0001752724-20-175529.txt : 20200827
0001752724-20-175529.hdr.sgml : 20200827
20200827112048
ACCESSION NUMBER: 0001752724-20-175529
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200630
FILED AS OF DATE: 20200827
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: 201140444
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
C000011031
C000011026
C000011029
C000123839
C000011028
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
2020-06-30
N
6721389729.61
753615330.46
5967774399.15
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
357629.77000000
0.00000000
0.00000000
156980863.02000000
GBP
PLN
EGP
NZD
CHF
CAD
MYR
KRW
LKR
TRY
HUF
CZK
EUR
DKK
HKD
JPY
RON
VND
GHS
IDR
MXN
CNY
USD
NOK
PHP
ARS
TWD
THB
UYU
SGD
RUB
AUD
SEK
N
GNMA II P#BG7415 4% 04/20/48
N/A
GINNIE MAE II POOL P#BG7415 4.00000000
3617GSGY9
1754314.24000000
NS
USD
1930526.21000000
0.032349182138
Long
ABS-MBS
USGSE
US
N
2
2048-04-20
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#790385 4% 02/15/42
N/A
GINNIE MAE I POOL P#790385 4.00000000
36177JNB1
17350.95000000
NS
USD
18856.92000000
0.000315979102
Long
ABS-MBS
USGSE
US
N
2
2042-02-15
Fixed
4.00000000
N
N
N
N
N
N
TVA 4.929% 01/15/21
N/A
NEW VALLEY GENERATION V 4.92900000
64908QAA9
334647.47000000
NS
USD
342013.96000000
0.005731013559
Long
DBT
USGA
US
N
2
2021-01-15
Fixed
4.92900000
N
N
N
N
N
N
GNMA P#AA8386 4% 03/15/44
N/A
GINNIE MAE I POOL P#AA8386 4.00000000
36178GJ70
2267977.87000000
NS
USD
2465428.50000000
0.041312360942
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
4.00000000
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
2079.97000000
NS
USD
2107.76000000
0.000035319029
Long
ABS-MBS
USGSE
US
N
2
2023-03-15
Fixed
7.50000000
N
N
N
N
N
N
UPST 2020-1 C 4.899% 04/22/30
N/A
UPSTART SECURITIZATION TRUST 2020-1 SER 2020-1 CL C REGD 144A P/P 4.89900000
91679UAC6
4000000.00000000
NS
USD
3499652.00000000
0.058642498290
Long
ABS-CBDO
CORP
US
Y
2
2030-04-22
Fixed
4.89900000
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
8169.06000000
NS
USD
8992.20000000
0.000150679288
Long
ABS-MBS
USGSE
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
ARTEX SAC LTD V/R 02/01/21
N/A
ARTEX SAC LTD DINGLE RE 2019 REGD V/R /BNR4CDDZ9/ 0.00000000
N/A
600000.00000000
NS
USD
612315.35000000
0.010260363563
Long
DBT
CORP
BM
N
3
2021-02-01
Variable
0.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO V/R /PERP/
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R /PERP/ SER HH 4.60000000
48128BAG6
20337000.00000000
NS
USD
18150772.50000000
0.304146425216
Long
DBT
CORP
US
N
2
2168-08-01
Variable
4.60000000
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
5987806.83000000
NS
USD
6125397.65000000
0.102641240105
Long
ABS-CBDO
CORP
US
Y
2
2049-06-25
Variable
2.81000000
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
3373.16000000
NS
USD
3753.75000000
0.000062900333
Long
ABS-MBS
USGA
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
CMLTI 2019-RP1 M V/R 01/25/66
N/A
CITIGROUP MORTGAGE LOAN TRUST 2019-RP1 SER 2019-RP1 CL M2 V/R REGD 144A P/P 4.00000000
17327RAC4
4470000.00000000
NS
USD
4526569.64000000
0.075850213785
Long
ABS-CBDO
CORP
US
Y
2
2066-01-25
Variable
4.00000000
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
35735.21000000
NS
USD
39336.02000000
0.000659140533
Long
ABS-MBS
USGSE
US
N
2
2035-04-15
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
9977.11000000
NS
USD
10504.92000000
0.000176027431
Long
ABS-MBS
USGSE
US
N
2
2020-11-01
Fixed
4.50000000
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
1604.46000000
NS
USD
1685.87000000
0.000028249559
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#605268 6% 06/15/34
N/A
GINNIE MAE I POOL P#605268 6.00000000
36200NMR9
29486.54000000
NS
USD
34444.41000000
0.000577173460
Long
ABS-MBS
USGSE
US
N
2
2034-06-15
Fixed
6.00000000
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 4.25287000
31393X7K7
377943.71000000
NS
USD
400764.56000000
0.006715477717
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Variable
4.25287000
N
N
N
N
N
N
GNMA P#577734 6% 10/15/32
N/A
GINNIE MAE I POOL P#577734 6.00000000
36201AY77
21224.21000000
NS
USD
24107.81000000
0.000403966510
Long
ABS-MBS
USGSE
US
N
2
2032-10-15
Fixed
6.00000000
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
3329260.35000000
0.055787302389
Long
ABS-CBDO
CORP
US
Y
2
2035-08-17
Fixed
4.65600000
N
N
N
N
N
N
GNMA P#781231 7% 12/15/30
N/A
GINNIE MAE I POOL P#781231 7.00000000
36225BLL0
20573.32000000
NS
USD
24332.58000000
0.000407732906
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.00000000
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
11755577.22000000
0.196984276444
Long
DBT
CORP
US
N
2
2169-06-15
Variable
4.65000000
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 4.28174800
61764XBP9
3563500.00000000
NS
USD
3234273.22000000
0.054195634815
Long
ABS-CBDO
CORP
US
N
2
2048-03-15
Variable
4.28174800
N
N
N
N
N
N
STANDARD INDUS 4.375% 07/15/30
N/A
STANDARD INDUSTRIES INC REGD 144A P/P 4.37500000
853496AG2
4100000.00000000
NS
USD
4089750.00000000
0.068530573149
Long
DBT
CORP
US
Y
2
2030-07-15
Fixed
4.37500000
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
6406250.00000000
0.107347389018
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
5.50000000
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
3013686.90000000
0.050499343615
Long
ABS-CBDO
CORP
US
Y
2
2049-10-15
Fixed
3.75600000
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
78759.60000000
NS
USD
88867.86000000
0.001489129012
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
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
3399071.81000000
0.056957109680
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
GNMA P#562581 7% 04/15/32
N/A
GINNIE MAE I POOL P#562581 7.00000000
36213R6S1
31544.44000000
NS
USD
36326.84000000
0.000608716710
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
7.00000000
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
1495506.76000000
NS
USD
1494216.74000000
0.025038090250
Long
ABS-CBDO
CORP
US
Y
2
2057-02-25
Variable
3.50000000
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
5291280.99000000
NS
USD
5612840.39000000
0.094052489497
Long
ABS-MBS
USGA
US
N
2
2048-01-01
Fixed
3.50000000
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
5939133.79000000
0.099520078889
Long
DBT
CORP
DK
Y
2
2024-01-12
Fixed
5.37500000
N
N
N
N
N
N
FGLMC P#Q42460 4% 06/01/46
N/A
FREDDIE MAC GOLD POOL P#Q42460 4.00000000
3132WFWW5
2723609.89000000
NS
USD
2934172.82000000
0.049166952765
Long
ABS-MBS
USGA
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#934262 6% 06/01/38
N/A
FANNIE MAE POOL UMBS P#934262 6.00000000
31412TMK6
107541.18000000
NS
USD
124173.21000000
0.002080728956
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
MARNR 2015-1A DR V/R 04/20/29
N/A
MARINER CLO 2015-1 LLC SER 2015-1A CL DR2 V/R REGD 144A P/P 3.98525000
56844XBN8
5000000.00000000
NS
USD
4673845.00000000
0.078318057744
Long
ABS-CBDO
CORP
US
Y
2
2029-04-20
Variable
3.98525000
N
N
N
N
N
N
GNMA P#AO3856 4% 08/15/45
N/A
GINNIE MAE I POOL P#AO3856 4.00000000
3617A4H92
406986.10000000
NS
USD
441306.51000000
0.007394825616
Long
ABS-MBS
USGSE
US
N
2
2045-08-15
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
26315.49000000
NS
USD
27658.93000000
0.000463471440
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.00000000
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
5272091.03000000
NS
USD
5760249.49000000
0.096522574493
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#Q47050 4% 03/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47050 4.00000000
3132WLZQ2
1027343.66000000
NS
USD
1104277.21000000
0.018504003940
Long
ABS-MBS
USGA
US
N
2
2047-03-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#620628 6% 09/15/33
N/A
GINNIE MAE I POOL P#620628 6.00000000
36290XPM6
7274.80000000
NS
USD
8086.65000000
0.000135505289
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
HENDR 2005-1A A1 V/R 11/15/40
N/A
321 HENDERSON RECEIVABLES LLC SER 2005-1A CL A1 V/R REGD 0.41475000
88576PAE3
561842.09000000
NS
USD
535036.72000000
0.008965431402
Long
ABS-CBDO
CORP
US
Y
2
2040-11-15
Variable
0.41475000
N
N
N
N
N
N
TPMT 2017-1 M1 V/R 09/25/25
N/A
TOWD POINT MORTGAGE TRUST 2017-1 SER 2017-1 CL M1 V/R REGD 144A P/P 3.75000000
89173FAC4
4191745.00000000
NS
USD
4468452.99000000
0.074876372515
Long
ABS-CBDO
CORP
US
Y
2
2056-10-25
Variable
3.75000000
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 2.48450000
35563XAH5
9880000.00000000
NS
USD
9514231.53000000
0.159426796216
Long
ABS-CBDO
CORP
US
Y
2
2048-10-25
Variable
2.48450000
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
341412.14000000
NS
USD
379856.19000000
0.006365123153
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
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_ 0.58475000
3137A4QS9
2582.79000000
NS
USD
2583.11000000
0.000043284310
Long
ABS-CBDO
CORP
US
N
2
2020-12-15
Variable
0.58475000
N
N
N
N
N
N
AT&T INC 3.85% 06/01/60
N/A
AT&T INC REGD 3.85000000
00206RKB7
11345000.00000000
NS
USD
12098012.12000000
0.202722343554
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
3.85000000
N
N
N
N
N
N
GNMA P#780459 7% 11/15/26
N/A
GINNIE MAE I POOL P#780459 7.00000000
36225AQL7
3986.63000000
NS
USD
4483.22000000
0.000075123818
Long
ABS-MBS
USGSE
US
N
2
2026-11-15
Fixed
7.00000000
N
N
N
N
N
N
UMBS P#AB8559 3% 02/01/43
N/A
FANNIE MAE POOL UMBS P#AB8559 3.00000000
31417FQM3
1881506.33000000
NS
USD
2042587.84000000
0.034226961399
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
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
5990.70000000
NS
USD
7167.33000000
0.000120100552
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
ANTHEM INC 3.125% 05/15/50
8MYN82XMYQH89CTMTH67
ANTHEM INC REGD 3.12500000
036752AM5
7590000.00000000
NS
USD
7851717.24000000
0.131568600199
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.12500000
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
3260375.68000000
0.054633025009
Long
ABS-CBDO
CORP
US
Y
2
2024-11-15
Fixed
3.84000000
N
N
N
N
N
N
FGLMC P#A50243 6% 07/01/36
N/A
FREDDIE MAC GOLD POOL P#A50243 6.00000000
3128KCHU4
30102.01000000
NS
USD
33515.51000000
0.000561608193
Long
ABS-MBS
USGA
US
N
2
2036-07-01
Fixed
6.00000000
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
8393899.70000000
NS
USD
9179187.88000000
0.153812581811
Long
ABS-MBS
USGA
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
CAPITAL ONE FIN 4.25% 04/30/25
N/A
CAPITAL ONE FINANCIAL CO REGD 4.25000000
14040HBZ7
5200000.00000000
NS
USD
5843054.05000000
0.097910102815
Long
DBT
CORP
US
N
2
2025-04-30
Fixed
4.25000000
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
20171.61000000
NS
USD
22252.08000000
0.000372870663
Long
ABS-MBS
USGSE
US
N
2
2034-02-15
Fixed
4.50000000
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
151900.00000000
0.002545337505
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
N
N
N
N
N
N
ALTURAS RE LTD ZCP 03/10/23
N/A
ALTURAS RE LTD REGD ZCP 144A P/P SER A 0.00000000
G0229TAD6
440000.00000000
NS
USD
369160.00000000
0.006185890673
Long
DBT
CORP
BM
Y
3
2023-03-10
Fixed
0.00000000
N
N
N
N
N
N
EDGEWELL PERSONA 5.5% 06/01/28
N/A
EDGEWELL PERSONAL CARE REGD 144A P/P 5.50000000
28035QAA0
3825000.00000000
NS
USD
3930187.50000000
0.065856837694
Long
DBT
CORP
US
Y
2
2028-06-01
Fixed
5.50000000
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
16177.24000000
NS
USD
17807.32000000
0.000298391306
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Fixed
6.50000000
N
N
N
N
N
N
FGLMC P#G06807 4% 11/01/41
N/A
FREDDIE MAC GOLD POOL P#G06807 4.00000000
3128M83Q5
6678729.21000000
NS
USD
7536352.84000000
0.126284144405
Long
ABS-MBS
USGA
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 09/29/25
N/A
GOLDMAN SACHS GROUP INC REGD V/R 3.27200000
38141GWQ3
7891000.00000000
NS
USD
8503966.01000000
0.142498114727
Long
DBT
CORP
US
N
2
2025-09-29
Variable
3.27200000
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
22257.30000000
NS
USD
26269.52000000
0.000440189562
Long
ABS-MBS
USGSE
US
N
2
2032-08-15
Fixed
6.50000000
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
0.000375349309
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
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
3484.37000000
NS
USD
4206.61000000
0.000070488757
Long
ABS-MBS
USGSE
US
N
2
2030-12-20
Fixed
7.50000000
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
3380407.95000000
0.056644365619
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
4.40000000
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 3.52511500
89172PAF6
9750000.00000000
NS
USD
9846027.75000000
0.164986594523
Long
ABS-CBDO
CORP
US
Y
2
2055-08-25
Variable
3.52511500
N
N
N
N
N
N
T/L NAVISTAR INC 0% 11/6/24
N/A
T/L NAVISTAR INC REGD 0.00000000
63937YAE1
722100.71000000
NS
USD
685995.67000000
0.011495000047
Long
LON
CORP
US
N
2
2024-11-06
Fixed
0.00000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 03/01/23
N/A
SECTOR RE V LTD REGD ZCP 144A P/P SER 144 0.00000000
81369ACP5
758.00000000
NS
USD
49230.84000000
0.000824944723
Long
DBT
CORP
BM
Y
3
2023-03-01
Fixed
0.00000000
N
N
N
N
N
N
CENTENE CORP 3.375% 02/15/30
N/A
CENTENE CORP REGD SER WI 3.37500000
15135BAV3
12997000.00000000
NS
USD
13123200.87000000
0.219901088618
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
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
1627.67000000
NS
USD
1810.61000000
0.000030339786
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
6.50000000
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
2058857.01000000
NS
USD
1802746.52000000
0.030208020602
Long
ABS-CBDO
CORP
US
Y
2
2038-06-15
Fixed
3.34000000
N
N
N
N
N
N
UMBS P#AS1091 4% 11/01/43
N/A
FANNIE MAE POOL UMBS P#AS1091 4.00000000
3138WAF93
2462368.23000000
NS
USD
2743446.92000000
0.045971022637
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.00000000
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
34274.26000000
NS
USD
37678.44000000
0.000631365019
Long
ABS-MBS
USGSE
US
N
2
2035-02-15
Fixed
5.50000000
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
2617961.40000000
NS
USD
2912023.50000000
0.048795804017
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
NRZT 2019-RPL3 M V/R 07/25/59
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 SER 2019-RPL3 CL M1 V/R REGD 144A P/P 3.25000000
64830NAE1
6800000.00000000
NS
USD
6770114.68000000
0.113444547785
Long
ABS-CBDO
CORP
US
Y
2
2059-07-25
Variable
3.25000000
N
N
N
N
N
N
ASRNT 2018-2A E V/R 10/20/31
N/A
ASSURANT CLO III LTD SER 2018-2A CL E V/R REGD 144A P/P 7.28525000
04624XAA3
3000000.00000000
NS
USD
2525505.00000000
0.042319042763
Long
ABS-CBDO
CORP
KY
Y
2
2031-10-20
Variable
7.28525000
N
N
N
N
N
N
UMBS P#ZM3146 4% 05/01/47
N/A
FREDDIE MAC POOL UMBS P#ZM3146 4.00000000
3131XWP72
7282847.43000000
NS
USD
7773224.05000000
0.130253316062
Long
ABS-MBS
USGA
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#AM4159 4% 04/15/45
N/A
GINNIE MAE I POOL P#AM4159 4.00000000
36184QTQ7
2249086.71000000
NS
USD
2444339.80000000
0.040958984648
Long
ABS-MBS
USGSE
US
N
2
2045-04-15
Fixed
4.00000000
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
13350269.84000000
NS
USD
13633172.74000000
0.228446516710
Long
ABS-CBDO
CORP
US
Y
2
2069-11-25
Fixed
2.00000000
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
8499018.00000000
0.142415202578
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
5.37500000
N
N
N
N
N
N
FNMA #797677 4.5% 10/1/35_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #797677___ 4.50000000
31405SFS8
125227.26000000
NS
USD
136895.39000000
0.002293910272
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
4.50000000
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
3753127.49000000
NS
USD
3731787.58000000
0.062532316579
Long
ABS-CBDO
CORP
US
Y
2
2040-09-20
Fixed
2.88000000
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
80493.67000000
NS
USD
94508.97000000
0.001583655206
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
BROADCOM INC 4.11% 09/15/28
549300WV6GIDOZJTV909
BROADCOM INC REGD 144A P/P 4.11000000
11135FAK7
4748000.00000000
NS
USD
5173057.29000000
0.086683191153
Long
DBT
CORP
US
Y
2
2028-09-15
Fixed
4.11000000
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 3.59302100
89173UAE7
13920000.00000000
NS
USD
14184933.79000000
0.237692192118
Long
ABS-CBDO
CORP
US
Y
2
2057-06-25
Variable
3.59302100
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
623941.53000000
NS
USD
630072.19000000
0.010557908993
Long
ABS-CBDO
CORP
US
Y
2
2047-10-25
Variable
2.57700000
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
83704.35000000
0.001402605802
Long
DBT
CORP
BM
N
3
2023-02-01
Fixed
0.00000000
N
N
N
N
N
N
LORENZ RE 2019V/R 6/30/22
N/A
LORENZ RE 2019 /VARIABLE/ REGD 0.00000000
N/A
2993180.00000000
NS
USD
2365510.15000000
0.039638062563
Long
DBT
CORP
BM
N
3
2022-06-30
Variable
0.00000000
N
N
N
N
N
N
UMBS P#ZS4714 4% 04/01/47
N/A
FREDDIE MAC POOL UMBS P#ZS4714 4.00000000
3132A5GX7
6113399.68000000
NS
USD
6524414.73000000
0.109327435885
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#Q44193 4% 10/01/46
N/A
FREDDIE MAC GOLD POOL P#Q44193 4.00000000
3132WHUT0
54355.95000000
NS
USD
57610.17000000
0.000965354354
Long
ABS-MBS
USGA
US
N
2
2046-10-01
Fixed
4.00000000
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
1520671.99000000
0.025481392028
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.80000000
N
N
N
N
N
N
GNMA P#741396 4% 09/15/40
N/A
GINNIE MAE I POOL P#741396 4.00000000
3620AVUV2
3588.51000000
NS
USD
3860.87000000
0.000064695307
Long
ABS-MBS
USGSE
US
N
2
2040-09-15
Fixed
4.00000000
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 1.78450000
43730MAA6
671772.59000000
NS
USD
669826.46000000
0.011224058002
Long
ABS-CBDO
CORP
BM
Y
2
2028-10-25
Variable
1.78450000
N
N
N
N
N
N
FGLMC P#A17171 6% 01/01/34
N/A
FREDDIE MAC GOLD POOL P#A17171 6.00000000
31296R6G8
31498.75000000
NS
USD
35230.57000000
0.000590346880
Long
ABS-MBS
USGA
US
N
2
2034-01-01
Fixed
6.00000000
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
17040047.50000000
0.285534377814
Long
DBT
CORP
US
N
2
2169-02-01
Variable
5.00000000
N
N
N
N
N
N
ALTICE FRANCE SA 5.5% 01/15/28
N/A
ALTICE FRANCE SA REGD 144A P/P 5.50000000
02156LAC5
8264000.00000000
NS
USD
8346640.00000000
0.139861855387
Long
DBT
CORP
FR
Y
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
CAS 2016-C05 2M2 V/R 01/25/29
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2016-C05 CL 2M2 V/R REGD 4.63450000
30711XDK7
6570386.84000000
NS
USD
6713680.41000000
0.112498897594
Long
ABS-CBDO
CORP
US
N
2
2029-01-25
Variable
4.63450000
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
4494118.95000000
0.075306448424
Long
ABS-CBDO
CORP
US
Y
2
2027-10-20
Fixed
4.60500000
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
34498.65000000
NS
USD
39965.58000000
0.000669689859
Long
ABS-MBS
USGSE
US
N
2
2034-06-20
Fixed
6.00000000
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
4968.42000000
NS
USD
5463.24000000
0.000091545685
Long
ABS-MBS
USGA
US
N
2
2034-11-01
Fixed
5.50000000
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
1327652.55000000
0.022247029817
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
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
892640.57000000
NS
USD
862513.95000000
0.014452857837
Long
LON
CORP
US
N
2
2024-02-15
Fixed
0.00000000
N
N
N
N
N
N
CARDINAL HEALTH 4.9% 09/15/45
N/A
CARDINAL HEALTH INC REGD 4.90000000
14149YBD9
7350000.00000000
NS
USD
8473412.73000000
0.141986143631
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
4.90000000
N
N
N
N
N
N
GNMA P#AL2189 4% 02/15/45
N/A
GINNIE MAE I POOL P#AL2189 4.00000000
36183XNE6
748079.95000000
NS
USD
806988.08000000
0.013522429402
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
4.00000000
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
100068.24000000
NS
USD
114882.00000000
0.001925039257
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.50000000
N
N
N
N
N
N
NMEF 2019-A B 3.06% 02/15/23
N/A
NMEF FUNDING 2019-A LLC SER 2019-A CL B REGD 144A P/P 3.06000000
65489MAB0
1500000.00000000
NS
USD
1519635.45000000
0.025464023073
Long
ABS-CBDO
CORP
US
Y
2
2026-08-17
Fixed
3.06000000
N
N
N
N
N
N
PORT ROYAL RE 2019 0% 5/31/21
N/A
PORT ROYAL RE 2019 ZCP REGD /XILS00137802/ 0.00000000
N/A
2000000.00000000
NS
USD
1977817.12000000
0.033141620103
Long
DBT
CORP
BM
N
3
2021-05-31
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
739.32000000
NS
USD
836.49000000
0.000014016783
Long
ABS-MBS
USGSE
US
N
2
2028-08-15
Fixed
7.00000000
N
N
N
N
N
N
UMBS P#AK9816 4% 04/01/42
N/A
FANNIE MAE POOL UMBS P#AK9816 4.00000000
3138EE4A4
410195.92000000
NS
USD
450515.41000000
0.007549136074
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
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
2078084.71000000
NS
USD
2306713.16000000
0.038652821063
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.50000000
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
4608249.20000000
0.077218890859
Long
ABS-CBDO
CORP
US
Y
2
2024-06-17
Fixed
3.62000000
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
2106273.23000000
0.035294116183
Long
ABS-CBDO
CORP
US
Y
2
2024-08-12
Fixed
4.29000000
N
N
N
N
N
N
UMBS P#804033 5% 07/01/34
N/A
FANNIE MAE POOL UMBS P#804033 5.00000000
31406AHJ4
32846.34000000
NS
USD
35202.78000000
0.000589881212
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#Q44876 3% 12/01/46
N/A
FREDDIE MAC GOLD POOL P#Q44876 3.00000000
3132WJM24
1036090.92000000
NS
USD
1120316.31000000
0.018772765776
Long
ABS-MBS
USGA
US
N
2
2046-12-01
Fixed
3.00000000
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
4837116.88000000
NS
USD
5338247.41000000
0.089451226754
Long
ABS-MBS
USGA
US
N
2
2046-07-01
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
97628.04000000
NS
USD
108555.11000000
0.001819021677
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
CHASE 2019-1 B1 V/R 03/25/50
N/A
CHASE HOME LENDING MORTGAGE TRUST 2019-1 SER 2019-1 CL B1 V/R REGD 144A P/P 3.94979900
16159WBQ6
1481075.67000000
NS
USD
1537954.60000000
0.025770990944
Long
ABS-CBDO
CORP
US
Y
2
2050-03-25
Variable
3.94979900
N
N
N
N
N
N
JPMMT 2020-3 A15 V/R 07/25/43
N/A
JP MORGAN MORTGAGE TRUST 2020-3 SER 2020-3 CL A15 V/R REGD 144A P/P 3.50000000
46592ABH6
13755029.87000000
NS
USD
14072919.61000000
0.235815207961
Long
ABS-CBDO
CORP
US
Y
2
2050-08-25
Variable
3.50000000
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
14334379.15000000
0.240196398041
Long
ABS-CBDO
CORP
US
Y
2
2056-07-25
Variable
3.25000000
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
288530.44000000
NS
USD
288876.45000000
0.004840606073
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
3.22000000
N
N
N
N
N
N
FGLMC P#G01519 6% 02/01/33
N/A
FREDDIE MAC GOLD POOL P#G01519 6.00000000
31283HVL6
25797.28000000
NS
USD
29973.26000000
0.000502251894
Long
ABS-MBS
USGA
US
N
2
2033-02-01
Fixed
6.00000000
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
4592125.71000000
NS
USD
4871900.28000000
0.081636803842
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.50000000
N
N
N
N
N
N
BANCO SANTANDER 2.7% 01/10/25
N/A
BANCO SANTANDER CHILE REGD 144A P/P 2.70000000
05970FAC5
10258000.00000000
NS
USD
10533735.04000000
0.176510275614
Long
DBT
CORP
CL
Y
2
2025-01-10
Fixed
2.70000000
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
672916.85000000
NS
USD
668404.67000000
0.011200233542
Long
ABS-CBDO
CORP
US
Y
2
2030-05-02
Fixed
2.88000000
N
N
N
N
N
N
AMPHENOL CORP 4.35% 06/01/29
549300D3L3G0R4U4VT04
AMPHENOL CORP REGD 4.35000000
032095AH4
7391000.00000000
NS
USD
8718805.57000000
0.146098109393
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
4.35000000
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
30550.19000000
NS
USD
36712.66000000
0.000615181767
Long
ABS-MBS
USGSE
US
N
2
2032-11-15
Fixed
6.50000000
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
2277315.11000000
NS
USD
2465248.01000000
0.041309336531
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
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
2626.44000000
NS
USD
2363.80000000
0.000039609406
Long
ABS-CBDO
CORP
US
N
2
2020-07-25
Fixed
5.00000000
N
N
N
N
N
N
UDR INC 4% 10/01/25
N/A
UDR INC REGD MTN 4.00000000
90265EAK6
6077000.00000000
NS
USD
6778055.91000000
0.113577616321
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
4.00000000
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
76.98000000
NS
USD
85.95000000
0.000001440235
Long
ABS-MBS
USGA
US
N
2
2033-01-01
Fixed
6.50000000
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
4127.42000000
NS
USD
4616.44000000
0.000077356141
Long
ABS-MBS
USGA
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
D.R. HORTON INC 2.5% 10/15/24
N/A
D.R. HORTON INC REGD 2.50000000
23331ABM0
8711000.00000000
NS
USD
9098235.31000000
0.152456086666
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
2.50000000
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
2665352.50000000
NS
USD
2956063.86000000
0.049533773602
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
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
23377.70000000
NS
USD
26825.54000000
0.000449506603
Long
ABS-MBS
USGSE
US
N
2
2028-08-20
Fixed
6.50000000
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
3051073.23000000
NS
USD
3295371.99000000
0.055219446473
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
3.50000000
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
0.001982313540
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#AH0583 4% 04/15/44
N/A
GINNIE MAE I POOL P#AH0583 4.00000000
36182GUG1
3200.60000000
NS
USD
3390.48000000
0.000056813139
Long
ABS-MBS
USGSE
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
CSAIL 2016-C6 D V/R 05/15/26
N/A
CSAIL 2016-C6 COMMERCIAL MORTGAGE TRUST SER 2016-C6 CL D V/R REGD 144A P/P 5.08852900
12636MAV0
2000000.00000000
NS
USD
1449921.80000000
0.024295854752
Long
ABS-CBDO
CORP
US
Y
2
2049-01-15
Variable
5.08852900
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
62300.44000000
NS
USD
72617.02000000
0.001216819121
Long
ABS-MBS
USGSE
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
FARMERS EXCHANGE V/R 10/15/54
N/A
FARMERS EXCHANGE CAP III REGD V/R 5.45400000
30958QAA9
2960000.00000000
NS
USD
3428656.80000000
0.057452855464
Long
DBT
CORP
US
Y
2
2054-10-15
Variable
5.45400000
N
N
N
N
N
N
T/L GOODPACK LIMIT 0% 09/11/23
N/A
T/L GOODPACK LIMITED REGD 0.00000000
44928QAE9
2688125.00000000
NS
USD
2577239.84000000
0.043185946177
Long
LON
CORP
SG
N
2
2023-09-11
Fixed
0.00000000
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
185754.46000000
NS
USD
221337.34000000
0.003708875791
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.50000000
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 2.93450000
07877TAC5
5250000.00000000
NS
USD
4821629.40000000
0.080794431516
Long
ABS-CBDO
CORP
BM
Y
2
2028-10-25
Variable
2.93450000
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
3692061.05000000
NS
USD
3545412.39000000
0.059409289843
Long
LON
CORP
LU
N
2
2026-05-01
Fixed
0.00000000
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
12935893.75000000
0.216762445843
Long
ABS-CBDO
CORP
US
Y
2
2040-08-15
Fixed
3.08500000
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
90014.51000000
NS
USD
102522.80000000
0.001717940276
Long
ABS-MBS
USGSE
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
GNMA P#645460 6% 09/15/35
N/A
GINNIE MAE I POOL P#645460 6.00000000
36292DB50
488397.90000000
NS
USD
582074.68000000
0.009753630768
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#AH3688 4% 04/15/44
N/A
GINNIE MAE I POOL P#AH3688 4.00000000
36182LCZ8
17601.79000000
NS
USD
19151.07000000
0.000320908075
Long
ABS-MBS
USGSE
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
INFOR INC 1.75% 07/15/25
N/A
INFOR INC REGD 144A P/P 1.75000000
45674CAA1
9640000.00000000
NS
USD
9680274.76000000
0.162209127097
Long
DBT
CORP
US
Y
2
2025-07-15
Fixed
1.75000000
N
N
N
N
N
N
UMBS P#ZM3043 4% 04/01/47
N/A
FREDDIE MAC POOL UMBS P#ZM3043 4.00000000
3131XWLY7
4261251.45000000
NS
USD
4558278.45000000
0.076381547711
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#Q47579 4% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47579 4.00000000
3132WMM50
1586956.80000000
NS
USD
1723108.60000000
0.028873554607
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
US T BILL ZCP 08/13/20
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796TD1
100000000.00000000
PA
USD
99983875.00000000
1.675396359055
Long
STIV
UST
US
N
2
2020-08-13
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
686945.50000000
NS
USD
764380.53000000
0.012808468934
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
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
132.41000000
NS
USD
147.35000000
0.000002469094
Long
ABS-MBS
USGA
US
N
2
2031-01-01
Fixed
6.50000000
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
849446.23000000
NS
USD
896627.96000000
0.015024494895
Long
ABS-MBS
USGSE
US
N
2
2035-08-16
Fixed
5.25000000
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
10544795.00000000
0.176695603665
Long
ABS-CBDO
CORP
US
N
2
2049-10-15
Fixed
2.68400000
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
1475613.48000000
NS
USD
1568657.36000000
0.026285466827
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA P#592637 6% 03/15/33
N/A
GINNIE MAE I POOL P#592637 6.00000000
36201TLS4
24001.28000000
NS
USD
26787.84000000
0.000448874877
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#738710 4% 09/15/41
N/A
GINNIE MAE I POOL P#738710 4.00000000
3620ASVB2
226984.91000000
NS
USD
245199.95000000
0.004108733567
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
MOLINA HEALTHC 4.375% 06/15/28
549300NQQCEQ46YHZ591
MOLINA HEALTHCARE INC REGD 144A P/P 4.37500000
60855RAJ9
1200000.00000000
NS
USD
1198500.00000000
0.020082863725
Long
DBT
CORP
US
Y
2
2028-06-15
Fixed
4.37500000
N
N
N
N
N
N
GNMA P#759152 4% 01/15/41
N/A
GINNIE MAE I POOL P#759152 4.00000000
36230UEZ8
44883.42000000
NS
USD
48771.49000000
0.000817247548
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Fixed
4.00000000
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
2723371.15000000
0.045634619673
Long
DBT
CORP
US
N
2
2042-07-01
Fixed
4.42800000
N
N
N
N
N
N
UMBS P#725704 6% 08/01/34
N/A
FANNIE MAE POOL UMBS P#725704 6.00000000
31402DGM6
71988.64000000
NS
USD
83984.58000000
0.001407301522
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
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
9703579.49000000
0.162599636664
Long
DBT
CORP
US
Y
2
2057-11-01
Variable
4.74700000
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
7352041.36000000
0.123195698568
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
3.50000000
N
N
N
N
N
N
STACR 2019-HRP1 V/R 02/25/49
N/A
FREDDIE MAC STACR TRUST 2019-HRP1 SER 2019-HRP1 CL M3 V/R REGD 144A P/P 2.43450000
35564RBF0
6515000.00000000
NS
USD
5687779.37000000
0.095308216926
Long
ABS-CBDO
CORP
US
Y
2
2049-02-25
Variable
2.43450000
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 4.17299100
35708QAU7
2623000.00000000
NS
USD
2832195.00000000
0.047458144537
Long
ABS-CBDO
CORP
US
N
2
2027-07-25
Variable
4.17299100
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
11037698.51000000
0.184955022957
Long
ABS-CBDO
CORP
US
N
2
2060-09-15
Fixed
3.74800000
N
N
N
N
N
N
DRIVE 2020-2 D 3.05% 02/15/24
N/A
DRIVE AUTO RECEIVABLES TRUST 2020-2 SER 2020-2 CL D REGD 3.05000000
26208VAG1
1650000.00000000
NS
USD
1673329.19000000
0.028039417680
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
3.05000000
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
52630.30000000
NS
USD
58110.12000000
0.000973731848
Long
ABS-MBS
USGA
US
N
2
2035-08-01
Fixed
5.50000000
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 4.12721100
76118GAF0
2500000.00000000
NS
USD
2468000.00000000
0.041355450707
Long
DBT
CORP
KY
Y
2
2023-12-06
Variable
4.12721100
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
6304880.15000000
0.105648768339
Long
DBT
CORP
US
Y
2
2049-11-30
Fixed
3.90000000
N
N
N
N
N
N
UMBS P#AL2693 4% 08/01/42
N/A
FANNIE MAE POOL UMBS P#AL2693 4.00000000
3138EJ7F9
4860574.80000000
NS
USD
5336147.53000000
0.089416039767
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
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
6732574.43000000
NS
USD
7354186.63000000
0.123231646140
Long
ABS-MBS
USGA
US
N
2
2046-08-01
Fixed
3.50000000
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
245666.16000000
NS
USD
286461.86000000
0.004800145595
Long
ABS-MBS
USGSE
US
N
2
2034-11-15
Fixed
5.50000000
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
4898077.63000000
NS
USD
4342145.82000000
0.072759885504
Long
LON
CORP
US
N
2
2024-08-14
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
6834000.00000000
NS
USD
7340813.54000000
0.123007557742
Long
DBT
CORP
US
Y
2
2038-01-15
Fixed
3.40200000
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
65611.51000000
NS
USD
75857.63000000
0.001271120939
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
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 3.43539100
12646XAZ5
2163989.82000000
NS
USD
2121190.21000000
0.035544075029
Long
ABS-CBDO
CORP
US
Y
2
2043-05-25
Variable
3.43539100
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
2290133.03000000
0.038374993369
Long
ABS-CBDO
CORP
US
Y
2
2027-04-20
Fixed
4.21000000
N
N
N
N
N
N
UMBS P#AB6214 3% 09/01/42
N/A
FANNIE MAE POOL UMBS P#AB6214 3.00000000
31417C3Y9
3270711.63000000
NS
USD
3536489.23000000
0.059259767435
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA P#473140 6% 10/15/28
N/A
GINNIE MAE I POOL P#473140 6.00000000
36209JS51
5041.90000000
NS
USD
5672.56000000
0.000095053191
Long
ABS-MBS
USGSE
US
N
2
2028-10-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#781300 7% 06/15/31
N/A
GINNIE MAE I POOL P#781300 7.00000000
36225BNR5
15952.51000000
NS
USD
19313.50000000
0.000323629861
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
7.00000000
N
N
N
N
N
N
RESIDENTIAL RE 20 V/R 06/06/24
N/A
RESIDENTIAL RE 2020 LTD REGD V/R 144A P/P SER 13 0.63692200
76124AAB4
250000.00000000
NS
USD
249625.00000000
0.004182882651
Long
DBT
CORP
KY
Y
2
2024-06-06
Variable
0.63692200
N
N
N
N
N
N
GENERAL MOTORS C 6.6% 04/01/36
54930070NSV60J38I987
GENERAL MOTORS CO REGD 6.60000000
37045VAK6
6238000.00000000
NS
USD
6743348.12000000
0.112996029490
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
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
134529.35000000
NS
USD
142261.26000000
0.002383824362
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
2.50000000
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
1779045.70000000
NS
USD
1795851.63000000
0.030092485236
Long
ABS-CBDO
CORP
US
Y
2
2031-02-18
Fixed
4.03000000
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
236883.53000000
NS
USD
250888.30000000
0.004204051346
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
2.50000000
N
N
N
N
N
N
MPT OPER PARTN 4.625% 08/01/29
N/A
MPT OPER PARTNERSP/FINL REGD 4.62500000
55342UAJ3
9833000.00000000
NS
USD
9882165.00000000
0.165592134337
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.62500000
N
N
N
N
N
N
RACEP 2013-8A CR V/R 02/20/30
N/A
RACE POINT VIII CLO LTD SER 2013-8A CL CR2 V/R REGD 144A P/P 2.42663000
74982LBC3
8500000.00000000
NS
USD
8045267.00000000
0.134811848804
Long
ABS-CBDO
CORP
KY
Y
2
2030-02-20
Variable
2.42663000
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
4303826.64000000
0.072117783819
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
4.87500000
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
12783585.78000000
0.214210272121
Long
ABS-CBDO
CORP
US
Y
2
2057-04-25
Variable
3.75000000
N
N
N
N
N
N
MARTIN MARIETTA 2.5% 03/15/30
N/A
MARTIN MARIETTA MATERIAL REGD SER CB 2.50000000
573284AV8
6055000.00000000
NS
USD
6095000.42000000
0.102131883887
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.50000000
N
N
N
N
N
N
JPMMT 2020-INV1 V/R 03/25/43
N/A
JP MORGAN MORTGAGE TRUST 2020-INV1 SER 2020-INV1 CL A15 V/R REGD 144A P/P 3.50000000
46591VBH1
5485830.20000000
NS
USD
5575060.52000000
0.093419424849
Long
ABS-CBDO
CORP
US
Y
2
2050-08-25
Variable
3.50000000
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
3545375.89000000
0.059408678225
Long
DBT
CORP
US
N
2
2023-09-21
Fixed
4.00000000
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
884815.54000000
NS
USD
939071.61000000
0.015735708945
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
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
325014.39000000
NS
USD
349359.07000000
0.005854093111
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
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
4688905.50000000
NS
USD
5111444.62000000
0.085650768244
Long
ABS-MBS
USGSE
US
N
2
2044-07-20
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#A44264 6% 04/01/36
N/A
FREDDIE MAC GOLD POOL P#A44264 6.00000000
3128K4WZ4
45965.64000000
NS
USD
51320.81000000
0.000859965651
Long
ABS-MBS
USGA
US
N
2
2036-04-01
Fixed
6.00000000
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
8185084.40000000
0.137154722222
Long
ABS-CBDO
CORP
US
N
2
2060-06-15
Fixed
3.62400000
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 7.07950000
30311XAC2
5000000.00000000
NS
USD
2850000.00000000
0.047756496968
Long
ABS-CBDO
CORP
US
N
2
2029-08-25
Variable
7.07950000
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
2844604.84000000
NS
USD
2943430.68000000
0.049322083630
Long
ABS-CBDO
CORP
US
N
2
2043-04-25
Variable
2.32500000
N
N
N
N
N
N
UMBS P#AJ4051 4% 10/01/41
N/A
FANNIE MAE POOL UMBS P#AJ4051 4.00000000
3138AVQD0
998391.46000000
NS
USD
1091567.23000000
0.018291027056
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.00000000
N
N
N
N
N
N
TPMT 2019-HY2 M2 V/R 05/25/58
N/A
TOWD POINT MORTGAGE TRUST 2019-HY2 SER 2019-HY2 CL M2 V/R REGD 144A P/P 2.08450000
89177HAD4
5780000.00000000
NS
USD
4435212.48000000
0.074319372405
Long
ABS-CBDO
CORP
US
Y
2
2058-05-25
Variable
2.08450000
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
5154.19000000
NS
USD
5938.77000000
0.000099513982
Long
ABS-MBS
USGSE
US
N
2
2028-06-15
Fixed
6.50000000
N
N
N
N
N
N
TURKIYE GARANTI B V/R 05/24/27
N/A
TURKIYE GARANTI BANKASI REGD V/R 6.12500000
900148AE7
2250000.00000000
NS
USD
2098125.00000000
0.035157579018
Long
DBT
CORP
TR
Y
2
2027-05-24
Variable
6.12500000
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
365603.53000000
