
Q0M0CZB4YN6JZ65WXI09
SEALED AIR CORP COMPANY GUAR 144A 12/27 4
81211KAY6
84000.000000
PA
USD
85260.000000
0.0026644
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4
N
N
N
N
N
N
SEC ASSET BACKED REC LLC 2005-OP2
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 OP2 M2
81375WGV2
13000000.000000
PA
USD
12774508.500000
0.3992109
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.242
N
N
N
N
N
N
SEC ASSET BACKED REC LLC 2006-FR1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2006 FR1 M1
81375WJU1
10847660.490000
PA
USD
8898177.520000
0.2780733
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.392
Y
N
N
N
N
N
SEC ASSET BACKED REC LLC 2006-FR3
N/A
SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3
813765AC8
17736277.500000
PA
USD
11251631.950000
0.3516201
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.042
N
N
N
N
N
N
SEC ASSET BACKED REC LLC 2006-NC1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2006 NC1 A3
81375HAC3
6665211.560000
PA
USD
6257875.820000
0.1955623
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.062
N
N
N
N
N
N
SECURITIZED ASSET BACKED REC 2006-HE1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C
81376YAD3
2728098.340000
PA
USD
1432688.670000
0.0447724
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.952
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
20285860.620000
PA
USD
17283088.700000
0.5401067
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.932
N
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1
81375WFU5
2779156.910000
PA
USD
2107532.230000
0.0658616
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.452
Y
N
N
N
N
N
SELECT MEDICAL CORPORATION
N/A
SELECT MEDICAL CORP COMPANY GUAR 144A 08/26 6.25
816196AT6
178000.000000
PA
USD
193015.190000
0.0060318
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.25
N
N
N
N
N
N
SENSATA TECHNOLOGIES INC
N/A
SENSATA TECH INC COMPANY GUAR 144A 02/30 4.375
81728UAA2
156000.000000
PA
USD
159423.420000
0.0049821
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.375
N
N
N
N
N
N
SEQUA MEZZANINE HOLDINGS LLC
N/A
SEQUA MEZZANINE HLDGS LLC FIRST LIEN
81733HAB2
1121250.000000
PA
USD
1123343.370000
0.0351051
Long
LON
CORP
US
N
2
2021-11-28
Floating
6.9043
N
N
N
N
N
N
SEQUA MEZZANINE HOLDINGS LLC
N/A
SEQUA MEZZANINE HLDGS LLC SECOND LIEN
81733HAC0
36300000.000000
PA
USD
35800875.000000
1.1187984
Long
LON
CORP
US
N
2
2022-04-28
Floating
10.9355
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2004-1
N/A
SEQUOIA MORTGAGE TRUST SEMT 2004 1 A
81744FAA5
374641.920000
PA
USD
366428.680000
0.0114511
Long
ABS-MBS
CORP
US
N
2
2034-02-20
Floating
2.77425
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 9
N/A
SEQUOIA MORTGAGE TRUST SEMT 9 2A
81743SAB6
510745.270000
PA
USD
510732.040000
0.0159607
Long
ABS-MBS
CORP
US
N
2
2032-09-20
Floating
3.89222
N
N
N
N
N
N
SIERRA HAMILTON HOLDINGS CORPORATION
N/A
SIERRA HAMILTON LLC 2ND LIEN NOTES
935ZLRII3
1564331.170000
PA
USD
1486114.610000
0.0464420
Long
DBT
CORP
US
N
3
2023-09-12
Fixed
15
N
N
Y
N
N
N
SILGAN HOLDINGS INC
KAF673KJXD92C8KSLU49
SILGAN HOLDINGS INC SR UNSECURED 144A 02/28 4.125
827048AV1
272000.000000
PA
USD
272761.600000
0.0085240
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.125
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2013-M1
N/A
SLM STUDENT LOAN TRUST SLMA 2013 M1 M1R 144A
78447T103
25350.000000
PA
USD
24954979.520000
0.7798578
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
19999.000000
PA
USD
12813496.660000
0.4004293
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 144A 07/22 4.375
ACI0W96H7
390000.000000
PA
447336.090000
0.0139795
Long
DBT
CORP
NL
N
2
2022-07-01
Fixed
4.375
N
N
N
N
N
N
SLOVENIA BROADBAND SARL (UNITED GROUP BV)
213800PC85O8BJ7DU398
UNITED GROUP BV SR SECURED 144A 07/24 4.875
ACI0W96S3
230000.000000
PA
269923.070000
0.0084353
Long
DBT
CORP
NL
N
2
2024-07-01
Fixed
4.875
N
N
N
N
N
N
ACE SECURITIES CORP 2005-HE4
N/A
ACE SECURITIES CORP. ACE 2005 HE4 M6
004421PV9
17938000.000000
PA
USD
13367774.300000
0.4177508
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.887
Y
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
4500.000000
PA
USD
3593271.840000
0.1122919
Long
ABS-O
CORP
US
N
3
2048-10-15
Fixed
0
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE JR SUBORDINA 144A 12/99 VAR
83367TBU2
850000.000000
PA
USD
938952.500000
0.0293428
Long
DBT
CORP
FR
N
2
2028-04-06
Floating
6.75
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE JR SUBORDINA 144A 12/99 VAR
83367TBV0
3100000.000000
PA
USD
3388966.500000
0.1059072
Long
DBT
CORP
FR
N
2
2023-10-04
Floating
7.375
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2015-
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2015 B RC
834017105
200000.000000
PA
USD
1554591.330000
0.0485819
Long
ABS-O
CORP
US
N
3
2036-03-25
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
21280000.000000
PA
USD
6367720.800000
0.1989950
Long
ABS-O
CORP
US
N
2
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
22175000.000000
PA
USD
8179027.000000
0.2555994
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
109987.000000
PA
USD
4433397.180000
0.1385463
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
9122400.000000
PA
USD
4557824.710000
0.1424347
Long
ABS-O
CORP
US
N
2
2040-09-25
Fixed
0
N
N
N
N
N
N
SOLOSO CDO LTD 2007-1A
N/A
SOLOSO CDO LTD SLOSO 2007 1A A1LB 144A
83438JAC0
11318036.000000
PA
USD
9309084.610000
0.2909144
Long
ABS-CBDO
CORP
KY
N
2
2037-10-07
Floating
2.36313
N
N
N
N
N
N
SOTERA HEALTH HOLDINGS LLC
549300OVT7MBXFLOFU20
SOTERA HEALTH HOLDINGS LLC 2019 TERM LOAN
83600VAD3
723000.000000
PA
USD
726313.510000
0.0226977
Long
LON
CORP
US
N
2
2026-12-11
Floating
6.289
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LN TR 2006-3
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A3
83612HAC2
4752233.900000
PA
USD
4694634.920000
0.1467101
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.952
N
N
N
N
N
N
ACE SECURITIES CORP 2006-NC3
N/A
ACE SECURITIES CORP. ACE 2006 NC3 A2B
00442EAF2
24505454.560000
PA
USD
8644076.100000
0.2701325
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.902
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
3225867.570000
PA
USD
2467119.970000
0.0770989
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.942
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
2395715.150000
PA
USD
2269152.630000
0.0709124
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
2.892
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
6171597.930000
PA
USD
5226542.370000
0.1633325
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
2.742
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
8126227.770000
PA
USD
3052472.000000
0.0953915
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
1.972
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
9430897.330000
PA
USD
3614835.600000
0.1129657
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
2.052
N
N
N
N
N
N
ACE SECURITIES CORP 2006-SD1
N/A
ACE SECURITIES CORP. ACE 2006 SD1 M1
004421XW8
5330610.690000
PA
USD
5285718.420000
0.1651818
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.412
Y
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TRUST 2006-2
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 2 M2
83611MNJ3
7933000.000000
PA
USD
7791560.160000
0.2434908
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.142
N
N
N
N
N
N
SOUTH AFRICA GOVT
N/A
REPUBLIC OF SOUTH AFRICA SR UNSECURED 09/29 4.85
836205BA1
6400000.000000
PA
USD
6416000.000000
0.2005038
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
4.85
N
N
N
N
N
N
SOUTH AFRICA GOVT
N/A
REPUBLIC OF SOUTH AFRICA SR UNSECURED 09/49 5.75
836205BB9
4200000.000000
PA
USD
4098717.000000
0.1280873
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75
N
N
N
N
N
N
ADAGIO VI CLO DAC VI-A
N/A
ADAGIO CLO ADAGI VI A SUB 144A
ACI0YQYN3
1800000.000000
PA
1442350.260000
0.0450743
Long
ABS-CBDO
CORP
IE
N
2
2031-04-30
Variable
0
N
N
N
N
N
N
SPECIALTY UNDERWRITING & RESID 2005-BC2
N/A
SPECIALTY UNDERWRITING + RESID SURF 2005 BC2 M3
84751PFW4
2765128.520000
PA
USD
2772612.620000
0.0866458
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
2.767
N
N
N
N
N
N
SPECIALTY UNDERWRITING & RESID 2006-BC2
N/A
SPECIALTY UNDERWRITING + RESID SURF 2006 BC2 A2D
84751PLP2
3187662.890000
PA
USD
1741657.080000
0.0544278
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
3.82482
Y
N
N
N
N
N
SPECIALTY UNDERWRITING & RESID 2007-AB1
N/A
SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A2D
84752CAE7
571059.270000
PA
USD
297118.370000
0.0092851
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
2.142
N
N
N
N
N
N
SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE 2004-BC2
N/A
SPECIALTY UNDERWRITING + RESID SURF 2004 BC2 M2
84751PCL1
1714411.540000
PA
USD
1684311.620000
0.0526357
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
3.592
N
N
N
N
N
N
SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)
N/A
AGFC CAPITAL TRUST I LIMITD GUARA 144A 01/67 VAR
00846NAA5
20300000.000000
PA
USD
10150000.000000
0.3171935
Long
DBT
CORP
US
N
2
2067-01-15
Floating
3.75088
N
N
N
N
N
N
SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP)
5493008I795YYBFWFU90
SPRINGLEAF FINANCE CORP COMPANY GUAR 03/25 6.875
85172FAM1
565000.000000
PA
USD
644094.350000
0.0201283
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.875
N
N
N
N
N
N
SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP)
5493008I795YYBFWFU90
SPRINGLEAF FINANCE CORP COMPANY GUAR 11/29 5.375
85172FAR0
268000.000000
PA
USD
280234.200000
0.0087575
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.375
N
N
N
N
N
N
STAPLES INC
XQM2JINI1UL7642TU573
STAPLES INC SR SECURED 144A 04/26 7.5
855030AN2
99000.000000
PA
USD
102898.030000
0.0032156
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
7.5
N
N
N
N
N
N
STEARNS HOLDINGS LLC
549300B7MV13XJXKBZ36
ESC CB144A STEARNS HLD 08/20 9.375
858ESCAA4
823000.000000
PA
USD
0.000000
0.0000000
Long
DBT
CORP
US
N
3
2020-08-15
Fixed
0
Y
Y
N
N
N
N
STEARNS HOLDINGS LLC / STEARNS CO-ISSUER INC
N/A
STEARNS HLD/CO ISSUER COMPANY GUAR 144A 11/24 5
85801HAA2
21371.000000
PA
USD
14318.570000
0.0004475
Long
DBT
CORP
US
N
2
2024-11-05
Fixed
5
Y
Y
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2007-1
