0001752724-20-161914.txt : 20200820
0001752724-20-161914.hdr.sgml : 20200820
20200820082320
ACCESSION NUMBER: 0001752724-20-161914
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200630
FILED AS OF DATE: 20200820
PERIOD START: 20201231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: TCW STRATEGIC INCOME FUND INC
CENTRAL INDEX KEY: 0000809559
IRS NUMBER: 930939398
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04980
FILM NUMBER: 201118680
BUSINESS ADDRESS:
STREET 1: 865 S FIGUEROA ST STE 1800
CITY: LOS ANGELES
STATE: CA
ZIP: 90071
BUSINESS PHONE: 2132440000
MAIL ADDRESS:
STREET 1: 865 S. FIGUEROA STREET,
STREET 2: SUITE 1800
CITY: LOSANGELES
STATE: CA
ZIP: 90017
FORMER COMPANY:
FORMER CONFORMED NAME: TCW CONVERTIBLE SECURITIES FUND INC
DATE OF NAME CHANGE: 19920703
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000809559
XXXXXXXX
TCW STRATEGIC INCOME FUND INC
811-04980
0000809559
54930062BZFVP7F6WJ47
865 S FIGUEROA ST
SUITE 1800
LOS ANGELES
90071
213-244-0000
TCW STRATEGIC INCOME FUND INC
54930062BZFVP7F6WJ47
2020-12-31
2020-06-30
N
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0.00000000
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
273000.00000000
0.00000000
0.00000000
546154.87000000
USD
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2018-C2
05491UBD9
430000.00000000
PA
USD
510620.87000000
0.190443075841
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Fixed
4.31000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31397TTP7
186237.53000000
PA
USD
41258.99000000
0.015388107739
Long
ABS-MBS
USGSE
US
N
2
2038-06-15
Floating
6.07000000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-55HY Mortgage Trust
44421MAN0
150000.00000000
PA
USD
133229.57000000
0.049689800387
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Variable
3.04000000
N
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAV7
186000.00000000
PA
USD
197420.40000000
0.073630653227
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.75000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AG5
750000.00000000
PA
USD
862554.35000000
0.321701507215
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.13000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B10 Mortgage Trust
08162VBL1
435000.00000000
PA
USD
395863.66000000
0.147642796159
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Variable
4.03000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
150000.00000000
PA
USD
172857.00000000
0.064469395386
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.91000000
N
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAM7
44000.00000000
PA
USD
44258.28000000
0.016506734193
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
6.00000000
N
N
N
N
N
N
AON CORP
LTS3U8DGK38SETRUWX71
Aon Corp
037389BE2
395000.00000000
PA
USD
423222.75000000
0.157846745034
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.80000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TCW9
447077.71000000
PA
USD
355801.48000000
0.132701055168
Long
ABS-O
CORP
US
N
2
2031-09-15
Variable
6.93000000
N
N
N
N
N
N
JP Morgan ReRemic
N/A
JP Morgan Resecuritization Trust Series 2015-4
46645AAE1
1863000.00000000
PA
USD
1633508.21000000
0.609239351938
Long
ABS-MBS
CORP
US
N
2
2047-06-26
Floating
0.36000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KGP8
12862565.00000000
PA
USD
232458.71000000
0.086698672810
Long
ABS-MBS
USGA
US
N
2
2055-02-16
Variable
0.77000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376GH94
10404680.26000000
PA
USD
17556.86000000
0.006548072389
Long
ABS-MBS
USGA
US
N
2
2050-08-16
None
0.00000000
N
N
N
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859BJ0
435000.00000000
PA
USD
454990.43000000
0.169694938179
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.90000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BEVK7
4875000.00000000
PA
USD
377687.70000000
0.140863821910
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Variable
2.10000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
350000.00000000
PA
USD
413656.25000000
0.154278787294
Long
DBT
NUSS
QA
Y
2
2028-04-23
Fixed
4.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2006-14
12670AAG6
16203213.24000000
PA
USD
61614.34000000
0.022979915461
Long
ABS-MBS
CORP
US
N
3
2036-09-25
Variable
0.13000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FRUM1
1385000.00000000
PA
USD
206704.19000000
0.077093170384
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
2.04000000
N
N
N
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAB5
750000.00000000
PA
USD
851525.29000000
0.317588067609
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.35000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP5
46647TAU2
13760792.09000000
PA
USD
634100.05000000
0.236496334184
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Variable
1.18000000
N
N
N
N
N
N
Comerica Inc
I9Q57JVPWHHZ3ZGBW498
Comerica Inc
200340107
18823.00000000
NS
USD
717156.30000000
0.267473304863
Long
EC
CORP
US
N
1
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2018-SOX
63874NAA8
155000.00000000
PA
USD
162453.98000000
0.060589446008
Long
ABS-MBS
CORP
US
N
2
2038-06-17
Fixed
4.40000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAF6
165000.00000000
PA
USD
177610.95000000
0.066242446418
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
3.63000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-LC4 Mortgage Trust
126192AJ2
18671016.00000000
PA
USD
162790.72000000
0.060715037822
Long
ABS-MBS
CORP
US
N
2
2044-12-10
Variable
0.64000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBF5
286000.00000000
PA
USD
283993.71000000
0.105919359802
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
5.09000000
N
N
N
N
N
N
Sirius XM Radio Inc
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NAY4
130000.00000000
PA
USD
131314.30000000
0.048975474100
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
3.88000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AS6
25000.00000000
PA
USD
26197.63000000
0.009770766394
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.38000000
N
N
N
N
N
N
Farmers Exchange Capital
N/A
Farmers Exchange Capital
309588AC5
500000.00000000
PA
USD
614770.69000000
0.229287183543
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
7.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376GA59
3367167.00000000
PA
USD
3227.09000000
0.001203587596
Long
ABS-MBS
USGA
US
N
2
2045-12-16
None
0.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FCL51
1171073.83000000
PA
USD
1193076.14000000
0.444974154336
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Variable
2.66000000
N
N
N
N
N
N
PIEDMONT OPERATING PARTN
549300WKGDPAS39FBD10
Piedmont Operating Partnership LP
720198AC4
425000.00000000
PA
USD
432070.99000000
0.161146817828
Long
DBT
US
N
2
2023-06-01
Fixed
3.40000000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2006-AR4
86360QAM7
1013398.23000000
PA
USD
875340.35000000
0.326470221756
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
0.36000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LJ5D8
780000.00000000
PA
USD
937829.83000000
0.349776532716
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
3.46000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374NU62
2585243.81000000
PA
USD
352079.57000000
0.131312917648
Long
ABS-MBS
USGA
US
N
2
2036-11-20
Floating
4.56000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2007-HF1
55291YAG2
1093328.73000000
PA
USD
723805.92000000
0.269953372092
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Fixed
7.00000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
1125000.00000000
PA
USD
1474081.88000000
0.549779109634
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1
00442JAD6
1448390.58000000
PA
USD
906597.05000000
0.338127837882
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.44000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY REVENUE
59261AG76
390000.00000000
PA
USD
456385.80000000
0.170215360610
Long
DBT
MUN
US
N
2
2049-11-15
Fixed
5.18000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
C-BASS Mortgage Loan Trust 2007-CB3
17311YAC7
1376116.21000000
PA
USD
731177.19000000
0.272702588612
Long
ABS-O
CORP
US
N
2
2037-03-25
Variable
3.63000000
N
N
N
N
N
N
INDONESIA ASAHAN ALUMINI
2549008P48EB9SN2OI80
Indonesia Asahan Aluminium Persero PT
74445PAC6
500000.00000000
PA
USD
593765.38000000
0.221452964300
Long
DBT
CORP
ID
N
2
2028-11-15
Fixed
6.53000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDU3
175000.00000000
PA
USD
208363.75000000
0.077712126110
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
3.70000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MS7
470000.00000000
PA
USD
486740.54000000
0.181536578350
Long
DBT
CORP
US
N
2
2031-06-03
Fixed
2.57000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust Series 2006-FF18
32029AAE7
808206.92000000
PA
USD
725597.83000000
0.270621689570
Long
ABS-O
CORP
US
N
2
2037-12-25
Floating
0.39000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DR3
250000.00000000
PA
USD
247527.50000000
0.092318785276
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
Worldwide Plaza Trust
N/A
Worldwide Plaza Trust 2017-WWP
98162JAA4
810000.00000000
PA
USD
897432.53000000
0.334709804112
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
3.53000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAL7
920000.00000000
PA
USD
1075923.14000000
0.401280331825
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.38000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAJ2
175000.00000000
PA
USD
201208.52000000
0.075043484678
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
4.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137AUPG8
3475000.00000000
PA
USD
129352.88000000
0.048243935537
Long
ABS-MBS
USGSE
US
N
2
2040-07-25
Variable
2.03000000
N
N
N
N
N
N
Tenet Healthcare Corp
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCS7
234000.00000000
PA
USD
229587.93000000
0.085627975929
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.63000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-LC13 Mortgage Trust
12626GAG8
8253527.45000000
PA
USD
237365.67000000
0.088528791026
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Variable
1.30000000
N
N
N
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
Encompass Health Corp
29261AAB6
425000.00000000
PA
USD
406593.25000000
0.151644544310
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376G3C2
8331508.95000000
PA
USD
17512.83000000
0.006531650795
Long
ABS-MBS
USGA
US
N
2
2051-09-16
None
0.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2004-A6
466247HA4
299489.19000000
PA
USD
275824.87000000
0.102872678581
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
3.62000000
N
N
N
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859BE1
125000.00000000
PA
USD
164552.86000000
0.061372252170
Long
DBT
CORP
US
N
2
2044-10-01
Fixed
4.95000000
N
N
N
N
N
N
TITAN ACQ/CO-BORROWER
N/A
Titan Acquisition Ltd / Titan Co-Borrower LLC
88827AAA1
140000.00000000
PA
USD
133172.20000000
0.049668403456
Long
DBT
CORP
XX
N
2
2026-04-15
Fixed
7.75000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BYPS3
13836594.15000000
PA
USD
366863.46000000
0.136826772740
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Variable
1.02000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TDE8
181438.01000000
PA
USD
186423.01000000
0.069529025384
Long
ABS-O
CORP
US
N
2
2024-05-15
Variable
6.03000000
N
N
N
N
N
N
Freddie Mac Multiclass Certificates
N/A
Freddie Mac Multifamily PC REMIC Trust 2019-P002
3137FQKX0
1295000.00000000
PA
USD
146257.62000000
0.054548790804
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Variable
1.01000000
N
N
N
N
N
N
IQVIA Inc
549300PLWY28YB00C717
IQVIA Inc
46266TAA6
200000.00000000
PA
USD
205500.00000000
0.076644051163
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2006-HE3
61749HAA8
470121.85000000
PA
USD
437944.15000000
0.163337293622
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.32000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
5493005SNWQW3UUOQX45
Morgan Stanley Capital I Trust 2012-C4
61760VAA1
5361335.76000000
PA
USD
131525.36000000
0.049054191830
Long
ABS-MBS
CORP
US
N
2
2045-03-15
Variable
2.25000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF13
30247DAD3
890087.65000000
PA
USD
652357.52000000
0.243305708709
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
0.34000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
225470RS4
1182484.75000000
PA
USD
636850.93000000
0.237522312712
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
6.50000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAH4
305000.00000000
PA
USD
257348.33000000
0.095981598887
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.88000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2012-C9
92930RAF9
2539333.85000000
PA
USD
88605.76000000
0.033046736753
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Variable
2.05000000
N
N
N
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AA2
120000.00000000
PA
USD
124812.60000000
0.046550575670
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
4.63000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CF4
300000.00000000
PA
USD
300024.72000000
0.111898345450
Long
DBT
CORP
US
N
2
2020-12-29
Floating
1.18000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BY5
390000.00000000
PA
USD
410309.25000000
0.153030477614
Long
DBT
CORP
US
N
2
2030-05-11
Fixed
2.24000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31397CW39
505995.84000000
PA
USD
128667.00000000
0.047988127158
Long
ABS-MBS
USGSE
US
N
2
2036-11-15
Floating
6.47000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TAR0
200000.00000000
PA
USD
204441.60000000
