NPORT-P
false
0000810893
XXXXXXXX
S000009703
C000026625
C000200448
C000026624
C000026629
C000026627
C000026623
C000064151
PIMCO Funds
811-05028
0000810893
00000000000000000000
650 Newport Center Drive
Newport Beach
92660
(888) 877-4626
PIMCO Short-Term Fund
S000009703
STEUGJL6LZNTJZNDUF35
2020-03-31
2019-12-31
N
19485342340.720001
4142498779.820000
15342843560.900000
0.000000
0.000000
1357610917.260000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
36509788.690000
MXN
CZK
GBP
CAD
EUR
JPY
USD
AUD
N
ARGENT SECURITIES INC 2003-W8
N/A
ARGENT SECURITIES INC. ARSI 2003 W8 M1
040104DQ1
136695.150000
PA
USD
136543.580000
0.0008899
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Floating
2.842
N
N
N
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-2753006.280000
-0.0179433
N/A
DFE
MX
N
2
Royal Bank of Canada
549300XWG7K5S2JIV532
1465059000.000000
MXN
74100661.570000
USD
2020-02-27
-2753006.280000
N
N
N
N/A
N/A
3 MONTH SOFR FUT JUN20 XCME 20200915
000000000
1000.000000
NC
USD
-287500.000000
-0.0018738
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
N/A
90SOFR
2020-09-15
246237500.000000
USD
-287500.000000
N
N
N
N/A
N/A
3 MONTH SOFR FUT MAR20 XCME 20200616
000000000
100.000000
NC
USD
-10000.000000
-0.0000652
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
N/A
90SOFR
2020-06-16
24613750.000000
USD
-10000.000000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
-5676241.550000
-0.0369960
N/A
DFE
GB
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
154175287.500000
GBP
198585941.590000
USD
2020-01-10
-5676241.550000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-43537.700000
-0.0002838
N/A
DFE
MX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
44883000.000000
MXN
2316207.800000
USD
2020-02-12
-43537.700000
N
N
N
N/A
N/A
317U782U0 IRO USD 30Y C 1.9 JAN20 1.9 CALL
000000000
-174100000.000000
NC
USD
-135867.640000
-0.0008855
N/A
DIR
US
N
2
Morgan Stanley & Co. Incorporated
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. Incorporated
9R7GPTSO7KV3UQJZQ078
N/A
N/A
IRS USD R 1.90000 01/15/20-30Y CME
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
IRS USD R 1.90000 01/15/20-30Y CME
N/A
N/A
2050-01-15
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.900000
USD
2020-01-13
XXXX
1274342.360000
N
N
N
N/A
N/A
IRS CAD 2.50000 06/19/19-10Y CME
000000000
1.000000
NC
2349584.180000
0.0153139
N/A
DIR
CA
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
CAD-BA-CDOR 3M
N/A
N/A
Y
2029-06-19
5827926.590000
CAD
0.000000
CAD
100300000.000000
CAD
-3478342.410000
N
N
N
N/A
N/A
IRS MXN 6.47500 10/28/19-2Y* CME
000000000
1.000000
NC
374147.080000
0.0024386
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2021-12-09
0.000000
MXN
0.000000
MXN
1551000000.000000
MXN
374147.080000
N
N
N
N/A
N/A
IRS MXN 6.52500 10/24/19-2Y* CME
000000000
1.000000
NC
101376.610000
0.0006607
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2021-12-09
0.000000
MXN
0.000000
MXN
530800000.000000
MXN
101376.610000
N
N
N
N/A
N/A
IRS MXN 6.53250 10/24/19-2Y* CME
000000000
1.000000
NC
169089.280000
0.0011021
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2021-12-09
0.000000
MXN
0.000000
MXN
921700000.000000
MXN
169089.280000
N
N
N
N/A
N/A
IRS MXN 6.73000 11/26/19-2Y* CME
000000000
1.000000
NC
-4125.060000
-0.0000269
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2021-12-09
0.000000
MXN
0.000000
MXN
275100000.000000
MXN
-4125.060000
N
N
N
N/A
N/A
IRS MXN 6.79080 11/28/19-2Y* CME
000000000
1.000000
NC
-132165.600000
-0.0008614
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2021-12-09
0.000000
MXN
0.000000
MXN
1737000000.000000
MXN
-132165.600000
N
N
N
N/A
N/A
IRS MXN 6.81000 11/27/19-2Y* CME
000000000
1.000000
NC
-133674.760000
-0.0008713
N/A
DIR
MX
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2021-12-09
0.000000
MXN
0.000000
MXN
1401500000.000000
MXN
-133674.760000
N
N
N
N/A
N/A
IRS USD 1.65000 12/24/19-5Y CME
000000000
1.000000
NC
USD
-2089358.160000
-0.0136178
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2024-12-24
0.000000
USD
-742800.000000
USD
495200000.000000
USD
-1346558.160000
N
N
N
N/A
N/A
IRS USD 2.00000 12/10/19-10Y CME
000000000
1.000000
NC
USD
-7473774.000000
-0.0487118
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2029-12-10
0.000000
USD
-9207810.830000
USD
887400000.000000
USD
1734036.830000
N
N
N
N/A
N/A
IRS USD 2.76700 02/13/19-1Y (WHT) CME
000000000
1.000000
NC
USD
-8020495.930000
-0.0522752
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2020-02-13
0.000000
USD
-393312.500000
USD
899000000.000000
USD
-7627183.430000
N
N
N
N/A
N/A
OIS USD FEDL01/2.3 03/01/19 LCH
000000000
1.000000
NC
USD
-4269603.050000
-0.0278280
N/A
DIR
US
N
2
London Clearing house
N/A
N/A
US Federal Funds Effective Rate (continuous series)
Y
2022-03-01
0.000000
USD
0.000000
USD
217000000.000000
USD
-4269603.050000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
-8188371.040000
-0.0533693
N/A
DFE
N/A
N
2
The Toronto-Dominion Bank
PT3QB789TSUIDF371261
460643000.000000
EUR
508740578.200000
USD
2020-01-10
-8188371.040000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-471154.000000
-0.0030708
N/A
DFE
MX
N
2
The Toronto-Dominion Bank
PT3QB789TSUIDF371261
275100000.000000
MXN
13959967.220000
USD
2020-02-27
-471154.000000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
-730815.400000
-0.0047632
N/A
DFE
CA
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
38832363.180000
CAD
29175329.210000
USD
2020-01-10
-730815.400000
N
N
N
ARKANSAS STUDENT LOAN AUTHORITY 2010-1
N/A
ARKANSAS ST STUDENT LOAN AUTH ARSSTD 11/43 FLOATINOID VAR
041150DJ9
2661806.310000
PA
USD
2652463.370000
0.0172880
Long
ABS-O
MUN
US
N
2
2043-11-25
Floating
2.8095
N
N
N
N
N
N
N/A
254900HROIFWPRGM1V77
TRS R 2.2/912828N71 BPS
000000000
1.000000
NC
USD
67081.250000
0.0004372
N/A
DCR
US
N
2
BNPParibas
R0MUWSFPU8MPRO8K5P83
UNITED STATES GOVT
U S TREASURY INFLATE PROT BD
Y
2020-01-22
0.000000
USD
0.000000
USD
71000000.000000
USD
67081.250000
N
N
N
N/A
254900HROIFWPRGM1V77
TRS R 2.2/912828WU0 BPS
000000000
1.000000
NC
USD
916694.390000
0.0059747
N/A
DCR
US
N
2
BNPParibas
R0MUWSFPU8MPRO8K5P83
UNITED STATES GOVT
U S TREASURY INFLATE PROT BD
Y
2020-01-22
0.000000
USD
0.000000
USD
218300000.000000
USD
916694.390000
N
N
N
N/A
254900HROIFWPRGM1V77
TRS R 2.2/912828Y38 BPS
000000000
1.000000
NC
USD
-296008.500000
-0.0019293
N/A
DCR
US
N
2
BNPParibas
R0MUWSFPU8MPRO8K5P83
UNITED STATES GOVT
U S TREASURY INFLATE PROT BD
Y
2020-01-22
0.000000
USD
0.000000
USD
63783000.000000
USD
-296008.500000
N
N
N
N/A
254900HROIFWPRGM1V77
TRS R 2.22/912828H45 BPS
000000000
1.000000
NC
USD
944312.150000
0.0061547
N/A
DCR
US
N
2
BNPParibas
R0MUWSFPU8MPRO8K5P83
UNITED STATES GOVT
U S TREASURY INFLATE PROT BD
Y
2020-01-02
0.000000
USD
0.000000
USD
133900000.000000
USD
944312.150000
N
N
N
N/A
254900HROIFWPRGM1V77
US 10YR FUT OPTN MAR20P 117.5 EXP 02/21/2020
000000000
635.000000
NC
USD
635.000000
0.0000041
N/A
DIR
US
N
2
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
N/A
254900HROIFWPRGM1V77
FIN FUT US 10YR CBT 03/20/20
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
N/A
FIN FUT US 10YR CBT 03/20/20
2020-03-21
N/A
USD
N/A
117.500000
USD
2020-02-21
XXXX
-4826.000000
N
N
N
N/A
254900HROIFWPRGM1V77
US 10YR FUT OPTN MAR20P 118 EXP 02/21/2020
000000000
2488.000000
NC
USD
2488.000000
0.0000162
N/A
DIR
US
N
2
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
N/A
254900HROIFWPRGM1V77
FIN FUT US 10YR CBT 03/20/20
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
N/A
FIN FUT US 10YR CBT 03/20/20
2020-03-21
N/A
USD
N/A
118.000000
USD
2020-02-21
XXXX
-18908.800000
N
N
N
N/A
254900HROIFWPRGM1V77
US 10YR NOTE (CBT)MAR20 XCBT 20200320
000000000
783.000000
NC
USD
194888.700000
0.0012702
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2020-03-20
100554328.130000
USD
194888.700000
N
N
N
ASHFORD HOSPITALITY TRUST 2018-ASHF
N/A
ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A
04410RAA4
6705034.960000
PA
USD
6681156.320000
0.0435458
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Floating
2.63975
N
N
N
N
N
N
N/A
254900HROIFWPRGM1V77
US 10YR ULTRA FUT MAR20 XCBT 20200320
000000000
890.000000
NC
USD
-1489170.250000
-0.0097060
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2020-03-20
125225781.250000
USD
-1489170.250000
N
N
N
N/A
254900HROIFWPRGM1V77
US 2YR NOTE (CBT) MAR20 XCBT 20200331
000000000
22520.000000
NC
USD
-2631461.650000
-0.0171511
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2020-03-31
4853060000.000000
USD
-2631461.650000
N
N
N
N/A
254900HROIFWPRGM1V77
US 5YR FUTR OPTN MAR20C 128 EXP 02/21/2020
000000000
7235.000000
NC
USD
7235.000000
0.0000472
N/A
DIR
US
N
2
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
N/A
254900HROIFWPRGM1V77
FIN FUT US 5YR CBT 03/31/20
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
N/A
FIN FUT US 5YR CBT 03/31/20
2020-04-01
N/A
USD
N/A
128.000000
USD
2020-02-21
XXXX
-54986.000000
N
N
N
N/A
254900HROIFWPRGM1V77
US 5YR NOTE (CBT) MAR20 XCBT 20200331
000000000
-7825.000000
NC
USD
3033412.320000
0.0197709
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2020-03-31
-928118359.380000
USD
3033412.320000
N
N
N
N/A
254900HROIFWPRGM1V77
US ULTRA BOND CBT MAR20 XCBT 20200320
000000000
-722.000000
NC
USD
2177738.480000
0.0141938
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2020-03-20
-131155812.500000
USD
2177738.480000
N
N
N
ASSET BACKED FUNDING CERT 2003-WMC1
N/A
ASSET BACKED FUNDING CERTIFICA ABFC 2003 WMC1 M1
04542BEA6
1342030.270000
PA
USD
1341331.740000
0.0087424
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Floating
2.767
N
N
N
N
N
N
ASSET BACKED FUNDING CERTS 2004-OPT5
N/A
ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A1
04542BJY9
402811.920000
PA
USD
401677.000000
0.0026180
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
2.492
N
N
N
N
N
N
ASSET BACKED SEC HOME EQTY LN 2007-HE2
N/A
ASSET BACKED SECURITIES CORP H ABSHE 2007 HE2 A2
04544TAB7
23864.540000
PA
USD
18011.630000
0.0001174
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
1.872
N
N
N
N
N
N
ASSURANT INC
H3F39CAXWQRVWURFXL38
ASSURANT INC SR UNSECURED 03/21 VAR
04621XAL2
8230000.000000
PA
USD
8231008.750000
0.0536472
Long
DBT
CORP
US
N
2
2021-03-26
Floating
3.19663
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT+T INC SR UNSECURED 02/23 VAR
00206RFY3
52326000.000000
PA
USD
52779870.490000
0.3440032
Long
DBT
CORP
US
N
2
2023-02-15
Floating
2.79925
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT+T INC SR UNSECURED 06/21 VAR
00206RFZ0
23300000.000000
PA
USD
23444138.460000
0.1528018
Long
DBT
CORP
US
N
2
2021-06-01
Floating
2.65688
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT+T INC SR UNSECURED 06/24 VAR
00206RGD8
110727000.000000
PA
USD
112720669.530000
0.7346791
Long
DBT
CORP
US
N
2
2024-06-12
Floating
3.06725
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING SECURED 144A 01/22 4
04685A2B6
2500000.000000
PA
USD
2582387.880000
0.0168312
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
4
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING SECURED 144A 07/22 VAR
04685A2F7
108339000.000000
PA
USD
109833074.980000
0.7158587
Long
DBT
CORP
US
N
2
2022-07-01
Floating
3.13838
N
N
N
N
N
N
ATRIUM HOTEL PORTFOLIO TRUST 2018-ATRM
N/A
ATRIUM HOTEL PORTFOLIO TRUST AHPT 2018 ATRM A 144A
04965KAA8
17200000.000000
PA
USD
17188145.760000
0.1120271
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
2.68975
N
N
N
N
N
N
AVALONBAY COMMUNITIES INC
K9G90K85RBWD2LAGQX17
AVALONBAY COMMUNITIES SR UNSECURED 01/21 VAR
05348EBD0
13300000.000000
PA
USD
13298598.450000
0.0866762
Long
DBT
CORP
US
N
2
2021-01-15
Floating
2.43088
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP SR UNSECURED 144A 01/22 2.875
05367AAJ2
48656000.000000
PA
USD
49002165.060000
0.3193812
Long
DBT
CORP
US
N
2
2022-01-20
Fixed
2.875
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP SR UNSECURED 144A 04/21 6.75
05367AAD5
12193000.000000
PA
USD
12849721.690000
0.0837506
Long
DBT
CORP
US
N
2
2021-04-06
Fixed
6.75
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP SR UNSECURED 144A 06/21 VAR
05369AAG6
18350000.000000
PA
USD
18433683.160000
0.1201452
Long
DBT
CORP
US
N
2
2021-06-01
Floating
2.85688
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP SR UNSECURED 144A 07/21 VAR
05369AAE1
28406000.000000
PA
USD
28412863.460000
0.1851864
Long
DBT
CORP
US
N
2
2021-07-30
Floating
2.6055
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP SR UNSECURED 144A 10/20 7.125
05367AAA1
12543000.000000
PA
USD
13017545.470000
0.0848444
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
7.125
N
N
N
N
N
N
AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)
635400CPI3EOIFF6OC33
PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 03/21 3.625
70014LAD2
20016000.000000
PA
USD
20312436.960000
0.1323903
Long
DBT
CORP
KY
N
2
2021-03-15
Fixed
3.625
N
N
N
N
N
N
AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)
635400CPI3EOIFF6OC33
PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 08/22 5.25
70014LAA8
22390000.000000
PA
USD
23917266.680000
0.1558855
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
5.25
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LIMITED
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 01/23 5.5
05401AAA9
7800000.000000
PA
USD
8431761.000000
0.0549557
Long
DBT
CORP
KY
N
2
2023-01-15
Fixed
5.5
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LIMITED
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 05/22 3.625
05401AAE1
2600000.000000
PA
USD
2667210.000000
0.0173841
Long
DBT
CORP
KY
N
2
2022-05-01
Fixed
3.625
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LIMITED
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/23 5.125
05401AAB7
2500000.000000
PA
USD
2701987.500000
0.0176107
Long
DBT
CORP
KY
N
2
2023-10-01
Fixed
5.125
N
N
N
N
N
N
AXIS BANK LTD/DUBAI BRANCH
549300HVNWMJPOFVNI41
AXIS BANK/DUBAI SR UNSECURED 144A 05/20 3.25
05463CAC6
5450000.000000
PA
USD
5462674.360000
0.0356041
Long
DBT
CORP
IN
N
2
2020-05-21
Fixed
3.25
N
N
N
N
N
N
AXIS BANK LTD/DUBAI BRANCH
549300HVNWMJPOFVNI41
AXIS BANK/DUBAI SR UNSECURED REGS 05/20 3.25
05463EAC2
45300000.000000
PA
USD
45405348.320000
0.2959383
Long
DBT
CORP
IN
N
2
2020-05-21
Fixed
3.25
N
N
N
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT
N/A
BANC OF AMERICA MERRILL LYNCH BAMLL 2019 AHT A 144A
05525DAA4
17500000.000000
PA
USD
17567084.500000
0.1144969
Long
ABS-MBS
CORP
US
N
2
2034-03-15
Floating
2.93975
N
N
N
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ
N/A
BANC OF AMERICA MERRILL LYNCH BAMLL 2019 RLJ A 144A
05492HAA4
11700000.000000
PA
USD
11697724.350000
0.0762422
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Floating
2.78975
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2006-A
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 1A1
058927AA2
660184.710000
PA
USD
660790.170000
0.0043068
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Floating
4.44611
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2006-J
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1
05951EAM9
64976.530000
PA
USD
63333.950000
0.0004128
Long
ABS-MBS
CORP
US
N
2
2047-01-20
Floating
4.32078
Y
N
N
N
N
N
BANCO SANTANDER CHILE SA
3YJP8HORPAEXJ80D6368
BANCO SANTANDER CHILE SR UNSECURED 11/21 VAR
ACI0T44Q4
23600000.000000
PA
USD
23891857.190000
0.1557199
Long
DBT
CORP
CL
N
2
2021-11-28
Floating
3.11375
N
N
N
N
N
N
BANCO SANTANDER CHILE SA
3YJP8HORPAEXJ80D6368
BANCO SANTANDER CHILE SR UNSECURED 144A 12/20 2.5
05970FAA9
5192000.000000
PA
USD
5196672.800000
0.0338703
Long
DBT
CORP
CL
N
2
2020-12-15
Fixed
2.5
N
N
N
N
N
N
BANCO SANTANDER CHILE SA
3YJP8HORPAEXJ80D6368
BANCO SANTANDER CHILE SR UNSECURED REGS 07/20 VAR
ACI0WFDG7
10000000.000000
PA
USD
10000116.200000
0.0651777
Long
DBT
CORP
CL
N
2
2020-07-25
Floating
2.73963
N
N
N
N
N
N
BANCORP COMMERCIAL MORTGAGE TRUST 2018-CRE4
N/A
THE BANCORP COMMERCIAL MORTGAG BANC 2018 CRE4 A 144A
05972LAA4
3886675.690000
PA
USD
3889868.210000
0.0253530
Long
ABS-MBS
CORP
US
N
2
2035-09-15
Floating
2.63975
N
N
N
N
N
N
BANCORP COMMERCIAL MORTGAGE TRUST 2019-CRE5
N/A
THE BANCORP COMMERCIAL MORTGAG BANC 2019 CRE5 A 144A
05972MAA2
15841022.200000
PA
USD
15861005.650000
0.1033772
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
2.73975
N
N
N
N
N
N
BANCORP COMMERCIAL MORTGAGE TRUST 2019-CRE6
N/A
THE BANCORP COMMERCIAL MORTGAG BANC 2019 CRE6 A 144A
05973BAA5
23251477.340000
PA
USD
23283527.180000
0.1517550
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
2.81538
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP SR UNSECURED 10/22 VAR
06051GFY0
8635000.000000
PA
USD
8763476.540000
0.0571177
Long
DBT
CORP
US
N
2
2022-10-21
Floating
3.14588
N
N
N
N
N
N
BANK OF AMERICA MTG SEC 2002-G
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A3
06050HKR8
13990.630000
PA
USD
14480.860000
0.0000944
Long
ABS-MBS
CORP
US
N
2
2032-07-20
Floating
4.97319
N
N
N
N
N
N
BANK OF AMERICA MTGE SECS-2006-A
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1
05949CRS7
45705.100000
PA
USD
43067.960000
0.0002807
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
4.33268
Y
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC SR UNSECURED 01/21 VAR
06739FJK8
23880000.000000
PA
USD
23912347.610000
0.1558534
Long
DBT
CORP
GB
N
2
2021-01-11
Floating
2.44425
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 01/23 VAR
06738EAT2
18924000.000000
PA
USD
19172063.930000
0.1249577
Long
DBT
CORP
GB
N
2
2023-01-10
Floating
3.6345
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 02/23 VAR
06738EBF1
21489000.000000
PA
USD
21671640.600000
0.1412492
Long
DBT
CORP
GB
N
2
2023-02-15
Floating
3.33988
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 05/24 VAR
06738EBC8
13600000.000000
PA
USD
13762337.490000
0.0896987
Long
DBT
CORP
GB
N
2
2024-05-16
Floating
3.28413
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 08/21 VAR
06738EAR6
17768000.000000
PA
USD
18193369.120000
0.1185789
Long
DBT
CORP
GB
N
2
2021-08-10
Floating
4.01063
N
N
N
N
N
N
BASIC ASSET BACKED SECURITIES TRUST 2006-1
N/A
BASIC ASSET BACKED SECURITIES BASIC 2006 1 A3
06983NAC1
723578.910000
PA
USD
724485.550000
0.0047220
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.102
N
N
N
N
N
N
BAT CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP COMPANY GUAR 08/20 VAR
05526DAT2
44427000.000000
PA
USD
44509465.840000
0.2900992
Long
DBT
CORP
US
N
2
2020-08-14
Floating
2.49925
N
N
N
N
N
N
BAT CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP COMPANY GUAR 08/22 2.764
05526DAV7
1100000.000000
PA
USD
1116019.550000
0.0072739
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.764
N
N
N
N
N
N
BAT CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP COMPANY GUAR 08/22 VAR
05526DAX3
97901000.000000
PA
USD
98426918.300000
0.6415168
Long
DBT
CORP
US
N
2
2022-08-15
Floating
2.78988
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FINANCE II LLC COMPANY GUAR 144A 06/21 3.5
07274NAA1
15118000.000000
PA
USD
15394046.210000
0.1003337
Long
DBT
CORP
US
N
2
2021-06-25
Fixed
3.5
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FINANCE II LLC COMPANY GUAR 144A 06/21 VAR
07274NAC7
18900000.000000
PA
USD
18964437.470000
0.1236045
Long
DBT
CORP
US
N
2
2021-06-25
Floating
2.57663
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FINANCE II LLC COMPANY GUAR 144A 07/21 2.75
07274NAU7
400000.000000
PA
USD
402403.260000
0.0026227
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
2.75
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FINANCE II LLC COMPANY GUAR 144A 12/23 VAR
07274NAG8
46900000.000000
PA
USD
47210083.100000
0.3077010
Long
DBT
CORP
US
N
2
2023-12-15
Floating
2.90363
N
N
N
N
N
N
BAYVIEW KOITERE FUND TRUST 2019-RN3
N/A
BAYVIEW OPPORTUNITY MASTER FUN BOMFT 2019 RN3 A1 144A
07334FAA6
1756654.320000
PA
USD
1761857.710000
0.0114833
Long
ABS-MBS
CORP
US
N
2
2033-07-28
Fixed
3.9671
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2019-RN1
N/A
BAYVIEW OPPORTUNITY MASTER FUN BOMFT 2019 RN1 A1 144A
07334DAA1
1071507.680000
PA
USD
1072424.250000
0.0069897
Long
ABS-MBS
CORP
US
N
2
2034-02-28
Fixed
4.09
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2019-RN2
N/A
BAYVIEW OPPORTUNITY MASTER FUN BOMFT 2019 RN2 A1 144A
07334RAA0
1631640.760000
PA
USD
1635356.330000
0.0106588
Long
ABS-MBS
CORP
US
N
2
2034-03-28
Fixed
3.9671
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2019-SBR1
N/A
BAYVIEW OPPORTUNITY MASTER FUN BOMFT 2019 SBR1 A1 144A
07333YAA6
4660261.240000
PA
USD
4665421.080000
0.0304078
Long
ABS-MBS
CORP
US
N
2
2034-06-28
Fixed
3.4748
N
N
N
N
N
N
BEAR STEARNS SECOND LIEN TRUST 2007
N/A
BEAR STEARNS SECOND LIEN TRUST BSSLT 2007 SV1A M2 144A
07401UAD5
17631006.150000
PA
USD
17685783.920000
0.1152706
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
3.142
N
N
N
N
N
N
BEAR STEARNS STRUC PROD INC 2007-R6
N/A
BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1
07402FAA3
3812781.880000
PA
USD
3419446.150000
0.0222869
Long
ABS-MBS
CORP
US
N
2
2036-01-26
Floating
4.0008
Y
N
N
N
N
N
BEAR STEARNS STRUC PROD INC 2007-R6
N/A
BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1
07402FAC9
2341745.960000
PA
USD
2022207.460000
0.0131801
Long
ABS-MBS
CORP
US
N
2
2046-12-26
Floating
3.64915
Y
N
N
N
N
N
BEAR STEARNS ADJ RATE MTGE TR 2003-4
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 4 2A1
07384MVP4
1828571.010000
PA
USD
1824008.180000
0.0118883
Long
ABS-MBS
CORP
US
N
2
2033-07-25
Floating
3.76786
N
N
N
N
N
N
BEAR STEARNS ADJ RATE MTGE TR 2003-5
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 2A1
07384MWN8
680790.150000
PA
USD
679520.820000
0.0044289
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
4.38711
N
N
N
N
N
N
BEAR STEARNS ADJ RATE MTGE TR 2007-3
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1
073881AA2
657371.740000
PA
USD
641752.920000
0.0041828
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
4.33268
Y
N
N
N
N
N
BEAR STEARNS ADJUST RT MTGE TR 2000-
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1
07384MAA0
29409.850000
PA
USD
29052.310000
0.0001894
Long
ABS-MBS
CORP
US
N
2
2030-11-25
Floating
2.78087
N
N
N
N
N
N
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1
07384MZS4
32027.280000
PA
USD
33498.330000
0.0002183
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
4.15277
N
N
N
N
N
N
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1
07384MZV7
120725.630000
PA
USD
124157.360000
0.0008092
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
4.28346
N
N
N
N
N
N
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1
07384M4E9
38660.980000
PA
USD
38610.130000
0.0002516
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
3.85085
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2004-8
N/A
BEAR STEARNS ALT A TRUST BALTA 2004 8 1A
07386HKS9
408202.440000
PA
USD
409116.730000
0.0026665
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
2.492
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-10
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 10 24A1
07386HZJ3
1049861.170000
PA
USD
1087961.890000
0.0070910
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
3.61798
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-4
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2
07386HSZ5
123024.710000
PA
USD
125315.870000
0.0008168
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
4.41308
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-7
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1
07386HVS7
1631094.870000
PA
USD
1353274.400000
0.0088202
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
4.1033
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-6
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 6 31A1
073868AV3
1733756.690000
PA
USD
1610437.350000
0.0104963
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
4.47961
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-8
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1
07387QAX8
454517.600000
PA
USD
440228.980000
0.0028693
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
1.952
N
N
N
N
N
N
BEAR STEARNS ARM TR 2004-8
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 11A2
07384MZ96
350378.360000
PA
USD
343894.430000
0.0022414
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
4.6619
N
N
N
N
N
N
BEAR STEARNS ARM TR 2004-8
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 13A1
07384M2C5
4737442.330000
PA
USD
4078412.460000
0.0265819
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
3.87238
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1
07384YGX8
19216.480000
PA
USD
19282.310000
0.0001257
Long
ABS-MBS
CORP
US
N
2
2042-11-25
Floating
2.792
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE11
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE11 M2
0738793P1
838398.560000
PA
USD
840415.410000
0.0054776
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.467
Y
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 1A1
07387YAA1
431708.510000
PA
USD
432352.100000
0.0028179
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
3.042
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 1A1
07387VAA7
1065197.970000
PA
USD
1071451.430000
0.0069834
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
2.792
N
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2001-3
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 A2
07384YBM7
65606.950000
PA
USD
64381.070000
0.0004196
Long
ABS-MBS
CORP
US
N
2
2032-10-27
Floating
2.592
N
N
N
N
N
N
BEAR STEARNS ASSETBK SEC 2005-AQ2
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2005 AQ2 M1
0738792V9
6540892.340000
PA
USD
6527618.910000
0.0425450
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.282
Y
N
N
N
N
N
BEAR STEARNS ASSETBK SECU INC 2002-
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2002 2 A1
07384YEM4
144981.900000
PA
USD
145732.940000
0.0009498
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Floating
2.452
N
N
N
N
N
N
BENEFIT STREET PARTNERS CLO LTD 2015-VIIA
N/A
BENEFIT STREET PARTNERS CLO LT BSP 2015 VIIA A1AR 144A
08180RAL9
2690086.680000
PA
USD
2688090.610000
0.0175202
Long
ABS-CBDO
CORP
KY
N
2
2027-07-18
Floating
2.78325
N
N
N
N
N
N
BGC PARTNERS INC
TF1LXM1YNB81WKUH5G19
BGC PARTNERS INC SR UNSECURED 05/21 5.125
05541TAH4
2550000.000000
PA
USD
2633938.380000
0.0171672
Long
DBT
CORP
US
N
2
2021-05-27
Fixed
5.125
N
N
N
N
N
N
BLACK DIAMOND CLO LTD 2013-1
N/A
BLACK DIAMOND CLO LTD BLACK 2013 1A A1R 144A
09202LAL4
1192239.540000
PA
USD
1193225.690000
0.0077771
Long
ABS-CBDO
CORP
KY
N
2
2026-02-06
Floating
3.05213
N
N
N
N
N
N
BLUEMOUNTAIN CLO LTD 2015-1A
N/A
BLUEMOUNTAIN CLO LTD BLUEM 2015 1A A1R 144A
09627XAU5
12637031.090000
PA
USD
12645038.670000
0.0824165
Long
ABS-CBDO
CORP
KY
N
2
2027-04-13
Floating
3.33088
N
N
N
N
N
N
BMW FINANCE NV
5299006ZHG3IXU0PNJ56
BMW FINANCE NV COMPANY GUAR 144A 08/22 VAR
05600LAD8
30000000.000000
PA
USD
30230595.000000
0.1970338
Long
DBT
CORP
NL
N
2
2022-08-12
Floating
2.69063
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US CAPITAL LLC COMPANY GUAR 144A 04/21 VAR
05565EAV7
11110000.000000
PA
USD
11130569.050000
0.0725457
Long
DBT
CORP
US
N
2
2021-04-12
Floating
2.41088
N
N
N
N
N
N
BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)
254900H06V5RMEB3KE72
BOC AVIATION LTD SR UNSECURED 144A 05/21 VAR
09681LAG5
39630000.000000
PA
USD
39811975.810000
0.2594824
Long
DBT
CORP
SG
N
2
2021-05-02
Floating
2.95225
N
N
N
N
N
N
BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)
254900H06V5RMEB3KE72
BOC AVIATION LTD SR UNSECURED 144A 09/21 2.375
09681LAC4
3400000.000000
PA
USD
3391330.000000
0.0221037
Long
DBT
CORP
SG
N
2
2021-09-15
Fixed
2.375
N
N
N
N
N
N
BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)
254900H06V5RMEB3KE72
BOC AVIATION LTD SR UNSECURED 144A 09/22 2.75
09681LAD2
22200000.000000
PA
USD
22292884.580000
0.1452983
Long
DBT
CORP
SG
N
2
2022-09-18
Fixed
2.75
N
N
N
N
N
N
BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)
254900H06V5RMEB3KE72
BOC AVIATION LTD SR UNSECURED REGS 03/20 3
09681MAA6
8920000.000000
PA
USD
8930424.890000
0.0582058
Long
DBT
CORP
SG
N
2
2020-03-30
Fixed
3
N
N
N
N
N
N
BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)
254900H06V5RMEB3KE72
BOC AVIATION LTD SR UNSECURED REGS 05/21 VAR
09681MAG3
26910000.000000
PA
USD
27033567.220000
0.1761966
Long
DBT
CORP
SG
N
2
2021-05-02
Floating
2.95225
N
N
N
N
N
N
BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)
254900H06V5RMEB3KE72
BOC AVIATION LTD SR UNSECURED REGS 05/22 3
BZ12VMII6
12427000.000000
PA
USD
12534234.070000
0.0816943
Long
DBT
CORP
SG
N
2
2022-05-23
Fixed
3
N
N
N
N
N
N
BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)
254900H06V5RMEB3KE72
BOC AVIATION LTD SR UNSECURED REGS 09/21 2.375
09681MAC2
16708000.000000
PA
USD
16665394.600000
0.1086200
Long
DBT
CORP
SG
N
2
2021-09-15
Fixed
2.375
N
N
N
N
N
N
BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)
254900H06V5RMEB3KE72
BOC AVIATION LTD SR UNSECURED REGS 09/22 2.75
09681MAD0
19000000.000000
PA
USD
19079495.810000
0.1243544
Long
DBT
CORP
SG
N
2
2022-09-18
Fixed
2.75
N
N
N
N
N
N
BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)
254900H06V5RMEB3KE72
BOC AVIATION LTD SR UNSECURED REGS 09/23 VAR
09681MAH1
7760000.000000
PA
USD
7810711.600000
0.0509078
Long
DBT
CORP
SG
N
2
2023-09-26
Floating
3.07163
N
N
N
N
N
N
BORAL FINANCE PTY LTD
549300X2TYFVNPM0UT91
BORAL FINANCE PTY LTD COMPANY GUAR 144A 11/22 3
09952AAA4
800000.000000
PA
USD
803167.980000
0.0052348
Long
DBT
CORP
AU
N
2
2022-11-01
Fixed
3
N
N
N
N
N
N
BRASS NO 8 PLC 8A
N/A
BRASS PLC BRASS 8A A1 144A
10554MAA8
18000000.000000
PA
USD
18008181.000000
0.1173719