NS
USD
387226.69000000
0.006488628156
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
PBF HOLDING CO 9.25% 05/15/25
N/A
PBF HOLDING CO LLC REGD 144A P/P 9.25000000
69318FAK4
1745000.00000000
NS
USD
1862787.50000000
0.031214107226
Long
DBT
CORP
US
Y
2
2025-05-15
Fixed
9.25000000
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 2.23450000
35564MAH8
1394016.05000000
NS
USD
1365379.48000000
0.022879207367
Long
ABS-CBDO
CORP
US
Y
2
2049-04-25
Variable
2.23450000
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
486250.00000000
NS
USD
458412.19000000
0.007681459776
Long
LON
CORP
US
N
2
2024-09-26
Fixed
0.00000000
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
12685000.00000000
NS
USD
13698135.73000000
0.229535079810
Long
ABS-CBDO
CORP
US
Y
2
2058-12-25
Variable
3.75000000
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 4.66242800
12592LBP6
7325000.00000000
NS
USD
6803334.74000000
0.114001205222
Long
ABS-CBDO
CORP
US
N
2
2047-11-10
Variable
4.66242800
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
2276.88000000
NS
USD
2588.67000000
0.000043377477
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
6.00000000
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
1139.43000000
NS
USD
1326.80000000
0.000022232743
Long
ABS-MBS
USGSE
US
N
2
2029-02-20
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
190786.64000000
NS
USD
122580.42000000
0.002054039107
Long
LON
CORP
US
N
2
2025-04-18
Fixed
0.00000000
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
5510.58000000
NS
USD
6129.94000000
0.000102717354
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
6.50000000
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 2.67263000
05586RAA9
4700000.00000000
NS
USD
4554262.87000000
0.076314259980
Long
ABS-CBDO
CORP
US
Y
2
2021-08-18
Variable
2.67263000
N
N
N
N
N
N
FGLMC P#J05452 7% 09/01/22
N/A
FREDDIE MAC GOLD POOL P#J05452 7.00000000
3128PHBV2
23599.63000000
NS
USD
24282.91000000
0.000406900602
Long
ABS-MBS
USGA
US
N
2
2022-09-01
Fixed
7.00000000
N
N
N
N
N
N
LAMAR MEDIA CORP 4% 02/15/30
N/A
LAMAR MEDIA CORP REGD 144A P/P 4.00000000
513075BS9
640000.00000000
NS
USD
612608.00000000
0.010265267401
Long
DBT
CORP
US
Y
2
2030-02-15
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 4.38450000
35564ACB5
11220000.00000000
NS
USD
10356863.35000000
0.173546495850
Long
ABS-CBDO
CORP
US
Y
2
2047-02-25
Variable
4.38450000
N
N
N
N
N
N
AILSA RE 2019 0.0% 06/30/21
N/A
AILSA RE 2019 REGD ZCP /XILS00139462/ 0.00000000
N/A
2500000.00000000
NS
USD
2662386.23000000
0.044612715761
Long
DBT
CORP
BM
N
3
2021-06-30
Fixed
0.00000000
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
816.61000000
NS
USD
906.75000000
0.000015194106
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
LIFEPOINT HEALT 6.75% 04/15/25
N/A
LIFEPOINT HEALTH INC REGD 144A P/P 6.75000000
53219LAT6
2110000.00000000
NS
USD
2178575.00000000
0.036505652765
Long
DBT
CORP
US
Y
2
2025-04-15
Fixed
6.75000000
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
621810.16000000
NS
USD
614054.76000000
0.010289510275
Long
ABS-CBDO
CORP
US
Y
2
2023-10-16
Fixed
3.40000000
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 * 7.09175000
49407QAC2
850000.00000000
NS
USD
835550.00000000
0.014001031944
Long
DBT
CORP
BM
Y
2
2021-04-20
Variable
7.09175000
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
44016.87000000
NS
USD
48080.59000000
0.000805670368
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.50000000
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
5698360.16000000
0.095485515685
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
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
29966.68000000
NS
USD
33010.62000000
0.000553147920
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
5.50000000
N
N
N
N
N
N
FGLMC P#C77285 6% 03/01/33
N/A
FREDDIE MAC GOLD POOL P#C77285 6.00000000
31288GCW0
9906.73000000
NS
USD
11017.19000000
0.000184611368
Long
ABS-MBS
USGA
US
N
2
2033-03-01
Fixed
6.00000000
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
359049.30000000
NS
USD
380235.32000000
0.006371476107
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
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
17790.46000000
NS
USD
19583.09000000
0.000328147290
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Fixed
6.50000000
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
4263847.39000000
0.071447864895
Long
DBT
CORP
US
Y
2
2029-11-01
Fixed
3.35000000
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
10881581.67000000
0.182339025274
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
GNMA P#470321 7% 05/15/29
N/A
GINNIE MAE I POOL P#470321 7.00000000
36209FPE3
18881.84000000
NS
USD
19300.63000000
0.000323414202
Long
ABS-MBS
USGSE
US
N
2
2029-05-15
Fixed
7.00000000
N
N
N
N
N
N
UMBS P#AD7136 5% 07/01/40
N/A
FANNIE MAE POOL UMBS P#AD7136 5.00000000
31418U4W1
268006.05000000
NS
USD
307620.04000000
0.005154686143
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
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
3422780.38000000
NS
USD
3676697.19000000
0.061609185335
Long
ABS-MBS
USGA
US
N
2
2049-08-01
Fixed
4.50000000
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
13700000.00000000
NS
USD
14503022.76000000
0.243022302620
Long
ABS-CBDO
CORP
US
Y
2
2058-07-25
Variable
3.25000000
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
1083741.63000000
NS
USD
1164918.06000000
0.019520142386
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
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 1.84388000
46187VAG4
6860000.00000000
NS
USD
6711262.85000000
0.112458387350
Long
ABS-CBDO
CORP
US
Y
2
2037-07-17
Variable
1.84388000
N
N
N
N
N
N
UMBS P#BH3871 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#BH3871 4.00000000
3140GSJR4
2821331.69000000
NS
USD
3008644.75000000
0.050414853993
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#594294 6% 09/15/32
N/A
GINNIE MAE I POOL P#594294 6.00000000
36201VGB2
78527.84000000
NS
USD
87316.30000000
0.001463130040
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#A35084 5% 06/01/35
N/A
FREDDIE MAC GOLD POOL P#A35084 5.00000000
31297QUH0
52236.17000000
NS
USD
57028.81000000
0.000955612698
Long
ABS-MBS
USGA
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AJ9531 4% 12/01/41
N/A
FANNIE MAE POOL UMBS P#AJ9531 4.00000000
3138E2SV8
591276.73000000
NS
USD
649338.67000000
0.010880750956
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
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
17508.15000000
NS
USD
19511.40000000
0.000326946005
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
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
6276714.16000000
NS
USD
6916084.74000000
0.115890519269
Long
ABS-CBDO
CORP
US
Y
2
2071-08-17
Fixed
3.82000000
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
1540361.29000000
NS
USD
1694018.97000000
0.028386109405
Long
ABS-MBS
USGSE
US
N
2
2048-02-20
Fixed
4.00000000
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
6045429.26000000
NS
USD
6409067.63000000
0.107394603102
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
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
436007.39000000
NS
USD
474569.28000000
0.007952198730
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.50000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 03/01/24
N/A
SECTOR RE V LTD REGD ZCP 144A P/P SER A 0.00000000
81369ACT7
600000.00000000
NS
USD
309973.27000000
0.005194118431
Long
DBT
CORP
BM
Y
3
2024-03-01
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
3577.79000000
NS
USD
3938.30000000
0.000065992776
Long
ABS-MBS
USGSE
US
N
2
2034-09-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#619220 6% 10/15/34
N/A
GINNIE MAE I POOL P#619220 6.00000000
36290V4D3
90637.24000000
NS
USD
100915.54000000
0.001691007957
Long
ABS-MBS
USGSE
US
N
2
2034-10-15
Fixed
6.00000000
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
669891.52000000
NS
USD
745094.24000000
0.012485295022
Long
ABS-MBS
USGSE
US
N
2
2039-12-15
Fixed
4.50000000
N
N
N
N
N
N
FGLMC P#Q40519 4% 05/01/46
N/A
FREDDIE MAC GOLD POOL P#Q40519 4.00000000
3132WDSH8
218988.66000000
NS
USD
234237.38000000
0.003925037448
Long
ABS-MBS
USGA
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
NORDEA BANK ABP 4.25% 09/21/22
N/A
NORDEA BANK ABP REGD P/P 4.25000000
65557FAD8
19200000.00000000
NS
USD
20379290.11000000
0.341488949597
Long
DBT
CORP
FI
Y
2
2022-09-21
Fixed
4.25000000
N
N
N
N
N
N
GNMA P#605146 6% 03/15/34
N/A
GINNIE MAE I POOL P#605146 6.00000000
36200NHX2
143228.83000000
NS
USD
169098.06000000
0.002833519645
Long
ABS-MBS
USGSE
US
N
2
2034-03-15
Fixed
6.00000000
N
N
N
N
N
N
OAKMONT RE 2019 0% 4/30/21
N/A
OAKMONT RE 2019 ZCP REGD /XILS00137810/ 0.00000000
N/A
2500000.00000000
NS
USD
1730780.15000000
0.029002104205
Long
DBT
CORP
BM
N
3
2021-04-30
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#AJ0399 4% 08/15/44
N/A
GINNIE MAE I POOL P#AJ0399 4.00000000
36182UNQ6
252178.00000000
NS
USD
274215.84000000
0.004594943133
Long
ABS-MBS
USGSE
US
N
2
2044-08-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#AG6042 4% 11/15/43
N/A
GINNIE MAE I POOL P#AG6042 4.00000000
36182AWB3
18129.29000000
NS
USD
19559.88000000
0.000327758368
Long
ABS-MBS
USGSE
US
N
2
2043-11-15
Fixed
4.00000000
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
5987848.75000000
0.100336379184
Long
ABS-CBDO
CORP
US
Y
2
2035-10-17
Fixed
4.87300000
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
13649.01000000
NS
USD
16094.75000000
0.000269694343
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#AK9815 4% 04/01/42
N/A
FANNIE MAE POOL UMBS P#AK9815 4.00000000
3138EE3Z0
50691.70000000
NS
USD
53865.07000000
0.000902598965
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
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
115.43000000
NS
USD
115.93000000
0.000001942600
Long
ABS-MBS
USGSE
US
N
2
2022-04-20
Fixed
9.00000000
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
14762.24000000
NS
USD
16249.74000000
0.000272291459
Long
ABS-MBS
USGSE
US
N
2
2032-01-15
Fixed
6.50000000
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
325649.55000000
NS
USD
333118.94000000
0.005581962683
Long
ABS-CBDO
CORP
US
N
2
2041-04-20
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#AQ7254 3% 12/01/42
N/A
FANNIE MAE POOL UMBS P#AQ7254 3.00000000
3138MPBY0
1038883.35000000
NS
USD
1127767.92000000
0.018897629913
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#QA3147 5% 09/01/49
N/A
FREDDIE MAC POOL UMBS P#QA3147 5.00000000
31339SP82
4121852.83000000
NS
USD
4499883.78000000
0.075403047753
Long
ABS-MBS
USGA
US
N
2
2049-09-01
Fixed
5.00000000
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
13732.37000000
NS
USD
15116.09000000
0.000253295265
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
JPMMT 2020-3 B1A V/R 09/25/36
N/A
JP MORGAN MORTGAGE TRUST 2020-3 SER 2020-3 CL B1A V/R REGD 144A P/P 3.05272800
46592ABR4
9290844.85000000
NS
USD
9488598.62000000
0.158997274115
Long
ABS-CBDO
CORP
US
Y
2
2050-08-25
Variable
3.05272800
N
N
N
N
N
N
UMBS P#BH6352 4% 08/01/47
N/A
FANNIE MAE POOL UMBS P#BH6352 4.00000000
3140GVBW4
1756784.49000000
NS
USD
1880205.40000000
0.031505973152
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
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
4863589.44000000
0.081497541875
Long
ABS-CBDO
CORP
US
Y
2
2034-08-17
Fixed
3.01700000
N
N
N
N
N
N
GNMA P#579659 7% 03/15/32
N/A
GINNIE MAE I POOL P#579659 7.00000000
36201C5U4
38511.44000000
NS
USD
44299.11000000
0.000742305372
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
7.00000000
N
N
N
N
N
N
NEW YORK LIFE I 3.75% 05/15/50
TAE73CY392TBWJ3O3305
NEW YORK LIFE INSURANCE REGD 144A P/P 3.75000000
64952GAT5
4085000.00000000
NS
USD
4613319.83000000
0.077303857710
Long
DBT
CORP
US
Y
2
2050-05-15
Fixed
3.75000000
N
N
N
N
N
N
NBCLO 2016-1A CR V/R 12/21/29
N/A
NEWARK BSL CLO 1 LTD SER 2016-1A CL CR V/R REGD 144A P/P 3.99138000
65023TAM4
2850000.00000000
NS
USD
2647521.75000000
0.044363636641
Long
ABS-CBDO
CORP
KY
Y
2
2029-12-21
Variable
3.99138000
N
N
N
N
N
N
FGLMC P#C01755 6% 01/01/34
N/A
FREDDIE MAC GOLD POOL P#C01755 6.00000000
31292H5Q3
16694.09000000
NS
USD
19491.78000000
0.000326617239
Long
ABS-MBS
USGA
US
N
2
2034-01-01
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#C76446 6% 01/01/33
N/A
FREDDIE MAC GOLD POOL P#C76446 6.00000000
31288FET7
39160.46000000
NS
USD
43567.94000000
0.000730053401
Long
ABS-MBS
USGA
US
N
2
2033-01-01
Fixed
6.00000000
N
N
N
N
N
N
GARDA WORLD SE 4.625% 02/15/27
N/A
GARDA WORLD SECURITY REGD 144A P/P 4.62500000
36485MAK5
5455000.00000000
NS
USD
5373175.00000000
0.090036496700
Long
DBT
CORP
CA
Y
2
2027-02-15
Fixed
4.62500000
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 144A P/P 1.53450000
46591HAA8
2721913.30000000
NS
USD
2526338.66000000
0.042333012125
Long
ABS-CBDO
CORP
US
Y
2
2047-04-25
Variable
1.53450000
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
166080.34000000
NS
USD
182576.30000000
0.003059370006
Long
ABS-CBDO
CORP
US
N
2
2028-04-01
Fixed
5.37000000
N
N
N
N
N
N
UMBS P#AS1432 4% 01/01/44
N/A
FANNIE MAE POOL UMBS P#AS1432 4.00000000
3138WASW8
80686.34000000
NS
USD
88263.26000000
0.001478997932
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.00000000
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
9100583.00000000
0.152495426122
Long
ABS-CBDO
CORP
US
Y
2
2058-08-25
Variable
3.25000000
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
12305.52000000
NS
USD
13688.58000000
0.000229374957
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.50000000
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
5508735.75000000
0.092308042857
Long
DBT
CORP
NL
Y
2
2025-01-31
Fixed
7.12500000
N
N
N
N
N
N
OAKMONT 2017 0% 04/30/21
N/A
OAKMONT 2017 ZCP REGD 0.00000000
N/A
1000000.00000000
NS
USD
29400.00000000
0.000492645968
Long
DBT
CORP
BM
N
3
2021-04-30
Fixed
0.00000000
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
9662.08000000
NS
USD
10677.51000000
0.000178919464
Long
ABS-MBS
USGSE
US
N
2
2031-09-15
Fixed
6.50000000
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
17357.02000000
NS
USD
19878.24000000
0.000333093020
Long
ABS-MBS
USGA
US
N
2
2035-11-01
Fixed
5.50000000
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
1228155.54000000
NS
USD
1238903.13000000
0.020759885463
Long
ABS-CBDO
CORP
US
Y
2
2026-03-15
Fixed
4.45800000
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
14221.66000000
NS
USD
15595.68000000
0.000261331594
Long
ABS-MBS
USGSE
US
N
2
2035-03-15
Fixed
4.50000000
N
N
N
N
N
N
FNMA P#535812 7% 04/01/31_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #535812__ 7.00000000
31384WGV6
4080.60000000
NS
USD
4813.47000000
0.000080657707
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
7.00000000
N
N
N
N
N
N
WFRBS 2014-C25 D V/R 11/15/47
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C25 SER 2014-C25 CL D V/R REGD 3.80300000
92939LAU0
1750000.00000000
NS
USD
1355403.18000000
0.022712037844
Long
ABS-CBDO
CORP
US
Y
2
2047-11-15
Variable
3.80300000
N
N
N
N
N
N
GNMA P#AE8310 4% 04/15/44
N/A
GINNIE MAE I POOL P#AE8310 4.00000000
36181CGT9
1707920.17000000
NS
USD
1856158.23000000
0.031103022766
Long
ABS-MBS
USGSE
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#AK0397 4% 12/15/44
N/A
GINNIE MAE I POOL P#AK0397 4.00000000
36183HNN1
1435558.85000000
NS
USD
1550319.62000000
0.025978187449
Long
ABS-MBS
USGSE
US
N
2
2044-12-15
Fixed
4.00000000
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
4114.94000000
NS
USD
4576.32000000
0.000076683863
Long
ABS-MBS
USGSE
US
N
2
2028-08-15
Fixed
6.50000000
N
N
N
N
N
N
FGLMC P#K30005 7% 10/01/46
N/A
FREDDIE MAC GOLD POOL P#K30005 7.00000000
31302PAE4
71796.40000000
NS
USD
74350.67000000
0.001245869314
Long
ABS-MBS
USGA
US
N
2
2046-10-01
Fixed
7.00000000
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
4398.76000000
NS
USD
5174.02000000
0.000086699322
Long
ABS-MBS
USGSE
US
N
2
2030-07-20
Fixed
7.50000000
N
N
N
N
N
N
FGLMC P#Q41906 4% 07/01/46
N/A
FREDDIE MAC GOLD POOL P#Q41906 4.00000000
3132WFDL0
3464542.70000000
NS
USD
3734317.53000000
0.062574710105
Long
ABS-MBS
USGA
US
N
2
2046-07-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#619119 6% 10/15/34
N/A
GINNIE MAE I POOL P#619119 6.00000000
36290VYQ1
43446.17000000
NS
USD
48400.83000000
0.000811036523
Long
ABS-MBS
USGSE
US
N
2
2034-10-15
Fixed
6.00000000
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
40776.01000000
NS
USD
46941.05000000
0.000786575477
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
FGLMC P#G08563 4% 01/01/44
N/A
FREDDIE MAC GOLD POOL P#G08563 4.00000000
3128MJTV2
1067758.26000000
NS
USD
1171896.58000000
0.019637079112
Long
ABS-MBS
USGA
US
N
2
2044-01-01
Fixed
4.00000000
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 3.78994000
599809CS7
3332000.00000000
NS
USD
3210232.39000000
0.053792790666
Long
ABS-CBDO
CORP
US
Y
2
2056-06-25
Variable
3.78994000
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
419114.99000000
NS
USD
462556.07000000
0.007750897387
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
3.50000000
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
1126689.01000000
NS
USD
1253662.88000000
0.021007209658
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
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
7799838.77000000
NS
USD
8090389.00000000
0.135567943070
Long
ABS-CBDO
CORP
US
N
2
2043-06-25
Variable
3.00000000
N
N
N
N
N
N
GNMA P#564660 6% 06/15/31
N/A
GINNIE MAE I POOL P#564660 6.00000000
36213UJD3
23112.60000000
NS
USD
25708.24000000
0.000430784380
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
6.00000000
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
39549.61000000
NS
USD
46141.82000000
0.000773183048
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
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
61846.20000000
NS
USD
67693.33000000
0.001134314494
Long
ABS-MBS
USGSE
US
N
2
2033-06-20
Fixed
5.75000000
N
N
N
N
N
N
F/C US ULTRA BOND CBT SEP20
N/A
FUTURE CONTRACT ON US ULTRA BOND CBT SEP20 0.00000000
N/A
742.00000000
NC
USD
161871937.50000000
2.712433927178
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Long
F/C US ULTRA BOND CBT SEP20
US ULTRA BOND CBT SEP20
2020-09-21
161737187.50000000
USD
134750.00000000
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 4.17993900
89173HAF3
12925000.00000000
NS
USD
13049017.96000000
0.218658030401
Long
ABS-CBDO
CORP
US
Y
2
2057-04-25
Variable
4.17993900
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
10737076.27000000
0.179917596609
Long
DBT
CORP
US
N
2
2054-12-01
Fixed
4.62500000
N
N
N
N
N
N
FGLMC P#Q08656 4% 06/01/42
N/A
FREDDIE MAC GOLD POOL P#Q08656 4.00000000
3132GT5R4
199401.92000000
NS
USD
217186.34000000
0.003639318872
Long
ABS-MBS
USGA
US
N
2
2042-06-01
Fixed
4.00000000
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
4248000.00000000
NS
USD
3867039.36000000
0.064798685428
Long
ABS-CBDO
CORP
US
Y
2
2044-08-20
Fixed
4.84600000
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
169818.30000000
0.002845588466
Long
DBT
CORP
BM
N
3
2022-12-31
Variable
0.00000000
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
6904623.60000000
0.115698468778
Long
ABS-CBDO
CORP
US
Y
2
2025-06-15
Fixed
3.37000000
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
7195760.00000000
0.120576944078
Long
DBT
CORP
TG
Y
2
2031-10-22
Fixed
4.70000000
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
13928437.50000000
0.233394169558
Long
DBT
USGA
MX
N
2
2048-02-10
Fixed
4.60000000
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
178146.47000000
NS
USD
182844.90000000
0.003063870846
Long
ABS-CBDO
CORP
US
N
2
2035-02-15
Fixed
4.25000000
N
N
N
N
N
N
ENERGY TRANSFE 6.125% 12/15/45
N/A
ENERGY TRANSFER OPERATNG REGD 6.12500000
29273RBJ7
1125000.00000000
NS
USD
1159449.27000000
0.019428503700
Long
DBT
CORP
US
N
2
2045-12-15
Fixed
6.12500000
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
1064250.00000000
NS
USD
826390.13000000
0.013847543065
Long
LON
CORP
US
N
2
2024-02-06
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 6.11300000
494074AJ6
1600000.00000000
NS
USD
1557920.00000000
0.026105544476
Long
DBT
CORP
BM
Y
2
2022-05-06
Variable
6.11300000
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
4186253.73000000
NS
USD
4544912.11000000
0.076157572421
Long
ABS-MBS
USGSE
US
N
2
2048-02-20
Fixed
4.50000000
N
N
N
N
N
N
THAXTED PARK RE 0.0% 12/10/21
N/A
THAXTED PARK RE 2020 REGD ZCP /XILS00206827/ 0.00000000
N/A
5250000.00000000
NS
USD
5077233.47000000
0.085077503444
Long
DBT
CORP
BM
N
3
2021-12-10
Fixed
0.00000000
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
4251863.53000000
NS
USD
4553460.63000000
0.076300817112
Long
ABS-MBS
USGSE
US
N
2
2042-07-15
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
711261.32000000
0.011918368095
Long
ABS-CBDO
CORP
US
Y
2
2034-08-17
Fixed
3.56500000
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
2020035.80000000
0.033849064406
Long
ABS-CBDO
CORP
US
Y
2
2026-07-15
Fixed
3.14000000
N
N
N
N
N
N
T/L SOTERA HEALTH 0% 12/11/26
N/A
T/L SOTERA HEALTH HOLDINGS LLC REGD 0.00000000
N/A
698250.00000000
NS
USD
684502.85000000
0.011469985361
Long
LON
CORP
US
N
2
2026-12-11
Fixed
0.00000000
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
85577.20000000
NS
USD
93720.23000000
0.001570438554
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#613880 6% 09/15/33
N/A
GINNIE MAE I POOL P#613880 6.00000000
36290N6R8
11471.80000000
NS
USD
13014.30000000
0.000218076273
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
NATIONWIDE MUTU 4.35% 04/30/50
Z7LVXXWM8HZPKF5T2355
NATIONWIDE MUTUAL INSURA REGD 144A P/P 4.35000000
638671AN7
15460000.00000000
NS
USD
16488417.60000000
0.276290900043
Long
DBT
CORP
US
Y
2
2050-04-30
Fixed
4.35000000
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
15592.18000000
NS
USD
17450.26000000
0.000292408171
Long
ABS-MBS
USGSE
US
N
2
2035-02-15
Fixed
5.50000000
N
N
N
N
N
N
JPMMT 2019-HYB1 V/R 10/25/49
N/A
JP MORGAN MORTGAGE TRUST 2019-HYB1 SER 2019-HYB1 CL B1 V/R REGD 144A P/P 3.94796100
46651FAR2
10395949.44000000
NS
USD
9600211.24000000
0.160867529465
Long
ABS-CBDO
CORP
US
Y
2
2049-10-25
Variable
3.94796100
N
N
N
N
N
N
MATTERHORN RE LTD V/R 12/07/21
N/A
MATTERHORN RE LTD REGD V/R 144A P/P SER A 0.00000000
577092AJ8
1750000.00000000
NS
USD
1750000.00000000
0.029324164805
Long
DBT
CORP
BM
Y
2
2021-12-07
Variable
0.00000000
N
N
N
N
N
N
ENLINK MIDSTREAM 5.6% 04/01/44
N/A
ENLINK MIDSTREAM PARTNER REGD 5.60000000
29336UAC1
4299000.00000000
NS
USD
2622390.00000000
0.043942512310
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.60000000
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
35855.55000000
NS
USD
42929.63000000
0.000719357454
Long
ABS-MBS
USGSE
US
N
2
2034-03-20
Fixed
6.50000000
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
3962.20000000
NS
USD
4458.52000000
0.000074709928
Long
ABS-MBS
USGSE
US
N
2
2031-10-15
Fixed
6.50000000
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
20130.70000000
NS
USD
22094.58000000
0.000370231488
Long
ABS-MBS
USGSE
US
N
2
2028-01-20
Fixed
5.90000000
N
N
N
N
N
N
GNMA P#AL2284 4% 03/15/45
N/A
GINNIE MAE I POOL P#AL2284 4.00000000
36183XRD4
1454564.54000000
NS
USD
1567364.07000000
0.026263795598
Long
ABS-MBS
USGSE
US
N
2
2045-03-15
Fixed
4.00000000
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
363134.63000000
NS
USD
370510.98000000
0.006208528594
Long
ABS-CBDO
CORP
US
Y
2
2050-05-25
Variable
3.50000000
N
N
N
N
N
N
UMBS P#AT9665 3% 07/01/43
N/A
FANNIE MAE POOL UMBS P#AT9665 3.00000000
3138WXW37
486589.81000000
NS
USD
521464.41000000
0.008738004742
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
INVERSIONES CMP 3.85% 01/13/30
N/A
INVERSIONES CMPC SA REGD 144A P/P 3.85000000
46128MAN1
2728000.00000000
NS
USD
2783924.00000000
0.046649283531
Long
DBT
CORP
CL
Y
2
2030-01-13
Fixed
3.85000000
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
4871170.08000000
0.081624568125
Long
ABS-CBDO
CORP
US
N
2
2051-07-15
Fixed
3.94360000
N
N
N
N
N
N
COMM 2018-COR3 B V/R 04/10/28
N/A
COMM 2018-COR3 MORTGAGE TRUST SER 2018-COR3 CL B V/R REGD 4.66527000
12595VAG2
1500000.00000000
NS
USD
1641451.65000000
0.027505256402
Long
ABS-CBDO
CORP
US
N
2
2051-05-10
Variable
4.66527000
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
3937617.64000000
NS
USD
4239723.28000000
0.071043625251
Long
ABS-MBS
USGSE
US
N
2
2046-10-20
Fixed
4.00000000
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
40500.00000000
0.000678644956
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
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
8293.60000000
NS
USD
8964.97000000
0.000150223004
Long
ABS-MBS
USGSE
US
N
2
2024-10-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#436198 7% 02/15/28
N/A
GINNIE MAE I POOL P#436198 7.00000000
36207MRT5
7714.08000000
NS
USD
8090.13000000
0.000135563603
Long
ABS-MBS
USGSE
US
N
2
2028-02-15
Fixed
7.00000000
N
N
N
N
N
N
UMBS P#AU6019 3% 09/01/28
N/A
FANNIE MAE POOL UMBS P#AU6019 3.00000000
3138X5VM6
2280418.13000000
NS
USD
2428322.52000000
0.040690588443
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
3.00000000
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
31840.34000000
NS
USD
35048.69000000
0.000587299178
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.50000000
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
1020278.40000000
NS
USD
1080627.18000000
0.018107708296
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA P#781635 6% 03/15/33
N/A
GINNIE MAE I POOL P#781635 6.00000000
36225BY85
65158.02000000
NS
USD
77648.25000000
0.001301125759
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
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
6097.87000000
NS
USD
6970.40000000
0.000116800661
Long
ABS-MBS
USGA
US
N
2
2034-01-01
Fixed
5.50000000
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
204177.21000000
NS
USD
205090.68000000
0.003436635943
Long
ABS-CBDO
CORP
US
Y
2
2024-06-17
Fixed
3.96800000
N
N
N
N
N
N
UMBS P#AD2739 5% 07/01/40
N/A
FANNIE MAE POOL UMBS P#AD2739 5.00000000
31418QBH5
603324.80000000
NS
USD
693383.73000000
0.011618799298
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#498645 7% 04/15/29
N/A
GINNIE MAE I POOL P#498645 7.00000000
36210P5E0
18269.94000000
NS
USD
18945.89000000
0.000317469943
Long
ABS-MBS
USGSE
US
N
2
2029-04-15
Fixed
7.00000000
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
6208699.21000000
NS
USD
6399052.96000000
0.107226790625
Long
ABS-CBDO
CORP
US
Y
2
2043-08-25
Variable
3.50000000
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 5.28554200
12626LAW2
5000000.00000000
NS
USD
4817077.00000000
0.080718148472
Long
ABS-CBDO
CORP
US
Y
2
2050-08-10
Variable
5.28554200
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
3217960.85000000
0.053922293886
Long
ABS-CBDO
CORP
US
Y
2
2029-04-10
Fixed
3.35700000
N
N
N
N
N
N
GNR 2019-159 CI 3.5% 12/20/49
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-159 CL CI 3.50000000
38382BHB2
42382945.60000000
NS
USD
4787539.39000000
0.080223196618
Long
ABS-CBDO
CORP
US
N
2
2049-12-20
Fixed
3.50000000
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
206482.44000000
NS
USD
217264.89000000
0.003640635108
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
2.50000000
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
3025981.84000000
0.050705365813
Long
ABS-CBDO
CORP
US
Y
2
2036-12-17
Fixed
4.59600000
N
N
N
N
N
N
SPECTRUM CAPITAL V/R 06/08/21
N/A
SPECTRUM CAPITAL LTD REGD V/R 144A P/P SER A 5.96500000
84763LAA2
1000000.00000000
NS
USD
977100.00000000
0.016372937960
Long
DBT
CORP
BM
Y
2
2021-06-08
Variable
5.96500000
N
N
N
N
N
N
EDWARDS LIFESCIE 4.3% 06/15/28
YA13X31F3V31L8TMPR58
EDWARDS LIFESCIENCES COR REGD 4.30000000
28176EAD0
13810000.00000000
NS
USD
16464381.98000000
0.275888143196
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.30000000
N
N
N
N
N
N
GNMA P#734218 4% 02/15/41
N/A
GINNIE MAE I POOL P#734218 4.00000000
3620AMVK5
6040.66000000
NS
USD
6537.33000000
0.000109543852
Long
ABS-MBS
USGSE
US
N
2
2041-02-15
Fixed
4.00000000
N
N
N
N
N
N
HRZN 2019-1A A 4.21% 04/15/24
N/A
HORIZON FUNDING 2019-1 LLC SER 2019-1A CL A1 REGD 144A P/P 4.21000000
44053UAA5
5250000.00000000
NS
USD
5249562.15000000
0.087965157509
Long
ABS-CBDO
CORP
US
Y
2
2027-09-15
Fixed
4.21000000
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 2.58450000
35564ABF7
6450000.00000000
NS
USD
5984537.69000000
0.100280896859
Long
ABS-CBDO
CORP
US
Y
2
2047-02-25
Variable
2.58450000
N
N
N
N
N
N
FGLMC P#C01095 7% 11/01/30
N/A
FREDDIE MAC GOLD POOL P#C01095 7.00000000
31292HGC2
1656.90000000
NS
USD
1928.67000000
0.000032318078
Long
ABS-MBS
USGA
US
N
2
2030-11-01
Fixed
7.00000000
N
N
N
N
N
N
BANK OF AMERICA 4.2% 08/26/24
N/A
BANK OF AMERICA CORP REGD MTN 4.20000000
06051GFH7
1150000.00000000
NS
USD
1276728.17000000
0.021393707010
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
GNMA P#AJ6295 4% 09/15/44
N/A
GINNIE MAE I POOL P#AJ6295 4.00000000
36183B7G7
93664.80000000
NS
USD
99386.57000000
0.001665387518
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
Fixed
4.00000000
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
425095.06000000
NS
USD
453799.62000000
0.007604168483
Long
ABS-MBS
USGA
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#A16221 6% 11/01/33
N/A
FREDDIE MAC GOLD POOL P#A16221 6.00000000
31296Q4E7
22155.92000000
NS
USD
24968.05000000
0.000418381264
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#A22080 6% 05/01/34
N/A
FREDDIE MAC GOLD POOL P#A22080 6.00000000
31296YJZ7
43168.54000000
NS
USD
48087.50000000
0.000805786157
Long
ABS-MBS
USGA
US
N
2
2034-05-01
Fixed
6.00000000
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
27583.74000000
NS
USD
30300.35000000
0.000507732832
Long
ABS-MBS
USGSE
US
N
2
2035-03-20
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
7375307.16000000
0.123585555798
Long
ABS-CBDO
CORP
US
Y
2
2059-07-25
Variable
3.25000000
N
N
N
N
N
N
ENERGY TRANSFER 6.5% 02/01/42
N/A
ENERGY TRANSFER OPERATNG REGD 6.50000000
29273RAR0
4207000.00000000
NS
USD
4557175.37000000
0.076363063768
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
6.50000000
N
N
N
N
N
N
T/L 1011778 B C 0% 11/19/26
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
1408373.74000000
NS
USD
1339011.33000000
0.022437365095
Long
LON
CORP
CA
N
2
2026-11-19
Fixed
0.00000000
N
N
N
N
N
N
F/C US 10YR NOTE (CBT)SEP20
N/A
FUTURE CONTRACT ON US 10YR NOTE (CBT)SEP20 0.00000000
N/A
-2133.00000000
NC
USD
-296853609.38000000
-4.97427666538
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Short
F/C US 10YR NOTE (CBT)SEP20
US 10YR NOTE (CBT)SEP20
2020-09-21
295692843.76000000
USD
-1160765.62000000
N
N
N
BALLYBUNION RE 0% 2/28/21
N/A
BALLYBUNION RE ZCP REGD /XILS00203915/ 0.00000000
N/A
8000000.00000000
PA
USD
8102447.60000000
0.135770004998
Long
DBT
CORP
BM
N
3
2021-02-28
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
4827902.83000000
NS
USD
5444608.85000000
0.091233489837
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#744000 4% 11/15/40
N/A
GINNIE MAE I POOL P#744000 4.00000000
3620AYRV0
5697.64000000
NS
USD
6033.30000000
0.000101097990
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
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
2527.96000000
NS
USD
2782.69000000
0.000046628605
Long
ABS-MBS
USGSE
US
N
2
2031-11-15
Fixed
6.50000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 12/01/24
N/A
SECTOR RE V LTD REGD ZCP P/P SER 9-C 0.00000000
81369ADB5
2000000.00000000
NS
USD
1992994.14000000
0.033395936352
Long
DBT
CORP
BM
N
3
2024-12-01
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#604647 6% 09/15/33
N/A
GINNIE MAE I POOL P#604647 6.00000000
36200MWG4
37484.41000000
NS
USD
44651.26000000
0.000748206232
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
TRPTY BANK OF N 0.09% 07/01/20
N/A
TRPTY BANK OF N 0.09% 07/01/20 0.09000000
N/A
17690000.00000000
PA
USD
17690000.00000000
0.296425414514
Long
RA
CORP
US
N
2
Repurchase
Y
0.09000000
2020-07-01
19826019.00000000
USD
18043932.58581940
USD
AMBS
N
N
N
ESSEX PORTFOLI 3.625% 05/01/27
N/A
ESSEX PORTFOLIO LP REGD 3.62500000
29717PAR8
1480000.00000000
NS
USD
1642635.76000000
0.027525098137
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.62500000
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
5797882.06000000
NS
USD
5935727.29000000
0.099462997308
Long
ABS-CBDO
CORP
US
N
2
2043-05-25
Variable
2.50000000
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 1.88450000
269826AA1
1882383.66000000
NS
USD
1821452.22000000
0.030521465762
Long
ABS-CBDO
CORP
US
Y
2
2028-11-25
Variable
1.88450000
N
N
N
N
N
N
FNMA P#254405 6% 8/1/32
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #254405 6.00000000
31371KR29
2207.42000000
NS
USD
2564.53000000
0.000042972971
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.00000000
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
13757398.21000000
NS
USD
14170037.61000000
0.237442581811
Long
ABS-CBDO
CORP
US
Y
2
2049-09-25
Variable
4.00000000
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 3.94405000
89173FAF7
11530000.00000000
NS
USD
11216299.83000000
0.187947785552
Long
ABS-CBDO
CORP
US
Y
2
2056-10-25
Variable
3.94405000
N
N
N
N
N
N
APACHE CORP 4.25% 01/15/30
N/A
APACHE CORP REGD 4.25000000
037411BF1
1480000.00000000
NS
USD
1279399.25000000
0.021438465404
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.25000000
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
974274.95000000
0.016325599542
Long
ABS-CBDO
CORP
US
Y
2
2026-07-15
Fixed
3.42000000
N
N
N
N
N
N
UNITI GRP/UNIT 7.875% 02/15/25
N/A
UNITI GRP/UNITI HLD/CSL REGD 144A P/P 7.87500000
91327AAA0
7124000.00000000
NS
USD
7218535.48000000
0.120958585180
Long
DBT
CORP
US
Y
2
2025-02-15
Fixed
7.87500000
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
27025.84000000
NS
USD
30462.51000000
0.000510450093
Long
ABS-MBS
USGSE
US
N
2
2027-10-15
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
239.29000000
NS
USD
278.29000000
0.000004663212
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
6.00000000
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
23791.96000000
NS
USD
27120.71000000
0.000454452668
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
ISOSCELES RE 2020 0% 04/30/22
N/A
ISOSCELES RE 2020 REGD ZCP /XILS00205973/ 0.00000000
N/A
2400000.00000000
NS
USD
2327710.66000000
0.039004669149
Long
DBT
CORP
BM
N
3
2022-04-30
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AS7804 4% 08/01/46
N/A
FANNIE MAE POOL UMBS P#AS7804 4.00000000
3138WHU67
3391985.69000000
NS
USD
3653274.59000000
0.061216700660
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
ANTHEM INC 4.101% 03/01/28
8MYN82XMYQH89CTMTH67
ANTHEM INC REGD 4.10100000
036752AG8
1140000.00000000
NS
USD
1335976.49000000
0.022386511296
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.10100000
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
483361.42000000
NS
USD
472108.28000000
0.007910960576
Long
LON
CORP
US
N
2
2024-01-19
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#600056 6% 02/15/33
N/A
GINNIE MAE I POOL P#600056 6.00000000
36200FTM0
79064.21000000
NS
USD
90765.18000000
0.001520921769
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
6.00000000
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
2898255.29000000
NS
USD
3275655.25000000
0.054889059654
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
6.03600000
N
N
N
N
N
N
PANGAEA 2015-2 0% 05/29/21
N/A
PANGAEA 2015-2 ZCP /BNR1QVAF7/ 0.00000000
N/A
4000000.00000000
NS
USD
5963.52000000
0.000099928710
Long
DBT
CORP
BM
N
3
2021-05-29
Fixed
0.00000000
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
199177.54000000
NS
USD
210953.74000000
0.003534881278
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
2.50000000
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
1770244.22000000
NS
USD
1966474.38000000
0.032951553602
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.50000000
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
20942.95000000
NS
USD
20930.43000000
0.000350724216
Long
ABS-CBDO
CORP
KY
Y
2
2047-10-15
Fixed
2.89600000
N
N
N
N
N
N
UMBS P#BM1057 4% 04/01/47
N/A
FANNIE MAE POOL UMBS P#BM1057 4.00000000
3140J5E70
3378823.04000000
NS
USD
3664552.23000000
0.061405676302
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
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 3.91787000
33767CAX5
2197000.00000000
NS
USD
1916079.50000000
0.032107103450
Long
ABS-CBDO
CORP
US
Y
2
2045-03-25
Variable
3.91787000
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
808.03000000
NS
USD
898.85000000
0.000015061728
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
6.50000000
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
4859879.99000000
0.081435383862
Long
DBT
CORP
IE
N
2
2024-12-15
Fixed
3.90000000
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
14633157.62000000
0.245202928952
Long
ABS-CBDO
CORP
US
Y
2
2059-11-25
Variable
3.00000000
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 1.78450000
078768AD0
2404466.27000000
NS
USD
2380141.73000000
0.039883239057
Long
ABS-CBDO
CORP
BM
Y
2
2028-04-25
Variable
1.78450000
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
429785.34000000
NS
USD
460141.96000000
0.007710444953
Long
ABS-MBS
USGSE
US
N
2
2045-04-20
Fixed
3.50000000
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
19685182.10000000
0.329858013781
Long
DBT
CORP
US
Y
2
2027-01-30
Fixed
3.70000000
N
N
N
N
N
N
JPMMT 2013-2 B2 V/R 06/25/31
N/A
JP MORGAN MORTGAGE TRUST 2013-2 SER 2013-2 CL B2 V/R REGD 144A P/P 3.63243500
46640BAK0
2563208.15000000
NS
USD
2579737.77000000
0.043227803155
Long
ABS-CBDO
CORP
US
Y
2
2043-05-25
Variable
3.63243500
N
N
N
N
N
N
VITALITY RE VIII V/R 01/08/21
N/A
VITALITY RE VIII LTD REGD V/R 144A P/P SER B 2.07372200
92848LAB2
800000.00000000
NS
USD
672000.00000000
0.011260479285
Long
DBT
CORP
KY
Y
2
2021-01-08
Variable
2.07372200
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
1875305.24000000
NS
USD
1984302.41000000
0.033250291939
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
3.50000000
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
2883.04000000
NS
USD
3149.02000000
0.000052767075
Long
ABS-MBS
USGSE
US
N
2
2025-09-15
Fixed
7.50000000
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
5572.24000000
NS
USD
6263.27000000
0.000104951520
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