0.076249306327
Long
DBT
NUSS
SA
N
2
2055-01-21
Fixed
3.75000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QA10 Trust
74922NAB5
764181.27000000
PA
USD
679618.88000000
0.253473207836
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.36000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Credit-Based Asset Servicing and Securitization LLC
12489WGJ7
469312.94000000
PA
USD
477601.10000000
0.178127898511
Long
ABS-O
CORP
US
N
2
2032-12-25
Variable
3.38000000
N
N
N
N
N
N
HSI Asset Loan Obligation
N/A
HSI Asset Loan Obligation Trust 2007-2
40432BAR0
447197.70000000
PA
USD
419441.84000000
0.156436602652
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6.00000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAN3
375000.00000000
PA
USD
458163.75000000
0.170878471514
Long
DBT
CORP
US
N
2
2038-06-25
Fixed
4.63000000
N
N
N
N
N
N
Global SC Finance SRL
N/A
Global SC Finance II SRL
37952UAE3
177625.01000000
PA
USD
174536.76000000
0.065095884979
Long
ABS-O
CORP
BB
N
2
2029-07-17
Fixed
3.09000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS8 Trust
75115AAC5
945033.52000000
PA
USD
893909.95000000
0.333396009456
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
6.00000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2012-C8
92936YAK7
4318951.97000000
PA
USD
117935.03000000
0.043985491354
Long
ABS-MBS
CORP
US
N
2
2045-08-15
Variable
1.96000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2020-2 Ltd
69701FAC7
350000.00000000
PA
USD
339692.50000000
0.126692989537
Long
ABS-CBDO
CORP
KY
N
2
2028-04-20
Floating
2.66000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWV2
250000.00000000
PA
USD
283713.20000000
0.105814739739
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
3.81000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2006-HYB2
126694C63
872164.78000000
PA
USD
693325.12000000
0.258585138541
Long
ABS-MBS
CORP
US
N
2
2036-04-20
Variable
4.04000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2014-C24
92939KAH1
5502439.19000000
PA
USD
143821.66000000
0.053640266021
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
0.98000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Corp 2005-FRE1
46626LBX7
113424.91000000
PA
USD
113421.18000000
0.042301988919
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.16000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAC4
250000.00000000
PA
USD
228214.27000000
0.085115650540
Long
DBT
CORP
KY
N
2
2023-03-15
Fixed
4.50000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Trust 2015-SRCH
05547HAN1
150000.00000000
PA
USD
158925.29000000
0.059273372544
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Variable
5.12000000
N
N
N
N
N
N
Qwest Corp
549300R2L4N683OO1509
Qwest Corp
912920AK1
250000.00000000
PA
USD
284375.00000000
0.106061567151
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
7.25000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE18 Mortgage Trust
12632QAY9
6901769.45000000
PA
USD
219617.75000000
0.081909460182
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
1.15000000
N
N
N
N
N
N
SUNOCO LOGISTICS PARTNER
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAV1
831000.00000000
PA
USD
818264.93000000
0.305183158930
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
ENDEAVOR ENERGY RESOURCE
N/A
Endeavor Energy Resources LP / EER Finance Inc
29260FAD2
52000.00000000
PA
USD
49941.06000000
0.018626205147
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376GXY1
15151661.35000000
PA
USD
352995.83000000
0.131654649416
Long
ABS-MBS
USGA
US
N
2
2050-09-16
Variable
1.15000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2005-8
17307GE20
891292.74000000
PA
USD
804315.31000000
0.299980456307
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.84000000
N
N
N
N
N
N
SLM Student Loan Trust
549300MTK92VF84VT259
SLM Student Loan Trust 2008-9
78445JAB3
260000.00000000
PA
USD
247941.41000000
0.092473158703
Long
ABS-O
CORP
US
N
2
2083-10-25
Floating
3.24000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31396JM36
2194088.33000000
PA
USD
454567.71000000
0.169537278941
Long
ABS-MBS
USGSE
US
N
2
2036-03-15
Floating
5.45000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS1 Trust
761118SB5
435857.53000000
PA
USD
401136.33000000
0.149609310949
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
5.75000000
N
N
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2007-HE1
576457AD7
2000000.00000000
PA
USD
1579109.80000000
0.588950716807
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.46000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FKSL1
860000.00000000
PA
USD
132032.96000000
0.049243508231
Long
ABS-MBS
USGSE
US
N
2
2046-11-25
Variable
2.38000000
N
N
N
N
N
N
Alabama Economic Settlement Authority
N/A
ALABAMA ECON SETTLEMENT AUTH BP SETTLEMENT REVENUE
01026CAD3
705000.00000000
PA
USD
843814.50000000
0.314712222435
Long
DBT
MUN
US
N
2
2032-09-15
Fixed
4.26000000
N
N
N
N
N
N
SLM Student Loan Trust
549300SRMXHPGI3BJ386
SLM Student Loan Trust 2008-5
78444YAE5
260000.00000000
PA
USD
213594.45000000
0.079662987610
Long
ABS-O
CORP
US
N
2
2073-07-25
Floating
2.84000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBTD8
3455000.00000000
PA
USD
247591.52000000
0.092342662416
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Variable
2.02000000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBE3
490000.00000000
PA
USD
495206.81000000
0.184694190180
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.50000000
N
N
N
N
N
N
USA COM PART/USA COM FIN
N/A
USA Compression Partners LP / USA Compression Finance Corp
91740PAF5
127000.00000000
PA
USD
121405.65000000
0.045279906813
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
6.88000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2005-11
17307GW79
352037.72000000
PA
USD
355395.53000000
0.132549650533
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
4.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LNKF7
575000.00000000
PA
USD
676567.52000000
0.252335161160
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.71000000
N
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAQ8
263000.00000000
PA
USD
269526.35000000
0.100523558926
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
6.00000000
N
N
N
N
N
N
COMM Mortgage Trust
549300BCCWSDWINK2593
COMM 2013-CCRE11 Mortgage Trust
12626LAF9
9860712.04000000
PA
USD
255347.08000000
0.095235205177
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Variable
1.09000000
N
N
N
N
N
N
AMUR FIN I LLC 01/22 10
N/A
AMUR FIN I LLC 01/22 10
03236JAF5
776156.21000000
PA
USD
77615.62000000
0.028947812897
Long
ABS-O
CORP
US
Y
3
2022-01-25
Fixed
10.00000000
N
N
N
N
N
N
EQT Corp
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAF6
140000.00000000
PA
USD
114310.70000000
0.042633747636
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B9EN3
479925.44000000
PA
USD
21650.02000000
0.008074672703
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Variable
0.99000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABJ3
495000.00000000
PA
USD
497979.90000000
0.185728452233
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Credit-Based Asset Servicing and Securitization LLC
12498NAB9
2328523.30000000
PA
USD
1888070.54000000
0.704181873810
Long
ABS-O
CORP
US
N
2
2036-12-25
Variable
3.26000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAB2
25000.00000000
PA
USD
25667.25000000
0.009572953879
Long
DBT
CORP
XX
N
2
2030-01-15
Fixed
5.50000000
N
N
N
N
N
N
SFAVE Commercial Mortgage Securities Trust
549300FIGODFFTOAAU64
SFAVE Commercial Mortgage Securities Trust 2015-5AVE
78413MAE8
155000.00000000
PA
USD
142482.23000000
0.053140707182
Long
ABS-MBS
CORP
US
N
2
2043-01-05
Variable
4.14000000
N
N
N
N
N
N
Banc of California Multifamily Housing
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMUM2
7271302.62000000
PA
USD
69015.57000000
0.025740305976
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Fixed
0.36000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2012-C1
90269GAG6
5138002.85000000
PA
USD
133311.91000000
0.049720510222
Long
ABS-MBS
CORP
US
N
2
2045-05-10
Variable
2.25000000
N
N
N
N
N
N
TRANSMONTAIGE PARTNERS
N/A
TransMontaigne Partners LP / TLP Finance Corp
89376VAA8
115000.00000000
PA
USD
111406.25000000
0.041550493065
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
6.13000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579ZE1
237642.46000000
PA
USD
227122.81000000
0.084708575523
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.94000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2004-4
542514HT4
818461.81000000
PA
USD
797352.29000000
0.297383502238
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
1.08000000
N
N
N
N
N
N
GCO Education Loan Funding Trust
BMMMD49PLG3NGJVYVM66
GCO Education Loan Funding Master Trust-II
36156YAW1
2024394.37000000
PA
USD
1877859.19000000
0.700373410395
Long
ABS-O
CORP
US
N
2
2046-08-27
Floating
0.83000000
N
N
N
N
N
N
DC Office Trust
N/A
DC Office Trust 2019-MTC
23312BAA8
550000.00000000
PA
USD
596315.61000000
0.222404107651
Long
ABS-MBS
CORP
US
N
2
2045-09-15
Fixed
2.97000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2003-2
07324SAF9
333205.35000000
PA
USD
308956.35000000
0.115229519691
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Floating
1.05000000
N
N
N
N
N
N
Wells Fargo Alternative Loan Trust
N/A
Wells Fargo Alternative Loan 2007-PA2 Trust
94985FAH1
2979610.39000000
PA
USD
414618.15000000
0.154637541128
Long
ABS-MBS
CORP
US
N
3
2037-06-25
Floating
5.89000000
N
N
N
N
N
N
Transocean Poseidon Ltd
N/A
Transocean Poseidon Ltd
89383JAA6
314000.00000000
PA
USD
271610.00000000
0.101300684849
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
6.88000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AK5
345000.00000000
PA
USD
381088.73000000
0.142132282822
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.75000000
N
N
N
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69370PAH4
400000.00000000
PA
USD
403619.60000000
0.150535480647
Long
DBT
CORP
ID
N
2
2030-08-25
Fixed
3.10000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BRQL2
5415351.30000000
PA
USD
326265.71000000
0.121685283553
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Variable
1.32000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR3
36242D4W0
283707.92000000
PA
USD
270161.69000000
0.100760517716
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
3.74000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TCL3
1671028.16000000
PA
USD
389459.68000000
0.145254343747
Long
ABS-O
CORP
US
N
2
2031-06-15
Variable
6.61000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Commercial Mortgage Trust Series 2007-C2
22545YAG6
5146.32000000
PA
USD
5162.53000000
0.001925436561
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
5.75000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31
61766RBA3
7613906.65000000
PA
USD
470289.69000000
0.175401007601
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Variable
1.54000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137AH6E3
4000000.00000000
PA
USD
113567.80000000
0.042356672864
Long
ABS-MBS
USGSE
US
N
2
2039-08-25
Variable
2.90000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCE1
436000.00000000
PA
USD
449080.00000000
0.167490562026
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
100000.00000000
PA
USD
111750.00000000
0.041678699355
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.63000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3133T4DA1
52756.69000000
PA
USD
63611.40000000
0.023724746453
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
17.95000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBY1
180000.00000000
PA
USD
183256.09000000
0.068347879016
Long
DBT
CORP
US
N
2
2022-06-30
Fixed
3.15000000
N
N
N
N
N
N
Greenpoint Manufactured Housing
N/A
Greenpoint Manufactured Housing
395383AN2
677930.41000000
PA
USD
604917.10000000
0.225612151640
Long
ABS-O
CORP
US
N
2
2030-03-20
Variable
8.14000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MP3
440000.00000000
PA
USD
522703.48000000
0.194949451408
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41000000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DV3
700000.00000000
PA
USD
691854.25000000
0.258036557346
Long
DBT
CORP
US
N
2
2022-02-15
Floating
1.29000000
N
N
N
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2007-NC2
81378GAD0
4614000.00000000
PA
USD
3113821.11000000
1.161342406174
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
0.40000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAD5
190000.00000000
PA
USD
195327.13000000
0.072849939393
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
4.42000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBN1
127000.00000000
PA
USD
133277.61000000
0.049707717565
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.88000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS6 Trust
75116CCP9
285708.61000000
PA
USD
262142.79000000
0.097769758680
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
5.50000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523BJ8
170000.00000000
PA
USD
195377.47000000
0.072868714388
Long
DBT
CORP
US
N
2
2047-10-15
Fixed
3.88000000
N
N
N
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044DG3
60000.00000000
PA
USD
73709.40000000
0.027490934427
Long
DBT
CORP
US
N
2
2047-02-01
Fixed
4.45000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS3 Trust
75116BAH1
12387956.37000000
PA
USD
148916.86000000
0.055540590934
Long
ABS-MBS
CORP
US
N
3
2037-02-25
Variable
0.35000000
N
N
N
N
N
N
POWERTEAM SERVICES LLC
549300J2G34D0WX8Z443
PowerTeam Services LLC
73939VAA2
410000.00000000
PA
USD
418402.95000000
0.156049134339
Long
DBT
CORP
US
N
2
2025-12-04
Fixed
9.03000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
