0001752724-20-042336.txt : 20200228
0001752724-20-042336.hdr.sgml : 20200228
20200228125526
ACCESSION NUMBER: 0001752724-20-042336
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200228
PERIOD START: 20200630
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIONEER BOND FUND /DE/
CENTRAL INDEX KEY: 0000276776
IRS NUMBER: 042652279
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-02864
FILM NUMBER: 20667918
BUSINESS ADDRESS:
STREET 1: 60 STATE ST 13TH FL
CITY: BOSTON
STATE: MA
ZIP: 02109
BUSINESS PHONE: 6174224947
MAIL ADDRESS:
STREET 1: 60 STATE ST
STREET 2: 13TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02109-1820
FORMER COMPANY:
FORMER CONFORMED NAME: PIONEER BOND FUND /MA/
DATE OF NAME CHANGE: 19920703
0000276776
S000003927
Pioneer Bond Fund
C000011026
Pioneer Bond Fund: Class A
PIOBX
C000011028
Pioneer Bond Fund: Class C
PCYBX
C000011029
Pioneer Bond Fund: Class Y
PICYX
C000011031
Pioneer Bond Fund: Class R
PBFRX
C000123839
Pioneer Bond Fund: Class K
PBFKX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000276776
XXXXXXXX
S000003927
C000011028
C000123839
C000011031
C000011026
C000011029
Pioneer Bond Fund /DE/
811-02864
0000276776
CS1V0EATB8V5FS5HQA74
60 State Street
NULL
Boston
02109
617-422-4947
Pioneer Bond Fund
S000003927
CS1V0EATB8V5FS5HQA74
2020-06-30
2019-12-31
N
6311545028.23
142418504.83
6169126523.4
0
0
0
0
0
0
0
0
0
0
27522.21
0
0
39472032.88
SGD
PLN
THB
LKR
BRL
EGP
MYR
GBP
HKD
EUR
AED
CAD
AUD
ZAR
CZK
DKK
TRY
HUF
DOP
IDR
USD
ARS
NOK
RUB
SEK
TWD
COP
NZD
CHF
JPY
KRW
UYU
MXN
VND
RON
INR
N
LORENZ RE 2019V/R 6/30/22
N/A
LORENZ RE 2019 /VARIABLE/ REGD 0.00000000
N/A
2993180.00000000
NS
USD
2609753.64000000
0.042303454631
Long
DBT
CORP
BM
N
3
2022-06-30
Variable
0.00000000
N
N
N
N
N
N
UMBS P#BE7963 4.5% 02/01/47
N/A
FANNIE MAE POOL UMBS P#BE7963 4.50000000
3140FTZ53
421445.77000000
NS
USD
450407.57000000
0.007300994205
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.50000000
N
N
N
N
N
N
MFT 2018-3A A 3.2% 09/15/28
N/A
MARLETTE FUNDING TRUST 2018-3 SER 2018-3A CL A REGD 144A P/P 3.20000000
57109FAA4
1710524.78000000
NS
USD
1713845.59000000
0.027781008924
Long
ABS-CBDO
CORP
US
Y
2
2028-09-15
Fixed
3.20000000
N
N
N
N
N
N
FSMT 2018-2 A6 V/R 04/25/48
N/A
FLAGSTAR MORTGAGE TRUST 2018-2 SER 2018-2 CL A6 V/R REGD 144A P/P 3.50000000
33851HAF0
11338912.38000000
NS
USD
11466582.86000000
0.185870444000
Long
ABS-CBDO
CORP
US
Y
2
2048-04-25
Variable
3.50000000
N
N
N
N
N
N
GNMA P#612235 5.5% 08/15/33
N/A
GINNIE MAE I POOL P#612235 5.50000000
36202XEG8
13176.35000000
NS
USD
14774.76000000
0.000239495169
Long
ABS-MBS
USGSE
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
STACR 2019-DNA3 V/R 07/25/49
N/A
FREDDIE MAC STACR TRUST 2019-DNA3 SER 2019-DNA3 CL M2 V/R REGD 144A P/P 3.84200000
35564TAH3
6260000.00000000
NS
USD
6289006.34000000
0.101943221883
Long
ABS-CBDO
CORP
US
Y
2
2049-07-25
Variable
3.84200000
N
N
N
N
N
N
HSBC HOLDINGS PLC V/R 05/18/24
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 2.90413000
404280BR9
2400000.00000000
NS
USD
2419491.65000000
0.039219355298
Long
DBT
CORP
GB
N
2
2024-05-18
Variable
2.90413000
N
N
N
N
N
N
FGLMC P#Q44193 4% 10/01/46
N/A
FREDDIE MAC GOLD POOL P#Q44193 4.00000000
3132WHUT0
54889.26000000
NS
USD
57123.87000000
0.000925963664
Long
ABS-MBS
USGA
US
N
2
2046-10-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#AG2311 4% 03/15/44
N/A
GINNIE MAE I POOL P#AG2311 4.00000000
36181VR81
7566.68000000
NS
USD
8123.65000000
0.000131682337
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
STEEL DYNAMICS 3.45% 04/15/30
549300HGGKEL4FYTTQ83
STEEL DYNAMICS INC REGD 3.45000000
858119BK5
1828000.00000000
NS
USD
1849715.27000000
0.029983422498
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.45000000
N
N
N
N
N
N
OXFIN 2016-1A 3.968% 02/15/21
N/A
OXFORD FINANCE FUNDING 2016-1 LLC SER 2016-1A CL A REGD 144A P/P 3.96800000
69144YAA5
359970.20000000
NS
USD
361629.45000000
0.005861923055
Long
ABS-CBDO
CORP
US
Y
2
2024-06-17
Fixed
3.96800000
N
N
N
N
N
N
PANGAEA 2017-1 V/R 11/30/21
N/A
PANGAEA 2017-1 V/R 931DSDII0 BNR30QU11 0.00000000
N/A
3000000.00000000
NS
USD
48300.00000000
0.000782930935
Long
DBT
CORP
BM
N
3
2021-11-30
Variable
0.00000000
N
N
N
N
N
N
ENBRIDGE INC 3.7% 07/15/27
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC REGD 3.70000000
29250NAR6
10550000.00000000
NS
USD
11175031.06000000
0.181144462147
Long
DBT
CORP
CA
N
2
2027-07-15
Fixed
3.70000000
N
N
N
N
N
N
CVS PASS-THROU 5.773% 01/31/33
N/A
CVS PASS-THROUGH TRUST REGD 144A P/P 5.77300000
126650BV1
2449777.48000000
NS
USD
2762995.91000000
0.044787473551
Long
DBT
CORP
US
Y
2
2033-01-10
Fixed
5.77300000
N
N
N
N
N
N
GNMA P#619119 6% 10/15/34
N/A
GINNIE MAE I POOL P#619119 6.00000000
36290VYQ1
44363.22000000
NS
USD
48842.91000000
0.000791731370
Long
ABS-MBS
USGSE
US
N
2
2034-10-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#613877 5.5% 09/15/33
N/A
GINNIE MAE I POOL P#613877 5.50000000
36290N6N7
39238.38000000
NS
USD
42077.53000000
0.000682066251
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
5.50000000
N
N
N
N
N
N
TENET HEALTHCA 4.875% 01/01/26
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP REGD 144A P/P 4.87500000
88033GCY4
4785000.00000000
NS
USD
5011809.00000000
0.081240172024
Long
DBT
CORP
US
Y
2
2026-01-01
Fixed
4.87500000
N
N
N
N
N
N
T/L OMNOVA SOLUTIO 0% 08/25/23
N/A
T/L OMNOVA SOLUTIONS INC REGD 0.00000000
N/A
511928.57000000
NS
USD
512251.08000000
0.008303462055
Long
LON
CORP
US
N
2
2023-08-25
Fixed
0.00000000
N
N
N
N
N
N
CAMERON LNG LL 3.402% 01/15/38
N/A
CAMERON LNG LLC REGD 144A P/P 3.40200000
133434AC4
8064000.00000000
NS
USD
8093401.34000000
0.131192014125
Long
DBT
CORP
US
Y
2
2038-01-15
Fixed
3.40200000
N
N
N
N
N
N
UMBS P#982885 5% 05/01/23
N/A
FANNIE MAE POOL UMBS P#982885 5.00000000
31415CNA1
117726.30000000
NS
USD
123668.23000000
0.002004631118
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
JPMMT 2019-LTV2 V/R 12/25/49
N/A
JP MORGAN MORTGAGE TRUST 2019-LTV2 SER 2019-LTV2 CL A3 V/R REGD 144A P/P 3.50000000
46651AAC6
5468922.93000000
NS
USD
5536431.31000000
0.089744168627
Long
ABS-CBDO
CORP
US
Y
2
2049-12-25
Variable
3.50000000
N
N
N
N
N
N
GNMA P#592637 6% 03/15/33
N/A
GINNIE MAE I POOL P#592637 6.00000000
36201TLS4
26893.66000000
NS
USD
29641.22000000
0.000480476772
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#Q45539 3.5% 01/01/47
N/A
FREDDIE MAC GOLD POOL P#Q45539 3.50000000
3132WKEM6
1806974.09000000
NS
USD
1877899.03000000
0.030440274208
Long
ABS-MBS
USGA
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
JPMMT 2018-1 B1 V/R 05/25/40
N/A
JP MORGAN MORTGAGE TRUST 2018-1 SER 2018-1 CL B1 V/R REGD 144A P/P 3.74383600
46648RAY7
2879758.91000000
NS
USD
2947608.62000000
0.047779999467
Long
ABS-CBDO
CORP
US
Y
2
2048-06-25
Variable
3.74383600
N
N
N
N
N
N
SEMPRA ENERGY 3.4% 02/01/28
PBBKGKLRK5S5C0Y4T545
SEMPRA ENERGY REGD 3.40000000
816851BG3
9720000.00000000
NS
USD
10076553.03000000
0.163338407662
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.40000000
N
N
N
N
N
N
BOOKING HOLDING 3.55% 03/15/28
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC REGD 3.55000000
741503BC9
7170000.00000000
NS
USD
7640648.91000000
0.123853010325
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.55000000
N
N
N
N
N
N
T/L SCIENTIFIC GAM 0% 08/14/24
N/A
T/L SCIENTIFIC GAMES INTERNATIONAL INC REGD 0.00000000
80875AAP6
4935658.78000000
NS
USD
4955929.53000000
0.080334379773
Long
LON
CORP
US
N
2
2024-08-14
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#Q41024 3% 06/01/46
N/A
FREDDIE MAC GOLD POOL P#Q41024 3.00000000
3132WED66
4181791.05000000
NS
USD
4307552.56000000
0.069824351043
Long
ABS-MBS
USGA
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#AX4209 4% 09/01/44
N/A
FANNIE MAE POOL UMBS P#AX4209 4.00000000
3138Y5VB9
245222.68000000
NS
USD
259826.93000000
0.004211729634
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AB8464 2.5% 02/01/43
N/A
FANNIE MAE POOL UMBS P#AB8464 2.50000000
31417FMN5
80760.96000000
NS
USD
80371.55000000
0.001302802750
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA P#608228 4.5% 07/15/33
N/A
GINNIE MAE I POOL P#608228 4.50000000
36202SVV7
36620.73000000
NS
USD
39366.95000000
0.000638128426
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AB9339 3% 05/01/43
N/A
FANNIE MAE POOL UMBS P#AB9339 3.00000000
31417GLV6
552399.45000000
NS
USD
569363.21000000
0.009229235416
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#AK9816 4% 04/01/42
N/A
FANNIE MAE POOL UMBS P#AK9816 4.00000000
3138EE4A4
447284.33000000
NS
USD
478441.11000000
0.007755410886
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
T/L AVOLON TLB BO ZCP 01/15/25
635400O84AGITYFZQB55
T/L AVOLON TLB BORROWER 1 US REGD ZCP TERM LOAN 0.00000000
05400KAE0
941582.26000000
NS
USD
948644.13000000
0.015377284391
Long
LON
CORP
US
N
2
2025-01-15
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#597742 6% 12/15/32
N/A
GINNIE MAE I POOL P#597742 6.00000000
36200DBK8
154219.39000000
NS
USD
169960.05000000
0.002755009957
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
TEXAS EASTERN TR 3.5% 01/15/28
N/A
TEXAS EASTERN TRANSMISSI REGD 144A P/P 3.50000000
882384AD2
8870000.00000000
NS
USD
9112888.63000000
0.147717648445
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
T/L TI GROUP AUTO 0% 6/30/22
N/A
T/L TI GROUP AUTO SYSTEMS LLC TL B 0.00000000
N/A
1334117.27000000
NS
USD
1341065.35000000
0.021738334347
Long
LON
CORP
US
N
2
2022-06-30
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#255412 6% 10/01/34
N/A
FANNIE MAE POOL UMBS P#255412 6.00000000
31371LVD8
7478.09000000
NS
USD
8568.45000000
0.000138892434
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AK1083 4% 01/01/42
N/A
FANNIE MAE POOL UMBS P#AK1083 4.00000000
3138E5FZ6
288672.24000000
NS
USD
309086.54000000
0.005010215608
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
HIGHWOODS REAL 4.125% 03/15/28
N/A
HIGHWOODS REALTY LP REGD 4.12500000
431282AQ5
7105000.00000000
NS
USD
7609285.76000000
0.123344621497
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.12500000
N
N
N
N
N
N
GNMA II P#3297 6.5% 10/20/32
N/A
GINNIE MAE II POOL P#3297 6.50000000
36202DUW9
27353.19000000
NS
USD
31506.63000000
0.000510714602
Long
ABS-MBS
USGSE
US
N
2
2032-10-20
Fixed
6.50000000
N
N
N
N
N
N
TENET HEALTHCA 5.125% 11/01/27
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP REGD 144A P/P 5.12500000
88033GDA5
3990000.00000000
NS
USD
4214437.50000000
0.068314979179
Long
DBT
CORP
US
Y
2
2027-11-01
Fixed
5.12500000
N
N
N
N
N
N
FORD MOTOR CRE 5.584% 03/18/24
N/A
FORD MOTOR CREDIT CO LLC REGD 5.58400000
345397ZQ9
6885000.00000000
NS
USD
7453286.45000000
0.120815911648
Long
DBT
CORP
US
N
2
2024-03-18
Fixed
5.58400000
N
N
N
N
N
N
TPMT 2016-3 M1 V/R 04/25/56
N/A
TOWD POINT MORTGAGE TRUST 2016-3 SER 2016-3 CL M1 V/R REGD 144A P/P 3.50000000
89172YAC4
10011000.00000000
NS
USD
10245522.69000000
0.166077363645
Long
ABS-CBDO
CORP
US
Y
2
2056-04-25
Variable
3.50000000
N
N
N
N
N
N
WFCM 2015-NXS 3.617% 09/15/25
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS3 SER 2015-NXS3 CL A4 REGD 3.61700000
94989VAD1
3810000.00000000
NS
USD
4045501.05000000
0.065576561522
Long
ABS-CBDO
CORP
US
N
2
2057-09-15
Fixed
3.61700000
N
N
N
N
N
N
CIGAR 2019-1A 3.59% 08/15/24
N/A
CIG AUTO RECEIVABLES TRUST 2019-1 SER 2019-1A CL B REGD 144A P/P 3.59000000
125504AB6
8600000.00000000
NS
USD
8729552.12000000
0.141503859369
Long
ABS-CBDO
CORP
US
Y
2
2024-08-15
Fixed
3.59000000
N
N
N
N
N
N
F/C US 10YR ULTRA FUT MAR20
N/A
FUTURE CONTRACT ON US 10YR ULTRA FUT MAR20 0.00000000
N/A
-3334.00000000
NC
USD
-469104218.75000000
-7.60406221157
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Short
F/C US 10YR ULTRA FUT MAR20
US 10YR ULTRA FUT MAR20
2020-03-20
475225179.69
USD
6120960.94
N
N
N
GNMA P#782111 6% 08/15/36
N/A
GINNIE MAE I POOL P#782111 6.00000000
36241KKY3
136120.33000000
NS
USD
155667.25000000
0.002523327239
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Fixed
6.00000000
N
N
N
N
N
N
URSA RE LTD V/R 05/27/20
549300O8X4DWGDJZ6W59
URSA RE LTD REGD V/R 144A P/P SER B 5.06120600
90323WAE0
2700000.00000000
NS
USD
2670030.00000000
0.043280519371
Long
DBT
CORP
BM
Y
2
2020-05-27
Variable
5.06120600
N
N
N
N
N
N
WELLS FARGO & COMPANY /PFD/CV
N/A
WELLS FARGO & COMPANY SERIES L/PREFERRED/ CONVERTIBLE 0.00000000
949746804
9656.00000000
NS
USD
14001200.00000000
0.226955954735
Long
EP
CORP
US
N
1
N
N
N
PROG 2019-SFR 4.142% 05/17/24
N/A
PROGRESS RESIDENTIAL 2019-SFR2 TRUST SER 2019-SFR2 CL E REGD 144A P/P 4.14200000
74333NAJ1
8370000.00000000
NS
USD
8485467.50000000
0.137547308647
Long
ABS-CBDO
CORP
US
Y
2
2036-05-17
Fixed
4.14200000
N
N
N
N
N
N
GNMA P#511275 5.72% 04/15/29
N/A
GINNIE MAE I POOL P#511275 5.72000000
36211E6L7
3382.79000000
NS
USD
3647.22000000
0.000059120525
Long
ABS-MBS
USGSE
US
N
2
2029-04-15
Fixed
5.72000000
N
N
N
N
N
N
GNMA P#616694 5.5% 10/15/34
N/A
GINNIE MAE I POOL P#616694 5.50000000
36290TC72
21279.78000000
NS
USD
23292.36000000
0.000377563337
Long
ABS-MBS
USGSE
US
N
2
2034-10-15
Fixed
5.50000000
N
N
N
N
N
N
VERSUTUS RE 2019-B 0% 12/31/21
N/A
VERSUTUS RE 2019-B REGD ZCP /BNR48UYP5/ 0.00000000
N/A
1734905.00000000
NS
USD
1930949.27000000
0.031300205347
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
TPMT 2015-5 M1 V/R 05/25/25
N/A
TOWD POINT MORTGAGE TRUST 2015-5 SER 2015-5 CL M1 V/R REGD 144A P/P 3.50000000
89171VAC1
9375000.00000000
NS
USD
9538951.88000000
0.154624027304
Long
ABS-CBDO
CORP
US
Y
2
2055-05-25
Variable
3.50000000
N
N
N
N
N
N
FNMA P#720736 6% 7/1/33_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #720736_ 6.00000000
31401WV55
31735.95000000
NS
USD
34925.11000000
0.000566127309
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AY3370 2.5% 04/01/45
N/A
FANNIE MAE POOL UMBS P#AY3370 2.50000000
3138YGW81
1250274.40000000
NS
USD
1244244.14000000
0.020168886718
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
HMIR 2018-1 M1 V/R 10/25/25
N/A
HOME RE 2018-1 LTD SER 2018-1 CL M1 V/R REGD 144A P/P 3.39200000
43730MAA6
1486215.35000000
NS
USD
1486665.23000000
0.024098472034
Long
ABS-CBDO
CORP
BM
Y
2
2028-10-25
Variable
3.39200000
N
N
N
N
N
N
FGLMC P#G08599 3.5% 08/01/44
N/A
FREDDIE MAC GOLD POOL P#G08599 3.50000000
3128MJUZ1
598104.37000000
NS
USD
626661.64000000
0.010158028654
Long
ABS-MBS
USGA
US
N
2
2044-08-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#552949 6% 12/15/32
N/A
GINNIE MAE I POOL P#552949 6.00000000
36213FH22
102745.98000000
NS
USD
113121.01000000
0.001833663316
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#BH6445 3.5% 07/01/47
N/A
FANNIE MAE POOL UMBS P#BH6445 3.50000000
3140GVET8
10063947.37000000
NS
USD
10448507.00000000
0.169367688608
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#621696 4.5% 09/15/33
N/A
GINNIE MAE I POOL P#621696 4.50000000
36290YUV8
121133.86000000
NS
USD
131356.36000000
0.002129253784
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AB8463 2.5% 02/01/43
N/A
FANNIE MAE POOL UMBS P#AB8463 2.50000000
31417FMM7
2201898.14000000
NS
USD
2191281.14000000
0.035520119934
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA P#619118 6% 10/15/34
N/A
GINNIE MAE I POOL P#619118 6.00000000
36290VYP3
42016.12000000
NS
USD
46404.84000000
0.000752210865
Long
ABS-MBS
USGSE
US
N
2
2034-10-15
Fixed
6.00000000
N
N
N
N
N
N
NISSAN MOTOR AC 2.15% 07/13/20
N/A
NISSAN MOTOR ACCEPTANCE REGD 144A P/P MTN 2.15000000
654740AX7
3590000.00000000
NS
USD
3588477.16000000
0.058168318422
Long
DBT
CORP
US
Y
2
2020-07-13
Fixed
2.15000000
N
N
N
N
N
N
WILLIS NORTH AM 2.95% 09/15/29
N/A
WILLIS NORTH AMERICA INC REGD 2.95000000
970648AJ0
2631000.00000000
NS
USD
2607739.83000000
0.042270811274
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
ACORN RE LTD V/R 11/10/21
N/A
ACORN RE LTD REGD V/R 144A P/P SER A 4.55088000
00485YAB5
1150000.00000000
NS
USD
1134705.00000000
0.018393284619
Long
DBT
CORP
BM
Y
2
2021-11-10
Variable
4.55088000
N
N
N
N
N
N
NRG ENERGY INC 5.75% 01/15/28
5E2UPK5SW04M13XY7I38
NRG ENERGY INC REGD SER WI 5.75000000
629377CE0
2327000.00000000
NS
USD
2524795.00000000
0.040926296298
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
TPMT 2016-4 M1 V/R 02/25/25
N/A
TOWD POINT MORTGAGE TRUST 2016-4 SER 2016-4 CL M1 V/R REGD 144A P/P 3.25000000
89172UAC2
14130000.00000000
NS
USD
14254801.81000000
0.231066776729
Long
ABS-CBDO
CORP
US
Y
2
2056-07-25
Variable
3.25000000
N
N
N
N
N
N
ARTEX SAC LIMITED 0% 04/15/20
N/A
ARTEX SAC LIMITED KILARNEY RE 2018 ZCP 0.00000000
N/A
4918415.00000000
NS
USD
2482815.89000000
0.040245825411
Long
DBT
CORP
BM
N
3
2020-04-15
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#605367 6% 09/15/34
N/A
GINNIE MAE I POOL P#605367 6.00000000
36200NQU8
20268.32000000
NS
USD
23083.88000000
0.000374183928
Long
ABS-MBS
USGSE
US
N
2
2034-09-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#782138 5.5% 02/15/37
N/A
GINNIE MAE I POOL P#782138 5.50000000
36241KLT3
24807.90000000
NS
USD
27815.81000000
0.000450887332
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Fixed
5.50000000
N
N
N
N
N
N
UNITED TECHNOL 4.125% 11/16/28
I07WOS4YJ0N7YRFE7309
UNITED TECHNOLOGIES CORP REGD 4.12500000
913017CY3
7910000.00000000
NS
USD
8899493.86000000
0.144258572526
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
GSMBS 2014-EB1A V/R 05/25/21
N/A
GS MORTGAGE-BACKED SECURITIES TRUST SER 2014-EB1A CL B3 V/R REGD 144A P/P 3.11515300
36250BAS5
3429939.95000000
NS
USD
3441211.76000000
0.055781183072
Long
ABS-CBDO
CORP
US
Y
2
2044-07-25
Variable
3.11515300
N
N
N
N
N
N
GNMA P#AK0617 4% 11/15/44
N/A
GINNIE MAE I POOL P#AK0617 4.00000000
36183HVJ1
201488.51000000
NS
USD
211445.91000000
0.003427485385
Long
ABS-MBS
USGSE
US
N
2
2044-11-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#AA8274 3.5% 07/15/42
N/A
GINNIE MAE I POOL P#AA8274 3.50000000
36178GFP4
4736101.40000000
NS
USD
4999547.47000000
0.081041415685
Long
ABS-MBS
USGSE
US
N
2
2042-07-15
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#Q15961 3% 02/01/43
N/A
FREDDIE MAC GOLD POOL P#Q15961 3.00000000
3132J7B76
1565404.17000000
NS
USD
1616375.97000000
0.026201050730
Long
ABS-MBS
USGA
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
AMHERST COLLEG 3.794% 11/01/42
549300AS419G4Y35BP63
AMHERST COLLEGE REGD 3.79400000
898361AM2
525000.00000000
NS
USD
559963.79000000
0.009076873166
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
3.79400000
N
N
N
N
N
N
LIMESTONE RE LTD ZCP 08/31/21
5493004PN8HGYC184A27
LIMESTONE RE LTD REGD ZCP P/P 0.00000000
G5488XAB6
28000.00000000
NS
USD
33927.60000000
0.000549957921
Long
DBT
CORP
BM
N
3
2021-08-31
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#C76446 6% 01/01/33
N/A
FREDDIE MAC GOLD POOL P#C76446 6.00000000
31288FET7
40572.65000000
NS
USD
44769.30000000
0.000725699170
Long
ABS-MBS
USGA
US
N
2
2033-01-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#BE0699 3% 10/01/46
N/A
FANNIE MAE POOL UMBS P#BE0699 3.00000000
3140FKX54
7673607.90000000
NS
USD
7859364.54000000
0.127398336055
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA II P#MA2373 4.5% 11/20/44
N/A
GINNIE MAE II POOL P#MA2373 4.50000000
36179QT68
2530806.90000000
NS
USD
2710140.23000000
0.043930696180
Long
ABS-MBS
USGSE
US
N
2
2044-11-20
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#BH6523 3.5% 07/01/47
N/A
FANNIE MAE POOL UMBS P#BH6523 3.50000000
3140GVG90
2218524.75000000
NS
USD
2303444.97000000
0.037338267601
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#912555 5% 02/01/22
N/A
FANNIE MAE POOL UMBS P#912555 5.00000000
31411NZU4
25280.63000000
NS
USD
26116.83000000
0.000423347290
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
5.00000000
N
N
N
N
N
N
ARTEX SAC LIMITED 0% 12/01/21
N/A
ARTEX SAC LIMITED CASTEL STUART ZCP /BNR3M0S90/ 0.00000000
N/A
1300000.00000000
NS
USD
1096420.00000000
0.017772694332
Long
DBT
CORP
BM
N
3
2021-12-01
Fixed
0.00000000
N
N
N
N
N
N
STACR 2018-SPI3 V/R 08/25/48
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK SER 2018-SPI3 CL M1 V/R REGD 144A P/P 4.15236100
3137G1DB0
1484269.98000000
NS
USD
1489113.45000000
0.024138157068
Long
ABS-CBDO
CORP
US
Y
2
2048-08-25
Variable
4.15236100
N
N
N
N
N
N
SEMT 2017-CH2 A1 V/R 12/25/47
N/A
SEQUOIA MORTGAGE TRUST 2017-CH2 SER 2017-CH2 CL A1 V/R REGD 144A P/P 4.00000000
81746JAA5
1756373.52000000
NS
USD
1814806.49000000
0.029417559894
Long
ABS-CBDO
CORP
US
Y
2
2047-12-25
Variable
4.00000000
N
N
N
N
N
N
UMBS P#AY0767 3% 03/01/45
N/A
FANNIE MAE POOL UMBS P#AY0767 3.00000000
3138YDZ93
672151.31000000
NS
USD
691934.34000000
0.011216082817
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.00000000
N
N
N
N
N
N
FWD 2019-INV1 A1 V/R 06/25/49
N/A
FWDSECURITIZATION TRUST 2019-INV1 SER 2019-INV1 CL A1 V/R REGD 144A P/P 2.81000000
302980AA5
6788506.90000000
NS
USD
6779123.15000000
0.109887892950
Long
ABS-CBDO
CORP
US
Y
2
2049-06-25
Variable
2.81000000
N
N
N
N
N
N
GNMA I P#610107 6.45% 01/20/33
N/A
GINNIE MAE II POOL P#610107 6.45000000
36202UYC1
74924.16000000
NS
USD
80983.34000000
0.001312719713
Long
ABS-MBS
USGSE
US
N
2
2033-01-20
Fixed
6.45000000
N
N
N
N
N
N
MIDWEST CONNEC 4.625% 04/01/29
N/A
MIDWEST CONNECTOR CAPIT REGD 144A P/P 4.62500000
59833CAC6
4724000.00000000
NS
USD
5160695.02000000
0.083653577219
Long
DBT
CORP
US
Y
2
2029-04-01
Fixed
4.62500000
N
N
N
N
N
N
GNMA P#596902 6% 01/15/33
N/A
GINNIE MAE I POOL P#596902 6.00000000
36200CDF9
17754.15000000
NS
USD
19546.92000000
0.000316850690
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
EVER 2013-2 A V/R 02/25/32
N/A
EVERBANK MORTGAGE LOAN TRUST 2013-2 SER 2013-2 CL A V/R REGD 144A P/P 3.00000000
29977KAA1
5744804.49000000
NS
USD
5785954.52000000
0.093788877534
Long
ABS-CBDO
CORP
US
Y
2
2043-06-25
Variable
3.00000000
N
N
N
N
N
N
VIRGINIA ST CMWLTH 4% 05/15/32
N/A
VIRGINIA ST CMWLTH TRANSPRTN B REGD B/E 4.00000000
927793XY0
2335000.00000000
NS
USD
2547601.75000000
0.041295988019
Long
DBT
MUN
US
N
2
2032-05-15
Fixed
4.00000000
N
N
N
N
N
N
CMHAT 2019-MH1 A V/R 11/25/44
N/A
CASCADE MH ASSET TRUST 2019-MH1 SER 2019-MH1 CL A V/R REGD 144A P/P 4.00000000
14732FAA0
8723406.52000000
NS
USD
8723095.09000000
0.141399192526
Long
ABS-CBDO
CORP
US
Y
2
2044-11-25
Variable
4.00000000
N
N
N
N
N
N
FGLMC P#Q46050 3% 02/01/47
N/A
FREDDIE MAC GOLD POOL P#Q46050 3.00000000
3132WKWL8
5064704.22000000
NS
USD
5190367.43000000
0.084134559573
Long
ABS-MBS
USGA
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
KILIMANJARO II RE V/R 04/20/21
N/A
KILIMANJARO II RE LTD REGD V/R 144A P/P SER * 8.06300000
49407QAC2
2600000.00000000
NS
USD
2574000.00000000
0.041723897057
Long
DBT
CORP
BM
Y
2
2021-04-20
Variable
8.06300000
N
N
N
N
N
N
FGLMC P#Q42460 4% 06/01/46
N/A
FREDDIE MAC GOLD POOL P#Q42460 4.00000000
3132WFWW5
3121771.60000000
NS
USD
3295527.85000000
0.053419683280
Long
ABS-MBS
USGA
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
COMM 2015-DC1 B V/R 01/10/25
N/A
COMM 2015-DC1 MORTGAGE TRUST SER 2015-DC1 CL B V/R REGD 4.03500000
12629NAJ4
4500000.00000000
NS
USD
4639758.30000000
0.075209323109
Long
ABS-CBDO
CORP
US
N
2
2048-02-10
Variable
4.03500000
N
N
N
N
N
N
FNMA P#776837 6.00% 9/1/34_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #776837_ 6.00000000
31404SBE4
16683.14000000
NS
USD
19135.95000000
0.000310188969
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#547578 7.5% 03/15/31
N/A
GINNIE MAE I POOL P#547578 7.50000000
36212YJX2
6251.17000000
NS
USD
6411.08000000
0.000103922005
Long
ABS-MBS
USGSE
US
N
2
2031-03-15
Fixed
7.50000000
N
N
N
N
N
N
FGLMC P#A15484 6% 11/01/33
N/A
FREDDIE MAC GOLD POOL P#A15484 6.00000000
31296QCV0
10239.75000000
NS
USD
11740.16000000
0.000190305061
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA II P#3650 4.5% 12/20/34
N/A
GINNIE MAE II POOL P#3650 4.50000000
36202EBT5
46186.98000000
NS
USD
48714.63000000
0.000789651984
Long
ABS-MBS
USGSE
US
N
2
2034-12-20
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#636293 5% 04/15/35
N/A
GINNIE MAE I POOL P#636293 5.00000000
36291R3A8
295944.92000000
NS
USD
327720.39000000
0.005312265662
Long
ABS-MBS
USGSE
US
N
2
2035-04-15
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#602212 6% 03/15/33
N/A
GINNIE MAE I POOL P#602212 6.00000000
36200JAM2
66159.58000000
NS
USD
75570.10000000
0.001224972444
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#959451 6% 12/01/37
N/A
FANNIE MAE POOL UMBS P#959451 6.00000000
31413YL82
13290.81000000
NS
USD
15195.55000000
0.000246316069
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
ARTEX SAC LTD V/R 01/31/20
N/A
ARTEX SAC LTD CYPRESS RE 2019 REGD V/R /BNR4A5934/ 0.00000000
N/A
2300000.00000000
NS
USD
2345722.16000000
0.038023570291
Long
DBT
CORP
BM
N
3
2020-01-31
Variable
0.00000000
N
N
N
N
N
N
GNMA P#505111 7.5% 08/15/29
N/A
GINNIE MAE I POOL P#505111 7.50000000
36210XDQ7
7076.28000000
NS
USD
7142.22000000
0.000115773602
Long
ABS-MBS
USGSE
US
N
2
2029-08-15
Fixed
7.50000000
N
N
N
N
N
N
GNMA P#615583 5% 09/15/33
N/A
GINNIE MAE I POOL P#615583 5.00000000
36290R2Q5
47199.35000000
NS
USD
52255.96000000
0.000847056058
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#471589 6.5% 10/15/28
N/A
GINNIE MAE I POOL P#471589 6.50000000
36209G2W6
9216.50000000
NS
USD
10166.94000000
0.000164803557
Long
ABS-MBS
USGSE
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
JPMMT 2019-9 A3 V/R 03/25/43
N/A
JP MORGAN MORTGAGE TRUST 2019-9 SER 2019-9 CL A3 V/R REGD 144A P/P 3.50000000
46651YAC4
24750000.00000000
NS
USD
25117389.00000000
0.407146601787
Long
ABS-CBDO
CORP
US
Y
2
2050-05-25
Variable
3.50000000
N
N
N
N
N
N
GNR 2017-21 IO V/R 10/16/58
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-21 CL IO V/R 0.77522000
38379U5F9
37653827.70000000
NS
USD
2481323.23000000
0.040221629765
Long
ABS-CBDO
CORP
US
N
2
2058-10-16
Variable
0.77522000
N
N
N
N
N
N
UMBS P#BD7979 3% 09/01/46
N/A
FANNIE MAE POOL UMBS P#BD7979 3.00000000
3140FF2M2
4166917.59000000
NS
USD
4267787.96000000
0.069179776809
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#AS7803 4% 08/01/46
N/A
FANNIE MAE POOL UMBS P#AS7803 4.00000000
3138WHU59
3247812.53000000
NS
USD
3426350.40000000
0.055540284139
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
BANK OF NY MELLON V/R 10/30/23
WFLLPEPC7FZXENRZV188
BANK OF NY MELLON CORP REGD V/R MTN 2.98550000
06406FAF0
10345000.00000000
NS
USD
10525416.80000000
0.170614377255
Long
DBT
CORP
US
N
2
2023-10-30
Variable
2.98550000
N
N
N
N
N
N
UMBS P#AZ4788 4% 10/01/45
N/A
FANNIE MAE POOL UMBS P#AZ4788 4.00000000
3138YWKA4
1950933.24000000
NS
USD
2056977.09000000
0.033343084830
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#A95090 4.5% 11/01/40
N/A
FREDDIE MAC GOLD POOL P#A95090 4.50000000
312943UP6
1952965.91000000
NS
USD
2122182.61000000
0.034400050022
Long
ABS-MBS
USGA
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
MCMLT 2019-GS1 M V/R 07/25/59
N/A
MILL CITY MORTGAGE LOAN TRUST 2019-GS1 SER 2019-GS1 CL M3 V/R REGD 144A P/P 3.25000000
59981BAJ3
7800000.00000000
NS
USD
7473375.00000000
0.121141542026
Long
ABS-CBDO
CORP
US
Y
2
2059-07-25
Variable
3.25000000
N
N
N
N
N
N
UMBS P#890516 5% 02/01/39
N/A
FANNIE MAE POOL UMBS P#890516 5.00000000
31410LK50
512229.39000000
NS
USD
564395.19000000
0.009148705053
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AB8559 3% 02/01/43
N/A
FANNIE MAE POOL UMBS P#AB8559 3.00000000
31417FQM3
2033809.21000000
NS
USD
2096266.66000000
0.033979958946
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
SNDPT 2019-4A E V/R 01/15/33
N/A
SOUND POINT CLO XXV LTD SER 2019-4A CL E V/R REGD 144A P/P 0.00000000
83614JAA0
4100000.00000000
NS
USD
3977000.00000000
0.064466176612
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
0.00000000
N
N
N
N
N
N
FGLMC P#Q48515 3.5% 06/01/47
N/A
FREDDIE MAC GOLD POOL P#Q48515 3.50000000
3132WNN99
534522.54000000
NS
USD
563314.63000000
0.009131189445
Long
ABS-MBS
USGA
US
N
2
2047-06-01
Fixed
3.50000000
N
N
N
N
N
N
COMM 2014-UBS3 C V/R 05/10/24
N/A
COMM 2014-UBS3 MORTGAGE TRUST SER 2014-UBS3 CL C V/R REGD 4.89823700
12591YBH7
4500000.00000000
NS
USD
4651638.30000000
0.075401894941
Long
ABS-CBDO
CORP
US
N
2
2047-06-10
Variable
4.89823700
N
N
N
N
N
N
GNMA P#354667 7.5% 10/15/23
N/A
GINNIE MAE I POOL P#354667 7.50000000
36203N6C7
17257.23000000
NS
USD
18201.76000000
0.000295045983
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Fixed
7.50000000
N
N
N
N
N
N
BANK OF AMERICA 4.2% 08/26/24
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD MTN 4.20000000
06051GFH7
1150000.00000000
NS
USD
1234886.34000000
0.020017199117
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
FGLMC P#C53033 7% 06/01/31
N/A
FREDDIE MAC GOLD POOL P#C53033 7.00000000
31298PLN8
993.96000000
NS
USD
995.43000000
0.000016135671
Long
ABS-MBS
USGA
US
N
2
2031-06-01
Fixed
7.00000000
N
N
N
N
N
N
JPMMT 2019-INV2 V/R 02/25/50
N/A
JP MORGAN MORTGAGE TRUST 2019-INV2 SER 2019-INV2 CL B3A V/R REGD 144A P/P 3.82638600
46651DBF2
9867368.02000000
NS
USD
9850785.91000000
0.159678779040
Long
ABS-CBDO
CORP
US
Y
2
2050-02-25
Variable
3.82638600
N
N
N
N
N
N
FNMA P#878567 5.5% 3/1/36__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #878567___ 5.50000000
31409UCC7
192193.83000000
NS
USD
215986.28000000
0.003501083649
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.50000000
N
N
N
N
N
N
FASST 2019-HB1 M V/R 10/25/21
N/A
FINANCE OF AMERICA STRUCTURED SECURITIES TRUS SER 2019-HB1 CL M2 V/R REGD 144A P/P 3.67570000
31739HAC9
3000000.00000000
NS
USD
3001500.00000000
0.048653565275
Long
ABS-CBDO
CORP
US
Y
2
2029-04-25
Variable
3.67570000
N
N
N
N
N
N
UMBS P#AD8529 4.5% 08/01/40
N/A
FANNIE MAE POOL UMBS P#AD8529 4.50000000
31418WPP9
339741.41000000
NS
USD
368367.00000000
0.005971137058
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
GNR 2018-20 A 2.5% 09/16/49
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-20 CL A 2.50000000
38380JNW4
3560770.01000000
NS
USD
3557647.21000000
0.057668572633
Long
ABS-CBDO
CORP
US
N
2
2049-09-16
Fixed
2.50000000
N
N
N
N
N
N
ROYAL BK SCOTLND GR V/R /PERP/
N/A
ROYAL BK SCOTLND GRP PLC REGD V/R /PERP/ 8.62500000
780097BB6
10505000.00000000
NS
USD
11266612.50000000
0.182628974414
Long
DBT
CORP
GB
N
2
2168-09-30
Variable
8.62500000
N
N
N
N
N
N
ISRAEL ELECTRI 9.375% 01/28/20
N/A
ISRAEL ELECTRIC CORP LTD REGD 144A P/P 9.37500000
46507MAB8
610000.00000000
NS
USD
613355.00000000
0.009942331344
Long
DBT
CORP
IL
Y
2
2020-01-28
Fixed
9.37500000
N
N
N
N
N
N
LONGPOINT RE LTD V/R 06/01/22
549300X8D4F49UZO0Y39
LONGPOINT RE LTD III REGD V/R 144A P/P SER A 4.32656900
542799AD3
2500000.00000000
NS
USD
2475750.00000000
0.040131289099
Long
DBT
CORP
KY
Y
2
2022-06-01
Variable
4.32656900
N
N
N
N
N
N
CFCRE 2016-C3 3.597% 11/10/25
N/A
CFCRE COMMERCIAL MORTGAGE TRUST 2016-C3 SER 2016-C3 CL A2 REGD 3.59700000
12531WBA9
4000000.00000000
NS
USD
4225602.80000000
0.068495965903
Long
ABS-CBDO
CORP
US
N
2
2048-01-10
Fixed
3.59700000
N
N
N
N
N
N
GNMA P#491491 7% 07/15/29
N/A
GINNIE MAE I POOL P#491491 7.00000000
36210F7C4
6627.60000000
NS
USD
7331.78000000
0.000118846322
Long
ABS-MBS
USGSE
US
N
2
2029-07-15
Fixed
7.00000000
N
N
N
N
N
N
UMBS P#BE2699 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#BE2699 4.00000000
3140FM7M2
1493442.13000000
NS
USD
1584784.50000000
0.025688960892
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#3460 6% 10/20/33
N/A
GINNIE MAE II POOL P#3460 6.00000000
36202DZZ7
63823.55000000
NS
USD
72902.27000000
0.001181727586
Long
ABS-MBS
USGSE
US
N
2
2033-10-20
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#AI8459 4% 09/15/44
N/A
GINNIE MAE I POOL P#AI8459 4.00000000
36198VMG9
1633849.72000000
NS
USD
1730903.06000000
0.028057506252
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
COMMERCIAL MET 4.875% 05/15/23
549300OQS2LO07ZJ7N73
COMMERCIAL METALS CO REGD 4.87500000
201723AK9
3550000.00000000
NS
USD
3692000.00000000
0.059846397800
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.87500000
N
N
N
N
N
N
UMBS P#BH7777 4% 08/01/47
N/A
FANNIE MAE POOL UMBS P#BH7777 4.00000000
3140GWUB7
3721063.35000000
NS
USD
3884218.06000000
0.062962204540
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
FLEX LTD 4.75% 06/15/25
549300EAQH74YHD07T53
FLEX LTD REGD SER WI 4.75000000
33938EAU1
5780000.00000000
NS
USD
6294719.69000000
0.102035833859
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
4.75000000
N
N
N
N
N
N
FGLMC P#C55683 6.5% 03/01/31
N/A
FREDDIE MAC GOLD POOL P#C55683 6.50000000
31298SJ47
1128.12000000
NS
USD
1252.86000000
0.000020308547
Long
ABS-MBS
USGA
US
N
2
2031-03-01
Fixed
6.50000000
N
N
N
N
N
N
ARTEX SAC LTD CAR V/R 12/31/17
N/A
CARNOUSTIE 2017 V/R 931DSHII1 BNR30WD58 0.00000000
N/A
4500000.00000000
NS
USD
611325.00000000
0.009909425551
Long
DBT
CORP
BM
N
3
2021-11-30
Variable
0.00000000
N
N
N
N
N
N
FSMT 2018-3INV B V/R 01/25/41
N/A
FLAGSTAR MORTGAGE TRUST 2018-3 SER 2018-3INV CL B3 V/R REGD 144A P/P 4.50281500
33851JAU3
4769240.00000000
NS
USD
4992797.65000000
0.080932002789
Long
ABS-CBDO
CORP
US
Y
2
2048-05-25
Variable
4.50281500
N
N
N
N
N
N
FGLMC P#Q52015 3.5% 11/01/47
N/A
FREDDIE MAC GOLD POOL P#Q52015 3.50000000
3132XUGZ2
3049733.66000000
NS
USD
3171300.16000000
0.051405983456
Long
ABS-MBS
USGA
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
ALEXANDRIA REAL 4.3% 01/15/26
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL ESTATE E REGD 4.30000000
015271AH2
2555000.00000000
NS
USD
2805024.81000000
0.045468751521
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.30000000
N
N
N
N
N
N
KINGSBARN 2017 0.0% 05/19/20
N/A
KINGSBARN 2017 REGD ZCP /BNR382FL9//931TRHII7/ 0.00000000
N/A
2800000.00000000
NS
USD
2800.00000000
0.000045387300
Long
DBT
CORP
BM
N
3
2020-05-19
Fixed
0.00000000
N
N
N
N
N
N
DOMINION ENERGY 2.75% 01/15/22
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC REGD SER B 2.75000000
25746UCR8
2700000.00000000
NS
USD
2739076.64000000
0.044399748159
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
2.75000000
N
N
N
N
N
N
MCMLT 2019-GS2 M1 3% 08/25/59
N/A
MILL CITY MORTGAGE LOAN TRUST 2019-GS2 SER 2019-GS2 CL M1 REGD 144A P/P 3.00000000
59981TAG0
16961000.00000000
NS
USD
16772838.91000000
0.271883529157
Long
ABS-CBDO
CORP
US
Y
2
2059-08-25
Fixed
3.00000000
N
N
N
N
N
N
FNMA P#713312 6% 7/1/33__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #713312___ 6.00000000
31401NN54
99148.82000000
NS
USD
110431.52000000
0.001790067355
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#G04815 5% 09/01/38
N/A
FREDDIE MAC GOLD POOL P#G04815 5.00000000
3128M6VG0
205750.61000000
NS
USD
226831.52000000
0.003676882280
Long
ABS-MBS
USGA
US
N
2
2038-09-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA P#555436 6% 5/1/33__
N/A
FNMA P#555436 6% 5/1/33__ 6.00000000
31402RDG1
108740.44000000
NS
USD
124607.54000000
0.002019857098
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
CSMC 2013-IVR5 B V/R 10/25/43
N/A
CSMC TRUST 2013-IVR5 SER 2013-IVR5 CL B4 V/R REGD 144A P/P 3.65119200
12647VBC8
2649741.02000000
NS
USD
2698633.25000000
0.043744170909
Long
ABS-CBDO
CORP
US
Y
2
2043-10-25
Variable
3.65119200
N
N
N
N
N
N
DCP MIDSTREAM O 5.35% 03/15/20
N/A
DCP MIDSTREAM OPERATING REGD 144A P/P 5.35000000
23311RAD8
750000.00000000
NS
USD
753750.00000000
0.012218099225
Long
DBT
CORP
US
Y
2
2020-03-15
Fixed
5.35000000
N
N
N
N
N
N
BX 2019-OC11 3.202% 12/09/29
N/A
BX TRUST 2019-OC11 SER 2019-OC11 CL A REGD 144A P/P 3.20200000
05606FAA1
18960000.00000000
NS
USD
19500976.20000000
0.316105953185
Long
ABS-CBDO
CORP
US
Y
2
2041-12-09
Fixed
3.20200000
N
N
N
N
N
N
GNMA P#631115 6.5% 06/15/34
N/A
GINNIE MAE I POOL P#631115 6.50000000
36291LDU6
100671.69000000
NS
USD
111542.46000000
0.001808075415
Long
ABS-MBS
USGSE
US
N
2
2034-06-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA II P#2471 7% 08/20/27
N/A
GINNIE MAE II POOL P#2471 7.00000000
36202CW82
11594.91000000
NS
USD
13041.27000000
0.000211395729
Long
ABS-MBS
USGSE
US
N
2
2027-08-20
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#401000 7.5% 06/15/24
N/A
GINNIE MAE I POOL P#401000 7.50000000
36205UNR7
1001.97000000
NS
USD
1014.37000000
0.000016442684
Long
ABS-MBS
USGSE
US
N
2
2024-06-15
Fixed
7.50000000
N
N
N
N
N
N
UBS AG STAMFOR 7.625% 08/17/22
N/A
UBS AG STAMFORD CT REGD 7.62500000
90261AAB8
10350000.00000000
NS
USD
11667658.50000000
0.189129829899
Long
DBT
CORP
US
N
2
2022-08-17
Fixed
7.62500000
N
N
N
N
N
N
GNMA P#564649 6.5% 06/15/31
N/A
GINNIE MAE I POOL P#564649 6.50000000
36213UH29
4483.34000000
NS
USD
4945.68000000
0.000080168237
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
6.50000000
N
N
N
N
N
N
VERISK ANALYTICS 5.5% 06/15/45
549300I1YSWNIRKBWP67
VERISK ANALYTICS INC REGD 5.50000000
92345YAE6
5942000.00000000
NS
USD
7395540.89000000
0.119879870544
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.50000000
N
N
N
N
N
N
FGLMC P#G08606 4% 09/01/44
N/A
FREDDIE MAC GOLD POOL P#G08606 4.00000000
3128MJU81
1830473.07000000
NS
USD
1947746.74000000
0.031572488140
Long
ABS-MBS
USGA
US
N
2
2044-09-01
Fixed
4.00000000
N
N
N
N
N
N
DELPHI FINANCI 7.875% 01/31/20
N/A
DELPHI FINANCIAL GROUP REGD 7.87500000
247131AF2
1850000.00000000
NS
USD
1857591.99000000
0.030111102162
Long
DBT
CORP
US
N
2
2020-01-31
Fixed
7.87500000
N
N
N
N
N
N
T/L ON SEMICONDU 0% 9/16/26
N/A
T/L ON SEMICONDUCTOR CORPORATION REGD 0.00000000
68218EAH7
796044.73000000
NS
USD
802786.43000000
0.013012967507
Long
LON
CORP
US
N
2
2026-09-16
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#AL2148 4% 02/15/45
N/A
GINNIE MAE I POOL P#AL2148 4.00000000
36183XL57
1123602.83000000
NS
USD
1190044.45000000
0.019290323281
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
BMIR 2018-3A M2 V/R 10/25/28
N/A
BELLEMEADE RE 2018-3 LTD SER 2018-3A CL M2 V/R REGD 144A P/P 4.54200000
07877TAC5
5250000.00000000
NS
USD
5308954.88000000
0.086056832516
Long
ABS-CBDO
CORP
BM
Y
2
2028-10-25
Variable
4.54200000
N
N
N
N
N
N
FINANCE AMER STRUC V/R 3/25/69
N/A
FINANCE AMER STRUCTURED SECS VARIABLE TR JR2 SER 2019-A 0.00000000
31739FAB5
10415363.33000000
NS
USD
10756898.72000000
0.174366641358
Long
ABS-CBDO
CORP
US
N
2
2069-03-25
Variable
0.00000000
N
N
N
N
N
N
ISTAR INC 4.25% 08/01/25
QFFLKWYYS3UPWD86E794
ISTAR INC REGD 4.25000000
45031UCG4
6765000.00000000
NS
USD
6839144.40000000
0.110860822420
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.25000000
N
N
N
N
N
N
FFIN 2019-1A B 4.22% 11/15/34
N/A
FOUNDATION FINANCE TRUST 2019-1 SER 2019-1A CL B REGD 144A P/P 4.22000000
35041JAB1
3750000.00000000
NS
USD
3870027.38000000
0.062732177161
Long
ABS-CBDO
CORP
US
Y
2
2034-11-15
Fixed
4.22000000
N
N
N
N
N
N
SUNOCO LOGISTICS 5.4% 10/01/47
N/A
SUNOCO LOGISTICS PARTNER REGD 5.40000000
86765BAV1
10876000.00000000
NS
USD
11825242.05000000
0.191684219883
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
VALERO ENERGY 6.625% 06/15/37
549300XTO5VR8SKV1V74
VALERO ENERGY CORP REGD 6.62500000
91913YAL4
8468000.00000000
NS
USD
11204629.30000000
0.181624242224
Long
DBT
CORP
US
N
2
2037-06-15
Fixed
6.62500000
N
N
N
N
N
N
GNMA P#592643 6% 04/15/33
N/A
GINNIE MAE I POOL P#592643 6.00000000
36201TLY1
9663.78000000
NS
USD
10639.60000000
0.000172465258
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#Q49209 4% 07/01/47
N/A
FREDDIE MAC GOLD POOL P#Q49209 4.00000000
3132WPGT8
2627822.36000000
NS
USD
2765252.24000000
0.044824048096
Long
ABS-MBS
USGA
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
NEW YORK LIFE 2.875% 04/10/24
N/A
NEW YORK LIFE GLOBAL FDG REGD 144A P/P 2.87500000
64952WDG5
7265000.00000000
NS
USD
7495734.29000000
0.121503980532
Long
DBT
CORP
US
Y
2
2024-04-10
Fixed
2.87500000
N
N
N
N
N
N
BAMLL 2016-FR14 V/R 01/27/21
N/A
BAMLL COMMERCIAL MORTGAGE SECURITIES SER 2016-FR14 CL A V/R REGD 144A P/P 2.94930500
05523EAA4
3500000.00000000
NS
USD
3493928.55000000
0.056635709070
Long
ABS-CBDO
CORP
US
Y
2
2048-02-27
Variable
2.94930500
N
N
N
N
N
N
GNMA P#592467 6% 12/15/32
N/A
GINNIE MAE I POOL P#592467 6.00000000
36201TFG7
130288.53000000
NS
USD
143444.74000000
0.002325203405
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
MLR 2018-1A C 3.7% 06/20/23
N/A
MARLIN RECEIVABLES 2018-1 LLC SER 2018-1A CL C REGD 144A P/P 3.70000000
571183AE2
1750000.00000000
NS
USD
1779161.13000000
0.028839757512
Long
ABS-CBDO
CORP
US
Y
2
2023-06-20
Fixed
3.70000000
N
N
N
N
N
N
UACST 2019-1 E 4.29% 12/10/21
N/A
UNITED AUTO CREDIT SECURITIZATION TRUST 2019-1 SER 2019-1 CL E REGD 144A P/P 4.29000000
90945QAE1
2125000.00000000
NS
USD
2147693.73000000
0.034813578905
Long
ABS-CBDO
CORP
US
Y
2
2024-08-12
Fixed
4.29000000
N
N
N
N
N
N
TVA 4.929% 01/15/21
N/A
NEW VALLEY GENERATION V 4.92900000
64908QAA9
480857.09000000
NS
USD
491007.79000000
0.007959113630
Long
DBT
USGA
US
N
2
2021-01-15
Fixed
4.92900000
N
N
N
N
N
N
PANGAEA 2016-2 0% 11/30/20
N/A
PANGAEA 2016-2 REGD ZCP /BNR2NC301/ 0.00000000
N/A
3000000.00000000
NS
USD
8928.30000000
0.000144725512
Long
DBT
CORP
BM
N
3
2020-11-30
Fixed
0.00000000
N
N
N
N
N
N
FHR 3780 FE V/R 12/15/20__
N/A
FREDDIE MAC REMICS SER 3780 CL FE V/R_ 2.13975000
3137A4QS9
7364.75000000
NS
USD
7374.74000000
0.000119542693
Long
ABS-CBDO
CORP
US
N
2
2020-12-15
Variable
2.13975000
N
N
N
N
N
N
GNMA P#589537 6% 11/15/32
N/A
GINNIE MAE I POOL P#589537 6.00000000
36201P4W2
5535.12000000
NS
USD
6094.04000000
0.000098782866
Long
ABS-MBS
USGSE
US
N
2
2032-11-15
Fixed
6.00000000
N
N
N
N
N
N
TPMT 2016-4 B1 V/R 04/25/27
N/A
TOWD POINT MORTGAGE TRUST 2016-4 SER 2016-4 CL B1 V/R REGD 144A P/P 4.02318000
89172UAE8
9000000.00000000
NS
USD
9431047.80000000
0.152874929120
Long
ABS-CBDO
CORP
US
Y
2
2056-07-25
Variable
4.02318000
N
N
N
N
N
N
T/L ALKERMES INC 0% 03/27/2023
N/A
T/L ALKERMES INC REGD 0.00000000
N/A
714259.86000000
NS
USD
712027.80000000
0.011541792785
Long
LON
CORP
US
N
2
2023-03-27
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AB1617 4% 10/01/40
N/A
FANNIE MAE POOL UMBS P#AB1617 4.00000000
31416WYP1
5179715.35000000
NS
USD
5618841.67000000
0.091080019978
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
NORDEA BANK AB 4.875% 05/13/21
529900ODI3047E2LIV03
NORDEA BANK ABP REGD 144A P/P 4.87500000
65557FAA4
8524000.00000000
NS
USD
8838440.64000000
0.143268915080
Long
DBT
CORP
FI
Y
2
2021-05-13
Fixed
4.87500000
N
N
N
N
N
N
FNMA P#253950 7% 9/1/31_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #253950__ 7.00000000
31371KBT7
5590.78000000
NS
USD
6398.65000000
0.000103720518
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#586580 7% 05/15/32
N/A
GINNIE MAE I POOL P#586580 7.00000000
36201LUD4
60015.28000000
NS
USD
71395.77000000
0.001157307598
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
7.00000000
N
N
N
N
N
N
PENSKE TRUCK LEA 4.2% 04/01/27
N/A
PENSKE TRUCK LEASING/PTL REGD 144A P/P 4.20000000
709599AX2
4615000.00000000
NS
USD
4949167.07000000
0.080224761985
Long
DBT
CORP
US
Y
2
2027-04-01
Fixed
4.20000000
N
N
N
N
N
N
VERSUTUS 2018 0.0% 12/31/21
N/A
VERSUTUS 2018 ZCP REGD /BNR3MF0E6/ 0.00000000
N/A
2000000.00000000
NS
USD
0.00000000
0.0000000
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
ENERGY TRANSFER 6.5% 02/01/42
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATNG REGD 6.50000000
29273RAR0
4207000.00000000
NS
USD
5004242.82000000
0.081117526136
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
6.50000000
N
N
N
N
N
N
TPMT 2017-1 B2 V/R 07/25/29
N/A
TOWD POINT MORTGAGE TRUST 2017-1 SER 2017-1 CL B2 V/R REGD 144A P/P 3.98809000
89173FAF7
18130000.00000000
NS
USD
18388405.08000000
0.298071453231
Long
ABS-CBDO
CORP
US
Y
2
2056-10-25
Variable
3.98809000
N
N
N
N
N
N
GNMA P#597938 6% 12/15/32
N/A
GINNIE MAE I POOL P#597938 6.00000000
36200DHP1
7280.47000000
NS
USD
8070.29000000
0.000130817385
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#AL2255 4% 03/15/45
N/A
GINNIE MAE I POOL P#AL2255 4.00000000
36183XQG8
65591.47000000
NS
USD
68603.87000000
0.001112051596
Long
ABS-MBS
USGSE
US
N
2
2045-03-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#562581 7% 04/15/32
N/A
GINNIE MAE I POOL P#562581 7.00000000
36213R6S1
32610.79000000
NS
USD
36218.38000000
0.000587090893
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
7.00000000
N
N
N
N
N
N
FGLMC P#C48591 6.5% 03/01/31
N/A
FREDDIE MAC GOLD POOL P#C48591 6.50000000
31298HRL4
307.22000000
NS
USD
341.19000000
0.000005530604
Long
ABS-MBS
USGA
US
N
2
2031-03-01
Fixed
6.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO V/R /PERP/
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R /PERP/ SER FF 5.00000000
48128BAF8
17815000.00000000
NS
USD
18527600.00000000
0.300327768116
Long
DBT
CORP
US
N
2
2168-02-01
Variable
5.00000000
N
N
N
N
N
N
NCM RE 2019 0.0% 12/31/22
N/A
NCM RE 2019 REGD ZCP /BNR4901S0/ 0.00000000
N/A
1000000.00000000
NS
USD
1072600.00000000
0.017386578082
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#C01511 6% 03/01/33
N/A
FREDDIE MAC GOLD POOL P#C01511 6.00000000
31292HVC5
91357.45000000
NS
USD
104802.98000000
0.001698830127
Long
ABS-MBS
USGA
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
GCAR 2019-1A C 3.87% 01/15/23
N/A
GLS AUTO RECEIVABLES ISSUER TRUST 2019-1 SER 2019-1A CL C REGD 144A P/P 3.87000000
36256DAC0
6000000.00000000
NS
USD
6141678.00000000
0.099555066291
Long
ABS-CBDO
CORP
US
Y
2
2024-12-16
Fixed
3.87000000
N
N
N
N
N
N
COOPERATIEVE R 3.875% 02/08/22
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA REGD MTN 3.87500000
21685WDD6
3435000.00000000
NS
USD
3577516.12000000
0.057990642701
Long
DBT
CORP
NL
N
2
2022-02-08
Fixed
3.87500000
N
N
N
N
N
N
FNMA P#579858 6.5% 4/1/31_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #579858__ 6.50000000
31387CE72
1610.13000000
NS
USD
1787.15000000
0.000028969255
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
6.50000000
N
N
N
N
N
N
STACR 2019-DNA2 V/R 03/25/49
N/A
FREDDIE MAC STACR TRUST 2019-DNA2 SER 2019-DNA2 CL M2 V/R REGD 144A P/P 4.24200000
35564LAH0
8162258.50000000
NS
USD
8233948.43000000
0.133470247348
Long
ABS-CBDO
CORP
US
Y
2
2049-03-25
Variable
4.24200000
N
N
N
N
N
N
UMBS P#BA6300 3.5% 12/01/45
N/A
FANNIE MAE POOL UMBS P#BA6300 3.50000000
3140EBAA9
3788040.49000000
NS
USD
3955178.87000000
0.064112461545
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#C01646 6% 09/01/33
N/A
FREDDIE MAC GOLD POOL P#C01646 6.00000000
31292HZK3
61768.38000000
NS
USD
70827.03000000
0.001148088464
Long
ABS-MBS
USGA
US
N
2
2033-09-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AZ3748 2.5% 01/01/46
N/A
FANNIE MAE POOL UMBS P#AZ3748 2.50000000
3138YVEW5
85646.43000000
NS
USD
85201.88000000
0.001381101192
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
2.50000000
N
N
N
N
N
N
NRZT 2018-4A A1S V/R 01/25/48
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-4 SER 2018-4A CL A1S V/R REGD 144A P/P 2.54200000
64828FCQ3
10673684.38000000
NS
USD
10644623.14000000
0.172546682251
Long
ABS-CBDO
CORP
US
Y
2
2048-01-25
Variable
2.54200000
N
N
N
N
N
N
GNMA P#551546 6.5% 07/15/31
N/A
GINNIE MAE I POOL P#551546 6.50000000
36213DWF1
11467.91000000
NS
USD
12650.52000000
0.000205061769
Long
ABS-MBS
USGSE
US
N
2
2031-07-15
Fixed
6.50000000
N
N
N
N
N
N
ABBVIE INC 4.25% 11/21/49
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD 144A P/P 4.25000000
00287YBS7
5758000.00000000
NS
USD
6113950.64000000
0.099105612712
Long
DBT
CORP
US
Y
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
FGLMC P#A44264 6% 04/01/36
N/A
FREDDIE MAC GOLD POOL P#A44264 6.00000000
3128K4WZ4
47191.41000000
NS
USD
52173.26000000
0.000845715512
Long
ABS-MBS
USGA
US
N
2
2036-04-01
Fixed
6.00000000
N
N
N
N
N
N
GALILEI RE LTD V/R 01/08/20
N/A
GALILEI RE LTD REGD V/R 144A P/P SER **** 6.40063000
363543AE9
1300000.00000000
NS
USD
1299870.00000000
0.021070568014
Long
DBT
CORP
BM
Y
2
2020-01-08
Variable
6.40063000
N
N
N
N
N
N
UMBS P#AS5630 2.5% 08/01/45
N/A
FANNIE MAE POOL UMBS P#AS5630 2.50000000
3138WFHG4
246556.96000000
NS
USD
245367.79000000
0.003977350587
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA P#579961 6.5% 04/15/32
N/A
GINNIE MAE I POOL P#579961 6.50000000
36201DJE3
8174.64000000
NS
USD
9017.64000000
0.000146173691
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#SD8024 3% 11/01/49
N/A
FREDDIE MAC POOL UMBS P#SD8024 3.00000000
3132DV4H5
28556671.01000000
NS
USD
28974571.90000000
0.469670573137
Long
ABS-MBS
USGA
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA P#645500 5.5% 10/15/35
N/A
GINNIE MAE I POOL P#645500 5.50000000
36292DDD1
98385.00000000
NS
USD
110391.73000000
0.001789422369
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Fixed
5.50000000
N
N
N
N
N
N
NATIONWIDE FINAN 3.9% 11/30/49
N/A
NATIONWIDE FINANCIAL SER REGD 144A P/P 3.90000000
638612AM3
6330000.00000000
NS
USD
6597098.59000000
0.106937320299
Long
DBT
CORP
US
Y
2
2049-11-30
Fixed
3.90000000
N
N
N
N
N
N
CHASE 2019-ATR2 V/R 07/25/49
N/A
CHASE HOME LENDING MORTGAGE TRUST 2019-ATR2 SER 2019-ATR2 CL A4 V/R REGD 144A P/P 3.50000000
16159GAD1
9283428.69000000
