Canadian Imperial Bank of Commerce

NPORT-Pfalse0000277751XXXXXXXXS000044285C000137958C000137959C000137960C000137961C000137962C000137963C000137964JANUS INVESTMENT FUND811-018790000277751W6UYDZFUOFJ4HQQ32382151 DETROIT STREETDENVER802063033333863Janus Henderson Multi-Sector Income FundS000044285549300WARVMK66TM83152020-06-302019-12-31N24793201912912404202188079771000000000085307388.240027554595USDEURGBPNN/AN/ACanadian Imperial Bank of CommerceN/A731155PAUSD7311550.0334LongSTIVCORPUSN22020-01-02Fixed1.6NNNNNJanus Henderson Cash Liquidity FundN/AJanus Henderson Cash Liquidity FundN/A98345963NSUSD983459634.4946LongECPFUSN2NNNJanus Henderson Cash Collateral FundN/AJanus Henderson Cash Collateral FundN/A2924620NSUSD29246200.1337LongECPFUSN2NNQuiksilver Inc / QS Wholesale IncN/AQUIKSILVER INC BANKRUPTCY EQUITY CERTBNKRPTQS1542NSUSD227590.001LongECCORPUSN3NNNCITIGROUP CAPITAL XIIIN/ACitigroup Capital XIII17308020136600NSUSD10174800.0465LongEPCORPUSN2NNNSYNCHRONY FINANCIAL549300RS7EWPM9MA6C78Synchrony Financial87165B202470500NSUSD120212750.5494LongEPCORPUSN2NNNAMN HEALTHCARE INC549300H27NUKBFFQEE84AMN Healthcare Inc00175PAB93572000PAUSD35809300.1637LongDBTCORPUSY22027-10-01Fixed4.625NNNNNNABBVIE INCFR5LCKFTG8054YNNRU85AbbVie Inc00287YBU28918000PAUSD90513600.4137LongDBTCORPUSY22026-11-21Fixed2.95NNNNNNALBERTSONS COS/SAFEWAY549300YKWOC0AOR16R51Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC013092AB73594000PAUSD38186250.1745LongDBTCORPUSY22028-02-15Fixed5.875NNNNNNALERIS INTL INC5493002SZ3VN4IY2H022Aleris International Inc014477AT012204000PAUSD127226700.5815LongDBTCORPUSY22023-07-15Fixed10.75NNNNNNALLEGHENY TECHNOLOGIESZW1LRE7C3H17O2ZN9B45Allegheny Technologies Inc01741RAF91046000PAUSD11723880.0536LongDBTCORPUSN22023-08-15Fixed7.875NNNNNNALLEGHENY TECHNOLOGIESZW1LRE7C3H17O2ZN9B45Allegheny Technologies Inc01741RAH58854000PAUSD92967000.4249LongDBTCORPUSN22027-12-01Fixed5.875NNNNNNALLIANCE DATA SYSTEMS CO549300G8S4PO686J7H97Alliance Data Systems Corp018581AK48276000PAUSD82553100.3773LongDBTCORPUSY22024-12-15Fixed4.75NNNNNNAMERICAN AXLE & MFG INCRY5TAKFOBLDUGX31MS24American Axle & Manufacturing Inc02406PAL43347000PAUSD33930210.1551LongDBTCORPUSN22022-10-15Fixed6.625NNNNNNAMERICAN HOMES 4 RENT549300N4PXZ37U8QKI55American Homes 4 Rent LP02666TAA52350000PAUSD25005130.1143LongDBTCORPUSN22028-02-15Fixed4.25NNNNNNANTERO RESOURCES CORPAPVBKPOULHUX7YZLKU17Antero Resources Corp03674PAL73158000PAUSD30070080.1374LongDBTCORPUSN22021-11-01Fixed5.375NNNNNNASHTON WOODS USA/FINANCEN/AAshton Woods USA LLC / Ashton Woods Finance Co045086AF21935000PAUSD19785380.0904LongDBTCORPUSY22025-08-01Fixed6.75NNNNNNASSURANT INCH3F39CAXWQRVWURFXL38Assurant Inc04621XAM05362000PAUSD54283190.2481LongDBTCORPUSN22030-02-22Fixed3.7NNNNNNBELO CORPN/ABelo Corp080555AF232000PAUSD364000.0017LongDBTCORPUSN22027-09-15Fixed7.25NNNNNNBLACK HILLS CORP3MGELCRSTNSAMJ962671Black Hills Corp092113AR011950000PAUSD118894560.5434LongDBTCORPUSN22029-10-15Fixed3.05NNNNNNBROADRIDGE FINANCIAL SOLN/ABroadridge Financial Solutions Inc11133TAD59032000PAUSD90209960.4123LongDBTCORPUSN22029-12-01Fixed2.9NNNNNNBROWN & BROWN INC549300PC8KTJ71XKFY89Brown & Brown Inc115236AB73538000PAUSD38891140.1777LongDBTCORPUSN22029-03-15Fixed4.5NNNNNNMAUSER PACKAGING SOLUT549300DNGHXL0OMHW304Mauser Packaging Solutions Holding Co12429TAE43816000PAUSD37683000.1722LongDBTCORPUSY22025-04-15Fixed7.25NNNNNNCF INDUSTRIES INC5FVKT86LAD2F40NPC183CF Industries Inc12527GAG81964000PAUSD20135510.092LongDBTCORPUSY22021-12-01Fixed3.4NNNNNNCIT GROUP INCN8O96ZZJQRFYQUJY7K79CIT Group Inc125581GY87785000PAUSD83104880.3798LongDBTCORPUSN22024-02-16Fixed4.75NNNNNNCSC HOLDINGS LLC3HG2WD2W22M120IUNG49CSC Holdings LLC126307BA412991000PAUSD138678920.6338LongDBTCORPUSY22030-01-15Fixed5.75NNNNNNCALPINE CORP43R4VPJBXTU2O15HEF41Calpine Corp131347CN415720000PAUSD160454040.7333LongDBTCORPUSY22028-03-15Fixed5.125NNNNNNCCM MERGER INC549300P77RSBKKFME089CCM Merger Inc14985VAD37059000PAUSD72001800.3291LongDBTCORPUSY22022-03-15Fixed6NNNNNNCENTURYLINK INC8M3THTGWLTYZVE6BBY25CenturyLink Inc156700BB15475000PAUSD55715240.2546LongDBTCORPUSY22026-12-15Fixed5.125NNNNNNCHARTER COMM OPT LLC/CAP549300TPZNMN50BJ3745Charter Communications Operating LLC / Charter Communications Operating Capital161175BT04916000PAUSD51659100.2361LongDBTCORPUSN22050-03-01Fixed4.8NNNNNNCHENIERE CORP CHRISTI HD549300I7CIEWU1BBLQ53Cheniere Corpus Christi Holdings LLC16412XAH84102000PAUSD41831470.1912LongDBTCORPUSY22029-11-15Fixed3.7NNNNNNCITIGROUP INC6SHGI4ZSSLCXXQSBB395Citigroup Inc172967LC33100000PAUSD31502290.144LongDBTCORPUSN22021-12-08Fixed2.9NNNNNNCITIGROUP INC6SHGI4ZSSLCXXQSBB395Citigroup Inc172967MG37440000PAUSD77934000.3562LongDBTCORPUSN22099-12-31Variable5NNNNNNCONAGRA BRANDS INC54930035UDEIH090K650Conagra Brands Inc205887CC43393000PAUSD38880380.1777LongDBTCORPUSN22028-11-01Fixed4.85NNNNNNCUBESMART LP549300MPHKO3I3FJRA97CubeSmart LP22966RAF38000000PAUSD78984910.361LongDBTCORPUSN22030-02-15Fixed3NNNNNNCYRUSONE LP/CYRUSONE FIN549300TDXOX1X4TWIB58CyrusOne LP / CyrusOne Finance Corp23283PAQ73303000PAUSD33156840.1515LongDBTCORPUSN22024-11-15Fixed2.9NNNNNNCYRUSONE LP/CYRUSONE FIN549300TDXOX1X4TWIB58CyrusOne LP / CyrusOne Finance Corp23283PAR53532000PAUSD35416780.1619LongDBTCORPUSN22029-11-15Fixed3.45NNNNNNDCP MIDSTREAM OPERATING549300Y6CTBSE0QIPL28DCP Midstream Operating LP23311VAF42517000PAUSD24351980.1113LongDBTCORPUSN22044-04-01Fixed5.6NNNNNNDELL INT LLC / EMC CORPN/ADell International LLC / EMC Corp24703DBA89886000PAUSD111323100.5088LongDBTCORPUSY22029-10-01Fixed5.3NNNNNNDIAMOND SPORTS GR/DIAMONN/ADiamond Sports Group LLC / Diamond Sports Finance Co25277LAA43550000PAUSD35910100.1641LongDBTCORPUSY22026-08-15Fixed5.375NNNNNNDOLE FOOD CO INC549300BHY23LFYB85T03Dole Food Co Inc256603AC58957000PAUSD86658980.3961LongDBTCORPUSY22025-06-15Fixed7.25NNNNNNDOWNSTREAM DEVELOPMENT549300NM30NX0VZ5ZB32Downstream Development Authority of the Quapaw Tribe of Oklahoma26112TAJ56589000PAUSD69184500.3162LongDBTCORPUSY22023-02-15Fixed10.5NNNNNNKEURIG DR PEPPER INCDYTQ8KRTKO7Y2BVU5K74Keurig Dr Pepper Inc26138EAS85419000PAUSD56546030.2584LongDBTCORPUSN22025-11-15Fixed3.4NNNNNNEQT CORP4NT01YGM4X7ZX86ISY52EQT Corp26884LAD1322000PAUSD3211110.0147LongDBTCORPUSN22020-10-01Floating2.869NNNNNNEPR PROPERTIES549300YSSXFHMPOWZ492EPR Properties26884UAF67830000PAUSD79269090.3623LongDBTCORPUSN22029-08-15Fixed3.75NNNNNNEQM MIDSTREAM PARTNERS L549300NELT611CL6XM83EQM Midstream Partners LP26885BAC41750000PAUSD17180760.0785LongDBTCORPUSN22028-07-15Fixed5.5NNNNNNELANCO ANIMAL HEALTH INC549300SHPNDCE059M934Elanco Animal Health Inc28414HAG83015000PAUSD32769420.1498LongDBTCORPUSN22028-08-28Fixed4.9NNNNNNENLINK MIDSTREAM LLC54930000GY1H533OBE23EnLink Midstream LLC29336TAA82556000PAUSD24026400.1098LongDBTCORPUSN22029-06-01Fixed5.375NNNNNNENTERPRISE DEVELOP AUTHN/AEnterprise Development Authority29390WAA49279000PAUSD106244550.4856LongDBTCORPUSY22024-07-15Fixed12NNNNNNEQUIFAX INC5493004MCF8JDC86VS77Equifax Inc294429AP02950000PAUSD29607180.1353LongDBTCORPUSN22021-08-15Floating2.77988NNNNNNEQUINIX INC549300EVUN2BTLJ3GT74Equinix Inc29444UBC910275000PAUSD102941110.4705LongDBTCORPUSN22024-11-18Fixed2.625NNNNNNEQUINIX INC549300EVUN2BTLJ3GT74Equinix Inc29444UBD75734000PAUSD57440350.2625LongDBTCORPUSN22026-11-18Fixed2.9NNNNNNEXTRACTION OIL & GAS INC5493002FL3WIE1JVUP20Extraction Oil & Gas Inc30227MAB11493000PAUSD8958000.0409LongDBTCORPUSY22026-02-01Fixed5.625NNNNNNFREEPORT-MCMORAN INC549300IRDTHJQ1PVET45Freeport-McMoRan Inc35671DAU912459000PAUSD126147370.5765LongDBTCORPUSN22022-03-01Fixed3.55NNNNNNGLP CAPITAL LP / FIN II5493006GWRDBCZYWTM57GLP Capital LP / GLP Financing II Inc361841AP42313000PAUSD23608790.1079LongDBTCORPUSN22030-01-15Fixed4NNNNNNGENERAL ELECTRIC CO3C7474T6CDKPR9K6YT90General Electric Co369604BQ56712000PAUSD65741360.3005LongDBTCORPUSN22099-12-31Variable5NNNNNNGLENCORE FUNDING LLC213800STG1QDNBY87K49Glencore Funding LLC378272AT53722000PAUSD38953500.178LongDBTCORPUSY22024-03-12Fixed4.125NNNNNNGOLDEN ENTERTAINMENT INC549300P8YYCKQVJ0Y638Golden Entertainment Inc381013AA98277000PAUSD89184680.4076LongDBTCORPUSY22026-04-15Fixed7.625NNNNNNGOLDEN NUGGET INC91D14OD6M4H1RVBN7R43Golden Nugget Inc38113YAC33641000PAUSD38935940.1779LongDBTCORPUSY22025-10-01Fixed8.75NNNNNNGOLDEN NUGGET INC91D14OD6M4H1RVBN7R43Golden Nugget Inc38113YAE92364000PAUSD24467400.1118LongDBTCORPUSY22024-10-15Fixed6.75NNNNNNGOLDMAN SACHS GROUP INC784F5XWPLTWKTBV3E584Goldman Sachs Group Inc38144GAB74200000PAUSD43512000.1989LongDBTCORPUSN22099-12-31Variable4.95NNNNNNGREAT LAKES DREDGE&DOCK549300H65E3MZ1CX0P05Great Lakes Dredge & Dock Corp390607AE93832000PAUSD40523400.1852LongDBTCORPUSN22022-05-15Fixed8NNNNNNGREAT WST PTRLM/GRT FNCE549300SI11E2L0GH4T34Great Western Petroleum LLC / Great Western Finance Corp39143GAA83794000PAUSD33908880.155LongDBTCORPUSY22021-09-30Fixed9NNNNNNHLF FIN SARL LLC/HERBALIST81INWBFR1E54KGC135HLF Financing Sarl LLC / Herbalife International Inc40390DAA37600000PAUSD80560000.3682LongDBTCORPUSY22026-08-15Fixed7.25NNNNNNHASBRO INC549300NUB6D2R1ITYR45Hasbro Inc418056AX55056000PAUSD50773300.232LongDBTCORPUSN22024-11-19Fixed3NNNNNNHASBRO INC549300NUB6D2R1ITYR45Hasbro Inc418056AY35048000PAUSD50778590.2321LongDBTCORPUSN22026-11-19Fixed3.55NNNNNNHASBRO INC549300NUB6D2R1ITYR45Hasbro Inc418056AZ015725000PAUSD158192670.723LongDBTCORPUSN22029-11-19Fixed3.9NNNNNNHESS MIDSTREAM OPERATIONN/AHess Midstream Operations LP428104AA16687000PAUSD67705880.3094LongDBTCORPUSY22028-06-15Fixed5.125NNNNNNJPMORGAN CHASE & CO8I5DZWZKVSZI1NUHU748JPMorgan Chase & Co48128BAF86259000PAUSD65093600.2975LongDBTCORPUSN22099-12-31Variable5NNNNNNJUNIPER NETWORKS INCAUHIXNGG7U2U7JEHM527Juniper Networks Inc48203RAM610106000PAUSD104971440.4797LongDBTCORPUSN22029-08-15Fixed3.75NNNNNNKRAFT HEINZ FOODS CO5493003STKEZ2S0RNU91Kraft Heinz Foods Co50077LAL03075000PAUSD34095740.1558LongDBTCORPUSN22035-07-15Fixed5NNNNNNLABL