674135DF2
101102.92000000
PA
USD
102741.45000000
0.038318836741
Long
ABS-O
CORP
US
N
2
2028-05-15
Variable
6.83000000
N
N
N
N
N
N
Store Master Funding I - VII, XIV
N/A
Store Master Funding I-VII and XIV
86212XAB6
508816.58000000
PA
USD
487957.80000000
0.181990572208
Long
ABS-O
CORP
US
N
2
2049-11-20
Fixed
3.65000000
N
N
N
N
N
N
AMUR FIN I LLC 03/24 10
N/A
AMUR FIN I LLC 03/24 10
03236JAK4
89227.95000000
PA
USD
18916.33000000
0.007055105422
Long
ABS-O
CORP
US
Y
3
2024-03-20
Fixed
10.00000000
N
N
N
N
N
N
MFT Trust
N/A
MFT Trust 2020-ABC
55317BAG2
175000.00000000
PA
USD
166108.03000000
0.061952274209
Long
ABS-MBS
CORP
US
N
2
2030-02-06
Variable
3.48000000
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc
01626PAN6
390000.00000000
PA
USD
405765.75000000
0.151335916804
Long
DBT
CORP
CA
N
2
2050-01-25
Fixed
3.80000000
N
N
N
N
N
N
NYU HOSPITALS CENTER
N/A
NYU Langone Hospitals
62952EAA5
700000.00000000
PA
USD
787368.40000000
0.293659873158
Long
DBT
CORP
US
N
2
2042-07-01
Fixed
4.43000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BWFY5
865000.00000000
PA
USD
102428.63000000
0.038202166220
Long
ABS-MBS
USGSE
US
N
2
2027-01-25
Variable
2.94000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738BC1
260000.00000000
PA
USD
276077.28000000
0.102966818362
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.65000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAF8
300000.00000000
PA
USD
301904.12000000
0.112599293526
Long
DBT
CORP
IE
N
2
2021-05-15
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BDCY0
3110000.00000000
PA
USD
265006.21000000
0.098837710549
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Variable
2.18000000
N
N
N
N
N
N
CYRUSONE LP/CYRUSONE FIN
N/A
CyrusOne LP / CyrusOne Finance Corp
23283PAR5
1045000.00000000
PA
USD
1088278.68000000
0.405888500389
Long
DBT
US
N
2
2029-11-15
Fixed
3.45000000
N
N
N
N
N
N
Royal Dutch Shell PLC
21380068P1DRHMJ8KU70
Royal Dutch Shell PLC
780259206
18856.00000000
NS
USD
616402.64000000
0.229895841739
Long
EC
CORP
GB
N
1
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2007-3
80557BAE4
2926000.00000000
PA
USD
2348382.44000000
0.875861527410
Long
ABS-O
CORP
US
N
2
2047-09-25
Floating
0.67000000
N
N
N
N
N
N
New York City Transitional Finance Authority Future Tax Secured Revenue
N/A
NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
64971XCV8
370000.00000000
PA
USD
418325.70000000
0.156020322889
Long
DBT
MUN
US
N
2
2038-08-01
Fixed
4.00000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAW9
153000.00000000
PA
USD
187565.76000000
0.069955229712
Long
DBT
CORP
US
N
2
2046-05-14
Fixed
4.45000000
N
N
N
N
N
N
Asset Backed Funding Certificates
N/A
ABFC 2007-NC1 Trust
00076BAB0
1308802.01000000
PA
USD
1232980.36000000
0.459856981973
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
0.48000000
N
N
N
N
N
N
TEXAS EASTERN TRANSMISSI
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882384AC4
300000.00000000
PA
USD
306937.50000000
0.114476561819
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.80000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCB7
265000.00000000
PA
USD
279877.10000000
0.104384013488
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.38000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWL4
180000.00000000
PA
USD
201664.11000000
0.075213403234
Long
DBT
CORP
US
N
2
2028-06-05
Fixed
3.69000000
N
N
N
N
N
N
Molina Healthcare Inc
549300NQQCEQ46YHZ591
Molina Healthcare Inc
60855RAG5
140000.00000000
PA
USD
143111.50000000
0.053375402083
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
5.38000000
N
N
N
N
N
N
SEALED AIR CORP
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAY6
25000.00000000
PA
USD
25125.00000000
0.009370714284
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.00000000
N
N
N
N
N
N
Mauser Packaging Solut
549300DNGHXL0OMHW304
Mauser Packaging Solutions Holding Co
12429TAD6
25000.00000000
PA
USD
24609.06000000
0.009178287366
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
5.50000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR6
45660NX83
390743.90000000
PA
USD
387899.05000000
0.144672285325
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
4.01000000
N
N
N
N
N
N
Spectrum Brands Inc
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAU9
135000.00000000
PA
USD
139896.45000000
0.052176304970
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.75000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2006-2
5764342J2
5936544.86000000
PA
USD
1658936.59000000
0.618723215965
Long
ABS-MBS
CORP
US
N
3
2036-03-25
Floating
6.92000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QA8 Trust
761118BS6
489879.15000000
PA
USD
361575.73000000
0.134854641117
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.26000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TBC4
1779929.94000000
PA
USD
866954.21000000
0.323342495511
Long
ABS-O
CORP
US
N
2
2029-09-15
Variable
8.15000000
N
N
N
N
N
N
GRAPHIC PACKAGING INTERN
SO75N4VY5NXGQSK8YQ65
Graphic Packaging International LLC
38869AAA5
130000.00000000
PA
USD
138450.00000000
0.051636831550
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.75000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAP1
1000000.00000000
PA
USD
1070943.47000000
0.399423095415
Long
DBT
CORP
US
N
2
2024-04-23
Fixed
3.56000000
N
N
N
N
N
N
Deutsche Alt-A Securities INC Mortgage Loan Trust
N/A
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6
25150RAF2
537991.54000000
PA
USD
469388.63000000
0.175064944882
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
0.37000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
423074AF0
210000.00000000
PA
USD
249095.80000000
0.092903704330
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
6.38000000
N
N
N
N
N
N
Bacardi Ltd
549300R32WTQNHNN5055
Bacardi Ltd
067316AF6
15000.00000000
PA
USD
16987.99000000
0.006335904499
Long
DBT
CORP
BM
N
2
2028-05-15
Fixed
4.70000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR19
45660LXA2
542664.16000000
PA
USD
461351.80000000
0.172067498606
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.37000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325CX1
200000.00000000
PA
USD
216971.00000000
0.080922318369
Long
DBT
NUSS
CO
N
2
2026-01-28
Fixed
4.50000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDR0
705000.00000000
PA
USD
883995.98000000
0.329698458002
Long
DBT
CORP
US
N
2
2037-03-01
Fixed
5.25000000
N
N
N
N
N
N
J.P. Morgan Alternative Loan Trust
N/A
JP Morgan Alternative Loan Trust
46628GAQ2
577182.09000000
PA
USD
419169.08000000
0.156334873059
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LNBJ9
305000.00000000
PA
USD
356438.46000000
0.132938625619
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
3.50000000
N
N
N
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAK8
385000.00000000
PA
USD
400234.45000000
0.149272942400
Long
DBT
CORP
CA
N
2
2024-03-15
Fixed
7.00000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FZ4
435000.00000000
PA
USD
486868.47000000
0.181584291603
Long
DBT
CORP
US
N
2
2051-01-13
Fixed
3.60000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDQ6
400000.00000000
PA
USD
442548.70000000
0.165054623869
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
3.88000000
N
N
N
N
N
N
SLM Student Loan Trust
549300Y3YMECZJOAL893
SLM Student Loan Trust 2004-2
78442GLB0
336093.32000000
PA
USD
299873.42000000
0.111841916034
Long
ABS-O
CORP
US
N
2
2039-07-25
Floating
1.46000000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505F49
176543.18000000
PA
USD
176745.24000000
0.065919567968
Long
ABS-O
CORP
US
N
2
2030-04-01
Fixed
6.18000000
N
N
N
N
N
N
Higher Education Funding
N/A
Higher Education Funding I
429827AY4
451332.71000000
PA
USD
447237.09000000
0.166803223397
Long
ABS-O
CORP
US
N
2
2034-05-25
Floating
1.41000000
N
N
N
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAB3
370000.00000000
PA
USD
415550.70000000
0.154985348476
Long
DBT
CORP
BM
N
2
2025-02-15
Fixed
4.75000000
N
N
N
N
N
N
Structured Receivables Finance LLC
N/A
Structured Receivables Finance 2010-B LLC
86365LAB7
346265.67000000
PA
USD
406990.83000000
0.151792827238
Long
ABS-O
CORP
US
N
2
2036-08-15
Fixed
7.97000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380BP58
3226704.32000000
PA
USD
399756.08000000
0.149094527729
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.50000000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505PD8
181466.51000000
PA
USD
194694.37000000
0.072613942849
Long
ABS-O
CORP
US
N
2
2027-09-15
Variable
7.95000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2018-R2
12553QAA6
857914.45000000
PA
USD
835574.57000000
0.311639027221
Long
ABS-MBS
CORP
US
N
2
2057-08-25
Variable
3.69000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063BFV9
105.00000000
PA
USD
101.26000000
0.000037766309
Long
DBT
MUN
US
N
2
2036-03-01
Fixed
7.95000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDA5
525000.00000000
PA
USD
519540.00000000
0.193769588036
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.13000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AZ0
550000.00000000
PA
USD
602593.75000000
0.224745626305
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
6.50000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAB7
25000.00000000
PA
USD
24942.50000000
0.009302648399
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.25000000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
92769XAM7
200000.00000000
PA
USD
205169.00000000
0.076520600161
Long
DBT
CORP
GB
N
2
2026-08-15
Fixed
5.50000000
N
N
N
N
N
N
Goal Capital Funding Trust
5493009VZI2B6V83UU74
Goal Capital Funding Trust 2006-1
38021BAG5
220441.61000000
PA
USD
192167.86000000
0.071671646198
Long
ABS-O
CORP
US
N
2
2042-08-25
Floating
0.81000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAR4
160000.00000000
PA
USD
152044.80000000
0.056707199174
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AB9
430000.00000000
PA
USD
490237.32000000
0.182840750541
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.65000000
N
N
N
N
N
N
CitiMortgage Alternative Loan Trust
N/A
CitiMortgage Alternative Loan Trust Series 2006-A5
18974BAH2
921130.29000000
PA
USD
906761.21000000
0.338189063612
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FAQG6
865000.00000000
PA
USD
125675.33000000
0.046872342688
Long
ABS-MBS
USGSE
US
N
2
2030-08-25
Variable
3.15000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-L2
61768HAW6
980000.00000000
PA
USD
1155987.15000000
0.431141305445
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
4.07000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust
N/A
UBS-Barclays Commercial Mortgage Trust 2012-C3
90349DAJ1
13497921.26000000
PA
USD
442534.75000000
0.165049421024
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
1.98000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBD0
275000.00000000
PA
USD
359185.04000000
0.133963000403
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
4.88000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
706451BG5
385000.00000000
PA
USD
314237.02000000
0.117199018191
Long
DBT
CORP
MX
N
2
2035-06-15
Fixed
6.63000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505104
62400.00000000
NS
USD
1482000.00000000
0.552732281383
Long
EC
CORP
US
N
1
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBS8
759000.00000000
PA
USD
960852.94000000
0.358363318218
Long
DBT
CORP
GB
N
2
2049-06-19
Fixed
4.88000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2018-PARK
05491YAA8
590000.00000000
PA
USD
688302.81000000
0.256711998956
Long
ABS-MBS
CORP
US
N
2
2038-08-10
Variable
4.23000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2007-9
86364JAD9
370395.14000000
PA
USD
298793.46000000
0.111439130100
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
3.92000000
N
N
N
N
N
N
Santander UK PLC
PTCQB104N23FMNK2RZ28
Santander UK PLC
80283LAT0
975000.00000000
PA
USD
1001048.41000000
0.373354771548
Long
DBT
CORP
GB
N
2
2021-06-01
Fixed
3.40000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS11 Trust
75115EAK9
10496028.35000000
PA
USD
140500.89000000
0.052401739180
Long
ABS-MBS
CORP
US
N
3
2036-08-25
Variable
0.35000000
N
N
N
N
N
N
Antero Resources Corp
APVBKPOULHUX7YZLKU17
Antero Resources Corp
03674XAJ5
496000.00000000
PA
USD
294190.00000000
0.109722206383
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.00000000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505F98
113725.21000000
PA
USD
116893.50000000
0.043597038416
Long
ABS-O
CORP
US
N
2
2030-04-01
Variable
6.87000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C21
46642EBA3
1898859.87000000
PA
USD
60018.59000000
0.022384758553
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
1.16000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2007-4
07401CAV5
1144127.25000000
PA
USD
1043086.63000000
0.389033503833
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Variable
3.67000000
N
N
N
N
N
N
USA COM PART/USA COM FIN
N/A
USA Compression Partners LP / USA Compression Finance Corp
91740PAC2
162000.00000000
PA
USD
156911.58000000
0.058522331706
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
6.88000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B9DS3
1374621.12000000
PA
USD
204098.04000000
0.076121170900
Long
ABS-MBS
USGSE
US
N
2
2030-12-25
Variable
1.92000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2004-3
07324SAX0
151851.70000000
PA
USD
140850.70000000
0.052532205631
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
0.74000000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties Inc
40414LAJ8
15000.00000000
PA
USD
16344.16000000
0.006095779247
Long
DBT
US
N
2
2023-11-15
Fixed
4.25000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-3 Trust
058931AW6