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 3A22
007037BP8
2917063.320000
PA
USD
2730773.530000
0.0853383
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
4.3197
N
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2007-1
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 5A1
007037AE4
1416212.420000
PA
USD
1451843.190000
0.0453710
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
1.942
Y
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2007-3
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 3 2A1 144A
00703RAE0
1196460.640000
PA
USD
1056162.950000
0.0330057
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Floating
5.55675
Y
N
N
N
N
N
ADJUSTABLE RATE MORTGAGE TRUST 2006-1
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 6A1
225470B93
4711777.690000
PA
USD
3330614.770000
0.1040837
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.052
N
N
N
N
N
N
ADVANZ PHARMA CORP (AKA: CONCORDIA INTERNATIONAL CORP)
549300WZSXRSISJ4VI31
ADVANZ PHARMA CORP 2018 USD TERM LOAN B
964AWKII5
25286733.100000
PA
USD
23690508.070000
0.7403423
Long
LON
CORP
CA
N
2
2024-09-06
Floating
7.4466
N
N
N
N
N
N
STRUCTURED ASSET MTGE INVEST 2006-AR5
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1
86360JAA9
31094.900000
PA
USD
29657.340000
0.0009268
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.002
N
N
N
N
N
N
AEGIS ASSET BACKED SECURITIES TRUST 2005-2
N/A
AEGIS ASSET BACKED SECURITIES AABST 2005 2 M3
00764MFD4
12093625.000000
PA
USD
11151119.220000
0.3484790
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
2.272
N
N
N
N
N
N
SUNTRUST ADJR MRTG LN TR 2007-1
N/A
SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 3A2
78473NAF0
3932562.550000
PA
USD
3814981.680000
0.1192204
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
4.49922
Y
N
N
N
N
N
SYMPHONY CLO XII LTD 2013-12A
N/A
CALIFORNIA STREET CLO XII, LTD SYMP 2013 12A E 144A
87159FAF9
9850000.000000
PA
USD
9704898.170000
0.3032838
Long
ABS-CBDO
CORP
KY
N
2
2025-10-15
Floating
6.90088
N
N
N
N
N
N
SYMPHONY CLO XIV LTD 2014-14A
N/A
SYMPHONY CLO LTD SYMP 2014 14A E 144A
87159QAW8
10700000.000000
PA
USD
10069461.950000
0.3146766
Long
ABS-CBDO
CORP
KY
N
2
2026-07-14
Floating
6.60088
N
N
N
N
N
N
SYNIVERSE HOLDINGS INC
549300CYZBHMZC8VLL59
SYNIVERSE HLDGS INC FIRST LIEN TERM LOAN B
87164GAM5
35342226.090000
PA
USD
32927185.750000
1.0289939
Long
LON
CORP
US
N
2
2023-03-09
Floating
6.8458
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
1535896.520000
PA
USD
1462941.440000
0.0457178
Long
ABS-CBDO
CORP
KY
N
2
2038-05-05
Floating
2.2305
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
5053217.930000
PA
USD
4813190.080000
0.1504150
Long
ABS-CBDO
CORP
KY
N
2
2038-05-05
Floating
2.2305
N
N
N
N
N
N
TABERNA PREFERRED FUNDING LTD 2006-5A
N/A
TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1A 144A
87331BAA0
3428313.730000
PA
USD
3055484.610000
0.0954857
Long
ABS-CBDO
CORP
KY
N
2
2036-08-05
Floating
2.2705
N
N
N
N
N
N
TABERNA PREFERRED FUNDING LTD 2006-5A
N/A
TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1AD 144A
87331BAB8
13790481.330000
PA
USD
12290766.490000
0.3840937
Long
ABS-CBDO
CORP
KY
N
2
2036-08-05
Floating
2.2705
N
N
N
N
N
N
TABERNA PREFERRED FUNDING VII LTD 2006-7A
N/A
TABERNA PREFERRED FUNDING LTD TBRNA 2006 7A A1LA 144A
873315AA3
21055456.510000
PA
USD
18581440.370000
0.5806809
Long
ABS-MBS
CORP
KY
N
2
2037-02-05
Floating
2.2405
N
N
N
N
N
N
TALEN ENERGY SUPPLY LLC (AKA: PPL ENERGY SUPPLY LLC)
K5K33XN0PQAU1XF7NN66
TALEN ENERGY SUPPLY LLC SR SECURED 144A 01/28 6.625
87422VAG3
160000.000000
PA
USD
163655.600000
0.0051143
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.625
N
N
N
N
N
N
TEKNI-PLEX (TRIDENT TPI HOLDINGS INC)
549300TPLK304J3RNC85
TRIDENT TPI HOLDINGS INC COMPANY GUAR 144A 08/24 9.25
89616RAB5
97000.000000
PA
USD
98252.760000
0.0030705
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
9.25
N
N
N
N
N
N
TELESAT CANADA / TELESAT LLC
N/A
TELESAT CANADA/TELESAT L COMPANY GUAR 144A 10/27 6.5
87952VAM8
68000.000000
PA
USD
71015.800000
0.0022193
Long
DBT
CORP
CA
N
2
2027-10-15
Fixed
6.5
N
N
N
N
N
N
TELESAT CANADA / TELESAT LLC
N/A
TELESAT CANADA/TELESAT L SR SECURED 144A 06/27 4.875
87952VAP1
169000.000000
PA
USD
172380.000000
0.0053870
Long
DBT
CORP
CA
N
2
2027-06-01
Fixed
4.875
N
N
N
N
N
N
TENET HEALTHCARE CORPORATION
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP SR SECURED 144A 09/24 4.625
88033GDC1
101000.000000
PA
USD
105428.850000
0.0032947
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.625
N
N
N
N
N
N
TEVA PHARMACEUTICAL FINANCE COMPANY BV
549300Q840R30TDKVK53
TEVA PHARMACEUT FIN BV COMPANY GUAR 11/21 3.65
88165FAF9
200000.000000
PA
USD
196200.000000
0.0061314
Long
DBT
CORP
IL
N
2
2021-11-10
Fixed
3.65
N
N
N
N
N
N
TEVA PHARMACEUTICAL FINANCE IV BV
549300P1YOE2RRPSGG38
TEVA PHARM FIN IV BV COMPANY GUAR 11/21 3.65
88166JAA1
204000.000000
PA
USD
200036.280000
0.0062513
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
3.65
N
N
N
N
N
N
TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV
549300HSQCIKJAOYIT23
TEVA PHARM FNC NL II COMPANY GUAR 04/22 3.25
933THVII5
1700000.000000
PA
1933777.080000
0.0604317
Long
DBT
CORP
NL
N
2
2022-04-15
Fixed
3.25
N
N
N
N
N
N
TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV
549300HSQCIKJAOYIT23
TEVA PHARM FNC NL II COMPANY GUAR 144A 01/25 6
ACI1H06K4
600000.000000
PA
713401.170000
0.0222942
Long
DBT
CORP
NL
N
2
2025-01-31
Fixed
6
N
N
N
N
N
N
TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV
549300HSQCIKJAOYIT23
TEVA PHARM FNC NL II COMPANY GUAR REGS 07/20 0.375
ACI0NSTB3
460593.010000
PA
515932.120000
0.0161232
Long
DBT
CORP
NL
N
2
2020-07-25
Fixed
0.375
N
N
N
N
N
N
TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV
5493004T21MOAFINJP35
TEVA PHARMACEUTICALS NE COMPANY GUAR 07/21 2.2
88167AAC5
1946000.000000
PA
USD
1888145.420000
0.0590057
Long
DBT
CORP
NL
N
2
2021-07-21
Fixed
2.2
N
N
N
N
N
N
TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV
5493004T21MOAFINJP35
TEVA PHARMACEUTICALS NE COMPANY GUAR 144A 01/25 7.125
88167AAM3
200000.000000
PA
USD
205857.000000
0.0064332
Long
DBT
CORP
NL
N
2
2025-01-31
Fixed
7.125
N
N
N
N
N
N
TEXAS PUBLIC FINANCE AUTHORITY
N/A
TEXAS ST PUBLIC FIN AUTH TXSGEN 07/24 FIXED 8.25
8827562Q1
100000.000000
PA
USD
100878.000000
0.0031525
Long
DBT
MUN
US
N
2
2024-07-01
Fixed
8.25
N
N
N
N
N
N
THEAT
N/A
WHLNME076 THEAT EXTENSION FEE WHLNME076 THEAT EXTENSION FEE
934LHLII3
800861.490000
PA
0.010000
0.0000000
Long
ABS-MBS
CORP
GB
Y
3
2024-12-15
Fixed
0
N
N
N
N
N
N
THEATRE HOSPITALS PLC 2007-1
N/A
THEATRE HOSPITALS PLC THEAT 2007 1 A REGS
G8790CAA1
24192475.690000
PA
32045348.590000
1.0014359
Long
ABS-MBS
CORP
GB
N
2
2031-10-15
Floating
3.785
N
N
N
N
N
N
THEATRE HOSPITALS PLC 2007-2
N/A
THEATRE HOSPITALS PLC THEAT 2007 2 A REGS
G8790BAC9
11712443.000000
PA
15514299.720000
0.4848310
Long
ABS-MBS
CORP
GB
N
2
2031-10-15
Floating
3.785
N
N
N
N
N
N
THEATRE HOSPITALS PLC 2007-2
N/A
THEATRE HOSPITALS PLC THEAT 2007 2 B REGS
G8790BAD7
1706900.730000
PA
2260960.370000
0.0706563
Long
ABS-MBS
CORP
GB
N
2
2031-10-15
Floating
4.535
N
N
N
N
N
N
TOBACCO SETTLEMENT FINANCE AUTHORITY
N/A
TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 FIXED 7.467
88880LAA1
13525000.000000
PA
USD
14065053.250000
0.4395412
Long
DBT
MUN
US
N
2
2047-06-01
Fixed
7.467
N
N
N
N
N
N
TOBACCO SETTLEMENT FINANCE AUTHORITY
N/A
TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0
88880LAB9
231485000.000000
PA
USD
10125153.900000
0.3164170
Long
DBT
MUN
US
N
2
2047-06-01
None
0
N
N
N
N
N
N
TOBACCO SETTLEMENT FING CORP VA
N/A
TOBACCO SETTLEMENT FING CORP V TOBGEN 06/46 FIXED OID 6.706
88880NAT6
95000.000000
PA
USD
91719.650000
0.0028663
Long
DBT
MUN
US
N
2
2046-06-01
Fixed
6.706
N
N
N
N
N
N
TOPAZ SOLAR FARMS LLC
N/A
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875
89054XAB1
8909551.620000
PA
USD
9254416.660000
0.2892060
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
89054XAA3
28123574.970000
PA
USD
31102156.860000
0.9719607
Long
DBT
CORP
US
N
2
2039-09-30
Fixed
5.75
N
N
N
N
N
N
TP ICAP PLC
5493009UWRK48KKUD358
TP ICAP PLC COMPANY GUAR REGS 01/24 5.25
ACI0S0XS7
12100000.000000
PA
17626160.050000
0.5508278
Long
DBT
CORP
GB
N
2
2024-01-26
Fixed
5.25
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC COMPANY GUAR 144A 11/27 5.5
893647BJ5
576000.000000
PA
USD
583534.080000
0.0182358
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.5
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC COMPANY GUAR 144A 01/26 7.5
893830BF5
285000.000000
PA
USD
282099.410000
0.0088158
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 11/25 7.25
893830BK4
361000.000000
PA
USD
354678.890000
0.0110839
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
733360.000000
PA
USD
753520.070000
0.0235479
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
640000.000000
PA
USD
679886.400000
0.0212468
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
6.875
N
N
N
N
N
N
TRANSOCEAN SENTRY LTD
N/A
TRANSOCEAN SENTRY LTD SR SECURED 144A 05/23 5.375
89385AAA3
400000.000000
PA
USD
407996.000000
0.0127501
Long
DBT
CORP
KY
N
2
2023-05-15
Fixed
5.375
N
N
N
N
N
N
TRAPEZA CDO III LLC 2003-3A
N/A
TRAPEZA CDO LLC TRAP 2003 3A A1B 144A
89412MAC0
3932839.010000
PA
USD
3873256.500000
0.1210415
Long
ABS-CBDO
CORP
US
N
2
2034-01-20
Floating
3.70188
N
N
N
N
N
N
TRIUMPH GROUP INC
5493007L6S47Q14SL582
TRIUMPH GROUP INC COMPANY GUAR 06/22 5.25
896818AL5
136000.000000
PA
USD
135702.430000
0.0042408
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
5.25
N
N
N
N
N
N
TRIUMPH GROUP INC
5493007L6S47Q14SL582
TRIUMPH GROUP INC SECURED 144A 09/24 6.25
896818AQ4
402000.000000
PA
USD
423440.670000
0.0132328
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
6.25
N
N
N
N
N
N
TRIVIUM PACKAGING FINANCE BV
724500GMZWW3PVYET548
TRIVIUM PACKAGING FIN COMPANY GUAR 144A 08/27 8.5
89686QAB2
200000.000000
PA
USD
222870.000000
0.0069648
Long
DBT
CORP
NL
N
2
2027-08-15
Fixed
8.5
N
N
N
N
N
N
TRIVIUM PACKAGING FINANCE BV
724500GMZWW3PVYET548
TRIVIUM PACKAGING FIN SR SECURED 144A 08/26 5.5
89686QAA4
440000.000000
PA
USD
464474.560000
0.0145151
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
5.5
N
N
N
N
N
N
TURKEY GOVT
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY SR UNSECURED 02/26 5.2