ESCROW ISSUER LLCN/ALABL Escrow Issuer LLC50168AAA89501000PAUSD97119220.4439LongDBTCORPUSY22027-07-15Fixed10.5NNNNNNLABL ESCROW ISSUER LLCN/ALABL Escrow Issuer LLC50168AAB66413000PAUSD68138130.3114LongDBTCORPUSY22026-07-15Fixed6.75NNNNNNLPL HOLDINGS INC549300Z5YF8CCRMYUL26LPL Holdings Inc50212YAC85371000PAUSD54784200.2504LongDBTCORPUSY22027-11-15Fixed4.625NNNNNNLEVEL 3 FINANCING INCN/ALevel 3 Financing Inc527298BD44073000PAUSD40880700.1868LongDBTCORPUSN22022-08-15Fixed5.375NNNNNNLEVEL 3 FINANCING INCN/ALevel 3 Financing Inc527298BP72667000PAUSD26857490.1227LongDBTCORPUSY22027-03-01Fixed3.4NNNNNNLEVEL 3 FINANCING INCN/ALevel 3 Financing Inc527298BQ55000000PAUSD50375000.2302LongDBTCORPUSY22029-11-15Fixed3.875NNNNNNMAGELLAN HEALTH SRVCSN/AMagellan Health Inc559079AK44695000PAUSD48123750.2199LongDBTCORPUSN22024-09-22Fixed4.9NNNNNNTHE MEN'S WEARHOUSE INCNKFP7BJ6WYEV4I24P532Men's Wearhouse Inc587118AE01935000PAUSD18479250.0845LongDBTCORPUSN22022-07-01Fixed7NNNNNNMICRON TECHNOLOGY INCB3DXGBC8GAIYWI2Z0172Micron Technology Inc595112BM43460000PAUSD38380170.1754LongDBTCORPUSN22026-02-06Fixed4.975NNNNNNMICRON TECHNOLOGY INCB3DXGBC8GAIYWI2Z0172Micron Technology Inc595112BN23460000PAUSD39655270.1812LongDBTCORPUSN22029-02-06Fixed5.327NNNNNNMOHEGAN GAMING & ENT549300UB083Z2NRDHC48Mohegan Gaming & Entertainment608328BF610336000PAUSD105427200.4818LongDBTCORPUSY22024-10-15Fixed7.875NNNNNNMYLAN INC30ZMPDNA1RHIBH89C294Mylan Inc628530BK27297000PAUSD78462650.3586LongDBTCORPUSN22028-04-15Fixed4.55NNNNNNNBM US HOLDINGS INC5493008K1QMSP0J8UC24NBM US Holdings Inc62877VAB73138000PAUSD34078990.1557LongDBTCORPUSY22029-08-06Fixed6.625NNNNNNNGPL PIPECO LLC549300K3NT1HSQFEM073NGPL PipeCo LLC62912XAC81812000PAUSD23351670.1067LongDBTCORPUSY22037-12-15Fixed7.768NNNNNNNEWELL BRANDS INC549300LWGYFM1TVO1Z12Newell Brands Inc651229AW69722000PAUSD101281110.4629LongDBTCORPUSN22026-04-01Fixed4.2NNNNNNNEWELL BRANDS INC549300LWGYFM1TVO1Z12Newell Brands Inc651229AY21622000PAUSD17340120.0792LongDBTCORPUSN22046-04-01Fixed5.5NNNNNNOUTFRONT MEDIA CAP LLC/C5493005WC7J0FDMW0610Outfront Media Capital LLC / Outfront Media Capital Corp69007TAC81967000PAUSD20014230.0915LongDBTCORPUSY22030-03-15Fixed4.625NNNNNNPLATFORM SPECIALTY PROD549300FLGN6P5CU20J91Platform Specialty Products Corp72766QAD71633000PAUSD17085260.0781LongDBTCORPUSY22025-12-01Fixed5.875NNNNNNQEP RESOURCES INCQ6JQDZPXKEDQKVK58165QEP Resources Inc74733VAA83949000PAUSD40872150.1868LongDBTCORPUSN22021-03-01Fixed6.875NNNNNNRANGE RESOURCES CORPH3Y3WLYCX0BTO1TRW162Range Resources Corp75281AAY51826000PAUSD17894800.0818LongDBTCORPUSN22022-08-15Fixed5NNNNNNREYNOLDS GRP ISS/REYNOLDN/AReynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu761735AP41570000PAUSD15719630.0718LongDBTCORPUSN22020-10-15Fixed5.75NNNNNNSES GLOBAL AMERICAS HLDG5299000YGN3VJ3R60481SES GLOBAL Americas Holdings GP78413KAB82958000PAUSD28758230.1314LongDBTCORPUSY22044-03-25Fixed5.3NNNNNNSCIENTIFIC GAMES INTERNARLTHESQ0RNFQJWPBJN60Scientific Games International Inc80874YBC36784000PAUSD72588800.3317LongDBTCORPUSY22028-05-15Fixed7NNNNNNSMITHFIELD FOODS INCCVTIPZRZJC0JQEZLL598Smithfield Foods Inc832248BB34884000PAUSD54098970.2472LongDBTCORPUSY22029-04-01Fixed5.2NNNNNNSUMMIT MATERIALS LLC/FIN549300C97P3BW8QROE16Summit Materials LLC / Summit Materials Finance Corp86614RAM94793000PAUSD51524750.2355LongDBTCORPUSY22027-03-15Fixed6.5NNNNNNSYNCHRONY FINANCIAL549300RS7EWPM9MA6C78Synchrony Financial87165BAM5689000PAUSD7233360.0331LongDBTCORPUSN22027-12-01Fixed3.95NNNNNNSYNCHRONY FINANCIAL549300RS7EWPM9MA6C78Synchrony Financial87165BAN31229000PAUSD13102810.0599LongDBTCORPUSN22024-03-19Fixed4.375NNNNNNSYNCHRONY FINANCIAL549300RS7EWPM9MA6C78Synchrony Financial87165BAP84935000PAUSD56081920.2563LongDBTCORPUSN22029-03-19Fixed5.15NNNNNNT-MOBILE USA INC549300V2JRLO5DIFGE82T-Mobile USA Inc87264AAJ45519000PAUSD56777820.2595LongDBTCORPUSN22024-01-15Fixed6.5NNNNNNTALLGRASS NRG PRTNR/FIN549300IQ3DN0F3VERF65Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp87470LAA98649000PAUSD86922450.3973LongDBTCORPUSY22024-09-15Fixed5.5NNNNNNTALLGRASS NRG PRTNR/FIN549300IQ3DN0F3VERF65Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp87470LAE11938000PAUSD19331550.0883LongDBTCORPUSY22023-10-01Fixed4.75NNNNNNTERRIER MEDIA BUYER INCN/ATerrier Media Buyer Inc88146LAA14432000PAUSD46868400.2142LongDBTCORPUSY22027-12-15Fixed8.875NNNNNNTRINITY INDUSTRIES INCR1JB4KXN77XFCXOQKV49Trinity Industries Inc896522AH26023000PAUSD62237180.2844LongDBTCORPUSN22024-10-01Fixed4.55NNNNNNTWIN RIVER WORLDWIDE HLD549300NS4D5IK406VT62Twin River Worldwide Holdings Inc90171VAA38019000PAUSD83798550.383LongDBTCORPUSY22027-06-01Fixed6.75NNNNNNUBER TECHNOLOGIES INC549300B2FTG34FILDR98Uber Technologies Inc90353TAA83290000PAUSD34380500.1571LongDBTCORPUSY22023-11-01Fixed7.5NNNNNNQWEST CORP549300R2L4N683OO1509Qwest Corp912920AC94129000PAUSD41475810.1896LongDBTCORPUSN22033-09-15Fixed6.875NNNNNNUNUM GROUP549300E32YFDO6TZ8R31Unum Group91529YAN64909000PAUSD51490550.2353LongDBTCORPUSN22029-06-15Fixed4NNNNNNUSA COM PART/USA COM FINN/AUSA Compression Partners LP / USA Compression Finance Corp91740PAF54035000PAUSD42028560.1921LongDBTCORPUSN22027-09-01Fixed6.875NNNNNNBAUSCH HEALTH AMERICASKOO0397YRO83WY5MGD97Bausch Health Americas Inc91911XAV6601000PAUSD6903090.0315LongDBTCORPUSY22026-04-01Fixed9.25NNNNNNBAUSCH HEALTH AMERICASKOO0397YRO83WY5MGD97Bausch Health Americas Inc91911XAW45290000PAUSD60242520.2753LongDBTCORPUSY22027-01-31Fixed8.5NNNNNNVIACOMCBS INC5KYC8KF17ROCY24M3H09ViacomCBS Inc92553PAP7950000PAUSD10046830.0459LongDBTCORPUSN22043-03-15Fixed4.375NNNNNNVIACOMCBS INC5KYC8KF17ROCY24M3H09ViacomCBS Inc92553PAW2846000PAUSD9791540.0447LongDBTCORPUSN22044-04-01Fixed5.25NNNNNNVIACOMCBS INC5KYC8KF17ROCY24M3H09ViacomCBS Inc92553PBD32662000PAUSD27684800.1265LongDBTCORPUSN22057-02-28Variable5.875NNNNNNWATCO COS LLC/FINANCE CO549300UK74AMHGBXZG45Watco Cos LLC / Watco Finance Corp941130AA43788000PAUSD38448200.1757LongDBTCORPUSY22023-04-01Fixed6.375NNNNNNWESTINGHOUSE AIR BRAKE06BTX5UWZD0GQ5N5Y745Westinghouse Air Brake Technologies Corp960386AM23330000PAUSD36611520.1673LongDBTCORPUSN22028-09-15Fixed4.95NNNNNNWESTINGHOUSE AIR BRAKE06BTX5UWZD0GQ5N5Y745Westinghouse Air Brake Technologies Corp960386AP51831000PAUSD18312770.0837LongDBTCORPUSN22021-09-15Floating3.19363NNNNNNZEKELMAN INDUSTRIES INC549300S5LMRAKDWWI425Zekelman Industries Inc98932KAA0502000PAUSD5277280.0241LongDBTCORPUSY22023-06-15Fixed9.875NNNNNNELECTRICITE DE FRANCE SA549300X3UK4GG3FNMO06Electricite de France SAAU66990712000000PA25051100.1145LongDBTCORPFRN22030-10-02Fixed2NNNNNNENGIE SALAXUQCHT4FH58LRZDY46Engie SAAZ17030002700000PA31271840.1429LongDBTCORPFRN22039-06-21Fixed1.375NNNNNNARD FINANCE SA6354006P6QPGGPVJW880ARD Finance SA00191AAD88785000PAUSD90832510.4151LongDBTCORPLUY22027-06-30Fixed6.5NNNNNNALBEMARLE WOD PTY LTD25490061SXKXCH8MR021Albemarle Wodgina Pty Ltd01273PAA010146000PAUSD101353170.4632LongDBTCORPAUY22029-11-15Fixed3.45NNNNNNALCOA NEDERLAND HOLDING5493000UL1QLQLT1VQ42Alcoa Nederland Holding BV013822AA94283000PAUSD45061010.2059LongDBTCORPNLY22024-09-30Fixed6.75NNNNNNALTICE LUXEMBOURG SA2221006ZDZREFLFIFQ42Altice Luxembourg SA02154VAB75629000PAUSD58541600.2675LongDBTCORPLUY22025-02-15Fixed7.625NNNNNNBANCO LA HIPOTECARIAN/ABanco La Hipotecaria SA059605AA35700000PAUSD59442450.2717LongDBTCORPPAY22023-09-15Fixed5.5NNNNNNBANCO LA HIPOTECARIAN/ABanco La Hipotecaria SA059605AE55000000PAUSD50000000.2285LongDBTCORPPAY22024-12-15Fixed4.125NNNNNNBAUSCH HEALTH COS INCB3BS7ACMDUWISF18KY76Bausch Health Cos Inc071734AH07265000PAUSD74567230.3408LongDBTCORPCAY22028-01-30Fixed5NNNNNBAUSCH HEALTH COS INCB3BS7ACMDUWISF18KY76Bausch Health Cos Inc071734AJ61199000PAUSD12433630.0568LongDBTCORPCAY22030-01-30Fixed5.25NNNNNNDH EUROPE FINANCE II222100KDGL314CKTZ511DH Europe Finance II Sarl23291KAG06344000PAUSD63465780.2901LongDBTCORPLUN22024-11-15Fixed2.2NNNNNNDH EUROPE FINANCE II222100KDGL314CKTZ511DH Europe Finance II Sarl23291KAJ47276000PAUSD73140150.3343LongDBTCORPLUN22039-11-15Fixed3.25NNNNNNEG GLOBAL FINANCE PLC549300TL8Q5207VYET27eG Global Finance PLC28228PAA93488000PAUSD35403200.1618LongDBTCORPGBY22025-02-07Fixed6.75NNNNNNEG GLOBAL FINANCE PLC549300TL8Q5207VYET27eG Global Finance PLC28228PAB73996000PAUSD42407550.1938LongDBTCORPGBY22025-10-30Fixed8.5NNNNNNENEL FINANCE INTL NV0YQH6LCEF474UTUV4B96Enel Finance International NV29278GAJ77147000PAUSD77912670.3561LongDBTCORPNLY22025-09-14Fixed4.625NNNNNNFIRST QUANTUM MINERALS L549300I7UVBGWRYMYZ18First Quantum Minerals Ltd335934AF25263000PAUSD52761580.2411LongDBTCORPCAY22021-02-15Fixed7NNNNNNFIRST QUANTUM MINERALS L549300I7UVBGWRYMYZ18First Quantum Minerals Ltd335934AK16916000PAUSD71599960.3272LongDBTCORPCAY22023-04-01Fixed7.25NNNNNNFIRST QUANTUM MINERALS L549300I7UVBGWRYMYZ18First Quantum Minerals Ltd335934AR67975000PAUSD80746880.369LongDBTCORPCAY22026-03-01Fixed6.875NNNNNNGLOBAL AIR LEASE CO LTDN/AGlobal Aircraft Leasing Co Ltd37960JAA67977000PAUSD83236010.3804LongDBTCORPKYY22024-09-15Fixed6.5NNNNNNHUDBAY MINERALS INC549300WI524AL577IX21Hudbay Minerals Inc443628AF97324000PAUSD75940730.3471LongDBTCORPCAY22023-01-15Fixed7.25NNNNNNIHS MARKIT LTD549300HLPTRASHS0E726IHS Markit Ltd44962LAA52500000PAUSD26635990.1217LongDBTCORPBMY22022-11-01Fixed5NNNNNNIHS MARKIT LTD549300HLPTRASHS0E726IHS Markit Ltd44962LAG22000000PAUSD21251400.0971LongDBTCORPBMN22023-08-01Fixed4.125NNNNNNINFRABUILD AUSTRALIA PTY549300W2CPB5W6GFH859Infrabuild Australia Pty Ltd45682RAA83398000PAUSD35025900.1601LongDBTCORPAUY22024-10-01Fixed12NNNNNNINTELSAT CONNECT FINANCE549300T8SOCBO2H77X11Intelsat Connect Finance SA45827AAD55590000PAUSD39113230.1788LongDBTCORPLUY22023-02-15Fixed9.5NNNNNNLCPR SR SECURED FIN DAC549300LE5FM8IKMXSP90LCPR Senior Secured Financing DAC50201DAA13882000PAUSD41149200.1881LongDBTCORPIEY22027-10-15Fixed6.75NNNNNNOCI