400834.86000000
PA
USD
416893.27000000
0.155486078421
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
6.00000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAE6
328000.00000000
PA
USD
346048.99000000
0.129063729900
Long
DBT
CORP
US
N
2
2042-06-04
Fixed
5.00000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BG1
500000.00000000
PA
USD
516780.32000000
0.192740327427
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.30000000
N
N
N
N
N
N
Antero Resources Corp
APVBKPOULHUX7YZLKU17
Antero Resources Corp
03674XAC0
125000.00000000
PA
USD
90590.63000000
0.033787021317
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
5.13000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FLMY7
2055000.00000000
PA
USD
332982.34000000
0.124190343082
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Variable
2.39000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AL3
210000.00000000
PA
USD
229536.30000000
0.085608719810
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.30000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9
46639EAG6
6942162.68000000
PA
USD
196792.96000000
0.073396640850
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
1.65000000
N
N
N
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAA8
215625.00000000
PA
USD
219059.91000000
0.081701406082
Long
DBT
CORP
US
N
2
2021-09-20
Fixed
3.36000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FLYK4
1280000.00000000
PA
USD
1541716.48000000
0.575004363857
Long
ABS-MBS
USGSE
US
N
2
2034-03-25
Fixed
3.54000000
N
N
N
N
N
N
Banc of America Funding Corporation
549300R847L762RQF071
Banc of America Funding 2015-R4 Trust
05990RAD3
881387.54000000
PA
USD
856389.71000000
0.319402319947
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
0.37000000
N
N
N
N
N
N
DUKE UNIVERSITY
FY5ICUIRRDCHN4HHL592
Duke University
26442TAF4
260000.00000000
PA
USD
273439.40000000
0.101982984738
Long
DBT
CORP
US
N
2
2044-10-01
Fixed
2.68000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
465000.00000000
PA
USD
648265.53000000
0.241779544763
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAE5
130000.00000000
PA
USD
117331.97000000
0.043760571833
Long
DBT
CORP
IE
N
2
2028-01-23
Fixed
3.88000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2004-IN1
004421FD0
483860.20000000
PA
USD
447091.42000000
0.166748893767
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
0.82000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2012-GC6
36192BAC1
17397372.35000000
PA
USD
55421.07000000
0.020670050241
Long
ABS-MBS
CORP
US
N
2
2045-01-10
Variable
0.26000000
N
N
N
N
N
N
Hologic Inc
549300DYP6F5ZJL0LB74
Hologic Inc
436440AM3
320000.00000000
PA
USD
336800.00000000
0.125614191882
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.63000000
N
N
N
N
N
N
EFS Volunteer No 2 LLC
N/A
EFS Volunteer No 2 LLC
26845BAB5
1329557.86000000
PA
USD
1297074.42000000
0.483761743111
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
1.53000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAW6
55000.00000000
PA
USD
56095.60000000
0.020921625481
Long
DBT
CORP
US
N
2
2022-04-10
Fixed
3.45000000
N
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust 2005-10
05948KQ85
641829.80000000
PA
USD
522103.32000000
0.194725613482
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.58000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B3NZ7
4500000.00000000
PA
USD
195461.10000000
0.072899905347
Long
ABS-MBS
USGSE
US
N
2
2041-07-25
Variable
1.71000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2007-FLX2
45668RAC2
2051989.87000000
PA
USD
1812037.97000000
0.675824481182
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.37000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2005-9
07387AEG6
234016.42000000
PA
USD
231283.88000000
0.086260503805
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
4.27000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS6 Trust
74922EAV1
4818851.60000000
PA
USD
112992.91000000
0.042142259733
Long
ABS-MBS
CORP
US
N
3
2036-06-25
Variable
0.76000000
N
N
N
N
N
N
DELTA AIR LINES 2002-1G1
N/A
Delta Air Lines 2002-1 Class G-1 Pass Through Trust
247367AX3
320538.23000000
PA
USD
309366.16000000
0.115382363967
Long
DBT
CORP
US
N
2
2023-01-02
Fixed
6.72000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAA1
265000.00000000
PA
USD
278195.86000000
0.103756971909
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.20000000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2006-AR2
23332QAC7
444663.66000000
PA
USD
357133.75000000
0.133197943587
Long
ABS-MBS
CORP
US
N
2
2036-10-19
Floating
0.39000000
N
N
N
N
N
N
Asset Backed Securities Corp Home Equity Ln Trst
N/A
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2006-HE3
04541GXC1
1425000.00000000
PA
USD
1363510.97000000
0.508540168110
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
0.45000000
N
N
N
N
N
N
AMERICA WEST AIR 2001-1
N/A
America West Airlines 2001-1 Pass Through Trust
023650AH7
141414.00000000
PA
USD
116214.34000000
0.043343736354
Long
DBT
CORP
US
N
2
2021-04-02
Fixed
7.10000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2019-PRM
29429JAC4
14000000.00000000
PA
USD
547095.50000000
0.204046790721
Long
ABS-MBS
CORP
US
N
2
2036-05-10
Variable
1.33000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJA8
810000.00000000
PA
USD
1005669.07000000
0.375078110241
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TAD3
159235.60000000
PA
USD
162526.16000000
0.060616366532
Long
ABS-O
CORP
US
N
2
2026-12-15
Fixed
6.99000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCY4
223000.00000000
PA
USD
217485.21000000
0.081114100061
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
4.88000000
N
N
N
N
N
N
LIVE NATION ENTERTAINMEN
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034AR0
135000.00000000
PA
USD
116451.68000000
0.043432255571
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
Asset Backed Securities Corp Home Equity Ln Trst
N/A
Asset Backed Securities Corp Home Equity Loan Trust Series RFC 2007-HE1
04544RAS4
555344.39000000
PA
USD
509650.65000000
0.190081218949
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.33000000
N
N
N
N
N
N
Scholar Funding Trust
N/A
Scholar Funding Trust 2012-B
80705WAB5
685080.78000000
PA
USD
665543.85000000
0.248223731829
Long
ABS-O
CORP
US
N
2
2046-03-28
Floating
1.28000000
N
N
N
N
N
N
CONTL AIRLINES 2000-2
N/A
Continental Airlines 2000-2 Class A-1 Pass Through Trust
210805DD6
119517.61000000
PA
USD
119545.70000000
0.044586212881
Long
DBT
CORP
US
N
2
2021-04-02
Fixed
7.71000000
N
N
N
N
N
N
Transocean Proteus Ltd
5493000CTMQ2LH21VM89
Transocean Proteus Ltd
893829AA9
126750.00000000
PA
USD
117243.75000000
0.043727668971
Long
DBT
CORP
KY
N
2
2024-12-01
Fixed
6.25000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS MORTGAGE TRUST 2017-C1
07332VBJ3
4019843.89000000
PA
USD
282278.66000000
0.105279708318
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Variable
1.66000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796TJ8
628000.00000000
PA
USD
627845.18000000
0.234163494397
Long
STIV
UST
US
N
1
2020-09-10
None
0.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300JQFJDGC1WO7674
SLM Student Loan Trust 2008-6
78445CAE2
225000.00000000
PA
USD
187921.98000000
0.070088086860
Long
ABS-O
CORP
US
N
2
2083-07-26
Floating
2.84000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) SEP20 XCBT 20200930
000000000
-163.00000000
NC
USD
-53227.82000000
-0.01985204749
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVU0 Comdty
2020-09-30
-20442748.82000000
USD
-53227.82000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-L2
61768HAV8
460000.00000000
PA
USD
534097.94000000
0.199199171969
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
3.81000000
N
N
N
N
N
N
AGNC Investment Corp
5TRACI5HRMELWV32OF39
AGNC Investment Corp
00123Q104
112141.00000000
NS
USD
1446618.90000000
0.539536413555
Long
EC
US
N
1
N
N
N
EMORY UNIVERSITY
95MD72NUUVZ3P8PQ6919
Emory University
29157TAD8
260000.00000000
PA
USD
271011.16000000
0.101077339235
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.14000000
N
N
N
N
N
N
Rite Aid Corp
529900W353T1JY1DKT44
Rite Aid Corp
767754CH5
200000.00000000
PA
USD
194825.00000000
0.072662663104
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
6.13000000
N
N
N
N
N
N
Annaly Capital Management Inc
2DTL0G3FPRYUT58TI025
Annaly Capital Management Inc
035710409
165767.00000000
NS
USD
1087431.52000000
0.405572540417
Long
EC
US
N
1
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31394AAW6
629490.00000000
PA
USD
6542.92000000
0.002440271996
Long
ABS-MBS
USGSE
US
N
2
2034-02-25
Floating
1.59000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJD2
255000.00000000
PA
USD
255925.65000000
0.095450990815
Long
DBT
CORP
US
N
2
2026-06-19
Fixed
1.32000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796TJ8
1329000.00000000
PA
USD
1328672.36000000
0.495546629388
Long
STIV
UST
US
N
1
2020-09-10
None
0.00000000
N
N
N
N
N
N
Centex Home Equity
N/A
Centex Home Equity Loan Trust 2005-A
152314MC1
333454.05000000
PA
USD
330724.20000000
0.123348138714
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
5.78000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TAU5
842203.03000000
PA
USD
698184.71000000
0.260397589463
Long
ABS-O
CORP
US
N
2
2030-03-15
Variable
7.61000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-10N
525229AE0
737102.83000000
PA
USD
702709.83000000
0.262085295200
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
0.39000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
500000.00000000
PA
USD
551250.00000000
0.205596268632
Long
DBT
NUSS
SA
Y
2
2028-03-04
Fixed
3.63000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
46639YAS6
22747330.46000000
PA
USD
652810.85000000
0.243474784367
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Variable
1.39000000
N
N
N
N
N
N
Merrill Lynch First Franklin Mortgage Loan Trust
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3
59024VAF6
646803.46000000
PA
USD
477822.89000000
0.178210618142
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
0.31000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAM8
80000.00000000
PA
USD
86881.18000000
0.032403530924
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
5.20000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust
64033MAB4
575000.00000000
PA
USD
509285.90000000
0.189945180420
Long
ABS-O
CORP
US
N
2
2048-11-25
Floating
1.13000000
N
N
N
N
N
N
C&W Senior Financing DAC
5493009O8OIWZPZRY516
C&W Senior Financing DAC
12674TAA4
200000.00000000
PA
USD
199081.00000000
0.074249996835
Long
DBT
CORP
IE
N
2
2027-09-15
Fixed
6.88000000
N
N
N
N
N
N
SLM Student Loan Trust
549300DP3T6QDZHB8271
SLM Student Loan Trust 2007-6
78444CAF0
129164.73000000
PA
USD
115925.09000000
0.043235856589
Long
ABS-O
CORP
US
N
2
2043-04-27
Floating
1.84000000
N
N
N
N
N
N
Residential Asset Securities Corporation
N/A
RASC Series 2005-KS11 Trust
76110W7D2
65683.64000000
PA
USD
65847.10000000
0.024558581515
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.58000000
N
N
N
N
N
N
WALGREENS BOOTS ALLIANCE
549300RPTUOIXG4LIH86
Walgreens Boots Alliance Inc
931427AC2
225000.00000000
PA
USD
244829.25000000
0.091312435831
Long
DBT
CORP
US
N
2
2044-11-18
Fixed
4.80000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2011-GC3
36248FAJ1
11901358.93000000
PA
USD
21453.98000000
0.008001556889
Long
ABS-MBS
CORP
US
N
2
2044-03-10
Variable
0.81000000
N
N
N
N
N
N
RBSSP Resecuritization Trust
N/A
RBSSP Resecuritization Trust 2012-6
74931TAH8
2301567.79000000
PA
USD
2208027.24000000
0.823514125318
Long
ABS-MBS
CORP
US
N
2
2036-01-26
Floating
0.50000000
N
Y
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AP9
130000.00000000
PA
USD
134655.30000000
0.050221545998
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
5.50000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAL7
285000.00000000
PA
USD
309947.81000000
0.115599298334
Long
DBT
CORP
GB
N
2
2025-07-09
Fixed
3.87000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BP7A1
8688154.64000000
PA
USD
432696.77000000
0.161380211085
Long
ABS-MBS
USGSE
US
N
2
2026-03-25
Variable
1.21000000
N
N
N
N
N
N
SLC Student Loan Trust
25490083RPF52FIUZ551
SLC Student Loan Trust 2004-1
784423AH8
298248.19000000
PA
USD
253295.03000000
0.094469864908
Long
ABS-O
CORP
US
N
2
2031-08-15
Floating
0.68000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAW5
350000.00000000
PA
USD
406383.25000000
0.151566221922
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
4.38000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust Series 2005-B
64352VNJ6
430863.14000000
PA
USD
429324.74000000
0.160122566123
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
0.58000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137AWQK4
12555000.00000000
PA
USD
426830.45000000
0.159192286364
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Variable
1.75000000
N
N
N
N
N
N
Colony American Finance Ltd
N/A
Corevest American Finance 2020-1 Trust
21872UAC8
470000.00000000
PA
USD
447278.32000000
0.166818600693
Long
ABS-O
CORP
US
N
2
2050-03-15
Fixed
2.30000000
N
N
N
N
N
N
Banc of America Funding Corporation
54930023UHZHF7UJ8596
Banc of America Funding Corp
05990QAT0
1955647.59000000
PA
USD
1797894.49000000
0.670549475806
Long
ABS-MBS
CORP
US
N
2
2036-05-27
Variable
0.34000000
N
Y
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BA1
150000.00000000
PA
USD
201709.50000000
0.075230332059
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625H100
14400.00000000
NS
USD
1354464.00000000
0.505165976229
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376G6L9
3332811.29000000
PA
USD
17904.20000000
0.006677617619
Long
ABS-MBS
USGA
US
N
2
2051-08-16
Variable