NS
USD
9373527.15000000
0.151942533751
Long
ABS-CBDO
CORP
US
Y
2
2049-07-25
Variable
3.50000000
N
N
N
N
N
N
PANGAEA RE SERIES 0% 2/1/19
N/A
PANGAEA RE SERIES 2015-1 PRINCIPAL-AT-RISK NOTES /BNR1F68C4/ 0.00000000
N/A
3600000.00000000
NS
USD
4709.45000000
0.000076339008
Long
DBT
CORP
BM
N
3
2020-02-01
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#G08242 6% 01/01/38
N/A
FREDDIE MAC GOLD POOL P#G08242 6.00000000
3128MJHU7
43592.46000000
NS
USD
49981.03000000
0.000810180011
Long
ABS-MBS
USGA
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AY9065 2.5% 04/01/45
N/A
FANNIE MAE POOL UMBS P#AY9065 2.50000000
3138YPCB6
300941.02000000
NS
USD
299490.50000000
0.004854666197
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
CENTENE CORP 4.25% 12/15/27
549300Z7JJ4TQSQGT333
CENTENE CORP REGD 144A P/P 4.25000000
15135BAQ4
1940000.00000000
NS
USD
1995775.00000000
0.032351014238
Long
DBT
CORP
US
Y
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
UMBS P#AS6226 4% 11/01/45
N/A
FANNIE MAE POOL UMBS P#AS6226 4.00000000
3138WF4L7
45724.70000000
NS
USD
47872.48000000
0.000776000943
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#613880 6% 09/15/33
N/A
GINNIE MAE I POOL P#613880 6.00000000
36290N6R8
11853.66000000
NS
USD
13179.69000000
0.000213639482
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
T/L TPF II POWER 0% 10/02/2023
N/A
T/L TPF II POWER LLC TL B 0.00000000
87264NAB3
919811.72000000
NS
USD
923619.74000000
0.014971645280
Long
LON
CORP
US
N
2
2023-10-02
Fixed
0.00000000
N
N
N
N
N
N
NOBLE ENERGY IN 5.25% 11/15/43
02VFQXG2D1LR5ZH3K186
NOBLE ENERGY INC REGD 5.25000000
655044AG0
12720000.00000000
NS
USD
14332566.42000000
0.232327321633
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
5.25000000
N
N
N
N
N
N
MASSACHUSETTS ST D 5% 07/15/40
549300UZSVMFXJK08K70
MASSACHUSETTS ST DEV FIN AGY R REGD N/C B/E 5.00000000
57584XYD7
7425000.00000000
NS
USD
10633491.00000000
0.172366233042
Long
DBT
MUN
US
N
2
2040-07-15
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#552704 6.5% 08/15/32
N/A
GINNIE MAE I POOL P#552704 6.50000000
36213FAD5
29863.51000000
NS
USD
32943.14000000
0.000534000070
Long
ABS-MBS
USGSE
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
JPMCC 2018-WP 4.247% 07/05/23
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES SER 2018-WPT CL AFX REGD 144A P/P 4.24750000
46645WAU7
6700000.00000000
NS
USD
7127025.17000000
0.115527297794
Long
ABS-CBDO
CORP
US
Y
2
2033-07-05
Fixed
4.24750000
N
N
N
N
N
N
BANK OF AMERICA C V/R 10/22/30
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 2.88400000
06051GHX0
20595000.00000000
NS
USD
20775933.05000000
0.336772685260
Long
DBT
CORP
US
N
2
2030-10-22
Variable
2.88400000
N
N
N
N
N
N
GNMA P#616629 6% 09/15/34
N/A
GINNIE MAE I POOL P#616629 6.00000000
36290TA66
92959.79000000
NS
USD
106219.46000000
0.001721790914
Long
ABS-MBS
USGSE
US
N
2
2034-09-15
Fixed
6.00000000
N
N
N
N
N
N
BOMFT 2017-RT2 A V/R 08/28/57
N/A
BAYVIEW OPPORTUNITY MASTER FUND IVB TRUS SER 2017-RT2 CL A V/R REGD 144A P/P 3.50000000
07332MAA3
5678056.02000000
NS
USD
5743431.45000000
0.093099589191
Long
ABS-CBDO
CORP
US
Y
2
2057-08-28
Variable
3.50000000
N
N
N
N
N
N
UMBS P#AS3608 2.5% 12/01/43
N/A
FANNIE MAE POOL UMBS P#AS3608 2.50000000
3138WDAJ0
203527.14000000
NS
USD
202545.75000000
0.003283216014
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#981756 6% 07/01/38
N/A
FANNIE MAE POOL UMBS P#981756 6.00000000
31415BE54
28391.70000000
NS
USD
31512.33000000
0.000510806998
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#AO3856 4% 08/15/45
N/A
GINNIE MAE I POOL P#AO3856 4.00000000
3617A4H92
461612.02000000
NS
USD
489031.95000000
0.007927085757
Long
ABS-MBS
USGSE
US
N
2
2045-08-15
Fixed
4.00000000
N
N
N
N
N
N
ENABLE MIDSTREA 4.95% 05/15/28
N/A
ENABLE MIDSTREAM PARTNER REGD 4.95000000
292480AL4
14441000.00000000
NS
USD
14628228.72000000
0.237119933665
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
N
N
N
N
N
N
GNMA P#780886 6.5% 10/15/24
N/A
GINNIE MAE I POOL P#780886 6.50000000
36225A6X3
10195.32000000
NS
USD
10910.86000000
0.000176862315
Long
ABS-MBS
USGSE
US
N
2
2024-10-15
Fixed
6.50000000
N
N
N
N
N
N
FGLMC P#Q49885 3.5% 08/01/47
N/A
FREDDIE MAC GOLD POOL P#Q49885 3.50000000
3132WP6X0
7661181.72000000
NS
USD
7959310.32000000
0.129018432185
Long
ABS-MBS
USGA
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
HUMANA INC 3.95% 03/15/27
529900YLDW34GJAO4J06
HUMANA INC REGD 3.95000000
444859BF8
3630000.00000000
NS
USD
3906897.96000000
0.063329840054
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.95000000
N
N
N
N
N
N
INTERNATIONAL PA 4.8% 06/15/44
824LMFJDH41EY779Q875
INTERNATIONAL PAPER CO REGD 4.80000000
460146CK7
1275000.00000000
NS
USD
1401276.00000000
0.022714333944
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.80000000
N
N
N
N
N
N
TPMT 2017-5 XA V/R 02/25/57
N/A
TOWD POINT MORTGAGE TRUST 2017-5 SER 2017-5 CL XA V/R REGD 144A P/P 3.50000000
89169EAP4
3524651.28000000
NS
USD
3509620.05000000
0.056890064366
Long
ABS-CBDO
CORP
US
Y
2
2057-02-25
Variable
3.50000000
N
N
N
N
N
N
SANDERS RE LTD V/R 12/06/21
549300R7FVCRRNP5EE19
SANDERS RE LTD REGD V/R 144A P/P 4.59125000
80000RAG7
1600000.00000000
NS
USD
1562240.00000000
0.025323520178
Long
DBT
CORP
BM
Y
2
2021-12-06
Variable
4.59125000
N
N
N
N
N
N
ANTHEM INC 4.101% 03/01/28
8MYN82XMYQH89CTMTH67
ANTHEM INC REGD 4.10100000
036752AG8
1140000.00000000
NS
USD
1238723.29000000
0.020079395118
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.10100000
N
N
N
N
N
N
T/L AMERICAN AXLE & 0% 04/06/24
N/A
T/L AMERICAN AXLE & MANUFACTURING INC REGD 0.00000000
N/A
3115353.90000000
NS
USD
3112431.70000000
0.050451740423
Long
LON
CORP
US
N
2
2024-04-06
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#723600 4.5% 01/15/40
N/A
GINNIE MAE I POOL P#723600 4.50000000
3620A93H2
273092.89000000
NS
USD
298806.95000000
0.004843586022
Long
ABS-MBS
USGSE
US
N
2
2040-01-15
Fixed
4.50000000
N
N
N
N
N
N
FGLMC P#G60658 3.5% 07/01/46
N/A
FREDDIE MAC GOLD POOL P#G60658 3.50000000
31335AWT1
5252818.24000000
NS
USD
5595616.63000000
0.090703547881
Long
ABS-MBS
USGA
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
T/L NN INC 0% 10/19/2022
N/A
T/L NN INC REGD 0.00000000
N/A
1153342.01000000
NS
USD
1127391.81000000
0.018274739636
Long
LON
CORP
US
N
2
2022-10-19
Fixed
0.00000000
N
N
N
N
N
N
T/L BUILDERS FIRST 0% 02/29/24
N/A
T/L BUILDERS FIRSTSOURCE INC REGD 0.00000000
N/A
47419.02000000
NS
USD
47643.41000000
0.000772287775
Long
LON
CORP
US
N
2
2024-02-29
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#Q08656 4% 06/01/42
N/A
FREDDIE MAC GOLD POOL P#Q08656 4.00000000
3132GT5R4
244814.44000000
NS
USD
262064.43000000
0.004247998951
Long
ABS-MBS
USGA
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AS7602 4% 07/01/46
N/A
FANNIE MAE POOL UMBS P#AS7602 4.00000000
3138WHNU2
4057343.86000000
NS
USD
4276250.79000000
0.069316957170
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.00000000
N
N
N
N
N
N
ENERGY TRANSFE 6.125% 12/15/45
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATNG REGD 6.12500000
29273RBJ7
1125000.00000000
NS
USD
1304691.54000000
0.021148723973
Long
DBT
CORP
US
N
2
2045-12-15
Fixed
6.12500000
N
N
N
N
N
N
UMBS P#AL3643 4.5% 01/01/42
N/A
FANNIE MAE POOL UMBS P#AL3643 4.50000000
3138ELBM4
2962518.24000000
NS
USD
3216948.52000000
0.052145931969
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#637880 4.5% 04/15/35
N/A
GINNIE MAE I POOL P#637880 4.50000000
36291TUD8
18906.42000000
NS
USD
20127.37000000
0.000326259640
Long
ABS-MBS
USGSE
US
N
2
2035-04-15
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#645460 6% 09/15/35
N/A
GINNIE MAE I POOL P#645460 6.00000000
36292DB50
500722.62000000
NS
USD
571302.12000000
0.009260664663
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
6.00000000
N
N
N
N
N
N
OAKMONT RE 2019 0% 4/30/20
N/A
OAKMONT RE 2019 ZCP REGD /XILS00137810/ 0.00000000
N/A
2500000.00000000
NS
USD
2545828.00000000
0.041267235974
Long
DBT
CORP
BM
N
3
2020-04-30
Fixed
0.00000000
N
N
N
N
N
N
CF INDUSTRIES I 4.95% 06/01/43
N/A
CF INDUSTRIES INC REGD 4.95000000
12527GAD5
1567000.00000000
NS
USD
1633597.50000000
0.026480207429
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
4.95000000
N
N
N
N
N
N
GNMA P#AK0397 4% 12/15/44
N/A
GINNIE MAE I POOL P#AK0397 4.00000000
36183HNN1
1567326.54000000
NS
USD
1660486.88000000
0.026916077563
Long
ABS-MBS
USGSE
US
N
2
2044-12-15
Fixed
4.00000000
N
N
N
N
N
N
DANSKE BANK A/S V/R /PERP/
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S REGD V/R /PERP/ 6.12500000
K222736J8
4700000.00000000
NS
USD
4830312.20000000
0.078298154231
Long
DBT
CORP
DK
N
2
2168-09-28
Variable
6.12500000
N
N
N
N
N
N
GNMA P#AJ0399 4% 08/15/44
N/A
GINNIE MAE I POOL P#AJ0399 4.00000000
36182UNQ6
270431.43000000
NS
USD
290398.91000000
0.004707293794
Long
ABS-MBS
USGSE
US
N
2
2044-08-15
Fixed
4.00000000
N
N
N
N
N
N
EDEN RE II LTD ZCP 03/22/23
549300LKX8PCP3SC3F42
EDEN RE II LTD REGD ZCP 144A P/P SER B 0.00000000
27954TAB1
5906150.00000000
NS
USD
6140624.16000000
0.099537983808
Long
DBT
CORP
BM
Y
2
2023-03-22
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#608668 6% 08/15/34
N/A
GINNIE MAE I POOL P#608668 6.00000000
36202TFH4
41560.42000000
NS
USD
45757.09000000
0.000741710999
Long
ABS-MBS
USGSE
US
N
2
2034-08-15
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#G08637 4% 04/01/45
N/A
FREDDIE MAC GOLD POOL P#G08637 4.00000000
3128MJV72
872848.47000000
NS
USD
925515.76000000
0.015002379291
Long
ABS-MBS
USGA
US
N
2
2045-04-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#485858 6.5% 10/15/31
N/A
GINNIE MAE I POOL P#485858 6.50000000
36209YWT1
41470.00000000
NS
USD
45746.53000000
0.000741539824
Long
ABS-MBS
USGSE
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
CNOOC FINANCE 2 4.25% 04/30/24
N/A
CNOOC FINANCE 2014 ULC REGD 4.25000000
12591DAC5
5275000.00000000
NS
USD
5636091.10000000
0.091359628929
Long
DBT
CORP
CA
N
2
2024-04-30
Fixed
4.25000000
N
N
N
N
N
N
TMCAT 2018-AA 3.84% 09/15/21
N/A
TIDEWATER AUTO RECEIVABLES TRUST 2018-A SER 2018-AA CL C REGD 144A P/P 3.84000000
88642MAD2
3200000.00000000
NS
USD
3246657.92000000
0.052627513922
Long
ABS-CBDO
CORP
US
Y
2
2024-11-15
Fixed
3.84000000
N
N
N
N
N
N
FNMA P#323908 6% 9/1/29_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #323908_ 6.00000000
31374TYD5
551.67000000
NS
USD
617.64000000
0.000010011790
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
6.00000000
N
N
N
N
N
N
SMALL BUS ADMIN GTD DEV PTC DB02-20A 6.14%22
N/A
SMALL BUS ADMIN GTD DEV PTC DB02-20A 6.14%22 6.14000000
83162CLZ4
26395.41000000
NS
USD
26893.67000000
0.000435939673
Long
DBT
USGA
US
N
2
2022-01-01
Fixed
6.14000000
N
N
N
N
N
N
FNMA P#614995 7% 12/1/31__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #614995__ 7.00000000
31388UGC8
13854.60000000
NS
USD
14168.01000000
0.000229659903
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
7.00000000
N
N
N
N
N
N
GNMA II P#3095 6.5% 06/20/31
N/A
GINNIE MAE II POOL P#3095 6.50000000
36202DNL1
5767.39000000
NS
USD
6622.08000000
0.000107342262
Long
ABS-MBS
USGSE
US
N
2
2031-06-20
Fixed
6.50000000
N
N
N
N
N
N
CAS 2018-C05 1M2 V/R 01/25/31
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C05 CL 1M2 V/R REGD 4.14200000
30711XY24
3900000.00000000
NS
USD
3955574.61000000
0.064118876391
Long
ABS-CBDO
CORP
US
N
2
2031-01-25
Variable
4.14200000
N
N
N
N
N
N
HMIR 2019-1 M1 V/R 05/25/29
N/A
HOME RE 2019-1 LTD SER 2019-1 CL M1 V/R REGD 144A P/P 3.44200000
43731AAA1
5495885.21000000
NS
USD
5499487.76000000
0.089145322909
Long
ABS-CBDO
CORP
BM
Y
2
2029-05-25
Variable
3.44200000
N
N
N
N
N
N
GNMA P#781485 6% 08/15/32
N/A
GINNIE MAE I POOL P#781485 6.00000000
36225BUJ5
3994.16000000
NS
USD
4556.29000000
0.000073856322
Long
ABS-MBS
USGSE
US
N
2
2032-08-15
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#A16897 6% 12/01/33
N/A
FREDDIE MAC GOLD POOL P#A16897 6.00000000
31296RUW6
108253.77000000
NS
USD
119592.33000000
0.001938561797
Long
ABS-MBS
USGA
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#776188 4% 11/15/41
N/A
GINNIE MAE I POOL P#776188 4.00000000
36176UCZ6
3018.28000000
NS
USD
3156.90000000
0.000051172560
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
4.00000000
N
N
N
N
N
N
PELICAN IV RE LTD V/R 05/05/20
N/A
PELICAN IV RE LTD REGD V/R 144A P/P 3.54538000
705809AA9
250000.00000000
NS
USD
249125.00000000
0.004038254022
Long
DBT
CORP
BM
Y
2
2020-05-05
Variable
3.54538000
N
N
N
N
N
N
GNMA II P#2934 7.5% 06/20/30
N/A
GINNIE MAE II POOL P#2934 7.50000000
36202DHK0
2312.97000000
NS
USD
2662.92000000
0.000043165268
Long
ABS-MBS
USGSE
US
N
2
2030-06-20
Fixed
7.50000000
N
N
N
N
N
N
FNMA P#660229 6.00% 9/1/32
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #660229 6.00000000
31390YPN2
257.20000000
NS
USD
294.51000000
0.000004773933
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
6.00000000
N
N
N
N
N
N
RMIR 2019-1 M2 V/R 02/25/29
N/A
RADNOR RE 2019-1 LTD SER 2019-1 CL M2 V/R REGD 144A P/P 4.99200000
75049SAC7
3437000.00000000
NS
USD
3486901.12000000
0.056521796185
Long
ABS-CBDO
CORP
BM
Y
2
2029-02-25
Variable
4.99200000
N
N
N
N
N
N
UMBS P#BC9562 4% 11/01/46
N/A
FANNIE MAE POOL UMBS P#BC9562 4.00000000
3140F5TU7
1327743.84000000
NS
USD
1396215.46000000
0.022632303855
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
TPMT 2019-SJ3 A2 V/R 11/25/59
N/A
TOWD POINT MORTGAGE TRUST 2019-SJ3 SER 2019-SJ3 CL A2 V/R REGD 144A P/P 3.00000000
89178JAB3
14550000.00000000
NS
USD
14570035.35000000
0.236176633673
Long
ABS-CBDO
CORP
US
Y
2
2059-11-25
Variable
3.00000000
N
N
N
N
N
N
GNMA P#AL2189 4% 02/15/45
N/A
GINNIE MAE I POOL P#AL2189 4.00000000
36183XNE6
757786.24000000
NS
USD
802177.11000000
0.013003090582
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
FINANCE AMER V/R 12/26/68
N/A
FINANCE AMER STRUCTURED SECS TR JR2 SER 2018-A 144A 1.64559300
31739EAA0
2896467.74000000
NS
USD
3162310.76000000
0.051260267527
Long
ABS-CBDO
CORP
US
N
2
2068-12-26
Variable
1.64559300
N
N
N
N
N
N
DENNING RE 2019 0.0% 07/31/20
N/A
DENNING RE 2019 REGD ZCP /XILS00144052/ 0.00000000
N/A
3000000.00000000
NS
USD
3012909.93000000
0.048838517390
Long
DBT
CORP
BM
N
3
2020-07-31
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#C01119 6.5% 11/01/30
N/A
FREDDIE MAC GOLD POOL P#C01119 6.50000000
31292HG40
218.87000000
NS
USD
243.07000000
0.000003940103
Long
ABS-MBS
USGA
US
N
2
2030-11-01
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#CA4195 5% 09/01/49
N/A
FANNIE MAE POOL UMBS P#CA4195 5.00000000
3140QBUV8
5768641.53000000
NS
USD
6504379.49000000
0.105434366848
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
5.00000000
N
N
N
N
N
N
AIG GLOBAL FUNDIN V/R 07/02/20
54930057MDZ7KOVOTV71
AIG GLOBAL FUNDING REGD V/R 144A P/P 2.56513000
00138CAE8
800000.00000000
NS
USD
801475.18000000
0.012991712472
Long
DBT
CORP
US
Y
2
2020-07-02
Variable
2.56513000
N
N
N
N
N
N
CAFL 2015-1 A 2.896% 10/15/47
N/A
COLONY AMERICAN FINANCE 2015-1 LTD SER 2015-1 CL A REGD 144A P/P 2.89600000
19624VAA5
601075.65000000
NS
USD
600572.13000000
0.009735124214
Long
ABS-CBDO
CORP
KY
Y
2
2047-10-15
Fixed
2.89600000
N
N
N
N
N
N
UMBS P#SD8003 4% 07/01/49
N/A
FREDDIE MAC POOL UMBS P#SD8003 4.00000000
3132DV3L7
24851746.64000000
NS
USD
25835557.95000000
0.418787941080
Long
ABS-MBS
USGA
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#G04832 5% 10/01/38
N/A
FREDDIE MAC GOLD POOL P#G04832 5.00000000
3128M6VZ8
200073.21000000
NS
USD
220579.49000000
0.003575538435
Long
ABS-MBS
USGA
US
N
2
2038-10-01
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#A39717 5.5% 11/01/35
N/A
FREDDIE MAC GOLD POOL P#A39717 5.50000000
31297VYN2
17710.55000000
NS
USD
19909.50000000
0.000322728021
Long
ABS-MBS
USGA
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
VENDE 2008-1 GD 5.25% 1/15/32_
N/A
VENDEE MORTGAGE TRUST SERIES__ 2008-1 CLASS GD REGD_ 5.25000000
92261UAA2
162704.24000000
NS
USD
168021.98000000
0.002723594326
Long
ABS-CBDO
CORP
US
N
2
2032-01-15
Fixed
5.25000000
N
N
N
N
N
N
KABB 2019-1 B 4.071% 03/15/22
N/A
KABBAGE FUNDING LLC SER 2019-1 CL B REGD 144A P/P 4.07100000
48283PAF8
14500000.00000000
NS
USD
14642722.05000000
0.237354866924
Long
ABS-CBDO
CORP
US
Y
2
2024-03-15
Fixed
4.07100000
N
N
N
N
N
N
T/L USI HOLDINGS 0% 05/16/2024
N/A
T/L USI HOLDINGS CORPORATION REGD 0.00000000
N/A
830875.00000000
NS
USD
831809.73000000
0.013483427951
Long
LON
CORP
US
N
2
2024-05-16
Fixed
0.00000000
N
N
N
N
N
N
MSBT 2018-13 A V/R 08/18/21
N/A
BTH-13 MORTGAGE BACKED SECURITIES TRUST SER 2018-13 CL A V/R REGD 144A P/P 4.20850000
05586RAA9
4700000.00000000
NS
USD
4705204.31000000
0.076270186583
Long
ABS-CBDO
CORP
US
Y
2
2021-08-18
Variable
4.20850000
N
N
N
N
N
N
FNMA P#606344 6.5% 10/1/31_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #606344__ 6.50000000
31388JS97
1679.97000000
NS
USD
1864.67000000
0.000030225834
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
6.50000000
N
N
N
N
N
N
KILIMANJARO II RE V/R 04/20/21
N/A
KILIMANJARO II RE LTD REGD V/R 144A P/P SER ** 9.67300000
49407QAB4
3500000.00000000
NS
USD
3450650.00000000
0.055934174585
Long
DBT
CORP
BM
Y
2
2021-04-20
Variable
9.67300000
N
N
N
N
N
N
FNMA P#506298 6.50% 7/1/29_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #506298__ 6.50000000
31383LNP6
5741.85000000
NS
USD
6373.11000000
0.000103306521
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA P#580982 6.5% 5/1/31__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #580982_ 6.50000000
31387DM71
3253.91000000
NS
USD
3611.65000000
0.000058543944
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
T/L GFL ENVIRONM 0% 5/30/25
N/A
T/L GFL ENVIRONMENTAL INC ZCP REGD 0.00000000
N/A
950788.24000000
NS
USD
953420.02000000
0.015454700375
Long
LON
CORP
CA
N
2
2025-05-30
Fixed
0.00000000
N
N
N
N
N
N
ARTEX SAC LTD GLEN 0% 12/31/21
N/A
ARTEX SAC LIMITED GLENEAGLES RE 2018-1 /BNR3MYEC4/ 0.00000000
N/A
1000000.00000000
NS
USD
118300.00000000
0.001917613450
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
GNMA II P#MA2305 4.5% 10/20/44
N/A
GINNIE MAE II POOL P#MA2305 4.50000000
36179QR29
1223446.57000000
NS
USD
1310280.47000000
0.021239319132
Long
ABS-MBS
USGSE
US
N
2
2044-10-20
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AI1643 4.5% 07/01/41
N/A
FANNIE MAE POOL UMBS P#AI1643 4.50000000
3138AEZH9
804723.95000000
NS
USD
874026.29000000
0.014167747843
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
OCI NV 3.125% 11/01/24/EUR/
549300NCMRGIBJYUOE57
OCI NV /EUR/ REGD 144A P/P 3.12500000
N/A
2515000.00000000
NS
2934059.48000000
0.047560371291
Long
DBT
CORP
NL
Y
2
2024-11-01
Fixed
3.12500000
N
N
N
N
N
N
FNMA P#560456 7% 12/1/30_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #560456_ 7.00000000
31386DTM2
536.13000000
NS
USD
554.49000000
0.000008988144
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.00000000
N
N
N
N
N
N
FGLMC P#A22080 6% 05/01/34
N/A
FREDDIE MAC GOLD POOL P#A22080 6.00000000
31296YJZ7
88367.65000000
NS
USD
97548.16000000
0.001581231307
Long
ABS-MBS
USGA
US
N
2
2034-05-01
Fixed
6.00000000
N
N
N
N
N
N
PPL CAPITAL FUND 3.1% 05/15/26
N/A
PPL CAPITAL FUNDING INC REGD 3.10000000
69352PAL7
11910000.00000000
NS
USD
12125906.15000000
0.196557909843
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.10000000
N
N
N
N
N
N
UMBS P#804033 5% 07/01/34
N/A
FANNIE MAE POOL UMBS P#804033 5.00000000
31406AHJ4
33840.79000000
NS
USD
35456.53000000
0.000574741494
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AQ3279 3.5% 11/01/42
N/A
FANNIE MAE POOL UMBS P#AQ3279 3.50000000
3138MJUD9
197897.40000000
NS
USD
210710.44000000
0.003415563600
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#2714 6.5% 02/20/29
N/A
GINNIE MAE II POOL P#2714 6.50000000
36202DAP6
1245.81000000
NS
USD
1420.46000000
0.000023025301
Long
ABS-MBS
USGSE
US
N
2
2029-02-20
Fixed
6.50000000
N
N
N
N
N
N
FGLMC P#Q47050 4% 03/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47050 4.00000000
3132WLZQ2
1140850.60000000
NS
USD
1202136.31000000
0.019486329311
Long
ABS-MBS
USGA
US
N
2
2047-03-01
Fixed
4.00000000
N
N
N
N
N
N
WESTR 2017-1A 3.05% 07/20/21
N/A
WESTGATE RESORTS 2017-1 LLC SER 2017-1A CL A REGD 144A P/P 3.05000000
96033DAA8
811116.27000000
NS
USD
814267.78000000
0.013199077323
Long
ABS-CBDO
CORP
US
Y
2
2030-12-20
Fixed
3.05000000
N
N
N
N
N
N
GNMA P#457127 6.5% 02/15/29
N/A
GINNIE MAE I POOL P#457127 6.50000000
36208PYY8
3990.97000000
NS
USD
4402.53000000
0.000071363911
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
AXIS 2019-1A B 2.8% 03/20/25
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES VII LLC SER 2019-1A CL B REGD 144A P/P 2.80000000
03237MAC4
3833000.00000000
NS
USD
3845733.61000000
0.062338381218
Long
ABS-CBDO
CORP
US
Y
2
2025-03-20
Fixed
2.80000000
N
N
N
N
N
N
BMIR 2018-1A M1B V/R 04/25/28
N/A
BELLEMEADE RE 2018-1 LTD SER 2018-1A CL M1B V/R REGD 144A P/P 3.39200000
078768AD0
4948047.81000000
NS
USD
4954805.85000000
0.080316165201
Long
ABS-CBDO
CORP
BM
Y
2
2028-04-25
Variable
3.39200000
N
N
N
N
N
N
GNMA P#594828 6.5% 08/15/32
N/A
GINNIE MAE I POOL P#594828 6.50000000
36201VYZ9
26745.88000000
NS
USD
30972.99000000
0.000502064431
Long
ABS-MBS
USGSE
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
TPMT 2016-1 B1 V/R 02/25/55
N/A
TOWD POINT MORTGAGE TRUST 2016-1 SER 2016-1 CL B1 V/R REGD 144A P/P 4.28625500
89172EAJ3
9700000.00000000
NS
USD
10398540.65000000
0.168557746555
Long
ABS-CBDO
CORP
US
Y
2
2055-02-25
Variable
4.28625500
N
N
N
N
N
N
T/L TRONOX FINANCE 0% 09/23/24
N/A
T/L TRONOX FINANCE LLC REGD 0.00000000
N/A
1349145.35000000
NS
USD
1353150.96000000
0.021934239067
Long
LON
CORP
US
N
2
2024-09-23
Fixed
0.00000000
N
N
N
N
N
N
CONN 2019-A A 3.4% 10/16/23
N/A
CONN'S RECEIVABLES FUNDING 2019-A LLC SER 2019-A CL A REGD 144A P/P 3.40000000
20827DAA8
1463364.45000000
NS
USD
1473121.87000000
0.023878937551
Long
ABS-CBDO
CORP
US
Y
2
2023-10-16
Fixed
3.40000000
N
N
N
N
N
N
UMBS P#AE0625 4% 12/01/40
N/A
FANNIE MAE POOL UMBS P#AE0625 4.00000000
31419AVT1
955324.59000000
NS
USD
1036493.26000000
0.016801296845
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 12/01/23
549300QS6XPZQHTCEJ97
SECTOR RE V LTD REGD ZCP 144A P/P SER C 0.00000000
81369ACR1
2100000.00000000
NS
USD
1702178.14000000
0.027591882473
Long
DBT
CORP
BM
Y
3
2023-12-01
Fixed
0.00000000
N
N
N
N
N
N
BOOKING HOLDING 3.65% 03/15/25
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC REGD 3.65000000
741503AW6
7875000.00000000
NS
USD
8408568.89000000
0.136300801387
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.65000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 03/01/24
549300QS6XPZQHTCEJ97
SECTOR RE V LTD REGD ZCP 144A P/P SER A 0.00000000
81369ACT7
1500000.00000000
NS
USD
1189245.68000000
0.019277375419
Long
DBT
CORP
BM
Y
3
2024-03-01
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#569708 6.5% 02/15/32
N/A
GINNIE MAE I POOL P#569708 6.50000000
36200Q3R3
4422.96000000
NS
USD
4879.07000000
0.000079088505
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#555944 6.5% 05/15/31
N/A
GINNIE MAE I POOL P#555944 6.50000000
36213JS97
33812.50000000
NS
USD
37299.36000000
0.000604613308
Long
ABS-MBS
USGSE
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA P#675600 6.00% 1/1/32__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #675600__ 6.00000000
31391SRV4
2656.48000000
NS
USD
3028.55000000
0.000049092039
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
6.00000000
N
N
N
N
N
N
T/L VISTRA OPER 0% 12/31/25
N/A
T/L VISTRA OPERATIONS COMPANY LLC ZCP REGD 0.00000000
N/A
623924.20000000
NS
USD
628330.98000000
0.010185088239
Long
LON
CORP
US
N
2
2025-12-31
Fixed
0.00000000
N
N
N
N
N
N
EDEN RE II LTD ZCP 03/22/22
549300LKX8PCP3SC3F42
EDEN RE II LTD REGD ZCP 144A P/P SER A 0.00000000
27954GAA1
125000.00000000
NS
USD
163300.00000000
0.002647052210
Long
ABS-CBDO
CORP
BM
Y
2
2022-03-22
Fixed
0.00000000
N
N
N
N
N
N
MSBAM 2012-C6 2.858% 09/15/22
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2 SER 2012-C6 CL A4 REGD 2.85800000
61761DAD4
4804066.20000000
NS
USD
4872935.37000000
0.078989065170
Long
ABS-CBDO
CORP
US
N
2
2045-11-15
Fixed
2.85800000
N
N
N
N
N
N
GNMA P#604647 6% 09/15/33
N/A
GINNIE MAE I POOL P#604647 6.00000000
36200MWG4
38694.42000000
NS
USD
44181.22000000
0.000716166540
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA II P#1904 9% 11/20/24
N/A
GINNIE MAE II POOL P#1904 9.00000000
36202CDH3
1658.13000000
NS
USD
1662.94000000
0.000026955842
Long
ABS-MBS
USGSE
US
N
2
2024-11-20
Fixed
9.00000000
N
N
N
N
N
N
UMBS P#BC5121 3.5% 01/01/47
N/A
FANNIE MAE POOL UMBS P#BC5121 3.50000000
3140F0VP6
1778321.01000000
NS
USD
1846973.15000000
0.029938973418
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
ACC 2018-1 A 3.7% 12/21/20
N/A
ACC TRUST 2018-1 SER 2018-1 CL A REGD 144A P/P 3.70000000
00435QAA5
161726.37000000
NS
USD
161831.65000000
0.002623250623
Long
ABS-CBDO
CORP
US
Y
2
2020-12-21
Fixed
3.70000000
N
N
N
N
N
N
UMBS P#AY7608 2.5% 04/01/45
N/A
FANNIE MAE POOL UMBS P#AY7608 2.50000000
3138YMN21
405616.70000000
NS
USD
403660.11000000
0.006543229555
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA P#503597 7% 04/15/29
N/A
GINNIE MAE I POOL P#503597 7.00000000
36210VNN7
19832.24000000
NS
USD
21286.91000000
0.000345055493
Long
ABS-MBS
USGSE
US
N
2
2029-04-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#611552 6% 05/15/33
N/A
GINNIE MAE I POOL P#611552 6.00000000
36202WL98
16545.07000000
NS
USD
18215.75000000
0.000295272757
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#Q44876 3% 12/01/46
N/A
FREDDIE MAC GOLD POOL P#Q44876 3.00000000
3132WJM24
1095137.66000000
NS
USD
1128073.03000000
0.018285782042
Long
ABS-MBS
USGA
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
SCFET 2019-1A 3.92% 11/20/26
N/A
SCF EQUIPMENT LEASING 2019-1 LLC SER 2019-1A CL C REGD 144A P/P 3.92000000
78397AAD6
7400000.00000000
NS
USD
7446067.96000000
0.120698901728
Long
ABS-CBDO
CORP
US
Y
2
2026-11-20
Fixed
3.92000000
N
N
N
N
N
N
UMBS P#BJ5251 3.5% 12/01/47
N/A
FANNIE MAE POOL UMBS P#BJ5251 3.50000000
3140H6ZR3
6709677.06000000
NS
USD
6968381.61000000
0.112955725313
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#BM3282 3.5% 12/01/47
N/A
FANNIE MAE POOL UMBS P#BM3282 3.50000000
3140J7UG8
479175.52000000
NS
USD
513599.97000000
0.008325327225
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#G01552 6.5% 01/01/33
N/A
FREDDIE MAC GOLD POOL P#G01552 6.50000000
31283HWM3
82.12000000
NS
USD
91.20000000
0.000001478329
Long
ABS-MBS
USGA
US
N
2
2033-01-01
Fixed
6.50000000
N
N
N
N
N
N
EXPEDIA GROUP I 3.25% 02/15/30
CI7MUJI4USF3V0NJ1H64
EXPEDIA GROUP INC REGD 144A P/P 3.25000000
30212PAQ8
11421000.00000000
NS
USD
10992273.93000000
0.178182014719
Long
DBT
CORP
US
Y
2
2030-02-15
Fixed
3.25000000
N
N
N
N
N
N
GNMA II P#2729 6.5% 03/20/29
N/A
GINNIE MAE II POOL P#2729 6.50000000
36202DA68
501.31000000
NS
USD
568.02000000
0.000009207462
Long
ABS-MBS
USGSE
US
N
2
2029-03-20
Fixed
6.50000000
N
N
N
N
N
N
BMARK 2019-B1 3.351% 11/15/29
N/A
BENCHMARK 2019-B14 MORTGAGE TRUST SER 2019-B14 CL AS REGD 3.35150000
08162YAF9
7725000.00000000
NS
USD
7986661.97000000
0.129461795599
Long
ABS-CBDO
CORP
US
N
2
2062-12-15
Fixed
3.35150000
N
N
N
N
N
N
GNMA II P#3334 6% 01/20/33
N/A
GINNIE MAE II POOL P#3334 6.00000000
36202DV32
59955.84000000
NS
USD
68525.08000000
0.001110774430
Long
ABS-MBS
USGSE
US
N
2
2033-01-20
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#542757 6.5% 04/15/31
N/A
GINNIE MAE I POOL P#542757 6.50000000
36212S5S1
37375.69000000
NS
USD
42839.14000000
0.000694411758
Long
ABS-MBS
USGSE
US
N
2
2031-04-15
Fixed
6.50000000
N
N
N
N
N
N
AT SECURITIES BV V/R /PERP/
N/A
AT SECURITIES BV REGD V/R /PERP/ REG S 5.25000000
N0796CAA4
10250000.00000000
NS
USD
10665125.00000000
0.172879012280
Long
DBT
CORP
NL
N
2
2168-07-21
Variable
5.25000000
N
N
N
N
N
N
UMBS P#AW9530 2.5% 04/01/45
N/A
FANNIE MAE POOL UMBS P#AW9530 2.50000000
3138XZSU6
1109196.41000000
NS
USD
1103846.43000000
0.017893074907
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
BMIR 2017-1 M1 V/R 10/25/27
N/A
BELLEMEADE RE 2017-1 LTD SER 2017-1 CL M1 V/R REGD 144A P/P 3.49200000
078767AA8
1179384.73000000
NS
USD
1181962.39000000
0.019159315107
Long
ABS-CBDO
CORP
BM
Y
2
2027-10-25
Variable
3.49200000
N
N
N
N
N
N
SWH 2017-1 B V/R 10/17/19
N/A
STARWOOD WAYPOINT HOMES 2017-1 TRUST SER 2017-1 CL B V/R REGD 144A P/P 2.90975000
85572MAB6
2950000.00000000
NS
USD
2946573.87000000
0.047763226427
Long
ABS-CBDO
CORP
US
Y
2
2035-01-17
Variable
2.90975000
N
N
N
N
N
N
FGLMC P#Q11390 3% 09/01/42
N/A
FREDDIE MAC GOLD POOL P#Q11390 3.00000000
3132HMRK9
814613.76000000
NS
USD
839871.41000000
0.013614105770
Long
ABS-MBS
USGA
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#AX2573 4% 11/01/44
N/A
FANNIE MAE POOL UMBS P#AX2573 4.00000000
3138Y32F7
88328.14000000
NS
USD
93586.39000000
0.001517012005
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#G60238 3.5% 10/01/45
N/A
FREDDIE MAC GOLD POOL P#G60238 3.50000000
31335AHP6
5096971.21000000
NS
USD
5376345.68000000
0.087149220551
Long
ABS-MBS
USGA
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
CF INDUSTRIES 5.375% 03/15/44
N/A
CF INDUSTRIES INC REGD 5.37500000
12527GAE3
7860000.00000000
NS
USD
8567400.00000000
0.138875414007
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
5.37500000
N
N
N
N
N
N
PANGAEA RE SERIE 0% 11/30/20
N/A
PANGAEA RE SERIES 2016-1 PRINCIPAL-AT-RISK NOTES /BNR27FFP4/ 0.00000000
N/A
4500000.00000000
NS
USD
9988.92000000
0.000161917898
Long
DBT
CORP
BM
N
3
2020-11-30
Fixed
0.00000000
N
N
N
N
N
N
FORTUNE BRANDS HOM 3% 06/15/20
54930032LHW54PQUJD44
FORTUNE BRANDS HOME & SE REGD 3.00000000
34964CAB2
7680000.00000000
NS
USD
7706294.09000000
0.124917102295
Long
DBT
CORP
US
N
2
2020-06-15
Fixed
3.00000000
N
N
N
N
N
N
GNMA P#550537 6.5% 07/15/35
N/A
GINNIE MAE I POOL P#550537 6.50000000
36213CS27
16518.63000000
NS
USD
18222.09000000
0.000295375527
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA P#568443 6.5% 1/1/31_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #568443_ 6.50000000
31386NP44
941.26000000
NS
USD
1044.74000000
0.000016934974
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
6.50000000
N
N
N
N
N
N
MCMLT 2019-GS1 A V/R 07/25/59
N/A
MILL CITY MORTGAGE LOAN TRUST 2019-GS1 SER 2019-GS1 CL A1 V/R REGD 144A P/P 2.75000000
59981BAC8
5126427.22000000
NS
USD
5152174.70000000
0.083515464960
Long
ABS-CBDO
CORP
US
Y
2
2059-07-25
Variable
2.75000000
N
N
N
N
N
N
ENERGY TRANSFER OP 6% 06/15/48
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATNG REGD SER 30Y 6.00000000
29278NAE3
4085000.00000000
NS
USD
4766528.25000000
0.077264232333
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
6.00000000
N
N
N
N
N
N
MPLX LP V/R 09/09/21
N/A
MPLX LP REGD V/R 2.78500000
55336VBG4
5914000.00000000
NS
USD
5932101.99000000
0.096157891518
Long
DBT
CORP
US
N
2
2021-09-09
Variable
2.78500000
N
N
N
N
N
N
LSTRZ 2019-4 A1 V/R 05/01/21
N/A
LSTAR SECURITIES INVESTMENT LTD 2019-4 SER 2019-4 CL A1 V/R REGD 144A P/P 3.20850000
54912JAA0
4388543.90000000
NS
USD
4383470.30000000
0.071054958645
Long
ABS-CBDO
CORP
US
Y
2
2024-05-01
Variable
3.20850000
N
N
N
N
N
N
RESILIENCE RE LTD ZCP 06/08/20
N/A
RESILIENCE RE LTD REGD ZCP 144A P/P SER A 0.00000000
N/A
250000.00000000
NS
USD
121250.00000000
0.001965432213
Long
DBT
CORP
BM
Y
3
2020-06-08
Fixed
0.00000000
N
N
N
N
N
N
GNMA II P#MA2074 4% 07/20/44
N/A
GINNIE MAE II POOL P#MA2074 4.00000000
36179QJT9
5277168.90000000
NS
USD
5595951.96000000
0.090708983496
Long
ABS-MBS
USGSE
US
N
2
2044-07-20
Fixed
4.00000000
N
N
N
N
N
N
STR 2015-1A A1 3.75% 04/20/22
N/A
STORE MASTER FUNDING I LLC SER 2015-1A CL A1 REGD 144A P/P 3.75000000
86213CAA3
1465000.01000000
NS
USD
1467106.83000000
0.023781435255
Long
ABS-CBDO
CORP
US
Y
2
2045-04-20
Fixed
3.75000000
N
N
N
N
N
N
UMBS P#AU6019 3% 09/01/28
N/A
FANNIE MAE POOL UMBS P#AU6019 3.00000000
3138X5VM6
2544636.22000000
NS
USD
2635395.51000000
0.042719102939
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
3.00000000
N
N
N
N
N
N
NEXTERA ENERGY 3.55% 05/01/27
N/A
NEXTERA ENERGY CAPITAL REGD 3.55000000
65339KAT7
10270000.00000000
NS
USD
10911845.42000000
0.176878288662
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.55000000
N
N
N
N
N
N
UMBS P#479697 5.72% 06/01/29
N/A
FANNIE MAE POOL UMBS P#479697 5.72000000
31382D3E2
22365.32000000
NS
USD
22428.16000000
0.000363554871
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
5.72000000
N
N
N
N
N
N
ISTAR INC 4.75% 10/01/24
QFFLKWYYS3UPWD86E794
ISTAR INC REGD 4.75000000
45031UCF6
5410000.00000000
NS
USD
5606112.50000000
0.090873683312
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.75000000
N
N
N
N
N
N
GSMBS 2019-PJ3 A V/R 03/25/50
N/A
GS MORTGAGE-BACKED SECURITIES CORP TRUST 201 SER 2019-PJ3 CL A1 V/R REGD 144A P/P 3.50000000
36257QAA4
7880559.21000000
NS
USD
7982565.17000000
0.129395387494
Long
ABS-CBDO
CORP
US
Y
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
UMBS P#934262 6% 06/01/38
N/A
FANNIE MAE POOL UMBS P#934262 6.00000000
31412TMK6
126439.83000000
NS
USD
140987.01000000
0.002285364215
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
CDX 2I65BYDV4 01.000 NA 12/20/2024 JPMORGAN CH FLOAT
N/A
1.00000000
NC
USD
-5010390.38000000
-0.08121717654
N/A
DCR
US
N
2
JPMORGAN CHASE BANK, N.A.
N/A
CDX.NA.IG.33
CDX.NA.IG.33
Y
2024-12-20
-179567094.03
USD
176210000
USD
176210000
USD
-1271508.02
N
N
N
UMBS P#QA3147 5% 09/01/49
N/A
FREDDIE MAC POOL UMBS P#QA3147 5.00000000
31339SP82
5522484.11000000
NS
USD
5911202.60000000
0.095819117626
Long
ABS-MBS
USGA
US
N
2
2049-09-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#582955 6.5% 02/15/32
N/A
GINNIE MAE I POOL P#582955 6.50000000
36201GTL9
11141.66000000
NS
USD
12629.54000000
0.000204721688
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#487223 6.5% 05/15/29
N/A
GINNIE MAE I POOL P#487223 6.50000000
36210BG82
2408.23000000
NS
USD
2656.57000000
0.000043062336
Long
ABS-MBS
USGSE
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#AS0234 4% 08/01/43
N/A
FANNIE MAE POOL UMBS P#AS0234 4.00000000
3138W9HL7
3225254.90000000
NS
USD
3438028.93000000
0.055729590193
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#635903 6% 11/15/34
N/A
GINNIE MAE I POOL P#635903 6.00000000
36291RNU2
85460.75000000
NS
USD
95801.69000000
0.001552921465
Long
ABS-MBS
USGSE
US
N
2
2034-11-15
Fixed
6.00000000
N
N
N
N
N
N
WILLIAMS COMPAN 5.75% 06/24/44
D71FAKCBLFS2O0RBPG08
WILLIAMS COMPANIES INC REGD 5.75000000
969457BV1
17007000.00000000
NS
USD
20155755.74000000
0.326719765975
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
GNMA P#607814 6% 03/15/33
N/A
GINNIE MAE I POOL P#607814 6.00000000
36202SGX0
89077.73000000
NS
USD
100805.45000000
0.001634031164
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
RESILIENCE RE LTD ZCP 04/06/20
N/A
RESILIENCE RE LTD REGD ZCP 144A P/P 0.00000000
G7527LAE5
3600000.00000000
NS
USD
360.00000000
0.000005835510
Long
DBT
CORP
BM
Y
3
2020-04-06
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#BM1057 4% 04/01/47
N/A
FANNIE MAE POOL UMBS P#BM1057 4.00000000
3140J5E70
3956546.51000000
NS
USD
4210722.18000000
0.068254754770
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
VOLKSWAGEN GROUP A 4% 11/12/21
N/A
VOLKSWAGEN GROUP AMERICA REGD 144A P/P 4.00000000
928668AP7
7040000.00000000
NS
USD
7281357.18000000
0.118028981126
Long
DBT
CORP
US
Y
2
2021-11-12
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#781607 6% 03/15/33
N/A
GINNIE MAE I POOL P#781607 6.00000000
36225BYC6
144339.01000000
NS
USD
164839.81000000
0.002672012145
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
GALILEI RE LTD V/R 01/08/20
N/A
GALILEI RE LTD REGD V/R 144A P/P SER *** 7.46063000
363543AD1
1300000.00000000
NS
USD
1299870.00000000
0.021070568014
Long
DBT
CORP
BM
Y
2
2020-01-08
Variable
7.46063000
N
N
N
N
N
N
ICONX 2013-1A 4.352% 01/25/20
N/A
ICON BRAND HOLDINGS LLC SER 2013-1A CL A2 REGD 144A P/P 4.35200000
45112AAC1
198017.14000000
NS
USD
139741.19000000
0.002265169784
Long
ABS-CBDO
CORP
US
Y
2
2043-01-25
Fixed
4.35200000
N
N
N
N
N
N
WLKRG 2017-AA 3.41% 06/15/33
N/A
WELK RESORTS 2017-A LLC SER 2017-AA CL B REGD 144A P/P 3.41000000
94945PAB1
1648772.82000000
NS
USD
1656408.29000000
0.026849964637
Long
ABS-CBDO
CORP
US
Y
2
2033-06-15
Fixed
3.41000000
N
N
N
N
N
N
GNMA P#AF5072 4% 08/15/43
N/A
GINNIE MAE I POOL P#AF5072 4.00000000
36181LT57
800306.28000000
NS
USD
847832.08000000
0.013743146242
Long
ABS-MBS
USGSE
US
N
2
2043-08-15
Fixed
4.00000000
N
N
N
N
N
N
AMPHENOL CORP 3.125% 09/15/21
549300D3L3G0R4U4VT04
AMPHENOL CORP REGD 3.12500000
032095AE1
8412000.00000000
NS
USD
8524496.96000000
0.138179966445
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.12500000
N
N
N
N
N
N
GNMA P#433566 7% 01/15/28
N/A
GINNIE MAE I POOL P#433566 7.00000000
36207JTX1
10418.06000000
NS
USD
11244.23000000
0.000182266159
Long
ABS-MBS
USGSE
US
N
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#564927 6.5% 10/15/31
N/A
GINNIE MAE I POOL P#564927 6.50000000
36213USQ4
4146.11000000
NS
USD
4573.67000000
0.000074138048
Long
ABS-MBS
USGSE
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
PROG 2017-SFR 3.196% 12/17/22
N/A
PROGRESS RESIDENTIAL 2017-SFR2 TRUST SER 2017-SFR2 CL B REGD 144A P/P 3.19600000
74333KAC2
5135000.00000000
NS
USD
5129440.85000000
0.083146954930
Long
ABS-CBDO
CORP
US
Y
2
2034-12-17
Fixed
3.19600000
N
N
N
N
N
N
ARTEX SAC LTD BER 0% 12/31/17
N/A
ARTEX SAC LTD BERWICK SEG ACCT VARIABLE RISK NOTES DUE 12/31/2017 931DSBII4/BNR30N5G3 0.00000000
N/A
2000000.00000000
NS
USD
66200.00000000
0.001073085464
Long
DBT
CORP
BM
N
3
2020-02-01
Variable
0.00000000
N
N
N
N
N
N
STACR 2019-HQA2 V/R 04/25/49
N/A
FREDDIE MAC STACR TRUST 2019-HQA2 SER 2019-HQA2 CL B2 V/R REGD 144A P/P 13.04200000
35564MBE4
3165000.00000000
NS
USD
4099799.84000000
0.066456731345
Long
ABS-CBDO
CORP
US
Y
2
2049-04-25
Variable
13.04200000
N
N
N
N
N
N
UMBS P#AS3154 4% 08/01/44
N/A
FANNIE MAE POOL UMBS P#AS3154 4.00000000
3138WCQG1
175674.21000000
NS
USD
186132.56000000
0.003017162304
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.00000000
N
N
N
N
N
N
BSP 2019-19A E V/R 01/15/33
N/A
BENEFIT STREET PARTNERS CLO XIX LTD SER 2019-19A CL E V/R REGD 144A P/P 0.00000000
08183PAA4
2000000.00000000
NS
USD
1970000.00000000
0.031933207927
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
0.00000000
N
N
N
N
N
N
UMBS P#AY9747 4% 07/01/45
N/A
FANNIE MAE POOL UMBS P#AY9747 4.00000000
3138YPZM7
305732.99000000
NS
USD
327400.66000000
0.005307082919
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
T/L 1011778 B C 0% 11/14/26
N/A
T/L 1011778 B.C UNLIMITED LIABILITY COMPANY NEW RED INC AKA BURGER KING TIM HORTONS TERM LOAN B4 REGD 0.00000000
N/A
1415451.00000000
NS
USD
1418981.13000000
0.023001329679
Long
LON
CORP
CA
N
2
2026-11-14
Fixed
0.00000000
N
N
N
N
N
N
SMALL BUS ADMIN GTD DEV PTC DB05-20B4.625%25
N/A
SMALL BUS ADMIN GTD DEV PTC DB05-20B4.625%25 4.62500000
83162CPH0
141986.21000000
NS
USD
147861.16000000
0.002396792470
Long
ABS-CBDO
CORP
US
N
2
2025-02-01
Fixed
4.62500000
N
N
N
N
N
N
TPMT 2016-3 B1 V/R 04/25/56
N/A
TOWD POINT MORTGAGE TRUST 2016-3 SER 2016-3 CL B1 V/R REGD 144A P/P 4.14282100
89172YAE0
13750000.00000000
NS
USD
14525372.13000000
0.235452654033
Long
ABS-CBDO
CORP
US
Y
2
2056-04-25
Variable
4.14282100
N
N
N
N
N
N
UMBS P#AS6195 3.5% 11/01/45
N/A
FANNIE MAE POOL UMBS P#AS6195 3.50000000
3138WF3D6
9948978.99000000
NS
USD
10664426.19000000
0.172867684745
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#544003 7% 03/15/31
N/A
GINNIE MAE I POOL P#544003 7.00000000
36212UKQ3
4675.60000000
NS
USD
4764.18000000
0.000077226167
Long
ABS-MBS
USGSE
US
N
2
2031-03-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA II P#MA2224 4% 09/20/44
N/A
GINNIE MAE II POOL P#MA2224 4.00000000
36179QPH8
144306.02000000
NS
USD
152997.31000000
0.002480048178
Long
ABS-MBS
USGSE
US
N
2
2044-09-20
Fixed
4.00000000
N
N
N
N
N
N
ARTEX SAC LTD 0.0% 12/31/22
N/A
ARTEX SAC LTD BERWICK RE 2019-1 REGD ZCP /BNR4941A1/ 0.00000000
N/A
7281734.00000000
NS
USD
7537322.86000000
0.122178120863
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#SD8012 4% 09/01/49
N/A
FREDDIE MAC POOL UMBS P#SD8012 4.00000000
3132DV3V5
8604792.15000000
NS
USD
8957064.08000000
0.145191771412
Long
ABS-MBS
USGA
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#743957 4% 08/15/40
N/A
GINNIE MAE I POOL P#743957 4.00000000
3620AYQJ8
213814.73000000
NS
USD
223634.53000000
0.003625059871
Long
ABS-MBS
USGSE
US
N
2
2040-08-15
Fixed
4.00000000
N
N
N
N
N
N
UNITED MEXICAN S 4.6% 02/10/48
N/A
UNITED MEXICAN STATES REGD 4.60000000
91087BAD2
13425000.00000000
NS
USD
14700509.25000000
0.238291583001
Long
DBT
USGA
MX
N
2
2048-02-10
Fixed
4.60000000
N
N
N
N
N
N
DRUGB 2014-1 A1 V/R 01/15/20
N/A
DRUG ROYALTY II LP 2 SER 2014-1 CL A1 V/R REGD 144A P/P 5.15338000
26223UAC3
37924.81000000
NS
USD
37944.26000000
0.000615066976
Long
ABS-CBDO
CORP
US
Y
2
2023-07-15
Variable
5.15338000
N
N
N
N
N
N
UMBS P#AB6570 3.5% 10/01/42
N/A
FANNIE MAE POOL UMBS P#AB6570 3.50000000
31417DJQ7
328630.82000000
NS
USD
346035.54000000
0.005609149669
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#796217 6% 11/01/34
N/A
FANNIE MAE POOL UMBS P#796217 6.00000000
31405QSE9
112295.35000000
NS
USD
125118.87000000
0.002028145630
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#ZA7158 4.5% 06/01/49
N/A
FREDDIE MAC POOL UMBS P#ZA7158 4.50000000
31329Q5T4
1424736.73000000
NS
USD
1507469.57000000
0.024435705189
Long
ABS-MBS
USGA
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
T/L ELEMENT SOLUT 0% 01/31/26
N/A
T/L ELEMENT SOLUTIONS INC REGD 0.00000000
72766TAD1
234038.44000000
NS
USD
235610.94000000
0.003819194485
Long
LON
CORP
US
N
2
2026-01-31
Fixed
0.00000000
N
N
N
N
N
N
KILIMANJARO RE LT V/R 05/06/22
549300TOWVCRIW71JM30
KILIMANJARO RE LTD REGD V/R 144A P/P SER B1 6.78313000
494074AJ6
2000000.00000000
NS
USD
1968000.00000000
0.031900788426
Long
DBT
CORP
BM
Y
2
2022-05-06
Variable
6.78313000
N
N
N
N
N
N
SUMITOMO MITSU 3.202% 09/17/29
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP REGD 3.20200000
86562MBS8
11891000.00000000
NS
USD
12065205.77000000
0.195573971845
Long
DBT
CORP
JP
N
2
2029-09-17
Fixed
3.20200000
N
N
N
N
N
N
T/L DELL 0% 9/11/25
N/A
T/L DELL INTERNATIONAL LLC ZCP REGD 0.00000000
N/A
1199494.95000000
NS
USD
1208968.56000000
0.019597078377
Long
LON
CORP
US
N
2
2025-09-11
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AH8051 4.5% 05/01/41
N/A
FANNIE MAE POOL UMBS P#AH8051 4.50000000
3138A95M2
1587047.55000000
NS
USD
1723352.89000000
0.027935119882
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#443191 7% 12/15/30
N/A
GINNIE MAE I POOL P#443191 7.00000000
36207VKC9
1407.38000000
NS
USD
1407.12000000
0.000022809063
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.00000000
N
N
N
N
N
N
BOMFT 2017-RT1 A V/R 03/28/57
N/A
BAYVIEW OPPORTUNITY MASTER FUND IVA TRUS SER 2017-RT1 CL A1 V/R REGD 144A P/P 3.00000000
07332BAA7
3001550.73000000
NS
USD
3023713.88000000
0.049013646721
Long
ABS-CBDO
CORP
US
Y
2
2057-03-28
Variable
3.00000000
N
N
N
N
N
N
FGLMC P#C09051 4.5% 11/01/43
N/A
FREDDIE MAC GOLD POOL P#C09051 4.50000000
31292SBU3
108579.18000000
NS
USD
116956.01000000
0.001895827708
Long
ABS-MBS
USGA
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
CF 2019-CF1 D 3% 04/15/29
N/A
CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF1 SER 2019-CF1 CL D REGD 144A P/P 3.00000000
12529MCY2
4326000.00000000
NS
USD
3859809.91000000
0.062566554525
Long
ABS-CBDO
CORP
US
Y
2
2052-05-15
Fixed
3.00000000
N
N
N
N
N
N
FNMA P#254676 06.000% 03/01/33
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #254676_ 6.00000000
31371K2H3
44843.40000000
NS
USD
51376.12000000
0.000832794072
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#570019 6.5% 07/15/32
N/A
GINNIE MAE I POOL P#570019 6.50000000
36200RG48
89518.17000000
NS
USD
102690.32000000
0.001664584436
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
NRZT 2019-NQM4 A V/R 10/25/24
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM4 SER 2019-NQM4 CL A1 V/R REGD 144A P/P 2.49188000
64828EAA3
12388662.22000000
NS
USD
12333690.01000000
0.199926034313
Long
ABS-CBDO
CORP
US
Y
2
2059-09-25
Variable
2.49188000
N
N
N
N
N
N
EXPEDIA INC 5% 02/15/26
CI7MUJI4USF3V0NJ1H64
EXPEDIA INC REGD SER WI 5.00000000
30212PAM7
271000.00000000
NS
USD
298977.23000000
0.004846346218
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#G60080 3.5% 06/01/45
N/A
FREDDIE MAC GOLD POOL P#G60080 3.50000000
31335ACR7
5857420.43000000
NS
USD
6201013.78000000
0.100516884464
Long
ABS-MBS
USGA
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#Q41906 4% 07/01/46
N/A
FREDDIE MAC GOLD POOL P#Q41906 4.00000000
3132WFDL0
3739636.13000000
NS
USD
3951498.41000000
0.064052802208
Long
ABS-MBS
USGA
US
N
2
2046-07-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#3532 6.5% 03/20/34
N/A
GINNIE MAE II POOL P#3532 6.50000000
36202D4R9
38287.82000000
NS
USD
44521.75000000
0.000721686446
Long
ABS-MBS
USGSE
US
N
2
2034-03-20
Fixed
6.50000000
N
N
N
N
N
N
FGLMC P#G08632 3.5% 03/01/45
N/A
FREDDIE MAC GOLD POOL P#G08632 3.50000000
3128MJV23
2330315.40000000
NS
USD
2434614.79000000
0.039464497619
Long
ABS-MBS
USGA
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
MPT OPER PARTN 4.625% 08/01/29
N/A
MPT OPER PARTNERSP/FINL REGD 4.62500000
55342UAJ3
8596000.00000000
NS
USD
8853880.00000000
0.143519183249
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.62500000
N
N
N
N
N
N
COMM 2015-CR25 B V/R 08/10/25
N/A
COMM 2015-CCRE25 MORTGAGE TRUST SER 2015-CR25 CL B V/R REGD 4.54005000
12593PAZ5
3104000.00000000
NS
USD
3309480.45000000
0.053645851441
Long
ABS-CBDO
CORP
US
N
2
2048-08-10
Variable
4.54005000
N
N
N
N
N
N
FGLMC P#A26100 6% 08/01/34
N/A
FREDDIE MAC GOLD POOL P#A26100 6.00000000
31297DX52
58361.79000000
NS
USD
64666.87000000
0.001048233810
Long
ABS-MBS
USGA
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
RCMT 2019-6 A 2.832% 10/25/52
N/A
READYCAP COMMERCIAL MORTGAGE TRUST 2019-6 SER 2019-6 CL A REGD 144A P/P 2.83210000
75575QAA7
698685.96000000
NS
USD
699150.66000000
0.011333057562
Long
ABS-CBDO
CORP
US
Y
2
2052-10-25
Fixed
2.83210000
N
N
N
N
N
N
GNMA P#579659 7% 03/15/32
N/A
GINNIE MAE I POOL P#579659 7.00000000
36201C5U4
43081.07000000
NS
USD
47826.41000000
0.000775254159
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
7.00000000
N
N
N
N
N
N
SBAP 2008-20H 6.02% 08/01/28
N/A
SMALL BUSINESS ADMINISTRATION_ PARTICIPATION CERTIFICATES 2008-20H 1 REGD 6.02000000
83162CRY1
203177.54000000
NS
USD
219267.01000000
0.003554263462
Long
ABS-CBDO
CORP
US
N
2
2028-08-01
Fixed
6.02000000
N
N
N
N
N
N
GNMA II P#3108 7% 07/20/31
N/A
GINNIE MAE II POOL P#3108 7.00000000
36202DNZ0
18758.07000000
NS
USD
21935.39000000
0.000355567192
Long
ABS-MBS
USGSE
US
N
2
2031-07-20
Fixed
7.00000000
N
N
N
N
N
N
GNMA II P#MA5021 4.5% 02/20/48
N/A
GINNIE MAE II POOL P#MA5021 4.50000000
36179TSJ5
5303625.95000000
NS
USD
5598769.98000000
0.090754662896
Long
ABS-MBS
USGSE
US
N
2
2048-02-20
Fixed
4.50000000
N
N
N
N
N
N
FGLMC P#C76269 6% 02/01/33
N/A
FREDDIE MAC GOLD POOL P#C76269 6.00000000
31288E6E2
2065.81000000
NS
USD
2282.17000000
0.000036993405
Long
ABS-MBS
USGA
US
N
2
2033-02-01
Fixed
6.00000000
N
N
N
N
N
N
NFAS 2019-1 A 4.172% 08/15/22
N/A
NFAS LLC SER 2019-1 CL A REGD 144A P/P 4.17200000
62910GAA1
3000000.00000000
NS
USD
3019739.70000000
0.048949226256
Long
ABS-CBDO
CORP
US
Y
2
2024-08-15
Fixed
4.17200000
N
N
N
N
N
N
MORGN 2019-1A D V/R 01/15/33
N/A
522 FUNDING CLO I LTD SER 2019-1A CL D V/R REGD 144A P/P 0.00000000
33830PAL5
2000000.00000000
NS
USD
2003742.00000000
0.032480157318
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
0.00000000
N
N
N
N
N
N
COMM 2015-CR2 3.359% 07/10/25
N/A
COMM 2015-CCRE26 MORTGAGE TRUST SER 2015-CR26 CL A3 REGD 3.35900000
12593QBD1
6300000.00000000
NS
USD
6575505.93000000
0.106587308674
Long
ABS-CBDO
CORP
US
N
2
2048-10-10
Fixed
3.35900000
N
N
N
N
N
N
UMBS P#AL7382 3.5% 09/01/45
N/A
FANNIE MAE POOL UMBS P#AL7382 3.50000000
3138EQFY3
5056219.55000000
NS
USD
5270436.30000000
0.085432455956
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
MFT 2019-2A C 4.11% 07/16/29
N/A
MARLETTE FUNDING TRUST 2019-2 SER 2019-2A CL C REGD 144A P/P 4.11000000
57109HAC6
5950000.00000000
NS
USD
6029007.08000000
0.097728698821
Long
ABS-CBDO
CORP
US
Y
2
2029-07-16
Fixed
4.11000000
N
N
N
N
N
N
JPMMT 2019-INV1 V/R 10/25/49
N/A
JP MORGAN MORTGAGE TRUST 2019-INV1 SER 2019-INV1 CL B3 V/R REGD 144A P/P 5.15155200
46591DAZ2
6378737.98000000
NS
USD
6751364.72000000
0.109437935733
Long
ABS-CBDO
CORP
US
Y
2
2049-10-25
Variable
5.15155200
N
N
N
N
N
N
UMBS P#AB5422 3.5% 06/01/42
N/A
FANNIE MAE POOL UMBS P#AB5422 3.50000000
31417CAY1
385533.60000000
NS
USD
407917.62000000
0.006612242729