NV549300NCMRGIBJYUOE57OCI NV67091GAC72769000PAUSD28728380.1313LongDBTCORPNLY22024-11-01Fixed5.25NNNNNNSES SA5493008JPA4HYMH1HX51SES SA78413HAB51266000PAUSD12190280.0557LongDBTCORPLUY22043-04-04Fixed5.3NNNNNNSTARFRUIT FINCO/STAR US549300GD4NJGLPVYB245Starfruit Finco BV / Starfruit US Holdco LLC85529VAA25276000PAUSD55925600.2556LongDBTCORPNLY22026-10-01Fixed8NNNNNNTRIVIUM PACKAGING FIN724500GMZWW3PVYET548Trivium Packaging Finance BV89686QAA44946000PAUSD52118480.2382LongDBTCORPNLY22026-08-15Fixed5.5NNNNNNTRIVIUM PACKAGING FIN724500GMZWW3PVYET548Trivium Packaging Finance BV89686QAB23359000PAUSD37368880.1708LongDBTCORPNLY22027-08-15Fixed8.5NNNNNNBRASKEM NETHERLANDSN/ABraskem Netherlands Finance BVZQ35791129160000PAUSD91187800.4167LongDBTCORPNLN22030-01-31Fixed4.5NNNNNNAUTOSTRADE PER L'ITALIA815600149448CEB9B230Autostrade per l'Italia SpAEI40225015823000PA71632660.3274LongDBTCORPITN22025-09-16Fixed4.375NNNNNNSES SA5493008JPA4HYMH1HX51SES SALW25302251050000PA12498180.0571LongDBTCORPLUN22099-12-31Variable4.625NNNNNNAT SECURITIES BV894500FVP65TB5QVZL54AT Securities BVAN96472485000000PAUSD52025000.2378LongDBTCORPNLN22099-12-31Variable5.25NNNNNNAVANTOR INC5493003VM0XB4U8YD238Avantor IncAP28480382862000PA34146710.1561LongDBTCORPUSN22024-10-01Fixed4.75NNNNNNCPI PROPERTY GROUP SA222100CO2ZOTEPGJO223CPI Property Group SAAX47380995366000PAUSD56366180.2576LongDBTCORPLUN22023-03-08Fixed4.75NNNNNNABERTIS INFRAESTRUCTURAS549300GKFVWI02JQ5332Abertis Infraestructuras SAAX72935482000000PA24155000.1104LongDBTCORPESN22027-09-27Fixed2.375NNNNNNCPI PROPERTY GROUP SA222100CO2ZOTEPGJO223CPI Property Group SAZS10866865589000PA65742430.3005LongDBTCORPLUN22099-12-31Variable4.875NNNNNNIHO VERWALTUNGS GMBH529900JL0HDVGZMUJF32IHO Verwaltungs GmbHZS81044668638149PA102456790.4682LongDBTCORPDEY22027-05-15Fixed3.875NNNNNNVIVION INVESTMENTS529900SJ7X71ESJK9N76Vivion Investments SarlAZ80573688800000PA100658620.46LongDBTCORPLUN22024-08-08Fixed3NNNNNNVICTORIA PLC2138002K6ECECHVCQN25Victoria PLCAZ67035349045000PA107566490.4916LongDBTCORPGBY22024-07-15Fixed5.25NNNNNNABERTIS INFRAESTRUCTURAS549300GKFVWI02JQ5332Abertis Infraestructuras SAZR65569902800000PA30764760.1406LongDBTCORPESN22032-03-26Fixed1.875NNNNNNNETFLIX INC549300Y7VHGU0I7CE873Netflix IncAV18344322600000PA32500730.1485LongDBTCORPUSN22029-05-15Fixed4.625NNNNNNARD FINANCE SA6354006P6QPGGPVJW880ARD Finance SAZQ44288147440000PA84098250.3843LongDBTCORPLUY22027-06-30Fixed5NNNNNNSTANDARD INDUSTRIES INC54930064UHXCIUWVI755Standard Industries Inc/NJZQ61607048980000PA103688890.4739LongDBTCORPUSY22026-11-21Fixed2.25NNNNNNTESCO CORP TREASURY SERV21380018AJDKNF3A6712Tesco Corporate Treasury Services PLCZQ76700324598000PA51679670.2362LongDBTCORPGBN22026-05-29Fixed0.875NNNNNNFannie Mae or Freddie MacB1V7KEBTPIMZEU4LTD58Fannie Mae or Freddie Mac01F02261820000000PAUSD197756200.9038LongABS-MBSUSGSEUSN22049-08-25Fixed2.5NNNNNNFannie Mae or Freddie MacB1V7KEBTPIMZEU4LTD58Fannie Mae or Freddie Mac01F03061151065770PAUSD517942112.3671LongABS-MBSUSGSEUSN22049-07-25Fixed3.5NNNNNNFannie Mae or Freddie MacB1V7KEBTPIMZEU4LTD58Fannie Mae or Freddie Mac01F0324196835000PAUSD70865960.3239LongABS-MBSUSGSEUSN22033-08-25Fixed3.5NNNNNNFannie Mae or Freddie MacB1V7KEBTPIMZEU4LTD58Fannie Mae Pool01F04061034180000PAUSD355513021.6248LongABS-MBSUSGSEUSN22048-09-25Fixed4NNNNNNFannie Mae or Freddie MacB1V7KEBTPIMZEU4LTD58Fannie Mae or Freddie Mac01F04261625000000PAUSD263230001.203LongABS-MBSUSGSEUSN22048-09-25Fixed4.5NNNNNNApollo Aviation SecuritizationN/AApollo Aviation Securitization Equity Trust 2016-203766EAC11051324PAUSD10555040.0482LongABS-MBSCORPUSN22041-11-15Fixed5.926NNNNNNArroyo Mortgage TrustN/AArroyo Mortgage Trust 2019-2042858AD24860000PAUSD49045390.2241LongABS-MBSCORPUSY22049-04-25Variable4.76NNNNNNA10 SECURITIZATIONN/AA10 Term Asset Financing 2017-1 LLC04684TAL5600000PAUSD6021800.0275LongABS-MBSCORPUSY22036-03-15Fixed4.7NNNNNNBBCCRE TrustN/ABBCCRE Trust 2015-GTP05490TAL6200000PAUSD1875320.0086LongABS-MBSCORPUSY22033-08-10Variable4.5626NNNNNNBX Commercial Mortgage Trust 2N/ABX Commercial Mortgage Trust 2019-XL056054AJ82900000PAUSD29042960.1327LongABS-MBSCORPUSY22036-10-15Floating3.73975NNNNNNBX Commercial Mortgage Trust 2N/ABX Commercial Mortgage Trust 2019-XL056054AK532523000PAUSD325700441.4885LongABS-MBSCORPUSY22036-10-15Floating4.03975NNNNNNBX TrustN/ABX Commercial Mortgage Trust 2018-IND056059AN84053000PAUSD40627650.1857LongABS-MBSCORPUSY22035-11-15Floating3.43975NNNNNNBX TrustN/ABX Trust 2019-OC1105606FAN33509000PAUSD33870120.1548LongABS-MBSCORPUSY22041-12-09Fixed4.075457NNNNNNCGDB Commercial Mortgage TrustN/ACGDB Commercial Mortgage Trust 2019-MOB125284AJ84788000PAUSD47832750.2186LongABS-MBSCORPUSY22036-11-15Floating3.73975NNNNNNCGDB Commercial Mortgage TrustN/ACGDB Commercial Mortgage Trust 2019-MOB125284AL34900000PAUSD48861420.2233LongABS-MBSCORPUSY22036-11-15Floating4.28975NNNNNNCredit Suisse Mortgage Trust549300ZNPQY52H8RRO71CSMC 2017-HD Trust12651VAN8500000PAUSD5007930.0229LongABS-MBSCORPUSY22031-02-15Floating5.38975NNNNNNCitigroup Commercial MortgageN/ACitigroup Commercial Mortgage Trust 2018-C517291DAU741193186PAUSD19342390.0884LongABS-MBSCORPUSN22051-06-10Variable0.599525NNNNNNFannie Mae - CASN/AConnecticut Avenue Securities Trust 2019-R0320753MAF56052829PAUSD60880780.2782LongABS-MBSUSGSEUSY22031-09-25Floating3.942NNNNNNFannie Mae - CASB1V7KEBTPIMZEU4LTD58Connecticut Avenue Securities Trust 2019-R0720753WAE69935000PAUSD100736570.4604LongABS-MBSUSGSEUSY22039-10-25Floating5.192NNNNNNFannie Mae - CASN/AConnecticut Avenue Securities Trust 2019-R0520754HAD010591000PAUSD111126630.5079LongABS-MBSUSGSEUSY22039-07-25Floating5.892NNNNNNFannie Mae - CASN/AConnecticut Avenue Securities Trust 2019-R0520754HAE818141715PAUSD182531200.8342LongABS-MBSUSGSEUSY22039-07-25Floating3.792NNNNNNFannie Mae - CASN/AConnecticut Avenue Securities Trust 2019-R0620754JAB024631324PAUSD248525961.1358LongABS-MBSUSGSEUSY22039-09-25Floating3.892NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae21H03261340174000PAUSD414073421.8924LongABS-MBSUSGAUSN22048-10-20Fixed3.5NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae21H04061619560000PAUSD202463600.9253LongABS-MBSUSGAUSN22048-10-20Fixed4NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae21H0426123189000PAUSD33339400.1524LongABS-MBSUSGAUSN22048-07-20Fixed4.5NNNNNNFREMF Mortgage TrustN/AFREMF 2018-KF45 Mortgage Trust30296TAG11348167PAUSD13356440.061LongABS-MBSUSGSEUSY22025-03-25Floating3.64713NNNNNNFREMF Mortgage TrustN/AFREMF 2019-KF72 Mortgage Trust30314JAA45499759PAUSD54997400.2514LongABS-MBSUSGSEUSY22026-11-25Floating3.79713NNNNNNFannie Mae - CASB1V7KEBTPIMZEU4LTD58Fannie Mae Connecticut Avenue Securities30711X3H520858917PAUSD208961620.955LongABS-MBSUSGSEUSN22031-03-25Floating3.792NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Gold Pool3128M9NR927867PAUSD323300.0015LongABS-MBSUSGSEUSN22040-04-01Fixed6NNNNNNFreddie MacB1V7KEBTPIMZEU4LTD58Freddie Mac Pool3131XC5X1477669PAUSD4923170.0225LongABS-MBSUSGSEUSN22032-09-01Fixed3NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131XDFC4251594PAUSD2593090.0119LongABS-MBSUSGSEUSN22033-01-01Fixed3NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131XUFN26036PAUSD63690.0003LongABS-MBSUSGSEUSN22046-05-01Fixed4NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131XUSX67562PAUSD79250.0004LongABS-MBSUSGSEUSN22046-07-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131XVJV8120632PAUSD1263820.0058LongABS-MBSUSGSEUSN22046-11-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131XWKM43361415PAUSD35965990.1644LongABS-MBSUSGSEUSN22047-04-01Fixed4NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131XYLA5558212PAUSD5882030.0269LongABS-MBSUSGSEUSN22047-11-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131XYPY9214383PAUSD2235650.0102LongABS-MBSUSGSEUSN22047-11-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131XYU31556494PAUSD5863930.0268LongABS-MBSUSGSEUSN22047-12-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131XYYZ68023PAUSD83670.0004LongABS-MBSUSGSEUSN22047-12-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131Y04D1285904PAUSD2980830.0136LongABS-MBSUSGSEUSN22048-04-01Fixed4NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131Y06M94768PAUSD50150.0002LongABS-MBSUSGSEUSN22048-04-01Fixed4NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131Y0KS07712PAUSD80300.0004LongABS-MBSUSGSEUSN22048-02-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131Y0KU57696PAUSD79850.0004LongABS-MBSUSGSEUSN22048-02-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131Y0TA08608PAUSD90670.0004LongABS-MBSUSGSEUSN22048-03-01Fixed4NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131Y1D8057343PAUSD598540.0027LongABS-MBSUSGSEUSN22048-05-01Fixed4NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131Y1DP2132629PAUSD1384350.0063LongABS-MBSUSGSEUSN22048-05-01Fixed4NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131Y1Q949727PAUSD101530.0005LongABS-MBSUSGSEUSN22048-06-01Fixed4NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131Y6V719804PAUSD103220.0005LongABS-MBSUSGSEUSN22043-02-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131Y6VU08220PAUSD84570.0004LongABS-MBSUSGSEUSN22043-02-01Fixed3NNNNNNFreddie MacB1V7KEBTPIMZEU4LTD58Freddie Mac Pool3131Y6WK15664PAUSD58190.0003LongABS-MBSUSGSEUSN22043-03-01Fixed3NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131Y9F243384040PAUSD35684570.1631LongABS-MBSUSGSEUSN22049-01-01Fixed4.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131YBA574842221PAUSD51371330.2348LongABS-MBSUSGSEUSN22049-04-01Fixed4.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131YCRQ11615771PAUSD16871890.0771LongABS-MBSUSGSEUSN22049-05-01Fixed4NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131YDF412874886PAUSD30315660.1385LongABS-MBSUSGSEUSN22049-06-01Fixed4.