933RXJII8
3200000.000000
PA
3896651.230000
0.1217726
Long
DBT
NUSS
TR
N
2
2026-02-16
Fixed
5.2
N
N
N
N
N
N
TURKEY GOVT
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY SR UNSECURED 03/25 4.625
900123CU2
9200000.000000
PA
10937237.960000
0.3417951
Long
DBT
NUSS
TR
N
2
2025-03-31
Fixed
4.625
N
N
N
N
N
N
TURKEY GOVT
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY SR UNSECURED 04/29 7.625
900123CT5
10300000.000000
PA
USD
11403562.600000
0.3563680
Long
DBT
NUSS
TR
N
2
2029-04-26
Fixed
7.625
N
N
N
N
N
N
TURKEY GOVT
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY SR UNSECURED 06/25 3.25
ACI0VN7N3
600000.000000
PA
672086.250000
0.0210031
Long
DBT
NUSS
TR
N
2
2025-06-14
Fixed
3.25
N
N
N
N
N
N
TURKEY GOVT
5493000PCHOG3B6S3Q85
REPUBLIC OF TURKEY SR UNSECURED 11/24 5.6
900123CW8
14100000.000000
PA
USD
14372341.500000
0.4491441
Long
DBT
NUSS
TR
N
2
2024-11-14
Fixed
5.6
N
N
N
N
N
N
TWITTER INC
549300I8RX485XMK6836
TWITTER INC SR UNSECURED 144A 12/27 3.875
90184LAG7
121000.000000
PA
USD
121239.580000
0.0037888
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.875
N
N
N
N
N
N
UNIGEL LUXEMBOURG SA
N/A
UNIGEL LUXEMBOURG SA COMPANY GUAR 144A 10/26 8.75
904752AB8
1300000.000000
PA
USD
1327459.250000
0.0414839
Long
DBT
CORP
LU
N
2
2026-10-01
Fixed
8.75
N
N
N
N
N
N
UNIQUE PUB FINANCE CO PLC
213800FOMWLKHQTI5562
UNIQUE PUB FINANCE CO SECURED REGS 03/24 7.395
565675II8
6155000.000000
PA
9347986.730000
0.2921301
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 SR SECURED REGS 06/27 5.659
743541II7
5754182.010000
PA
8772677.670000
0.2741513
Long
DBT
CORP
GB
N
2
2027-06-30
Fixed
5.659
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 01/20 0.00000
912796RT8
18446000.000000
PA
USD
18446000.000000
0.5764483
Long
DBT
UST
US
N
2
2020-01-02
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 01/20 0.00000
912796TB5
6874000.000000
PA
USD
6870277.520000
0.2147002
Long
DBT
UST
US
N
2
2020-01-16
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 01/20 0.00000
912796TC3
1450000.000000
PA
USD
1448760.860000
0.0452746
Long
DBT
UST
US
N
2
2020-01-23
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 02/20 0.00000
912796TE9
3595000.000000
PA
USD
3589809.720000
0.1121837
Long
DBT
UST
US
N
2
2020-02-06
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 03/20 0.00000
912796SH3
5679000.000000
PA
USD
5659087.040000
0.1768498
Long
DBT
UST
US
N
2
2020-03-26
None
0
N
N
N
N
N
N
UNIVISION COMMUNICATIONS INC
549300YQDE2JSGTL8V47
UNIVISION COMMUNICATIONS 2017 REPLACEMENT REPRICED NEW
914908AX6
17081448.030000
PA
USD
16895379.820000
0.5279905
Long
LON
CORP
US
N
2
2024-03-15
Floating
4.5494
N
N
N
N
N
N
UNIVISION COMMUNICATIONS INC
549300YQDE2JSGTL8V47
UNIVISION COMMUNICATIONS SR SECURED 144A 02/25 5.125
914906AS1
5076000.000000
PA
USD
5031585.000000
0.1572400
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.125
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
776875.370000
0.0242778
Long
LON
CORP
NL
N
2
2025-07-02
Floating
3.5
N
N
N
N
N
N
US RENAL CARE INC
N/A
BCPE CYCLE MERGER SUB II SR UNSECURED 144A 07/27 10.625
07335BAA4
589000.000000
PA
USD
605402.180000
0.0189192
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
10.625
N
N
N
N
N
N
US RENAL CARE INC
N/A
U.S. RENAL CARE, INC. 2019 TERM LOAN B
90290PAN4
2076795.000000
PA
USD
2064853.430000
0.0645279
Long
LON
CORP
US
N
2
2026-06-26
Floating
6.8125
N
N
N
N
N
N
VALARIS PLC
7N0UJMJLXD0MDT5D5086
VALARIS PLC SR UNSECURED 02/26 7.75
91889DAE6
94000.000000
PA
USD
53342.650000
0.0016670
Long
DBT
CORP
GB
N
2
2026-02-01
Fixed
7.75
N
N
N
N
N
N
VALARIS PLC
7N0UJMJLXD0MDT5D5086
VALARIS PLC SR UNSECURED 10/44 5.75
91889DAF3
717000.000000
PA
USD
325112.900000
0.0101600
Long
DBT
CORP
GB
N
2
2044-10-01
Fixed
5.75
N
N
N
N
N
N
VALE OVERSEAS LTD
254900BA3U6G5DNV5V04
VALE OVERSEAS LIMITED COMPANY GUAR 11/36 6.875
91911TAH6
307000.000000
PA
USD
400154.550000
0.0125051
Long
DBT
CORP
KY
N
2
2036-11-21
Fixed
6.875
N
N
N
N
N
N
VALE OVERSEAS LTD
254900BA3U6G5DNV5V04
VALE OVERSEAS LIMITED COMPANY GUAR 11/39 6.875
91911TAK9
236000.000000
PA
USD
308200.660000
0.0096315
Long
DBT
CORP
KY
N
2
2039-11-10
Fixed
6.875
N
N
N
N
N
N
VENEZUELAN GOVT
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25
922646AS3
1654000.000000
PA
USD
198480.000000
0.0062026
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
188000.000000
PA
USD
22560.000000
0.0007050
Long
DBT
NUSS
VE
N
2
2024-10-13
Fixed
8.25
Y
Y
N
N
N
N
VENEZUELAN GOVT
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA SR UNSECURED REGS 12/20 6
P97475AG5
1330000.000000
PA
USD
159600.000000
0.0049876
Long
DBT
NUSS
VE
N
2
2020-12-09
Fixed
6
Y
Y
N
N
N
N
VERDE CDO LTD 2005-1A
N/A
VERDE CDO LTD VERDE 2005 1A A1 144A
923367AA4
176668001.960000
PA
USD
61366358.350000
1.9177347
Long
ABS-CBDO
CORP
KY
N
2
2045-10-05
Floating
2.27313
N
N
N
N
N
N
VIASAT INC
UFC8NYMNFSYIHNSM2I38
VIASAT INC SR SECURED 144A 04/27 5.625
92552VAL4
82000.000000
PA
USD
87891.700000
0.0027467
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.625
N
N
N
N
N
N
VOYAGER AVIATION HOLDINGS LLC / VOYAGER FINANCE CO
N/A
VOYAGER AVIATION HLDS SR UNSECURED 144A 08/21 8.5
46122XAG8
69440000.000000
PA
USD
71344044.800000
2.2295433
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
8.5
N
N
N
N
N
N
WACHOVIA BANK COMM MTGE TRUST 2006-C28
N/A
WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C28 D
92978MAM8
452386.150000
PA
USD
444195.200000
0.0138814
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
5.72
Y
N
N
N
N
N
WACHOVIA MTGE LOAN TRUST 2005-WMC1
N/A
WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 WMC1 M2
92977YAY7
8000000.000000
PA
USD
7622145.600000
0.2381965
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.482
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC COMPANY GUAR 11/31 8
36186CBY8
9000.000000
PA
USD
12509.550000
0.0003909
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
8
N
N
N
N
N
N
WARWICK FINANCE RESIDENTIAL MORTGAGES 3A
N/A
WARWICK FINANCE RESIDENTIAL MO WARW 3A A 144A
ACI0Y9KL0
19699948.970000
PA
26111452.620000
0.8159982
Long
ABS-MBS
CORP
GB
N
2
2049-12-21
Floating
1.59963
N
N
N
N
N
N
WARWICK FINANCE RESIDENTIAL MORTGAGES 3A
N/A
WARWICK FINANCE RESIDENTIAL MO WARW 3A B 144A
ACI0Y9KJ5
2261000.000000
PA
3001692.270000
0.0938046
Long
ABS-MBS
CORP
GB
N
2
2049-12-21
Floating
2.29963
N
N
N
N
N
N
WARWICK FINANCE RESIDENTIAL MORTGAGES 3A
N/A
WARWICK FINANCE RESIDENTIAL MO WARW 3A C 144A
ACI0Y9KH9
1130000.000000
PA
1506588.190000
0.0470818
Long
ABS-MBS
CORP
GB
N
2
2049-12-21
Floating
2.79963
N
N
N
N
N
N
WARWICK FINANCE RESIDENTIAL MORTGAGES 3A
N/A
WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A
ACI0Y9JX6
646000.000000
PA
863933.410000
0.0269984
Long
ABS-MBS
CORP
GB
N
2
2049-12-21
Floating
3.29963
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
853061.680000
0.0266587
Long
ABS-MBS
CORP
GB
N
2
2049-12-21
Floating
3.79963
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
331721.690000
0.0103665
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
1249174.030000
0.0390374
Long
ABS-MBS
CORP
GB
N
2
2049-12-21
Fixed
0
N
N
N
N
N
N
WARWICK FINANCE RESIDENTIAL MORTGAGES PLC 1
N/A
WARWICK FINANCE RESIDENTIAL MO WARW 1 PRC REGS
ACI0VM465
100.000000
PA
87032932.770000
2.7198302
Long
ABS-MBS
CORP
GB
N
2
2049-09-21
Variable
0
N
N
N
N
N
N
WARWICK FINANCE RESIDENTIAL MORTGAGES PLC 1
N/A
WARWICK FINANCE RESIDENTIAL MO WARW 1 RRC REGS
ACI0VM457
100.000000
PA
45091088.780000
1.4091230
Long
ABS-MBS
CORP
GB
N
2
2049-09-21
Variable
0
N
N
N
N
N
N
WASHINGTON MUTUAL 2006 AR7
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A
93363CAC3
307161.030000
PA
USD
297865.050000
0.0093085
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
2.627
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR8
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 2A1
93362FAF0
1985362.560000
PA
USD
1951233.380000
0.0609772
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
3.87993
Y
N
N
N
N
N
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH 2006-4
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 4 3A3
939344AN7
6258239.540000
PA
USD
5865078.160000
0.1832871
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
5.967
Y
N
N
N
N
N
WASHINGTON MUTUAL MTGE P/T 2006-AR4
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR4 DA
939345AD6
7690598.630000
PA
USD
5156881.690000
0.1611556
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
3.20948
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC SR UNSECURED 11/31 8
370425RZ5
7000.000000
PA
USD
9608.740000
0.0003003
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
8
N
N
N
N
N
N
WASHINGTON MUTUAL MTGE P/T 2007-OC1
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OC1 A1
93936FAA8
2034694.260000
PA
USD
1888459.560000
0.0590155
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
2.032
Y
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
ALTICE FINANCING SA SR SECURED 144A 02/23 5.25
ACI0BNKN0
100000.000000
PA
114988.270000
0.0035935
Long
DBT
CORP
LU
N
2
2023-02-15
Fixed
5.25
N
N
N
N
N
N
WELLS FARGO HOME EQUITY TRUST 2006-1
N/A
WELLS FARGO HOME EQUITY TRUST WFHET 2006 1 M3
9497EUAK3
4999560.000000
PA
USD
4974726.690000
0.1554631
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.122
N
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
5642719.450000
PA
USD
4925876.270000
0.1539365
Long
ABS-MBS
CORP
US
N
2
2037-03-27
Floating
3.86037
N
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
ALTICE FINANCING SA SR SECURED 144A 05/26 7.5
02154CAE3
8700000.000000
PA
USD
9368595.000000
0.2927741
Long
DBT
CORP
LU
N
2
2026-05-15
Fixed
7.5
N
N
N
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND COAL CO PIK TERM LOAN
96106JAE9
15706343.520000
PA
USD
12565074.820000
0.3926660
Long
LON
CORP
US
N
2
2029-03-15
Fixed
15
N
N
Y
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND MNG HLDGS LLC INITIAL TERM LOANS
96106JAB5
5337870.280000
PA
USD
5391248.980000
0.1684797
Long
LON
CORP
US
N
3
2022-03-15
Floating
10.1496
N
N
N
N
N
N
WHLN - SV PORTFOLIO
N/A
PREYLOCK REITMAN SANTA CRUZ TERM LOAN
933BWMII7
31560000.000000
PA
USD
31696370.760000
0.9905302
Long
LON
CORP
US
Y
3
2022-11-09
Floating
7.2051
N
N
N
N
N
N
ALTICE FRANCE SA (AKA: SFR GROUP SA)
5493001ZMCICV4N02J21