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
JPMMT 2019-9 A15 V/R 03/25/43
N/A
JP MORGAN MORTGAGE TRUST 2019-9 SER 2019-9 CL A15 V/R REGD 144A P/P 3.50000000
46651YBG4
6971579.55000000
NS
USD
7040207.78000000
0.114120009588
Long
ABS-CBDO
CORP
US
Y
2
2050-05-25
Variable
3.50000000
N
N
N
N
N
N
CONN 2019-B B 3.62% 11/15/21
N/A
CONN'S RECEIVABLES FUNDING 2019-B LLC SER 2019-B CL B REGD 144A P/P 3.62000000
20824LAB1
4790000.00000000
NS
USD
4790900.04000000
0.077659292961
Long
ABS-CBDO
CORP
US
Y
2
2024-06-17
Fixed
3.62000000
N
N
N
N
N
N
UMBS P#BO0345 4% 11/01/48
N/A
FANNIE MAE POOL UMBS P#BO0345 4.00000000
3140JUL36
485344.26000000
NS
USD
509586.33000000
0.008260267123
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
CAELUS RE V LTD V/R 06/05/20
N/A
CAELUS RE V LTD REGD V/R 144A P/P SER B 0.50000000
12765KAB1
1000000.00000000
NS
USD
410000.00000000
0.006645997588
Long
DBT
CORP
KY
Y
2
2020-06-05
Variable
0.50000000
N
N
N
N
N
N
GNMA P#615673 6.5% 10/15/33
N/A
GINNIE MAE I POOL P#615673 6.50000000
36290R6J7
1450.48000000
NS
USD
1605.82000000
0.000026029941
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
6.50000000
N
N
N
N
N
N
OAKMONT 2017 0% 04/15/20
N/A
OAKMONT 2017 ZCP REGD 0.00000000
N/A
1000000.00000000
NS
USD
29400.00000000
0.000476566656
Long
DBT
CORP
BM
N
3
2020-04-15
Fixed
0.00000000
N
N
N
N
N
N
AFRICA FINANCE 4.375% 04/17/26
213800LXFHRRXIJRXW97
AFRICA FINANCE CORP REGD 144A P/P MTN 4.37500000
00830YAC5
11165000.00000000
NS
USD
11832108.75000000
0.191795527375
Long
DBT
CORP
NG
Y
2
2026-04-17
Fixed
4.37500000
N
N
N
N
N
N
UMBS P#AX4940 4% 10/01/44
N/A
FANNIE MAE POOL UMBS P#AX4940 4.00000000
3138Y6P24
1048453.04000000
NS
USD
1098170.65000000
0.017801071931
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AP7453 4% 10/01/42
N/A
FANNIE MAE POOL UMBS P#AP7453 4.00000000
3138MBH74
1057876.53000000
NS
USD
1134429.72000000
0.018388822399
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#619220 6% 10/15/34
N/A
GINNIE MAE I POOL P#619220 6.00000000
36290V4D3
92719.64000000
NS
USD
102082.24000000
0.001654727611
Long
ABS-MBS
USGSE
US
N
2
2034-10-15
Fixed
6.00000000
N
N
N
N
N
N
WFCM 2016-LC2 2.684% 07/15/26
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 SER 2016-LC24 CL A3 REGD 2.68400000
95000HBE1
10000000.00000000
NS
USD
10121444.00000000
0.164066079073
Long
ABS-CBDO
CORP
US
N
2
2049-10-15
Fixed
2.68400000
N
N
N
N
N
N
GNMA P#AL5247 3.5% 01/15/45
N/A
GINNIE MAE I POOL P#AL5247 3.50000000
36184BZL4
7409168.58000000
NS
USD
7793025.45000000
0.126322995977
Long
ABS-MBS
USGSE
US
N
2
2045-01-15
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AE7714 3.5% 11/01/40
N/A
FANNIE MAE POOL UMBS P#AE7714 3.50000000
31419JSC3
879898.82000000
NS
USD
927323.09000000
0.015031675659
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
3.50000000
N
N
N
N
N
N
SNDPT 2019-4A D V/R 01/15/33
N/A
SOUND POINT CLO XXV LTD SER 2019-4A CL D V/R REGD 144A P/P 0.00000000
83614DAN5
4000000.00000000
NS
USD
3960000.00000000
0.064190610858
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
0.00000000
N
N
N
N
N
N
GNMA P#676600 6% 11/15/37
N/A
GINNIE MAE I POOL P#676600 6.00000000
36295PUZ3
28861.28000000
NS
USD
32997.01000000
0.000534873290
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AY9643 2.5% 04/01/45
N/A
FANNIE MAE POOL UMBS P#AY9643 2.50000000
3138YPWD0
416977.82000000
NS
USD
414969.95000000
0.006726559236
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#AB1149 5% 06/01/40
N/A
FANNIE MAE POOL UMBS P#AB1149 5.00000000
31416WH39
425387.96000000
NS
USD
469075.44000000
0.007603595715
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
FWLS 2017-SC02 3.5% 05/25/47
N/A
FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC02 SER 2017-SC02 CL 2A1 REGD 3.50000000
3137G1BW6
4028591.37000000
NS
USD
4068479.66000000
0.065949039050
Long
ABS-CBDO
CORP
US
N
2
2047-05-25
Fixed
3.50000000
N
N
N
N
N
N
T/L CSL CAPITAL 0% 10/24/22
N/A
T/L CSL CAPITAL LLC 0.00000000
20341UAD1
1584464.86000000
NS
USD
1559509.54000000
0.025279260104
Long
LON
CORP
US
N
2
2022-10-24
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AB6432 4% 10/01/42
N/A
FANNIE MAE POOL UMBS P#AB6432 4.00000000
31417DEE9
315570.07000000
NS
USD
339789.46000000
0.005507902272
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
LHIPO 2014-1A A1 V/R 11/24/42
N/A
LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2 SER 2014-1A CL A1 V/R REGD 144A P/P 3.50800000
50346EAA5
2549235.19000000
NS
USD
2638458.42000000
0.042768751945
Long
ABS-CBDO
CORP
PA
Y
2
2042-11-24
Variable
3.50800000
N
N
N
N
N
N
FGLMC P#C01702 6.5% 10/01/33
N/A
FREDDIE MAC GOLD POOL P#C01702 6.50000000
31292H3K8
23030.64000000
NS
USD
26688.62000000
0.000432615863
Long
ABS-MBS
USGA
US
N
2
2033-10-01
Fixed
6.50000000
N
N
N
N
N
N
JPMMT 2019-INV2 V/R 02/25/50
N/A
JP MORGAN MORTGAGE TRUST 2019-INV2 SER 2019-INV2 CL A15 V/R REGD 144A P/P 3.50000000
46651DAR7
14208217.22000000
NS
USD
14285843.81000000
0.231569959795
Long
ABS-CBDO
CORP
US
Y
2
2050-02-25
Variable
3.50000000
N
N
N
N
N
N
GNMA P#430633 7% 03/15/28
N/A
GINNIE MAE I POOL P#430633 7.00000000
36207FLN9
10588.99000000
NS
USD
10767.90000000
0.000174544969
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.00000000
N
N
N
N
N
N
COMM 2014-FL5 B V/R 09/15/16
N/A
COMM 2014-FL5 MORTGAGE TRUST SER 2014-FL5 CL B V/R REGD 144A P/P 3.15204600
12635HAD2
232564.23000000
NS
USD
232585.63000000
0.003770154966
Long
ABS-CBDO
CORP
US
Y
2
2031-10-15
Variable
3.15204600
N
N
N
N
N
N
FGLMC P#J00045 5% 10/01/20
N/A
FREDDIE MAC GOLD POOL P#J00045 5.00000000
3128PBBN3
28478.52000000
NS
USD
29432.32000000
0.000477090555
Long
ABS-MBS
USGA
US
N
2
2020-10-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#342552 7.5% 03/15/23
N/A
GINNIE MAE I POOL P#342552 7.50000000
36224YQD4
2566.02000000
NS
USD
2596.85000000
0.000042094289
Long
ABS-MBS
USGSE
US
N
2
2023-03-15
Fixed
7.50000000
N
N
N
N
N
N
CAMERON LNG LL 3.302% 01/15/35
N/A
CAMERON LNG LLC REGD 144A P/P 3.30200000
133434AB6
3025000.00000000
NS
USD
3055218.21000000
0.049524324041
Long
DBT
CORP
US
Y
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
FGLMC P#Q33602 3% 05/01/45
N/A
FREDDIE MAC GOLD POOL P#Q33602 3.00000000
3132QQAC6
1202931.88000000
NS
USD
1235362.17000000
0.020024912202
Long
ABS-MBS
USGA
US
N
2
2045-05-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA P#717180 4% 06/15/39
N/A
GINNIE MAE I POOL P#717180 4.00000000
3620A2XH4
2690.96000000
NS
USD
2863.65000000
0.000046419051
Long
ABS-MBS
USGSE
US
N
2
2039-06-15
Fixed
4.00000000
N
N
N
N
N
N
IBERDROLA INTL 6.75% 07/15/36
N/A
IBERDROLA INTL BV REGD 6.75000000
29266MAF6
4655000.00000000
NS
USD
6520091.34000000
0.105689052011
Long
DBT
CORP
NL
N
2
2036-07-15
Fixed
6.75000000
N
N
N
N
N
N
GNMA P#564866 6.5% 09/15/31
N/A
GINNIE MAE I POOL P#564866 6.50000000
36213UQT0
15594.84000000
NS
USD
17203.03000000
0.000278856819
Long
ABS-MBS
USGSE
US
N
2
2031-09-15
Fixed
6.50000000
N
N
N
N
N
N
GSMBS 2019-SL1 A V/R 01/25/59
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2019-SL1 SER 2019-SL1 CL A2 V/R REGD 144A P/P 2.87500000
36257EAB9
5500000.00000000
NS
USD
5443917.05000000
0.088244535581
Long
ABS-CBDO
CORP
US
Y
2
2059-01-25
Variable
2.87500000
N
N
N
N
N
N
GNMA P#554167 7% 11/15/31
N/A
GINNIE MAE I POOL P#554167 7.00000000
36213GTY7
7223.12000000
NS
USD
7508.77000000
0.000121715286
Long
ABS-MBS
USGSE
US
N
2
2031-11-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA II P#3663 4.5% 01/20/35
N/A
GINNIE MAE II POOL P#3663 4.50000000
36202EB81
164341.85000000
NS
USD
173011.89000000
0.002804479521
Long
ABS-MBS
USGSE
US
N
2
2035-01-20
Fixed
4.50000000
N
N
N
N
N
N
ARTEX SAC LTD 0.0% 12/31/22
N/A
ARTEX SAC LTD WOBURN RE 2019 REGD ZCP /BNR4A2ZY4/ 0.00000000
N/A
4979452.00000000
NS
USD
5151243.09000000
0.083500363794
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
N
N
N
N
N
N
PERRIGO FINANCE 3.5% 03/15/21
N/A
PERRIGO FINANCE UNLIMITE REGD 3.50000000
71429MAA3
1391000.00000000
NS
USD
1404125.57000000
0.022760524762
Long
DBT
CORP
IE
N
2
2021-03-15
Fixed
3.50000000
N
N
N
N
N
N
VITALITY RE VII L V/R 01/07/20
N/A
VITALITY RE VII LTD REGD V/R 144A P/P 4.43483400
92848XAB6
1000000.00000000
NS
USD
999800.00000000
0.016206508266
Long
DBT
CORP
KY
Y
2
2020-01-07
Variable
4.43483400
N
N
N
N
N
N
ALTA WIND HOLD 7% 06/30/35
N/A
ALTA WIND HOLDINGS LLC REGD 144A P/P 7.00000000
021345AA1
372974.43000000
NS
USD
416028.44000000
0.006743717095
Long
DBT
CORP
US
Y
2
2035-06-30
Fixed
7.00000000
N
N
N
N
N
N
PERRIGO FINANCE 3.9% 12/15/24
N/A
PERRIGO FINANCE UNLIMITD REGD 3.90000000
714295AC6
4570000.00000000
NS
USD
4697345.06000000
0.076142790104
Long
DBT
CORP
IE
N
2
2024-12-15
Fixed
3.90000000
N
N
N
N
N
N
FGLMC P#Q46507 3.5% 08/01/46
N/A
FREDDIE MAC GOLD POOL P#Q46507 3.50000000
3132WLGR1
9184069.56000000
NS
USD
9682032.57000000
0.156943329550
Long
ABS-MBS
USGA
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#498480 6.5% 03/15/29
N/A
GINNIE MAE I POOL P#498480 6.50000000
36210PXH2
5803.96000000
NS
USD
6402.48000000
0.000103782601
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#490387 6.5% 06/15/29
N/A
GINNIE MAE I POOL P#490387 6.50000000
36210EXQ7
20836.16000000
NS
USD
22984.86000000
0.000372578839
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
6.50000000
N
N
N
N
N
N
GSMBS 2019-PJ1 B V/R 08/25/49
N/A
GS MORTGAGE-BACKED SECURITIES CORP TRUST 201 SER 2019-PJ1 CL B1 V/R REGD 144A P/P 4.35091200
36257TAQ3
2836616.25000000
NS
USD
2958618.83000000
0.047958472220
Long
ABS-CBDO
CORP
US
Y
2
2049-08-25
Variable
4.35091200
N
N
N
N
N
N
GNMA P#605618 5.5% 07/15/34
N/A
GINNIE MAE I POOL P#605618 5.50000000
36200NYP0
213140.54000000
NS
USD
239014.66000000
0.003874367936
Long
ABS-MBS
USGSE
US
N
2
2034-07-15
Fixed
5.50000000
N
N
N
N
N
N
TPMT 2017-4 B1 V/R 06/25/57
N/A
TOWD POINT MORTGAGE TRUST 2017-4 SER 2017-4 CL B1 V/R REGD 144A P/P 3.62005200
89173UAE7
13920000.00000000
NS
USD
14207634.53000000
0.230302206902
Long
ABS-CBDO
CORP
US
Y
2
2057-06-25
Variable
3.62005200
N
N
N
N
N
N
FNMA P#747637 6% 11/1/33_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #747637___ 6.00000000
31403FS21
23071.54000000
NS
USD
26423.28000000
0.000428314768
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
RESI 2017-1A A1A V/R 09/11/48
N/A
RESIMAC PREMIER SERIES 2017-1 SER 2017-1A CL A1A V/R REGD 144A P/P 2.66763000
76118RAA7
227860.84000000
NS
USD
227691.08000000
0.003690815533
Long
ABS-CBDO
CORP
AU
Y
2
2048-09-11
Variable
2.66763000
N
N
N
N
N
N
UMBS P#RA1188 4.5% 08/01/49
N/A
FREDDIE MAC POOL UMBS P#RA1188 4.50000000
3133KGJ90
4089978.28000000
NS
USD
4332281.80000000
0.070225205846
Long
ABS-MBS
USGA
US
N
2
2049-08-01
Fixed
4.50000000
N
N
N
N
N
N
SUNOCO LOGISTICS 6.1% 02/15/42
N/A
SUNOCO LOGISTICS PARTNER REGD 6.10000000
86765BAK5
786000.00000000
NS
USD
881278.85000000
0.014285310029
Long
DBT
CORP
US
N
2
2042-02-15
Fixed
6.10000000
N
N
N
N
N
N
TPMT 2015-6 M1 V/R 07/25/26
N/A
TOWD POINT MORTGAGE TRUST 2015-6 SER 2015-6 CL M1 V/R REGD 144A P/P 3.75000000
89172RAC9
7540000.00000000
NS
USD
7929341.47000000
0.128532644612
Long
ABS-CBDO
CORP
US
Y
2
2055-04-25
Variable
3.75000000
N
N
N
N
N
N
T/L TEAM HEALTH 0% 02/06/24
N/A
T/L TEAM HEAL INC 0.00000000
N/A
1069750.00000000
NS
USD
870317.58000000
0.014107630581
Long
LON
CORP
US
N
2
2024-02-06
Fixed
0.00000000
N
N
N
N
N
N
PROG 2017-SFR 3.017% 08/17/22
N/A
PROGRESS RESIDENTIAL 2017-SFR1 TRUST SER 2017-SFR1 CL B REGD 144A P/P 3.01700000
74333JAD3
4800000.00000000
NS
USD
4794479.52000000
0.077717315438
Long
ABS-CBDO
CORP
US
Y
2
2034-08-17
Fixed
3.01700000
N
N
N
N
N
N
WALTON HEATH RE 0.0% 06/30/20
N/A
WALTON HEATH RE 2019 REGD ZCP /XILS00143041/ 0.00000000
N/A
350000.00000000
NS
USD
320474.48000000
0.005194811271
Long
DBT
CORP
BM
N
3
2020-06-30
Fixed
0.00000000
N
N
N
N
N
N
ANTHEM INC 3.65% 12/01/27
8MYN82XMYQH89CTMTH67
ANTHEM INC REGD 3.65000000
036752AB9
4506000.00000000
NS
USD
4771812.27000000
0.077349884978
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.65000000
N
N
N
N
N
N
CAFL 2017-1 C 3.756% 07/15/22
N/A
COREVEST AMERICAN FINANCE 2017-1 TRUST SER 2017-1 CL C REGD 144A P/P 3.75600000
21871VAJ2
3000000.00000000
NS
USD
3024771.00000000
0.049030782372
Long
ABS-CBDO
CORP
US
Y
2
2049-10-15
Fixed
3.75600000
N
N
N
N
N
N
BLUE LOTUS RE 0.0% 12/31/21
N/A
BLUE LOTUS RE ZCP REGD /BNR3ML7U0/ 0.00000000
N/A
1250000.00000000
NS
USD
1372125.00000000
0.022241803516
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
JPMDB 2019-CO 3.409% 11/13/29
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2019-COR6 SER 2019-COR6 CL AS REGD 3.40970000
48129RAY1
3054000.00000000
NS
USD
3154704.12000000
0.051136965793
Long
ABS-CBDO
CORP
US
N
2
2052-11-13
Fixed
3.40970000
N
N
N
N
N
N
COMMSCOPE TECH LLC 5% 03/15/27
N/A
COMMSCOPE TECH LLC REGD 144A P/P 5.00000000
20338HAB9
5227000.00000000
NS
USD
4913380.00000000
0.079644662520
Long
DBT
CORP
US
Y
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
HFLF 2018-1 C 3.77% 04/10/21
N/A
HERTZ FLEET LEASE FUNDING LP SER 2018-1 CL C REGD 144A P/P 3.77000000
428041BF3
1850000.00000000
NS
USD
1877727.25000000
0.030437489697
Long
ABS-CBDO
CORP
US
Y
2
2032-05-10
Fixed
3.77000000
N
N
N
N
N
N
GNMA P#AE0328 4% 01/15/45
N/A
GINNIE MAE I POOL P#AE0328 4.00000000
36180SLH5
884787.18000000
NS
USD
929916.51000000
0.015073714349
Long
ABS-MBS
USGSE
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
CMLTI 2018-RP1 A V/R 09/25/64
N/A
CITIGROUP MORTGAGE LOAN TRUST INC SER 2018-RP1 CL A1 V/R REGD 144A P/P 3.00000000
17326QAA1
8358710.88000000
NS
USD
8408248.78000000
0.136295612484
Long
ABS-CBDO
CORP
US
Y
2
2064-09-25
Variable
3.00000000
N
N
N
N
N
N
FREMF 2015-K51 B V/R 09/25/25
N/A
FREMF 2015-K51 MORTGAGE TRUST SER 2015-K51 CL B V/R 144A P/P 3.95362900
30293XAJ9
3700000.00000000
NS
USD
3862284.22000000
0.062606662472
Long
ABS-CBDO
CORP
US
Y
2
2048-10-25
Variable
3.95362900
N
N
N
N
N
N
GNMA P#620942 5.5% 09/15/33
N/A
GINNIE MAE I POOL P#620942 5.50000000
36290XZF0
30971.02000000
NS
USD
33227.25000000
0.000538605422
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
5.50000000
N
N
N
N
N
N
GNMA P#AJ1849 4% 10/15/44
N/A
GINNIE MAE I POOL P#AJ1849 4.00000000
36182WBS1
74528.81000000
NS
USD
79637.97000000
0.001290911601
Long
ABS-MBS
USGSE
US
N
2
2044-10-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AX6001 4% 11/01/44
N/A
FANNIE MAE POOL UMBS P#AX6001 4.00000000
3138Y7U34
138181.80000000
NS
USD
144670.72000000
0.002345076234
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#527070 7.75% 02/15/30
N/A
GINNIE MAE I POOL P#527070 7.75000000
36211YQX5
1929.62000000
NS
USD
1951.65000000
0.000031635759
Long
ABS-MBS
USGSE
US
N
2
2030-02-15
Fixed
7.75000000
N
N
N
N
N
N
ST. ANDREWS 2017-4 0% 06/01/20
N/A
ST. ANDREWS 2017-4 ARTEX SAC LIMITED ZCP /931QWXII2/ /BNR36B755/ 0.00000000
N/A
1737984.00000000
NS
USD
171017.63000000
0.002772153064
Long
DBT
CORP
BM
N
3
2020-06-01
Fixed
0.00000000
N
N
N
N
N
N
WESTR 2016-1A B 4.5% 05/20/20
N/A
WESTGATE RESORTS 2016-1 LLC SER 2016-1A CL B REGD 144A P/P 4.50000000
96033CAB8
989868.56000000
NS
USD
990100.49000000
0.016049281632
Long
ABS-CBDO
CORP
US
Y
2
2028-12-20
Fixed
4.50000000
N
N
N
N
N
N
BMARK 2018-B8 3.962% 10/15/28
N/A
BENCHMARK 2018-B8 MORTGAGE TRUST SER 2018-B8 CL A4 REGD 3.96280000
08162UAV2
7400000.00000000
NS
USD
8147229.80000000
0.132064560016
Long
ABS-CBDO
CORP
US
N
2
2052-01-15
Fixed
3.96280000
N
N
N
N
N
N
BOOKING HOLDINGS 3.6% 06/01/26
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC REGD 3.60000000
741503AZ9
1925000.00000000
NS
USD
2055059.47000000
0.033312000689
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.60000000
N
N
N
N
N
N
UMBS P#MA2671 3.5% 07/01/46
N/A
FANNIE MAE POOL UMBS P#MA2671 3.50000000
31418B6H4
4739063.10000000
NS
USD
4929711.25000000
0.079909388003
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
ESSEX PORTFOLIO 3.5% 04/01/25
N/A
ESSEX PORTFOLIO LP REGD 3.50000000
29717PAP2
9500000.00000000
NS
USD
9974435.23000000
0.161683103631
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AS1585 4.5% 01/01/44
N/A
FANNIE MAE POOL UMBS P#AS1585 4.50000000
3138WAXP7
3761480.14000000
NS
USD
4049102.17000000
0.065634934777
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
UDR INC 2.95% 09/01/26
P3CH2EG5X6Z1XWU1OO74
UDR INC REGD MTN 2.95000000
90265EAL4
1520000.00000000
NS
USD
1547662.89000000
0.025087228866
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
2.95000000
N
N
N
N
N
N
DCP MIDSTREAM OP 5.6% 04/01/44
N/A
DCP MIDSTREAM OPERATING REGD 5.60000000
23311VAF4
4025000.00000000
NS
USD
3894187.50000000
0.063123806672
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.60000000
N
N
N
N
N
N
GNMA P#503818 6.5% 03/15/29
N/A
GINNIE MAE I POOL P#503818 6.50000000
36210VVK4
62622.40000000
NS
USD
69080.24000000
0.001119773435
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 03/01/22
549300QS6XPZQHTCEJ97
SECTOR RE V LTD REGD ZCP 144A P/P SER I44A 0.00000000
81369ACE0
1200007.00000000
NS
USD
191072.90000000
0.003097243982
Long
DBT
CORP
BM
Y
3
2022-03-01
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AQ7316 2.5% 01/01/43
N/A
FANNIE MAE POOL UMBS P#AQ7316 2.50000000
3138MPDW2
198439.36000000
NS
USD
197486.86000000
0.003201212671
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
2.50000000
N
N
N
N
N
N
PRES & FELLOWS O 2.3% 10/01/23
6S3X7J22E861RNTJSA74
PRES & FELLOWS OF HARVAR REGD 2.30000000
740816AJ2
2600000.00000000
NS
USD
2624650.42000000
0.042544927714
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
2.30000000
N
N
N
N
N
N
WFCM 2016-C32 3.294% 11/15/25
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32 SER 2016-C32 CL A3 REGD 3.29400000
94989YAY9
8200000.00000000
NS
USD
8563781.52000000
0.138816759350
Long
ABS-CBDO
CORP
US
N
2
2059-01-15
Fixed
3.29400000
N
N
N
N
N
N
UMBS P#AS5441 2.5% 07/01/45
N/A
FANNIE MAE POOL UMBS P#AS5441 2.50000000
3138WFBK1
74229.97000000
NS
USD
73871.97000000
0.001197446181
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
2.50000000
N
N
N
N
N
N
FGLMC P#J14781 3.5% 03/01/26
N/A
FREDDIE MAC GOLD POOL P#J14781 3.50000000
3128PUJ29
157957.09000000
NS
USD
163735.11000000
0.002654105234
Long
ABS-MBS
USGA
US
N
2
2026-03-01
Fixed
3.50000000
N
N
N
N
N
N
JPMMT 2019-LTV2 V/R 12/25/49
N/A
JP MORGAN MORTGAGE TRUST 2019-LTV2 SER 2019-LTV2 CL A15 V/R REGD 144A P/P 3.50000000
46651AAQ5
4639777.50000000
NS
USD
4691810.75000000
0.076053080321
Long
ABS-CBDO
CORP
US
Y
2
2049-12-25
Variable
3.50000000
N
N
N
N
N
N
GNMA II P#3054 7% 03/20/31
N/A
GINNIE MAE II POOL P#3054 7.00000000
36202DMB4
3263.15000000
NS
USD
3809.72000000
0.000061754609
Long
ABS-MBS
USGSE
US
N
2
2031-03-20
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#644671 5.5% 10/15/35
N/A
GINNIE MAE I POOL P#644671 5.50000000
36292CFL3
30564.03000000
NS
USD
34248.58000000
0.000555160927
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Fixed
5.50000000
N
N
N
N
N
N
GNMA I P#610139 5.75% 06/20/33
N/A
GINNIE MAE II POOL P#610139 5.75000000
36202UZC0
63459.80000000
NS
USD
68258.21000000
0.001106448534
Long
ABS-MBS
USGSE
US
N
2
2033-06-20
Fixed
5.75000000
N
N
N
N
N
N
CNO FINANCIAL G 5.25% 05/30/25
11XPYHB76MPM4Y4P2897
CNO FINANCIAL GROUP INC REGD 5.25000000
12621EAK9
912000.00000000
NS
USD
1010040.00000000
0.016372496108
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
5.25000000
N
N
N
N
N
N
FGLMC P#G08588 4% 05/01/44
N/A
FREDDIE MAC GOLD POOL P#G08588 4.00000000
3128MJUN8
3422213.73000000
NS
USD
3628374.90000000
0.058815050821
Long
ABS-MBS
USGA
US
N
2
2044-05-01
Fixed
4.00000000
N
N
N
N
N
N
NISSAN MOTOR AC 3.15% 03/15/21
N/A
NISSAN MOTOR ACCEPTANCE REGD 144A P/P MTN 3.15000000
654740BF5
7495000.00000000
NS
USD
7568153.82000000
0.122677883024
Long
DBT
CORP
US
Y
2
2021-03-15
Fixed
3.15000000
N
N
N
N
N
N
GNMA P#617250 6% 10/15/36
N/A
GINNIE MAE I POOL P#617250 6.00000000
36290TWK1
77351.70000000
NS
USD
85646.90000000
0.001388314855
Long
ABS-MBS
USGSE
US
N
2
2036-10-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AS5816 3.5% 09/01/45
N/A
FANNIE MAE POOL UMBS P#AS5816 3.50000000
3138WFPA8
5943624.07000000
NS
USD
6206385.63000000
0.100603960811
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
T/L NATURES BOUNTY 0% 09/26/24
N/A
T/L NATURES BOUNTY CO THE REGD 0.00000000
18913EAB3
488750.00000000
NS
USD
472458.50000000
0.007658434272
Long
LON
CORP
US
N
2
2024-09-26
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#G08140 6% 07/01/36
N/A
FREDDIE MAC GOLD POOL P#G08140 6.00000000
3128MJEN6
6747.64000000
NS
USD
7731.15000000
0.000125320010
Long
ABS-MBS
USGA
US
N
2
2036-07-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#574994 6.5% 04/15/32
N/A
GINNIE MAE I POOL P#574994 6.50000000
36200WXX4
3987.46000000
NS
USD
4398.66000000
0.000071301179
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
PMNBT 2019-2A 5.21% 04/15/24
5493005H6EB040833X54
PERIMETER MASTER NOTE BUSINESS TRUST SER 2019-2A CL B REGD 144A P/P 5.21000000
71384PAF8
5500000.00000000
NS
USD
5498900.00000000
0.089135795467
Long
ABS-CBDO
CORP
US
Y
2
2024-05-15
Fixed
5.21000000
N
N
N
N
N
N
TPMT 2016-2 B2 V/R 10/25/32
N/A
TOWD POINT MORTGAGE TRUST 2016-2 SER 2016-2 CL B2 V/R REGD 144A P/P 3.55151100
89172PAF6
9750000.00000000
NS
USD
9744290.40000000
0.157952513423
Long
ABS-CBDO
CORP
US
Y
2
2055-08-25
Variable
3.55151100
N
N
N
N
N
N
JPMMT 2019-7 B2A V/R 02/25/50
N/A
JP MORGAN MORTGAGE TRUST 2019-7 SER 2019-7 CL B2A V/R REGD 144A P/P 3.23806900
46651GBC2
8348795.12000000
NS
USD
7783287.81000000
0.126165151265
Long
ABS-CBDO
CORP
US
Y
2
2050-02-25
Variable
3.23806900
N
N
N
N
N
N
UMBS P#AI2472 4.5% 05/01/41
N/A
FANNIE MAE POOL UMBS P#AI2472 4.50000000
3138AFXA3
58269.79000000
NS
USD
63270.01000000
0.001025591058
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#436198 7% 02/15/28
N/A
GINNIE MAE I POOL P#436198 7.00000000
36207MRT5
8612.75000000
NS
USD
8964.61000000
0.000145314088
Long
ABS-MBS
USGSE
US
N
2
2028-02-15
Fixed
7.00000000
N
N
N
N
N
N
TPMT 2015-2 1B3 V/R 10/25/31
N/A
TOWD POINT MORTGAGE TRUST SER 2015-2 CL 1B3 V/R REGD 144A P/P 3.79874100
89171YAG6
12500000.00000000
NS
USD
12497698.75000000
0.202584575022
Long
ABS-CBDO
CORP
US
Y
2
2060-11-25
Variable
3.79874100
N
N
N
N
N
N
FNMA P#735040 6% 11/1/34_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #735040_ 6.00000000
31402QS51
6893.47000000
NS
USD
7902.34000000
0.000128094957
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#529793 7% 01/15/31
N/A
GINNIE MAE I POOL P#529793 7.00000000
36212CRN3
37779.69000000
NS
USD
38149.96000000
0.000618401322
Long
ABS-MBS
USGSE
US
N
2
2031-01-15
Fixed
7.00000000
N
N
N
N
N
N
UMBS P#AS0331 3% 08/01/43
N/A
FANNIE MAE POOL UMBS P#AS0331 3.00000000
3138W9LM0
1289246.01000000
NS
USD
1327313.27000000
0.021515416566
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
N
N
N
N
N
N
TD AMERITRADE HO 3.3% 04/01/27
ZI85ER3E6RXD4HPHW309
TD AMERITRADE HOLDING CO REGD 3.30000000
87236YAF5
6200000.00000000
NS
USD
6494719.73000000
0.105277784551
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 03/01/23
549300QS6XPZQHTCEJ97
SECTOR RE V LTD REGD ZCP 144A P/P SER 144& 0.00000000
81369ACQ3
2557.00000000
NS
USD
112615.79000000
0.001825473826
Long
DBT
CORP
BM
Y
3
2023-03-01
Fixed
0.00000000
N
N
N
N
N
N
SINOPEC GRP OV 4.375% 04/10/24
N/A
SINOPEC GRP OVERSEA 2014 REGD 144A P/P 4.37500000
82937WAE5
4750000.00000000
NS
USD
5124467.01000000
0.083066330226
Long
DBT
CORP
VG
Y
2
2024-04-10
Fixed
4.37500000
N
N
N
N
N
N
UMBS P#AB5669 3.5% 07/01/42
N/A
FANNIE MAE POOL UMBS P#AB5669 3.50000000
31417CJP1
2249253.05000000
NS
USD
2370531.92000000
0.038425730304
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
RALI 2003-QS14 5.00% 07/25/20
N/A
RESIDENTIAL ACCREDIT LOANS INC SER 2003-QS14 CL A1 REGD 5.00000000
76110HFL8
2811.76000000
NS
USD
2745.99000000
0.000044511811
Long
ABS-CBDO
CORP
US
N
2
2020-07-25
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#BC1214 4% 07/01/46
N/A
FANNIE MAE POOL UMBS P#BC1214 4.00000000
3140EVK48
5675812.89000000
NS
USD
5993283.41000000
0.097149627054
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AB3678 3.5% 10/01/41
N/A
FANNIE MAE POOL UMBS P#AB3678 3.50000000
31417ACQ0
451987.78000000
NS
USD
481999.83000000
0.007813096848
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#Q45099 3.5% 12/01/46
N/A
FREDDIE MAC GOLD POOL P#Q45099 3.50000000
3132WJUZ2
9070735.37000000
NS
USD
9602623.97000000
0.155656135979
Long
ABS-MBS
USGA
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#776131 4% 10/15/41
N/A
GINNIE MAE I POOL P#776131 4.00000000
36176UA88
5230.41000000
NS
USD
5470.63000000
0.000088677545
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#C75398 6% 01/01/33
N/A
FREDDIE MAC GOLD POOL P#C75398 6.00000000
31288D7K9
51539.19000000
NS
USD
57469.39000000
0.000931564457
Long
ABS-MBS
USGA
US
N
2
2033-01-01
Fixed
6.00000000
N
N
N
N
N
N
ARTEX SAC LTD V/R 12/31/22
N/A
ARTEX SAC LTD BANTRY RE 2019 REGD V/R /BNR4B8Q46/ 0.00000000
N/A
5000000.00000000
NS
USD
5292849.15000000
0.085795762656
Long
DBT
CORP
BM
N
3
2022-12-31
Variable
0.00000000
N
N
N
N
N
N
BARCLAYS PLC V/R /PERP/
213800LBQA1Y9L22JB70
BARCLAYS PLC REGD V/R /PERP/ 8.00000000
06738EBG9
5205000.00000000
NS
USD
5823093.75000000
0.094390895176
Long
DBT
CORP
GB
N
2
2168-09-15
Variable
8.00000000
N
N
N
N
N
N
GNMA P#734218 4% 02/15/41
N/A
GINNIE MAE I POOL P#734218 4.00000000
3620AMVK5
7073.62000000
NS
USD
7531.46000000
0.000122083085
Long
ABS-MBS
USGSE
US
N
2
2041-02-15
Fixed
4.00000000
N
N
N
N
N
N
COMM 2014-CR16 C V/R 04/10/24
N/A
COMM 2014-CCRE16 MORTGAGE TRUST SER 2014-CR16 CL C V/R REGD 5.09254700
12591VAK7
2500000.00000000
NS
USD
2656666.00000000
0.043063892269
Long
ABS-CBDO
CORP
US
N
2
2047-04-10
Variable
5.09254700
N
N
N
N
N
N
OMIR 2018-1A M2 V/R 07/25/28
N/A
OAKTOWN RE II LTD SER 2018-1A CL M2 V/R REGD 144A P/P 4.64200000
67400CAB4
2457000.00000000
NS
USD
2487255.74000000
0.040317794270
Long
ABS-CBDO
CORP
US
Y
2
2028-07-25
Variable
4.64200000
N
N
N
N
N
N
UMBS P#AS4402 3.5% 02/01/45
N/A
FANNIE MAE POOL UMBS P#AS4402 3.50000000
3138WD3L3
4599811.71000000
NS
USD
4897358.44000000
0.079384957034
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
ERAC USA FINANCE 3.8% 11/01/25
N/A
ERAC USA FINANCE LLC REGD 144A P/P 3.80000000
26884TAP7
1300000.00000000
NS
USD
1374195.37000000
0.022275363696
Long
DBT
CORP
US
Y
2
2025-11-01
Fixed
3.80000000
N
N
N
N
N
N
GLENEAGLES ARTEX SAC LIMITED 2016 ZCP 11/30/2020
N/A
GLENEAGLES ARTEX SAC LIMITED 2016 ZCP 11/30/2020 BNR28PZR5 0.00000000
N/A
3500000.00000000
NS
USD
109200.00000000
0.001770104723
Long
DBT
CORP
BM
N
3
2020-11-30
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#Q53571 3.5% 01/01/48
N/A
FREDDIE MAC GOLD POOL P#Q53571 3.50000000
3132XV6H1
6137013.51000000
NS
USD
6376321.50000000
0.103358578816
Long
ABS-MBS
USGA
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
MSAIC 2019-2A 2.88% 09/20/40
N/A
MOSAIC SOLAR LOAN TRUST 2019-2 SER 2019-2A CL A REGD 144A P/P 2.88000000
61945LAA1
5531128.71000000
NS
USD
5526941.65000000
0.089590343609
Long
ABS-CBDO
CORP
US
Y
2
2040-09-20
Fixed
2.88000000
N
N
N
N
N
N
UMBS P#SD8042 5% 12/01/49
N/A
FREDDIE MAC POOL UMBS P#SD8042 5.00000000
3132DV5B7
20204277.92000000
NS
USD
21640922.09000000
0.350793941539
Long
ABS-MBS
USGA
US
N
2
2049-12-01
Fixed
5.00000000
N
N
N
N
N
N
SOUTHWESTERN ELE 3.9% 04/01/45
N/A
SOUTHWESTERN ELEC POWER REGD SER J 3.90000000
845437BN1
11475000.00000000
NS
USD
12005061.12000000
0.194599042092
Long
DBT
CORP
US
N
2
2045-04-01
Fixed
3.90000000
N
N
N
N
N
N
GNMA P#771479 4% 11/15/41
N/A
GINNIE MAE I POOL P#771479 4.00000000
36176N2L4
3021.87000000
NS
USD
3200.44000000
0.000051878332
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
4.00000000
N
N
N
N
N
N
CFMT 2018-RM2 C V/R 10/25/23
N/A
CASCADE FUNDING MORTGAGE TRUST 2018-RM2 SER 2018-RM2 CL C V/R REGD 144A P/P 4.00000000
14727QAC9
3138201.17000000
NS
USD
3085401.25000000
0.050013583581
Long
ABS-CBDO
CORP
US
Y
2
2068-10-25
Variable
4.00000000
N
N
N
N
N
N
GNR 2012-130 PA 3% 04/20/41
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-130 CL PA 3.00000000
38378GJK5
444776.32000000
NS
USD
450055.41000000
0.007295285779
Long
ABS-CBDO
CORP
US
N
2
2041-04-20
Fixed
3.00000000
N
N
N
N
N
N
FGLMC P#Q39638 3.5% 03/01/46
N/A
FREDDIE MAC GOLD POOL P#Q39638 3.50000000
3132QWV89
2929573.68000000
NS
USD
3055271.43000000
0.049525186724
Long
ABS-MBS
USGA
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#Q44868 3.5% 12/01/46
N/A
FREDDIE MAC GOLD POOL P#Q44868 3.50000000
3132WJMS7
3117363.27000000
NS
USD
3241228.77000000
0.052539508757
Long
ABS-MBS
USGA
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#584343 6.5% 04/15/32
N/A
GINNIE MAE I POOL P#584343 6.50000000
36201JEQ8
6776.33000000
NS
USD
7475.13000000
0.000121169990
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
MCMLT 2019-1 M2 V/R 10/25/69
N/A
MILL CITY MORTGAGE LOAN TRUST 2019-1 SER 2019-1 CL M2 V/R REGD 144A P/P 3.50000000
59981AAH9
21014294.01000000
NS
USD
20979452.31000000
0.340071681629
Long
ABS-CBDO
CORP
US
Y
2
2069-10-25
Variable
3.50000000
N
N
N
N
N
N
UMBS P#790912 6% 09/01/34
N/A
FANNIE MAE POOL UMBS P#790912 6.00000000
31405JVD3
62441.58000000
NS
USD
68812.91000000
0.001115440082
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
LHIPO 2016-1A 3.357% 01/15/46
N/A
LA HIPOTECARIA EL SALVADORIAN MORTGAGE TRUST 2016-1 SER 2016-1A CL A REGD 144A P/P 3.35750000
50346VAA7
1701690.37000000
NS
USD
1774012.21000000
0.028756294805
Long
ABS-CBDO
CORP
PA
Y
2
2046-01-15
Fixed
3.35750000
N
N
N
N
N
N
FGLMC P#G08020 5% 11/01/34
N/A
FREDDIE MAC GOLD POOL P#G08020 5.00000000
3128MJAW0
7477.40000000
NS
USD
8252.01000000
0.000133763020
Long
ABS-MBS
USGA
US
N
2
2034-11-01
Fixed
5.00000000
N
N
N
N
N
N
JPMMT 2019-LTV3 V/R 03/25/50
N/A
JP MORGAN MORTGAGE TRUST 2019-LTV3 SER 2019-LTV3 CL A3 V/R REGD 144A P/P 3.50000000
46651HAC1
9861567.60000000
NS
USD
9983298.79000000
0.161826779725
Long
ABS-CBDO
CORP
US
Y
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
GNMA P#442340 7% 04/15/28
N/A
GINNIE MAE I POOL P#442340 7.00000000
36207ULV8
4312.61000000
NS
USD
4320.87000000
0.000070040223
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#605389 5% 04/15/34
N/A
GINNIE MAE I POOL P#605389 5.00000000
36200NRJ2
52068.66000000
NS
USD
57646.01000000
0.000934427423
Long
ABS-MBS
USGSE
US
N
2
2034-04-15
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AS5402 2.5% 07/01/30
N/A
FANNIE MAE POOL UMBS P#AS5402 2.50000000
3138WFAC0
1655217.70000000
NS
USD
1680617.33000000
0.027242387129
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
NOVA CHEMICALS 4.875% 06/01/24
N/A
NOVA CHEMICALS CORP REGD 144A P/P 4.87500000
66977WAQ2
722000.00000000
NS
USD
745465.00000000
0.012083801445
Long
DBT
CORP
CA
Y
2
2024-06-01
Fixed
4.87500000
N
N
N
N
N
N
FNMA P#651216 6.5% 7/1/32
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #651216 6.50000000
31390NN99
67016.30000000
NS
USD
75069.03000000
0.001216850225
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
COMM 2015-CR23 C V/R 04/10/20
N/A
COMM 2015-CCRE23 MORTGAGE TRUST SER 2015-CR23 CL CMD V/R REGD 144A P/P 3.68450000
12593ABQ7
4000000.00000000
NS
USD
4001763.60000000
0.064867588382
Long
ABS-CBDO
CORP
US
Y
2
2048-05-10
Variable
3.68450000
N
N
N
N
N
N
UMBS P#MA3804 4% 10/01/49
N/A
FANNIE MAE POOL UMBS P#MA3804 4.00000000
31418DGN6
20852668.28000000
NS
USD
21772010.92000000
0.352918858730
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
4.00000000
N
N
N
N
N
N
WLAKE 2019-3A 3.59% 11/15/22
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2019-3 SER 2019-3A CL E REGD 144A P/P 3.59000000
96042HAN0
2900000.00000000
NS
USD
2903920.22000000
0.047071821415
Long
ABS-CBDO
CORP
US
Y
2
2025-03-17
Fixed
3.59000000
N
N
N
N
N
N
GNMA II P#784449 V/R 09/20/44
N/A
GINNIE MAE II POOL P#784449 V/R 4.50000000
3622A25J7
4213740.48000000
NS
USD
4418559.49000000
0.071623745650
Long
ABS-MBS
USGSE
US
N
2
2044-09-20
Fixed
4.50000000
N
N
N
N
N
N
SINOPEC GRP OVER 2.5% 04/28/20
N/A
SINOPEC GRP OVERSEA 2015 REGD 144A P/P 2.50000000
82938BAB6
10050000.00000000
NS
USD
10057437.00000000
0.163028541590
Long
DBT
CORP
VG
Y
2
2020-04-28
Fixed
2.50000000
N
N
N
N
N
N
REPUBLIC SERVICE 2.9% 07/01/26
NKNQHM6BLECKVOQP7O46
REPUBLIC SERVICES INC REGD 2.90000000
760759AR1
2678000.00000000
NS
USD
2743762.79000000
0.044475709479
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
2.90000000
N
N
N
N
N
N
UMBS P#AU3732 2.5% 08/01/43
N/A
FANNIE MAE POOL UMBS P#AU3732 2.50000000
3138X3EE8
243528.43000000
NS
USD
242354.20000000
0.003928501045
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#BC0153 4% 01/01/46
N/A
FANNIE MAE POOL UMBS P#BC0153 4.00000000
3140EUE39
1780878.80000000
NS
USD
1885937.51000000
0.030570575961
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#2945 7.5% 07/20/30
N/A
GINNIE MAE II POOL P#2945 7.50000000
36202DHW4
4863.15000000
NS
USD
5540.19000000
0.000089805096
Long
ABS-MBS
USGSE
US
N
2
2030-07-20
Fixed
7.50000000
N
N
N
N
N
N
UMBS P#AX9377 4% 12/01/44
N/A
FANNIE MAE POOL UMBS P#AX9377 4.00000000
3138YBM34
29883.81000000
NS
USD
31666.28000000
0.000513302489
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
4.00000000
N
N
N
N
N
N
ARTEX SAC LTD V/R 12/31/21
N/A
ARTEX SAC LTD BANTRY RE 2018 REGD V/R /BNR4B8Q79/ 0.00000000
N/A
2000000.00000000
NS
USD
22800.00000000
0.000369582304
Long
DBT
CORP
BM
N
3
2021-12-31
Variable
0.00000000
N
N
N
N
N
N
T/L NVA HOLDINGS 0% 02/02/25
N/A
T/L NVA HOLDINGS INC REGD 0.00000000
N/A
2322255.37000000
NS
USD
2323163.37000000
0.037657897940
Long
LON
CORP
US
N
2
2025-02-02
Fixed
0.00000000
N
N
N
N
N
N
STACR 2018-HQA2 V/R 10/25/48
N/A
FREDDIE MAC STACR TRUST 2018-HQA2 SER 2018-HQA2 CL B1 V/R REGD 144A P/P 6.04200000
35563XBD3
4230000.00000000
NS
USD
4575710.71000000
0.074171127673
Long
ABS-CBDO
CORP
US
Y
2
2048-10-25
Variable
6.04200000
N
N
N
N
N
N
GNMA P#594294 6% 09/15/32
N/A
GINNIE MAE I POOL P#594294 6.00000000
36201VGB2
80778.28000000
NS
USD
88935.07000000
0.001441615270
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA II P#3530 5.5% 03/20/34
N/A
GINNIE MAE II POOL P#3530 5.50000000
36202D4P3
125858.19000000
NS
USD
141600.10000000
0.002295302251
Long
ABS-MBS
USGSE
US
N
2
2034-03-20
Fixed
5.50000000
N
N
N
N
N
N
US TIPS 0.875% 02/15/47
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.87500000
912810RW0
64354522.85000000
NS
USD
68958440.27000000
1.117799092115
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.87500000
N
N
N
N
N
N
ACER 2018-1A D 3.99% 12/11/23
N/A
ASCENTIUM EQUIPMENT RECEIVABLES 2018-1 TRUST SER 2018-1A CL D REGD 144A P/P 3.99000000
04365AAF5
1100000.00000000
NS
USD
1128910.53000000
0.018299357708
Long
ABS-CBDO
CORP
US
Y
2
2023-12-11
Fixed
3.99000000
N
N
N
N
N
N
GNMA P#738710 4% 09/15/41
N/A
GINNIE MAE I POOL P#738710 4.00000000
3620ASVB2
268302.15000000
NS
USD
285662.24000000
0.004630513556
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AB5924 3% 08/01/42
N/A
FANNIE MAE POOL UMBS P#AB5924 3.00000000
31417CSN6
14341177.74000000
NS
USD
14776423.59000000
0.239522135491
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#811342 5% 02/01/20
N/A
FANNIE MAE POOL UMBS P#811342 5.00000000
31406JLX9
74.12000000
NS
USD
76.51000000
0.000001240207
Long
ABS-MBS
USGSE
US
N
2
2020-02-01
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#A17171 6% 01/01/34
N/A
FREDDIE MAC GOLD POOL P#A17171 6.00000000
31296R6G8
32232.25000000
NS
USD
35765.81000000
0.000579754846
Long
ABS-MBS
USGA
US
N
2
2034-01-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AX7665 4% 01/01/45
N/A
FANNIE MAE POOL UMBS P#AX7665 4.00000000
3138Y9QT8
244657.18000000
NS
USD
259221.91000000
0.004201922411
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA P#821037 6% 5/1/35
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #821037 6.00000000
31406VEJ1
17992.53000000
NS
USD
19834.82000000
0.000321517477
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
N
N
N
HFLF 2018-1 D 4.17% 05/10/21
N/A
HERTZ FLEET LEASE FUNDING LP SER 2018-1 CL D REGD 144A P/P 4.17000000
428041BG1
2800000.00000000
NS
USD
2848112.96000000
0.046167199670
Long
ABS-CBDO
CORP
US
Y
2
2032-05-10
Fixed
4.17000000
N
N
N
N
N
N
GNMA P#AG6042 4% 11/15/43
N/A
GINNIE MAE I POOL P#AG6042 4.00000000
36182AWB3
18355.93000000
NS
USD
19424.40000000
0.000314864672
Long
ABS-MBS
USGSE
US
N
2
2043-11-15
Fixed
4.00000000
N
N
N
N
N
N
TRPTY BANK OF N 1.56% 01/02/20
N/A
TRPTY BANK OF N 1.56% 01/02/20 1.56000000
N/A
10000000.00000000
PA
USD
10000000.00000000
0.162097502167
Long
RA
CORP
US
N
2
Repurchase
Y
1.56000000
2020-01-02
14039587.00000000
USD
10200884.16036260
USD
AMBS
N
N
N
FREMF 2019-KJ24 V/R 10/25/27
N/A
FREMF 2019-KJ24 MORTGAGE TRUST SER 2019-KJ24 CL B V/R 144A P/P 7.60000000
30312FAG1
4783627.23000000
NS
USD
4525655.78000000
0.073359749760
Long
ABS-CBDO
CORP
US
Y
2
2027-10-25
Variable
7.60000000
N
N
N
N
N
N
AMPHENOL CORP 4.35% 06/01/29
549300D3L3G0R4U4VT04
AMPHENOL CORP REGD 4.35000000
032095AH4
7391000.00000000
NS
USD
8275944.53000000
0.134150993639
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
4.35000000
N
N
N
N
N
N
OBX 2019-INV1 A1 V/R 11/25/48
N/A
OBX 2019-INV1 TRUST SER 2019-INV1 CL A10 V/R REGD 144A P/P 4.00000000
67098AAK5
10200000.00000000
NS
USD
10518831.60000000
0.170507632808
Long
ABS-CBDO
CORP
US
Y
2
2048-11-25
Variable
4.00000000
N
N
N
N
N
N
COMCAST CORP 4.15% 10/15/28
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 4.15000000
20030NCT6
7745000.00000000
NS
USD
8723534.36000000
0.141406312983
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
UMBS P#AK0746 4% 02/01/42
N/A
FANNIE MAE POOL UMBS P#AK0746 4.00000000
3138E4ZL8
1781166.97000000
NS
USD
1907266.48000000
0.030916313237
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.00000000
N
N
N
N
N
N
SEMT 2013-5 A1 V/R 05/25/43
N/A
SEQUOIA MORTGAGE TRUST 2013-5 SER 2013-5 CL A1 V/R REGD 144A P/P 2.50000000
81745AAA5
6578593.86000000
NS
USD
6474085.00000000
0.104943300732
Long
ABS-CBDO
CORP
US
Y
2
2043-05-25
Variable
2.50000000
N
N
N
N
N
N
T/L DARLING INGRE ZCP 12/18/24
L1N0SPPKS7EXZYUMZ898
T/L DARLING INGREDIENTS INC ZCP TERM LOAN 0.00000000
23726RAM7
1673075.23000000
NS
USD
1678930.99000000
0.027215051979
Long
LON
CORP
US
N
2
2024-12-18
Fixed
0.00000000
N
N
N
N
N
N
CSMC 2013-IVR3 A V/R 07/25/36
N/A
CSMC TRUST 2013-IVR3 SER 2013-IVR3 CL A1 V/R REGD 144A P/P 2.50000000
12646XAH5
3525873.38000000
NS
USD
3460740.63000000
0.056097741177
Long
ABS-CBDO
CORP
US
Y
2
2043-05-25
Variable
2.50000000
N
N
N
N
N
N
CAPITAL ONE FIN 3.75% 04/24/24
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CO REGD 3.75000000
14040HBF1
9675000.00000000
NS
USD
10189889.47000000
0.165175563045
Long
DBT
CORP
US
N
2
2024-04-24
Fixed
3.75000000
N
N
N
N
N
N
FGLMC P#Q48616 4% 06/01/47
N/A
FREDDIE MAC GOLD POOL P#Q48616 4.00000000
3132WNSE3
1110783.53000000
NS
USD
1170143.34000000
0.018967731259
Long
ABS-MBS
USGA
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#MA2917 3.5% 02/01/47
N/A
FANNIE MAE POOL UMBS P#MA2917 3.50000000
31418CG32
72266.02000000
NS
USD
75611.17000000
0.001225638179
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#546443 6.5% 11/15/31
N/A
GINNIE MAE I POOL P#546443 6.50000000
36212XBL8
38608.92000000
NS
USD
42590.40000000
0.000690379745
Long
ABS-MBS
USGSE
US
N
2
2031-11-15
Fixed
6.50000000
N
N
N
N
N
N
FGLMC P#Q42941 3% 09/01/46
N/A
FREDDIE MAC GOLD POOL P#Q42941 3.00000000
3132WGHT7
3396627.73000000
NS
USD
3480925.20000000
0.056424928015
Long
ABS-MBS
USGA
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#AL9717 4% 01/01/47
N/A
FANNIE MAE POOL UMBS P#AL9717 4.00000000
3138ERYP9
10008583.74000000
NS
USD
10518206.81000000
0.170497505118
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#A16221 6% 11/01/33
N/A
FREDDIE MAC GOLD POOL P#A16221 6.00000000
31296Q4E7
22945.27000000
NS
USD
25429.19000000
0.000412200818
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#BA4510 4% 12/01/45
N/A
FANNIE MAE POOL UMBS P#BA4510 4.00000000
3140E9AL0
4292753.53000000
NS
USD
4548604.47000000
0.073731742293
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
WILLIAMS COS IN 7.75% 06/15/31
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC REGD 7.75000000
969457BD1
2475000.00000000
NS
USD
3300993.09000000
0.053508273456
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
7.75000000
N
N
N
N
N
N
FNMA P#794267 6% 9/1/34
N/A
FNMA P#794267 6% 9/1/34 6.00000000
31405NMQ5
3534.80000000
NS
USD
3972.41000000
0.000064391773
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#513290 7.5% 08/15/29
N/A
GINNIE MAE I POOL P#513290 7.50000000
36211HF71
2353.97000000
NS
USD
2381.88000000
0.000038609679
Long
ABS-MBS
USGSE
US
N
2
2029-08-15
Fixed
7.50000000
N
N
N
N
N
N
KILIMANJARO II RE V/R 04/21/22
N/A
KILIMANJARO II RE LTD REGD V/R 144A P/P SER ** 8.08300000
49407QAF5
500000.00000000
NS
USD
495000.00000000
0.008023826357
Long
DBT
CORP
BM
Y
2
2022-04-21
Variable
8.08300000
N
N
N
N
N
N
FGLMC P#C03832 4.5% 03/01/42
N/A
FREDDIE MAC GOLD POOL P#C03832 4.50000000
31292LHH1
2642098.28000000
NS
USD
2871149.36000000
0.046540613960
Long
ABS-MBS
USGA
US
N
2
2042-03-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#AJ6291 4% 09/15/44
N/A
GINNIE MAE I POOL P#AJ6291 4.00000000
36183B7C6
207377.99000000
NS
USD
219653.22000000
0.003560523830
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
SKYLINE RE LTD V/R 01/06/20
N/A
SKYLINE RE LTD REGD V/R 144A P/P 4.31739400
G817ATAD7
1000000.00000000
NS
USD
995000.00000000
0.016128701465
Long
DBT
CORP
BM
Y
2
2020-01-06
Variable
4.31739400
N
N
N
N
N
N
GNMA II P#3162 7% 11/20/31
N/A
GINNIE MAE II POOL P#3162 7.00000000
36202DQP9
6712.65000000
NS
USD
7819.57000000
0.000126753276
Long
ABS-MBS
USGSE
US
N
2
2031-11-20
Fixed
7.00000000
N
N
N
N
N
N
UDR INC 4% 10/01/25
P3CH2EG5X6Z1XWU1OO74
UDR INC REGD MTN 4.00000000
90265EAK6
6077000.00000000
NS
USD
6563748.38000000
0.106396721725
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
4.00000000
N
N
N
N
N
N
RIVIERA RE 2019 0.0% 05/31/20
N/A
RIVIERA RE 2019 REGD ZCP /ILS000137584/ 0.00000000
N/A
1600000.00000000
NS
USD
1611730.98000000
0.026125756602
Long
DBT
CORP
BM
N
3
2020-05-31
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#AE8310 4% 04/15/44
N/A
GINNIE MAE I POOL P#AE8310 4.00000000
36181CGT9
1938042.83000000
NS
USD
2080645.26000000
0.033726739954
Long
ABS-MBS
USGSE
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
CAS 2018-C04 2M2 V/R 12/25/30
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C04 CL 2M2 V/R REGD 4.34200000
30711XR63
2500000.00000000
NS
USD
2544213.25000000
0.041241061280
Long
ABS-CBDO
CORP
US
N
2
2030-12-25
Variable
4.34200000
N
N
N
N
N
N
T/L CHANGE HEALTH ZCP 03/01/24
N/A
T/L CHANGE HEALTHCARE HOLDINGS ZCP TERM LOAN 0.00000000
15911AAC7
979651.95000000
NS
USD
984448.33000000
0.015957661530
Long
LON
CORP
US
N
2
2024-03-01
Fixed
0.00000000
N
N
N
N
N
N
FNMA P#837535 6% 10/1/35
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #837535 6.00000000
31407QPU4
79386.14000000
NS
USD
87448.43000000
0.001417517207
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA II P#3026 7% 01/20/31
N/A
GINNIE MAE II POOL P#3026 7.00000000
36202DLF6
6587.81000000
NS
USD
7669.75000000
0.000124324731
Long
ABS-MBS
USGSE
US
N
2
2031-01-20
Fixed
7.00000000
N
N
N
N
N
N
ARTEX SAC LTD ST A 0% 12/31/17
N/A
ARTEX SAC LTD ST ANDREWS SEG ACCT VARIABLE AT RISK NOTES DUE 12/31/2017 931DSCII2/ BNR30QCG8 0.00000000
N/A
3000000.00000000
NS
USD
203400.00000000
0.003297063194
Long
DBT
CORP
BM
N
3
2020-02-01
Fixed
0.00000000
N
N
N
N
N
N
GNMA II P#2604 7% 06/20/28
N/A
GINNIE MAE II POOL P#2604 7.00000000
36202C3M3
12370.52000000
NS
USD
14095.93000000
0.000228491504
Long
ABS-MBS
USGSE
US
N
2
2028-06-20
Fixed
7.00000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 12/01/23
549300QS6XPZQHTCEJ97
SECTOR RE V LTD REGD ZCP 144A P/P SER D 0.00000000
81369ACS9
400000.00000000
NS
USD
324224.41000000
0.005255596700
Long
DBT
CORP
BM
Y
3
2023-12-01
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#BH3875 4% 07/01/47
N/A
FANNIE MAE POOL UMBS P#BH3875 4.00000000
3140GSJV5
2343679.24000000
NS
USD
2463571.56000000
0.039933879628
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#586772 6% 03/15/33
N/A
GINNIE MAE I POOL P#586772 6.00000000
36201L2D5
48836.83000000
NS
USD
53768.25000000
0.000871569902
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
STACR 2017-DNA2 V/R 10/25/29
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES SER 2017-DNA2 CL M2 V/R REGD 5.24200000
3137G0NX3
11465925.00000000
NS
USD
12212928.87000000
0.197968526397
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Variable
5.24200000
N
N
N
N
N
N
ARTEX SAC LTD BER 0% 12/31/21
N/A
ARTEX SAC LIMITED BERWICK RE 2018-1 /BNR3N2962/ 0.00000000
N/A
10192268.00000000
NS
USD
1627705.20000000
0.026384694718
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
OBX 2019-EXP1 1A V/R 01/25/59
N/A
OBX 2019-EXP1 TRUST SER 2019-EXP1 CL 1A3 V/R REGD 144A P/P 4.00000000
67448QAC5
4166841.56000000
NS
USD
4241151.35000000
0.068748004015
Long
ABS-CBDO
CORP
US
Y
2
2059-01-25
Variable
4.00000000
N
N
N
N
N
N
GNMA P#609428 5.5% 06/15/33
N/A
GINNIE MAE I POOL P#609428 5.50000000
36202UA52
8804.59000000
NS
USD
9700.26000000
0.000157238791
Long
ABS-MBS
USGSE
US
N
2
2033-06-15
Fixed
5.50000000
N
N
N
N
N
N
GNMA P#781288 6.5% 05/15/31
N/A
GINNIE MAE I POOL P#781288 6.50000000
36225BND6
9664.47000000
NS
USD
11073.26000000
0.000179494778
Long
ABS-MBS
USGSE
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
BOEING CO 3.75% 02/01/50
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 3.75000000
097023CQ6
9560000.00000000
NS
USD
10167226.73000000
0.164808205690
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
N
N
N
N
N
N
ARIVO 2019-1 B 3.37% 01/25/24
N/A
ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2019-1 SER 2019-1 CL B REGD 144A P/P 3.37000000
04046LAB7
7000000.00000000
NS
USD
6940472.00000000
0.112503317506
Long
ABS-CBDO
CORP
US
Y
2
2025-06-15
Fixed
3.37000000
N
N
N
N
N
N
GNR 2005-61 UZ 5.25% 08/16/35
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-61 CL UZ 5.25000000
38374LR94
992282.60000000
NS
USD
1040167.58000000
0.016860856655
Long
ABS-MBS
USGSE
US
N
2
2035-08-16
Fixed
5.25000000
N
N
N
N
N
N
FNMA P#254405 6% 8/1/32
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #254405 6.00000000
31371KR29
2364.32000000
NS
USD
2709.84000000
0.000043925829
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AH9291 4% 04/01/41
N/A
FANNIE MAE POOL UMBS P#AH9291 4.00000000
3138ABKD0
1010267.21000000
NS
USD
1083579.53000000
0.017564553521
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.00000000
N
N
N
N
N
N
TPMT 2018-5 A1B V/R 07/25/58
N/A
TOWD POINT MORTGAGE TRUST 2018-5 SER 2018-5 CL A1B V/R REGD 144A P/P 3.25000000
89176VAL6
9000000.00000000
NS
USD
9196060.50000000
0.149065843683
Long
ABS-CBDO
CORP
US
Y
2
2058-07-25
Variable
3.25000000
N
N
N
N
N
N
OBX 2018-EXP1 1A V/R 04/25/48
N/A
OBX 2018-EXP1 TRUST SER 2018-EXP1 CL 1A6 V/R REGD 144A P/P 4.50000000
67097VAM6
1801143.07000000
NS
USD
1817225.12000000
0.029456765282
Long
ABS-CBDO
CORP
US
Y
2
2048-04-25
Variable
4.50000000
N
N
N
N
N
N
UMBS P#AY5580 3.5% 06/01/45
N/A
FANNIE MAE POOL UMBS P#AY5580 3.50000000
3138YKFW8
5167381.55000000
NS
USD
5409507.69000000
0.087686768450
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#584389 6.5% 05/15/32
N/A
GINNIE MAE I POOL P#584389 6.50000000
36201JF61
4704.95000000
NS
USD
5190.14000000
0.000084130872
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#667742 6% 04/01/33
N/A
FANNIE MAE POOL UMBS P#667742 6.00000000
31391HZF4
49165.96000000
NS
USD
54328.62000000
0.000880653359
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AY4201 2.5% 05/01/45
N/A
FANNIE MAE POOL UMBS P#AY4201 2.50000000
3138YHU32
68662.01000000
NS
USD
68330.84000000
0.001107625848
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
2.50000000
N
N
N
N
N
N
FHR 4091 SH V/R 08/15/42
N/A
FREDDIE MAC REMICS SER 4091 CL SH V/R 4.81025000
3137ATFZ0
11722968.49000000
NS
USD
2461842.14000000
0.039905846162
Long
ABS-CBDO
CORP
US
N
2
2042-08-15
Variable
4.81025000
N
N
N
N
N
N
UMBS P#AD7859 5% 06/01/40
N/A
FANNIE MAE POOL UMBS P#AD7859 5.00000000
31418VWV0
381766.77000000
NS
USD
417838.09000000
0.006773051069
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
KILIMANJARO III R V/R 12/19/23
254900T37LD5YQ545V53
KILIMANJARO III RE LTD REGD V/R 144A P/P SER B 11.05864600
49407PAB6
4000000.00000000
NS
USD
3994000.00000000
0.064741742365
Long
DBT
CORP
BM
Y
2
2023-12-19
Variable
11.05864600
N
N
N
N
N
N
CVS HEALTH CORP AMRTZ 6.036%28
N/A
CVS HEALTH CORP AMRTZ 6.036%28 6.03600000
126650BP4
3029303.00000000
NS
USD
3384337.01000000
0.054859257581
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
6.03600000
N
N
N
N
N
N
IHSFR 2018-SFR3 V/R 07/17/20
N/A
INVITATION HOMES 2018-SFR3 TRUST SER 2018-SFR3 CL E V/R REGD 144A P/P 3.73738000
46187VAJ8
8960000.00000000
NS
USD
8988056.45000000
0.145694149988