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3131YDFA711847920PAUSD124195610.5676LongABS-MBSUSGSEUSN22049-05-01Fixed4NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool31329NG3636176PAUSD370240.0017LongABS-MBSUSGSEUSN22046-10-01Fixed3NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3132A5AL9204696PAUSD2105830.0096LongABS-MBSUSGSEUSN22043-03-01Fixed3NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3132A5DB88122PAUSD83440.0004LongABS-MBSUSGSEUSN22045-01-01Fixed3NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3132A8GL75602901PAUSD57716150.2638LongABS-MBSUSGSEUSN22031-05-01Fixed3NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3132ACLS7521615PAUSD5491420.0251LongABS-MBSUSGSEUSN22044-12-01Fixed3.5NNNNNNFreddie MacN/AFreddie Mac Pool3132ACS27573878PAUSD6047110.0276LongABS-MBSUSGSEUSN22048-03-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3132ADJC326118PAUSD274960.0013LongABS-MBSUSGSEUSN22044-02-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3132ADY6917709PAUSD188180.0009LongABS-MBSUSGSEUSN22047-03-01Fixed4NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3132AED789341576PAUSD96112170.4393LongABS-MBSUSGSEUSN22043-11-01Fixed3NNNNNNFreddie MacB1V7KEBTPIMZEU4LTD58Freddie Mac Pool3132CWDB7146044PAUSD1477210.0068LongABS-MBSUSGSEUSN22034-10-01Fixed2.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Gold Pool3132H7DA96943PAUSD75280.0003LongABS-MBSUSGSEUSN22044-05-01Fixed4.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Gold Pool3132VL4Z787453PAUSD940110.0043LongABS-MBSUSGSEUSN22049-01-01Fixed4NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Gold Pool3132VNPU11403119PAUSD15022230.0687LongABS-MBSUSGSEUSN22048-12-01Fixed4.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Gold Pool3132VQNG71652875PAUSD17198090.0786LongABS-MBSUSGSEUSN22049-06-01Fixed4NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Gold Pool3132XCR3197844PAUSD1031640.0047LongABS-MBSUSGSEUSN22047-12-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Gold Pool3132XS4N731358PAUSD329440.0015LongABS-MBSUSGSEUSN22047-09-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Gold Pool3132XSVQ023743PAUSD246790.0011LongABS-MBSUSGSEUSN22047-09-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Gold Pool3132XTB8013267PAUSD137900.0006LongABS-MBSUSGSEUSN22047-09-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Gold Pool3132XX7G871896PAUSD753700.0034LongABS-MBSUSGSEUSN22048-04-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool31334W4E810685423PAUSD110725650.506LongABS-MBSUSGSEUSN22049-07-01Fixed3.5NNNNNNFreddie Mac549300MS654K78GYF580Freddie Mac Pool31334WTQ49095180PAUSD94303900.431LongABS-MBSUSGSEUSN22049-06-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool31334WTT81778849PAUSD18302240.0836LongABS-MBSUSGSEUSN22049-06-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool31334WY479273525PAUSD95805330.4379LongABS-MBSUSGSEUSN22049-07-01Fixed3.5NNNNNNFreddie MacN/AFreddie Mac Pool31334XRT810851596PAUSD112549310.5144LongABS-MBSUSGSEUSN22049-07-01Fixed3.5NNNNNNFreddie MacN/AFreddie Mac Pool31334XTZ29785375PAUSD101399070.4634LongABS-MBSUSGSEUSN22049-08-01Fixed3.5NNNNNNFreddie MacB1V7KEBTPIMZEU4LTD58Freddie Mac Pool31334XYL77161395PAUSD74119060.3387LongABS-MBSUSGSEUSN22049-08-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool31334XYM57274967PAUSD75430910.3447LongABS-MBSUSGSEUSN22049-08-01Fixed3.5NNNNNNFreddie MacB1V7KEBTPIMZEU4LTD58Freddie Mac Pool31334YK632205307PAUSD22690000.1037LongABS-MBSUSGSEUSN22049-08-01Fixed3.5NNNNNNFreddie MacB1V7KEBTPIMZEU4LTD58Freddie Mac Pool31334YN861779285PAUSD18306730.0837LongABS-MBSUSGSEUSN22049-08-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool31334YZS98683490PAUSD90801610.415LongABS-MBSUSGSEUSN22049-09-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Gold Pool31335B4W31209149PAUSD12703040.0581LongABS-MBSUSGSEUSN22048-11-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Gold Pool31335BQM1252710PAUSD2649190.0121LongABS-MBSUSGSEUSN22048-03-01Fixed3.5NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Gold Pool31335BXZ4985872PAUSD10335020.0472LongABS-MBSUSGSEUSN22048-08-01Fixed3.5NNNNNNFreddie MacB1V7KEBTPIMZEU4LTD58Freddie Mac Pool31339SNH4403275PAUSD4100900.0187LongABS-MBSUSGSEUSN22049-09-01Fixed3NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool31339SSN6567043PAUSD5754390.0263LongABS-MBSUSGSEUSN22049-10-01Fixed3NNNNNNFreddie MacN/AFreddie Mac Pool31339SW76277638PAUSD2823300.0129LongABS-MBSUSGSEUSN22049-10-01Fixed3NNNNNNFreddie MacB1V7KEBTPIMZEU4LTD58Freddie Mac Pool31339UND81472922PAUSD15007820.0686LongABS-MBSUSGSEUSN22049-10-01Fixed3NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool31339UQD5512871PAUSD5204650.0238LongABS-MBSUSGSEUSN22049-10-01Fixed3NNNNNNFreddie MacN/AFreddie Mac Pool31339UQE3147216PAUSD1497040.0068LongABS-MBSUSGSEUSN22049-10-01Fixed3NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool31339URP7207479PAUSD2109860.0096LongABS-MBSUSGSEUSN22049-10-01Fixed3NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool31339USH474588PAUSD756610.0035LongABS-MBSUSGSEUSN22049-11-01Fixed3NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3133A0G732057000PAUSD20874600.0954LongABS-MBSUSGSEUSN22049-12-01Fixed3NNNNNNFreddie MacB1V7KEBTPIMZEU4LTD58Freddie Mac Pool3133A0KK93451000PAUSD35021030.1601LongABS-MBSUSGSEUSN22049-12-01Fixed3NNNNNNFreddie MacB1V7KEBTPIMZEU4LTD58Freddie Mac Pool3133G62Q7302967PAUSD3120070.0143LongABS-MBSUSGSEUSN22034-10-01Fixed3NNNNNNFreddie MacB1V7KEBTPIMZEU4LTD58Freddie Mac Pool3133G62T1694391PAUSD7161970.0327LongABS-MBSUSGSEUSN22034-10-01Fixed3NNNNNNFreddie MacS6XOOCT0IEG5ABCC6L87Freddie Mac Pool3133G6GH237293PAUSD376340.0017LongABS-MBSUSGSEUSN22034-07-01Fixed2.5NNNNNNFreddie MacN/AFreddie Mac Pool3133G6U4521837PAUSD221090.001LongABS-MBSUSGSEUSN22034-09-01Fixed2.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae REMICS3136B1N2632421PAUSD331270.0015LongABS-MBSUSGSEUSN22048-05-25Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae REMICS3136B2SN315355320PAUSD28410470.1298LongABS-MBSUSGSEUSN22048-08-25Floating4.258NNNNNNFHLMC Multifamily Structured PS6XOOCT0IEG5ABCC6L87Freddie Mac Multifamily Structured Pass Through Certificates3137FHPN765956000PAUSD4999970.0229LongABS-MBSUSGSEUSN22028-07-25Variable0.042868NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138EKM9323668PAUSD249160.0011LongABS-MBSUSGSEUSN22042-12-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138EM3U320234PAUSD214780.001LongABS-MBSUSGSEUSN22044-04-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138ENBH1261142PAUSD2749160.0126LongABS-MBSUSGSEUSN22043-11-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138ENRH47056PAUSD77840.0004LongABS-MBSUSGSEUSN22044-10-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138ENS8313781PAUSD151080.0007LongABS-MBSUSGSEUSN22044-07-01Fixed5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138EPBS269818PAUSD735010.0034LongABS-MBSUSGSEUSN22045-02-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138EPHM972106PAUSD759100.0035LongABS-MBSUSGSEUSN22045-02-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138EPHU111341PAUSD125130.0006LongABS-MBSUSGSEUSN22045-03-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138EQWJ77073PAUSD75160.0003LongABS-MBSUSGSEUSN22045-12-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138ETLU84660197PAUSD47875360.2188LongABS-MBSUSGSEUSN22045-07-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138ETZV1203249PAUSD2134800.0098LongABS-MBSUSGSEUSN22046-07-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138NY4J153130PAUSD559320.0026LongABS-MBSUSGSEUSN22043-02-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138W7HB33085811PAUSD31701300.1449LongABS-MBSUSGSEUSN22043-03-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138WHND027745PAUSD292490.0013LongABS-MBSUSGSEUSN22046-07-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138WJP93358201PAUSD3659350.0167LongABS-MBSUSGSEUSN22046-11-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138WQJB93374PAUSD34660.0002LongABS-MBSUSGSEUSN22043-05-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae REMICS31398NTM6588203PAUSD21049310.0962LongABS-MBSUSGSEUSN22040-10-25Floating36.39757NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140EVVN452766PAUSD552830.0025LongABS-MBSUSGSEUSN22046-08-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140F7W5410611PAUSD112990.0005LongABS-MBSUSGSEUSN22047-06-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140F9WB7225366PAUSD2389800.0109LongABS-MBSUSGSEUSN22047-01-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140FKWA41113PAUSD11850.0001LongABS-MBSUSGSEUSN22047-08-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140FNAT15674PAUSD60410.0003LongABS-MBSUSGSEUSN22047-07-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140FNBA12669PAUSD28070.0001LongABS-MBSUSGSEUSN22047-07-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140FNBB98006PAUSD85240.0004LongABS-MBSUSGSEUSN22047-07-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140FNBM55903PAUSD62850.0003LongABS-MBSUSGSEUSN22047-09-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140FNCL66797PAUSD71470.0003LongABS-MBSUSGSEUSN22047-10-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140FNCM44670PAUSD49720.0002LongABS-MBSUSGSEUSN22047-09-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140FNCW28590PAUSD90320.0004LongABS-MBSUSGSEUSN22047-11-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140FNCY86508PAUSD69290.0003LongABS-MBSUSGSEUSN22047-11-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140FPAS81781760PAUSD19221620.0878LongABS-MBSUSGSEUSN22047-05-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140FXFH07903718PAUSD81187630.371LongABS-MBSUSGSEUSN22057-02-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140FXFJ615381749PAUSD162184920.7412LongABS-MBSUSGSEUSN22057-02-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