ALTICE FRANCE SA SR SECURED 144A 02/27 5.875
ACI13Z7Y1
1200000.000000
PA
1519342.590000
0.0474803
Long
DBT
CORP
FR
N
2
2027-02-01
Fixed
5.875
N
N
N
N
N
N
WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)
549300L3SXBFJVGRCF66
WINDSTREAM CORP TRANCHE B6 TERM LOANS
97381HAR8
11680000.000000
PA
USD
11207929.440000
0.3502544
Long
LON
CORP
US
N
2
2021-03-29
Floating
9.75
N
N
N
N
N
N
WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)
549300L3SXBFJVGRCF66
WINDSTREAM CORP TRANCHE B7
97381HAT4
31235388.000000
PA
USD
29663873.160000
0.9270134
Long
LON
CORP
US
N
2
2024-02-17
Floating
9
N
N
N
N
N
N
WMALT MTGE PASS-THRU CERT 2005-10
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 2A1
93934FFZ0
1465699.400000
PA
USD
1438578.830000
0.0449564
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.75
Y
N
N
N
N
N
ALTICE FRANCE SA (AKA: SFR GROUP SA)
5493001ZMCICV4N02J21
ALTICE FRANCE SA SR SECURED 144A 02/27 8.125
02156LAA9
10900000.000000
PA
USD
12296290.000000
0.3842663
Long
DBT
CORP
FR
N
2
2027-02-01
Fixed
8.125
N
N
N
N
N
N
WYNDHAM DESTINATIONS INC (AKA: WYNDHAM WORLDWIDE CORP)
T4VNTWMFQ7JQB65L7T35
WYNDHAM DESTINATIONS INC SR SECURED 03/23 3.9
98310WAL2
409000.000000
PA
USD
413856.880000
0.0129333
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
3.9
N
N
N
N
N
N
WYNDHAM DESTINATIONS INC (AKA: WYNDHAM WORLDWIDE CORP)
T4VNTWMFQ7JQB65L7T35
WYNDHAM DESTINATIONS INC SR SECURED 04/24 5.4
98310WAP3
174000.000000
PA
USD
184729.710000
0.0057729
Long
DBT
CORP
US
N
2
2024-04-01
Variable
5.4
N
N
N
N
N
N
WYNDHAM DESTINATIONS INC (AKA: WYNDHAM WORLDWIDE CORP)
T4VNTWMFQ7JQB65L7T35
WYNDHAM DESTINATIONS INC SR SECURED 144A 03/30 4.625
98310WAQ1
228000.000000
PA
USD
228997.500000
0.0071563
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.625
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED 144A 12/29 5.125
98313RAE6
500000.000000
PA
USD
511505.000000
0.0159848
Long
DBT
CORP
KY
N
2
2029-12-15
Fixed
5.125
N
N
N
N
N
N
YELLOWSTONE ENERGY LP
N/A
YELLOWSTONE ENERGY LP SR SECURED 12/26 5.75
98580LAA3
3205246.920000
PA
USD
3415263.000000
0.1067290
Long
DBT
CORP
US
N
3
2026-12-31
Fixed
5.75
N
N
N
N
N
N
ALTICE FRANCE SA (AKA: SFR GROUP SA)
5493001ZMCICV4N02J21
ALTICE FRANCE SA TERM B13
F6628DAM6
1485000.000000
PA
USD
1493353.130000
0.0466682
Long
LON
CORP
FR
N
2
2026-08-14
Floating
5.7397
N
N
N
N
N
N
N/A
N/A
CITIGROUP/SALOMON REVERSE REPO ZCP
000000000
-1892880.000000
PA
-2511485.190000
-0.0784854
Short
RA
GB
N
2
Reverse repurchase
N
1.0000000
2020-01-29
2200000.000000
GBP
2427672.280000
GBP
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-8337000.000000
PA
USD
-8388710.240000
-0.2621521
Short
RA
US
N
2
Reverse repurchase
N
2.4810000
2020-01-02
9176000.000000
USD
9340796.880000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-69512000.000000
PA
USD
-69970042.740000
-2.1866049
Short
RA
US
N
2
Reverse repurchase
N
2.8360000
2020-01-08
110098550.650000
USD
89034234.360000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-26660000.000000
PA
USD
-26716304.820000
-0.8349002
Short
RA
US
N
2
Reverse repurchase
N
2.2700000
2020-01-14
29006971.270000
USD
31162341.970000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-41346000.000000
PA
USD
-41497383.770000
-1.2968176
Short
RA
US
N
2
Reverse repurchase
N
2.6900000
2020-01-14
65773187.200000
USD
53491313.960000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-12323000.000000
PA
USD
-12379644.730000
-0.3868712
Short
RA
US
N
2
Reverse repurchase
N
2.3640000
2020-01-22
13714194.100000
USD
12584834.930000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-41456000.000000
PA
USD
-41683621.080000
-1.3026376
Short
RA
US
N
2
Reverse repurchase
N
2.7840000
2020-01-22
66142172.000000
USD
57829687.410000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-12750000.000000
PA
USD
-12819378.070000
-0.4006131
Short
RA
US
N
2
Reverse repurchase
N
2.8390000
2020-01-23
15178044.940000
USD
16669260.530000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-14592000.000000
PA
USD
-14666284.230000
-0.4583300
Short
RA
US
N
2
Reverse repurchase
N
2.9090000
2020-01-29
21360000.000000
USD
20918132.650000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-44750000.000000
PA
USD
-44947546.390000
-1.4046372
Short
RA
US
N
2
Reverse repurchase
N
2.7400000
2020-02-03
61049188.620000
USD
57060782.520000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-8810000.000000
PA
USD
-8848967.000000
-0.2765354
Short
RA
US
N
2
Reverse repurchase
N
2.7935000
2020-02-04
12826419.040000
USD
12128397.290000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-6202000.000000
PA
USD
-6228950.450000
-0.1946584
Short
RA
US
N
2
Reverse repurchase
N
2.7935000
2020-02-05
11185414.480000
USD
8340742.420000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-22377000.000000
PA
USD
-22456461.830000
-0.7017776
Short
RA
US
N
2
Reverse repurchase
N
2.3292500
2020-02-07
24272783.660000
USD
26077917.670000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-7886000.000000
PA
USD
-7908948.260000
-0.2471593
Short
RA
US
N
2
Reverse repurchase
N
2.3280000
2020-02-18
8299264.870000
USD
9192471.260000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-35484999.990000
PA
USD
-35596056.220000
-1.1123976
Short
RA
US
N
2
Reverse repurchase
N
2.7480000
2020-02-20
47119546.110000
USD
42949876.960000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-978000.000000
PA
USD
-979694.380000
-0.0306160
Short
RA
US
N
2
Reverse repurchase
N
2.3100000
2020-03-05
1016000.000000
USD
1017925.650000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-53512000.000000
PA
USD
-53621851.970000
-1.6757143
Short
RA
US
N
2
Reverse repurchase
N
2.7371300
2020-03-05
90240041.630000
USD
67480010.390000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-3678000.000000
PA
USD
-3684896.250000
-0.1151552
Short
RA
US
N
2
Reverse repurchase
N
2.2500000
2020-01-03
4200000.000000
USD
4098717.000000
USD
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-5936000.000000
PA
USD
-5957889.000000
-0.1861875
Short
RA
US
N
2
Reverse repurchase
N
2.2500000
2020-01-03
6400000.000000
USD
6416000.000000
USD
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-4725000.000000
PA
USD
-4757506.940000
-0.1486749
Short
RA
US
N
2
Reverse repurchase
N
2.9840000
2020-01-09
51924000.000000
USD
7002299.290000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-29067000.000000
PA
USD
-29080583.970000
-0.9087853
Short
RA
US
N
2
Reverse repurchase
N
2.8040000
2020-01-27
44233376.130000
USD
40935375.660000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-39011000.020000
PA
USD
-39162050.620000
-1.2238371
Short
RA
US
N
2
Reverse repurchase
N
2.9040000
2020-02-13
57793506.000000
USD
52611353.040000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO FIRST BOSTON REVERSE REPO
000000000
-9112000.000000
PA
USD
-9129363.420000
-0.2852980
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-01-06
12312000.000000
USD
12366039.640000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO HSBC
000000000
-11374000.000000
PA
USD
-11417988.940000
-0.3568189
Short
RA
US
N
2
Reverse repurchase
N
2.7300000
2020-02-12
14536713.620000
USD
13828611.620000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO HSBC
000000000
-7681000.000000
PA
USD
-7711794.410000
-0.2409981
Short
RA
US
N
2
Reverse repurchase
N
2.8300000
2020-02-12
10917739.600000
USD
9767053.520000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO HSBC
000000000
-26638000.000000
PA
USD
-26721428.740000
-0.8350603
Short
RA
US
N
2
Reverse repurchase
N
2.7500000
2020-02-21
38281591.360000
USD
32203006.330000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO MIZUHO SECURITIES
000000000
-29757000.000000
PA
USD
-29883814.930000
-0.9338868
Short
RA
US
N
2
Reverse repurchase
N
2.8033800
2020-01-06
42201313.080000
USD
38526919.640000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO MIZUHO SECURITIES
000000000
-21713000.000000
PA
USD
-21812817.110000
-0.6816633
Short
RA
US
N
2
Reverse repurchase
N
2.8533800
2020-01-06
33243800.320000
USD
27295315.140000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO MIZUHO SECURITIES
000000000
-18717000.000000
PA
USD
-18821688.340000
-0.5881888
Short
RA
US
N
2
Reverse repurchase
N
2.8360000
2020-01-24
27881980.000000
USD
24241871.890000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO MIZUHO SECURITIES
000000000
-5362000.000000
PA
USD
-5379795.060000
-0.1681218
Short
RA
US
N
2
Reverse repurchase
N
2.8446300
2020-02-19
11003171.930000
USD
6749828.700000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO MORGAN STANLEY
000000000
-49640000.000000
PA
USD
-49922542.600000
-1.5601087
Short
RA
US
N
2
Reverse repurchase
N
2.8860000
2020-01-24
84390225.140000
USD
68678535.650000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO MORGAN STANLEY
000000000
-20426000.010000
PA
USD
-20547166.790000
-0.6421110
Short
RA
US
N
2
Reverse repurchase
N
3.2356300
2020-04-27
31633032.860000
USD
29405914.540000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO MORGAN STANLEY
000000000
-18680000.000000
PA
USD
-18729058.680000
-0.5852941
Short
RA
US
N
2
Reverse repurchase
N
3.3766300
2020-06-05
28699311.500000
USD
24906664.470000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-6272000.000000
PA
USD
-6302513.270000
-0.1969572
Short
RA
US
N
2
Reverse repurchase
N
2.7800000
2020-01-29
9176369.720000
USD
7881762.890000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-7280000.000000
PA
USD
-7307441.550000
-0.2283618
Short
RA
US
N
2
Reverse repurchase
N
2.3000000
2020-01-03
7937000.000000
USD
8101264.490000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-5176000.000000
PA
USD
-5179378.770000
-0.1618586
Short
RA
US
N
2
Reverse repurchase
N
2.3500000
2020-01-03
5497000.000000
USD
5714128.980000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-6914000.000000
PA
USD
-6941761.630000
-0.2169341
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-01-03
7600847.820000
USD
7525666.840000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-6193000.000000
PA
USD
-6214494.870000
-0.1942066
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-01-13
7901002.000000
USD
6823189.590000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-18056000.000000
PA
USD
-18108964.270000
-0.5659158
Short
RA