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
4153357.80000000
NS
USD
4598755.21000000
0.077059803243
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
INTERPUBLIC GRO 4.75% 03/30/30
N/A
INTERPUBLIC GROUP COS REGD 4.75000000
460690BR0
12966000.00000000
NS
USD
15288325.22000000
0.256181353339
Long
DBT
CORP
US
N
2
2030-03-30
Fixed
4.75000000
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
11641611.08000000
0.195074583946
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.55000000
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
39691.28000000
NS
USD
44542.80000000
0.000746388804
Long
ABS-MBS
USGSE
US
N
2
2031-10-15
Fixed
6.50000000
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 9.57493000
32010GAA3
1000000.00000000
NS
USD
878661.00000000
0.014723428555
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-20
Variable
9.57493000
N
N
N
N
N
N
UMBS P#BH6459 4% 07/01/47
N/A
FANNIE MAE POOL UMBS P#BH6459 4.00000000
3140GVE92
2209914.59000000
NS
USD
2399952.11000000
0.040215194970
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#780742 7% 09/15/24
N/A
GINNIE MAE I POOL P#780742 7.00000000
36225AZF0
23903.73000000
NS
USD
25945.33000000
0.000434757218
Long
ABS-MBS
USGSE
US
N
2
2024-09-15
Fixed
7.00000000
N
N
N
N
N
N
UMBS P#AK0746 4% 02/01/42
N/A
FANNIE MAE POOL UMBS P#AK0746 4.00000000
3138E4ZL8
1583660.85000000
NS
USD
1739545.72000000
0.029148985930
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.00000000
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
128763.76000000
NS
USD
140306.14000000
0.002351063070
Long
ABS-MBS
USGSE
US
N
2
2044-09-20
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AS0331 3% 08/01/43
N/A
FANNIE MAE POOL UMBS P#AS0331 3.00000000
3138W9LM0
1203624.78000000
NS
USD
1289520.26000000
0.021608059784
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
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
2762868.55000000
NS
USD
2945919.92000000
0.049363794992
Long
ABS-CBDO
CORP
US
N
2
2068-12-26
Variable
1.64559300
N
N
N
N
N
N
T/L ON SEMICONDU 0% 9/19/26
N/A
T/L ON SEMICONDUCTOR CORPORATION REGD 0.00000000
68218EAH7
792054.53000000
NS
USD
762022.20000000
0.012768951187
Long
LON
CORP
US
N
2
2026-09-19
Fixed
0.00000000
N
N
N
N
N
N
UNION PACIFIC C 3.75% 02/05/70
N/A
UNION PACIFIC CORP REGD 3.75000000
907818FL7
11993000.00000000
NS
USD
13359100.68000000
0.223853982850
Long
DBT
CORP
US
N
2
2070-02-05
Fixed
3.75000000
N
N
N
N
N
N
LION ROCK RE 2019 0.0% 1/31/21
N/A
LION ROCK RE 2019 REGD ZCP /BNR46WN83/ 0.00000000
N/A
500000.00000000
NS
USD
48800.00000000
0.000817725281
Long
DBT
CORP
BM
N
3
2021-01-31
Fixed
0.00000000
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
641256.57000000
NS
USD
736159.92000000
0.012335585609
Long
ABS-MBS
USGA
US
N
2
2041-06-01
Fixed
5.50000000
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
1450616.03000000
NS
USD
1598910.24000000
0.026792404220
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
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
0.00000000
0.000000
Long
DBT
CORP
BM
N
3
2021-08-31
Fixed
0.00000000
N
N
N
N
N
N
US T BILL ZCP 07/07/20
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
9127963C1
30000000.00000000
PA
USD
29999406.30000000
0.502690019654
Long
STIV
UST
US
N
2
2020-07-07
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
2896241.84000000
NS
USD
2863065.39000000
0.047975429339
Long
ABS-CBDO
CORP
US
Y
2
2036-03-15
Fixed
3.15000000
N
N
N
N
N
N
UMBS P#BH4634 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#BH4634 4.00000000
3140GTEG1
5992909.71000000
NS
USD
6400194.93000000
0.107245926235
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
MID OCEAN RE 2019 0% 8/31/20
N/A
MID OCEAN RE 2019 ZCP /XILS00144055/ 0.00000000
N/A
1500000.00000000
NS
USD
1546316.21000000
0.025911103647
Long
DBT
CORP
BM
N
3
2020-08-31
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#430633 7% 03/15/28
N/A
GINNIE MAE I POOL P#430633 7.00000000
36207FLN9
10106.41000000
NS
USD
10328.41000000
0.000173069712
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.00000000
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
8281222.50000000
NS
USD
8900087.70000000
0.149135793425
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#553320 6% 06/15/33
N/A
GINNIE MAE I POOL P#553320 6.00000000
36213FVM2
6123.43000000
NS
USD
7300.45000000
0.000122331199
Long
ABS-MBS
USGSE
US
N
2
2033-06-15
Fixed
6.00000000
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
10207360.00000000
0.171041318208
Long
DBT
CORP
NL
N
2
2168-07-21
Variable
5.25000000
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
0.000167380992
Long
DBT
CORP
BM
N
3
2020-11-30
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#Q63852 4% 05/01/49
N/A
FREDDIE MAC GOLD POOL P#Q63852 4.00000000
3132VQH66
1082527.59000000
NS
USD
1148155.01000000
0.019239249562
Long
ABS-MBS
USGA
US
N
2
2049-05-01
Fixed
4.00000000
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 1.88450000
62547NAA7
3980845.80000000
NS
USD
3681770.43000000
0.061694195922
Long
ABS-CBDO
CORP
US
Y
2
2049-10-15
Variable
1.88450000
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
98552.56000000
NS
USD
113699.13000000
0.001905218300
Long
ABS-MBS
USGSE
US
N
2
2034-06-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#AE8233 4% 03/15/44
N/A
GINNIE MAE I POOL P#AE8233 4.00000000
36181CEE4
76311.76000000
NS
USD
82898.91000000
0.001389109313
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
4.00000000
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 0.76717000
38379U5F9
36993487.25000000
NS
USD
2237946.91000000
0.037500528007
Long
ABS-CBDO
CORP
US
N
2
2058-10-16
Variable
0.76717000
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
6068989.86000000
NS
USD
6737359.46000000
0.112895679517
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
VITALITY RE X LTD V/R 01/10/23
N/A
VITALITY RE X LTD REGD V/R 144A P/P SER A 1.75000000
92850FAA2
2500000.00000000
NS
USD
2375000.00000000
0.039797080806
Long
DBT
CORP
KY
Y
2
2023-01-10
Variable
1.75000000
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 4.12838500
89172YAE0
13750000.00000000
NS
USD
14228230.50000000
0.238417700609
Long
ABS-CBDO
CORP
US
Y
2
2056-04-25
Variable
4.12838500
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
5807566.27000000
0.097315445952
Long
DBT
CORP
CA
N
2
2024-04-30
Fixed
4.25000000
N
N
N
N
N
N
GNMA P#608668 6% 08/15/34
N/A
GINNIE MAE I POOL P#608668 6.00000000
36202TFH4
40698.03000000
NS
USD
45270.56000000
0.000758583635
Long
ABS-MBS
USGSE
US
N
2
2034-08-15
Fixed
6.00000000
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
19873.68000000
NS
USD
21876.23000000
0.000366572670
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
6.50000000
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
3909843.74000000
NS
USD
3723089.27000000
0.062386561907
Long
ABS-CBDO
CORP
US
Y
2
2031-12-20
Fixed
4.10000000
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
3612.75000000
NS
USD
3986.45000000
0.000066799609
Long
ABS-MBS
USGSE
US
N
2
2026-05-20
Fixed
7.00000000
N
N
N
N
N
N
FGLMC P#Q12846 4% 11/01/42
N/A
FREDDIE MAC GOLD POOL P#Q12846 4.00000000
3132HPET7
53015.60000000
NS
USD
58254.53000000
0.000976151679
Long
ABS-MBS
USGA
US
N
2
2042-11-01
Fixed
4.00000000
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
8390698.79000000
0.140600133798
Long
ABS-CBDO
CORP
US
N
2
2062-12-15
Fixed
3.35150000
N
N
N
N
N
N
PSTAT 2020-1A B V/R 02/20/28
N/A
PALMER SQUARE LOAN FUNDING 2020-1 LTD SER 2020-1A CL B V/R REGD 144A P/P 2.27663000
69701EAE6
4000000.00000000
NS
USD
3855304.00000000
0.064602039925
Long
ABS-CBDO
CORP
KY
Y
2
2028-02-20
Variable
2.27663000
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
7959580.80000000
0.133376033804
Long
ABS-CBDO
CORP
US
Y
2
2027-11-22
Fixed
3.43000000
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 2.73450000
30711XR63
2135130.91000000
NS
USD
2101094.36000000
0.035207335590
Long
ABS-CBDO
CORP
US
N
2
2030-12-25
Variable
2.73450000
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
1108597.03000000
NS
USD
1215433.66000000
0.020366615403
Long
ABS-MBS
USGSE
US
N
2
2044-10-20
Fixed
4.50000000
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
290.22000000
NS
USD
322.98000000
0.000005412067
Long
ABS-MBS
USGA
US
N
2
2031-03-01
Fixed
6.50000000
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 4.89773400
12591YBH7
4500000.00000000
NS
USD
4282150.95000000
0.071754571530
Long
ABS-CBDO
CORP
US
N
2
2047-06-10
Variable
4.89773400
N
N
N
N
N
N
GNMA P#586580 7% 05/15/32
N/A
GINNIE MAE I POOL P#586580 7.00000000
36201LUD4
54168.51000000
NS
USD
66936.43000000
0.001121631374
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
7.00000000
N
N
N
N
N
N
ADANI ELECTRIC 3.949% 02/12/30
N/A
ADANI ELECTRICITY MUMBAI REGD 144A P/P 3.94900000
00654GAA1
2695000.00000000
NS
USD
2503783.44000000
0.041955061846
Long
DBT
CORP
IN
Y
2
2030-02-12
Fixed
3.94900000
N
N
N
N
N
N
SANDS CHINA LT 4.375% 06/18/30
N/A
SANDS CHINA LTD REGD 144A P/P 4.37500000
80007RAG0
4300000.00000000
NS
USD
4478235.00000000
0.075040286386
Long
DBT
CORP
MO
Y
2
2030-06-18
Fixed
4.37500000
N
N
N
N
N
N
SEMT 2019-CH2 A1 V/R 08/25/49
N/A
SEQUOIA MORTGAGE TRUST 2019-CH2 SER 2019-CH2 CL A1 V/R REGD 144A P/P 4.50000000
81747CAA9
5020447.99000000
NS
USD
5159941.64000000
0.086463416591
Long
ABS-CBDO
CORP
US
Y
2
2049-08-25
Variable
4.50000000
N
N
N
N
N
N
GNMA P#717180 4% 06/15/39
N/A
GINNIE MAE I POOL P#717180 4.00000000
3620A2XH4
2309.25000000
NS
USD
2488.34000000
0.000041696281
Long
ABS-MBS
USGSE
US
N
2
2039-06-15
Fixed
4.00000000
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
4501.33000000
NS
USD
4954.90000000
0.000083027602
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.50000000
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
2319200.00000000
0.038862058866
Long
DBT
CORP
TG
Y
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#479813 7% 12/15/30
N/A
GINNIE MAE I POOL P#479813 7.00000000
36209SAN1
1630.97000000
NS
USD
1663.65000000
0.000027877226
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.00000000
N
N
N
N
N
N
DIAMOND SPORTS 6.625% 08/15/27
N/A
DIAMOND SPORTS GR/DIAMON REGD 144A P/P 6.62500000
25277LAC0
6180000.00000000
NS
USD
3290850.00000000
0.055143672999
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
6.62500000
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
6722670.23000000
0.112649537002
Long
DBT
CORP
US
Y
2
2025-01-11
Fixed
2.95000000
N
N
N
N
N
N
ISTAR INC 4.75% 10/01/24
N/A
ISTAR INC REGD 4.75000000
45031UCF6
3475000.00000000
NS
USD
3244781.25000000
0.054371714360
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.75000000
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
21549147.23000000
NS
USD
22303093.71000000
0.373725483208
Long
ABS-CBDO
CORP
US
Y
2
2069-09-25
Fixed
2.00000000
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
37767.26000000
NS
USD
39714.23000000
0.000665478071
Long
ABS-MBS
USGSE
US
N
2
2031-12-15
Fixed
7.50000000
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 1.58475000
55379VAA6
6000000.00000000
NS
USD
5822660.40000000
0.097568373241
Long
ABS-CBDO
CORP
KY
Y
2
2034-09-15
Variable
1.58475000
N
N
N
N
N
N
UMBS P#AB9339 3% 05/01/43
N/A
FANNIE MAE POOL UMBS P#AB9339 3.00000000
31417GLV6
524183.82000000
NS
USD
569060.27000000
0.009535552652
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
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
3502062.22000000
0.058682885541
Long
DBT
CORP
GB
Y
2
2028-03-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AJ4899 4% 01/01/42
N/A
FANNIE MAE POOL UMBS P#AJ4899 4.00000000
3138AWNR0
1686384.07000000
NS
USD
1852513.19000000
0.031041944049
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
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 0.83450000
20268KAB6
806403.57000000
NS
USD
793669.33000000
0.013299251562
Long
ABS-CBDO
CORP
US
Y
2
2042-09-25
Variable
0.83450000
N
N
N
N
N
N
GNMA P#554167 7% 11/15/31
N/A
GINNIE MAE I POOL P#554167 7.00000000
36213GTY7
7021.11000000
NS
USD
7387.68000000
0.000123792883
Long
ABS-MBS
USGSE
US
N
2
2031-11-15
Fixed
7.00000000
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
1867.48000000
NS
USD
1895.66000000
0.000031764940
Long
ABS-MBS
USGSE
US
N
2
2030-02-15
Fixed
7.75000000
N
N
N
N
N
N
ENLINK MIDSTREA 5.45% 06/01/47
N/A
ENLINK MIDSTREAM PARTNER REGD 5.45000000
29336UAG2
8316000.00000000
NS
USD
5154256.80000000
0.086368157628
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
5.45000000
N
N
N
N
N
N
GNMA P#782111 6% 08/15/36
N/A
GINNIE MAE I POOL P#782111 6.00000000
36241KKY3
125389.79000000
NS
USD
149389.89000000
0.002503276431
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Fixed
6.00000000
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
5332217.50000000
NS
USD
5092267.71000000
0.085329427176
Long
DBT
CORP
IN
Y
2
2039-10-15
Fixed
4.62500000
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 2.91153800
05523EAA4
3500000.00000000
NS
USD
3515929.20000000
0.058915249887
Long
ABS-CBDO
CORP
US
Y
2
2048-02-27
Variable
2.91153800
N
N
N
N
N
N
GENERAL ELECTRI 4.25% 05/01/40
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO REGD 4.25000000
369604BX0
4995000.00000000
NS
USD
4970414.41000000
0.083287572176
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
4.25000000
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
42874.83000000
NS
USD
46698.56000000
0.000782512154
Long
ABS-MBS
USGSE
US
N
2
2037-10-20
Fixed
5.50000000
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
2640851.36000000
0.044251863146
Long
ABS-CBDO
CORP
US
Y
2
2032-05-10
Fixed
4.17000000
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
54734.67000000
NS
USD
63611.79000000
0.001065921493
Long
ABS-MBS
USGSE
US
N
2
2033-01-20
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AP7453 4% 10/01/42
N/A
FANNIE MAE POOL UMBS P#AP7453 4.00000000
3138MBH74
1038194.53000000
NS
USD
1140456.22000000
0.019110243513
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
EDEN RE II LTD ZCP 03/22/24
N/A
EDEN RE II LTD REGD ZCP 144A P/P SER B 0.00000000
27954QAH4
6400000.00000000
NS
USD
6643840.00000000
0.111328605199
Long
DBT
CORP
BM
Y
3
2024-03-22
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#AE0328 4% 01/15/45
N/A
GINNIE MAE I POOL P#AE0328 4.00000000
36180SLH5
607524.86000000
NS
USD
645810.99000000
0.010821638802
Long
ABS-MBS
USGSE
US
N
2
2045-01-15
Fixed
4.00000000
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 5.94125000
83614DAN5
4000000.00000000
NS
USD
3501960.00000000
0.058681172674
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
5.94125000
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
3731.19000000
NS
USD
4128.14000000
0.000069173861
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
6.50000000
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
5750.40000000
NS
USD
6329.83000000
0.000106066844
Long
ABS-MBS
USGSE
US
N
2
2035-06-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#850968 6% 12/01/35
N/A
FANNIE MAE POOL UMBS P#850968 6.00000000
31408GMR5
143599.36000000
NS
USD
163525.36000000
0.002740139775
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
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 12.43450000
35563MBE5
4350000.00000000
NS
USD
4567131.56000000
0.076529896315
Long
ABS-CBDO
CORP
US
Y
2
2049-02-25
Variable
12.43450000
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
3039000.00000000
0.050923506767
Long
ABS-CBDO
CORP
US
Y
3
2029-04-25
Variable
3.67570000
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
6476926.27000000
0.108531687640
Long
DBT
CORP
NL
N
2
2036-07-15
Fixed
6.75000000
N
N
N
N
N
N
GNMA P#502981 6% 02/15/29
N/A
GINNIE MAE I POOL P#502981 6.00000000
36210UXJ7
41292.53000000
NS
USD
46497.54000000
0.000779143729
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#MA0500 5% 08/01/40
N/A
FANNIE MAE POOL UMBS P#MA0500 5.00000000
31417YRW9
487643.91000000
NS
USD
560441.29000000
0.009391127286
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
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
733159.01000000
NS
USD
732283.47000000
0.012270629233
Long
ABS-CBDO
CORP
US
Y
2
2028-12-20
Fixed
4.50000000
N
N
N
N
N
N
IBRD V/R 02/15/21
N/A
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT V/R SER GDIF 3.19238000
U4586FSF5
1250000.00000000
NS
USD
1227375.00000000
0.020566712444
Long
DBT
USGA
US
Y
2
2021-02-15
Variable
3.19238000
N
N
N
N
N
N
CITRIX SYSTEMS I 3.3% 03/01/30
N/A
CITRIX SYSTEMS INC REGD 3.30000000
177376AF7
15690000.00000000
NS
USD
16772469.42000000
0.281050661405
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.30000000
N
N
N
N
N
N
UMBS P#AZ3219 4% 06/01/45
N/A
FANNIE MAE POOL UMBS P#AZ3219 4.00000000
3138YUSH5
104093.26000000
NS
USD
111708.51000000
0.001871862147
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.00000000
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
1228105.59000000
NS
USD
1333310.80000000
0.022341843220
Long
ABS-MBS
USGSE
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
BOEING CO 5.805% 05/01/50
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 5.80500000
097023CW3
13740000.00000000
NS
USD
16226742.83000000
0.271906103426
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
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
13594009.16000000
NS
USD
13733069.08000000
0.230120446274
Long
ABS-CBDO
CORP
US
Y
2
2054-11-25
Variable
2.72200000
N
N
N
N
N
N
GNMA II P#MA6411 4% 01/20/50
N/A
GINNIE MAE II POOL P#MA6411 4.00000000
36179VDQ0
10992424.29000000
NS
USD
11663704.16000000
0.195444790300
Long
ABS-MBS
USGSE
US
N
2
2050-01-20
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#443191 7% 12/15/30
N/A
GINNIE MAE I POOL P#443191 7.00000000
36207VKC9
1160.39000000
NS
USD
1164.82000000
0.000019518499
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.00000000
N
N
N
N
N
N
FNMA 30YR TBA 3.5% JUL 20
N/A
FNMA 30YR TBA 3.5% JUL 20 TO BE ANNOUNCED 3.50000000
01F032674
43783000.00000000
NS
USD
46049112.20000000
0.771629574445
Long
ABS-MBS
USGA
US
N
2
2050-07-01
Fixed
3.50000000
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
10791.78000000
NS
USD
12373.18000000
0.000207333239
Long
ABS-MBS
USGSE
US
N
2
2027-08-20
Fixed
7.00000000
N
N
N
N
N
N
KENDALL RE LTD V/R 05/06/21
N/A
KENDALL RE LTD REGD V/R 144A P/P SER A 5.59088000
48878QAA8
250000.00000000
NS
USD
242350.00000000
0.004060977908
Long
DBT
CORP
BM
Y
2
2021-05-06
Variable
5.59088000
N
N
N
N
N
N
JAGUAR HL / PP 4.625% 06/15/25
N/A
JAGUAR HL / PPDI REGD 144A P/P 4.62500000
47010LAB8
1460000.00000000
NS
USD
1485842.00000000
0.024897757532
Long
DBT
CORP
US
Y
2
2025-06-15
Fixed
4.62500000
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
5057589.70000000
NS
USD
5418608.39000000
0.090797808824
Long
ABS-MBS
USGA
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
ALBERTSONS COS 4.875% 02/15/30
N/A
ALBERTSONS COS/SAFEWAY REGD 144A P/P 4.87500000
013092AE1
2525000.00000000
NS
USD
2583403.25000000
0.043289224377
Long
DBT
CORP
US
Y
2
2030-02-15
Fixed
4.87500000
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
35849.48000000
NS
USD
41826.50000000
0.000700872673
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
5.50000000
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 1.09388000
43730WAA4
3974424.04000000
NS
USD
3916029.02000000
0.065619588779
Long
ABS-CBDO
CORP
US
Y
2
2037-07-17
Variable
1.09388000
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
443.96000000
NS
USD
512.43000000
0.000008586618
Long
ABS-MBS
USGSE
US
N
2
2029-03-20
Fixed
6.50000000
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
10278.12000000
NS
USD
11552.57000000
0.000193582552
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.50000000
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
8951741.40000000
0.150001337203
Long
ABS-CBDO
CORP
US
N
2
2051-06-15
Fixed
4.21060000
N
N
N
N
N
N
FNMA TBA 15YR 2.0% JUN 20
N/A
FNMA TBA 15YR 2.0% JUN 20 TO BE ANNOUNCED 2.00000000
01F020471
20000000.00000000
NS
USD
20690625.20000000
0.346705887590
Long
ABS-MBS
USGA
US
N
2
2035-07-01
Fixed
2.00000000
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 6.22493000
32010FAC1
4500000.00000000
NS
USD
4036585.50000000
0.067639713400
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-20
Variable
6.22493000
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
24626.52000000
NS
USD
29189.58000000
0.000489120031
Long
ABS-MBS
USGSE
US
N
2
2032-10-20
Fixed
6.50000000
N
N
N
N
N
N
FNMA P#720736 6% 7/1/33_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #720736_ 6.00000000
31401WV55
30974.10000000
NS
USD
34452.18000000
0.000577303659
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA P#254238 6% 3/1/32
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #254238 6.00000000
31371KLT6
3148.60000000
NS
USD
3658.87000000
0.000061310461
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
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 3.97900400
89172UAE8
9000000.00000000
NS
USD
9152081.10000000
0.153358362563
Long
ABS-CBDO
CORP
US
Y
2
2056-07-25
Variable
3.97900400
N
N
N
N
N
N
TPMT 2018-3 M1 V/R 05/25/58
N/A
TOWD POINT MORTGAGE TRUST 2018-3 SER 2018-3 CL M1 V/R REGD 144A P/P 3.87500000
89175MAE3
10996835.00000000
NS
USD
11181330.00000000
0.187361807805
Long
ABS-CBDO
CORP
US
Y
2
2058-05-25
Variable
3.87500000
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 2.00000000
31739GAA5
12748352.19000000
NS
USD
13550756.42000000
0.227065493996
Long
ABS-CBDO
CORP
US
N
2
2069-06-25
Variable
2.00000000
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
2339042.83000000
NS
USD
2453997.43000000
0.041120814324
Long
ABS-CBDO
CORP
US
Y
2
2048-08-25
Variable
4.50000000
N
N
N
N
N
N
RBIT 2020-1 M3 V/R 10/25/22
N/A
RMF BUYOUT ISSUANCE TRUST 2020-1 SER 2020-1 CL M3 V/R REGD 144A P/P 2.96360000
74968QAD9
1250000.00000000
NS
USD
1203625.00000000
0.020168741636
Long
ABS-CBDO
CORP
US
Y
2
2030-02-25
Variable
2.96360000
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
5502059.16000000
0.092196165471
Long
ABS-CBDO
CORP
US
Y
2
2035-02-10
Fixed
3.17800000
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
2478825.23000000
0.041536845467
Long
ABS-CBDO
CORP
US
Y
2
2022-12-15
Fixed
3.99000000
N
N
N
N
N
N
GNMA P#771479 4% 11/15/41
N/A
GINNIE MAE I POOL P#771479 4.00000000
36176N2L4
2521.12000000
NS
USD
2697.98000000
0.000045209148
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
4.00000000
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
3216259.11000000
NS
USD
3346483.19000000
0.056075899760
Long
ABS-CBDO
CORP
US
Y
2
2059-01-25
Variable
4.00000000
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
889.36000000
NS
USD
893.29000000
0.000014968561
Long
ABS-MBS
USGSE
US
N
2
2022-03-20
Fixed
9.00000000
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
19751769.60000000
0.330973798252
Long
ABS-CBDO
CORP
US
Y
2
2041-12-09
Fixed
3.20200000
N
N
N
N
N
N
BROADCOM INC 4.3% 11/15/32
549300WV6GIDOZJTV909
BROADCOM INC REGD 144A P/P 4.30000000
11135FAR2
3225000.00000000
NS
USD
3538400.73000000
0.059291797801
Long
DBT
CORP
US
Y
2
2032-11-15
Fixed
4.30000000
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
992453.80000000
NS
USD
1104900.50000000
0.018514448202
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
GSMBS 2020-PJ2 B V/R 07/25/50
N/A
GS MORTGAGE-BACKED SECURITIES CORP TRUST 202 SER 2020-PJ2 CL B1 V/R REGD 144A P/P 3.60049700
36262DAR9
4911786.96000000
NS
USD
5056360.50000000
0.084727742066
Long
ABS-CBDO
CORP
US
Y
2
2050-07-25
Variable
3.60049700
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 4.18250000
30292FAA8
902510.80000000
NS
USD
899521.23000000
0.015072976453
Long
ABS-CBDO
CORP
US
Y
2
2022-09-25
Variable
4.18250000
N
N
N
N
N
N
FSIT 2020-AA C 5.4% 08/20/23
N/A
FAIR SQUARE ISSUANCE TRUST SER 2020-AA CL C REGD 144A P/P 5.40000000
303394AC4
5000000.00000000
NS
USD
4762512.50000000
0.079803829392
Long
ABS-CBDO
CORP
US
Y
2
2024-09-20
Fixed
5.40000000
N
N
N
N
N
N
DINGLE RE 2020 0.0% 01/31/21
N/A
DINGLE RE 2020 REGD ZCP /XILS00178080/ 0.00000000
N/A
750000.00000000
NS
USD
734309.27000000
0.012304574886
Long
DBT
CORP
BM
N
3
2021-01-31
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#491491 7% 07/15/29
N/A
GINNIE MAE I POOL P#491491 7.00000000
36210F7C4
6228.04000000
NS
USD
7017.01000000
0.000117581690
Long
ABS-MBS
USGSE
US
N
2
2029-07-15
Fixed
7.00000000
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
13687000.00000000
NS
USD
14971699.19000000
0.250875756833
Long
DBT
CORP
IT
Y
2
2049-09-23
Fixed
4.70000000
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
1392359.90000000
0.023331309243
Long
DBT
CORP
IE
N
2
2021-03-15
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#592643 6% 04/15/33
N/A
GINNIE MAE I POOL P#592643 6.00000000
36201TLY1
5518.40000000
NS
USD
6130.21000000
0.000102721879
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
6.00000000
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
430.30000000
NS
USD
432.00000000
0.000007238879
Long
ABS-MBS
USGSE
US
N
2
2021-08-15
Fixed
8.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH 5.55% 01/23/49
N/A
ANHEUSER-BUSCH INBEV WOR REGD 5.55000000
03523TBV9
34865000.00000000
NS
USD
46481644.60000000
0.778877375234
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
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
14151.28000000
NS
USD
15235.36000000
0.000255293832
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA P#735040 6% 11/1/34_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #735040_ 6.00000000
31402QS51
6561.09000000
NS
USD
7658.00000000
0.000128322545
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
RACEP 2013-8A DR V/R 02/20/30
N/A
RACE POINT VIII CLO LTD SER 2013-8A CL DR2 V/R REGD 144A P/P 3.87663000
74982LBE9
4000000.00000000
NS
USD
3738548.00000000
0.062645598676
Long
ABS-CBDO
CORP
KY
Y
2
2030-02-20
Variable
3.87663000
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
2000.00000000
NS
USD
66685.40000000
0.001117424948
Long
DBT
CORP
BM
N
3
2022-03-01
Fixed
0.00000000
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
20400.19000000
NS
USD
23799.44000000
0.000398799257
Long
ABS-MBS
USGSE
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA P#625146 6% 2/1/32
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #625146 6.00000000
31389GP79
7560.42000000
NS
USD
8784.39000000
0.000147197085
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
6.00000000
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
814319.35000000
0.013645277041
Long
ABS-CBDO
CORP
US
Y
2
2024-04-22
Fixed
3.74000000
N
N
N
N
N
N
UMBS P#BO0655 4% 06/01/49
N/A
FANNIE MAE POOL UMBS P#BO0655 4.00000000
3140JUWR1
251479.68000000
NS
USD
279870.37000000
0.004689694202
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#617250 6% 10/15/36
N/A
GINNIE MAE I POOL P#617250 6.00000000
36290TWK1
63085.14000000
NS
USD
73124.13000000
0.001225316593
Long
ABS-MBS
USGSE
US
N
2
2036-10-15
Fixed
6.00000000
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 1.67263000
54912JAA0
8049867.86000000
NS
USD
7424583.91000000
0.124411269820
Long
ABS-CBDO
CORP
US
Y
2
2024-05-01
Variable
1.67263000
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
2686.72000000
NS
USD
2957.44000000
0.000049556833
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#AD1155 4% 04/01/25
N/A
FANNIE MAE POOL UMBS P#AD1155 4.00000000
31418NH94
123914.16000000
NS
USD
131106.54000000
0.002196908449
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#312960 9% 09/15/21
N/A
GINNIE MAE I POOL P#312960 9.00000000
36223NTR5
25.26000000
NS
USD
25.36000000
0.000000424949
Long
ABS-MBS
USGSE
US
N
2
2021-09-15
Fixed
9.00000000
N
N
N
N
N
N
GNMA P#780896 7% 11/15/28
N/A
GINNIE MAE I POOL P#780896 7.00000000
36225A7H7
9232.66000000
NS
USD
10898.41000000
0.000182621011
Long
ABS-MBS
USGSE
US
N
2
2028-11-15
Fixed
7.00000000
N
N
N
N
N
N
FGLMC P#C01646 6% 09/01/33
N/A
FREDDIE MAC GOLD POOL P#C01646 6.00000000
31292HZK3
58785.36000000
NS
USD
68532.11000000
0.001148369650
Long
ABS-MBS
USGA
US
N
2
2033-09-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#552754 6% 09/15/32
N/A
GINNIE MAE I POOL P#552754 6.00000000
36213FBX0
73565.81000000
NS
USD
81800.04000000
0.001370695916
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.00000000
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
4894157.80000000
0.082009765662
Long
ABS-CBDO
CORP
US
N
2
2049-08-15
Fixed
2.82180000
N
N
N
N
N
N
ENERGY TRANSFER OP 6% 06/15/48
N/A
ENERGY TRANSFER OPERATNG REGD SER 30Y 6.00000000
29278NAE3
4085000.00000000
NS
USD
4236870.46000000
0.070995821500
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
6.00000000
N
N
N
N
N
N
BARCLAYS PLC V/R /PERP/
N/A
BARCLAYS PLC REGD V/R /PERP/ 7.75000000
06738EBA2
6525000.00000000
NS
USD
6631031.25000000
0.111113973258
Long
DBT
CORP
GB
N
2
2168-12-15
Variable
7.75000000
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 3.73550200
81744NAJ9
2182277.11000000
NS
USD
2190414.82000000
0.036704048670
Long
ABS-CBDO
CORP
US
N
2
2042-12-25
Variable
3.73550200
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
2896.03000000
NS
USD
3263.71000000
0.000054688897
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.50000000
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
2685000.00000000
NS
USD
2725275.00000000
0.045666521850
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
4.75000000
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
37581.34000000
NS
USD
37973.84000000
0.000636314938
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
5.72000000
N
N
N
N
N
N
GNMA P#540933 7% 12/15/30
N/A
GINNIE MAE I POOL P#540933 7.00000000
36212Q4S6
32581.05000000
NS
USD
33097.89000000
0.000554610274
Long
ABS-MBS
USGSE
US
N
2
2030-12-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#602212 6% 03/15/33
N/A
GINNIE MAE I POOL P#602212 6.00000000
36200JAM2
64164.22000000
NS
USD
76465.25000000
0.001281302624
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
TEACHERS INSUR 6.85% 12/16/39
N/A
TEACHERS INSUR & ANNUITY REGD P/P 6.85000000
878091BC0
690000.00000000
NS
USD
1037362.33000000
0.017382733672
Long
DBT
CORP
US
Y
2
2039-12-16
Fixed
6.85000000
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 4.72415400
29425AAG8
6052000.00000000
NS
USD
6325946.81000000
0.106001775316
Long
ABS-CBDO
CORP
US
N
2
2058-09-10
Variable
4.72415400
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
2407628.39000000
NS
USD
2717270.32000000
0.045532390104
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
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
28686.04000000
NS
USD
31583.32000000
0.000529231131
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
Fixed
4.50000000
N
N
N
N
N
N
HRPK 2020-1A D V/R 04/20/31
N/A
HARRIMAN PARK CLO LTD SER 2020-1A CL D V/R REGD 144A P/P 3.64000000
413717AJ8
5000000.00000000
NS
USD
4867285.00000000
0.081559467138
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-20
Variable
3.64000000
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
106591.70000000
NS
USD
118007.61000000
0.001977414059
Long
ABS-CBDO
CORP
US
N
2
2028-10-01
Fixed
5.63000000
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
2102806.37000000
NS
USD
2332379.33000000
0.039082900491
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
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
0.003744109362
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
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
1911330.84000000
0.032027531742
Long
ABS-CBDO
CORP
US
Y
2
2024-01-22
Fixed
5.22000000
N
N
N
N
N
N
FREMF 2019-KF64 V/R 06/25/26
N/A
FREMF 2019-KF64 MORTGAGE TRUST SER 2019-KF64 CL B V/R 144A P/P 2.48250000
35709DAG6
5124431.98000000
NS
USD
4854389.79000000
0.081343386417
Long
ABS-CBDO
CORP
US
Y
2
2026-06-25
Variable
2.48250000
N
N
N
N
N
N
JPMMT 2019-9 B1A V/R 12/25/43
N/A
JP MORGAN MORTGAGE TRUST 2019-9 SER 2019-9 CL B1A V/R REGD 144A P/P 3.33027000
46651YBQ2
6527377.92000000
NS
USD
6590021.82000000
0.110426791953
Long
ABS-CBDO
CORP
US
Y
2
2050-05-25
Variable
3.33027000
N
N
N
N
N
N
UMBS P#AU4279 3% 09/01/43
N/A
FANNIE MAE POOL UMBS P#AU4279 3.00000000
3138X3XH0
3342994.51000000
NS
USD
3614361.55000000
0.060564647861
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
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
791858.85000000
NS
USD
881443.90000000
0.014770060680
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
BMW US CAPITAL 4.15% 04/09/30
N/A
BMW US CAPITAL LLC REGD 144A P/P 4.15000000
05565EBL8
5390000.00000000
NS
USD
6198746.27000000
0.103870318403
Long
DBT
CORP
US
Y
2
2030-04-09
Fixed
4.15000000
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
3981007.85000000
0.066708417304
Long
ABS-CBDO
CORP
US
Y
2
2023-12-15
Fixed
4.90000000
N
N
N
N
N
N
CENOVUS ENERGY 6.75% 11/15/39
N/A
CENOVUS ENERGY INC REGD 6.75000000
15135UAF6
16965000.00000000
NS
USD
16518188.72000000
0.276789764746
Long
DBT
CORP
CA
N
2
2039-11-15
Fixed
6.75000000
N
N
N
N
N
N
GNMA II P#MA6340 4% 12/20/49
N/A
GINNIE MAE II POOL P#MA6340 4.00000000
36179VBH2
945116.14000000
NS
USD
1002111.43000000
0.016792046129
Long
ABS-MBS
USGSE
US
N
2
2049-12-20
Fixed
4.00000000
N
N
N
N
N
N
MATTERHORN RE LTD ZCP 12/07/21
N/A
MATTERHORN RE LTD REGD ZCP 144A P/P SER B 0.00000000
577092AK5
2500000.00000000
NS
USD
2156250.00000000
0.036131560206
Long
DBT
CORP
BM
Y
2
2021-12-07
Fixed
0.00000000
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
206685.41000000
NS
USD
249142.59000000
0.004174799068
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
6.50000000
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 3.72613000
00485YAB5
1150000.00000000
NS
USD
1139075.00000000
0.019087098871
Long
DBT
CORP
BM
Y
2
2021-11-10
Variable
3.72613000
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
4237.48000000
NS
USD
4316.28000000
0.000072326460
Long
ABS-MBS
USGSE
US
N
2
2027-02-15
Fixed
7.50000000
N
N
N
N
N
N
UMBS P#AL9717 4% 01/01/47
N/A
FANNIE MAE POOL UMBS P#AL9717 4.00000000
3138ERYP9
8374144.86000000
NS
USD
8944939.64000000
0.149887362385
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#MA2079 4% 11/01/34
N/A
FANNIE MAE POOL UMBS P#MA2079 4.00000000
31418BJZ0
171603.37000000
NS
USD
184736.40000000
0.003095566079
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
4.00000000
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
863731.95000000
NS
USD
918237.69000000
0.015386601915
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
BOEING CO 3.9% 05/01/49
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 3.90000000
097023CK9
14425000.00000000
NS
USD
13253836.85000000
0.222090112050
Long
DBT
CORP
US
N
2
2049-05-01
Fixed
3.90000000
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
8786818.90000000
0.147237786020
Long
ABS-CBDO
CORP
US
Y
2
2036-01-17
Fixed
3.27500000
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
101469.40000000
NS
USD
113906.69000000
0.001908696314
Long
ABS-CBDO
CORP
US
N
2
2028-12-01
Fixed
6.22000000
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 4.98525000
38137WAL9
4390000.00000000
NS
USD
4301120.06000000
0.072072430563
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-20
Variable
4.98525000
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 5.18250000
30292BAE9
2653275.63000000
NS
USD
2335850.73000000
0.039141069580
Long
ABS-CBDO
CORP
US
Y
2
2023-08-25
Variable
5.18250000
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
3912.56000000
NS
USD
4306.80000000
0.000072167607
Long
ABS-MBS
USGSE
US
N
2
2031-10-15
Fixed
6.50000000
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
21159.86000000
NS
USD
21287.70000000
0.000356710870
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
5.72000000
N
N
N
N
N
N
GNMA P#AK0617 4% 11/15/44
N/A
GINNIE MAE I POOL P#AK0617 4.00000000
36183HVJ1
199022.07000000
NS
USD
215067.04000000
0.003603806471
Long
ABS-MBS
USGSE
US
N
2
2044-11-15
Fixed
4.00000000
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
710624.94000000
NS
USD
682199.94000000
0.011431396268
Long
LON
CORP
US
N
2
2023-03-27
Fixed
0.00000000
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
15600000.00000000
NS
USD
15444000.00000000
0.258789943570
Long
DBT
CORP
DK
N
2
2168-09-28
Variable
6.12500000
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
4504125.60000000
0.075474126512
Long
DBT
CORP
US
Y
2
2028-06-15
Fixed
5.12500000
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
2386158.12000000
NS
USD
2685448.76000000
0.044999166864
Long
DBT
CORP
US
Y
2
2033-01-10
Fixed
5.77300000
N
N
N
N
N
N
GNMA P#780584 7% 06/15/27
N/A
GINNIE MAE I POOL P#780584 7.00000000
36225AUH1
9328.08000000
NS
USD
10514.09000000
0.000176181090
Long
ABS-MBS
USGSE
US
N
2
2027-06-15
Fixed
7.00000000
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
587419.71000000
NS
USD
630195.55000000
0.010559976095
Long
ABS-MBS
USGSE
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
MATTERHORN RE LTD V/R 01/08/24
N/A
MATTERHORN RE LTD REGD V/R 144A P/P SER A 5.19325900
577092AD1
1250000.00000000
NS
USD
1234375.00000000
0.020684009103
Long
DBT
CORP
BM
Y
2
2024-01-08
Variable
5.19325900
N
N
N
N
N
N
FGLMC P#Q46616 3% 03/01/47
N/A
FREDDIE MAC GOLD POOL P#Q46616 3.00000000
3132WLK62
687071.11000000
NS
USD
726053.67000000
0.012166238557
Long
ABS-MBS
USGA
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA P#600144 6% 03/15/33
N/A
GINNIE MAE I POOL P#600144 6.00000000
36200FWD6
36848.81000000
NS
USD
42420.75000000
0.000710830322
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#BE9355 3% 03/01/47
N/A
FANNIE MAE POOL UMBS P#BE9355 3.00000000
3140FVMD5
2455396.51000000
NS
USD
2598201.83000000
0.043537199234
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
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
4500000.00000000
NS
USD
4659300.00000000
0.078074332043
Long
ABS-CBDO
CORP
BM
N
3
2023-03-10
Variable
0.00000000
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
3546608.66000000
NS
USD
3746550.50000000
0.062779693892
Long
ABS-MBS
USGSE
US
N
2
2044-09-20
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
823443.21000000
0.013798162512
Long
DBT
CORP
US
N
2
2042-02-15
Fixed
6.10000000
N
N
N
N
N
N
CITIGROUP INC V/R /PERP/
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD V/R /PERP/ SER V 4.70000000
172967MK4
12815000.00000000
NS
USD
11389331.25000000
0.190847215196
Long
DBT
CORP
US
N
2
2168-07-30
Variable
4.70000000
N
N
N
N
N
N
UMBS P#AY9747 4% 07/01/45
N/A
FANNIE MAE POOL UMBS P#AY9747 4.00000000
3138YPZM7
302162.45000000
NS
USD
330118.38000000
0.005531683303