GRU773734PAUSD40510.0002LongABS-MBSUSGSEUSN22047-05-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GRU852933PAUSD31550.0001LongABS-MBSUSGSEUSN22047-05-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GRU932699PAUSD28980.0001LongABS-MBSUSGSEUSN22047-05-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GRV682256PAUSD24480.0001LongABS-MBSUSGSEUSN22047-05-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GRV761790PAUSD19260.0001LongABS-MBSUSGSEUSN22047-05-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GRV842330PAUSD25010.0001LongABS-MBSUSGSEUSN22047-05-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GS2N11644PAUSD17280.0001LongABS-MBSUSGSEUSN22047-06-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GSKE18657PAUSD89930.0004LongABS-MBSUSGSEUSN22047-08-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GU2A43296PAUSD34660.0002LongABS-MBSUSGSEUSN22047-06-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GU2C05701PAUSD60710.0003LongABS-MBSUSGSEUSN22047-07-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GUZ752408PAUSD25320.0001LongABS-MBSUSGSEUSN22047-07-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GVWA96554PAUSD68640.0003LongABS-MBSUSGSEUSN22047-08-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GXCE92964PAUSD31170.0001LongABS-MBSUSGSEUSN22047-08-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GXCG44834PAUSD50830.0002LongABS-MBSUSGSEUSN22047-08-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GXCH28284PAUSD88200.0004LongABS-MBSUSGSEUSN22047-08-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140GYKA684168PAUSD900640.0041LongABS-MBSUSGSEUSN22048-02-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H0AJ1433760PAUSD4618490.0211LongABS-MBSUSGSEUSN22047-09-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H23A4252881PAUSD2637120.0121LongABS-MBSUSGSEUSN22047-12-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H23D85379PAUSD55790.0003LongABS-MBSUSGSEUSN22047-12-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H24V7413019PAUSD4342900.0198LongABS-MBSUSGSEUSN22047-10-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H25H73736PAUSD39290.0002LongABS-MBSUSGSEUSN22047-10-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H25U85939PAUSD62450.0003LongABS-MBSUSGSEUSN22047-10-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H2XS23136PAUSD32970.0002LongABS-MBSUSGSEUSN22047-10-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H3UU81013546PAUSD10741690.0491LongABS-MBSUSGSEUSN22047-11-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H4TX22406PAUSD25300.0001LongABS-MBSUSGSEUSN22047-11-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H54V062552PAUSD653870.003LongABS-MBSUSGSEUSN22048-02-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H6B409038PAUSD94250.0004LongABS-MBSUSGSEUSN22048-01-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H6B577961PAUSD82790.0004LongABS-MBSUSGSEUSN22048-01-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H6CC131329PAUSD330660.0015LongABS-MBSUSGSEUSN22048-01-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H6QN24879681PAUSD51038800.2333LongABS-MBSUSGSEUSN22048-03-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H7NN39909PAUSD105070.0005LongABS-MBSUSGSEUSN22048-03-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H7P688665PAUSD91880.0004LongABS-MBSUSGSEUSN22048-04-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H7PU56266PAUSD66440.0003LongABS-MBSUSGSEUSN22048-05-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140H9EX716450PAUSD174020.0008LongABS-MBSUSGSEUSN22048-10-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140HFFE412378PAUSD130390.0006LongABS-MBSUSGSEUSN22048-03-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140HFFR55598PAUSD58290.0003LongABS-MBSUSGSEUSN22048-03-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140HHNC56257PAUSD66350.0003LongABS-MBSUSGSEUSN22048-05-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140HHPZ26743PAUSD71500.0003LongABS-MBSUSGSEUSN22048-06-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140HHTP031382PAUSD327560.0015LongABS-MBSUSGSEUSN22048-05-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140J73V519929PAUSD216490.001LongABS-MBSUSGSEUSN22046-02-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140J75S073968PAUSD806120.0037LongABS-MBSUSGSEUSN22047-09-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140J7LN323764PAUSD245160.0011LongABS-MBSUSGSEUSN22047-02-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140J84M220389PAUSD213540.001LongABS-MBSUSGSEUSN22048-04-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140J94U2813519PAUSD8503920.0389LongABS-MBSUSGSEUSN22049-01-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140J9QR540053PAUSD409920.0019LongABS-MBSUSGSEUSN22048-05-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140JAPW22084513PAUSD21446910.098LongABS-MBSUSGSEUSN22046-09-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140JLVZ42146928PAUSD22621830.1034LongABS-MBSUSGSEUSN22049-01-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140JXH431258633PAUSD12828690.0586LongABS-MBSUSGSEUSN22049-09-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140JXJN91801555PAUSD18331040.0838LongABS-MBSUSGSEUSN22049-09-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140JXSA7749586PAUSD7589250.0347LongABS-MBSUSGSEUSN22034-10-01Fixed2.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140JXSM1388764PAUSD4003640.0183LongABS-MBSUSGSEUSN22034-10-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140K1EQ59918PAUSD100410.0005LongABS-MBSUSGSEUSN22034-09-01Fixed2.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140K1JK37723PAUSD78190.0004LongABS-MBSUSGSEUSN22034-09-01Fixed2.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140K43P36415352PAUSD65112520.2976LongABS-MBSUSGSEUSN22050-01-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140QCEU675017PAUSD774460.0035LongABS-MBSUSGSEUSN22048-02-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140X42X3294138PAUSD3029140.0138LongABS-MBSUSGSEUSN22049-07-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31416CE691192PAUSD13770.0001LongABS-MBSUSGSEUSN22037-02-01Fixed6NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31417C6S92370836PAUSD24392800.1115LongABS-MBSUSGSEUSN22042-09-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31417DH2210757PAUSD113250.0005LongABS-MBSUSGSEUSN22042-10-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31417FPB893951PAUSD965180.0044LongABS-MBSUSGSEUSN22043-02-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31418APM43041779PAUSD31295920.143LongABS-MBSUSGSEUSN22043-01-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31418AQR21222033PAUSD12573120.0575LongABS-MBSUSGSEUSN22043-02-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31418AR26327617PAUSD3448990.0158LongABS-MBSUSGSEUSN22043-04-01Fixed3.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31418ARE01075295PAUSD11046770.0505LongABS-MBSUSGSEUSN22043-03-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31418ATD0889768PAUSD9140810.0418LongABS-MBSUSGSEUSN22043-05-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31418CGC2199053PAUSD2033500.0093LongABS-MBSUSGSEUSN22047-01-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31418CS54224863PAUSD2364430.0108LongABS-MBSUSGSEUSN22048-01-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31418DKJ020000000PAUSD201827810.9224LongABS-MBSUSGSEUSN22035-01-01Fixed2.5NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae II Pool36179UQ709528219PAUSD100297120.4584LongABS-MBSUSGAUSN22049-04-20Fixed5NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae I Pool3617AUZW311790PAUSD123790.0006LongABS-MBSUSGAUSN22047-07-15Fixed4NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae I Pool3617BA5W92116PAUSD22210.0001LongABS-MBSUSGAUSN22047-08-15Fixed4NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae I Pool3617BN3S27089PAUSD74430.0003LongABS-MBSUSGAUSN22047-11-15Fixed4NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae I Pool3617BN4U68913PAUSD93570.0004LongABS-MBSUSGAUSN22047-12-15Fixed4NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae II Pool3617H1CH84665PAUSD48960.0002LongABS-MBSUSGAUSN22048-05-20Fixed4.5NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae II Pool3617H1CJ419706PAUSD206850.0009LongABS-MBSUSGAUSN22048-05-20Fixed4.5NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae I Pool3622A2UF727346PAUSD300650.0014LongABS-MBSUSGAUSN22046-08-15Fixed4.5NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Government National Mortgage Association38378P6S2873634PAUSD1526520.007LongABS-MBSUSGAUSN22044-01-20Floating3.78537NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Government National Mortgage Association38378XM651336801PAUSD2396050.011LongABS-MBSUSGAUSN22055-10-16Floating4.41025NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Government National Mortgage Association38380JTN828094473PAUSD11986200.0548LongABS-MBSUSGAUSN22060-01-16Variable0.47843NNNNNNGreat Wolf TrustN/AGreat Wolf Trust39152TAN010000000PAUSD99847400.4563LongABS-MBSCORPUSY22036-12-15Floating4.454NNNNNNKNDL Mortgage TrustN/AKNDL 2019-KNSQ Mortgage Trust482598AQ22000000PAUSD19984060.0913LongABS-MBSCORPUSY22036-05-15Floating3.73975NNNNNNMMFL Re-REMIC TrustN/AMMFL Re-REMIC Trust 2019-155316RAA18413486.37PAUSD83691300.3825LongABS-MBSCORPUSY22024-01-28Floating3.192NNNNNNMMFL Re-REMIC TrustN/AMMFL Re-REMIC Trust 2019-155316RAE310000000PAUSD99755550.4559LongABS-MBSCORPUSY22026-12-28Floating5.542NNNNNNMRCD Mortgage TrustN/AMRCD 2019-MARK Mortgage Trust55348UAU25000000PAUSD46330390.2117LongABS-MBSCORPUSY22036-12-15Fixed2.71752NNNNNNMRCD Mortgage TrustN/AMRCD 2019-MARK Mortgage Trust55348UAW810000000PAUSD90797690.415LongABS-MBSCORPUSY22036-12-15Fixed2.71752NNNNNNMello Warehouse Securitization549300MG3C2ML9FTA089Mello Warehouse