Long
ABS-MBS
CORP
GB
N
2
2066-11-16
Floating
2.80602
N
N
N
N
N
N
BRAVO MORTGAGE ASSET TRUST 2006-1A
N/A
BRAVO MORTGAGE ASSET TRUST BMAT 2006 1A A2 144A
105667AB5
295709.090000
PA
USD
296312.750000
0.0019313
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
2.032
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PART SR UNSECURED 02/22 VAR
11120VAG8
35500000.000000
PA
USD
35489375.920000
0.2313090
Long
DBT
CORP
US
N
2
2022-02-01
Floating
2.95913
N
N
N
N
N
N
BROADCOM CORP / BROADCOM CAYMAN FINANCE LTD
N/A
BROADCOM CRP / CAYMN FI COMPANY GUAR 01/20 2.375
11134LAB5
206000000.000000
PA
USD
206010938.600000
1.3427168
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
2.375
N
N
N
N
N
N
BROADCOM CORP / BROADCOM CAYMAN FINANCE LTD
N/A
BROADCOM CRP / CAYMN FI COMPANY GUAR 01/21 2.2
11134LAK5
8378000.000000
PA
USD
8384958.100000
0.0546506
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
2.2
N
N
N
N
N
N
BROADCOM CORP / BROADCOM CAYMAN FINANCE LTD
N/A
BROADCOM CRP / CAYMN FI COMPANY GUAR 01/22 3
11134LAD1
8116000.000000
PA
USD
8235418.580000
0.0536760
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3
N
N
N
N
N
N
BROADCOM CORP / BROADCOM CAYMAN FINANCE LTD
N/A
BROADCOM CRP / CAYMN FI COMPANY GUAR 01/23 2.65
11134LAM1
800000.000000
PA
USD
804615.840000
0.0052442
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.65
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC COMPANY GUAR 144A 04/21 3.125
11135FAA9
55347000.000000
PA
USD
56021180.150000
0.3651291
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
3.125
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC COMPANY GUAR 144A 10/22 3.125
11135FAC5
6200000.000000
PA
USD
6315253.350000
0.0411609
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
3.125
N
N
N
N
N
N
BROOKSIDE MILL CLO LTD 2013-1A
N/A
BROOKSIDE MILL CLO LTD BSMC 2013 1A AR 144A
114521AL1
5000000.000000
PA
USD
4975696.250000
0.0324301
Long
ABS-CBDO
CORP
KY
N
2
2028-01-17
Floating
2.82213
N
N
N
N
N
N
CALIFORNIA STATE
N/A
CALIFORNIA ST CAS 04/47 FLOATING VAR
13063DAF5
50810000.000000
PA
USD
51009175.200000
0.3324623
Long
DBT
MUN
US
N
2
2047-04-01
Floating
2.543
N
N
N
N
N
N
CAMPBELL SOUP COMPANY
5493007JDSMX8Z5Z1902
CAMPBELL SOUP CO SR UNSECURED 03/21 VAR
134429BC2
9585000.000000
PA
USD
9607402.830000
0.0626181
Long
DBT
CORP
US
N
2
2021-03-15
Floating
2.52363
N
N
N
N
N
N
CANTOR FITZGERALD LP
549300RLUEEVQEMX0450
CANTOR FITZGERALD LP SR UNSECURED 144A 05/24 4.875
138616AE7
4900000.000000
PA
USD
5225059.920000
0.0340554
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
4.875
N
N
N
N
N
N
CARRINGTON MORTGAGE LN TR 2005-NC3
N/A
CARRINGTON MORTGAGE LOAN TRUST CARR 2005 NC3 M2
144531CZ1
994236.370000
PA
USD
1003615.800000
0.0065413
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
2.252
N
N
N
N
N
N
CENT CLO LP 2013-19A
N/A
CENT CLO LP CECLO 2013 19A A1A 144A
12518XAA5
514242.900000
PA
USD
515301.940000
0.0033586
Long
ABS-CBDO
CORP
KY
N
2
2025-10-29
Floating
3.25813
N
N
N
N
N
N
CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED
3538005TH2GJERPBFN83
CENTRAL NIPPON EXPRESSWY SR UNSECURED REGS 02/21 2.241
ACI0KH2X1
8450000.000000
PA
USD
8471379.770000
0.0552139
Long
DBT
CORP
JP
N
2
2021-02-16
Fixed
2.241
N
N
N
N
N
N
CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED
3538005TH2GJERPBFN83
CENTRAL NIPPON EXPRESSWY SR UNSECURED REGS 02/22 VAR
ACI10JL08
26200000.000000
PA
USD
26181396.170000
0.1706424
Long
DBT
CORP
JP
N
2
2022-02-15
Floating
2.36988
N
N
N
N
N
N
CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED
3538005TH2GJERPBFN83
CENTRAL NIPPON EXPRESSWY SR UNSECURED REGS 03/22 VAR
ACI0SQFL5
37880000.000000
PA
USD
38122944.520000
0.2484738
Long
DBT
CORP
JP
N
2
2022-03-03
Floating
2.7155
N
N
N
N
N
N
CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED
3538005TH2GJERPBFN83
CENTRAL NIPPON EXPRESSWY SR UNSECURED REGS 04/21 2.293
ACI0LZ657
16928000.000000
PA
USD
16954520.250000
0.1105044
Long
DBT
CORP
JP
N
2
2021-04-23
Fixed
2.293
N
N
N
N
N
N
CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED
3538005TH2GJERPBFN83
CENTRAL NIPPON EXPRESSWY SR UNSECURED REGS 04/21 VAR
ACI0M4ZZ7
16900000.000000
PA
USD
17039640.480000
0.1110592
Long
DBT
CORP
JP
N
2
2021-04-23
Floating
3.004
N
N
N
N
N
N
CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED
3538005TH2GJERPBFN83
CENTRAL NIPPON EXPRESSWY SR UNSECURED REGS 08/20 VAR
ACI0WD1P5
28000000.000000
PA
USD
28037328.480000
0.1827388
Long
DBT
CORP
JP
N
2
2020-08-04
Floating
2.4305
N
N
N
N
N
N
CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED
3538005TH2GJERPBFN83
CENTRAL NIPPON EXPRESSWY SR UNSECURED REGS 09/20 2.381
BYQC6SII5
9700000.000000
PA
USD
9708750.660000
0.0632787
Long
DBT
CORP
JP
N
2
2020-09-17
Fixed
2.381
N
N
N
N
N
N
CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED
3538005TH2GJERPBFN83
CENTRAL NIPPON EXPRESSWY SR UNSECURED REGS 09/21 2.091
ACI0PN1Y2
2100000.000000
PA
USD
2095498.920000
0.0136578
Long
DBT
CORP
JP
N
2
2021-09-14
Fixed
2.091
N
N
N
N
N
N
CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED
3538005TH2GJERPBFN83
CENTRAL NIPPON EXPRESSWY SR UNSECURED REGS 09/21 VAR
ACI0PMVY1
62400000.000000
PA
USD
62801165.860000
0.4093189
Long
DBT
CORP
JP
N
2
2021-09-14
Floating
2.74363
N
N
N
N
N
N
CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED
3538005TH2GJERPBFN83
CENTRAL NIPPON EXPRESSWY SR UNSECURED REGS 11/21 VAR
ACI0YDH84
114500000.000000
PA
USD
114666098.280000
0.7473588
Long
DBT
CORP
JP
N
2
2021-11-02
Floating
2.4505
N
N
N
N
N
N
CENTRICA PLC
E26EDV109X6EEPBKVH76
CENTRICA PLC SR UNSECURED REGS 09/20 VAR
G2018ZBA8
10600000.000000
PA
USD
10608634.440000
0.0691439
Long
DBT
CORP
GB
N
2
2020-09-25
Floating
2.94663
N
N
N
N
N
N
CGGS COMMERCIAL MORTGAGE TRUST 2018-WSS
N/A
CGGS COMMERCIAL MORTGAGE TRUST CGGS 2018 WSS A 144A
12533AAA6
12200000.000000
PA
USD
12185850.440000
0.0794237
Long
ABS-MBS
CORP
US
N
2
2037-02-15
Floating
2.63975
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 02/24 VAR
161175BP8
79100000.000000
PA
USD
81419018.210000
0.5306645
Long
DBT
CORP
US
N
2
2024-02-01
Floating
3.55913
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 07/20 3.579
161175AX2
85349000.000000
PA
USD
85899711.860000
0.5598683
Long
DBT
CORP
US
N
2
2020-07-23
Fixed
3.579
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 07/22 4.464
161175BB9
25700000.000000
PA
USD
27010642.180000
0.1760472
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.464
N
N
N
N
N
N
CHASE FUNDING MTGE LN ASSET BK 2002-3
N/A
CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 3 2A1
161546DB9
24846.540000
PA
USD
24482.600000
0.0001596
Long
ABS-MBS
CORP
US
N
2
2032-08-25
Floating
2.432
N
N
N
N
N
N
CHASE MORTGAGE FINANCE CORP 2007-A1
N/A
CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 11M1
161630BD9
230717.120000
PA
USD
231841.590000
0.0015111
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
4.17151
Y
N
N
N
N
N
CHEVY CHASE MTGE FUNDING CORP 2004-3A
N/A
CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A1 144A
16678RBU0
111245.020000
PA
USD
110631.630000
0.0007211
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.042
N
N
N
N
N
N
CHIBA BANK LTD
FGJPAKKCTZVSKZXNBS63
CHIBA BANK LTD SR UNSECURED REGS 07/20 2.75
ACI0FT4X9
16950000.000000
PA
USD
16966934.070000
0.1105853
Long
DBT
CORP
JP
N
2
2020-07-29
Fixed
2.75
N
N
N
N
N
N
CHINA MINMETALS (MINMETALS BOUNTEOUS FINANCE BVI LTD)
3003005FATJ63Y0MR949
MINMETALS BOUNTEOUS FINA COMPANY GUAR REGS 07/20 3.5
ACI0FS8Z2
4800000.000000
PA
USD
4828631.230000
0.0314716
Long
DBT
CORP
VG
N
2
2020-07-30
Fixed
3.5
N
N
N
N
N
N
CHINA SHENHUA OVERSEAS CAPITAL COMPANY LIMITED
N/A
SHENHUA OVERSEAS CAPITAL COMPANY GUAR REGS 01/20 3.125
ACI0BHHK3
6100000.000000
PA
USD
6101658.960000
0.0397688
Long
DBT
CORP
VG
N
2
2020-01-20
Fixed
3.125
N
N
N
N
N
N
CHUGOKU ELECTRIC POWER CO INC
353800MV866ELME96Q46
CHUGOKU ELECTRIC POWER SR SECURED REGS 03/20 2.701
ACI0T05S7
15510000.000000
PA
USD
15518695.220000
0.1011461
Long
DBT
CORP
JP
N
2
2020-03-16
Fixed
2.701
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP COMPANY GUAR 07/23 VAR
125523AC4
52433000.000000
PA
USD
52747662.490000
0.3437933
Long
DBT
CORP
US
N
2
2023-07-15
Floating
2.89088
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP COMPANY GUAR 09/21 VAR
125523AB6
54200000.000000
PA
USD
54203307.280000
0.3532807
Long
DBT
CORP
US
N
2
2021-09-17
Floating
2.54963
N
N
N
N
N
N
CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD)
529900Q5XXSXHRQERC81
CIMIC GROUP LTD RECVBL PP30J3P69
938BWP003
61940721.000000
PA
USD
61640101.000000
0.4017515
Long
DBT
CORP
US
Y
2
2020-02-18
None
0
N
N
N
N
N
N
CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD)
529900Q5XXSXHRQERC81
CIMIC GROUP LTD RECVBL PP9N3N8L2
936HSV004
883766.000000
PA
USD
883715.690000
0.0057598
Long
DBT
CORP
US
Y
2
2020-01-07
None
0
N
N
N
N
N
N
CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD)
529900Q5XXSXHRQERC81
CIMIC GROUP LTD RECVBL PPA331U29
936HSU006
22658538.000000
PA
USD
22657248.050000
0.1476731
Long
DBT
CORP
US
Y
2
2020-01-07
None
0
N
N
N
N
N
N
CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD)
529900Q5XXSXHRQERC81
CIMIC GROUP LTD RECVBL PPA331U37
934CTN004
42474538.000000
PA
USD
42472119.920000
0.2768204
Long
DBT
CORP
US
Y
2
2020-01-07
None
0
N
N
N
N
N
N
CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD)
529900Q5XXSXHRQERC81
CIMIC GROUP LTD RECVBL PPE09KZ93
934CTM006
33697165.000000
PA
USD
33695246.620000
0.2196154
Long
DBT
CORP
US
Y
2
2020-01-07
None
0
N
N
N
N
N
N
CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD)
529900Q5XXSXHRQERC81
PP30KI1D5
965TER907
33000020.000000
PA
USD
32753791.670000
0.2134793
Long
DBT
CORP
US
Y
2
2020-03-09
None
0
N
N
N
N
N
N
CIT GROUP HOME EQUITY LOAN TRUS 2002-2
N/A
CIT GROUP HOME EQUITY LOAN TRU CITHE 2002 2 AV
12558MBB7
14098.480000
PA
USD
14105.090000
0.0000919
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Floating
2.332
N
N
N
N
N
N
CIT GROUP INC
N8O96ZZJQRFYQUJY7K79
CIT GROUP INC SR UNSECURED 08/22 5
125581GQ5
900000.000000
PA
USD
956243.700000
0.0062325
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA SR UNSECURED 05/22 VAR
17325FAX6
83100000.000000
PA
USD
83437538.070000
0.5438206
Long
DBT
CORP
US
N
2
2022-05-20
Floating
2.4985
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SR UNSECURED 06/24 VAR
172967MA6
20800000.000000
PA
USD
21053681.170000
0.1372215
Long
DBT
CORP
US
N
2
2024-06-01
Floating
2.92988
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SR UNSECURED 07/23 VAR
172967LN9
4000000.000000
PA
USD
4036126.760000
0.0263062
Long
DBT
CORP
US
N
2
2023-07-24
Floating
2.886
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SR UNSECURED 11/22 VAR
17308CC38
14800000.000000
PA
USD
14877973.800000
0.0969701
Long
DBT
CORP
US
N
2
2022-11-04
Floating
2.41
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TR 2004-HYB2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB2 2A
17307GEC8
32407.850000
PA
USD
32415.970000
0.0002113
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Floating
5.1327
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2014-11
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 11 2A1 144A
17323JAD4
4492899.140000
PA
USD
4475122.090000
0.0291675
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
1.848
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2019-B
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2019 B A1 144A
17327VAA9
5529305.230000
PA
USD
5547926.820000
0.0361597
Long
ABS-MBS
CORP
US
N
2
2066-04-25
Fixed
3.258
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2019-C
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2019 C A1 144A
17328GAA1
10937236.770000
PA
USD
10966655.750000
0.0714773
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
3.228
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2006-AR1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 1A1
17307G2Z0
60757.180000
PA
USD
60867.960000
0.0003967
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
4.97
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2006-AR7
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 1A3A
172987AD1
168140.210000
PA
USD
155923.530000
0.0010163
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
4.12967
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-10
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA
17313QAL2
1401459.760000
PA
USD
1373804.890000
0.0089540
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
4.16948
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AHL3
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3A
17312GAA9
293973.870000
PA
USD
229484.560000
0.0014957
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
1.852
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2008-RR1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2008 RR1 A1A1 144A
173145AA1
223368.680000
PA
USD
208172.840000
0.0013568
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.862
N
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-11
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A
17307GW53
150162.160000
PA
USD
152655.750000
0.0009950
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
4.81
N
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-3
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A
17307GTJ7
436832.500000
PA
USD
444425.960000
0.0028966
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
4.52128
N
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-6
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A3
17307GXR4
14508.530000
PA
USD
14391.160000
0.0000938
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
4.2
N
N
N
N
N
N
CIVIC MORTGAGE LLC 2018-2
N/A
CIVIC MORTGAGE LLC CIVIC 2018 2 A1 144A
178838AA6
2616076.480000
PA
USD
2616806.630000
0.0170556
Long
ABS-MBS
CORP
US
N
2
2022-11-25
Fixed
4.3493
N
N
N
N
N
N
CK HUTCHISON INTERNATIONAL (17) LIMITED
254900TNOJOSKVTDPK87
CK HUTCH INTL 17 II LTD COMPANY GUAR 144A 09/20 2.25
12563XAA9
1606000.000000
PA
USD
1605378.410000
0.0104634
Long
DBT
CORP
KY
N
2
2020-09-29
Fixed
2.25
N
N
N
N
N
N
CLNC 2019-FL1 LTD
N/A
CLNC 2019 FL1, LTD CLNC 2019 FL1 A 144A
12565DAA1
46900000.000000
PA
USD
46958549.960000
0.3060616
Long
ABS-O
CORP
KY
N
2
2035-08-20
Floating
2.98325
N
N
N
N
N
N
CNH INDUSTRIAL CAPITAL LLC
549300PNSJ5B81UMVO28
CNH INDUSTRIAL CAP LLC COMPANY GUAR 10/21 3.875
12592BAG9
2640000.000000
PA
USD
2716667.050000
0.0177064
Long
DBT
CORP
US
N
2
2021-10-15
Fixed
3.875
N
N
N
N
N
N
CNH INDUSTRIAL CAPITAL LLC
549300PNSJ5B81UMVO28
CNH INDUSTRIAL CAP LLC COMPANY GUAR 11/20 4.375
12592BAE4
2300000.000000
PA
USD
2340250.000000
0.0152530
Long
DBT
CORP
US
N
2
2020-11-06
Fixed
4.375
N
N
N
N
N
N
CNPC (HK) OVERSEAS CAPITAL LTD
N/A
CNPC HK OVERSEAS CAPITAL COMPANY GUAR REGS 04/21 4.5
G21895AB6
1400000.000000
PA
USD
1439269.370000
0.0093807
Long
DBT
CORP
VG
N
2
2021-04-28
Fixed
4.5
N
N
N
N
N
N
COLONY AMERICAN FINANCE LTD 2016-1
N/A
COLONY AMERICAN FINANCE LTD CAFL 2016 1 A 144A
19625GAA7
3263184.020000
PA
USD
3257318.770000
0.0212302
Long
ABS-MBS
CORP
US
N
2
2048-06-15
Fixed
2.544
N
N
N
N
N
N
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2013-CR6
N/A
COMM MORTGAGE TRUST COMM 2013 CR6 A3FL 144A
12624XAF5
10716906.150000
PA
USD
10702842.350000
0.0697579
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Floating
2.36563
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST 2017-AGS
N/A
COMMONBOND STUDENT LOAN TRUST CBSLT 2017 AGS A1 144A
20267VAA5
4848562.100000
PA
USD
4816535.410000
0.0313927
Long
ABS-O
CORP
US
N
2
2041-05-25
Fixed
2.55
N
N
N
N
N
N
CONAGRA BRANDS INC
54930035UDEIH090K650
CONAGRA BRANDS INC SR UNSECURED 10/20 VAR
205887BW1
46874700.000000
PA
USD
46950681.540000
0.3060103
Long
DBT
CORP
US
N
2
2020-10-09
Floating
2.512
N
N
N
N
N
N
CONAGRA BRANDS INC
54930035UDEIH090K650
CONAGRA BRANDS INC SR UNSECURED 10/20 VAR
205887BX9
12000000.000000
PA
USD
12001235.040000
0.0782204
Long
DBT
CORP
US
N
2
2020-10-22
Floating
2.70325
N
N
N
N
N
N
CONAGRA BRANDS INC
54930035UDEIH090K650
CONAGRA BRANDS INC SR UNSECURED 10/21 3.8
205887BZ4
1500000.000000
PA
USD
1547909.130000
0.0100888
Long
DBT
CORP
US
N
2
2021-10-22
Fixed
3.8
N
N
N
N
N
N
CONAGRA BRANDS INC
54930035UDEIH090K650
CONAGRA BRANDS INC SR UNSECURED 11/25 4.6
205887CB6
2700000.000000
PA
USD
2982078.230000
0.0194363
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
4.6
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC COMPANY GUAR 11/21 VAR
21036PBA5
22444000.000000
PA
USD
22447992.560000
0.1463092
Long
DBT
CORP
US
N
2
2021-11-15
Floating
2.60988
N
N
N
N
N
N
CONTIMORTGAGE HOME EQUITY LN 1996-1
N/A
CONTIMORTGAGE HOME EQUITY LOAN CONHE 1996 1 A8
21075WCK9
374.300000
PA
USD
374.540000
0.0000024
Long
ABS-MBS
CORP
US
N
2
2027-03-15
Floating
2.07975
N
N
N
N
N
N
CONTINENTAL AIRLINES 2010 CLASS A PASS THRU TRUST
N/A
CONTL AIRLINES 2010 A PASS THRU CE 07/22 4.75
21079VAA1
381351.210000
PA
USD
389584.050000
0.0025392
Long
DBT
CORP
US
N
2
2022-07-12
Fixed
4.75
N
N
N
N
N
N
CONTINENTAL AIRLINES 2012-2 CLASS B PASS THRU CERTIFICATES
N/A
CONTL AIRLINES 2012 2 B PASS THRU CE 04/22 5.5
210795QC7
2411647.250000
PA
USD
2457186.870000
0.0160152
Long
DBT
CORP
US
N
2
2022-04-29
Fixed
5.5
N
N
N
N
N
N
CONTINENTAL RESOURCES INC
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES COMPANY GUAR 09/22 5
212015AH4
14830000.000000
PA
USD
14938168.540000
0.0973625
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
5
N
N
N
N
N
N
COUNTRYWIDE ALT LOAN TRUST 2006-OA17
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A
12668PAA0
1918452.510000
PA
USD
1684494.160000
0.0109790
Long
ABS-MBS
CORP
US
N
2
2046-12-20
Floating
1.95963
Y
N
N
N
N
N
COUNTRYWIDE ALT LOAN TRUST 2006-OA22
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA22 A1
23245PAA9
108651.050000
PA
USD
105950.070000
0.0006906
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
1.952
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-62
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1
12668ATT2
367806.520000
PA
USD
336967.670000
0.0021963
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
3.23948
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-76
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 2A1
12668BDE0
233807.820000
PA
USD
222494.630000
0.0014502
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
3.23948
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1
12668RAA6
2880036.300000
PA
USD
2292390.240000
0.0149411
Long
ABS-MBS
CORP
US
N
2
2047-02-20
Floating
1.94463
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A9
02147BAJ4
127223.010000
PA
USD
84541.270000
0.0005510
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1
02149DAN9
619723.730000
PA
USD
609381.220000
0.0039718
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
4.24219
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B
02147DAB7
685493.520000
PA
USD
651007.230000
0.0042431
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
1.982
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A
02146YAC0
991865.770000
PA
USD
736056.050000
0.0047974
Long
ABS-MBS
CORP
US
N
2
2046-07-20
Floating
1.97463
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2003-J3
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2003 J3 2A1
12669FFD0
118556.020000
PA
USD
122280.010000
0.0007970
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Fixed
6.25
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A2
12668BE33
185849.010000
PA
USD
178498.030000
0.0011634
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
2.002
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A
126680AA5
1959495.070000
PA
USD
1879338.790000
0.0122490
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
1.972
N
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERT 2007-SEA1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SEA1 2A1 144A
23248AAJ0
230066.090000
PA
USD
225577.320000
0.0014702
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
2.082
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2002-3
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2002 3 1A1
126671RM0
163614.910000
PA
USD
160119.570000
0.0010436
Long
ABS-MBS
CORP
US
N
2
2032-05-25
Floating
2.532
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2004-1
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2004 1 M2
126671Z33
1581920.740000
PA
USD
1580387.070000
0.0103005
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Floating
2.617
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2004-12
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2004 12 MV4
126673NW8
1635423.410000
PA
USD
1639066.640000
0.0106829
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
3.217
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2004-6
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A1
126673AW2
6027092.820000
PA
USD
6026668.510000
0.0392800
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
2.332
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2004-AB2
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2004 AB2 M3
126673QH8
555000.000000
PA
USD
553087.140000
0.0036049
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.692
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-13
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 2A2
126698AD1
2080858.930000
PA
USD
2028745.070000
0.0132227
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Floating
2.592
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTIFICATES 2004-BC5
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2004 BC5 M5
126673PS5
2278508.950000
PA
USD
2295240.950000
0.0149597
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
3.292
N
N
N
N
N
N
COUNTRYWIDE HOME EQUITY LN TRUST 2006-I
N/A
COUNTRYWIDE HOME EQUITY LOAN T CWHEL 2006 I 2A
12668FAB0
13481.230000
PA
USD
12989.170000
0.0000847
Long
ABS-MBS
CORP
US
N
2
2037-01-15
Floating
1.87975
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2001-HYB1
N/A
COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 3A2
12669B2Z4
2992.950000
PA
USD
3030.940000
0.0000198
Long
ABS-MBS
CORP
US
N
2
2031-07-19
Floating
4.75
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2003-R4
N/A
COUNTRYWIDE HOME LOANS CWHL 2003 R4 2A 144A
12669FFS7
9108.180000
PA
USD
9054.500000
0.0000590
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Variable
4.93086
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-2
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1
12669GPN5
219018.230000
PA
USD
203575.230000
0.0013268
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.432
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-3
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1
12669GTV3
16820.230000
PA
USD
15995.170000
0.0001043
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
2.372
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-9
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3
12669GZQ7
157421.010000
PA
USD
145812.610000
0.0009504
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.252
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-R2
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 R2 1AF1 144A
12669GN64
1785235.740000
PA
USD
1728702.140000
0.0112672
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
2.132
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2007-HY4
N/A
COUNTRYWIDE HOME LOANS CWHL 2007 HY4 1A1
17025RAA3
113003.850000
PA
USD
108599.590000
0.0007078
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Floating
3.78851
Y
N
N
N
N
N
CREDIT AGRICOLE CIB FINANCIAL SOLUTIONS
969500HUHIE5GG515X42
CREDIT AGRICOLE FIN SOL COMPANY GUAR REGS 01/20 VAR
F2R77TQ81
18300000.000000
PA
USD
18299456.860000
0.1192703
Long
DBT
CORP
FR
N
2
2020-01-27
Floating
2
N
N
N
N
N
N
CREDIT BASED ASSET SRVC & SEC 2006-CB9
N/A
CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1
12465MAA2
45424.650000
PA
USD
27752.180000
0.0001809
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.852
N
N
N
N
N
N
CREDIT BASED ASSET SRVC & SEC 2007-CB6
N/A
CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A1 144A
1248RHAA5
301088.610000
PA
USD
200241.390000
0.0013051
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
1.912
N
N
N
N
N
N
CREDIT SUISSE AG/NEW YORK BRANCH
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE NEW YORK SR UNSECURED 11/21 2.1
22550L2A8
10000000.000000
PA
USD
10047088.600000
0.0654839
Long
DBT
CORP
CH
N
2
2021-11-12
Fixed
2.1
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A
22540VK43
31543.150000
PA
USD
30909.170000
0.0002015
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Floating
2.66802
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG SR UNSECURED 144A 06/24 VAR
225401AH1
23550000.000000
PA
USD
23843996.080000
0.1554079
Long
DBT
CORP
CH
N
2
2024-06-12
Floating
3.12725
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED
549300PXR5FKNXF0OH19
CRED SUIS GP FUN LTD COMPANY GUAR 04/21 VAR
225433AP6
59653000.000000
PA
USD
61167349.270000
0.3986702
Long
DBT
CORP
GG
N
2
2021-04-16
Floating
4.29325
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED
549300PXR5FKNXF0OH19
CRED SUIS GP FUN LTD COMPANY GUAR 09/22 3.8
225433AH4
5450000.000000
PA
USD
5673131.180000
0.0369757
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
3.8
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP A 144A
12651QAA7
15600000.000000
PA
USD
15578501.640000
0.1015359
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
2.48975
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP10
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP10 A1 144A
12597FAC4
2800000.000000
PA
USD
2802521.680000
0.0182660
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Fixed
3.318
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL4
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL4 A1 144A
22946AAC2
10355338.980000
PA
USD
10442746.330000
0.0680627
Long
ABS-MBS
CORP
US
N
2
2058-08-26
Fixed
3.83
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL8
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL8 A1 144A
12596YAC4
9952521.450000
PA
USD
9986289.360000
0.0650876
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Fixed
3.322
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL9
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL9 A1 144A
12654WAC7
21499138.200000
PA
USD
21517618.860000
0.1402453
Long
ABS-MBS
CORP
US
N
2
2059-10-27
Fixed
3.319
N
N
N
N
N
N
CREDIT-BASED ASSET SERVC SEC 2005-CB5
N/A
CREDIT BASED ASSET SERVICING A CBASS 2005 CB5 M1
12489WMZ4
4490000.000000
PA
USD
4462874.110000
0.0290877
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.392
N
N
N
N
N
N
CRH AMERICA INC
549300RN11MJ182CNF63
CRH AMERICA INC COMPANY GUAR 01/21 5.75
12626PAL7
400000.000000
PA
USD
413999.320000
0.0026983
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
5.75
N
N
N
N
N
N
CROWN POINT CLO LTD 2018-6A
N/A
CROWN POINT CLO LTD CRNPT 2018 6A A1 144A
22847DAL6
2950000.000000
PA
USD
2946555.960000
0.0192048
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
3.13588
N
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2001-HE17
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1
22540A7A0
1720.980000
PA
USD
1696.560000
0.0000111
Long
ABS-MBS
CORP
US
N
2
2032-01-25
Floating
2.412
N
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2003-AR26
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR26 6A1
22541QZU9
820076.860000
PA
USD
827615.660000
0.0053941
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Floating
4.07769
N
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2004-AR7
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR7 2A1
22541SRP5
235285.100000
PA
USD
245155.330000
0.0015978
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
4.35722
N
N
N
N
N
N
CSMC TRUST 2017-HD
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2017 HD A 144A
12651VAA6
7500000.000000
PA
USD
7497366.750000
0.0488656
Long
ABS-MBS
CORP
US
N
2
2031-02-15
Floating
2.68975
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP SR UNSECURED 03/21 VAR
126650DD9
16194000.000000
PA
USD
16297088.570000
0.1062195
Long
DBT
CORP
US
N
2
2021-03-09
Floating
2.605
N
N
N
N
N
N
CZECH REPUBLIC GOVT
3157007EFDLQABN47912
MOF OF CZECH REP T BILL BILLS 01/20 0.00000
ACI1HGFN3
132000000.000000
PA
5821641.440000
0.0379437
Long
DBT
NUSS
CZ
N
2
2020-01-10
None
0
N
N
N
N
N
N
D.R. HORTON INC
529900ZIUEYVSB8QDD25
D.R. HORTON INC COMPANY GUAR 02/20 4
23331ABK4
5907000.000000
PA
USD
5920358.330000
0.0385871
Long
DBT
CORP
US
N
2
2020-02-15
Fixed
4
N
N
N
N
N
N
D.R. HORTON INC
529900ZIUEYVSB8QDD25
D.R. HORTON INC COMPANY GUAR 09/22 4.375
23331ABE8
4500000.000000
PA
USD
4716971.190000
0.0307438
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
4.375
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE FUNDING LLC COMPANY GUAR 144A 08/20 4
23371DAC8
4100000.000000
PA
USD
4137463.750000
0.0269667
Long
DBT
CORP
US
N
2
2020-08-01
Fixed
4
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NA LLC COMPANY GUAR 144A 02/21 VAR
233851DA9
7500000.000000
PA
USD
7505924.250000
0.0489213
Long
DBT
CORP
US
N
2
2021-02-12
Floating
2.33063
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NA LLC COMPANY GUAR 144A 02/21 VAR
233851DC5
16417000.000000
PA
USD
16427246.010000
0.1070678
Long
DBT
CORP
US
N
2
2021-02-22
Floating
2.34875
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NA LLC COMPANY GUAR 144A 02/22 VAR
233851DQ4
56150000.000000
PA
USD
56588882.440000
0.3688292
Long
DBT
CORP
US
N
2
2022-02-22
Floating
2.77875
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NA LLC COMPANY GUAR 144A 02/22 VAR
233851DV3
28700000.000000
PA
USD
28930293.970000
0.1885589
Long
DBT
CORP
US
N
2
2022-02-15
Floating
2.80988