0.23000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373M8V5
5729643.45000000
PA
USD
1400.61000000
0.000522376761
Long
ABS-MBS
USGA
US
N
2
2049-10-16
Variable
0.07000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGE3
306000.00000000
PA
USD
317016.07000000
0.118235503108
Long
DBT
CORP
US
N
2
2023-01-20
Fixed
3.12000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust
N/A
UBS-Barclays Commercial Mortgage Trust 2013-C5
90270YAC3
13155098.47000000
PA
USD
257296.62000000
0.095962312931
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Variable
1.08000000
N
N
N
N
N
N
Education Loan Asset-Backed Trust
5493000CKEJUMJ3IL355
Education Loan Asset-Backed Trust I
28140DAD5
1260000.00000000
PA
USD
1211377.48000000
0.451799890780
Long
ABS-O
CORP
US
N
2
2032-04-26
Floating
0.98000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAL0
325000.00000000
PA
USD
358255.61000000
0.133616356702
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
5.00000000
N
N
N
N
N
N
DEUTSCHE ALT-B SECURITIES INC MORTGAGE L
N/A
Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2
251511AB7
1540269.00000000
PA
USD
1476339.21000000
0.550621011902
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
5.08000000
N
N
N
N
N
N
ENBRIDGE ENERGY PARTNERS
CZ6VG2MNE1J6YDI02G48
Enbridge Energy Partners LP
29250RAW6
50000.00000000
PA
USD
59741.75000000
0.022281507268
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.88000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF11
32028PAE5
1386636.97000000
PA
USD
1210815.70000000
0.451590367203
Long
ABS-O
CORP
US
N
2
2036-08-25
Floating
0.33000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS7 Trust
748940AB9
545385.69000000
PA
USD
469801.26000000
0.175218840915
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.00000000
N
N
N
N
N
N
Bacardi Ltd
549300R32WTQNHNN5055
Bacardi Ltd
067316AH2
205000.00000000
PA
USD
253989.43000000
0.094728850938
Long
DBT
CORP
BM
N
2
2048-05-15
Fixed
5.30000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAR2
415000.00000000
PA
USD
415315.86000000
0.154897761668
Long
DBT
CORP
IE
N
2
2022-02-01
Fixed
3.95000000
N
N
N
N
N
N
City of New York NY
549300ABYZD2SFD5JB29
NEW YORK NY
64966JAS5
1000000.00000000
PA
USD
1024980.00000000
0.382280387160
Long
DBT
MUN
US
N
2
2031-12-01
Fixed
6.65000000
N
N
N
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAD2
800000.00000000
PA
USD
871092.00000000
0.324885741197
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.74000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-3 Trust
058931BF2
216702.80000000
PA
USD
204622.20000000
0.076316663581
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB
46651EAJ3
150000.00000000
PA
USD
148258.52000000
0.055295053977
Long
ABS-MBS
CORP
US
N
2
2039-06-05
Variable
3.75000000
N
N
N
N
N
N
AMCOR FINANCE USA INC
549300ZMT7FVT8R77U18
Amcor Finance USA Inc
02343UAG0
400000.00000000
PA
USD
435714.00000000
0.162505528509
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
3.63000000
N
N
N
N
N
N
MATTHEWS INTERNATIONAL C
549300ZVC5O0ATML6U61
Matthews International Corp
577128AA9
160000.00000000
PA
USD
147200.00000000
0.054900264385
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
5.25000000
N
N
N
N
N
N
STUDENT LOAN CONSOLIDATION CENTER STUDENT LOAN
5493008KMDJ3GC7JUA63
Student Loan Consolidation Center Student Loan Trust I
86386MAX2
1250000.00000000
PA
USD
1109125.00000000
0.413663422125
Long
ABS-O
CORP
US
N
2
2042-07-01
None
0.00000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300B54XJTQC6DWJ15
Magnetite VII Ltd
55951PBA4
410000.00000000
PA
USD
402594.81000000
0.150153271123
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
2.02000000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
000000000
350000.00000000
PA
USD
376250.00000000
0.140327611923
Long
DBT
CORP
CL
Y
2
2027-08-01
Fixed
3.63000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE21 Mortgage Trust
12592RBH1
17703600.31000000
PA
USD
555315.91000000
0.207112705683
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Variable
1.01000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAA5
275000.00000000
PA
USD
290022.26000000
0.108167790433
Long
DBT
CORP
GB
N
2
2024-03-08
Fixed
3.77000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCW0
365000.00000000
PA
USD
305870.00000000
0.114078423014
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
Level 3 Financing Inc
527298BN2
166000.00000000
PA
USD
167717.27000000
0.062552462398
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.63000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAA4
275000.00000000
PA
USD
285447.64000000
0.106461622991
Long
DBT
US
N
2
2027-11-01
Fixed
3.95000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2020-UPTN
36258PAC1
3150000.00000000
PA
USD
47410.81000000
0.017682513612
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
0.35000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
130000.00000000
PA
USD
141375.68000000
0.052728004142
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505PN6
424325.61000000
PA
USD
439469.88000000
0.163906335608
Long
ABS-O
CORP
US
N
2
2026-09-15
Variable
7.70000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBS7
700000.00000000
PA
USD
849373.00000000
0.316785341454
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-S2
46630WAA8
201376.41000000
PA
USD
123122.36000000
0.045920177417
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
5.00000000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
92769XAP0
225000.00000000
PA
USD
235531.13000000
0.087844574103
Long
DBT
CORP
GB
N
2
2029-05-15
Fixed
5.50000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TBW0
707325.61000000
PA
USD
276595.86000000
0.103160229904
Long
ABS-O
CORP
US
N
2
2030-07-15
Variable
7.40000000
N
N
N
N
N
N
SLM Student Loan Trust
54930067BGNOZYMNWK87
SLM Student Loan Trust 2008-7
78445FAE5
305000.00000000
PA
USD
268160.94000000
0.100014310488
Long
ABS-O
CORP
US
N
2
2083-07-26
Floating
2.84000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAB1
120000.00000000
PA
USD
106317.03000000
0.039652398476
Long
DBT
CORP
IE
N
2
2027-07-21
Fixed
3.65000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC
46637YAC3
4417973.71000000
PA
USD
109566.19000000
0.040864217382
Long
ABS-MBS
CORP
US
N
2
2032-07-05
Variable
1.58000000
N
N
N
N
N
N
Merrill Lynch First Franklin Mortgage Loan Trust
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3
59024VAG4
1320757.96000000
PA
USD
983006.60000000
0.366625830386
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
0.36000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QNA2
1115000.00000000
PA
USD
1122292.55000000
0.418574440986
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.42000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXG4
110000.00000000
PA
USD
115753.55000000
0.043171878387
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
2.60000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAD3
25000.00000000
PA
USD
22889.51000000
0.008536957545
Long
DBT
CORP
KY
N
2
2024-05-15
Fixed
5.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBR6
505000.00000000
PA
USD
523403.78000000
0.195210637924
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
2.18000000
N
N
N
N
N
N
GSC Capital Corp Mortgage Trust
N/A
GSC Capital Corp Mortgage Trust 2006-2
362480AD7
320595.45000000
PA
USD
290446.43000000
0.108325990468
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
0.36000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396Q4H9
257730.70000000
PA
USD
49682.41000000
0.018529738072
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
6.57000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHX0
190000.00000000
PA
USD
205721.88000000
0.076726804360
Long
DBT
CORP
US
N
2
2030-10-22
Fixed
2.88000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962GX74
2400000.00000000
PA
USD
1553388.00000000
0.579357417755
Long
DBT
CORP
US
N
2
2036-08-15
Floating
0.87000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAQ6
335000.00000000
PA
USD
429026.85000000
0.160011463950
Long
DBT
CORP
US
N
2
2048-06-25
Fixed
4.88000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR5
22541SJL3
127316.70000000
PA
USD
124842.78000000
0.046561831716
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
0.92000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RCG5
115000.00000000
PA
USD
135485.71000000
0.050531258828
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.80000000
N
N
N
N
N
N
Structured Receivables Finance LLC
N/A
Structured Receivables Finance 2010-A LLC
86365FAC8
576667.86000000
PA
USD
645992.92000000
0.240931943609
Long
ABS-O
CORP
US
N
2
2046-01-16
Fixed
7.61000000
N
N
N
N
N
N
Banc of America Funding Corporation
549300LENCFK8RITKD65
Banc of America Funding 2014-R5 Trust
05990PAA3
834168.74000000
PA
USD
821367.66000000
0.306340364754
Long
ABS-MBS
CORP
US
N
2
2045-09-26
Floating
2.08000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAT5
200000.00000000
PA
USD
213119.94000000
0.079486012580
Long
DBT
CORP
NL
N
2
2022-06-15
Fixed
4.63000000
N
N
N
N
N
N
Merrill Lynch Alternative Note Asset
N/A
Merrill Lynch Alternative Note Asset Trust Series 2007-OAR2
59024BAB9
1213604.62000000
PA
USD
1069324.51000000
0.398819282018
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.39000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS13 Trust
75115DAB1
4036412.34000000
PA
USD
827838.71000000
0.308753831846
Long
ABS-MBS
CORP
US
N
3
2036-09-25
Floating
6.98000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C23
46643ABG7
11138066.26000000
PA
USD
235695.96000000
0.087906049719
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
0.78000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCJ0
127000.00000000
PA
USD
128946.28000000
0.048092288475
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2012-LC5
94988HAK7
5151821.22000000
PA
USD
157184.38000000
0.058624076218
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Variable
1.91000000
N
N
N
N
N
N
CIT Education Loan Trust
N/A
CIT Education Loan Trust 2007-1
17284LAA2
632084.57000000
PA
USD
560391.89000000
0.209005862232
Long
ABS-O
CORP
US
N
2
2042-03-25
Floating
0.39000000
N
N
N
N
N
N
Mid-State Trust
5493001662PV30WKJE68
Mid-State Capital Corp 2004-1 Trust
59560UAD3
264282.83000000
PA
USD
292512.23000000
0.109096458988
Long
ABS-O
CORP
US
N
2
2037-08-15
Fixed
8.90000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPJQ9
7273276.69000000
PA
USD
436869.73000000
0.162936573907
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Variable
1.20000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2003-7
07384MYZ9
359454.36000000
PA
USD
344041.32000000
0.128314941763
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Variable
4.22000000
N
N
N
N
N
N
SFAVE Commercial Mortgage Securities Trust
549300FIGODFFTOAAU64
SFAVE Commercial Mortgage Securities Trust 2015-5AVE
78413MAC2
390000.00000000
PA
USD
405617.36000000
0.151280572713
Long
ABS-MBS
CORP
US
N
2
2043-01-05
Variable
3.66000000
N
N
N
N
N
N
BP PLC
213800LH1BZH3DI6G760
BP PLC
055622104
25680.00000000
NS
USD
598857.60000000
0.223352177781
Long
EC
CORP
GB
N
1
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMU91
3750000.00000000
PA
USD
388284.75000000
0.144816137445
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Variable
2.23000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAH8
435000.00000000
PA
USD
456901.36000000
0.170407645803
Long
DBT
CORP
GB
N
2
2024-01-05
Fixed
3.37000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAH3
600000.00000000
PA
USD
595164.00000000
0.221974598864
Long
DBT
NUSS
MX
N
2
2030-04-16
Fixed
3.25000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAF1
157000.00000000
PA
USD
162669.27000000
0.060669741375
Long
DBT
CORP
CA
N
2
2026-12-15
Fixed
5.13000000
N
N
N
N
N
N
COLT MERGER SUB INC
N/A
Colt Merger Sub Inc
28470RAH5
273000.00000000
PA
USD
272414.42000000
0.101600704351
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BTAF8
2500000.00000000
PA
USD
255588.88000000
0.095325387812
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Variable
1.96000000
N
N
N
N
N
N
Sprint Corp
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAF2
373000.00000000
PA
USD
420555.64000000
0.156852009680
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.88000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAF1
300000.00000000
PA
USD
376639.50000000
0.140472881305
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
6.30000000
N
N
N
N
N
N
Post Holdings Inc
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AM6
115000.00000000
PA
USD
120175.00000000
0.044820918971
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TCV1
771650.63000000
PA
USD
566762.73000000
0.211381954626
Long
ABS-O
CORP
US
N
2
2022-09-15
Variable
5.90000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RHK1
348000.00000000
PA
USD
421269.66000000
0.157118313258
Long
DBT
CORP
US
N
2
2039-03-01
Fixed
4.85000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-R1
12555VAA3
1176392.17000000
PA
USD
1093542.05000000
0.407851546616
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
3.25000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Panama Government International Bond
698299BD5
250000.00000000
PA
USD
272968.75000000
0.101807449348
Long
DBT
NUSS
PA
N
2
2024-09-22
Fixed
4.00000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
000000000
200000.00000000
PA
USD
210154.00000000
0.078379824468
Long
DBT
NUSS
AE
Y
2
2029-09-30
Fixed
2.50000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BM1
650000.00000000
PA
USD
920474.51000000
0.343303627441
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BBQ1
8705973.75000000
PA
USD
31692.36000000
0.011820101515
Long
ABS-MBS
USGA
US
N
2
2052-05-16
Variable
0.04000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