US
N
2
Reverse repurchase
N
2.4000000
2020-01-21
18471000.000000
USD
19217880.230000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-11788000.000000
PA
USD
-11824018.890000
-0.3695075
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2020-01-21
20920000.000000
USD
12460860.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-4547000.000000
PA
USD
-4561386.380000
-0.1425460
Short
RA
US
N
2
Reverse repurchase
N
2.6000000
2020-01-21
4959962.180000
USD
4883696.150000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-2060000.000000
PA
USD
-2068491.780000
-0.0646416
Short
RA
US
N
2
Reverse repurchase
N
2.6500000
2020-01-06
2759000.000000
USD
2771798.600000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-5167000.000000
PA
USD
-5187366.600000
-0.1621083
Short
RA
US
N
2
Reverse repurchase
N
2.5800000
2020-01-07
5400000.000000
USD
6120405.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-13412000.000000
PA
USD
-13464848.860000
-0.4207844
Short
RA
US
N
2
Reverse repurchase
N
2.8950000
2020-01-10
20418168.000000
USD
17273638.940000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-21495000.000000
PA
USD
-21581577.080000
-0.6744369
Short
RA
US
N
2
Reverse repurchase
N
2.9000000
2020-01-13
35304928.700000
USD
29009230.400000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-45465000.000000
PA
USD
-45618717.170000
-1.4256117
Short
RA
US
N
2
Reverse repurchase
N
2.8980000
2020-02-19
66620915.400000
USD
57753315.460000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-22261000.000000
PA
USD
-22315134.830000
-0.6973611
Short
RA
US
N
2
Reverse repurchase
N
3.1266300
2020-03-05
31858730.840000
USD
30096057.270000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO/REGIONS BANK
000000000
-22630248.000000
PA
USD
-22698138.750000
-0.7093302
Short
RA
US
N
2
Reverse repurchase
N
2.4000000
2020-02-18
24400000.000000
USD
25775904.100000
USD
N
N
N
N/A
N/A
REVERSE REPO/REGIONS BANK
000000000
-58554000.010000
PA
USD
-58784858.610000
-1.8370613
Short
RA
US
N
2
Reverse repurchase
N
3.1541300
2020-11-16
87400033.810000
USD
81195843.340000
USD
PLCMO
N
N
N
N/A
N/A
MERRILL LYNCH REVERSE REPO EUR ZCP
000000000
-20928243.480000
PA
-23479982.700000
-0.7337632
Short
RA
LU
N
2
Reverse repurchase
N
0.2000000
2020-01-07
52143321.400000
EUR
30211704.330000
EUR
N
N
N
N/A
N/A
GOLDMAN REVERSE REPO EUR ZCP
000000000
-13796507.920000
PA
-15505647.030000
-0.4845606
Short
RA
LU
N
2
Reverse repurchase
N
0.5000000
2020-02-13
18469220.770000
EUR
17011716.670000
EUR
ABS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-1139117.000000
PA
-1277659.490000
-0.0399276
Short
RA
LU
N
2
Reverse repurchase
N
-0.2500000
2020-01-06
1200000.000000
EUR
1354500.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-331959.000000
PA
-372119.680000
-0.0116290
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2020-01-15
400000.000000
EUR
399446.400000
EUR
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-205062.000000
PA
-229874.070000
-0.0071837
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2020-01-16
230000.000000
EUR
240637.500000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-1910130.040000
PA
-2141460.070000
-0.0669219
Short
RA
LU
N
2
Reverse repurchase
N
-0.2500000
2020-01-16
2300000.000000
EUR
2360375.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-972757.000000
PA
-1090458.190000
-0.0340775
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2020-01-17
1100000.000000
EUR
1155193.600000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-3573255.740000
PA
-4006029.360000
-0.1251908
Short
RA
LU
N
2
Reverse repurchase
N
-0.2500000
2020-01-17
4211000.000000
EUR
4468923.750000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-1293036.250000
PA
-1449538.520000
-0.0452989
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2020-01-22
1600000.000000
EUR
1622560.000000
EUR
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-519070.000000
PA
-581977.090000
-0.0181871
Short
RA
LU
N
2
Reverse repurchase
N
-0.2500000
2020-01-28
600000.000000
EUR
636750.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-3212447.960000
PA
-3604807.280000
-0.1126523
Short
RA
LU
N
2
Reverse repurchase
N
0.3940000
2020-02-27
4409961.780000
EUR
4061948.320000
EUR
ABS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-1147930.480000
PA
-1285287.370000
-0.0401660
Short
RA
LU
N
2
Reverse repurchase
N
-0.1500000
2020-10-21
1574000.000000
EUR
1540551.050000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-14673649.760000
PA
-16469934.280000
-0.5146951
Short
RA
LU
N
2
Reverse repurchase
N
0.4010000
2020-02-05
22488352.120000
EUR
20109540.980000
EUR
ABS
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-3583093.950000
PA
-4020494.130000
-0.1256428
Short
RA
LU
N
2
Reverse repurchase
N
0.3460000
2020-02-28
5249954.500000
EUR
4835652.770000
EUR
ABS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-1425312.000000
PA
-1598198.590000
-0.0499446
Short
RA
LU
N
2
Reverse repurchase
N
-0.1500000
2020-01-07
1500000.000000
EUR
1676812.500000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-9816246.650000
PA
-11008494.860000
-0.3440219
Short
RA
LU
N
2
Reverse repurchase
N
-0.1000000
2020-01-23
26570000.000000
EUR
12346828.440000
EUR
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-2978383.090000
PA
-3340718.860000
-0.1043994
Short
RA
LU
N
2
Reverse repurchase
N
-0.0500000
2020-03-04
7800000.000000
EUR
3745363.830000
EUR
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-1521000.000000
PA
USD
-1523848.090000
-0.0476211
Short
RA
US
N
2
Reverse repurchase
N
2.2470000
2020-01-07
13076918.470000
USD
1838403.260000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-2774000.000000
PA
USD
-2783431.600000
-0.0869839
Short
RA
US
N
2
Reverse repurchase
N
2.4000000
2020-01-14
2794931.580000
USD
3010636.010000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-2643000.000000
PA
USD
-2652547.810000
-0.0828937
Short
RA
US
N
2
Reverse repurchase
N
2.5500000
2020-01-14
599350102.940000
USD
3083056.930000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-20523000.000000
PA
USD
-20603292.710000
-0.6438650
Short
RA
US
N
2
Reverse repurchase
N
2.8000000
2020-01-14
24578750.410000
USD
24308543.680000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-8346000.000000
PA
USD
-8416300.440000
-0.2630143
Short
RA
US
N
2
Reverse repurchase
N
3.0630000
2020-03-25
17648226.130000
USD
11711608.170000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-7653000.000000
PA
USD
-7685787.520000
-0.2401854
Short
RA
US
N
2
Reverse repurchase
N
2.8042500
2020-02-07
10900000.000000
USD
10478505.720000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-8262000.000000
PA
USD
-8288903.700000
-0.2590331
Short
RA
US
N
2
Reverse repurchase
N
2.7911300
2020-05-19
11484000.000000
USD
11284804.280000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2744000.000000
PA
USD
-2762465.290000
-0.0863287
Short
RA
US
N
2
Reverse repurchase
N
2.8840000
2020-01-08
3500000.000000
USD
3494671.230000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-5892000.000000
PA
USD
-5926574.260000
-0.1852089
Short
RA
US
N
2
Reverse repurchase
N
2.9340000
2020-01-22
8633483.000000
USD
7886688.450000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2998000.000000
PA
USD
-3015359.750000
-0.0942318
Short
RA
US
N
2
Reverse repurchase
N
2.9360000
2020-01-23
4607243.500000
USD
4497373.180000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-8868000.000000
PA
USD
-8912321.280000
-0.2785153
Short
RA
US
N
2
Reverse repurchase
N
2.9020000
2020-01-30
10975000.000000
USD
11359125.000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2404000.000000
PA
USD
-2411945.620000
-0.0753747
Short
RA
US
N
2
Reverse repurchase
N
2.8330000
2020-01-21
3304154.000000
USD
3198607.430000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-4969000.000000
PA
USD
-4984668.910000
-0.1557738
Short
RA
US
N
2
Reverse repurchase
N
2.6400000
2020-02-18
5832512.000000
USD
5865746.820000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO DEUTSCHE REVERSE REPO
000000000
-19098000.000000
PA
USD
-19187473.700000
-0.5996198
Short
RA
US
N
2
Reverse repurchase
N
2.6771300
2020-01-31
29541811.670000
USD
26476432.900000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO DEUTSCHE REVERSE REPO
000000000
-26465000.000000
PA
USD
-26586815.460000
-0.8308536
Short
RA
US
N
2
Reverse repurchase
N
2.9590000
2020-02-07
36752398.700000
USD
34079019.850000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO DEUTSCHE REVERSE REPO
000000000
-4251000.000000
PA
USD
-4259733.680000
-0.1331192
Short
RA
US
N
2
Reverse repurchase
N
2.6415000
2020-03-05
13997198.310000
USD
6106273.020000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO GOLDMAN
000000000
-6175000.000000
PA
USD
-6199442.710000
-0.1937362
Short
RA
US
N
2
Reverse repurchase
N
2.8500000
2020-02-11
8920603.800000
USD
8645094.520000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO GOLDMAN
000000000
-28285000.000000
PA
USD
-28383595.230000
-0.8870040
Short
RA
US
N
2
Reverse repurchase
N
2.8520000
2020-02-18
42746103.750000
USD
37755227.420000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO HSBC
000000000
-8984000.000000
PA
USD
-9022568.810000
-0.2819606
Short
RA
US
N
2
Reverse repurchase
N
2.8100000
2020-02-07
22701310.450000
USD
12222213.020000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO MIZUHO SECURITIES
000000000
-16650000.000000
PA
USD
-16723937.050000
-0.5226328
Short
RA
US
N
2
Reverse repurchase
N
2.8046300
2020-01-06
20900000.000000
USD
20793334.760000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO MIZUHO SECURITIES
000000000
-15987000.000000
PA
USD
-16056494.050000
-0.5017749
Short
RA
US
N
2
Reverse repurchase
N
2.8452500
2020-01-07
21696850.000000
USD
19412408.190000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO MORGAN STANLEY
000000000
-20257000.000000
PA
USD
-20280466.610000
-0.6337765
Short
RA
US
N
2
Reverse repurchase
N
3.2080000
2020-03-20
35538995.330000
USD
30759529.990000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-6936000.000000
PA
USD
-6958892.270000
-0.2174695
Short
RA
US
N
2
Reverse repurchase
N
2.8980000
2020-02-20
9031050.000000
USD
8775917.420000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO/REGIONS BANK