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NA LLC COMPANY GUAR 144A 03/21 2.875
233851BE3
3195000.000000
PA
USD
3223002.160000
0.0210066
Long
DBT
CORP
US
N
2
2021-03-10
Fixed
2.875
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NA LLC COMPANY GUAR 144A 05/21 VAR
233851DK7
43855000.000000
PA
USD
43923036.210000
0.2862770
Long
DBT
CORP
US
N
2
2021-05-04
Floating
2.45225
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NA LLC COMPANY GUAR 144A 05/23 VAR
233851DM3
19800000.000000
PA
USD
19892441.250000
0.1296529
Long
DBT
CORP
US
N
2
2023-05-04
Floating
2.74225
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NA LLC COMPANY GUAR 144A 10/21 2.2
233851CK8
1700000.000000
PA
USD
1702755.380000
0.0110980
Long
DBT
CORP
US
N
2
2021-10-30
Fixed
2.2
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NA LLC COMPANY GUAR 144A 11/21 VAR
233851DP6
8150000.000000
PA
USD
8186952.020000
0.0533601
Long
DBT
CORP
US
N
2
2021-11-05
Floating
2.5605
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NA LLC COMPANY GUAR REGS 05/21 VAR
U2339CDF2
900000.000000
PA
USD
901396.250000
0.0058750
Long
DBT
CORP
US
N
2
2021-05-04
Floating
2.45225
N
N
N
N
N
N
DAIMLER FINANCE NORTH AMERICA LLC
549300423Z16BB673J12
DAIMLER FINANCE NA LLC COMPANY GUAR REGS 11/21 VAR
U2339CDL9
21190000.000000
PA
USD
21286075.250000
0.1387362
Long
DBT
CORP
US
N
2
2021-11-05
Floating
2.5605
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S SR UNSECURED 144A 03/20 VAR
23636AAL5
1000000.000000
PA
USD
1000339.200000
0.0065199
Long
DBT
CORP
DK
N
2
2020-03-02
Floating
2.41688
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S SR UNSECURED 144A 03/21 2.8
23636AAE1
42300000.000000
PA
USD
42603425.940000
0.2776762
Long
DBT
CORP
DK
N
2
2021-03-10
Fixed
2.8
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S SR UNSECURED 144A 09/22 VAR
23636AAU5
26820000.000000
PA
USD
27033633.100000
0.1761970
Long
DBT
CORP
DK
N
2
2022-09-20
Floating
3.001
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S SR UNSECURED 144A 09/23 VAR
23636AAQ4
22500000.000000
PA
USD
22451001.300000
0.1463288
Long
DBT
CORP
DK
N
2
2023-09-12
Floating
2.94725
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S SR UNSECURED REGS 03/20 VAR
23636BAL3
545000.000000
PA
USD
545184.860000
0.0035533
Long
DBT
CORP
DK
N
2
2020-03-02
Floating
2.41688
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S SR UNSECURED REGS 09/20 2.75
23636BAD1
8402000.000000
PA
USD
8428453.530000
0.0549341
Long
DBT
CORP
DK
N
2
2020-09-17
Fixed
2.75
N
N
N
N
N
N
DBS GROUP HOLDINGS LTD
5493007FKT78NKPM5V55
DBS GROUP HOLDINGS LTD SR UNSECURED 144A 07/22 VAR
24023KAC2
7800000.000000
PA
USD
7838969.270000
0.0510920
Long
DBT
CORP
SG
N
2
2022-07-25
Floating
2.55963
N
N
N
N
N
N
DBS GROUP HOLDINGS LTD
5493007FKT78NKPM5V55
DBS GROUP HOLDINGS LTD SR UNSECURED REGS 07/22 VAR
24023LAC0
16200000.000000
PA
USD
16280936.170000
0.1061142
Long
DBT
CORP
SG
N
2
2022-07-25
Floating
2.55963
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST 2018-1
N/A
DELL EQUIPMENT FINANCE TRUST DEFT 2018 1 A2A 144A
24704AAB2
849904.670000
PA
USD
850996.540000
0.0055465
Long
ABS-O
CORP
US
N
2
2020-10-22
Fixed
3.16
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INT LLC / EMC CORP SR SECURED 144A 06/21 4.42
25272KAD5
53248000.000000
PA
USD
54799003.480000
0.3571633
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
4.42
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INT LLC / EMC CORP SR SECURED 144A 06/23 5.45
25272KAG8
5200000.000000
PA
USD
5640254.980000
0.0367615
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
5.45
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INT LLC / EMC CORP SR SECURED 144A 07/24 4
24703DAY7
9000000.000000
PA
USD
9427488.120000
0.0614455
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4
N
N
N
N
N
N
DELOS FINANCE SARL
549300HX549YWOJQT076
DELOS FIN S A R L TERM LOAN
L2324EAE1
420000.000000
PA
USD
422137.380000
0.0027514
Long
LON
CORP
LU
N
2
2023-10-06
Floating
3.6946
N
N
N
N
N
N
DELTA FUNDING HOME EQ LN TR 1999-3
N/A
DELTA FUNDING HOME EQUITY LOAN DELHE 1999 3 A1A
24763LFX3
24368.360000
PA
USD
24252.850000
0.0001581
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
2.55975
N
N
N
N
N
N
DEVELOPMENT BANK OF JAPAN INC (DBJ)
5493001HGBABMWFZUI25
DEVELOPMENT BK OF JAPAN SR UNSECURED REGS 04/21 VAR
BLTVH0II7
4000000.000000
PA
USD
4016670.600000
0.0261794
Long
DBT
CORP
JP
N
2
2021-04-23
Floating
2.504
N
N
N
N
N
N
DISH DBS CORPORATION
N/A
DISH DBS CORP COMPANY GUAR 05/20 5.125
25470XAQ8
1100000.000000
PA
USD
1108184.000000
0.0072228
Long
DBT
CORP
US
N
2
2020-05-01
Fixed
5.125
N
N
N
N
N
N
DNB BANK ASA (AKA: DNB NOR BANK ASA)
549300GKFG0RYRRQ1414
DNB BANK ASA SR UNSECURED 144A 12/22 2.15
23329PAE0
7900000.000000
PA
USD
7935370.120000
0.0517203
Long
DBT
CORP
NO
N
2
2022-12-02
Fixed
2.15
N
N
N
N
N
N
DNB BANK ASA (AKA: DNB NOR BANK ASA)
549300GKFG0RYRRQ1414
DNB BANK ASA SR UNSECURED 144A 12/22 VAR
23329PAD2
11700000.000000
PA
USD
11761977.360000
0.0766610
Long
DBT
CORP
NO
N
2
2022-12-02
Floating
2.52688
N
N
N
N
N
N
DOMINION ENERGY GAS HOLDINGS LLC
549300BFOD6TDMVV4O24
DOMINION ENERGY GAS HLDG SR UNSECURED 06/21 VAR
257375AM7
17000000.000000
PA
USD
17071013.590000
0.1112637
Long
DBT
CORP
US
N
2
2021-06-15
Floating
2.49363
N
N
N
N
N
N
DORCHESTER PARK CLO LTD 2015-1A
N/A
DORCHESTER PARK CLO LTD DORPK 2015 1A AR 144A
25820NAA2
8300000.000000
PA
USD
8297935.040000
0.0540834
Long
ABS-CBDO
CORP
IE
N
2
2028-04-20
Floating
2.86588
N
N
N
N
N
N
DORIC NIMROD AIR FINANCE ALPHA LTD 2012-1 CLASS A PASS THROUGH TRUST
N/A
DORIC NIMROD AIR 2012 1A PASS THRU CE 144A 11/24 5.125
258258AA0
1397336.500000
PA
USD
1429473.190000
0.0093169
Long
DBT
CORP
GG
N
2
2024-11-30
Fixed
5.125
N
N
N
N
N
N
DRUG ROYALTY II LP 1 SERIES 2014-1
N/A
DRUG ROYALTY II LP 1 DRUGB 2014 1 A1 144A
26223UAC3
370146.170000
PA
USD
370340.240000
0.0024138
Long
ABS-O
CORP
US
N
2
2023-07-15
Floating
5.15338
N
N
N
N
N
N
DRYDEN EURO CLO 16-46A
N/A
DRYDEN LEVERAGED LOAN CDO DRYD 2016 46A A1R 144A
ACI1C3DT6
10400000.000000
PA
11672311.860000
0.0760766
Long
ABS-CBDO
CORP
NL
N
2
2030-01-15
Floating
0.88
N
N
N
N
N
N
DUKINFIELD PLC 1
N/A
DUKINFIELD DKFLD 1 A REGS
ACI0GW577
1789637.970000
PA
2375087.790000
0.0154801
Long
ABS-MBS
CORP
GB
N
2
2045-08-15
Floating
1.78713
N
N
N
N
N
N
DUQUESNE LIGHT HOLDINGS INC
4CUJ1D8WDXK9X7QI6B93
DUQUESNE LIGHT HOLDINGS SR UNSECURED 144A 09/20 6.4
266233AC9
5240000.000000
PA
USD
5392372.550000
0.0351458
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
6.4
N
N
N
N
N
N
E-470 PUBLIC HIGHWAY AUTHORITY
549300164ZV2301BC703
E 470 CO PUBLIC HIGHWAY AUTH EHYTRN 09/39 FLOATING VAR
26822LMG6
1540000.000000
PA
USD
1553074.600000
0.0101225
Long
DBT
MUN
US
N
2
2039-09-01
Floating
2.243
N
N
N
N
N
N
ECMC GROUP STUDENT LOAN TRUST 2017-2
N/A
ECMC GROUP STUDENT LOAN TRUST ECMC 2017 2A A 144A
26828VAA4
1362894.080000
PA
USD
1358972.350000
0.0088574
Long
ABS-O
CORP
US
N
2
2067-05-25
Floating
2.842
N
N
N
N
N
N
ECMC GROUP STUDENT LOAN TRUST 2018-1A
N/A
ECMC GROUP STUDENT LOAN TRUST ECMC 2018 1A A 144A
26828HAA5
21961095.530000
PA
USD
21595252.230000
0.1407513
Long
ABS-O
CORP
US
N
2
2068-02-27
Floating
2.542
N
N
N
N
N
N
ECMC GROUP STUDENT LOAN TRUST 2019-1A
N/A
ECMC GROUP STUDENT LOAN TRUST ECMC 2019 1A A1B 144A
26829XAB7
13164452.860000
PA
USD
13103459.320000
0.0854044
Long
ABS-O
CORP
US
N
2
2069-07-25
Floating
2.792
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL SR UNSECURED 04/20 2.125
281020AK3
17561000.000000
PA
USD
17572034.630000
0.1145292
Long
DBT
CORP
US
N
2
2020-04-15
Fixed
2.125
N
N
N
N
N
N
EDUCATIONAL SERVICES OF AMERICA INC 2012-2
N/A
EDUCATIONAL SERVICES OF AMERIC EDUSA 2012 2 A 144A
28137QAA7
2566749.750000
PA
USD
2541096.880000
0.0165621
Long
ABS-O
CORP
US
N
2
2039-04-25
Floating
2.522
N
N
N
N
N
N
EFS VOLUNTEER LLC 2010-1
N/A
EFS VOLUNTEER LLC EFSV 2010 1 A2 144A
26844VAB2
4890465.180000
PA
USD
4845156.000000
0.0315793
Long
ABS-O
CORP
US
N
2
2035-10-25
Floating
2.78963
N
N
N
N
N
N
EGCLO 2018-1A
N/A
EVANS GROVE CLO LTD EGCLO 2018 1A A1 144A
29915RAA1
30200000.000000
PA
USD
30012640.710000
0.1956133
Long
ABS-CBDO
CORP
KY
N
2
2028-05-28
Floating
2.83375
N
N
N
N
N
N
EKSPORTFINANS ASA
HKDM6R5I7TEN7ODGZB21
EKSPORTFINANS ASA SR UNSECURED 11/20 VAR
ACI0SX1T8
49200000.000000
PA
USD
49236408.000000
0.3209080
Long
DBT
CORP
NO
N
2
2020-11-10
Floating
2.70063
N
N
N
N
N
N
EMC CORPORATION
KDMDXRWU7UTJ30FC8R59
EMC CORP SR UNSECURED 06/20 2.65
268648AQ5
25228000.000000
PA
USD
25264076.040000
0.1646636
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
2.65
N
N
N
N
N
N
EMCM MORTGAGE LOAN TRUST 2001-A
N/A
EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A
268668AA8
34175.370000
PA
USD
33905.690000
0.0002210
Long
ABS-MBS
CORP
US
N
2
2040-05-25
Floating
2.532
N
N
N
N
N
N
EMIRATES NBD BANK PJSC
54930029BCN8HF3B1286
EMIRATES NBD BANK PJSC SR UNSECURED REGS 01/20 VAR
BD2N9TII8
13750000.000000
PA
USD
13784774.850000
0.0898450
Long
DBT
CORP
AE
N
2
2020-01-26
Floating
3.48563
N
N
N
N
N
N
EMIRATES NBD PJSC/LONDON BRANCH
54930029BCN8HF3B1286
EMIRATES NBD PJSC LONDON CERT OF DEPO 03/20 3
ACI19C8C3
17000000.000000
PA
USD
17025048.820000
0.1109641
Long
DBT
CORP
AE
N
2
2020-03-06
Fixed
3
N
N
N
N
N
N
EMIRATES NBD PJSC/LONDON BRANCH
54930029BCN8HF3B1286
EMIRATES NBD PJSC LONDON CERT OF DEPO 05/20 2.85
ACI1BX644
42300000.000000
PA
USD
42397707.500000
0.2763354
Long
DBT
CORP
AE
N
2
2020-05-04
Fixed
2.85
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP SR SECURED 10/20 7.5
29273VAC4
3514000.000000
PA
USD
3611820.240000
0.0235407
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
7.5
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP (AKA: ENERGY TRANSFER PARTNERS LP)
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATNG COMPANY GUAR 10/20 7.5
29278NAK9
17508000.000000
PA
USD
18197466.620000
0.1186056
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
7.5
N
N
N
N
N
N
ENTERGY CORPORATION
4XM3TW50JULSLG8BNC79
ENTERGY CORP SR UNSECURED 09/20 5.125
29364GAF0
1901000.000000
PA
USD
1927106.150000
0.0125603
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
5.125
N
N
N
N
N
N
EQT CORPORATION
4NT01YGM4X7ZX86ISY52
EQT CORP SR UNSECURED 10/20 2.5
26884LAC3
12828000.000000
PA
USD
12826712.070000
0.0836006
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
2.5
N
N
N
N
N
N
EQT CORPORATION
4NT01YGM4X7ZX86ISY52
EQT CORP SR UNSECURED 10/20 VAR
26884LAD1
60198000.000000
PA
USD
60039497.460000
0.3913192
Long
DBT
CORP
US
N
2
2020-10-01
Floating
2.67938
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
EQUIFAX INC SR UNSECURED 06/21 2.3
294429AK1
3200000.000000
PA
USD
3209793.600000
0.0209205
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
2.3
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
EQUIFAX INC SR UNSECURED 08/21 VAR
294429AP0
36044000.000000
PA
USD
36184414.450000
0.2358390
Long
DBT
CORP
US
N
2
2021-08-15
Floating
2.77988
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA FINANCE LLC COMPANY GUAR 144A 12/21 2.6
26884TAQ5
100000.000000
PA
USD
100772.830000
0.0006568
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
2.6
N
N
N
N
N
N
EUROPEAN LOAN CONDUIT 36A
N/A
EUROPEAN LOAN CONDUIT EURO 36A A1 144A
ACI1G9KP9
10700000.000000
PA
12018692.570000
0.0783342
Long
ABS-MBS
CORP
IE
N
2
2030-02-17
Floating
1
N
N
N
N
N
N
EVERGREEN CREDIT CARD TRUST SERIES 2019-1
N/A
EVERGREEN CREDIT CARD TRUST EVGRN 2019 1 A 144A
30023JAY4
49100000.000000
PA
USD
49237971.000000
0.3209182
Long
ABS-MBS
CORP
CA
N
2
2023-01-15
Floating
2.21975
N
N
N
N
N
N
EXELON CORPORATION
3SOUA6IRML7435B56G12
EXELON CORP SR UNSECURED 06/20 2.85
30161NAH4
300000.000000
PA
USD
300688.040000
0.0019598
Long
DBT
CORP
US
N
2
2020-06-15
Fixed
2.85
N
N
N
N
N
N
EXELON GENERATION COMPANY LLC
S2PEWKCZFFECR4533P43
EXELON GENERATION CO LLC SR UNSECURED 10/20 4
30161MAH6
3600000.000000
PA
USD
3635108.780000
0.0236925
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
4
N
N
N
N
N
N
EXPORT-IMPORT BANK OF INDIA
335800OFZ8YEIVN1QI11
EXPORT IMPORT BK INDIA SR UNSECURED 03/22 VAR
ACI1HMTB1
11400000.000000
PA
USD
11456145.000000
0.0746677
Long
DBT
CORP
IN
Y
2
2022-03-28
Floating
2.9805
N
N
N
N
N
N
EXPORT-IMPORT BANK OF INDIA
335800OFZ8YEIVN1QI11
EXPORT IMPORT BK INDIA SR UNSECURED REGS 04/20 2.75
ACI0C54D8
18030000.000000
PA
USD
18056929.430000
0.1176896
Long
DBT
CORP
IN
N
2
2020-04-01
Fixed
2.75
N
N
N
N
N
N
EXPORT-IMPORT BANK OF INDIA
335800OFZ8YEIVN1QI11
EXPORT IMPORT BK INDIA SR UNSECURED REGS 04/20 2.75
Y23874QP1
1200000.000000
PA
USD
1201790.060000
0.0078329
Long
DBT
CORP
IN
N
2
2020-04-01
Fixed
2.75
N
N
N
N
N
N
EXPORT-IMPORT BANK OF INDIA
335800OFZ8YEIVN1QI11
EXPORT IMPORT BK INDIA SR UNSECURED REGS 08/20 2.75
ACI0BQ2K9
19779000.000000
PA
USD
19829238.660000
0.1292410
Long
DBT
CORP
IN
N
2
2020-08-12
Fixed
2.75
N
N
N
N
N
N
EXPORT-IMPORT BANK OF INDIA
335800OFZ8YEIVN1QI11
EXPORT IMPORT BK INDIA SR UNSECURED REGS 08/22 VAR
ACI0WQLC3
35253000.000000
PA
USD
35255820.240000
0.2297867
Long
DBT
CORP
IN
N
2
2022-08-21
Floating
2.89463
N
N
N
N
N
N
FANNIE MAE 1993-165
N/A
FANNIE MAE FNR 1993 165 FE
31359D5L3
8928.050000
PA
USD
9074.810000
0.0000591
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Floating
2.942
N
N
N
N
N
N
FANNIE MAE 1997-43
N/A
FANNIE MAE FNR 1997 43 FM
31359P3F1
1071.500000
PA
USD
1072.950000
0.0000070
Long
ABS-MBS
USGSE
US
N
2
2027-07-18
Floating
2.24488
N
N
N
N
N
N
FANNIE MAE 1998-66
N/A
FANNIE MAE FNR 1998 66 FK
31359U3W3
211898.120000
PA
USD
212319.330000
0.0013838
Long
ABS-MBS
USGSE
US
N
2
2028-12-25
Floating
2.092
N
N
N
N
N
N
FANNIE MAE 2000-34
N/A
FANNIE MAE FNR 2000 34 F
31358SSV4
2326.030000
PA
USD
2330.910000
0.0000152
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Floating
2.242
N
N
N
N
N
N
FANNIE MAE 2001-24
N/A
FANNIE MAE FNR 2001 24 FB
31359S5P1
65317.800000
PA
USD
65761.410000
0.0004286
Long
ABS-MBS
USGSE
US
N
2
2031-04-25
Floating
2.422
N
N
N
N
N
N
FANNIE MAE 2002-19
N/A
FANNIE MAE FNR 2002 19 FG
31392CFU3
386524.290000
PA
USD
389650.850000
0.0025396
Long
ABS-MBS
USGSE
US
N
2
2032-03-17
Floating
2.13738
N
N
N
N
N
N
FANNIE MAE 2002-21
N/A
FANNIE MAE FNR 2002 21 FD
31392CRD8
8744.790000
PA
USD
8881.830000
0.0000579
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Floating
2.692
N
N
N
N
N
N
FANNIE MAE 2002-34
N/A
FANNIE MAE FNR 2002 34 FA
31392CM92
67675.000000
PA
USD
67876.350000
0.0004424
Long
ABS-MBS
USGSE
US
N
2
2032-05-18
Floating
2.24488
N
N
N
N
N
N
FANNIE MAE 2002-34
N/A
FANNIE MAE FNR 2002 34 FE
31392CQ31
67935.300000
PA
USD
67949.810000
0.0004429
Long
ABS-MBS
USGSE
US
N
2
2032-05-18
Floating
2.14488
N
N
N
N
N
N
FANNIE MAE 2002-54
N/A
FANNIE MAE FNR 2002 54 FD
31392D5Q1
32145.920000
PA
USD
32090.260000
0.0002092
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Floating
2.192
N
N
N
N
N
N
FANNIE MAE 2002-60
N/A
FANNIE MAE FNR 2002 60 F1
31392EVN7
1364.290000
PA
USD
1337.910000
0.0000087
Long
ABS-MBS
USGSE
US
N
2
2032-06-25
Floating
2.192
N
N
N
N
N
N
FANNIE MAE 2003-11
N/A
FANNIE MAE FNR 2003 11 DF
31392HPL1
60653.130000
PA
USD
60960.300000
0.0003973
Long
ABS-MBS
USGSE
US
N
2
2033-02-25
Floating
2.242
N
N
N
N
N
N
FANNIE MAE 2004-11
N/A
FANNIE MAE FNR 2004 11 A
31393T7H3
14453.380000
PA
USD
14400.690000
0.0000939
Long
ABS-MBS
USGSE
US
N
2
2034-03-25
Floating
1.912
N
N
N
N
N
N
FANNIE MAE 2004-63
N/A
FANNIE MAE FNR 2004 63 FA
31394ANT9
74896.510000
PA
USD
74186.120000
0.0004835
Long
ABS-MBS
USGSE
US
N
2
2034-08-25
Floating
1.942
N
N
N
N
N
N
FANNIE MAE 2006-104
N/A
FANNIE MAE FNR 2006 104 FV
31396LNC0
81752.400000
PA
USD
81683.460000
0.0005324
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
2.132
N
N
N
N
N
N
FANNIE MAE 2006-118
N/A
FANNIE MAE FNR 2006 118 A2
31396L4T4
59753.480000
PA
USD
59174.480000
0.0003857
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
1.768
N
N
N
N
N
N
FANNIE MAE 2006-15
N/A
FANNIE MAE FNR 2006 15 FC
31395BVE0
35933.530000
PA
USD
35756.700000
0.0002331
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Floating
1.77871
N
N
N
N
N
N
FANNIE MAE 2006-20
N/A
FANNIE MAE FNR 2006 20 GF
31395BU43
31306.630000
PA
USD
31181.540000
0.0002032
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
Floating
2.142
N
N
N
N
N
N
FANNIE MAE 2006-46
N/A
FANNIE MAE FNR 2006 46 FC
31395D5F2
100814.600000
PA
USD
100198.200000
0.0006531
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
Floating
2.112
N
N
N
N
N
N
FANNIE MAE 2006-8
N/A
FANNIE MAE FNR 2006 8 NF
31394VZ37
49820.600000
PA
USD
49663.600000
0.0003237
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Floating
2.162
N
N
N
N
N
N
FANNIE MAE 2006-81
N/A
FANNIE MAE FNR 2006 81 FA
31396KM33
52202.080000
PA
USD
52003.410000
0.0003389
Long
ABS-MBS
USGSE
US
N
2
2036-09-25
Floating
2.142
N
N
N
N
N
N
FANNIE MAE 2007-73
N/A
FANNIE MAE FNR 2007 73 A1
31396V4Q8
245257.860000
PA
USD
241204.290000
0.0015721
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
1.71097
N
N
N
N
N
N
FANNIE MAE 2007-86
N/A
FANNIE MAE FNR 2007 86 FA
31396XNX8
46842.290000
PA
USD
46863.110000
0.0003054
Long
ABS-MBS
USGSE
US
N
2
2037-09-25
Floating
2.242
N
N
N
N
N
N
FANNIE MAE 2008-53
N/A
FANNIE MAE FNR 2008 53 LF
31397LC31
5525.040000
PA
USD
5644.640000
0.0000368
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Floating
2.642
N
N
N
N
N
N
FANNIE MAE 2008-88
N/A
FANNIE MAE FNR 2008 88 FA
31397MXL6
32550.450000
PA
USD
33297.800000
0.0002170
Long
ABS-MBS
USGSE
US
N
2
2038-10-25
Floating
3.012
N
N
N
N
N
N
FANNIE MAE 2009-87
N/A
FANNIE MAE FNR 2009 87 FA
31398FJ28
10487.720000
PA
USD
10770.100000
0.0000702
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
2.792
N
N
N
N
N
N
FANNIE MAE 2009-96
N/A
FANNIE MAE FNR 2009 96 FA
31398FXF3
12283.270000
PA
USD
12530.310000
0.0000817
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
2.692
N
N
N
N
N
N
FANNIE MAE 2010-39
N/A
FANNIE MAE FNR 2010 39 FE
31398PU98
130684.690000
PA
USD
132592.290000
0.0008642
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
2.562
N
N
N
N
N
N
FANNIE MAE 2010-74
N/A
FANNIE MAE FNR 2010 74 AF
31398RV36
175729.630000
PA
USD
176551.850000
0.0011507
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
2.332
N
N
N
N
N
N
FANNIE MAE G-26
N/A
FANNIE MAE FNR G 26 FA
31358JBU4
480.110000
PA
USD
481.180000
0.0000031
Long
ABS-MBS
USGSE
US
N
2
2021-08-25
Floating
2.242
N
N
N
N
N
N
FANNIE MAE G92-50
N/A
FANNIE MAE FNR G92 50 F
31358PRF6
480.940000
PA
USD
482.940000
0.0000031
Long
ABS-MBS
USGSE
US
N
2
2022-08-25
Floating
2.392
N
N
N
N
N
N
FANNIE MAE G93-7
N/A
FANNIE MAE FNR G93 7 F
31358TJG5
116.830000
PA
USD
117.430000
0.0000008
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Floating
2.642
N
N
N
N
N
N
FANNIE MAE REMIC 1999-W2
N/A
FANNIEMAE WHOLE LOAN FNW 1999 W2 A
31359R6T4
4999.250000
PA
USD
5247.400000
0.0000342
Long
ABS-MBS
USGSE
US
N
2
2032-06-25
Variable
8.17483
N
N
N
N
N
N
FANNIE MAE REMIC-1997-76
N/A
FANNIE MAE FNR 1997 76 FM
31359QS88
1952.090000
PA
USD
1964.020000
0.0000128
Long
ABS-MBS
USGSE
US
N
2
2027-09-17
Floating
2.18738
N
N
N
N
N
N
FANNIE MAE REMICS 2007-7
N/A
FANNIE MAE FNR 2007 7 FJ
31396PSN2
573776.290000
PA
USD
570347.170000
0.0037173
Long
ABS-MBS
USGSE
US
N
2
2037-02-25
Floating
1.992
N
N
N
N
N
N
FANNIE MAE REMICS 2012-29
N/A
FANNIE MAE FNR 2012 29 FG
3136A5FK7
182611.760000
PA
USD
183087.650000
0.0011933
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Floating
2.292
N
N
N
N
N
N
FANNIE MAE REMICS 2013-51
N/A
FANNIE MAE FNR 2013 51 JI
3136AECE5
13861969.660000
PA
USD
949404.920000
0.0061879
Long
ABS-MBS
USGSE
US
N
2
2028-05-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS 2013-62
N/A
FANNIE MAE FNR 2013 62 DI
3136AEMA2
13132453.110000
PA
USD
887546.340000
0.0057848
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS 2013-62
N/A
FANNIE MAE FNR 2013 62 LI
3136AEMK0
10241043.500000
PA
USD
713589.770000
0.0046510
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS 2014-42
N/A
FANNIE MAE FNR 2014 42 FA
3136AKPQ0
5457789.830000
PA
USD
5450224.790000
0.0355229
Long
ABS-MBS
USGSE
US
N
2
2044-07-25
Floating
2.18138
N
N
N
N
N
N
FANNIE MAE REMICS 2014-84
N/A
FANNIE MAE FNR 2014 84 BF
3136AL2T7
11012164.390000
PA
USD
11016413.980000
0.0718016
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Floating
2.13138
N
N
N
N
N
N
FANNIE MAE REMICS 2016-11
N/A
FANNIE MAE FNR 2016 11 AF
3136ARPW2
4375825.710000
PA
USD
4372744.690000
0.0285002
Long
ABS-MBS
USGSE
US
N
2
2046-03-25
Floating
2.28138
N
N
N
N
N
N
FANNIE MAE REMICS 2016-40
N/A
FANNIE MAE FNR 2016 40 EF
3136ASL87
18925457.610000
PA
USD
18887712.680000
0.1231044
Long
ABS-MBS
USGSE
US
N
2
2046-07-25
Floating
2.23138
N
N
N
N
N
N
FANNIE MAE WHOLE LOAN 2003-W4
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W4 2A
31393AP68
167683.990000
PA
USD
187188.720000
0.0012200
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Variable
5.77683
N
N
N
N
N
N
FANNIE MAE-2006-56
N/A
FANNIE MAE FNR 2006 56 FE
31395NXU6
32093.960000
PA
USD
32080.560000
0.0002091
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
2.222
N
N
N
N
N
N
FANNIE MAE-G92-11
N/A
FANNIE MAE FNR G92 11 FC
31358LYZ3
577.780000
PA
USD
576.870000
0.0000038
Long
ABS-MBS
USGSE
US
N
2
2022-02-25
Floating
2.292
N
N
N
N
N
N
FANNIE MAE-G92-52
N/A
FANNIE MAE FNR G92 52 F
31358QSU0
439.090000
PA
USD
439.810000
0.0000029
Long
ABS-MBS
USGSE
US
N
2
2022-09-25
Floating
2.408
N
N
N
N
N
N
FANNIE MAE-G92-67
N/A
FANNIE MAE FNR G92 67 F
31358RV59
414.390000
PA
USD
405.070000
0.0000026
Long
ABS-MBS
USGSE
US
N
2
2022-12-25
Floating
2.442
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2002-W8
N/A
FANNIEMAE WHOLE LOAN FNW 2002 W8 F
31392DQ70
2224.860000
PA
USD
2224.690000
0.0000145
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Floating
2.192
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2003-W-8
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2
31393CX40
21919.060000
PA
USD
21841.850000
0.0001424
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Floating
2.142
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2003-W6
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W6 F
31393BX75
263912.660000
PA
USD
261490.520000
0.0017043
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Floating
2.058
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2004-W2
N/A
FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF
31393XGV3
177101.900000
PA
USD
176559.650000
0.0011508
Long
ABS-MBS
USGSE
US
N
2
2044-03-25
Floating
2.142
N
N
N
N
N
N
FDIC STRUCTURED SALE GUARANTEED NOTES 2010-S2
N/A
FDIC STRUCTURED SALE GUARANTEE SSGN 2010 S2 1A 144A
30250WAA1
54975.410000
PA
USD
54961.260000
0.0003582
Long
ABS-MBS
USGA
US
N
2
2037-11-29
Floating
2.28088
N
N
N
N
N
N
FEDERAL EXPRESS CORP 1998 PASS THROUGH TRUST
N/A
FEDEX CORP 1998 PASS TST PASS THRU CE 07/23 6.72
31331FAX9
1775237.650000
PA
USD
1823589.800000
0.0118856
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
6.72
N
N
N
N
N
N
FHA REILLY 1997
N/A
FHA 236 NP REILLY 1997 A
3229929W0
4926.230000
PA
USD
4940.780000
0.0000322
Long
ABS-MBS
USGA
US
N
2
2020-07-01
Fixed
6.896
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1B1215 FH 10/33 FLOATING VAR
3128JLGZ6
3881.460000
PA
USD
4045.490000
0.0000264
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Floating
4.199
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1G0393 FH 11/35 FLOATING VAR
3128NCNJ9
19681.400000
PA
USD
20078.110000
0.0001309
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
3.685
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1G0621 FH 12/35 FLOATING VAR
3128NCVN1
9217.120000
PA
USD
9579.910000
0.0000624
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
4.501
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1G0867 FH 08/35 FLOATING VAR
3128NC6C3
39498.770000
PA
USD
41495.040000
0.0002705
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
4.252
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1G1114 FH 09/35 FLOATING VAR
3128QJGX8
58949.410000
PA
USD
61868.190000
0.0004032
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
4.048
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1L0183 FH 08/35 FLOATING VAR
3128Q2FY4
8674.720000
PA
USD
9179.860000
0.0000598
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
4.352
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 781955 FH 05/34 FLOATING VAR
31349TE49
17283.850000
PA
USD
18320.640000
0.0001194
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Floating
4.273
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 846510 FH 04/25 FLOATING VAR
3128HDGT0
1205.390000
PA
USD
1230.330000
0.0000080
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Floating
4.663
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 846511 FH 02/23 FLOATING VAR
3128HDGU7
91.600000
PA
USD
92.380000
0.0000006
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Floating
4.15
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 847262 FH 07/33 FLOATING VAR
3128JRB70
14549.320000
PA
USD
15566.000000
0.0001015
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Floating
4.676
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 847321 FH 08/34 FLOATING VAR
3128JRD29
19557.700000
PA
USD
20661.490000
0.0001347
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Floating
4.722
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL ZT1952 FR 05/49 FIXED 4
3132AEEZ5
350000.120000
PA
USD
363707.350000
0.0023705
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4
N
N
N
N
N
N
FHLMC STRUCTURED PASS THROUGH SEC T-63
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1
31395M2F5
722618.090000
PA
USD
731708.190000
0.0047691
Long
ABS-MBS
USGSE
US
N
2
2045-02-25
Floating
3.42209
N
N
N
N
N
N
FHLMC STRUCTURED PASS THRU SEC T-57
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1
31394JD87
150432.930000
PA
USD
177686.910000
0.0011581
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Fixed
6.5
N
N
N
N
N
N
FHLMC STRUCTURED PASS THRU SEC T-62
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1
31395HHV5
1968432.630000
PA
USD
1997368.390000
0.0130182
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Floating
3.43948
N
N
N
N
N
N
FHR-3582
N/A
FREDDIE MAC FHR 3582 FA
31398KBD1
14830.230000
PA
USD
15063.330000
0.0000982
Long
ABS-MBS
USGSE
US
N
2
2049-10-15
Floating
2.73975
N
N
N
N
N
N
FIGUEROA CLO LTD 2013-2A
N/A
FIGUEROA CLO LTD FIG 2013 2A A1RR 144A
31683VAY6
13963024.280000
PA
USD
13962052.870000
0.0910004
Long
ABS-CBDO
CORP
KY
N
2
2027-06-20
Floating
2.758
N
N
N
N
N
N
FIGUEROA CLO LTD 2014-1A
N/A
FIGUEROA CLO LTD FIG 2014 1A AR 144A
31683YAJ3
13944484.080000
PA
USD
13941287.860000
0.0908651
Long
ABS-CBDO
CORP
KY
N
2
2027-01-15
Floating
2.90088
N
N
N
N
N
N
FINANCE AMERICA MTGE LOAN TRUST 2004-2
N/A
FINANCE AMERICA MORTGAGE LOAN FINA 2004 2 M1
317350BD7
8264415.300000
PA
USD
8283120.150000
0.0539869
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
2.617
N
N
N
N
N
N
FINSBURY SQUARE 2019-1 PLC 19-1
N/A
FINSBURY SQUARE FSQ 2019 1 A REGS
ACI19GS57
2602895.140000
PA
3454689.980000
0.0225166
Long
ABS-MBS
CORP
GB
N
2
2069-06-16
Floating
1.7675
N
N
N
N
N
N
FIRST ABU DHABI BANK PJSC
2138002Y3WMK6RZS8H90
FIRST ABU DHABI BANK PJS SR UNSECURED REGS 04/22 VAR
ACI1B1WQ6
36461000.000000
PA
USD
36688896.200000
0.2391271
Long
DBT
CORP
AE
N
2
2022-04-16
Floating
2.95088
N
N
N
N
N
N
FIRST FRANKLIN MTG LOAN ABS 2006-FF15
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A5
32028GAE5
3279297.770000
PA
USD
3217106.870000
0.0209681
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.952
N
N
N
N
N
N
FIRST GULF BANK PJSC
549300UQJTO6DLDBFU41
FIRST GULF BANK SR UNSECURED REGS 02/20 2.625
ACI0BT694
2000000.000000
PA
USD
2002150.000000
0.0130494
Long
DBT
CORP
AE
N
2
2020-02-24
Fixed
2.625
N
N
N
N
N
N
FIRST HORIZON MTGE PASS-THRU TR 2005-AR3
N/A
FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1
32051GQL2
206347.840000
PA
USD
173537.690000
0.0011311
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
4.66441
Y
N
N
N
N
N
FIRST NLC TRUST 2007-1
N/A
FIRST NLC TRUST FNLC 2007 1 A1 144A
32115BAA8
436151.120000
PA
USD
273894.660000
0.0017852
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
1.862
N
N
N
N
N
N
FIRSTKEY MASTER FUNDING 2016-R1
N/A
FIRSTKEY MASTER FUNDING RESECU FKMF 2016 R1 AD 144A
33767FAA8
3811493.020000
PA
USD
3758161.090000
0.0244946
Long
ABS-MBS
CORP
US
N
2
2036-05-27
Variable
3
N
N
N
N
N
N
FLAGSHIP CLO LTD 2014-8A
N/A
FLAGSHIP CLO FLAGS 2014 8A ARR 144A
338422AQ1
2883373.160000
PA
USD
2883863.510000
0.0187961
Long
ABS-CBDO
CORP
KY
N
2
2026-01-16
Floating
2.85088
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 065579 FN 07/28 FLOATING VAR
31362M2L1
3361.950000
PA
USD
3392.400000
0.0000221
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Floating
4.445
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 135770 FN 05/21 FLOATING VAR
31365RW75
2167.930000
PA
USD
2161.040000
0.0000141
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Floating
2.35
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 300986 FN 11/24 FLOATING VAR
31373RJ70
3840.630000
PA
USD
3872.560000
0.0000252
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Floating
4.272
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 313898 FN 11/27 FLOATING VAR
31374GUX3
1057.600000
PA
USD
1080.810000
0.0000070
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Floating
4.03
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 323642 FN 04/29 FLOATING VAR
31374TP37
2460.270000
PA
USD
2507.850000
0.0000163
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Floating
4.941
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 370687 FN 01/27 FLOATING VAR
31376ZXQ1
7309.550000
PA
USD
7265.710000
0.0000474
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Floating
2.35