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
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 4.22020900
89172EAJ3
9700000.00000000
NS
USD
10278963.90000000
0.172241160816
Long
ABS-CBDO
CORP
US
Y
2
2055-02-25
Variable
4.22020900
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
29528.53000000
NS
USD
34480.99000000
0.000577786419
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Fixed
5.50000000
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
29200.00000000
0.000489294635
Long
DBT
CORP
BM
N
3
2021-11-30
Variable
0.00000000
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
32810.72000000
NS
USD
37192.82000000
0.000623227647
Long
ABS-MBS
USGSE
US
N
2
2031-05-15
Fixed
6.50000000
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
2001.47000000
NS
USD
2223.43000000
0.000037257273
Long
ABS-MBS
USGSE
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#AB6432 4% 10/01/42
N/A
FANNIE MAE POOL UMBS P#AB6432 4.00000000
31417DEE9
291209.63000000
NS
USD
324532.76000000
0.005438086936
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#BC0960 4% 06/01/46
N/A
FANNIE MAE POOL UMBS P#BC0960 4.00000000
3140EVB63
3301667.51000000
NS
USD
3548903.47000000
0.059467788703
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
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
2578922.61000000
0.043214143791
Long
ABS-CBDO
CORP
US
Y
2
2028-11-25
Variable
4.35330000
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
4375169.23000000
0.073313247743
Long
DBT
CORP
FR
Y
2
2026-04-01
Fixed
4.87500000
N
N
N
N
N
N
VERUS 2020-INV1 V/R 04/25/60
N/A
VERUS SECURITIZATION TRUST 2020-INV1 SER 2020-INV1 CL M1 V/R REGD 144A P/P 5.50000000
92537TAF2
970000.00000000
NS
USD
965928.33000000
0.016185738022
Long
ABS-CBDO
CORP
US
Y
2
2060-04-25
Variable
5.50000000
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
295983.40000000
NS
USD
329176.68000000
0.005515903551
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
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
29484.89000000
NS
USD
32787.48000000
0.000549408838
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
5.50000000
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
113127.81000000
NS
USD
119815.93000000
0.002007715472
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
2.50000000
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
1375402.25000000
0.023047155572
Long
DBT
CORP
US
Y
2
2025-11-01
Fixed
3.80000000
N
N
N
N
N
N
TRUIST FINANCIAL CO V/R /PERP/
N/A
TRUIST FINANCIAL CORP REGD V/R /PERP/ SER Q 5.10000000
89832QAF6
11584000.00000000
NS
USD
11961638.40000000
0.200437174731
Long
DBT
CORP
US
N
2
2169-03-01
Variable
5.10000000
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
19613.98000000
NS
USD
20016.60000000
0.000335411472
Long
DBT
USGA
US
N
2
2022-01-01
Fixed
6.14000000
N
N
N
N
N
N
FNMA P#837535 6% 10/1/35
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #837535 6.00000000
31407QPU4
77921.01000000
NS
USD
86754.32000000
0.001453713129
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.00000000
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
99391.20000000
NS
USD
107078.07000000
0.001794271412
Long
ABS-CBDO
CORP
US
N
2
2029-09-01
Fixed
4.20000000
N
N
N
N
N
N
BRAVO 2020-RPL1 V/R 05/26/59
N/A
BRAVO RESIDENTIAL FUNDING TRUST SER 2020-RPL1 CL A2 V/R REGD 144A P/P 3.00000000
10568YAB4
14250000.00000000
NS
USD
14790230.33000000
0.247834943829
Long
ABS-CBDO
CORP
US
Y
2
2059-05-26
Variable
3.00000000
N
N
N
N
N
N
PFMT 2020-1 A5 V/R 01/25/44
N/A
PROVIDENT FUNDING MORTGAGE TRUST 2020-1 SER 2020-1 CL A5 V/R REGD 144A P/P 3.00000000
743874AJ8
377791.86000000
NS
USD
379454.33000000
0.006358389319
Long
ABS-CBDO
CORP
US
Y
2
2050-02-25
Variable
3.00000000
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 3.03450000
67400CAB4
2457000.00000000
NS
USD
2298332.84000000
0.038512394844
Long
ABS-CBDO
CORP
US
Y
2
2028-07-25
Variable
3.03450000
N
N
N
N
N
N
GNMA P#AG2311 4% 03/15/44
N/A
GINNIE MAE I POOL P#AG2311 4.00000000
36181VR81
7475.48000000
NS
USD
8124.81000000
0.000136144724
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
4.00000000
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
59561.79000000
NS
USD
68419.25000000
0.001146478493
Long
ABS-MBS
USGA
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
GNMA P#583047 6% 09/15/34
N/A
GINNIE MAE I POOL P#583047 6.00000000
36201GWG6
34032.45000000
NS
USD
37920.63000000
0.000635423316
Long
ABS-MBS
USGSE
US
N
2
2034-09-15
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#Q13205 3% 11/01/42
N/A
FREDDIE MAC GOLD POOL P#Q13205 3.00000000
3132HPR22
4901381.30000000
NS
USD
5301216.09000000
0.088830705308
Long
ABS-MBS
USGA
US
N
2
2042-11-01
Fixed
3.00000000
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
2051479.71000000
0.034375959491
Long
ABS-CBDO
CORP
US
Y
2
2027-03-15
Fixed
3.52000000
N
N
N
N
N
N
UMBS P#254148 7% 01/01/32
N/A
FANNIE MAE POOL UMBS P#254148 7.00000000
31371KHZ7
11325.39000000
NS
USD
13476.99000000
0.000225829414
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
7.00000000
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
40532.27000000
NS
USD
47222.87000000
0.000791297841
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
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
0.000382051975
Long
DBT
CORP
BM
N
3
2021-12-31
Variable
0.00000000
N
N
N
N
N
N
N/A
N/A
CDX 2I65BRWE6 05.000 NA 06/20/2025 JP MORGAN FIXED
N/A
1.00000000
NC
USD
-605068.30000000
-0.01013892717
N/A
DCR
US
N
2
JP MORGAN
N/A
CDX.NA.HY.34-V5
CDX.NA.HY.34-V5
Y
2025-06-20
-111663000.00000000
USD
110344756.25000000
USD
111663000.00000000
USD
573596.70000000
N
N
N
UMBS P#AL6310 5% 12/01/44
N/A
FANNIE MAE POOL UMBS P#AL6310 5.00000000
3138EPAL8
6341162.88000000
NS
USD
7274494.10000000
0.121896265063
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
5.00000000
N
N
N
N
N
N
TRPTY RBC DOMIN 0.09% 07/01/20
N/A
TRPTY RBC DOMIN 0.09% 07/01/20 0.09000000
N/A
5080000.00000000
PA
USD
5080000.00000000
0.085123861262
Long
RA
CORP
US
N
2
Repurchase
Y
0.09000000
2020-07-01
4470800.00000000
USD
5181678.43630000
USD
AMBS
N
N
N
T/L SELECT MEDICAL 0% 03/06/25
N/A
T/L SELECT MEDICAL CORPORATION 0.00000000
N/A
1015713.63000000
NS
USD
970006.52000000
0.016254074888
Long
LON
CORP
US
N
2
2025-03-06
Fixed
0.00000000
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
1445986.00000000
0.024229903868
Long
DBT
CORP
BM
Y
3
2024-03-01
Fixed
0.00000000
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
267386.20000000
NS
USD
283193.85000000
0.004745384645
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
DRSLF 2020-78A E V/R 04/17/33
N/A
DRYDEN 78 CLO LTD SER 2020-78A CL E V/R REGD 144A P/P 7.86700000
26253JAA5
4200000.00000000
NS
USD
3818115.00000000
0.063978876288
Long
ABS-CBDO
CORP
KY
Y
2
2033-04-17
Variable
7.86700000
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
0.001628747896
Long
DBT
CORP
BM
N
3
2020-11-30
Variable
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
3736979.44000000
NS
USD
4073459.50000000
0.068257598688
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
ISTAR INC 4.25% 08/01/25
N/A
ISTAR INC REGD 4.25000000
45031UCG4
8700000.00000000
NS
USD
7873500.00000000
0.131933606624
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.25000000
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
898.96000000
NS
USD
912.45000000
0.000015289619
Long
ABS-MBS
USGSE
US
N
2
2024-06-15
Fixed
7.50000000
N
N
N
N
N
N
ESSENTIAL UTIL 3.351% 04/15/50
N/A
ESSENTIAL UTILITIES INC REGD 3.35100000
29670GAE2
3105000.00000000
NS
USD
3236865.84000000
0.054239078482
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.35100000
N
N
N
N
N
N
TPMT 2018-5 M1 V/R 07/25/58
N/A
TOWD POINT MORTGAGE TRUST 2018-5 SER 2018-5 CL M1 V/R REGD 144A P/P 2.85706000
89176VAC6
3577340.00000000
NS
USD
3585961.39000000
0.060088755877
Long
ABS-CBDO
CORP
US
Y
2
2058-07-25
Variable
2.85706000
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
783630.73000000
NS
USD
847549.27000000
0.014202099699
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AT5988 3% 05/01/43
N/A
FANNIE MAE POOL UMBS P#AT5988 3.00000000
3138WTUN4
6673151.27000000
NS
USD
7148724.61000000
0.119788787776
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#BC1214 4% 07/01/46
N/A
FANNIE MAE POOL UMBS P#BC1214 4.00000000
3140EVK48
4712384.04000000
NS
USD
5063161.37000000
0.084841701970
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.00000000
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
0.00000000
0.000000
Long
DBT
CORP
BM
N
3
2021-08-31
Fixed
0.00000000
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 144A P/P 3.35750000
50346VAA7
1624607.35000000
NS
USD
1754575.94000000
0.029400842301
Long
ABS-CBDO
CORP
PA
Y
2
2046-01-15
Fixed
3.35750000
N
N
N
N
N
N
GNMA P#636293 5% 04/15/35
N/A
GINNIE MAE I POOL P#636293 5.00000000
36291R3A8
269416.95000000
NS
USD
308464.56000000
0.005168837482
Long
ABS-MBS
USGSE
US
N
2
2035-04-15
Fixed
5.00000000
N
N
N
N
N
N
JPMMT 2013-2 B1 V/R 04/25/26
N/A
JP MORGAN MORTGAGE TRUST 2013-2 SER 2013-2 CL B1 V/R REGD 144A P/P 3.63243500
46640BAJ3
1620354.81000000
NS
USD
1630252.75000000
0.027317600179
Long
ABS-CBDO
CORP
US
Y
2
2043-05-25
Variable
3.63243500
N
N
N
N
N
N
RMIR 2020-1 M1C V/R 02/25/30
N/A
RADNOR RE 2020-1 LTD SER 2020-1 CL M1C V/R REGD 144A P/P 1.93450000
750493AC2
12000000.00000000
NS
USD
10387324.80000000
0.174056928182
Long
ABS-CBDO
CORP
US
Y
2
2030-02-25
Variable
1.93450000
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
771116.84000000
NS
USD
847009.34000000
0.014193052272
Long
ABS-MBS
USGSE
US
N
2
2041-09-20
Fixed
4.50000000
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 0.85950000
66987XGX7
629947.38000000
NS
USD
628643.45000000
0.010533968075
Long
ABS-CBDO
CORP
US
N
2
2036-01-25
Variable
0.85950000
N
N
N
N
N
N
UMBS P#BH7777 4% 08/01/47
N/A
FANNIE MAE POOL UMBS P#BH7777 4.00000000
3140GWUB7
3060325.09000000
NS
USD
3262171.74000000
0.054663120986
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
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
81362.50000000
0.001363364205
Long
ABS-CBDO
CORP
BM
Y
3
2022-03-22
Fixed
0.00000000
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
6255504.49000000
NS
USD
6628533.36000000
0.111072116951
Long
ABS-MBS
USGSE
US
N
2
2045-01-15
Fixed
3.50000000
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 2.00000000
31739FAB5
10021710.92000000
NS
USD
10725423.43000000
0.179722333865
Long
ABS-CBDO
CORP
US
N
2
2069-03-25
Variable
2.00000000
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
6019.36000000
NS
USD
6225.49000000
0.000104318454
Long
ABS-MBS
USGSE
US
N
2
2031-03-15
Fixed
7.50000000
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 1.58450000
750496AA9
213138.63000000
NS
USD
212604.10000000
0.003562535809
Long
ABS-CBDO
CORP
BM
Y
2
2028-03-25
Variable
1.58450000
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
33371.43000000
NS
USD
38552.40000000
0.000646009674
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.50000000
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
4532521.95000000
0.075949954653
Long
ABS-CBDO
CORP
US
N
2
2048-02-10
Variable
4.03500000
N
N
N
N
N
N
FGLMC P#A35525 6% 06/01/35
N/A
FREDDIE MAC GOLD POOL P#A35525 6.00000000
31297RD61
42601.46000000
NS
USD
47341.32000000
0.000793282668
Long
ABS-MBS
USGA
US
N
2
2035-06-01
Fixed
6.00000000
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
36070.08000000
NS
USD
39704.64000000
0.000665317375
Long
ABS-MBS
USGSE
US
N
2
2032-10-15
Fixed
6.50000000
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
4979972.38000000
0.083447731883
Long
DBT
CORP
US
Y
2
2027-04-01
Fixed
4.20000000
N
N
N
N
N
N
CENTENE CORP 4.25% 12/15/27
N/A
CENTENE CORP REGD SER WI 4.25000000
15135BAR2
1940000.00000000
NS
USD
2001905.40000000
0.033545259356
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
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
23440999.70000000
0.392792993370
Long
ABS-CBDO
CORP
US
Y
2
2057-06-25
Variable
3.25000000
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
1105483.40000000
NS
USD
1204290.47000000
0.020179892694
Long
ABS-MBS
USGSE
US
N
2
2044-10-20
Fixed
4.00000000
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
4259137.50000000
NS
USD
4216290.58000000
0.070650971333
Long
ABS-CBDO
CORP
US
Y
2
2048-06-20
Fixed
4.95900000
N
N
N
N
N
N
GNMA P#462835 7% 07/15/28
N/A
GINNIE MAE I POOL P#462835 7.00000000
36208WEG4
9564.61000000
NS
USD
10745.41000000
0.000180057242
Long
ABS-MBS
USGSE
US
N
2
2028-07-15
Fixed
7.00000000
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
758069.11000000
NS
USD
738801.27000000
0.012379845828
Long
LON
CORP
CA
N
2
2025-05-30
Fixed
0.00000000
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 2.33475000
12653VAJ5
8375000.00000000
NS
USD
7997674.43000000
0.134014356024
Long
ABS-CBDO
CORP
US
Y
2
2036-05-15
Variable
2.33475000
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
186307.40000000
NS
USD
213585.37000000
0.003578978622
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.50000000
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
4904204.85000000
NS
USD
4640525.86000000
0.077759740057
Long
ABS-CBDO
CORP
US
Y
2
2038-04-09
Fixed
4.93000000
N
N
N
N
N
N
SOCIETE GENERALE V/R /PERP/
N/A
SOCIETE GENERALE REGD V/R /PERP/ 144A P/P 7.37500000
83368JKG4
9051000.00000000
NS
USD
9129743.70000000
0.152984062220
Long
DBT
CORP
FR
Y
2
2169-03-13
Variable
7.37500000
N
N
N
N
N
N
UMBS P#912555 5% 02/01/22
N/A
FANNIE MAE POOL UMBS P#912555 5.00000000
31411NZU4
18250.20000000
NS
USD
19176.19000000
0.000321329003
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
5.00000000
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 2.63450000
20754FAK8
11116069.09000000
NS
USD
10844392.36000000
0.181715856442
Long
ABS-CBDO
CORP
US
Y
2
2031-07-25
Variable
2.63450000
N
N
N
N
N
N
UMBS P#SD8042 5% 12/01/49
N/A
FREDDIE MAC POOL UMBS P#SD8042 5.00000000
3132DV5B7
16954292.78000000
NS
USD
18509313.05000000
0.310154369317
Long
ABS-MBS
USGA
US
N
2
2049-12-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#796217 6% 11/01/34
N/A
FANNIE MAE POOL UMBS P#796217 6.00000000
31405QSE9
74707.41000000
NS
USD
83317.24000000
0.001396119129
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
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
3804.57000000
NS
USD
4377.76000000
0.000073356660
Long
ABS-MBS
USGSE
US
N
2
2029-02-20
Fixed
7.00000000
N
N
N
N
N
N
PFMT 2020-1 B1 V/R 11/25/36
N/A
PROVIDENT FUNDING MORTGAGE TRUST 2020-1 SER 2020-1 CL B1 V/R REGD 144A P/P 3.33965000
743874AW9
4408666.32000000
NS
USD
4407523.15000000
0.073855391561
Long
ABS-CBDO
CORP
US
Y
2
2050-02-25
Variable
3.33965000
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
1095.17000000
NS
USD
1218.78000000
0.000020422688
Long
ABS-MBS
USGA
US
N
2
2031-03-01
Fixed
6.50000000
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
8480.98000000
NS
USD
9729.18000000
0.000163028615
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#780770 6% 04/15/28
N/A
GINNIE MAE I POOL P#780770 6.00000000
36225A2B5
20877.91000000
NS
USD
23760.10000000
0.000398140050
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
6.00000000
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
2904274.81000000
0.048665961810
Long
ABS-CBDO
CORP
US
Y
2
2052-05-15
Fixed
3.00000000
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
1892510.35000000
NS
USD
1996277.39000000
0.033450952674
Long
ABS-MBS
USGSE
US
N
2
2046-08-15
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#AN6704 4% 07/15/45
N/A
GINNIE MAE I POOL P#AN6704 4.00000000
36186PNV2
483459.66000000
NS
USD
523972.99000000
0.008780040178
Long
ABS-MBS
USGSE
US
N
2
2045-07-15
Fixed
4.00000000
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
2542674.90000000
0.042606753036
Long
DBT
MUN
US
N
2
2032-05-15
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#G12432 5% 12/01/21
N/A
FREDDIE MAC GOLD POOL P#G12432 5.00000000
3128M1SV2
1389.25000000
NS
USD
1460.05000000
0.000024465569
Long
ABS-MBS
USGA
US
N
2
2021-12-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#790912 6% 09/01/34
N/A
FANNIE MAE POOL UMBS P#790912 6.00000000
31405JVD3
60954.98000000
NS
USD
68130.42000000
0.001141638665
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
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 11.43450000
35564MBE4
3165000.00000000
NS
USD
3055823.01000000
0.051205404320
Long
ABS-CBDO
CORP
US
Y
2
2049-04-25
Variable
11.43450000
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 1.93450000
07876RAB2
4530000.00000000
NS
USD
4217176.32000000
0.070665813382
Long
ABS-CBDO
CORP
BM
Y
2
2029-03-25
Variable
1.93450000
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
4501296.18000000
NS
USD
4541880.32000000
0.076106769730
Long
ABS-CBDO
CORP
US
Y
2
2058-10-25
Variable
4.00000000
N
N
N
N
N
N
FNMA P#562049 7% 12/1/30__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #562049__ 7.00000000
31386FL60
4147.01000000
NS
USD
4651.42000000
0.000077942289
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.00000000
N
N
N
N
N
N
GNMA P#776188 4% 11/15/41
N/A
GINNIE MAE I POOL P#776188 4.00000000
36176UCZ6
2897.16000000
NS
USD
3068.54000000
0.000051418498
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
4.00000000
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
1688912.60000000
0.028300543670
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
4.95000000
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
559388.67000000
NS
USD
546336.45000000
0.009154777199
Long
LON
CORP
US
N
2
2023-11-07
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AS8491 3% 01/01/47
N/A
FANNIE MAE POOL UMBS P#AS8491 3.00000000
3138WJNH7
6162614.71000000
NS
USD
6718993.38000000
0.112587925256
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
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 1.98450000
23341BAA3
569293.59000000
NS
USD
573322.48000000
0.009606973079
Long
ABS-CBDO
CORP
US
Y
2
2040-06-25
Variable
1.98450000
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
3579616.22000000
0.059982431985
Long
ABS-CBDO
CORP
US
N
2
2047-03-10
Variable
4.80500000
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
29072.84000000
NS
USD
33240.74000000
0.000557003964
Long
ABS-MBS
USGSE
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
ARTEX SAC LTD V/R 03/31/21
N/A
ARTEX SAC LTD BANTRY RE 2017 REGD V/R /BNR4B8Q53/ 0.00000000
N/A
1500000.00000000
NS
USD
354150.00000000
0.005934373123
Long
DBT
CORP
BM
N
3
2021-03-31
Variable
0.00000000
N
N
N
N
N
N
GENERAL ELECTRI 4.35% 05/01/50
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO REGD 4.35000000
369604BY8
5640000.00000000
NS
USD
5577985.21000000
0.093468432901
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.35000000
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
187226.43000000
NS
USD
198300.61000000
0.003322857010
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
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
12082026.25000000
0.202454473676
Long
DBT
CORP
CH
N
2
2168-07-29
Variable
7.12500000
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
359292.37000000
NS
USD
390548.83000000
0.006544296145
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.50000000
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
11754.06000000
NS
USD
13714.63000000
0.000229811468
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
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
1740714.94000000
0.029168578159
Long
ABS-CBDO
CORP
US
Y
2
2023-01-20
Fixed
4.27000000
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
15691203.74000000
0.262932253977
Long
ABS-CBDO
CORP
US
Y
2
2058-05-25
Variable
3.87500000
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
7416.87000000
NS
USD
8924.43000000
0.000149543689
Long
ABS-MBS
USGSE
US
N
2
2030-05-20
Fixed
7.50000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 12/01/23
N/A
SECTOR RE V LTD REGD ZCP 144A P/P SER D 0.00000000
81369ACS9
240014.00000000
NS
USD
146548.23000000
0.002455659684
Long
DBT
CORP
BM
Y
3
2023-12-01
Fixed
0.00000000
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
1846759.14000000
NS
USD
2055586.34000000
0.034444772917
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
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
7474811.28000000
0.125252913063
Long
ABS-CBDO
CORP
US
Y
2
2026-08-15
Fixed
3.83000000
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
52409.87000000
NS
USD
59575.37000000
0.000998284553
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
TRUIST BANK 2.25% 03/11/30
N/A
TRUIST BANK REGD SER BKNT 2.25000000
89788KAA4
3133000.00000000
NS
USD
3162324.50000000
0.052990014174
Long
DBT
CORP
US
N
2
2030-03-11
Fixed
2.25000000
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
2246.98000000
NS
USD
2554.70000000
0.000042808253
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
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
50279.63000000
NS
USD
55950.24000000
0.000937539462
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
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 2.63450000
35564LAH0
5329963.99000000
NS
USD
5253457.69000000
0.088030433770
Long
ABS-CBDO
CORP
US
Y
2
2049-03-25
Variable
2.63450000
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
4808074.90000000
0.080567303292
Long
DBT
CORP
BM
N
3
2023-07-01
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#AJ1849 4% 10/15/44
N/A
GINNIE MAE I POOL P#AJ1849 4.00000000
36182WBS1
32349.78000000
NS
USD
34258.18000000
0.000574052866
Long
ABS-MBS
USGSE
US
N
2
2044-10-15
Fixed
4.00000000
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
3060788.75000000
0.051288613564
Long
DBT
CORP
GB
Y
2
2027-04-10
Fixed
4.75000000
N
N
N
N
N
N
UMBS P#BH1658 4% 04/01/47
N/A
FANNIE MAE POOL UMBS P#BH1658 4.00000000
3140GPZY7
2071434.37000000
NS
USD
2208671.10000000
0.037009963049
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#778693 4% 12/15/41
N/A
GINNIE MAE I POOL P#778693 4.00000000
36176W3A7
4263.39000000
NS
USD
4609.04000000
0.000077232142
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Fixed
4.00000000
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
6520.87000000
NS
USD
6588.55000000
0.000110402129
Long
ABS-MBS
USGSE
US
N
2
2025-08-15
Fixed
7.50000000
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 1.63475000
46185HAG7
4730000.00000000
NS
USD
4581866.81000000
0.076776809972
Long
ABS-CBDO
CORP
US
Y
2
2037-06-17
Variable
1.63475000
N
N
N
N
N
N
RBIT 2020-1 M4 V/R 12/25/22
N/A
RMF BUYOUT ISSUANCE TRUST 2020-1 SER 2020-1 CL M4 V/R REGD 144A P/P 4.19120000
74968QAE7
1590000.00000000
NS
USD
1528053.60000000
0.025605083198
Long
ABS-CBDO
CORP
US
Y
2
2030-02-25
Variable
4.19120000
N
N
N
N
N
N
JPMMT 2020-4 A3 V/R 11/25/50
N/A
JP MORGAN MORTGAGE TRUST SER 2020-4 CL A3 V/R REGD 144A P/P 3.00000000
46652FAC4
4100000.00000000
NS
USD
4221398.54000000
0.070736563711
Long
ABS-CBDO
CORP
US
Y
2
2050-11-25
Variable
3.00000000
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 1.53450000
07877DAB2
2679903.32000000
NS
USD
2663713.22000000
0.044634951689
Long
ABS-CBDO
CORP
BM
Y
2
2028-08-25
Variable
1.53450000
N
N
N
N
N
N
DRMT 2020-2 M1 V/R 07/25/24
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2 SER 2020-2 CL M1 V/R REGD 144A P/P 4.11200000
24380NAD1
1450000.00000000
NS
USD
1452748.19000000
0.024343215625
Long
ABS-CBDO
CORP
US
Y
2
2065-05-25
Variable
4.11200000
N
N
N
N
N
N
COOPERATIEVE RA 3.95% 11/09/22
N/A
COOPERATIEVE RABOBANK UA REGD 3.95000000
21685WDF1
7175000.00000000
NS
USD
7591295.65000000
0.127204802699
Long
DBT
CORP
NL
N
2
2022-11-09
Fixed
3.95000000
N
N
N
N
N
N
FSMT 2020-1INV A V/R 03/25/50
N/A
FLAGSTAR MORTGAGE TRUST 2020-1NV SER 2020-1INV CL A3 V/R REGD 144A P/P 3.00000000
33851YAC0
5653761.23000000
NS
USD
5809913.59000000
0.097354779209
Long
ABS-CBDO
CORP
US
Y
2
2050-03-25
Variable
3.00000000
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
1416560.47000000
0.023736830102
Long
ABS-CBDO
CORP
US
Y
2
2052-04-17
Fixed
4.11000000
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
43600.00000000
0.000730590620
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
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
457079.47000000
NS
USD
435139.66000000
0.007291489773
Long
LON
CORP
US
N
2
2023-11-03
Fixed
0.00000000
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
4163729.54000000
0.069770223562
Long
ABS-CBDO
CORP
US
N
2
2057-09-15
Fixed
3.61700000
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
27871.30000000
NS
USD
30625.17000000
0.000513175732
Long
ABS-MBS
USGSE
US
N
2
2035-06-15
Fixed
5.50000000
N
N
N
N
N
N
PANGAEA RE SERIES 0% 2/28/21
N/A
PANGAEA RE SERIES 2015-1 PRINCIPAL-AT-RISK NOTES /BNR1F68C4/ 0.00000000
N/A
3600000.00000000
NS
USD
4709.45000000
0.000078914678
Long
DBT
CORP
BM
N
3
2021-02-28
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#571750 7% 09/15/31
N/A
GINNIE MAE I POOL P#571750 7.00000000
36200TEX2
9470.80000000
NS
USD
9955.51000000
0.000166821151
Long
ABS-MBS
USGSE
US
N
2
2031-09-15
Fixed
7.00000000
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
32625.76000000
NS
USD
38116.29000000
0.000638701925
Long
ABS-MBS
USGSE
US
N
2
2029-05-15
Fixed
6.50000000
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
99505.60000000
NS
USD
110732.17000000
0.001855501944
Long
ABS-MBS
USGA
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
MATTERHORN RE LTD V/R 12/07/21
N/A
MATTERHORN RE LTD REGD V/R 144A P/P 7.10677700
577092AF6
250000.00000000
NS
USD
250275.00000000
0.004193774483
Long
DBT
CORP
BM
Y
2
2021-12-07
Variable
7.10677700
N
N
N
N
N
N
UMBS P#AL6952 3% 06/01/45
N/A
FANNIE MAE POOL UMBS P#AL6952 3.00000000
3138EPWN0
5359931.54000000
NS
USD
5826886.10000000
0.097639181883
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.00000000
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 3.00000000
81745AAB3
12145250.64000000
NS
USD
12628795.58000000
0.211616504501
Long
ABS-CBDO
CORP
US
Y
2
2043-05-25
Variable
3.00000000
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
6126783.60000000
0.102664464006
Long
ABS-CBDO
CORP
US
Y
2
2024-12-16
Fixed
3.87000000
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
8764.34000000
NS
USD
9883.93000000
0.000165621709
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
LEVEN RE 2020 0% 1/31/21
N/A
LEVEN RE 2020 ZCP REGD /XILS00181660/ 0.00000000
N/A
3000000.00000000
NS
USD
2964548.25000000
0.049675943688
Long
DBT
CORP
BM
N
3
2021-01-31
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AY0767 3% 03/01/45
N/A
FANNIE MAE POOL UMBS P#AY0767 3.00000000
3138YDZ93
631706.78000000
NS
USD
682793.71000000
0.011441345874
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.00000000
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
3936933.00000000
0.065969869781
Long
DBT
CORP
US
Y
2
2027-11-01
Fixed
5.12500000
N
N
N
N
N
N
FWD 2019-INV1 M1 V/R 06/25/49
N/A
FWDSECURITIZATION TRUST 2019-INV1 SER 2019-INV1 CL M1 V/R REGD 3.48000000
302980AD9
2150000.00000000
NS
USD
2015336.26000000
0.033770315786
Long
ABS-CBDO
CORP
US
Y
2
2049-06-25
Variable
3.48000000
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
70585.40000000
NS
USD
79219.61000000
0.001327456513
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Fixed
5.50000000
N
N
N
N
N
N
TRPTY TORONTO D 0.09% 07/01/20
N/A
TRPTY TORONTO D 0.09% 07/01/20 0.09000000
N/A
17290000.00000000
PA
USD
17290000.00000000
0.289722748273
Long
RA
CORP
US
N
2
Repurchase
Y
0.09000000
2020-07-01
38534882.00000000
USD
17635800.21774960
USD
AMBS
N
N
N
GNMA P#770525 4.5% 08/15/41
N/A
GINNIE MAE I POOL P#770525 4.50000000
36176MYW7
405712.08000000
NS
USD
447054.31000000
0.007491139578
Long
ABS-MBS
USGSE
US
N
2
2041-08-15
Fixed
4.50000000
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
72782.26000000
NS
USD
78783.66000000
0.001320151445
Long
ABS-MBS
USGSE
US
N
2
2033-01-20
Fixed
6.45000000
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
10747.21000000
NS
USD
12526.76000000
0.000209906728
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
F/C US 10YR ULTRA FUT SEP20
N/A
FUTURE CONTRACT ON US 10YR ULTRA FUT SEP20 0.00000000
N/A
-4037.00000000
NC
USD
-635764421.88000000
-10.6532918196
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Short
F/C US 10YR ULTRA FUT SEP20
US 10YR ULTRA FUT SEP20
2020-09-21
632289687.51000000
USD
-3474734.37000000
N
N
N
FGLMC P#G18077 4.5% 10/01/20
N/A
FREDDIE MAC GOLD POOL P#G18077 4.50000000
3128MMCP6
4810.62000000
NS
USD
5066.20000000
0.000084892619
Long
ABS-MBS
USGA
US
N
2
2020-10-01
Fixed
4.50000000
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
6247218.01000000
0.104682543141
Long
ABS-CBDO
CORP
US
Y
2
2034-12-17
Fixed
4.14200000
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
284573.82000000
NS
USD
295428.83000000
0.004950402113
Long
ABS-CBDO
CORP
US
Y
2
2048-12-15
Fixed
3.82000000
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
2271359.42000000
NS
USD
2490009.95000000
0.041724264080
Long
ABS-MBS
USGSE
US
N
2
2044-11-20
Fixed
4.50000000
N
N
N
N
N
N
US TIPS 0.875% 02/15/47
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.87500000
912810RW0
39800291.70000000
NS
USD
50699718.99000000
0.849558237275
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.87500000
N
N
N
N
N
N
GSMBS 2020-PJ1 B V/R 04/25/43
N/A
GS MORTAGE-BACKED SECURITIES TRUST 2020-PJ1 SER 2020-PJ1 CL B2 V/R REGD 144A P/P 3.67546000
36258FAS8
3965624.62000000
NS
USD
3805417.35000000
0.063766106013
Long
ABS-CBDO
CORP
US
Y
2
2050-05-25
Variable
3.67546000
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
7599102.59000000
0.127335620982
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.12500000
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
4338926.53000000
NS
USD
4618207.61000000
0.077385760605
Long
ABS-CBDO
CORP
US
N
2
2046-09-15
Fixed
4.13600000
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
6810.98000000
NS
USD
6895.15000000
0.000115539722
Long
ABS-MBS
USGSE
US
N
2
2029-08-15
Fixed
7.50000000
N
N
N
N
N
N
TPMT 2015-2 1B3 V/R 10/25/31
N/A
TOWD POINT MORTGAGE TRUST 2015-2 SER 2015-2 CL 1B3 V/R REGD 144A P/P 3.74525900
89171YAG6
12500000.00000000
NS
USD
12088096.25000000
0.202556186636
Long
ABS-CBDO
CORP
US
Y
2
2060-11-25
Variable
3.74525900
N
N
N
N
N
N
UMBS P#BH3875 4% 07/01/47
N/A
FANNIE MAE POOL UMBS P#BH3875 4.00000000
3140GSJV5
1881868.50000000
NS
USD
2002294.65000000
0.033551781888
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
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 2.53450000
35563MAH9
2842109.69000000
NS
USD
2781511.65000000
0.046608860589
Long
ABS-CBDO
CORP
US
Y
2
2049-02-25
Variable
2.53450000
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
10922573.75000000
0.183025915851
Long
DBT
CORP
GB
N
2
2168-09-30
Variable
8.62500000
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
7492.06000000
NS
USD
7873.40000000
0.000131931930
Long
ABS-MBS
USGSE
US
N
2
2024-01-20
Fixed
6.50000000
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
4388547.49000000
NS
USD
5724278.50000000
0.095919820642
Long
DBT
CORP
US
Y
2
2031-07-10
Fixed
8.35300000
N
N
N
N
N
N
GNMA P#584164 6% 12/15/32
N/A
GINNIE MAE I POOL P#584164 6.00000000
36201H5Z2
233371.27000000
NS
USD
261919.82000000
0.004388902838
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
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
1764514.65000000
0.029567381941
Long
ABS-CBDO
CORP
US
Y
2
2032-05-10
Fixed
3.77000000
N
N
N
N
N
N
HSBC HOLDINGS PLC V/R 05/18/24
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 1.38563000
404280BR9
2400000.00000000
NS
USD
2380599.82000000
0.039890915118
Long
DBT
CORP
GB
N
2
2024-05-18
Variable
1.38563000
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
121618.52000000
NS
USD
135578.09000000
0.002271836717
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
4.50000000
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
449728.97000000
NS
USD
499000.75000000
0.008361588703
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#605367 6% 09/15/34
N/A
GINNIE MAE I POOL P#605367 6.00000000
36200NQU8
15667.84000000
NS
USD
17729.90000000
0.000297094005
Long
ABS-MBS
USGSE
US
N
2
2034-09-15
Fixed
6.00000000
N
N
N
N
N
N
UDR INC 4.4% 01/26/29
N/A
UDR INC REGD MTN 4.40000000
90265EAP5
5300000.00000000
NS
USD
6181060.23000000
0.103573959345
Long
DBT
CORP
US
N
2
2029-01-26
Fixed
4.40000000
N
N
N
N
N
N
FGLMC P#G07362 4% 10/01/42
N/A
FREDDIE MAC GOLD POOL P#G07362 4.00000000
3128M9QP0
2646717.91000000
NS
USD
2897433.16000000
0.048551318568
Long
ABS-MBS
USGA
US
N
2
2042-10-01
Fixed
4.00000000
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
7060366.56000000
NS
USD
7193590.03000000
0.120540582616
Long
ABS-CBDO
CORP
US
Y
2
2058-11-25
Variable
3.00000000
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
8856106.28000000
0.148398811477
Long
ABS-CBDO
CORP
US
Y
2
2024-08-15
Fixed
3.59000000
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
499828.68000000
NS
USD
552035.65000000
0.009250276787
Long
ABS-MBS
USGSE
US
N
2
2041-06-15
Fixed
4.50000000
N
N
N
N
N
N
GNMA II P#MA6412 4.5% 01/20/50
N/A
GINNIE MAE II POOL P#MA6412 4.50000000
36179VDR8
23618068.11000000
NS
USD
25249078.04000000
0.423090357497
Long
ABS-MBS
USGSE
US
N
2
2050-01-20
Fixed
4.50000000
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
14107.56000000
NS
USD
15041.25000000
0.000252041196
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Fixed
7.50000000
N
N
N
N
N
N
GNMA P#588138 6% 12/15/32
N/A
GINNIE MAE I POOL P#588138 6.00000000
36201NLT5
7086.87000000
NS
USD
8048.85000000
0.000134871887
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#551655 7% 09/15/31
N/A
GINNIE MAE I POOL P#551655 7.00000000
36213DZU5
25592.08000000
NS
USD
29457.51000000
0.000493609644
Long
ABS-MBS
USGSE
US
N
2
2031-09-15
Fixed
7.00000000
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
8184612.34000000
NS
USD
8645607.36000000
0.144871551465
Long
ABS-CBDO
CORP
US
Y
2
2066-04-25
Variable
3.50000000
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
11944182.56000000
0.200144673057
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
MATTERHORN RE LTD ZCP 12/07/20
N/A
MATTERHORN RE LTD REGD ZCP 144A P/P SER . 0.00000000
577092AH2
400000.00000000
PA
USD
364400.00000000
0.006106128945
Long
DBT
CORP
BM
Y
2
2020-12-07
Fixed
0.00000000
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
584985.60000000
NS
USD
398338.92000000
0.006674832079
Long
LON
CORP
US
N
2
2023-10-24
Fixed
0.00000000
N
N
N
N
N
N
EDEN RE II LTD ZCP 03/22/24
N/A
EDEN RE II LTD REGD ZCP 144A P/P SER A 0.00000000
27954QAG6
2600000.00000000
NS
USD
2700620.00000000
0.045253386260
Long
DBT
CORP
BM
Y
3
2024-03-22
Fixed
0.00000000
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
875336.97000000
NS
USD
802848.56000000
0.013453064849
Long
LON
CORP
US
N
2
2023-11-08
Fixed
0.00000000
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
3576625.00000000
0.059932309111
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.87500000
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
1385976.92000000
NS
USD
1335776.56000000
0.022383161136
Long
ABS-CBDO
CORP
US
Y
2
2033-06-15
Fixed
3.41000000
N
N
N
N
N
N
FGLMC P#A55379 6% 12/01/36
N/A
FREDDIE MAC GOLD POOL P#A55379 6.00000000
3128KH6Q4
13003.02000000
NS
USD
14637.77000000
0.000245280217
Long
ABS-MBS
USGA
US
N
2
2036-12-01
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
36664.04000000
NS
USD
37170.48000000
0.000622853303
Long
ABS-MBS
USGSE
US
N
2
2031-01-15
Fixed
7.00000000
N
N
N
N
N
N
UMBS P#AS7803 4% 08/01/46
N/A
FANNIE MAE POOL UMBS P#AS7803 4.00000000
3138WHU59
2725372.92000000
NS
USD
2926889.64000000
0.049044910954
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
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
6692794.15000000
0.112148913520
Long
ABS-CBDO
CORP
US
Y
2
2049-03-25
Variable
4.06500000
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
3584919.61000000
NS
USD
3803989.28000000
0.063742176321
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
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
1186.22000000
NS
USD
1397.17000000
0.000023411910
Long
ABS-MBS
USGSE
US
N
2
2030-12-20
Fixed
7.00000000
N
N
N
N
N
N
FNCL 30YR TBA 4% JULY 20
N/A
FNCL 30YR TBA 4% JULY 20 TO BE ANNOUNCED 4.00000000
01F040677
23300000.00000000
NS
USD
24691173.80000000
0.413741742709
Long
ABS-MBS
USGA
US
N
2
2050-07-01
Fixed
4.00000000
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
3081637.56000000
0.051637970102
Long
DBT
CORP
BM
N
3
2021-07-31
Fixed
0.00000000
N
N
N
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
93903.05000000
0.001573502007
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
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
2103235.18000000
NS
USD
2276789.14000000
0.038151394267
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#597742 6% 12/15/32
N/A
GINNIE MAE I POOL P#597742 6.00000000
36200DBK8
150094.82000000
NS
USD
167515.33000000
0.002806998368
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
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
3804284.31000000
0.063747120040
Long
ABS-CBDO
CORP
US
Y
2
2025-03-20
Fixed
2.80000000
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
3979625.00000000
0.066685245349
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
4.62500000
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
11134.31000000
NS
USD
12256.24000000
0.000205373715
Long
ABS-MBS
USGSE
US
N
2
2031-07-15
Fixed
6.50000000
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
116527.95000000
0.001952619891
Long
ABS-CBDO
CORP
BM
Y
3
2022-03-22
Fixed
0.00000000
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
6869393.11000000
NS
USD
7494243.41000000
0.125578530767
Long
ABS-MBS
USGA
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#605654 6% 08/15/34
N/A
GINNIE MAE I POOL P#605654 6.00000000
36200NZT1
21878.01000000
NS
USD
26065.03000000
0.000436762991
Long
ABS-MBS
USGSE
US
N
2
2034-08-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#442340 7% 04/15/28
N/A
GINNIE MAE I POOL P#442340 7.00000000
36207ULV8
4117.48000000
NS
USD
4133.50000000
0.000069263677
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
7.00000000
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
9162796.73000000
NS
USD
10171903.96000000
0.170447193202
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
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
185928.10000000
NS
USD
196921.02000000
0.003299739682