000000000
-6323000.000000
PA
USD
-6328078.600000
-0.1977562
Short
RA
US
N
2
Reverse repurchase
N
2.8915000
2020-03-05
8732800.000000
USD
8014487.030000
USD
PLCMO
N
N
N
N/A
N/A
J P MORGAN TERM REPO
000000000
121800000.000000
PA
USD
121800000.000000
3.8063215
Long
RA
US
N
2
Repurchase
N
1.6500000
2020-01-02
109853000.000000
USD
123224169.840000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-30084338.190000
PA
-39985913.220000
-1.2495833
Short
RA
GB
N
2
Reverse repurchase
N
1.6140000
2020-01-15
51416939.200000
GBP
51411797.510000
GBP
ABS
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-26611340.540000
PA
-35349502.910000
-1.1046927
Short
RA
GB
N
2
Reverse repurchase
N
1.6050000
2020-01-29
35904918.600000
GBP
35904918.600000
GBP
ABS
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-7784194.600000
PA
-10339201.020000
-0.3231061
Short
RA
GB
N
2
Reverse repurchase
N
1.2200000
2020-02-10
9730000.000000
GBP
10006526.600000
GBP
CDS
N
N
N
N/A
N/A
FIRST BOSTON REVERSE REPO GBP ZCP
000000000
-2149425.000000
PA
-2848508.790000
-0.0890176
Short
RA
GB
N
2
Reverse repurchase
N
0.9000000
2020-03-12
2330000.000000
GBP
2332912.500000
GBP
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-9989759.140000
PA
-13261630.390000
-0.4144337
Short
RA
GB
N
2
Reverse repurchase
N
0.9500000
2020-01-07
11165000.000000
GBP
12196366.880000
GBP
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-2030697.880000
PA
-2696982.450000
-0.0842823
Short
RA
GB
N
2
Reverse repurchase
N
1.2500000
2020-01-10
2320000.000000
GBP
2580468.720000
GBP
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-373582.000000
PA
-495790.150000
-0.0154937
Short
RA
GB
N
2
Reverse repurchase
N
0.9000000
2020-01-14
400000.000000
GBP
449665.600000
GBP
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-18052645.560000
PA
-23960638.290000
-0.7487840
Short
RA
GB
N
2
Reverse repurchase
N
0.9500000
2020-01-14
17864000.000000
GBP
22598227.960000
GBP
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-60374694.870000
PA
-80131247.320000
-2.5041485
Short
RA
GB
N
2
Reverse repurchase
N
0.9500000
2020-01-15
66550000.000000
GBP
72942122.260000
GBP
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-29986815.830000
PA
-39792373.940000
-1.2435350
Short
RA
GB
N
2
Reverse repurchase
N
0.9500000
2020-01-16
36860000.000000
GBP
36906075.000000
GBP
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-736140.000000
PA
-976980.270000
-0.0305312
Short
RA
GB
N
2
Reverse repurchase
N
0.9500000
2020-01-17
800000.000000
GBP
906000.000000
GBP
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-201151.000000
PA
-266933.560000
-0.0083418
Short
RA
GB
N
2
Reverse repurchase
N
0.9500000
2020-01-22
220000.000000
GBP
240322.500000
GBP
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-51170625.980000
PA
-67903277.090000
-2.1220173
Short
RA
GB
N
2
Reverse repurchase
N
0.9500000
2020-01-23
56916000.000000
GBP
62130306.840000
GBP
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-5631576.810000
PA
-7472144.570000
-0.2335089
Short
RA
GB
N
2
Reverse repurchase
N
0.9500000
2020-01-28
5854309.900000
GBP
6738133.310000
GBP
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO GBP ZCP
000000000
-14074254.780000
PA
-18691142.380000
-0.5841092
Short
RA
GB
N
2
Reverse repurchase
N
1.2000000
2020-01-08
14377000.000000
GBP
16989724.730000
GBP
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-1903690.170000
PA
-2526824.830000
-0.0789648
Short
RA
GB
N
2
Reverse repurchase
N
1.7371300
2020-01-27
2210000.000000
GBP
2246283.270000
GBP
CDS
N
N
N
AMBAC LSNI LLC
N/A
AMBAC LSNI LLC SR SECURED 144A 02/23 VAR
02315QAA6
2663048.750000
PA
USD
2702975.840000
0.0844696
Long
DBT
CORP
KY
N
2
2023-02-12
Floating
6.94463
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-266000.000000
PA
USD
-266946.580000
-0.0083422
Short
RA
US
N
2
Reverse repurchase
N
2.3292500
2020-02-07
14139.000000
USD
9870.440000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-266000.000000
PA
USD
-266389.030000
-0.0083248
Short
RA
US
N
2
Reverse repurchase
N
1.9500000
2020-01-06
204000.000000
USD
273088.460000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-7651000.000000
PA
USD
-7655112.410000
-0.2392268
Short
RA
US
N
2
Reverse repurchase
N
2.1500000
2020-01-22
7896000.000000
USD
8052708.910000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-17496000.000000
PA
USD
-17512635.230000
-0.5472801
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-01-07
17650000.000000
USD
19325919.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-14901000.000000
PA
USD
-14947565.630000
-0.4671202
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2020-01-07
16305897.600000
USD
16602497.190000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-30044000.000000
PA
USD
-30087243.770000
-0.9402440
Short
RA
US
N
2
Reverse repurchase
N
2.3000000
2020-01-08
32689220.830000
USD
33446883.010000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-2331000.000000
PA
USD
-2334723.120000
-0.0729615
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2020-01-08
5728000.000000
USD
2501600.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-16402000.000000
PA
USD
-16465785.560000
-0.5145655
Short
RA
US
N
2
Reverse repurchase
N
2.8000000
2020-01-10
26267156.000000
USD
21770644.330000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-10702000.000000
PA
USD
-10798451.770000
-0.3374580
Short
RA
US
N
2
Reverse repurchase
N
3.0900000
2020-01-21
16405564.000000
USD
14397221.650000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-6800000.000000
PA
USD
-6834000.000000
-0.2135665
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2020-01-22
7691000.000000
USD
6686015.750000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-1435000.000000
PA
USD
-1442318.500000
-0.0450733
Short
RA
US
N
2
Reverse repurchase
N
2.5500000
2020-01-22
1909037.000000
USD
1721987.570000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-2812000.000000
PA
USD
-2826622.400000
-0.0883336
Short
RA
US
N
2
Reverse repurchase
N
2.6000000
2020-01-22
3100000.000000
USD
3388966.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-2400000.000000
PA
USD
-2411666.670000
-0.0753660
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2020-01-23
2670000.000000
USD
2939403.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-2425000.000000
PA
USD
-2437259.720000
-0.0761658
Short
RA
US
N
2
Reverse repurchase
N
2.6000000
2020-01-23
2600000.000000
USD
2917473.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-29292999.980000
PA
USD
-29457553.410000
-0.9205658
Short
RA
US
N
2
Reverse repurchase
N
2.8890000
2020-01-23
41383091.080000
USD
39297752.630000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-12314000.000000
PA
USD
-12385568.280000
-0.3870563
Short
RA
US
N
2
Reverse repurchase
N
2.9890000
2020-01-23
19202872.000000
USD
17289795.480000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-3717000.000000
PA
USD
-3732683.670000
-0.1166486
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-01-30
5229170.000000
USD
4222697.460000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-23570000.000000
PA
USD
-23660041.950000
-0.7393902
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-02-04
26571992.610000
USD
26344693.710000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-23028000.000000
PA
USD
-23119152.500000
-0.7224871
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2020-02-04
34700000.000000
USD
27382000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-275000.000000
PA
USD
-276069.440000
-0.0086273
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2020-02-05
165558.000000
USD
169912.180000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-16611000.000000
PA
USD
-16672751.990000
-0.5210333
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-02-05
18635000.000000
USD
15503826.660000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-3749000.000000
PA
USD
-3763032.730000
-0.1175970
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-02-06
4800000.000000
USD
3979951.930000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-820000.000000
PA
USD
-823131.940000
-0.0257234
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2020-02-06
1000000.000000
USD
880000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-70355000.000000
PA
USD
-70594402.440000
-2.2061165
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-02-11
76372000.000000
USD
77316115.240000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-753000.000000
PA
USD
-755101.080000
-0.0235974
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-02-20
800000.000000
USD
871960.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-5839000.000000
PA
USD
-5855292.450000
-0.1829813
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-02-20
6710000.000000
USD
5619029.470000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-276000.000000
PA
USD
-276785.830000
-0.0086497
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2020-02-20
318540.700000
USD
323316.580000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-942000.000000
PA
USD
-943859.140000
-0.0294962
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-03-03
930000.000000
USD
990047.770000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-65035000.000000
PA
USD
-65287010.660000
-2.0402574
Short
RA
US
N
2
Reverse repurchase
N
2.2500000
2021-10-30
89875000.000000
USD
92522756.170000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-382000.000000
PA
USD
-383480.250000
-0.0119840
Short
RA
US
N
2
Reverse repurchase
N
2.2500000
2021-11-01
555000.000000
USD
565231.430000
USD
CDS
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-1925000.000000
PA
USD
-1939140.520000
-0.0605993
Short
RA
US
N
2
Reverse repurchase
N
2.9060000
2020-01-03
2599200.000000
USD
2546648.330000
USD
PLCMO
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-3997000.000000
PA
USD
-4011943.450000
-0.1253756
Short
RA
US
N
2
Reverse repurchase
N
2.8040000
2020-01-15
4480000.000000
USD
4744857.150000
USD
PLCMO
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-19656000.000000
PA
USD
-19733418.430000
-0.6166809
Short
RA
US
N
2
Reverse repurchase
N
2.9540000
2020-01-15
37177769.280000
USD
26977385.750000
USD
PLCMO