Securitization Trust 2019-1585503AE59010000PAUSD90100000.4118LongABS-MBSCORPUSY22052-06-25Floating4.142NNNNNNMello Warehouse SecuritizationN/AMello Warehouse Securitization Trust 2019-2585504AE38020000PAUSD79868320.365LongABS-MBSCORPUSY22052-11-25Floating4.192NNNNNNNew Residential Mortgage LoanN/ANew Residential Mortgage Loan Trust 2019-NQM264830QAD61828000PAUSD19551110.0894LongABS-MBSCORPUSY22049-04-25Variable4.26711NNNNNNPreston Ridge Partners MortgagN/APRPM 2019-GS169359CAB14747845PAUSD47423830.2167LongABS-MBSCORPUSY22024-10-25Variable4.75NNNNNNPreston Ridge Partners MortgagN/APRPM 2019-3 LLC69359MAB97335000PAUSD73387500.3354LongABS-MBSCORPUSY22024-07-25Variable4.458NNNNNNPreston Ridge Partners MortgagN/APRPM 2019-4 LLC69359NAB77000000PAUSD70000940.3199LongABS-MBSCORPUSY22024-11-25Variable4.654NNNNNNSequoia Mortgage Trust549300I3GDJZU6IW8K79Sequoia Mortgage Trust 2018-881748HBA6251913220PAUSD21088920.0964LongABS-MBSCORPUSY22048-11-25Variable0.306329NNNNNNStation Place Securitization TN/AStation Place Securitization Trust Series 2019-WL185769FAF517745000PAUSD177473530.8111LongABS-MBSCORPUSY22052-08-25Floating3.392NNNNNNVerus Securitization TrustN/AVerus Securitization Trust 2018-INV192536MAL52600000PAUSD26517870.1212LongABS-MBSCORPUSY22058-03-25Variable5.648NNNNNNVerus Securitization TrustN/AVerus Securitization Trust 2019-192537DAD23024000PAUSD30866410.1411LongABS-MBSCORPUSY22059-02-25Variable4.461NNNNNNECAF LTDN/AECAF I Ltd26827EAE54191827PAUSD41927870.1916LongABS-MBSCORPKYY22040-06-15Fixed5.802NNNNNNBeechwood Park CLO Ltd.N/ABeechwood Park CLO Ltd07355TAA05000000PAUSD49999950.2285LongABS-CBDOCORPKYY22033-01-17None3.23317NNNNNNBluemountain CLO LtdN/ABlueMountain Fuji US Clo II Ltd09629EAG65450000PAUSD53333700.2437LongABS-CBDOCORPKYY22030-10-20Floating4.11588NNNNNNBluemountain CLO LtdN/ABlueMountain CLO XXVI Ltd09630GAG88000000PAUSD80472000.3678LongABS-CBDOCORPKYY22032-10-20None4.72564NNNNNNCIFC Funding LtdN/ACIFC Funding 2019-VI Ltd12555XAA96000000PAUSD60096000.2747LongABS-CBDOCORPKYY22033-01-16Floating0NNNNNNCIFC Funding LtdN/ACIFC Funding 2019-VI Ltd12555XAG65500000PAUSD55159500.2521LongABS-CBDOCORPKYY22033-01-16Floating0NNNNNNCarlyle Global Market Strategi549300TVTQ73XJYSYE21CARLYLE US CLO 2019-4 LTD14317VAC47000000PAUSD70000000.3199LongABS-CBDOCORPKYY22033-01-15Floating0NNNNNNCarlyle Global Market Strategi549300TVTQ73XJYSYE21CARLYLE US CLO 2019-4 LTD14317VAJ95000000PAUSD50000000.2285LongABS-CBDOCORPKYY22033-01-15Floating0NNNNNNCIFC Funding Ltd54930076OPDXR0U68E20CIFC Funding 2016-I Ltd17180TAL66750000PAUSD67547250.3087LongABS-CBDOCORPKYY22031-10-21None0NNNNNNCIFC Funding LtdN/ACIFC Funding 2016-I Ltd17180TAS16750000PAUSD67756500.3097LongABS-CBDOCORPKYY22031-10-21None0NNNNNNDryden Senior Loan FundN/ADryden 80 CLO Ltd26245JAC210000000PAUSD100260000.4582LongABS-CBDOCORPKYY22033-01-17None3.21388NNNNNNGoldenTree Loan Management USN/AGoldentree Loan Management US CLO 5 Ltd38138DAC04440000PAUSD44413320.203LongABS-CBDOCORPKYY22032-10-20Floating3.48782NNNNNNMadison Park Funding LtdN/AMadison Park Funding XXXIII Ltd55819JAA17250000PAUSD72666750.3321LongABS-CBDOCORPKYY22032-10-15None3.17405NNNNNNMadison Park Funding LtdN/AMadison Park Funding XXXVI Ltd55819PAA710000000PAUSD99999300.457LongABS-CBDOCORPKYY22033-01-15Floating1.33NNNNNNMadison Park Funding LtdN/AMadison Park Funding XXI Ltd55820JAL48000000PAUSD79992000.3656LongABS-CBDOCORPKYY22032-10-15Floating3.28963NNNNNNOctagon Investment Partners 45N/AOctagon Investment Partners 45 Ltd67577MAA112000000PAUSD120228000.5495LongABS-CBDOCORPKYY22032-10-15None3.15889NNNNNNPalmer Square Loan Funding LtdN/APalmer Square Loan Funding 2019-4 Ltd69689HAG04750000PAUSD47191250.2157LongABS-CBDOCORPKYY22027-10-24Floating5.186NNNNNNSouthwick Park CLO, Ltd.N/ASouthwick Park CLO LLC846031AA08750000PAUSD87508750.3999LongABS-CBDOCORPKYY22032-07-20Floating3.599NNNNNNWind River CLO LtdN/ATHL Credit Wind River 2019-2 Clo Ltd87250EAA12700000PAUSD27037800.1236LongABS-CBDOCORPKYY22033-01-15Floating3.17113NNNNNNBabson CLO Ltd549300WT1MSO3A7QMW03Babson CLO Ltd 2016-I06759MAL54750000PAUSD46089250.2106LongABS-CBDOCORPKYY22030-07-23Floating4.034NNNNNNBluemountain CLO LtdN/ABlueMountain CLO XXIV Ltd09609NAG09250000PAUSD92490750.4227LongABS-CBDOCORPKYY22031-04-20Floating4.66588NNNNNNBluemountain CLO LtdN/ABlueMountain CLO 2018-1 Ltd09629TAJ73420000PAUSD33444180.1528LongABS-CBDOCORPKYY22030-07-30Floating3.9855NNNNNNCarlyle Global Market StrategiN/ACarlyle Global Market Strategies CLO 2013-1 Ltd14310BAL55000000PAUSD49940000.2282LongABS-CBDOCORPKYY22030-08-14Floating3.395NNNNNNCarlyle Global Market Strategi5493007AYUHLOG0AMH17Carlyle Global Market Strategies CLO 2015-5 Ltd14312JAW25000000PAUSD49925000.2282LongABS-CBDOCORPKYY22032-01-20Floating5.71588NNNNNNMagnetite CLO Ltd5493000081NBXWGGSW23Magnetite XXII Ltd55954HAJ13250000PAUSD32392750.148LongABS-CBDOCORPKYY22031-04-15Floating5.65088NNNNNNOctagon Investment Partners 44N/AOctagon Investment Partners 44 Ltd67577LAA36500000PAUSD65013000.2971LongABS-CBDOCORPKYY22032-07-20Floating3.26588NNNNNNOctagon Investment Partners XX549300XIS9D4AHDX5A35Octagon Investment Partners XXI Ltd67590QBG12750000PAUSD27508250.1257LongABS-CBDOCORPKYY22031-02-14Floating5.85925NNNNNNOCTAGON INVESTMENT PARTNERS 40N/AOctagon Investment Partners 40 Ltd67592BAJ75000000PAUSD49970000.2284LongABS-CBDOCORPKYY22031-04-20Floating5.76588NNNNNNOCTAGON INVESTMENT PARTNERS 41N/AOctagon Investment Partners 41 Ltd67592FAJ82750000PAUSD27445000.1254LongABS-CBDOCORPKYY22031-04-15Floating5.65088NNNNNNPRIMA CAPITAL LTDN/APrima Capital CRE Securitization 2015-IV Ltd74165GAB65000000PAUSD51366510.2348LongABS-CBDOCORPKYY22049-08-24Fixed4NNNNNNSound Point CLO LTD549300ZK5CJ7PM7YBH85Sound Point Clo XVI Ltd83610KAG83081000PAUSD29728570.1359LongABS-CBDOCORPKYY22030-07-25Floating5.53963NNNNNNZ CAPITAL CREDIT PARTNERS CLON/AZ Capital Credit Partners CLO 2019-1 Ltd98877GAC27750000PAUSD77864250.3559LongABS-CBDOCORPKYY22031-07-16Floating3.89947NNNNNNAASET 2019-2 TrustN/AAaset 2019-2 Trust00038RAC04940500PAUSD49143320.2246LongABS-OCORPKYY22039-10-16Fixed6.413NNNNNNApplebees/IHOP Funding LLCN/AApplebee's Funding LLC / IHOP Funding LLC03789XAD02399000PAUSD24286440.111LongABS-OCORPUSY22049-06-07Fixed4.194NNNNNNAqua Finance TrustN/AAqua Finance Trust 2019-A038370AA06403564PAUSD64201940.2934LongABS-OCORPUSY22040-07-16Fixed3.14NNNNNNBusiness Jet Securities, LLCN/ABusiness Jet Securities LLC 2017-1123262AS61379106PAUSD14196360.0649LongABS-OCORPUSY22033-02-15Fixed7.748NNNNNNBusiness Jet Securities, LLCN/ABusiness Jet Securities LLC12326QAC85487400PAUSD55129910.252LongABS-OCORPUSY22034-07-15Fixed6.948NNNNNNCastlelake Aircraft StructuredN/ACastlelake Aircraft Securitization Trust 2018-112563AAA91000000PAUSD9400000.043LongABS-OCORPUSY22043-06-15None0NNNNNNCarvana Auto Receivables trust549300PQFD4GEYYTOY78Carvana Auto Receivables Trust 2019-1146868AG96000000PAUSD61932840.283LongABS-OCORPUSY22026-01-15Fixed5.64NNNNNNCarvana Auto Receivables Trust5493003WEAK2PJ5WS063Carvana Auto Receivables Trust 2019-214686UAH8445000000PAUSD77207500.3529LongABS-OCORPUSY22026-04-15None0NNNNNNCarvana Auto Receivables Trust5493003WEAK2PJ5WS063Carvana Auto Receivables Trust 2019-414686YAJ6242500000PAUSD47329450.2163LongABS-OCORPUSY22026-10-15Fixed0NNNNNNCastlelake Aircraft SecuritizaN/ACastlelake Aircraft Securitization Trust 2016-114855JAC91658038PAUSD16601100.0759LongABS-OCORPUSN22041-08-15Fixed6.15NNNNNNCastlelake Aircraft StructuredN/ACastlelake Aircraft Securitization Trust 2018-114856CAC33957590PAUSD39785480.1818LongABS-OCORPUSY22043-06-15Fixed6.625NNNNNNCoinstar Funding, LLC5493004UNX3RE1I4DH23Coinstar Funding LLC Series 2017-119260MAA46530550PAUSD66951000.306LongABS-OCORPUSY22047-04-25Fixed5.216NNNNNNConn Funding II, L.PN/AConn's Receivables Funding 2019-B LLC20824LAC95000000PAUSD50082190.2289LongABS-OCORPUSY22024-06-17Fixed4.6NNNNNNConn Funding II, L.PN/AConn's Receivables Funding 2019-A LLC20827DAB62900000PAUSD29179890.1334LongABS-OCORPUSY22023-10-16Fixed4.36NNNNNNConn Funding II, L.PN/AConn's Receivables Funding 2019-A LLC20827DAC42900000PAUSD29277570.1338LongABS-OCORPUSY22023-10-16Fixed5.29NNNNNNDominos Pizza Master Issuer LL5299004V0Y8MI5D9FF45Domino's Pizza Master Issuer LLC25755TAK61822925PAUSD18906440.0864LongABS-OCORPUSY22048-07-25Fixed4.328NNNNNNDriven Brands Funding, LLCN/ADRIVEN BRANDS FUNDING LLC26208LAE87517917PAUSD75007590.3428LongABS-OCORPUSY22049-10-20Fixed3.981NNNNNNExeter Automobile ReceivablesN/AExeter Automobile Receivables Trust 2018-430166EAJ52370000PAUSD24719640.113LongABS-OCORPUSY22025-07-15Fixed5.38NNNNNNExeter Automobile Receivables549300KR7NUJOX0UJ040Exeter Automobile Receivables Trust 2019-130167DAE71920000PAUSD19922050.091LongABS-OCORPUSY22026-01-15Fixed5.2NNNNNNExeter Automobile ReceivablesN/AExeter Automobile Receivables Trust 2019-330167EAE54000000PAUSD40020600.1829LongABS-OCORPUSY22026-08-17Fixed4NNNNNNExteNet SystemsN/AExteNet LLC 2019-130227XAC52000000PAUSD20081840.0918LongABS-OCORPUSY22049-07-26Fixed5.219NNNNNNFirst Investors Auto Owner TruN/AFirst Investors Auto Owner Trust 2018-132059RAN36026000PAUSD62764260.2868LongABS-OCORPUSY22025-08-15Fixed7.16NNNNNNHERTZ FLEET LEASE FUNDING LP549300FESQ105M6ZTE59Hertz Fleet Lease Funding LP428041BH92870000PAUSD29328580.134LongABS-OCORPUSY22032-05-10Fixed5.55NNNNNNHERTZ FLEET LEASE FUNDING LP549300FESQ105M6ZTE59Hertz Fleet Lease Funding LP428041BP12562000PAUSD25882810.1183LongABS-OCORPUSY22033-01-10Fixed4.62NNNNNNInSite Issuer LLCN/AInSite Issuer LLC45780KAL02110169PAUSD21898880.1001LongABS-OCORPUSY22048-12-15Fixed6.115NNNNNNJack in the Box Funding, LLC5493002OJW26P0SUUP68Jack in the Box Funding LLC466365AA110903848PAUSD109797630.5018LongABS-OCORPUSY22049-08-25Fixed3.982NNNNNNJack in the Box Funding, LLC5493002OJW26P0SUUP68Jack in the Box Funding