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 401106 FN 08/27 FLOATING VAR
31378KR30
79.070000
PA
USD
79.280000
0.0000005
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Floating
4.78
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 530683 FN 07/29 FLOATING VAR
31384QRC9
44497.450000
PA
USD
45394.220000
0.0002959
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Floating
4.509
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 535550 FN 08/29 FLOATING VAR
31384V5K4
238375.730000
PA
USD
244547.460000
0.0015939
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Floating
4.536
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 545010 FN 05/36 FLOATING VAR
31385HN32
14231.680000
PA
USD
14935.680000
0.0000973
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Floating
4.12
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 545204 FN 05/36 FLOATING VAR
31385HU59
676783.260000
PA
USD
684063.130000
0.0044585
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Floating
3.489
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 545255 FN 12/40 FLOATING VAR
31385HWQ1
26063.040000
PA
USD
27496.370000
0.0001792
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Floating
4.356
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 587764 FN 01/32 FLOATING VAR
31387L5Z0
153394.720000
PA
USD
153616.580000
0.0010012
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Floating
5.063
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 668220 FN 02/33 FLOATING VAR
31391JK90
2242.810000
PA
USD
2238.150000
0.0000146
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Floating
4.965
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 725695 FN 07/34 FLOATING VAR
31402DGC8
2105.170000
PA
USD
2193.490000
0.0000143
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Floating
4.242
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 725886 FN 05/34 FLOATING VAR
31402DNB2
17282.480000
PA
USD
18213.010000
0.0001187
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Floating
4.489
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 732218 FN 06/43 FLOATING VAR
31402LPB2
339618.860000
PA
USD
342433.150000
0.0022319
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Floating
3.44
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735084 FN 02/34 FLOATING VAR
31402QUH2
23975.600000
PA
USD
25095.750000
0.0001636
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Floating
4.096
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 740849 FN 06/33 FLOATING VAR
31402XBS4
9582.580000
PA
USD
9630.850000
0.0000628
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Floating
4.465
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 745173 FN 09/34 FLOATING VAR
31403C2E0
6532.820000
PA
USD
6844.550000
0.0000446
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
4.339
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 773314 FN 05/35 FLOATING VAR
31404NDT0
73340.160000
PA
USD
75893.230000
0.0004946
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Floating
4.517
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 775852 FN 03/44 FLOATING VAR
31404Q5M7
1133527.100000
PA
USD
1143374.570000
0.0074522
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Floating
3.44
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 779346 FN 06/34 FLOATING VAR
31404UZK9
1627.110000
PA
USD
1700.640000
0.0000111
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Floating
4.372
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 784137 FN 01/36 FLOATING VAR
31405BEJ6
20447.270000
PA
USD
21578.880000
0.0001406
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Floating
4.27
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 790802 FN 09/34 FLOATING VAR
31405JRX4
9668.810000
PA
USD
10124.060000
0.0000660
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
3.916
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 795297 FN 07/44 FLOATING VAR
31405PRS1
109325.860000
PA
USD
110277.340000
0.0007188
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Floating
3.44
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 795718 FN 09/34 FLOATING VAR
31405QAT5
27735.110000
PA
USD
29028.840000
0.0001892
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
4.212
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 802714 FN 09/34 FLOATING VAR
31405XYK3
149620.550000
PA
USD
155248.150000
0.0010119
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
3.675
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 806506 FN 10/44 FLOATING VAR
31406DAF3
345473.470000
PA
USD
348448.730000
0.0022711
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Floating
3.44
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 813599 FN 01/36 FLOATING VAR
31406L3G1
70758.820000
PA
USD
74892.470000
0.0004881
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Floating
4.046
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 817452 FN 08/35 FLOATING VAR
31406REZ4
14538.660000
PA
USD
15275.740000
0.0000996
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
3.87
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 817547 FN 10/35 FLOATING VAR
31406RHY4
13624.640000
PA
USD
14077.070000
0.0000918
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Floating
3.654
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 821365 FN 05/35 FLOATING VAR
31406VQS8
25744.100000
PA
USD
26767.270000
0.0001745
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Floating
4.428
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 821915 FN 06/35 FLOATING VAR
31406WDU5
9535.000000
PA
USD
9977.400000
0.0000650
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Floating
4.418
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 826128 FN 07/35 FLOATING VAR
31407BYZ6
17304.600000
PA
USD
17821.380000
0.0001162
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
4.343
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 832721 FN 09/35 FLOATING VAR
31407KD22
2445.750000
PA
USD
2562.170000
0.0000167
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
3.76
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 835058 FN 06/35 FLOATING VAR
31407MWT8
39088.640000
PA
USD
41304.200000
0.0002692
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Floating
4.921
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 835349 FN 09/35 FLOATING VAR
31407NBS1
6397.950000
PA
USD
6682.280000
0.0000436
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
4.192
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 838769 FN 09/35 FLOATING VAR
31407R2A1
5593.340000
PA
USD
5772.120000
0.0000376
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
3.987
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 841025 FN 10/35 FLOATING VAR
31407ULE5
6089.160000
PA
USD
6302.630000
0.0000411
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Floating
4.085
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 841068 FN 11/34 FLOATING VAR
31407UMR5
62438.540000
PA
USD
66327.290000
0.0004323
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
4.358
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 844000 FN 11/35 FLOATING VAR
31407XUZ2
38845.110000
PA
USD
39843.260000
0.0002597
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
3.38
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 845071 FN 12/35 FLOATING VAR
31407Y2C2
7737.050000
PA
USD
7851.710000
0.0000512
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
3.743
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 846937 FN 01/36 FLOATING VAR
31408B4W5
18051.710000
PA
USD
18727.850000
0.0001221
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Floating
3.429
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 846941 FN 01/36 FLOATING VAR
31408B5A2
20119.230000
PA
USD
20933.660000
0.0001364
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Floating
3.431
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 847995 FN 11/35 FLOATING VAR
31408DC85
3650.450000
PA
USD
3754.570000
0.0000245
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
3.905
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 847996 FN 11/35 FLOATING VAR
31408DC93
19119.640000
PA
USD
19503.740000
0.0001271
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
3.905
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 850612 FN 03/36 FLOATING VAR
31408GAM9
22371.500000
PA
USD
23269.630000
0.0001517
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
5.037
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 866066 FN 03/36 FLOATING VAR
31409BFF9
19869.540000
PA
USD
21011.990000
0.0001369
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
4.863
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 872628 FN 06/36 FLOATING VAR
31409JPM6
7890.480000
PA
USD
7934.700000
0.0000517
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Floating
4.765
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 905694 FN 12/36 FLOATING VAR
31411EGB7
5787.590000
PA
USD
6064.790000
0.0000395
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
3.773
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 905759 FN 12/36 FLOATING VAR
31411EJC2
5543.470000
PA
USD
5789.580000
0.0000377
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
3.652
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL5548 FN 05/38 FLOATING VAR
3138ENEW5
1432494.020000
PA
USD
1502419.040000
0.0097923
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
4.357
N
N
N
N
N
N
FORD AUTO SECURITIZATION TRUST 2019-AA
N/A
FORD AUTO SECURITIZATION TRUST FASTR 2019 AA A1 144A
345213GY2
1647160.260000
PA
1268626.080000
0.0082685
Long
ABS-O
CORP
CA
N
2
2021-03-15
Fixed
2.198
N
N
N
N
N
N
FORD AUTO SECURITIZATION TRUST 2019-BA
N/A
FORD AUTO SECURITIZATION TRUST FASTR 2019 BA A2 144A
345213HK1
29100000.000000
PA
22424625.160000
0.1461569
Long
ABS-O
CORP
CA
N
2
2023-10-15
Fixed
2.321
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST 2018-3
N/A
FORD CREDIT FLOORPLAN MASTER O FORDF 2018 3 A2
34528QGJ7
5500000.000000
PA
USD
5504140.950000
0.0358743
Long
ABS-O
CORP
US
N
2
2023-10-15
Floating
2.13975
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A 2019-3
N/A
FORD CREDIT FLOORPLAN MASTER O FORDF 2019 3 A2
34528QHB3
49200000.000000
PA
USD
49417562.400000
0.3220887
Long
ABS-O
CORP
US
N
2
2024-09-15
Floating
2.33975
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO
3454G0AM0
63000000.000000
PA
USD
62905001.040000
0.4099957
Long
DBT
CORP
US
N
2
2020-01-21
None
0
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 01/20 2.681
345397YE7
2820000.000000
PA
USD
2820229.860000
0.0183814
Long
DBT
CORP
US
N
2
2020-01-09
Fixed
2.681
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 01/20 8.125
345397VM2
1475000.000000
PA
USD
1477770.120000
0.0096317
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
8.125
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 01/20 VAR
345397YF4
12752000.000000
PA
USD
12753817.420000
0.0831255
Long
DBT
CORP
US
N
2
2020-01-09
Floating
3.012
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 01/21 VAR
345397ZL0
48600000.000000
PA
USD
49304827.820000
0.3213539
Long
DBT
CORP
US
N
2
2021-01-07
Floating
4.59313
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 01/22 VAR
345397ZN6
4400000.000000
PA
USD
4548157.280000
0.0296435
Long
DBT
CORP
US
N
2
2022-01-07
Floating
5.18313
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 02/21 5.75
345397VR1
900000.000000
PA
USD
929104.410000
0.0060556
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
5.75
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 03/21 3.336
345397XW8
1300000.000000
PA
USD
1309831.940000
0.0085371
Long
DBT
CORP
US
N
2
2021-03-18
Fixed
3.336
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 04/21 VAR
345397YY3
16955000.000000
PA
USD
16880094.170000
0.1100193
Long
DBT
CORP
US
N
2
2021-04-05
Floating
2.85313
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 09/20 VAR
34540RAC0
35975000.000000
PA
USD
36030236.370000
0.2348342
Long
DBT
CORP
US
N
2
2020-09-24
Floating
2.86475
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 11/20 2.343
345397YS6
7700000.000000
PA
USD
7686506.290000
0.0500983
Long
DBT
CORP
US
N
2
2020-11-02
Fixed
2.343
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 11/20 VAR
345397YR8
13375000.000000
PA
USD
13304090.030000
0.0867120
Long
DBT
CORP
US
N
2
2020-11-02
Floating
2.33225
N
N
N
N
N
N
FREDDIE MAC 1196
N/A
FREDDIE MAC FHR 1196 A
312908LB0
1.030000
PA
USD
1.030000
0.0000000
Long
ABS-MBS
USGSE
US
N
2
2022-01-15
Floating
2.13975
N
N
N
N
N
N
FREDDIE MAC 2374
N/A
FREDDIE MAC FHR 2374 F
31339G5N7
45222.470000
PA
USD
45158.360000
0.0002943
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Floating
2.13975
N
N
N
N
N
N
FREDDIE MAC 2395
N/A
FREDDIE MAC FHR 2395 FT
31339LMA5
1549.600000
PA
USD
1549.590000
0.0000101
Long
ABS-MBS
USGSE
US
N
2
2031-12-15
Floating
2.18975
N
N
N
N
N
N
FREDDIE MAC 2432
N/A
FREDDIE MAC FHR 2432 FH
31339NNP7
87340.170000
PA
USD
86631.340000
0.0005646
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
2.43975
N
N
N
N
N
N
FREDDIE MAC 2477
N/A
FREDDIE MAC FHR 2477 FZ
31392PU94
112015.390000
PA
USD
112385.310000
0.0007325
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Floating
2.28975
N
N
N
N
N
N
FREDDIE MAC 2559
N/A
FREDDIE MAC FHR 2559 PB
31393HM41
124.940000
PA
USD
125.090000
0.0000008
Long
ABS-MBS
USGSE
US
N
2
2030-08-15
Fixed
5.5
N
N
N
N
N
N
FREDDIE MAC 2820
N/A
FREDDIE MAC FHR 2820 FY
31395CEC1
37313.730000
PA
USD
37259.470000
0.0002428
Long
ABS-MBS
USGSE
US
N
2
2034-07-15
Floating
1.98975
N
N
N
N
N
N
FREDDIE MAC 3013
N/A
FREDDIE MAC FHR 3013 HZ
31395XRF4
1255993.060000
PA
USD
1383787.840000
0.0090191
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
Fixed
5
N
N
N
N
N
N
FREDDIE MAC 3397
N/A
FREDDIE MAC FHR 3397 FC
31397PLU2
109442.300000
PA
USD
110138.640000
0.0007179
Long
ABS-MBS
USGSE
US
N
2
2037-12-15
Floating
2.33975
N
N
N
N
N
N
FREDDIE MAC 3807
N/A
FREDDIE MAC FHR 3807 FM
3137A6NJ7
1306339.150000
PA
USD
1309698.270000
0.0085362
Long
ABS-MBS
USGSE
US
N
2
2041-02-15
Floating
2.23975
N
N
N
N
N
N
FREDDIE MAC 3898
N/A
FREDDIE MAC FHR 3898 TF
3137ADYR2
214917.730000
PA
USD
215431.400000
0.0014041
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Floating
2.23975
N
N
N
N
N
N
FREDDIE MAC 3927
N/A
FREDDIE MAC FHR 3927 FH
3137AFEP3
725575.330000
PA
USD
727612.240000
0.0047424
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Floating
2.18975
N
N
N
N
N
N
FREDDIE MAC REMICS 2711
N/A
FREDDIE MAC FHR 2711 FA
31394LYU0
117564.210000
PA
USD
120984.290000
0.0007885
Long
ABS-MBS
USGSE
US
N
2
2033-11-15
Floating
2.73975
N
N
N
N
N
N
FREDDIE MAC REMICS 3245
N/A
FREDDIE MAC FHR 3245 NF
31397CNM7
27074.780000
PA
USD
27120.420000
0.0001768
Long
ABS-MBS
USGSE
US
N
2
2036-11-15
Floating
2.21975
N
N
N
N
N
N
FREDDIE MAC REMICS 4579
N/A
FREDDIE MAC FHR 4579 SD
3137BPS83
14431281.410000
PA
USD
983530.790000
0.0064104
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Floating
2.50047
N
N
N
N
N
N
FREDDIE MAC STRIPS 240
N/A
FREDDIEMAC STRIP FHS 240 F31
3128HVSA8
274219.560000
PA
USD
274437.830000
0.0017887
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Floating
2.08975
N
N
N
N
N
N
FREDDIE MAC STRIPS 328
N/A
FREDDIEMAC STRIP FHS 328 F4
31351DC90
15889447.040000
PA
USD
15744814.940000
0.1026199
Long
ABS-MBS
USGSE
US
N
2
2038-02-15
Floating
2.13138
N
N
N
N
N
N
FREDDIE MAC-1482
N/A
FREDDIE MAC FHR 1482 U
312914Y65
1027.860000
PA
USD
1035.450000
0.0000067
Long
ABS-MBS
USGSE
US
N
2
2023-03-15
Floating
2.51538
N
N
N
N
N
N
FREDDIE MAC-2380
N/A
FREDDIE MAC FHR 2380 FI
31339GVJ7
47447.000000
PA
USD
47690.460000
0.0003108
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Floating
2.33975
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2005-A
N/A
FREMONT HOME LOAN TRUST FHLT 2005 A M3
35729PHN3
2129716.890000
PA
USD
2126424.990000
0.0138594
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
2.527
N
N
N
N
N
N
FRESENIUS MEDICAL CARE US FINANCE II INC
5493008GJ5TVVTY4UM62
FRESENIUS MED CARE II COMPANY GUAR 144A 10/20 4.125
35802XAH6
2279000.000000
PA
USD
2301827.740000
0.0150026
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
4.125
N
N
N
N
N
N
FRESENIUS MEDICAL CARE US FINANCE INC
B8RI7LM5Z25R6H3S2R89
FRESENIUS MED CARE US COMPANY GUAR 144A 02/21 5.75
35803QAA5
3335000.000000
PA
USD
3459645.260000
0.0225489
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
5.75
N
N
N
N
N
N
GALLATIN CLO IX LTD 2018-1A
N/A
GALLATIN FUNDING LTD GALL 2018 1A A 144A
36361WAC0
26100000.000000
PA
USD
26100252.130000
0.1701135
Long
ABS-CBDO
CORP
KY
N
2
2028-01-21
Floating
3.01588
N
N
N
N
N
N
GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A
N/A
GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A 144A
36361UAA8
14942906.690000
PA
USD
14969923.910000
0.0975694
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
3.05088
N
N
N
N
N
N
GATX CORPORATION
549300IHYHCQP2PIR591
GATX CORP SR UNSECURED 11/21 VAR
361448BB8
21700000.000000
PA
USD
21798743.680000
0.1420776
Long
DBT
CORP
US
N
2
2021-11-05
Floating
2.6105
N
N
N
N
N
N
GE CAPITAL INTERNATIONAL FUNDING COMPANY
549300G6UZOB126GBY72
GE CAPITAL INTL FUNDING COMPANY GUAR 11/20 2.342
36164QMS4
7966000.000000
PA
USD
7973681.530000
0.0519700
Long
DBT
CORP
IE
N
2
2020-11-15
Fixed
2.342
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO SR UNSECURED 01/20 5.5
36962G4J0
2133000.000000
PA
USD
2133778.440000
0.0139073
Long
DBT
CORP
US
N
2
2020-01-08
Fixed
5.5
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO SR UNSECURED 03/20 VAR
ACI080PK5
15962000.000000
PA
USD
15906350.880000
0.1036728
Long
DBT
CORP
US
N
2
2020-03-28
Floating
2.3705
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO SR UNSECURED 04/20 VAR
36966THX3
8483000.000000
PA
USD
8494213.930000
0.0553627
Long
DBT
CORP
US
N
2
2020-04-15
Floating
2.80088
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO SR UNSECURED 09/20 4.375
36962G4R2
6517000.000000
PA
USD
6618666.960000
0.0431385
Long
DBT
CORP
US
N
2
2020-09-16
Fixed
4.375
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
GENERAL MILLS INC UNSECURED 10/22 6.61
37033LGC4
19500000.000000
PA
USD
20137652.730000
0.1312511
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
6.61
N
N
N
N
N
N
GENERAL MOTORS COMPANY
54930070NSV60J38I987
GENERAL MOTORS CO SR UNSECURED 08/20 VAR
37045VAM2
19030000.000000
PA
USD
19059853.690000
0.1242263
Long
DBT
CORP
US
N
2
2020-08-07
Floating
2.6935
N
N
N
N
N
N
GENERAL MOTORS COMPANY
54930070NSV60J38I987
GENERAL MOTORS CO SR UNSECURED 09/21 VAR
37045VAR1
5700000.000000
PA
USD
5703161.900000
0.0371715
Long
DBT
CORP
US
N
2
2021-09-10
Floating
2.7905
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY INC
5493008B6JBRUJ90QL97
GENERAL MOTORS FINL CO COMPANY GUAR 01/22 VAR
37045XBR6
29282000.000000
PA
USD
29586039.110000
0.1928328
Long
DBT
CORP
US
N
2
2022-01-14
Floating
3.53613
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY INC
5493008B6JBRUJ90QL97
GENERAL MOTORS FINL CO COMPANY GUAR 01/23 VAR
37045XCE4
600000.000000
PA
USD
596780.730000
0.0038896
Long
DBT
CORP
US
N
2
2023-01-05
Floating
3.03313
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY INC
5493008B6JBRUJ90QL97
GENERAL MOTORS FINL CO COMPANY GUAR 04/21 VAR
37045XCH7
28621000.000000
PA
USD
28684210.340000
0.1869550
Long
DBT
CORP
US
N
2
2021-04-09
Floating
2.862
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY INC
5493008B6JBRUJ90QL97
GENERAL MOTORS FINL CO COMPANY GUAR 06/22 VAR
37045XBX3
13054000.000000
PA
USD
13120500.860000
0.0855154
Long
DBT
CORP
US
N
2
2022-06-30
Floating
3.2705
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY INC
5493008B6JBRUJ90QL97
GENERAL MOTORS FINL CO COMPANY GUAR 11/20 2.45
37045XCB0
2630000.000000
PA
USD
2636570.130000
0.0171844
Long
DBT
CORP
US
N
2
2020-11-06
Fixed
2.45
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY INC
5493008B6JBRUJ90QL97
GENERAL MOTORS FINL CO COMPANY GUAR 11/20 3.7
37045XBD7
7030000.000000
PA
USD
7114317.050000
0.0463690
Long
DBT
CORP
US
N
2
2020-11-24
Fixed
3.7
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY INC
5493008B6JBRUJ90QL97
GENERAL MOTORS FINL CO COMPANY GUAR 11/20 VAR
37045XCC8
1662000.000000
PA
USD
1659465.500000
0.0108159
Long
DBT
CORP
US
N
2
2020-11-06
Floating
2.44825
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY INC
5493008B6JBRUJ90QL97
GENERAL MOTORS FINL CO SR UNSECURED 07/22 3.55
37045XCU8
1000000.000000
PA
USD
1029471.500000
0.0067098
Long
DBT
CORP
US
N
2
2022-07-08
Fixed
3.55
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY INC
5493008B6JBRUJ90QL97
GENERAL MOTORS FINL CO SR UNSECURED 11/21 VAR
37045XCN4
40850000.000000
PA
USD
40976135.000000
0.2670700
Long
DBT
CORP
US
N
2
2021-11-06
Floating
3.00825
N
N
N
N
N
N
GMAC MORTGAGE CORP LOAN TRUST 2004-AR2
N/A
GMAC MORTGAGE CORPORATION LOAN GMACM 2004 AR2 5A1
36185N3V0
507052.570000
PA
USD
512036.090000
0.0033373
Long
ABS-MBS
CORP
US
N
2
2034-08-19
Floating
4.6656
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008003 G2 07/22 FLOATING VAR
36202J3L0
1232.850000
PA
USD
1232.500000
0.0000080
Long
ABS-MBS
USGSE
US
N
2
2022-07-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008280 G2 09/23 FLOATING VAR
36202KFV2
13284.920000
PA
USD
13569.130000
0.0000884
Long
ABS-MBS
USGSE
US
N
2
2023-09-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008371 G2 02/24 FLOATING VAR
36202KJQ9
98519.210000
PA
USD
100521.010000
0.0006552
Long
ABS-MBS
USGSE
US
N
2
2024-02-20
Floating
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008410 G2 04/24 FLOATING VAR
36202KKX2
1202.370000
PA
USD
1207.310000
0.0000079
Long
ABS-MBS
USGSE
US
N
2
2024-04-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008482 G2 08/24 FLOATING VAR
36202KM77
910.970000
PA
USD
933.980000
0.0000061
Long
ABS-MBS
USGSE
US
N
2
2024-08-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008559 G2 12/24 FLOATING VAR
36202KQL2
640.190000
PA
USD
648.010000
0.0000042
Long
ABS-MBS
USGSE
US
N
2
2024-12-20
Floating
4.125
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008619 G2 04/25 FLOATING VAR
36202KSG1
1490.270000
PA
USD
1507.850000
0.0000098
Long
ABS-MBS
USGSE
US
N
2
2025-04-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008621 G2 04/25 FLOATING VAR
36202KSJ5
6084.510000
PA
USD
6242.830000
0.0000407
Long
ABS-MBS
USGSE
US
N
2
2025-04-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008643 G2 06/25 FLOATING VAR
36202KS89
469.920000
PA
USD
478.190000
0.0000031
Long
ABS-MBS
USGSE
US
N
2
2025-06-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008651 G2 07/25 FLOATING VAR
36202KTG0
18198.430000
PA
USD
18724.410000
0.0001220
Long
ABS-MBS
USGSE
US
N
2
2025-07-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008684 G2 08/25 FLOATING VAR
36202KUH6
2751.360000
PA
USD
2831.680000
0.0000185
Long
ABS-MBS
USGSE
US
N
2
2025-08-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008686 G2 08/25 FLOATING VAR
36202KUK9
1657.900000
PA
USD
1675.990000
0.0000109
Long
ABS-MBS
USGSE
US
N
2
2025-08-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008781 G2 01/26 FLOATING VAR
36202KXJ9
1847.590000
PA
USD
1859.620000
0.0000121
Long
ABS-MBS
USGSE
US
N
2
2026-01-20
Floating
4
N
N
N
N
N
N
PIMCO FUNDS
549300F9QJIJF2GM8419
PIMCO ST FLOATING NAV PORT IV MUTUAL FUND
000000000
141826563.260000
PA
USD
1412025263.840000
9.2031523
Long
STIV
RF
US
N
1
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008785 G2 05/21 FLOATING VAR
36202KXN0
177.330000
PA
USD
177.810000
0.0000012
Long
ABS-MBS
USGSE
US
N
2
2021-05-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008865 G2 05/26 FLOATING VAR
36202KZ65
15211.000000
PA
USD
15660.240000
0.0001021
Long
ABS-MBS
USGSE
US
N
2
2026-05-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008882 G2 12/21 FLOATING VAR
36202K2P9
495.840000
PA
USD
497.510000
0.0000032
Long
ABS-MBS
USGSE
US
N
2
2021-12-20
Floating
4.125
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008894 G2 06/26 FLOATING VAR
36202K3B9
509.150000
PA
USD
524.310000
0.0000034
Long
ABS-MBS
USGSE
US
N
2
2026-06-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008923 G2 01/22 FLOATING VAR
36202K4G7
6364.940000
PA
USD
6375.780000
0.0000416
Long
ABS-MBS
USGSE
US
N
2
2022-01-20
Floating
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080011 G2 11/26 FLOATING VAR
36225CAM8
97030.750000
PA
USD
99716.670000
0.0006499
Long
ABS-MBS
USGSE
US
N
2
2026-11-20
Floating
4.125
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080085 G2 06/27 FLOATING VAR
36225CCX2
111425.580000
PA
USD
115027.290000
0.0007497
Long
ABS-MBS
USGSE
US
N
2
2027-06-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080107 G2 08/27 FLOATING VAR
36225CDM5
6931.150000
PA
USD
7176.040000
0.0000468
Long
ABS-MBS
USGSE
US
N
2
2027-08-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080109 G2 08/27 FLOATING VAR
36225CDP8
21115.780000
PA
USD
21260.630000
0.0001386
Long
ABS-MBS
USGSE
US
N
2
2027-08-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080114 G2 09/27 FLOATING VAR
36225CDU7
43126.960000
PA
USD
44657.530000
0.0002911
Long
ABS-MBS
USGSE
US
N
2
2027-09-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080116 G2 09/27 FLOATING VAR
36225CDW3
6735.020000
PA
USD
6769.020000
0.0000441
Long
ABS-MBS
USGSE
US
N
2
2027-09-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080119 G2 10/27 FLOATING VAR
36225CDZ6
82677.930000
PA
USD
85127.550000
0.0005548
Long
ABS-MBS
USGSE
US
N
2
2027-10-20
Floating
4.125
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080264 G2 03/29 FLOATING VAR
36225CJJ6
30349.250000
PA
USD
30456.140000
0.0001985
Long
ABS-MBS
USGSE
US
N
2
2029-03-20
Floating
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080283 G2 05/29 FLOATING VAR
36225CJ56
41727.680000
PA
USD
43220.950000
0.0002817
Long
ABS-MBS
USGSE
US
N
2
2029-05-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080291 G2 06/29 FLOATING VAR
36225CKD7
72621.810000
PA
USD
73955.890000
0.0004820
Long
ABS-MBS
USGSE
US
N
2
2029-06-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080310 G2 08/29 FLOATING VAR
36225CKY1
338427.110000
PA
USD
351754.320000
0.0022926
Long
ABS-MBS
USGSE
US
N
2
2029-08-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080317 G2 09/29 FLOATING VAR
36225CK70
46447.820000
PA
USD
46892.990000
0.0003056
Long
ABS-MBS
USGSE
US
N
2
2029-09-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080379 G2 02/30 FLOATING VAR
36225CM52
61280.340000
PA
USD
61723.170000
0.0004023
Long
ABS-MBS
USGSE
US
N
2
2030-02-20
Floating
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080387 G2 03/30 FLOATING VAR
36225CND4
124858.390000
PA
USD
129236.950000
0.0008423
Long
ABS-MBS
USGSE
US
N
2
2030-03-20
Floating
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080393 G2 04/30 FLOATING VAR
36225CNK8
67588.190000
PA
USD
70100.590000
0.0004569
Long
ABS-MBS
USGSE
US
N
2
2030-04-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080395 G2 04/30 FLOATING VAR
36225CNM4
147870.450000
PA
USD
153349.110000
0.0009995
Long
ABS-MBS
USGSE
US
N
2
2030-04-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080407 G2 05/30 FLOATING VAR
36225CNZ5
95578.090000
PA
USD
99149.020000
0.0006462
Long
ABS-MBS
USGSE
US
N
2
2030-05-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080536 G2 08/31 FLOATING VAR
36225CS23
7974.080000
PA
USD
8310.210000
0.0000542
Long
ABS-MBS
USGSE
US
N
2
2031-08-20
Floating
3.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080546 G2 10/31 FLOATING VAR
36225CTC0
40464.340000
PA
USD
41888.040000
0.0002730
Long
ABS-MBS
USGSE
US
N
2
2031-10-20
Floating
4.125
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080579 G2 02/32 FLOATING VAR
36225CUD6
103318.100000
PA
USD
107127.250000
0.0006982
Long
ABS-MBS
USGSE
US
N
2
2032-02-20
Floating
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080599 G2 03/32 FLOATING VAR
36225CUZ7
22644.610000
PA
USD
22815.060000
0.0001487
Long
ABS-MBS
USGSE
US
N
2
2032-03-20
Floating
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080604 G2 05/32 FLOATING VAR
36225CU61
7639.160000
PA
USD
7942.110000
0.0000518
Long
ABS-MBS
USGSE
US
N
2
2032-05-20
Floating
3.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080779 G2 12/33 FLOATING VAR
36225C2M7
27780.710000
PA
USD
28789.720000
0.0001876
Long
ABS-MBS
USGSE
US
N
2
2033-12-20
Floating
4.125
N
N
N
N
N
N
PIMCO FUNDS
LWVQWTQCFH3YG7CVH718
PIMCO PRV SHORT TERM FLT III MUTUAL FUND
000000000
29992634.810000
PA
USD
296717136.160000
1.9339123
Long
STIV
RF
US
N
1
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 04/22 VAR
38141GWD2
9926000.000000
PA
USD
10027440.640000
0.0653558
Long
DBT
CORP
US
N
2
2022-04-26
Floating
3.04563
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 07/23 VAR
38141GWN0
2600000.000000
PA
USD
2626367.590000
0.0171179
Long
DBT
CORP
US
N
2
2023-07-24
Floating
2.936
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 10/22 VAR
38148YAB4
68858000.000000
PA
USD
69348010.740000
0.4519893
Long
DBT
CORP
US
N
2
2022-10-31
Floating
2.70713
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 11/21 VAR
38145GAF7
11613000.000000
PA
USD
11705037.670000
0.0762899
Long
DBT
CORP
US
N
2
2021-11-15
Floating
3.07988
N
N
N
N
N
N
GOODMAN US FINANCE TWO LLC
N/A
GOODMAN US FIN TWO LLC COMPANY GUAR 144A 03/22 6
38239LAB2
6484000.000000
PA
USD
6953671.590000
0.0453219
Long
DBT
CORP
US
N
2
2022-03-22
Fixed
6
N
N
N
N
N
N
GOODRICH CORPORATION
N/A
GOODRICH CORP SR UNSECURED 03/20 4.875
382388AW6
18462000.000000
PA
USD
18543817.680000
0.1208630
Long
DBT
CORP
US
N
2
2020-03-01
Fixed
4.875
N
N
N
N
N
N
GOSFORTH FUNDING 2017-1 PLC 17-1A
N/A
GOSFORTH FUNDING PLC GFUND 2017 1A A1A 144A
383121AA8
3325731.500000
PA
USD
3324484.350000
0.0216680
Long