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
2.50000000
N
N
N
N
N
N
T/L FILTRATION GRO 0% 03/29/25
N/A
T/L FILTRATION GROUP CORPORATION REGD 0.00000000
31732FAM8
475209.45000000
NS
USD
457983.11000000
0.007674269826
Long
LON
CORP
US
N
2
2025-03-29
Fixed
0.00000000
N
N
N
N
N
N
MCMLT 2018-1 M2 V/R 05/25/62
N/A
MILL CITY MORTGAGE LOAN TRUST 2018-1 SER 2018-1 CL M2 V/R REGD 144A P/P 3.25000000
59980VAG6
7107000.00000000
NS
USD
7068867.39000000
0.118450647045
Long
ABS-CBDO
CORP
US
Y
2
2062-05-25
Variable
3.25000000
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
1711292.53000000
NS
USD
1659986.10000000
0.027815831983
Long
ABS-CBDO
CORP
US
Y
2
2024-08-15
Fixed
4.17200000
N
N
N
N
N
N
SBA TOWER TRUS 3.869% 10/08/24
N/A
SBA TOWER TRUST REGD P/P 3.86900000
78403DAH3
6975000.00000000
NS
USD
7365826.69000000
0.123426694733
Long
DBT
CORP
US
Y
2
2049-10-15
Fixed
3.86900000
N
N
N
N
N
N
T/L MULTIPLAN INC 0% 06/07/23
N/A
T/L MULTIPLAN INC REGD 0.00000000
55328HAE1
420807.43000000
NS
USD
400205.54000000
0.006706110406
Long
LON
CORP
US
N
2
2023-06-07
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#BC9562 4% 11/01/46
N/A
FANNIE MAE POOL UMBS P#BC9562 4.00000000
3140F5TU7
1116888.79000000
NS
USD
1194802.05000000
0.020020898413
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
CRH AMERICA IN 3.875% 05/18/25
N/A
CRH AMERICA INC REGD P/P 3.87500000
12626PAM5
11000000.00000000
NS
USD
12132502.58000000
0.203300288659
Long
DBT
CORP
US
Y
2
2025-05-18
Fixed
3.87500000
N
N
N
N
N
N
EXPEDIA GROUP IN 3.8% 02/15/28
N/A
EXPEDIA GROUP INC REGD SER WI 3.80000000
30212PAP0
4125000.00000000
NS
USD
3951040.50000000
0.066206264441
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
GNMA P#781324 7% 07/15/31
N/A
GINNIE MAE I POOL P#781324 7.00000000
36225BPH5
1889.83000000
NS
USD
2261.81000000
0.000037900393
Long
ABS-MBS
USGSE
US
N
2
2031-07-15
Fixed
7.00000000
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 4.72437100
12636LBE9
7120000.00000000
NS
USD
6451158.59000000
0.108099907243
Long
ABS-CBDO
CORP
US
N
2
2048-11-15
Variable
4.72437100
N
N
N
N
N
N
GNMA P#589537 6% 11/15/32
N/A
GINNIE MAE I POOL P#589537 6.00000000
36201P4W2
5288.22000000
NS
USD
5889.10000000
0.000098681679
Long
ABS-MBS
USGSE
US
N
2
2032-11-15
Fixed
6.00000000
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
528.79000000
NS
USD
579.47000000
0.000009709985
Long
ABS-MBS
USGSE
US
N
2
2029-04-15
Fixed
5.72000000
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
5930415.10000000
NS
USD
6369594.54000000
0.106733165732
Long
ABS-MBS
USGA
US
N
2
2049-07-01
Fixed
4.50000000
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
413319.19000000
NS
USD
451797.48000000
0.007570619292
Long
ABS-MBS
USGA
US
N
2
2044-09-01
Fixed
3.50000000
N
N
N
N
N
N
BMARK 2020-IG3 B V/R 04/15/30
N/A
BENCHMARK 2020-IG3 MORTGAGE TRUST SER 2020-IG3 CL B V/R REGD 144A P/P 3.38741600
08162QAN9
2850000.00000000
NS
USD
2918561.31000000
0.048905355913
Long
ABS-CBDO
CORP
US
Y
2
2048-09-15
Variable
3.38741600
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
4787137.36000000
NS
USD
5089948.07000000
0.085290557745
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
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
406066.12000000
NS
USD
434627.83000000
0.007282913209
Long
ABS-MBS
USGSE
US
N
2
2045-03-20
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#BO0345 4% 11/01/48
N/A
FANNIE MAE POOL UMBS P#BO0345 4.00000000
3140JUL36
355381.77000000
NS
USD
382237.96000000
0.006405033676
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
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
701328.53000000
NS
USD
770172.19000000
0.012905517844
Long
ABS-MBS
USGSE
US
N
2
2044-01-15
Fixed
3.50000000
N
N
N
N
N
N
GSMBS 2020-PJ1 B V/R 04/25/43
N/A
GS MORTAGE-BACKED SECURITIES TRUST 2020-PJ1 SER 2020-PJ1 CL B1 V/R REGD 144A P/P 3.67546000
36258FAR0
3271640.31000000
NS
USD
3386450.35000000
0.056745616095
Long
ABS-CBDO
CORP
US
Y
2
2050-05-25
Variable
3.67546000
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
12893565.91000000
0.216053172382
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.10000000
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 3.21715700
46646RAB9
2000000.00000000
NS
USD
1210854.40000000
0.020289882274
Long
ABS-CBDO
CORP
US
Y
2
2049-12-15
Variable
3.21715700
N
N
N
N
N
N
ESSENTIAL UTIL 3.566% 05/01/29
N/A
ESSENTIAL UTILITIES INC REGD 3.56600000
03836WAB9
3340000.00000000
NS
USD
3708240.11000000
0.062137739498
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
3.56600000
N
N
N
N
N
N
PFMT 2019-1 B2 V/R 11/01/36
N/A
PROVIDENT FUNDING MORTGAGE TRUST 2019-1 SER 2019-1 CL B2 V/R REGD 144A P/P 3.32700000
74387LAX9
4169811.84000000
NS
USD
4131761.89000000
0.069234552341
Long
ABS-CBDO
CORP
US
Y
2
2049-12-25
Variable
3.32700000
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
1683254.33000000
NS
USD
1817845.66000000
0.030461031842
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.50000000
N
N
N
N
N
N
T/L AVOLON TLB BO 0% 02/12/27
N/A
T/L AVOLON TLB BORROWER 1 US LLC REGD 0.00000000
05400KAF7
630290.05000000
NS
USD
575927.53000000
0.009650625031
Long
LON
CORP
US
N
2
2027-02-12
Fixed
0.00000000
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
1070910.43000000
NS
USD
1073578.71000000
0.017989599441
Long
ABS-CBDO
CORP
US
Y
2
2023-12-20
Fixed
3.41000000
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
19818.27000000
0.000332088123
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
N
N
N
N
N
N
WLAKE 2020-2A 2.76% 01/15/26
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2020-2 SER 2020-2A CL D REGD 144A P/P 2.76000000
96042PAF9
3220000.00000000
NS
USD
3232834.28000000
0.054171522979
Long
ABS-CBDO
CORP
US
Y
2
2026-01-15
Fixed
2.76000000
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
6943161.26000000
0.116344231460
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
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 5.88220800
90323WAK6
2000000.00000000
NS
USD
1950000.00000000
0.032675497925
Long
DBT
CORP
BM
Y
2
2022-12-10
Variable
5.88220800
N
N
N
N
N
N
FNMA P829691 4.00% 09/01/20_
N/A
FANNIE MAE POOL_______________ P#829691___ 4.00000000
31407FXU9
855.66000000
NS
USD
904.24000000
0.000015152047
Long
ABS-MBS
USGSE
US
N
2
2020-09-01
Fixed
4.00000000
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
8622.04000000
NS
USD
9815.78000000
0.000164479743
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Fixed
6.50000000
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
2577298.95000000
0.043186936663
Long
ABS-CBDO
CORP
US
Y
2
2025-03-20
Fixed
4.47000000
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
6679970.08000000
NS
USD
6964814.69000000
0.116707070746
Long
ABS-CBDO
CORP
US
Y
2
2043-09-25
Variable
3.50000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 12/01/24
N/A
SECTOR RE V LTD REGD ZCP 144A P/P SER 9-D 0.00000000
81369ADC3
999986.00000000
NS
USD
996483.12000000
0.016697734420
Long
DBT
CORP
BM
Y
3
2024-12-01
Fixed
0.00000000
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
6301980.44000000
NS
USD
6727379.87000000
0.112728454865
Long
ABS-CBDO
CORP
US
N
2
2047-06-10
Fixed
3.54600000
N
N
N
N
N
N
NOVELIS CORP 4.75% 01/30/30
N/A
NOVELIS CORP REGD 144A P/P 4.75000000
670001AE6
2125000.00000000
NS
USD
2029375.00000000
0.034005558257
Long
DBT
CORP
US
Y
2
2030-01-30
Fixed
4.75000000
N
N
N
N
N
N
OCI NV 5.25% 11/01/24
N/A
OCI NV REGD 144A P/P 5.25000000
67091GAC7
3805000.00000000
NS
USD
3652800.00000000
0.061208748114
Long
DBT
CORP
NL
Y
2
2024-11-01
Fixed
5.25000000
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
2051180.01000000
NS
USD
2220340.60000000
0.037205504958
Long
ABS-MBS
USGA
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
NATIONSTAR MTG HLD 6% 01/15/27
N/A
NATIONSTAR MTG HLD INC REGD 144A P/P 6.00000000
63861CAA7
700000.00000000
NS
USD
665000.00000000
0.011143182625
Long
DBT
CORP
US
Y
2
2027-01-15
Fixed
6.00000000
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
4945289.69000000
NS
USD
4659699.21000000
0.078081021471
Long
LON
CORP
LU
N
2
2024-04-29
Fixed
0.00000000
N
N
N
N
N
N
TPMT 2019-4 M1 V/R 11/25/33
N/A
TOWD POINT MORTGAGE TRUST 2019-4 SER 2019-4 CL M1 V/R REGD 144A P/P 3.50000000
89178BAC8
16250000.00000000
NS
USD
16081489.13000000
0.269472135747
Long
ABS-CBDO
CORP
US
Y
2
2059-10-25
Variable
3.50000000
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
7.54000000
NS
USD
7.67000000
0.000000128523
Long
ABS-MBS
USGSE
US
N
2
2025-05-20
Fixed
8.00000000
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
258835.50000000
NS
USD
271629.32000000
0.004551601683
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
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
2907998.77000000
0.048728362962
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.30000000
N
N
N
N
N
N
T/L USI HOLDINGS 0% 05/16/2024
N/A
T/L USI HOLDINGS CORPORATION REGD 0.00000000
90351NAE5
826625.00000000
NS
USD
786947.00000000
0.013186607726
Long
LON
CORP
US
N
2
2024-05-16
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AH9291 4% 04/01/41
N/A
FANNIE MAE POOL UMBS P#AH9291 4.00000000
3138ABKD0
916812.37000000
NS
USD
1006269.66000000
0.016861724198
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
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 A2 V/R REGD 144A P/P 2.87500000
36257EAB9
5500000.00000000
NS
USD
5393819.75000000
0.090382433872
Long
ABS-CBDO
CORP
US
Y
2
2059-01-25
Variable
2.87500000
N
N
N
N
N
N
UMBS P#255412 6% 10/01/34
N/A
FANNIE MAE POOL UMBS P#255412 6.00000000
31371LVD8
7012.07000000
NS
USD
8184.42000000
0.000137143589
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.00000000
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
97776.62000000
NS
USD
112660.29000000
0.001887810806
Long
ABS-MBS
USGSE
US
N
2
2034-04-20
Fixed
5.50000000
N
N
N
N
N
N
KIOWA POWER PA 5.737% 03/30/21
N/A
KIOWA POWER PARTNERS LLC REGD P/P 5.73700000
49725VAB8
188526.73000000
NS
USD
189328.64000000
0.003172516709
Long
DBT
CORP
US
Y
2
2021-03-30
Fixed
5.73700000
N
N
N
N
N
N
NEWFIELD EXPLO 5.375% 01/01/26
N/A
NEWFIELD EXPLORATION CO REGD 5.37500000
651290AR9
1770000.00000000
NS
USD
1657485.84000000
0.027773935962
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
5.37500000
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
1069793.24000000
NS
USD
1141989.88000000
0.019135942541
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
3.50000000
N
N
N
N
N
N
AFHT 2019-FAIR A V/R 09/15/21
N/A
AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR SER 2019-FAIR CL A V/R REGD 144A P/P 1.23475000
05223HAA0
11600000.00000000
NS
USD
11106395.64000000
0.186106157792
Long
ABS-CBDO
CORP
US
Y
2
2032-09-15
Variable
1.23475000
N
N
N
N
N
N
CAPITAL ONE FIN 3.75% 04/24/24
N/A
CAPITAL ONE FINANCIAL CO REGD 3.75000000
14040HBF1
9675000.00000000
NS
USD
10483260.53000000
0.175664491129
Long
DBT
CORP
US
N
2
2024-04-24
Fixed
3.75000000
N
N
N
N
N
N
WILLIS NORTH AM 2.95% 09/15/29
N/A
WILLIS NORTH AMERICA INC REGD 2.95000000
970648AJ0
2174000.00000000
NS
USD
2301304.57000000
0.038562191129
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
BROADCOM INC 5% 04/15/30
549300WV6GIDOZJTV909
BROADCOM INC REGD 144A P/P 5.00000000
11135FAH4
15388000.00000000
NS
USD
17686548.65000000
0.296367581397
Long
DBT
CORP
US
Y
2
2030-04-15
Fixed
5.00000000
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
561240.56000000
NS
USD
599810.41000000
0.010050822465
Long
ABS-CBDO
CORP
US
N
2
2027-04-16
Fixed
3.25000000
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 ** 6.70425000
363543AK5
1500000.00000000
NS
USD
1468050.00000000
0.024599622938
Long
DBT
CORP
BM
Y
2
2021-01-08
Variable
6.70425000
N
N
N
N
N
N
DUKE ENERGY IND 2.75% 04/01/50
N/A
DUKE ENERGY INDIANA LLC REGD 2.75000000
26443TAC0
3262000.00000000
NS
USD
3283178.11000000
0.055015117703
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
2.75000000
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
2707747.26000000
NS
USD
3003473.82000000
0.050328206448
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#780189 7% 07/15/25
N/A
GINNIE MAE I POOL P#780189 7.00000000
36225AF62
8749.52000000
NS
USD
9415.20000000
0.000157767357
Long
ABS-MBS
USGSE
US
N
2
2025-07-15
Fixed
7.00000000
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
2967374.59000000
0.049723303723
Long
LON
CORP
US
N
2
2024-04-06
Fixed
0.00000000
N
N
N
N
N
N
CREDIT SUISSE GROUP V/R /PERP/
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD V/R /PERP/ 6.37500000
225401AL2
565000.00000000
NS
USD
573757.50000000
0.009614262564
Long
DBT
CORP
CH
Y
2
2169-02-21
Variable
6.37500000
N
N
N
N
N
N
FGLMC P#A26100 6% 08/01/34
N/A
FREDDIE MAC GOLD POOL P#A26100 6.00000000
31297DX52
40448.88000000
NS
USD
45017.01000000
0.000754334983
Long
ABS-MBS
USGA
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
T/L KUEHG CORP 0% 02/21/25
N/A
T/L KUEHG CORP REGD 0.00000000
48244EAJ3
2177382.53000000
NS
USD
1869282.90000000
0.031322948472
Long
LON
CORP
US
N
2
2025-02-21
Fixed
0.00000000
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
11096946.91000000
NS
USD
11172983.19000000
0.187221943101
Long
ABS-CBDO
CORP
US
Y
2
2059-09-25
Variable
2.49188000
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 3.64401600
12647VBC8
2435429.27000000
NS
USD
2434046.92000000
0.040786510300
Long
ABS-CBDO
CORP
US
Y
2
2043-10-25
Variable
3.64401600
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
209.57000000
NS
USD
236.23000000
0.000003958427
Long
ABS-MBS
USGA
US
N
2
2030-11-01
Fixed
6.50000000
N
N
N
N
N
N
MARRIOTT INTERN 5.75% 05/01/25
225YDZ14ZO8E1TXUSU86
MARRIOTT INTERNATIONAL REGD SER EE 5.75000000
571903BD4
1325000.00000000
NS
USD
1439423.30000000
0.024119934899
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.75000000
N
N
N
N
N
N
UMBS P#BJ9520 5% 06/01/49
N/A
FANNIE MAE POOL UMBS P#BJ9520 5.00000000
3140HBSJ8
785993.16000000
NS
USD
858083.23000000
0.014378613744
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
5.00000000
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
12327801.40000000
0.206572845678
Long
ABS-CBDO
CORP
US
Y
2
2024-03-15
Fixed
4.07100000
N
N
N
N
N
N
FWD 2020-INV1 M1 V/R 02/25/25
N/A
FWD SECURITIZATION TRUST 2020-INV1 SER 2020-INV1 CL M1 V/R REGD 144A P/P 2.85000000
302985AD8
1800000.00000000
NS
USD
1650736.80000000
0.027660844555
Long
ABS-CBDO
CORP
US
Y
2
2050-01-25
Variable
2.85000000
N
N
N
N
N
N
UMBS P#AO4968 4% 06/01/42
N/A
FANNIE MAE POOL UMBS P#AO4968 4.00000000
3138LVQW6
78059.26000000
NS
USD
85745.42000000
0.001436807329
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
WILLIAMS COS IN 7.75% 06/15/31
N/A
WILLIAMS COS INC REGD 7.75000000
969457BD1
2475000.00000000
NS
USD
3197822.81000000
0.053584847484
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
7.75000000
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
1389.14000000
NS
USD
1592.73000000
0.000026688844
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
6.50000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 03/01/25
N/A
SECTOR RE V LTD REGD ZCP 144A P/P SER 10-G 0.00000000
81369ADH2
900000.00000000
NS
USD
907695.90000000
0.015209956665
Long
DBT
CORP
BM
Y
3
2025-03-01
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 0.19285400
46591ABD6
45714000.00000000
NS
USD
456189.15000000
0.007644209038
Long
ABS-CBDO
CORP
US
N
2
2051-06-15
Variable
0.19285400
N
N
N
N
N
N
WALTON HEATH RE 0.0% 06/30/21
N/A
WALTON HEATH RE 2019 REGD ZCP /XILS00143041/ 0.00000000
N/A
350000.00000000
NS
USD
350849.81000000
0.005879072943
Long
DBT
CORP
BM
N
3
2021-06-30
Fixed
0.00000000
N
N
N
N
N
N
INTERNATIONAL GA 6.5% 02/15/25
N/A
INTERNATIONAL GAME TECH REGD P/P 6.50000000
460599AC7
3751000.00000000
NS
USD
3835435.01000000
0.064269101904
Long
DBT
CORP
US
Y
2
2025-02-15
Fixed
6.50000000
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
6328273.20000000
0.106040757856
Long
ABS-CBDO
CORP
US
Y
2
2055-04-25
Variable
4.02212000
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
115677.42000000
NS
USD
133309.83000000
0.002233828242
Long
ABS-MBS
USGSE
US
N
2
2034-03-20
Fixed
5.50000000
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
2536120.46000000
NS
USD
2578859.67000000
0.043213089126
Long
ABS-CBDO
CORP
US
Y
2
2058-10-25
Variable
5.00000000
N
N
N
N
N
N
CHARLES SCHWAB CORP V/R /PERP/
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP REGD V/R /PERP/ SER G 5.37500000
808513BD6
6655000.00000000
NS
USD
7109669.60000000
0.119134356034
Long
DBT
CORP
US
N
2
2168-09-01
Variable
5.37500000
N
N
N
N
N
N
UMBS P#667742 6% 04/01/33
N/A
FANNIE MAE POOL UMBS P#667742 6.00000000
31391HZF4
46110.56000000
NS
USD
51508.41000000
0.000863109202
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#781607 6% 03/15/33
N/A
GINNIE MAE I POOL P#781607 6.00000000
36225BYC6
133467.35000000
NS
USD
159056.06000000
0.002665249209
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
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
3384769.13000000
0.056717444454
Long
ABS-CBDO
CORP
US
N
2
2049-06-15
Variable
3.99010000
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
3798646.92000000
0.063652656181
Long
ABS-CBDO
CORP
US
Y
2
2034-08-17
Fixed
4.26100000
N
N
N
N
N
N
FGLMC P#A16897 6% 12/01/33
N/A
FREDDIE MAC GOLD POOL P#A16897 6.00000000
31296RUW6
105756.52000000
NS
USD
118050.22000000
0.001978128060
Long
ABS-MBS
USGA
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
T/L BWAY HOLDING 0% 04/03/24
N/A
T/L BWAY HOLDING COMPANY REGD 0.00000000
05604XAP1
495668.00000000
NS
USD
447588.20000000
0.007500085795
Long
LON
CORP
US
N
2
2024-04-03
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
35863.84000000
NS
USD
41401.79000000
0.000693755950
Long
ABS-MBS
USGA
US
N
2
2038-01-01
Fixed
6.00000000
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
64657.84000000
NS
USD
74660.50000000
0.001251061032
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
FAS 2020-JR2 A V/R 5/25/50
N/A
FINANCE AMER STRUCTURED SECS TR JR2 SER 2020-JR2 VARIABLE 144A REGD 0.00000000
31735AAA2
7477521.91000000
NS
USD
7574779.05000000
0.126928039556
Long
ABS-CBDO
CORP
US
Y
2
2050-05-25
Variable
0.00000000
N
N
N
N
N
N
GNMA P#600124 6% 02/15/33
N/A
GINNIE MAE I POOL P#600124 6.00000000
36200FVR6
47438.14000000
NS
USD
52825.52000000
0.000885179573
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
6.00000000
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 E V/R REGD 144A P/P 2.19388000
46187VAJ8
8960000.00000000
NS
USD
8517486.21000000
0.142724668198
Long
ABS-CBDO
CORP
US
Y
2
2037-07-17
Variable
2.19388000
N
N
N
N
N
N
ANTHEM INC 3.65% 12/01/27
8MYN82XMYQH89CTMTH67
ANTHEM INC REGD 3.65000000
036752AB9
4506000.00000000
NS
USD
5133955.17000000
0.086027970003
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.65000000
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
140472.50000000
NS
USD
157030.85000000
0.002631313442
Long
ABS-MBS
USGSE
US
N
2
2040-09-15
Fixed
4.50000000
N
N
N
N
N
N
ENEL SPA V/R 09/24/73
WOCMU6HCI0OJWNPRZS33
ENEL SPA REGD V/R SER * 8.75000000
29265WAA6
4170000.00000000
NS
USD
4737995.70000000
0.079393009572
Long
DBT
CORP
IT
Y
2
2073-09-24
Variable
8.75000000
N
N
N
N
N
N
GNMA P#771417 4% 10/15/41
N/A
GINNIE MAE I POOL P#771417 4.00000000
36176NYN5
5392.06000000
NS
USD
5781.86000000
0.000096884694
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
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
42977.33000000
NS
USD
48793.51000000
0.000817616530
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
Fixed
5.00000000
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 * 7.25425000
363543AH2
300000.00000000
NS
USD
293880.00000000
0.004924448887
Long
DBT
CORP
BM
Y
2
2021-01-08
Variable
7.25425000
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
12437985.79000000
0.208419168656
Long
DBT
CORP
US
N
2
2045-04-01
Fixed
3.90000000
N
N
N
N
N
N
MATTERHORN RE LTD V/R 12/07/21
N/A
MATTERHORN RE LTD REGD V/R 144A P/P SER B* 6.40721100
577092AE9
1500000.00000000
NS
USD
1467000.00000000
0.024582028439
Long
DBT
CORP
BM
Y
2
2021-12-07
Variable
6.40721100
N
N
N
N
N
N
GNMA P#737085 4% 08/15/40
N/A
GINNIE MAE I POOL P#737085 4.00000000
3620AQ2S1
4238.07000000
NS
USD
4601.46000000
0.000077105126
Long
ABS-MBS
USGSE
US
N
2
2040-08-15
Fixed
4.00000000
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
20626.42000000
NS
USD
23076.19000000
0.000386679999
Long
ABS-MBS
USGSE
US
N
2
2034-10-15
Fixed
5.50000000
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
7099646.29000000
0.118966398780
Long
ABS-CBDO
CORP
US
Y
2
2033-07-05
Fixed
4.24750000
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
478190.21000000
NS
USD
464965.38000000
0.007791269389
Long
LON
CORP
CA
N
2
2025-06-02
Fixed
0.00000000
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
767083.50000000
0.012853761698
Long
LON
CORP
US
N
2
2027-03-01
Fixed
0.00000000
N
N
N
N
N
N
PANGAEA RE 2020-1 0% 02/01/24
N/A
PANGAEA RE 2020-1 REGD ZCP /XILS00178572/ 0.00000000
N/A
3974837.00000000
NS
USD
4077770.13000000
0.068329830473
Long
DBT
CORP
BM
N
3
2024-02-01
Fixed
0.00000000
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
4847.98000000
NS
USD
5034.27000000
0.000084357578
Long
ABS-MBS
USGSE
US
N
2
2029-10-15
Fixed
7.50000000
N
N
N
N
N
N
PLUCR 2020-1 3.968% 01/20/24
N/A
PG RECEIVABLES FINANCE SER 2020-1 CL A1 REGD P/P 3.96800000
69356JAG8
5000000.00000000
NS
USD
4850000.00000000
0.081269828173
Long
ABS-CBDO
CORP
CA
N
2
2025-07-20
Fixed
3.96800000
N
N
N
N
N
N
BOOKING HOLDIN 4.625% 04/13/30
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC REGD 4.62500000
09857LAR9
16900000.00000000
NS
USD
19947408.00000000
0.334252045500
Long
DBT
CORP
US
N
2
2030-04-13
Fixed
4.62500000
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
5176890.40000000
0.086747421295
Long
ABS-CBDO
CORP
US
Y
2
2024-05-15
Fixed
5.21000000
N
N
N
N
N
N
AES CORP/THE 3.95% 07/15/30
2NUNNB7D43COUIRE5295
AES CORP/THE REGD 144A P/P 3.95000000
00130HCC7
3220000.00000000
NS
USD
3405150.00000000
0.057058959877
Long
DBT
CORP
US
Y
2
2030-07-15
Fixed
3.95000000
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
6502000.00000000
NS
USD
5856351.40000000
0.098132922062
Long
DBT
CORP
US
Y
2
2027-03-15
Fixed
5.00000000
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
396339.54000000
NS
USD
435090.29000000
0.007290662496
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
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
5353636.15000000
NS
USD
5662546.31000000
0.094885394977
Long
ABS-CBDO
CORP
US
N
2
2025-06-25
Variable
3.39000000
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
17283.40000000
NS
USD
19024.94000000
0.000318794557
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
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
17728000.00000000
NS
USD
18453412.03000000
0.309217654618
Long
ABS-CBDO
CORP
US
Y
2
2059-08-25
Fixed
3.00000000
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
1087258.17000000
NS
USD
1167699.35000000
0.019566747532
Long
ABS-MBS
USGA
US
N
2
2049-06-01
Fixed
4.50000000
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
6428.83000000
NS
USD
7662.26000000
0.000128393928
Long
ABS-MBS
USGSE
US
N
2
2031-11-20
Fixed
7.00000000
N
N
N
N
N
N
CAS 2020-SBT1 2M V/R 02/25/40
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2020-SBT1 SER 2020-SBT1 CL 2M2 V/R REGD 144A P/P 3.83450000
20753VCZ9
6450000.00000000
NS
USD
6192368.30000000
0.103763444892
Long
ABS-CBDO
CORP
US
Y
2
2040-02-25
Variable
3.83450000
N
N
N
N
N
N
BARCLAYS PLC V/R /PERP/
N/A
BARCLAYS PLC REGD V/R /PERP/ 8.00000000
06738EBG9
5205000.00000000
NS
USD
5393681.25000000
0.090380113074
Long
DBT
CORP
GB
N
2
2168-09-15
Variable
8.00000000
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
2076269.05000000
0.034791346172
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AH6735 5% 02/01/41
N/A
FANNIE MAE POOL UMBS P#AH6735 5.00000000
3138A8PV2
1966169.25000000
NS
USD
2259651.23000000
0.037864220040
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA 30YR TBA 2.5% JUL20
N/A
FNMA 30YR TBA 2.5% JUL20 TO BE ANNOUNCED 2.50000000
01F022675
58000000.00000000
NS
USD
60465000.00000000
1.013191785678
Long
ABS-MBS
USGA
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#AB4525 4% 02/01/42
N/A
FANNIE MAE POOL UMBS P#AB4525 4.00000000
31417BA31
4431779.45000000
NS
USD
4868296.43000000
0.081576415333
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
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
522172.18000000
NS
USD
487873.30000000
0.008175129744
Long
LON
CORP
US
N
2
2025-01-15
Fixed
0.00000000
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
60798.22000000
NS
USD
67631.56000000
0.001133279435
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.50000000
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
2159.74000000
NS
USD
2587.13000000
0.000043351672
Long
ABS-MBS
USGSE
US
N
2
2030-06-20
Fixed
7.50000000
N
N
N
N
N
N
SHERWIN-WILLIAMS 3.3% 05/15/50
Z15BMIOX8DDH0X2OBP21
SHERWIN-WILLIAMS CO REGD 3.30000000
824348BM7
3271000.00000000
NS
USD
3317456.70000000
0.055589512573
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.30000000
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
1230501.97000000
NS
USD
1337545.75000000
0.022412806861
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.50000000
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
361028.09000000
NS
USD
394792.58000000
0.006615407245
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
PHILLIPS 66 2.15% 12/15/30
N/A
PHILLIPS 66 REGD 2.15000000
718546AW4
3835000.00000000
NS
USD
3722654.83000000
0.062379282141
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
2.15000000
N
N
N
N
N
N
BANK OF AMERICA COR V/R /PERP/
N/A
BANK OF AMERICA CORP REGD V/R /PERP/ SER MM 4.30000000
060505FQ2
10065000.00000000
NS
USD
9032331.00000000
0.151351750181
Long
DBT
CORP
US
N
2
2168-07-28
Variable
4.30000000
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
2162731.04000000
NS
USD
2204492.30000000
0.036939940295
Long
ABS-CBDO
CORP
US
Y
2
2055-01-28
Variable
3.50000000
N
N
N
N
N
N
GNMA P#605389 5% 04/15/34
N/A
GINNIE MAE I POOL P#605389 5.00000000
36200NRJ2
46742.33000000
NS
USD
53378.40000000
0.000894443999
Long
ABS-MBS
USGSE
US
N
2
2034-04-15
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#C76269 6% 02/01/33
N/A
FREDDIE MAC GOLD POOL P#C76269 6.00000000
31288E6E2
2003.47000000
NS
USD
2257.36000000
0.000037825826
Long
ABS-MBS
USGA
US
N
2
2033-02-01
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
1364911.35000000
NS
USD
1476860.30000000
0.024747254189
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
JPMDB 2019-COR6 V/R 11/13/29
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2019-COR6 SER 2019-COR6 CL AS V/R REGD 3.40970000
48129RAY1
3054000.00000000
NS
USD
3194308.09000000
0.053525952496
Long
ABS-CBDO
CORP
US
N
2
2052-11-13
Variable
3.40970000
N
N
N
N
N
N
BORGWARNER INC 2.65% 07/01/27
N/A
BORGWARNER INC REGD 2.65000000
099724AL0
9792000.00000000
NS
USD
10046542.94000000
0.168346560510
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
2.65000000
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
20613.91000000
NS
USD
23856.41000000
0.000399753884
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
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
6832174.23000000
0.114484458912
Long
ABS-CBDO
CORP
US
N
2
2048-10-10
Fixed
3.35900000
N
N
N
N
N
N
T/L TPF II POWER 0% 10/02/2025
N/A
T/L TPF II POWER LLC TL B 0.00000000
87264NAB3
919811.72000000
NS
USD
894746.85000000
0.014992973764
Long
LON
CORP
US
N
2
2025-10-02
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
4053809.92000000
NS
USD
4383339.63000000
0.073450156403
Long
ABS-MBS
USGA
US
N
2
2046-06-01
Fixed
3.00000000
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
2912211.49000000
0.048798954102
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
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
101042.64000000
NS
USD
107376.16000000
0.001799266406
Long
ABS-CBDO
CORP
US
N
2
2025-05-01
Fixed
4.84000000
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
2739.48000000
NS
USD
3015.52000000
0.000050530060
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
FNMA P#253950 7% 9/1/31_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #253950__ 7.00000000
31371KBT7
5283.32000000
NS
USD
6190.04000000
0.000103724430
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.00000000
N
N
N
N
N
N
T/L LAMAR MEDIA COR 0% 2/05/27
N/A
T/L LAMAR MEDIA CORP REGD 0.00000000
N/A
982500.00000000
NS
USD
965306.25000000
0.016175314035
Long
LON
CORP
US
N
2
2027-02-05
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#Q18144 3% 05/01/43
N/A
FREDDIE MAC GOLD POOL P#Q18144 3.00000000
3132J9P69
1729468.67000000
NS
USD
1870681.03000000
0.031346376469
Long
ABS-MBS
USGA
US
N
2
2043-05-01
Fixed
3.00000000
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 2.94395800
46651GAZ2
4915868.20000000
NS
USD
4484834.06000000
0.075150864627
Long
ABS-CBDO
CORP
US
Y
2
2050-02-25
Variable
2.94395800
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
1035408.19000000
NS
USD
1037129.04000000
0.017378824510
Long
ABS-CBDO
CORP
US
Y
2
2022-08-15
Fixed
3.34000000
N
N
N
N
N
N
LIBERTY MUTUAL 7.697% 10/15/97
N/A
LIBERTY MUTUAL INSURANCE REGD P/P 7.69700000
53079QAD9
18482000.00000000
NS
USD
28188402.63000000
0.472343636750
Long
DBT
CORP
US
Y
2
2097-10-15
Fixed
7.69700000
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
529650.00000000
NS
USD
455499.00000000
0.007632644425
Long
LON
CORP
US
N
2
2024-09-12
Fixed
0.00000000
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 9.69325900
49407PAB6
2750000.00000000
NS
USD
2658425.00000000
0.044546338755
Long
DBT
CORP
BM
Y
2
2023-12-19
Variable
9.69325900
N
N
N
N
N
N
KAYNE 2020-7A E V/R 04/17/33
N/A
KAYNE CLO 7 LTD SER 2020-7A CL E V/R REGD 144A P/P 7.90734000
48661FAA3
3200000.00000000
NS
USD
2997452.80000000
0.050227314230
Long
ABS-CBDO
CORP
KY
Y
2
2033-04-17
Variable
7.90734000
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 4.43450000
35563XBD3
4230000.00000000
NS
USD
3962222.39000000
0.066393635633
Long
ABS-CBDO
CORP
US
Y
2
2048-10-25
Variable
4.43450000
N
N
N
N
N
N
GNMA P#580607 6% 02/15/33
N/A
GINNIE MAE I POOL P#580607 6.00000000
36201EAG5
15173.58000000
NS
USD
18085.96000000
0.000303060383
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
6.00000000
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
3800426.90000000
NS
USD
3680477.83000000
0.061672536256
Long
LON
CORP
US
N
2
2024-11-03
Fixed
0.00000000
N
N
N
N
N
N
ALLIED UNIVERS 6.625% 07/15/26
N/A
ALLIED UNIVERSAL REGD 144A P/P 6.62500000
019576AA5
3971000.00000000
NS
USD
4169550.00000000
0.069867755064
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
UMBS P#810991 5% 10/01/34
N/A
FANNIE MAE POOL UMBS P#810991 5.00000000
31406H7C5
133736.80000000
NS
USD
151684.09000000
0.002541719573
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.00000000
N
N
N
N
N
N
GENERAL MOTORS FIN 4% 01/15/25
N/A
GENERAL MOTORS FINL CO REGD 4.00000000
37045XAS5
8597000.00000000
NS
USD
8986934.21000000
0.150591051352
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.00000000
N
N
N
N
N
N
BEACON ROOFING 4.875% 11/01/25
549300HDXQWWCBOYXP31
BEACON ROOFING SUPPLY IN REGD 144A P/P 4.87500000
073685AD1
6532000.00000000
NS
USD
5829810.00000000
0.097688176698
Long
DBT
CORP
US
Y
2
2025-11-01
Fixed
4.87500000
N
N
N
N
N
N
GNMA P#781547 6% 01/15/33
N/A
GINNIE MAE I POOL P#781547 6.00000000
36225BWG9
91484.76000000
NS
USD
109038.38000000
0.001827119671
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
ARTEX SAC LTD V/R 03/31/21
N/A
ARTEX SAC LTD BANTRY RE 2016 REGD V/R /BNR4B8Q61/ 0.00000000
N/A
2000000.00000000
NS
USD
161200.00000000
0.002701174495
Long
DBT
CORP
BM
N
3
2021-03-31
Variable
0.00000000
N
N
N
N
N
N
ARTEX SAC FORM 0.0% 02/28/2021
N/A
ARTEX SAC LTD FORMBY RE 2018-1 REGD ZCP /BNR3X5JE6/ 0.00000000
N/A
1500000.00000000
NS
USD
282781.64000000
0.004738477380
Long
DBT
CORP
BM
N
3
2021-02-28
Fixed
0.00000000
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
30480.33000000
NS
USD
36067.58000000
0.000604372377
Long
ABS-MBS
USGSE
US
N
2
2031-04-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#749998 4% 09/15/40
N/A
GINNIE MAE I POOL P#749998 4.00000000
3620C6GF6
35380.18000000
NS
USD
37497.92000000
0.000628340106
Long
ABS-MBS
USGSE
US
N
2
2040-09-15
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#Q47419 4% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47419 4.00000000
3132WMG57
2094436.85000000
NS
USD
2252272.71000000
0.037740580647
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
APACHE CORP 4.375% 10/15/28
N/A
APACHE CORP REGD 4.37500000
037411BE4
13130000.00000000
NS
USD
11594586.07000000
0.194286601578
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
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
84251.41000000
NS
USD
94345.05000000
0.001580908454
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
6.50000000
N
N
N
N
N
N
SIMON PROPERTY 3.25% 09/13/49
N/A
SIMON PROPERTY GROUP LP REGD 3.25000000
828807DH7
6115000.00000000
NS
USD
5701298.17000000
0.095534746937
Long
DBT
CORP
US
N
2
2049-09-13
Fixed
3.25000000
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
3603877.99000000
NS
USD
3559290.81000000
0.059641845886
Long
ABS-CBDO
CORP
US
Y
2
2039-09-17
Fixed
3.40600000
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 1.13788000
76118RAA7
140780.32000000
NS
USD
140518.33000000
0.002354618666
Long
ABS-CBDO
CORP
AU
Y
2
2048-09-11
Variable
1.13788000
N
N
N
N
N
N
INTERNATIONAL PAPE 6% 11/15/41
824LMFJDH41EY779Q875
INTERNATIONAL PAPER CO REGD 6.00000000
460146CH4
2575000.00000000
NS
USD
3394194.82000000
0.056875387589
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
6.00000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 03/20/51
N/A
BANK OF AMERICA CORP REGD V/R MTN 4.08300000
06051GJA8
11011000.00000000
NS
USD
13797459.30000000
0.231199411659
Long
DBT
CORP
US
N
2
2051-03-20
Variable
4.08300000
N
N
N
N
N
N
GNMA P#AM1441 4% 05/15/45
N/A
GINNIE MAE I POOL P#AM1441 4.00000000
36184LS63
1167246.80000000
NS
USD
1259457.07000000
0.021104300963
Long
ABS-MBS
USGSE
US
N
2
2045-05-15
Fixed
4.00000000
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
6629.81000000
NS
USD
7536.02000000
0.000126278567
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
ARTEX SAC LTD 0% 2/1/21
N/A
ARTEX SAC LTD FORMERLY KANE SAC LTD ARLINGTON 2015 ZCP REGD /BNR1QGF08/ 0.00000000
N/A
900000.00000000
NS
USD
43740.00000000
0.000732936553
Long
DBT
CORP
BM
N
3
2021-02-01
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#603397 6% 01/15/33
N/A
GINNIE MAE I POOL P#603397 6.00000000
36200KKJ5
29244.39000000
NS
USD
33567.71000000
0.000562482891
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
PETROLEOS MEXIC 5.35% 02/12/28
N/A
PETROLEOS MEXICANOS REGD SER WI 5.35000000
71654QCK6
6065000.00000000
NS
USD
5094600.00000000
0.085368508580
Long
DBT
CORP
MX
N
2
2028-02-12
Fixed
5.35000000
N
N
N
N
N
N
NIPPON LIFE INSUR V/R 01/23/50
549300Y0HHMFW3EVWY08
NIPPON LIFE INSURANCE REGD V/R 144A P/P 3.40000000
654579AG6
10088000.00000000
NS
USD
10441080.00000000
0.174957686092
Long
DBT
CORP
JP
Y
2
2050-01-23
Variable
3.40000000
N
N
N
N
N
N
UMBS P#ZM3417 4% 06/01/47
N/A
FREDDIE MAC POOL UMBS P#ZM3417 4.00000000
3131XWYN7
751507.66000000
NS
USD
800374.54000000
0.013411608523
Long
ABS-MBS
USGA
US
N
2
2047-06-01
Fixed
4.00000000
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
7853.51000000
NS
USD
8644.86000000
0.000144859028
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.50000000
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
1657778.59000000
NS
USD
1758578.72000000
0.029467915547
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
OLD HEAD RE 2020 0% 12/31/20
N/A
OLD HEAD RE 2020 ZCP REGD /XILS00170565/ 0.00000000
N/A
300000.00000000
NS
USD
265177.12000000
0.004443484325
Long
DBT
CORP
BM
N
3
2023-12-31
Fixed
0.00000000
N
N
N
N
N
N
CANADIAN PACIFI 2.05% 03/05/30
N/A
CANADIAN PACIFIC RAILWAY REGD 2.05000000
13648TAA5
3708000.00000000
NS
USD
3795033.21000000
0.063592102451
Long
DBT
CORP
CA
N
2
2030-03-05
Fixed
2.05000000
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 2.68450000
3137G0QQ5
8940000.00000000
NS
USD
8983996.42000000
0.150541823787
Long
ABS-CBDO
CORP
US
N
2
2030-03-25
Variable
2.68450000
N
N
N
N
N
N
UMBS P#BH1439 4% 04/01/47
N/A
FANNIE MAE POOL UMBS P#BH1439 4.00000000
3140GPS58
2544547.92000000
NS
USD
2762643.06000000
0.046292685936
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
MONA LISA RE LTD V/R 01/09/23
549300R6SO6XBFDC7M25
MONA LISA RE LTD REGD V/R 144A P/P SER B 8.00000000
608800AD0
500000.00000000
NS
USD
497050.00000000
0.008328900637
Long
DBT
CORP
BM
Y
2
2023-01-09
Variable
8.00000000
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
1072176.53000000
NS
USD
1192077.99000000
0.019975252250
Long
ABS-MBS
USGA
US
N
2
2042-03-01
Fixed
4.50000000
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
244998.03000000
NS
USD
276157.78000000
0.004627483573
Long
ABS-MBS
USGSE
US
N
2
2040-01-15
Fixed
4.50000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 03/01/23
N/A
SECTOR RE V LTD REGD ZCP 144A P/P SER 144& 0.00000000
81369ACQ3
2557.00000000
NS
USD
119424.97000000
0.002001164286
Long
DBT
CORP
BM
Y
3
2023-03-01
Fixed
0.00000000
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
3731762.53000000
NS
USD
4096524.78000000
0.068644095872
Long
ABS-CBDO
CORP
US
Y
2
2072-10-17
Fixed
3.74000000
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
3269562.55000000
NS
USD
3636537.50000000
0.060936242839
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
FLEX LTD 4.875% 06/15/29
549300EAQH74YHD07T53
FLEX LTD REGD 4.87500000
33938XAA3
18573000.00000000
NS
USD
20496801.00000000
0.343458040285
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.87500000
N
N
N
N
N
N
UMBS P#AZ3804 3% 05/01/46
N/A
FANNIE MAE POOL UMBS P#AZ3804 3.00000000
3138YVGN3
733056.80000000
NS
USD
795544.97000000
0.013330681034
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
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
104000.00000000
0.001742693222
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
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 3.63450000
3137G0NX3
11465925.00000000
NS
USD
11620254.06000000
0.194716711503
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Variable
3.63450000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 03/01/25
N/A
SECTOR RE V LTD REGD ZCP 144A P/P SER 10-A 0.00000000
81369ADE9