C-BASS Mortgage Loan Trust 2007-CB2
1248MBAH8
1069319.36000000
PA
USD
850993.22000000
0.317389624785
Long
ABS-O
CORP
US
N
2
2037-02-25
Variable
3.92000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBJ0
500000.00000000
PA
USD
539190.00000000
0.201098325775
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.65000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2004-1
07324SAL6
303143.73000000
PA
USD
300764.60000000
0.112174293871
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
0.72000000
N
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231G102
19680.00000000
NS
USD
880089.60000000
0.328241519858
Long
EC
CORP
US
N
1
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TAY1
321000.00000000
PA
USD
197718.35000000
0.073741777777
Long
DBT
CORP
LU
N
2
2025-07-15
None
0.00000000
Y
N
N
N
N
N
EMPRESA DE TRANSPORTE ME
959800T4M5QUPYMSCH69
Empresa de Transporte de Pasajeros Metro SA
29246QAD7
200000.00000000
PA
USD
216375.00000000
0.080700031973
Long
DBT
CORP
CL
N
2
2030-05-07
Fixed
3.65000000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
J.G. Wentworth XXXVIII LLC
46620JAA9
224000.85000000
PA
USD
251610.30000000
0.093841521685
Long
ABS-O
CORP
US
N
2
2060-08-16
Fixed
3.99000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2007-A5
76114HAQ8
2091472.27000000
PA
USD
383551.54000000
0.143050821681
Long
ABS-MBS
CORP
US
N
3
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2006-6
22942JAH6
589251.87000000
PA
USD
455211.74000000
0.169777478787
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BPCS6
690000.00000000
PA
USD
115238.21000000
0.042979675246
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Variable
4.20000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
549300UQK6PJ8BF5JQ90
BAMLL Commercial Mortgage Securities Trust 2015-200P
05526QAN6
540000.00000000
PA
USD
523694.00000000
0.195318879464
Long
ABS-MBS
CORP
US
N
2
2033-04-14
Variable
3.72000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2004-2
07324SAR3
276853.62000000
PA
USD
261206.55000000
0.097420575097
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
0.83000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FNB25
2290000.00000000
PA
USD
254007.49000000
0.094735586664
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Variable
1.76000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS Commercial Mortgage Trust 2013-C16
92938EAZ6
12602692.83000000
PA
USD
223967.50000000
0.083531759265
Long
ABS-MBS
CORP
US
N
2
2046-09-15
Variable
0.87000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-7
52520QAQ7
3344403.60000000
PA
USD
1223182.34000000
0.456202675665
Long
ABS-MBS
CORP
US
N
3
2036-11-25
Floating
6.37000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAV3
548000.00000000
PA
USD
554000.60000000
0.206622142730
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.38000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAM3
157000.00000000
PA
USD
163951.18000000
0.061147847339
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.38000000
N
N
N
N
N
N
CALI Mortgage Trust 2019-101C
N/A
CALI Mortgage Trust 2019-101C
129890AN9
315000.00000000
PA
USD
318755.87000000
0.118884385445
Long
ABS-MBS
CORP
US
N
2
2039-03-10
Variable
4.47000000
N
N
N
N
N
N
SLM Student Loan Trust
549300IZGFDRVV7YTH38
SLM Student Loan Trust 2007-7
78444EAE9
150000.00000000
PA
USD
132708.21000000
0.049495352005
Long
ABS-O
CORP
US
N
2
2070-10-27
Floating
1.74000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137AYCG4
5400000.00000000
PA
USD
204612.21000000
0.076312937673
Long
ABS-MBS
USGSE
US
N
2
2040-11-25
Variable
1.81000000
N
N
N
N
N
N
SLM Student Loan Trust
549300R59P5DXM48DO55
SLM Student Loan Trust 2008-8
78445GAE3
260000.00000000
PA
USD
251645.97000000
0.093854825303
Long
ABS-O
CORP
US
N
2
2075-10-25
Floating
3.24000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3
46635TAR3
53787783.45000000
PA
USD
155336.43000000
0.057934857851
Long
ABS-MBS
CORP
US
N
2
2046-02-15
Variable
0.61000000
N
N
N
N
N
N
SLM Student Loan Trust
549300OORAXMFXOHG132
SLM Student Loan Trust 2008-3
78444GAD6
225000.00000000
PA
USD
204434.84000000
0.076246785092
Long
ABS-O
CORP
US
N
2
2083-04-26
Floating
2.19000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
170000.00000000
PA
USD
159652.20000000
0.059544483626
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDA7
130000.00000000
PA
USD
100295.00000000
0.037406399569
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBR9
65000.00000000
PA
USD
76144.25000000
0.028399045220
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAE0
150000.00000000
PA
USD
160131.67000000
0.059723308556
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.88000000
N
N
N
N
N
N
Vermont Student Assistance Corp
549300VHYVRSKNFRSZ91
VERMONT ST STUDENT ASSISTANCECORP STUDENT LOAN REVENUE
924279AC6
204009.76000000
PA
USD
197443.95000000
0.073639436524
Long
DBT
MUN
US
N
2
2034-07-28
Floating
0.88000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2006-S9 Trust
749577AP7
28322673.00000000
PA
USD
324838.40000000
0.121152948659
Long
ABS-MBS
CORP
US
N
3
2036-09-25
Variable
0.33000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAT8
275000.00000000
PA
USD
290812.50000000
0.108462521308
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.63000000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505E40
79668.61000000
PA
USD
80022.07000000
0.029845331519
Long
ABS-O
CORP
US
N
2
2030-03-01
Variable
6.76000000
N
N
N
N
N
N
MGM GROWTH/MGM FINANCE
N/A
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
55303XAC9
135000.00000000
PA
USD
140079.38000000
0.052244531229
Long
DBT
US
N
2
2024-05-01
Fixed
5.63000000
N
N
N
N
N
N
SLM Student Loan Trust
549300MHMWVKFEDI8G73
SLM Student Loan Trust 2008-2
784442AD7
225000.00000000
PA
USD
190710.56000000
0.071128126121
Long
ABS-O
CORP
US
N
2
2083-01-25
Floating
2.19000000
N
N
N
N
N
N
Transocean Pontus Ltd
N/A
Transocean Pontus Ltd
89382PAA3
85170.01000000
PA
USD
74949.61000000
0.027953487803
Long
DBT
CORP
KY
N
2
2025-08-01
Fixed
6.13000000
N
N
N
N
N
N
BOSTON PROPERTIES LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RBD5
260000.00000000
PA
USD
280995.00000000
0.104800949667
Long
DBT
US
N
2
2031-01-30
Fixed
3.25000000
N
N
N
N
N
N
JP Morgan ReRemic
N/A
JP Morgan Resecuritization Trust Series 2015-4
46645AAJ0
4259964.55000000
PA
USD
2670371.56000000
0.995951797908
Long
ABS-MBS
CORP
US
N
2
2047-06-26
Variable
4.00000000
N
Y
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505F56
107401.25000000
PA
USD
110026.41000000
0.041035862760
Long
ABS-O
CORP
US
N
2
2030-04-01
Variable
6.53000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136A07K7
3069437.00000000
PA
USD
27032.07000000
0.010081982268
Long
ABS-MBS
USGSE
US
N
2
2021-07-25
Variable
1.17000000
N
N
N
N
N
N
Spectrum Brands Inc
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAS4
135000.00000000
PA
USD
139053.38000000
0.051861870419
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
6.13000000
N
N
N
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE
6499022E2
1000000.00000000
PA
USD
1266670.00000000
0.472421996531
Long
DBT
MUN
US
N
2
2033-03-15
Fixed
5.29000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468K8
100000.00000000
PA
USD
99673.00000000
0.037174416114
Long
DBT
CORP
US
N
2
2023-01-20
Floating
0.76000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BQC21
16806056.79000000
PA
USD
450283.84000000
0.167939550710
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Variable
1.44000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2019-RPL2 Trust
22945BAA5
1114857.27000000
PA
USD
1100596.24000000
0.410482503790
Long
ABS-MBS
CORP
US
N
2
2058-11-25
Fixed
4.34000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAB6
470000.00000000
PA
USD
430316.95000000
0.160492624488
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BK7
200000.00000000
PA
USD
234098.00000000
0.087310068560
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.38000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-F
00969PAB9
1300000.00000000
PA
USD
1310726.56000000
0.488853496477
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B5JN4
27363535.20000000
PA
USD
86256.70000000
0.032170622520
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Variable
0.22000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2J1
625000.00000000
PA
USD
654478.13000000
0.244096619372
Long
DBT
CORP
US
N
2
2031-02-11
Fixed
2.57000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAE3
140000.00000000
PA
USD
153685.28000000
0.057319038751
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
3.88000000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2006-1
83611MKY3
527869.70000000
PA
USD
518332.72000000
0.193319316357
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.48000000
N
N
N
N
N
N
COMERICA INC
I9Q57JVPWHHZ3ZGBW498
Comerica Inc
200340AU1
395000.00000000
PA
USD
401912.50000000
0.149898794225
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
5.63000000
N
N
N
N
N
N
BAE Systems Holdings Inc
MF62XBVMNYTYMC18DL76
BAE Systems Holdings Inc
05523UAM2
500000.00000000
PA
USD
503314.20000000
0.187717952779
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
2.85000000
N
N
N
N
N
N
Arbor Multifamily Mortgage Securities Trust
N/A
Arbor Multifamily Mortgage Securities Trust 2020-MF1
03881BAE3
705000.00000000
PA
USD
759450.15000000
0.283247377872
Long
ABS-MBS
CORP
US
N
2
2053-05-15
Fixed
2.76000000
N
N
N
N
N
N
WALGREENS BOOTS ALLIANCE
549300RPTUOIXG4LIH86
Walgreens Boots Alliance Inc
931427AQ1
755000.00000000
PA
USD
818446.07000000
0.305250717584
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.45000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2G7
195000.00000000
PA
USD
208638.30000000
0.077814523308
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.88000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-8T1
12668BMF7
6022584.77000000
PA
USD
1525817.33000000
0.569074557210
Long
ABS-MBS
CORP
US
N
3
2036-04-25
Floating
5.32000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136AT5H3
3041379.19000000
PA
USD
131923.78000000
0.049202788048
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Variable
2.83000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS4
52473CAA0
1159191.34000000
PA
USD
1121145.41000000
0.418146599346
Long
ABS-O
CORP
US
N
2
2059-05-25
Variable
3.44000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2014-10
17323FAD2
1879355.26000000
PA
USD
1815827.98000000
0.677238017534
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.42000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-12N
525226AG1
1029867.02000000
PA
USD
944928.43000000
0.352424053210
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
0.38000000
N
N
N
N
N
N
Churchill Downs Inc
529900FODTBQC8MIS994
Churchill Downs Inc
171484AE8
240000.00000000
PA
USD
232155.60000000
0.086585623767
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
RAYMOND JAMES FINANCIAL
RGUZHJ05YTITL6D76949
Raymond James Financial Inc
754730AD1
650000.00000000
PA
USD
739730.76000000
0.275892760178
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
5.63000000
N
N
N
N
N
N
FARMERS INS EXCH
549300UWG2TLX1GZVT44
Farmers Insurance Exchange
309601AE2
5000.00000000
PA
USD
5082.65000000
0.001895644217
Long
DBT
CORP
US
N
2
2057-11-01
Fixed
4.75000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B1UJ9
4095000.00000000
PA
USD
161284.85000000
0.060153402896
Long
ABS-MBS
USGSE
US
N
2
2041-01-25
Variable
1.76000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CBM Mortgage Trust
20049AAC2
6870000.00000000
PA
USD
141292.89000000
0.052697126473
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Fixed
0.59000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
85000.00000000
PA
USD
75174.00000000
0.028037177139
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2007-AR5
45669EAC0
960242.12000000
PA
USD
862137.06000000
0.321545873170
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
3.44000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QA7 Trust
76110H7A1
937766.97000000
PA
USD
803719.37000000
0.299758192289
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.71000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B17 Mortgage Trust
08162MAX6
1040000.00000000
PA
USD
1097012.90000000
0.409146047857
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.29000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AQ7
25000.00000000
PA
USD
24516.25000000
0.009143672600
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.63000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
7526997.34000000
NS
USD
7526997.34000000
2.807297173891
Long
STIV
RF
US
N
1
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YL1
645000.00000000
PA
USD
628342.88000000
0.234349118457
Long
DBT
CORP
US
N
2
2022-03-28
Fixed
3.34000000
N
N
N
N
N
N
Nomura Asset Acceptance Corporation
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR1
65535VRY6
926666.28000000
PA
USD
860618.79000000
0.320979613494
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
4.82000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AT7
610000.00000000
PA
USD
726316.89000000
0.270889872886
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
N
NGPL PipeCo LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62912XAE4
190000.00000000
PA
USD
196103.46000000
0.073139482343
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
4.38000000
N
N
N
N
N
N
Merrill Lynch Mortgage Backed Securities Trust
N/A
Merrill Lynch Mortgage Backed Securities Trust Series 2007-2
59025GAA9
230381.46000000
PA
USD
214920.42000000
0.080157526357
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
2.57000000
N
N
N
N
N
N
Bombardier Capital Mortgage Securitization Corp.