ABS-MBS
CORP
GB
N
2
2059-12-19
Floating
2.3725
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H11
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H11 FA
38375BSK9
24746662.630000
PA
USD
24826542.380000
0.1618119
Long
ABS-MBS
USGSE
US
N
2
2062-02-20
Floating
2.47425
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H12
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H12 FA
38375BRW4
5379980.160000
PA
USD
5381054.000000
0.0350721
Long
ABS-MBS
USGSE
US
N
2
2062-04-20
Floating
2.32425
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H29 FJ
38376RLR5
7251491.430000
PA
USD
7274948.550000
0.0474159
Long
ABS-MBS
USGSE
US
N
2
2065-11-20
Floating
2.45425
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H30 FD
38376RLJ3
3781258.110000
PA
USD
3786561.700000
0.0246797
Long
ABS-MBS
USGSE
US
N
2
2065-10-20
Floating
2.37425
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H04 FB
38376RRA6
5788804.640000
PA
USD
5824638.500000
0.0379632
Long
ABS-MBS
USGSE
US
N
2
2066-01-20
Floating
2.57425
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FK
38376RRL2
20750016.670000
PA
USD
21037105.600000
0.1371135
Long
ABS-MBS
USGSE
US
N
2
2066-03-20
Floating
2.77425
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F
38375UXM7
26306204.710000
PA
USD
26472149.510000
0.1725374
Long
ABS-MBS
USGSE
US
N
2
2066-05-20
Floating
2.57425
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 FE
38375UWT3
3879274.290000
PA
USD
3911848.940000
0.0254962
Long
ABS-MBS
USGSE
US
N
2
2066-04-20
Floating
2.62425
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H14 FA
38376RVV5
9050358.230000
PA
USD
9108118.520000
0.0593640
Long
ABS-MBS
USGSE
US
N
2
2066-06-20
Floating
2.57425
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA
38376RC95
2905379.700000
PA
USD
2920811.330000
0.0190370
Long
ABS-MBS
USGSE
US
N
2
2066-10-20
Floating
2.54425
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H24 F
38376RJ72
7970979.380000
PA
USD
8041118.420000
0.0524096
Long
ABS-MBS
USGSE
US
N
2
2066-11-20
Floating
2.62425
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H01
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H01 FC
38376RN85
3242545.390000
PA
USD
3280062.290000
0.0213785
Long
ABS-MBS
USGSE
US
N
2
2066-12-20
Floating
2.72425
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB
38375UZZ6
4781887.210000
PA
USD
4844164.600000
0.0315728
Long
ABS-MBS
USGSE
US
N
2
2067-04-20
Floating
3.629
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FE
38376R6F8
4761727.550000
PA
USD
4834777.690000
0.0315116
Long
ABS-MBS
USGSE
US
N
2
2067-07-20
Floating
3.31025
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H25
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H25 FB
38375UZ78
1974755.460000
PA
USD
1995798.850000
0.0130080
Long
ABS-MBS
USGSE
US
N
2
2067-11-20
Floating
2.67525
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H01
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H01 FP
38380LPD9
6356209.980000
PA
USD
6260303.030000
0.0408028
Long
ABS-MBS
USGSE
US
N
2
2068-12-20
Floating
3.25
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H01
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H01 FV
38380LPB3
17978044.990000
PA
USD
17712604.550000
0.1154454
Long
ABS-MBS
USGSE
US
N
2
2068-12-20
Floating
3.25
N
N
N
N
N
N
GOVERNMENT NATL MTGE ASSOC 2009-66
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2009 66 UF
38376FRF1
234554.220000
PA
USD
240743.780000
0.0015691
Long
ABS-MBS
USGSE
US
N
2
2039-08-16
Floating
2.73975
N
N
N
N
N
N
GPMT LLC 2018-FL1
N/A
GPMT LTD. GPMT 2018 FL1 A 144A
36255CAA7
13694253.720000
PA
USD
13701342.550000
0.0893012
Long
ABS-MBS
CORP
KY
N
2
2035-11-21
Floating
2.66463
N
N
N
N
N
N
GREAT HALL MORTGAGES PLC 2006-1
N/A
GREAT HALL MORTGAGES PLC GHM 2006 1 A2A REGS
991XUKII4
1277691.940000
PA
1666644.790000
0.0108627
Long
ABS-MBS
CORP
GB
N
2
2038-06-18
Floating
0.94438
N
N
N
N
N
N
GREAT HALL MORTGAGES PLC 2007-1
N/A
GREAT HALL MORTGAGES PLC GHM 2007 1 A2A REGS
B1S83ZII1
2048995.640000
PA
2673033.000000
0.0174220
Long
ABS-MBS
CORP
GB
N
2
2039-03-18
Floating
0.92438
N
N
N
N
N
N
GREENPOINT MTGE FUNDING TR 2005-AR1
N/A
GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2
39538RAB5
183194.400000
PA
USD
174857.770000
0.0011397
Long
ABS-MBS
CORP
US
N
2
2045-06-25
Floating
2.232
N
N
N
N
N
N
GREENPOINT MTGE FUNDING TR 2005-AR2
N/A
GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR2 A1
39538RBB4
101709.820000
PA
USD
95456.590000
0.0006222
Long
ABS-MBS
CORP
US
N
2
2045-06-25
Floating
2.252
N
N
N
N
N
N
GREENPOINT MTGE FUNDING TR 2005-AR5
N/A
GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1
39538WEA2
271775.070000
PA
USD
241330.150000
0.0015729
Long
ABS-MBS
CORP
US
N
2
2045-11-25
Floating
2.332
N
N
N
N
N
N
GREENWICH CAPITAL ACCEPTANCE I-1994-AR5
N/A
GREENWICH CAPITAL ACCEPTANCE I GRCAP 1994 AR5 A1
396782CW2
1065.450000
PA
USD
1078.540000
0.0000070
Long
ABS-MBS
CORP
US
N
2
2024-06-25
Floating
4.93548
N
N
N
N
N
N
GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2
N/A
GREYSTONE COMMERCIAL REAL ESTA GSTNE 2019 FL2 A 144A
39809LAA2
16000000.000000
PA
USD
16024612.800000
0.1044436
Long
ABS-CBDO
CORP
KY
N
2
2037-09-15
Floating
3.442
N
N
N
N
N
N
GRUPO BIMBO SAB DE CV
5493000RIXURZEBFEV60
GRUPO BIMBO SAB DE CV COMPANY GUAR REGS 06/20 4.875
P4949BAG9
11768000.000000
PA
USD
11913718.790000
0.0776500
Long
DBT
CORP
MX
N
2
2020-06-30
Fixed
4.875
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2014-GC18 2014-GC18
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2014 GC18 AAB
36252RAQ2
28464437.370000
PA
USD
29220654.920000
0.1904514
Long
ABS-MBS
CORP
US
N
2
2047-01-10
Fixed
3.648
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2016-GS4
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2016 GS4 A2
36251XAP2
4200000.000000
PA
USD
4225708.200000
0.0275419
Long
ABS-MBS
CORP
US
N
2
2049-11-10
Fixed
2.905
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2017-500K
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2017 500K A 144A
36253XAA3
8000000.000000
PA
USD
7996958.400000
0.0521217
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
2.43975
N
N
N
N
N
N
GSAA HOME EQUITY TRUST 2007-7
N/A
GSAA HOME EQUITY TRUST GSAA 2007 7 A4
36249BAD2
1629259.720000
PA
USD
1594967.550000
0.0103955
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
2.062
N
N
N
N
N
N
GSAMP TRUST 2004-FM2
N/A
GSAMP TRUST GSAMP 2004 FM2 M1
36228FN28
1602046.380000
PA
USD
1582951.910000
0.0103172
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
2.542
N
N
N
N
N
N
GSAMP TRUST 2006-HE4
N/A
GSAMP TRUST GSAMP 2006 HE4 A2D
362439AE1
5661500.000000
PA
USD
5519181.780000
0.0359724
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
2.052
N
N
N
N
N
N
GSAMP TRUST 2007-FM1
N/A
GSAMP TRUST GSAMP 2007 FM1 A2A
3622MAAB7
330732.680000
PA
USD
191285.130000
0.0012467
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.862
N
N
N
N
N
N
GSMPS MORTGAGE LOAN TRUST 2006-RP1
N/A
GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1A4 144A
3623413G2
110437.830000
PA
USD
120959.610000
0.0007884
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
8.5
Y
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2005-AR6
N/A
GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1
362341RX9
777182.460000
PA
USD
800038.850000
0.0052144
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
4.26933
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2006-AR1
N/A
GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1
3623414A4
234947.900000
PA
USD
239574.120000
0.0015615
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
3.95633
Y
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2006-AR2
N/A
GSR MORTGAGE LOAN TRUST GSR 2006 AR2 2A1
36297TAB8
191346.080000
PA
USD
170515.800000
0.0011114
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
3.93805
N
N
N
N
N
N
GSR MTGE LOAN TRUST 2003-2F
N/A
GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1
36228FNB8
91.820000
PA
USD
95.020000
0.0000006
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Fixed
6
N
N
N
N
N
N
GSRPM MORTGAGE LOAN TRUST 2006-1
N/A
GSRPM MORTGAGE LOAN TRUST GSRPM 2006 1 M1 144A
362334NV2
2500000.000000
PA
USD
2470257.250000
0.0161004
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.292
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2005-2
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A
41161PLR2
763750.010000
PA
USD
741372.820000
0.0048320
Long
ABS-MBS
CORP
US
N
2
2035-05-19
Floating
2.20388
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-1
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A
41161PA86
1888432.100000
PA
USD
1817422.140000
0.0118454
Long
ABS-MBS
CORP
US
N
2
2036-03-19
Floating
2.00388
Y
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-5
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 5 2A1A
41161MAC4
1240992.010000
PA
USD
854015.830000
0.0055662
Long
ABS-MBS
CORP
US
N
2
2046-07-19
Floating
1.94388
Y
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-6
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 5A1A
41161UAJ1
42260.960000
PA
USD
40625.680000
0.0002648
Long
ABS-MBS
CORP
US
N
2
2036-08-19
Floating
4.44624
Y
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2007-1
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 1 2A1A
41164MAC1
591275.290000
PA
USD
571140.950000
0.0037225
Long
ABS-MBS
CORP
US
N
2
2037-03-19
Floating
1.89388
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TRUST 2004-1
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 1 2A
41161PCY7
12424.260000
PA
USD
12428.450000
0.0000810
Long
ABS-MBS
CORP
US
N
2
2034-04-19
Floating
4.17534
N
N
N
N
N
N
HARLEY-DAVIDSON FINANCIAL SERVICES INC
RLUFFFFW4GRYU77BTS24
HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 02/20 2.15
41283LAF2
4200000.000000
PA
USD
4200130.790000
0.0273752
Long
DBT
CORP
US
N
2
2020-02-26
Fixed
2.15
N
N
N
N
N
N
HARLEY-DAVIDSON FINANCIAL SERVICES INC
RLUFFFFW4GRYU77BTS24
HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 03/21 VAR
41283LAT2
53125000.000000
PA
USD
53446936.440000
0.3483509
Long
DBT
CORP
US
N
2
2021-03-02
Floating
2.84688
N
N
N
N
N
N
HARLEY-DAVIDSON FINANCIAL SERVICES INC
RLUFFFFW4GRYU77BTS24
HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 05/20 VAR
41284VAA0
15000000.000000
PA
USD
15017173.350000
0.0978774
Long
DBT
CORP
US
N
2
2020-05-21
Floating
2.39463
N
N
N
N
N
N
HARLEY-DAVIDSON FINANCIAL SERVICES INC
RLUFFFFW4GRYU77BTS24
HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 05/21 3.55
41284VAB8
660000.000000
PA
USD
672246.240000
0.0043815
Long
DBT
CORP
US
N
2
2021-05-21
Fixed
3.55
N
N
N
N
N
N
HARLEY-DAVIDSON FINANCIAL SERVICES INC
RLUFFFFW4GRYU77BTS24
HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 06/20 2.4
41283LAN5
10690000.000000
PA
USD
10691414.500000
0.0696834
Long
DBT
CORP
US
N
2
2020-06-15
Fixed
2.4
N
N
N
N
N
N
HAWKSMOOR MORTGAGES 19-1A
N/A
HAWKSMOOR MORTGAGES PLC HWKSM 2019 1A A 144A
ACI1DHFV7
133017382.970000
PA
176634282.270000
1.1512487
Long
ABS-MBS
CORP
GB
N
2
2053-05-25
Floating
1.76099
N
N
N
N
N
N
HEWLETT PACKARD ENTERPRISE COMPANY
549300BX44RGX6ANDV88
HP ENTERPRISE CO SR UNSECURED 10/21 VAR
42824CBB4
38400000.000000
PA
USD
38405275.780000
0.2503139
Long
DBT
CORP
US
N
2
2021-10-05
Floating
2.76313
N
N
N
N
N
N
HOLMES MASTER ISSUER PLC 18-1A
N/A
HOLMES MASTER ISSUER PLC HMI 2018 1A A2 144A
43641NBY9
32002858.260000
PA
USD
31989993.110000
0.2085011
Long
ABS-MBS
CORP
GB
N
2
2054-10-15
Floating
2.36088
N
N
N
N
N
N
HOLMES MASTER ISSUER PLC 18-2A
N/A
HOLMES MASTER ISSUER PLC HMI 2018 2A A2 144A
43641NCA0
184266430.000000
PA
USD
184258322.280000
1.2009398
Long
ABS-MBS
CORP
GB
N
2
2054-10-15
Floating
2.42088
N
N
N
N
N
N
HOME EQUITY ASSET TRUST 2004-1
N/A
HOME EQUITY ASSET TRUST HEAT 2004 1 M1
437084AV8
4657694.050000
PA
USD
4660011.720000
0.0303725
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
2.737
N
N
N
N
N
N
HOME EQUITY ASSET TRUST 2006-3
N/A
HOME EQUITY ASSET TRUST HEAT 2006 3 M1
437084US3
7763000.000000
PA
USD
7708877.920000
0.0502441
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
2.182
N
N
N
N
N
N
HOME EQUITY PASS-THRU CERTS 2002-3
N/A
HOME EQUITY ASSET TRUST HEAT 2002 3 A4
22541NHE2
798.440000
PA
USD
777.680000
0.0000051
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Floating
2.712
N
N
N
N
N
N
HOSPITALITY MORTGAGE TRUST 2019-HIT
N/A
HOSPITALITY MORTGAGE TRUST HPLY 2019 HIT A 144A
40443RAA9
24869983.710000
PA
USD
24831661.550000
0.1618452
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
2.73975
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 05/24 VAR
404280BR9
155432000.000000
PA
USD
156774822.120000
1.0218107
Long
DBT
CORP
GB
N
2
2024-05-18
Floating
2.90413
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 09/21 VAR
404280BV0
83250000.000000
PA
USD
83441461.680000
0.5438461
Long
DBT
CORP
GB
N
2
2021-09-11
Floating
2.53725
N
N
N
N
N
N
HSI ASSET LOAN OBLIGATION 2007-WF1
N/A
HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A1
40431KAA8
102181.690000
PA
USD
45240.690000
0.0002949
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.852
N
N
N
N
N
N
HSI ASSET SEC CORP TRUST 2006-OPT3
N/A
HSI ASSET SECURITIZATION CORPO HASC 2006 OPT3 3A3
40430HFL7
340031.020000
PA
USD
340273.050000
0.0022178
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
1.972
N
N
N
N
N
N
HSI ASSET SEC CORP TRUST 2006-OPT3
N/A
HSI ASSET SECURITIZATION CORPO HASC 2006 OPT3 M1
40430HFN3
4442074.010000
PA
USD
4267876.300000
0.0278167
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.122
N
N
N
N
N
N
HSI ASSET SECUR CORP TRUST 2007-WF1
N/A
HSI ASSET SECURITIZATION CORPO HASC 2007 WF1 1A1
40431RAA3
157062.430000
PA
USD
154995.710000
0.0010102
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
1.952
N
N
N
N
N
N
HUTCHISON WHAMPOA INTERNATIONAL (11) LIMITED
254900NSPYVQR5EXP064
HUTCH WHAMPOA INT 11 LTD COMPANY GUAR REGS 01/22 4.625
000000000
12701000.000000
PA
USD
13264547.050000
0.0864543
Long
DBT
CORP
KY
N
2
2022-01-13
Fixed
4.625
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 03/20 2.6
44891AAB3
30502000.000000
PA
USD
30522780.710000
0.1989382
Long
DBT
CORP
US
N
2
2020-03-19
Fixed
2.6
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 03/21 VAR
44891AAT4
250000.000000
PA
USD
250605.070000
0.0016334
Long
DBT
CORP
US
N
2
2021-03-12
Floating
2.70725
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 04/20 2.55
44891AAL1
10765000.000000
PA
USD
10769898.400000
0.0701949
Long
DBT
CORP
US
N
2
2020-04-03
Fixed
2.55
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 04/20 VAR
44891AAN7
6847000.000000
PA
USD
6855287.540000
0.0446807
Long
DBT
CORP
US
N
2
2020-04-03
Floating
2.70838
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 06/21 2.45
44891AAH0
3815000.000000
PA
USD
3818931.660000
0.0248906
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
2.45
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 07/21 VAR
44891AAV9
16300000.000000
PA
USD
16345514.980000
0.1065351
Long
DBT
CORP
US
N
2
2021-07-08
Floating
2.967
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/20 2.75
44891AAQ0
1374000.000000
PA
USD
1378903.460000
0.0089873
Long
DBT
CORP
US
N
2
2020-09-18
Fixed
2.75
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/20 VAR
44891AAX5
37900000.000000
PA
USD
37984147.850000
0.2475692
Long
DBT
CORP
US
N
2
2020-09-18
Floating
2.6985
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 10/20 3
44891AAD9
1820000.000000
PA
USD
1831470.280000
0.0119370
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
3
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED REGS 03/21 VAR
44891CAT0
21762000.000000
PA
USD
21814669.920000
0.1421814
Long
DBT
CORP
US
N
2
2021-03-12
Floating
2.70725
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED REGS 04/20 VAR
44891CAN3
1970000.000000
PA
USD
1972384.470000
0.0128554
Long
DBT
CORP
US
N
2
2020-04-03
Floating
2.70838
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED REGS 07/21 VAR
44891CAV5
9484000.000000
PA
USD
9510482.460000
0.0619864
Long
DBT
CORP
US
N
2
2021-07-08
Floating
2.967
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED REGS 09/20 VAR
44891CAP8
2065000.000000
PA
USD
2072467.560000
0.0135077
Long
DBT
CORP
US
N
2
2020-09-18
Floating
2.8985
N
N
N
N
N
N
HYUNDAI CAPITAL SERVICES
549300MALMDAGL2ZJJ27
HYUNDAI CAPITAL SERVICES SR UNSECURED 144A 03/21 2.875
44920UAG3
800000.000000
PA
USD
804129.970000
0.0052411
Long
DBT
CORP
KR
N
2
2021-03-16
Fixed
2.875
N
N
N
N
N
N
HYUNDAI CAPITAL SERVICES
549300MALMDAGL2ZJJ27
HYUNDAI CAPITAL SERVICES SR UNSECURED 144A 09/20 2.625
44920UAF5
3000000.000000
PA
USD
3005451.780000
0.0195886
Long
DBT
CORP
KR
N
2
2020-09-29
Fixed
2.625
N
N
N
N
N
N
HYUNDAI CAPITAL SERVICES
549300MALMDAGL2ZJJ27
HYUNDAI CAPITAL SERVICES SR UNSECURED REGS 03/21 2.875
Y3815NAV3
790000.000000
PA
USD
794078.340000
0.0051756
Long
DBT
CORP
KR
N
2
2021-03-16
Fixed
2.875
N
N
N
N
N
N
HYUNDAI CAPITAL SERVICES
549300MALMDAGL2ZJJ27
HYUNDAI CAPITAL SERVICES SR UNSECURED REGS 09/20 2.625
Y3815NAU5
1363000.000000
PA
USD
1365476.930000
0.0088998
Long
DBT
CORP
KR
N
2
2020-09-29
Fixed
2.625
N
N
N
N
N
N
ICICI BANK LTD/DUBAI BRANCH
R7RX8ER1V4666J8D1I38
ICICI BANK LTD/DUBAI SR UNSECURED 144A 03/20 3.5
45112EAF6
3400000.000000
PA
USD
3406870.720000
0.0222049
Long
DBT
CORP
IN
N
2
2020-03-18
Fixed
3.5
N
N
N
N
N
N
ICICI BANK LTD/DUBAI BRANCH
R7RX8ER1V4666J8D1I38
ICICI BANK LTD/DUBAI SR UNSECURED REGS 03/20 3.5
45112FAG1
4650000.000000
PA
USD
4659396.720000
0.0303685
Long
DBT
CORP
IN
N
2
2020-03-18
Fixed
3.5
N
N
N
N
N
N
ICICI BANK LTD/DUBAI BRANCH
R7RX8ER1V4666J8D1I38
ICICI BANK LTD/DUBAI SR UNSECURED REGS 08/20 3.125
ACI0G6RL9
14200000.000000
PA
USD
14250566.630000
0.0928809
Long
DBT
CORP
IN
N
2
2020-08-12
Fixed
3.125
N
N
N
N
N
N
ICICI BANK LTD/DUBAI BRANCH
R7RX8ER1V4666J8D1I38
ICICI BANK LTD/DUBAI SR UNSECURED REGS 08/20 3.125
M529AEAG7
2283000.000000
PA
USD
2291129.830000
0.0149329
Long
DBT
CORP
IN
N
2
2020-08-12
Fixed
3.125
N
N
N
N
N
N
ICICI BANK LTD/HONG KONG BRANCH
R7RX8ER1V4666J8D1I38
ICICI BANK LTD/HONG KONG SR UNSECURED REGS 11/20 5.75
Y3860XAC7
6996000.000000
PA
USD
7183276.270000
0.0468184
Long
DBT
CORP
IN
N
2
2020-11-16
Fixed
5.75
N
N
N
N
N
N
IMPAC CMB TR 2004-10
N/A
IMPAC CMB TRUST IMM 2004 10 1A1
45254NLJ4
2386648.020000
PA
USD
2348867.860000
0.0153092
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.432
N
N
N
N
N
N
IMPAC CMB TRUST 2003-8
N/A
IMPAC CMB TRUST IMM 2003 8 2A1
45254NFG7
1723.210000
PA
USD
1739.870000
0.0000113
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
2.692
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/20 2.95
453140AD7
75035000.000000
PA
USD
75253604.720000
0.4904802
Long
DBT
CORP
GB
N
2
2020-07-21
Fixed
2.95
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/22 3.75
453140AE5
36358000.000000
PA
USD
37429662.960000
0.2439552
Long
DBT
CORP
GB
N
2
2022-07-21
Fixed
3.75
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/24 3.125
45262BAA1
17150000.000000
PA
USD
17333623.680000
0.1129753
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.125
N
N
N
N
N
N
IMT TRUST 2017-APTS
N/A
IMT TRUST IMTT 2017 APTS AFL 144A
44974AAA5
9900000.000000
PA
USD
9867807.180000
0.0643154
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
2.43975
N
N
N
N
N
N
INDYMAC ARM TRUST 2001-H2
N/A
INDYMAC ARM TRUST INARM 2001 H2 A1
45660UAQ2
870.890000
PA
USD
843.440000
0.0000055
Long
ABS-MBS
CORP
US
N
2
2032-01-25
Floating
3.69897
N
N
N
N
N
N
INDYMAC ARM TRUST 2001-H2
N/A
INDYMAC ARM TRUST INARM 2001 H2 A2
45660UAT6
842.410000
PA
USD
845.130000
0.0000055
Long
ABS-MBS
CORP
US
N
2
2032-01-25
Floating
3.64151
N
N
N
N
N
N
INDYMAC IMSC MTGE LN TRUST 2007-HOA1
N/A
INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 HOA1 A11
45670LAA5
472006.710000
PA
USD
402428.150000
0.0026229
Long
ABS-MBS
CORP
US
N
2
2047-07-25
Floating
1.972
Y
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2006-AR12
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1
45661VAA4
904633.900000
PA
USD
869313.920000
0.0056659
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
1.982
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2006-AR4
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A
45661EAV6
146868.750000
PA
USD
144720.270000
0.0009432
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
2.002
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2006-AR6
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR6 2A1A
456612AC4
424727.370000
PA
USD
381097.210000
0.0024839
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
1.992
Y
N
N
N
N
N
INDYMAC INDX MTGE LOAN TRUST 2004-AR11
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A
45660N6S9
15389.000000
PA
USD
15606.200000
0.0001017
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
3.85469
N
N
N
N
N
N
INDYMAC INDX MTGE LOAN TRUST 2005-AR12
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A
45660LMG1
114222.290000
PA
USD
111283.990000
0.0007253
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.272
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV SR UNSECURED 03/22 VAR
456837AJ2
29609000.000000
PA
USD
30022330.390000
0.1956764
Long
DBT
CORP
NL
N
2
2022-03-29
Floating
3.1105
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV SR UNSECURED 10/23 VAR
456837AL7
5690000.000000
PA
USD
5745092.460000
0.0374448
Long
DBT
CORP
NL
N
2
2023-10-02
Floating
2.90938
N
N
N
N
N
N
INTERNATIONAL LEASE FINANCE CORPORATION
N/A
INTL LEASE FINANCE CORP SR UNSECURED 01/22 8.625
459745GK5
25179000.000000
PA
USD
28329277.640000
0.1846416
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
8.625
N
N
N
N
N
N
INTERNATIONAL LEASE FINANCE CORPORATION
N/A
INTL LEASE FINANCE CORP SR UNSECURED 04/21 4.625
459745GQ2
7075000.000000
PA
USD
7296475.800000
0.0475562
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
4.625
N
N
N
N
N
N
INTERNATIONAL LEASE FINANCE CORPORATION
N/A
INTL LEASE FINANCE CORP SR UNSECURED 08/22 5.875
459745GN9
1200000.000000
PA
USD
1307165.050000
0.0085197
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.875
N
N
N
N
N
N
INTERNATIONAL LEASE FINANCE CORPORATION
N/A
INTL LEASE FINANCE CORP SR UNSECURED 12/20 8.25
459745GF6
21146000.000000
PA
USD
22358674.460000
0.1457271
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
8.25
N
N
N
N
N
N
INTERPUBLIC GROUP OF COMPANIES INC
5493008IUOJ5VWTRC333
INTERPUBLIC GROUP COS SR UNSECURED 10/20 3.5
460690BM1
7300000.000000
PA
USD
7378787.510000
0.0480927
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
3.5
N
N
N
N
N
N
INTERPUBLIC GROUP OF COMPANIES INC
5493008IUOJ5VWTRC333
INTERPUBLIC GROUP COS SR UNSECURED 10/21 3.75
460690BN9
6800000.000000
PA
USD
6989296.430000
0.0455541
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
3.75
N
N
N
N
N
N
ISRAEL ELECTRIC CORPORATION LTD
254900JW7GE35YNJGJ55
ISRAEL ELECTRIC CORP LTD SR SECURED 144A 01/20 9.375
46507MAB8
8400000.000000
PA
USD
8449812.000000
0.0550733
Long
DBT
CORP
IL
N
2
2020-01-28
Fixed
9.375
N
N
N
N
N
N
ISRAEL ELECTRIC CORPORATION LTD
254900JW7GE35YNJGJ55
ISRAEL ELECTRIC CORP LTD SR SECURED REGS 01/20 9.375
46507NAB6
43052000.000000
PA
USD
43307298.360000
0.2822638
Long
DBT
CORP
IL
N
2
2020-01-28
Fixed
9.375
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-LAQ
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 LAQ A 144A
46649VAA9
21565695.270000
PA
USD
21584088.650000
0.1406785
Long
ABS-MBS
CORP
US
N
2
2032-06-15
Floating
2.73975
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PHH
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 PHH A 144A
46650FAA0
23839507.540000
PA
USD
23845796.400000
0.1554197
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
2.64975
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A
46651QAA5
15100000.000000
PA
USD
15101063.040000
0.0984241
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Floating
3.18975
N
N
N
N
N
N
JAMESTOWN CLO VIII LTD 2015-8A
N/A
JAMESTOWN CLO LTD JTWN 2015 8A A1AR 144A
47048CAK4
20800000.000000
PA
USD
20779416.530000
0.1354339
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
2.87088
N
N
N
N
N
N
JAPAN GOVT
N/A
JAPAN TREASURY DISC BILL BILLS 03/20 0.00000
ACI1H3M46
1009000000.000000
PA
9288836.080000
0.0605418
Long
DBT
NUSS
JP
N
2
2020-03-09
None
0
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 03/25 VAR
46647PAH9
2500000.000000
PA
USD
2591576.880000
0.0168911
Long
DBT
CORP
US
N
2
2025-03-01
Floating
3.22
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 06/22 VAR
46647PAT3
119500000.000000
PA
USD
119996772.260000
0.7821026
Long
DBT
CORP
US
N
2
2022-06-18
Floating
2.5085
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2012-HSBC
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2012 HSBC A 144A
46637YAA7
11251297.380000
PA
USD
11481240.140000
0.0748312
Long
ABS-MBS
CORP
US
N
2
2032-07-05
Fixed
3.0934
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST-2005-A2
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2005 A2 2A1
466247NM1
1095870.140000
PA
USD
1074619.790000
0.0070040
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
3.6943
N
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2006-CH2
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5
46629QAW6
8230741.380000
PA
USD
8060708.260000
0.0525373
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
2.002
N
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2006-NC2
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 NC2 M1
46629FAE0
2500000.000000
PA
USD
2427478.500000
0.0158216
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
2.062
N
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2007-CH4
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH4 A5
46630CAE4
1500000.000000
PA
USD
1464901.800000
0.0095478
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
2.032
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19
N/A
JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2014 C19 A2
46641WAT4
67192.080000
PA
USD
67503.700000
0.0004400
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Fixed
3.0456
N
N
N
N
N
N
JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2017 JP7 A3
465968AC9
4300000.000000
PA
USD
4461078.430000
0.0290760
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.3785
N
N
N
N
N
N
KEB HANA BANK (AKA: KOREA EXCHANGE BANK)
6RPK2YDJN6L35AS0M510
KEB HANA BANK SR UNSECURED 144A 10/22 VAR
482466AF6
19900000.000000
PA
USD
19982087.500000
0.1302372
Long
DBT
CORP
KR
N
2
2022-10-02
Floating
2.60938
N
N
N
N
N
N
KEB HANA BANK (AKA: KOREA EXCHANGE BANK)
6RPK2YDJN6L35AS0M510
KEB HANA BANK SR UNSECURED REGS 09/22 VAR
ACI0Y2276
5000000.000000
PA
USD
5043175.000000
0.0328699
Long
DBT
CORP
KR
N
2
2022-09-14
Floating
2.76863
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
KEURIG DR PEPPER INC COMPANY GUAR 01/20 2
26138EAQ2
4470000.000000
PA
USD
4469800.060000
0.0291328
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
2
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN ENER PART COMPANY GUAR 02/20 6.85
494550BB1
37144000.000000
PA
USD
37332531.430000
0.2433221
Long
DBT
CORP
US
N
2
2020-02-15
Fixed
6.85
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN ENER PART COMPANY GUAR 04/20 6.5
28370TAA7
4500000.000000
PA
USD
4547615.090000
0.0296400
Long
DBT
CORP
US
N
2
2020-04-01
Fixed
6.5
N
N
N
N
N
N
KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO)
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO COMPANY GUAR 02/21 VAR
50077LAP1
32134000.000000
PA
USD
32187028.810000
0.2097853
Long
DBT
CORP
US
N
2
2021-02-10
Floating
2.47063
N
N
N
N
N
N
KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO)
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO COMPANY GUAR 08/22 VAR
50077LAQ9
500000.000000
PA
USD
501740.780000
0.0032702
Long
DBT
CORP
US
N
2
2022-08-10
Floating
2.72063
N
N
N
N
N
N
L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP)
549300UTE50ZMDBG8A20
L3HARRIS TECH INC SR UNSECURED 04/20 VAR
413875AU9
10300000.000000
PA
USD
10306301.850000
0.0671733
Long
DBT
CORP
US
N
2
2020-04-30
Floating
2.4155
N
N
N
N
N
N
LANARK MASTER ISSUER PLC 19-1A
N/A
LANARK MASTER ISSUER PLC LAN 2019 1A 1A1 144A
513770BB2
25566667.660000
PA
USD
25644288.060000
0.1671417
Long
ABS-MBS
CORP
GB
N
2
2069-12-22
Floating
2.66875
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP SR UNSECURED 06/25 2.9
517834AH0
22700000.000000
PA
USD
22984908.610000
0.1498087
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
2.9
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP SR UNSECURED 08/24 3.2
517834AG2
14500000.000000
PA
USD
14968382.340000
0.0975594
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.2
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP SR UNSECURED 08/26 3.5
517834AE7
5600000.000000
PA
USD
5763361.460000
0.0375638
Long
DBT
CORP
US
N
2
2026-08-18
Fixed
3.5
N
N
N
N
N
N
LATITUDE MANAGEMENT REAL ESTATE CAPITAL INC 2016-CRE2
N/A
LATITUDE MANAGEMENT REAL ESTAT LMREC 2016 CRE2 A 144A
50209MAA3
2062349.940000
PA
USD
2063923.100000
0.0134520
Long
ABS-MBS
CORP
US
N
2
2031-11-24
Floating
3.47988
N
N
N
N
N
N
LEASEPLAN CORPORATION NV
724500C60L930FVHS484
LEASEPLAN CORPORATION NV SR UNSECURED 144A 10/24 2.875
52206AAD2
11400000.000000
PA
USD
11398272.330000
0.0742905
Long
DBT
CORP
NL
N
2
2024-10-24
Fixed
2.875
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2019-GS3
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2019 GS3 A1 144A
52474WAA5
9057331.920000
PA
USD
9151249.210000
0.0596451
Long
ABS-MBS
CORP
US
N
2
2059-04-25
Fixed
3.75
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2019-GS4
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2019 GS4 A1 144A
52473CAA0
4013237.780000
PA
USD
4040311.480000
0.0263335
Long
ABS-MBS
CORP
US
N
2
2059-05-25