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-55173999.990000
PA
USD
-55482600.440000
-1.7338638
Short
RA
US
N
2
Reverse repurchase
N
2.8360000
2020-01-21
112059102.470000
USD
67494288.710000
USD
PLCMO
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-23635000.000000
PA
USD
-23654451.600000
-0.7392155
Short
RA
US
N
2
Reverse repurchase
N
3.2920000
2020-01-22
59806398.190000
USD
33716974.260000
USD
AMBS
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-18866000.000000
PA
USD
-18952877.150000
-0.5922885
Short
RA
US
N
2
Reverse repurchase
N
2.8582500
2020-02-03
32447261.690000
USD
24356789.800000
USD
PLCMO
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-3900000.000000
PA
USD
-3918587.670000
-0.1224582
Short
RA
US
N
2
Reverse repurchase
N
2.9582500
2020-02-03
5400000.000000
USD
5161878.360000
USD
AMBS
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-34826000.000000
PA
USD
-34969076.820000
-1.0928042
Short
RA
US
N
2
Reverse repurchase
N
2.9000000
2020-02-10
39756000.000000
USD
40076775.260000
USD
PLCMO
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-2786000.000000
PA
USD
-2797482.330000
-0.0874230
Short
RA
US
N
2
Reverse repurchase
N
2.9092500
2020-02-10
3470000.000000
USD
3504563.280000
USD
PLCMO
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-8302000.000000
PA
USD
-8332634.380000
-0.2603997
Short
RA
US
N
2
Reverse repurchase
N
2.9520000
2020-02-14
35842954.760000
USD
11828261.980000
USD
PLCMO
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-1113000.000000
PA
USD
-1113958.420000
-0.0348119
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2021-10-30
1289000.000000
USD
765330.860000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-11403000.000000
PA
USD
-11469793.700000
-0.3584378
Short
RA
US
N
2
Reverse repurchase
N
2.4520000
2020-01-07
12520000.000000
USD
13151195.800000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-970000.000000
PA
USD
-974613.320000
-0.0304572
Short
RA
US
N
2
Reverse repurchase
N
2.3780000
2020-01-21
1108000.000000
USD
1127390.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-15703000.000000
PA
USD
-15770941.640000
-0.4928512
Short
RA
US
N
2
Reverse repurchase
N
2.3600000
2020-01-24
20285000.000000
USD
17850800.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-6246000.000000
PA
USD
-6271300.470000
-0.1959818
Short
RA
US
N
2
Reverse repurchase
N
2.3520000
2020-01-29
6445000.000000
USD
7109634.180000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-459000.000000
PA
USD
-459861.640000
-0.0143709
Short
RA
US
N
2
Reverse repurchase
N
1.0900000
2021-11-01
737000.000000
USD
443911.680000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-6379000.000000
PA
USD
-6399324.200000
-0.1999826
Short
RA
US
N
2
Reverse repurchase
N
1.8500000
2021-10-31
12973000.000000
USD
8080200.620000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1815000.000000
PA
USD
-1822814.580000
-0.0569640
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2021-10-31
2245653.180000
USD
2240959.760000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-3905000.000000
PA
USD
-3923868.740000
-0.1226232
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-01-17
18941090.000000
USD
4735461.910000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-13897000.010000
PA
USD
-13945423.140000
-0.4358027
Short
RA
US
N
2
Reverse repurchase
N
3.0595000
2020-02-20
21056040.000000
USD
18581955.300000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-877000.000000
PA
USD
-879643.180000
-0.0274894
Short
RA
US
N
2
Reverse repurchase
N
1.7500000
2021-10-29
1005000.000000
USD
985884.900000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-4195000.000000
PA
USD
-4211978.100000
-0.1316268
Short
RA
US
N
2
Reverse repurchase
N
2.3500000
2021-10-29
2951964.000000
USD
5686220.740000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-4291000.000000
PA
USD
-4307877.930000
-0.1346237
Short
RA
US
N
2
Reverse repurchase
N
2.4000000
2020-01-03
2450000.000000
USD
2514435.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-1130000.000000
PA
USD
-1134460.360000
-0.0354526
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2020-02-03
1675000.000000
USD
1532608.250000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-1105000.000000
PA
USD
-1106117.280000
-0.0345668
Short
RA
US
N
2
Reverse repurchase
N
2.6000000
2020-02-03
1300000.000000
USD
1327459.250000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-1852000.000000
PA
USD
-1859011.880000
-0.0580952
Short
RA
US
N
2
Reverse repurchase
N
2.3500000
2020-02-03
1890012.000000
USD
2091959.780000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-5092000.000000
PA
USD
-5110394.850000
-0.1597028
Short
RA
US
N
2
Reverse repurchase
N
2.5500000
2020-01-13
5942000.000000
USD
4707549.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-379000.000000
PA
USD
-380288.600000
-0.0118842
Short
RA
US
N
2
Reverse repurchase
N
2.4000000
2020-01-13
400000.000000
USD
423366.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-5702000.000000
PA
USD
-5721513.510000
-0.1788007
Short
RA
US
N
2
Reverse repurchase
N
2.8000000
2020-01-21
12000000.000000
USD
6000000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-6519000.000000
PA
USD
-6542359.750000
-0.2044526
Short
RA
US
N
2
Reverse repurchase
N
2.5800000
2020-01-13
6627000.000000
USD
7641096.670000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-12109000.000000
PA
USD
-12148051.520000
-0.3796337
Short
RA
US
N
2
Reverse repurchase
N
2.5800000
2020-01-17
16395000.000000
USD
12988938.750000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-2217000.000000
PA
USD
-2221018.310000
-0.0694081
Short
RA
US
N
2
Reverse repurchase
N
2.2500000
2020-01-06
2692000.000000
USD
2833908.780000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-18931000.000000
PA
USD
-19060601.630000
-0.5956550
Short
RA
US
N
2
Reverse repurchase
N
2.9340000
2020-01-08
31955881.330000
USD
23896406.210000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-21636000.000000
PA
USD
-21711034.860000
-0.6784826
Short
RA
US
N
2
Reverse repurchase
N
2.2700000
2020-01-09
22112000.000000
USD
23912994.800000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-22007000.000000
PA
USD
-22043803.950000
-0.6888818
Short
RA
US
N
2
Reverse repurchase
N
2.6176300
2020-01-10
38831057.880000
USD
30207994.180000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-44611999.920000
PA
USD
-44778727.020000
-1.3993615
Short
RA
US
N
2
Reverse repurchase
N
2.7457500
2020-01-16
65432526.080000
USD
58523155.150000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-19375000.000000
PA
USD
-19483368.680000
-0.6088667
Short
RA
US
N
2
Reverse repurchase
N
2.8360000
2020-01-24
31988156.930000
USD
24555065.860000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-34346000.000000
PA
USD
-34500412.930000
-1.0781581
Short
RA
US
N
2
Reverse repurchase
N
2.7905000
2020-02-06
53143826.000000
USD
44478106.840000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-4217000.000000
PA
USD
-4229387.440000
-0.1321708
Short
RA
US
N
2
Reverse repurchase
N
2.3500000
2020-02-12
4557055.000000
USD
4724653.800000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-10504999.970000
PA
USD
-10538484.330000
-0.3293338
Short
RA
US
N
2
Reverse repurchase
N
2.7987500
2020-02-14
21547881.500000
USD
14841892.040000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-24805000.000000
PA
USD
-24866617.010000
-0.7770964
Short
RA
US
N
2
Reverse repurchase
N
2.3400000
2020-02-19
25657113.550000
USD
27110114.900000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-8423000.000000
PA
USD
-8445447.300000
-0.2639252
Short
RA
US
N
2
Reverse repurchase
N
2.3400000
2020-02-20
9396000.000000
USD
9560430.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-18654000.000000
PA
USD
-18699054.580000
-0.5843564
Short
RA
US
N
2
Reverse repurchase
N
2.3500000
2020-02-24
20241000.000000
USD
21027900.450000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-28126000.000000
PA
USD
-28192096.100000
-0.8810195
Short
RA
US
N
2
Reverse repurchase
N
2.3500000
2020-02-25
29440000.000000
USD
30247244.800000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO/REGIONS BANK
000000000
-1061000.000000
PA
USD
-1062167.400000
-0.0331934
Short
RA
US
N
2
Reverse repurchase
N
2.3300000
2020-01-06
1200000.000000
USD
1264350.000000
USD
CDS
N
N
N
N/A
N/A
ABX.HE.AAA.06-2 SP BRC
000000000
1.000000
NC
USD
-266004.500000
-0.0083128
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
ABX.HE.AAA.06-2
N/A
N/A
Y
Single Leg Swap
2046-05-25
0.000000
USD
-1308780.490000
USD
5602645.430000
USD
1042775.990000
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
USD
19840.490000
0.0006200
N/A
DFE
CA
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1009829.410000
USD
1337000.000000
CAD
2020-01-10
19840.490000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
USD
13716.960000
0.0004287
N/A
DFE
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1046178.880000
USD
800000.000000
GBP
2020-01-10
13716.960000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
-36409.160000
-0.0011378
N/A
DFE
N/A
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2984000.000000
EUR
3312205.680000
USD
2020-01-10
-36409.160000
N
N
N
N/A
N/A
BOUGHT CLP/SOLD USD
000000000
1.000000
NC
USD
8868.800000
0.0002772
N/A
DFE
CL
N
2
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P85
299000.000000
USD
231426000.000000
CLP
2020-01-27
8868.800000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
USD
27712.540000
0.0008660
N/A
DFE
N/A
N
2
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P85
2343474.840000
USD
2113000.000000
EUR
2020-01-10
27712.540000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
USD
3544.980000
0.0001108
N/A
DFE
N/A
N
2
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P85
2383353.060000
USD
2127000.000000
EUR
2020-01-10
3544.980000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
USD
8570.180000
0.0002678
N/A
DFE
GB
N
2
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P85
1171888.820000
USD
891000.000000
GBP
2020-01-10
8570.180000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
USD
8906.480000
0.0002783
N/A
DFE
GB
N
2
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P85
1225872.180000
USD
932000.000000
GBP