Long
ABS-CBDO
CORP
US
Y
2
2037-07-17
Variable
3.73738000
N
N
N
N
N
N
UMBS P#AL6952 3% 06/01/45
N/A
FANNIE MAE POOL UMBS P#AL6952 3.00000000
3138EPWN0
5646693.98000000
NS
USD
5826831.65000000
0.094451485601
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.00000000
N
N
N
N
N
N
AH4R 2014-SFR3 5.04% 12/17/24
N/A
AMERICAN HOMES 4 RENT 2014-SFR3 TRUST SER 2014-SFR3 CL D REGD 144A P/P 5.04000000
02665XAD1
700000.00000000
NS
USD
748219.22000000
0.012128446663
Long
ABS-CBDO
CORP
US
Y
2
2036-12-17
Fixed
5.04000000
N
N
N
N
N
N
GNMA P#741518 4% 01/15/41
N/A
GINNIE MAE I POOL P#741518 4.00000000
3620AVYP1
14044.87000000
NS
USD
14955.20000000
0.000242420056
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#BE5849 4.5% 01/01/47
N/A
FANNIE MAE POOL UMBS P#BE5849 4.50000000
3140FRQB4
499019.87000000
NS
USD
533069.14000000
0.008640917607
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.50000000
N
N
N
N
N
N
NRPMT 2013-1 B2 V/R 12/25/26
N/A
NRP MORTGAGE TRUST 2013-1 SER 2013-1 CL B2 V/R REGD 144A P/P 3.31053200
62942KAF3
3999821.68000000
NS
USD
4046258.01000000
0.065588831654
Long
ABS-CBDO
CORP
US
Y
2
2043-07-25
Variable
3.31053200
N
N
N
N
N
N
FGLMC P#G08671 3.5% 10/01/45
N/A
FREDDIE MAC GOLD POOL P#G08671 3.50000000
3128MJW97
5617344.56000000
NS
USD
5868336.95000000
0.095124276147
Long
ABS-MBS
USGA
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#584399 6.5% 05/15/32
N/A
GINNIE MAE I POOL P#584399 6.50000000
36201JGG8
6982.37000000
NS
USD
7702.42000000
0.000124854304
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
TPMT 2017-2 M2 V/R 04/25/57
N/A
TOWD POINT MORTGAGE TRUST 2017-2 SER 2017-2 CL M2 V/R REGD 144A P/P 3.75000000
89173HAD8
12600000.00000000
NS
USD
13020433.02000000
0.211057966968
Long
ABS-CBDO
CORP
US
Y
2
2057-04-25
Variable
3.75000000
N
N
N
N
N
N
MPLX LP 5.5% 02/15/49
N/A
MPLX LP REGD 5.50000000
55336VAT7
6920000.00000000
NS
USD
7861707.51000000
0.127436315014
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
ALTURAS RE SEG AC ZCP 03/10/23
N/A
ALTURAS RE SEG ACCT 2019 REGD ZCP 144A P/P 0.00000000
N/A
550000.00000000
NS
USD
625790.00000000
0.010143899588
Long
DBT
CORP
BM
Y
2
2020-03-31
Fixed
0.00000000
N
N
N
N
N
N
FNMA P829691 4.00% 09/01/20_
N/A
FANNIE MAE POOL_______________ P#829691___ 4.00000000
31407FXU9
5065.55000000
NS
USD
5279.76000000
0.000085583590
Long
ABS-MBS
USGSE
US
N
2
2020-09-01
Fixed
4.00000000
N
N
N
N
N
N
T/L ALLIANCE HEAL 0% 10/24/23
N/A
T/L ALLIANCE HEALTHCARE SERVICES INC REGD 0.00000000
N/A
760000.00000000
NS
USD
695400.00000000
0.011272260300
Long
LON
CORP
US
N
2
2023-10-24
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#BA0908 3.5% 03/01/46
N/A
FANNIE MAE POOL UMBS P#BA0908 3.50000000
3140E5AJ3
1492438.65000000
NS
USD
1558268.31000000
0.025259140075
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
IBRD V/R 02/15/21
N/A
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT V/R SER GDIF 4.70988000
U4586FSF5
1250000.00000000
NS
USD
1240375.00000000
0.020106168925
Long
DBT
USGA
US
Y
2
2021-02-15
Variable
4.70988000
N
N
N
N
N
N
FGLMC P#G18077 4.5% 10/01/20
N/A
FREDDIE MAC GOLD POOL P#G18077 4.50000000
3128MMCP6
18253.80000000
NS
USD
18852.04000000
0.000305586859
Long
ABS-MBS
USGA
US
N
2
2020-10-01
Fixed
4.50000000
N
N
N
N
N
N
NAKILAT INC 6.267% 12/31/33 144A
2549006RMTDJWLLWF072
NAKILAT INC REG 144A 6.26700000
62983PAB1
1850722.16000000
NS
USD
2207356.32000000
0.035780694586
Long
DBT
CORP
MH
Y
2
2033-12-31
Fixed
6.26700000
N
N
N
N
N
N
F/C US 2YR NOTE (CBT) MAR20
N/A
FUTURE CONTRACT ON US 2YR NOTE (CBT) MAR20 0.00000000
N/A
1062.00000000
NC
USD
228861000.00000000
3.709779644361
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Long
F/C US 2YR NOTE (CBT) MAR20
US 2YR NOTE (CBT) MAR20
2020-03-31
228984796.88
USD
-123796.88
N
N
N
NATIONSTAR MTG 9.125% 07/15/26
N/A
NATIONSTAR MTG HLD INC REGD 144A P/P 9.12500000
93369KAB1
2878000.00000000
NS
USD
3187385.00000000
0.051666714694
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
9.12500000
N
N
N
N
N
N
GNMA P#477508 6.5% 10/15/28
N/A
GINNIE MAE I POOL P#477508 6.50000000
36209PNZ6
2117.10000000
NS
USD
2335.42000000
0.000037856574
Long
ABS-MBS
USGSE
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#612926 5.5% 07/15/33
N/A
GINNIE MAE I POOL P#612926 5.50000000
36202X4K0
45611.02000000
NS
USD
51145.51000000
0.000829055941
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
GNMA P#521291 6.5% 04/15/35
N/A
GINNIE MAE I POOL P#521291 6.50000000
36211SC47
36516.39000000
NS
USD
40282.09000000
0.000652962617
Long
ABS-MBS
USGSE
US
N
2
2035-04-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA II P#3544 5.5% 04/20/34
N/A
GINNIE MAE II POOL P#3544 5.50000000
36202D5D9
106503.30000000
NS
USD
119811.83000000
0.001942119837
Long
ABS-MBS
USGSE
US
N
2
2034-04-20
Fixed
5.50000000
N
N
N
N
N
N
CAS 2019-R01 2M2 V/R 07/25/31
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2019-R01 SER 2019-R01 CL 2M2 V/R REGD 144A P/P 4.24200000
20754FAK8
15470000.00000000
NS
USD
15658351.89000000
0.253817972943
Long
ABS-CBDO
CORP
US
Y
2
2031-07-25
Variable
4.24200000
N
N
N
N
N
N
GNMA P#434239 6.5% 03/15/29
N/A
GNMA P#434239 6.5% 03/15/29 6.50000000
36207KLU2
4287.35000000
NS
USD
4729.48000000
0.000076663689
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#781285 6.5% 05/15/31
N/A
GINNIE MAE I POOL P#781285 6.50000000
36225BNA2
10018.30000000
NS
USD
11556.27000000
0.000187324250
Long
ABS-MBS
USGSE
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
PROG 2017-SFR 4.261% 08/17/22
N/A
PROGRESS RESIDENTIAL 2017-SFR1 TRUST SER 2017-SFR1 CL E REGD 144A P/P 4.26100000
74333JAN1
3730000.00000000
NS
USD
3802183.33000000
0.061632442057
Long
ABS-CBDO
CORP
US
Y
2
2034-08-17
Fixed
4.26100000
N
N
N
N
N
N
PHILLIPS 66 PAR 3.75% 03/01/28
N/A
PHILLIPS 66 PARTNERS LP REGD SER * 3.75000000
718549AF5
12125000.00000000
NS
USD
12630022.98000000
0.204729517737
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
3.75000000
N
N
N
N
N
N
GNMA P#770470 4.5% 07/15/41
N/A
GINNIE MAE I POOL P#770470 4.50000000
36176MW74
227680.62000000
NS
USD
247603.68000000
0.004013593805
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#545944 6% 10/01/32
N/A
FANNIE MAE POOL UMBS P#545944 6.00000000
31385JP51
29966.52000000
NS
USD
34340.01000000
0.000556642984
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#737556 4.5% 10/15/40
N/A
GINNIE MAE I POOL P#737556 4.50000000
3620ARMD0
594433.50000000
NS
USD
646369.18000000
0.010477482955
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA P#619972 6.5% 12/1/31_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #619972__ 6.50000000
31389AW90
109435.00000000
NS
USD
121466.38000000
0.001968939679
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#844917 4.5% 11/01/20
N/A
FANNIE MAE POOL UMBS P#844917 4.50000000
31407YVJ5
28950.87000000
NS
USD
29887.66000000
0.000484471503
Long
ABS-MBS
USGSE
US
N
2
2020-11-01
Fixed
4.50000000
N
N
N
N
N
N
GALILEI RE LTD V/R 01/08/20
N/A
GALILEI RE LTD REGD V/R 144A P/P SER ** 8.64063000
363543AC3
1400000.00000000
NS
USD
1399720.00000000
0.022689111573
Long
DBT
CORP
BM
Y
2
2020-01-08
Variable
8.64063000
N
N
N
N
N
N
FGLMC P#G07664 3.5% 08/01/43
N/A
FREDDIE MAC GOLD POOL P#G07664 3.50000000
3128M9Z54
2208220.37000000
NS
USD
2328901.42000000
0.037750910297
Long
ABS-MBS
USGA
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
NRZT 2018-RPL1 A V/R 12/25/57
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 SER 2018-RPL1 CL A1 V/R REGD 144A P/P 3.50000000
64829VAA4
24944122.63000000
NS
USD
25601462.62000000
0.414993314254
Long
ABS-CBDO
CORP
US
Y
2
2057-12-25
Variable
3.50000000
N
N
N
N
N
N
GNMA P#684833 4.5% 04/15/38
N/A
GINNIE MAE I POOL P#684833 4.50000000
36295YY64
45080.49000000
NS
USD
47952.89000000
0.000777304369
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
GNMA II P#3689 4.5% 03/20/35
N/A
GINNIE MAE II POOL P#3689 4.50000000
36202EC23
30698.65000000
NS
USD
32356.81000000
0.000524495807
Long
ABS-MBS
USGSE
US
N
2
2035-03-20
Fixed
4.50000000
N
N
N
N
N
N
ARTEX SAC LTD 0.0% 12/31/22
N/A
ARTEX SAC LTD CARNOUSTIE RE 2019 REGD ZCP /BNR48YNL8/ 0.00000000
N/A
1139928.00000000
NS
USD
1260646.38000000
0.020434762931
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#G08758 4% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#G08758 4.00000000
3128MJZY9
7722521.36000000
NS
USD
8121985.23000000
0.131655351842
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
STACR 2018-HRP2 V/R 02/25/47
N/A
STACR TRUST 2018-HRP2 SER 2018-HRP2 CL B1 V/R REGD 144A P/P 5.99200000
35564ACB5
11220000.00000000
NS
USD
12047082.30000000
0.195280194923
Long
ABS-CBDO
CORP
US
Y
2
2047-02-25
Variable
5.99200000
N
N
N
N
N
N
GNMA P#533974 6.5% 05/15/32
N/A
GINNIE MAE I POOL P#533974 6.50000000
36212HFP0
7579.28000000
NS
USD
8748.58000000
0.000141812296
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#BC0870 3.5% 01/01/46
N/A
FANNIE MAE POOL UMBS P#BC0870 3.50000000
3140EU6G9
4239435.23000000
NS
USD
4425554.11000000
0.071737126693
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AI1888 4.5% 05/01/41
N/A
FANNIE MAE POOL UMBS P#AI1888 4.50000000
3138AFC24
2070797.04000000
NS
USD
2248252.77000000
0.036443615825
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
ENERGY TRANSFER 5.5% 06/01/27
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATNG REGD 5.50000000
29278NAN3
1149000.00000000
NS
USD
1291769.16000000
0.020939255421
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.50000000
N
N
N
N
N
N
FGLMC P#Q40519 4% 05/01/46
N/A
FREDDIE MAC GOLD POOL P#Q40519 4.00000000
3132WDSH8
221387.43000000
NS
USD
230384.99000000
0.003734483141
Long
ABS-MBS
USGA
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
T/L SELECT MEDICAL 0% 03/06/25
N/A
T/L SELECT MEDICAL CORPORATION 0.00000000
N/A
1044009.65000000
NS
USD
1047585.38000000
0.016981097340
Long
LON
CORP
US
N
2
2025-03-06
Fixed
0.00000000
N
N
N
N
N
N
CHENIERE ENERGY 4.5% 10/01/29
N/A
CHENIERE ENERGY PARTNERS REGD 144A P/P 4.50000000
16411QAE1
2265000.00000000
NS
USD
2327514.00000000
0.037728420566
Long
DBT
CORP
US
Y
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#MA0500 5% 08/01/40
N/A
FANNIE MAE POOL UMBS P#MA0500 5.00000000
31417YRW9
537734.46000000
NS
USD
592831.70000000
0.009609653777
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#321318 5.9% 11/01/27
N/A
FANNIE MAE POOL UMBS P#321318 5.90000000
31374Q4B8
17822.49000000
NS
USD
17850.27000000
0.000289348418
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
5.90000000
N
N
N
N
N
N
UMBS P#AE7731 4.5% 11/01/40
N/A
FANNIE MAE POOL UMBS P#AE7731 4.50000000
31419JSV1
1260385.84000000
NS
USD
1368893.86000000
0.022189427543
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
FGLMC P#Q18144 3% 05/01/43
N/A
FREDDIE MAC GOLD POOL P#Q18144 3.00000000
3132J9P69
1803924.70000000
NS
USD
1858767.62000000
0.030130158831
Long
ABS-MBS
USGA
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
FSMT 2018-2 A14 V/R 04/25/48
N/A
FLAGSTAR MORTGAGE TRUST 2018-2 SER 2018-2 CL A14 V/R REGD 144A P/P 3.50000000
33851HAP8
5352865.24000000
NS
USD
5479574.52000000
0.088822534263
Long
ABS-CBDO
CORP
US
Y
2
2048-04-25
Variable
3.50000000
N
N
N
N
N
N
OCI NV 5.25% 11/01/24
549300NCMRGIBJYUOE57
OCI NV REGD 144A P/P 5.25000000
67091GAC7
1755000.00000000
NS
USD
1820812.50000000
0.029514915816
Long
DBT
CORP
NL
Y
2
2024-11-01
Fixed
5.25000000
N
N
N
N
N
N
JPMMT 2019-INV3 V/R 06/01/42
N/A
JP MORGAN MORTGAGE TRUST 2019-INV3 SER 2019-INV3 CL A3 V/R REGD 144A P/P 3.50000000
46591LAC5
9500000.00000000
NS
USD
9682578.60000000
0.156952180560
Long
ABS-CBDO
CORP
US
Y
2
2050-05-25
Variable
3.50000000
N
N
N
N
N
N
TPMT 2019-HY3 A2 V/R 05/25/28
N/A
TOWD POINT MORTGAGE TRUST 2019-HY3 SER 2019-HY3 CL A2 V/R REGD 144A P/P 3.09200000
89177XAC1
5614000.00000000
NS
USD
5654368.59000000
0.091655902477
Long
ABS-CBDO
CORP
US
Y
2
2059-10-25
Variable
3.09200000
N
N
N
N
N
N
GNMA P#567843 6.5% 09/15/32
N/A
GINNIE MAE I POOL P#567843 6.50000000
36213XZG2
32675.71000000
NS
USD
36045.34000000
0.000584285957
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
FGLMC P#G60045 5.5% 06/01/41
N/A
FREDDIE MAC GOLD POOL P#G60045 5.50000000
31335ABN7
699481.45000000
NS
USD
786676.77000000
0.012751833943
Long
ABS-MBS
USGA
US
N
2
2041-06-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#MA2079 4% 11/01/34
N/A
FANNIE MAE POOL UMBS P#MA2079 4.00000000
31418BJZ0
191577.60000000
NS
USD
204039.12000000
0.003307423169
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#603629 6% 04/15/33
N/A
GINNIE MAE I POOL P#603629 6.00000000
36200KSS7
12462.93000000
NS
USD
13721.41000000
0.000222420628
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
TPMT 2019-HY2 A2 V/R 05/25/58
N/A
TOWD POINT MORTGAGE TRUST 2019-HY2 SER 2019-HY2 CL A2 V/R REGD 144A P/P 3.19200000
89177HAB8
13515000.00000000
NS
USD
13668768.26000000
0.221567319265
Long
ABS-CBDO
CORP
US
Y
2
2058-05-25
Variable
3.19200000
N
N
N
N
N
N
UMBS P#BC2841 3.5% 09/01/46
N/A
FANNIE MAE POOL UMBS P#BC2841 3.50000000
3140EXEP4
7288008.06000000
NS
USD
7585239.78000000
0.122954842168
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#Q15643 3% 02/01/43
N/A
FREDDIE MAC GOLD POOL P#Q15643 3.00000000
3132J6WD2
628369.95000000
NS
USD
648832.38000000
0.010517410812
Long
ABS-MBS
USGA
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
BROADCOM INC 3.625% 10/15/24
549300WV6GIDOZJTV909
BROADCOM INC REGD 144A P/P 3.62500000
11135FAD3
4470000.00000000
NS
USD
4648303.83000000
0.075347844015
Long
DBT
CORP
US
Y
2
2024-10-15
Fixed
3.62500000
N
N
N
N
N
N
GNMA P#749998 4% 09/15/40
N/A
GINNIE MAE I POOL P#749998 4.00000000
3620C6GF6
91506.28000000
NS
USD
95708.86000000
0.001551416714
Long
ABS-MBS
USGSE
US
N
2
2040-09-15
Fixed
4.00000000
N
N
N
N
N
N
BMIR 2019-1A M2 V/R 03/25/29
N/A
BELLEMEADE RE 2019-1 LTD SER 2019-1A CL M2 V/R REGD 144A P/P 4.49200000
07876RAC0
4060000.00000000
NS
USD
4075868.51000000
0.066068810463
Long
ABS-CBDO
CORP
BM
Y
2
2029-03-25
Variable
4.49200000
N
N
N
N
N
N
UMBS P#BC0826 4% 04/01/46
N/A
FANNIE MAE POOL UMBS P#BC0826 4.00000000
3140EU4L0
1151797.84000000
NS
USD
1218120.11000000
0.019745422717
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#962243 5% 03/01/23
N/A
FANNIE MAE POOL UMBS P#962243 5.00000000
31414CP44
31485.67000000
NS
USD
32536.35000000
0.000527406106
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
CHASE 2019-CL1 M V/R 04/25/47
N/A
CHASE MORTGAGE REFERENCE NOTES 2019-CL1 SER 2019-CL1 CL M2 V/R REGD 3.49200000
46591HAB6
4969120.12000000
NS
USD
4953318.81000000
0.080292060654
Long
ABS-CBDO
CORP
US
N
2
2047-04-25
Variable
3.49200000
N
N
N
N
N
N
FLOODSMART RE LTD V/R 03/07/22
549300KK1LNVFW95S875
FLOODSMART RE LTD REGD V/R 144A P/P SER A 12.76262800
33975CAC9
250000.00000000
NS
USD
249875.00000000
0.004050411335
Long
DBT
CORP
BM
Y
2
2022-03-07
Variable
12.76262800
N
N
N
N
N
N
PENSKE TRUCK LE 3.35% 11/01/29
N/A
PENSKE TRUCK LEASING/PTL REGD 144A P/P 3.35000000
709599BH6
4183000.00000000
NS
USD
4180082.73000000
0.067758096938
Long
DBT
CORP
US
Y
2
2029-11-01
Fixed
3.35000000
N
N
N
N
N
N
GNMA P#796299 3.5% 10/15/42
N/A
GINNIE MAE I POOL P#796299 3.50000000
36177Q7M9
1195522.72000000
NS
USD
1257708.87000000
0.020387146628
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
3.50000000
N
N
N
N
N
N
AOZORA RE LTD V/R 04/07/20
N/A
AOZORA RE LTD REGD V/R 144A P/P 4.19300000
037401AC0
500000.00000000
NS
USD
465000.00000000
0.007537533850
Long
DBT
CORP
BM
Y
2
2020-04-07
Variable
4.19300000
N
N
N
N
N
N
UMBS P#AL8219 4% 02/01/46
N/A
FANNIE MAE POOL UMBS P#AL8219 4.00000000
3138ETDZ6
4585583.76000000
NS
USD
4863903.38000000
0.078842658868
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#599414 5% 07/15/33
N/A
GINNIE MAE I POOL P#599414 5.00000000
36200E3X7
44382.54000000
NS
USD
48892.29000000
0.000792531808
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
Fixed
5.00000000
N
N
N
N
N
N
SEMT 2013-5 A2 V/R 05/25/43
N/A
SEQUOIA MORTGAGE TRUST 2013-5 SER 2013-5 CL A2 V/R REGD 144A P/P 3.00000000
81745AAB3
14180811.93000000
NS
USD
14292315.65000000
0.231674866705
Long
ABS-CBDO
CORP
US
Y
2
2043-05-25
Variable
3.00000000
N
N
N
N
N
N
WESTR 2018-1A C 4.1% 07/20/22
N/A
WESTGATE RESORTS 2018-1 LLC SER 2018-1A CL C REGD 144A P/P 4.10000000
96033WAC2
4786154.49000000
NS
USD
4833577.62000000
0.078351085873
Long
ABS-CBDO
CORP
US
Y
2
2031-12-20
Fixed
4.10000000
N
N
N
N
N
N
GNMA P#780584 7% 06/15/27
N/A
GINNIE MAE I POOL P#780584 7.00000000
36225AUH1
11062.27000000
NS
USD
12252.43000000
0.000198608829
Long
ABS-MBS
USGSE
US
N
2
2027-06-15
Fixed
7.00000000
N
N
N
N
N
N
UMBS P#AL2122 4.5% 01/01/42
N/A
FANNIE MAE POOL UMBS P#AL2122 4.50000000
3138EJLC0
3766960.37000000
NS
USD
4090633.65000000
0.066308149694
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#551655 7% 09/15/31
N/A
GINNIE MAE I POOL P#551655 7.00000000
36213DZU5
26478.82000000
NS
USD
29428.21000000
0.000477023933
Long
ABS-MBS
USGSE
US
N
2
2031-09-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#AL1913 4% 01/15/45
N/A
GINNIE MAE I POOL P#AL1913 4.00000000
36183XDS6
1458311.15000000
NS
USD
1528948.30000000
0.024783870037
Long
ABS-MBS
USGSE
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
BAYC 2007-2A IO S/UP 07/25/37
N/A
BAYVIEW COMMERCIAL ASSET TRUST 2007-2 SER 2007-2A CL IO S/UP REGD 144A P/P 0.00000000
07325XAN0
4034402.90000000
NS
USD
0.40000000
0.000000006483
Long
ABS-CBDO
CORP
US
Y
2
2037-07-25
Variable
0.00000000
N
N
N
N
N
N
FNMA P#624565 6.5% 3/1/32
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #624565 6.50000000
31389FZ62
33391.71000000
NS
USD
37062.82000000
0.000600779054
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#AM1441 4% 05/15/45
N/A
GINNIE MAE I POOL P#AM1441 4.00000000
36184LS63
1357565.34000000
NS
USD
1457572.56000000
0.023626887120
Long
ABS-MBS
USGSE
US
N
2
2045-05-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AZ3219 4% 06/01/45
N/A
FANNIE MAE POOL UMBS P#AZ3219 4.00000000
3138YUSH5
141580.45000000
NS
USD
150130.49000000
0.002433577742
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.00000000
N
N
N
N
N
N
HESS MIDSTREAM 5.125% 06/15/28
N/A
HESS MIDSTREAM OPERATION REGD 144A P/P 5.12500000
428104AA1
4680000.00000000
NS
USD
4738500.00000000
0.076809901402
Long
DBT
CORP
US
Y
2
2028-06-15
Fixed
5.12500000
N
N
N
N
N
N
CENOVUS ENERGY 6.75% 11/15/39
549300EIRQ0Z2B9C1W06
CENOVUS ENERGY INC REGD 6.75000000
15135UAF6
7213000.00000000
NS
USD
9189854.86000000
0.148965251809
Long
DBT
CORP
CA
N
2
2039-11-15
Fixed
6.75000000
N
N
N
N
N
N
UMBS P#BJ1089 3.5% 02/01/48
N/A
FANNIE MAE POOL UMBS P#BJ1089 3.50000000
3140H2F78
2744601.98000000
NS
USD
2851497.28000000
0.046222058652
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#725598 5.5% 07/01/34
N/A
FANNIE MAE POOL UMBS P#725598 5.50000000
31402DDB3
363846.65000000
NS
USD
409535.68000000
0.006638471077
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
FGLMC P#Q48093 4.5% 05/01/47
N/A
FREDDIE MAC GOLD POOL P#Q48093 4.50000000
3132WM7F5
4844998.92000000
NS
USD
5139560.27000000
0.083310988200
Long
ABS-MBS
USGA
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AA4392 4% 04/01/39
N/A
FANNIE MAE POOL UMBS P#AA4392 4.00000000
31416M3A0
1910147.88000000
NS
USD
2047175.26000000
0.033184199614
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.00000000
N
N
N
N
N
N
DRB 2016-B A1 V/R 06/25/40
N/A
DRB PRIME STUDENT LOAN TRUST 2016-B SER 2016-B CL A1 V/R REGD 144A P/P 3.59200000
23341BAA3
237653.77000000
NS
USD
241231.41000000
0.003910300900
Long
ABS-CBDO
CORP
US
Y
2
2040-06-25
Variable
3.59200000
N
N
N
N
N
N
GNMA P#781561 6.5% 11/15/32
N/A
GINNIE MAE I POOL P#781561 6.50000000
36225BWW4
33036.94000000
NS
USD
38209.60000000
0.000619368071
Long
ABS-MBS
USGSE
US
N
2
2032-11-15
Fixed
6.50000000
N
N
N
N
N
N
TPMT 2017-6 M2 V/R 10/25/57
N/A
TOWD POINT MORTGAGE TRUST 2017-6 SER 2017-6 CL M2 V/R REGD 144A P/P 3.25000000
89175JAD2
14500000.00000000
NS
USD
14389134.45000000
0.233244275270
Long
ABS-CBDO
CORP
US
Y
2
2057-10-25
Variable
3.25000000
N
N
N
N
N
N
AOMT 2019-1 M1 V/R 02/25/23
N/A
ANGEL OAK MORTGAGE TRUST I LLC 2019-1 SER 2019-1 CL M1 V/R REGD 144A P/P 4.50000000
03464MAD6
2320000.00000000
NS
USD
2386492.82000000
0.038684452506
Long
ABS-CBDO
CORP
US
Y
2
2048-11-25
Variable
4.50000000
N
N
N
N
N
N
GNMA P#603397 6% 01/15/33
N/A
GINNIE MAE I POOL P#603397 6.00000000
36200KKJ5
30182.89000000
NS
USD
33919.87000000
0.000549832620
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
BOSTON PROPERTIE 3.4% 06/21/29
N/A
BOSTON PROPERTIES LP REGD 3.40000000
10112RBB9
5957000.00000000
NS
USD
6224697.63000000
0.100900793757
Long
DBT
CORP
US
N
2
2029-06-21
Fixed
3.40000000
N
N
N
N
N
N
ARTEX SAC LTD FORMERLY KANE
N/A
ARTEX SAC LTD FORMERLY KANE SAC - CARNOUSTIE SEG ACCT /BNR1EPMT0/ 0.00000000
N/A
3000000.00000000
NS
USD
9600.00000000
0.000155613602
Long
DBT
CORP
BM
N
3
2020-07-01
Fixed
0.00000000
N
N
N
N
N
N
ENABLE MIDSTREAM 4.4% 03/15/27
N/A
ENABLE MIDSTREAM PARTNER REGD 4.40000000
292480AK6
3629000.00000000
NS
USD
3624560.43000000
0.058753219215
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
4.40000000
N
N
N
N
N
N
UMBS P#SD8005 3.5% 08/01/49
N/A
FREDDIE MAC POOL UMBS P#SD8005 3.50000000
3132DV3N3
5049144.95000000
NS
USD
5189145.77000000
0.084114756770
Long
ABS-MBS
USGA
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#BO0655 4% 06/01/49
N/A
FANNIE MAE POOL UMBS P#BO0655 4.00000000
3140JUWR1
253540.62000000
NS
USD
272824.35000000
0.004422414566
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#763539 4.5% 05/15/41
N/A
GINNIE MAE I POOL P#763539 4.50000000
36176EBG5
631207.80000000
NS
USD
686368.63000000
0.011125864048
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Fixed
4.50000000
N
N
N
N
N
N
CCRSG 2016-HE 3.357% 04/10/21
N/A
CCRESG COMMERCIAL MORTGAGE TRUST 2016-HEAT SER 2016-HEAT CL A REGD 144A P/P 3.35700000
12507GAA5
3250000.00000000
NS
USD
3272338.55000000
0.053043790520
Long
ABS-CBDO
CORP
US
Y
2
2029-04-10
Fixed
3.35700000
N
N
N
N
N
N
AVID 2018-1 B 3.85% 04/15/21
N/A
AVID AUTOMOBILE RECEIVABLES TRUST 2018-1 SER 2018-1 CL B REGD 144A P/P 3.85000000
05367MAB3
1750000.00000000
NS
USD
1763994.23000000
0.028593905852
Long
ABS-CBDO
CORP
US
Y
2
2024-07-15
Fixed
3.85000000
N
N
N
N
N
N
UMBS P#AZ3807 3% 05/01/46
N/A
FANNIE MAE POOL UMBS P#AZ3807 3.00000000
3138YVGR4
590619.76000000
NS
USD
611120.15000000
0.009906104983
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
NRZT 2018-5A A1 V/R 12/25/57
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-5 SER 2018-5A CL A1 V/R REGD 144A P/P 4.75000000
64829XAA0
3155650.03000000
NS
USD
3311488.02000000
0.053678393650
Long
ABS-CBDO
CORP
US
Y
2
2057-12-25
Variable
4.75000000
N
N
N
N
N
N
GNMA P#780532 7.5% 03/15/27
N/A
GINNIE MAE I POOL P#780532 7.50000000
36225ASV3
19500.01000000
NS
USD
22214.51000000
0.000360091658
Long
ABS-MBS
USGSE
US
N
2
2027-03-15
Fixed
7.50000000
N
N
N
N
N
N
CVS PASS-THROU 5.926% 01/10/34
N/A
CVS PASS-THROUGH TRUST REGD 144A P/P 5.92600000
126650BY5
1700277.10000000
NS
USD
1982216.20000000
0.032131229477
Long
DBT
CORP
US
Y
2
2034-01-10
Fixed
5.92600000
N
N
N
N
N
N
FGLMC P#G08658 3% 08/01/45
N/A
FREDDIE MAC GOLD POOL P#G08658 3.00000000
3128MJWU0
1037287.13000000
NS
USD
1062988.97000000
0.017230785686
Long
ABS-MBS
USGA
US
N
2
2045-08-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#BD1001 3.5% 04/01/46
N/A
FANNIE MAE POOL UMBS P#BD1001 3.50000000
3140F8DF1
3261825.01000000
NS
USD
3402117.90000000
0.055147481367
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
3.50000000
N
N
N
N
N
N
BMIR 2018-3A M1B V/R 10/25/28
N/A
BELLEMEADE RE 2018-3 LTD SER 2018-3A CL M1B V/R REGD 144A P/P 3.64200000
07877TAB7
6720000.00000000
NS
USD
6732738.43000000
0.109136008225
Long
ABS-CBDO
CORP
BM
Y
2
2028-10-25
Variable
3.64200000
N
N
N
N
N
N
GNMA P#466472 6.5% 05/15/29
N/A
GINNIE MAE I POOL P#466472 6.50000000
36209BFM5
1508.38000000
NS
USD
1663.93000000
0.000026971889
Long
ABS-MBS
USGSE
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
UDR INC 4.4% 01/26/29
P3CH2EG5X6Z1XWU1OO74
UDR INC REGD MTN 4.40000000
90265EAP5
5300000.00000000
NS
USD
5919768.17000000
0.095957963376
Long
DBT
CORP
US
N
2
2029-01-26
Fixed
4.40000000
N
N
N
N
N
N
DRMT 2018-1A A1 V/R 02/25/22
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2 SER 2018-1A CL A1 V/R REGD 144A P/P 2.97600000
24380PAA2
2382086.07000000
NS
USD
2380571.06000000
0.038588462255
Long
ABS-CBDO
CORP
US
Y
2
2057-12-25
Variable
2.97600000
N
N
N
N
N
N
SOTHEBY'S 7.375% 10/15/27
549300P5BAAMQQ7VL735
SOTHEBY'S REGD 144A P/P 7.37500000
088830AA2
3580000.00000000
NS
USD
3624750.00000000
0.058756292098
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
7.37500000
N
N
N
N
N
N
COMMERCIAL META 5.75% 04/15/26
549300OQS2LO07ZJ7N73
COMMERCIAL METALS CO REGD 5.75000000
201723AN3
1525000.00000000
NS
USD
1593625.00000000
0.025832263189
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
UMBS P#AS7253 4.5% 05/01/46
N/A
FANNIE MAE POOL UMBS P#AS7253 4.50000000
3138WHBX9
3772820.00000000
NS
USD
4023927.35000000
0.065226857233
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#778693 4% 12/15/41
N/A
GINNIE MAE I POOL P#778693 4.00000000
36176W3A7
4589.97000000
NS
USD
4889.18000000
0.000079252386
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Fixed
4.00000000
N
N
N
N
N
N
CAFL 2016-1 D V/R 06/15/48
N/A
COLONY AMERICAN FINANCE 2016-1 LTD SER 2016-1 CL D V/R REGD 144A P/P 5.97200000
19625GAD1
2400000.00000000
NS
USD
2457275.52000000
0.039831822392
Long
ABS-CBDO
CORP
US
Y
2
2048-06-15
Variable
5.97200000
N
N
N
N
N
N
GNMA P#384943 7.5% 12/15/25
N/A
GINNIE MAE I POOL P#384943 7.50000000
36205AS88
1860.45000000
NS
USD
1860.36000000
0.000030155970
Long
ABS-MBS
USGSE
US
N
2
2025-12-15
Fixed
7.50000000
N
N
N
N
N
N
BMIR 2019-1A M1B V/R 03/25/29
N/A
BELLEMEADE RE 2019-1 LTD SER 2019-1A CL M1B V/R REGD 144A P/P 3.54200000
07876RAB2
4530000.00000000
NS
USD
4519377.60000000
0.073257982031
Long
ABS-CBDO
CORP
BM
Y
2
2029-03-25
Variable
3.54200000
N
N
N
N
N
N
GNMA P#781595 6.5% 01/15/33
N/A
GINNIE MAE I POOL P#781595 6.50000000
36225BXY9
2238.63000000
NS
USD
2571.49000000
0.000041683210
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
6.50000000
N
N
N
N
N
N
JPMCC 2016-JP 2.821% 07/15/26
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 20 SER 2016-JP2 CL A4 REGD 2.82180000
46590MAR1
4597183.00000000
NS
USD
4681661.29000000
0.075888560110
Long
ABS-CBDO
CORP
US
N
2
2049-08-15
Fixed
2.82180000
N
N
N
N
N
N
FNMA P#882039 5.5% 5/1/36_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #882039__ 5.50000000
31409X4Y2
80466.80000000
NS
USD
88901.42000000
0.001441069812
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#BH6459 4% 07/01/47
N/A
FANNIE MAE POOL UMBS P#BH6459 4.00000000
3140GVE92
2379437.49000000
NS
USD
2531297.52000000
0.041031700523
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
TPMT 2018-2 A2 V/R 03/25/58
N/A
TOWD POINT MORTGAGE TRUST 2018-2 SER 2018-2 CL A2 V/R REGD 144A P/P 3.50000000
89175VAB9
19865000.00000000
NS
USD
20204947.76000000
0.327517156332
Long
ABS-CBDO
CORP
US
Y
2
2058-03-25
Variable
3.50000000
N
N
N
N
N
N
ILPT 2019-SUR 4.145% 02/11/29
N/A
ILPT TRUST 2019-SURF SER 2019-SURF CL A REGD 144A P/P 4.14500000
44965LAA2
8951000.00000000
NS
USD
9992568.79000000
0.161977044109
Long
ABS-CBDO
CORP
US
Y
2
2041-02-11
Fixed
4.14500000
N
N
N
N
N
N
CIGNA CORP 4.375% 10/15/28
549300VIWYMSIGT1U456
CIGNA CORP REGD SER WI 4.37500000
125523AH3
6225000.00000000
NS
USD
6896602.61000000
0.111792205652
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
UMBS P#BJ8118 3.5% 01/01/48
N/A
FANNIE MAE POOL UMBS P#BJ8118 3.50000000
3140HAAU4
3522434.99000000
NS
USD
3655848.62000000
0.059260392960
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
IHSFR 2018-SFR2 V/R 06/17/20
N/A
INVITATION HOMES 2018-SFR2 TRUST SER 2018-SFR2 CL D V/R REGD 144A P/P 3.18975000
46185HAG7
4730000.00000000
NS
USD
4735880.34000000
0.076767437367
Long
ABS-CBDO
CORP
US
Y
2
2037-06-17
Variable
3.18975000
N
N
N
N
N
N
SALESFORCE.COM I 3.7% 04/11/28
RCGZFPDMRW58VJ54VR07
SALESFORCE.COM INC REGD 3.70000000
79466LAF1
5650000.00000000
NS
USD
6198508.16000000
0.100476268990
Long
DBT
CORP
US
N
2
2028-04-11
Fixed
3.70000000
N
N
N
N
N
N
UMBS P#AS6111 4% 11/01/45
N/A
FANNIE MAE POOL UMBS P#AS6111 4.00000000
3138WFYH3
2433850.89000000
NS
USD
2578691.35000000
0.041799942669
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#Q37291 3.5% 11/01/45
N/A
FREDDIE MAC GOLD POOL P#Q37291 3.50000000
3132QUC50
6055976.70000000
NS
USD
6353914.04000000
0.102995359487
Long
ABS-MBS
USGA
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AS5567 3.5% 08/01/45
N/A
FANNIE MAE POOL UMBS P#AS5567 3.50000000
3138WFFH4
6437232.08000000
NS
USD
6900134.40000000
0.111849455086
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AX7339 3.5% 09/01/44
N/A
FANNIE MAE POOL UMBS P#AX7339 3.50000000
3138Y9EM6
2059881.80000000
NS
USD
2155479.37000000
0.034939782185
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
3.50000000
N
N
N
N
N
N
INTESA SANPAOLO 4.7% 09/23/49
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA REGD 144A P/P SER XR 4.70000000
46115HBN6
6937000.00000000
NS
USD
7072863.50000000
0.114649350652
Long
DBT
CORP
IT
Y
2
2049-09-23
Fixed
4.70000000
N
N
N
N
N
N
GNMA P#605268 6% 06/15/34
N/A
GINNIE MAE I POOL P#605268 6.00000000
36200NMR9
36546.20000000
NS
USD
41738.35000000
0.000676568227
Long
ABS-MBS
USGSE
US
N
2
2034-06-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA II P#MA2304 4% 10/20/44
N/A
GINNIE MAE II POOL P#MA2304 4.00000000
36179QRZ6
1243972.72000000
NS
USD
1318171.05000000
0.021367223463
Long
ABS-MBS
USGSE
US
N
2
2044-10-20
Fixed
4.00000000
N
N
N
N
N
N
TEVA PHARMACEUT 3.15% 10/01/26
N/A
TEVA PHARMACEUTICALS NE REGD 3.15000000
88167AAE1
6382000.00000000
NS
USD
5313015.00000000
0.086122646047
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
N
N
N
N
N
N
FGLMC P#C67557 6.5% 06/01/32
N/A
FREDDIE MAC GOLD POOL P#C67557 6.50000000
31287TME2
93.01000000
NS
USD
103.30000000
0.000001674467
Long
ABS-MBS
USGA
US
N
2
2032-06-01
Fixed
6.50000000
N
N
N
N
N
N
LIMESTONE RE LTD ZCP 08/31/21
5493004PN8HGYC184A27
LIMESTONE RE LTD REGD ZCP P/P SER _ 0.00000000
G5488XAA8
82000.00000000
NS
USD
99359.40000000
0.001610591055
Long
DBT
CORP
BM
N
3
2021-08-31
Fixed
0.00000000
N
N
N
N
N
N
T/L STAPLES INC 0% 09/12/24
N/A
T/L STAPLES INC REGD 0.00000000
N/A
532325.00000000
NS
USD
525338.23000000
0.008515601487
Long
LON
CORP
US
N
2
2024-09-12
Fixed
0.00000000
N
N
N
N
N
N
GNMA II P#2630 6.5% 08/20/28
N/A
GINNIE MAE II POOL P#2630 6.50000000
36202C4P5
26015.39000000
NS
USD
29310.70000000
0.000475119125
Long
ABS-MBS
USGSE
US
N
2
2028-08-20
Fixed
6.50000000
N
N
N
N
N
N
PROG 2018-SFR 4.656% 08/17/23
N/A
PROGRESS RESIDENTIAL 2018-SFR2 TRUST SER 2018-SFR2 CL E REGD 144A P/P 4.65600000
74332UAJ6
3250000.00000000
NS
USD
3321475.63000000
0.053840290313
Long
ABS-CBDO
CORP
US
Y
2
2035-08-17
Fixed
4.65600000
N
N
N
N
N
N
GNMA P#AL2284 4% 03/15/45
N/A
GINNIE MAE I POOL P#AL2284 4.00000000
36183XRD4
1470636.86000000
NS
USD
1557923.66000000
0.025253553385
Long
ABS-MBS
USGSE
US
N
2
2045-03-15
Fixed
4.00000000
N
N
N
N
N
N
FARMERS EXCHANGE V/R 10/15/54
N/A
FARMERS EXCHANGE CAP III REGD V/R 144A P/P 5.45400000
30958QAA9
2960000.00000000
NS
USD
3408333.71000000
0.055248238094
Long
DBT
CORP
US
Y
2
2054-10-15
Variable
5.45400000
N
N
N
N
N
N
UMBS P#BE1919 3.5% 11/01/46
N/A
FANNIE MAE POOL UMBS P#BE1919 3.50000000
3140FMDZ6
1007878.61000000
NS
USD
1046808.74000000
0.016968508200
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.50000000
N
N
N
N
N
N
T/L BRIGHT HORI 0% 11/07/23
N/A
T/L BRIGHT HORIZONS FAMILY SOLUTIONS INC REGD 0.00000000
N/A
560830.39000000
NS
USD
566088.17000000
0.009176147836
Long
LON
CORP
US
N
2
2023-11-07
Fixed
0.00000000
N
N
N
N
N
N
BIOGEN INC 3.625% 09/15/22
W8J5WZB5IY3K0NDQT671
BIOGEN INC REGD 3.62500000
09062XAE3
3550000.00000000
NS
USD
3694965.14000000
0.059894461979
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
3.62500000
N
N
N
N
N
N
TPMT 2018-SJ1 XA V/R 10/25/58
N/A
TOWD POINT MORTGAGE TRUST 2018-SJ1 SER 2018-SJ1 CL XA V/R REGD 144A P/P 5.00000000
89176BAK2
3151568.77000000
NS
USD
3137863.54000000
0.050863984197
Long
ABS-CBDO
CORP
US
Y
2
2058-10-25
Variable
5.00000000
N
N
N
N
N
N
GNMA P#436753 7.5% 02/15/27
N/A
GINNIE MAE I POOL P#436753 7.50000000
36207NE26
8303.94000000
NS
USD
8998.06000000
0.000145856305
Long
ABS-MBS
USGSE
US
N
2
2027-02-15
Fixed
7.50000000
N
N
N
N
N
N
UMBS P#BD8705 3.5% 12/01/46
N/A
FANNIE MAE POOL UMBS P#BD8705 3.50000000
3140FGU72
3824967.36000000
NS
USD
3972760.50000000
0.064397455376
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
HEALTHCARE TRUST 3.5% 08/01/26
N/A
HEALTHCARE TRUST OF AMER REGD 3.50000000
42225UAD6
6805000.00000000
NS
USD
7103834.16000000
0.115151377314
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
3.50000000
N
N
N
N
N
N
VIRIBUS RE 2018 0% 12/31/21
N/A
VIRIBUS RE 2018 ZCP 0.00000000
N/A
1000000.00000000
NS
USD
55300.00000000
0.000896399186
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
GNMA II P#AM6677 3.5% 04/20/45
N/A
GINNIE MAE II POOL P#AM6677 3.50000000
36184XM22
486962.55000000
NS
USD
508923.19000000
0.008249517789
Long
ABS-MBS
USGSE
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#580873 6.5% 01/15/32
N/A
GINNIE MAE I POOL P#580873 6.50000000
36201EJS0
64495.61000000
NS
USD
73025.07000000
0.001183718144
Long
ABS-MBS
USGSE
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
CAS 2019-R03 1M2 V/R 09/25/31
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2019-R03 SER 2019-R03 CL 1M2 V/R REGD 144A P/P 3.94200000
20753MAF5
4480000.00000000
NS
USD
4513721.86000000
0.073166303898
Long
ABS-CBDO
CORP
US
Y
2
2031-09-25
Variable
3.94200000
N
N
N
N
N
N
STACR 2019-HQA1 V/R 02/25/49
N/A
FREDDIE MAC STACR TRUST 2019-HQA1 SER 2019-HQA1 CL B2 V/R REGD 144A P/P 14.04200000
35563MBE5
4350000.00000000
NS
USD
5933932.01000000
0.096187555685
Long
ABS-CBDO
CORP
US
Y
2
2049-02-25
Variable
14.04200000
N
N
N
N
N
N
GNMA P#486470 6.5% 08/15/28
N/A
GINNIE MAE I POOL P#486470 6.50000000
36210AMT1
4605.84000000
NS
USD
5080.81000000
0.000082358660
Long
ABS-MBS
USGSE
US
N
2
2028-08-15
Fixed
6.50000000
N
N
N
N
N
N
TPMT 2019-4 M1 V/R 10/25/59
N/A
TOWD POINT MORTGAGE TRUST 2019-4 SER 2019-4 CL M1 V/R REGD 144A P/P 3.50000000
89178BAC8
8000000.00000000
NS
USD
7915917.60000000
0.128315047032
Long
ABS-CBDO
CORP
US
Y
2
2059-10-25
Variable
3.50000000
N
N
N
N
N
N
TPMT 2019-4 A2 V/R 10/25/59
N/A
TOWD POINT MORTGAGE TRUST 2019-4 SER 2019-4 CL A2 V/R REGD 144A P/P 3.25000000
89178BAB0
20000000.00000000
NS
USD
20163888.00000000
0.326851587879
Long
ABS-CBDO
CORP
US
Y
2
2059-10-25
Variable
3.25000000
N
N
N
N
N
N
PROG 2018-SFR 4.873% 10/17/23
N/A
PROGRESS RESIDENTIAL 2018-SFR3 TRUST SER 2018-SFR3 CL E REGD 144A P/P 4.87300000
74331MAE6
5810000.00000000
NS
USD
5982897.47000000
0.096981273561
Long
ABS-CBDO
CORP
US
Y
2
2035-10-17
Fixed
4.87300000
N
N
N
N
N
N
HARAMBEE 2018 0.00% 12/31/21
N/A
HARAMBEE 2018 ZCP REGD /BNR3M5Y01/ 0.00000000
N/A
2000000.00000000
NS
USD
310200.00000000
0.005028264517
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
IBRD V/R 02/14/20
N/A
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT V/R SER GDIF 4.20988000
U4586FSJ7
1050000.00000000
NS
USD
1045170.00000000
0.016941944634
Long
DBT
USGA
US
Y
2
2020-02-14
Variable
4.20988000
N
N
N
N
N
N
GNMA P#722024 3.5% 01/15/44
N/A
GINNIE MAE I POOL P#722024 3.50000000
3620A8D59
710698.63000000
NS
USD
748824.80000000
0.012138262964
Long
ABS-MBS
USGSE
US
N
2
2044-01-15
Fixed
3.50000000
N
N
N
N
N
N
STACR 2018-DNA3 V/R 09/25/48
N/A
STACR TRUST 2018-DNA3 SER 2018-DNA3 CL M2 V/R REGD 144A P/P 3.89200000
35563WAH7
10870000.00000000
NS
USD
10956752.38000000
0.177606219266
Long
ABS-CBDO
CORP
US
Y
2
2048-09-25
Variable
3.89200000
N
N
N
N
N
N
GNMA P#486515 6% 09/15/28
N/A
GINNIE MAE I POOL P#486515 6.00000000
36210AN86
94926.27000000
NS
USD
105283.36000000
0.001706616967
Long
ABS-MBS
USGSE
US
N
2
2028-09-15
Fixed
6.00000000
N
N
N
N
N
N
CAELUS RE IV LTD V/R 03/06/20
N/A
CAELUS RE IV LTD REGD V/R 144A P/P 7.03483400
12765JAA6
1350000.00000000
NS
USD
1354860.00000000
0.021961942178
Long
DBT
CORP
KY
Y
2
2020-03-06
Variable
7.03483400
N
N
N
N
N
N
FGLMC P#Q47579 4% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47579 4.00000000
3132WMM50
1737833.14000000
NS
USD
1850853.07000000
0.030001865952
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#585345 6% 11/15/32
N/A
GINNIE MAE I POOL P#585345 6.00000000
36201KHW9
5931.54000000
NS
USD
6530.49000000
0.000105857611
Long
ABS-MBS
USGSE
US
N
2
2032-11-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#BE1933 3% 11/01/46
N/A
FANNIE MAE POOL UMBS P#BE1933 3.00000000
3140FMEF9
7820347.81000000
NS
USD
8009661.62000000
0.129834614181
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#BH3871 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#BH3871 4.00000000
3140GSJR4
4161189.76000000
NS
USD
4377968.77000000
0.070965780218
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#605047 4.5% 02/15/34
N/A
GINNIE MAE I POOL P#605047 4.50000000
36200NEU1
20750.55000000
NS
USD
22208.64000000
0.000359996507
Long
ABS-MBS
USGSE
US
N
2
2034-02-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AJ4051 4% 10/01/41
N/A
FANNIE MAE POOL UMBS P#AJ4051 4.00000000
3138AVQD0
1184888.13000000
NS
USD
1270801.48000000
0.020599374565
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.00000000
N
N
N
N
N
N
CREDIT SUISSE GROUP V/R /PERP/
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD V/R /PERP/ REG S 7.12500000
H3698DCA0
11725000.00000000
NS
USD
12619031.25000000
0.204551344540
Long
DBT
CORP
CH
N
2
2168-07-29
Variable
7.12500000
N
N
N
N
N
N
EVERGLADES RE II V/R 05/08/20
N/A
EVERGLADES RE II LTD REGD V/R 144A P/P 6.80481400
30014LAB0
3250000.00000000
NS
USD
3272750.00000000
0.053050460021
Long
DBT
CORP
BM
Y
2
2020-05-08
Variable
6.80481400
N
N
N
N
N
N
UMBS P#AS8491 3% 01/01/47
N/A
FANNIE MAE POOL UMBS P#AS8491 3.00000000
3138WJNH7
6479264.69000000
NS
USD
6704161.20000000
0.108672778464
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
NORDEA BANK ABP 4.25% 09/21/22
529900ODI3047E2LIV03
NORDEA BANK ABP REGD 144A P/P 4.25000000
65557FAD8
19200000.00000000
NS
USD
20158777.92000000
0.326768754758
Long
DBT
CORP
FI
Y
2
2022-09-21
Fixed
4.25000000
N
N
N
N
N
N
T/L BWAY HOLDING 0% 04/03/24
N/A
T/L BWAY HOLDING COMPANY REGD 0.00000000
N/A
498223.00000000
NS
USD
497366.55000000
0.008062187541
Long
LON
CORP
US
N
2
2024-04-03
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AQ7254 3% 12/01/42
N/A
FANNIE MAE POOL UMBS P#AQ7254 3.00000000
3138MPBY0
1061233.36000000
NS
USD
1093819.67000000
0.017730543632
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#AL6564 4% 02/01/45
N/A
FANNIE MAE POOL UMBS P#AL6564 4.00000000
3138EPJJ4
129229.30000000
NS
USD
137007.20000000
0.002220852489
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AO8107 3.5% 08/01/42
N/A
FANNIE MAE POOL UMBS P#AO8107 3.50000000
3138M0AH3
2413020.44000000
NS
USD
2543605.34000000
0.041231207211
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#470321 7% 05/15/29
N/A
GINNIE MAE I POOL P#470321 7.00000000
36209FPE3
19626.75000000
NS
USD
19952.99000000
0.000323432983
Long
ABS-MBS
USGSE
US
N
2
2029-05-15
Fixed
7.00000000
N
N
N
N
N
N
GSMBS 2019-PJ2 A V/R 11/25/49
N/A
GS MORTGAGE-BACKED SECURITIES CORP TRUST 201 SER 2019-PJ2 CL A4 V/R REGD 144A P/P 4.00000000
36257LAD9
8691635.00000000
NS
USD
8794987.23000000
0.142564546158
Long
ABS-CBDO
CORP
US
Y
2
2049-11-25
Variable
4.00000000
N
N
N
N
N
N
UMBS P#BH3541 3.5% 07/01/47
N/A
FANNIE MAE POOL UMBS P#BH3541 3.50000000
3140GR5B6
267375.20000000
NS
USD
278802.28000000
0.004519315318
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#J05452 7% 09/01/22
N/A
FREDDIE MAC GOLD POOL P#J05452 7.00000000
3128PHBV2
31861.69000000
NS
USD
32762.50000000
0.000531071941
Long
ABS-MBS
USGA
US
N
2
2022-09-01
Fixed
7.00000000
N
N
N
N
N
N
M360 2019-CRE2 A V/R 02/15/24
N/A
M360 2019-CRE2 LLC SER 2019-CRE2 CL A V/R REGD 144A P/P 3.13975000
55379VAA6
6000000.00000000
NS
USD
5999204.40000000
0.097245604823
Long
ABS-CBDO
CORP
KY
Y
2
2034-09-15
Variable
3.13975000
N
N
N
N
N
N
GNMA P#781231 7% 12/15/30
N/A
GINNIE MAE I POOL P#781231 7.00000000
36225BLL0
22831.48000000
NS
USD
26295.75000000
0.000426247539
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.00000000
N
N
N
N
N
N
SMITHFIELD FOOD 2.65% 10/03/21
N/A
SMITHFIELD FOODS INC REGD 144A P/P 2.65000000
832248BA5
2500000.00000000
NS
USD
2485557.13000000
0.040290260226
Long
DBT
CORP
US
Y
2
2021-10-03
Fixed
2.65000000
N
N
N
N
N
N
UMBS P#AS3161 4% 08/01/44
N/A
FANNIE MAE POOL UMBS P#AS3161 4.00000000
3138WCQP1
894101.04000000
NS
USD
947296.22000000
0.015355435107
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.00000000
N
N
N
N
N
N
T/L GOODYEAR TIRE 0% 3/03/25
N/A
T/L GOODYEAR TIRE AND RUBBER ZCP 0.00000000
38254BAZ1
1396666.67000000
NS
USD
1400158.34000000
0.022696216955
Long
LON
CORP
US
N
2
2025-03-03
Fixed
0.00000000
N
N
N
N
N
N
PNC BANK NA 2.7% 10/22/29
N/A
PNC BANK NA REGD SER BKNT 2.70000000
69349LAS7
6630000.00000000
NS
USD
6621840.79000000
0.107338385181
Long
DBT
CORP
US
N
2
2029-10-22
Fixed
2.70000000
N
N
N
N
N
N
IBRD V/R 07/15/20
N/A
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT V/R SER A 8.71263000
U4586DEL2
1700000.00000000
NS
USD
1703910.00000000
0.027619955491
Long
DBT
USGA
US
Y
2
2020-07-15
Variable
8.71263000
N
N
N
N
N
N
FCRT 2019-1 D 3.27% 06/16/25
N/A
FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2019-1 SER 2019-1 CL D REGD 144A P/P 3.27000000
35105RAF7
1750000.00000000
NS
USD
1769767.13000000
0.028687483119
Long
ABS-CBDO
CORP
US
Y
2
2025-06-16
Fixed
3.27000000
N
N
N
N
N
N
FINANCE AMER 2.0% 09/25/69
N/A
FINANCE AMER STRUCTURED SECS TR JR2 SER 2019-JR3 2.00000000
31739LAA4
21815766.09000000
NS
USD
21925165.61000000
0.355401457999
Long
ABS-CBDO
CORP
US
Y
2
2069-09-25
Fixed
2.00000000
N
N
N
N
N
N
T/L GO DADDY OPERA 0% 02/15/24
N/A
T/L GO DADDY OPERATING COMPANY LLC REGD 0.00000000
38017BAN6
898765.57000000
NS
USD
904782.81000000
0.014666303350
Long
LON
CORP
US
N
2
2024-02-15
Fixed
0.00000000
N
N
N
N
N
N
LLOYDS BANKING 4.65% 03/24/26
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC REGD 4.65000000
53944YAB9
8675000.00000000
NS
USD
9436660.49000000
0.152965909423
Long
DBT
CORP
GB
N
2
2026-03-24
Fixed
4.65000000
N
N
N
N
N
N
UNION PACIFIC 3.375% 02/01/35
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP REGD 3.37500000
907818EB0
13715000.00000000
NS
USD
14214599.46000000
0.230415106678
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.37500000
N
N
N
N
N
N
TYSON FOODS INC V/R 06/02/20
WD6L6041MNRW1JE49D58
TYSON FOODS INC REGD V/R 2.45688000
902494BB8
3075000.00000000
NS
USD
3079082.80000000
0.049911163084
Long
DBT
CORP
US
N
2
2020-06-02
Variable
2.45688000
N
N
N
N
N
N
TPMT 2017-2 B2 V/R 04/25/57
N/A
TOWD POINT MORTGAGE TRUST 2017-2 SER 2017-2 CL B2 V/R REGD 144A P/P 4.17765600
89173HAF3
8250000.00000000
NS
USD
8592749.55000000
0.139286323880
Long
ABS-CBDO
CORP
US
Y
2
2057-04-25
Variable
4.17765600
N
N
N
N
N
N
ARTEX SAC LIMITED 0% 12/31/21
N/A
ARTEX SAC LIMITED GULLANE RE 2018-1 REGD ZCP /BNR3MYKH6/ 0.00000000
N/A
2118314.00000000
NS
USD
1988043.49000000
0.032225688392
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
FCITL 2019-1A 3.63% 07/15/22
N/A
FCI FUNDING 2019-1 LLC SER 2019-1A CL A REGD 144A P/P 3.63000000
30259MAA4
1701335.39000000
NS
USD
1708544.29000000
0.027695076175
Long
ABS-CBDO
CORP
US
Y
2
2031-02-18
Fixed
3.63000000
N
N
N
N
N
N
GNMA P#719234 5% 07/15/40
N/A
GINNIE MAE I POOL P#719234 5.00000000
3620A5BB4
121022.34000000
NS
USD
134052.90000000
0.002172964024
Long
ABS-MBS
USGSE
US
N
2
2040-07-15
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#G08609 3.5% 10/01/44
N/A
FREDDIE MAC GOLD POOL P#G08609 3.50000000
3128MJVB3
1813137.94000000
NS
USD
1898608.65000000
0.030775971975
Long
ABS-MBS
USGA
US
N
2
2044-10-01
Fixed
3.50000000
N
N
N
N
N
N
SEMT 2013-8 A1 V/R 06/25/43
N/A
SEQUOIA MORTGAGE TRUST 2013-8 SER 2013-8 CL A1 V/R REGD 3.00000000
81745EAA7
9178506.97000000
NS
USD
9244252.62000000
0.149847025910
Long
ABS-CBDO
CORP
US
N
2
2043-06-25
Variable
3.00000000
N
N
N
N
N
N
GNMA P#510959 7.5% 06/15/29
N/A
GINNIE MAE I POOL P#510959 7.50000000
36211ETQ1
12953.60000000
NS
USD
14291.05000000
0.000231654350
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
7.50000000
N
N
N
N
N
N
UMBS P#AB5267 4% 05/01/42
N/A
FANNIE MAE POOL UMBS P#AB5267 4.00000000
31417BZ91
3630480.11000000
NS
USD
3882165.87000000
0.062928939052
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
AIB GROUP PLC V/R 04/10/25
N/A
AIB GROUP PLC REGD V/R 144A P/P MTN 4.26300000
00135TAB0
16040000.00000000
NS
USD
16991113.77000000
0.275421710116
Long
DBT
CORP
IE
Y
2
2025-04-10
Variable
4.26300000
N
N
N
N
N
N
GNMA P#486934 6% 02/15/29
N/A
GINNIE MAE I POOL P#486934 6.00000000
36210A4T1
43257.53000000
NS
USD
48759.69000000
0.000790382395
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
6.00000000
N
N
N
N
N
N
CFMT 2018-RM2 A V/R 10/25/23
N/A
CASCADE FUNDING MORTGAGE TRUST 2018-RM2 SER 2018-RM2 CL A V/R REGD 144A P/P 4.00000000
14727QAA3
3596883.56000000
NS
USD
3690289.95000000
0.059818678316
Long
ABS-CBDO
CORP
US
Y
2
2068-10-25
Variable
4.00000000
N
N
N
N
N
N
GNMA P#547671 7.5% 02/15/31
N/A
GINNIE MAE I POOL P#547671 7.50000000
36212YMU4
14025.88000000
NS
USD
14409.98000000
0.000233582176
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
7.50000000
N
N
N
N
N
N
FGLMC P#Q52189 3.5% 11/01/47
N/A
FREDDIE MAC GOLD POOL P#Q52189 3.50000000
3132XUNF8
4254622.08000000
NS
USD
4421543.33000000
0.071672112951
Long
ABS-MBS
USGA
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#717513 4% 05/15/39
N/A
GINNIE MAE I POOL P#717513 4.00000000
3620A3DS0
7179.40000000
NS
USD
7509.13000000
0.000121721121
Long
ABS-MBS
USGSE
US
N
2
2039-05-15
Fixed
4.00000000
N
N
N
N
N
N
AXIS 2018-1A C 3.74% 04/22/24
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES V LLC SER 2018-1A CL C REGD 144A P/P 3.74000000
03236TAC0
799999.52000000
NS
USD
810408.79000000
0.013136524059
Long
ABS-CBDO
CORP
US
Y
2
2024-04-22
Fixed
3.74000000
N
N
N
N
N
N
ARTEX SAC LIMITED 0% 06/15/20
N/A
ARTEX SAC LIMITED WALTON HEATH RE REGD ZCP /BNR3WZ6L9/ 0.00000000
N/A
553333.00000000
NS
USD
276666.50000000
0.004484694858
Long
DBT
CORP
BM
N
3
2020-06-15
Fixed
0.00000000
N
N
N
N
N
N
CRED SUIS GP FUN 3.8% 09/15/22
N/A
CRED SUIS GP FUN LTD REGD 3.80000000
225433AH4
7300000.00000000
NS
USD
7600372.37000000
0.123200137672
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
3.80000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 12/01/24
549300QS6XPZQHTCEJ97
SECTOR RE V LTD REGD ZCP P/P SER 9-C 0.00000000
81369ADB5
2000000.00000000
NS
USD
2010373.52000000
0.032587652601
Long
DBT
CORP
BM
N
3
2024-12-01
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#CA4160 3.5% 09/01/49
N/A
FANNIE MAE POOL UMBS P#CA4160 3.50000000
3140QBTS7
2823205.51000000
NS
USD
3004764.08000000
0.048706475197
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
HARAMBEE RE 2019 0.0% 12/31/22
N/A
HARAMBEE RE 2019 ZCP REGD /BNR48WAE2/ 0.00000000
N/A
5000000.00000000
NS
USD
5552500.00000000
0.090004638078
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#CA4147 3% 09/01/49
N/A
FANNIE MAE POOL UMBS P#CA4147 3.00000000
3140QBTD0
3889298.89000000
NS
USD
4024236.01000000
0.065231860535
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
MOTIVA ENTERPRI 5.75% 01/15/20
N/A
MOTIVA ENTERPRISES LLC REGD 144A P/P 5.75000000
61980AAC7
215000.00000000
NS
USD
215217.89000000
0.003488628239
Long
DBT
CORP
US
Y
2
2020-01-15
Fixed
5.75000000
N
N
N
N
N
N
UMBS P#CA1765 3.5% 12/01/47
N/A
FANNIE MAE POOL UMBS P#CA1765 3.50000000
3140Q86B6
13141339.13000000
NS
USD
13644546.37000000
0.221174688478
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
MID OCEAN RE 2019 0% 7/31/20
N/A
MID OCEAN RE 2019 ZCP /XILS00144055/ 0.00000000
N/A
1500000.00000000
NS
USD
1468043.31000000
0.023796615362
Long
DBT
CORP
BM
N
3
2020-07-31
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#AA8386 4% 03/15/44
N/A
GINNIE MAE I POOL P#AA8386 4.00000000
36178GJ70
2628725.29000000
NS
USD
2784593.45000000
0.045137564279
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#MA2276 2.5% 04/01/45
N/A
FANNIE MAE POOL UMBS P#MA2276 2.50000000
31418BQ66
195634.82000000
NS
USD
194691.33000000
0.003155897828
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#AS6395 3.5% 12/01/45
N/A
FANNIE MAE POOL UMBS P#AS6395 3.50000000
3138WGC93
2099851.90000000
NS
USD
2190254.41000000
0.035503476897
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
MMFL 2019-1 A V/R 01/28/24
N/A
MMFL RE-REMIC TRUST 2019-1 SER 2019-1 CL A V/R REGD 144A P/P 3.19200000
55316RAA1
2819052.63000000
NS
USD
2804190.30000000
0.045455224323
Long
ABS-CBDO