Fixed
3.438
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2019-GS6
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2019 GS6 A1 144A
52474VAA7
4363260.260000
PA
USD
4366095.510000
0.0284569
Long
ABS-MBS
CORP
US
N
2
2059-06-25
Fixed
3
N
N
N
N
N
N
LEHMAN ABS MTGE LN TR 2007-1
N/A
LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A1 144A
52521MAB8
335044.050000
PA
USD
243324.770000
0.0015859
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.882
N
N
N
N
N
N
LEHMAN XS TRUST 2007-9
N/A
LEHMAN XS TRUST LXS 2007 9 WF1
52524MAT6
175987.010000
PA
USD
172031.630000
0.0011212
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
1.942
Y
N
N
N
N
N
LIBERTY FUNDING PTY LIMITED 2018-1
N/A
LIBERTY FUNDING PTY LIMITED LBRTY 2018 1 A1B
ACI12DYP0
2358250.740000
PA
1656162.560000
0.0107944
Long
ABS-MBS
CORP
AU
N
2
2049-10-10
Floating
2.085
N
N
N
N
N
N
LLOYDS BANK CORPORATE MARKETS PLC/NEW YORK BRANCH
213800MBWEIJDM5CU638
LLOYDS BANK CORP MKTS/NY CERT OF DEPO 09/20 VAR
53947BAC4
33500000.000000
PA
USD
33576275.820000
0.2188400
Long
DBT
CORP
GB
N
2
2020-09-24
Floating
2.43475
N
N
N
N
N
N
LLOYDS BANK CORPORATE MARKETS PLC/NEW YORK BRANCH
213800MBWEIJDM5CU638
LLOYDS BANK CORPORATE
53947BAE0
30900000.000000
PA
USD
30966308.310000
0.2018290
Long
DBT
CORP
GB
N
2
2020-10-26
Floating
2.512
N
N
N
N
N
N
LLOYDS BANK PLC
H7FNTJ4851HG0EXQ1Z70
LLOYDS BANK PLC COMPANY GUAR 05/21 VAR
53944VAQ2
1308000.000000
PA
USD
1312578.420000
0.0085550
Long
DBT
CORP
GB
N
2
2021-05-07
Floating
2.3835
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 03/23 VAR
53944YAK9
36100000.000000
PA
USD
36550790.810000
0.2382270
Long
DBT
CORP
GB
N
2
2023-03-17
Floating
2.858
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 06/21 VAR
53944YAG8
47100000.000000
PA
USD
47370627.180000
0.3087474
Long
DBT
CORP
GB
N
2
2021-06-21
Floating
2.72775
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 11/23 VAR
539439AP4
10000000.000000
PA
USD
10149906.100000
0.0661540
Long
DBT
CORP
GB
N
2
2023-11-07
Floating
2.907
N
N
N
N
N
N
LOANCORE ISSUER LTD 2019-CRE2
N/A
LOANCORE 2019 CRE2 ISSUER, LTD LNCR 2019 CRE2 A 144A
53946JAA2
41400000.000000
PA
USD
41406214.550000
0.2698731
Long
ABS-O
CORP
KY
N
2
2036-05-15
Floating
2.86975
N
N
N
N
N
N
LONDON WALL MORTGAGE CAPITAL PLC 17-FL1
N/A
LONDON WALL MORTGAGE CAPITAL LWMC 2017 FL1 A REGS
ACI0WP8J5
2998294.340000
PA
3973256.590000
0.0258965
Long
ABS-MBS
CORP
GB
N
2
2049-11-15
Floating
1.63888
N
N
N
N
N
N
LONG BEACH MORTGAGE LOAN TR 2005-2
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M5
542514KV5
23800000.000000
PA
USD
23857058.120000
0.1554931
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
2.767
N
N
N
N
N
N
LONG BEACH MTGE LOAN TRUST 2001-4
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2A1
542514BQ6
21011.480000
PA
USD
21151.120000
0.0001379
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Floating
2.492
N
N
N
N
N
N
LONG BEACH MTGE LOAN TRUST 2003-4
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2003 4 M1
542514EH3
2268592.960000
PA
USD
2258269.050000
0.0147187
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
2.812
N
N
N
N
N
N
LONG BEACH MTGE LOAN TRUST 2004-1
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 1 M2
542514EV2
524185.500000
PA
USD
524877.950000
0.0034210
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
2.617
N
N
N
N
N
N
LONG BEACH MTGE LOAN TRUST 2004-4
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1
542514HN7
358703.080000
PA
USD
347640.030000
0.0022658
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
2.352
N
N
N
N
N
N
LP CREDIT CARD ABS MASTER TRUST 2018-1
N/A
LP CREDIT CARD ABS LPCC 2018 1 A 144A
50214FAA1
41298059.730000
PA
USD
40880606.550000
0.2664474
Long
ABS-MBS
CORP
US
N
2
2024-08-20
Floating
3.8215
N
N
N
N
N
N
LUMINENT MORTGAGE TRUST 2006-6
N/A
LUMINENT MORTGAGE TRUST LUM 2006 6 A1
55027YAD0
173935.270000
PA
USD
169406.400000
0.0011041
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
1.992
N
N
N
N
N
N
LUMINENT MORTGAGE TRUST 2006-7
N/A
LUMINENT MORTGAGE TRUST LUM 2006 7 1A1
55028BAA5
131835.460000
PA
USD
124964.450000
0.0008145
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
2.152
Y
N
N
N
N
N
LUMINENT MORTGAGE TRUST 2006-7
N/A
LUMINENT MORTGAGE TRUST LUM 2006 7 2A1
55028BAG2
611815.560000
PA
USD
599647.530000
0.0039083
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.962
N
N
N
N
N
N
MADISON PARK FUNDING XVI LTD 2015-16A
N/A
MADISON PARK FUNDING LTD MDPK 2015 16A A1R 144A
55818XAW3
7675063.770000
PA
USD
7678288.520000
0.0500448
Long
ABS-CBDO
CORP
KY
N
2
2026-04-20
Floating
3.29588
N
N
N
N
N
N
MAJAPAHIT HOLDING BV
213800SWP1ZR2AQ4KL66
MAJAPAHIT HOLDING BV COMPANY GUAR 144A 01/20 7.75
56068TAF4
8230000.000000
PA
USD
8270491.600000
0.0539046
Long
DBT
CORP
NL
N
2
2020-01-20
Fixed
7.75
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2018-2A
N/A
MARLETTE FUNDING TRUST MFT 2018 2A A 144A
57109EAA7
979587.400000
PA
USD
980207.870000
0.0063887
Long
ABS-O
CORP
US
N
2
2028-07-17
Fixed
3.06
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2018-4A
N/A
MARLETTE FUNDING TRUST MFT 2018 4A A 144A
57109GAA2
6971415.150000
PA
USD
7022550.480000
0.0457709
Long
ABS-O
CORP
US
N
2
2028-12-15
Fixed
3.71
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2019-1A
N/A
MARLETTE FUNDING TRUST MFT 2019 1A A 144A
57109XAA5
2287999.950000
PA
USD
2304980.110000
0.0150232
Long
ABS-O
CORP
US
N
2
2029-04-16
Fixed
3.44
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2019-2
N/A
MARLETTE FUNDING TRUST MFT 2019 2A A 144A
57109HAA0
21335493.300000
PA
USD
21475893.650000
0.1399734
Long
ABS-O
CORP
US
N
2
2029-07-16
Fixed
3.13
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2019-3
N/A
MARLETTE FUNDING TRUST MFT 2019 3A A 144A
57109MAA9
3003565.070000
PA
USD
3015216.500000
0.0196523
Long
ABS-O
CORP
US
N
2
2029-09-17
Fixed
2.69
N
N
N
N
N
N
MARRIOTT INTERNATIONAL INC
225YDZ14ZO8E1TXUSU86
MARRIOTT INTERNATIONAL SR UNSECURED 03/21 VAR
571900BA6
11600000.000000
PA
USD
11645450.080000
0.0759015
Long
DBT
CORP
US
N
2
2021-03-08
Floating
2.535
N
N
N
N
N
N
MARSH & MCLENNAN COMPANIES INC
549300XMP3KDCKJXIU47
MARSH + MCLENNAN COS INC SR UNSECURED 12/21 VAR
571748BK7
10000000.000000
PA
USD
10009479.600000
0.0652388
Long
DBT
CORP
US
N
2
2021-12-29
Floating
3.1605
N
N
N
N
N
N
MARTIN MARIETTA MATERIALS INC
5299005MZ4WZECVATV08
MARTIN MARIETTA MATERIAL SR UNSECURED 05/20 VAR
573284AR7
2300000.000000
PA
USD
2302830.660000
0.0150092
Long
DBT
CORP
US
N
2
2020-05-22
Floating
2.54875
N
N
N
N
N
N
MASCO CORPORATION
5GCSNMQXHEYA1JO8QN11
MASCO CORP SR UNSECURED 04/21 3.5
574599BK1
1850000.000000
PA
USD
1877063.020000
0.0122341
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
3.5
N
N
N
N
N
N
MASSACHUSETTS EDUC FINANCING AUTH 2008-1
N/A
MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1
57563NAA6
726509.160000
PA
USD
723653.980000
0.0047166
Long
ABS-O
CORP
US
N
2
2038-04-25
Floating
2.88963
N
N
N
N
N
N
MASTER CREDIT CARD TRUST II SERIES 2018-1A
N/A
MASTER CREDIT CARD TRUST MCCT 2018 1A A 144A
576339BM6
20800000.000000
PA
USD
20810025.600000
0.1356334
Long
ABS-MBS
CORP
CA
N
2
2024-07-21
Floating
2.27513
N
N
N
N
N
N
MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA1 1A1
576433G42
408449.020000
PA
USD
375764.240000
0.0024491
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
2.002
N
N
N
N
N
N
MASTR ADJUSTABLE RATE MTGES TRU 2004-13
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A1
576433UF1
439286.450000
PA
USD
451637.210000
0.0029436
Long
ABS-MBS
CORP
US
N
2
2034-11-21
Floating
4.6956
N
N
N
N
N
N
MASTR ALTERNATIVE LOANS TR 2003-5
N/A
MASTR ALTERNATIVE LOANS TRUST MALT 2003 5 6A1
576434FH2
531372.430000
PA
USD
550003.200000
0.0035848
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Fixed
6
N
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2004-OPT2
N/A
MASTR ASSET BACKED SECURITIES MABS 2004 OPT2 A1
57643LFG6
10002318.660000
PA
USD
9971314.470000
0.0649900
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
2.492
N
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2006-HE4
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A1
576449AA0
58279.470000
PA
USD
27021.370000
0.0001761
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.842
N
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2007-WMC1
N/A
MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A2
55275TAB4
289902.460000
PA
USD
115195.700000
0.0007508
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.842
N
N
N
N
N
N
MASTR ASSET BACKED SECURITIES 2004-OPT1
N/A
MASTR ASSET BACKED SECURITIES MABS 2004 OPT1 M1
57643LCH7
1288862.600000
PA
USD
1275004.360000
0.0083101
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
2.572
N
N
N
N
N
N
MCDONALDS CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD S CORP SR UNSECURED 10/21 VAR
58013MFG4
11950000.000000
PA
USD
11991310.910000
0.0781557
Long
DBT
CORP
US
N
2
2021-10-28
Floating
2.36563
N
N
N
N
N
N
MELLON RES FUND CORP 1999-TBC3
N/A
MELLON RESIDENTIAL FUNDING COR MRFC 1999 TBC3 A2
585525DF2
369691.180000
PA
USD
368433.420000
0.0024013
Long
ABS-MBS
CORP
US
N
2
2029-10-20
Floating
2.6124
N
N
N
N
N
N
MELLON RESIDENTIAL FUND CORP 2000-TBC3
N/A
MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1
585525EN4
571703.750000
PA
USD
560934.970000
0.0036560
Long
ABS-MBS
CORP
US
N
2
2030-12-15
Floating
2.17975
N
N
N
N
N
N
MELLON RESIDENTIAL FUND CORP 2002-TBC2
N/A
MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A
585525FX1
29397.370000
PA
USD
29025.050000
0.0001892
Long
ABS-MBS
CORP
US
N
2
2032-08-15
Floating
2.59975
N
N
N
N
N
N
MELLON RESIDENTIAL FUNDING CO 2001-TBC1
N/A
MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1
585525FC7
538413.870000
PA
USD
544700.660000
0.0035502
Long
ABS-MBS
CORP
US
N
2
2031-11-15
Floating
2.43975
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE BACKED SEC 2007-1
N/A
MERRILL LYNCH MORTGAGE BACKED MLMBS 2007 1 2A1
59024NAC1
274936.710000
PA
USD
276998.820000
0.0018054
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
4.24784
Y
N
N
N
N
N
MERRILL LYNCH MORTGAGE INV 2007-HE2
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2A
59024LAB7
301787.730000
PA
USD
127659.710000
0.0008320
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
1.912
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVESTO-2006-RM4
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A
59023QAB7
5469.890000
PA
USD
3131.550000
0.0000204
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
1.872
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVESTORS 2003-A1
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A1 3A
589929F37
3086.560000
PA
USD
3041.090000
0.0000198
Long
ABS-MBS
CORP
US
N
2
2032-12-25
Floating
3.40688
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVS 2005-A10
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A10 A
59020UZ65
2403574.700000
PA
USD
2354705.220000
0.0153473
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.002
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVS 2006-HE1
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE1 M1
59020U3E3
5310378.360000
PA
USD
5312617.220000
0.0346260
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
2.182
N
N
N
N
N
N
MEXICO GOVT
254900EGTWEU67VP6075
MEX BONOS DESARR FIX RT SR UNSECURED 12/21 7.25
ACI12F5K8
6448880000.000000
PA
344202761.580000
2.2434092
Long
DBT
NUSS
MX
N
2
2021-12-09
Fixed
7.25
N
N
N
N
N
N
MEXICO GOVT
254900EGTWEU67VP6075
MEXICO CETES BILLS 01/20 0.00000
ACI17ZMD6
61400000.000000
PA
3247388.600000
0.0211655
Long
DBT
NUSS
MX
N
2
2020-01-02
None
0
N
N
N
N
N
N
MEXICO GOVT
254900EGTWEU67VP6075
MEXICO CETES BILLS 01/20 0.00000
ACI1DRW87
85900000.000000
PA
4518383.160000
0.0294495
Long
DBT
NUSS
MX
N
2
2020-01-30
None
0
N
N
N
N
N
N
MEXICO GOVT
254900EGTWEU67VP6075
MEXICO CETES BILLS 01/20 0.00000
ACI1G7P86
170184000.000000
PA
8990221.940000
0.0585955
Long
DBT
NUSS
MX
N
2
2020-01-09
None
0
N
N
N
N
N
N
MEXICO GOVT
254900EGTWEU67VP6075
MEXICO CETES BILLS 02/20 0.00000
ACI1GQJF5
61400000.000000
PA
3225089.430000
0.0210202
Long
DBT
NUSS
MX
N
2
2020-02-06
None
0
N
N
N
N
N
N
MF1 2019-FL2 LTD
N/A
MF1 2019 FL2 LTD. MF1 2019 FL2 A 144A
55282LAA4
2500000.000000
PA
USD
2505929.250000
0.0163329
Long
ABS-MBS
CORP
KY
N
2
2034-12-25
Floating
2.922
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST 2019-GS2
N/A
MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A
59981TAC9
28757521.450000
PA
USD
28948226.950000
0.1886758
Long
ABS-MBS
CORP
US
N
2
2059-08-25
Fixed
2.75
N
N
N
N
N
N
MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP SR UNSECURED 02/22 VAR
606822AK0
39890000.000000
PA
USD
40249351.860000
0.2623331
Long
DBT
CORP
JP
N
2
2022-02-22
Floating
2.81875
N
N
N
N
N
N
MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP SR UNSECURED 03/22 VAR
606822BF0
21550000.000000
PA
USD
21644915.680000
0.1410750
Long
DBT
CORP
JP
N
2
2022-03-07
Floating
2.585
N
N
N
N
N
N
MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP SR UNSECURED 03/23 VAR
606822AS3
32100000.000000
PA
USD
32201347.080000
0.2098786
Long
DBT
CORP
JP
N
2
2023-03-02
Floating
2.64688
N
N
N
N
N
N
MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP SR UNSECURED 07/22 VAR
606822AQ7
82447000.000000
PA
USD
82990865.760000
0.5409093
Long
DBT
CORP
JP
N
2
2022-07-25
Floating
2.72963
N
N
N
N
N
N
MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP SR UNSECURED 07/23 VAR
606822AZ7
20000000.000000
PA
USD
20157757.000000
0.1313821
Long
DBT
CORP
JP
N
2
2023-07-26
Floating
2.79563
N
N
N
N
N
N
MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP SR UNSECURED 09/21 VAR
606822AF1
27464000.000000
PA
USD
27767766.670000
0.1809819
Long
DBT
CORP
JP
N
2
2021-09-13
Floating
2.94738
N
N
N
N
N
N
MITSUBISHI UFJ LEASE & FINANCE COMPANY LIMITED
353800MZ3QX9RLMH7B09
MITSUBISHI UFJ LEASE+FIN SR UNSECURED 144A 02/22 3.406
60682LAD4
1900000.000000
PA
USD
1942339.600000
0.0126596
Long
DBT
CORP
JP
N
2
2022-02-28
Fixed
3.406
N
N
N
N
N
N
MITSUBISHI UFJ LEASE & FINANCE COMPANY LIMITED
353800MZ3QX9RLMH7B09
MITSUBISHI UFJ LEASE+FIN SR UNSECURED 144A 02/24 3.559
60682LAE2
5000000.000000
PA
USD
5185128.300000
0.0337951
Long
DBT
CORP
JP
N
2
2024-02-28
Fixed
3.559
N
N
N
N
N
N
MITSUBISHI UFJ LEASE & FINANCE COMPANY LIMITED
353800MZ3QX9RLMH7B09
MITSUBISHI UFJ LEASE+FIN SR UNSECURED 144A 09/22 2.652
60682LAA0
22460000.000000
PA
USD
22637282.170000
0.1475429
Long
DBT
CORP
JP
N
2
2022-09-19
Fixed
2.652
N
N
N
N
N
N
MITSUBISHI UFJ LEASE & FINANCE COMPANY LIMITED
353800MZ3QX9RLMH7B09
MITSUBISHI UFJ LEASE+FIN SR UNSECURED REGS 09/21 2.25
ACI0PLHS2
17065000.000000
PA
USD
17056088.660000
0.1111664
Long
DBT
CORP
JP
N
2
2021-09-07
Fixed
2.25
N
N
N
N
N
N
MITSUBISHI UFJ LEASE & FINANCE COMPANY LIMITED
353800MZ3QX9RLMH7B09
MITSUBISHI UFJ LEASE+FIN SR UNSECURED REGS 10/20 2.75
ACI0HH3R7
23766000.000000
PA
USD
23881141.520000
0.1556500
Long
DBT
CORP
JP
N
2
2020-10-21
Fixed
2.75
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP INC
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP SR UNSECURED 02/22 VAR
60687YAJ8
46046000.000000
PA
USD
46456496.870000
0.3027894
Long
DBT
CORP
JP
N
2
2022-02-28
Floating
2.85375
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP INC
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP SR UNSECURED 07/23 VAR
60687YAY5
23752000.000000
PA
USD
23858027.030000
0.1554994
Long
DBT
CORP
JP
N
2
2023-07-16
Floating
2.84088
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP INC
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP SR UNSECURED 09/22 VAR
60687YAN9
100025000.000000
PA
USD
100900015.700000
0.6576357
Long
DBT
CORP
JP
N
2
2022-09-11
Floating
2.76838
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP INC
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP SR UNSECURED 09/23 VAR
60687YBB4
9045000.000000
PA
USD
9084074.850000
0.0592072
Long
DBT
CORP
JP
N
2
2023-09-13
Floating
2.73738
N
N
N
N
N
N
MLCC MORTGAGE INVESTORS INC 2005-3
N/A
MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A
59020UL78
295059.090000
PA
USD
283162.870000
0.0018456
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.042
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC 2018-A
N/A
MMAF EQUIPMENT FINANCE LLC MMAF 2018 A A2 144A
60700DAB4
2174366.900000
PA
USD
2178596.040000
0.0141994
Long
ABS-O
CORP
US
N
2
2021-07-12
Fixed
2.92
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY SR UNSECURED 01/22 VAR
61746BEE2
61493000.000000
PA
USD
62063078.850000
0.4045083
Long
DBT
CORP
US
N
2
2022-01-20
Floating
3.14588
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY SR UNSECURED 07/22 VAR
61744YAJ7
69816000.000000
PA
USD
70490703.920000
0.4594370
Long
DBT
CORP
US
N
2
2022-07-22
Floating
2.88325
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2004-HE4
N/A
MORGAN STANLEY CAPITAL INC MSAC 2004 HE4 M1
61746RGK1
18856860.960000
PA
USD
18988259.340000
0.1237597
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
2.692
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-HE6
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1
61755CAA0
134393.280000
PA
USD
122855.200000
0.0008007
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
1.852
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL-2006-HE6
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2B
61750FAD2
20437.740000
PA
USD
9615.770000
0.0000627
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
1.892
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C7
N/A
MORGAN STANLEY BAML TRUST MSBAM 2013 C7 AAB
61690KAC6
819200.020000
PA
USD
822829.810000
0.0053630
Long
ABS-MBS
CORP
US
N
2
2046-02-15
Fixed
2.469
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C22
N/A
MORGAN STANLEY BAML TRUST MSBAM 2015 C22 ASB
61690FAK9
3500000.000000
PA
USD
3569740.650000
0.0232665
Long
ABS-MBS
CORP
US
N
2
2048-04-15
Fixed
3.04
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I 2007-T27
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2007 T27 B 144A
61754JAK4
8100000.000000
PA
USD
8530706.160000
0.0556006
Long
ABS-MBS
CORP
US
N
2
2042-06-11
Variable
5.94542
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2019-PLND
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2019 PLND A 144A
61691XAA1
11400000.000000
PA
USD
11394208.800000
0.0742640
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
2.73975
N
N
N
N
N
N
MORGAN STANLEY HOME EQUITY LN 2005-2
N/A
MORGAN STANLEY HOME EQUITY LOA MSHEL 2005 2 M5
61744CQP4
950000.000000
PA
USD
947896.800000
0.0061781
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.782
N
N
N
N
N
N
MORGAN STANLEY IXIS RE CAP TR 2006-2
N/A
MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A1
617463AA2
8979.550000
PA
USD
4375.510000
0.0000285
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.842
N
N
N
N
N
N
MORGAN STANLEY MORTGAGE LN TR-2006-8AR
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4
61749LAP6
51356.750000
PA
USD
53394.470000
0.0003480
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
3.98467
N
N
N
N
N
N
MORGAN STANLEY MTGE LN TR 2007-6XS
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2007 6XS 2A1M
61751JAG6
856954.340000
PA
USD
395578.440000
0.0025783
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
2.012
N
N
N
N
N
N
MORTGAGEIT TRUST 2004-2
N/A
MORTGAGEIT TRUST MHL 2004 2 A1
61913PAG7
400607.780000
PA
USD
399860.530000
0.0026062
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
2.532
N
N
N
N
N
N
MOTEL 6 TRUST 2017-MTL6
N/A
MOTEL 6 TRUST MOTEL 2017 MTL6 A 144A
61975FAA7
30774861.300000
PA
USD
30817847.630000
0.2008614
Long
ABS-MBS
CORP
US
N
2
2034-08-15
Floating
2.65975
N
N
N
N
N
N
MOUNTAIN HAWK CLO LTD 2013-2A
N/A
MOUNTAIN HAWK CLO LTD MHAWK 2013 2A A1R 144A
62405TAS6
93430.780000
PA
USD
93532.340000
0.0006096
Long
ABS-CBDO
CORP
KY
N
2
2024-07-20
Floating
2.78588
N
N
N
N
N
N
MOUNTAIN VIEW CLO LTD 2014-1A
N/A
MOUNTAIN VIEW CLO LTD MVW 2014 1A ARR 144A
62431XAU0
11394639.030000
PA
USD
11389662.420000
0.0742344
Long
ABS-CBDO
CORP
KY
N
2
2026-10-15
Floating
2.80088
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP SR UNSECURED 144A 05/24 6.375
55336VBA7
2315000.000000
PA
USD
2422849.160000
0.0157914
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
6.375
N
N
N
N
N
N
MYLAN NV
549300A0CD4KNFGIIS89
MYLAN NV COMPANY GUAR 06/21 3.15
62854AAM6
27725000.000000
PA
USD
28090028.180000
0.1830823
Long
DBT
CORP
NL
N
2
2021-06-15
Fixed
3.15
N
N
N
N
N
N
MYLAN NV
549300A0CD4KNFGIIS89
MYLAN NV COMPANY GUAR 12/20 3.75
62854AAL8
3428000.000000
PA
USD
3496427.030000
0.0227887
Long
DBT
CORP
NL
N
2
2020-12-15
Fixed
3.75
N
N
N
N
N
N
MYLAN NV
549300A0CD4KNFGIIS89
MYLAN NV COMPANY GUAR 144A 06/21 3.15
62854AAC8
4100000.000000
PA
USD
4153980.720000
0.0270744
Long
DBT
CORP
NL
N
2
2021-06-15
Fixed
3.15
N
N
N
N
N
N
NATIONWIDE BUILDING SOCIETY
549300XFX12G42QIKN82
NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 04/23 VAR
63861VAD9
11800000.000000
PA
USD
12138105.050000
0.0791125
Long
DBT
CORP
GB
N
2
2023-04-26
Floating
3.622
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-RIVA
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 RIVA A 144A
63874JAA7
5900000.000000
PA
USD
5872992.750000
0.0382784
Long
ABS-MBS
CORP
US
N
2
2033-02-15
Floating
2.48975
N
N
N
N
N
N
NATWEST MARKETS PLC (AKA: ROYAL BANK OF SCOTLAND PLC)
RR3QWICWWIPCS8A4S074
NATWEST MARKETS PLC COMPANY GUAR 08/20 5.625
78010XAE1
12740000.000000
PA
USD
13025566.850000
0.0848967
Long
DBT
CORP
GB
N
2
2020-08-24
Fixed
5.625
N
N
N
N
N
N
NATWEST MARKETS PLC (AKA: ROYAL BANK OF SCOTLAND PLC)
RR3QWICWWIPCS8A4S074
NATWEST MARKETS PLC SR UNSECURED 144A 09/22 VAR
63906AAB6
53900000.000000
PA
USD
54704038.700000
0.3565443
Long
DBT
CORP
GB
N
2
2022-09-29
Floating
3.3605
N
N
N
N
N
N
NAVIENT CORPORATION
54930067J0ZNOEBRW338
NAVIENT CORP SR UNSECURED 03/20 8
78442FEJ3
4893000.000000
PA
USD
4951887.260000
0.0322749
Long
DBT
CORP
US
N
2
2020-03-25
Fixed
8
N
N
N
N
N
N
NAVIENT CORPORATION
54930067J0ZNOEBRW338
NAVIENT CORP SR UNSECURED 03/21 5.875
63938CAC2
27760000.000000
PA
USD
28738540.000000
0.1873091
Long
DBT
CORP
US
N
2
2021-03-25
Fixed
5.875
N
N
N
N
N
N
NAVIENT CORPORATION
54930067J0ZNOEBRW338
NAVIENT CORP SR UNSECURED 07/21 6.625
63938CAD0
8000000.000000
PA
USD
8478000.000000
0.0552570
Long
DBT
CORP
US
N
2
2021-07-26
Fixed
6.625
N
N
N
N
N
N
NAVIENT CORPORATION
54930067J0ZNOEBRW338
NAVIENT CORP SR UNSECURED 10/20 5
63938CAA6
2900000.000000
PA
USD
2945965.000000
0.0192009
Long
DBT
CORP
US
N
2
2020-10-26
Fixed
5
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-A
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2019 A A1 144A
63941BAA3
12717408.610000
PA
USD
12776141.420000
0.0832710
Long
ABS-O
CORP
US
N
2
2043-01-15
Fixed
3.03
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2014-AA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2014 AA A2A 144A
63939CAB3
4198595.550000
PA
USD
4218081.230000
0.0274922
Long
ABS-O
CORP
US
N
2
2029-02-15
Fixed
2.74
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2015-AA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2015 AA A2A 144A
63939EAB9
7100765.400000
PA
USD
7114235.550000
0.0463684
Long
ABS-O
CORP
US
N
2
2028-12-15
Fixed
2.65
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2017-2
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2017 2A A 144A
63939RAA2
21705469.860000
PA
USD
21601155.540000
0.1407898
Long
ABS-O
CORP
US
N
2
2066-12-27
Floating
2.842
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2017-5A
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2017 5A A 144A
63940CAA2
16579117.910000
PA
USD
16311736.530000
0.1063150
Long
ABS-O
CORP
US
N
2
2066-07-26
Floating
2.592
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2018-1A
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2018 1A A2 144A
63940DAB8
12909452.450000
PA
USD
12882271.600000
0.0839627
Long
ABS-O
CORP
US
N
2
2067-03-25
Floating
2.142
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2018-BA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2018 BA A1 144A
63940QAA1
1892493.560000
PA
USD
1891869.600000
0.0123306
Long
ABS-O
CORP
US
N
2
2059-12-15
Floating
2.08975
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2018-EA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2018 EA A1 144A
63890BAA4
9691740.660000
PA
USD
9751868.220000
0.0635597
Long
ABS-O
CORP
US
N
2
2059-12-15
Fixed
3.43
N
N
N
N
N
N
NCUA GUARANTEED NOTES 2010-A1
N/A
NCUA GUARANTEED NOTES NGN 2010 A1 A
62889AAA1
2144715.080000
PA
USD
2146740.550000
0.0139918
Long
ABS-O
CORP
US
N
2
2020-12-07
Floating
2.06763
N
N
N
N
N
N
NCUA GUARANTEED NOTES 2010-R3
N/A
NCUA GUARANTEED NOTES NGN 2010 R3 2A
62888WAB2
2017351.680000
PA
USD
2018559.270000
0.0131564
Long
ABS-MBS
CORP
US
N
2
2020-12-08
Floating
2.27313
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST 2012-4A
N/A
NELNET STUDENT LOAN TRUST NSLT 2012 4A A 144A
64033AAA2
5384297.380000
PA
USD
5341226.230000
0.0348125
Long
ABS-O
CORP
US
N
2
2038-09-27
Floating
2.492
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST 2015-3A
N/A
NELNET STUDENT LOAN TRUST NSLT 2015 3A A2 144A
64033TAC7
6402883.590000
PA
USD
6350880.010000
0.0413931
Long
ABS-O
CORP
US
N
2
2051-02-27
Floating
2.392
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST 2016-1A
N/A
NELNET STUDENT LOAN TRUST NSLT 2016 1A A 144A
64033UAA8
3919986.950000
PA
USD
3917303.330000
0.0255318
Long
ABS-O
CORP
US
N
2
2065-09-25
Floating
2.592
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST 2017-3A
N/A
NELNET STUDENT LOAN TRUST NSLT 2017 3A A 144A
64032KAA1
3699418.510000
PA
USD
3647045.470000
0.0237703
Long
ABS-O
CORP
US
N
2
2066-02-25
Floating
2.642
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST 2019-2
N/A
NELNET STUDENT LOAN TRUST NSLT 2019 2A A 144A
64034NAA3
83721799.340000
PA
USD
83623627.160000
0.5450334
Long
ABS-O
CORP
US
N
2
2067-06-27
Floating
2.692
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST 2019-3A
N/A
NELNET STUDENT LOAN TRUST NSLT 2019 3A A 144A
64031DAA8
44816686.690000
PA
USD
44383000.090000
0.2892749
Long
ABS-O
CORP
US
N
2
2067-08-25
Floating
2.592
N
N
N
N
N
N
NEUBERGER BERMAN CLO XIX LTD 2015-19A
N/A
NEUBERGER BERMAN CLO LTD NEUB 2015 19A A1R2 144A
64130CAN2
4000000.000000
PA
USD
3995000.000000
0.0260382
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
2.80088
N
N
N
N
N
N
NEW CENTURY HOME EQUITY LOAN TR 2004-3
N/A
NEW CENTURY HOME EQUITY LOAN T NCHET 2004 3 M1
64352VHV6
2698940.390000
PA
USD
2708469.810000
0.0176530
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
2.722
N
N
N
N
N
N
NEW CENTURY HOME EQUITY LOAN TR 2006-1
N/A
NEW CENTURY HOME EQUITY LOAN T NCHET 2006 1 A2B
64352VQR5
303409.470000
PA
USD
288454.960000
0.0018801
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.972
N
N
N
N
N
N
NEW JERSEY ECONOMIC DEVELOPMENT AUTHORITY
5493006JS6QWDVU4R678
NEW JERSEY ST ECON DEV AUTH MT NJSDEV 07/20 FIXED 3.52
64578JAU0
500000.000000
PA
USD
503005.000000
0.0032784
Long
DBT
MUN
US
N
2
2020-07-01
Fixed
3.52
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A
64830KAA5
15837346.380000
PA
USD
16715042.610000
0.1089436
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Variable
4.5
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A
64830NAA9
97545653.920000
PA
USD
97629728.520000
0.6363210
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Fixed
2.75
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS INC
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL COMPANY GUAR 08/21 VAR
65339KBA7
8760000.000000
PA
USD
8761549.640000
0.0571051
Long
DBT
CORP
US
N
2
2021-08-28
Floating
2.46375
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 01/22 VAR
654740AW9
76800000.000000
PA
USD
77198110.460000
0.5031539
Long
DBT
CORP
US
N
2
2022-01-13
Floating
2.89088
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/21 2.55
654740AN9
2400000.000000
PA
USD
2406185.450000
0.0156828
Long
DBT
CORP
US
N
2
2021-03-08
Fixed
2.55
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/21 3.15
654740BF5
2300000.000000
PA
USD
2322684.970000
0.0151386
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
3.15
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/21 VAR
654740BG3
16455000.000000
PA
USD
16461131.300000
0.1072887
Long
DBT
CORP
US
N
2
2021-03-15
Floating
2.41363
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/23 3.45
654740BH1
800000.000000
PA
USD
817519.510000
0.0053283
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.45
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/20 2.15
654740BB4
15850000.000000
PA
USD
15820110.230000
0.1031107
Long
DBT
CORP
US
N
2
2020-09-28
Fixed
2.15
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/20 VAR
654740BC2
9958000.000000
PA
USD
9962393.370000
0.0649319
Long
DBT
CORP
US
N
2
2020-09-28
Floating
2.3505
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/21 VAR
654740BN8
13703000.000000
PA
USD
13716153.240000
0.0893977
Long
DBT
CORP
US
N
2
2021-09-21
Floating
2.55775
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/22 VAR
654740BE8
28593000.000000
PA
USD
28541467.410000
0.1860246
Long
DBT
CORP
US
N
2
2022-09-28
Floating
2.6505
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED REGS 03/21 VAR
U65478BM7
11944000.000000
PA
USD
11948450.450000
0.0778764
Long
DBT
CORP
US
N
2
2021-03-15
Floating
2.41363
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED REGS 09/20 VAR
U65478BH8
3000000.000000
PA
USD
3001323.570000
0.0195617
Long
DBT
CORP
US
N
2
2020-09-28
Floating
2.3505
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED REGS 09/21 VAR
U65478BR6
500000.000000
PA
USD
500479.940000
0.0032620
Long
DBT
CORP
US
N
2
2021-09-21
Floating
2.55775
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED REGS 09/22 VAR
U65478BK1