LLC466365AB95520000PAUSD55674310.2544LongABS-OCORPUSY22049-08-25Fixed4.476NNNNNNJersey Mike's Funding, LLCN/AJersey Mike's Funding476681AA916500000PAUSD165181480.7549LongABS-OCORPUSY22050-02-15Fixed4.433NNNNNNLoanMe Trust SBLN/ALOANME TRUST SBL 2019-153947KAA81868278PAUSD18726950.0856LongABS-OCORPUSY22030-08-15Fixed5.25NNNNNNLoanMe Trust SBLN/ALOANME TRUST SBL 2019-153947KAB65800000PAUSD58000000.2651LongABS-OCORPUSY22030-08-15Variable10NNNNNNMarketPlace Loan Trust549300E9AF1JHP8SMN19MarketPlace Loan Trust 2015-LD157063DAB1410920PAUSD4111320.0188LongABS-OCORPUSY22021-12-15Fixed6NNNNNNOneMain Direct Auto ReceivableN/AOneMain Direct Auto Receivables Trust 2019-168267EAD66752000PAUSD71322410.326LongABS-OCORPUSY22031-04-14Fixed4.68NNNNNNPawnee Equipment ReceivablesN/APawnee Equipment Receivables Series 2019-1 LLC704102AF94367000PAUSD43104370.197LongABS-OCORPUSY22026-01-15Fixed3.8NNNNNNPerimeter Master Note Business5493005H6EB040833X54Perimeter Master Note Business Trust71384PAE15000000PAUSD49990000.2285LongABS-OCORPUSY22024-05-15Fixed4.23NNNNNNPerimeter Master Note Business5493005H6EB040833X54Perimeter Master Note Business Trust71384PAF82250000PAUSD22495500.1028LongABS-OCORPUSY22024-05-15Fixed5.21NNNNNNPlanet Fitness Master Issuer L549300NX9W3U2DO53T22Planet Fitness Master Issuer LLC72703PAC74172000PAUSD41155740.1881LongABS-OCORPUSY22049-12-05Fixed3.858NNNNNNProper Pass-Thru Trust II549300HCI5NYJ9JJET80Prosper Pass-Thru Trust II Series 2019-St174360MAB627406764NSUSD61007460.2788LongABS-OCORPUSY22025-07-15None0NNNNNNRaptor Aircraft Finance LLC549300QFYP8PTWJMXQ65Raptor Aircraft Finance I LLC75383HAA914419031PAUSD144190310.659LongABS-OCORPKYY22044-08-23Fixed4.213NNNNNNSOFI CONSUMER LOAN PROGRAM TRU5493000RZZ85L9YT5K31SoFi Consumer Loan Program 2019-1 Trust78472CAD03360000PAUSD34635350.1583LongABS-OCORPUSY22028-02-25Fixed4.42NNNNNNSocial Professional Loan ProgrN/ASofi Professional Loan Program 2018-C Trust78490D10458000PAUSD26407400.1207LongABS-OCORPUSY22048-01-25None0NNNNNNSantander Drive Auto ReceivablN/ASantander Drive Auto Receivables Trust 2019-280286GAG65000000PAUSD50947530.2328LongABS-OCORPUSN22025-07-15Fixed3.22NNNNNNSierra Receivables Funding CoN/ASierra Timeshare 2019-2 Receivables Funding LLC82652MAD25909956PAUSD59730770.273LongABS-OCORPUSY22036-05-20Fixed4.54NNNNNNSierra Receivables Funding CoN/ASierra Timeshare 2019-1 Receivables Funding LLC82653EAD91962200PAUSD19827440.0906LongABS-OCORPUSY22036-01-20Fixed4.75NNNNNNProject SilverN/AProject Silver827304AC0952381PAUSD9553260.0437LongABS-OCORPKYY22044-07-15Fixed6.9NNNNNNProject SilverN/AProject Silver82774HAA21500000PAUSD14869190.068LongABS-OCORPKYY22044-03-15None0NNNNNNSocial Professional Loan ProgrN/ASofi Professional Loan Program 2018-D Trust83401A10876000PAUSD26220000.1198LongABS-OCORPUSY22048-02-25None0NNNNNNSocial Professional Loan ProgrN/ASOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC83401B10635000PAUSD19547500.0893LongABS-OCORPUSY22041-01-25None0NNNNNNSocial Professional Loan ProgrN/ASoFi Professional Loan Program 2017-E LLC83404K10325000PAUSD13625000.0623LongABS-OCORPUSY22040-11-26None0NNNNNNSocial Professional Loan ProgrN/ASofi Professional Loan Program 2019-B LLC83404W10770900PAUSD25750880.1177LongABS-OCORPUSY22048-08-17None0NNNNNNSOFI CONSUMER LOAN PROGRAM TRUN/ASoFi Consumer Loan Program 2019-2 Trust83406CAD11900000PAUSD19505500.0891LongABS-OCORPUSY22028-04-25Fixed4.2NNNNNNTesla Auto Lease TrustN/ATesla Auto Lease Trust 2019-A88165GAH31500000PAUSD15042380.0687LongABS-OCORPUSY22023-05-22Fixed5.48NNNNNNThunderbolt Aircraft Lease LimN/AThunderbolt III Aircraft Lease Ltd88607BAA55000000PAUSD50000000.2285LongABS-OCORPKYY22039-11-15Fixed0NNNNNNUnited Auto Credit SecuritizatN/AUnited Auto Credit Securitization Trust 2019-190945QAE12000000PAUSD20264950.0926LongABS-OCORPUSY22024-08-12Fixed4.29NNNNNNUpstart Securitization Trust549300PN2KS41LBX8D66Upstart Securitization Trust 2019-2916780AC313032000PAUSD130075510.5945LongABS-OCORPUSY22029-09-20Fixed4.783NNNNNNUpstart Securitization TrustN/AUpstart Securitization Trust 2018-191678TAD84000000PAUSD40668320.1859LongABS-OCORPUSY22025-08-20Fixed6.147NNNNNNUpstart Securitization TrustN/AUpstart Securitization Trust 2019-391678W1098250PAUSD49830000.2277LongABS-OCORPUSY22030-01-21Fixed0NNNNNNUpstart Securitization TrustN/AUpstart Securitization Trust 2019-391678WAE95000000PAUSD49919170.2281LongABS-OCORPUSY22030-01-21Fixed5.381NNNNNNVB-S1 Issuer LLCN/AVB-S1 Issuer LLC91823AAJ0664000PAUSD6599300.0302LongABS-OCORPUSY22048-02-15Fixed5.25NNNNNNVx Capital Partners, LLCN/AVx Cargo 2018-1 Trust91846EAB24640814PAUSD47301860.2162LongABS-OCORPUSY22033-12-15Fixed5.438NNNNNNWestlake Automobile Receivable549300J1EEPH0E5ES038Westlake Automobile Receivables Trust 2018-296042FAH72600000PAUSD26881250.1229LongABS-OCORPUSY22025-01-15Fixed6.04NNNNNNWestlake Automobile ReceivableN/AWestlake Automobile Receivables Trust 2019-196042JAQ92000000PAUSD20367520.0931LongABS-OCORPUSY22026-02-17Fixed5.67NNNNNNSprite LimitedN/ASprite 2017-1 Ltd85208HAC73813227PAUSD38097720.1741LongABS-OCORPKYY22037-12-15Fixed6.9NNNNNNStart Ltd.549300VIQYFIDJQCKZ43START Ireland85572H1011500000PAUSD14962500.0684LongABS-OCORPBMY22044-03-15None0NNNNNNThunderbolt Aircraft Lease LimN/AThunderbolt II Aircraft Lease Ltd88606X10010PAUSD15550000.0711LongABS-OCORPKYY22038-09-15None0NNNNNNADVANCED DRAINAGE SYSTEMS6QQTOZ5MF5DHM7K92I60Advanced Drainage Systems Inc00769QAG8917757PAUSD9238790.0422LongLONCORPUSN22026-09-24Floating4NNNNNNBWAY CORP549300DNGHXL0OMHW304Mauser Packaging Solutions Holding Co05604XAP15655995PAUSD56312780.2574LongLONCORPUSN22024-04-03Floating5.23425NNNNNNBELLRING BRANDS LLC5493001E28R2L3L44631Bellring Brands LLC07982EAB26000000PAUSD60562800.2768LongLONCORPUSN22024-10-21Floating6.79938NNNNNNQUIKSILVER INC54930013HYANWRQLRU09Boardriders Inc09660JAB64848945PAUSD44986090.2056LongLONCORPUSN22024-04-06Floating8.29938NNNNNNHERCULES MERGER SUB LLC549300C1PQJLVEIUBK50Buckeye Partners LP11823LAH83280000PAUSD33059780.1511LongLONCORPUSN22026-11-01Floating4.53088NNNNNNCHANGE HEALTHCARE HOLDINGSN/AChange Healthcare Holdings LLC15911AAC710249155PAUSD102764180.4697LongLONCORPUSN22024-03-01Floating4.29938NNNNNNCHOBANI LLC549300ISVDMZ91KNTR38Chobani LLC17026YAD12806094PAUSD28053920.1282LongLONCORPUSN22023-10-10Floating5.29938NNNNNNCRYOLIFE INCN/ACryoLife Inc22904TAC13302228PAUSD33043080.151LongLONCORPUSN22024-12-01Floating5.19463NNNNNNDELL INTERNATIONAL LLCN/ADell International LLC24702NBD11813243PAUSD18200430.0832LongLONCORPUSN22024-03-13Floating3.54NNNNNNDELL INTERNATIONAL LLCN/ADell International LLC24702NBE97550000PAUSD75962820.3472LongLONCORPUSN22025-09-19Floating3.8NNNNNNDYNCORP INTERNTL INC549300SUPXO1WGG7V096DynCorp International Inc26816DAL48761100PAUSD86734890.3964LongLONCORPUSN22025-08-18Floating7.73975NNNNNNEXCELITAS TECHNOLOGIES5493001KJFQIB7D17Q74Excelitas Technologies Corp26929CAF31350000PAUSD12960000.0592LongLONCORPUSN22025-12-01Floating9.58863NNNNNNENTEGRIS INCIYX6OWO7BT5DKO3BYG52Entegris Inc29362LAH72818530PAUSD28290990.1293LongLONCORPUSN22025-11-06Floating3.79938NNNNNNENTRAVISION COMMUNICATIO549300SKHY2ALCLKV539Entravision Communications Corp29382XAE41496048PAUSD14486680.0662LongLONCORPUSN22024-11-29Floating4.54938NNNNNNFINANCIAL & RISK US HOLD549300NF240HXJO7N016Refinitiv US Holdings Inc31740MAC511293117PAUSD113891080.5205LongLONCORPUSN22025-10-01Floating5.04938NNNNNNGCI LLC549300N3IE9H88Q20221GCI LLC36155JAH810401674PAUSD103496650.473LongLONCORPUSN22022-02-02Floating4.29938NNNNNNGENTIVA HEALTH SERVICES549300STP29LPEN7S547Gentiva Health Services Inc37249UAN62420779PAUSD24313820.1111LongLONCORPUSN22025-07-02Floating5.5625NNNNNNGRIFOLS SA959800HSSNXWRKBK4N60Grifols SABL32028603950000PA44657800.2041LongLONCORPESN22027-11-15Floating0NNNNNNHANJIN INTERNATIONAL COR54930024Y0JUNH5S0F24Hanjin International Corp41043UAB24805000PAUSD47809750.2185LongLONCORPUSN22020-10-19Floating4.29938NNNNNNHELIOS SOFTWARE HOLDINGS2138002XO5EAYFHPPT53Helios Software Holdings Inc42328DAB45800000PAUSD57420000.2624LongLONCORPUSN22025-10-24Floating0NNNNNNHUB INTERNATIONAL LTD549300JQT6ATTUNS5E06HUB International Ltd44332EAP15785316PAUSD57776800.2641LongLONCORPUSN22025-04-25Floating4.68963NNNNNNHUB INTERNATIONAL LTD549300JQT6ATTUNS5E06HUB International Ltd44332EAT36208000PAUSD62649890.2863LongLONCORPUSN22025-04-25Floating5.90263NNNNNNII-VI INC549300O5C25A0MMHHU33II-VI Inc45173JAK05612066PAUSD56331110.2574LongLONCORPUSN22026-09-24Floating5.29938NNNNNNJAGUAR HOLDING CO IIN/AJaguar Holding Co II47009YAK35200000PAUSD52242320.2388LongLONCORPUSN22022-08-18Floating0NNNNNNLPL HOLDINGS INC549300Z5YF8CCRMYUL26LPL Holdings Inc50212XAX41985000PAUSD19924440.0911LongLONCORPUSN22026-11-12Floating3.542NNNNNNLAMAR MEDIA CORPN/ALamar Media Corp513076AZ22541084PAUSD25514010.1166LongLONCORPUSN22025-03-14Floating3.5625NNNNNNLANNETT CO INC5299001DJ6C90XX17G45Lannett Co Inc51602EAD66250000PAUSD61328130.2803LongLONCORPUSN22022-11-25Floating7.17438NNNNNNLEVEL 3 FINANCING INCN/ALevel 3 Financing Inc52729KAP13002218PAUSD30116150.1376LongLONCORPUSN22027-03-01Floating4.03588NNNNNNLIONS GATE CAPITAL HOLD549300MWJHNLR35C0837Lions Gate Capital Holdings LLC53627MAC74253238PAUSD42053890.1922LongLONCORPUSN22023-03-22Floating0NNNNNNMCAFEE LLC549300713UKUTLV9T378McAfee LLC57906PAG43160070PAUSD31719200.145LongLONCORPUSN22024-09-29Floating5.55475NNNNNNMISSION BROADCASTING INCN/AMission Broadcasting Inc605024AQ1263890PAUSD2647300.0121LongLONCORPUSN22024-01-17Floating4.03088NNNNNNMOHEGAN TRIBAL GAMING AUTHO549300UB083Z2NRDHC48Mohegan Gaming & Entertainment608330AP18187603PAUSD80355590.3672LongLONCORPUSN22021-10-13Floating5.54938NNNNNNNVA HOLDINGS549300PQXWQYUO44P605NVA Holdings Inc62943XAJ63589439PAUSD35857060.1639LongLONCORPUSN22025-02-02Floating6.5NNNNNNNEXSTAR BROADCASTING INC5493006PK6I4I2OOT688Nexstar Broadcasting