CORP
US
Y
2
2024-01-28
Variable
3.19200000
N
N
N
N
N
N
NEWFIELD EXPLO 5.375% 01/01/26
T8W3X1PFLPW2YE0UIP44
NEWFIELD EXPLORATION CO REGD 5.37500000
651290AR9
1770000.00000000
NS
USD
1919766.41000000
0.031118933980
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
5.37500000
N
N
N
N
N
N
JPMMT 2019-8 B2A V/R 03/25/43
N/A
JP MORGAN MORTGAGE TRUST 2019-8 SER 2019-8 CL B2A V/R REGD 144A P/P 3.25641800
46591KBR3
4984316.22000000
NS
USD
4898800.31000000
0.079408329386
Long
ABS-CBDO
CORP
US
Y
2
2050-03-25
Variable
3.25641800
N
N
N
N
N
N
GNMA P#605654 6% 08/15/34
N/A
GINNIE MAE I POOL P#605654 6.00000000
36200NZT1
24252.47000000
NS
USD
27690.43000000
0.000448854953
Long
ABS-MBS
USGSE
US
N
2
2034-08-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AW4182 3.5% 02/01/44
N/A
FANNIE MAE POOL UMBS P#AW4182 3.50000000
3138XTUG8
4087143.69000000
NS
USD
4290616.33000000
0.069549818985
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
3.50000000
N
N
N
N
N
N
DCP MIDSTREAM 5.375% 07/15/25
N/A
DCP MIDSTREAM OPERATING REGD 5.37500000
23311VAG2
3450000.00000000
NS
USD
3751875.00000000
0.060816956594
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.37500000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 03/01/23
549300QS6XPZQHTCEJ97
SECTOR RE V LTD REGD ZCP 144A P/P SER 144 0.00000000
81369ACP5
758.00000000
NS
USD
46358.04000000
0.000751452248
Long
DBT
CORP
BM
Y
3
2023-03-01
Fixed
0.00000000
N
N
N
N
N
N
TPMT 2019-HY2 XA V/R 05/25/58
N/A
TOWD POINT MORTGAGE TRUST 2019-HY2 SER 2019-HY2 CL XA V/R REGD 144A P/P 5.00000000
89177HAN2
10623419.56000000
NS
USD
10609028.01000000
0.171969694084
Long
ABS-CBDO
CORP
US
Y
2
2058-05-25
Variable
5.00000000
N
N
N
N
N
N
EDEN RE II LTD ZCP 03/22/23
549300LKX8PCP3SC3F42
EDEN RE II LTD REGD ZCP 144A P/P SER A 0.00000000
27954TAA3
600000.00000000
NS
USD
624240.00000000
0.010118774475
Long
DBT
CORP
BM
Y
2
2020-03-31
Fixed
0.00000000
N
N
N
N
N
N
CD 2018-CD7 A 4.013% 07/15/28
N/A
CD 2018-CD7 MORTGAGE TRUST SER 2018-CD7 CL A3 REGD 4.01300000
12512JAV6
3675000.00000000
NS
USD
4055996.81000000
0.065746695170
Long
ABS-CBDO
CORP
US
N
2
2051-08-15
Fixed
4.01300000
N
N
N
N
N
N
ALTURAS RE LTD 0% 9/12/23
N/A
ALTURAS RE LTD ZCP REGD 0.00000000
N/A
250000.00000000
NS
USD
272125.00000000
0.004411078277
Long
DBT
CORP
BM
N
2
2023-09-12
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#587115 6.5% 06/15/32
N/A
GINNIE MAE I POOL P#587115 6.50000000
36201MGY2
8828.53000000
NS
USD
9808.40000000
0.000158991714
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
TPMT 2019-SJ1 A1 V/R 01/25/22
N/A
TOWD POINT MORTGAGE TRUST 2019-SJ1 SER 2019-SJ1 CL A1 V/R REGD 144A P/P 3.75000000
89177RAA8
5022154.00000000
NS
USD
5052481.28000000
0.081899459523
Long
ABS-CBDO
CORP
US
Y
2
2058-11-25
Variable
3.75000000
N
N
N
N
N
N
UMBS P#BH1658 4% 04/01/47
N/A
FANNIE MAE POOL UMBS P#BH1658 4.00000000
3140GPZY7
2566965.03000000
NS
USD
2700316.09000000
0.043771449325
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#781129 7% 11/15/28
N/A
GINNIE MAE I POOL P#781129 7.00000000
36225BHE1
27649.90000000
NS
USD
31402.66000000
0.000509029274
Long
ABS-MBS
USGSE
US
N
2
2028-11-15
Fixed
7.00000000
N
N
N
N
N
N
FRESB 2018-SB52 V/R 06/25/25
N/A
FRESB 2018-SB52 MORTGAGE TRUST SER 2018-SB52 CL A7F V/R 3.39000000
30297CAG7
5384261.71000000
NS
USD
5599260.13000000
0.090762608106
Long
ABS-CBDO
CORP
US
N
2
2025-06-25
Variable
3.39000000
N
N
N
N
N
N
JPMCC 2018-BCON V/R 01/05/23
N/A
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SE SER 2018-BCON CL C V/R REGD 144A P/P 3.75570000
46590WAG3
5925000.00000000
NS
USD
6064779.05000000
0.098308553520
Long
ABS-CBDO
CORP
US
Y
2
2031-01-05
Variable
3.75570000
N
N
N
N
N
N
UMBS P#AS5299 2.5% 07/01/30
N/A
FANNIE MAE POOL UMBS P#AS5299 2.50000000
3138WE3H0
981552.75000000
NS
USD
995611.61000000
0.016138615511
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
JPMDB 2016-C4 3.141% 10/15/26
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C4 SER 2016-C4 CL A3 REGD 3.14130000
46646RAJ2
6650000.00000000
NS
USD
6904782.78000000
0.111924804164
Long
ABS-CBDO
CORP
US
N
2
2049-12-15
Fixed
3.14130000
N
N
N
N
N
N
GNMA P#750223 4.5% 06/15/41
N/A
GINNIE MAE I POOL P#750223 4.50000000
3620C6PG4
665221.28000000
NS
USD
723282.53000000
0.011724229147
Long
ABS-MBS
USGSE
US
N
2
2041-06-15
Fixed
4.50000000
N
N
N
N
N
N
TLF 2017-1A B 3.84% 11/15/20
N/A
TLF NATIONAL TAX LIEN TRUST 2017-1 SER 2017-1A CL B REGD 144A P/P 3.84000000
87272QAC4
362554.86000000
NS
USD
363689.69000000
0.005895319031
Long
ABS-CBDO
CORP
US
Y
2
2029-12-15
Fixed
3.84000000
N
N
N
N
N
N
LIMESTONE RE LTD ZCP 03/01/23
5493004PN8HGYC184A27
LIMESTONE RE LTD REGD ZCP 144A P/P SER B 0.00000000
G5488XAF7
1500000.00000000
NS
USD
1500150.00000000
0.024317056787
Long
DBT
CORP
BM
Y
3
2023-03-01
Fixed
0.00000000
N
N
N
N
N
N
ALEXANDRIA REAL 3.95% 01/15/27
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL ESTATE E REGD 3.95000000
015271AJ8
1350000.00000000
NS
USD
1453935.65000000
0.023567933717
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.95000000
N
N
N
N
N
N
JPMMT 2019-8 A15 V/R 03/25/42
N/A
JP MORGAN MORTGAGE TRUST 2019-8 SER 2019-8 CL A15 V/R REGD 144A P/P 3.50000000
46591KBE2
2428209.29000000
NS
USD
2455754.90000000
0.039807173522
Long
ABS-CBDO
CORP
US
Y
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
FGLMC P#G60397 4% 12/01/45
N/A
FREDDIE MAC GOLD POOL P#G60397 4.00000000
31335ANN4
3463652.08000000
NS
USD
3672377.54000000
0.059528322625
Long
ABS-MBS
USGA
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AQ0819 3.5% 12/01/42
N/A
FANNIE MAE POOL UMBS P#AQ0819 3.50000000
3138MF4D6
437345.00000000
NS
USD
465643.43000000
0.007547963690
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#CA3683 4.5% 06/01/49
N/A
FANNIE MAE POOL UMBS P#CA3683 4.50000000
3140QBCV8
430464.44000000
NS
USD
455572.71000000
0.007384719834
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
COMM 2014-UBS 3.546% 04/10/24
N/A
COMM 2014-UBS3 MORTGAGE TRUST SER 2014-UBS3 CL A3 REGD 3.54600000
12591YBB0
6268659.40000000
NS
USD
6567786.66000000
0.106462181235
Long
ABS-CBDO
CORP
US
N
2
2047-06-10
Fixed
3.54600000
N
N
N
N
N
N
GNMA P#462835 7% 07/15/28
N/A
GINNIE MAE I POOL P#462835 7.00000000
36208WEG4
10156.24000000
NS
USD
11163.97000000
0.000180965165
Long
ABS-MBS
USGSE
US
N
2
2028-07-15
Fixed
7.00000000
N
N
N
N
N
N
SHINY 2017-1A 5.927% 08/28/24
N/A
FOUR SEAS LP SER 2017-1A CL A2 REGD 144A P/P 5.92700000
35100LAB4
4200000.00000000
NS
USD
4205742.20000000
0.068174030538
Long
ABS-CBDO
CORP
CA
Y
2
2027-08-28
Fixed
5.92700000
N
N
N
N
N
N
A10 2019-B A1 3.085% 08/15/40
N/A
A10 BRIDGE ASSET FINANCING 2019-B LLC SER 2019-B CL A1 REGD 144A P/P 3.08500000
000299AA5
12500000.00000000
NS
USD
12420552.50000000
0.201334053579
Long
ABS-CBDO
CORP
US
Y
2
2040-08-15
Fixed
3.08500000
N
N
N
N
N
N
UMBS P#850968 6% 12/01/35
N/A
FANNIE MAE POOL UMBS P#850968 6.00000000
31408GMR5
146440.24000000
NS
USD
166866.96000000
0.002704871741
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
THERMO FISHER SCIE 3% 04/15/23
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC REGD 3.00000000
883556BN1
11200000.00000000
NS
USD
11516667.23000000
0.186682299128
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.00000000
N
N
N
N
N
N
KINDER MORGAN I 5.05% 02/15/46
549300WR7IX8XE0TBO16
KINDER MORGAN INC/DELAWA REGD 5.05000000
49456BAJ0
10830000.00000000
NS
USD
12153345.21000000
0.197002690152
Long
DBT
CORP
US
N
2
2046-02-15
Fixed
5.05000000
N
N
N
N
N
N
FNMA P#FN0001 3.771% 12/12/20
N/A
FANNIE MAE POOL UMBS P#FN0001 3.77100000
3138NJAB4
728535.74000000
NS
USD
737969.27000000
0.011962297534
Long
ABS-MBS
USGSE
US
N
2
2020-12-01
Fixed
3.77100000
N
N
N
N
N
N
T/L ASURION LLC 0% 11/03/24
N/A
T/L ASURION LLC ZCP REGD 0.00000000
N/A
3810097.20000000
NS
USD
3835499.12000000
0.062172482691
Long
LON
CORP
US
N
2
2024-11-03
Fixed
0.00000000
N
N
N
N
N
N
EDEN RE II LTD ZCP 03/22/22
N/A
EDEN RE II LTD REGD ZCP 144A P/P SER B 0.00000000
27954GAB9
185850.00000000
NS
USD
208263.51000000
0.003375899476
Long
ABS-CBDO
CORP
BM
Y
2
2022-03-22
Fixed
0.00000000
N
N
N
N
N
N
GNMA II P#1794 9% 03/20/22
N/A
GINNIE MAE II POOL P#1794 9.00000000
36202B7F6
1136.44000000
NS
USD
1139.57000000
0.000018472145
Long
ABS-MBS
USGSE
US
N
2
2022-03-20
Fixed
9.00000000
N
N
N
N
N
N
CSMC 2013-IVR3 B V/R 02/25/28
N/A
CSMC TRUST 2013-IVR3 SER 2013-IVR3 CL B4 V/R REGD 144A P/P 3.44596000
12646XAZ5
2410036.44000000
NS
USD
2349240.86000000
0.038080607539
Long
ABS-CBDO
CORP
US
Y
2
2043-05-25
Variable
3.44596000
N
N
N
N
N
N
UMBS P#AS1033 4.5% 11/01/43
N/A
FANNIE MAE POOL UMBS P#AS1033 4.50000000
3138WAEF0
377531.13000000
NS
USD
406271.53000000
0.006585560021
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
FGLMC P#A35525 6% 06/01/35
N/A
FREDDIE MAC GOLD POOL P#A35525 6.00000000
31297RD61
43446.82000000
NS
USD
47843.52000000
0.000775531508
Long
ABS-MBS
USGA
US
N
2
2035-06-01
Fixed
6.00000000
N
N
N
N
N
N
CSAIL 2016-C5 C V/R 11/15/25
N/A
CSAIL 2016-C5 COMMERCIAL MORTGAGE TRUST SER 2016-C5 CL C V/R REGD 4.57668400
12636LBE9
7120000.00000000
NS
USD
7560671.75000000
0.122556600538
Long
ABS-CBDO
CORP
US
N
2
2048-11-15
Variable
4.57668400
N
N
N
N
N
N
FGLMC P#C01623 5.5% 09/01/33
N/A
FREDDIE MAC GOLD POOL P#C01623 5.50000000
31292HYU2
126850.36000000
NS
USD
142533.10000000
0.002310425948
Long
ABS-MBS
USGA
US
N
2
2033-09-01
Fixed
5.50000000
N
N
N
N
N
N
OLIN CORP 5.625% 08/01/29
549300GKK294V7W57P06
OLIN CORP REGD 5.62500000
680665AL0
5650000.00000000
NS
USD
5967530.00000000
0.096732170711
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
5.62500000
N
N
N
N
N
N
AXA 8.6% 12/15/30
F5WCUMTUM4RKZ1MAIE39
AXA 8.6% 12/15/30 8.60000000
054536AA5
2335000.00000000
NS
USD
3392403.19000000
0.054990008344
Long
DBT
CORP
FR
N
2
2030-12-15
Fixed
8.60000000
N
N
N
N
N
N
GNMA P#552565 6.5% 05/15/32
N/A
GINNIE MAE I POOL P#552565 6.50000000
36213EZ66
3082.27000000
NS
USD
3400.12000000
0.000055115095
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
USAA CAPITAL CO 2.45% 08/01/20
N/A
USAA CAPITAL CORP REGD 144A P/P MTN 2.45000000
90327QCX5
11625000.00000000
NS
USD
11666570.88000000
0.189112199851
Long
DBT
CORP
US
Y
2
2020-08-01
Fixed
2.45000000
N
N
N
N
N
N
GNMA P#577909 6.5% 06/15/32
N/A
GINNIE MAE I POOL P#577909 6.50000000
36201BAJ5
9077.99000000
NS
USD
10014.14000000
0.000162326708
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#AB4525 4% 02/01/42
N/A
FANNIE MAE POOL UMBS P#AB4525 4.00000000
31417BA31
4894823.11000000
NS
USD
5240479.22000000
0.084946859172
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#AL1912 4% 01/15/45
N/A
GINNIE MAE I POOL P#AL1912 4.00000000
36183XDR8
1113183.51000000
NS
USD
1179235.73000000
0.019115116629
Long
ABS-MBS
USGSE
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#BJ9520 5% 06/01/49
N/A
FANNIE MAE POOL UMBS P#BJ9520 5.00000000
3140HBSJ8
1012821.20000000
NS
USD
1084407.47000000
0.017577974221
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA P#625185 6.5% 2/1/32
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #625185 6.50000000
31389KKP5
4117.96000000
NS
USD
4570.69000000
0.000074089743
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
6.50000000
N
N
N
N
N
N
T/L GENTIVA HEALTH 0% 07/02/25
N/A
T/L GENTIVA HEALTH SERVICES INC REGD 0.00000000
37249UAN6
396931.02000000
NS
USD
399535.68000000
0.006476373575
Long
LON
CORP
US
N
2
2025-07-02
Fixed
0.00000000
N
N
N
N
N
N
FREMF 2017-K66 B V/R 07/25/27
N/A
FREMF 2017-K66 MORTGAGE TRUST SER 2017-K66 CL B V/R 144A P/P 4.03531400
35708QAU7
2623000.00000000
NS
USD
2759268.26000000
0.044727049275
Long
ABS-CBDO
CORP
US
N
2
2027-07-25
Variable
4.03531400
N
N
N
N
N
N
GNMA P#595850 4.5% 09/15/35
N/A
GINNIE MAE I POOL P#595850 4.50000000
36200A5K1
5181.92000000
NS
USD
5519.99000000
0.000089477659
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
4.50000000
N
N
N
N
N
N
BSABS 2006-SD2 A V/R 06/25/36
N/A
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD2 SER 2006-SD2 CL A3 V/R REGD 2.28200000
07388EAK2
2059.09000000
NS
USD
2057.19000000
0.000033346536
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Variable
2.28200000
N
N
N
N
N
N
UMBS P#AD1155 4% 04/01/25
N/A
FANNIE MAE POOL UMBS P#AD1155 4.00000000
31418NH94
157003.10000000
NS
USD
163772.01000000
0.002654703374
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.00000000
N
N
N
N
N
N
CGCMT 2015-GC33 V/R 09/10/25
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC33 SER 2015-GC33 CL B V/R REGD 4.72473800
29425AAG8
6052000.00000000
NS
USD
6539071.62000000
0.105996717609
Long
ABS-CBDO
CORP
US
N
2
2058-09-10
Variable
4.72473800
N
N
N
N
N
N
UMBS P#AZ4750 3.5% 10/01/45
N/A
FANNIE MAE POOL UMBS P#AZ4750 3.50000000
3138YWH42
1228362.51000000
NS
USD
1288055.67000000
0.020879060676
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
CLEARWAY ENERGY 4.75% 03/15/28
N/A
CLEARWAY ENERGY OP LLC REGD 144A P/P 4.75000000
18539UAC9
1880000.00000000
NS
USD
1905850.00000000
0.030893352450
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
4.75000000
N
N
N
N
N
N
TPMT 2019-MH1 A1 V/R 11/25/58
N/A
TOWD POINT MORTGAGE TRUST 2019-MH1 SER 2019-MH1 CL A1 V/R REGD 144A P/P 3.00000000
89177WAA7
8337974.84000000
NS
USD
8376829.80000000
0.135786318666
Long
ABS-CBDO
CORP
US
Y
2
2058-11-25
Variable
3.00000000
N
N
N
N
N
N
FREMF 2019-KS12 V/R 08/25/29
N/A
FREMF 2019-KS12 MORTGAGE TRUST SER 2019-KS12 CL C V/R 8.70475000
30311XAC2
5000000.00000000
NS
USD
4737800.00000000
0.076798554577
Long
ABS-CBDO
CORP
US
N
2
2029-08-25
Variable
8.70475000
N
N
N
N
N
N
JPMMT 2018-3 B1 V/R 09/25/41
N/A
JP MORGAN MORTGAGE TRUST 2018-3 SER 2018-3 CL B1 V/R REGD 144A P/P 3.76225600
46649TAY2
3755673.89000000
NS
USD
3857198.39000000
0.062524222438
Long
ABS-CBDO
CORP
US
Y
2
2048-09-25
Variable
3.76225600
N
N
N
N
N
N
ARTEX SAC LTD V/R 03/31/20
N/A
ARTEX SAC LTD BANTRY RE 2017 REGD V/R /BNR4B8Q53/ 0.00000000
N/A
1500000.00000000
NS
USD
354150.00000000
0.005740683039
Long
DBT
CORP
BM
N
3
2020-03-31
Variable
0.00000000
N
N
N
N
N
N
FNMA P#603278 6.5% 9/1/31_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #603278__ 6.50000000
31388FFT5
2939.25000000
NS
USD
3262.39000000
0.000052882527
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
6.50000000
N
N
N
N
N
N
FGLMC P#C01095 7% 11/01/30
N/A
FREDDIE MAC GOLD POOL P#C01095 7.00000000
31292HGC2
1849.24000000
NS
USD
2099.94000000
0.000034039502
Long
ABS-MBS
USGA
US
N
2
2030-11-01
Fixed
7.00000000
N
N
N
N
N
N
KANE SAC - CARNOU V/R 11/30/20
N/A
KANE SAC - CARNOUSTIE 2016 N VARIABLE REGD /BNR27RJF6/ 0.00000000
N/A
3600000.00000000
NS
USD
97200.00000000
0.001575587721
Long
DBT
CORP
BM
N
3
2020-11-30
Variable
0.00000000
N
N
N
N
N
N
UMBS P#AX0382 4% 08/01/44
N/A
FANNIE MAE POOL UMBS P#AX0382 4.00000000
3138Y1M85
146883.65000000
NS
USD
155636.95000000
0.002522836084
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.00000000
N
N
N
N
N
N
HENDR 2005-1A A1 V/R 11/15/40
N/A
321 HENDERSON RECEIVABLES I LLC SER 2005-1A CL A1 V/R REGD 144A P/P 1.96975000
88576PAE3
613757.93000000
NS
USD
597676.98000000
0.009688194556
Long
ABS-CBDO
CORP
US
Y
2
2040-11-15
Variable
1.96975000
N
N
N
N
N
N
D.R. HORTON INC 2.5% 10/15/24
529900ZIUEYVSB8QDD25
D.R. HORTON INC REGD 2.50000000
23331ABM0
8711000.00000000
NS
USD
8721204.33000000
0.141368543778
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
2.50000000
N
N
N
N
N
N
SBIZ 2019-A B 3.42% 07/15/26
N/A
SMALL BUSINESS LENDING TRUST 2019-A SER 2019-A CL B REGD 144A P/P 3.42000000
831645AB2
1162000.00000000
NS
USD
1158378.39000000
0.018777024358
Long
ABS-CBDO
CORP
US
Y
2
2026-07-15
Fixed
3.42000000
N
N
N
N
N
N
UMBS P#AZ2086 3% 10/01/30
N/A
FANNIE MAE POOL UMBS P#AZ2086 3.00000000
3138YTJ88
2461656.31000000
NS
USD
2539192.53000000
0.041159676663
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
FGLMC P#G67700 3.5% 08/01/46
N/A
FREDDIE MAC GOLD POOL P#G67700 3.50000000
3132XCRV9
7389836.35000000
NS
USD
7823132.38000000
0.126811021792
Long
ABS-MBS
USGA
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#552754 6% 09/15/32
N/A
GINNIE MAE I POOL P#552754 6.00000000
36213FBX0
77800.66000000
NS
USD
85656.78000000
0.001388475008
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#AJ4208 4% 09/15/44
N/A
GINNIE MAE I POOL P#AJ4208 4.00000000
36182YU98
48009.27000000
NS
USD
50856.30000000
0.000824367919
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#2741 6.5% 04/20/29
N/A
GINNIE MAE II POOL P#2741 6.50000000
36202DBJ9
14982.76000000
NS
USD
16988.13000000
0.000275373343
Long
ABS-MBS
USGSE
US
N
2
2029-04-20
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#485857 6.5% 10/15/31
N/A
GINNIE MAE I POOL P#485857 6.50000000
36209YWS3
11815.16000000
NS
USD
13033.58000000
0.000211271076
Long
ABS-MBS
USGSE
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#595793 5.5% 07/15/35
N/A
GINNIE MAE I POOL P#595793 5.50000000
36200A3A5
263258.82000000
NS
USD
289245.99000000
0.004688605249
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#QA1146 4.5% 07/01/49
N/A
FREDDIE MAC POOL UMBS P#QA1146 4.50000000
31334XHX0
2178064.78000000
NS
USD
2298608.97000000
0.037259877249
Long
ABS-MBS
USGA
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA II P#MA4005 4% 10/20/46
N/A
GINNIE MAE II POOL P#MA4005 4.00000000
36179SNW3
4611855.48000000
NS
USD
4815786.66000000
0.078062698855
Long
ABS-MBS
USGSE
US
N
2
2046-10-20
Fixed
4.00000000
N
N
N
N
N
N
PPWR 2018-A A 3.34% 08/15/22
N/A
PURCHASING POWER FUNDING 2018-A LLC SER 2018-A CL A REGD 144A P/P 3.34000000
74614NAA0
2000000.00000000
NS
USD
2002937.40000000
0.032467114953
Long
ABS-CBDO
CORP
US
Y
2
2022-08-15
Fixed
3.34000000
N
N
N
N
N
N
BOMFT 2017-RT4 A V/R 07/28/57
N/A
BAYVIEW KOITERE FUND TRUST 2017-RT4 SER 2017-RT4 CL A V/R REGD 144A P/P 3.50000000
07332CAA5
4434942.46000000
NS
USD
4510936.53000000
0.073121154395
Long
ABS-CBDO
CORP
US
Y
2
2057-07-28
Variable
3.50000000
N
N
N
N
N
N
FGLMC P#G04942 6% 07/01/38
N/A
FREDDIE MAC GOLD POOL P#G04942 6.00000000
3128M6ZF8
52787.16000000
NS
USD
59307.38000000
0.000961357815
Long
ABS-MBS
USGA
US
N
2
2038-07-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#781635 6% 03/15/33
N/A
GINNIE MAE I POOL P#781635 6.00000000
36225BY85
70390.73000000
NS
USD
80387.47000000
0.001303060809
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
JPMMT 2019-LTV3 V/R 03/25/50
N/A
JP MORGAN MORTGAGE TRUST 2019-LTV3 SER 2019-LTV3 CL A15 V/R REGD 144A P/P 3.50000000
46651HBH9
5195362.44000000
NS
USD
5251700.95000000
0.085128760612
Long
ABS-CBDO
CORP
US
Y
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
ARTEX SAC FORM 0.0% 02/28/2020
N/A
ARTEX SAC LTD FORMBY RE 2018-1 REGD ZCP /BNR3X5JE6/ 0.00000000
N/A
1500000.00000000
NS
USD
475296.39000000
0.007704435760
Long
DBT
CORP
BM
N
3
2020-02-28
Fixed
0.00000000
N
N
N
N
N
N
CGCMT 2014-GC25 V/R 10/10/24
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC25 SER 2014-GC25 CL B V/R REGD 4.34500000
17322YAG5
6000000.00000000
NS
USD
6350413.20000000
0.102938611745
Long
ABS-CBDO
CORP
US
N
2
2047-10-10
Variable
4.34500000
N
N
N
N
N
N
GNMA P#315171 9% 06/15/22
N/A
GINNIE MAE I POOL P#315171 9.00000000
36223RCG8
966.29000000
NS
USD
978.48000000
0.000015860916
Long
ABS-MBS
USGSE
US
N
2
2022-06-15
Fixed
9.00000000
N
N
N
N
N
N
GNMA P#638331 5.5% 02/15/35
N/A
GINNIE MAE I POOL P#638331 5.50000000
36291UEC5
35008.60000000
NS
USD
37549.64000000
0.000608670285
Long
ABS-MBS
USGSE
US
N
2
2035-02-15
Fixed
5.50000000
N
N
N
N
N
N
FCITL 2019-1A B 0% 07/15/22
N/A
FCI FUNDING 2019-1 LLC SER 2019-1A CL B REGD 144A P/P 4.03000000
30259MAB2
2093951.24000000
NS
USD
2102856.81000000
0.034086783631
Long
ABS-CBDO
CORP
US
Y
2
2031-02-18
Fixed
4.03000000
N
N
N
N
N
N
GNMA P#563559 6.5% 04/15/32
N/A
GINNIE MAE I POOL P#563559 6.50000000
36213TB44
46739.28000000
NS
USD
53855.68000000
0.000872987120
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#558897 6.5% 08/15/32
N/A
GINNIE MAE I POOL P#558897 6.50000000
36213M3E6
3382.88000000
NS
USD
3737.73000000
0.000060587669
Long
ABS-MBS
USGSE
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#781300 7% 06/15/31
N/A
GINNIE MAE I POOL P#781300 7.00000000
36225BNR5
17184.32000000
NS
USD
20059.60000000
0.000325161105
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
7.00000000
N
N
N
N
N
N
UMBS P#MA2596 3% 04/01/31
N/A
FANNIE MAE POOL UMBS P#MA2596 3.00000000
31418B3E4
950113.24000000
NS
USD
978210.11000000
0.015856541542
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
3.00000000
N
N
N
N
N
N
GALILEI RE LTD V/R 01/08/21
N/A
GALILEI RE LTD REGD V/R P/P SER ___ 7.23063000
363543AJ8
1200000.00000000
NS
USD
1195200.00000000
0.019373893459
Long
DBT
CORP
BM
Y
2
2021-01-08
Variable
7.23063000
N
N
N
N
N
N
STACR 2016-DNA4 V/R 03/25/29
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES SER 2016-DNA4 CL M2 V/R REGD 3.09200000
3137G0LH0
1151461.23000000
NS
USD
1153762.43000000
0.018702200799
Long
ABS-CBDO
CORP
US
N
2
2029-03-25
Variable
3.09200000
N
N
N
N
N
N
GNMA P#AE8233 4% 03/15/44
N/A
GINNIE MAE I POOL P#AE8233 4.00000000
36181CEE4
77233.26000000
NS
USD
81053.68000000
0.001313859906
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AS4728 3.5% 04/01/45
N/A
FANNIE MAE POOL UMBS P#AS4728 3.50000000
3138WEHE2
1357011.18000000
NS
USD
1429725.32000000
0.023175490315
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.50000000
N
N
N
N
N
N
GSMS 2015-GC2 3.396% 01/10/25
N/A
GS MORTGAGE SECURITIES TRUST 2015-GC28 SER 2015-GC28 CL A5 REGD 3.39600000
36251FAW6
6500000.00000000
NS
USD
6793921.55000000
0.110127771317
Long
ABS-CBDO
CORP
US
N
2
2048-02-10
Fixed
3.39600000
N
N
N
N
N
N
MSC 2018-MP A 4.418% 07/11/28
N/A
MORGAN STANLEY CAPITAL I TRUST 2018-MP SER 2018-MP CL A REGD 144A P/P 4.41800000
61691DAA5
6900000.00000000
NS
USD
7723426.68000000
0.125194817300
Long
ABS-CBDO
CORP
US
Y
2
2040-07-11
Fixed
4.41800000
N
N
N
N
N
N
T/L SINCLAIR TELE 0% 9/30/26
N/A
T/L SINCLAIR TELEVISION GROUP INC REGD 0.00000000
N/A
1820437.50000000
NS
USD
1829255.70000000
0.029651777979
Long
LON
CORP
US
N
2
2026-09-30
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AK8257 4% 04/01/42
N/A
FANNIE MAE POOL UMBS P#AK8257 4.00000000
3138EDE72
1880783.91000000
NS
USD
2012788.74000000
0.032626802714
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
TARGA RESOURCES PA 5% 01/15/28
N/A
TARGA RESOURCES PARTNERS REGD 5.00000000
87612BBG6
2713000.00000000
NS
USD
2767260.00000000
0.044856593384
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#738538 4% 07/15/41
N/A
GINNIE MAE I POOL P#738538 4.00000000
3620ASPX1
100166.68000000
NS
USD
106653.40000000
0.001728824973
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#2702 7% 01/20/29
N/A
GINNIE MAE II POOL P#2702 7.00000000
36202DAB7
45237.36000000
NS
USD
51685.49000000
0.000837808882
Long
ABS-MBS
USGSE
US
N
2
2029-01-20
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#588138 6% 12/15/32
N/A
GINNIE MAE I POOL P#588138 6.00000000
36201NLT5
7853.72000000
NS
USD
8736.55000000
0.000141617293
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
BAYER US FINANC 4.25% 12/15/25
N/A
BAYER US FINANCE II LLC REGD 144A P/P 4.25000000
07274NAJ2
4900000.00000000
NS
USD
5288325.39000000
0.085722433636
Long
DBT
CORP
US
Y
2
2025-12-15
Fixed
4.25000000
N
N
N
N
N
N
UMBS P#BH7765 3.5% 08/01/47
N/A
FANNIE MAE POOL UMBS P#BH7765 3.50000000
3140GWTX1
1140244.96000000
NS
USD
1183876.67000000
0.019190345108
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
PROG 2017-SFR 3.565% 08/17/22
N/A
PROGRESS RESIDENTIAL 2017-SFR1 TRUST SER 2017-SFR1 CL D REGD 144A P/P 3.56500000
74333JAK7
700000.00000000
NS
USD
704322.36000000
0.011416889527
Long
ABS-CBDO
CORP
US
Y
2
2034-08-17
Fixed
3.56500000
N
N
N
N
N
N
JBS USA/FOOD/FIN 5.5% 01/15/30
N/A
JBS USA/FOOD/FINANCE REGD 144A P/P 5.50000000
46590XAB2
6250000.00000000
NS
USD
6713125.00000000
0.108818079423
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#AO4968 4% 06/01/42
N/A
FANNIE MAE POOL UMBS P#AO4968 4.00000000
3138LVQW6
79491.87000000
NS
USD
85071.87000000
0.001378993763
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#1539 6.5% 01/20/24
N/A
GINNIE MAE II POOL P#1539 6.50000000
36202BV85
9864.61000000
NS
USD
10258.10000000
0.000166281238
Long
ABS-MBS
USGSE
US
N
2
2024-01-20
Fixed
6.50000000
N
N
N
N
N
N
PENSKE TRUCK LEA 2.7% 03/14/23
N/A
PENSKE TRUCK LEASING/PTL REGD 144A P/P 2.70000000
709599AY0
6623000.00000000
NS
USD
6694103.53000000
0.108509746146
Long
DBT
CORP
US
Y
2
2023-03-14
Fixed
2.70000000
N
N
N
N
N
N
UMBS P#255581 6% 02/01/35
N/A
FANNIE MAE POOL UMBS P#255581 6.00000000
31371L2N8
2486.19000000
NS
USD
2847.07000000
0.000046150293
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
6.00000000
N
N
N
N
N
N
T/L ALLNEX USA 0% 09/13/23
N/A
T/L ALLNEX USA INC REGD 0.00000000
N/A
0.02000000
NS
USD
0.02000000
0.000000000324
Long
LON
CORP
US
N
2
2023-09-13
Fixed
0.00000000
N
N
N
N
N
N
CGCMT 2019-SM 4.149% 01/10/24
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-SMRT SER 2019-SMRT CL A REGD 144A P/P 4.14900000
29429MAA1
7700000.00000000
NS
USD
8178280.11000000
0.132567877785
Long
ABS-CBDO
CORP
US
Y
2
2036-01-10
Fixed
4.14900000
N
N
N
N
N
N
FNMA P899044 5.00% 02/01/22
N/A
FNMA P899044 5.00% 02/01/22 5.00000000
31410VZH6
2666.74000000
NS
USD
2759.35000000
0.000044728374
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
5.00000000
N
N
N
N
N
N
WIN 2014-2 B4 V/R 10/20/36
N/A
WINWATER MORTGAGE LOAN TRUST 2014-2 SER 2014-2 CL B4 V/R REGD 144A P/P 4.09351700
97652QBM0
2727759.25000000
NS
USD
2761177.85000000
0.044758003252
Long
ABS-CBDO
CORP
US
Y
2
2044-09-20
Variable
4.09351700
N
N
N
N
N
N
T/L GARDA WORLD 0% 05/24/24
N/A
T/L GARDA WORLD SECURITY CORPORATION 0.00000000
C3602DAP9
0.01000000
NS
USD
0.01000000
0.000000000162
Long
LON
CORP
CA
N
2
2024-05-24
Fixed
0.00000000
N
N
N
N
N
N
MPLX LP 4.875% 12/01/24
N/A
MPLX LP REGD SER WI 4.87500000
55336VAG5
3875000.00000000
NS
USD
4212873.92000000
0.068289633937
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
4.87500000
N
N
N
N
N
N
EMIR 2019-1 M1B V/R 04/25/29
N/A
EAGLE RE 2019-1 LTD SER 2019-1 CL M1B V/R REGD 144A P/P 3.59200000
269822AB8
11100000.00000000
NS
USD
11115579.96000000
0.180180774666
Long
ABS-CBDO
CORP
US
Y
2
2029-04-25
Variable
3.59200000
N
N
N
N
N
N
UMBS P#AX4547 4% 01/01/45
N/A
FANNIE MAE POOL UMBS P#AX4547 4.00000000
3138Y6BR4
170228.68000000
NS
USD
180390.01000000
0.002924077003
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#BE9355 3% 03/01/47
N/A
FANNIE MAE POOL UMBS P#BE9355 3.00000000
3140FVMD5
2491061.12000000
NS
USD
2551332.09000000
0.041356455898
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA P#436194 6.5% 02/15/28
N/A
GINNIE MAE I POOL P#436194 6.50000000
36207MRP3
1405.89000000
NS
USD
1550.87000000
0.000025139215
Long
ABS-MBS
USGSE
US
N
2
2028-02-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#AS1334 4.5% 12/01/43
N/A
FANNIE MAE POOL UMBS P#AS1334 4.50000000
3138WAPU5
4921165.80000000
NS
USD
5294963.33000000
0.085830032986
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#BJ5108 3.5% 12/01/47
N/A
FANNIE MAE POOL UMBS P#BJ5108 3.50000000
3140H6VA4
11028239.58000000
NS
USD
11453090.49000000
0.185651736053
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#590490 6% 09/15/32
N/A
GINNIE MAE I POOL P#590490 6.00000000
36201Q7B3
48991.53000000
NS
USD
54332.53000000
0.000880716739
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#780189 7% 07/15/25
N/A
GINNIE MAE I POOL P#780189 7.00000000
36225AF62
10804.77000000
NS
USD
11514.79000000
0.000186651869
Long
ABS-MBS
USGSE
US
N
2
2025-07-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#780742 7% 09/15/24
N/A
GINNIE MAE I POOL P#780742 7.00000000
36225AZF0
30243.51000000
NS
USD
32462.44000000
0.000526208043
Long
ABS-MBS
USGSE
US
N
2
2024-09-15
Fixed
7.00000000
N
N
N
N
N
N
UMBS P#AL2693 4% 08/01/42
N/A
FANNIE MAE POOL UMBS P#AL2693 4.00000000
3138EJ7F9
5674444.60000000
NS
USD
6077964.40000000
0.098522284750
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#MA3194 3.5% 10/01/47
N/A
FANNIE MAE POOL UMBS P#MA3194 3.50000000
31418CRQ9
152344.43000000
NS
USD
159402.95000000
0.002583882003
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#C01375 6.5% 07/01/32
N/A
FREDDIE MAC GOLD POOL P#C01375 6.50000000
31292HQ49
7275.86000000
NS
USD
8199.81000000
0.000132916871
Long
ABS-MBS
USGA
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
CWALT 2003-14T1 V/R 08/25/18
N/A
ALTERNATIVE LOAN TRUST 2003-14T1 SER 2003-14T1 CL A9 V/R REGD 2.24200000
12669ETX4
16492.02000000
NS
USD
16492.02000000
0.000267331524
Long
ABS-CBDO
CORP
US
N
2
2020-06-30
Variable
2.24200000
N
N
N
N
N
N
T/L RACKSPACE HOST 0% 11/03/23
N/A
T/L RACKSPACE HOSTING INC REGD 0.00000000
N/A
458254.48000000
NS
USD
449089.39000000
0.007279626836
Long
LON
CORP
US
N
2
2023-11-03
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#553320 6% 06/15/33
N/A
GINNIE MAE I POOL P#553320 6.00000000
36213FVM2
6697.10000000
NS
USD
7641.16000000
0.000123861294
Long
ABS-MBS
USGSE
US
N
2
2033-06-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA P#535812 7% 04/01/31_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #535812__ 7.00000000
31384WGV6
4396.55000000
NS
USD
5055.45000000
0.000081947581
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
7.00000000
N
N
N
N
N
N
FARMERS INS EXCH V/R 11/01/57
549300UWG2TLX1GZVT44
FARMERS INS EXCH REGD V/R 144A P/P 4.74700000
309601AE2
9610000.00000000
NS
USD
10033416.60000000
0.162639176906
Long
DBT
CORP
US
Y
2
2057-11-01
Variable
4.74700000
N
N
N
N
N
N
GNMA P#569158 6% 03/15/32
N/A
GINNIE MAE I POOL P#569158 6.00000000
36200QJB1
906.36000000
NS
USD
1032.08000000
0.000016729759
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
6.00000000
N
N
N
N
N
N
T/L WESTERN DIGITA 0% 04/29/23
N/A
T/L WESTERN DIGITAL CORPORATION REGD 0.00000000
N/A
4151147.54000000
NS
USD
4177939.05000000
0.067723348421
Long
LON
CORP
US
N
2
2023-04-29
Fixed
0.00000000
N
N
N
N
N
N
AXIS 2019-1A E 4.47% 03/20/25
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES VII LLC SER 2019-1A CL E REGD 144A P/P 4.47000000
03237MAF7
2676000.00000000
NS
USD
2684226.29000000
0.043510637686
Long
ABS-CBDO
CORP
US
Y
2
2025-03-20
Fixed
4.47000000
N
N
N
N
N
N
UMBS P#AW5063 4% 07/01/44
N/A
FANNIE MAE POOL UMBS P#AW5063 4.00000000
3138XUTV4
3796847.58000000
NS
USD
4022719.16000000
0.065207272775
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#BF0291 3.5% 11/01/41
N/A
FANNIE MAE POOL UMBS P#BF0291 3.50000000
3140FXKD3
3382061.27000000
NS
USD
3536512.23000000
0.057325979886
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#BN9610 3.5% 04/01/49
N/A
FANNIE MAE POOL UMBS P#BN9610 3.50000000
3140JSVC0
479690.19000000
NS
USD
490369.72000000
0.007948770675
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
3.50000000
N
N
N
N
N
N
SEMT 2019-CH3 A1 V/R 09/25/49
N/A
SEQUOIA MORTGAGE TRUST 2019-CH3 SER 2019-CH3 CL A1 V/R REGD 144A P/P 4.00000000
81748GAA9
18549241.83000000
NS
USD
18908967.28000000
0.306509636465
Long
ABS-CBDO
CORP
US
Y
2
2049-09-25
Variable
4.00000000
N
N
N
N
N
N
FREEPORT-MCMORA 5.45% 03/15/43
549300IRDTHJQ1PVET45
FREEPORT-MCMORAN INC REGD SER WI 5.45000000
35671DBC8
6453000.00000000
NS
USD
6678855.00000000
0.108262571284
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
GSFMT 2019-AA 4.68% 02/20/21
N/A
GENESIS SALES FINANCE MASTER TRUST SERIES 2019-A SER 2019-AA CL A REGD 144A P/P 4.68000000
37186XAA3
5080000.00000000
NS
USD
5171118.94000000
0.083822546358
Long
ABS-CBDO
CORP
US
Y
2
2023-08-20
Fixed
4.68000000
N
N
N
N
N
N
LIBERTY MUTUAL 7.697% 10/15/97
N/A
LIBERTY MUTUAL INSURANCE REGD 144A P/P 7.69700000
53079QAD9
18482000.00000000
NS
USD
26323482.89000000
0.426697082482
Long
DBT
CORP
US
Y
2
2097-10-15
Fixed
7.69700000
N
N
N
N
N
N
FGLMC P#Q40718 3.5% 05/01/46
N/A
FREDDIE MAC GOLD POOL P#Q40718 3.50000000
3132WDYQ1
5003516.71000000
NS
USD
5211357.24000000
0.084474799150
Long
ABS-MBS
USGA
US
N
2
2046-05-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#SD8028 5% 10/01/49
N/A
FREDDIE MAC POOL UMBS P#SD8028 5.00000000
3132DV4M4
10761295.79000000
NS
USD
11527028.49000000
0.186850252564
Long
ABS-MBS
USGA
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AX9656 2.5% 04/01/45
N/A
FANNIE MAE POOL UMBS P#AX9656 2.50000000
3138YBWS8
517455.98000000
NS
USD
514959.95000000
0.008347372161
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
WLAKE 2018-3A E 4.9% 12/15/23
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2018-3 SER 2018-3A CL E REGD 144A P/P 4.90000000
96042GAN2
3870000.00000000
NS
USD
3992305.93000000
0.064714281914
Long
ABS-CBDO
CORP
US
Y
2
2023-12-15
Fixed
4.90000000
N
N
N
N
N
N
G2SF 30 YR TBA 4% JAN 19
N/A
G2SF 30 YR TBA 4% JAN 19 TO BE ANNOUNCED 4.00000000
21H040616
12385000.00000000
NS
USD
12818475.12000000
0.207784279855
Long
ABS-MBS
USGA
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
MERITAGE HOMES COR 6% 06/01/25
52990044W9UMFJO2FB97
MERITAGE HOMES CORP REGD SER WI 6.00000000
59001AAY8
4320000.00000000
NS
USD
4827600.00000000
0.078254190146
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#BJ5114 4% 12/01/47
N/A
FANNIE MAE POOL UMBS P#BJ5114 4.00000000
3140H6VG1
5449687.12000000
NS
USD
5718299.53000000
0.092692207046
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
TPMT 2018-1 B1 V/R 05/25/28
N/A
TOWD POINT MORTGAGE TRUST 2018-1 SER 2018-1 CL B1 V/R REGD 144A P/P 4.02588000
89176EAE0
5161000.00000000
NS
USD
5272154.01000000
0.085460299606
Long
ABS-CBDO
CORP
US
Y
2
2058-01-25
Variable
4.02588000
N
N
N
N
N
N
NY STATE ELECTRI 3.3% 09/15/49
N/A
NY STATE ELECTRIC & GAS REGD 144A P/P 3.30000000
649840CR4
6574000.00000000
NS
USD
6298833.59000000
0.102102519150
Long
DBT
CORP
US
Y
2
2049-09-15
Fixed
3.30000000
N
N
N
N
N
N
SEMT 2013-6 A1 V/R 05/25/43
N/A
SEQUOIA MORTGAGE TRUST 2013-6 SER 2013-6 CL A1 V/R REGD 2.50000000
81745BAA3
6559708.44000000
NS
USD
6419757.72000000
0.104062669093
Long
ABS-CBDO
CORP
US
N
2
2043-05-25
Variable
2.50000000
N
N
N
N
N
N
SUNOCO LOGISTIC 5.35% 05/15/45
N/A
SUNOCO LOGISTICS PARTNER REGD 5.35000000
86765BAQ2
6730000.00000000
NS
USD
7237743.44000000
0.117322013295
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
5.35000000
N
N
N
N
N
N
GNMA P#583941 6.5% 06/15/32
N/A
GINNIE MAE I POOL P#583941 6.50000000
36201HWA7
8114.35000000
NS
USD
8951.13000000
0.000145095581
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
ANTHEM INC 3.35% 12/01/24
8MYN82XMYQH89CTMTH67
ANTHEM INC REGD 3.35000000
036752AC7
6585000.00000000
NS
USD
6873640.63000000
0.111419997692
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
3.35000000
N
N
N
N
N
N
FGLMC P#Q53735 3.5% 01/01/48
N/A
FREDDIE MAC GOLD POOL P#Q53735 3.50000000
3132XWEH0
3029672.89000000
NS
USD
3150983.05000000
0.051076648177
Long
ABS-MBS
USGA
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
EQT CORP 3.9% 10/01/27
4NT01YGM4X7ZX86ISY52
EQT CORP REGD 3.90000000
26884LAF6
14000000.00000000
NS
USD
13025628.98000000
0.211142192182
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
EXTNT 2019-1A 5.219% 07/25/24
N/A
EXTENET LLC 2019-1 SER 2019-1A CL C REGD 144A P/P 5.21900000
30227XAC5
4000000.00000000
NS
USD
4018356.80000000
0.065136560009
Long
ABS-CBDO
CORP
US
Y
2
2049-07-26
Fixed
5.21900000
N
N
N
N
N
N
TPMT 2018-3 M2 V/R 05/25/58
N/A
TOWD POINT MORTGAGE TRUST 2018-3 SER 2018-3 CL M2 V/R REGD 144A P/P 3.87500000
89175MAF0
16185000.00000000
NS
USD
16461193.79000000
0.266831839605
Long
ABS-CBDO
CORP
US
Y
2
2058-05-25
Variable
3.87500000
N
N
N
N
N
N
GNMA II P#AR0817 3.5% 03/20/46
N/A
GINNIE MAE II POOL P#AR0817 3.50000000
36192S4A5
1319639.74000000
NS
USD
1397823.54000000
0.022658370430
Long
ABS-MBS
USGSE
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
FNMA P#603281 6.5% 9/1/31__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #603281_ 6.50000000
31388FFW8
2647.90000000
NS
USD
2939.01000000
0.000047640617
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#419795 5.9% 04/01/28
N/A
FANNIE MAE POOL UMBS P#419795 5.90000000
31379HKG4
64555.54000000
NS
USD
66226.55000000
0.001073515833
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
5.90000000
N
N
N
N
N
N
FGLMC P#Q30509 4% 12/01/44
N/A
FREDDIE MAC GOLD POOL P#Q30509 4.00000000
3132QLR70
1228979.04000000
NS
USD
1303043.25000000
0.021122005604
Long
ABS-MBS
USGA
US
N
2
2044-12-01
Fixed
4.00000000
N
N
N
N
N
N
MCMLT 2019-1 A1 V/R 10/25/69
N/A
MILL CITY MORTGAGE LOAN TRUST 2019-1 SER 2019-1 CL A1 V/R REGD 144A P/P 3.25000000
59981AAC0
8992634.09000000
NS
USD
9158714.55000000
0.148460475162
Long
ABS-CBDO
CORP
US
Y
2
2069-10-25
Variable
3.25000000
N
N
N
N
N
N
HENDR 2008-1A 8.37% 01/15/28
N/A
321 HENDERSON RECEIVABLES III LLC SER 2008-1A CL B REGD 144A P/P 8.37000000
88576RAB5
500000.00000000
NS
USD
614377.55000000
0.009958906624
Long
ABS-CBDO
CORP
US
Y
2
2046-01-15
Fixed
8.37000000
N
N
N
N
N
N
UMBS P#AT2668 2.5% 04/01/43
N/A
FANNIE MAE POOL UMBS P#AT2668 2.50000000
3138WP6E9
115826.83000000
NS
USD
115268.35000000
0.001868471161
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
2.50000000
N
N
N
N
N
N
ARTEX SAC LTD V/R 02/01/20
N/A
ARTEX SAC LTD DINGLE RE 2019 REGD V/R /BNR4CDDZ9/ 0.00000000
N/A
600000.00000000
NS
USD
612315.35000000
0.009925478877
Long
DBT
CORP
BM
N
3
2020-02-01
Variable
0.00000000
N
N
N
N
N
N
ESSEX PORTFOLI 3.625% 05/01/27
N/A
ESSEX PORTFOLIO LP REGD 3.62500000
29717PAR8
1480000.00000000
NS
USD
1561648.52000000
0.025313932435
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.62500000
N
N
N
N
N
N
SCFET 2019-2A 3.11% 06/21/27
N/A
SCF EQUIPMENT LEASING 2019-2 LLC SER 2019-2A CL C REGD 144A P/P 3.11000000
784034AD2
7350000.00000000
NS
USD
7340703.72000000
0.118990973716
Long
ABS-CBDO
CORP
US
Y
2
2027-06-21
Fixed
3.11000000
N
N
N
N
N
N
FGLMC P#A22766 5.5% 11/01/34
N/A
FREDDIE MAC GOLD POOL P#A22766 5.50000000
31297ACB8
5236.47000000
NS
USD
5635.65000000
0.000091352478
Long
ABS-MBS
USGA
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
PANTHERA RE LTD V/R 03/09/20
549300U8MTF2MH3SIL61
PANTHERA RE LTD REGD V/R P/P SER 2018 5.07481400
G69020AA6
1250000.00000000
NS
USD
1267875.00000000
0.020551937056
Long
DBT
CORP
BM
N
3
2020-03-09
Variable
5.07481400
N
N
N
N
N
N
UMBS P#AH0351 4.5% 02/01/41
N/A
FANNIE MAE POOL UMBS P#AH0351 4.50000000
3138A1L90
425390.03000000
NS
USD
456237.80000000
0.007395500777
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
HNGRY 2018-1A 4.959% 06/20/25
N/A
HARDEE'S FUNDING LLC SER 2018-1A CL A2II REGD 144A P/P 4.95900000
411707AD4
4833812.50000000
NS
USD
4947987.15000000
0.080205635777
Long
ABS-CBDO
CORP
US
Y
2
2048-06-20
Fixed
4.95900000
N
N
N
N
N
N
GNMA P#592769 6% 05/15/33
N/A
GINNIE MAE I POOL P#592769 6.00000000
36201TQW0
97455.74000000
NS
USD
109051.35000000
0.001767695144
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AK7568 4% 07/01/42
N/A
FANNIE MAE POOL UMBS P#AK7568 4.00000000
3138ECMS9
123364.23000000
NS
USD
131976.40000000
0.002139304478
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#G08620 3.5% 12/01/44
N/A
FREDDIE MAC GOLD POOL P#G08620 3.50000000
3128MJVN7
4774677.87000000
NS
USD
4995504.38000000
0.080975878206
Long
ABS-MBS
USGA
US
N
2
2044-12-01
Fixed
3.50000000
N
N
N
N
N
N
NRZT 2019-RPL2 A V/R 02/25/59
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL2 SER 2019-RPL2 CL A1 V/R REGD 144A P/P 3.25000000
64830HAA2
13261508.19000000
NS
USD
13480995.43000000
0.218523568593
Long
ABS-CBDO
CORP
US
Y
2
2059-02-25
Variable
3.25000000
N
N
N
N
N
N
CAS 2018-C03 1M2 V/R 10/25/30
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C03 CL 1M2 V/R REGD 3.94200000
30711XJ70
13220000.00000000
NS
USD
13321339.23000000
0.215935581471
Long
ABS-CBDO
CORP
US
N
2
2030-10-25
Variable
3.94200000
N
N
N
N
N
N
LIMESTONE RE LTD ZCP 03/01/24
5493004PN8HGYC184A27
LIMESTONE RE LTD REGD ZCP 144A P/P SER A 0.00000000
G5488XAJ9
1420000.00000000
NS
USD
1420000.00000000
0.023017845307
Long
DBT
CORP
BM
Y
3
2024-03-01
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#Q47850 4% 05/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47850 4.00000000
3132WMWL4
8915281.90000000
NS
USD
9321699.02000000
0.151102412710
Long
ABS-MBS
USGA
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
T/L CIENA CORPORAT 0% 09/26/25
N/A
T/L CIENA CORPORATION REGD 0.00000000
N/A
891000.00000000
NS
USD
896383.42000000
0.014530151336
Long
LON
CORP
US
N
2
2025-09-26
Fixed
0.00000000
N
N
N
N
N
N
GE CAPITAL INT 2.342% 11/15/20
N/A
GE CAPITAL INTL FUNDING REGD 2.34200000
36164QMS4
4031000.00000000
NS
USD
4034253.98000000
0.065394249326
Long
DBT
CORP
IE
N
2
2020-11-15
Fixed
2.34200000
N
N
N
N
N
N
BMIR 2018-2A M1B V/R 08/25/28
N/A
BELLEMEADE RE 2018-2 LTD SER 2018-2A CL M1B V/R REGD 144A P/P 3.14200000
07877DAB2
5430000.00000000
NS
USD
5443679.80000000
0.088240689818
Long
ABS-CBDO
CORP
BM
Y
2
2028-08-25
Variable
3.14200000
N
N
N
N
N
N
HYUNDAI CAPITAL SE 3% 08/29/22
N/A
HYUNDAI CAPITAL SERVICES REGD 144A P/P 3.00000000
44920UAK4
12300000.00000000
NS
USD
12444726.35000000
0.201725905649
Long
DBT
CORP
KR
Y
2
2022-08-29
Fixed
3.00000000
N
N
N
N
N
N
GALILEI RE LTD V/R 01/08/21
N/A
GALILEI RE LTD REGD V/R 144A P/P SER ** 6.42063000
363543AK5
1500000.00000000
NS
USD
1494600.00000000
0.024227092673
Long
DBT
CORP
BM
Y
2
2021-01-08
Variable
6.42063000
N
N
N
N
N
N
WLKRG 2019-AA 3.34% 06/15/38
N/A
WELK RESORTS 2019-A LLC SER 2019-AA CL C REGD 144A P/P 3.34000000
94946DAC5
2284235.89000000
NS
USD
2296832.31000000
0.037231078034
Long
ABS-CBDO
CORP
US
Y
2
2038-06-15
Fixed
3.34000000
N
N
N
N
N
N
JPMDB 2018-C8 4.21% 05/15/28
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2018-C8 SER 2018-C8 CL A4 REGD 4.21060000
46591ABA2
7640000.00000000
NS
USD
8525207.84000000
0.138191489632
Long
ABS-CBDO
CORP
US
N
2
2051-06-15
Fixed
4.21060000
N
N
N
N
N
N
GNMA P#611999 5.5% 08/15/33
N/A
GINNIE MAE I POOL P#611999 5.50000000
36202W3G2
92565.08000000
NS
USD
100990.51000000
0.001637030941
Long
ABS-MBS
USGSE
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA P#259573 6.5% 10/1/32
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #259573 6.50000000
31371RJS6
62486.02000000
NS
USD
69355.79000000
0.001124240031
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.50000000
N
N
N
N
N
N
T/L FITNESS INTERN 0% 04/18/25
N/A
T/L FITNESS INTERNATIONAL LLC REGD 0.00000000
N/A
316384.40000000
NS
USD
316681.17000000
0.005133322664
Long
LON
CORP
US
N
2
2025-04-18
Fixed
0.00000000
N
N
N
N
N
N
NMEF 2019-A B 3.06% 02/15/23
N/A
NMEF FUNDING 2015-A LLC SER 2019-A CL B REGD 144A P/P 3.06000000
65489MAB0
1500000.00000000
NS
USD
1499820.00000000
0.024311707570
Long
ABS-CBDO
CORP
US
Y
2
2026-08-15
Fixed
3.06000000
N
N
N
N
N
N
GNMA II P#2921 7.5% 05/20/30
N/A
GINNIE MAE II POOL P#2921 7.50000000
36202DG62
7761.77000000
NS
USD
9127.75000000
0.000147958547
Long
ABS-MBS
USGSE
US
N
2
2030-05-20
Fixed
7.50000000
N
N
N
N
N
N
JPMMT 2019-8 A4 V/R 10/25/26
N/A
JP MORGAN MORTGAGE TRUST 2019-8 SER 2019-8 CL A4 V/R REGD 144A P/P 3.50000000
46591KAF0
10484054.49000000
NS
USD
10592989.06000000
0.171709706711
Long
ABS-CBDO
CORP
US
Y
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
MDPK 2019-36A E V/R 01/15/33
N/A
MADISON PARK FUNDING XXXVI LTD SER 2019-36A CL E V/R REGD 144A P/P 7.25000000
55819NAA2
4400000.00000000
NS
USD
4399784.40000000
0.071319406131
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
7.25000000
N
N
N
N
N
N
GNMA P#402108 6.5% 07/15/32
N/A
GINNIE MAE I POOL P#402108 6.50000000
36205VU97
8879.48000000
NS
USD
9795.16000000
0.000158777096
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
ENGS 2016-1A B 3.45% 01/22/21
N/A
ENGS COMMERCIAL FINANCE TRUST 2016-1 SER 2016-1A CL B REGD 144A P/P 3.45000000
29332JAC0
1300000.00000000
NS
USD
1305937.62000000
0.021168922618
Long
ABS-CBDO
CORP
US
Y
2
2022-03-22
Fixed
3.45000000
N
N
N
N
N
N
T/L GRIFOLS 0% 11/08/2027
N/A
T/L GRIFOLS WORLDWIDE OPERATIONS USA INC REGD 0.00000000
N/A
727214.87000000
NS
USD
734077.60000000
0.011899214535
Long
LON
CORP
US
N
2
2027-11-08
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#Q28606 3.5% 09/01/44
N/A
FREDDIE MAC GOLD POOL P#Q28606 3.50000000
3132M9GP3
446758.42000000
NS
USD
472915.14000000
0.007665836293
Long
ABS-MBS
USGA
US
N
2
2044-09-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AW8566 4% 08/01/44
N/A
FANNIE MAE POOL UMBS P#AW8566 4.00000000
3138XYQU1
2582189.44000000
NS
USD
2727810.08000000
0.044217120035
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.00000000
N
N
N
N
N
N
AQFIT 2019-A C 4.01% 09/15/25
N/A
AQUA FINANCE TRUST 2019-A SER 2019-A CL C REGD 144A P/P 4.01000000
038370AC6
5900000.00000000
NS
USD
5883498.29000000
0.095370037681
Long
ABS-CBDO
CORP
US
Y
2
2040-07-16
Fixed
4.01000000
N
N
N
N
N
N
KEYCORP 5.1% 03/24/21
RKPI3RZGV1V1FJTH5T61
KEYCORP REGD MTN 5.10000000
49326EED1
7378000.00000000
NS
USD
7656986.67000000
0.124117841333
Long
DBT
CORP
US
N
2
2021-03-24
Fixed
5.10000000
N
N
N
N
N
N
UMBS P#888832 6.5% 11/01/37
N/A
FANNIE MAE POOL UMBS P#888832 6.50000000
31410GPR8
71124.31000000
NS
USD
81521.63000000
0.001321445259
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
N
N
N
N
N
N
ARTEX SAC LTD 0% 1/31/20
N/A
ARTEX SAC LTD SEMINOLE RE 2019 /BNR4EUNH8/ 0.00000000
N/A
142857.00000000
NS
USD
145785.23000000
0.002363142163
Long
DBT
CORP
BM
N
3
2020-01-31
Fixed
0.00000000
N
N
N
N
N
N
A10 2017-1A B 3.15% 03/15/36
N/A
A10 TERM ASSET FINANCING 2017-1 LLC SER 2017-1A CL B REGD 144A P/P 3.15000000
04684TAG6
3190000.00000000
NS
USD
3190347.39000000
0.051714734296
Long
ABS-CBDO
CORP
US
Y
2
2036-03-15
Fixed
3.15000000
N
N
N
N
N
N
STACR 2019-HQA2 V/R 04/25/49
N/A
FREDDIE MAC STACR TRUST 2019-HQA2 SER 2019-HQA2 CL M2 V/R REGD 144A P/P 3.84200000
35564MAH8
3530000.00000000
NS
USD
3546176.23000000
0.057482630912
Long
ABS-CBDO
CORP
US
Y
2
2049-04-25
Variable
3.84200000
N
N
N
N
N
N
BPCE SA 4.875% 04/01/26
N/A
BPCE SA REGD 144A P/P MTN 4.87500000
05578QAE3
3860000.00000000
NS
USD
4248348.81000000
0.068864673043
Long
DBT
CORP
FR
Y
2
2026-04-01
Fixed
4.87500000
N
N
N
N
N
N
UMBS P#745586 5.5% 06/01/36
N/A
FANNIE MAE POOL UMBS P#745586 5.50000000
31403DJ75
108952.32000000
NS
USD
122559.13000000
0.001986652884
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.50000000
N
N
N
N
N
N
LHIPO 2010-1GA A V/R 11/15/28
N/A
LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2 SER 2010-1GA CL A V/R REGD 144A P/P 2.75000000
50346RAA6
775140.37000000
NS
USD
780953.92000000
0.012659067974
Long
ABS-CBDO
CORP
PA
Y
2
2039-09-08
Variable
2.75000000
N
N
N
N
N
N
GNMA P#548271 6.5% 02/15/32
N/A
GINNIE MAE I POOL P#548271 6.50000000
36213ACG7
18019.06000000
NS
USD
19877.25000000
0.000322205257
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
HPA 2019-1 D 3.406% 09/17/27
N/A
HOME PARTNERS OF AMERICA 2019-1 TRUST SER 2019-1 CL D REGD 144A P/P 3.40600000
43731QAG3
3713963.60000000
NS
USD
3666923.65000000
0.059439916430
Long
ABS-CBDO
CORP
US
Y
2
2039-09-17
Fixed
3.40600000
N
N
N
N
N
N
GNMA P#770525 4.5% 08/15/41
N/A
GINNIE MAE I POOL P#770525 4.50000000
36176MYW7
561053.24000000
NS
USD
603156.37000000
0.009777014099
Long
ABS-MBS
USGSE
US
N
2
2041-08-15
Fixed
4.50000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 03/01/24
549300QS6XPZQHTCEJ97
SECTOR RE V LTD REGD ZCP 144A P/P SER G 0.00000000
81369ACW0
900000.00000000
NS
USD
1034731.76000000
0.016772743370
Long
DBT
CORP
BM
Y
3
2024-03-01
Fixed
0.00000000
N
N
N
N
N
N
NYU HOSPITALS 4.428% 07/01/42
N/A
NYU HOSPITALS CENTER REGD SER 12-A 4.42800000
62952EAA5
2400000.00000000
NS
USD
2704851.34000000
0.043844964594
Long
DBT
CORP
US
N
2
2042-07-01
Fixed
4.42800000
N
N
N
N
N
N
FINANCE AMER 2.0% 11/25/69
N/A
FINANCE AMER STRUCTURED SECS TR JR2 SER 2019-JR4 144A 2.00000000
31740BAA3
13500000.00000000
NS
USD
13555071.90000000
0.219724329669
Long
ABS-CBDO
CORP
US
Y
2
2069-11-25
Fixed
2.00000000
N
N
N
N
N
N
BANQUE OUEST AFR 4.7% 10/22/31
529900LIZJABE4JJS826
BANQUE OUEST AFRICAINE D REGD 144A P/P 4.70000000
06675QAC7
7150000.00000000
NS
USD
7258966.00000000
0.117666025692
Long
DBT
CORP
TG
Y
2
2031-10-22
Fixed
4.70000000
N
N
N
N
N
N
GNMA P#561564 7% 08/15/31
N/A
GINNIE MAE I POOL P#561564 7.00000000
36213QZ51
93054.15000000
NS
USD
108973.51000000
0.001766433377
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
7.00000000
N
N
N
N
N
N
UMBS P#AJ4899 4% 01/01/42
N/A
FANNIE MAE POOL UMBS P#AJ4899 4.00000000
3138AWNR0
1878466.56000000
NS
USD
2010839.28000000
0.032595202454
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
MPLX LP 4.25% 12/01/27
N/A
MPLX LP REGD 144A P/P 4.25000000
55336VBE9
9940000.00000000
NS
USD
10465957.90000000
0.169650563338
Long
DBT
CORP
US
Y
2
2027-12-01
Fixed
4.25000000
N
N
N
N
N
N
FASST 2019-HB1 M V/R 12/25/21
N/A
FINANCE OF AMERICA STRUCTURED SECURITIES TRUS SER 2019-HB1 CL M3 V/R REGD 144A P/P 3.81250000
31739HAD7
1700000.00000000
NS
USD
1722100.00000000
0.027914810848
Long
ABS-CBDO
CORP
US
Y
2
2029-04-25
Variable
3.81250000
N
N
N
N
N
N
GNMA II P#AL9912 3.5% 04/20/45
N/A
GINNIE MAE II POOL P#AL9912 3.50000000