500000.00000000
NS
USD
509289.17000000
0.008533988316
Long
DBT
CORP
BM
Y
3
2025-03-01
Fixed
0.00000000
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
12000000.00000000
NS
USD
12271755.60000000
0.205633704949
Long
ABS-CBDO
CORP
US
Y
2
2057-10-25
Variable
3.25000000
N
N
N
N
N
N
FREMF 2019-K88 C V/R 04/25/29
N/A
FREMF 2019-K88 MORTGAGE TRUST SER 2019-K88 CL C V/R 144A P/P 4.52544000
302971AT3
3600000.00000000
NS
USD
3722446.80000000
0.062375796252
Long
ABS-CBDO
CORP
US
Y
2
2052-02-25
Variable
4.52544000
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
68119.38000000
NS
USD
73305.39000000
0.001228353907
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.50000000
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
1754000.00000000
NS
USD
1873631.18000000
0.031395811146
Long
DBT
CORP
US
N
2
2029-10-22
Fixed
2.70000000
N
N
N
N
N
N
GNMA P#781129 7% 11/15/28
N/A
GINNIE MAE I POOL P#781129 7.00000000
36225BHE1
25799.32000000
NS
USD
30227.31000000
0.000506508925
Long
ABS-MBS
USGSE
US
N
2
2028-11-15
Fixed
7.00000000
N
N
N
N
N
N
SOUTHERN CAL ED 3.65% 02/01/50
N/A
SOUTHERN CAL EDISON REGD 3.65000000
842400GT4
8052000.00000000
NS
USD
8836683.67000000
0.148073353296
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.65000000
N
N
N
N
N
N
CAPITAL ONE FINA 3.3% 10/30/24
N/A
CAPITAL ONE FINANCIAL CO REGD 3.30000000
14040HBT1
4885000.00000000
NS
USD
5256168.55000000
0.088075858744
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
3.30000000
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
3220000.00000000
0.053956463241
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.60000000
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
1290758.46000000
0.021628807888
Long
LON
CORP
US
N
2
2022-06-30
Fixed
0.00000000
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
193273.35000000
NS
USD
224570.38000000
0.003763050761
Long
ABS-MBS
USGSE
US
N
2
2034-07-15
Fixed
5.50000000
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
43383.05000000
NS
USD
48088.91000000
0.000805809784
Long
ABS-CBDO
CORP
US
N
2
2029-01-01
Fixed
5.72000000
N
N
N
N
N
N
FGLMC P#Q40416 4% 05/01/46
N/A
FREDDIE MAC GOLD POOL P#Q40416 4.00000000
3132WDPA6
442425.35000000
NS
USD
477369.06000000
0.007999113707
Long
ABS-MBS
USGA
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#741518 4% 01/15/41
N/A
GINNIE MAE I POOL P#741518 4.00000000
3620AVYP1
13299.90000000
NS
USD
14459.00000000
0.000242284627
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Fixed
4.00000000
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
6951784.50000000
0.116488728209
Long
DBT
CORP
US
N
2
2024-03-18
Fixed
5.58400000
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
4401796.40000000
0.073759430326
Long
ABS-CBDO
CORP
US
N
2
2048-01-10
Fixed
3.59700000
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
5989663.20000000
0.100366783316
Long
ABS-CBDO
CORP
US
Y
2
2056-10-25
Variable
3.37500000
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
4011167.76000000
0.067213796831
Long
DBT
CORP
US
Y
2
2026-12-01
Fixed
3.30000000
N
N
N
N
N
N
BACARDI LTD 5.3% 05/15/48
N/A
BACARDI LTD REGD 144A P/P 5.30000000
067316AH2
13946000.00000000
NS
USD
17224456.36000000
0.288624455415
Long
DBT
CORP
BM
Y
2
2048-05-15
Fixed
5.30000000
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
5295382.10000000
NS
3956384.92000000
0.066295819100
Long
ABS-CBDO
CORP
CA
Y
2
2049-08-16
Fixed
3.06400000
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
362449.76000000
NS
USD
378323.61000000
0.006339442222
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AB1149 5% 06/01/40
N/A
FANNIE MAE POOL UMBS P#AB1149 5.00000000
31416WH39
376622.09000000
NS
USD
432210.41000000
0.007242405310
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
UNION PACIFIC 3.375% 02/01/35
N/A
UNION PACIFIC CORP REGD 3.37500000
907818EB0
13715000.00000000
NS
USD
15435111.85000000
0.258641007813
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.37500000
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
59113.73000000
NS
USD
65146.24000000
0.001091633758
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
6.50000000
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 2.28450000
20753WAF3
12710000.00000000
NS
USD
12320078.81000000
0.206443440820
Long
ABS-CBDO
CORP
US
Y
2
2039-10-25
Variable
2.28450000
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
291599.04000000
NS
USD
308838.56000000
0.005175104475
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
2.50000000
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
42299.04000000
NS
USD
49360.60000000
0.000827119068
Long
ABS-MBS
USGSE
US
N
2
2029-01-20
Fixed
7.00000000
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
276800.00000000
0.004638245038
Long
DBT
CORP
BM
N
3
2023-09-12
Fixed
0.00000000
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 2.95885100
46591KBN2
8190604.13000000
NS
USD
8384327.48000000
0.140493371887
Long
ABS-CBDO
CORP
US
Y
2
2050-03-25
Variable
2.95885100
N
N
N
N
N
N
ALBEMARLE WOD P 3.45% 11/15/29
N/A
ALBEMARLE WOD PTY LTD REGD 144A P/P 3.45000000
01273PAA0
11835000.00000000
NS
USD
11459666.70000000
0.192025802812
Long
DBT
CORP
AU
Y
2
2029-11-15
Fixed
3.45000000
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
7641.88000000
NS
USD
8411.90000000
0.000140955395
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
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
593100.00000000
0.009938378369
Long
DBT
CORP
BM
N
3
2021-11-30
Variable
0.00000000
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
292576.62000000
NS
USD
313334.14000000
0.005250435405
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
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
11541315.95000000
0.193393971991
Long
DBT
CORP
US
N
2
2022-08-17
Fixed
7.62500000
N
N
N
N
N
N
RCMT 2019-6 A 2.833% 10/25/52
N/A
READYCAP COMMERCIAL MORTGAGE TRUST 2019-6 SER 2019-6 CL A REGD 144A P/P 2.83340000
75575QAA7
687825.35000000
NS
USD
681099.04000000
0.011412948855
Long
ABS-CBDO
CORP
US
Y
2
2052-10-25
Fixed
2.83340000
N
N
N
N
N
N
JPMMT 2020-2 B2A V/R 05/25/44
N/A
JP MORGAN MORTGAGE TRUST 2020-2 SER 2020-2 CL B2A V/R REGD 144A P/P 3.47047400
46591TBT0
12997993.27000000
NS
USD
12839629.62000000
0.215149380007
Long
ABS-CBDO
CORP
US
Y
2
2050-07-25
Variable
3.47047400
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
3496016.63000000
0.058581581611
Long
ABS-CBDO
CORP
US
Y
2
2034-11-15
Fixed
4.22000000
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
502569.45000000
NS
USD
558136.82000000
0.009352512053
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Fixed
4.50000000
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
6435.45000000
NS
USD
7338.92000000
0.000122975828
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#738538 4% 07/15/41
N/A
GINNIE MAE I POOL P#738538 4.00000000
3620ASPX1
90245.59000000
NS
USD
98178.02000000
0.001645136250
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
4.00000000
N
N
N
N
N
N
EXPEDIA GROUP I 3.25% 02/15/30
N/A
EXPEDIA GROUP INC REGD SER WI 3.25000000
30212PAR6
15750000.00000000
NS
USD
14684432.96000000
0.246062132678
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.25000000
N
N
N
N
N
N
AMHERST COLLEG 3.794% 11/01/42
549300AS419G4Y35BP63
AMHERST COLLEGE REGD 3.79400000
898361AM2
525000.00000000
NS
USD
593936.88000000
0.009952401687
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
3.79400000
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 6.36525000
3137ATFZ0
10783302.70000000
NS
USD
2448955.98000000
0.041036336433
Long
ABS-CBDO
CORP
US
N
2
2042-08-15
Variable
6.36525000
N
N
N
N
N
N
AUTONATION INC 4.75% 06/01/30
N/A
AUTONATION INC REGD 4.75000000
05329WAQ5
4115000.00000000
NS
USD
4458883.72000000
0.074716023458
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.75000000
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
510983.97000000
NS
USD
541010.79000000
0.009065536895
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
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
311526.55000000
NS
USD
314118.42000000
0.005263577323
Long
ABS-CBDO
CORP
US
Y
2
2029-12-15
Fixed
3.84000000
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
5092190.59000000
0.085328134902
Long
DBT
CORP
US
Y
2
2029-04-01
Fixed
4.62500000
N
N
N
N
N
N
GNMA P#486515 6% 09/15/28
N/A
GINNIE MAE I POOL P#486515 6.00000000
36210AN86
90209.46000000
NS
USD
101678.14000000
0.001703786591
Long
ABS-MBS
USGSE
US
N
2
2028-09-15
Fixed
6.00000000
N
N
N
N
N
N
AFRICA FINANCE 4.375% 04/17/26
N/A
AFRICA FINANCE CORP REGD 144A P/P MTN 4.37500000
00830YAC5
11165000.00000000
NS
USD
11763444.00000000
0.197116097446
Long
DBT
CORP
NG
Y
2
2026-04-17
Fixed
4.37500000
N
N
N
N
N
N
GNMA P#486934 6% 02/15/29
N/A
GINNIE MAE I POOL P#486934 6.00000000
36210A4T1
40394.64000000
NS
USD
46874.31000000
0.000785457138
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
6.00000000
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
3335169.43000000
0.055886318867
Long
DBT
CORP
US
Y
2
2035-01-15
Fixed
3.30200000
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
10066405.59000000
0.168679392294
Long
ABS-CBDO
CORP
US
Y
2
2041-02-11
Fixed
4.14500000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 03/01/24
N/A
SECTOR RE V LTD REGD ZCP 144A P/P SER G 0.00000000
81369ACW0
1914.00000000
NS
USD
152868.05000000
0.002561558795
Long
DBT
CORP
BM
Y
3
2024-03-01
Fixed
0.00000000
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
92203.53000000
NS
USD
96127.67000000
0.001610779221
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
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
3106.07000000
NS
USD
3487.24000000
0.000058434514
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#BC0826 4% 04/01/46
N/A
FANNIE MAE POOL UMBS P#BC0826 4.00000000
3140EU4L0
855090.26000000
NS
USD
915036.74000000
0.015332964666
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
4.00000000
N
N
N
N
N
N
VITALITY RE XI LT V/R 01/09/24
N/A
VITALITY RE XI LTD REGD V/R 144A P/P SER B 1.85846700
92851AAB0
1000000.00000000
NS
USD
840000.00000000
0.014075599106
Long
DBT
CORP
KY
Y
2
2024-01-09
Variable
1.85846700
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
57931.65000000
NS
USD
63769.06000000
0.001068556814
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Fixed
6.50000000
N
N
N
N
N
N
BATLN 2020-15A D V/R 01/17/33
N/A
BATTALION CLO XV LTD SER 2020-15A CL D V/R REGD 144A P/P 4.91160000
07131AAG9
8750000.00000000
NS
USD
8169665.00000000
0.136896344492
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-17
Variable
4.91160000
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
152210.89000000
NS
USD
152117.39000000
0.002548980236
Long
ABS-CBDO
CORP
US
Y
2
2028-09-15
Fixed
3.20000000
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
3453436.15000000
0.057868074746
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
4.55000000
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
1943220.00000000
0.032561887732
Long
ABS-CBDO
CORP
US
Y
2
2029-07-25
Variable
3.01100000
N
N
N
N
N
N
GNMA P#561564 7% 08/15/31
N/A
GINNIE MAE I POOL P#561564 7.00000000
36213QZ51
89708.85000000
NS
USD
108919.15000000
0.001825121774
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
7.00000000
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
41164.37000000
NS
USD
49066.78000000
0.000822195624
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#615583 5% 09/15/33
N/A
GINNIE MAE I POOL P#615583 5.00000000
36290R2Q5
41219.29000000
NS
USD
47080.62000000
0.000788914205
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
5.00000000
N
N
N
N
N
N
BOMFT 2017-SPL3 V/R 11/28/53
N/A
BAYVIEW KOITERE FUND TRUST 2017-SPL3 SER 2017-SPL3 CL B2 V/R REGD 144A P/P 4.75000000
500274AG0
2301000.00000000
NS
USD
2444421.56000000
0.040960354673
Long
ABS-CBDO
CORP
US
Y
2
2053-11-28
Variable
4.75000000
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
418.46000000
NS
USD
465.49000000
0.000007800060
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
6.50000000
N
N
N
N
N
N
FNMA 30YR TBA 4.5% JUL 20
N/A
FNMA 30YR TBA 4.5% JUL 20 TO BE ANNOUNCED 4.50000000
01F042673
79300000.00000000
NS
USD
85204132.42000000
1.427737154945
Long
ABS-MBS
USGA
US
N
2
2050-07-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#AL2148 4% 02/15/45
N/A
GINNIE MAE I POOL P#AL2148 4.00000000
36183XL57
1106786.26000000
NS
USD
1194940.31000000
0.020023215190
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#Q11390 3% 09/01/42
N/A
FREDDIE MAC GOLD POOL P#Q11390 3.00000000
3132HMRK9
793069.88000000
NS
USD
857758.40000000
0.014373170676
Long
ABS-MBS
USGA
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
MPLX LP 4.25% 12/01/27
N/A
MPLX LP REGD SER WI 4.25000000
55336VBN9
9940000.00000000
NS
USD
10776618.59000000
0.180580194042
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.25000000
N
N
N
N
N
N
WILLIAMS COMPAN 5.75% 06/24/44
N/A
WILLIAMS COMPANIES INC REGD 5.75000000
969457BV1
17007000.00000000
NS
USD
19669504.86000000
0.329595315513
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
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
99769.12000000
NS
USD
116392.27000000
0.001950346347
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#569158 6% 03/15/32
N/A
GINNIE MAE I POOL P#569158 6.00000000
36200QJB1
871.40000000
NS
USD
1028.49000000
0.000017234063
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
6.00000000
N
N
N
N
N
N
CAS 2020-SBT1 1M V/R 02/25/40
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2020-SBT1 SER 2020-SBT1 CL 1M2 V/R REGD 144A P/P 3.83450000
20753VBE7
5090000.00000000
NS
USD
4758824.24000000
0.079742026452
Long
ABS-CBDO
CORP
US
Y
2
2040-02-25
Variable
3.83450000
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
20415584.17000000
0.342097117024
Long
ABS-CBDO
CORP
US
Y
2
2069-10-25
Variable
3.50000000
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
9069.39000000
NS
USD
10878.82000000
0.000182292748
Long
ABS-MBS
USGSE
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
CCO HLDGS LLC/C 4.75% 03/01/30
N/A
CCO HLDGS LLC/CAP CORP REGD 144A P/P 4.75000000
1248EPCD3
8500000.00000000
NS
USD
8697115.00000000
0.145734647764
Long
DBT
CORP
US
Y
2
2030-03-01
Fixed
4.75000000
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
72.04000000
NS
USD
80.17000000
0.000001343381
Long
ABS-MBS
USGA
US
N
2
2032-06-01
Fixed
6.50000000
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
1461250.01000000
NS
USD
1441710.61000000
0.024158262587
Long
ABS-CBDO
CORP
US
Y
2
2045-04-20
Fixed
3.75000000
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
527498.62000000
NS
USD
573200.84000000
0.009604934799
Long
ABS-MBS
USGA
US
N
2
2047-06-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#Q33602 3% 05/01/45
N/A
FREDDIE MAC GOLD POOL P#Q33602 3.00000000
3132QQAC6
1093121.74000000
NS
USD
1168703.58000000
0.019583575078
Long
ABS-MBS
USGA
US
N
2
2045-05-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA P#AJ8913 4% 01/15/45
N/A
GINNIE MAE I POOL P#AJ8913 4.00000000
36183E3W0
298387.96000000
NS
USD
324144.95000000
0.005431588534
Long
ABS-MBS
USGSE
US
N
2
2045-01-15
Fixed
4.00000000
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
77750.00000000
0.001302830750
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
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
4600000.00000000
NS
USD
4093344.50000000
0.068590804983
Long
ABS-CBDO
CORP
US
Y
2
2027-06-21
Fixed
3.11000000
N
N
N
N
N
N
OUTFRONT MEDIA 6.25% 06/15/25
N/A
OUTFRONT MEDIA CAP LLC/C REGD 144A P/P 6.25000000
69007TAD6
4105000.00000000
NS
USD
4131887.75000000
0.069236661335
Long
DBT
CORP
US
Y
2
2025-06-15
Fixed
6.25000000
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
11254376.76000000
0.188585827936
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
4.87500000
N
N
N
N
N
N
YCLO 2016-2A CR V/R 04/20/32
N/A
YORK CLO-4 LTD SER 2016-2A CL CR V/R REGD 144A P/P 3.28525000
986252AW4
6400000.00000000
NS
USD
6069760.00000000
0.101708938609
Long
ABS-CBDO
CORP
KY
Y
2
2032-04-20
Variable
3.28525000
N
N
N
N
N
N
STACR 2020-HQA2 V/R 03/25/50
N/A
FREDDIE MAC STACR REMIC TRUST 2020-HQA2 SER 2020-HQA2 CL M2 V/R REGD 144A P/P 3.28450000
35565LAH9
7890000.00000000
NS
USD
7554135.32000000
0.126582119476
Long
ABS-CBDO
CORP
US
Y
2
2050-03-25
Variable
3.28450000
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 2.87203500
542799AD3
2500000.00000000
NS
USD
2437750.00000000
0.040848561573
Long
DBT
CORP
KY
Y
2
2022-06-01
Variable
2.87203500
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
1305021.38000000
0.021867806869
Long
ABS-CBDO
CORP
US
Y
2
2022-03-22
Fixed
3.45000000
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
6008454.48000000
0.100681662511
Long
ABS-CBDO
CORP
US
Y
2
2023-06-20
Fixed
4.45000000
N
N
N
N
N
N
GNMA P#586772 6% 03/15/33
N/A
GINNIE MAE I POOL P#586772 6.00000000
36201L2D5
46805.12000000
NS
USD
52196.41000000
0.000874637788
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
ADARE RE 2020-1 0% 01/31/21
N/A
ADARE RE 2020-1 ZCP REGD /XILS00168317/ 0.00000000
N/A
2500000.00000000
NS
USD
2569300.18000000
0.043052903949
Long
DBT
CORP
BM
N
3
2021-01-31
Fixed
0.00000000
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
0.00000000
0.000000
Long
DBT
CORP
BM
Y
3
2021-12-31
Fixed
0.00000000
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
4941466.68000000
NS
USD
5335306.96000000
0.089401954617
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
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
3172440.09000000
NS
USD
3447168.90000000
0.057763056533
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.50000000
N
N
N
N
N
N
PUGET ENERGY INC 4.1% 06/15/30
N/A
PUGET ENERGY INC REGD 144A P/P 4.10000000
745310AJ1
7830000.00000000
NS
USD
8644537.36000000
0.144853621833
Long
DBT
CORP
US
Y
2
2030-06-15
Fixed
4.10000000
N
N
N
N
N
N
UMBS P#CA4195 5% 09/01/49
N/A
FANNIE MAE POOL UMBS P#CA4195 5.00000000
3140QBUV8
5500685.58000000
NS
USD
6384697.68000000
0.106986243999
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
5.00000000
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
39407.39000000
NS
USD
43253.88000000
0.000724790803
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#AU4291 4% 09/01/43
N/A
FANNIE MAE POOL UMBS P#AU4291 4.00000000
3138X3XV9
3599737.78000000
NS
USD
3948108.78000000
0.066157138590
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.00000000
N
N
N
N
N
N
STEEL DYNAMICS 3.25% 01/15/31
N/A
STEEL DYNAMICS INC REGD 3.25000000
858119BM1
2005000.00000000
NS
USD
2044992.57000000
0.034267256655
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.25000000
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
172350.76000000
NS
USD
182030.96000000
0.003050231926
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Fixed
4.50000000
N
N
N
N
N
N
HEALTH CARE SERV 3.2% 06/01/50
549300TMJ1FKCKECR148
HEALTH CARE SERVICE CORP REGD 144A P/P 3.20000000
42218SAH1
5766000.00000000
NS
USD
5866890.18000000
0.098309516875
Long
DBT
CORP
US
Y
2
2050-06-01
Fixed
3.20000000
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
44728.11000000
NS
USD
49895.36000000
0.000836079862
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Fixed
4.50000000
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
61241.70000000
NS
USD
63558.45000000
0.001065027692
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
5.90000000
N
N
N
N
N
N
NRG ENERGY INC 5.75% 01/15/28
N/A
NRG ENERGY INC REGD SER WI 5.75000000
629377CE0
2327000.00000000
NS
USD
2454985.00000000
0.041137362705
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
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
5054410.01000000
0.084695058357
Long
ABS-CBDO
CORP
US
Y
2
2023-08-20
Fixed
4.68000000
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
28397.65000000
NS
USD
31259.10000000
0.000523798285
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
6.50000000
N
N
N
N
N
N
PSTAT 2020-1A D V/R 02/20/28
N/A
PALMER SQUARE LOAN FUNDING 2020-1 LTD SER 2020-1A CL D V/R REGD 144A P/P 5.22663000
69701DAA6
4000000.00000000
NS
USD
3498904.00000000
0.058629964304
Long
ABS-CBDO
CORP
KY
Y
2
2028-02-20
Variable
5.22663000
N
N
N
N
N
N
ST. ANDREWS 2017-4 0% 06/01/21
N/A
ST. ANDREWS 2017-4 ARTEX SAC LIMITED ZCP /931QWXII2/ /BNR36B755/ 0.00000000
N/A
1737984.00000000
NS
USD
171017.63000000
0.002865685238
Long
DBT
CORP
BM
N
3
2021-06-01
Fixed
0.00000000
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 0.00000000
07325XAN0
3723164.03000000
NS
USD
0.37000000
0.000000006199
Long
ABS-CBDO
CORP
US
Y
2
2037-07-25
Variable
0.00000000
N
N
N
N
N
N
GNR 2020-9 SA V/R 01/20/50
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-9 CL SA V/R 3.16000000
38382CAZ4
27018549.05000000
NS
USD
2601445.87000000
0.043591558527
Long
ABS-CBDO
CORP
US
N
2
2050-01-20
Variable
3.16000000
N
N
N
N
N
N
BOSTON SCIENTIF 2.65% 06/01/30
N/A
BOSTON SCIENTIFIC CORP REGD 2.65000000
101137BA4
12725000.00000000
NS
USD
13260468.00000000
0.222201228013
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.65000000
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 9.45125000
83614JAA0
4100000.00000000
NS
USD
3633112.50000000
0.060878851260
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
9.45125000
N
N
N
N
N
N
GNMA P#781485 6% 08/15/32
N/A
GINNIE MAE I POOL P#781485 6.00000000
36225BUJ5
3622.25000000
NS
USD
4314.80000000
0.000072301660
Long
ABS-MBS
USGSE
US
N
2
2032-08-15
Fixed
6.00000000
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
0.001829827883
Long
DBT
CORP
BM
N
3
2020-11-30
Fixed
0.00000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 12/01/23
N/A
SECTOR RE V LTD REGD ZCP 144A P/P SER C 0.00000000
81369ACR1
1260000.00000000
NS
USD
753261.83000000
0.012622156596
Long
DBT
CORP
BM
Y
3
2023-12-01
Fixed
0.00000000
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
7172816.98000000
NS
USD
7652019.25000000
0.128222327759
Long
ABS-CBDO
CORP
US
Y
2
2057-12-25
Variable
3.50000000
N
N
N
N
N
N
FNMA P#747637 6% 11/1/33_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #747637___ 6.00000000
31403FS21
20087.30000000
NS
USD
23399.45000000
0.000392096758
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#619118 6% 10/15/34
N/A
GINNIE MAE I POOL P#619118 6.00000000
36290VYP3
40867.18000000
NS
USD
45810.98000000
0.000767639272
Long
ABS-MBS
USGSE
US
N
2
2034-10-15
Fixed
6.00000000
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
12516.62000000
NS
USD
12569.51000000
0.000210623075
Long
ABS-MBS
USGSE
US
N
2
2029-09-15
Fixed
7.50000000
N
N
N
N
N
N
BAT CAPITAL COR 4.54% 08/15/47
N/A
BAT CAPITAL CORP REGD SER WI 4.54000000
05526DBF1
14708000.00000000
NS
USD
15969680.48000000
0.267598595588
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
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
1755964.53000000
0.029424110439
Long
ABS-CBDO
CORP
US
Y
2
2023-06-20
Fixed
3.70000000
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
143445.00000000
0.002403659897
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
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 4.57372200
10260PAA6
2000000.00000000
NS
USD
1937400.00000000
0.032464363939
Long
DBT
CORP
BM
Y
2
2022-05-23
Variable
4.57372200
N
N
N
N
N
N
PRIME SECSRVC B 6.25% 01/15/28
N/A
PRIME SECSRVC BRW/FINANC REGD 144A P/P 6.25000000
74166MAE6
10614000.00000000
NS
USD
10003695.00000000
0.167628571908
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
6.25000000
N
N
N
N
N
N
INTESA SANPAOLO SPA V/R /PERP/
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA REGD V/R /PERP/ MTN 7.70000000
46115HAU1
5550000.00000000
NS
USD
5543062.50000000
0.092883244728
Long
DBT
CORP
IT
Y
2
2169-03-17
Variable
7.70000000
N
N
N
N
N
N
GNMA P#AL1913 4% 01/15/45
N/A
GINNIE MAE I POOL P#AL1913 4.00000000
36183XDS6
1308594.66000000
NS
USD
1412776.19000000
0.023673418187
Long
ABS-MBS
USGSE
US
N
2
2045-01-15
Fixed
4.00000000
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 3.10577200
36250BAS5
3049252.68000000
NS
USD
2723717.51000000
0.045640423511
Long
ABS-CBDO
CORP
US
Y
2
2044-07-25
Variable
3.10577200
N
N
N
N
N
N
UMBS P#AB5267 4% 05/01/42
N/A
FANNIE MAE POOL UMBS P#AB5267 4.00000000
31417BZ91
3051431.60000000
NS
USD
3330387.47000000
0.055806189162
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#510732 7% 11/15/29
N/A
GINNIE MAE I POOL P#510732 7.00000000
36211ELM8
35896.59000000
NS
USD
40436.31000000
0.000677577724
Long
ABS-MBS
USGSE
US
N
2
2029-11-15
Fixed
7.00000000
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
244284.48000000
NS
USD
284908.70000000
0.004774119813
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#BE2699 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#BE2699 4.00000000
3140FM7M2
1226728.38000000
NS
USD
1324210.85000000
0.022189358401
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
ENTERPRISE PROD 3.95% 01/31/60
N/A
ENTERPRISE PRODUCTS OPER REGD 3.95000000
29379VBZ5
1622000.00000000
NS
USD
1671475.20000000
0.028008350989
Long
DBT
CORP
US
N
2
2060-01-31
Fixed
3.95000000
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 ___ 6.79825000
363543AJ8
1200000.00000000
NS
USD
1174680.00000000
0.019683719950
Long
DBT
CORP
BM
Y
2
2021-01-08
Variable
6.79825000
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
218500.00000000
0.003661331434
Long
DBT
CORP
BM
N
3
2021-07-01
Fixed
0.00000000
N
N
N
N
N
N
LAMAR MEDIA CO 4.875% 01/15/29
N/A
LAMAR MEDIA CORP REGD 144A P/P 4.87500000
513075BU4
2380000.00000000
NS
USD
2391900.00000000
0.040080268455
Long
DBT
CORP
US
Y
2
2029-01-15
Fixed
4.87500000
N
N
N
N
N
N
CARRIER GLOBAL 2.722% 02/15/30
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP REGD 144A P/P 2.72200000
14448CAA2
5728000.00000000
NS
USD
5752873.84000000
0.096398983192
Long
DBT
CORP
US
Y
2
2030-02-15
Fixed
2.72200000
N
N
N
N
N
N
RALPH LAUREN CO 2.95% 06/15/30
N/A
RALPH LAUREN CORP REGD 2.95000000
731572AB9
5845000.00000000
NS
USD
6001812.17000000
0.100570359544
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.95000000
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 1.44388000
46185JAE8
3650000.00000000
NS
USD
3588351.50000000
0.060128806151
Long
ABS-CBDO
CORP
US
Y
2
2037-03-17
Variable
1.44388000
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
9253500.00000000
NS
USD
9693874.07000000
0.162437006187
Long
ABS-CBDO
CORP
US
Y
2
2049-10-25
Fixed
3.66800000
N
N
N
N
N
N
GNMA P#603629 6% 04/15/33
N/A
GINNIE MAE I POOL P#603629 6.00000000
36200KSS7
11434.15000000
NS
USD
12709.24000000
0.000212964484
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
6.00000000
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
1273355.61000000
0.021337194150
Long
ABS-CBDO
CORP
US
Y
2
2024-04-22
Fixed
3.98000000
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 3.96124000
89176EAE0
5161000.00000000
NS
USD
5138175.48000000
0.086098688327
Long
ABS-CBDO
CORP
US
Y
2
2058-01-25
Variable
3.96124000
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
75466.14000000
NS
USD
79927.91000000
0.001339325260
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
CDX 2I65BRWX4 05.000 NA 06/20/2025 CHASUS33 FIXED
N/A
1.00000000
NC
USD
-91690.25000000
-0.00153642285
N/A
DCR
US
N
2
JP MORGAN
N/A
CDX.NA.HY.34
CDX.NA.HY.34
Y
2025-06-20
-12692000.00000000
USD
12666898.33000000
USD
12692000.00000000
USD
-56011.91000000
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
8842773.40000000
0.148175396865
Long
ABS-CBDO
CORP
US
N
2
2059-01-15
Fixed
3.29400000
N
N
N
N
N
N
FGLMC P#A17066 6% 12/01/33
N/A
FREDDIE MAC GOLD POOL P#A17066 6.00000000
31296RZ76
7880.64000000
NS
USD
8773.59000000
0.000147016113
Long
ABS-MBS
USGA
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
NRZT 2019-RPL2 M V/R 02/25/59
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL2 SER 2019-RPL2 CL M2 V/R REGD 144A P/P 3.75000000
64830HAD6
10950000.00000000
NS
USD
10405551.77000000
0.174362351423
Long
ABS-CBDO
CORP
US
Y
2
2059-02-25
Variable
3.75000000
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
3720.15000000
NS
USD
4095.01000000
0.000068618713
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.50000000
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
1537757.16000000
0.025767682508
Long
DBT
CORP
GB
N
2
2025-05-01
Fixed
7.65000000
N
N
N
N
N
N
OMNICOM GROUP I 2.45% 04/30/30
N/A
OMNICOM GROUP INC REGD 2.45000000
681919BB1
14855000.00000000
NS
USD
15156892.22000000
0.253978974509
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
2.45000000
N
N
N
N
N
N
SOUTHWEST AIRL 2.625% 02/10/30
N/A
SOUTHWEST AIRLINES CO REGD 2.62500000
844741BF4
6880000.00000000
NS
USD
6164149.97000000
0.103290599773
Long
DBT
CORP
US
N
2
2030-02-10
Fixed
2.62500000
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
6778334.98000000
0.113582292604
Long
DBT
CORP
US
Y
2
2023-03-14
Fixed
2.70000000
N
N
N
N
N
N
GNMA P#592769 6% 05/15/33
N/A
GINNIE MAE I POOL P#592769 6.00000000
36201TQW0
94244.76000000
NS
USD
108185.30000000
0.001812824895
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Fixed
6.00000000
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
1739161.23000000
NS
USD
1934946.12000000
0.032423245092
Long
ABS-MBS
USGA
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#ZM3235 4.5% 05/01/47
N/A
FREDDIE MAC POOL UMBS P#ZM3235 4.50000000
3131XWSY0
3704117.53000000
NS
USD
4000154.31000000
0.067029248132
Long
ABS-MBS
USGA
US
N
2
2047-05-01
Fixed
4.50000000
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
408502.12000000
NS
USD
448455.20000000
0.007514613824
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#AJ6282 4% 09/15/44
N/A
GINNIE MAE I POOL P#AJ6282 4.00000000
36183B6T0
290444.14000000
NS
USD
313539.13000000
0.005253870354
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
Fixed
4.00000000
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
11260938.71000000
0.188695784338
Long
DBT
CORP
US
N
2
2037-06-15
Fixed
6.62500000
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
1771229.78000000
0.029679905129
Long
ABS-CBDO
CORP
US
Y
2
2024-07-15
Fixed
3.85000000
N
N
N
N
N
N
FGLMC P#C53033 7% 06/01/31
N/A
FREDDIE MAC GOLD POOL P#C53033 7.00000000
31298PLN8
650.42000000
NS
USD
652.51000000
0.000010933891
Long
ABS-MBS
USGA
US
N
2
2031-06-01
Fixed
7.00000000
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
2042078.40000000
NS
USD
2162811.59000000
0.036241510575
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
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
22765.16000000
NS
USD
26560.97000000
0.000445073292
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Fixed
5.50000000
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
7237224.26000000
0.121271746817
Long
ABS-CBDO
CORP
US
N
2
2049-12-15
Fixed
3.14130000
N
N
N
N
N
N
FGLMC P#Q09662 4% 07/01/42
N/A
FREDDIE MAC GOLD POOL P#Q09662 4.00000000
3132GVB76
72741.45000000
NS
USD
79930.56000000
0.001339369665
Long
ABS-MBS
USGA
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#Q47341 4% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47341 4.00000000
3132WMEP5
5140530.46000000
NS
USD
5580743.85000000
0.093514658509
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
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
2283747.68000000
0.038267996195
Long
ABS-CBDO
CORP
US
Y
2
2048-11-25
Variable
4.50000000
N
N
N
N
N
N
GNMA P#577732 6% 10/15/32
N/A
GINNIE MAE I POOL P#577732 6.00000000
36201AY51
5562.48000000
NS
USD
6182.37000000
0.000103595906
Long
ABS-MBS
USGSE
US
N
2
2032-10-15
Fixed
6.00000000
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
1240399.02000000
0.020784951592
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#G08020 5% 11/01/34
N/A
FREDDIE MAC GOLD POOL P#G08020 5.00000000
3128MJAW0
7013.29000000
NS
USD
8057.09000000
0.000135009962
Long
ABS-MBS
USGA
US
N
2
2034-11-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#635903 6% 11/15/34
N/A
GINNIE MAE I POOL P#635903 6.00000000
36291RNU2
83583.57000000
NS
USD
96274.83000000
0.001613245132
Long
ABS-MBS
USGSE
US
N
2
2034-11-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AA4392 4% 04/01/39
N/A
FANNIE MAE POOL UMBS P#AA4392 4.00000000
31416M3A0
1666814.19000000
NS
USD
1828190.04000000
0.030634369158
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.00000000
N
N
N
N
N
N
CVS CORP 5.298% 1/11/27
549300EJG376EN5NQE29
CVS CORP SERIES 144A PRIVATE PLACEMENT REGD 5.29800000
126650AW0
408523.68000000
NS
USD
439065.40000000
0.007357272085
Long
DBT
CORP
US
Y
2
2027-01-11
Fixed
5.29800000
N
N
N
N
N
N
GNMA P#719234 5% 07/15/40
N/A
GINNIE MAE I POOL P#719234 5.00000000
3620A5BB4
112697.48000000
NS
USD
128663.63000000
0.002155973423
Long
ABS-MBS
USGSE
US
N
2
2040-07-15
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#768033 4% 06/15/41
N/A
GINNIE MAE I POOL P#768033 4.00000000
36176KBA4
25967.77000000
NS
USD
27558.82000000
0.000461793931
Long
ABS-MBS
USGSE
US
N
2
2041-06-15
Fixed
4.00000000
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
364925.31000000
NS
USD
363555.02000000
0.006091969898
Long
ABS-CBDO
CORP
US
Y
2
2031-06-16
Fixed
2.79000000
N
N
N
N
N
N
FGLMC P#G04815 5% 09/01/38
N/A
FREDDIE MAC GOLD POOL P#G04815 5.00000000
3128M6VG0
185746.58000000
NS
USD
212947.91000000
0.003568296918
Long
ABS-MBS
USGA
US
N
2
2038-09-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#790605 6% 09/01/34
N/A
FANNIE MAE POOL UMBS P#790605 6.00000000
31405JKS2
13433.90000000
NS
USD
15039.29000000
0.000252008353
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
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
2631732.21000000
NS
USD
2642456.26000000
0.044278755919
Long
ABS-CBDO
CORP
US
Y
2
2029-04-15
Fixed
3.97000000
N
N
N
N
N
N
BOEING CO 3.75% 02/01/50
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 3.75000000
097023CQ6
26030000.00000000
NS
USD
23372482.51000000
0.391644873729
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
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
2467770.00000000
0.041351596674
Long
ABS-CBDO
CORP
KY
Y
2
2048-11-15
Variable
5.02800000
N
N
N
N
N
N
BNP PARIBAS V/R /PERP/
N/A
BNP PARIBAS REGD V/R /PERP/ 144A P/P 6.62500000
05565AHN6
13875000.00000000
NS
USD
14152500.00000000
0.237148709944
Long
DBT
CORP
FR
Y
2
2168-09-25
Variable
6.62500000
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
3201490.56000000
NS
USD
3243109.94000000
0.054343708777
Long
ABS-CBDO
CORP
US
Y
3
2068-10-25
Variable
4.00000000
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
6704.02000000
NS
USD
7694.17000000
0.000128928633
Long
ABS-MBS
USGA
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
NEWFIELD EXPLO 5.625% 07/01/24
N/A
NEWFIELD EXPLORATION CO REGD 5.62500000
651290AQ1
1400000.00000000
NS
USD
1337767.61000000
0.022416524495
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
5.62500000
N
N
N
N
N
N
GNMA P#544003 7% 03/15/31
N/A
GINNIE MAE I POOL P#544003 7.00000000
36212UKQ3
4538.55000000
NS
USD
4665.28000000
0.000078174536
Long
ABS-MBS
USGSE
US
N
2
2031-03-15
Fixed
7.00000000
N
N
N
N
N
N
DRIVE 2020-2 C 2.28% 09/15/23
N/A
DRIVE AUTO RECEIVABLES TRUST 2020-2 SER 2020-2 CL C REGD 2.28000000
26208VAF3
2400000.00000000
NS
USD
2423880.96000000
0.040616162707
Long
ABS-CBDO
CORP
US
N
2
2026-08-17
Fixed
2.28000000
N
N
N
N
N
N
ING GROEP NV V/R /PERP/
N/A
ING GROEP NV REGD V/R /PERP/ 5.75000000
456837AR4
1300000.00000000
NS
USD
1290250.00000000
0.021620287794
Long
DBT
CORP
NL
N
2
2168-11-16
Variable
5.75000000
N
N
N
N
N
N
UMBS P#BH3109 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#BH3109 4.00000000
3140GRN34
455713.59000000
NS
USD
494786.08000000
0.008290964887
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
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 1.14050000
71337JAA1
5086.00000000
NS
USD
5085.02000000
0.000085207979
Long
ABS-CBDO
CORP
AU
Y
2
2047-03-12
Variable
1.14050000
N
N
N
N
N
N
JPMMT 2020-LTV1 V/R 06/01/42
N/A
JP MORGAN MORTGAGE TRUST 2020-LTV1 SER 2020-LTV1 CL B2A V/R REGD 144A P/P 3.67611500
46591NBU0
17735277.18000000
NS
USD
17411150.80000000
0.291752831716
Long
ABS-CBDO
CORP
US
Y
2
2050-06-25
Variable
3.67611500
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
10737.74000000
NS
USD
12079.95000000
0.000202419682
Long
ABS-MBS
USGSE
US
N
2
2031-10-20
Fixed
6.00000000
N
N
N
N
N
N
MDPK 2016-22A ER V/R 01/15/33
N/A
MADISON PARK FUNDING XXII LTD SER 2016-22A CL ER V/R REGD 144A P/P 7.91888000
55819VAG1
4850000.00000000
NS
USD
4268208.55000000
0.071520943395
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
7.91888000
N
N
N
N
N
N
CNO FINANCIAL G 5.25% 05/30/29
11XPYHB76MPM4Y4P2897
CNO FINANCIAL GROUP INC REGD 5.25000000
12621EAL7
19258000.00000000
NS
USD
20639357.47000000
0.345846811383
Long
DBT
CORP
US
N
2
2029-05-30
Fixed
5.25000000
N
N
N
N
N
N
RAYTHEON TECH 4.125% 11/16/28
I07WOS4YJ0N7YRFE7309
RAYTHEON TECH CORP REGD 4.12500000
913017CY3
7910000.00000000
NS
USD
9317059.91000000
0.156122857313
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
CENTURYLINK INC 4% 02/15/27
8M3THTGWLTYZVE6BBY25
CENTURYLINK INC REGD 144A P/P 4.00000000
156700BC9
1260000.00000000
NS
USD
1223775.00000000
0.020506388448
Long
DBT
CORP
US
Y
2
2027-02-15
Fixed
4.00000000
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
72767.80000000
NS
USD
77071.36000000
0.001291459007
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
2.50000000
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
8189727.61000000
0.137232526939
Long
DBT
CORP
US
Y
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
LION ROCK RE 2020 0% 01/31/21
N/A
LION ROCK RE 2020 REGD ZCP /XILS00171823/ 0.00000000
N/A
500000.00000000
NS
USD
541700.00000000
0.009077085757
Long
DBT
CORP
BM
N
3
2021-01-31
Fixed
0.00000000
N
N
N
N
N
N
GSMBS 2020-PJ2 B V/R 07/25/50
N/A
GS MORTGAGE-BACKED SECURITIES CORP TRUST 202 SER 2020-PJ2 CL B2 V/R REGD 144A P/P 3.60049700
36262DAS7
5538295.47000000
NS
USD
5281148.53000000
0.088494439916
Long
ABS-CBDO
CORP
US
Y
2
2050-07-25
Variable
3.60049700
N
N
N
N
N
N
MPLX LP V/R 09/09/21
N/A
MPLX LP REGD V/R 1.21288000
55336VBG4
5914000.00000000
NS
USD
5867118.18000000
0.098313337394
Long
DBT
CORP
US
N
2
2021-09-09
Variable
1.21288000
N
N
N
N
N
N
FGLMC P#G04942 6% 07/01/38
N/A
FREDDIE MAC GOLD POOL P#G04942 6.00000000
3128M6ZF8
52002.75000000
NS
USD
59012.96000000
0.000988860436
Long
ABS-MBS
USGA
US
N
2
2038-07-01
Fixed
6.00000000
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
12692972.75000000
NS
USD
12829188.66000000
0.214974424331
Long
ABS-CBDO
CORP
US
Y
2
2036-05-27
Fixed
3.20000000
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
45961.88000000
0.000770167853
Long