Inc65336RAU21328049PAUSD13322720.0609LongLONCORPUSN22024-01-17Floating4.05475NNNNNNNEXSTAR BROADCASTING INC5493006PK6I4I2OOT688Nexstar Broadcasting Inc65336RAW83893805PAUSD39119500.1788LongLONCORPUSN22026-09-19Floating4.53088NNNNNN18 FREMONT STREET ACQUIS5493000QK0X0K188BR6018 Fremont Street Acquisition LLC68288HAB89683813PAUSD97322320.4448LongLONCORPUSN22025-08-09Floating10.03513NNNNNNPETVET CARE CENTERS LLC549300V0HK8MSXZNOM91PetVet Care Centers LLC70476XAF2250000PAUSD2454700.0112LongLONCORPUSN22026-02-15Floating8.04938NNNNNNPLAYTIKA HOLDING CORPN/APlaytika Holding Corp72814CAE86768000PAUSD68322960.3123LongLONCORPUSN22024-12-10Floating7.7356NNNNNNPOWERTEAM SERVICES LLC549300J2G34D0WX8Z443PowerTeam Services LLC73937UAJ7850000PAUSD5992500.0274LongLONCORPUSN22026-03-06Floating9.19463NNNNNNRPI FINANCE TRUST549300W9M1577I3BNU94RPI Finance Trust74966UAP52989150PAUSD30120460.1377LongLONCORPUSN22023-03-27Floating3.79938NNNNNNREYNOLDS GROUP HOLDINGS5493002QNV81KCX40V06Reynolds Group Holdings Inc76173FAU15614122PAUSD56273160.2572LongLONCORPUSN22023-02-05Floating4.54938NNNNNNSIX FLAGS ENTERTAINMENT CORP5493003MX0ZXTM8EVY68Six Flags Theme Parks Inc83002CAJ62880058PAUSD28906280.1321LongLONCORPUSN22026-04-17Floating3.55NNNNNNTACALA INVESTMENT CORP549300XTM341KBSTDI88Tacala Investment Corp873412AA86228304PAUSD62372100.2851LongLONCORPUSN22025-02-01Floating5.79938NNNNNNTACALA INVESTMENT CORP549300XTM341KBSTDI88Tacala Investment Corp873412AC43254000PAUSD32284240.1475LongLONCORPUSN22026-02-01Floating9.54938NNNNNNTAMKO BUILDING PRODUCTS INCN/ATamko Building Products Inc87510EAB54091745PAUSD41224330.1884LongLONCORPUSN22026-05-29Floating5.04938NNNNNNTERRIER MEDIA BUYER INCN/ATerrier Media Buyer Inc88145LAB05094000PAUSD51417820.235LongLONCORPUSN22026-12-17Floating0NNNNNNUSI INC/NYN/AUSI Inc/NY90351NAF21691000PAUSD17001650.0777LongLONCORPUSN22026-12-02Floating0NNNNNNULTRA CLEAN HOLDINGS INC5493007L6LS7QX18PE75Ultra Clean Holdings Inc90385YAB75737391PAUSD57230470.2616LongLONCORPUSN22025-08-27Floating6.29938NNNNNNFRONERI INTERNATIONAL213800NRSZ1N2Y6LEX44Froneri International LtdBL26191893824000PA50629280.2314LongLONCORPGBN22025-01-31Floating3.50513NNNNNNJANE STREET GROUP LLC5493002N1IVX6KHGYO08Jane Street Group LLCBL29724144466080PAUSD44549150.2036LongLONCORPUSN22022-08-25Floating4.79938NNNNNNSPECTACLE GARY HOLDINGN/ASpectacle Gary Holdings LLCBL31728813203535PAUSD32355710.1479LongLONCORPUSN22025-11-06Floating10.79938NNNNNNSPECTACLE GARY HOLDINGN/ASpectacle Gary Holdings LLCBL3172907232140PAUSD2344620.0107LongLONCORPUSN22025-11-06Floating0NNNNNNTRAVIATA BV529900TJUCAM0UQXSF21Traviata BVBL31942244500000PA50409110.2304LongLONCORPNLN22026-10-30Floating0NNNNNNFC COMPASSUS LLCN/AFC Compassus LLCBL31962949899393PAUSD98251480.449LongLONCORPUSN22026-10-31Floating0NNNNNNJBS USA LUX SAP77IMDGVZE8EFBTF2M92JBS USA LUX SA46611VAU92912908PAUSD29298900.1339LongLONCORPUSN22026-05-01Floating4.5125NNNNNNNORTHRIVER MIDSTREAM FINN/AGrizzly FincoBL27944462970000PAUSD29712470.1358LongLONCORPCAN22025-10-01Floating5.34863NNNNNNBAUSCH HEALTH AMERICASKOO0397YRO83WY5MGD97Bausch Health Americas IncBL270111010761384PAUSD108151910.4943LongLONCORPUSN22025-06-02Floating4.73975NNNNNNVIRGIN MEDIA SFA FINANCEN/AVirgin Media SFA Finance LtdBL2565606550000PA7287830.0333LongLONCORPGBN22027-11-15Floating3.9635NNNNNNCAMELOT FINANCE SAN/ACamelot Finance SABL32003773036000PAUSD30526980.1395LongLONCORPLUN22026-10-30Floating5.04938NNNNNNFORMULA ONE MANAGEMENTN/AFormula One Management LtdBL262815614042000PAUSD140903040.644LongLONCORPGBN22024-02-01Floating4.29938NNNNNNSTARS GROUP HOLDINGS BV549300RNFXC8F8RT6R13Stars Group Holdings BVN8233BAC63051680PAUSD30757270.1406LongLONCORPNLN22025-07-10Floating5.44463NNNNNNN/AN/ASell GBP / Buy USDN/A1NCUSD-8499-0.0004N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76245100GBP316536USD2020-02-19-8499NNNN/AN/ASell USD / Buy EURN/A1NCUSD2780N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R9716596USD15000EUR2020-02-19278NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-1410N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB274100GBP5296USD2020-02-19-141NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-605869-0.0277N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB2732007600EUR35400950USD2020-02-19-605869NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-363561-0.0166N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE9719594800EUR21679530USD2020-02-19-363561NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-483328-0.0221N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7625867000EUR28615648USD2020-02-19-483328NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-4669-0.0002N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK2824319136000GBP175685USD2020-02-19-4669NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-106517-0.0049N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE973112800GBP4021470USD2020-02-19-106517NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-13315-0.0006N/ADFEUSN2BNP ParibasR0MUWSFPU8MPRO8K5P83718000EUR794396USD2020-02-19-13315NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-29978-0.0014N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97870000GBP1123758USD2020-02-19-29978NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-1846-0.0001N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE9799000EUR109524USD2020-02-19-1846NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-890N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA763100GBP4022USD2020-02-19-89NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-6000N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7655000EUR61272USD2020-02-19-600NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-700N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB273000GBP3909USD2020-02-19-70NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-8360N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB2775000EUR83535USD2020-02-19-836NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-4830N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB2750000EUR55764USD2020-02-19-483NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-10230N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7673000EUR81098USD2020-02-19-1023NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-190N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA762400GBP3163USD2020-02-19-19NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-4940N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7660000EUR67003USD2020-02-19-494NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-150N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB272800GBP3698USD2020-02-19-15NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-1945-0.0001N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76240000EUR268042USD2020-02-19-1945NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-30551-0.0014N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE975747000EUR6434513USD2020-02-19-30551NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-17277-0.0008N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB273393000EUR3799665USD2020-02-19-17277NNNN/AN/ASell USD / Buy EURN/A1NCUSD29600.0001N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK2824319412146USD369000EUR2020-02-192960NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-3790N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7630000EUR33370USD2020-02-19-379NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-6630N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7658000EUR64584USD2020-02-19-663NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-980N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA763700GBP4808USD2020-02-19-98NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-1070N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7636000EUR40391USD2020-02-19-107NNNN/AN/A90DAY EURO$ FUTR Mar20N/A75NCUSD2765630.0126N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30LongN/AN/A2020-03-1618148125USD276563NNNN/AN/A90DAY EURO$ FUTR Jun20N/A75NCUSD2859380.0131N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30LongN/AN/A2020-06-1518147188USD285938NNNN/AN/A90DAY EURO$ FUTR Sep20N/A75NCUSD2953130.0135N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30LongN/AN/A2020-09-1418148125USD295313NNNN/AN/AUS 5YR NOTE (CBT) Mar20N/A554NCUSD-246703-0.0113N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30LongN/AN/A2020-03-3165956297USD-246703NNNN/AN/AUS 2YR NOTE (CBT) Mar20N/A310NCUSD-45842-0.0021N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30LongN/AN/A2020-03-3166850842USD-45842NNNN/AN/AUS LONG BOND(CBT) Mar20N/A103NCUSD-347983-0.0159N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30LongN/AN/A2020-03-2016406326USD-347983NNNN/AN/AUS 10yr Ultra Fut Mar20N/A-123NCUSD2150900.0098N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30ShortN/AN/A2020-03-20-17521575USD215090NNNN/AN/AUS ULTRA BOND CBT Mar20N/A269NCUSD-1625468-0.0743N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30LongN/AN/A2020-03-2050490999USD-1625468NNNN/AN/ACDX.NA.HY Series 33N/A-16335000OUNotionalUSD-1574079-0.0719N/ADCRUSN2Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30MARKIT CDX.NA.HY.33CDX.NA.HY.S33.V1-5YYCDX.NA.HY Series 332024-12-200USD1163835.07USD-16335000USD-410243NNNN/AN/ACDX.NA.HY Series 33N/A-34155000OUNotionalUSD-3291255-0.1504N/ADCRUSN2Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30MARKIT CDX.NA.HY.33CDX.NA.HY.S33.V1-5YYCDX.NA.HY Series 332024-12-200USD2508966.9USD-34155000USD-782288NNNN/AN/APay Fixed 1.659% Receive ICE LIBOR USD 3 MonthN/A22000000OUNotionalUSD21677840.0991N/ADIRUSN2Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30N/AN/AY2049-08-23750USD0USD22000000USD2167034NNN2020-02-14JESPER NERGAARDJESPER NERGAARDJESPER NERGAARDVP, CFO, TREASURER, AND PRINCIPAL ACCOUNTING OFFICER