36184JAM2
698678.95000000
NS
USD
730362.36000000
0.011838991423
Long
ABS-MBS
USGSE
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
REYNOLDS AMERIC 4.45% 06/12/25
N/A
REYNOLDS AMERICAN INC REGD 4.45000000
761713BG0
14708000.00000000
NS
USD
15838827.67000000
0.256743440257
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
4.45000000
N
N
N
N
N
N
TAH 2017-SFR2 3.275% 01/17/24
N/A
TRICON AMERICAN HOMES 2017-SFR2 TRUST SER 2017-SFR2 CL B REGD 144A P/P 3.27500000
89613FAB4
8500000.00000000
NS
USD
8559414.15000000
0.138745965373
Long
ABS-CBDO
CORP
US
Y
2
2036-01-17
Fixed
3.27500000
N
N
N
N
N
N
PRUDENTIAL FINAN 4.5% 11/16/21
5PRBRS5FEH7NREC8OR45
PRUDENTIAL FINANCIAL INC REGD MTN 4.50000000
74432QBT1
1090000.00000000
NS
USD
1144269.87000000
0.018548328773
Long
DBT
CORP
US
N
2
2021-11-16
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#623596 4.5% 10/15/33
N/A
GINNIE MAE I POOL P#623596 4.50000000
36291BXZ5
128662.94000000
NS
USD
136999.31000000
0.002220724594
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
4.50000000
N
N
N
N
N
N
BNP PARIBAS V/R /PERP/
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS REGD V/R /PERP/ 144A P/P 6.62500000
05565AHN6
13875000.00000000
NS
USD
14985000.00000000
0.242903106998
Long
DBT
CORP
FR
Y
2
2168-09-25
Variable
6.62500000
N
N
N
N
N
N
HALLIBURTON CO 7.6% 08/15/96
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO REGD 144A P/P 7.60000000
406216AS0
2250000.00000000
NS
USD
3119460.48000000
0.050565675191
Long
DBT
CORP
US
Y
2
2096-08-15
Fixed
7.60000000
N
N
N
N
N
N
ONGLT 2019-A A 3.06% 04/09/38
N/A
ORANGE LAKE TIMESHARE TRUST 2019-A SER 2019-A CL A REGD 144A P/P 3.06000000
68504UAA9
2237366.15000000
NS
USD
2258008.09000000
0.036601747126
Long
ABS-CBDO
CORP
US
Y
2
2038-04-09
Fixed
3.06000000
N
N
N
N
N
N
UMBS P#BH6352 4% 08/01/47
N/A
FANNIE MAE POOL UMBS P#BH6352 4.00000000
3140GVBW4
1957635.81000000
NS
USD
2043329.11000000
0.033121854483
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#A35084 5% 06/01/35
N/A
FREDDIE MAC GOLD POOL P#A35084 5.00000000
31297QUH0
53355.13000000
NS
USD
57008.55000000
0.000924094355
Long
ABS-MBS
USGA
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
TPMT 2018-SJ1 A1 V/R 10/25/58
N/A
TOWD POINT MORTGAGE TRUST 2018-SJ1 SER 2018-SJ1 CL A1 V/R REGD 144A P/P 4.00000000
89176BAA4
6637347.60000000
NS
USD
6683728.72000000
0.108341573067
Long
ABS-CBDO
CORP
US
Y
2
2058-10-25
Variable
4.00000000
N
N
N
N
N
N
FGLMC P#A55379 6% 12/01/36
N/A
FREDDIE MAC GOLD POOL P#A55379 6.00000000
3128KH6Q4
19819.03000000
NS
USD
22590.17000000
0.000366181013
Long
ABS-MBS
USGA
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
FREMF 2014-KF05 V/R 09/25/21
N/A
FREMF 2014-KF05 MORTGAGE TRUST SER 2014-KF05 CL B V/R 144A P/P 5.69713000
30292FAA8
902510.80000000
NS
USD
913171.26000000
0.014802278029
Long
ABS-CBDO
CORP
US
Y
2
2022-09-25
Variable
5.69713000
N
N
N
N
N
N
FGLMC P#G08595 4% 07/01/44
N/A
FREDDIE MAC GOLD POOL P#G08595 4.00000000
3128MJUV0
4605545.85000000
NS
USD
4883223.88000000
0.079155839347
Long
ABS-MBS
USGA
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
T/L GOODPACK LIMIT 0% 09/11/23
N/A
T/L GOODPACK LIMITED REGD 0.00000000
44928QAE9
2701875.00000000
NS
USD
2708629.69000000
0.043906210704
Long
LON
CORP
SG
N
2
2023-09-11
Fixed
0.00000000
N
N
N
N
N
N
HEALTHCARE TRUS 3.75% 07/01/27
N/A
HEALTHCARE TRUST OF AMER REGD 3.75000000
42225UAF1
4675000.00000000
NS
USD
4937855.38000000
0.080041402316
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.75000000
N
N
N
N
N
N
UMBS P#CA4189 5% 09/01/49
N/A
FANNIE MAE POOL UMBS P#CA4189 5.00000000
3140QBUP1
1680971.80000000
NS
USD
1860501.76000000
0.030158268807
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
5.00000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 09/29/25
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 3.27200000
38141GWQ3
7891000.00000000
NS
USD
8169584.02000000
0.132426916339
Long
DBT
CORP
US
N
2
2025-09-29
Variable
3.27200000
N
N
N
N
N
N
UBS GROUP AG V/R /PERP/
549300SZJ9VS8SGXAN81
UBS GROUP AG REGD V/R /PERP/ 144A P/P 7.00000000
90352JAF0
11650000.00000000
NS
USD
12727625.00000000
0.206311622102
Long
DBT
CORP
CH
Y
2
2168-07-31
Variable
7.00000000
N
N
N
N
N
N
UMBS P#AZ3804 3% 05/01/46
N/A
FANNIE MAE POOL UMBS P#AZ3804 3.00000000
3138YVGN3
743378.71000000
NS
USD
766194.88000000
0.012419827622
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
STANDARD INDUSTR 5.5% 02/15/23
N/A
STANDARD INDUSTRIES INC REGD 144A P/P 5.50000000
853496AB3
4385000.00000000
NS
USD
4456256.25000000
0.072234800714
Long
DBT
CORP
US
Y
2
2023-02-15
Fixed
5.50000000
N
N
N
N
N
N
SEMT 2013-10 A1 V/R 08/25/43
N/A
SEQUOIA MORTGAGE TRUST 2013-10 SER 2013-10 CL A1 V/R REGD 144A P/P 3.50000000
81745GAA2
12686598.95000000
NS
USD
12894264.62000000
0.209012808719
Long
ABS-CBDO
CORP
US
Y
2
2043-08-25
Variable
3.50000000
N
N
N
N
N
N
TERRAFORM POWER 4.75% 01/15/30
N/A
TERRAFORM POWER OPERATIN REGD 144A P/P 4.75000000
88104LAG8
6970000.00000000
NS
USD
7091975.00000000
0.114959143293
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
4.75000000
N
N
N
N
N
N
GNMA P#312960 9% 09/15/21
N/A
GINNIE MAE I POOL P#312960 9.00000000
36223NTR5
41.68000000
NS
USD
41.80000000
0.000000677567
Long
ABS-MBS
USGSE
US
N
2
2021-09-15
Fixed
9.00000000
N
N
N
N
N
N
GNMA P#AN6704 4% 07/15/45
N/A
GINNIE MAE I POOL P#AN6704 4.00000000
36186PNV2
530146.82000000
NS
USD
569260.68000000
0.009227573431
Long
ABS-MBS
USGSE
US
N
2
2045-07-15
Fixed
4.00000000
N
N
N
N
N
N
WLKRG 2019-AA 4.03% 06/15/38
N/A
WELK RESORTS 2019-A LLC SER 2019-AA CL D REGD 144A P/P 4.03000000
94946DAD3
1096421.45000000
NS
USD
1102356.49000000
0.017868923352
Long
ABS-CBDO
CORP
US
Y
2
2038-06-15
Fixed
4.03000000
N
N
N
N
N
N
LIMESTONE RE LTD ZCP 09/09/22
5493004PN8HGYC184A27
LIMESTONE RE LTD REGD ZCP 144A P/P SER B 0.00000000
G5488XAD2
500000.00000000
NS
USD
552500.00000000
0.008955886994
Long
DBT
CORP
BM
Y
3
2022-09-09
Fixed
0.00000000
N
N
N
N
N
N
ARTEX SAC LTD V/R 12/31/21
N/A
ARTEX SAC LIMITED WOBURN SEGREGATED ACCOUNT /BNR3SDP81/ 1.49000000
N/A
1623326.00000000
NS
USD
324989.87000000
0.005268004615
Long
DBT
CORP
BM
N
3
2021-12-31
Variable
1.49000000
N
N
N
N
N
N
FGLMC P#G08592 4% 06/01/44
N/A
FREDDIE MAC GOLD POOL P#G08592 4.00000000
3128MJUS7
3197980.50000000
NS
USD
3390704.65000000
0.054962475435
Long
ABS-MBS
USGA
US
N
2
2044-06-01
Fixed
4.00000000
N
N
N
N
N
N
CFCC 2019-1A A 3.83% 03/15/23
N/A
CONTINENTAL CREDIT CARD ABS 2019-1 LLC SER 2019-1A CL A REGD 144A P/P 3.83000000
21134LAA6
7600000.00000000
NS
USD
7654685.80000000
0.124080544805
Long
ABS-CBDO
CORP
US
Y
2
2026-08-15
Fixed
3.83000000
N
N
N
N
N
N
CAELUS RE V LTD V/R 06/05/20
N/A
CAELUS RE V LTD REGD V/R 144A P/P 4.91483400
12765KAA3
750000.00000000
NS
USD
734475.00000000
0.011905656290
Long
DBT
CORP
KY
Y
2
2020-06-05
Variable
4.91483400
N
N
N
N
N
N
FGLMC P#G07576 4.5% 03/01/42
N/A
FREDDIE MAC GOLD POOL P#G07576 4.50000000
3128M9XD9
1223611.68000000
NS
USD
1329440.53000000
0.021549898919
Long
ABS-MBS
USGA
US
N
2
2042-03-01
Fixed
4.50000000
N
N
N
N
N
N
STACR 2018-HRP2 V/R 02/25/47
N/A
STACR TRUST 2018-HRP2 SER 2018-HRP2 CL M3 V/R REGD 144A P/P 4.19200000
35564ABF7
6450000.00000000
NS
USD
6603459.05000000
0.107040421767
Long
ABS-CBDO
CORP
US
Y
2
2047-02-25
Variable
4.19200000
N
N
N
N
N
N
STACR 2018-HQA1 V/R 09/25/30
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES SER 2018-HQA1 CL M1 V/R REGD 2.49200000
3137G0UC1
932848.25000000
NS
USD
932871.76000000
0.015121618213
Long
ABS-CBDO
CORP
US
N
2
2030-09-25
Variable
2.49200000
N
N
N
N
N
N
MORGAN STANLEY 4.1% 05/22/23
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY REGD MTN 4.10000000
61747YDU6
5450000.00000000
NS
USD
5754979.66000000
0.093286782791
Long
DBT
CORP
US
N
2
2023-05-22
Fixed
4.10000000
N
N
N
N
N
N
BOEING CO 3.9% 05/01/49
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 3.90000000
097023CK9
14425000.00000000
NS
USD
15660413.69000000
0.253851394206
Long
DBT
CORP
US
N
2
2049-05-01
Fixed
3.90000000
N
N
N
N
N
N
APACHE CORP 4.25% 01/15/30
72ZZ1XRHOOU9P9X16K08
APACHE CORP REGD 4.25000000
037411BF1
1480000.00000000
NS
USD
1535084.22000000
0.024883331767
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.25000000
N
N
N
N
N
N
UMBS P#ZA7160 4.5% 06/01/49
N/A
FREDDIE MAC POOL UMBS P#ZA7160 4.50000000
31329Q5V9
14642912.48000000
NS
USD
15453443.96000000
0.250496466580
Long
ABS-MBS
USGA
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
FGLMC P#Q34332 3.5% 07/01/45
N/A
FREDDIE MAC GOLD POOL P#Q34332 3.50000000
3132QQY63
150101.16000000
NS
USD
159744.79000000
0.002589423144
Long
ABS-MBS
USGA
US
N
2
2045-07-01
Fixed
3.50000000
N
N
N
N
N
N
CVS CORP 5.298% 1/11/27
549300EJG376EN5NQE29
CVS CORP SERIES 144A PRIVATE PLACEMENT REGD 5.29800000
126650AW0
435443.28000000
NS
USD
465216.92000000
0.007541050069
Long
DBT
CORP
US
Y
2
2027-01-11
Fixed
5.29800000
N
N
N
N
N
N
UMBS P#AR0572 2.5% 12/01/42
N/A
FANNIE MAE POOL UMBS P#AR0572 2.50000000
3138NWT66
213797.89000000
NS
USD
212106.01000000
0.003438185441
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
2.50000000
N
N
N
N
N
N
PROG 2017-SFR 4.142% 12/17/22
N/A
PROGRESS RESIDENTIAL 2017-SFR2 TRUST SER 2017-SFR2 CL E REGD 144A P/P 4.14200000
74333KAJ7
6180000.00000000
NS
USD
6214785.98000000
0.100740128386
Long
ABS-CBDO
CORP
US
Y
2
2034-12-17
Fixed
4.14200000
N
N
N
N
N
N
PANGAEA RE 2018-3 0% 07/01/22
N/A
PANGAEA RE 2018-3 REGD ZCP /BNR3WRSC3/ 0.00000000
N/A
6500000.00000000
NS
USD
134832.10000000
0.002185594662
Long
DBT
CORP
BM
N
3
2022-07-01
Fixed
0.00000000
N
N
N
N
N
N
ENEL SPA V/R 09/24/73
WOCMU6HCI0OJWNPRZS33
ENEL SPA REGD V/R 144A P/P SER * 8.75000000
29265WAA6
4170000.00000000
NS
USD
4894537.50000000
0.079339230301
Long
DBT
CORP
IT
Y
2
2073-09-24
Variable
8.75000000
N
N
N
N
N
N
ARTEX SAC LTD V/R 03/31/2020
N/A
ARTEX SAC LTD FORMBY RE 2018-2V/R /BNR449ZK6/ 0.00000000
N/A
511212.00000000
NS
USD
4191.94000000
0.000067950300
Long
DBT
CORP
BM
N
3
2020-03-31
Variable
0.00000000
N
N
N
N
N
N
UMBS P#AT0238 2.5% 03/01/43
N/A
FANNIE MAE POOL UMBS P#AT0238 2.50000000
3138WMHQ7
310349.26000000
NS
USD
308852.87000000
0.005006427876
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA P#502779 7.5% 09/15/29
N/A
GINNIE MAE I POOL P#502779 7.50000000
36210UQ89
13590.25000000
NS
USD
13620.82000000
0.000220790089
Long
ABS-MBS
USGSE
US
N
2
2029-09-15
Fixed
7.50000000
N
N
N
N
N
N
MONDELEZ INTL HLDI 2% 10/28/21
N/A
MONDELEZ INTL HLDINGS NE REGD 144A P/P 2.00000000
60920LAC8
4119000.00000000
NS
USD
4119478.09000000
0.066775710862
Long
DBT
CORP
NL
Y
2
2021-10-28
Fixed
2.00000000
N
N
N
N
N
N
GNMA P#780459 7% 11/15/26
N/A
GINNIE MAE I POOL P#780459 7.00000000
36225AQL7
4626.44000000
NS
USD
5095.86000000
0.000082602617
Long
ABS-MBS
USGSE
US
N
2
2026-11-15
Fixed
7.00000000
N
N
N
N
N
N
HSBC BANK PLC 7.65% 05/01/25
N/A
HSBC BANK PLC REGD 7.65000000
597433AC5
1305000.00000000
NS
USD
1579314.31000000
0.025600290478
Long
DBT
CORP
GB
N
2
2025-05-01
Fixed
7.65000000
N
N
N
N
N
N
T/L HCA INC 0% 03/17/26
N/A
T/L HCA INC REGD 0.00000000
N/A
1401942.75000000
NS
USD
1411581.11000000
0.022881377203
Long
LON
CORP
US
N
2
2026-03-17
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#351404 6% 01/15/24
N/A
GINNIE MAE I POOL P#351404 6.00000000
36203KKR4
5895.41000000
NS
USD
6490.71000000
0.000105212787
Long
ABS-MBS
USGSE
US
N
2
2024-01-15
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#Q45370 3% 12/01/46
N/A
FREDDIE MAC GOLD POOL P#Q45370 3.00000000
3132WJ6G1
1781951.35000000
NS
USD
1826162.61000000
0.029601639763
Long
ABS-MBS
USGA
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
EMIR 2018-1 M1 V/R 11/25/23
N/A
EAGLE RE 2018-1 LTD SER 2018-1 CL M1 V/R REGD 144A P/P 3.49200000
269826AA1
3724436.89000000
NS
USD
3729612.00000000
0.060456078925
Long
ABS-CBDO
CORP
US
Y
2
2028-11-25
Variable
3.49200000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 12/01/22
549300QS6XPZQHTCEJ97
SECTOR RE V LTD REGD ZCP 144A P/P 0.00000000
81369ACG5
300000.00000000
NS
USD
64309.19000000
0.001042435906
Long
DBT
CORP
BM
Y
3
2022-12-01
Fixed
0.00000000
N
N
N
N
N
N
COOPERATIEVE RA 3.95% 11/09/22
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA REGD 3.95000000
21685WDF1
7175000.00000000
NS
USD
7502225.13000000
0.121609195427
Long
DBT
CORP
NL
N
2
2022-11-09
Fixed
3.95000000
N
N
N
N
N
N
T/L JBS USA LUX S 0% 05/01/26
N/A
T/L JBS USA LUX S A REGD 0.00000000
46611VAU9
3710755.03000000
NS
USD
3741569.14000000
0.060649901178
Long
LON
CORP
LU
N
2
2026-05-01
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#Q47535 4% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47535 4.00000000
3132WMLR3
5120381.52000000
NS
USD
5394386.55000000
0.087441658548
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AL6310 5% 12/01/44
N/A
FANNIE MAE POOL UMBS P#AL6310 5.00000000
3138EPAL8
7017543.12000000
NS
USD
7736055.25000000
0.125399523265
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
5.00000000
N
N
N
N
N
N
FLEX LTD 4.875% 06/15/29
549300EAQH74YHD07T53
FLEX LTD REGD 4.87500000
33938XAA3
18573000.00000000
NS
USD
20177620.09000000
0.327074181627
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.87500000
N
N
N
N
N
N
GNMA P#768033 4% 06/15/41
N/A
GINNIE MAE I POOL P#768033 4.00000000
36176KBA4
46293.81000000
NS
USD
49199.27000000
0.000797507877
Long
ABS-MBS
USGSE
US
N
2
2041-06-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#759152 4% 01/15/41
N/A
GINNIE MAE I POOL P#759152 4.00000000
36230UEZ8
48995.18000000
NS
USD
52167.47000000
0.000845621658
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA P#254238 6% 3/1/32
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #254238 6.00000000
31371KLT6
3566.35000000
NS
USD
4088.52000000
0.000066273887
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.00000000
N
N
N
N
N
N
LAHINCH RE 20190% 05/31/20
N/A
LAHINCH RE 2019 /XILS00137811/ 0.00000000
N/A
1500000.00000000
NS
USD
1522205.31000000
0.024674567853
Long
DBT
CORP
BM
N
3
2020-05-31
Fixed
0.00000000
N
N
N
N
N
N
SABINE PASS LIQUEF 5% 03/15/27
N/A
SABINE PASS LIQUEFACTION REGD SER WI 5.00000000
785592AS5
10675000.00000000
NS
USD
11750922.47000000
0.190479518055
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#BC5068 2.5% 03/01/44
N/A
FANNIE MAE POOL UMBS P#BC5068 2.50000000
3140F0T20
159655.19000000
NS
USD
158885.37000000
0.002575492160
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
2.50000000
N
N
N
N
N
N
CNO FINANCIAL G 5.25% 05/30/29
11XPYHB76MPM4Y4P2897
CNO FINANCIAL GROUP INC REGD 5.25000000
12621EAL7
2862000.00000000
NS
USD
3194707.50000000
0.051785410590
Long
DBT
CORP
US
N
2
2029-05-30
Fixed
5.25000000
N
N
N
N
N
N
GNMA P#577734 6% 10/15/32
N/A
GINNIE MAE I POOL P#577734 6.00000000
36201AY77
21913.50000000
NS
USD
24381.38000000
0.000395216079
Long
ABS-MBS
USGSE
US
N
2
2032-10-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#791267 4% 02/15/42
N/A
GINNIE MAE I POOL P#791267 4.00000000
36177KMR4
202062.50000000
NS
USD
211342.56000000
0.003425810107
Long
ABS-MBS
USGSE
US
N
2
2042-02-15
Fixed
4.00000000
N
N
N
N
N
N
CAS 2019-HRP1 B1 V/R 11/25/39
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2019-HRP1 SER 2019-HRP1 CL B1 V/R REGD 144A P/P 10.95800000
20754PAD2
4100000.00000000
NS
USD
4369334.33000000
0.070825818102
Long
ABS-CBDO
CORP
US
Y
2
2039-11-25
Variable
10.95800000
N
N
N
N
N
N
GNMA P#605146 6% 03/15/34
N/A
GINNIE MAE I POOL P#605146 6.00000000
36200NHX2
148153.26000000
NS
USD
168722.93000000
0.002734956551
Long
ABS-MBS
USGSE
US
N
2
2034-03-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#571750 7% 09/15/31
N/A
GINNIE MAE I POOL P#571750 7.00000000
36200TEX2
10050.45000000
NS
USD
10448.53000000
0.000169368061
Long
ABS-MBS
USGSE
US
N
2
2031-09-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#604471 5.5% 07/15/33
N/A
GINNIE MAE I POOL P#604471 5.50000000
36200MQY2
42917.74000000
NS
USD
48111.50000000
0.000779875397
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
T/L LAMAR MEDIA CO 0% 03/14/25
N/A
T/L LAMAR MEDIA CORP REGD 0.00000000
N/A
982500.00000000
NS
USD
991096.88000000
0.016065432865
Long
LON
CORP
US
N
2
2025-03-14
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#550684 4.5% 10/15/35
N/A
GINNIE MAE I POOL P#550684 4.50000000
36213CXM7
56231.84000000
NS
USD
60242.06000000
0.000976508745
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Fixed
4.50000000
N
N
N
N
N
N
EXPEDIA INC 3.8% 02/15/28
CI7MUJI4USF3V0NJ1H64
EXPEDIA INC REGD SER WI 3.80000000
30212PAP0
4125000.00000000
NS
USD
4219365.11000000
0.068394854506
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
DOMINION ENERGY INC V/R /PERP/
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC REGD V/R /PERP/ SER B 4.65000000
25746UDD8
12004000.00000000
NS
USD
12246120.68000000
0.198506557347
Long
DBT
CORP
US
N
2
2168-06-15
Variable
4.65000000
N
N
N
N
N
N
ALTURAS RE LTD V/R 12/20/19
N/A
ALTURAS RE LTD VARIABLE 2020-2R CLASS A 0.00000000
G0229TAE4
1735000.00000000
NS
USD
1735000.00000000
0.028123916626
Long
ABS-CBDO
CORP
BM
N
2
2023-03-10
Variable
0.00000000
N
N
N
N
N
N
GNMA P#584164 6% 12/15/32
N/A
GINNIE MAE I POOL P#584164 6.00000000
36201H5Z2
249364.76000000
NS
USD
275932.19000000
0.004472791876
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#941914 5% 07/01/40
N/A
FANNIE MAE POOL UMBS P#941914 5.00000000
31413C3X5
466199.05000000
NS
USD
514330.27000000
0.008337165205
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
COMM 2014-UBS4 3.42% 06/10/24
N/A
COMM 2014-UBS4 MORTGAGE TRUST SER 2014-UBS4 CL A4 REGD 3.42000000
12591QAQ5
4100000.00000000
NS
USD
4269914.66000000
0.069214250085
Long
ABS-CBDO
CORP
US
N
2
2047-08-10
Fixed
3.42000000
N
N
N
N
N
N
GNMA P#623190 6% 12/15/23
N/A
GINNIE MAE I POOL P#623190 6.00000000
36291BKB2
70769.18000000
NS
USD
75039.11000000
0.001216365229
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#343327 7.5% 10/15/29
N/A
GINNIE MAE I POOL P#343327 7.50000000
36203ALG9
5037.49000000
NS
USD
5185.48000000
0.000084055335
Long
ABS-MBS
USGSE
US
N
2
2029-10-15
Fixed
7.50000000
N
N
N
N
N
N
UMBS P#AD7136 5% 07/01/40
N/A
FANNIE MAE POOL UMBS P#AD7136 5.00000000
31418U4W1
305022.26000000
NS
USD
336411.97000000
0.005453154003
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
AVID 2019-1 C 3.14% 05/15/23
N/A
AVID AUTOMOBILE RECEIVABLES TRUST 2019-1 SER 2019-1 CL C REGD 144A P/P 3.14000000
05369DAC9
2000000.00000000
NS
USD
1992909.60000000
0.032304566820
Long
ABS-CBDO
CORP
US
Y
2
2026-07-15
Fixed
3.14000000
N
N
N
N
N
N
ENLINK MIDSTREAM 5.6% 04/01/44
88CPW63VL7KHJWS0NY83
ENLINK MIDSTREAM PARTNER REGD 5.60000000
29336UAC1
4299000.00000000
NS
USD
3482190.00000000
0.056445430107
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.60000000
N
N
N
N
N
N
UMBS P#AX3943 4% 12/01/44
N/A
FANNIE MAE POOL UMBS P#AX3943 4.00000000
3138Y5LZ7
383970.15000000
NS
USD
406838.67000000
0.006594753219
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#G08597 3.5% 07/01/44
N/A
FREDDIE MAC GOLD POOL P#G08597 3.50000000
3128MJUX6
5150561.33000000
NS
USD
5402596.53000000
0.087574740273
Long
ABS-MBS
USGA
US
N
2
2044-07-01
Fixed
3.50000000
N
N
N
N
N
N
BPCE SA 2.25% 01/27/20
N/A
BPCE SA REGD MTN 2.25000000
05578DAR3
6900000.00000000
NS
USD
6899982.61000000
0.111846994608
Long
DBT
CORP
FR
N
2
2020-01-27
Fixed
2.25000000
N
N
N
N
N
N
CON EDISON CO 4.625% 12/01/54
N/A
CON EDISON CO OF NY INC REGD 4.62500000
209111FF5
8385000.00000000
NS
USD
10189784.47000000
0.165173861021
Long
DBT
CORP
US
N
2
2054-12-01
Fixed
4.62500000
N
N
N
N
N
N
TPMT 2019-3 M1 V/R 02/25/59
N/A
TOWD POINT MORTGAGE TRUST 2019-3 SER 2019-3 CL M1 V/R REGD 144A P/P 4.25000000
89177LAE3
10150000.00000000
NS
USD
10837198.65000000
0.175668283166
Long
ABS-CBDO
CORP
US
Y
2
2059-02-25
Variable
4.25000000
N
N
N
N
N
N
FGLMC P#G01519 6% 02/01/33
N/A
FREDDIE MAC GOLD POOL P#G01519 6.00000000
31283HVL6
28688.90000000
NS
USD
32897.65000000
0.000533262689
Long
ABS-MBS
USGA
US
N
2
2033-02-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AS1380 4.5% 12/01/43
N/A
FANNIE MAE POOL UMBS P#AS1380 4.50000000
3138WARA7
3113841.00000000
NS
USD
3356868.91000000
0.054414006541
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
BECTON DICKINSON V/R 12/29/20
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON AND CO REGD V/R 2.83550000
075887CF4
3522000.00000000
NS
USD
3523729.94000000
0.057118782158
Long
DBT
CORP
US
N
2
2020-12-29
Variable
2.83550000
N
N
N
N
N
N
ALAMO RE LTD V/R 06/08/20
N/A
ALAMO RE LTD REGD V/R 144A P/P 5.36864600
011395AD2
1700000.00000000
NS
USD
1708330.00000000
0.027691602587
Long
DBT
CORP
BM
Y
2
2020-06-08
Variable
5.36864600
N
N
N
N
N
N
UBS GROUP AG V/R /PERP/
549300SZJ9VS8SGXAN81
UBS GROUP AG REGD V/R /PERP/ REG S SER . 7.12500000
H42097AA5
4497000.00000000
NS
USD
4761198.75000000
0.077177842469
Long
DBT
CORP
CH
N
2
2168-08-10
Variable
7.12500000
N
N
N
N
N
N
USAUT 2019-1A 3.99% 07/15/22
N/A
US AUTO FUNDING 2019-1 LLC SER 2019-1A CL B REGD 144A P/P 3.99000000
90352VAB2
2450000.00000000
NS
USD
2480818.55000000
0.040213449028
Long
ABS-CBDO
CORP
US
Y
2
2022-12-15
Fixed
3.99000000
N
N
N
N
N
N
ANGLO AMERICAN 4.75% 04/10/27
N/A
ANGLO AMERICAN CAPITAL REGD 144A P/P 4.75000000
034863AR1
2750000.00000000
NS
USD
3008171.65000000
0.048761711055
Long
DBT
CORP
GB
Y
2
2027-04-10
Fixed
4.75000000
N
N
N
N
N
N
UMBS P#BD2425 3.5% 01/01/47
N/A
FANNIE MAE POOL UMBS P#BD2425 3.50000000
3140F9VT9
9018295.18000000
NS
USD
9457695.47000000
0.153306881195
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
WLKRG 2015-AA 2.79% 02/15/22
N/A
WELK RESORTS 2015-A LLC SER 2015-AA CL A REGD 144A P/P 2.79000000
949458AA1
446834.71000000
NS
USD
447154.24000000
0.007248258538
Long
ABS-CBDO
CORP
US
Y
2
2031-06-16
Fixed
2.79000000
N
N
N
N
N
N
FKMT 2015-1 B4 V/R 02/25/37
N/A
FIRSTKEY MORTGAGE TRUST 2015-1 SER 2015-1 CL B4 V/R REGD 144A P/P 3.91820000
33767CAX5
2197000.00000000
NS
USD
2206987.12000000
0.035774709946
Long
ABS-CBDO
CORP
US
Y
2
2045-03-25
Variable
3.91820000
N
N
N
N
N
N
NRPMT 2013-1 B1 V/R 12/25/26
N/A
NRP MORTGAGE TRUST 2013-1 SER 2013-1 CL B1 V/R REGD 144A P/P 3.31053200
62942KAE6
5200240.79000000
NS
USD
5269015.01000000
0.085409417200
Long
ABS-CBDO
CORP
US
Y
2
2043-07-25
Variable
3.31053200
N
N
N
N
N
N
BACARDI LTD 5.3% 05/15/48
549300R32WTQNHNN5055
BACARDI LTD REGD 144A P/P 5.30000000
067316AH2
7630000.00000000
NS
USD
8865131.43000000
0.143701566119
Long
DBT
CORP
BM
Y
2
2048-05-15
Fixed
5.30000000
N
N
N
N
N
N
BMARK 2018-B2 3.614% 11/15/27
N/A
BENCHMARK 2018-B2 MORTGAGE TRUST SER 2018-B2 CL A4 REGD 3.61470000
08161CAD3
7000000.00000000
NS
USD
7489045.90000000
0.121395563400
Long
ABS-CBDO
CORP
US
N
2
2051-02-15
Fixed
3.61470000
N
N
N
N
N
N
UMBS P#MA2415 4% 10/01/45
N/A
FANNIE MAE POOL UMBS P#MA2415 4.00000000
31418BVH6
3559673.21000000
NS
USD
3771935.60000000
0.061142133909
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.00000000
N
N
N
N
N
N
CITRUS RE LTD V/R 04/09/20
549300VWWT5SE805NK88
CITRUS RE LTD REGD V/R 144A P/P SER * 2.05129400
177510AD6
1000000.00000000
NS
USD
250000.00000000
0.004052437554
Long
DBT
CORP
BM
Y
2
2020-04-09
Variable
2.05129400
N
N
N
N
N
N
UMBS P#AD2739 5% 07/01/40
N/A
FANNIE MAE POOL UMBS P#AD2739 5.00000000
31418QBH5
634362.70000000
NS
USD
690327.64000000
0.011190038612
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
COMM 2015-3BP 3.178% 02/10/25
N/A
COMM 2015-3BP MORTGAGE TRUST SER 2015-3BP CL A REGD 144A P/P 3.17800000
12592TAA3
5200000.00000000
NS
USD
5384084.68000000
0.087274667808
Long
ABS-CBDO
CORP
US
Y
2
2035-02-10
Fixed
3.17800000
N
N
N
N
N
N
CHASE 2019-CL1 M V/R 04/25/47
N/A
CHASE MORTGAGE REFERENCE NOTES 2019-CL1 SER 2019-CL1 CL M1 V/R REGD 3.14200000
46591HAA8
9866872.18000000
NS
USD
9830308.51000000
0.159346845500
Long
ABS-CBDO
CORP
US
N
2
2047-04-25
Variable
3.14200000
N
N
N
N
N
N
PORT AUTH OF N 4.458% 10/01/62
54930006MR4KZ4W74Z83
PORT AUTH OF NEW YORK & NEW JE REGD N/C B/E 4.45800000
73358WJA3
600000.00000000
NS
USD
733920.00000000
0.011896659879
Long
DBT
MUN
US
N
2
2062-10-01
Fixed
4.45800000
N
N
N
N
N
N
GNMA P#591202 4.5% 04/15/35
N/A
GINNIE MAE I POOL P#591202 4.50000000
36201RX71
129029.44000000
NS
USD
139497.92000000
0.002261226438
Long
ABS-MBS
USGSE
US
N
2
2035-04-15
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#552764 6.5% 09/15/32
N/A
GINNIE MAE I POOL P#552764 6.50000000
36213FB93
14013.13000000
NS
USD
16040.28000000
0.000260008932
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#555672 6.5% 01/15/32
N/A
GINNIE MAE I POOL P#555672 6.50000000
36213JJR7
15567.45000000
NS
USD
17172.82000000
0.000278367122
Long
ABS-MBS
USGSE
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#AW4979 4% 06/01/44
N/A
FANNIE MAE POOL UMBS P#AW4979 4.00000000
3138XUQ96
65046.18000000
NS
USD
68125.31000000
0.001104294258
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.00000000
N
N
N
N
N
N
TPMT 2017-6 A2 V/R 10/25/57
N/A
TOWD POINT MORTGAGE TRUST 2017-6 SER 2017-6 CL A2 V/R REGD 144A P/P 3.00000000
89175JAB6
20071000.00000000
NS
USD
20152548.47000000
0.326667776930
Long
ABS-CBDO
CORP
US
Y
2
2057-10-25
Variable
3.00000000
N
N
N
N
N
N
GNMA II P#2957 7.5% 08/20/30
N/A
GINNIE MAE II POOL P#2957 7.50000000
36202DJA0
7285.57000000
NS
USD
8534.74000000
0.000138346003
Long
ABS-MBS
USGSE
US
N
2
2030-08-20
Fixed
7.50000000
N
N
N
N
N
N
UMBS P#AU4279 3% 09/01/43
N/A
FANNIE MAE POOL UMBS P#AU4279 3.00000000
3138X3XH0
3633186.82000000
NS
USD
3740464.54000000
0.060631995888
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
CSMC 2013-6 2A3 V/R 12/25/33
N/A
CSMC TRUST 2013-6 SER 2013-6 CL 2A3 V/R REGD 144A P/P 3.50000000
12647MBW4
7330335.14000000
NS
USD
7405307.61000000
0.120038186636
Long
ABS-CBDO
CORP
US
Y
2
2043-08-25
Variable
3.50000000
N
N
N
N
N
N
GNMA II P#AM2831 3.5% 04/20/45
N/A
GINNIE MAE II POOL P#AM2831 3.50000000
36184NEC1
965676.80000000
NS
USD
1010967.02000000
0.016387522871
Long
ABS-MBS
USGSE
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AB6214 3% 09/01/42
N/A
FANNIE MAE POOL UMBS P#AB6214 3.00000000
31417C3Y9
3537110.46000000
NS
USD
3643892.00000000
0.059066579136
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA P#783129 4% 10/15/40
N/A
GINNIE MAE I POOL P#783129 4.00000000
36241LPN0
4471.22000000
NS
USD
4760.46000000
0.000077165867
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#570671 6.5% 11/15/31
N/A
GINNIE MAE I POOL P#570671 6.50000000
36200R6G2
2600.26000000
NS
USD
2868.41000000
0.000046496209
Long
ABS-MBS
USGSE
US
N
2
2031-11-15
Fixed
6.50000000
N
N
N
N
N
N
INTERNATIONAL PAPE 6% 11/15/41
824LMFJDH41EY779Q875
INTERNATIONAL PAPER CO REGD 6.00000000
460146CH4
2575000.00000000
NS
USD
3214351.05000000
0.052103827629
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#781547 6% 01/15/33
N/A
GINNIE MAE I POOL P#781547 6.00000000
36225BWG9
97509.60000000
NS
USD
111366.76000000
0.001805227362
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
AH4R 2014-SFR 4.596% 12/17/24
N/A
AMERICAN HOMES 4 RENT 2014-SFR3 TRUST SER 2014-SFR3 CL C REGD 144A P/P 4.59600000
02665XAC3
2800000.00000000
NS
USD
2962813.84000000
0.048026472285
Long
ABS-CBDO
CORP
US
Y
2
2036-12-17
Fixed
4.59600000
N
N
N
N
N
N
T/L ENDO LUXEMBO 0% 04/29/2024
N/A
T/L ENDO LUXEMBOURG FINANCE I COMPANY S A R L REGD 0.00000000
L2968EAB8
4970780.87000000
NS
USD
4735558.55000000
0.076762221232
Long
LON
CORP
LU
N
2
2024-04-29
Fixed
0.00000000
N
N
N
N
N
N
BCCFC 2018-1A 3.39% 08/21/23
N/A
BCC FUNDING XIV LLC SER 2018-1A CL B REGD 144A P/P 3.39000000
055377AC9
1416000.00000000
NS
USD
1438102.77000000
0.023311286687
Long
ABS-CBDO
CORP
US
Y
2
2023-08-21
Fixed
3.39000000
N
N
N
N
N
N
UMBS P#BH3071 3.5% 05/01/47
N/A
FANNIE MAE POOL UMBS P#BH3071 3.50000000
3140GRMV3
6074706.71000000
NS
USD
6306218.76000000
0.102222230911
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#BC0960 4% 06/01/46
N/A
FANNIE MAE POOL UMBS P#BC0960 4.00000000
3140EVB63
3979585.21000000
NS
USD
4206362.47000000
0.068184084959
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
GSMBS 2019-SL1 A V/R 01/25/59
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2019-SL1 SER 2019-SL1 CL A1 V/R REGD 144A P/P 2.62500000
36257EAA1
16757222.67000000
NS
USD
16625520.95000000
0.269495541823
Long
ABS-CBDO
CORP
US
Y
2
2059-01-25
Variable
2.62500000
N
N
N
N
N
N
JPMMT 2019-LTV1 V/R 06/25/49
N/A
J.P. MORGAN MORTGAGE TRUST 2019-LTV1 SER 2019-LTV1 CL A3 V/R REGD 144A P/P 4.00000000
46650PAC4
12631923.45000000
NS
USD
12794761.58000000
0.207399889294
Long
ABS-CBDO
CORP
US
Y
2
2049-06-25
Variable
4.00000000
N
N
N
N
N
N
UMBS P#AO3879 4% 06/01/42
N/A
FANNIE MAE POOL UMBS P#AO3879 4.00000000
3138LUJZ9
206763.77000000
NS
USD
216343.28000000
0.003506870529
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#BH2849 3.5% 05/01/47
N/A
FANNIE MAE POOL UMBS P#BH2849 3.50000000
3140GREX8
6772503.18000000
NS
USD
7029602.44000000
0.113948099675
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
GREAT-WEST LIF 4.581% 05/17/48
N/A
GREAT-WEST LIFECO FIN 18 REGD 144A P/P 4.58100000
39138QAC9
5045000.00000000
NS
USD
5834572.37000000
0.094576960739
Long
DBT
CORP
US
Y
2
2048-05-17
Fixed
4.58100000
N
N
N
N
N
N
SEMT 2018-CH3 A1 V/R 01/25/25
N/A
SEQUOIA MORTGAGE TRUST 2018-CH3 SER 2018-CH3 CL A1 V/R REGD 144A P/P 4.50000000
81746WAA6
3152969.64000000
NS
USD
3258850.77000000
0.052825156975
Long
ABS-CBDO
CORP
US
Y
2
2048-08-25
Variable
4.50000000
N
N
N
N
N
N
UMBS P#MA3879 4.5% 12/01/49
N/A
FANNIE MAE POOL UMBS P#MA3879 4.50000000
31418DJZ6
1210807.02000000
NS
USD
1278838.02000000
0.020729644871
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#612658 5.5% 06/15/35
N/A
GINNIE MAE I POOL P#612658 5.50000000
36202XTP2
28436.37000000
NS
USD
30506.45000000
0.000494501934
Long
ABS-MBS
USGSE
US
N
2
2035-06-15
Fixed
5.50000000
N
N
N
N
N
N
GNMA II P#3659 5% 01/20/20
N/A
GINNIE MAE II POOL P#3659 5.00000000
36202EB40
30.78000000
NS
USD
30.72000000
0.000000497963
Long
ABS-MBS
USGSE
US
N
2
2020-01-20
Fixed
5.00000000
N
N
N
N
N
N
TSY INFL IX N/B 1.000% 2/15/46
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000
912810RR1
76271372.50000000
NS
USD
83873041.21000000
1.359561047935
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
CGCMT 2015-GC 3.137% 12/10/24
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27 SER 2015-GC27 CL A5 REGD 3.13700000
17323CAE7
3100000.00000000
NS
USD
3203691.28000000
0.051931035420
Long
ABS-CBDO
CORP
US
N
2
2048-02-10
Fixed
3.13700000
N
N
N
N
N
N
GNMA II P#BB5176 4% 02/20/48
N/A
GINNIE MAE II POOL P#BB5176 4.00000000
3617AVXD5
1733743.55000000
NS
USD
1829843.97000000
0.029661313689
Long
ABS-MBS
USGSE
US
N
2
2048-02-20
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#592716 6.5% 05/15/33
N/A
GINNIE MAE I POOL P#592716 6.50000000
36201TN94
27335.01000000
NS
USD
30153.89000000
0.000488787024
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Fixed
6.50000000
N
N
N
N
N
N
ARTEX SAC LIMITED V/R 01/15/20
N/A
ARTEX SAC LIMITED SEMINOLE SEGREGATED ACCOUNT /BNR3N2EG4/ 0.00000000
N/A
567400.00000000
NS
USD
110359.30000000
0.001788896687
Long
DBT
CORP
BM
N
3
2020-01-15
Variable
0.00000000
N
N
N
N
N
N
FGLMC P#G08563 4% 01/01/44
N/A
FREDDIE MAC GOLD POOL P#G08563 4.00000000
3128MJTV2
1225905.52000000
NS
USD
1304577.32000000
0.021146872495
Long
ABS-MBS
USGA
US
N
2
2044-01-01
Fixed
4.00000000
N
N
N
N
N
N
COMM 2014-CR20 C V/R 10/10/24
N/A
COMM 2014-CCRE20 MORTGAGE TRUST SER 2014-CR20 CL C V/R REGD 4.66368400
12592LBP6
7325000.00000000
NS
USD
7675504.91000000
0.124418017378
Long
ABS-CBDO
CORP
US
N
2
2047-11-10
Variable
4.66368400
N
N
N
N
N
N
UMBS P#AB7391 2.5% 12/01/42
N/A
FANNIE MAE POOL UMBS P#AB7391 2.50000000
31417EF97
216312.83000000
NS
USD
215270.46000000
0.003489480385
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
2.50000000
N
N
N
N
N
N
SCFET 2018-1A 4.21% 04/20/27
N/A
SCF EQUIPMENT LEASING 2018-1 LLC SER 2018-1A CL C REGD 144A P/P 4.21000000
78411KAD6
2250000.00000000
NS
USD
2258897.85000000
0.036616169913
Long
ABS-CBDO
CORP
US
Y
2
2027-04-20
Fixed
4.21000000
N
N
N
N
N
N
SCFT 2019-AA A 3.2% 05/27/36
N/A
SPRINGCASTLE FUNDING ASSET-BACKED NOTES 2019-A SER 2019-AA CL A REGD 144A P/P 3.20000000
85022WAL8
11831503.28000000
NS
USD
11875445.48000000
0.192498004943
Long
ABS-CBDO
CORP
US
Y
2
2036-05-27
Fixed
3.20000000
N
N
N
N
N
N
UMBS P#FM1023 3.5% 05/01/49
N/A
FANNIE MAE POOL UMBS P#FM1023 3.50000000
3140X4D52
1570714.45000000
NS
USD
1668506.82000000
0.027046078787
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
N
N
N
N
N
N
HENDR 2019-1A 3.82% 01/15/43
N/A
JG WENTWORTH XLIII LLC SER 2019-1A CL A REGD 144A P/P 3.82000000
46650XAA1
6411262.80000000
NS
USD
6707606.11000000
0.108728619595
Long
ABS-CBDO
CORP
US
Y
2
2071-08-17
Fixed
3.82000000
N
N
N
N
N
N
GNMA II P#477433 5.9% 07/20/28
N/A
GINNIE MAE II POOL P#477433 5.90000000
36209PLN5
47415.38000000
NS
USD
50959.79000000
0.000826045466
Long
ABS-MBS
USGSE
US
N
2
2028-07-20
Fixed
5.90000000
N
N
N
N
N
N
FGLMC P#C01172 6.5% 05/01/31
N/A
FREDDIE MAC GOLD POOL P#C01172 6.50000000
31292HJR6
4574.06000000
NS
USD
5079.83000000
0.000082342775
Long
ABS-MBS
USGA
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
NEWFIELD EXPLO 5.625% 07/01/24
T8W3X1PFLPW2YE0UIP44
NEWFIELD EXPLORATION CO REGD 5.62500000
651290AQ1
1400000.00000000
NS
USD
1538438.68000000
0.024937706726
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
5.62500000
N
N
N
N
N
N
FGLMC P#Q48581 3.5% 06/01/47
N/A
FREDDIE MAC GOLD POOL P#Q48581 3.50000000
3132WNRB0
1671310.21000000
NS
USD
1736059.31000000
0.028141087776
Long
ABS-MBS
USGA
US
N
2
2047-06-01
Fixed
3.50000000
N
N
N
N
N
N
TAH 2019-SFR1 2.75% 03/17/26
N/A
TRICON AMERICAN HOMES 2019-SFR1 TRUST SER 2019-SFR1 CL A REGD 144A P/P 2.75000000
89612LAA4
9411000.00000000
NS
USD
9428815.02000000
0.152838736314
Long
ABS-CBDO
CORP
US
Y
2
2038-03-17
Fixed
2.75000000
N
N
N
N
N
N
UMBS P#BH3119 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#BH3119 4.00000000
3140GRPD0
2543451.95000000
NS
USD
2676083.71000000
0.043378648498
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS PLC V/R /PERP/
213800LBQA1Y9L22JB70
BARCLAYS PLC REGD V/R /PERP/ 7.75000000
06738EBA2
6525000.00000000
NS
USD
7128562.50000000
0.115552217529
Long
DBT
CORP
GB
N
2
2168-12-15
Variable
7.75000000
N
N
N
N
N
N
SCFET 2017-2A 3.41% 12/20/23
N/A
SCF EQUIPMENT LEASING 2017-2 LLC SER 2017-2A CL A REGD 144A P/P 3.41000000
784012AA4
1324632.65000000
NS
USD
1325471.67000000
0.021485564690
Long
ABS-CBDO
CORP
US
Y
2
2023-12-20
Fixed
3.41000000
N
N
N
N
N
N
GNMA P#AU3733 3.5% 08/15/46
N/A
GINNIE MAE I POOL P#AU3733 3.50000000
36194REE6
2079816.22000000
NS
USD
2170067.83000000
0.035176257477
Long
ABS-MBS
USGSE
US
N
2
2046-08-15
Fixed
3.50000000
N
N
N
N
N
N
JPMMT 2019-8 B1A V/R 03/25/43
N/A
JP MORGAN MORTGAGE TRUST 2019-8 SER 2019-8 CL B1A V/R REGD 144A P/P 3.00641800
46591KBN2
8270974.34000000
NS
USD
8093514.80000000
0.131193853283
Long
ABS-CBDO
CORP
US
Y
2
2050-03-25
Variable
3.00641800
N
N
N
N
N
N
REPS 2019-A A 3.43% 02/20/23
N/A
REPUBLIC FINANCE ISSUANCE TRUST 2019-A SER 2019-A CL A REGD 144A P/P 3.43000000
76041QAA1
8000000.00000000
NS
USD
7986239.20000000
0.129454942603
Long
ABS-CBDO
CORP
US
Y
2
2027-11-22
Fixed
3.43000000
N
N
N
N
N
N
FISERV INC 3.8% 10/01/23
GI7UBEJLXYLGR2C7GV83
FISERV INC REGD 3.80000000
337738AQ1
5501000.00000000
NS
USD
5810964.52000000
0.094194283387
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
3.80000000
N
N
N
N
N
N
US TIPS 1% 02/15/48
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000
912810SB5
64572131.25000000
NS
USD
71447171.26000000
1.158140799819
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
BANK 2017-BNK 3.748% 09/15/27
N/A
BANK 2017-BNK7 SER 2017-BNK7 CL AS REGD 3.74800000
06541XAJ9
10350000.00000000
NS
USD
10997588.12000000
0.178268156412
Long
ABS-CBDO
CORP
US
N
2
2060-09-15
Fixed
3.74800000
N
N
N
N
N
N
T/L ELECTRICAL COM 0% 06/14/25
N/A
T/L ELECTRICAL COMPONENTS INTERNATIONAL INC REGD 0.00000000
29279EAB8
1055010.86000000
NS
USD
981160.10000000
0.015904360143
Long
LON
CORP
US
N
2
2025-06-14
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#BH6392 3.5% 11/01/47
N/A
FANNIE MAE POOL UMBS P#BH6392 3.50000000
3140GVC60
2602582.23000000
NS
USD
2702826.05000000
0.043812135149
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#467451 6.5% 01/15/29
N/A
GINNIE MAE I POOL P#467451 6.50000000
36209CH41
18694.20000000
NS
USD
20622.01000000
0.000334277631
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Fixed
6.50000000
N
N
N
N
N
N
FGLMC P#G15147 3% 08/01/29
N/A
FREDDIE MAC GOLD POOL P#G15147 3.00000000
3128MD5G4
2080822.04000000
NS
USD
2154502.22000000
0.034923942827
Long
ABS-MBS
USGA
US
N
2
2029-08-01
Fixed
3.00000000
N
N
N
N
N
N
T/L RPI FINANCE 0% 03/27/23
N/A
T/L RPI FINANCE TRUST REGD 0.00000000
N/A
2370007.18000000
NS
USD
2392062.47000000
0.038774735141
Long
LON
CORP
US
N
2
2023-03-27
Fixed
0.00000000
N
N
N
N
N
N
JPMCC 2012-C8 B V/R 09/15/22
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECU SER 2012-C8 CL B V/R REGD 144A P/P 3.97670000
46638UAK2
1900000.00000000
NS
USD
1954703.28000000
0.031685251916
Long
ABS-CBDO
CORP
US
Y
2
2045-10-15
Variable
3.97670000
N
N
N
N
N
N
GNMA P#590327 6.5% 07/15/32
N/A
GINNIE MAE I POOL P#590327 6.50000000
36201QYY3
7847.09000000
NS
USD
8656.31000000
0.000140316622
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
FGLMC P#G60659 3.5% 08/01/46
N/A
FREDDIE MAC GOLD POOL P#G60659 3.50000000
31335AWU8
7660063.72000000
NS
USD
8075205.55000000
0.130897064914
Long
ABS-MBS
USGA
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
CSMC 2019-RPL1 A V/R 07/25/58
N/A
CSMC 2019-RPL1 TRUST SER 2019-RPL1 CL A1A V/R REGD 144A P/P 3.65000000
12596MAB2
19237946.09000000
NS
USD
19876565.10000000
0.322194155438
Long
ABS-CBDO
CORP
US
Y
2
2058-07-25
Variable
3.65000000
N
N
N
N
N
N
FGLMC P#J05288 7% 08/01/22
N/A
FREDDIE MAC GOLD POOL P#J05288 7.00000000
3128PG2V4
6329.49000000
NS
USD
6366.86000000
0.000103205210
Long
ABS-MBS
USGA
US
N
2
2022-08-01
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#586351 5.5% 02/15/35
N/A
GINNIE MAE I POOL P#586351 5.50000000
36201LL85
16001.07000000
NS
USD
17385.12000000
0.000281808452
Long
ABS-MBS
USGSE
US
N
2
2035-02-15
Fixed
5.50000000
N
N
N
N
N
N
SOCIETE GENERALE V/R /PERP/
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE REGD V/R /PERP/ 144A P/P 7.37500000
83368JKG4
9051000.00000000
NS
USD
9594060.00000000
0.155517316164
Long
DBT
CORP
FR
Y
2
2168-03-13
Variable
7.37500000
N
N
N
N
N
N
GNMA II P#2005 8% 05/20/25
N/A
GINNIE MAE II POOL P#2005 8.00000000
36202CGN7
8.21000000
NS
USD
8.32000000
0.000000134865
Long
ABS-MBS
USGSE
US
N
2
2025-05-20
Fixed
8.00000000
N
N
N
N
N
N
CENTENE CORP 4.625% 12/15/29
549300Z7JJ4TQSQGT333
CENTENE CORP REGD 144A P/P 4.62500000
15135BAS0
3870000.00000000
NS
USD
4068724.50000000
0.065953007845
Long
DBT
CORP
US
Y
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
GNMA P#778607 3.5% 11/15/41
N/A
GINNIE MAE I POOL P#778607 3.50000000
36176WYC9
6113027.19000000
NS
USD
6431680.16000000
0.104255928867
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
3.50000000
N
N
N
N
N
N
FINANCE AMER V/R 6/25/69
N/A
FINANCE AMER STRUCTURED SECS SER 2019-JR2 VARIABLE REGS/144A 0.00000000
31739GAA5
13408655.41000000
NS
USD
13909558.53000000
0.225470469396
Long
ABS-CBDO
CORP
US
N
2
2069-06-25
Variable
0.00000000
N
N
N
N
N
N
GNMA P#620628 6% 09/15/33
N/A
GINNIE MAE I POOL P#620628 6.00000000
36290XPM6
7711.14000000
NS
USD
8489.79000000
0.000137617375
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
MCMLT 2015-1 B3 V/R 11/25/40
N/A
MILL CITY MORTGAGE TRUST 2015-1 SER 2015-1 CL B3 V/R REGD 144A P/P 3.80995600
599809CS7
6582000.00000000
NS
USD
6180428.89000000
0.100183208539
Long
ABS-CBDO
CORP
US
Y
2
2056-06-25
Variable
3.80995600
N
N
N
N
N
N
FWD 2019-INV1 M1 V/R 07/25/49
N/A
SER 2019-INV1 CL M1 V/R REGD 144A P/P 3.48000000
302980AD9
2150000.00000000
NS
USD
2158777.16000000
0.034993238537
Long
ABS-CBDO
CORP
US
Y
2
2049-07-25
Variable
3.48000000
N
N
N
N
N
N
ARTEX SAC LTD 0.0% 12/31/22
N/A
ARTEX SAC LTD GLENEAGLES RE 2019 REGD ZCP /BNR490275/ 0.00000000
N/A
886832.00000000
NS
USD
965315.92000000
0.015647529943
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#G07362 4% 10/01/42
N/A
FREDDIE MAC GOLD POOL P#G07362 4.00000000
3128M9QP0
3137512.33000000
NS
USD
3358117.66000000
0.054434248467
Long
ABS-MBS
USGA
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#AJ8913 4% 01/15/45
N/A
GINNIE MAE I POOL P#AJ8913 4.00000000
36183E3W0
333166.20000000
NS
USD
357638.76000000
0.005797234967
Long
ABS-MBS
USGSE
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
PMTLT 2013-J1 A1 V/R 05/25/39
N/A
PMT LOAN TRUST 2013-J1 SER 2013-J1 CL A11 V/R REGD 144A P/P 3.50000000
693456AY1
8044021.75000000
NS
USD
8228784.89000000
0.133386547654
Long
ABS-CBDO
CORP
US
Y
2
2043-09-25
Variable
3.50000000
N
N
N
N
N
N
GENERAL ELECTRIC 5.3% 02/11/21
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO REGD MTN 5.30000000
369622SM8
1392000.00000000
NS
USD
1436167.20000000
0.023279911581
Long
DBT
CORP
US
N
2
2021-02-11
Fixed
5.30000000
N
N
N
N
N
N
BANK 2017-BNK 3.624% 06/15/27
N/A
BANK 2017-BNK5 SER 2017-BNK5 CL AS REGD 3.62400000
06541WBA9
7460000.00000000
NS
USD
7829907.08000000
0.126920837987
Long
ABS-CBDO
CORP
US
N
2
2060-06-15
Fixed
3.62400000
N
N
N
N
N
N
UMBS P#725704 6% 08/01/34
N/A
FANNIE MAE POOL UMBS P#725704 6.00000000
31402DGM6
78328.13000000
NS
USD
89772.52000000
0.001455190125
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
T/L AXALTA COAT 0% 6/1/24
N/A
T/L AXALTA COATING SYSTEMS /LX163100/ 0.00000000
90347BAH1
989924.44000000
NS
USD
993512.92000000
0.016104596270
Long
LON
CORP
NL
N
2
2024-06-01
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#577732 6% 10/15/32
N/A
GINNIE MAE I POOL P#577732 6.00000000
36201AY51
5740.41000000
NS
USD
6320.06000000
0.000102446593
Long
ABS-MBS
USGSE
US
N
2
2032-10-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#434219 6.5% 03/15/29
N/A
GINNIE MAE I POOL P#434219 6.50000000
36207KK82
3384.88000000
NS
USD
3733.94000000
0.000060526234
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA II P#2716 7% 02/20/29
N/A
GINNIE MAE II POOL P#2716 7.00000000
36202DAR2
4334.45000000
NS
USD
4935.77000000
0.000080007598
Long
ABS-MBS
USGSE
US
N
2
2029-02-20
Fixed
7.00000000
N
N
N
N
N
N
VISA INC 2.2% 12/14/20
549300JZ4OKEHW3DPJ59
VISA INC REGD 2.20000000
92826CAB8
4550000.00000000
NS
USD
4568121.47000000
0.074048107988
Long
DBT
CORP
US
N
2
2020-12-14
Fixed
2.20000000
N
N
N
N
N
N
CSMC 2019-ICE4 E V/R 05/15/21
N/A
CREDIT SUISSE MORTGAGE CAPITAL CER SER 2019-ICE4 CL E V/R REGD 144A P/P 3.88975000
12653VAJ5
8375000.00000000
NS
USD
8388116.93000000
0.135969280224
Long
ABS-CBDO
CORP
US
Y
2
2036-05-15
Variable
3.88975000
N
N
N
N
N
N
SMALL BUS ADMIN 4.84% 5/1/25
N/A
SMALL BUS ADMIN 4.84% 5/1/25 4.84000000
83162CPN7
130205.61000000
NS
USD
136173.28000000
0.002207334854
Long
ABS-CBDO
CORP
US
N
2
2025-05-01
Fixed
4.84000000
N
N
N
N
N
N
FGLMC P#Q47341 4% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47341 4.00000000
3132WMEP5
5909466.21000000
NS
USD
6293008.24000000
0.102008091682
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
FNGT 2004-T2 2 V/R 07/25/43
N/A
FANNIE MAE GRANTOR TRUST SERIES 2004-T2 CLASS 2A V/R 4.57118000
31393X7K7
400982.25000000
NS
USD
421720.29000000
0.006835980562
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Variable
4.57118000
N
N
N
N
N
N
GNMA P#790385 4% 02/15/42
N/A
GINNIE MAE I POOL P#790385 4.00000000
36177JNB1
17758.28000000
NS
USD
19043.47000000
0.000308689891
Long
ABS-MBS
USGSE
US
N
2
2042-02-15
Fixed
4.00000000
N
N
N
N
N
N
T/L MULTIPLAN INC 0% 06/07/23
N/A
T/L MULTIPLAN INC REGD 0.00000000
N/A
420807.43000000
NS
USD
416248.82000000
0.006747289400
Long
LON
CORP
US
N
2
2023-06-07
Fixed
0.00000000
N
N
N
N
N
N
IHSFR 2018-SFR3 V/R 07/17/20
N/A
INVITATION HOMES 2018-SFR3 TRUST SER 2018-SFR3 CL D V/R REGD 144A P/P 3.38738000
46187VAG4
6860000.00000000
NS
USD
6883490.01000000
0.111579653681
Long
ABS-CBDO
CORP
US
Y
2
2037-07-17
Variable
3.38738000
N
N
N
N
N
N
ENLINK MIDSTRE 5.375% 06/01/29
54930000GY1H533OBE23
ENLINK MIDSTREAM LLC REGD 5.37500000
29336TAA8
510000.00000000
NS
USD
479400.00000000
0.007770954253
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.37500000
N
N
N
N
N
N
URSA RE LTD V/R 05/27/20
549300O8X4DWGDJZ6W59
URSA RE LTD REGD V/R 144A P/P SER E 7.56120600
90323WAF7
800000.00000000
NS
USD
791120.00000000
0.012823857591
Long
DBT
CORP
BM
Y
2
2020-05-27
Variable
7.56120600
N
N
N
N
N
N
GNMA P#479813 7% 12/15/30
N/A
GINNIE MAE I POOL P#479813 7.00000000
36209SAN1
1704.25000000
NS
USD
1730.23000000
0.000028046596
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.00000000
N
N
N
N
N
N
AMC ENTERTAINMENT HOLDINGS INC 0% 04/22/2026
N/A
AMC ENTERTAINMENT HOLDINGS INC REGD 0.00000000
00164DAQ6
547520.25000000
NS
USD
552174.17000000
0.008950605371
Long
LON
CORP
US
N
2
2026-04-22
Fixed
0.00000000
N
N
N
N
N
N
HPA 2018-1 A V/R 07/15/20
N/A
HOME PARTNERS OF AMERICA 2018-1 TRUST SER 2018-1 CL A V/R REGD 144A P/P 2.63738000
43730WAA4
5187861.52000000
NS
USD
5187037.69000000
0.084080585319
Long
ABS-CBDO
CORP
US
Y
2
2037-07-17
Variable
2.63738000
N
N
N
N
N
N
ENLINK MIDSTREA 5.45% 06/01/47
88CPW63VL7KHJWS0NY83
ENLINK MIDSTREAM PARTNER REGD 5.45000000
29336UAG2
8316000.00000000
NS
USD
6715170.00000000
0.108851228363
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
5.45000000
N
N
N
N
N
N
MCAS 2019-01 M7 V/R 10/15/49
N/A
MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRU SER 2019-01 CL M7 V/R 144A P/P 3.49200000
62547NAA7
4193338.48000000
NS
USD
4209219.07000000
0.068230389732
Long
ABS-CBDO
CORP
US
Y
2
2049-10-15
Variable
3.49200000
N
N
N
N
N
N
UMBS P#BH4634 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#BH4634 4.00000000
3140GTEG1
7122771.56000000
NS
USD
7489027.39000000
0.121395263358
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
INTESA SANPAOLO SPA V/R /PERP/
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA REGD V/R /PERP/ 144A P/P MTN 7.70000000
46115HAU1
5550000.00000000
NS
USD
6014812.50000000
0.097498608225
Long
DBT
CORP
IT
Y
2
2168-03-17
Variable
7.70000000
N
N
N
N
N
N
GNMA II P#3010 7% 12/20/30
N/A
GINNIE MAE II POOL P#3010 7.00000000
36202DKX8
1248.70000000
NS
USD
1434.73000000
0.000023256614
Long
ABS-MBS
USGSE
US
N
2
2030-12-20
Fixed
7.00000000
N
N
N
N
N
N
TPMT 2017-4 M2 V/R 06/25/57
N/A
TOWD POINT MORTGAGE TRUST 2017-4 SER 2017-4 CL M2 V/R REGD 144A P/P 3.25000000
89173UAD9
23000000.00000000
NS
USD
22980590.30000000
0.372509628597
Long
ABS-CBDO
CORP
US
Y
2
2057-06-25
Variable
3.25000000
N
N
N
N
N
N
UMBS P#BH1439 4% 04/01/47
N/A
FANNIE MAE POOL UMBS P#BH1439 4.00000000
3140GPS58
2760724.71000000
NS
USD
2938401.78000000
0.047630758890
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#AJ6295 4% 09/15/44
N/A
GINNIE MAE I POOL P#AJ6295 4.00000000
36183B7G7
163011.81000000
NS
USD
171515.62000000
0.002780225358
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
TPMT 2019-2 A2 V/R 12/25/58
N/A
TOWD POINT MORTGAGE TRUST 2019-2 SER 2019-2 CL A2 V/R REGD 144A P/P 3.75000000
89177JAB4
22685000.00000000
NS
USD
23772351.03000000
0.385343872261
Long
ABS-CBDO
CORP
US
Y
2
2058-12-25
Variable
3.75000000
N
N
N
N
N
N
HPA 2017-1 B V/R 07/17/22
N/A
HOME PARTNERS OF AMERICA 2017-1 TRUST SER 2017-1 CL B V/R REGD 144A P/P 3.08738000
43730TAC7
750000.00000000
NS
USD
750253.73000000
0.012161425562
Long
ABS-CBDO
CORP
US
Y
2
2034-07-17
Variable
3.08738000
N
N
N
N
N
N
UNITED RENTALS 3.875% 11/15/27
N/A
UNITED RENTALS NORTH AM REGD 3.87500000
911365BM5
3915000.00000000
NS
USD
3997019.25000000
0.064790683654
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.87500000
N
N
N
N
N
N
GNMA P#583047 6% 09/15/34
N/A
GINNIE MAE I POOL P#583047 6.00000000
36201GWG6
34753.11000000
NS
USD
38269.45000000
0.000620338225
Long
ABS-MBS
USGSE
US
N
2
2034-09-15
Fixed
6.00000000
N
N
N
N
N
N
TRPTY TORONTO D 1.55% 01/02/20
N/A
TRPTY TORONTO D 1.55% 01/02/20 1.55000000
N/A
4025000.00000000
PA
USD
4025000.00000000
0.065244244622
Long
RA
CORP
US
N
2
Repurchase
Y
1.55000000
2020-01-02
3688200.00000000
USD
4105524.70610521
USD
AMBS
N
N
N
TMCAT 2018-AA D 4.3% 09/15/21
N/A
TIDEWATER AUTO RECEIVABLES TRUST 2018-A SER 2018-AA CL D REGD 144A P/P 4.30000000
88642MAE0
1078000.00000000
NS
USD
1097928.45000000
0.017797145930
Long
ABS-CBDO
CORP
US
Y
2
2024-11-15
Fixed
4.30000000
N
N
N
N
N
N
GNMA P#622659 6% 11/15/33
N/A
GINNIE MAE I POOL P#622659 6.00000000
36291AWU9
86939.55000000
NS
USD
95730.19000000
0.001551762468
Long
ABS-MBS
USGSE
US
N
2
2033-11-15
Fixed
6.00000000
N
N
N
N
N
N
TEACHERS INSUR 6.85% 12/16/39
N/A
TEACHERS INSUR & ANNUITY REGD 144A P/P 6.85000000
878091BC0
690000.00000000
NS
USD
1004487.44000000
0.016282490498
Long
DBT
CORP
US
Y
2
2039-12-16
Fixed
6.85000000
N
N
N
N
N
N
UMBS P#RA1088 4.5% 07/01/49
N/A
FREDDIE MAC POOL UMBS P#RA1088 4.50000000
3133KGF52
1220816.94000000
NS