LON
CORP
US
N
2
2024-02-29
Fixed
0.00000000
N
N
N
N
N
N
IBRD V/R 07/15/20
N/A
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT V/R SER A 8.37250000
U4586DEL2
1416610.00000000
NS
USD
1419443.22000000
0.023785135379
Long
DBT
USGA
US
Y
2
2020-07-15
Variable
8.37250000
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
871787.90000000
NS
USD
938012.36000000
0.015717959447
Long
ABS-MBS
USGSE
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#743957 4% 08/15/40
N/A
GINNIE MAE I POOL P#743957 4.00000000
3620AYQJ8
210634.11000000
NS
USD
224812.26000000
0.003767103864
Long
ABS-MBS
USGSE
US
N
2
2040-08-15
Fixed
4.00000000
N
N
N
N
N
N
BX 2020-BXLP D V/R 12/15/21
N/A
BX COMMERCIAL MORTGAGE TRUST 2020-BXLP SER 2020-BXLP CL D V/R REGD 144A P/P 1.43475000
05607QAR9
6800000.00000000
NS
USD
6561695.36000000
0.109952134935
Long
ABS-CBDO
CORP
US
Y
2
2036-12-15
Variable
1.43475000
N
N
N
N
N
N
UMBS P#AD7859 5% 06/01/40
N/A
FANNIE MAE POOL UMBS P#AD7859 5.00000000
31418VWV0
330766.63000000
NS
USD
377713.55000000
0.006329219651
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
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
2985.06000000
NS
USD
3572.00000000
0.000059854809
Long
ABS-MBS
USGSE
US
N
2
2031-03-20
Fixed
7.00000000
N
N
N
N
N
N
JPMMT 2020-2 A15 V/R 12/25/43
N/A
JP MORGAN MORTGAGE TRUST 2020-2 SER 2020-2 CL A15 V/R REGD 144A P/P 3.50000000
46591TBG8
7771916.55000000
NS
USD
8042824.58000000
0.134770921989
Long
ABS-CBDO
CORP
US
Y
2
2050-07-25
Variable
3.50000000
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
631841.95000000
0.010587564270
Long
ABS-CBDO
CORP
US
Y
2
2046-01-15
Fixed
8.37000000
N
N
N
N
N
N
GNMA II P#3068 6.5% 04/20/31
N/A
GINNIE MAE II POOL P#3068 6.50000000
36202DMR9
7726.19000000
NS
USD
9118.31000000
0.000152792471
Long
ABS-MBS
USGSE
US
N
2
2031-04-20
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#MA2596 3% 04/01/31
N/A
FANNIE MAE POOL UMBS P#MA2596 3.00000000
31418B3E4
835838.47000000
NS
USD
880448.15000000
0.014753375230
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
3.00000000
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
8448610.74000000
NS
USD
8379192.73000000
0.140407330598
Long
ABS-CBDO
CORP
US
Y
2
2044-11-25
Variable
4.00000000
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
1542240.00000000
0.025842799959
Long
ABS-CBDO
CORP
US
Y
3
2029-04-25
Variable
3.81250000
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
59334.24000000
NS
USD
68164.04000000
0.001142202024
Long
ABS-MBS
USGSE
US
N
2
2033-10-20
Fixed
6.00000000
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
1660969.67000000
NS
USD
1856941.63000000
0.031116149937
Long
DBT
CORP
US
Y
2
2034-01-10
Fixed
5.92600000
N
N
N
N
N
N
US T BILL ZCP 07/21/20
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
9127963F4
200000000.00000000
PA
USD
199986944.00000000
3.351114345550
Long
STIV
UST
US
N
2
2020-07-21
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#ZM3636 4% 07/01/47
N/A
FREDDIE MAC POOL UMBS P#ZM3636 4.00000000
3131XXBD2
1978392.14000000
NS
USD
2108052.60000000
0.035323932491
Long
ABS-MBS
USGA
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
CARRIER GLOBAL C 2.7% 02/15/31
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP REGD 144A P/P 2.70000000
14448CAK0
5554000.00000000
NS
USD
5537734.33000000
0.092793962365
Long
DBT
CORP
US
Y
2
2031-02-15
Fixed
2.70000000
N
N
N
N
N
N
STARBUCKS CORP 3.35% 03/12/50
N/A
STARBUCKS CORP REGD 3.35000000
855244AX7
4754000.00000000
NS
USD
4841816.60000000
0.081132701676
Long
DBT
CORP
US
N
2
2050-03-12
Fixed
3.35000000
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
12304.36000000
NS
USD
13953.86000000
0.000233820165
Long
ABS-MBS
USGSE
US
N
2
2029-06-15
Fixed
7.50000000
N
N
N
N
N
N
VITA CAPITAL VI L V/R 01/08/21
549300LLF863700IF088
VITA CAPITAL VI LTD REGD V/R 144A P/P 4.61425000
92846DAA4
1750000.00000000
NS
USD
1487500.00000000
0.024925540084
Long
DBT
CORP
KY
Y
2
2021-01-08
Variable
4.61425000
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
7388066.70000000
0.123799363143
Long
ABS-CBDO
CORP
US
Y
2
2057-10-25
Variable
3.25000000
N
N
N
N
N
N
FGLMC P#C01511 6% 03/01/33
N/A
FREDDIE MAC GOLD POOL P#C01511 6.00000000
31292HVC5
81062.43000000
NS
USD
94326.53000000
0.001580598120
Long
ABS-MBS
USGA
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
MSC 2018-MP A V/R 07/11/28
N/A
MORGAN STANLEY CAPITAL I TRUST 2018-MP SER 2018-MP CL A V/R REGD 144A P/P 4.41800000
61691DAA5
6900000.00000000
NS
USD
7458721.29000000
0.124983298481
Long
ABS-CBDO
CORP
US
Y
2
2040-07-11
Variable
4.41800000
N
N
N
N
N
N
CARGILL INC 2.125% 04/23/30
QXZYQNMR4JZ5RIRN4T31
CARGILL INC REGD 144A P/P 2.12500000
141781BM5
5545000.00000000
NS
USD
5812654.49000000
0.097400707554
Long
DBT
CORP
US
Y
2
2030-04-23
Fixed
2.12500000
N
N
N
N
N
N
UMBS P#AK7568 4% 07/01/42
N/A
FANNIE MAE POOL UMBS P#AK7568 4.00000000
3138ECMS9
121281.89000000
NS
USD
133230.67000000
0.002232501785
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
ENBRIDGE INC 3.7% 07/15/27
N/A
ENBRIDGE INC REGD 3.70000000
29250NAR6
10550000.00000000
NS
USD
11640796.36000000
0.195060931955
Long
DBT
CORP
CA
N
2
2027-07-15
Fixed
3.70000000
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
5190345.35000000
NS
USD
5436395.23000000
0.091095856954
Long
ABS-CBDO
CORP
US
Y
2
2043-06-25
Variable
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 2.13450000
75049SAB9
7125976.89000000
NS
USD
7059493.66000000
0.118293574586
Long
ABS-CBDO
CORP
BM
Y
2
2029-02-25
Variable
2.13450000
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
5272.79000000
NS
USD
6272.07000000
0.000105098979
Long
ABS-MBS
USGSE
US
N
2
2031-06-20
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#433566 7% 01/15/28
N/A
GINNIE MAE I POOL P#433566 7.00000000
36207JTX1
9923.17000000
NS
USD
11078.92000000
0.000185645757
Long
ABS-MBS
USGSE
US
N
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
ARTEX SAC LIMITED 0% 06/15/21
N/A
ARTEX SAC LIMITED WALTON HEATH RE REGD ZCP /BNR3WZ6L9/ 0.00000000
N/A
553333.00000000
NS
USD
262833.18000000
0.004404207706
Long
DBT
CORP
BM
N
3
2021-06-15
Fixed
0.00000000
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
2472402.23000000
0.041429217403
Long
DBT
CORP
US
Y
2
2021-10-03
Fixed
2.65000000
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
4705560.84000000
NS
USD
4833468.34000000
0.080992812675
Long
ABS-CBDO
CORP
US
N
2
2045-11-15
Fixed
2.85800000
N
N
N
N
N
N
UMBS TBA 30YR 2% JUL 20
N/A
UMBS TBA 30YR 2% JUL 20 TO BE ANNOUNCED 2.00000000
01F020679
40500000.00000000
NS
USD
41446054.89000000
0.694497682350
Long
ABS-MBS
USGA
US
N
2
2050-07-01
Fixed
2.00000000
N
N
N
N
N
N
UMBS P#AE4561 4% 05/01/41
N/A
FANNIE MAE POOL UMBS P#AE4561 4.00000000
31419FB70
608784.13000000
NS
USD
667882.56000000
0.011191484719
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.00000000
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
1416587.07000000
0.023737275829
Long
DBT
CORP
GB
Y
2
2027-09-11
Fixed
4.00000000
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
3372743.53000000
NS
USD
3505818.16000000
0.058745822571
Long
ABS-CBDO
CORP
US
Y
2
2068-10-25
Variable
4.00000000
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
41506.19000000
NS
USD
45205.71000000
0.000757496965
Long
ABS-MBS
USGSE
US
N
2
2028-07-20
Fixed
5.90000000
N
N
N
N
N
N
TAKEDA PHARMACE 2.05% 03/31/30
N/A
TAKEDA PHARMACEUTICAL REGD 2.05000000
874060AX4
11515000.00000000
NS
USD
11508741.48000000
0.192848132490
Long
DBT
CORP
JP
N
2
2030-03-31
Fixed
2.05000000
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
11366.17000000
NS
USD
13166.65000000
0.000220629151
Long
ABS-MBS
USGSE
US
N
2
2028-06-20
Fixed
7.00000000
N
N
N
N
N
N
FGLMC P#G18527 3% 10/01/29
N/A
FREDDIE MAC GOLD POOL P#G18527 3.00000000
3128MMSR5
1645741.34000000
NS
USD
1732885.25000000
0.029037378662
Long
ABS-MBS
USGA
US
N
2
2029-10-01
Fixed
3.00000000
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
41621.76000000
NS
USD
45724.14000000
0.000766184123
Long
ABS-MBS
USGSE
US
N
2
2034-12-20
Fixed
4.50000000
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
1076681.80000000
NS
USD
1158506.06000000
0.019412698646
Long
ABS-MBS
USGA
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AK1083 4% 01/01/42
N/A
FANNIE MAE POOL UMBS P#AK1083 4.00000000
3138E5FZ6
247824.71000000
NS
USD
272081.04000000
0.004559171004
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
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
4596307.20000000
0.077018782758
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
6.00000000
N
N
N
N
N
N
VERISK ANALYTICS 5.5% 06/15/45
549300I1YSWNIRKBWP67
VERISK ANALYTICS INC REGD 5.50000000
92345YAE6
759000.00000000
NS
USD
1040936.74000000
0.017442628865
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#255581 6% 02/01/35
N/A
FANNIE MAE POOL UMBS P#255581 6.00000000
31371L2N8
2228.21000000
NS
USD
2596.47000000
0.000043508179
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
6.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP PREFERRED
N/A
BANK OF AMERICA CORP PREFERREDSERIES L /CONVERTIBLE/ 0.00000000
060505682
16606.00000000
NS
USD
22288573.20000000
0.373482167877
Long
EP
CORP
US
N
1
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
5174542.07000000
0.086708071115
Long
ABS-CBDO
CORP
US
Y
2
2034-12-17
Fixed
3.19600000
N
N
N
N
N
N
SUSSEX RE 2020-10.0% 12/31/22
N/A
SUSSEX RE 2020-1 REGD ZCP /XILS00176384/ 0.00000000
N/A
3609700.00000000
NS
USD
3717991.00000000
0.062301131901
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
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
1085022.83000000
NS
USD
1179294.19000000
0.019761038389
Long
ABS-MBS
USGA
US
N
2
2047-01-01
Fixed
3.50000000
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
763324.31000000
0.012790770209
Long
ABS-CBDO
CORP
US
Y
2
2036-12-17
Fixed
5.04000000
N
N
N
N
N
N
NOVA CHEMICALS 5.25% 06/01/27
N/A
NOVA CHEMICALS CORP REGD 144A P/P 5.25000000
66977WAR0
3493000.00000000
NS
USD
3066399.91000000
0.051382637896
Long
DBT
CORP
CA
Y
2
2027-06-01
Fixed
5.25000000
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
377971.41000000
NS
USD
400113.61000000
0.006704569965
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
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
566964.12000000
NS
USD
631302.45000000
0.010578524048
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Fixed
4.50000000
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
1563125.00000000
0.026192762920
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
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
13604.16000000
NS
USD
15657.27000000
0.000262363637
Long
ABS-MBS
USGSE
US
N
2
2029-04-20
Fixed
6.50000000
N
N
N
N
N
N
FGLMC P#Q15961 3% 02/01/43
N/A
FREDDIE MAC GOLD POOL P#Q15961 3.00000000
3132J7B76
1530663.00000000
NS
USD
1665240.51000000
0.027903878374
Long
ABS-MBS
USGA
US
N
2
2043-02-01
Fixed
3.00000000
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
3782297.20000000
0.063378689391
Long
ABS-CBDO
CORP
US
Y
2
2049-07-26
Fixed
5.21900000
N
N
N
N
N
N
FGLMC P#Q45370 3% 12/01/46
N/A
FREDDIE MAC GOLD POOL P#Q45370 3.00000000
3132WJ6G1
1675800.58000000
NS
USD
1774240.36000000
0.029730352411
Long
ABS-MBS
USGA
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
ROYAL CARIBBEAN 11.5% 06/01/25
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES REGD 144A P/P 11.50000000
780153AZ5
2207000.00000000
NS
USD
2302894.90000000
0.038588839757
Long
DBT
CORP
US
Y
2
2025-06-01
Fixed
11.50000000
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
5591331.24000000
NS
USD
5971518.11000000
0.100062732110
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#C75398 6% 01/01/33
N/A
FREDDIE MAC GOLD POOL P#C75398 6.00000000
31288D7K9
47785.01000000
NS
USD
53895.27000000
0.000903105016
Long
ABS-MBS
USGA
US
N
2
2033-01-01
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
1150878.77000000
NS
USD
1218951.06000000
0.020425555298
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
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 4.33561500
36257TAQ3
2805080.26000000
NS
USD
2932095.42000000
0.049132142468
Long
ABS-CBDO
CORP
US
Y
2
2049-08-25
Variable
4.33561500
N
N
N
N
N
N
HARAMBEE RE 2020 0.0% 12/31/23
N/A
HARAMBEE RE 2020 REGD ZCP /XILS00171922/ 0.00000000
N/A
4000000.00000000
NS
USD
4005200.00000000
0.067113797072
Long
DBT
CORP
BM
N
3
2023-12-31
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#AF5072 4% 08/15/43
N/A
GINNIE MAE I POOL P#AF5072 4.00000000
36181LT57
708329.96000000
NS
USD
770108.40000000
0.012904448936
Long
ABS-MBS
USGSE
US
N
2
2043-08-15
Fixed
4.00000000
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 1.58450000
89177HAB8
13515000.00000000
NS
USD
12984133.50000000
0.217570783202
Long
ABS-CBDO
CORP
US
Y
2
2058-05-25
Variable
1.58450000
N
N
N
N
N
N
GNMA P#AJ6291 4% 09/15/44
N/A
GINNIE MAE I POOL P#AJ6291 4.00000000
36183B7C6
117356.59000000
NS
USD
125283.31000000
0.002099330531
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
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
4615918.86000000
NS
USD
5047184.76000000
0.084573987259
Long
ABS-MBS
USGA
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#615671 6% 10/15/33
N/A
GINNIE MAE I POOL P#615671 6.00000000
36290R6G3
21546.16000000
NS
USD
24263.04000000
0.000406567647
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#BK1181 5% 10/01/49
N/A
FANNIE MAE POOL UMBS P#BK1181 5.00000000
3140HEJ37
633025.64000000
NS
USD
691084.06000000
0.011580264496
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#603650 6% 04/15/33
N/A
GINNIE MAE I POOL P#603650 6.00000000
36200KTF4
25389.68000000
NS
USD
28296.33000000
0.000474152139
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
US TIPS 1% 02/15/49
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000
912810SG4
52121317.95000000
NS
USD
69459274.22000000
1.163905831123
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
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
6772561.29000000
0.113485544811
Long
DBT
CORP
US
Y
2
2049-09-15
Fixed
3.30000000
N
N
N
N
N
N
FGLMC P#J00045 5% 10/01/20
N/A
FREDDIE MAC GOLD POOL P#J00045 5.00000000
3128PBBN3
5617.98000000
NS
USD
5904.29000000
0.000098936213
Long
ABS-MBS
USGA
US
N
2
2020-10-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#590490 6% 09/15/32
N/A
GINNIE MAE I POOL P#590490 6.00000000
36201Q7B3
40004.28000000
NS
USD
44847.02000000
0.000751486517
Long
ABS-MBS
USGSE
US
N
2
2032-09-15
Fixed
6.00000000
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
3950964.40000000
0.066204989259
Long
ABS-CBDO
CORP
US
Y
2
2025-06-12
Fixed
4.29000000
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
12942134.31000000
0.216867016820
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
3.75000000
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
3516713.32000000
0.058928389124
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.62500000
N
N
N
N
N
N
GNMA P#746503 4% 11/15/40
N/A
GINNIE MAE I POOL P#746503 4.00000000
3620C2KQ6
12487.93000000
NS
USD
13279.30000000
0.000222516789
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#890516 5% 02/01/39
N/A
FANNIE MAE POOL UMBS P#890516 5.00000000
31410LK50
464876.16000000
NS
USD
533173.26000000
0.008934206026
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
5.00000000
N
N
N
N
N
N
IBRD V/R 02/15/21
N/A
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT V/R SER GDIF 2.69238000
U4586FSE8
1500000.00000000
NS
USD
1473000.00000000
0.024682568433
Long
DBT
USGA
US
Y
2
2021-02-15
Variable
2.69238000
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
2558.16000000
NS
USD
2902.78000000
0.000048640913
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
6.50000000
N
N
N
N
N
N
F/C US 5YR NOTE (CBT) SEP20
N/A
FUTURE CONTRACT ON US 5YR NOTE (CBT) SEP20 0.00000000
N/A
4413.00000000
NC
USD
554900275.64000000
9.298278361846
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Long
F/C US 5YR NOTE (CBT) SEP20
US 5YR NOTE (CBT) SEP20
2020-09-30
553348750.01000000
USD
1551525.63000000
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
8750000.00000000
NS
USD
8830213.88000000
0.147964941189
Long
ABS-CBDO
CORP
US
Y
2
2059-07-25
Variable
3.00000000
N
N
N
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
1104119.83000000
0.018501366776
Long
ABS-CBDO
CORP
US
Y
2
2024-11-15
Fixed
4.30000000
N
N
N
N
N
N
MEG ENERGY COR 7.125% 02/01/27
5493002WXPTG5ZC1T326
MEG ENERGY CORP REGD 144A P/P 7.12500000
552704AE8
5000000.00000000
NS
USD
4156250.00000000
0.069644891411
Long
DBT
CORP
CA
Y
2
2027-02-01
Fixed
7.12500000
N
N
N
N
N
N
RESIDENTIAL RE 20 V/R 12/06/20
N/A
RESIDENTIAL RE 2016 LTD REGD V/R P/P 5.58721100
76118GAE3
1250000.00000000
NS
USD
1216875.00000000
0.020390767455
Long
DBT
CORP
KY
Y
2
2023-12-06
Variable
5.58721100
N
N
N
N
N
N
UMBS P#CA4189 5% 09/01/49
N/A
FANNIE MAE POOL UMBS P#CA4189 5.00000000
3140QBUP1
1420379.15000000
NS
USD
1610569.86000000
0.026987780574
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#AA8385 4% 03/15/44
N/A
GINNIE MAE I POOL P#AA8385 4.00000000
36178GJ62
407141.14000000
NS
USD
442693.51000000
0.007418067111
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#616629 6% 09/15/34
N/A
GINNIE MAE I POOL P#616629 6.00000000
36290TA66
87452.75000000
NS
USD
104211.06000000
0.001746229884
Long
ABS-MBS
USGSE
US
N
2
2034-09-15
Fixed
6.00000000
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
4553596.00000000
0.076303085462
Long
DBT
CORP
TG
Y
2
2021-05-06
Fixed
5.50000000
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
2106.22000000
NS
USD
2489.24000000
0.000041711362
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#346690 7% 08/15/23
N/A
GINNIE MAE I POOL P#346690 7.00000000
36203EC30
8228.65000000
NS
USD
8685.20000000
0.000145534992
Long
ABS-MBS
USGSE
US
N
2
2023-08-15
Fixed
7.00000000
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 9.19213000
55819NAA2
4400000.00000000
NS
USD
4188769.20000000
0.070189804772
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
9.19213000
N
N
N
N
N
N
GNMA P#676600 6% 11/15/37
N/A
GINNIE MAE I POOL P#676600 6.00000000
36295PUZ3
25694.74000000
NS
USD
30584.75000000
0.000512498428
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Fixed
6.00000000
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
16165.03000000
NS
USD
18810.90000000
0.000315207960
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
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
202211.27000000
NS
USD
214209.99000000
0.003589445171
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
2.50000000
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
95870.58000000
NS
USD
100343.31000000
0.001681419291
Long
ABS-MBS
USGSE
US
N
2
2025-06-15
Fixed
4.50000000
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
3878474.31000000
0.064990297062
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
4.25000000
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 3.88089000
46590WAG3
5925000.00000000
NS
USD
5903682.44000000
0.098926032472
Long
ABS-CBDO
CORP
US
Y
2
2031-01-05
Variable
3.88089000
N
N
N
N
N
N
GNMA P#AL1912 4% 01/15/45
N/A
GINNIE MAE I POOL P#AL1912 4.00000000
36183XDR8
1101059.04000000
NS
USD
1186520.31000000
0.019882124065
Long
ABS-MBS
USGSE
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
COSTAR GROUP INC 2.8% 07/15/30
N/A
COSTAR GROUP INC REGD 144A P/P 2.80000000
22160NAA7
14835000.00000000
NS
USD
15181643.96000000
0.254393731139
Long
DBT
CORP
US
Y
2
2030-07-15
Fixed
2.80000000
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
193860.29000000
NS
USD
204042.59000000
0.003419073449
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
2.50000000
N
N
N
N
N
N
CIM 2020-R2 M2 V/R 10/25/59
N/A
CIM TRUST 2020-R2 SER 2020-R2 CL M2 V/R REGD 144A P/P 3.00000000
12558WAG5
8203000.00000000
NS
USD
7877874.10000000
0.132006901955
Long
ABS-CBDO
CORP
US
Y
2
2059-10-25
Variable
3.00000000
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
8842.87000000
NS
USD
9733.91000000
0.000163107874
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.50000000
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
7668923.92000000
0.128505593661
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
MSAIC 2020-1A A 2.1% 03/22/32
N/A
MOSAIC SOLAR LOAN TRUST 2020-1 SER 2020-1A CL A REGD 144A P/P 2.10000000
61946NAA6
1600000.00000000
NS
USD
1610000.00000000
0.026978231620
Long
ABS-CBDO
CORP
US
Y
2
2046-04-20
Fixed
2.10000000
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
3289920.79000000
NS
USD
3658587.83000000
0.061305732846
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
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
4957964.33000000
NS
USD
4597996.29000000
0.077047086274
Long
ABS-CBDO
CORP
US
Y
2
2039-10-19
Fixed
3.32000000
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
1785650.13000000
0.029921542112
Long
ABS-CBDO
CORP
US
Y
2
2025-06-16
Fixed
3.27000000
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
535800.00000000
0.008978221430
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#585345 6% 11/15/32
N/A
GINNIE MAE I POOL P#585345 6.00000000
36201KHW9
5676.75000000
NS
USD
6323.02000000
0.000105952731
Long
ABS-MBS
USGSE
US
N
2
2032-11-15
Fixed
6.00000000
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
9411283.61000000
0.157701732346
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
3.75000000
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
2046346.01000000
NS
USD
2237071.45000000
0.037485858217
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#611552 6% 05/15/33
N/A
GINNIE MAE I POOL P#611552 6.00000000
36202WL98
16131.89000000
NS
USD
17949.01000000
0.000300765558
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Fixed
6.00000000
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
671153.74000000
NS
USD
683229.94000000
0.011448655634
Long
ABS-CBDO
CORP
US
N
2
2023-06-25
Fixed
3.00000000
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
3338794.76000000
0.055947067309
Long
DBT
CORP
US
Y
2
2027-08-01
Fixed
3.15000000
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
12565891.19000000
0.210562436673
Long
DBT
CORP
KR
Y
2
2022-08-29
Fixed
3.00000000
N
N
N
N
N
N
F/C US 2YR NOTE (CBT) SEP20
N/A
FUTURE CONTRACT ON US 2YR NOTE (CBT) SEP20 0.00000000
N/A
1062.00000000
NC
USD
234519469.81000000
3.929764332971
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Long
F/C US 2YR NOTE (CBT) SEP20
US 2YR NOTE (CBT) SEP20
2020-09-30
234461390.63000000
USD
58079.18000000
N
N
N
JPMMT 2020-2 B1A V/R 05/25/44
N/A
JP MORGAN MORTGAGE TRUST 2020-2 SER 2020-2 CL B1A V/R REGD 144A P/P 3.27047400
46591TBQ6
12427766.41000000
NS
USD
12556995.30000000
0.210413371219
Long
ABS-CBDO
CORP
US
Y
2
2050-07-25
Variable
3.27047400
N
N
N
N
N
N
BONANZA RE LTD V/R 02/20/24
N/A
BONANZA RE LTD REGD V/R 144A P/P SER 2020 4.88220800
09785EAC5
500000.00000000
NS
USD
486000.00000000
0.008143739483
Long
DBT
CORP
BM
Y
2
2024-02-20
Variable
4.88220800
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
3832.56000000
NS
USD
4218.74000000
0.000070692015
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
INTERNATIONAL PA 7.3% 11/15/39
824LMFJDH41EY779Q875
INTERNATIONAL PAPER CO REGD 7.30000000
460146CF8
7457000.00000000
NS
USD
10472286.87000000
0.175480609178
Long
DBT
CORP
US
N
2
2039-11-15
Fixed
7.30000000
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
5625735.82000000
0.094268573905
Long
DBT
CORP
US
Y
2
2025-12-15
Fixed
4.25000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 05/01/29
N/A
GOLDMAN SACHS GROUP INC REGD V/R 4.22300000
38141GWZ3
6335000.00000000
NS
USD
7370690.02000000
0.123508187927
Long
DBT
CORP
US
N
2
2029-05-01
Variable
4.22300000
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
7934.39000000
NS
USD
9047.85000000
0.000151611796
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.50000000
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
9438856.87000000
0.158163768244
Long
DBT
CORP
US
Y
2
2028-01-15
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
1147041.83000000
NS
USD
1039028.34000000
0.017410650445
Long
LON
CORP
US
N
2
2022-10-19
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
259879.87000000
NS
USD
303104.40000000
0.005079019073
Long
ABS-MBS
USGA
US
N
2
2034-05-01
Fixed
6.00000000
N
N
N
N
N
N
SYMP 2020-22A C V/R 04/18/33
N/A
SYMPHONY CLO XXII LTD SER 2020-22A CL C V/R REGD 144A P/P 3.46425000
87167GBC3
8750000.00000000
NS
USD
8394741.25000000
0.140667871948
Long
ABS-CBDO
CORP
KY
Y
2
2033-04-18
Variable
3.46425000
N
N
N
N
N
N
US T BILL ZCP 07/14/20
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
9127963D9
30000000.00000000
PA
USD
29998808.40000000
0.502680000843
Long
STIV
UST
US
N
2
2020-07-14
Fixed
0.00000000
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
2265.96000000
NS
USD
2302.08000000
0.000038575184
Long
ABS-MBS
USGSE
US
N
2
2029-08-15
Fixed
7.50000000
N
N
N
N
N
N
HCA INC 3.5% 09/01/30
N/A
HCA INC REGD 3.50000000
404119CA5
12318000.00000000
NS
USD
11864352.20000000
0.198806982410
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
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
192749.70000000
NS
USD
129150.68000000
0.002164134757
Long
ABS-CBDO
CORP
US
Y
2
2043-01-25
Fixed
4.35200000
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
4365945.68000000
0.073158691800
Long
ABS-CBDO
CORP
US
N
2
2047-08-10
Fixed
3.42000000
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
300.00000000
0.000005026999
Long
DBT
CORP
BM
N
3
2021-11-30
Variable
0.00000000
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
8000000.00000000
NS
USD
9303040.80000000
0.155887943775
Long
ABS-CBDO
CORP
US
N
2
2052-01-15
Fixed
3.96280000
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
1488.57000000
NS
USD
1495.53000000
0.000025060096
Long
ABS-MBS
USGSE
US
N
2
2024-11-20
Fixed
9.00000000
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
2463432.96000000
0.041278922345
Long
ABS-CBDO
CORP
US
Y
2
2048-06-15
Variable
5.97200000
N
N
N
N
N
N
LEAR CORP 3.5% 05/30/30
549300UPNBTXA1SYTQ33
LEAR CORP REGD 3.50000000
521865BB0
3615000.00000000
NS
USD
3610528.53000000
0.060500419226
Long
DBT
CORP
US
N
2
2030-05-30
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#783129 4% 10/15/40
N/A
GINNIE MAE I POOL P#783129 4.00000000
36241LPN0
4029.32000000
NS
USD
4371.51000000
0.000073251931
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Fixed
4.00000000
N
N
N
N
N
N
ADANI TRANSMISS 4.25% 05/21/36
N/A
ADANI TRANSMISSION LTD REGD 144A P/P 4.25000000
00652XAB4
5890400.00000000
NS
USD
5659723.28000000
0.094838090407
Long
DBT
CORP
IN
Y
2
2036-05-21
Fixed
4.25000000
N
N
N
N
N
N
ENLINK MIDSTRE 5.375% 06/01/29
N/A
ENLINK MIDSTREAM LLC REGD 5.37500000
29336TAA8
510000.00000000
NS
USD
382500.00000000
0.006409424593
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.37500000
N
N
N
N
N
N
BANK OF AMERICA C V/R 10/22/30
N/A
BANK OF AMERICA CORP REGD V/R MTN 2.88400000
06051GHX0
20595000.00000000
NS
USD
22280888.37000000
0.373353395751
Long
DBT
CORP
US
N
2
2030-10-22
Variable
2.88400000
N
N
N
N
N
N
WELLS FARGO & COMPANY /PFD/CV
N/A
WELLS FARGO & COMPANY SERIES L/PREFERRED/ CONVERTIBLE 0.00000000
949746804
33980.00000000
NS
USD
44072060.00000000
0.738500771850
Long
EP
CORP
US
N
1
N
N
N
FNMA P#614995 7% 12/1/31__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #614995__ 7.00000000
31388UGC8
13428.90000000
NS
USD
13859.74000000
0.000232243028
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
7.00000000
N
N
N
N
N
N
AFRICAN EXPORT 3.994% 09/21/29
N/A
AFRICAN EXPORT-IMPORT BA REGD 144A P/P MTN 3.99400000
00831TAA9
6065000.00000000
NS
USD
5967960.00000000
0.100003110051
Long
DBT
CORP
EG
Y
2
2029-09-21
Fixed
3.99400000
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 4.08909000
30293XAJ9
3700000.00000000
NS
USD
3932352.60000000
0.065893117550
Long
ABS-CBDO
CORP
US
Y
2
2048-10-25
Variable
4.08909000
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
17928.37000000
NS
USD
20873.74000000
0.000349774281
Long
ABS-MBS
USGSE
US
N
2
2027-03-15
Fixed
7.50000000
N
N
N
N
N
N
FGLMC P#Q42624 4% 08/01/46
N/A
FREDDIE MAC GOLD POOL P#Q42624 4.00000000
3132WF4J5
2828872.28000000
NS
USD
3046004.83000000
0.051040884361
Long
ABS-MBS
USGA
US
N
2
2046-08-01
Fixed
4.00000000
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
8502252.82000000
NS
USD
9235339.25000000
0.154753491541
Long
ABS-MBS
USGA
US
N
2
2046-08-01
Fixed
3.50000000
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 2.33450000
20753MAF5
3302693.55000000
NS
USD
3261295.94000000
0.054648445498
Long
ABS-CBDO
CORP
US
Y
2
2031-09-25
Variable
2.33450000
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
2817065.80000000
0.047204629591
Long
ABS-CBDO
CORP
US
Y
2
2025-03-17
Fixed
3.59000000
N
N
N
N
N
N
FGLMC P#J05288 7% 08/01/22
N/A
FREDDIE MAC GOLD POOL P#J05288 7.00000000
3128PG2V4
5209.70000000
NS
USD
5259.77000000
0.000088136207
Long
ABS-MBS
USGA
US
N
2
2022-08-01
Fixed
7.00000000
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
12318.17000000
NS
USD
12472.43000000
0.000208996338
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
7.50000000
N
N
N
N
N
N
BANCO SANTANDE 5.375% 04/17/25
N/A
BANCO SANTANDER MEXICO REGD 144A P/P 5.37500000
05969BAD5
3955000.00000000
NS
USD
4328352.00000000
0.072528747075
Long
DBT
CORP
MX
Y
2
2025-04-17
Fixed
5.37500000
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 9.43450000
20754PAD2
4100000.00000000
NS
USD
3165484.95000000
0.053042972778
Long
ABS-CBDO
CORP
US
Y
2
2039-11-25
Variable
9.43450000
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
1919898.88000000
0.032171103523
Long
ABS-CBDO
CORP
US
Y
2
2040-09-20
Fixed
4.35000000
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
4561556.27000000
NS
USD
4904239.54000000
0.082178702008
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
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
8919452.08000000
0.149460275865
Long
DBT
CORP
US
Y
2
2069-05-15
Fixed
4.45000000
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
8284049.62000000
0.138813049320
Long
ABS-CBDO
CORP
US
Y
2
2036-01-10
Fixed
4.14900000
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
7002745.06000000
0.117342657272
Long
ABS-CBDO
CORP
US
Y
2
2026-11-20
Fixed
3.92000000
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 ** 8.70175000
49407QAB4
1500000.00000000
NS
USD
1474500.00000000
0.024707703431
Long
DBT
CORP
BM
Y
2
2021-04-20
Variable
8.70175000
N
N
N
N
N
N
UMBS P#ZN1349 4.5% 11/01/48
N/A
FREDDIE MAC POOL UMBS P#ZN1349 4.50000000
3131Y7QA8
916428.41000000
NS
USD
984540.24000000
0.016497611574
Long
ABS-MBS
USGA
US
N
2
2048-11-01
Fixed
4.50000000
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
0.002259336412
Long
DBT
CORP
BM
N
3
2022-07-01
Fixed
0.00000000
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
4147626.48000000
NS
USD
4545045.37000000
0.076159805415
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#691311 6% 08/15/38
N/A
GINNIE MAE I POOL P#691311 6.00000000
36296HAL3
21988.53000000
NS
USD
25065.26000000
0.000420010180
Long
ABS-MBS
USGSE
US
N
2
2038-08-15
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#G15147 3% 08/01/29
N/A
FREDDIE MAC GOLD POOL P#G15147 3.00000000
3128MD5G4
1890146.31000000
NS
USD
2014969.10000000
0.033764163408
Long
ABS-MBS
USGA
US
N
2
2029-08-01
Fixed
3.00000000
N
N
N
N
N
N
COMCAST CORP 4.15% 10/15/28
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 4.15000000
20030NCT6
7745000.00000000
NS
USD
9284529.03000000
0.155577748235
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
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
402.86000000
NS
USD
452.02000000
0.000007574347
Long
ABS-MBS
USGA
US
N
2
2031-08-01
Fixed
6.50000000
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
2982498.87000000
0.049976736225
Long
ABS-CBDO
CORP
US
N
2
2045-10-15
Fixed
2.82200000
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
1425.59000000
NS
USD
1583.69000000
0.000026537363
Long
ABS-MBS
USGSE
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
NMEF 2019-A D 4.39% 08/15/23
N/A
NMEF FUNDING 2019-A LLC SER 2019-A CL D REGD 144A P/P 4.39000000
65489MAD6
3000000.00000000
NS
USD
3061915.80000000
0.051307499164
Long
ABS-CBDO
CORP
US
Y
2
2026-08-17
Fixed
4.39000000
N
N
N
N
N
N
JAGUAR HL / PPDI 5% 06/15/28
N/A
JAGUAR HL / PPDI REGD 144A P/P 5.00000000
47010LAA0
2240000.00000000
NS
USD
2293200.00000000
0.038426385560
Long
DBT
CORP
US
Y
2
2028-06-15
Fixed
5.00000000
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
92296.95000000
0.001546589127
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
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
2800.42000000
NS
USD
3143.40000000
0.000052672902
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
6.50000000
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 1.98450000
269822AB8
6677368.80000000
NS
USD
6622175.00000000
0.110965572038
Long
ABS-CBDO
CORP
US
Y
2
2029-04-25
Variable
1.98450000
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
176382.82000000
NS
USD
194422.46000000
0.003257872147
Long
ABS-CBDO
CORP
US
N
2
2028-08-01
Fixed
6.02000000
N
N
N
N
N
N
GNMA P#597938 6% 12/15/32
N/A
GINNIE MAE I POOL P#597938 6.00000000
36200DHP1
6979.62000000
NS
USD
7874.00000000
0.000131941984
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
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
359175.34000000
NS
USD
385772.12000000
0.006464254413
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
VIRIBUS RE 2020 0% 12/31/23
N/A
VIRIBUS RE 2020 REGD ZCP /XILS00172222/ 0.00000000
N/A
4139570.00000000
NS
USD
4411953.71000000
0.073929632973
Long
DBT
CORP
BM
N
3
2023-12-31
Fixed
0.00000000
N
N
N
N
N
N
ARTEX SAC LIMITED V/R 01/15/21
N/A
ARTEX SAC LIMITED SEMINOLE SEGREGATED ACCOUNT /BNR3N2EG4/ 0.00000000
N/A
567400.00000000
NS
USD
64131.85000000
0.001074635964
Long
DBT
CORP
BM
N
3
2021-01-15
Variable
0.00000000
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
988227.29000000
NS
USD
828160.76000000
0.013877212920
Long
ABS-CBDO
CORP
US
Y
2
2038-06-15
Fixed
4.03000000
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
1826128.82000000
NS
USD
1843697.46000000
0.030894221810
Long
ABS-CBDO
CORP
US
Y
2
2057-12-25
Variable
2.97600000
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
132290.70000000
NS
USD
138287.50000000
0.002317237394
Long
ABS-CBDO
CORP
US
N
2
2032-01-15
Fixed
5.25000000
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
10357016.28000000
0.173549058447
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
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 1.35475000
85572MAB6
2950000.00000000
NS
USD
2925386.09000000
0.049019716469
Long
ABS-CBDO
CORP
US
Y
2
2035-01-17
Variable
1.35475000
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
6591684.91000000
0.110454659796
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
5.35000000
N
N
N
N
N
N
SUMITOMO MITSU 3.202% 09/17/29
N/A
SUMITOMO MITSUI FINL GRP REGD 3.20200000
86562MBS8
11891000.00000000
NS
USD
12883923.35000000
0.215891595229
Long
DBT
CORP
JP
N
2
2029-09-17
Fixed
3.20200000
N
N
N
N
N
N
PLUCR 2020-1 4.705% 01/20/24
N/A
PG RECEIVABLES FINANCE SER 2020-1 CL B REGD P/P 4.70500000
69356JAJ2
2350000.00000000
NS
USD
2279500.00000000
0.038196819241
Long
ABS-CBDO
CORP
CA
N
2
2025-07-20
Fixed
4.70500000
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
67520.79000000
NS
USD
71514.65000000
0.001198347075
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
2.50000000
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
65485.56000000
NS
USD
74992.30000000
0.001256620893
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
GNMA P#553125 6% 03/15/33
N/A
GINNIE MAE I POOL P#553125 6.00000000
36213FPJ6
243783.71000000
NS
USD
287856.33000000
0.004823512263
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
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
0.000149608537
Long
DBT
CORP
BM
N
3
2020-11-30
Fixed
0.00000000
N
N
N
N
N
N
TRPTY TORONTO D 0.07% 07/01/20
N/A
TRPTY TORONTO D 0.07% 07/01/20 0.07000000
N/A
17290000.00000000
PA
USD
17290000.00000000
0.289722748273
Long
RA
CORP
US
N
2
Repurchase
Y
0.07000000
2020-07-01
17618400.00000000
USD
17635889.76066180
USD
AMBS
N
N
N
UMBS P#AQ3279 3.5% 11/01/42
N/A
FANNIE MAE POOL UMBS P#AQ3279 3.50000000
3138MJUD9
185691.49000000
NS
USD
203857.64000000
0.003415974304
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
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
12372.61000000
NS
USD
14433.33000000
0.000241854484
Long
ABS-MBS
USGSE
US
N
2
2033-08-15
Fixed
5.50000000
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
1008880.91000000
NS
USD
1122591.47000000
0.018810889871
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
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
1257017.07000000
NS
USD
1274361.14000000
0.021354043480
Long
ABS-CBDO
CORP
US
Y
2
2048-04-25
Variable
4.50000000
N
N
N
N
N
N
UMBS P#AZ2086 3% 10/01/30
N/A
FANNIE MAE POOL UMBS P#AZ2086 3.00000000
3138YTJ88
2226712.46000000
NS
USD
2366552.43000000
0.039655527701
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
ARTEX SAC LTD BER 0% 2/1/21
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
0.001109291262
Long
DBT
CORP
BM
N
3
2021-02-01
Variable
0.00000000
N
N
N
N
N
N
GNMA P#784078 4% 06/15/45
N/A
GINNIE MAE I POOL P#784078 4.00000000
3622A2Q70
2989884.15000000
NS
USD
3251948.72000000
0.054491817258
Long
ABS-MBS
USGSE
US
N
2
2045-06-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#BH3119 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#BH3119 4.00000000
3140GRPD0
2323391.15000000
NS
USD
2492225.18000000
0.041761383948
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#AL2255 4% 03/15/45
N/A
GINNIE MAE I POOL P#AL2255 4.00000000
36183XQG8
28136.60000000
NS
USD
29794.18000000
0.000499251111
Long
ABS-MBS
USGSE
US
N
2
2045-03-15
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 5.55904000
14317VAL4
2500000.00000000
NS
USD
2398785.00000000
0.040195638098
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
5.55904000
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
2248.94000000
NS
USD
2475.55000000
0.000041481963
Long
ABS-MBS
USGSE
US
N
2
2029-05-15
Fixed
6.50000000
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
5292537.46000000
NS
USD
5786993.78000000
0.096970719617
Long
ABS-MBS
USGA
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
NRZT 2019-1A B2 V/R 09/25/57
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-1 SER 2019-1A CL B2 V/R REGD 144A P/P 4.00000000