5299000.000000
PA
USD
5289449.720000
0.0344750
Long
DBT
CORP
US
N
2
2022-09-28
Floating
2.6505
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC SR UNSECURED 03/20 6.7
65535HAB5
2800000.000000
PA
USD
2821822.840000
0.0183918
Long
DBT
CORP
JP
N
2
2020-03-04
Fixed
6.7
N
N
N
N
N
N
NOMURA HOME EQUITY LOAN INC 2006-HE3
N/A
NOMURA HOME EQUITY LOAN INC NHELI 2006 HE3 1A1
65536QAA6
4603098.580000
PA
USD
4447953.440000
0.0289904
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.942
N
N
N
N
N
N
NOMURA RESECURITIZATION TRUST 2012-2R
N/A
NOMURA RESECURITIZATION TRUST NMRR 2012 2R 2A1 144A
65539XAC4
1615001.720000
PA
USD
1628142.990000
0.0106117
Long
ABS-MBS
CORP
US
N
2
2037-04-26
Variable
4.09974
N
N
N
N
N
N
NOMURA RESECURITIZATION TRUST 2015-4R
N/A
NOMURA RESECURITIZATION TRUST NMRR 2015 4R 6A1 144A
65540WCH0
2638396.780000
PA
USD
2632891.240000
0.0171604
Long
ABS-MBS
CORP
US
N
2
2036-12-26
Floating
3.28409
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
NORDEA BANK ABP SR UNSECURED 144A 08/23 VAR
65557CAZ6
10300000.000000
PA
USD
10293352.790000
0.0670890
Long
DBT
CORP
FI
N
2
2023-08-30
Floating
2.85375
N
N
N
N
N
N
NORTHSTAR EDUCATION FINANCE INC 2012-1
N/A
NORTHSTAR EDUCATION FINANCE I NEF 2012 1 A 144A
66705EAA6
4399666.200000
PA
USD
4356574.110000
0.0283948
Long
ABS-O
CORP
US
N
2
2031-12-26
Floating
2.492
N
N
N
N
N
N
NORTONLIFELOCK INC
YF6ZV0M6AU4FY94MK914
NORTONLIFELOCK INC SR UNSECURED 09/20 4.2
871503AH1
5200000.000000
PA
USD
5262307.390000
0.0342981
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
4.2
N
N
N
N
N
N
NOVASTAR HOME EQUITY LOAN 2005-4
N/A
NOVASTAR HOME EQUITY LOAN NHEL 2005 4 M1
66987WDE4
9170000.000000
PA
USD
9160402.680000
0.0597047
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.452
N
N
N
N
N
N
NTT FINANCE CORPORATION
3538007PR116187GD960
NTT FINANCE CORP SR UNSECURED REGS 06/20 VAR
ACI0VYM77
13700000.000000
PA
USD
13718632.000000
0.0894139
Long
DBT
CORP
JP
N
2
2020-06-29
Floating
2.4905
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV/NXP FUNDING LLC COMPANY GUAR 144A 06/21 4.125
62947QAU2
27490000.000000
PA
USD
28188518.980000
0.1837242
Long
DBT
CORP
NL
N
2
2021-06-01
Fixed
4.125
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV/NXP FUNDING LLC COMPANY GUAR 144A 06/22 4.625
62947QAT5
8600000.000000
PA
USD
9065651.040000
0.0590872
Long
DBT
CORP
NL
N
2
2022-06-15
Fixed
4.625
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV/NXP FUNDING LLC COMPANY GUAR 144A 09/22 3.875
62947QAW8
900000.000000
PA
USD
933904.600000
0.0060869
Long
DBT
CORP
NL
N
2
2022-09-01
Fixed
3.875
N
N
N
N
N
N
OBX TRUST 2018-1
N/A
ONSLOW BAY FINANCIAL LLC OBX 2018 1 A2 144A
67112FAD2
2425853.180000
PA
USD
2418859.200000
0.0157654
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Floating
2.442
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM COR SR UNSECURED 02/21 VAR
674599CT0
900000.000000
PA
USD
905891.310000
0.0059043
Long
DBT
CORP
US
N
2
2021-02-08
Floating
2.85425
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM COR SR UNSECURED 08/22 VAR
674599CQ6
173311000.000000
PA
USD
174253283.240000
1.1357300
Long
DBT
CORP
US
N
2
2022-08-15
Floating
3.35988
N
N
N
N
N
N
OCEAN TRAILS CLO VI 2016-6A
N/A
OCEAN TRAILS CLO OCTR 2016 6A AR 144A
67515UAQ3
3300000.000000
PA
USD
3300743.390000
0.0215132
Long
ABS-CBDO
CORP
KY
N
2
2028-07-15
Floating
3.15088
N
N
N
N
N
N
OCP CLO 2015-9
N/A
OCP CLO LTD OCP 2015 9A A1R 144A
67091YAJ3
2343688.970000
PA
USD
2342462.400000
0.0152675
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
2.80088
N
N
N
N
N
N
OCTAGON INVESTMENT PARTNERS XIX LTD 2014-1A
N/A
OCTAGON INVESTMENT PARTNERS XI OCT19 2014 1A AR 144A
67590LAN8
4980212.100000
PA
USD
4981423.490000
0.0324674
Long
ABS-CBDO
CORP
KY
N
2
2026-04-15
Floating
3.10088
N
N
N
N
N
N
OHA CREDIT PARTNERS IX LTD 2013-9A
N/A
OHA CREDIT PARTNERS LTD OAKC 2013 9A A1R 144A
67105VAS3
3874103.010000
PA
USD
3876207.460000
0.0252639
Long
ABS-CBDO
CORP
KY
N
2
2025-10-20
Floating
2.97588
N
N
N
N
N
N
ONEMAIN FINANCIAL ISSUANCE TRUST 2017-1
N/A
ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2017 1A A1 144A
68267LAA6
17039815.220000
PA
USD
17039639.710000
0.1110592
Long
ABS-O
CORP
US
N
2
2032-09-14
Fixed
2.37
N
N
N
N
N
N
OPTION ONE MORTGAGE LOAN TR 2002-3
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2002 3 A2
68389FCG7
73760.120000
PA
USD
73205.580000
0.0004771
Long
ABS-MBS
CORP
US
N
2
2032-08-25
Floating
2.332
N
N
N
N
N
N
OPTION ONE MORTGAGE LOAN TRUST 2005-2
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 2 M1
68389FHB3
976340.880000
PA
USD
979800.450000
0.0063860
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.452
N
N
N
N
N
N
ORANGE UNIFIED SCHOOL DISTRICT
N/A
ORANGE CA UNIF SCH DIST RETMNT ORAEDU 05/43 FLOATING VAR
684146AA1
63935000.000000
PA
USD
63675067.780000
0.4150148
Long
DBT
MUN
US
Y
3
2043-05-01
Floating
2.631
N
N
N
N
N
N
ORIX CORPORATION
35380016EMHNBOVYE123
ORIX CORP SR UNSECURED 07/22 2.9
686330AH4
18935000.000000
PA
USD
19300374.120000
0.1257940
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.9
N
N
N
N
N
N
ORIX CORPORATION
35380016EMHNBOVYE123
ORIX CORP SR UNSECURED REGS 01/22 3.2
ACI0RXMB5
26500000.000000
PA
USD
26996733.230000
0.1759565
Long
DBT
CORP
JP
N
2
2022-01-19
Fixed
3.2
N
N
N
N
N
N
ORIX CORPORATION
35380016EMHNBOVYE123
ORIX CORP SR UNSECURED REGS 04/21 2.65
ACI0LVT02
39695000.000000
PA
USD
39910661.350000
0.2601256
Long
DBT
CORP
JP
N
2
2021-04-13
Fixed
2.65
N
N
N
N
N
N
ORIX CORPORATION
35380016EMHNBOVYE123
ORIX CORP SR UNSECURED REGS 07/20 2.95
ACI0FJRM0
10205000.000000
PA
USD
10247166.960000
0.0667879
Long
DBT
CORP
JP
N
2
2020-07-23
Fixed
2.95
N
N
N
N
N
N
OSCAR US FUNDING TRUST VIII LLC 2018-2A
N/A
OSCAR US FUNDING TRUST OSCAR 2018 2A A2A 144A
68784XAB2
3085885.000000
PA
USD
3094686.160000
0.0201702
Long
ABS-O
CORP
JP
N
2
2021-08-10
Fixed
3.15
N
N
N
N
N
N
OSCAR US FUNDING TRUST X LLC 2019-1A
N/A
OSCAR US FUNDING TRUST OSCAR 2019 1A A2 144A
68784YAB0
11655750.000000
PA
USD
11712078.860000
0.0763358
Long
ABS-O
CORP
JP
N
2
2022-04-11
Fixed
3.1
N
N
N
N
N
N
PACIFIC NATIONAL FINANCE PTY LTD
213800SSTRDXLWWVF948
PACIFIC NATIONAL FINANCE COMPANY GUAR 144A 09/20 4.625
04363UAB2
17440000.000000
PA
USD
17703790.290000
0.1153879
Long
DBT
CORP
AU
N
2
2020-09-23
Fixed
4.625
N
N
N
N
N
N
PACIFIC NATIONAL FINANCE PTY LTD
213800SSTRDXLWWVF948
PACIFIC NATIONAL FINANCE COMPANY GUAR REGS 09/20 4.625
Q0560UAB3
1977000.000000
PA
USD
2006903.290000
0.0130804
Long
DBT
CORP
AU
N
2
2020-09-23
Fixed
4.625
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING LTD 2018-1A
N/A
PALMER SQUARE LOAN FUNDING LTD PSTAT 2018 1A A1 144A
69700EAA5
2607895.490000
PA
USD
2598963.580000
0.0169393
Long
ABS-CBDO
CORP
KY
N
2
2026-04-15
Floating
2.60088
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING LTD 2018-2A
N/A
PALMER SQUARE LOAN FUNDING LTD PSTAT 2018 2A A1 144A
69700HAA8
11659350.530000
PA
USD
11646319.570000
0.0759072
Long
ABS-CBDO
CORP
KY
N
2
2026-07-15
Floating
2.65088
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING LTD 2018-3A
N/A
PALMER SQUARE LOAN FUNDING LTD PSTAT 2018 3A A1 144A
69700LAA9
17459164.710000
PA
USD
17472005.230000
0.1138772
Long
ABS-CBDO
CORP
KY
N
2
2026-08-15
Floating
2.75988
N
N
N
N
N
N
PANHANDLE-PLAINS HIGHER EDU AUTH 2010-2
N/A
PANHANDLE PLAINS HIGHER EDUCAT PPHEA 2010 2 A1
698475AM2
525726.820000
PA
USD
524544.830000
0.0034188
Long
ABS-O
CORP
US
N
2
2035-10-01
Floating
3.03938
N
N
N
N
N
N
PENARTH MASTER ISSUER PLC 18-2A
N/A
PENARTH MASTER ISSUER PENAR 2018 2A A1 144A
70659PAK7
24600000.000000
PA
USD
24608585.400000
0.1603913
Long
ABS-MBS
CORP
GB
N
2
2022-09-18
Floating
2.19488
N
N
N
N
N
N
PENARTH MASTER ISSUER PLC 19-1A
N/A
PENARTH MASTER ISSUER PENAR 2019 1A A1 144A
70659PAL5
34950000.000000
PA
USD
34951153.350000
0.2278010
Long
ABS-MBS
CORP
GB
N
2
2023-07-18
Floating
2.28488
N
N
N
N
N
N
PENARTH MASTER ISSUER PLC 19-1X
N/A
PENARTH MASTER ISSUER PENAR 2019 1X A1 REGS
ACI1D8GY0
4100000.000000
PA
USD
4100135.300000
0.0267234
Long
ABS-MBS
CORP
GB
N
2
2023-07-18
Floating
2.28488
N
N
N
N
N
N
PENARTH MASTER ISSUER PLC 2018-1A
N/A
PENARTH MASTER ISSUER PENAR 2018 1A A1 144A
70659PAJ0
8500000.000000
PA
USD
8503918.500000
0.0554260
Long
ABS-MBS
CORP
GB
N
2
2022-03-18
Floating
2.12488
N
N
N
N
N
N
PENNSYLVANIA ELECTRIC COMPANY
O1PLQWO3TX952VMBJ146
PENNSYLVANIA ELECTRIC CO SR UNSECURED 04/20 5.2
708696BW8
6030000.000000
PA
USD
6073475.460000
0.0395851
Long
DBT
CORP
US
N
2
2020-04-01
Fixed
5.2
N
N
N
N
N
N
PENNSYLVANIA HIGHER EDUCATION-2006-2
N/A
PENNSYLVANIA ST HGR EDU ASSIST PASSTD 10/36 FLOATING VAR
709163GH6
2638609.980000
PA
USD
2608371.510000
0.0170006
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
2.06963
N
N
N
N
N
N
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP
N/A
PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 04/21 3.3
709599AV6
2700000.000000
PA
USD
2740818.760000
0.0178638
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
3.3
N
N
N
N
N
N
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP
N/A
PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 07/20 3.2
709599AU8
9825000.000000
PA
USD
9867911.470000
0.0643161
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
3.2
N
N
N
N
N
N
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP
N/A
PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 07/21 3.65
709599BD5
3000000.000000
PA
USD
3069272.190000
0.0200046
Long
DBT
CORP
US
N
2
2021-07-29
Fixed
3.65
N
N
N
N
N
N
PENTAIR FINANCE SARL (AKA: TYCO FLOW CONTROL INTERNATIONAL FINANCE SA)
549300H2U8U8TZPV3T89
PENTAIR FINANCE SARL COMPANY GUAR 09/20 3.625
709629AN9
21600000.000000
PA
USD
21680571.460000
0.1413074
Long
DBT
CORP
LU
N
2
2020-09-15
Fixed
3.625
N
N
N
N
N
N
PEPPER RESIDENTIAL SECURITIES TRUST 2016X
N/A
PEPPER RESIDENTIAL SECURITIES PEPAU 16X AR U
ACI11C0H8
4149964.560000
PA
2913984.780000
0.0189925
Long
ABS-MBS
CORP
AU
N
2
2057-08-13
Floating
1.885
N
N
N
N
N
N
PERMANENT MASTER ISSUER PLC 18-1A
N/A
PERMANENT MASTER ISSUER PLC PERMM 2018 1A 1A1 144A
71419GAX8
2500000.000000
PA
USD
2500310.000000
0.0162963
Long
ABS-MBS
CORP
GB
N
2
2058-07-15
Floating
2.36613
N
N
N
N
N
N
PERMANENT MASTER ISSUER PLC 18-1X
N/A
PERMANENT MASTER ISSUER PLC PERMM 2018 1X 1A1 REGS
ACI13LQS4
6500000.000000
PA
USD
6500806.000000
0.0423703
Long
ABS-MBS
CORP
GB
N
2
2058-07-15
Floating
2.36613
N
N
N
N
N
N
PERMANENT MASTER ISSUER PLC 19-1A
N/A
PERMANENT MASTER ISSUER PLC PERMM 2019 1A 1A1 144A
71419GAY6
13050000.000000
PA
USD
13059226.350000
0.0851161
Long
ABS-MBS
CORP
GB
N
2
2058-07-15
Floating
2.53613
N
N
N
N
N
N
PETRONAS GLOBAL SUKUK LTD
N/A
PETRONAS GLOBAL SUKUK LT SR UNSECURED 144A 03/20 2.707
71675AAA0
4830000.000000
PA
USD
4833381.000000
0.0315025
Long
DBT
CORP
MY
N
2
2020-03-18
Fixed
2.707
N
N
N
N
N
N
PETRONAS GLOBAL SUKUK LTD
N/A
PETRONAS GLOBAL SUKUK LT SR UNSECURED REGS 03/20 2.707
Y68868AA9
9000000.000000
PA
USD
9006300.000000
0.0587003
Long
DBT
CORP
MY
N
2
2020-03-18
Fixed
2.707
N
N
N
N
N
N
PFP LTD 2019-5
N/A
PFP III PFP 2019 5 A 144A
69346TAA2
48895478.790000
PA
USD
48984184.970000
0.3192641
Long
ABS-MBS
CORP
KY
N
2
2036-04-14
Floating
2.70975
N
N
N
N
N
N
PFS FINANCING CORP 2019-A
N/A
PFS FINANCING CORP. PFSFC 2019 A A1 144A
69335PDD4
18700000.000000
PA
USD
18753126.700000
0.1222272
Long
ABS-O
CORP
US
N
2
2024-04-15
Floating
2.28975
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
PHILLIPS 66 COMPANY GUAR 02/21 VAR
718546AS3
26905000.000000
PA
USD
26906794.830000
0.1753703
Long
DBT
CORP
US
N
2
2021-02-26
Floating
2.51725
N
N
N
N
N
N
PIPER JAFFRAY COMPANIES INC
QUQDBTUSOAKFEVMRMF78
PIPER JAFFRAY COS SR UNSECURED 144A 10/21 4.74
724078AD2
6900000.000000
PA
USD
6891372.930000
0.0449159
Long
DBT
CORP
US
N
2
2021-10-15
Fixed
4.74
N
N
N
N
N
N
PIPER JAFFRAY COMPANIES INC
QUQDBTUSOAKFEVMRMF78
PIPER JAFFRAY COS SR UNSECURED 144A 10/23 5.2
724078AE0
24600000.000000
PA
USD
24569259.840000
0.1601350
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
5.2
N
N
N
N
N
N
PRECISE MORTGAGE FUNDING 2018-2B
N/A
PRECISE MORTGAGE FUNDING PMF 2018 2B A REGS
ACI11CLN2
3460880.370000
PA
4561658.040000
0.0297315
Long
ABS-MBS
CORP
GB
N
2
2055-03-12
Floating
1.45863
N
N
N
N
N
N
PROSPER MARKETPLACE ISSUANCE TRUST SERIES 2018-2A
N/A
PROSPER MARKETPLACE ISSUANCE T PMIT 2018 2A A 144A
74360PAA1
3342944.310000
PA
USD
3349652.930000
0.0218320
Long
ABS-O
CORP
US
N
2
2024-10-15
Fixed
3.35
N
N
N
N
N
N
QATAR NATIONAL BANK (QPSC)
549300FFSRVBS0SQXY75
QATAR NATIONAL BANK S.A.Q. 2017 TERM LOAN
963ZXGII9
44200000.000000
PA
USD
44288400.000000
0.2886584
Long
LON
CORP
QA
N
3
2020-12-22
Floating
2.7985
N
N
N
N
N
N
QATARI DIAR FINANCE QSC
549300TS2HAOU3GDWY53
QATARI DIAR FINANCE QSC GOVT GUARANT REGS 07/20 5
985BSZII0
14000000.000000
PA
USD
14235480.000000
0.0927825
Long
DBT
CORP
QA
N
2
2020-07-21
Fixed
5
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB FINANCE LTD COMPANY GUAR REGS 02/20 VAR
ACI10HNG5
3200000.000000
PA
USD
3203840.000000
0.0208817
Long
DBT
CORP
KY
N
2
2020-02-07
Floating
3.2435
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB FINANCE LTD COMPANY GUAR REGS 02/20 VAR
ACI10JVP2
10200000.000000
PA
USD
10219278.000000
0.0666062
Long
DBT
CORP
KY
N
2
2020-02-12
Floating
3.25063
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB FINANCE LTD COMPANY GUAR REGS 04/20 2.875
G7301SAE2
8160000.000000
PA
USD
8177658.240000
0.0532995
Long
DBT
CORP
KY
N
2
2020-04-29
Fixed
2.875
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB FINANCE LTD COMPANY GUAR REGS 05/21 VAR
BD93CFII1
47309000.000000
PA
USD
47651428.690000
0.3105776
Long
DBT
CORP
KY
N
2
2021-05-31
Floating
3.26375
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB FINANCE LTD COMPANY GUAR REGS 05/22 VAR
ACI1BFTD8
27590000.000000
PA
USD
27658998.730000
0.1802730
Long
DBT
CORP
KY
N
2
2022-05-02
Floating
2.90225
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB FINANCE LTD COMPANY GUAR REGS 07/21 VAR
ACI0W6TY1
40600000.000000
PA
USD
41008053.550000
0.2672781
Long
DBT
CORP
KY
N
2
2021-07-18
Floating
3.57325
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB FINANCE LTD COMPANY GUAR REGS 08/21 VAR
ACI150049
14400000.000000
PA
USD
14544016.270000
0.0947935
Long
DBT
CORP
KY
N
2
2021-08-11
Floating
3.35063
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB FINANCE LTD SR UNSECURED 12/21 VAR
ACI16QBD9
10000000.000000
PA
USD
10093235.200000
0.0657846
Long
DBT
CORP
KY
Y
2
2021-12-06
Floating
3.20713
N
N
N
N
N
N
RAAC SERIES 2006-RP4
N/A
RAAC SERIES RAAC 2006 RP4 M1 144A
74919TAB7
6200000.000000
PA
USD
6175662.520000
0.0402511
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
2.342
N
N
N
N
N
N
RALI SERIES 2005-QO1 TRUST
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1
761118EN4
565120.460000
PA
USD
510160.070000
0.0033251
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.092
N
N
N
N
N
N
RAMP SERIES 2005-RS7
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS7 M2
76112BWX4
1000000.000000
PA
USD
998605.400000
0.0065086
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.312
N
N
N
N
N
N
RAS LAFFAN LIQUEFIED NATURAL GAS COMPANY LIMITED (II)
N/A
RAS LAFFAN LNG II SR SECURED REGS 09/20 5.298
M8221WAA9
6803638.670000
PA
USD
6902886.750000
0.0449909
Long
DBT
CORP
QA
N
2
2020-09-30
Fixed
5.298
N
N
N
N
N
N
RBSSP RESECURITIZATION TRUST 2010-2
N/A
RBSSP RESECURITIZATION TRUST RBSSP 2010 2 14A1 144A
74929CDA1
2871653.530000
PA
USD
2862667.260000
0.0186580
Long
ABS-MBS
CORP
US
N
2
2045-08-26
Floating
2.27226
N
N
N
N
N
N
RECKITT BENCKISER TREASURY SERVICES PLC
213800LAXWIUOOBZ3908
RECKITT BENCKISER TSY COMPANY GUAR 144A 06/22 VAR
75625QAF6
22100000.000000
PA
USD
22156900.870000
0.1444120
Long
DBT
CORP
GB
N
2
2022-06-24
Floating
2.49475
N
N
N
N
N
N
RELIANCE HOLDING USA INC
LW0V2CUWFIITRBI06W51
RELIANCE HOLDINGS USA COMPANY GUAR REGS 10/20 4.5
U75888AA2
3875000.000000
PA
USD
3935119.810000
0.0256479
Long
DBT
CORP
US
N
2
2020-10-19
Fixed
4.5
N
N
N
N
N
N
RELIANCE STANDARD LIFE GLOBAL FUNDING II
N/A
RELIANCE STAND LIFE II SR SECURED 144A 01/20 2.5
75951AAB4
3075000.000000
PA
USD
3075170.630000
0.0200430
Long
DBT
CORP
US
N
2
2020-01-15
Fixed
2.5
N
N
N
N
N
N
RENAISSANCE HOME EQUITY LN TR 2003-2
N/A
RENAISSANCE HOME EQUITY LOAN T RAMC 2003 2 A
759950AW8
347221.540000
PA
USD
347500.010000
0.0022649
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
2.672
N
N
N
N
N
N
RENAISSANCE HOME EQUITY LOAN TR 2004-3
N/A
RENAISSANCE HOME EQUITY LOAN T RAMC 2004 3 AV2A
759950DY1
149324.130000
PA
USD
142837.340000
0.0009310
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
2.152
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2006-QO3
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO3 A1
761118WP9
162883.420000
PA
USD
68435.920000
0.0004460
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
2.002
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QH7
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH7 1A1
75115LAA5
268031.610000
PA
USD
254694.490000
0.0016600
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
2.042
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2005-QO2
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1
761118HU5
345252.580000
PA
USD
333113.330000
0.0021711
Long
ABS-MBS
CORP
US
N
2
2045-09-25
Floating
3.59948
N
N
N
N
N
N
RESIDENTIAL ASSET MTGE PRO INC 2004-RS1
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS1 MII1
760985N80
3346831.350000
PA
USD
3324156.900000
0.0216658
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
2.812
N
N
N
N
N
N
RESIDENTIAL ASSET MTGE PROD 2006-RZ2
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RZ2 A3
75156UAC1
4823727.860000
PA
USD
4810766.990000
0.0313551
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.332
N
N
N
N
N
N
RESIDENTIAL ASSET MTGE PROD INC 2002-RS3
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2002 RS3 AII1
760985LY5
3476.470000
PA
USD
3374.540000
0.0000220
Long
ABS-MBS
CORP
US
N
2
2032-06-25
Floating
2.352
N
N
N
N
N
N
RESIDENTIAL ASSET SEC TR 2004-IP2
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2004 IP2 4A
45660LAS8
1247720.290000
PA
USD
1252060.730000
0.0081606
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
4.35452
N
N
N
N
N
N
RESIDENTIAL ASSET SECUR TRUST 2005-A15
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 5A1
45660L4G1
104423.900000
PA
USD
71383.640000
0.0004653
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.75
Y
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES 2005-EMX1
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX1 M1
76110WQ58
2569136.290000
PA
USD
2575169.650000
0.0167842
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.437
N
N
N
N
N
N
RESIDENTIAL FUNDING MTG SEC I 2003-S9
N/A
RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1
76111JZ72
11017.990000
PA
USD
11433.490000
0.0000745
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Fixed
6.5
N
N
N
N
N
N
RESIDENTIAL MORTGAGE SECURITIES 31 PLC 31
N/A
RESIDENTIAL MORTGAGE SECURITIE RMS 31 A REGS
ACI16FGD8
3141090.490000
PA
4192540.000000
0.0273257
Long
ABS-MBS
CORP
GB
N
2
2065-09-20
Floating
1.99813
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC COMPANY GUAR 05/20 6.875
761713BT2
4420000.000000
PA
USD
4490922.260000
0.0292705
Long
DBT
CORP
US
N
2
2020-05-01
Fixed
6.875
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC COMPANY GUAR 06/20 3.25
761713BE5
8173000.000000
PA
USD
8210839.760000
0.0535158
Long
DBT
CORP
US
N
2
2020-06-12
Fixed
3.25
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC COMPANY GUAR 06/22 4
761713BF2
10500000.000000
PA
USD
10928069.460000
0.0712258
Long
DBT
CORP
US
N
2
2022-06-12
Fixed
4
N
N
N
N
N
N
RIPON MORTGAGES PLC 1A
N/A
RIPON MORTGAGES RIPON 1A A1 144A
ACI0TMV43
34805424.370000
PA
46159066.340000
0.3008508
Long
ABS-MBS
CORP
GB
N
2
2056-08-20
Floating
1.60238
N
N
N
N
N
N
RIPON MORTGAGES PLC 1X
N/A
RIPON MORTGAGES RIPON 1X A1 REGS
ACI0TMVB7
7479153.040000
PA
9918876.940000
0.0646482
Long
ABS-MBS
CORP
GB
N
2
2056-08-20
Floating
1.60238
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE LLC
W2ZGZGZKY5GGNY6F3V51
ROCKIES EXPRESS PIPELINE SR UNSECURED 144A 04/20 5.625
77340RAK3
52220000.000000
PA
USD
52862942.560000
0.3445446
Long
DBT
CORP
US
N
2
2020-04-15
Fixed
5.625
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE LLC
W2ZGZGZKY5GGNY6F3V51
ROCKIES EXPRESS PIPELINE SR UNSECURED REGS 04/20 5.625
U75111AF8
404000.000000
PA
USD
408974.120000
0.0026656
Long
DBT
CORP
US
N
2
2020-04-15
Fixed
5.625
N
N
N
N
N
N
280 PARK AVENUE 2017-280P MORTGAGE TRUST
N/A
280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P A 144A
90205FAA8
12400000.000000
PA
USD
12415678.560000
0.0809216
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
2.61975
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC SR UNSECURED 05/23 VAR
780097BF7
133641000.000000
PA
USD
135172946.830000
0.8810163
Long
DBT
CORP
GB
N
2
2023-05-15
Floating
3.37988
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GROUP PLC
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC SR UNSECURED 06/24 VAR
780097BH3
11000000.000000
PA
USD
11172597.040000
0.0728196
Long
DBT
CORP
GB
N
2
2024-06-25
Floating
3.49663
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS LIQUEFACTION SR SECURED 02/21 5.625
785592AE6
6500000.000000
PA
USD
6681558.390000
0.0435484
Long
DBT
CORP
US
N
2
2021-02-01
Variable
5.625
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS LIQUEFACTION SR SECURED 03/22 6.25
785592AH9
3500000.000000
PA
USD
3760119.060000
0.0245073
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
6.25
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS LIQUEFACTION SR SECURED 04/23 5.625
785592AD8
3200000.000000
PA
USD
3482763.010000
0.0226996
Long
DBT
CORP
US
N
2
2023-04-15
Variable
5.625
N
N
N
N
N
N
SANTANDER HOLDINGS USA INC
549300SMVCQN2P0O6I58
SANTANDER HOLDINGS USA SR UNSECURED 12/21 4.45
80282KAU0
6115000.000000
PA
USD
6356464.170000
0.0414295
Long
DBT
CORP
US
N
2
2021-12-03
Fixed
4.45
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS SR UNSECURED 01/24 VAR
80281LAH8
14400000.000000
PA
USD
14752869.840000
0.0961547
Long
DBT
CORP
GB
N
2
2024-01-05
Floating
3.373
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC SR UNSECURED 144A 11/21 2.15
00287YBG3
55600000.000000
PA
USD
55727817.730000
0.3632170
Long
DBT
CORP
US
N
2
2021-11-19
Fixed
2.15
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS SR UNSECURED 10/20 2.875
80281LAC9
27705000.000000
PA
USD
27861117.680000
0.1815903
Long
DBT
CORP
GB
N
2
2020-10-16
Fixed
2.875
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC SR UNSECURED 06/21 VAR
80283LAU7
32610000.000000
PA
USD
32730507.650000
0.2133275
Long
DBT
CORP
GB
N
2
2021-06-01
Floating
2.52688
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC SR UNSECURED 11/21 VAR
80283LAW3
1000000.000000
PA
USD
1005175.150000
0.0065514
Long
DBT
CORP
GB
N
2
2021-11-15
Floating
2.56988
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC SR UNSECURED 144A 11/22 VAR
00287YBN8
36600000.000000
PA
USD
36796350.580000
0.2398275
Long
DBT
CORP
US
N
2
2022-11-21
Floating
2.54463
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA TOWER TRUST ASSET BACKED 144A 07/46 2.877
78403DAK6
12300000.000000
PA
USD
12353912.130000
0.0805191
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
2.877
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA TOWER TRUST ASSET BACKED 144A 10/45 3.156
78403DAJ9
1800000.000000
PA
USD
1803288.060000
0.0117533
Long
DBT
CORP
US
N
2
2045-10-10
Fixed
3.156
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV SR UNSECURED REGS 03/21 VAR
ACI179WB7
1000000.000000
PA
USD
1010659.850000
0.0065872
Long
DBT
CORP
NL
N
2
2021-03-17
Floating
3.24963
N
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-OP2
N/A
SECURITIZED ASSET BACKED RECEI SABR 2004 OP2 A1
81375WBL9
3243067.370000
PA
USD
3167912.200000
0.0206475
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
2.462
N
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2
81375WCT1
1121529.590000
PA
USD
1111470.140000
0.0072442
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
2.467
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
SEMPRA ENERGY SR UNSECURED 01/21 VAR
816851BD0
22744000.000000
PA
USD
22748180.570000
0.1482657
Long
DBT
CORP
US
N
2
2021-01-15
Floating
2.50088
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
SEMPRA ENERGY SR UNSECURED 03/21 VAR
816851BB4
31367000.000000
PA
USD
31384312.070000
0.2045534
Long
DBT
CORP
US
N
2
2021-03-15
Floating
2.34363
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 10
N/A
SEQUOIA MORTGAGE TRUST SEMT 10 2A1
81743VAB9
134981.590000
PA
USD
131915.830000
0.0008598
Long
ABS-MBS
CORP
US
N
2
2027-10-20
Floating
2.52463
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2004-3
N/A
SEQUOIA MORTGAGE TRUST SEMT 2004 3 A
81744FAZ0
791016.410000
PA
USD
782755.590000
0.0051018
Long
ABS-MBS
CORP
US
N
2
2034-05-20
Floating
2.4745
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2005-3
N/A
SEQUOIA MORTGAGE TRUST SEMT 2005 3 A1
81744FHK6
2317276.130000
PA
USD
2311012.070000
0.0150625
Long
ABS-MBS
CORP
US
N
2
2035-05-20
Floating
1.96463
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2005-4
N/A
SEQUOIA MORTGAGE TRUST SEMT 2005 4 2A1
81744FJG3
78186.930000
PA
USD
82464.240000
0.0005375
Long
ABS-MBS
CORP
US
N
2
2035-04-20
Floating
4.53652
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2007-1
N/A
SEQUOIA MORTGAGE TRUST SEMT 2007 1 1A1
81744HAA1
128758.350000
PA
USD
104280.590000
0.0006797
Long
ABS-MBS
CORP
US
N
2
2047-01-20
Floating
3.2779
Y
N
N
N
N
N
SHACKLETON CLO LTD 2016-9A
N/A
SHACKLETON CLO LTD SHACK 2016 9A AR 144A
81882LAN6
16600000.000000
PA
USD
16585607.300000
0.1081000
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
3.09588
N
N
N
N
N
N
ACCREDITED MORTGAGE LOAN TRUST 2006-2
N/A
ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 A4
00437NAD4
7980579.780000
PA
USD
7837967.620000
0.0510855
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
2.052
N
N
N
N
N
N
SILVERSTONE MASTER ISSUER PLC 19-1A
N/A
SILVERSTONE MASTER ISSUER SMI 2019 1A 1A 144A
82846GAV2
5032500.000000
PA
USD
5035511.950000
0.0328199
Long
ABS-MBS
CORP
GB
N
2
2070-01-21
Floating
2.53588
N
N
N
N
N
N
SILVERSTONE MASTER ISSUER PLC 19-1A
N/A
SILVERSTONE MASTER ISSUER SMI 2019 1A 2A 144A
ACI1BCW41
28272000.000000
PA
37689565.000000
0.2456492
Long
ABS-MBS
CORP
GB
N
2
2070-01-21
Floating
1.46
N
N
N
N
N
N
SINOCHEM OVERSEAS CAPITAL COMPANY LIMITED
N/A
SINOCHEM OVERSEAS CAPITA COMPANY GUAR REGS 11/20 4.5
G8185TAA7
28418000.000000
PA
USD
28929804.490000
0.1885557
Long
DBT
CORP
VG
N
2
2020-11-12
Fixed
4.5
N
N
N
N
N
N
SINOPEC GROUP OVERSEAS DEVELOPMENT (2016) LIMITED
5299002BJODD4TLAOX51
SINOPEC GRP OVERSEAS DEV COMPANY GUAR REGS 05/21 2.75
G8200TAB6
2100000.000000
PA
USD
2111139.980000
0.0137598
Long
DBT
CORP
VG
N
2
2021-05-03
Fixed
2.75
N
N
N
N
N
N
SKANDINAVISKA ENSKILDA BANKEN AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAVISKA ENSKILDA SR UNSECURED 144A 12/22 VAR
83051GAL2
8100000.000000
PA
USD
8125393.660000
0.0529589
Long
DBT
CORP
SE
N
2
2022-12-12
Floating
2.53225
N
N
N
N
N
N
SL GREEN OPERATING PARTNERSHIP LP
2K1OXW4LY7IS2U150Y32
SL GREEN OPERATING PARTN COMPANY GUAR 08/21 VAR
78444FAG1
27100000.000000
PA
USD
27105749.270000
0.1766671
Long
DBT
CORP
US
N
2
2021-08-16
Floating
2.88413
N
N
N
N
N
N
SLC STUDENT LOAN TRUST 2006-1
N/A
SLC STUDENT LOAN TRUST SLCLT 2006 1 A5
784427AE6
18818939.370000
PA
USD
18679462.800000
0.1217471
Long
ABS-O
CORP
US
N
2
2027-03-15
Floating
2.00363
N
N
N
N
N
N
SLC STUDENT LOAN TRUST 2007-1
N/A
SLC STUDENT LOAN TRUST SLCLT 2007 1 A4
784424AD5
6730597.160000
PA
USD
6587508.030000
0.0429354
Long
ABS-O
CORP
US
N
2
2029-05-15
Floating
1.96988
N
N
N
N
N
N
SLC STUDENT LOAN TRUST-2005-3
N/A
SLC STUDENT LOAN TRUST SLCLT 2005 3 A3
784420AP6
5084887.170000
PA
USD
5040924.250000
0.0328552
Long
ABS-O
CORP
US
N
2
2029-06-15
Floating
2.01363
N
N
N
N
N
N
SLM CONSOLIDATION STUD LN TRUST 2004-10
N/A
SLM STUDENT LOAN TRUST SLMA 2004 10 A7A 144A
78442GNJ1
15800000.000000
PA
USD
15728097.360000
0.1025110
Long
ABS-O
CORP
US
N
2
2029-10-25
Floating
2.53963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2003-10A
N/A
SLM STUDENT LOAN TRUST SLMA 2003 10A A3 144A
78442GJG2
15713063.440000
PA
USD
15700156.730000
0.1023289
Long
ABS-O
CORP
US
N
2
2027-12-15
Floating
2.36363
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2003-11
N/A
SLM STUDENT LOAN TRUST SLMA 2003 11 A6 144A
78442GJS6
15899732.730000
PA
USD
15835380.150000
0.1032102
Long
ABS-O
CORP
US
N
2
2025-12-15
Floating
2.44363
N
N
N
N
N
N
ACE SECURITIES CORP 2004-HE2
N/A
ACE SECURITIES CORP. ACE 2004 HE2 M1
004421GT4
3139697.240000
PA
USD
3145130.490000
0.0204990
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
2.827
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2005-5
N/A
SLM STUDENT LOAN TRUST SLMA 2005 5 A4
78442GPQ3
2429078.690000
PA
USD
2404717.220000
0.0156732
Long
ABS-O
CORP
US
N
2
2028-10-25
Floating
2.07963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2005-6
N/A
SLM STUDENT LOAN TRUST SLMA 2005 6 A6
78442GPY6
45443667.690000
PA
USD
44707862.000000
0.2913923
Long
ABS-O
CORP
US
N
2
2031-10-27
Floating
2.07963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2005-7
N/A
SLM STUDENT LOAN TRUST SLMA 2005 7 A4
78442GQJ8
9268760.260000
PA
USD
9122237.840000
0.0594560
Long
ABS-O
CORP
US
N
2
2029-10-25
Floating
2.08963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2005-8
N/A
SLM STUDENT LOAN TRUST SLMA 2005 8 A4
78442GQR0
3016214.660000
PA
USD
3018588.720000
0.0196742
Long
ABS-O
CORP
US
N
2
2028-01-25
Floating
2.48963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2006-5
N/A
SLM STUDENT LOAN TRUST SLMA 2006 5 A5
83149EAE7