USD
1288719.27000000
0.020889817466
Long
ABS-MBS
USGA
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
TPMT 2019-4 A1 V/R 10/25/59
N/A
TOWD POINT MORTGAGE TRUST 2019-4 SER 2019-4 CL A1 V/R REGD 144A P/P 2.90000000
89178BAA2
335554.70000000
NS
USD
337484.24000000
0.005470535232
Long
ABS-CBDO
CORP
US
Y
2
2059-10-25
Variable
2.90000000
N
N
N
N
N
N
FGLMC P#Q42624 4% 08/01/46
N/A
FREDDIE MAC GOLD POOL P#Q42624 4.00000000
3132WF4J5
3186600.23000000
NS
USD
3362116.70000000
0.054499071906
Long
ABS-MBS
USGA
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
ONGLT 2019-A D 4.93% 04/09/38
N/A
ORANGE LAKE TIMESHARE TRUST 2019-A SER 2019-A CL D REGD 144A P/P 4.93000000
68504UAD3
5898555.88000000
NS
USD
6000758.39000000
0.097270794613
Long
ABS-CBDO
CORP
US
Y
2
2038-04-09
Fixed
4.93000000
N
N
N
N
N
N
FGLMC P#C01755 6% 01/01/34
N/A
FREDDIE MAC GOLD POOL P#C01755 6.00000000
31292H5Q3
17731.67000000
NS
USD
20342.69000000
0.000329749923
Long
ABS-MBS
USGA
US
N
2
2034-01-01
Fixed
6.00000000
N
N
N
N
N
N
CRMBS 20 3.064% 08/17/26 /CAD/
N/A
CLASSIC RMBS TRUST SER 2019-1A CL A REGD 144A P/P /CAD/ 3.06400000
18273RAD4
7648916.38000000
NS
5894113.00000000
0.095542099479
Long
ABS-CBDO
CORP
CA
Y
2
2049-08-16
Fixed
3.06400000
N
N
N
N
N
N
GNMA P#502981 6% 02/15/29
N/A
GINNIE MAE I POOL P#502981 6.00000000
36210UXJ7
44800.26000000
NS
USD
49689.87000000
0.000805460381
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA P#598534 6.5% 8/1/31_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #598534_ 6.50000000
31387Y4T7
7632.51000000
NS
USD
8471.63000000
0.000137323006
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
T/L SOTERA HEALTH 0% 11/20/26
N/A
T/L SOTERA HEALTH HOLDINGS LLC REGD 0.00000000
N/A
700000.00000000
NS
USD
703208.10000000
0.011398827651
Long
LON
CORP
US
N
2
2026-11-20
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#A32812 6% 04/01/35
N/A
FREDDIE MAC GOLD POOL P#A32812 6.00000000
31297NDR4
14409.30000000
NS
USD
15866.24000000
0.000257187787
Long
ABS-MBS
USGA
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
BMARK 2018-B5 3.943% 07/15/28
N/A
BENCHMARK 2018-B5 MORTGAGE TRUST SER 2018-B5 CL A3 REGD 3.94360000
08160BAC8
4200000.00000000
NS
USD
4607890.56000000
0.074692755003
Long
ABS-CBDO
CORP
US
N
2
2051-07-15
Fixed
3.94360000
N
N
N
N
N
N
FSMT 2018-3INV B V/R 01/25/41
N/A
FLAGSTAR MORTGAGE TRUST 2018-3 SER 2018-3INV CL B1 V/R REGD 144A P/P 4.50281500
33851JAS8
4604749.88000000
NS
USD
4906180.03000000
0.079527952804
Long
ABS-CBDO
CORP
US
Y
2
2048-05-25
Variable
4.50281500
N
N
N
N
N
N
CAS 2019-R02 1M2 V/R 08/25/31
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2019-R02 SER 2019-R02 CL 1M2 V/R REGD 144A P/P 4.09200000
20753KAB8
1440000.00000000
NS
USD
1453296.82000000
0.023557578443
Long
ABS-CBDO
CORP
US
Y
2
2031-08-25
Variable
4.09200000
N
N
N
N
N
N
ROCKWELL COLLINS 3.2% 03/15/24
XO75O7GICH1NPWLBRL05
ROCKWELL COLLINS INC REGD 3.20000000
774341AJ0
13470000.00000000
NS
USD
14019724.57000000
0.227256233387
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.20000000
N
N
N
N
N
N
UMBS P#BE7961 3.5% 02/01/47
N/A
FANNIE MAE POOL UMBS P#BE7961 3.50000000
3140FTZ38
5081343.01000000
NS
USD
5277068.01000000
0.085539954319
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#569685 6.5% 02/15/32
N/A
GINNIE MAE I POOL P#569685 6.50000000
36200Q2S2
13255.82000000
NS
USD
15194.31000000
0.000246295969
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#FM1024 3.5% 05/01/49
N/A
FANNIE MAE POOL UMBS P#FM1024 3.50000000
3140X4D60
2213556.30000000
NS
USD
2371662.37000000
0.038444054616
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AS1091 4% 11/01/43
N/A
FANNIE MAE POOL UMBS P#AS1091 4.00000000
3138WAF93
2698810.80000000
NS
USD
2905528.26000000
0.047097887342
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.00000000
N
N
N
N
N
N
AUTOZONE INC 2.5% 04/15/21
GA3JGKJ41LJKXDN23E90
AUTOZONE INC REGD 2.50000000
053332AS1
3994000.00000000
NS
USD
4015881.45000000
0.065096435204
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
2.50000000
N
N
N
N
N
N
GNMA P#592490 6% 02/15/33
N/A
GINNIE MAE I POOL P#592490 6.00000000
36201TF77
56486.96000000
NS
USD
63392.85000000
0.001027582264
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
FNMA P#721255 5.50% 7/1/33
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #721255 5.50000000
31401XH83
61620.46000000
NS
USD
68850.53000000
0.001116049893
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 12/01/22
549300QS6XPZQHTCEJ97
SECTOR RE V LTD REGD ZCP 144A P/P 0.00000000
81369ACF7
300000.00000000
NS
USD
64309.19000000
0.001042435906
Long
DBT
CORP
BM
Y
3
2022-12-01
Fixed
0.00000000
N
N
N
N
N
N
FNMA P#562049 7% 12/1/30__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #562049__ 7.00000000
31386FL60
5707.37000000
NS
USD
6361.13000000
0.000103112328
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.00000000
N
N
N
N
N
N
TURKIYE GARANTI B V/R 05/24/27
5493002XSS7K7RHN1V37
TURKIYE GARANTI BANKASI REGD V/R 144A P/P 6.12500000
900148AE7
2250000.00000000
NS
USD
2127375.00000000
0.034484217367
Long
DBT
CORP
TR
Y
2
2027-05-24
Variable
6.12500000
N
N
N
N
N
N
INDIANA MICHIGA 4.55% 03/15/46
N/A
INDIANA MICHIGAN POWER REGD SER K 4.55000000
454889AQ9
2725000.00000000
NS
USD
3182684.71000000
0.051590524167
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
4.55000000
N
N
N
N
N
N
VITALITY RE VII L V/R 01/07/20
N/A
VITALITY RE VII LTD REGD V/R 144A P/P SER * 3.93483400
92848XAA8
2900000.00000000
NS
USD
2899420.00000000
0.046998873973
Long
DBT
CORP
KY
Y
2
2020-01-07
Variable
3.93483400
N
N
N
N
N
N
VISIO 2019-2 A1 V/R 11/25/25
N/A
VISIO 2019-2 TRUST SER 2019-2 CL A1 V/R REGD 144A P/P 2.72200000
92837DAA5
14317424.92000000
NS
USD
14321425.21000000
0.232146725402
Long
ABS-CBDO
CORP
US
Y
2
2054-11-25
Variable
2.72200000
N
N
N
N
N
N
TEVA PHARMACEU 7.125% 01/31/25
N/A
TEVA PHARMACEUTICALS NE REGD 144A P/P 7.12500000
88167AAM3
5175000.00000000
NS
USD
5315760.00000000
0.086167141812
Long
DBT
CORP
NL
Y
2
2025-01-31
Fixed
7.12500000
N
N
N
N
N
N
IBRD V/R 02/15/21
N/A
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT V/R SER GDIF 4.20988000
U4586FSE8
1500000.00000000
NS
USD
1476600.00000000
0.023935317170
Long
DBT
USGA
US
Y
2
2021-02-15
Variable
4.20988000
N
N
N
N
N
N
FGLMC P#B19033 4.5% 03/01/20
N/A
FREDDIE MAC GOLD POOL P#B19033 4.50000000
312972BA9
1289.28000000
NS
USD
1331.53000000
0.000021583768
Long
ABS-MBS
USGA
US
N
2
2020-03-01
Fixed
4.50000000
N
N
N
N
N
N
LEVEL 3 FINANC 5.375% 01/15/24
N/A
LEVEL 3 FINANCING INC REGD SER WI 5.37500000
527298BK8
3989000.00000000
NS
USD
4053821.25000000
0.065711429885
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.37500000
N
N
N
N
N
N
PFMT 2019-1 A2 V/R 11/25/43
N/A
PROVIDENT FUNDING MORTGAGE TRUST 2019-1 SER 2019-1 CL A2 V/R REGD 144A P/P 3.00000000
74387LAC5
8725000.00000000
NS
USD
8776809.05000000
0.142269882400
Long
ABS-CBDO
CORP
US
Y
2
2049-12-25
Variable
3.00000000
N
N
N
N
N
N
ABBVIE INC 4.875% 11/14/48
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD 4.87500000
00287YBD0
12975000.00000000
NS
USD
14990484.34000000
0.242992006779
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
4.87500000
N
N
N
N
N
N
AXIS 2018-2A C 4.27% 01/20/23
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES VI LLC SER 2018-2A CL C REGD 144A P/P 4.27000000
03237JAD9
1675000.00000000
NS
USD
1729127.63000000
0.028028726975
Long
ABS-CBDO
CORP
US
Y
2
2023-01-20
Fixed
4.27000000
N
N
N
N
N
N
GNMA P#691311 6% 08/15/38
N/A
GINNIE MAE I POOL P#691311 6.00000000
36296HAL3
26199.63000000
NS
USD
29483.20000000
0.000477915307
Long
ABS-MBS
USGSE
US
N
2
2038-08-15
Fixed
6.00000000
N
N
N
N
N
N
HRZN 2019-1A A 4.21% 04/15/24
N/A
HORIZON FUNDING 2019-1 SER 2019-1A CL A1 REGD 144A P/P 4.21000000
44053UAA5
5250000.00000000
NS
USD
5249562.15000000
0.085094091198
Long
ABS-CBDO
CORP
US
Y
2
2027-09-15
Fixed
4.21000000
N
N
N
N
N
N
AOMT 2019-2 M1 V/R 04/25/23
N/A
ANGEL OAK MORTGAGE TRUST I LLC 2019-2 SER 2019-2 CL M1 V/R REGD 144A P/P 4.06500000
03463WAD5
6700000.00000000
NS
USD
6820790.95000000
0.110563317580
Long
ABS-CBDO
CORP
US
Y
2
2049-03-25
Variable
4.06500000
N
N
N
N
N
N
GNMA P#634644 5.5% 11/15/34
N/A
GINNIE MAE I POOL P#634644 5.50000000
36291QBM5
271438.27000000
NS
USD
304426.55000000
0.004934678334
Long
ABS-MBS
USGSE
US
N
2
2034-11-15
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#BD5053 4.5% 02/01/47
N/A
FANNIE MAE POOL UMBS P#BD5053 4.50000000
3140FCTK4
2220433.95000000
NS
USD
2347888.41000000
0.038058684662
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.50000000
N
N
N
N
N
N
RBIT 2019-1 M3 V/R 04/25/22
N/A
RMF BUYOUT ISSUANCE TRUST 2019-1 SER 2019-1 CL M3 V/R REGD 144A P/P 3.01100000
76971DAD8
2000000.00000000
NS
USD
2001273.60000000
0.032440145171
Long
ABS-CBDO
CORP
US
Y
2
2029-07-25
Variable
3.01100000
N
N
N
N
N
N
BOWLINE RE 2018 V/R 05/23/22
N/A
BOWLINE RE 2018 REGD V/R 144A P/P SER A 6.24894700
10260PAA6
2000000.00000000
NS
USD
1974600.00000000
0.032007772778
Long
DBT
CORP
BM
Y
2
2022-05-23
Variable
6.24894700
N
N
N
N
N
N
UMBS P#AH6735 5% 02/01/41
N/A
FANNIE MAE POOL UMBS P#AH6735 5.00000000
3138A8PV2
2191056.20000000
NS
USD
2414616.28000000
0.039140326768
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
5.00000000
N
N
N
N
N
N
BXGNT 2015-A A 2.88% 05/02/30
N/A
BXG RECEIVABLES NOTE TRUST 2015-A SER 2015-A CL A REGD 144A P/P 2.88000000
05606XAA2
794182.12000000
NS
USD
791733.74000000
0.012833806163
Long
ABS-CBDO
CORP
US
Y
2
2030-05-02
Fixed
2.88000000
N
N
N
N
N
N
GNMA II P#2217 7% 05/20/26
N/A
GINNIE MAE II POOL P#2217 7.00000000
36202CPA5
4019.84000000
NS
USD
4374.93000000
0.000070916522
Long
ABS-MBS
USGSE
US
N
2
2026-05-20
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#654646 4% 09/15/41
N/A
GINNIE MAE I POOL P#654646 4.00000000
36294NHX9
2080.09000000
NS
USD
2175.62000000
0.000035266256
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AY7024 4% 01/01/45
N/A
FANNIE MAE POOL UMBS P#AY7024 4.00000000
3138YLYW5
53110.61000000
NS
USD
56284.65000000
0.000912360117
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#473140 6% 10/15/28
N/A
GINNIE MAE I POOL P#473140 6.00000000
36209JS51
5301.09000000
NS
USD
5855.84000000
0.000094921703
Long
ABS-MBS
USGSE
US
N
2
2028-10-15
Fixed
6.00000000
N
N
N
N
N
N
ALBERMALE WOD P 3.45% 11/15/29
N/A
ALBERMALE WOD PTY LTD REGD 144A P/P 3.45000000
01273PAA0
11835000.00000000
NS
USD
11840046.21000000
0.191924191619
Long
DBT
CORP
AU
Y
2
2029-11-15
Fixed
3.45000000
N
N
N
N
N
N
GNMA P#741396 4% 09/15/40
N/A
GINNIE MAE I POOL P#741396 4.00000000
3620AVUV2
4434.62000000
NS
USD
4677.82000000
0.000075826293
Long
ABS-MBS
USGSE
US
N
2
2040-09-15
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#Q48615 3.5% 06/01/47
N/A
FREDDIE MAC GOLD POOL P#Q48615 3.50000000
3132WNSD5
3510774.04000000
NS
USD
3647052.95000000
0.059117817346
Long
ABS-MBS
USGA
US
N
2
2047-06-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AS1626 4.5% 02/01/44
N/A
FANNIE MAE POOL UMBS P#AS1626 4.50000000
3138WAYY7
2361783.11000000
NS
USD
2535179.06000000
0.041094619317
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.50000000
N
N
N
N
N
N
FGLMC P#Q13205 3% 11/01/42
N/A
FREDDIE MAC GOLD POOL P#Q13205 3.00000000
3132HPR22
5215161.33000000
NS
USD
5376818.08000000
0.087156878037
Long
ABS-MBS
USGA
US
N
2
2042-11-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA P#471313 6.5% 03/15/32
N/A
GINNIE MAE I POOL P#471313 6.50000000
36209GSA6
68255.70000000
NS
USD
76000.62000000
0.001231951066
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#725064 4.5% 12/15/39
N/A
GINNIE MAE I POOL P#725064 4.50000000
3620ABQR0
715134.18000000
NS
USD
776961.92000000
0.012594358651
Long
ABS-MBS
USGSE
US
N
2
2039-12-15
Fixed
4.50000000
N
N
N
N
N
N
FGLMC P#G18527 3% 10/01/29
N/A
FREDDIE MAC GOLD POOL P#G18527 3.00000000
3128MMSR5
1860249.03000000
NS
USD
1916410.06000000
0.031064528385
Long
ABS-MBS
USGA
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
ADANIREN KODSO 4.625% 10/15/39
N/A
ADANIREN KODSOPAR WARSOM REGD 144A P/P MTN 4.62500000
00654CAA0
5483000.00000000
NS
USD
5554279.00000000
0.090033475224
Long
DBT
CORP
IN
Y
2
2039-10-15
Fixed
4.62500000
N
N
N
N
N
N
GNMA P#781594 6.5% 01/15/33
N/A
GINNIE MAE I POOL P#781594 6.50000000
36225BXX1
223628.96000000
NS
USD
259927.04000000
0.004213352392
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#580607 6% 02/15/33
N/A
GINNIE MAE I POOL P#580607 6.00000000
36201EAG5
16298.23000000
NS
USD
18355.16000000
0.000297532558
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
NWSB 2017-1 A V/R 02/15/43
N/A
NEWTEK SMALL BUSINESS LOAN TRUST 2017-1 SER 2017-1 CL A V/R 144A P/P 3.79200000
65252WAA5
2957279.43000000
NS
USD
2977600.08000000
0.048266153542
Long
ABS-CBDO
CORP
US
Y
2
2043-02-15
Variable
3.79200000
N
N
N
N
N
N
UMBS P#AS7804 4% 08/01/46
N/A
FANNIE MAE POOL UMBS P#AS7804 4.00000000
3138WHU67
3898551.31000000
NS
USD
4106914.53000000
0.066572058692
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#781530 6.5% 12/15/32
N/A
GINNIE MAE I POOL P#781530 6.50000000
36225BVX3
202260.35000000
NS
USD
234862.47000000
0.003807061973
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA P#829096 5% 10/1/20__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #829096___ 5.00000000
31407FC99
14643.33000000
NS
USD
15127.68000000
0.000245215914
Long
ABS-MBS
USGSE
US
N
2
2020-10-01
Fixed
5.00000000
N
N
N
N
N
N
ANGLO AMERICAN 4.875% 05/14/25
N/A
ANGLO AMERICAN CAPITAL REGD 144A P/P 4.87500000
034863AP5
6600000.00000000
NS
USD
7252572.95000000
0.117562395948
Long
DBT
CORP
GB
Y
2
2025-05-14
Fixed
4.87500000
N
N
N
N
N
N
TRFIG 2017-1A A1 V/R 06/15/20
N/A
TRAFIGURA SECURITISATION FINANCE PLC 2 SER 2017-1A CL A1 V/R REGD 144A P/P 2.58975000
892725AE2
3000000.00000000
NS
USD
3001437.00000000
0.048652544061
Long
ABS-CBDO
CORP
IE
Y
2
2020-12-15
Variable
2.58975000
N
N
N
N
N
N
FNR 2009-36 HX 4.5% 06/25/29
N/A
FANNIE MAE REMICS SER 2009-36 CL HX 4.50000000
31397NR31
204628.25000000
NS
USD
213566.80000000
0.003461864482
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Fixed
4.50000000
N
N
N
N
N
N
OBX 2019-INV2 A5 V/R 05/27/49
N/A
OBX 2019-INV2 TRUST SER 2019-INV2 CL A5 V/R REGD 144A P/P 4.00000000
67112VAE5
10740566.98000000
NS
USD
10977315.93000000
0.177939549275
Long
ABS-CBDO
CORP
US
Y
2
2049-05-27
Variable
4.00000000
N
N
N
N
N
N
SBAP 2008-20L I 6.22% 12/1/28
N/A
SMALL BUSINESS ADMINISTRATION_ PARTICIPATION SERIES 2008-20L CLASS 1 REGD 6.22000000
83162CSE4
111906.06000000
NS
USD
122382.92000000
0.001983796563
Long
ABS-CBDO
CORP
US
N
2
2028-12-01
Fixed
6.22000000
N
N
N
N
N
N
MDPK 2019-36A D V/R 01/15/33
N/A
MADISON PARK FUNDING XXXVI LTD SER 2019-36A CL D V/R REGD 144A P/P 3.75000000
55819PAJ8
3750000.00000000
NS
USD
3749928.75000000
0.060785408368
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
3.75000000
N
N
N
N
N
N
ALTURAS RE 2019-2 0% 3/10/22
N/A
ALTURAS RE 2019-2 ZCP REGD 0.00000000
N/A
2800000.00000000
NS
USD
3062360.00000000
0.049640090673
Long
DBT
CORP
BM
N
2
2022-03-10
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#780813 6.5% 06/15/28
N/A
GINNIE MAE I POOL P#780813 6.50000000
36225A3W8
5627.29000000
NS
USD
6328.48000000
0.000102583080
Long
ABS-MBS
USGSE
US
N
2
2028-06-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#790605 6% 09/01/34
N/A
FANNIE MAE POOL UMBS P#790605 6.00000000
31405JKS2
17194.66000000
NS
USD
19046.03000000
0.000308731388
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
CHURCH & DWIGHT 2.45% 08/01/22
POOXSI30AWAQGYJZC921
CHURCH & DWIGHT CO INC REGD 2.45000000
171340AK8
8203000.00000000
NS
USD
8273020.40000000
0.134103594222
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
2.45000000
N
N
N
N
N
N
STACR 2019-HQA1 V/R 02/25/49
N/A
FREDDIE MAC STACR TRUST 2019-HQA1 SER 2019-HQA1 CL M2 V/R REGD 144A P/P 4.14200000
35563MAH9
3926000.00000000
NS
USD
3966248.17000000
0.064291892133
Long
ABS-CBDO
CORP
US
Y
2
2049-02-25
Variable
4.14200000
N
N
N
N
N
N
VENDE 2010-1 DA 4.25% 2/15/35
N/A
VENDE 2010-1 DA 4.25% 2/15/35 4.25000000
92261XAA6
245221.66000000
NS
USD
250011.38000000
0.004052622021
Long
ABS-CBDO
CORP
US
N
2
2035-02-15
Fixed
4.25000000
N
N
N
N
N
N
GNMA P#615898 5.5% 08/15/33
N/A
GINNIE MAE I POOL P#615898 5.50000000
36290SGF2
21341.26000000
NS
USD
23932.64000000
0.000387942116
Long
ABS-MBS
USGSE
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
GNMA P#AJ6282 4% 09/15/44
N/A
GINNIE MAE I POOL P#AJ6282 4.00000000
36183B6T0
294472.07000000
NS
USD
308537.00000000
0.005001307702
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
T/L STONEPEAK LON 0% 10/14/26
N/A
T/L STONEPEAK LONESTAR HOLDINGS LLC REGD 0.00000000
86184NAC0
4780000.00000000
NS
USD
4726225.00000000
0.076610926718
Long
LON
CORP
US
N
2
2026-11-14
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#C77285 6% 03/01/33
N/A
FREDDIE MAC GOLD POOL P#C77285 6.00000000
31288GCW0
10333.05000000
NS
USD
11375.02000000
0.000184386232
Long
ABS-MBS
USGA
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#BC1852 3.5% 05/01/46
N/A
FANNIE MAE POOL UMBS P#BC1852 3.50000000
3140EWBW4
2240061.03000000
NS
USD
2369987.48000000
0.038416905067
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.50000000
N
N
N
N
N
N
THOPAS RE 2018 0% 12/31/21
N/A
THOPAS RE 2018 ZCP /BNR3KW852/ 0.00000000
N/A
500000.00000000
NS
USD
86550.00000000
0.001402953881
Long
DBT
CORP
BM
Y
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AS6074 4% 10/01/45
N/A
FANNIE MAE POOL UMBS P#AS6074 4.00000000
3138WFXC5
3028695.92000000
NS
USD
3208772.64000000
0.052013402996
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#574326 7.5% 12/15/31
N/A
GINNIE MAE I POOL P#574326 7.50000000
36200WA35
38859.96000000
NS
USD
40384.11000000
0.000654616335
Long
ABS-MBS
USGSE
US
N
2
2031-12-15
Fixed
7.50000000
N
N
N
N
N
N
SOUTHERN CAL E 1.845% 02/01/22
9R1Z5I36FERIBVKW4P77
SOUTHERN CAL EDISON REGD 1.84500000
842400GF4
2366071.42000000
NS
USD
2337319.70000000
0.037887368513
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
1.84500000
N
N
N
N
N
N
FGLMC P#G08021 5.5% 11/01/34
N/A
FREDDIE MAC GOLD POOL P#G08021 5.50000000
3128MJAX8
64817.93000000
NS
USD
72967.28000000
0.001182781382
Long
ABS-MBS
USGA
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
EXPEDIA INC 4.5% 08/15/24
CI7MUJI4USF3V0NJ1H64
EXPEDIA INC REGD 4.50000000
30212PAJ4
2985000.00000000
NS
USD
3186767.97000000
0.051656712792
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
4.50000000
N
N
N
N
N
N
COMM 2012-CR3 2.822% 08/15/22
N/A
COMM 2012-CCRE3 MORTGAGE TRUST SER 2012-CR3 CL A3 REGD 2.82200000
12624PAE5
2933639.98000000
NS
USD
2968457.89000000
0.048117960925
Long
ABS-CBDO
CORP
US
N
2
2045-10-15
Fixed
2.82200000
N
N
N
N
N
N
GNMA P#310287 8.5% 08/15/21
N/A
GINNIE MAE I POOL P#310287 8.50000000
36223KUL2
638.62000000
NS
USD
640.32000000
0.000010379427
Long
ABS-MBS
USGSE
US
N
2
2021-08-15
Fixed
8.50000000
N
N
N
N
N
N
HIGHWOODS REALTY 3.2% 06/15/21
N/A
HIGHWOODS REALTY LP REGD 3.20000000
431282AN2
2032000.00000000
NS
USD
2058084.56000000
0.033361036642
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
3.20000000
N
N
N
N
N
N
UMBS P#BO0725 3.5% 07/01/49
N/A
FANNIE MAE POOL UMBS P#BO0725 3.50000000
3140JUYX6
49631.59000000
NS
USD
52253.10000000
0.000847009699
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AY0822 2.5% 04/01/45
N/A
FANNIE MAE POOL UMBS P#AY0822 2.50000000
3138YD4G1
394061.24000000
NS
USD
392161.72000000
0.006356843525
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA P#780896 7% 11/15/28
N/A
GINNIE MAE I POOL P#780896 7.00000000
36225A7H7
10025.08000000
NS
USD
11445.54000000
0.000185529344
Long
ABS-MBS
USGSE
US
N
2
2028-11-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#595762 6.5% 06/15/35
N/A
GINNIE MAE I POOL P#595762 6.50000000
36200AZ36
5874.65000000
NS
USD
6480.46000000
0.000105046637
Long
ABS-MBS
USGSE
US
N
2
2035-06-15
Fixed
6.50000000
N
N
N
N
N
N
DOMINION ENERGY S/UP 08/15/24
ILUL7B6Z54MRYCF6H308
DOMINION ENERGY INC REGD S/UP 3.07100000
25746UDB2
4027000.00000000
NS
USD
4148482.39000000
0.067245863320
Long
DBT
CORP
US
N
2
2024-08-15
Variable
3.07100000
N
N
N
N
N
N
MCMLT 2018-3 M3 V/R 08/25/58
N/A
MILL CITY MORTGAGE LOAN TRUST 2018-3 SER 2018-3 CL M3 V/R REGD 144A P/P 3.25000000
59980XAJ6
9467815.91000000
NS
USD
8949447.31000000
0.145068305473
Long
ABS-CBDO
CORP
US
Y
2
2058-08-25
Variable
3.25000000
N
N
N
N
N
N
FORTUNE BRANDS HOM 4% 09/21/23
54930032LHW54PQUJD44
FORTUNE BRANDS HOME & SE REGD 4.00000000
34964CAC0
3250000.00000000
NS
USD
3434621.97000000
0.055674364222
Long
DBT
CORP
US
N
2
2023-09-21
Fixed
4.00000000
N
N
N
N
N
N
CATERPILLAR FINL 1.9% 09/06/22
N/A
CATERPILLAR FINL SERVICE REGD MTN 1.90000000
14913Q3A5
9610000.00000000
NS
USD
9629403.36000000
0.156090223202
Long
DBT
CORP
US
N
2
2022-09-06
Fixed
1.90000000
N
N
N
N
N
N
COMM 2013-CR11 C V/R 09/10/23
N/A
COMM 2013-CCRE11 MORTGAGE TRUST SER 2013-CR11 CL C V/R REGD 144A P/P 5.28594400
12626LAW2
5000000.00000000
NS
USD
5276142.50000000
0.085524952033
Long
ABS-CBDO
CORP
US
Y
2
2050-08-10
Variable
5.28594400
N
N
N
N
N
N
FGLMC P#Q29863 3.5% 11/01/44
N/A
FREDDIE MAC GOLD POOL P#Q29863 3.50000000
3132MATU5
94837.59000000
NS
USD
99153.82000000
0.001607258655
Long
ABS-MBS
USGA
US
N
2
2044-11-01
Fixed
3.50000000
N
N
N
N
N
N
LORENZ RE 2018 0.0% 07/01/21
N/A
LORENZ RE 2018 REGD ZCP /BNR3Y35Y1/ 0.00000000
N/A
5000000.00000000
NS
USD
507500.00000000
0.008226448235
Long
DBT
CORP
BM
N
3
2021-07-01
Fixed
0.00000000
N
N
N
N
N
N
SBAP 2009-20I 1 4.2% 09/01/29
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SER 2009-20I CL 1 REGD 4.20000000
83162CSU8
120028.58000000
NS
USD
126066.71000000
0.002043509879
Long
ABS-CBDO
CORP
US
N
2
2029-09-01
Fixed
4.20000000
N
N
N
N
N
N
UMBS P#BD9327 3.5% 10/01/46
N/A
FANNIE MAE POOL UMBS P#BD9327 3.50000000
3140FHLH8
422220.38000000
NS
USD
442804.40000000
0.007177748718
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
T/L NAVISTAR INC 0% 11/6/24
N/A
T/L NAVISTAR INC REGD 0.00000000
63937YAE1
725794.33000000
NS
USD
724887.09000000
0.011750238664
Long
LON
CORP
US
N
2
2024-11-06
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#605689 6.5% 09/15/34
N/A
GINNIE MAE I POOL P#605689 6.50000000
36200N2W0
3650.88000000
NS
USD
4027.37000000
0.000065282661
Long
ABS-MBS
USGSE
US
N
2
2034-09-15
Fixed
6.50000000
N
N
N
N
N
N
OCEAN VIEW RE 2019 0% 6/30/20
N/A
OCEAN VIEW RE 2019 ZCP /XILS00141826/ 0.00000000
N/A
2500000.00000000
NS
USD
2503258.93000000
0.040577201983
Long
DBT
CORP
BM
N
3
2020-06-30
Fixed
0.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH 5.55% 01/23/49
N/A
ANHEUSER-BUSCH INBEV WOR REGD 5.55000000
03523TBV9
17710000.00000000
NS
USD
23010891.85000000
0.373000809153
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
T/L AVAST HOLDING 0% 09/29/23
N/A
T/L AVAST HOLDING B V REGD 0.00000000
N/A
125864.89000000
NS
USD
127025.24000000
0.002059047411
Long
LON
CORP
NL
N
2
2023-09-29
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#MA3815 4.5% 10/01/49
N/A
FANNIE MAE POOL UMBS P#MA3815 4.50000000
31418DGZ9
15999094.74000000
NS
USD
16883327.91000000
0.273674528249
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
4.50000000
N
N
N
N
N
N
GNR 2013-169 T 3.25% 04/16/27
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-169 CL TE 3.25000000
38378YHH5
597952.17000000
NS
USD
613602.49000000
0.009946343095
Long
ABS-CBDO
CORP
US
N
2
2027-04-16
Fixed
3.25000000
N
N
N
N
N
N
FGLMC P#Q51132 4% 10/01/47
N/A
FREDDIE MAC GOLD POOL P#Q51132 4.00000000
3132XTHJ0
5450016.88000000
NS
USD
5716652.58000000
0.092665510397
Long
ABS-MBS
USGA
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
LION ROCK RE 2019 0.0% 1/31/20
N/A
LION ROCK RE 2019 REGD ZCP /BNR46WN83/ 0.00000000
N/A
500000.00000000
NS
USD
550800.00000000
0.008928330419
Long
DBT
CORP
BM
N
3
2020-01-31
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#A37171 5.5% 08/01/35
N/A
FREDDIE MAC GOLD POOL P#A37171 5.50000000
31297S6G5
70679.00000000
NS
USD
77084.83000000
0.001249525839
Long
ABS-MBS
USGA
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
CVS PASS-THROU 8.353% 07/10/31
N/A
CVS PASS-THROUGH TRUST REGD 144A P/P 8.35300000
126659AA9
4508328.37000000
NS
USD
5750353.68000000
0.093211796810
Long
DBT
CORP
US
Y
2
2031-07-10
Fixed
8.35300000
N
N
N
N
N
N
HOOTY 2014-1A 4.846% 08/20/21
N/A
HOA FUNDING LLC SER 2014-1A CL A2 REGD 144A P/P 4.84600000
40433JAA9
4296000.00000000
NS
USD
4296730.32000000
0.069648925236
Long
ABS-CBDO
CORP
US
Y
2
2044-08-20
Fixed
4.84600000
N
N
N
N
N
N
FGLMC P#G06807 4% 11/01/41
N/A
FREDDIE MAC GOLD POOL P#G06807 4.00000000
3128M83Q5
7096306.98000000
NS
USD
7716917.91000000
0.125089311764
Long
ABS-MBS
USGA
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
ARTEX SAC LIMITED 0% 12/31/21
N/A
ARTEX SAC LIMITED CARNOUSTIE RE 2018 0% 0.00000000
N/A
2000000.00000000
NS
USD
22400.00000000
0.000363098404
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#C01841 6% 05/01/34
N/A
FREDDIE MAC GOLD POOL P#C01841 6.00000000
31292JBJ8
275305.82000000
NS
USD
315688.19000000
0.005117226706
Long
ABS-MBS
USGA
US
N
2
2034-05-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AL0065 4.5% 04/01/41
N/A
FANNIE MAE POOL UMBS P#AL0065 4.50000000
3138EGCB8
1111125.81000000
NS
USD
1206585.73000000
0.019558453298
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA #797677 4.5% 10/1/35_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #797677___ 4.50000000
31405SFS8
146050.57000000
NS
USD
158278.50000000
0.002565654949
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#600144 6% 03/15/33
N/A
GINNIE MAE I POOL P#600144 6.00000000
36200FWD6
37945.12000000
NS
USD
43118.95000000
0.000698947409
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#BH7772 3.5% 08/01/47
N/A
FANNIE MAE POOL UMBS P#BH7772 3.50000000
3140GWT60
15738794.28000000
NS
USD
16340094.92000000
0.264868857171
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
ANGLO AMERICAN C 4.5% 03/15/28
N/A
ANGLO AMERICAN CAPITAL REGD 144A P/P 4.50000000
034863AU4
3193000.00000000
NS
USD
3422155.00000000
0.055472277753
Long
DBT
CORP
GB
Y
2
2028-03-15
Fixed
4.50000000
N
N
N
N
N
N
FREMF 2010-K9 B V/R 08/25/20
N/A
FREMF 2010-K9 MORTGAGE TRUST SER 2010-K9 CL B V/R 144A P/P 5.20790200
30261XAA6
890000.00000000
NS
USD
902965.88000000
0.014636851369
Long
ABS-CBDO
CORP
US
Y
2
2045-09-25
Variable
5.20790200
N
N
N
N
N
N
RPIT 2019-1 A V/R 10/25/24
N/A
RMF PROPRIETARY ISSUANCE TRUST 2019-1 SER 2019-1 CL A V/R REGD 144A P/P 2.75000000
74968RAA3
7376004.14000000
NS
USD
7301990.36000000
0.118363439820
Long
ABS-CBDO
CORP
US
Y
2
2063-10-25
Variable
2.75000000
N
N
N
N
N
N
T/L TRANS UNION 0% 11/13/26
N/A
T/L TRANS UNION LLC REGD 0.00000000
89334GAX2
1159320.03000000
NS
USD
1165750.78000000
0.018896528958
Long
LON
CORP
US
N
2
2026-11-13
Fixed
0.00000000
N
N
N
N
N
N
ABBVIE INC 4.05% 11/21/39
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD 144A P/P 4.05000000
00287YBR9
7003000.00000000
NS
USD
7360553.50000000
0.119312733692
Long
DBT
CORP
US
Y
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
FGLMC P#C01210 6.5% 08/01/31
N/A
FREDDIE MAC GOLD POOL P#C01210 6.50000000
31292HKX1
439.17000000
NS
USD
487.73000000
0.000007905981
Long
ABS-MBS
USGA
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
VIRIBUS RE 2019 0.0% 12/31/22
N/A
VIRIBUS RE 2019 REGD ZCP /BNR492XD4/ 0.00000000
N/A
3650000.00000000
NS
USD
4499355.00000000
0.072933420686
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
N
N
N
N
N
N
JPMDB 2018-C8 XB V/R 05/15/28
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2018-C8 SER 2018-C8 CL XB V/R REGD 0.11299200
46591ABD6
45714000.00000000
NS
USD
500783.16000000
0.008117569936
Long
ABS-CBDO
CORP
US
N
2
2051-06-15
Variable
0.11299200
N
N
N
N
N
N
AMPHENOL CORP 3.2% 04/01/24
549300D3L3G0R4U4VT04
AMPHENOL CORP REGD 3.20000000
032095AG6
3065000.00000000
NS
USD
3180333.13000000
0.051552405643
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.20000000
N
N
N
N
N
N
GNMA P#579539 6.5% 03/15/32
N/A
GINNIE MAE I POOL P#579539 6.50000000
36201CZC1
9100.04000000
NS
USD
10038.47000000
0.000162721091
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#486593 5.5% 01/15/35
N/A
GINNIE MAE I POOL P#486593 5.50000000
36210ARN9
83301.67000000
NS
USD
92531.41000000
0.001499911043
Long
ABS-MBS
USGSE
US
N
2
2035-01-15
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#AW5697 4% 07/01/44
N/A
FANNIE MAE POOL UMBS P#AW5697 4.00000000
3138XVKK5
214310.10000000
NS
USD
227092.85000000
0.003681118374
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
LEVEL 3 FINANC 4.625% 09/15/27
N/A
LEVEL 3 FINANCING INC REGD 144A P/P 4.62500000
527298BN2
3950000.00000000
NS
USD
4044010.00000000
0.065552391974
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
4.62500000
N
N
N
N
N
N
FGLMC P#K30005 7% 10/01/46
N/A
FREDDIE MAC GOLD POOL P#K30005 7.00000000
31302PAE4
72229.74000000
NS
USD
74451.99000000
0.001206848161
Long
ABS-MBS
USGA
US
N
2
2046-10-01
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#604674 5.5% 10/15/33
N/A
GINNIE MAE I POOL P#604674 5.50000000
36200MXB4
30554.83000000
NS
USD
33067.77000000
0.000536020291
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
5.50000000
N
N
N
N
N
N
SEMT 2013-7 A1 V/R 06/25/43
N/A
SEQUOIA MORTGAGE TRUST 2013-7 SER 2013-7 CL A1 V/R REGD 2.50000000
81745CAA1
7497960.40000000
NS
USD
7379354.66000000
0.119617495799
Long
ABS-CBDO
CORP
US
N
2
2043-06-25
Variable
2.50000000
N
N
N
N
N
N
GNMA P#377615 7.5% 09/15/25
N/A
GINNIE MAE I POOL P#377615 7.50000000
36204RN87
3132.22000000
NS
USD
3359.36000000
0.000054454386
Long
ABS-MBS
USGSE
US
N
2
2025-09-15
Fixed
7.50000000
N
N
N
N
N
N
GNMA II P#3149 6% 10/20/31
N/A
GINNIE MAE II POOL P#3149 6.00000000
36202DQA2
11713.61000000
NS
USD
13036.99000000
0.000211326351
Long
ABS-MBS
USGSE
US
N
2
2031-10-20
Fixed
6.00000000
N
N
N
N
N
N
BOSTON GAS COMP 3.15% 08/01/27
N/A
BOSTON GAS COMPANY REGD 144A P/P 3.15000000
100743AK9
3060000.00000000
NS
USD
3164456.74000000
0.051295053327
Long
DBT
CORP
US
Y
2
2027-08-01
Fixed
3.15000000
N
N
N
N
N
N
CBSLT 2017-BGS A V/R 03/25/27
N/A
COMMONBOND STUDENT LOAN TRUST 2017-B-GS SER 2017-BGS CL A2 V/R REGD 144A P/P 2.44200000
20268KAB6
1036817.20000000
NS
USD
1024659.59000000
0.016609476011
Long
ABS-CBDO
CORP
US
Y
2
2042-09-25
Variable
2.44200000
N
N
N
N
N
N
GNMA P#582340 6.5% 09/15/32
N/A
GINNIE MAE I POOL P#582340 6.50000000
36201F4Z7
34523.19000000
NS
USD
38464.81000000
0.000623504962
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
T/L COOPER STANDAR 0% 11/02/23
N/A
T/L COOPER STANDARD AUTOMOTIVE INC REGD 0.00000000
N/A
1340215.55000000
NS
USD
1265833.59000000
0.020518846309
Long
LON
CORP
US
N
2
2023-11-02
Fixed
0.00000000
N
N
N
N
N
N
JPMMT 2017-5 A1A V/R 10/26/48
N/A
JP MORGAN MORTGAGE TRUST 2017-5 SER 2017-5 CL A1A V/R REGD 144A P/P 3.00000000
46590YAM6
3321264.41000000
NS
USD
3327375.87000000
0.053935931730
Long
ABS-CBDO
CORP
US
Y
2
2048-10-26
Variable
3.00000000
N
N
N
N
N
N
SEMT 2013-7 A2 V/R 06/25/43
N/A
SEQUOIA MORTGAGE TRUST 2013-7 SER 2013-7 CL A2 V/R REGD 3.00000000
81745CAB9
9243818.56000000
NS
USD
9260988.03000000
0.150118302726
Long
ABS-CBDO
CORP
US
N
2
2043-06-25
Variable
3.00000000
N
N
N
N
N
N
FGLMC P#Q51131 3.5% 10/01/47
N/A
FREDDIE MAC GOLD POOL P#Q51131 3.50000000
3132XTHH4
8888979.14000000
NS
USD
9240936.14000000
0.149793266598
Long
ABS-MBS
USGA
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#Q47419 4% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47419 4.00000000
3132WMG57
2651291.05000000
NS
USD
2816875.28000000
0.045660844680
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
T/L CENTURYLINK INC 0% 1/31/25
N/A
T/L CENTURYLINK INC ZCP REGD 0.00000000
N/A
4095055.83000000
NS
USD
4116669.53000000
0.066730184806
Long
LON
CORP
US
N
2
2025-01-31
Fixed
0.00000000
N
N
N
N
N
N
DUKE REALTY LP 3.75% 12/01/24
N/A
DUKE REALTY LP REGD 3.75000000
26441YAY3
8560000.00000000
NS
USD
9099791.63000000
0.147505349347
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
3.75000000
N
N
N
N
N
N
FGLMC P#Q38361 4% 01/01/46
N/A
FREDDIE MAC GOLD POOL P#Q38361 4.00000000
3132QVJF9
1363493.44000000
NS
USD
1444911.52000000
0.023421654824
Long
ABS-MBS
USGA
US
N
2
2046-01-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#3011 7.5% 12/20/30
N/A
GINNIE MAE II POOL P#3011 7.50000000
36202DKY6
3772.41000000
NS
USD
4439.56000000
0.000071964158
Long
ABS-MBS
USGSE
US
N
2
2030-12-20
Fixed
7.50000000
N
N
N
N
N
N
CAS 2019-R04 2M2 V/R 06/25/39
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2019-R04 SER 2019-R04 CL 2M2 V/R REGD 144A P/P 3.89200000
20753TAB9
3450000.00000000
NS
USD
3470533.71000000
0.056256484557
Long
ABS-CBDO
CORP
US
Y
2
2039-06-25
Variable
3.89200000
N
N
N
N
N
N
UMBS P#BE5591 3.5% 01/01/47
N/A
FANNIE MAE POOL UMBS P#BE5591 3.50000000
3140FRF91
5539568.94000000
NS
USD
5860677.81000000
0.095000123401
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
THOPAS RE 2019 0.0% 12/31/22
N/A
THOPAS RE 2019 ZCP REGD /BNR48W680/ 0.00000000
N/A
3000000.00000000
NS
USD
2961600.00000000
0.048006796242
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
N
N
N
N
N
N
GNMA II P#5175 4.5% 09/20/41
N/A
GINNIE MAE II POOL P#5175 4.50000000
36202FXC5
849180.09000000
NS
USD
917381.35000000
0.014870522537
Long
ABS-MBS
USGSE
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
GLM 2019-6A D V/R 01/20/33
N/A
GOLDENTREE LOAN MANAGEMENT US CLO 6 LTD SER 2019-6A CL D V/R REGD 144A P/P 5.60666000
38137WAL9
4390000.00000000
NS
USD
4389850.74000000
0.071158383984
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-20
Variable
5.60666000
N
N
N
N
N
N
RMIR 2018-1 M1 V/R 03/25/28
N/A
RADNOR RE 2018-1 LTD SER 2018-1 CL M1 V/R REGD 144A P/P 3.19200000
750496AA9
2433162.40000000
NS
USD
2433160.45000000
0.039440923131
Long
ABS-CBDO
CORP
BM
Y
2
2028-03-25
Variable
3.19200000
N
N
N
N
N
N
BANQUE OUEST AFRIC 5% 07/27/27
529900LIZJABE4JJS826
BANQUE OUEST AFRICAINE D REGD 144A P/P 5.00000000
06675QAB9
2230000.00000000
NS
USD
2363577.00000000
0.038312992788
Long
DBT
CORP
TG
Y
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
TPMT 2016-5 M2 V/R 10/25/56
N/A
TOWD POINT MORTGAGE TRUST 2016-5 SER 2016-5 CL M2 V/R REGD 144A P/P 3.37500000
89173CAD9
6000000.00000000
NS
USD
6016623.60000000
0.097527965704
Long
ABS-CBDO
CORP
US
Y
2
2056-10-25
Variable
3.37500000
N
N
N
N
N
N
GNMA II P#BG7415 4% 04/20/48
N/A
GINNIE MAE II POOL P#BG7415 4.00000000
3617GSGY9
1867683.66000000
NS
USD
1971909.49000000
0.031964160282
Long
ABS-MBS
USGSE
US
N
2
2048-04-20
Fixed
4.00000000
N
N
N
N
N
N
DROT 2019-1A B 3.53% 02/20/32
N/A
DIAMOND RESORTS OWNER TRUST 2019-1 SER 2019-1A CL B REGD 144A P/P 3.53000000
252722AB9
1679585.47000000
NS
USD
1678398.67000000
0.027206423204
Long
ABS-CBDO
CORP
US
Y
2
2032-02-20
Fixed
3.53000000
N
N
N
N
N
N
DRIVE 2019-1 C 3.78% 04/15/25
N/A
DRIVE AUTO RECEIVABLES TRUST 2019-1 SER 2019-1 CL C REGD 3.78000000
26208NAF1
4000000.00000000
NS
USD
4068948.00000000
0.065956630725
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Fixed
3.78000000
N
N
N
N
N
N
SEMT 2013-4 A1 V/R 04/25/43
N/A
SEQUOIA MORTGAGE TRUST 2013-4 SER 2013-4 CL A1 V/R REGD 2.32500000
81744YAA4
6490033.27000000
NS
USD
6340365.31000000
0.102775737958
Long
ABS-CBDO
CORP
US
N
2
2043-04-25
Variable
2.32500000
N
N
N
N
N
N
CHASE 2019-ATR2 V/R 07/25/49
N/A
CHASE HOME LENDING MORTGAGE TRUST 2019-ATR2 SER 2019-ATR2 CL A15 V/R REGD 144A P/P 3.50000000
16159GAR0
3668012.04000000
NS
USD
3708704.97000000
0.060117181191
Long
ABS-CBDO
CORP
US
Y
2
2049-07-25
Variable
3.50000000
N
N
N
N
N
N
FORDR 2018-2 A 3.47% 07/15/23
N/A
FORD CREDIT AUTO OWNER TRUST 2018-REV2 SER 2018-2 CL A REGD 144A P/P 3.47000000
34528HAA2
1140000.00000000
NS
USD
1190330.77000000
0.019294964457
Long
ABS-CBDO
CORP
US
Y
2
2030-01-15
Fixed
3.47000000
N
N
N
N
N
N
UMBS P#AS6730 3.5% 02/01/46
N/A
FANNIE MAE POOL UMBS P#AS6730 3.50000000
3138WGPQ1
2352163.43000000
NS
USD
2460068.93000000
0.039877102871
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
3.50000000
N
N
N
N
N
N
PHILIP MORRIS I 3.25% 11/10/24
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTL INC REGD 3.25000000
718172BM0
12540000.00000000
NS
USD
13169667.38000000
0.213477018667
Long
DBT
CORP
US
N
2
2024-11-10
Fixed
3.25000000
N
N
N
N
N
N
UMBS P#AS1845 4.5% 02/01/44
N/A
FANNIE MAE POOL UMBS P#AS1845 4.50000000
3138WBBP9
2025441.34000000
NS
USD
2178320.17000000
0.035310025847
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#647714 6.5% 07/15/35
N/A
GINNIE MAE I POOL P#647714 6.50000000
36292FSB4
59001.75000000
NS
USD
65086.21000000
0.001055031206
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA P#735269 6% 2/1/35_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #735269__ 6.00000000
31402Q2A8
5195.84000000
NS
USD
5871.00000000
0.000095167443
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#781354 6% 11/15/31
N/A
GINNIE MAE I POOL P#781354 6.00000000
36225BQF8
12429.35000000
NS
USD
14088.78000000
0.000228375604
Long
ABS-MBS
USGSE
US
N
2
2031-11-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AX9564 4% 03/01/45
N/A
FANNIE MAE POOL UMBS P#AX9564 4.00000000
3138YBTW3
3085631.64000000
NS
USD
3269353.85000000
0.052995409278
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#BE0684 3.5% 10/01/46
N/A
FANNIE MAE POOL UMBS P#BE0684 3.50000000
3140FKXN5
972729.39000000
NS
USD
1010268.08000000
0.016376193228
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
FEIM 2019-1A C V/R 01/20/33
N/A
FIRST EAGLE BSL CLO 2019-1 LTD SER 2019-1A CL C V/R REGD 144A P/P 0.00000000
32010FAC1
4500000.00000000
NS
USD
4451841.00000000
0.072163230614
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-20
Variable
0.00000000
N
N
N
N
N
N
F/C US ULTRA BOND CBT MAR20
N/A
FUTURE CONTRACT ON US ULTRA BOND CBT MAR20 0.00000000
N/A
877.00000000
NC
USD
159312531.25000000
2.582416337964
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Long
F/C US ULTRA BOND CBT MAR20
US ULTRA BOND CBT MAR20
2020-03-20
164658437.5
USD
-5345906.25
N
N
N
GNMA P#771417 4% 10/15/41
N/A
GINNIE MAE I POOL P#771417 4.00000000
36176NYN5
5484.46000000
NS
USD
5782.69000000
0.000093735960
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AQ9047 3.5% 12/01/42
N/A
FANNIE MAE POOL UMBS P#AQ9047 3.50000000
3138MRBR1
425311.81000000
NS
USD
452841.46000000
0.007340446954
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
PORT ROYAL RE 2019 0% 5/31/20
N/A
PORT ROYAL RE 2019 ZCP REGD /XILS00137802/ 0.00000000
N/A
2000000.00000000
NS
USD
2020059.56000000
0.032744660890
Long
DBT
CORP
BM
N
3
2020-05-31
Fixed
0.00000000
N
N
N
N
N
N
CRH AMERICA IN 3.875% 05/18/25
N/A
CRH AMERICA INC REGD 144A P/P 3.87500000
12626PAM5
11000000.00000000
NS
USD
11754221.38000000
0.190532992562
Long
DBT
CORP
US
Y
2
2025-05-18
Fixed
3.87500000
N
N
N
N
N
N
MCMLT 2016-1 B2 V/R 08/25/29
N/A
MILL CITY MORTGAGE LOAN TRUST 2016-1 SER 2016-1 CL B2 V/R REGD 144A P/P 3.99141600
59980TAF3
8726000.00000000
NS
USD
8916201.49000000
0.144529399035
Long
ABS-CBDO
CORP
US
Y
2
2057-04-25
Variable
3.99141600
N
N
N
N
N
N
PANGAEA RE 2018-1 0% 12/31/21
N/A
PANGAEA RE 2018-1 ZCP /BNR3MYH98/ 0.00000000
N/A
3800000.00000000
NS
USD
223440.00000000
0.003621906588
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AS6727 3.5% 02/01/46
N/A
FANNIE MAE POOL UMBS P#AS6727 3.50000000
3138WGPM0
3920661.53000000
NS
USD
4093006.91000000
0.066346619646
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#587465 6% 12/15/32
N/A
GINNIE MAE I POOL P#587465 6.00000000
36201MTW2
47207.13000000
NS
USD
52124.71000000
0.000844928529
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#781035 6.5% 05/15/29
N/A
GINNIE MAE I POOL P#781035 6.50000000
36225BEG9
36641.19000000
NS
USD
41362.87000000
0.000670481790
Long
ABS-MBS
USGSE
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#AW6230 4% 06/01/44
N/A
FANNIE MAE POOL UMBS P#AW6230 4.00000000
3138XV4Q0
57829.93000000
NS
USD
61271.74000000
0.000993199600
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.00000000
N
N
N
N
N
N
CGMS 2019-4A C V/R 01/15/33
N/A
CARLYLE US CLO 2019-4 LTD SER 2019-4A CL C V/R REGD 144A P/P 0.00000000
14317VAL4
2500000.00000000
NS
USD
2500000.00000000
0.040524375541
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
0.00000000
N
N
N
N
N
N
DANSKE BANK A/ 5.375% 01/12/24
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S REGD 144A P/P 5.37500000
23636AAT8
5337000.00000000
NS
USD
5842061.66000000
0.094698360259
Long
DBT
CORP
DK
Y
2
2024-01-12
Fixed
5.37500000
N
N
N
N
N
N
SBA TOWER TRUS 3.869% 10/08/24
N/A
SBA TOWER TRUST REGD 144A P/P 3.86900000
78403DAH3
6975000.00000000
NS
USD
7261516.96000000
0.117707376116
Long
DBT
CORP
US
Y
2
2024-10-08
Fixed
3.86900000
N
N
N
N
N
N
OXFIN 2019-1A 5.438% 03/15/24
N/A
OXFORD FINANCE FUNDING 2019-1 LLC SER 2019-1A CL B REGD 144A P/P 5.43800000
69145AAC2
3000000.00000000
NS
USD
3054616.80000000
0.049514575335
Long
ABS-CBDO
CORP
US
Y
2
2027-02-15
Fixed
5.43800000
N
N
N
N
N
N
GNMA P#AH3688 4% 04/15/44
N/A
GINNIE MAE I POOL P#AH3688 4.00000000
36182LCZ8
20021.51000000
NS
USD
21503.53000000
0.000348566850
Long
ABS-MBS
USGSE
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
T/L CWGS GROUP LLC 0% 11/08/23
N/A
T/L CWGS GROUP LLC REGD 0.00000000
N/A
1153630.13000000
NS
USD
1092343.53000000
0.017706615772
Long
LON
CORP
US
N
2
2023-11-08
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#564660 6% 06/15/31
N/A
GINNIE MAE I POOL P#564660 6.00000000
36213UJD3
23823.04000000
NS
USD
26228.63000000
0.000425159540
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AJ9531 4% 12/01/41
N/A
FANNIE MAE POOL UMBS P#AJ9531 4.00000000
3138E2SV8
689896.01000000
NS
USD
725148.21000000
0.011754471354
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#641256 4.5% 03/15/35
N/A
GINNIE MAE I POOL P#641256 4.50000000
36291XMD8
14552.17000000
NS
USD
15493.53000000
0.000251146251
Long
ABS-MBS
USGSE
US
N
2
2035-03-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AR4368 2.5% 02/01/43
N/A
FANNIE MAE POOL UMBS P#AR4368 2.50000000
3138W12A4
109678.89000000
NS
USD
108471.88000000
0.001758302080
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
N
N
N
N
N
N
CANADIAN IMPERIAL V/R 02/02/21
2IGI19DL77OX0HC3ZE78
CANADIAN IMPERIAL BANK REGD V/R 2.21725000
136069XZ9
21955000.00000000
NS
USD
21989508.21000000
0.356444435473
Long
DBT
CORP
CA
N
2
2021-02-02
Variable
2.21725000
N
N
N
N
N
N
RESIDENTIAL RE 20 V/R 12/06/20
N/A
RESIDENTIAL RE 2016 LTD REGD V/R 144A P/P 5.48000600
76118GAF0
2500000.00000000
NS
USD
2476000.00000000
0.040135341536
Long
DBT
CORP
KY
Y
2
2023-12-06
Variable
5.48000600
N
N
N
N
N
N
GNMA P#600124 6% 02/15/33
N/A
GINNIE MAE I POOL P#600124 6.00000000
36200FVR6
48926.27000000
NS
USD
53866.72000000
0.000873166076
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#744000 4% 11/15/40
N/A
GINNIE MAE I POOL P#744000 4.00000000
3620AYRV0
5784.10000000
NS
USD
6049.74000000
0.000098064774
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Fixed
4.00000000
N
N
N
N
N
N
LLEND 2019-1A 3.52% 03/15/27
N/A
LL ABS TRUST 2019-1 SER 2019-1A CL B REGD 144A P/P 3.52000000
50202AAB4
2100000.00000000
NS
USD
2101276.59000000
0.034061168660
Long
ABS-CBDO
CORP
US
Y
2
2027-03-15
Fixed
3.52000000
N
N
N
N
N
N
KANE SAC LTD VAR 0% 7/1/2019
N/A
KANE SAC LIMITED VARIABLE NOTE REGD 0.00000000
N/A
1000000.00000000
NS
USD
17000.00000000
0.000275565753
Long
DBT
CORP
BM
N
3
2020-07-01
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#486467 7% 08/15/28
N/A
GINNIE MAE I POOL P#486467 7.00000000
36210AMQ7
783.33000000
NS
USD
870.15000000
0.000014104914
Long
ABS-MBS
USGSE
US
N
2
2028-08-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA II P#2675 7% 11/20/28
N/A
GINNIE MAE II POOL P#2675 7.00000000
36202C6L2
41622.70000000
NS
USD
47528.48000000
0.000770424788
Long
ABS-MBS
USGSE
US
N
2
2028-11-20
Fixed
7.00000000
N
N
N
N
N
N
T/L STERIGENICS-NORD 05/15/22
N/A
T/L STERIGENICS-NORDION HOLDINGS LLC REGD 0.00000000
N/A
0.02000000
NS
USD
0.02000000
0.000000000324
Long
LON
CORP
US
N
2
2022-05-15
Fixed
0.00000000
N
N
N
N
N
N
GNMA II P#MA6092 4.5% 08/20/49
N/A
GINNIE MAE II POOL P#MA6092 4.50000000
36179UXV9
38992903.92000000
NS
USD
41002199.68000000
0.664635415151
Long
ABS-MBS
USGSE
US
N
2
2049-08-20
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#BE2316 3.5% 01/01/47
N/A
FANNIE MAE POOL UMBS P#BE2316 3.50000000
3140FMSE7
3990466.27000000
NS
USD
4144402.06000000
0.067179722190
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
AQUA AMERICA I 3.566% 05/01/29
549300ILTEOF3E3QY357
AQUA AMERICA INC REGD 3.56600000
03836WAB9
3340000.00000000
NS
USD
3513791.09000000
0.056957675882
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
3.56600000
N
N
N
N
N
N
JPMDB 2016-C4 D V/R 11/15/26
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRU SER 2016-C4 CL D V/R REGD 144A P/P 3.09080000
46646RAB9
2000000.00000000
NS
USD
1814827.00000000
0.029417892356
Long
ABS-CBDO
CORP
US
Y
2
2049-12-15
Variable
3.09080000
N
N
N
N
N
N
GNMA P#540933 7% 12/15/30
N/A
GINNIE MAE I POOL P#540933 7.00000000
36212Q4S6
33638.46000000
NS
USD
34038.73000000
0.000551759310
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.00000000
N
N
N
N
N
N
TYSON FOODS INC V/R 08/21/20
WD6L6041MNRW1JE49D58
TYSON FOODS INC REGD V/R 2.34463000
902494BE2
3430000.00000000
NS
USD
3433412.71000000
0.055654762420
Long
DBT
CORP
US
N
2
2020-08-21
Variable
2.34463000
N
N
N
N
N
N
FGLMC P#Q40416 4% 05/01/46
N/A
FREDDIE MAC GOLD POOL P#Q40416 4.00000000
3132WDPA6
447097.25000000
NS
USD
472897.41000000
0.007665548894
Long
ABS-MBS
USGA
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
HPA 2019-2 E 3.32% 10/19/27
N/A
HOME PARTNERS OF AMERICA 2019-2 TRUST SER 2019-2 CL E REGD 144A P/P 3.32000000
43732TAJ0
5015825.55000000
NS
USD
4916261.41000000
0.079691369456
Long
ABS-CBDO
CORP
US
Y
2
2039-10-19
Fixed
3.32000000
N
N
N
N
N
N
DRIVE 2018-1 C 3.22% 09/15/20
N/A
DRIVE AUTO RECEIVABLES TRUST 2018-1 SER 2018-1 CL C REGD 3.22000000
26208GAF6
2122357.13000000
NS
USD
2127106.54000000
0.034479865697
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
3.22000000
N
N
N
N
N
N
JPMMT 2015-3 B3 V/R 12/25/35
N/A
JP MORGAN TRUST 2015-3 SER 2015-3 CL B3 V/R REGD 144A P/P 3.66313600
46644MAL0
4143106.47000000
NS
USD
4187862.79000000
0.067884209768
Long
ABS-CBDO
CORP
US
Y
2
2045-05-25
Variable
3.66313600
N
N
N
N
N
N
MSAIC 2019-2A 4.35% 09/20/40
N/A
MOSAIC SOLAR LOAN TRUST 2019-2 SER 2019-2A CL C REGD 144A P/P 4.35000000
61945LAC7
2540000.00000000
NS
USD
2539513.59000000
0.041164880966
Long
ABS-CBDO
CORP
US
Y
2
2040-09-20
Fixed
4.35000000
N
N
N
N
N
N
GNMA P#AH0583 4% 04/15/44
N/A
GINNIE MAE I POOL P#AH0583 4.00000000
36182GUG1
3246.25000000
NS
USD
3395.34000000
0.000055037613
Long
ABS-MBS
USGSE
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
SBAP 2008-20D 5.37% 04/01/28
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SER 2008-20D CL 1 REGD 5.37000000
83162CRS4
194739.65000000
NS
USD
208927.47000000
0.003386662102
Long
ABS-CBDO
CORP
US
N
2
2028-04-01
Fixed
5.37000000
N
N
N
N
N
N
GNMA P#408478 7.5% 08/15/25
N/A
GINNIE MAE I POOL P#408478 7.50000000
36206DXF9
7107.76000000
NS
USD
7171.71000000
0.000116251627
Long
ABS-MBS
USGSE
US
N
2
2025-08-15
Fixed
7.50000000
N
N
N
N
N
N
GMAT 2013-1A A V/R 11/25/43
N/A
GMAT 2013-1 TRUST SER 2013-1A CL A V/R REGD 144A P/P 6.96690000
36198GAA8
10141.32000000
NS
USD
10139.30000000
0.000164355520
Long
ABS-CBDO
CORP
US
Y
2
2043-11-25
Variable
6.96690000
N
N
N
N
N
N
TPMT 2017-6 M1 V/R 10/25/57
N/A
TOWD POINT MORTGAGE TRUST 2017-6 SER 2017-6 CL M1 V/R REGD 144A P/P 3.25000000
89175JAC4
7000000.00000000
NS
USD
7060175.50000000
0.114443681341
Long
ABS-CBDO
CORP
US
Y
2
2057-10-25
Variable
3.25000000
N
N
N
N
N
N
MASSMUTUAL GLOB 2.95% 01/11/25
N/A
MASSMUTUAL GLOBAL FUNDIN REGD 144A P/P 2.95000000
57629WCG3
6200000.00000000
NS
USD
6368765.55000000
0.103236098754
Long
DBT
CORP
US
Y
2
2025-01-11
Fixed
2.95000000
N
N
N
N
N
N
F/C US 10YR NOTE (CBT)MAR20
N/A
FUTURE CONTRACT ON US 10YR NOTE (CBT)MAR20 0.00000000
N/A
-1951.00000000
NC
USD
-250551078.13000000
-4.06137039303
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Short
F/C US 10YR NOTE (CBT)MAR20
US 10YR NOTE (CBT)MAR20
2020-03-20
252775328.13
USD
2224250.01
N
N
N
GNMA II P#3068 6.5% 04/20/31
N/A
GINNIE MAE II POOL P#3068 6.50000000
36202DMR9
8413.00000000
NS
USD
9620.99000000
0.000155953844
Long
ABS-MBS
USGSE
US
N
2
2031-04-20
Fixed
6.50000000
N
N
N
N
N
N
SBAP 2008-20J 5.63% 10/01/28
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SER 2008-20J CL 1 REGD 5.63000000
83162CSB0
124767.83000000
NS
USD
134626.70000000
0.002182265179
Long
ABS-CBDO
CORP
US
N
2
2028-10-01
Fixed
5.63000000
N
N
N
N
N
N
HENDR 2018-1A 3.74% 08/15/41
N/A
J.G. WENTWORTH XLI LLC SER 2018-1A CL A REGD 144A P/P 3.74000000
46651TAA9
3842043.17000000
NS
USD
4001842.20000000
0.064868862468
Long
ABS-CBDO
CORP
US
Y
2
2072-10-17
Fixed