64830CAT2
8606257.58000000
NS
USD
8830825.82000000
0.147975195263
Long
ABS-CBDO
CORP
US
Y
2
2057-09-25
Variable
4.00000000
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
333188.86000000
NS
USD
381954.35000000
0.006400281318
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
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
282957.43000000
NS
USD
312702.98000000
0.005239859268
Long
ABS-MBS
USGSE
US
N
2
2041-04-15
Fixed
4.50000000
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
1351204.84000000
NS
USD
1295588.30000000
0.021709739902
Long
ABS-CBDO
CORP
US
Y
2
2032-02-20
Fixed
3.53000000
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 2.03450000
07877TAB7
3667247.92000000
NS
USD
3632072.78000000
0.060861429019
Long
ABS-CBDO
CORP
BM
Y
2
2028-10-25
Variable
2.03450000
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
4049010.00000000
0.067847906592
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Fixed
3.78000000
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
37547.30000000
NS
USD
41330.71000000
0.000692564886
Long
ABS-MBS
USGSE
US
N
2
2031-11-15
Fixed
6.50000000
N
N
N
N
N
N
SANDERS RE II LTD V/R 06/07/23
254900VRQU0N0MF3CT92
SANDERS RE II LTD REGD V/R 144A P/P SER A 5.63729500
80000WAA9
250000.00000000
NS
USD
249500.00000000
0.004180788067
Long
DBT
CORP
BM
Y
2
2023-06-07
Variable
5.63729500
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
1438016.53000000
0.024096362124
Long
ABS-CBDO
CORP
US
Y
2
2023-08-21
Fixed
3.39000000
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
150621.25000000
NS
USD
162095.69000000
0.002716183272
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
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
80266.71000000
NS
USD
93319.98000000
0.001563731698
Long
ABS-MBS
USGSE
US
N
2
2035-01-15
Fixed
5.50000000
N
N
N
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
3041671.86000000
0.050968278231
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
9.12500000
N
N
N
N
N
N
UNITED PARCEL SE 5.3% 04/01/50
D01LMJZU09ULLNCY6Z23
UNITED PARCEL SERVICE REGD 5.30000000
911312BW5
3125000.00000000
NS
USD
4497232.41000000
0.075358619632
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
5.30000000
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 2.88450000
07876RAC0
4060000.00000000
NS
USD
3157229.36000000
0.052904636617
Long
ABS-CBDO
CORP
BM
Y
2
2029-03-25
Variable
2.88450000
N
N
N
N
N
N
GNMA P#776131 4% 10/15/41
N/A
GINNIE MAE I POOL P#776131 4.00000000
36176UA88
5158.74000000
NS
USD
5462.65000000
0.000091535799
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
AXA 8.6% 12/15/30
N/A
AXA 8.6% 12/15/30 8.60000000
054536AA5
2335000.00000000
NS
USD
3391382.37000000
0.056828260305
Long
DBT
CORP
FR
N
2
2030-12-15
Fixed
8.60000000
N
N
N
N
N
N
GNMA P#592467 6% 12/15/32
N/A
GINNIE MAE I POOL P#592467 6.00000000
36201TFG7
81356.03000000
NS
USD
90427.80000000
0.001515268405
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
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
6186939.58000000
0.103672477647
Long
DBT
CORP
US
Y
2
2048-05-17
Fixed
4.58100000
N
N
N
N
N
N
GNMA P#622659 6% 11/15/33
N/A
GINNIE MAE I POOL P#622659 6.00000000
36291AWU9
84375.35000000
NS
USD
94022.26000000
0.001575499570
Long
ABS-MBS
USGSE
US
N
2
2033-11-15
Fixed
6.00000000
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
5192174.09000000
0.087003524978
Long
ABS-CBDO
CORP
US
Y
2
2029-07-16
Fixed
4.11000000
N
N
N
N
N
N
TPMT 2019-3 M2 V/R 02/25/59
N/A
TOWD POINT MORTGAGE TRUST 2019-3 SER 2019-3 CL M2 V/R REGD 144A P/P 4.25000000
89177LAF0
900000.00000000
NS
USD
928589.13000000
0.015560057533
Long
ABS-CBDO
CORP
US
Y
2
2059-02-25
Variable
4.25000000
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
9647755.42000000
0.161664211391
Long
DBT
CORP
GB
N
2
2026-03-24
Fixed
4.65000000
N
N
N
N
N
N
FGLMC P#Q46050 3% 02/01/47
N/A
FREDDIE MAC GOLD POOL P#Q46050 3.00000000
3132WKWL8
4712913.87000000
NS
USD
4987623.82000000
0.083575944504
Long
ABS-MBS
USGA
US
N
2
2047-02-01
Fixed
3.00000000
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 4.11174900
97652QBM0
2480255.14000000
NS
USD
2313270.47000000
0.038762699714
Long
ABS-CBDO
CORP
US
Y
2
2044-09-20
Variable
4.11174900
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
114084.09000000
NS
USD
130733.61000000
0.002190659385
Long
ABS-MBS
USGA
US
N
2
2033-09-01
Fixed
5.50000000
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
1813597.66000000
NS
USD
1889313.91000000
0.031658601408
Long
ABS-CBDO
CORP
US
Y
2
2058-02-25
Variable
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
8460463.30000000
NS
USD
9236441.09000000
0.154771954705
Long
ABS-MBS
USGA
US
N
2
2049-10-01
Fixed
5.00000000
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
232865.32000000
NS
USD
222386.38000000
0.003726454204
Long
LON
CORP
US
N
2
2026-01-31
Fixed
0.00000000
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
340340.99000000
NS
USD
411831.16000000
0.006900917032
Long
DBT
CORP
US
Y
2
2035-06-30
Fixed
7.00000000
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
5299.08000000
NS
USD
5833.04000000
0.000097742300
Long
ABS-MBS
USGSE
US
N
2
2028-04-15
Fixed
6.50000000
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
372417.08000000
NS
USD
414431.09000000
0.006944483190
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA P#560456 7% 12/1/30_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #560456_ 7.00000000
31386DTM2
193.12000000
NS
USD
193.34000000
0.000003239733
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.00000000
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
5827128.90000000
NS
USD
6136295.38000000
0.102823849723
Long
ABS-CBDO
CORP
US
Y
2
2057-10-25
Fixed
3.75000000
N
N
N
N
N
N
CAELUS RE VI LTD V/R 06/07/23
N/A
CAELUS RE VI LTD REGD V/R 144A P/P SER A-1 7.02312200
12765MAA9
500000.00000000
NS
USD
482200.00000000
0.008080064153
Long
DBT
CORP
KY
Y
2
2023-06-07
Variable
7.02312200
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
32176.48000000
NS
USD
36757.16000000
0.000615927438
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.50000000
N
N
N
N
N
N
BANTRY RE 2020 0.0% 12/31/23
N/A
BANTRY RE 2020 REGD ZCP /XILS00179882/ 0.00000000
N/A
4776758.00000000
NS
USD
4987962.40000000
0.083581617976
Long
DBT
CORP
BM
N
3
2023-12-31
Fixed
0.00000000
N
N
N
N
N
N
QVC INC 4.75% 02/15/27
N/A
QVC INC REGD 4.75000000
747262AY9
1110000.00000000
NS
USD
1073370.00000000
0.017986102158
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.75000000
N
N
N
N
N
N
UMBS P#AB5924 3% 08/01/42
N/A
FANNIE MAE POOL UMBS P#AB5924 3.00000000
31417CSN6
13289314.11000000
NS
USD
14322396.42000000
0.239995607441
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.00000000
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
47186.49000000
NS
USD
51774.47000000
0.000867567480
Long
ABS-MBS
USGSE
US
N
2
2035-03-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AO3879 4% 06/01/42
N/A
FANNIE MAE POOL UMBS P#AO3879 4.00000000
3138LUJZ9
187595.57000000
NS
USD
203181.45000000
0.003404643614
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
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
7625800.00000000
0.127782980554
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#G04832 5% 10/01/38
N/A
FREDDIE MAC GOLD POOL P#G04832 5.00000000
3128M6VZ8
180721.36000000
NS
USD
207162.86000000
0.003471358770
Long
ABS-MBS
USGA
US
N
2
2038-10-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#ZM4353 4% 10/01/47
N/A
FREDDIE MAC POOL UMBS P#ZM4353 4.00000000
3131XXZS3
4450387.30000000
NS
USD
4730721.74000000
0.079271122257
Long
ABS-MBS
USGA
US
N
2
2047-10-01
Fixed
4.00000000
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
4933007.27000000
0.082660753239
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.75000000
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 3.38450000
75049SAC7
3437000.00000000
NS
USD
3260152.60000000
0.054629286932
Long
ABS-CBDO
CORP
BM
Y
2
2029-02-25
Variable
3.38450000
N
N
N
N
N
N
US TIPS 1% 02/15/48
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000
912810SB5
64332056.25000000
NS
USD
84960322.44000000
1.423651712640
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
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 0.63729500
12765KAB1
500000.00000000
NS
USD
480000.00000000
0.008043199489
Long
DBT
CORP
KY
Y
2
2024-06-05
Variable
0.63729500
N
N
N
N
N
N
CREDIT SUISSE GROUP V/R /PERP/
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD V/R /PERP/ 144A P/P 5.10000000
225401AN8
18647000.00000000
NS
USD
17668032.50000000
0.296057312463
Long
DBT
CORP
CH
Y
2
2168-07-24
Variable
5.10000000
N
N
N
N
N
N
GNMA P#607814 6% 03/15/33
N/A
GINNIE MAE I POOL P#607814 6.00000000
36202SGX0
85870.63000000
NS
USD
100621.11000000
0.001686074292
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
FREMF 2018-KW04 V/R 09/25/28
N/A
FREMF 2018-KW04 TRUST SER 2018-KW04 CL B V/R 144A P/P 4.04413700
30296MAE1
2000000.00000000
NS
USD
2005467.40000000
0.033604946599
Long
ABS-CBDO
CORP
US
Y
2
2028-09-25
Variable
4.04413700
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
6988802.60000000
0.117109028132
Long
ABS-CBDO
CORP
US
N
2
2048-02-10
Fixed
3.39600000
N
N
N
N
N
N
AT&T INC 3.65% 06/01/51
N/A
AT&T INC REGD 3.65000000
00206RKA9
14190000.00000000
NS
USD
14857230.12000000
0.248957636905
Long
DBT
CORP
US
N
2
2051-06-01
Fixed
3.65000000
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 1.48450000
3137G0LH0
177768.56000000
NS
USD
177572.36000000
0.002975520656
Long
ABS-CBDO
CORP
US
N
2
2029-03-25
Variable
1.48450000
N
N
N
N
N
N
ENERGY TRANSFER OPE V/R /PERP/
N/A
ENERGY TRANSFER OPERATNG REGD V/R /PERP/ SER G 7.12500000
29278NAT0
11045000.00000000
NS
USD
9443475.00000000
0.158241152704
Long
DBT
CORP
US
N
2
2169-05-15
Variable
7.12500000
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
5956.89000000
NS
USD
7038.38000000
0.000117939780
Long
ABS-MBS
USGSE
US
N
2
2031-01-20
Fixed
7.00000000
N
N
N
N
N
N
BNP PARIBAS V/R /PERP/
N/A
BNP PARIBAS REGD V/R /PERP/ 144A P/P 4.50000000
05565ALQ4
6275000.00000000
NS
USD
5498468.75000000
0.092136002171
Long
DBT
CORP
FR
Y
2
2168-08-25
Variable
4.50000000
N
N
N
N
N
N
GNMA P#503597 7% 04/15/29
N/A
GINNIE MAE I POOL P#503597 7.00000000
36210VNN7
18484.57000000
NS
USD
20294.68000000
0.000340071166
Long
ABS-MBS
USGSE
US
N
2
2029-04-15
Fixed
7.00000000
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
3297.65000000
NS
USD
3788.34000000
0.000063479946
Long
ABS-MBS
USGSE
US
N
2
2032-08-15
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 2.28450000
20754JAB0
10720000.00000000
NS
USD
10397604.58000000
0.174229183018
Long
ABS-CBDO
CORP
US
Y
2
2039-09-25
Variable
2.28450000
N
N
N
N
N
N
RESILIENCE RE LTD ZCP 04/06/21
N/A
RESILIENCE RE LTD REGD ZCP 144A P/P 0.00000000
G7527LAE5
3600000.00000000
NS
USD
360.00000000
0.000006032399
Long
DBT
CORP
BM
Y
3
2021-04-06
Fixed
0.00000000
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
17434.35000000
NS
USD
20700.19000000
0.000346866161
Long
ABS-MBS
USGSE
US
N
2
2031-07-20
Fixed
7.00000000
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
4415.72000000
NS
USD
4913.94000000
0.000082341249
Long
ABS-MBS
USGA
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
ARTEX SAC LTD ST A 0% 2/1/21
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
0.003408305783
Long
DBT
CORP
BM
N
3
2021-02-01
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#959451 6% 12/01/37
N/A
FANNIE MAE POOL UMBS P#959451 6.00000000
31413YL82
12196.64000000
NS
USD
14182.94000000
0.000237658782
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
F/C US LONG BOND(CBT) SEP20
N/A
FUTURE CONTRACT ON US LONG BOND(CBT) SEP20 0.00000000
N/A
-342.00000000
NC
USD
-61068375.00000000
-1.02330233878
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Short
F/C US LONG BOND(CBT) SEP20
US LONG BOND(CBT) SEP20
2020-09-21
60694312.50000000
USD
-374062.50000000
N
N
N
GNMA P#781288 6.5% 05/15/31
N/A
GINNIE MAE I POOL P#781288 6.50000000
36225BND6
8799.48000000
NS
USD
10489.26000000
0.000175765022
Long
ABS-MBS
USGSE
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
FLEX LTD 4.75% 06/15/25
549300EAQH74YHD07T53
FLEX LTD REGD SER WI 4.75000000
33938EAU1
5205000.00000000
NS
USD
5810389.02000000
0.097362745830
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
4.75000000
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
2771136.30000000
0.046435004319
Long
ABS-CBDO
CORP
US
Y
2
2027-02-15
Fixed
5.43800000
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
38377.30000000
NS
USD
44583.88000000
0.000747077168
Long
ABS-MBS
USGSE
US
N
2
2028-11-20
Fixed
7.00000000
N
N
N
N
N
N
URSA RE LTD V/R 09/24/21
549300O8X4DWGDJZ6W59
URSA RE LTD REGD V/R 144A P/P SER D 5.40482500
90323WAJ9
250000.00000000
NS
USD
243700.00000000
0.004083599407
Long
DBT
CORP
BM
Y
2
2021-09-24
Variable
5.40482500
N
N
N
N
N
N
FGLMC P#A15484 6% 11/01/33
N/A
FREDDIE MAC GOLD POOL P#A15484 6.00000000
31296QCV0
9790.05000000
NS
USD
11368.02000000
0.000190490109
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
6.00000000
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
264420.13000000
NS
USD
281861.02000000
0.004723050858
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#BK3960 4% 04/01/48
N/A
FANNIE MAE POOL UMBS P#BK3960 4.00000000
3140HHMJ1
5079816.05000000
NS
USD
5395785.03000000
0.090415365412
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
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 8.89800000
08183PAA4
2000000.00000000
NS
USD
1829698.00000000
0.030659637540
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
8.89800000
N
N
N
N
N
N
FNMA 30YR TBA 3.0% JUL20
N/A
FNMA 30YR TBA 3.0% JUL20 TO BE ANNOUNCED 3.00000000
01F030678
38305000.00000000
NS
USD
40342945.51000000
0.676013247346
Long
ABS-MBS
USGA
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
HUMANA INC 3.95% 03/15/27
N/A
HUMANA INC REGD 3.95000000
444859BF8
3630000.00000000
NS
USD
4115716.03000000
0.068965677231
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.95000000
N
N
N
N
N
N
MARRIOTT INTER 4.625% 06/15/30
225YDZ14ZO8E1TXUSU86
MARRIOTT INTERNATIONAL REGD 4.62500000
571903BE2
2190000.00000000
NS
USD
2272377.33000000
0.038077467042
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.62500000
N
N
N
N
N
N
GNMA P#587465 6% 12/15/32
N/A
GINNIE MAE I POOL P#587465 6.00000000
36201MTW2
45208.59000000
NS
USD
50455.87000000
0.000845472141
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
6.00000000
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
8526.46000000
NS
USD
9715.58000000
0.000162800725
Long
ABS-MBS
USGSE
US
N
2
2033-06-15
Fixed
5.50000000
N
N
N
N
N
N
COVANTA HOLDING CO 6% 01/01/27
40XIFLS8XDQGGHGPGC04
COVANTA HOLDING CORP REGD 6.00000000
22282EAH5
2320000.00000000
NS
USD
2349232.00000000
0.039365295047
Long
DBT
CORP
US
N
2
2027-01-01
Fixed
6.00000000
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
3905212.50000000
0.065438339970
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.87500000
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
84611.44000000
NS
USD
89533.14000000
0.001500276887
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
2.50000000
N
N
N
N
N
N
T/L STONEPEAK LON 0% 10/19/26
N/A
T/L STONEPEAK LONESTAR HOLDINGS LLC REGD 0.00000000
86184NAC0
3720029.00000000
NS
USD
3637879.60000000
0.060958731960
Long
LON
CORP
US
N
2
2026-10-19
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#AJ4208 4% 09/15/44
N/A
GINNIE MAE I POOL P#AJ4208 4.00000000
36182YU98
32828.65000000
NS
USD
35149.27000000
0.000588984563
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
Fixed
4.00000000
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
6190336.20000000
0.103729393672
Long
ABS-CBDO
CORP
US
N
2
2047-10-10
Variable
4.34500000
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
12461460.01000000
0.208812518311
Long
DBT
CORP
US
N
2
2046-02-15
Fixed
5.05000000
N
N
N
N
N
N
GNMA P#717513 4% 05/15/39
N/A
GINNIE MAE I POOL P#717513 4.00000000
3620A3DS0
7042.19000000
NS
USD
7457.06000000
0.000124955460
Long
ABS-MBS
USGSE
US
N
2
2039-05-15
Fixed
4.00000000
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 1.83450000
43731AAA1
1942129.02000000
NS
USD
1913106.43000000
0.032057284710
Long
ABS-CBDO
CORP
BM
Y
2
2029-05-25
Variable
1.83450000
N
N
N
N
N
N
FNMA P#323908 6% 9/1/29_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #323908_ 6.00000000
31374TYD5
500.71000000
NS
USD
566.14000000
0.000009486618
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
6.00000000
N
N
N
N
N
N
FNMA P#735269 6% 2/1/35_
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #735269__ 6.00000000
31402Q2A8
4551.35000000
NS
USD
5309.45000000
0.000088968678
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#A32812 6% 04/01/35
N/A
FREDDIE MAC GOLD POOL P#A32812 6.00000000
31297NDR4
14114.93000000
NS
USD
15695.76000000
0.000263008601
Long
ABS-MBS
USGA
US
N
2
2035-04-01
Fixed
6.00000000
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
5282698.93000000
0.088520419450
Long
ABS-CBDO
CORP
US
Y
2
2040-07-16
Fixed
4.01000000
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
4003.53000000
NS
USD
4453.50000000
0.000074625810
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
6.50000000
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
208644.02000000
NS
USD
232485.28000000
0.003895678094
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#351404 6% 01/15/24
N/A
GINNIE MAE I POOL P#351404 6.00000000
36203KKR4
5165.79000000
NS
USD
5733.98000000
0.000096082385
Long
ABS-MBS
USGSE
US
N
2
2024-01-15
Fixed
6.00000000
N
N
N
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
8629089.17000000
0.144594761679
Long
ABS-CBDO
CORP
US
Y
2
2036-05-17
Fixed
4.14200000
N
N
N
N
N
N
UMBS P#AE0625 4% 12/01/40
N/A
FANNIE MAE POOL UMBS P#AE0625 4.00000000
31419AVT1
878137.96000000
NS
USD
989783.50000000
0.016585471128
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
CIGNA CORP 4.375% 10/15/28
N/A
CIGNA CORP REGD SER WI 4.37500000
125523AH3
6225000.00000000
NS
USD
7367218.59000000
0.123450018335
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
THOPAS RE 2020 0% 12/31/23
N/A
THOPAS RE 2020 ZCP REGD /XILS00171925/ 0.00000000
N/A
6000000.00000000
NS
USD
6296400.00000000
0.105506669301
Long
DBT
CORP
BM
N
3
2023-12-31
Fixed
0.00000000
N
N
N
N
N
N
INTEL CORP 4.95% 03/25/60
KNX4USFCNGPY45LOCE31
INTEL CORP REGD 4.95000000
458140BN9
7190000.00000000
NS
USD
10561449.67000000
0.176974680401
Long
DBT
CORP
US
N
2
2060-03-25
Fixed
4.95000000
N
N
N
N
N
N
UMBS P#AS7602 4% 07/01/46
N/A
FANNIE MAE POOL UMBS P#AS7602 4.00000000
3138WHNU2
3430413.56000000
NS
USD
3675264.78000000
0.061585182920
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#981756 6% 07/01/38
N/A
FANNIE MAE POOL UMBS P#981756 6.00000000
31415BE54
27887.05000000
NS
USD
31335.52000000
0.000525078830
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
6.00000000
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 1.58450000
55316RAA1
1604114.68000000
NS
USD
1474556.59000000
0.024708651691
Long
ABS-CBDO
CORP
US
Y
2
2024-01-28
Variable
1.58450000
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
152962.57000000
NS
USD
168071.06000000
0.002816310549
Long
ABS-MBS
USGSE
US
N
2
2035-01-20
Fixed
4.50000000
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
44309.92000000
NS
USD
48610.21000000
0.000814545033
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AZ3807 3% 05/01/46
N/A
FANNIE MAE POOL UMBS P#AZ3807 3.00000000
3138YVGR4
566189.30000000
NS
USD
617306.12000000
0.010343992227
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
VSTA 2020-1 A3 V/R 03/25/65
N/A
VISTA POINT SECURITIZATION TRUST 2020-1 SER 2020-1 CL A3 V/R REGD 144A P/P 3.20100000
92838WAC8
20260000.00000000
NS
USD
20259659.63000000
0.339484341648
Long
ABS-CBDO
CORP
US
Y
2
2065-03-25
Variable
3.20100000
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
7858549.57000000
0.131683087268
Long
DBT
CORP
BM
N
3
2022-12-31
Fixed
0.00000000
N
N
N
N
N
N
NAKILAT INC 6.267% 12/31/33 144A
2549006RMTDJWLLWF072
NAKILAT INC REG 144A 6.26700000
62983PAB1
1808414.58000000
NS
USD
2133929.20000000
0.035757538024
Long
DBT
CORP
MH
Y
2
2033-12-31
Fixed
6.26700000
N
N
N
N
N
N
T/L CENTURYLINK INC 0% 3/15/27
N/A
T/L CENTURYLINK INC REGD 0.00000000
N/A
3208875.00000000
NS
USD
3034893.01000000
0.050854687309
Long
LON
CORP
US
N
2
2027-03-15
Fixed
0.00000000
N
N
N
N
N
N
SEMPRA ENERGY 3.4% 02/01/28
N/A
SEMPRA ENERGY REGD 3.40000000
816851BG3
9720000.00000000
NS
USD
10633896.85000000
0.178188653570
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.40000000
N
N
N
N
N
N
LHIPO 2014-1A A1 V/R 11/24/42
N/A
LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1 SER 2014-1A CL A1 V/R 3.50800000
50346EAA5
2374862.68000000
NS
USD
2499542.97000000
0.041884005708
Long
ABS-CBDO
CORP
PA
Y
2
2042-11-24
Variable
3.50800000
N
N
N
N
N
N
FNMA P#685330 6% 2/1/33___
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #685330____ 6.00000000
31400ELK4
5273.69000000
NS
USD
5867.38000000
0.000098317724
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6.00000000
N
N
N
N
N
N
SECTOR RE V LTD ZCP 03/01/25
N/A
SECTOR RE V LTD REGD ZCP 144A P/P SER 10-B 0.00000000
81369ADF6
900000.00000000
NS
USD
916720.51000000
0.015361179037
Long
DBT
CORP
BM
Y
3
2025-03-01
Fixed
0.00000000
N
N
N
N
N
N
ANGLO AMERICAN 4.875% 05/14/25
N/A
ANGLO AMERICAN CAPITAL REGD P/P 4.87500000
034863AP5
6600000.00000000
NS
USD
7349271.80000000
0.123149289977
Long
DBT
CORP
GB
Y
2
2025-05-14
Fixed
4.87500000
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
11515000.00000000
NS
USD
12101426.71000000
0.202779560697
Long
ABS-CBDO
CORP
US
Y
2
2058-03-25
Variable
3.50000000
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
702532.54000000
NS
USD
470713.87000000
0.007887594914
Long
ABS-CBDO
CORP
US
Y
2
2043-01-25
Fixed
4.22900000
N
N
N
N
N
N
GNMA P#592490 6% 02/15/33
N/A
GINNIE MAE I POOL P#592490 6.00000000
36201TF77
50010.36000000
NS
USD
57193.64000000
0.000958374700
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
6.00000000
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
2080814.37000000
NS
USD
2282704.55000000
0.038250516814
Long
ABS-MBS
USGA
US
N
2
2042-03-01
Fixed
4.50000000
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
22373.48000000
NS
USD
26709.22000000
0.000447557468
Long
ABS-MBS
USGA
US
N
2
2033-10-01
Fixed
6.50000000
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
3906000.00000000
0.065451535844
Long
ABS-CBDO
CORP
CA
Y
2
2027-08-28
Fixed
5.92700000
N
N
N
N
N
N
UBS GROUP AG V/R /PERP/
N/A
UBS GROUP AG REGD V/R /PERP/ 144A P/P 7.00000000
90352JAF0
11650000.00000000
NS
USD
12101437.50000000
0.202779741501
Long
DBT
CORP
CH
Y
2
2168-07-31
Variable
7.00000000
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
0.000000
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
2886121.80000000
0.048361777891
Long
ABS-CBDO
CORP
US
Y
2
2049-10-10
Fixed
3.00000000
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 2.48450000
20753KAB8
989883.36000000
NS
USD
974993.34000000
0.016337637363
Long
ABS-CBDO
CORP
US
Y
2
2031-08-25
Variable
2.48450000
N
N
N
N
N
N
GLENEAGLES RE 2020 0% 12/31/23
N/A
GLENEAGLES RE 2020 REGD ZCP /XILS00191683/ 0.00000000
N/A
1250000.00000000
NS
USD
1287700.76000000
0.021577571031
Long
DBT
CORP
BM
N
3
2023-12-31
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
4249314.30000000
0.071204338766
Long
ABS-CBDO
CORP
US
N
2
2051-08-15
Fixed
4.01300000
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 11.98721100
33975CAC9
250000.00000000
NS
USD
246525.00000000
0.004130936987
Long
DBT
CORP
BM
Y
2
2022-03-07
Variable
11.98721100
N
N
N
N
N
N
LAMAR MEDIA COR 3.75% 02/15/28
N/A
LAMAR MEDIA CORP REGD 144A P/P 3.75000000
513075BQ3
1010000.00000000
NS
USD
952228.00000000
0.015956166173
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
3.75000000
N
N
N
N
N
N
GRAY TELEVISION IN 7% 05/15/27
529900TM5726KDN7UU35
GRAY TELEVISION INC REGD 144A P/P 7.00000000
389284AA8
5557000.00000000
NS
USD
5695925.00000000
0.095444710524
Long
DBT
CORP
US
Y
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
LIMESTONE RE LTD ZCP 03/01/24
5493004PN8HGYC184A27
LIMESTONE RE LTD REGD ZCP 144A P/P SER B 0.00000000
G5488XAH3
480000.00000000
NS
USD
488784.00000000
0.008190390040
Long
DBT
CORP
BM
Y
3
2024-03-01
Fixed
0.00000000
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 5.69213000
55819PAJ8
3750000.00000000
NS
USD
3632838.75000000
0.060874264122
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
5.69213000
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
13627.83000000
NS
USD
14123.38000000
0.000236660755
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
7.50000000
N
N
N
N
N
N
PRUDENTIAL FINANCI 3% 03/10/40
N/A
PRUDENTIAL FINANCIAL INC REGD MTN 3.00000000
74432QCJ2
15176000.00000000
NS
USD
15458620.52000000
0.259034934735
Long
DBT
CORP
US
N
2
2040-03-10
Fixed
3.00000000
N
N
N
N
N
N
FGLMC P#G08140 6% 07/01/36
N/A
FREDDIE MAC GOLD POOL P#G08140 6.00000000
3128MJEN6
6122.25000000
NS
USD
7142.07000000
0.000119677278
Long
ABS-MBS
USGA
US
N
2
2036-07-01
Fixed
6.00000000
N
N
N
N
N
N
UDR INC 2.95% 09/01/26
N/A
UDR INC REGD MTN 2.95000000
90265EAL4
1520000.00000000
NS
USD
1609805.51000000
0.026974972616
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
2.95000000
N
N
N
N
N
N
FNMA P#713312 6% 7/1/33__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #713312___ 6.00000000
31401NN54
75834.71000000
NS
USD
84800.04000000
0.001420965913
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
6.00000000
N
N
N
N
N
N
GNMA P#654646 4% 09/15/41
N/A
GINNIE MAE I POOL P#654646 4.00000000
36294NHX9
1126.80000000
NS
USD
1193.18000000
0.000019993718
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AK8257 4% 04/01/42
N/A
FANNIE MAE POOL UMBS P#AK8257 4.00000000
3138EDE72
1568746.37000000
NS
USD
1714199.12000000
0.028724261430
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
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
148050.55000000
NS
USD
162513.59000000
0.002723185883
Long
ABS-MBS
USGA
US
N
2
2045-07-01
Fixed
3.50000000
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
6389467.19000000
NS
USD
5793140.77000000
0.097073722673
Long
DBT
CORP
CA
Y
2
2030-01-15
Fixed
3.30000000
N
N
N
N
N
N
EDEN RE II LTD ZCP 03/22/23
N/A
EDEN RE II LTD REGD ZCP 144A P/P SER B 0.00000000
27954TAB1
59061.00000000
NS
USD
523941.94000000
0.008779519883
Long
DBT
CORP
BM
Y
3
2023-03-22
Fixed
0.00000000
N
N
N
N
N
N
STANLEY BLACK & D V/R 03/15/60
N/A
STANLEY BLACK & DECKER I REGD V/R 4.00000000
854502AM3
3024000.00000000
NS
USD
3025530.96000000
0.050697810567
Long
DBT
CORP
US
N
2
2060-03-15
Variable
4.00000000
N
N
N
N
N
N
UBS GROUP AG V/R /PERP/
N/A
UBS GROUP AG REGD V/R /PERP/ SER . 7.12500000
H42097AA5
4497000.00000000
NS
USD
4575193.84000000
0.076664993245
Long
DBT
CORP
CH
N
2
2168-08-10
Variable
7.12500000
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
8341.31000000
NS
USD
9299.64000000
0.000155830957
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
6.50000000
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
38190.75000000
NS
USD
42068.80000000
0.000704932813
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
5.50000000
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
1591200.00000000
0.026663206307
Long
DBT
CORP
BM
Y
3
2023-03-01
Fixed
0.00000000
N
N
N
N
N
N
JPMMT 2015-1 B3 V/R 08/25/19
N/A
JP MORGAN TRUST 2015-1 SER 2015-1 CL B3 V/R REGD 144A P/P 2.24122300
46643UDQ9
6154998.78000000
NS
USD
5941426.48000000
0.099558496729
Long
ABS-CBDO
CORP
US
Y
2
2044-12-25
Variable
2.24122300
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
1381265.83000000
NS
USD
1536745.63000000
0.025750732638
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
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
26610.95000000
NS
USD
30426.96000000
0.000509854394
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Fixed
6.50000000
N
N
N
N
N
N
ALTURAS RE LTD ZCP 03/10/23
N/A
ALTURAS RE LTD REGD ZCP 144A P/P SER B 0.00000000
G0229TAF1
560000.00000000
NS
USD
469840.00000000
0.007872951766
Long
DBT
CORP
BM
Y
3
2023-03-10
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
5575000.00000000
NS
USD
5860979.10000000
0.098210466884
Long
ABS-CBDO
CORP
US
Y
2
2055-05-25
Variable
3.50000000
N
N
N
N
N
N
CENTENE CORP 4.625% 12/15/29
N/A
CENTENE CORP REGD SER WI 4.62500000
15135BAT8
3870000.00000000
NS
USD
4082850.00000000
0.068414952156
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
UMBS P#545944 6% 10/01/32
N/A
FANNIE MAE POOL UMBS P#545944 6.00000000
31385JP51
27353.51000000
NS
USD
31779.90000000
0.000532525157
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.00000000
N
N
N
N
N
N
JPMMT 2013-2 B3 V/R 06/25/31
N/A
JP MORGAN MORTGAGE TRUST 2013-2 SER 2013-2 CL B3 V/R REGD 144A P/P 3.63243500
46640BAL8
2237533.20000000
NS
USD
2235712.97000000
0.037463094622
Long
ABS-CBDO
CORP
US
Y
2
2043-05-25
Variable
3.63243500
N
N
N
N
N
N
UMBS P#941914 5% 07/01/40
N/A
FANNIE MAE POOL UMBS P#941914 5.00000000
31413C3X5
459054.70000000
NS
USD
527512.99000000
0.008839358774
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#Q15643 3% 02/01/43
N/A
FREDDIE MAC GOLD POOL P#Q15643 3.00000000
3132J6WD2
581592.12000000
NS
USD
632732.27000000
0.010602483064
Long
ABS-MBS
USGA
US
N
2
2043-02-01
Fixed
3.00000000
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 1.54388000
43730TAC7
750000.00000000
NS
USD
747707.48000000
0.012529084211
Long
ABS-CBDO
CORP
US
Y
2
2034-07-17
Variable
1.54388000
N
N
N
N
N
N
UMBS P#982885 5% 05/01/23
N/A
FANNIE MAE POOL UMBS P#982885 5.00000000
31415CNA1
89894.14000000
NS
USD
95705.55000000
0.001603705897
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
FREEPORT-MCMORA 5.45% 03/15/43
N/A
FREEPORT-MCMORAN INC REGD SER WI 5.45000000
35671DBC8
14979000.00000000
NS
USD
14679420.00000000
0.245978132184
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
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
34018.00000000
NS
USD
307247.17000000
0.005148438085
Long
DBT
CORP
BM
N
3
2022-03-10
Fixed
0.00000000
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
6509.43000000
NS
USD
7903.95000000
0.000132443847
Long
ABS-MBS
USGSE
US
N
2
2030-08-20
Fixed
7.50000000
N
N
N
N
N
N
LHIPO 2010-1GA A V/R 11/15/28
N/A
LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2010-1 SER 2010-1GA CL A V/R 2.75000000
50346RAA6
693737.67000000
NS
USD
710213.94000000
0.011900817499
Long
ABS-CBDO
CORP
PA
Y
2
2039-09-08
Variable
2.75000000
N
N
N
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
4766178.41000000
NS
USD
3972045.87000000
0.066558244402
Long
ABS-CBDO
CORP
US
Y
2
2027-10-25
Variable
7.60000000
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
15660.59000000
NS
USD
15725.88000000
0.000263513312
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
5.90000000
N
N
N
N
N
N
AVOLON HOLDINGS 3.95% 07/01/24
N/A
AVOLON HOLDINGS FNDG LTD REGD 144A P/P 3.95000000
05401AAF8
985000.00000000
NS
USD
855785.65000000
0.014340113964
Long
DBT
CORP
IE
Y
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
GNMA P#781354 6% 11/15/31
N/A
GINNIE MAE I POOL P#781354 6.00000000
36225BQF8
11175.80000000
NS
USD
13066.66000000
0.000218953652
Long
ABS-MBS
USGSE
US
N
2
2031-11-15
Fixed
6.00000000
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 5.74885000
33830PAL5
1250000.00000000
NS
USD
1223076.25000000
0.020494679728
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-15
Variable
5.74885000
N
N
N
N
N
N
FNMA P#829096 5% 10/1/20__
N/A
FEDERAL NATIONAL MORTGAGE ASSN POOL #829096___ 5.00000000
31407FC99
1592.98000000
NS
USD
1673.81000000
0.000028047474
Long
ABS-MBS
USGSE
US
N
2
2020-10-01
Fixed
5.00000000
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
3014192.10000000
0.050507809082
Long
ABS-CBDO
CORP
US
Y
2
2026-04-20
Fixed
2.47000000
N
N
N
N
N
N
UMBS P#BJ5114 4% 12/01/47
N/A
FANNIE MAE POOL UMBS P#BJ5114 4.00000000
3140H6VG1
4806356.31000000
NS
USD
5119295.77000000
0.085782327340
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#623190 6% 12/15/23
N/A
GINNIE MAE I POOL P#623190 6.00000000
36291BKB2
61656.02000000
NS
USD
66217.28000000
0.001109580818
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.00000000
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
957142.86000000
NS
USD
961431.68000000
0.016110389161
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
1.91400000
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
925301.39000000
NS
USD
994117.74000000
0.016658098539
Long
ABS-MBS
USGA
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
JPMMT 2020-LTV1 V/R 06/01/42
N/A
JP MORGAN MORTGAGE TRUST 2020-LTV1 SER 2020-LTV1 CL B1A V/R REGD 144A P/P 3.42611500
46591NBR7
14718978.99000000
NS
USD
14387208.79000000
0.241081646652
Long
ABS-CBDO
CORP
US
Y
2
2050-06-25
Variable
3.42611500
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
330782.92000000
0.005542818777
Long
DBT
CORP
BM
N
3
2021-12-01
Fixed
0.00000000
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
117341.00000000
NS
USD
130285.20000000
0.002183145529
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Fixed
4.50000000
N
N
N
N
N
N
HEALTHCARE REALT 2.4% 03/15/30
549300CB86LH2IOKHH22
HEALTHCARE REALTY TRUST REGD 2.40000000
421946AL8
4461000.00000000
NS
USD
4244279.18000000
0.071119966944
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.40000000
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
9798391.58000000
0.164188371152
Long
ABS-CBDO
CORP
US
Y
2
2038-03-17
Fixed
2.75000000
N
N
N
N
N
N
HALLIBURTON CO 7.6% 08/15/96
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO REGD P/P 7.60000000
406216AS0
2250000.00000000
NS
USD
2307156.89000000
0.038660256499
Long
DBT
CORP
US
Y
2
2096-08-15
Fixed
7.60000000
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
3664746.80000000
0.061408936646
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.62500000
N
N
N
N
N
N
UMBS P#AS0234 4% 08/01/43
N/A
FANNIE MAE POOL UMBS P#AS0234 4.00000000
3138W9HL7
2699881.62000000
NS
USD
2942143.43000000
0.049300513612
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
WALT DISNEY COMP 4.7% 03/23/50
N/A
WALT DISNEY COMPANY/THE REGD 4.70000000
254687FS0
10950000.00000000
NS
USD
14116355.11000000
0.236543042109
Long
DBT
CORP
US
N
2
2050-03-23
Fixed
4.70000000
N
N
N
N
N
N
VERISK ANALYTI 3.625% 05/15/50
549300I1YSWNIRKBWP67
VERISK ANALYTICS INC REGD 3.62500000
92345YAG1
6576000.00000000
NS
USD
7444659.42000000
0.124747668428
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.62500000
N
N
N
N
N
N
SBAP 2005-20B 4.625% 02/01/25
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SER 2005-20B CL 1 REGD 4.62500000
83162CPH0
114712.16000000
NS
USD
120809.08000000
0.002024357355
Long
ABS-CBDO
CORP
US
N
2
2025-02-01
Fixed
4.62500000
N
N
N
N
N
N
STACR 2020-DNA2 V/R 02/25/50
N/A
FREDDIE MAC STACR REMIC TRUST 2020-DNA2 SER 2020-DNA2 CL M2 V/R REGD 144A P/P 2.03450000
35565KAH1
8600000.00000000
NS
USD
8153696.98000000
0.136628773721
Long
ABS-CBDO
CORP
US
Y
2
2050-02-25
Variable
2.03450000
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
4346.52000000
NS
USD
4945.12000000
0.000082863722
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
6.50000000
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
17088137.97000000
0.286340213739
Long
DBT
CORP
IE
Y
2
2025-04-10
Variable
4.26300000
N
N
N
N
N
N
WALT DISNEY COMP 3.6% 01/13/51
N/A
WALT DISNEY COMPANY/THE REGD 3.60000000
254687FZ4
2785000.00000000
NS
USD
3102325.91000000
0.051984637865
Long
DBT
CORP
US
N
2
2051-01-13
Fixed
3.60000000
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
217174.43000000
0.003639119301
Long
DBT
CORP
BM
N
3
2021-12-31
Variable
1.49000000
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
7165429.64000000
NS
USD
7126620.96000000
0.119418404305
Long
ABS-CBDO
CORP
US
Y
2
2063-10-25
Variable
2.75000000
N
N
N
N
N
N
SOTHEBY'S 7.375% 10/15/27
N/A
SOTHEBY'S REGD 144A P/P 7.37500000
835898AH0
2880000.00000000
NS
USD
2721600.00000000
0.045604941104
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
7.37500000
N
N
N
N
N
N
UMBS P#QA3894 5% 10/01/49
N/A
FREDDIE MAC POOL UMBS P#QA3894 5.00000000
31339UKF6
953896.09000000
NS
USD
1042275.05000000
0.017465054479
Long
ABS-MBS
USGA
US
N
2
2049-10-01
Fixed
5.00000000
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
4331781.84000000
0.072586219757
Long
DBT
CORP
US
N
2
2024-08-15
Variable
3.07100000
N
N
N
N
N
N
IBRD V/R 03/13/24
N/A
INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT V/R SER A 3.73338000
U4586F6V4
250000.00000000
NS
USD
246725.00000000
0.004134288320
Long
DBT
USGA
US
Y
2
2024-03-13
Variable
3.73338000
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
6995892.50000000
NS
USD
6998908.43000000
0.117278368146
Long
ABS-CBDO
CORP
US
Y
2
2058-05-25
Variable
5.00000000
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
3424125.00000000
0.057376917607
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.37500000
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
124730.00000000
NS
USD
138583.55000000
0.002322198205
Long
ABS-MBS
USGSE
US
N
2
2035-04-15
Fixed
4.50000000
N
N
N
N
N
N
TPMT 2019-4 A2 V/R 04/25/31
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
20583556.00000000
0.344911764810
Long
ABS-CBDO
CORP
US
Y
2
2059-10-25
Variable
3.25000000
N
N
N
N
N
N
GNMA P#315171 9% 06/15/22
N/A
GINNIE MAE I POOL P#315171 9.00000000
36223RCG8
776.68000000
NS
USD
785.51000000
0.000013162528
Long
ABS-MBS
USGSE
US
N
2
2022-06-15
Fixed
9.00000000
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
1049655.48000000
NS
USD
839724.38000000
0.014070980634
Long
LON
CORP
US
N
2
2025-06-14
Fixed
0.00000000
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
13376578.58000000
0.224146854175
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
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
1445474.63000000
NS
USD
1456585.70000000
0.024407519496
Long
ABS-CBDO
CORP
US
Y
2
2031-02-18
Fixed
3.63000000
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 2.18450000
65252WAA5
2686175.84000000
NS
USD
2622145.74000000
0.043938419327
Long
ABS-CBDO
CORP
US
Y
2
2043-02-15
Variable
2.18450000
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
20000.00000000
NS
USD
132924.00000000
0.002227363018
Long
DBT
CORP
BM
Y
3
2022-09-09
Fixed
0.00000000
N
N
N
N
N
N
2020-07-30
Pioneer Bond Fund /DE/
Mark E. Bradley
Mark E. Bradley
Treasurer and Chief Accounting and Financial Officer