N/A
BCMSC Trust 2000-A
09774XBQ4
3316690.47000000
PA
USD
1052002.48000000
0.392358792706
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
8.29000000
N
N
N
N
N
N
Popular ABS Mortgage Pass-Through Trust
N/A
Popular ABS Mortgage Pass-Through Trust
73316PJE1
356463.74000000
PA
USD
358207.42000000
0.133598383579
Long
ABS-O
CORP
US
N
2
2036-01-25
Variable
3.61000000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AT1
350000.00000000
PA
USD
351000.90000000
0.130910612837
Long
DBT
NUSS
ZA
N
2
2026-04-14
Fixed
4.88000000
N
N
N
N
N
N
Koninklijke KPN NV
549300YO0JZHAL7FVP81
Koninklijke KPN NV
780641AH9
140000.00000000
PA
USD
205055.34000000
0.076478209101
Long
DBT
CORP
NL
N
2
2030-10-01
Fixed
8.38000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2007-AR3 Trust
94983UAD9
231739.99000000
PA
USD
217509.46000000
0.081123144432
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
4.03000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XDR9
4631038.62000000
PA
USD
83258.66000000
0.031052462271
Long
ABS-MBS
USGA
US
N
2
2055-05-16
Variable
0.36000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC18
36252RAW9
66563000.00000000
PA
USD
379116.22000000
0.141396608090
Long
ABS-MBS
CORP
US
N
2
2047-01-10
Variable
0.27000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
03846JW30
200000.00000000
PA
USD
204937.50000000
0.076434259052
Long
DBT
NUSS
EG
N
2
2023-02-21
Fixed
5.58000000
N
N
N
N
N
N
Sealed Air Corp
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAX8
140000.00000000
PA
USD
152068.00000000
0.056715851933
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
5.50000000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURA
Z7LVXXWM8HZPKF5T2355
Nationwide Mutual Insurance Co
638671AJ6
1000000.00000000
PA
USD
996269.72000000
0.371572493393
Long
DBT
CORP
US
N
2
2024-12-15
Variable
2.60000000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-30HY Mortgage Trust
44421GAA1
560000.00000000
PA
USD
629517.62000000
0.234787253895
Long
ABS-MBS
CORP
US
N
2
2039-07-10
Fixed
3.23000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162BZ2
110000.00000000
PA
USD
136662.35000000
0.050970102897
Long
DBT
CORP
US
N
2
2045-05-01
Fixed
4.40000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR13
45661XAF9
157347.31000000
PA
USD
1537.66000000
0.000573491443
Long
ABS-MBS
CORP
US
N
3
2036-07-25
Variable
2.57000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BW8
100000.00000000
PA
USD
113329.50000000
0.042267795602
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.88000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2016-GS2
36252TAT2
5596777.66000000
PA
USD
355363.48000000
0.132537697045
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Variable
1.80000000
N
N
N
N
N
N
SLM Student Loan Trust
SCSW2GRYW6ZPGKE5DL61
SLM Student Loan Trust 2005-9
78442GRC2
403998.19000000
PA
USD
352270.63000000
0.131384176102
Long
ABS-O
CORP
US
N
2
2041-01-25
Floating
1.29000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAQ6
170000.00000000
PA
USD
169422.22000000
0.063188346948
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.75000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
75000.00000000
PA
USD
57797.25000000
0.021556279251
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc
01626PAJ5
140000.00000000
PA
USD
143423.54000000
0.053491781692
Long
DBT
CORP
CA
N
2
2022-07-26
Fixed
2.70000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAH6
405000.00000000
PA
USD
443819.27000000
0.165528500424
Long
DBT
CORP
GB
N
2
2024-03-12
Fixed
3.90000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2007-13
126698AC3
669682.72000000
PA
USD
632124.37000000
0.235759477158
Long
ABS-O
CORP
US
N
2
2047-10-25
Floating
1.08000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAU2
200000.00000000
PA
USD
206013.46000000
0.076835553131
Long
DBT
CORP
NL
N
2
2021-06-01
Fixed
4.13000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-20CB
12667GQS5
21657.04000000
PA
USD
21648.11000000
0.008073960342
Long
ABS-MBS
CORP
US
N
2
2020-07-25
Fixed
5.25000000
N
N
N
N
N
N
Pilgrim's Pride Corp
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAE8
250000.00000000
PA
USD
250545.00000000
0.093444203400
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
5.88000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBL3
255000.00000000
PA
USD
289942.55000000
0.108138061492
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63000000
N
N
N
N
N
N
SLM Student Loan Trust
549300EQOYJZL2D96G46
SLM Student Loan Trust 2008-4
78445AAE6
515000.00000000
PA
USD
448444.08000000
0.167253386917
Long
ABS-O
CORP
US
N
2
2073-04-25
Floating
2.84000000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAR8
425000.00000000
PA
USD
396459.13000000
0.147864884885
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.95000000
N
N
N
N
N
N
CALI Mortgage Trust 2019-101C
N/A
CALI Mortgage Trust 2019-101C
129890AA7
680000.00000000
PA
USD
781720.38000000
0.291553366424
Long
ABS-MBS
CORP
US
N
2
2039-03-10
Fixed
3.96000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAB7
30000.00000000
PA
USD
27786.14000000
0.010363223045
Long
DBT
CORP
KY
N
2
2023-10-01
Fixed
5.13000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCZ3
180000.00000000
PA
USD
148563.00000000
0.055408613980
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374M7D5
1564515.35000000
PA
USD
367163.75000000
0.136938770026
Long
ABS-MBS
USGA
US
N
2
2036-07-20
Floating
6.41000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Securitized Asset Backed Receivables LLC Trust 2006-CB1
81375WHH2
1275173.83000000
PA
USD
1044959.88000000
0.389732158182
Long
ABS-O
CORP
US
N
2
2036-01-25
Variable
3.20000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2020-C6
05492TBH2
250000.00000000
PA
USD
241612.93000000
0.090112865054
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Variable
3.69000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust 2007-AR3
07401VAD3
35555006.24000000
PA
USD
888043.17000000
0.331207913172
Long
ABS-MBS
CORP
US
N
3
2037-03-25
Fixed
0.50000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2017-C8
12532CBE4
1778743.01000000
PA
USD
132329.76000000
0.049354203872
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Variable
1.78000000
N
N
N
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825C104
18012.00000000
NS
USD
756864.24000000
0.282282927174
Long
EC
CORP
US
N
1
N
N
N
CitiMortgage Alternative Loan Trust
N/A
CitiMortgage Alternative Loan Trust Series 2006-A3
17309KAG2
826049.21000000
PA
USD
841066.54000000
0.313687332961
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPHY4
4992846.55000000
PA
USD
370936.44000000
0.138345846646
Long
ABS-MBS
USGSE
US
N
2
2029-08-25
Variable
1.16000000
N
N
N
N
N
N
Berry Global Inc
549300AP2Q7ERHX6RI89
Berry Global Inc
085770AA3
111000.00000000
PA
USD
112781.00000000
0.042063224984
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
4.88000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BN8
565000.00000000
PA
USD
628093.55000000
0.234256127404
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
5.00000000
N
N
N
N
N
N
Puget Energy Inc
SYBSJ96YIDMIUY7WDR33
Puget Energy Inc
745310AD4
500000.00000000
PA
USD
527649.01000000
0.196793954836
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
6.00000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BZ1
397000.00000000
PA
USD
476768.79000000
0.177817477050
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
5.25000000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
975000.00000000
PA
USD
1203335.25000000
0.448800430500
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137AVXQ5
2500000.00000000
PA
USD
88743.50000000
0.033098108780
Long
ABS-MBS
USGSE
US
N
2
2040-08-25
Variable
1.87000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAB2
675000.00000000
PA
USD
663241.50000000
0.247365038733
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.38000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746101
38967.00000000
NS
USD
997555.20000000
0.372051930838
Long
EC
CORP
US
N
1
N
N
N
Waste Pro USA Inc
549300BY1QXU5BI3UF28
Waste Pro USA Inc
94107JAA1
430000.00000000
PA
USD
411679.85000000
0.153541661734
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
North Carolina State Education Assistance Authority
N/A
NORTH CAROLINA ST EDU ASSISTANCE AUTH
658262GA2
1593666.39000000
PA
USD
1528665.20000000
0.570136709492
Long
DBT
MUN
US
N
2
2041-10-25
Floating
1.89000000
N
N
N
N
N
N
US AIRWAYS 2010-1A PTT
N/A
US Airways 2010-1 Class A Pass Through Trust
90345KAA8
377070.77000000
PA
USD
317259.80000000
0.118326405563
Long
DBT
CORP
US
N
2
2023-04-22
Fixed
6.25000000
N
N
N
N
N
N
Mid-State Trust
5493001662PV30WKJE68
Mid-State Capital Corp 2004-1 Trust
59560UAB7
264282.83000000
PA
USD
272413.04000000
0.101600189661
Long
ABS-O
CORP
US
N
2
2037-08-15
Fixed
6.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C24
46643GAG5
8060607.89000000
PA
USD
209757.57000000
0.078231970447
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
1.07000000
N
N
N
N
N
N
Range Resources Corp
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAS8
310000.00000000
PA
USD
234429.75000000
0.087433799285
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.88000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-HYB4
12669FW25
1029655.37000000
PA
USD
479717.67000000
0.178917302401
Long
ABS-MBS
CORP
US
N
2
2034-09-20
Variable
3.75000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2019-C17 Commercial Mortgage Trust
12597BAT6
700000.00000000
PA
USD
756143.02000000
0.282013938257
Long
ABS-MBS
CORP
US
N
2
2052-09-15
Fixed
2.76000000
N
N
N
N
N
N
Level 3 Financing Inc
N/A
Level 3 Financing Inc
527298BH5
190000.00000000
PA
USD
195937.50000000
0.073077585279
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396VS66
119815.68000000
PA
USD
19115.37000000
0.007129340127
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
Floating
5.93000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAY2
700000.00000000
PA
USD
726166.00000000
0.270833596385
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.88000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT SEP20 XCBT 20200921
000000000
-89.00000000
NC
USD
39843.34000000
0.014860121603
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Ultra Long Bond
WNU0 Comdty
2020-09-21
-19455749.59000000
USD
39843.34000000
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2006-NC1
57643LNF9
78397.22000000
PA
USD
74680.21000000
0.027853011368
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.78000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2Q5
390000.00000000
PA
USD
408323.43000000
0.152289838735
Long
DBT
CORP
US
N
2
2041-04-30
Fixed
3.07000000
N
N
N
N
N
N
Pipeline Funding Co LLC
N/A
Pipeline Funding Co LLC
724060AA6
460650.00000000
PA
USD
623300.91000000
0.232468646405
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
7.50000000
N
N
N
N
N
N
One Bryant Park Trust
N/A
One Bryant Park Trust 2019-OBP
68236JAA9
1295000.00000000
PA
USD
1380227.58000000
0.514774857707
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Fixed
2.52000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDZ2
80000.00000000
PA
USD
84650.97000000
0.031571743434
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.90000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AH2
721000.00000000
PA
USD
789426.51000000
0.294427473587
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.38000000
N
N
N
N
N
N
COMM Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CCRE12 Mortgage Trust
12591KAF2
9432714.79000000
PA
USD
293370.64000000
0.109416614803
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Variable
1.29000000
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAA5
335000.00000000
PA
USD
355098.88000000
0.132439010836
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Fixed
2.69000000
N
N
N
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAA5
711000.00000000
PA
USD
763485.95000000
0.284752584985
Long
DBT
CORP
BM
N
2
2022-11-01
Fixed
5.00000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2005-AC6
073879L55
516244.08000000
PA
USD
522604.52000000
0.194912542915
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
5.50000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-13
36244SAF5
1438141.29000000
PA
USD
691324.44000000
0.257838957420
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
6.04000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
59000.00000000
PA
USD
72421.33000000
0.027010531006
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
Commonwealth of Massachusetts
5493001N1YCXNI1O7K10
MASSACHUSETTS ST
57582RA89
285000.00000000
PA
USD
302915.10000000
0.112976352421
Long
DBT
MUN
US
N
2
2048-03-01
Fixed
3.00000000
N
N
N
N
N
N
Regents of the University of California Medical Center Pooled Revenue
N/A
UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE
913366KC3
695000.00000000
PA
USD
725434.05000000
0.270560605566
Long
DBT
MUN
US
N
2
2060-05-15
Fixed
3.26000000
N
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAJ4
71000.00000000
PA
USD
72391.60000000
0.026999442794
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
6.50000000
N
N
N
N
N
N
SLC Student Loan Trust
N/A
SLC Student Loan Trust 2006-1
784427AG1
395807.09000000
PA
USD
342711.23000000
0.127818866406
Long
ABS-O
CORP
US
N
2
2055-03-15
Floating
0.52000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B4H25
4020000.00000000
PA
USD
188992.26000000
0.070487262505
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Variable
1.71000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2017-8
12553RAA4
774082.34000000
PA
USD
775065.58000000
0.289071367243
Long
ABS-MBS
CORP
US
N
2
2065-12-25
Variable
3.00000000
N
N
N
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAA4
425000.00000000
PA
USD
432807.25000000
0.161421416121
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
5.50000000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300A8L0VCZ9626397
Palmer Square CLO 2018-1 Ltd
69703PAA7
600000.00000000
PA
USD
585600.00000000
0.218407573534
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
2.17000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BLN38
2330000.00000000
PA
USD
153034.07000000
0.057076161025
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
Variable
1.60000000
N
N
N
N
N
N
Colony American Finance Ltd
N/A
Corevest American Finance 2019-1 Trust
21872FAB3
1891303.86000000
PA
USD
151261.75000000
0.056415149907
Long
ABS-O
CORP
US
N
2
2052-03-15
Variable
2.35000000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2006-1
225470A94
437013.59000000
PA
USD
312773.42000000
0.116653148443
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
4.08000000
N
N
N
N
N
N
Brazos Higher Education Authority, Inc.