3.74000000
N
N
N
N
N
N
TPMT 2015-6 B1 V/R 09/25/29
N/A
TOWD POINT MORTGAGE TRUST 2015-6 SER 2015-6 CL B1 V/R REGD 144A P/P 4.02212000
89172RAE5
6000000.00000000
NS
USD
6387100.20000000
0.103533298851
Long
ABS-CBDO
CORP
US
Y
2
2055-04-25
Variable
4.02212000
N
N
N
N
N
N
TPMT 2018-3 A2 V/R 05/25/58
N/A
TOWD POINT MORTGAGE TRUST 2018-3 SER 2018-3 CL A2 V/R REGD 144A P/P 3.87500000
89175MAB9
3250000.00000000
NS
USD
3394769.95000000
0.055028372932
Long
ABS-CBDO
CORP
US
Y
2
2058-05-25
Variable
3.87500000
N
N
N
N
N
N
T/L KUEHG CORP 0% 02/21/25
N/A
T/L KUEHG CORP REGD 0.00000000
48244EAJ3
2182922.94000000
NS
USD
2191108.90000000
0.035517327966
Long
LON
CORP
US
N
2
2025-02-21
Fixed
0.00000000
N
N
N
N
N
N
SBAP 2009-20A 5.72% 01/01/29
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SER 2009-20A CL 1 REGD 5.72000000
83162CSG9
49720.40000000
NS
USD
53732.27000000
0.000870986675
Long
ABS-CBDO
CORP
US
N
2
2029-01-01
Fixed
5.72000000
N
N
N
N
N
N
FGLMC P#Q63852 4% 05/01/49
N/A
FREDDIE MAC GOLD POOL P#Q63852 4.00000000
3132VQH66
1090924.77000000
NS
USD
1139302.72000000
0.018467812512
Long
ABS-MBS
USGA
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#254148 7% 01/01/32
N/A
FANNIE MAE POOL UMBS P#254148 7.00000000
31371KHZ7
11819.17000000
NS
USD
13813.86000000
0.000223919220
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
7.00000000
N
N
N
N
N
N
JPMMT 2019-LTV1 V/R 06/25/49
N/A
J.P. MORGAN MORTGAGE TRUST 2019-LTV1 SER 2019-LTV1 CL A15 V/R REGD 144A P/P 4.00000000
46650PAR1
7004270.47000000
NS
USD
7126321.28000000
0.115515887913
Long
ABS-CBDO
CORP
US
Y
2
2049-06-25
Variable
4.00000000
N
N
N
N
N
N
CAPITAL ONE FIN 4.25% 04/30/25
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CO REGD 4.25000000
14040HBZ7
5200000.00000000
NS
USD
5661862.18000000
0.091777371699
Long
DBT
CORP
US
N
2
2025-04-30
Fixed
4.25000000
N
N
N
N
N
N
UMBS P#AS3892 4% 11/01/44
N/A
FANNIE MAE POOL UMBS P#AS3892 4.00000000
3138WDKE0
77459.20000000
NS
USD
82089.00000000
0.001330642185
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#BN5999 3.5% 02/01/49
N/A
FANNIE MAE POOL UMBS P#BN5999 3.50000000
3140JNUZ1
467451.90000000
NS
USD
480166.04000000
0.007783371570
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#Q59702 4.5% 11/01/48
N/A
FREDDIE MAC GOLD POOL P#Q59702 4.50000000
3132Y3X82
1389626.12000000
NS
USD
1465029.69000000
0.023747765335
Long
ABS-MBS
USGA
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
ARTEX SAC LTD PAN 0% 2/1/23
N/A
ARTEX SAC LTD PANGAEA RE 2019-1ZCP REGD /BNR4941C7/ 0.00000000
N/A
4017011.00000000
NS
USD
3996122.54000000
0.064776148209
Long
DBT
CORP
BM
N
3
2023-02-01
Fixed
0.00000000
N
N
N
N
N
N
GNMA II P#1814 9% 04/20/22
N/A
GINNIE MAE II POOL P#1814 9.00000000
36202CAP8
151.55000000
NS
USD
151.96000000
0.000002463233
Long
ABS-MBS
USGSE
US
N
2
2022-04-20
Fixed
9.00000000
N
N
N
N
N
N
CAPITAL ONE FINA 3.3% 10/30/24
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CO REGD 3.30000000
14040HBT1
4885000.00000000
NS
USD
5087699.70000000
0.082470341314
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
3.30000000
N
N
N
N
N
N
ALTURAS RE LTD ZCP 03/10/23
549300FZNJS17ZR1BR73
ALTURAS RE LTD REGD ZCP 144A P/P SER A 0.00000000
G0229TAD6
440000.00000000
NS
USD
440000.00000000
0.007132290095
Long
DBT
CORP
BM
Y
2
2023-03-10
Fixed
0.00000000
N
N
N
N
N
N
BANQUE OUEST AFR 5.5% 05/06/21
529900LIZJABE4JJS826
BANQUE OUEST AFRICAINE D REGD 144A P/P 5.50000000
06675QAA1
4450000.00000000
NS
USD
4609399.00000000
0.074717206439
Long
DBT
CORP
TG
Y
2
2021-05-06
Fixed
5.50000000
N
N
N
N
N
N
CASABLANCA RE LTD V/R 06/04/20
N/A
CASABLANCA RE LTD REGD V/R 144A P/P SER A 5.51613000
N/A
1400000.00000000
NS
USD
1414000.00000000
0.022920586806
Long
DBT
CORP
KY
Y
2
2020-06-04
Variable
5.51613000
N
N
N
N
N
N
MASSMUTUAL GLOB 2.75% 06/22/24
N/A
MASSMUTUAL GLOBAL FUNDIN REGD 144A P/P 2.75000000
57629WCE8
13250000.00000000
NS
USD
13594469.13000000
0.220362948926
Long
DBT
CORP
US
Y
2
2024-06-22
Fixed
2.75000000
N
N
N
N
N
N
APF 2017-A B 3.97% 04/15/29
N/A
ACCESS POINT FUNDING I 2017-1 LLC SER 2017-A CL B REGD 144A P/P 3.97000000
00436KAB5
4300000.00000000
NS
USD
4314162.05000000
0.069931489225
Long
ABS-CBDO
CORP
US
Y
2
2029-04-15
Fixed
3.97000000
N
N
N
N
N
N
GNMA P#454385 6.5% 04/15/28
N/A
GINNIE MAE I POOL P#454385 6.50000000
36208LXN2
5590.55000000
NS
USD
6167.07000000
0.000099966664
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
6.50000000
N
N
N
N
N
N
CAS 2019-R06 2M2 V/R 09/25/39
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2019-R06 SER 2019-R06 CL 2M2 V/R REGD 144A P/P 3.89200000
20754JAB0
10720000.00000000
NS
USD
10821119.62000000
0.175407646106
Long
ABS-CBDO
CORP
US
Y
2
2039-09-25
Variable
3.89200000
N
N
N
N
N
N
GNMA P#621697 4.5% 10/15/33
N/A
GINNIE MAE I POOL P#621697 4.50000000
36290YUW6
131271.04000000
NS
USD
142204.29000000
0.002305096020
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#BK1181 5% 10/01/49
N/A
FANNIE MAE POOL UMBS P#BK1181 5.00000000
3140HEJ37
1032411.60000000
NS
USD
1104749.77000000
0.017907717823
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
EXELON CORP 2.85% 06/15/20
3SOUA6IRML7435B56G12
EXELON CORP REGD 2.85000000
30161NAH4
6365000.00000000
NS
USD
6379638.80000000
0.103412351421
Long
DBT
CORP
US
N
2
2020-06-15
Fixed
2.85000000
N
N
N
N
N
N
GNMA P#615671 6% 10/15/33
N/A
GINNIE MAE I POOL P#615671 6.00000000
36290R6G3
34377.94000000
NS
USD
39038.73000000
0.000632808062
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
6.00000000
N
N
N
N
N
N
HIGHWOODS REAL 3.625% 01/15/23
N/A
HIGHWOODS REALTY LP REGD 3.62500000
431282AM4
3390000.00000000
NS
USD
3501813.39000000
0.056763520357
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.62500000
N
N
N
N
N
N
US TIPS 1% 02/15/49
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000
912810SG4
52315706.95000000
NS
USD
58130419.38000000
0.942279578146
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
UMBS P#AY2772 4% 02/01/45
N/A
FANNIE MAE POOL UMBS P#AY2772 4.00000000
3138YGCJ9
40256.46000000
NS
USD
42654.70000000
0.000691422032
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
ABBOTT LABORATO 3.75% 11/30/26
HQD377W2YR662HK5JX27
ABBOTT LABORATORIES REGD 3.75000000
002824BF6
4155000.00000000
NS
USD
4539967.15000000
0.073591733493
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
ANGLO AMERICAN CAP 4% 09/11/27
N/A
ANGLO AMERICAN CAPITAL REGD 144A P/P 4.00000000
034863AT7
1325000.00000000
NS
USD
1388529.72000000
0.022507719929
Long
DBT
CORP
GB
Y
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
NMEF 2019-A D 4.39% 08/15/23
N/A
NMEF FUNDING 2015-A LLC SER 2019-A CL D REGD 144A P/P 4.39000000
65489MAD6
720000.00000000
NS
USD
717301.51000000
0.011627278307
Long
ABS-CBDO
CORP
US
Y
2
2026-08-15
Fixed
4.39000000
N
N
N
N
N
N
GNMA II P#3570 6% 06/20/34
N/A
GINNIE MAE II POOL P#3570 6.00000000
36202D6F3
36754.17000000
NS
USD
42317.65000000
0.000685958536
Long
ABS-MBS
USGSE
US
N
2
2034-06-20
Fixed
6.00000000
N
N
N
N
N
N
MOODY'S CORPORA 3.25% 06/07/21
549300GCEDD8YCF5WU84
MOODY'S CORPORATION REGD 3.25000000
615369AN5
2400000.00000000
NS
USD
2444452.20000000
0.039623959578
Long
DBT
CORP
US
N
2
2021-06-07
Fixed
3.25000000
N
N
N
N
N
N
GNMA P#781324 7% 07/15/31
N/A
GINNIE MAE I POOL P#781324 7.00000000
36225BPH5
2056.69000000
NS
USD
2397.26000000
0.000038858985
Long
ABS-MBS
USGSE
US
N
2
2031-07-15
Fixed
7.00000000
N
N
N
N
N
N
MST 2019-1A A1A V/R 04/25/58
N/A
METLIFE SECURITIZATION TRUST 2019-1 SER 2019-1A CL A1A V/R REGD 144A P/P 3.75000000
59166EAB1
5414511.45000000
NS
USD
5586296.03000000
0.090552463283
Long
ABS-CBDO
CORP
US
Y
2
2058-04-25
Variable
3.75000000
N
N
N
N
N
N
UMBS P#AS1432 4% 01/01/44
N/A
FANNIE MAE POOL UMBS P#AS1432 4.00000000
3138WASW8
94607.02000000
NS
USD
100567.10000000
0.001630167571
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#257030 6.5% 11/01/47
N/A
FANNIE MAE POOL UMBS P#257030 6.50000000
31371NPP4
14239.22000000
NS
USD
15235.74000000
0.000246967539
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
6.50000000
N
N
N
N
N
N
AIR CANADA 2017- 3.3% 01/15/30
N/A
AIR CANADA 2017-1AA PTT REGD 144A P/P 3.30000000
00908PAA5
6566644.80000000
NS
USD
6693850.56000000
0.108505645566
Long
DBT
CORP
CA
Y
2
2030-01-15
Fixed
3.30000000
N
N
N
N
N
N
CHASE 2019-1 A3 V/R 03/25/50
N/A
CHASE HOME LENDING MORTGAGE TRUST 2019-1 SER 2019-1 CL A3 V/R REGD 144A P/P 3.50000000
16159WAC8
18289672.88000000
NS
USD
18572595.83000000
0.301057139281
Long
ABS-CBDO
CORP
US
Y
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
FGLMC P#Q49365 3% 07/01/47
N/A
FREDDIE MAC GOLD POOL P#Q49365 3.00000000
3132WPMP9
249615.28000000
NS
USD
253335.54000000
0.004106505824
Long
ABS-MBS
USGA
US
N
2
2047-07-01
Fixed
3.00000000
N
N
N
N
N
N
FGLMC P#A17666 5.5% 01/01/34
N/A
FREDDIE MAC GOLD POOL P#A17666 5.50000000
31296SQT6
6455.13000000
NS
USD
7102.89000000
0.000115136072
Long
ABS-MBS
USGA
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
FGLMC P#A50243 6% 07/01/36
N/A
FREDDIE MAC GOLD POOL P#A50243 6.00000000
3128KCHU4
30814.66000000
NS
USD
33958.59000000
0.000550460261
Long
ABS-MBS
USGA
US
N
2
2036-07-01
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#U62580 3.5% 05/01/43
N/A
FREDDIE MAC GOLD POOL P#U62580 3.50000000
3132HXUD7
468999.83000000
NS
USD
491024.02000000
0.007959376714
Long
ABS-MBS
USGA
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#737972 5.5% 10/20/37
N/A
GINNIE MAE II POOL P#737972 5.50000000
3620AR2D2
53356.87000000
NS
USD
56858.91000000
0.000921668728
Long
ABS-MBS
USGSE
US
N
2
2037-10-20
Fixed
5.50000000
N
N
N
N
N
N
GNMA P#175339 6.5% 03/15/29
N/A
GINNIE MAE I POOL P#175339 6.50000000
36216UV87
14635.82000000
NS
USD
16145.12000000
0.000261708362
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
JPMMT 2019-LTV3 V/R 03/25/50
N/A
JP MORGAN MORTGAGE TRUST 2019-LTV3 SER 2019-LTV3 CL A4 V/R REGD 144A P/P 3.50000000
46651HAF4
12770400.27000000
NS
USD
12931026.36000000
0.209608707342
Long
ABS-CBDO
CORP
US
Y
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
CHENIERE ENERGY 5.25% 10/01/25
N/A
CHENIERE ENERGY PARTNERS REGD SER WI 5.25000000
16411QAB7
5595000.00000000
NS
USD
5830493.55000000
0.094510844086
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.25000000
N
N
N
N
N
N
CHASE 2019-CL1 M V/R 04/25/47
N/A
CHASE MORTGAGE REFERENCE NOTES 2019-CL1 SER 2019-CL1 CL M3 V/R REGD 3.89200000
46591HAC4
3439940.49000000
NS
USD
3431104.31000000
0.055617343832
Long
ABS-CBDO
CORP
US
N
2
2047-04-25
Variable
3.89200000
N
N
N
N
N
N
CAZ 2018-1A A 3.56% 08/15/23
N/A
CAZENOVIA CREEK FUNDING II LLC SER 2018-1A CL A REGD 144A P/P 3.56070000
14980AAA0
3498616.37000000
NS
USD
3518553.59000000
0.057034874818
Long
ABS-CBDO
CORP
US
Y
2
2030-07-15
Fixed
3.56070000
N
N
N
N
N
N
VISTRA OPERATION 3.7% 01/30/27
N/A
VISTRA OPERATIONS CO LLC REGD 144A P/P 3.70000000
92840VAG7
19115000.00000000
NS
USD
18993952.35000000
0.307887223222
Long
DBT
CORP
US
Y
2
2027-01-30
Fixed
3.70000000
N
N
N
N
N
N
UMBS P#RA1087 4.5% 07/01/49
N/A
FREDDIE MAC POOL UMBS P#RA1087 4.50000000
3133KGF45
7606188.89000000
NS
USD
8056805.91000000
0.130598811346
Long
ABS-MBS
USGA
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AL6559 4% 02/01/45
N/A
FANNIE MAE POOL UMBS P#AL6559 4.00000000
3138EPJD7
286244.60000000
NS
USD
303309.69000000
0.004916574313
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA P#789910 6.50% 7/1/34_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #789910_ 6.50000000
31405HR75
12587.80000000
NS
USD
13971.71000000
0.000226477929
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#AT9665 3% 07/01/43
N/A
FANNIE MAE POOL UMBS P#AT9665 3.00000000
3138WXW37
516795.51000000
NS
USD
532186.80000000
0.008626615096
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
URSA RE LTD V/R 12/10/22
549300O8X4DWGDJZ6W59
URSA RE LTD REGD V/R 144A P/P SER C 7.32481400
90323WAK6
2000000.00000000
NS
USD
2002000.00000000
0.032451919933
Long
DBT
CORP
BM
Y
2
2022-12-10
Variable
7.32481400
N
N
N
N
N
N
ARTEX SAC LIMITED MERION RE
N/A
ARTEX SAC LIMITED MERION RE 2018-2 0.00000000
N/A
7000000.00000000
NS
USD
7126000.00000000
0.115510680044
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#412335 7.5% 10/15/27
N/A
GINNIE MAE I POOL P#412335 7.50000000
36206JBC7
28429.20000000
NS
USD
31269.15000000
0.000506865110
Long
ABS-MBS
USGSE
US
N
2
2027-10-15
Fixed
7.50000000
N
N
N
N
N
N
DPABS 2019-1A 3.668% 10/25/29
N/A
DOMINO'S PIZZA MASTER ISSUER LLC SER 2019-1A CL A2 REGD 144A P/P 3.66800000
25755TAL4
9300000.00000000
NS
USD
9301581.00000000
0.150776304631
Long
ABS-CBDO
CORP
US
Y
2
2049-10-25
Fixed
3.66800000
N
N
N
N
N
N
MCMLT 2018-2 M1 V/R 05/25/58
N/A
MILL CITY MORTGAGE LOAN TRUST 2018-2 SER 2018-2 CL M1 V/R REGD 144A P/P 3.75000000
59980MAG6
11444359.35000000
NS
USD
11851825.46000000
0.192115130319
Long
ABS-CBDO
CORP
US
Y
2
2058-05-25
Variable
3.75000000
N
N
N
N
N
N
GNMA II P#AL5503 3.5% 03/20/45
N/A
GINNIE MAE II POOL P#AL5503 3.50000000
36184CDG7
471706.39000000
NS
USD
492927.54000000
0.007990232298
Long
ABS-MBS
USGSE
US
N
2
2045-03-20
Fixed
3.50000000
N
N
N
N
N
N
FNMA P#708545 5.5% 6/1/33__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #708545__ 5.50000000
31401HES7
13363.57000000
NS
USD
15025.83000000
0.000243564951
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#AS3907 4% 11/01/44
N/A
FANNIE MAE POOL UMBS P#AS3907 4.00000000
3138WDKV2
3749106.00000000
NS
USD
3972296.54000000
0.064389934700
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.00000000
N
N
N
N
N
N
PENSKE TRUCK L 3.375% 02/01/22
N/A
PENSKE TRUCK LEASING/PTL REGD 144A P/P 3.37500000
709599AS3
4825000.00000000
NS
USD
4927705.24000000
0.079876871082
Long
DBT
CORP
US
Y
2
2022-02-01
Fixed
3.37500000
N
N
N
N
N
N
BP CAPITAL MAR 3.062% 03/17/22
N/A
BP CAPITAL MARKETS PLC REGD 3.06200000
05565QCZ9
6360000.00000000
NS
USD
6522146.80000000
0.105722370505
Long
DBT
CORP
GB
N
2
2022-03-17
Fixed
3.06200000
N
N
N
N
N
N
PANGAEA 2015-2 0% 05/29/20
N/A
PANGAEA 2015-2 ZCP /BNR1QVAF7/ 0.00000000
N/A
4000000.00000000
NS
USD
5963.52000000
0.000096667169
Long
DBT
CORP
BM
N
3
2020-05-29
Fixed
0.00000000
N
N
N
N
N
N
GNMA II P#MA6041 4.5% 07/20/49
N/A
GINNIE MAE II POOL P#MA6041 4.50000000
36179UWA6
25388626.75000000
NS
USD
26668105.38000000
0.432283326964
Long
ABS-MBS
USGSE
US
N
2
2049-07-20
Fixed
4.50000000
N
N
N
N
N
N
PANGAEA RE 0% 7/1/23
N/A
PANGAEA RE 2019-3 REGD /XILS00141735/ 0.00000000
N/A
4779537.00000000
NS
USD
4649055.64000000
0.075360030668
Long
DBT
CORP
BM
N
3
2023-07-01
Fixed
0.00000000
N
N
N
N
N
N
FNMA P#813908 4.5% 11/1/20__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #813908______________ 4.50000000
31406MGR1
1200.48000000
NS
USD
1239.33000000
0.000020089229
Long
ABS-MBS
USGSE
US
N
2
2020-11-01
Fixed
4.50000000
N
N
N
N
N
N
APACHE CORP 4.375% 10/15/28
72ZZ1XRHOOU9P9X16K08
APACHE CORP REGD 4.37500000
037411BE4
13130000.00000000
NS
USD
13733827.04000000
0.222621905838
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
JPMMT 2019-7 B1A V/R 02/25/50
N/A
JP MORGAN MORTGAGE TRUST 2019-7 SER 2019-7 CL B1A V/R REGD 144A P/P 2.98806900
46651GAZ2
4969284.04000000
NS
USD
4575987.57000000
0.074175615504
Long
ABS-CBDO
CORP
US
Y
2
2050-02-25
Variable
2.98806900
N
N
N
N
N
N
ARTEX SAC LTD V/R 03/31/20
N/A
ARTEX SAC LTD BANTRY RE 2016 REGD V/R /BNR4B8Q61/ 0.00000000
N/A
2000000.00000000
NS
USD
161200.00000000
0.002613011734
Long
DBT
CORP
BM
N
3
2020-03-31
Variable
0.00000000
N
N
N
N
N
N
F/C US 5YR NOTE (CBT) MAR20
N/A
FUTURE CONTRACT ON US 5YR NOTE (CBT) MAR20 0.00000000
N/A
7034.00000000
NC
USD
834298343.75000000
13.52376775845
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Long
F/C US 5YR NOTE (CBT) MAR20
US 5YR NOTE (CBT) MAR20
2020-03-31
837273437.5
USD
-2975093.75
N
N
N
VERSUTUS RE 2019-A 0% 12/31/21
N/A
VERSUTUS RE 2019-A REGD ZCP /BNR48UWU6/ 0.00000000
N/A
1765095.00000000
NS
USD
1964550.74000000
0.031844876783
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
CGCMT 2016-P5 D 3% 10/10/26
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P5 SER 2016-P5 CL D REGD 144A P/P 3.00000000
17325DAL7
4621000.00000000
NS
USD
4095370.03000000
0.066384925231
Long
ABS-CBDO
CORP
US
Y
2
2049-10-10
Fixed
3.00000000
N
N
N
N
N
N
T/L LEVEL 3 0% 03/01/27
N/A
T/L LEVEL 3 FINANCING INC REGD 0.00000000
52729KAP1
809586.81000000
NS
USD
814478.33000000
0.013202490286
Long
LON
CORP
US
N
2
2027-03-01
Fixed
0.00000000
N
N
N
N
N
N
MDCP 2018-2A 4.605% 07/20/24
N/A
ELM 2018-2 TRUST SER 2018-2A CL A2 REGD 144A P/P 4.60500000
289333AB2
4500000.00000000
NS
USD
4521449.25000000
0.073291562960
Long
ABS-CBDO
CORP
US
Y
2
2027-10-20
Fixed
4.60500000
N
N
N
N
N
N
CMLTI 2018-RP2 A V/R 02/25/58
N/A
CITIGROUP MORTGAGE LOAN TRUST 2018-RP2 SER 2018-RP2 CL A1 V/R REGD 144A P/P 3.50000000
17326UAA2
9566499.41000000
NS
USD
9797579.16000000
0.158816310912
Long
ABS-CBDO
CORP
US
Y
2
2058-02-25
Variable
3.50000000
N
N
N
N
N
N
GNMA P#569703 6.5% 02/15/32
N/A
GINNIE MAE I POOL P#569703 6.50000000
36200Q3L6
22839.84000000
NS
USD
26001.69000000
0.000421480900
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#789678 5% 01/01/20
N/A
FANNIE MAE POOL UMBS P#789678 5.00000000
31405HJX7
496.16000000
NS
USD
512.17000000
0.000008302147
Long
ABS-MBS
USGSE
US
N
2
2020-01-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#549193 7.5% 02/15/31
N/A
GINNIE MAE I POOL P#549193 7.50000000
36213BC67
12681.43000000
NS
USD
12800.17000000
0.000207487558
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
7.50000000
N
N
N
N
N
N
UMBS P#AE4561 4% 05/01/41
N/A
FANNIE MAE POOL UMBS P#AE4561 4.00000000
31419FB70
620174.44000000
NS
USD
665187.83000000
0.010782528571
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.00000000
N
N
N
N
N
N
SEMT 2013-6 A2 V/R 05/25/43
N/A
SEQUOIA MORTGAGE TRUST 2013-6 SER 2013-6 CL A2 V/R REGD 3.00000000
81745BAB1
9919109.19000000
NS
USD
9990407.75000000
0.161942014191
Long
ABS-CBDO
CORP
US
N
2
2043-05-25
Variable
3.00000000
N
N
N
N
N
N
T/L MICROCHIP TEC ZCP 05/29/25
5493007PTFULNYZJ1R12
T/L MICROCHIP TECHNOLOGY INC REGD ZCP TERM LOAN 0.00000000
59501NAJ8
2135722.36000000
NS
USD
2157079.58000000
0.034965721189
Long
LON
CORP
US
N
2
2025-05-29
Fixed
0.00000000
N
N
N
N
N
N
T/L SIX FLAGS 0% 4/17/26
N/A
T/L SIX FLAGS THEME PARKS INC REGD 0.00000000
83002CAJ6
1250952.83000000
NS
USD
1258458.55000000
0.020399298753
Long
LON
CORP
US
N
2
2026-04-17
Fixed
0.00000000
N
N
N
N
N
N
ERAC USA FINANCE 3.3% 12/01/26
N/A
ERAC USA FINANCE LLC REGD 144A P/P 3.30000000
26884TAR3
3950000.00000000
NS
USD
4066969.61000000
0.065924561517
Long
DBT
CORP
US
Y
2
2026-12-01
Fixed
3.30000000
N
N
N
N
N
N
HENDR 2010-3A A 3.82% 12/15/48
N/A
321 HENDERSON RECEIVABLES I LL C SER 2010-3A CL A REGD_ 3.82000000
46616MAA8
313509.94000000
NS
USD
323156.39000000
0.005238284362
Long
ABS-CBDO
CORP
US
Y
2
2048-12-15
Fixed
3.82000000
N
N
N
N
N
N
NEW YORK LIFE I 4.45% 05/15/69
TAE73CY392TBWJ3O3305
NEW YORK LIFE INSURANCE REGD 144A P/P 4.45000000
64952GAQ1
7300000.00000000
NS
USD
8368135.64000000
0.135645388504
Long
DBT
CORP
US
Y
2
2069-05-15
Fixed
4.45000000
N
N
N
N
N
N
WFRBS 2013-C12 D V/R 03/15/48
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2013-C12 SER 2013-C12 CL D V/R REGD 144A P/P 4.40441800
92937FAU5
4200000.00000000
NS
USD
4231565.94000000
0.068592626913
Long
ABS-CBDO
CORP
US
Y
2
2048-03-15
Variable
4.40441800
N
N
N
N
N
N
WFRBS 2013-C1 4.136% 08/15/23
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2013-C16 SER 2013-C16 CL A4 REGD 4.13600000
92938EAM5
6023446.42000000
NS
USD
6311483.41000000
0.102307569573
Long
ABS-CBDO
CORP
US
N
2
2046-09-15
Fixed
4.13600000
N
N
N
N
N
N
AXIS 2018-2A D 4.45% 06/20/23
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES VI LLC SER 2018-2A CL D REGD 144A P/P 4.45000000
03237JAE7
5784000.00000000
NS
USD
5961111.86000000
0.096628134264
Long
ABS-CBDO
CORP
US
Y
2
2023-06-20
Fixed
4.45000000
N
N
N
N
N
N
CMLTI 2019-RP1 A V/R 01/25/66
N/A
CITIGROUP MORTGAGE LOAN TRUST 2019-RP1 SER 2019-RP1 CL A1 V/R REGD 144A P/P 3.50000000
17327RAA8
11098635.02000000
NS
USD
11332295.69000000
0.183693682517
Long
ABS-CBDO
CORP
US
Y
2
2066-01-25
Variable
3.50000000
N
N
N
N
N
N
GNMA P#732238 4.5% 06/15/25
N/A
GINNIE MAE I POOL P#732238 4.50000000
3620AKPX8
134372.00000000
NS
USD
138555.07000000
0.002245943075
Long
ABS-MBS
USGSE
US
N
2
2025-06-15
Fixed
4.50000000
N
N
N
N
N
N
GALILEI RE LTD V/R 01/08/21
N/A
GALILEI RE LTD REGD V/R 144A P/P SER * 8.66063000
363543AH2
1500000.00000000
NS
USD
1492200.00000000
0.024188189273
Long
DBT
CORP
BM
Y
2
2021-01-08
Variable
8.66063000
N
N
N
N
N
N
FGLMC P#C03792 3.5% 04/01/42
N/A
FREDDIE MAC GOLD POOL P#C03792 3.50000000
31292LF91
1209233.09000000
NS
USD
1279036.94000000
0.020732869315
Long
ABS-MBS
USGA
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#498645 7% 04/15/29
N/A
GINNIE MAE I POOL P#498645 7.00000000
36210P5E0
19039.85000000
NS
USD
19546.33000000
0.000316841126
Long
ABS-MBS
USGSE
US
N
2
2029-04-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#520534 4.5% 03/15/35
N/A
GINNIE MAE I POOL P#520534 4.50000000
36211RHK8
48983.09000000
NS
USD
52160.93000000
0.000845515646
Long
ABS-MBS
USGSE
US
N
2
2035-03-15
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#604724 5.5% 10/15/33
N/A
GINNIE MAE I POOL P#604724 5.50000000
36200MYV9
37938.55000000
NS
USD
42511.44000000
0.000689099823
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
5.50000000
N
N
N
N
N
N
AES GENER SA V/R 03/26/79
N/A
AES GENER SA REGD V/R 144A P/P 7.12500000
00105DAF2
1749000.00000000
NS
USD
1836866.28000000
0.029775143580
Long
DBT
CORP
CL
Y
2
2079-03-26
Variable
7.12500000
N
N
N
N
N
N
STACR 2017-DNA3 V/R 03/25/30
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES SER 2017-DNA3 CL M2 V/R REGD 4.29200000
3137G0QQ5
8940000.00000000
NS
USD
9149201.36000000
0.148306268728
Long
ABS-CBDO
CORP
US
N
2
2030-03-25
Variable
4.29200000
N
N
N
N
N
N
MCMLT 2018-4 A1B V/R 04/25/66
N/A
MILL CITY MORTGAGE LOAN TRUST 2018-4 SER 2018-4 CL A1B V/R REGD 144A P/P 3.50000000
59980YAB1
28450000.00000000
NS
USD
29072724.98000000
0.471261610046
Long
ABS-CBDO
CORP
US
Y
2
2066-04-25
Variable
3.50000000
N
N
N
N
N
N
BIOGEN INC 5.2% 09/15/45
W8J5WZB5IY3K0NDQT671
BIOGEN INC REGD 5.20000000
09062XAD5
6835000.00000000
NS
USD
8254971.59000000
0.133811027520
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
5.20000000
N
N
N
N
N
N
GNMA P#AM4159 4% 04/15/45
N/A
GINNIE MAE I POOL P#AM4159 4.00000000
36184QTQ7
2448960.52000000
NS
USD
2629115.34000000
0.042617302952
Long
ABS-MBS
USGSE
US
N
2
2045-04-15
Fixed
4.00000000
N
N
N
N
N
N
MCMLT 2019-1 M1 V/R 10/25/69
N/A
MILL CITY MORTGAGE LOAN TRUST 2019-1 SER 2019-1 CL M1 V/R REGD 144A P/P 3.50000000
59981AAG1
14473341.72000000
NS
USD
14701173.83000000
0.238302355677
Long
ABS-CBDO
CORP
US
Y
2
2069-10-25
Variable
3.50000000
N
N
N
N
N
N
GNMA P#AA8385 4% 03/15/44
N/A
GINNIE MAE I POOL P#AA8385 4.00000000
36178GJ62
444376.56000000
NS
USD
470778.51000000
0.007631202054
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
GSMBS 2018-RPL 3.75% 10/25/57
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 SER 2018-RPL1 CL A1A REGD 144A P/P 3.75000000
36256BAC4
6212064.80000000
NS
USD
6418417.17000000
0.104040939112
Long
ABS-CBDO
CORP
US
Y
2
2057-10-25
Fixed
3.75000000
N
N
N
N
N
N
FGLMC P#Q46616 3% 03/01/47
N/A
FREDDIE MAC GOLD POOL P#Q46616 3.00000000
3132WLK62
748119.67000000
NS
USD
764368.87000000
0.012390228456
Long
ABS-MBS
USGA
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
RMIR 2019-1 M1B V/R 02/25/29
N/A
RADNOR RE 2019-1 LTD SER 2019-1 CL M1B V/R REGD 144A P/P 3.74200000
75049SAB9
11160000.00000000
NS
USD
11146393.73000000
0.180680258181
Long
ABS-CBDO
CORP
BM
Y
2
2029-02-25
Variable
3.74200000
N
N
N
N
N
N
GNMA P#737085 4% 08/15/40
N/A
GINNIE MAE I POOL P#737085 4.00000000
3620AQ2S1
4778.72000000
NS
USD
5087.72000000
0.000082470670
Long
ABS-MBS
USGSE
US
N
2
2040-08-15
Fixed
4.00000000
N
N
N
N
N
N
ENGS 2016-1A D 5.22% 01/22/21
N/A
ENGS COMMERCIAL FINANCE TRUST 2016-1 SER 2016-1A CL D REGD 144A P/P 5.22000000
29332JAE6
1900000.00000000
NS
USD
1908298.63000000
0.030933044131
Long
ABS-CBDO
CORP
US
Y
2
2024-01-22
Fixed
5.22000000
N
N
N
N
N
N
GNMA P#497491 5.5% 01/15/29
N/A
GINNIE MAE I POOL P#497491 5.50000000
36210NUQ0
41332.38000000
NS
USD
44316.11000000
0.000718353073
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Fixed
5.50000000
N
N
N
N
N
N
ICONX 2012-1A 4.229% 01/25/20
N/A
ICON BRAND HOLDINGS LLC SER 2012-1A CL A REGD 144A P/P 4.22900000
45112AAA5
722761.58000000
NS
USD
510088.26000000
0.008268403283
Long
ABS-CBDO
CORP
US
Y
2
2043-01-25
Fixed
4.22900000
N
N
N
N
N
N
GENERAL MOTORS F 3.7% 11/24/20
N/A
GENERAL MOTORS FINL CO REGD 3.70000000
37045XBD7
2300000.00000000
NS
USD
2327255.14000000
0.037724224510
Long
DBT
CORP
US
N
2
2020-11-24
Fixed
3.70000000
N
N
N
N
N
N
FGLMC P#C46652 6.5% 01/01/31
N/A
FREDDIE MAC GOLD POOL P#C46652 6.50000000
31298FL91
136.93000000
NS
USD
152.07000000
0.000002465016
Long
ABS-MBS
USGA
US
N
2
2031-01-01
Fixed
6.50000000
N
N
N
N
N
N
JPMDB 2016-C2 B V/R 05/15/26
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C2 SER 2016-C2 CL B V/R REGD 3.99010000
46590LAY8
3450000.00000000
NS
USD
3616781.63000000
0.058627126810
Long
ABS-CBDO
CORP
US
N
2
2049-06-15
Variable
3.99010000
N
N
N
N
N
N
EDEN RE II LTD ZCP 03/22/24
549300LKX8PCP3SC3F42
EDEN RE II LTD REGD ZCP 144A P/P SER A 0.00000000
27954QAG6
2600000.00000000
NS
USD
2600000.00000000
0.042145350563
Long
DBT
CORP
BM
Y
2
2024-03-22
Fixed
0.00000000
N
N
N
N
N
N
VERSUTUS LTD V/R 11/30/21
N/A
VERSUTUS LTD SEGREGATED ACCOUNT VERSUTUS SERIES 2017 ACCOUNT A-1 NOTE /RESTRICTED/ 0.00000000
N/A
4000000.00000000
NS
USD
52800.00000000
0.000855874811
Long
DBT
CORP
BM
N
3
2021-11-30
Variable
0.00000000
N
N
N
N
N
N
UMBS P#AB9735 3.5% 06/01/28
N/A
FANNIE MAE POOL UMBS P#AB9735 3.50000000
31417GY91
2118392.69000000
NS
USD
2203022.31000000
0.035710441367
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA P#625146 6% 2/1/32
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #625146 6.00000000
31389GP79
8257.78000000
NS
USD
9346.83000000
0.000151509779
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
6.00000000
N
N
N
N
N
N
MCMLT 2019-GS1 M V/R 07/25/59
N/A
MILL CITY MORTGAGE LOAN TRUST 2019-GS1 SER 2019-GS1 CL M1 V/R REGD 144A P/P 3.00000000
59981BAG9
7500000.00000000
NS
USD
7374734.25000000
0.119542600107
Long
ABS-CBDO
CORP
US
Y
2
2059-07-25
Variable
3.00000000
N
N
N
N
N
N
TRUIST BANK 2.45% 08/01/22
N/A
TRUIST BANK REGD SER BKNT 2.45000000
86787EAT4
12575000.00000000
NS
USD
12711751.36000000
0.206054314363
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
2.45000000
N
N
N
N
N
N
GNMA P#486935 6.5% 02/15/29
N/A
GINNIE MAE I POOL P#486935 6.50000000
36210A4U8
9623.84000000
NS
USD
10616.28000000
0.000172087247
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
TRPTY RBC DOMIN 1.56% 01/02/20
N/A
TRPTY RBC DOMIN 1.56% 01/02/20 1.56000000
N/A
22000000.00000000
PA
USD
22000000.00000000
0.356614504769
Long
RA
CORP
US
N
2
Repurchase
Y
1.56000000
2020-01-02
23465678.00000000
USD
22441945.44681090
USD
AMBS
N
N
N
UMBS P#AK9815 4% 04/01/42
N/A
FANNIE MAE POOL UMBS P#AK9815 4.00000000
3138EE3Z0
82879.63000000
NS
USD
86210.38000000
0.001397448725
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
CAPITAL ONE NA 2.15% 09/06/22
N/A
CAPITAL ONE NA REGD 2.15000000
14042RNW7
8475000.00000000
NS
USD
8489388.26000000
0.137610863187
Long
DBT
CORP
US
N
2
2022-09-06
Fixed
2.15000000
N
N
N
N
N
N
MPLX LP 4.875% 06/01/25
N/A
MPLX LP REGD SER WI 4.87500000
55336VAJ9
3045000.00000000
NS
USD
3326482.66000000
0.053921453019
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
UMBS P#BK3960 4% 04/01/48
N/A
FANNIE MAE POOL UMBS P#BK3960 4.00000000
3140HHMJ1
6814436.09000000
NS
USD
7105576.88000000
0.115179626370
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
AH4R 2015-SFR1 4.11% 04/17/25
N/A
AMERICAN HOMES 4 RENT 2015-SFR1 SER 2015-SFR1 CL C REGD 144A P/P 4.11000000
02666AAC2
1300000.00000000
NS
USD
1347454.81000000
0.021841905898
Long
ABS-CBDO
CORP
US
Y
2
2052-04-17
Fixed
4.11000000
N
N
N
N
N
N
UMBS P#BH3109 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#BH3109 4.00000000
3140GRN34
511774.42000000
NS
USD
543863.46000000
0.008815890838
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
AILSA RE 2019 0.0% 06/30/20
N/A
AILSA RE 2019 REGD ZCP /XILS00139462/ 0.00000000
N/A
2500000.00000000
NS
USD
2598291.13000000
0.042117650207
Long
DBT
CORP
BM
N
3
2020-06-30
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AS3445 4% 09/01/44
N/A
FANNIE MAE POOL UMBS P#AS3445 4.00000000
3138WCZK2
30423.91000000
NS
USD
32235.56000000
0.000522530375
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
4.00000000
N
N
N
N
N
N
AFRICAN EXPORT 3.994% 09/21/29
21380068LJCDYA42GJ76
AFRICAN EXPORT-IMPORT BA REGD 144A P/P MTN 3.99400000
00831TAA9
6065000.00000000
NS
USD
6150395.20000000
0.099696369926
Long
DBT
CORP
EG
Y
2
2029-09-21
Fixed
3.99400000
N
N
N
N
N
N
GNMA P#750209 4.5% 04/15/41
N/A
GINNIE MAE I POOL P#750209 4.50000000
3620C6N27
286842.03000000
NS
USD
307902.58000000
0.004991023912
Long
ABS-MBS
USGSE
US
N
2
2041-04-15
Fixed
4.50000000
N
N
N
N
N
N
GENERAL MOTORS FIN 4% 01/15/25
N/A
GENERAL MOTORS FINL CO REGD 4.00000000
37045XAS5
10710000.00000000
NS
USD
11258633.57000000
0.182499637951
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.00000000
N
N
N
N
N
N
SOUTHERN CAL E 4.875% 03/01/49
N/A
SOUTHERN CAL EDISON REGD SER B 4.87500000
842400GR8
8605000.00000000
NS
USD
10208697.16000000
0.165480431002
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
4.87500000
N
N
N
N
N
N
GNMA P#733913 4.5% 09/15/40
N/A
GINNIE MAE I POOL P#733913 4.50000000
3620AMK27
159102.47000000
NS
USD
173056.80000000
0.002805207501
Long
ABS-MBS
USGSE
US
N
2
2040-09-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AU4291 4% 09/01/43
N/A
FANNIE MAE POOL UMBS P#AU4291 4.00000000
3138X3XV9
4170454.41000000
NS
USD
4449337.58000000
0.072122650801
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA I P#575588 6.45% 07/20/32
N/A
GINNIE MAE II POOL P#575588 6.45000000
36200XND7
42951.63000000
NS
USD
46425.78000000
0.000752550297
Long
ABS-MBS
USGSE
US
N
2
2032-07-20
Fixed
6.45000000
N
N
N
N
N
N
WRG 2017-1 A 4.458% 10/15/22
N/A
WRG DEBT FUNDING II LLC SER 2017-1 CL A REGD 144A P/P 4.45800000
92940VAA9
2333631.81000000
NS
USD
2333631.81000000
0.037827588738
Long
ABS-CBDO
CORP
US
Y
2
2026-03-15
Fixed
4.45800000
N
N
N
N
N
N
JPMMT 2017-5 A2 V/R 10/26/48
N/A
JP MORGAN MORTGAGE TRUST 2017-5 SER 2017-5 CL A2 V/R REGD 144A P/P 3.15507000
46590YAB0
1661538.92000000
NS
USD
1701918.97000000
0.027587681392
Long
ABS-CBDO
CORP
US
Y
2
2048-10-26
Variable
3.15507000
N
N
N
N
N
N
GNMA P#498380 6.5% 02/15/29
N/A
GINNIE MAE I POOL P#498380 6.50000000
36210PUD4
851.72000000
NS
USD
939.55000000
0.000015229870
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
FED NATL MORT ASSC
N/A
FED NATL MORT ASSC FR A/BKD 25/01/2029 USD 6.24200000
N/A
8624150.16000000
NS
USD
9108647.15000000
0.147648895114
Long
DBT
USGA
US
N
2
2029-01-25
Variable
6.24200000
N
N
N
N
N
N
PEPAU 18A A1UA V/R 03/12/47
N/A
PEPPER RESIDENTIAL SECURITIES TRUST NO 18 SER 18A CL A1UA V/R REGD P/P 2.68563000
71337JAA1
118725.37000000
NS
USD
118725.73000000
0.001924514427
Long
ABS-CBDO
CORP
AU
Y
2
2047-03-12
Variable
2.68563000
N
N
N
N
N
N
FGLMC P#Q49257 3.5% 07/01/47
N/A
FREDDIE MAC GOLD POOL P#Q49257 3.50000000
3132WPJB4
7858629.44000000
NS
USD
8163686.19000000
0.132331313988
Long
ABS-MBS
USGA
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
FREMF 2014-KS02 V/R 08/25/23
N/A
FREMF 2014-KS02 MORTGAGE TRUST SER 2014-KS02 CL B V/R 144A P/P 6.69713000
30292BAE9
2653275.63000000
NS
USD
2683808.46000000
0.043503864766
Long
ABS-CBDO
CORP
US
Y
2
2023-08-25
Variable
6.69713000
N
N
N
N
N
N
FGLMC P#Q12846 4% 11/01/42
N/A
FREDDIE MAC GOLD POOL P#Q12846 4.00000000
3132HPET7
53950.42000000
NS
USD
57848.45000000
0.000937708924
Long
ABS-MBS
USGA
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
SBA TOWER TRUS 2.877% 07/09/21
N/A
SBA TOWER TRUST REGD 144A P/P 2.87700000
78403DAK6
1800000.00000000
NS
USD
1806001.02000000
0.029274825425
Long
DBT
CORP
US
Y
2
2021-07-09
Fixed
2.87700000
N
N
N
N
N
N
FNR 2013-128 DV 3% 06/25/23
N/A
FANNIE MAE REMICS SER 2013-128 CL DV 3.00000000
3136AHNG1
781530.86000000
NS
USD
790884.22000000
0.012820035656
Long
ABS-CBDO
CORP
US
N
2
2023-06-25
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#MA3776 4% 09/01/49
N/A
FANNIE MAE POOL UMBS P#MA3776 4.00000000
31418DFS6
1821379.16000000
NS
USD
1900591.60000000
0.030808115100
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
T/L BERRY GLOBAL 0% 01/19/24
N/A
T/L BERRY GLOBAL INC REGD 0.00000000
08579JBE1
486152.84000000
NS
USD
488735.28000000
0.007922276810
Long
LON
CORP
US
N
2
2024-01-19
Fixed
0.00000000
N
N
N
N
N
N
T/L FILTRATION GRO 0% 03/29/25
N/A
T/L FILTRATION GROUP CORPORATION REGD 0.00000000
N/A
477736.37000000
NS
USD
480304.20000000
0.007785611110
Long
LON
CORP
US
N
2
2025-03-29
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#810991 5% 10/01/34
N/A
FANNIE MAE POOL UMBS P#810991 5.00000000
31406H7C5
142091.16000000
NS
USD
154940.35000000
0.002511544371
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.00000000
N
N
N
N
N
N
SEMT 2012-6 B3 V/R 10/25/27
N/A
SEQUOIA MORTGAGE TRUST 2012-6 SER 2012-6 CL B3 V/R REGD 3.72998000
81744NAJ9
2529078.90000000
NS
USD
2577721.43000000
0.041784220508
Long
ABS-CBDO
CORP
US
N
2
2042-12-25
Variable
3.72998000
N
N
N
N
N
N
COMM 2012-CR2 3.791% 07/15/22
N/A
COMM 2012-CCRE2 MORTGAGE TRUST SER 2012-CR2 CL AM REGD 3.79100000
12624KAF3
2090000.00000000
NS
USD
2145192.09000000
0.034773027945
Long
ABS-CBDO
CORP
US
N
2
2045-08-15
Fixed
3.79100000
N
N
N
N
N
N
T/L SPRINT COMM 0% 02/02/24
N/A
T/L SPRINT COMMUNICATIONS INC ZCP REGD 0.00000000
N/A
1264250.00000000
NS
USD
1255945.14000000
0.020358557005
Long
LON
CORP
US
N
2
2024-02-02
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AE2204 4.5% 08/01/40
N/A
FANNIE MAE POOL UMBS P#AE2204 4.50000000
31419CNW9
761409.53000000
NS
USD
826869.73000000
0.013403351785
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
CIM 2019-INV1 A1 V/R 01/25/40
N/A
CIM TRUST 2019-INV1 SER 2019-INV1 CL A1 V/R REGD 144A P/P 4.00000000
12555DAA3
20984746.68000000
NS
USD
21297717.39000000
0.345230679079
Long
ABS-CBDO
CORP
US
Y
2
2049-02-25
Variable
4.00000000
N
N
N
N
N
N
BROADCOM INC 4.25% 04/15/26
549300WV6GIDOZJTV909
BROADCOM INC REGD 144A P/P 4.25000000
11135FAE1
3485000.00000000
NS
USD
3701667.75000000
0.060003109612
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
UMBS P#QA3894 5% 10/01/49
N/A
FREDDIE MAC POOL UMBS P#QA3894 5.00000000
31339UKF6
1196247.66000000
NS
USD
1280910.53000000
0.020763239741
Long
ABS-MBS
USGA
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AI7368 4.5% 07/01/41
N/A
FANNIE MAE POOL UMBS P#AI7368 4.50000000
3138AMFJ9
1140870.40000000
NS
USD
1239136.15000000
0.020086087476
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AS6408 3.5% 01/01/46
N/A
FANNIE MAE POOL UMBS P#AS6408 3.50000000
3138WGDN1
5700578.20000000
NS
USD
5951549.52000000
0.096473131121
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
FEIM 2019-1A D V/R 01/20/33
N/A
FIRST EAGLE BSL CLO 2019-1 LTD SER 2019-1A CL D V/R REGD 144A P/P 0.00000000
32010GAA3
1000000.00000000
NS
USD
929409.00000000
0.015065487739
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-20
Variable
0.00000000
N
N
N
N
N
N
IHSFR 2018-SFR1 V/R 03/17/20
N/A
INVITATION HOMES 2018-SFR1 TRUST SER 2018-SFR1 CL C V/R REGD 144A P/P 2.98738000
46185JAE8
3650000.00000000
NS
USD
3641083.78000000
0.059021058592
Long
ABS-CBDO
CORP
US
Y
2
2037-03-17
Variable
2.98738000
N
N
N
N
N
N
CWHL 2003-56 4A2 V/R 12/25/33
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2003-56 SER 2003-56 CL 4A2 V/R REGD 4.16451000
12669FBP7
135406.40000000
NS
USD
135210.10000000
0.002191721947
Long
ABS-CBDO
CORP
US
N
2
2033-12-25
Variable
4.16451000
N
N
N
N
N
N
ADANI TRANSMISS 4.25% 05/21/36
549300PLH866JQ6LXE52
ADANI TRANSMISSION LTD REGD 144A P/P 4.25000000
00652XAB4
5920000.00000000
NS
USD
5979951.78000000
0.096933524662
Long
DBT
CORP
IN
Y
2
2036-05-21
Fixed
4.25000000
N
N
N
N
N
N
GNMA P#603650 6% 04/15/33
N/A
GINNIE MAE I POOL P#603650 6.00000000
36200KTF4
29833.12000000
NS
USD
32938.68000000
0.000533927775
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#474108 6.5% 04/15/28
N/A
GINNIE MAE I POOL P#474108 6.50000000
36209KU97
29858.90000000
NS
USD
32938.05000000
0.000533917563
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
6.50000000
N
N
N
N
N
N
F/C US LONG BOND(CBT) MAR20
N/A
FUTURE CONTRACT ON US LONG BOND(CBT) MAR20 0.00000000
N/A
-342.00000000
NC
USD
-53319937.50000000
-0.86430286844
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Short
F/C US LONG BOND(CBT) MAR20
US LONG BOND(CBT) MAR20
2020-03-20
54477453.13
USD
1157515.63
N
N
N
FGLMC P#G12432 5% 12/01/21
N/A
FREDDIE MAC GOLD POOL P#G12432 5.00000000
3128M1SV2
2670.39000000
NS
USD
2759.83000000
0.000044736154
Long
ABS-MBS
USGA
US
N
2
2021-12-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#746503 4% 11/15/40
N/A
GINNIE MAE I POOL P#746503 4.00000000
3620C2KQ6
23479.50000000
NS
USD
24581.93000000
0.000398466945
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Fixed
4.00000000
N
N
N
N
N
N
CGCMT 2014-GC19 V/R 02/10/24
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19 SER 2014-GC19 CL B V/R REGD 4.80500000
17322AAG7
3400000.00000000
NS
USD
3670317.68000000
0.059494932809
Long
ABS-CBDO
CORP
US
N
2
2047-03-10
Variable
4.80500000
N
N
N
N
N
N
GNMA P#470499 7% 06/15/29
N/A
GINNIE MAE I POOL P#470499 7.00000000
36209FUY3
2584.60000000
NS
USD
2589.39000000
0.000041973365
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
7.00000000
N
N
N
N
N
N
UMBS P#AS3216 4% 09/01/44
N/A
FANNIE MAE POOL UMBS P#AS3216 4.00000000
3138WCSE4
312819.21000000
NS
USD
331458.70000000
0.005372862734
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AZ9565 3.5% 12/01/45
N/A
FANNIE MAE POOL UMBS P#AZ9565 3.50000000
3140E2TX9
1992008.08000000
NS
USD
2077825.56000000
0.033681033321
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AV5043 4% 02/01/44
N/A
FANNIE MAE POOL UMBS P#AV5043 4.00000000
3138XGS95
3980485.46000000
NS
USD
4231099.89000000
0.068585072359
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#784078 4% 06/15/45
N/A
GINNIE MAE I POOL P#784078 4.00000000
3622A2Q70
3374978.53000000
NS
USD
3623839.36000000
0.058741530851
Long
ABS-MBS
USGSE
US
N
2
2045-06-15
Fixed
4.00000000
N
N
N
N
N
N
ARTEX SAC LTD 0% 2/1/19
N/A
ARTEX SAC LTD FORMERLY KANE SAC LTD ARLINGTON 2015 ZCP REGD /BNR1QGF08/ 0.00000000
N/A
900000.00000000
NS
USD
43740.00000000
0.000709014474
Long
DBT
CORP
BM
N
3
2020-02-01
Fixed
0.00000000
N
N
N
N
N
N
US TIPS 0.75% 02/15/45
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000
912810RL4
8573736.10500000
NS
USD
8891059.77000000
0.144121858034
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
STACR 2018-HQA2 V/R 10/25/48
N/A
FREDDIE MAC STACR TRUST 2018-HQA2 SER 2018-HQA2 CL M2 V/R REGD 144A P/P 4.09200000
35563XAH5
9880000.00000000
NS
USD
10007150.66000000
0.162213412580
Long
ABS-CBDO
CORP
US
Y
2
2048-10-25
Variable
4.09200000
N
N
N
N
N
N
FNMA P#685330 6% 2/1/33___
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #685330____ 6.00000000
31400ELK4
5492.28000000
NS
USD
6044.76000000
0.000097984049
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AT5988 3% 05/01/43
N/A
FANNIE MAE POOL UMBS P#AT5988 3.00000000
3138WTUN4
7392380.15000000
NS
USD
7612891.60000000
0.123403071263
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
DUKE REALTY LP 3.625% 04/15/23
N/A
DUKE REALTY LP REGD 3.62500000
26441YAX5
3450000.00000000
NS
USD
3586401.44000000
0.058134671519
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.62500000
N
N
N
N
N
N
SAN DIEGO G & 1.914% 02/01/22
KNIRVXKVNJJ4P8OTMS63
SAN DIEGO G & E REGD SER PPP 1.91400000
797440BT0
1196428.57000000
NS
USD
1192258.27000000
0.019326208750
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
1.91400000
N
N
N
N
N
N
UMBS P#479694 5.72% 11/01/28
N/A
FANNIE MAE POOL UMBS P#479694 5.72000000
31382D3B8
40504.10000000
NS
USD
41152.68000000
0.000667074663
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
5.72000000
N
N
N
N
N
N
NHEL 2005-3 M1 V/R 01/25/36
N/A
NOVASTAR MORTGAGE FUNDING TRUST SERIES 2005-3 SER 2005-3 CL M1 V/R REGD 2.46700000
66987XGX7
1104171.13000000
NS
USD
1103198.36000000
0.017882569855
Long
ABS-CBDO
CORP
US
N
2
2036-01-25
Variable
2.46700000
N
N
N
N
N
N
GNMA P#780770 6% 04/15/28
N/A
GINNIE MAE I POOL P#780770 6.00000000
36225A2B5
24160.81000000
NS
USD
27191.79000000
0.000440772123
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
6.00000000
N
N
N
N
N
N
TRPTY TORONTO D 1.57% 01/02/20
N/A
TRPTY TORONTO D 1.57% 01/02/20 1.57000000
N/A
4025000.00000000
PA
USD
4025000.00000000
0.065244244622
Long
RA
CORP
US
N
2
Repurchase
Y
1.57000000
2020-01-02
4064334.00000000
USD
4105501.00434501
USD
AMBS
N
N
N
UACST 2019-1 D 3.47% 12/10/21
N/A
UNITED AUTO CREDIT SECURITIZATION TRUST 2019-1 SER 2019-1 CL D REGD 144A P/P 3.47000000
90945QAD3
1250000.00000000
NS
USD
1263112.25000000
0.020474734068
Long
ABS-CBDO
CORP
US
Y
2
2024-08-12
Fixed
3.47000000
N
N
N
N
N
N
GNMA P#552839 6.5% 10/15/32
N/A
GINNIE MAE I POOL P#552839 6.50000000
36213FEL3
37161.32000000
NS
USD
40993.52000000
0.000664494719
Long
ABS-MBS
USGSE
US
N
2
2032-10-15
Fixed
6.50000000
N
N
N
N
N
N
FGLMC P#G08636 3.5% 04/01/45
N/A
FREDDIE MAC GOLD POOL P#G08636 3.50000000
3128MJV64
569044.52000000
NS
USD
594504.29000000
0.009636766043
Long
ABS-MBS
USGA
US
N
2
2045-04-01
Fixed
3.50000000
N
N
N
N
N
N
AXIS 2018-1A D 3.98% 04/22/24
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES V LLC SER 2018-1A CL D REGD 144A P/P 3.98000000
03236TAD8
1249999.25000000
NS
USD
1267600.24000000
0.020547483265
Long
ABS-CBDO
CORP
US
Y
2
2024-04-22
Fixed
3.98000000
N
N
N
N
N
N
GNMA P#551606 6.5% 08/15/31
N/A
GINNIE MAE I POOL P#551606 6.50000000
36213DYB8
25276.35000000
NS
USD
27882.93000000
0.000451975330
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
DRMT 2017-3A A1 V/R 10/25/47
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2 SER 2017-3A CL A1 V/R REGD 144A P/P 2.57700000
24381FAA3
942147.88000000
NS
USD
941569.78000000
0.015262610945
Long
ABS-CBDO
CORP
US
Y
2
2047-10-25
Variable
2.57700000
N
N
N
N
N
N
LIMESTONE RE LTD ZCP 03/01/22
5493004PN8HGYC184A27
LIMESTONE RE LTD REGD ZCP P/P 0.00000000
N/A
72000.00000000
NS
USD
246650.40000000
0.003998141374
Long
DBT
CORP
BM
N
3
2022-03-01
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#C51793 6.5% 05/01/31
N/A
FREDDIE MAC GOLD POOL P#C51793 6.50000000
31298M7E1
4551.16000000
NS
USD
5054.40000000
0.000081930561
Long
ABS-MBS
USGA
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 05/01/29
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 4.22300000
38141GWZ3
6335000.00000000
NS
USD
6984839.17000000
0.113222498250
Long
DBT
CORP
US
N
2
2029-05-01
Variable
4.22300000
N
N
N
N
N
N
GNMA P#346690 7% 08/15/23
N/A
GINNIE MAE I POOL P#346690 7.00000000
36203EC30
9620.77000000
NS
USD
10049.96000000
0.000162907341
Long
ABS-MBS
USGSE
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
FGLMC P#Q09662 4% 07/01/42
N/A
FREDDIE MAC GOLD POOL P#Q09662 4.00000000
3132GVB76
82442.36000000
NS
USD
88293.63000000
0.001431217688
Long
ABS-MBS
USGA
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#C56176 6.5% 08/01/31
N/A
FREDDIE MAC GOLD POOL P#C56176 6.50000000
31298S2H6
3483.09000000
NS
USD
3868.23000000
0.000062703042
Long
ABS-MBS
USGA
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
SCFET 2019-2A 2.47% 04/20/26
N/A
SCF EQUIPMENT LEASING 2019-2 LLC SER 2019-2A CL A2 REGD 144A P/P 2.47000000
784034AB6
3000000.00000000
NS
USD
2994902.40000000
0.048546619827
Long
ABS-CBDO
CORP
US
Y
2
2026-04-20
Fixed
2.47000000
N
N
N
N
N
N
CAS 2019-R07 1M2 V/R 10/25/39
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2019-R07 SER 2019-R07 CL 1M2 V/R REGD 144A P/P 3.89200000
20753WAF3
12710000.00000000
NS
USD
12829415.53000000
0.207961621168
Long
ABS-CBDO
CORP
US
Y
2
2039-10-25
Variable
3.89200000
N
N
N
N
N
N
UMBS P#AS5297 2.5% 07/01/30
N/A
FANNIE MAE POOL UMBS P#AS5297 2.50000000
3138WE3F4
954986.44000000
NS
USD
968483.58000000
0.015698876920
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
KIOWA POWER PA 5.737% 03/30/21
N/A
KIOWA POWER PARTNERS LLC REGD 144A P/P 5.73700000
49725VAB8
290482.42000000
NS
USD
296034.44000000
0.004798644327
Long
DBT
CORP
US
Y
2
2021-03-30
Fixed
5.73700000
N
N
N
N
N
N
UMBS P#AS5596 3.5% 08/01/45
N/A
FANNIE MAE POOL UMBS P#AS5596 3.50000000
3138WFGE0
1915357.14000000
NS
USD
1999585.22000000
0.032412776953
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#468431 5.9% 01/20/28
N/A
GINNIE MAE II POOL P#468431 5.90000000
36209DLL6
21202.40000000
NS
USD
22958.23000000
0.000372147173
Long
ABS-MBS
USGSE
US
N
2
2028-01-20
Fixed
5.90000000
N
N
N
N
N
N
MSBAM 2015-C21 C V/R 02/15/25
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUS SER 2015-C21 CL C V/R REGD 4.15256700
61764XBP9
3563500.00000000
NS
USD
3660497.04000000
0.059335742687
Long
ABS-CBDO
CORP
US
N
2
2048-03-15
Variable
4.15256700
N
N
N
N
N
N
NHLT 2018-3A M3 V/R 10/25/21
N/A
NATIONSTAR HECM LOAN TRUST 2018-3 SER 2018-3A CL M3 V/R REGD 144A P/P 4.35330000
63863BAD1
2645000.00000000
NS
USD
2685106.14000000
0.043524899834
Long
ABS-CBDO
CORP
US
Y
2
2028-11-25
Variable
4.35330000
N
N
N
N
N
N
GNMA P#510732 7% 11/15/29
N/A
GINNIE MAE I POOL P#510732 7.00000000
36211ELM8
37565.24000000
NS
USD
41147.99000000
0.000666998639
Long
ABS-MBS
USGSE
US
N
2
2029-11-15
Fixed
7.00000000
N
N
N
N
N
N
KABB 2019-1 A 3.825% 03/15/22
N/A
KABBAGE FUNDING LLC SER 2019-1 CL A REGD 144A P/P 3.82500000
48283PAE1
6000000.00000000
NS
USD
6066224.40000000
0.098331982282
Long
ABS-CBDO
CORP
US
Y
2
2024-03-15
Fixed
3.82500000
N
N
N
N
N
N
UMBS P#BH6175 3.5% 07/01/47
N/A
FANNIE MAE POOL UMBS P#BH6175 3.50000000
3140GU2H9
6574620.21000000
NS
USD
6807598.85000000
0.110349476934
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
ENTERPRISE PRODU 2.8% 02/15/21
N/A
ENTERPRISE PRODUCTS OPER REGD 2.80000000
29379VBP7
3573000.00000000
NS
USD
3607098.46000000
0.058470165043
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
2.80000000
N
N
N
N
N
N
UMBS P#AB2639 4.5% 05/01/41
N/A
FANNIE MAE POOL UMBS P#AB2639 4.50000000
31416X4Z0
2669159.67000000
NS
USD
2931506.28000000
0.047518984557
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
HFLF 2016-1 E V/R 04/10/19
N/A
HERTZ FLEET LEASE FUNDING LP SER 2016-1 CL E V/R REGD 144A P/P 5.21513000
428041AU1
2250000.00000000
NS
USD
2256384.83000000
0.036575434487
Long
ABS-CBDO
CORP
US
Y
2
2030-04-10
Variable
5.21513000
N
N
N
N
N
N
GNMA P#553125 6% 03/15/33
N/A
GINNIE MAE I POOL P#553125 6.00000000
36213FPJ6
252171.45000000
NS
USD
287263.81000000
0.004656474606
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#600056 6% 02/15/33
N/A
GINNIE MAE I POOL P#600056 6.00000000
36200FTM0
82325.49000000
NS
USD
92124.00000000
0.001493307028
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#A17066 6% 12/01/33
N/A
FREDDIE MAC GOLD POOL P#A17066 6.00000000
31296RZ76
8063.75000000
NS
USD
8885.60000000
0.000144033356
Long
ABS-MBS
USGA
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
T/L BAUSCH HEALT 0% 06/02/2025
N/A
T/L BAUSCH HEALTH COMPANIES___ INC REGD 0.00000000
C9413PAZ6
528977.59000000
NS
USD
532862.40000000
0.008637566403
Long
LON
CORP
CA
N
2
2025-06-02
Fixed
0.00000000
N
N
N
N
N
N
ACAR 2019-2 E 4.29% 12/10/21
N/A
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2019-2 SER 2019-2 CL E REGD 144A P/P 4.29000000
02530DAE6
4000000.00000000
NS
USD
4049502.40000000
0.065641422406
Long
ABS-CBDO
CORP
US
Y
2
2025-06-12
Fixed
4.29000000
N
N
N
N
N
N
BOMFT 2017-SPL4 V/R 01/28/55
N/A
BAYVIEW OPPORTUNITY MASTER FUND IVB TRUST SER 2017-SPL4 CL A V/R REGD 144A P/P 3.50000000
07331YAA8
2477619.14000000
NS
USD
2505356.83000000
0.040611208418
Long
ABS-CBDO
CORP
US
Y
2
2055-01-28
Variable
3.50000000
N
N
N
N
N
N
FGLMC P#G60861 3.5% 01/01/47
N/A
FREDDIE MAC GOLD POOL P#G60861 3.50000000
31335A5W4
1202493.05000000
NS
USD
1267625.22000000
0.020547888184
Long
ABS-MBS
USGA
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
CAFL 2016-2 D V/R 11/15/48
N/A
COLONY AMERICAN FINANCE 2016-2 LTD SER 2016-2 CL D V/R REGD 144A P/P 5.02800000
19625HAG2
2400000.00000000
NS
USD
2448463.44000000
0.039688980777
Long
ABS-CBDO
CORP
KY
Y
2
2048-11-15
Variable
5.02800000
N
N
N
N
N
N
FED NATL MORT ASSC
N/A
FED NATL MORT ASSC FR A/BKD 25/01/2029 USD 6.24200000
N/A
8624150.16000000
NS
USD
9108647.15000000
0.147648895114
Long
DBT
USGA
US
N
2
2029-01-25
Variable
6.24200000
N
N
N
N
N
N
2020-01-30
Pioneer Bond Fund /DE/
Mark E. Bradley
Mark E. Bradley
Treasurer and Chief Accounting and Financial Officer