2020-01-10
8906.480000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
USD
-39415.340000
-0.0012318
N/A
DFE
GB
N
2
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P85
3870938.820000
USD
2892000.000000
GBP
2020-01-10
-39415.340000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
USD
24942.060000
0.0007795
N/A
DFE
GB
N
2
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P85
3546906.940000
USD
2696000.000000
GBP
2020-01-10
24942.060000
N
N
N
AMERICAN HOME MORTGAGE INVT TR 2007-A
N/A
AMERICAN HOME MORTGAGE INVESTM AHM 2007 A 13A1 144A
026931AC9
5017536.590000
PA
USD
2168228.590000
0.0677584
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
6.6
N
N
N
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
-28830.160000
-0.0009010
N/A
DFE
N/A
N
2
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P85
10069000.000000
EUR
11270500.540000
USD
2020-01-10
-28830.160000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
-4351.240000
-0.0001360
N/A
DFE
N/A
N
2
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P85
1283000.000000
EUR
1435418.480000
USD
2020-01-10
-4351.240000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
-5547187.360000
-0.1733529
N/A
DFE
GB
N
2
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P85
185402472.940000
GBP
240086950.870000
USD
2020-01-10
-5547187.360000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-118704.330000
-0.0037096
N/A
DFE
PE
N
2
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P85
17654713.920000
PEN
5203275.540000
USD
2020-02-10
-118704.330000
N
N
N
N/A
W7L3VLU8EHQY34Z36697
BOMBARDIER INC SNR S* ICE
000000000
1.000000
NC
USD
385728.270000
0.0120542
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
-13253.480000
USD
6300000.000000
USD
398981.750000
N
N
N
N/A
W7L3VLU8EHQY34Z36697
BOMBARDIER INC SNR S* ICE
000000000
1.000000
NC
USD
249724.440000
0.0078040
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
-15301.290000
USD
4300000.000000
USD
265025.730000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
USD
72881.240000
0.0022776
N/A
DFE
BR
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
6660408.300000
USD
27110858.960000
BRL
2020-02-04
72881.240000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
USD
13376.280000
0.0004180
N/A
DFE
BR
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
6726091.980000
USD
27110858.960000
BRL
2020-01-03
13376.280000
N
N
N
N/A
N/A
BOUGHT CLP/SOLD USD
000000000
1.000000
NC
USD
19902.140000
0.0006220
N/A
DFE
CL
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
374000.000000
USD
296136940.000000
CLP
2020-01-15
19902.140000
N
N
N
N/A
N/A
BOUGHT CLP/SOLD USD
000000000
1.000000
NC
USD
27258.840000
0.0008519
N/A
DFE
CL
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
468000.000000
USD
372387600.000000
CLP
2020-01-06
27258.840000
N
N
N
N/A
N/A
BOUGHT CLP/SOLD USD
000000000
1.000000
NC
USD
8021.110000
0.0002507
N/A
DFE
CL
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
187000.000000
USD
146628570.000000
CLP
2020-01-09
8021.110000
N
N
N
N/A
N/A
BOUGHT CLP/SOLD USD
000000000
1.000000
NC
USD
9037.350000
0.0002824
N/A
DFE
CL
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
298000.000000
USD
230801000.000000
CLP
2020-01-27
9037.350000
N
N
N
N/A
N/A
BOUGHT CLP/SOLD USD
000000000
1.000000
NC
USD
20547.180000
0.0006421
N/A
DFE
CL
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
597000.000000
USD
464212275.000000
CLP
2020-01-27
20547.180000
N
N
N
N/A
N/A
BOUGHT MXN/SOLD USD
000000000
1.000000
NC
USD
556754.420000
0.0173989
N/A
DFE
MX
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
31513865.010000
USD
621299000.000000
MXN
2020-06-17
556754.420000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
-70950.500000
-0.0022172
N/A
DFE
BR
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
27110858.960000
BRL
6668517.760000
USD
2020-01-03
-70950.500000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-564927.910000
-0.0176543
N/A
DFE
MX
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
621299000.000000
MXN
32204172.610000
USD
2020-01-22
-564927.910000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
USD
316591.490000
0.0098937
N/A
DFE
BR
N
2
Credit Suisse International
DL6FFRRLF74S01HE2M14
6367762.920000
USD
26889152.480000
BRL
2020-01-03
316591.490000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
-13266.890000
-0.0004146
N/A
DFE
BR
N
2
Credit Suisse International
DL6FFRRLF74S01HE2M14
26889152.480000
BRL
6671087.520000
USD
2020-01-03
-13266.890000
N
N
N
AMERIQUEST MORTGAGE SEC 2002-AR1
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2002 AR1 M2
03072SDC6
1147647.350000
PA
USD
1162269.520000
0.0363216
Long
ABS-MBS
CORP
US
N
2
2032-09-25
Floating
3.742
N
N
N
N
N
N
AMERIQUEST MORTGAGE SECURITIES 2005-R7
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R7 M4
03072SK38
13750000.000000
PA
USD
13581854.000000
0.4244409
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.402
N
N
N
N
N
N
N/A
549300ZCZ76HYCS0H445
FRONTIER COMMUNICATIONS CORPO SNR S* ICE
000000000
1.000000
NC
USD
-1352401.950000
-0.0422634
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
FRONTIER COMMUNICATIONS CORPORATION
FRONTIER COMM / CITIZENS
Y
Single Leg Swap
2022-06-21
0.000000
USD
-378000.010000
USD
2800000.000000
USD
-974401.940000
N
N
N
N/A
549300ZCZ76HYCS0H445
FRONTIER COMMUNICATIONS CORPO SNR S* ICE
000000000
1.000000
NC
USD
-14126495.300000
-0.4414613
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
FRONTIER COMMUNICATIONS CORPORATION
FRONTIER COMM / CITIZENS
Y
Single Leg Swap
2020-06-21
0.000000
USD
-1129650.000000
USD
31430000.000000
USD
-12996845.300000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
USD
1268.920000
0.0000397
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
53844.930000
USD
221706.480000
BRL
2020-01-03
1268.920000
N
N
N
N/A
N/A
BOUGHT CLP/SOLD USD
000000000
1.000000
NC
USD
3330.740000
0.0001041
N/A
DFE
CL
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
75000.000000
USD
58893750.000000
CLP
2020-01-09
3330.740000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
USD
21920.750000
0.0006850
N/A
DFE
GB
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1934911.950000
USD
1477000.000000
GBP
2020-01-10
21920.750000
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
5738006.600000
0.1793161
Long
ABS-CBDO
CORP
KY
N
2
2029-04-14
Floating
8.06088
N
N
N
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
USD
1729390.440000
0.0540445
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
47955302.950000
USD
3108597865.790000
RUB
2020-03-16
1729390.440000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
-109.390000
-0.0000034
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
221706.480000
BRL
55004.460000
USD
2020-01-03
-109.390000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
-60476.730000
-0.0018899
N/A
DFE
GB
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
4491000.000000
GBP
5889513.570000
USD
2020-01-10
-60476.730000
N
N
N
N/A
N/A
BOUGHT CLP/SOLD USD
000000000
1.000000
NC
USD
3975.500000
0.0001242
N/A
DFE
CL
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
93000.000000
USD
72912000.000000
CLP
2020-01-09
3975.500000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
USD
11960.020000
0.0003738
N/A
DFE
N/A
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
1088908.330000
USD
981000.000000
EUR
2020-01-10
11960.020000
N
N
N
ANCESTRYCOM OPERATIONS INC
N/A
ANCESTRY COM OPERATIONS INC 2019 EXTENDED TERM LOAN B
03280FAK7
199249.370000
PA
USD
196385.160000
0.0061372
Long
LON
CORP
US
N
2
2026-08-27
Floating
6.05
N
N
N
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
USD
-12071.860000
-0.0003773
N/A
DFE
GB
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
1325017.840000
USD
991000.000000
GBP
2020-01-10
-12071.860000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
USD
19662.680000
0.0006145
N/A
DFE
GB
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
1219090.590000
USD
935000.000000
GBP
2020-01-10
19662.680000
N
N
N
ANCESTRYCOM OPERATIONS INC
N/A
ANCESTRY COM OPERATIONS INC TERM LOAN B
03280FAH4
99748.810000
PA
USD
98501.950000
0.0030782
Long
LON
CORP
US
N
2
2023-10-19
Floating
5.55
N
N
N
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
-159916.330000
-0.0049975
N/A
DFE
GB
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
4711000.000000
GBP
6081545.320000
USD
2020-01-10
-159916.330000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
-32648.230000
-0.0010203
N/A
DFE
GB
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
5746000.000000
GBP
7580053.670000
USD
2020-01-10
-32648.230000
N
N
N
N/A
N/A
SOLD NZD/BOUGHT USD
000000000
1.000000
NC
-2162.750000
-0.0000676
N/A
DFE
NZ
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
65000.000000
NZD
41619.940000
USD
2020-02-14
-2162.750000
N
N
N
N/A
54930076J6KDZL504O62
IHEARTMEDIA INC WARRANT
000000000
1080118.000000
NC
USD
18253994.200000
0.5704480
N/A
DE
US
N
2
None
N/A
Call
Purchased
IHEARTMEDIA INC
IHEARTMEDIA INC - CLASS A
N/A
0.000000
USD
2039-05-01
XXXX
-4907601.270000
N
N
N
CAESARS ENTERTAINMENT CORPORATION
529900CJT4VQO26ONP04
CAESARS ENTERTAINMENT CORP COMMON STOCK USD.01
127686103
2222152.000000
NS
USD
30221267.200000
0.9444323
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
BOUGHT MXN/SOLD USD
000000000
1.000000
NC
USD
1056419.000000
0.0330137
N/A
DFE
MX
N
2
JP Morgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
31712681.520000
USD
621299000.000000
MXN
2020-01-22
1056419.000000
N
N
N
ARDONAGH MIDCO 3 PLC
549300C8F38DVT8CAO43
ARDONAGH MIDCO THREE PLC SR SECURED 144A 07/23 8.375
ACI0VMSV4
6860000.000000
PA
9098113.110000
0.2843214
Long
DBT
CORP
GB
N
2
2023-07-15
Fixed
8.375
N
N
N
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
USD
116629.120000
0.0036447
N/A
DFE
GB
N
2
MORGAN STANLEY AND CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
5005317.550000
USD
3866000.000000
GBP
2020-01-10
116629.120000
N
N
N
ARDONAGH MIDCO 3 PLC
549300C8F38DVT8CAO43
ARDONAGH MIDCO THREE PLC SR SECURED REGS 07/23 8.375
ACI0VMP62
55147000.000000
PA
73139015.090000
2.2856371
Long
DBT
CORP
GB
N
2
2023-07-15
Fixed
8.375
N
N
N
N
N
N
2020-02-10
PIMCO Dynamic Credit & Mortgage Income Fund
/s/ Jason Nagler
Jason Nagler
Assistant Treasurer