N/A
Brazos Higher Education Authority Inc
10620NCE6
2200000.00000000
PA
USD
2108790.02000000
0.786502239347
Long
ABS-O
CORP
US
N
2
2035-02-25
Floating
1.56000000
N
N
N
N
N
N
MFT Trust
N/A
MFT Trust 2020-ABC
55317BAJ6
180000.00000000
PA
USD
161004.63000000
0.060048890994
Long
ABS-MBS
CORP
US
N
2
2030-02-06
Variable
3.48000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCG2
500000.00000000
PA
USD
526611.73000000
0.196407086994
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
3.25000000
N
N
N
N
N
N
SES GLOBAL AMERICAS HLDG
5299000YGN3VJ3R60481
SES GLOBAL Americas Holdings GP
78413KAB8
675000.00000000
PA
USD
673213.21000000
0.251084125115
Long
DBT
CORP
US
N
2
2044-03-25
Fixed
5.30000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137APLC2
1086549.18000000
PA
USD
229914.35000000
0.085749718757
Long
ABS-MBS
USGSE
US
N
2
2042-04-15
Floating
6.43000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
42307TAH1
140000.00000000
PA
USD
176460.44000000
0.065813347891
Long
DBT
CORP
US
N
2
2039-08-01
Fixed
7.13000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
320000.00000000
PA
USD
330944.47000000
0.123430291440
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DK3
400000.00000000
PA
USD
449834.20000000
0.167771851289
Long
DBT
CORP
US
N
2
2027-11-13
Fixed
3.00000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2005-A15
45660L4F3
1024032.81000000
PA
USD
570341.32000000
0.212716638981
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
6.00000000
N
N
N
N
N
N
Petroleos del Peru SA
549300ZMGDLC9JT2OR80
Petroleos del Peru SA
000000000
200000.00000000
PA
USD
222712.00000000
0.083063503273
Long
DBT
CORP
PE
Y
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31397GWM8
216264.30000000
PA
USD
32872.09000000
0.012260098042
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Floating
5.93000000
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA10
32051GA88
387320.99000000
PA
USD
332337.41000000
0.123949807569
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
3.01000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FX9
65000.00000000
PA
USD
69174.30000000
0.025799506512
Long
DBT
CORP
US
N
2
2031-01-13
Fixed
2.65000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust 2007-CH4
46630CAD6
154502.98000000
PA
USD
153796.05000000
0.057360351946
Long
ABS-O
CORP
US
N
2
2036-01-25
Floating
0.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LF5C8
1145236.83000000
PA
USD
1262499.93000000
0.470866711575
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.41000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YJ6
345000.00000000
PA
USD
322648.47000000
0.120336184148
Long
DBT
CORP
US
N
2
2022-03-28
Floating
1.58000000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-4
007036KJ4
546404.40000000
PA
USD
348310.38000000
0.129907146401
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
3.69000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2014-GC21
17322MAL0
5456382.48000000
PA
USD
213907.65000000
0.079779799858
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Variable
1.52000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAQ9
906000.00000000
PA
USD
930712.57000000
0.347122052718
Long
DBT
CORP
US
N
2
2021-09-25
Fixed
4.38000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396VE20
1403483.90000000
PA
USD
302400.82000000
0.112784544622
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
Floating
5.92000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust 2007-15AR
61756XBK0
420420.90000000
PA
USD
422786.48000000
0.157684032138
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Variable
3.34000000
N
N
N
N
N
N
STARBUCKS CORP
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244AW9
275000.00000000
PA
USD
286380.88000000
0.106809687683
Long
DBT
CORP
US
N
2
2030-03-12
Fixed
2.25000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAF2
135000.00000000
PA
USD
132166.35000000
0.049293257866
Long
DBT
CORP
IE
N
2
2023-07-03
Fixed
4.13000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-3
07386HSN2
575835.39000000
PA
USD
561545.69000000
0.209436187810
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
3.46000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B7U41
6800000.00000000
PA
USD
509933.02000000
0.190186532724
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Variable
1.19000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AL5
410000.00000000
PA
USD
479108.36000000
0.178690051857
Long
DBT
CORP
US
N
2
2048-09-26
Fixed
5.00000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B7HP9
7900000.00000000
PA
USD
365692.19000000
0.136389931486
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Variable
0.70000000
N
N
N
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust
933631AD5
2025091.51000000
PA
USD
1178532.48000000
0.439549896325
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
0.33000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
250000.00000000
PA
USD
252617.19000000
0.094217055158
Long
DBT
NUSS
DO
Y
2
2028-07-19
Fixed
6.00000000
N
N
N
N
N
N
Churchill Downs Inc
529900FODTBQC8MIS994
Churchill Downs Inc
171484AG3
452000.00000000
PA
USD
442652.64000000
0.165093389721
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
5.50000000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2017-BRBK Mortgage Trust
23305JAL6
320000.00000000
PA
USD
310523.09000000
0.115813856921
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Variable
3.65000000
N
N
N
N
N
N
Gulfport Energy Corp
549300FJX18IDUFPHD40
Gulfport Energy Corp
402635AL0
35000.00000000
PA
USD
17585.75000000
0.006558847312
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.38000000
N
N
N
N
N
N
Voya CLO Ltd
5493000X4YEVJOIVRG48
Voya CLO 2014-3 Ltd
92912QAG1
641406.50000000
PA
USD
638047.65000000
0.237968645894
Long
ABS-CBDO
CORP
KY
N
2
2026-07-25
Floating
1.71000000
N
N
N
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAC1
73000.00000000
PA
USD
80323.00000000
0.029957567501
Long
DBT
CORP
BM
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
Chevron Corp
N/A
Chevron Corp
166764100
6954.00000000
NS
USD
620505.42000000
0.231426029964
Long
EC
CORP
US
N
1
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCP9
95000.00000000
PA
USD
97651.45000000
0.036420451240
Long
DBT
CORP
US
N
2
2021-11-06
Fixed
4.20000000
N
N
N
N
N
N
San Francisco City & County Airport Comm-San Francisco International Airport
54930055TIDYHNDP4F84
SAN FRANCISCO CALIF CITY &CNTY ARPTS COMMN INTL ARPT REV
79766DMB2
485000.00000000
PA
USD
581427.70000000
0.216851456869
Long
DBT
MUN
US
N
2
2049-05-01
Fixed
5.00000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAK9
420000.00000000
PA
USD
432805.74000000
0.161420852946
Long
DBT
CORP
GB
N
2
2023-03-17
Fixed
2.86000000
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956PAT9
670000.00000000
PA
USD
725062.46000000
0.270422015965
Long
DBT
CORP
US
N
2
2030-03-20
Fixed
3.55000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABE4
175000.00000000
PA
USD
195096.13000000
0.072763784766
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.88000000
N
N
N
N
N
N
PETRONAS CAPITAL LTD
549300G7YFX3540OYR85
Petronas Capital Ltd
716743AP4
200000.00000000
PA
USD
222690.22000000
0.083055380123
Long
DBT
CORP
MY
N
2
2030-04-21
Fixed
3.50000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397XQ1
1525000.00000000
PA
USD
1509750.00000000
0.563082025518
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
3.20000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YS6
140000.00000000
PA
USD
139475.00000000
0.052019119396
Long
DBT
CORP
US
N
2
2020-11-02
Fixed
2.34000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
C-BASS Mortgage Loan Trust 2007-CB2
1248MBAJ4
1050619.10000000
PA
USD
836011.87000000
0.311802124270
Long
ABS-O
CORP
US
N
2
2037-02-25
Variable
3.92000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2020-CNP
61770YAA3
650000.00000000
PA
USD
675403.98000000
0.251901202915
Long
ABS-MBS
CORP
US
N
2
2042-04-05
Variable
2.51000000
N
N
N
N
N
N
Heathrow Funding Ltd
7TI96JO3DYEIQWZ7Z726
Heathrow Funding Ltd
05607MAA5
700000.00000000
PA
USD
719305.55000000
0.268274897208
Long
DBT
CORP
JE
N
2
2021-07-15
Fixed
4.88000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RCQ3
505000.00000000
PA
USD
606364.17000000
0.226151856297
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3133T5X32
113917.11000000
PA
USD
112890.98000000
0.042104243537
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
0.17000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375DLA4
1276692.33000000
PA
USD
132050.08000000
0.049249893370
Long
ABS-MBS
USGA
US
N
2
2038-05-20
Floating
6.21000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB
46651EAA2
585000.00000000
PA
USD
654093.21000000
0.243953058165
Long
ABS-MBS
CORP
US
N
2
2039-06-05
Fixed
3.40000000
N
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAU9
113000.00000000
PA
USD
115384.30000000
0.043034161521
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
4.50000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CR0
330000.00000000
PA
USD
424714.95000000
0.158403281546
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.25000000
N
N
N
N
N
N
CYRUSONE LP/CYRUSONE FIN
N/A
CyrusOne LP / CyrusOne Finance Corp
23283PAQ7
280000.00000000
PA
USD
294514.56000000
0.109843255498
Long
DBT
US
N
2
2024-11-15
Fixed
2.90000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CL2
140000.00000000
PA
USD
145450.31000000
0.054247693437
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.40000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31395V2Z1
107663.53000000
PA
USD
131535.92000000
0.049058130327
Long
ABS-MBS
USGSE
US
N
2
2035-03-15
Floating
21.27000000
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
BENCHMARK 2018-B2 Mortgage Trust
08161CAE1
350000.00000000
PA
USD
404870.69000000
0.151002091868
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
3.88000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FG7J8
2400000.00000000
PA
USD
226024.56000000
0.084298968082
Long
ABS-MBS
USGSE
US
N
2
2046-05-25
Variable
2.25000000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp
20846QAM0
1477570.45000000
PA
USD
857536.38000000
0.319829986293
Long
ABS-O
CORP
US
N
2
2030-06-01
Variable
7.36000000
N
N
N
N
N
N
SS&C Technologies Inc
549300KY09TR3J12JU49
SS&C Technologies Inc
78466CAC0
210000.00000000
PA
USD
214030.95000000
0.079825786288
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
5.50000000
N
N
N
N
N
N
CPT MORTGAGE TRUST
N/A
Century Plaza Towers 2019-CPT
12654YAA7
1165000.00000000
PA
USD
1276279.64000000
0.476006043927
Long
ABS-MBS
CORP
US
N
2
2039-11-13
Fixed
2.87000000
N
N
N
N
N
N
Ball Corp
0BGI85ALH27ZJP15DY16
Ball Corp
058498AS5
90000.00000000
PA
USD
94162.50000000
0.035119199356
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.00000000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-55HY Mortgage Trust
44421MAA8
550000.00000000
PA
USD
608651.56000000
0.227004969855
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Variable
3.04000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT SEP20 XCBT 20200921
000000000
-137.00000000
NC
USD
-132434.56000000
-0.04939329047
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYU0 Comdty
2020-09-21
-21442924.82000000
USD
-132434.56000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS2 Trust
74923CAJ1
12065491.87000000
PA
USD
128087.26000000
0.047771905152
Long
ABS-MBS
CORP
US
N
3
2037-01-25
Variable
0.33000000
N
N
N
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions Inc
14879EAD0
285000.00000000
PA
USD
290346.60000000
0.108288757496
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.88000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2018-R4
17181FAA9
1117949.89000000
PA
USD
1153870.74000000
0.430351961229
Long
ABS-MBS
CORP
US
N
2
2057-12-26
Variable
4.07000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR9
45661EGC2
747420.41000000
PA
USD
574263.95000000
0.214179637786
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
3.67000000
N
N
N
N
N
N
CLEAN HARBORS INC
5493000SJVZVZJKHJF48
Clean Harbors Inc
184496AP2
275000.00000000
PA
USD
287969.00000000
0.107401998878
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.13000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2012-GC8
17318UAK0
3123225.99000000
PA
USD
91934.00000000
0.034288049633
Long
ABS-MBS
CORP
US
N
2
2045-09-10
Variable
1.93000000
N
N
N
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TBA2
535000.00000000
PA
USD
327018.75000000
0.121966140177
Long
DBT
CORP
LU
N
2
2024-10-15
None
0.00000000
Y
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962GXZ2
350000.00000000
PA
USD
426153.94000000
0.158939972656
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBM7
90000.00000000
PA
USD
91012.93000000
0.033944523909
Long
DBT
CORP
US
N
2
2021-07-06
Fixed
3.20000000
N
N
N
N
N
N
Total SA
529900S21EQ1BO4ESM68
Total SA
89151E109
16370.00000000
NS
USD
629590.20000000
0.234814323605
Long
EC
CORP
FR
N
1
N
N
N
Four Times Square Trust
N/A
Four Times Square Trust Commercial Mortgage Pass-Through Certificates Series 200
350910AQ8
50723460.32000000
PA
USD
33279.66000000
0.012412106879
Long
ABS-MBS
CORP
US
N
2
2028-12-13
Variable
0.36000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust 2006-WF1
46628SAH6
2326030.98000000
PA
USD
1097709.96000000
0.409406025970
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
6.41000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XLU3
4763650.40000000
PA
USD
244322.87000000
0.091123574446
Long
ABS-MBS
USGA
US
N
2
2054-11-16
Variable
0.95000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
549300GADFYEKC4OLM57
WFRBS Commercial Mortgage Trust 2013-C14
92890PAL8
8544428.01000000
PA
USD
137381.59000000
0.051238353347
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
0.86000000
N
N
N
N
N
N
CHANGE HEALTH / FIN INC
N/A
Change Healthcare Holdings LLC / Change Healthcare Finance Inc
15911NAA3
25000.00000000
PA
USD
24812.50000000
0.009254163111
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.75000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2006-IM1
07387UFD8
294836.78000000
PA
USD
395108.65000000
0.147361204796
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.41000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FCJN5
2550000.00000000
PA
USD
316422.08000000
0.118013966368
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Variable
2.11000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B3NY0
57528966.86000000
PA
USD
327978.39000000
0.122324051112
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Variable
0.32000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2012-GCJ7
36192KAA5
34066381.96000000
PA
USD
250762.64000000
0.093525375231
Long
ABS-MBS
CORP
US
N
2
2045-05-10
Variable
0.60000000
N
N
N
N
N
N
2020-08-19
TCW STRATEGIC INCOME FUND INC
Richard Villa
Richard Villa
Treasurer