3530037.700000
PA
USD
3524197.250000
0.0229696
Long
ABS-O
CORP
US
N
2
2027-01-25
Floating
2.04963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2008-2
N/A
SLM STUDENT LOAN TRUST SLMA 2008 2 A3
784442AC9
1334409.230000
PA
USD
1310396.270000
0.0085408
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
2.68963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2008-5
N/A
SLM STUDENT LOAN TRUST SLMA 2008 5 A4
78444YAD7
5539604.960000
PA
USD
5579895.610000
0.0363681
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
3.63963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2008-7
N/A
SLM STUDENT LOAN TRUST SLMA 2008 7 A4
78445FAD7
2796440.350000
PA
USD
2761542.730000
0.0179989
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
2.83963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2008-8
N/A
SLM STUDENT LOAN TRUST SLMA 2008 8 A4
78445GAD5
11184817.420000
PA
USD
11229570.110000
0.0731909
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
3.43963
N
N
N
N
N
N
ACE SECURITIES CORP 2004-OP1
N/A
ACE SECURITIES CORP. ACE 2004 OP1 M1
004421EW9
19332722.030000
PA
USD
19167303.530000
0.1249267
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
2.572
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2008-9
N/A
SLM STUDENT LOAN TRUST SLMA 2008 9 A
78445JAA5
6069222.950000
PA
USD
6089308.440000
0.0396883
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
3.43963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2012-2
N/A
SLM STUDENT LOAN TRUST SLMA 2012 2 A
78446YAA1
4986774.590000
PA
USD
4862074.310000
0.0316895
Long
ABS-O
CORP
US
N
2
2029-01-25
Floating
2.492
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2012-3
N/A
SLM STUDENT LOAN TRUST SLMA 2012 3 A
78447AAA2
2300228.070000
PA
USD
2264077.460000
0.0147566
Long
ABS-O
CORP
US
N
2
2038-12-27
Floating
2.442
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2013-2
N/A
SLM STUDENT LOAN TRUST SLMA 2013 2 A
78446CAA9
12269471.610000
PA
USD
12058446.510000
0.0785933
Long
ABS-O
CORP
US
N
2
2043-06-25
Floating
2.242
N
N
N
N
N
N
SMALL BUSINESS ADMIN PART CERT 2004-20C
N/A
SMALL BUSINESS ADMINISTRATION SBAP 2004 20C 1
83162CNQ2
31400.900000
PA
USD
32275.960000
0.0002104
Long
ABS-O
CORP
US
N
2
2024-03-01
Fixed
4.34
N
N
N
N
N
N
SMALL BUSINESS ADMIN PART CERTS 2008-20C
N/A
SMALL BUSINESS ADMINISTRATION SBAP 2008 20C 1
83162CRR6
38428.050000
PA
USD
41260.320000
0.0002689
Long
ABS-O
CORP
US
N
2
2028-03-01
Fixed
5.49
N
N
N
N
N
N
SMALL BUSINESS ADMIN PART CERTS 2008-20D
N/A
SMALL BUSINESS ADMINISTRATION SBAP 2008 20D 1
83162CRS4
61046.910000
PA
USD
65514.110000
0.0004270
Long
ABS-O
CORP
US
N
2
2028-04-01
Fixed
5.37
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2016-B
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2016 B A2B 144A
78449GAC3
4167184.280000
PA
USD
4202106.950000
0.0273881
Long
ABS-O
CORP
US
N
2
2032-02-17
Floating
3.18975
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2016-C
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2016 C A2A 144A
78449KAB6
1055921.520000
PA
USD
1052774.660000
0.0068617
Long
ABS-O
CORP
US
N
2
2034-09-15
Fixed
2.34
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2018-B
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2018 B A1 144A
78449LAA6
2193084.210000
PA
USD
2192104.120000
0.0142875
Long
ABS-O
CORP
US
N
2
2024-12-16
Floating
2.05975
N
N
N
N
N
N
SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY
549300OD7VKRVNWB2J98
SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 04/24 3.55
78448TAE2
21150000.000000
PA
USD
21966357.850000
0.1431701
Long
DBT
CORP
IE
N
2
2024-04-15
Fixed
3.55
N
N
N
N
N
N
SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY
549300OD7VKRVNWB2J98
SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 07/21 2.65
78448TAA0
17100000.000000
PA
USD
17220352.880000
0.1122370
Long
DBT
CORP
IE
N
2
2021-07-15
Fixed
2.65
N
N
N
N
N
N
SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY
549300OD7VKRVNWB2J98
SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 07/22 3
78448TAB8
8800000.000000
PA
USD
8955672.440000
0.0583704
Long
DBT
CORP
IE
N
2
2022-07-15
Fixed
3
N
N
N
N
N
N
SOCIETY OF LLOYDS
213800O2FTUPFGPH3J11
LLOYDS INS CRGL RCVBL 2020 2A PPE03PZR8
963WKFII2
4321000.000000
PA
USD
4332767.160000
0.0282397
Long
DBT
CORP
US
Y
2
2020-09-02
Floating
3.21615
N
N
N
N
N
N
SOCIETY OF LLOYDS
213800O2FTUPFGPH3J11
LLOYDS INS CRGL RCVBL 2020 2A PPE03PZS6
963WJFII4
6622000.000000
PA
USD
6640033.360000
0.0432777
Long
DBT
CORP
US
Y
2
2020-09-02
Floating
3.21615
N
N
N
N
N
N
SOCIETY OF LLOYDS
213800O2FTUPFGPH3J11
LLOYDS INS CRGL RCVBL 2020 2A PPE03PZT4
963WKGII0
2161000.000000
PA
USD
2166884.940000
0.0141231
Long
DBT
CORP
US
Y
2
2020-09-02
Floating
3.21615
N
N
N
N
N
N
SOCIETY OF LLOYDS
213800O2FTUPFGPH3J11
LLOYDS INS CRGL RCVBL 2020 2A PPE03PZV9
963WKHII8
1637000.000000
PA
USD
1641457.960000
0.0106985
Long
DBT
CORP
US
Y
2
2020-09-02
Floating
3.21615
N
N
N
N
N
N
SOCIETY OF LLOYDS
213800O2FTUPFGPH3J11
LLOYDS INS CRGL RCVBL 2020 2A PPE03PZW7
963WKJII4
3440000.000000
PA
USD
3449367.980000
0.0224819
Long
DBT
CORP
US
Y
2
2020-09-02
Floating
3.21615
N
N
N
N
N
N
SOCIETY OF LLOYDS
213800O2FTUPFGPH3J11
LLOYDS INS CRGL RCVBL 2020 2A PPE03PZX5
963WKKII1
4286000.000000
PA
USD
4297671.850000
0.0280109
Long
DBT
CORP
US
Y
2
2020-09-02
Floating
3.21615
N
N
N
N
N
N
SOCIETY OF LLOYDS
213800O2FTUPFGPH3J11
LLOYDS INS CRGL RCVBL 2021 2A PPE03Q0W3
963WKLII9
4321000.000000
PA
USD
4348418.560000
0.0283417
Long
DBT
CORP
US
Y
2
2021-09-02
Floating
3.21615
N
N
N
N
N
N
SOCIETY OF LLOYDS
213800O2FTUPFGPH3J11
LLOYDS INS CRGL RCVBL 2021 2A PPE03Q0X1
963WJGII2
6622000.000000
PA
USD
6664019.370000
0.0434341
Long
DBT
CORP
US
Y
2
2021-09-02
Floating
3.21615
N
N
N
N
N
N
SOCIETY OF LLOYDS
213800O2FTUPFGPH3J11
LLOYDS INS CRGL RCVBL 2021 2A PPE03Q0Y9
963WKMII7
2161000.000000
PA
USD
2174712.450000
0.0141741
Long
DBT
CORP
US
Y
2
2021-09-02
Floating
3.21615
N
N
N
N
N
N
SOCIETY OF LLOYDS
213800O2FTUPFGPH3J11
LLOYDS INS CRGL RCVBL 2021 2A PPE03Q102
963WKNII5
1637000.000000
PA
USD
1647387.450000
0.0107372
Long
DBT
CORP
US
Y
2
2021-09-02
Floating
3.21615
N
N
N
N
N
N
SOCIETY OF LLOYDS
213800O2FTUPFGPH3J11
LLOYDS INS CRGL RCVBL 2021 2A PPE03Q110
963WKPII0
3440000.000000
PA
USD
3461828.240000
0.0225631
Long
DBT
CORP
US
Y
2
2021-09-02
Floating
3.21615
N
N
N
N
N
N
SOCIETY OF LLOYDS
213800O2FTUPFGPH3J11
LLOYDS INS CRGL RCVBL 2021 2A PPE03Q128
963WKQII8
4286000.000000
PA
USD
4313196.470000
0.0281121
Long
DBT
CORP
US
Y
2
2021-09-02
Floating
3.21615
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC 2017-3
N/A
SOFI CONSUMER LOAN PROGRAM TRU SCLP 2017 3 A 144A
83404JAA4
5692898.080000
PA
USD
5713822.900000
0.0372410
Long
ABS-O
CORP
US
N
2
2026-05-25
Fixed
2.77
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC 2017-4
N/A
SOFI CONSUMER LOAN PROGRAM TRU SCLP 2017 4 A 144A
83405JAA3
3648101.890000
PA
USD
3654705.680000
0.0238203
Long
ABS-O
CORP
US
N
2
2026-05-26
Fixed
2.5
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC 2019-1
N/A
SOFI CONSUMER LOAN PROGRAM TRU SCLP 2019 1 A 144A
78472CAA6
11985210.850000
PA
USD
12071165.190000
0.0786762
Long
ABS-O
CORP
US
N
2
2028-02-25
Fixed
3.24
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC 2019-2
N/A
SOFI CONSUMER LOAN PROGRAM TRU SCLP 2019 2 A 144A
83406CAA7
10957447.840000
PA
USD
11041114.530000
0.0719626
Long
ABS-O
CORP
US
N
2
2028-04-25
Fixed
3.01
N
N
N
N
N
N
ACE SECURITIES CORP 2006-HE4
N/A
ACE SECURITIES CORP. ACE 2006 HE4 A2A
00442BAB7
10875.760000
PA
USD
5588.580000
0.0000364
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.852
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM LLC 2019-3
N/A
SOFI CONSUMER LOAN PROGRAM TRU SCLP 2019 3 A 144A
83405TAA1
15244939.550000
PA
USD
15342616.930000
0.0999985
Long
ABS-O
CORP
US
N
2
2028-05-25
Fixed
2.9
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRUST 2018-2
N/A
SOFI CONSUMER LOAN PROGRAM TRU SCLP 2018 2 A1 144A
78471WAA3
195025.500000
PA
USD
195093.740000
0.0012716
Long
ABS-O
CORP
US
N
2
2027-04-26
Fixed
2.93
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRUST 2018-3
N/A
SOFI CONSUMER LOAN PROGRAM TRU SCLP 2018 3 A1 144A
83405XAA2
1179935.220000
PA
USD
1181810.140000
0.0077027
Long
ABS-O
CORP
US
N
2
2027-08-25
Fixed
3.2
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM 2016-F LLC
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 F A2 144A
78471AAB9
1069898.870000
PA
USD
1082985.120000
0.0070586
Long
ABS-O
CORP
US
N
2
2040-02-25
Fixed
3.02
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2015-D
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2015 D A2 144A
78470NAB2
1360914.870000
PA
USD
1365427.120000
0.0088994
Long
ABS-O
CORP
US
N
2
2036-10-27
Fixed
2.72
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-F
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 F A1FX 144A
83401BAA4
171170.620000
PA
USD
171057.460000
0.0011149
Long
ABS-O
CORP
US
N
2
2041-01-25
Fixed
2.05
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2019-A
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2019 A A1FX 144A
78471HAA6
21044983.160000
PA
USD
21232359.270000
0.1383861
Long
ABS-O
CORP
US
N
2
2048-06-15
Fixed
3.18
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM TRUST 2018-C
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2018 C A1FX 144A
78490DAA2
6784606.630000
PA
USD
6814450.760000
0.0444145
Long
ABS-O
CORP
US
N
2
2048-01-25
Fixed
3.08
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM TRUST 2018-D
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2018 D A1FX 144A
83401AAA6
5464710.320000
PA
USD
5495356.420000
0.0358171
Long
ABS-O
CORP
US
N
2
2048-02-25
Fixed
3.12
N
N
N
N
N
N
SOUND POINT CLO X LTD 2015-3A
N/A
SOUND POINT CLO LTD SNDPT 2015 3A AR 144A
83609WAN0
26000000.000000
PA
USD
25961803.660000
0.1692112
Long
ABS-CBDO
CORP
KY
N
2
2028-01-20
Floating
2.85588
N
N
N
N
N
N
SOUND POINT CLO XIV LTD 2016-3A
N/A
SOUND POINT CLO LTD SNDPT 2016 3A AR 144A
83609NAL4
47700000.000000
PA
USD
47675060.060000
0.3107316
Long
ABS-CBDO
CORP
KY
N
2
2029-01-23
Floating
3.084
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT2
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT2 A4
83611MML9
19250000.000000
PA
USD
18887680.350000
0.1231042
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.072
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT3 2A3
83611MPH5
2677396.990000
PA
USD
2655289.720000
0.0173064
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.962
N
N
N
N
N
N
SOUTHERN POWER COMPANY
5LADC78JBG2BMZD5XF57
SOUTHERN POWER CO SR UNSECURED 144A 12/20 VAR
843646AV2
57075000.000000
PA
USD
57089900.570000
0.3720947
Long
DBT
CORP
US
N
2
2020-12-20
Floating
2.458
N
N
N
N
N
N
SPECIALTY UNDERWRITING & RESID 2005-BC2
N/A
SPECIALTY UNDERWRITING + RESID SURF 2005 BC2 M3
84751PFW4
1360618.800000
PA
USD
1364301.450000
0.0088921
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
2.767
N
N
N
N
N
N
SPECTRA ENERGY PARTNERS LP
2HKVXE7U4NF5B6UGSU72
SPECTRA ENERGY PARTNERS COMPANY GUAR 06/20 VAR
84756NAJ8
12985000.000000
PA
USD
13008862.400000
0.0847878
Long
DBT
CORP
US
N
2
2020-06-05
Floating
2.5915
N
N
N
N
N
N
SPIRIT AEROSYSTEMS INC
ZD2NBKV6GCC3UMGBM518
SPIRIT AEROSYSTEMS INC COMPANY GUAR 06/21 VAR
85205TAH3
21164000.000000
PA
USD
21117412.750000
0.1376369
Long
DBT
CORP
US
N
2
2021-06-15
Floating
2.69363
N
N
N
N
N
N
SPRINGCASTLE FUNDING ASSET-BACKED NOTES 2019-AA
N/A
SPRINGCASTLE SPV SCFT 2019 AA A 144A
85022WAL8
45720309.110000
PA
USD
45902865.730000
0.2991810
Long
ABS-O
CORP
US
N
2
2036-05-27
Fixed
3.2
N
N
N
N
N
N
ADCB FINANCE (CAYMAN) LIMITED
213800R9XDKRM525M609
ADCB FINANCE CAYMAN LTD COMPANY GUAR REGS 03/20 2.625
BW9PJDII8
16400000.000000
PA
USD
16418991.200000
0.1070140
Long
DBT
CORP
KY
N
2
2020-03-10
Fixed
2.625
N
N
N
N
N
N
SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP)
5493008I795YYBFWFU90
SPRINGLEAF FINANCE CORP COMPANY GUAR 05/22 6.125
85172FAK5
2500000.000000
PA
USD
2690625.000000
0.0175367
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
6.125
N
N
N
N
N
N
SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP)
5493008I795YYBFWFU90
SPRINGLEAF FINANCE CORP COMPANY GUAR 10/21 7.75
85172FAD1
2150000.000000
PA
USD
2339350.500000
0.0152472
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
7.75
N
N
N
N
N
N
SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP)
5493008I795YYBFWFU90
SPRINGLEAF FINANCE CORP COMPANY GUAR 12/20 8.25
85172FAJ8
1550000.000000
PA
USD
1629825.000000
0.0106227
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
8.25
N
N
N
N
N
N
SPRINGLEAF FUNDING TRUST 2017-AA
N/A
SPRINGLEAF FUNDING TRUST SLFT 2017 AA A 144A
85172PAA5
25284000.000000
PA
USD
25303863.110000
0.1649229
Long
ABS-O
CORP
US
N
2
2030-07-15
Fixed
2.68
N
N
N
N
N
N
SPRINT CORP (SPRINT COMMUNICATIONS INC)
549300JKU50UT08ZWD77
SPRINT COMMUNICATIONS COMPANY GUAR 144A 03/20 7
852061AQ3
300000.000000
PA
USD
301953.000000
0.0019680
Long
DBT
CORP
US
N
2
2020-03-01
Fixed
7
N
N
N
N
N
N
SPRINT CORP (SPRINT COMMUNICATIONS INC)
549300JKU50UT08ZWD77
SPRINT COMMUNICATIONS SR UNSECURED 08/20 7
852061AR1
900000.000000
PA
USD
920160.000000
0.0059973
Long
DBT
CORP
US
N
2
2020-08-15
Fixed
7
N
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2004-2
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 2 6A1
007036BU9
857645.530000
PA
USD
873265.480000
0.0056917
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
4.22179
N
N
N
N
N
N
SPRINT CORP (SPRINT COMMUNICATIONS INC)
549300JKU50UT08ZWD77
SPRINT COMMUNICATIONS SR UNSECURED 11/22 6
852061AS9
8500000.000000
PA
USD
8929505.000000
0.0581998
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
6
N
N
N
N
N
N
SPRINT CORPORATION
549300ZTTY7CXOLJ6539
SPRINT CORP COMPANY GUAR 09/21 7.25
85207UAE5
8200000.000000
PA
USD
8686424.000000
0.0566155
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
7.25
N
N
N
N
N
N
SPRINT CORPORATION
549300ZTTY7CXOLJ6539
SPRINT CORP COMPANY GUAR 09/23 7.875
85207UAF2
1400000.000000
PA
USD
1547581.000000
0.0100867
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.875
N
N
N
N
N
N
SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC
N/A
SPRINT SPECTRUM / SPEC I SR SECURED 144A 03/23 3.36
85208NAA8
2570312.500000
PA
USD
2596401.170000
0.0169226
Long
DBT
CORP
US
N
2
2023-03-20
Variable
3.36
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC SR UNSECURED 144A 01/21 3.05
853254AY6
3925000.000000
PA
USD
3957892.830000
0.0257963
Long
DBT
CORP
GB
N
2
2021-01-15
Fixed
3.05
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC SR UNSECURED 144A 09/22 VAR
853254BR0
57900000.000000
PA
USD
58384044.000000
0.3805295
Long
DBT
CORP
GB
N
2
2022-09-10
Floating
3.0905
N
N
N
N
N
N
STANIFORD STREET CLO LTD 2014-1A
N/A
STANIFORD STREET CLO LTD STANI 2014 1A AR 144A
854432AE1
74591.400000
PA
USD
74595.710000
0.0004862
Long
ABS-CBDO
CORP
KY
N
2
2025-06-15
Floating
3.07363
N
N
N
N
N
N
STANLINGTON NO 1 PLC 17-1
N/A
STANLINGTON PLC STNLT 2017 1 A REGS
ACI0SNHR7
1925823.220000
PA
2554891.380000
0.0166520
Long
ABS-MBS
CORP
GB
N
2
2046-06-12
Floating
1.77863
N
N
N
N
N
N
STANWICH MORTGAGE LOAN CO LLC 2019-NPB1
N/A
STANWICH MORTGAGE LOAN TRUST STWH 2019 NPB1 A1 144A
85502HAA4
2981580.970000
PA
USD
2982743.190000
0.0194406
Long
ABS-MBS
CORP
US
N
2
2024-08-15
Fixed
3.375
N
N
N
N
N
N
STARWOOD PROPERTY TRUST INC
BUGSFQZERKRBFWIG5267
STARWOOD PROPERTY TRUST SR UNSECURED 02/21 3.625
85571BAP0
3700000.000000
PA
USD
3733855.000000
0.0243361
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
3.625
N
N
N
N
N
N
STARWOOD WAYPOINT HOMES 2017-1
N/A
STARWOOD WAYPOINT HOMES TRUST SWH 2017 1 A 144A
85572MAA8
10231168.100000
PA
USD
10221117.000000
0.0666181
Long
ABS-MBS
CORP
US
N
2
2035-01-17
Floating
2.68975
N
N
N
N
N
N
STATE BANK OF INDIA/LONDON BRANCH
5493001JZ37UBBZF6L49
STATE BANK INDIA/LONDON SR UNSECURED REGS 01/20 VAR
ACI13YYR9
7400000.000000
PA
USD
7416074.950000
0.0483357
Long
DBT
CORP
IN
N
2
2020-01-20
Floating
2.81588
N
N
N
N
N
N
STATE BANK OF INDIA/LONDON BRANCH
5493001JZ37UBBZF6L49
STATE BANK INDIA/LONDON SR UNSECURED REGS 04/20 VAR
ACI0TFDW6
104038000.000000
PA
USD
104131634.200000
0.6786984
Long
DBT
CORP
IN
N
2
2020-04-06
Floating
2.99313
N
N
N
N
N
N
STONEMONT PORTFOLIO TRUST 2017-MONT
N/A
STONEMONT PORTFOLIO TRUST SMPT 2017 MONT A 144A
86184RAA5
23094602.590000
PA
USD
23087773.520000
0.1504791
Long
ABS-MBS
CORP
US
N
2
2030-08-20
Floating
2.61463
N
N
N
N
N
N
STRUCTURED ADJ RATE MTG LN 2004-19
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1
863579JG4
36170.480000
PA
USD
35398.220000
0.0002307
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
3.63948
Y
N
N
N
N
N
STRUCTURED ADJUSTABLE RATE MTG LN 2004-1
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1
86359BGF2
3012.770000
PA
USD
3035.360000
0.0000198
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
4.38854
N
N
N
N
N
N
STRUCTURED ADJUSTABLE RATE MTG LN 2004-1
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2
86359BGG0
39166.030000
PA
USD
39833.910000
0.0002596
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
4.38854
N
N
N
N
N
N
STRUCTURED ADJUSTABLE RT MTGE LN 2005-17
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1
863579VM7
355688.770000
PA
USD
361370.470000
0.0023553
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
4.24144
N
N
N
N
N
N
STRUCTURED ASSEET MTGE INV INC 2002-AR3
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1
86358HNX3
10824.310000
PA
USD
10731.750000
0.0000699
Long
ABS-MBS
CORP
US
N
2
2032-09-19
Floating
2.42388
N
N
N
N
N
N
STRUCTURED ASSET INVEST LN TR 2003-BC11
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC11 M1
86358EEM4
17753.320000
PA
USD
17833.530000
0.0001162
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
2.767
N
N
N
N
N
N
STRUCTURED ASSET INVST LN TR 2005-5
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M2
86358ETG1
53761.570000
PA
USD
53903.050000
0.0003513
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
2.482
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2004-AR1
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2
86359LAQ2
151811.610000
PA
USD
152845.840000
0.0009962
Long
ABS-MBS
CORP
US
N
2
2034-03-19
Floating
2.46388
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2004-AR3
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2
86359LBY4
8822.350000
PA
USD
8892.360000
0.0000580
Long
ABS-MBS
CORP
US
N
2
2034-07-19
Floating
2.34388
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2004-AR7
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR7 A1A
86359LFN4
671722.660000
PA
USD
683220.940000
0.0044530
Long
ABS-MBS
CORP
US
N
2
2035-04-19
Floating
2.46388
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR2
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1
86359LJA8
248983.960000
PA
USD
248858.500000
0.0016220
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Floating
2.252
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR5
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1
86359LPD5
38314.960000
PA
USD
38121.880000
0.0002485
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
2.01388
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR5
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2
86359LPE3
69639.380000
PA
USD
68861.050000
0.0004488
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
2.01388
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR5
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3
86359LPF0
1985467.060000
PA
USD
1978591.980000
0.0128959
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
2.01388
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR8
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A
86359LRW1
19535.950000
PA
USD
18905.310000
0.0001232
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.072
Y
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2006-AR3
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1
86360KAE8
3956887.540000
PA
USD
3821785.950000
0.0249092
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.012
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2007-AR2
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1
86363DAH4
485754.650000
PA
USD
325346.810000
0.0021205
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
2.052
N
N
N
N
N
N
STRUCTURED ASSET MTGE INVEST 2006-AR5
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 4A1
86360JAN1
862726.310000
PA
USD
475673.810000
0.0031003
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
2.012
N
N
N
N
N
N
STRUCTURED ASSET MTGE INVEST 2006-AR6
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1
86360UAF3
1420897.670000
PA
USD
1200216.770000
0.0078226
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
1.982
Y
N
N
N
N
N
STRUCTURED ASSET SEC CORP 2005-7XS
N/A
STRUCTURED ASSET SECURITIES CO SASC 2005 7XS 2A1A
86359B7K1
533002.560000
PA
USD
527580.060000
0.0034386
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
3.19113
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORP 2004-4XS
N/A
STRUCTURED ASSET SECURITIES CO SASC 2004 4XS 1A6
86359BHM6
2374.100000
PA
USD
2423.440000
0.0000158
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
5.05
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CP 2002-14A
N/A
STRUCTURED ASSET SECURITIES CO SASC 2002 14A 2A1
86358RR66
4243.110000
PA
USD
4071.080000
0.0000265
Long
ABS-MBS
CORP
US
N
2
2032-07-25
Floating
3.99202
N
N
N
N
N
N
SUMITOMO MITSUI FINANCIAL GROUP INC
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP SR UNSECURED 03/21 VAR
86562MAD2
1600000.000000
PA
USD
1626608.740000
0.0106017
Long
DBT
CORP
JP
N
2
2021-03-09
Floating
3.565
N
N
N
N
N
N
SUMITOMO MITSUI FINANCIAL GROUP INC
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP SR UNSECURED 03/22 VAR
ACI0T9LW1
20515000.000000
PA
14499576.140000
0.0945038
Long
DBT
CORP
JP
N
2
2022-03-29
Floating
2.19
N
N
N
N
N
N
SUMITOMO MITSUI FINANCIAL GROUP INC
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP SR UNSECURED 07/21 VAR
86562MAG5
5044000.000000
PA
USD
5104738.390000
0.0332711
Long
DBT
CORP
JP
N
2
2021-07-14
Floating
3.11088
N
N
N
N
N
N
SUMITOMO MITSUI FINANCIAL GROUP INC
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP SR UNSECURED 07/22 VAR
86562MAP5
50225000.000000
PA
USD
50533549.250000
0.3293623
Long
DBT
CORP
JP
N
2
2022-07-12
Floating
2.78088
N
N
N
N
N
N
SUMITOMO MITSUI FINANCIAL GROUP INC
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP SR UNSECURED 10/21 VAR
86562MAJ9
9635000.000000
PA
USD
9772808.250000
0.0636962
Long
DBT
CORP
JP
N
2
2021-10-19
Floating
3.10588
N
N
N
N
N
N
SUMITOMO MITSUI FINANCIAL GROUP INC
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP SR UNSECURED 10/22 VAR
86562MAT7
6198000.000000
PA
USD
6225367.150000
0.0405751
Long
DBT
CORP
JP
N
2
2022-10-18
Floating
2.74325
N
N
N
N
N
N
SWEDBANK AB
M312WZV08Y7LYUC71685
SWEDBANK AB SR UNSECURED 144A 03/22 VAR
87020PAJ6
21400000.000000
PA
USD
21447209.900000
0.1397864
Long
DBT
CORP
SE
N
2
2022-03-14
Floating
2.59363
N
N
N
N
N
N
SYNCHRONY BANK (AKA: GE CAPITAL RETAIL BANK)
549300UATVPGSLE43Z27
SYNCHRONY BANK SR UNSECURED 03/20 VAR
87166FAB9
29085000.000000
PA
USD
29108655.990000
0.1897214
Long
DBT
CORP
US
N
2
2020-03-30
Floating
2.5855
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL SR UNSECURED 02/20 2.7
87165BAE3
8965000.000000
PA
USD
8968242.640000
0.0584523
Long
DBT
CORP
US
N
2
2020-02-03
Fixed
2.7
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL SR UNSECURED 02/20 VAR
87165BAF0
21005000.000000
PA
USD
21021771.440000
0.1370135
Long
DBT
CORP
US
N
2
2020-02-03
Floating
3.13225
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL SR UNSECURED 07/22 2.85
87165BAQ6
1400000.000000
PA
USD
1417125.160000
0.0092364
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
2.85
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
SYNGENTA FINANCE NV COMPANY GUAR 144A 04/20 3.698
87164KAD6
54806000.000000
PA
USD
54981782.020000
0.3583546
Long
DBT
CORP
NL
N
2
2020-04-24
Fixed
3.698
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
SYNGENTA FINANCE NV COMPANY GUAR 144A 04/21 3.933
87164KAE4
8400000.000000
PA
USD
8543517.280000
0.0556841
Long
DBT
CORP
NL
N
2
2021-04-23
Fixed
3.933
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
SYNGENTA FINANCE NV COMPANY GUAR REGS 04/20 3.698
N84413CH9
2950000.000000
PA
USD
2959461.680000
0.0192889
Long
DBT
CORP
NL
N
2
2020-04-24
Fixed
3.698
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL COMPANY LIMITED
549300ZLMVP4X0OGR454
TAKEDA PHARMACEUTICAL SR UNSECURED 11/21 4
874060AQ9
14600000.000000
PA
USD
15100884.830000
0.0984230
Long
DBT
CORP
JP
N
2
2021-11-26
Fixed
4
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL COMPANY LIMITED
549300ZLMVP4X0OGR454
TAKEDA PHARMACEUTICAL SR UNSECURED 144A 01/22 2.45
874060AC0
10200000.000000
PA
USD
10257892.850000
0.0668578
Long
DBT
CORP
JP
N
2
2022-01-18
Fixed
2.45
N
N
N
N
N
N
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
N/A
AERCAP IRELAND CAP/GLOBA COMPANY GUAR 05/21 4.5
00772BAF8
23770000.000000
PA
USD
24534892.450000
0.1599110
Long
DBT
CORP
IE
N
2
2021-05-15
Fixed
4.5
N
N
N
N
N
N
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
N/A
AERCAP IRELAND CAP/GLOBA COMPANY GUAR 05/22 3.5
00774MAA3
1400000.000000
PA
USD
1439021.780000
0.0093791
Long
DBT
CORP
IE
N
2
2022-05-26
Fixed
3.5
N
N
N
N
N
N
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
N/A
AERCAP IRELAND CAP/GLOBA COMPANY GUAR 07/20 4.25
00772BAN1
13641000.000000
PA
USD
13779544.130000
0.0898109
Long
DBT
CORP
IE
N
2
2020-07-01
Fixed
4.25
N
N
N
N
N
N
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
N/A
AERCAP IRELAND CAP/GLOBA COMPANY GUAR 07/22 4.625
00772BAP6
4150000.000000
PA
USD
4384693.080000
0.0285781
Long
DBT
CORP
IE
N
2
2022-07-01
Fixed
4.625
N
N
N
N
N
N
TERWIN MTGE TRUST 2006-5
N/A
TERWIN MORTGAGE TRUST TMTS 2006 5 1A2B 144A
8815612F0
1813833.860000
PA
USD
1798884.970000
0.0117246
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
2.002
N
N
N
N
N
N
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
N/A
AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/20 4.625
00772BAQ4
16750000.000000
PA
USD
17086461.270000
0.1113644
Long
DBT
CORP
IE
N
2
2020-10-30
Fixed
4.625
N
N
N
N
N
N
TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV
5493004T21MOAFINJP35
TEVA PHARMACEUTICALS NE COMPANY GUAR 07/21 2.2
88167AAC5
2053000.000000
PA
USD
1991964.310000
0.0129830
Long
DBT
CORP
NL
N
2
2021-07-21
Fixed
2.2
N
N
N
N
N
N
TEXTRON INC
3PPKBHUG1HD6BO7RNR87
TEXTRON INC SR UNSECURED 11/20 VAR
883203BZ3
22100000.000000
PA
USD
22100936.600000
0.1440472
Long
DBT
CORP
US
N
2
2020-11-10
Floating
2.45063
N
N
N
N
N
N
THARALDSON HOTEL PORTFOLIO TRUST 2018
N/A
THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL A 144A
88327HAA1
10207011.300000
PA
USD
10205504.750000
0.0665164
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
2.46013
N
N
N
N
N
N
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
N/A
AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/21 5
00772BAM3
9800000.000000
PA
USD
10275411.330000
0.0669720
Long
DBT
CORP
IE
N
2
2021-10-01
Fixed
5
N
N
N
N
N
N
THORNBURG MORTGAGE SEC TRUST 2005-1
N/A
THORNBURG MORTGAGE SECURITIES TMST 2005 1 A3
885220HB2
78531.280000
PA
USD
78923.460000
0.0005144
Long
ABS-MBS
CORP
US
N
2
2045-04-25
Floating
4.45894
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE LLC SR SECURED 02/20 5
88732JAW8
13895000.000000
PA
USD
13921296.980000
0.0907348
Long
DBT
CORP
US
N
2
2020-02-01
Fixed
5
N
N
N
N
N
N
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
N/A
AERCAP IRELAND CAP/GLOBA COMPANY GUAR 12/21 4.45
00774MAH8
29450000.000000
PA
USD
30694009.520000
0.2000542
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
4.45
N
N
N
N
N
N
AES - IPALCO ENTERPRISES INC
5493000YFVK2DZX0JV43
IPALCO ENTERPRISES INC SR SECURED 07/20 3.45
462613AK6
14304000.000000
PA
USD
14368856.620000
0.0936518
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
3.45
N
N
N
N
N
N
TOWD POINT MORTGAGE FUNDING 19-A13A
N/A
TOWD POINT MORTGAGE FUNDING TPMF 2019 A13A A1 144A
ACI1G4F01
43600000.000000
PA
57751454.210000
0.3764065
Long
ABS-MBS
CORP
GB
N
2
2045-07-20
Floating
0.9
N
N
N
N
N
N
TOWD POINT MORTGAGE FUNDING 19-V2A
N/A
TOWD POINT MORTGAGE FUNDING TPMF 2019 V2A A 144A
ACI1GVL46
10000000.000000
PA
13283086.850000
0.0865751
Long
ABS-MBS
CORP
GB
N
2
2054-02-20
Floating
1.91034
N
N
N
N
N
N
TOWD POINT MORTGAGE FUNDING 2018 - AUBURN 12 PLC 18-A12X
N/A
TOWD POINT MORTGAGE FUNDING TPMF 2018 A12X A REGS
BF2GGBII9
9555456.700000
PA
12648699.840000
0.0824404
Long
ABS-MBS
CORP
GB
N
2
2045-02-20
Floating
1.60238
N
N
N
N
N
N
TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC
N/A
TOWD POINT MORTGAGE FUNDING TPMF 2019 GR4A A1 144A
ACI19VH23
12178302.680000
PA
16225342.630000
0.1057519
Long
ABS-MBS
CORP
GB
N
2
2051-10-20
Floating
1.82038
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-HY2
N/A
TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A
89177HAA0
7936140.410000
PA
USD
7982412.870000
0.0520269
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Floating
2.792
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-HY3
N/A
TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A
89177XAA5
16758489.430000
PA
USD
16820831.010000
0.1096331
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Floating
2.792
N
N
N
N
N
N
TOYOTA INDUSTRIES COMMERCIAL FINANCE INC
54930085LCL2BOXUSV19
TOYOTA IND.COML.FI 0 MTN 08/20 0
ACI0WNS74
600000.000000
PA
USD
601326.010000
0.0039193
Long
DBT
CORP
US
Y
2
2020-08-03
Floating
2.50225
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORPORATION
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP 2016 TERM LOAN
935YHEII0
71200000.000000
PA
USD
71230396.700000
0.4642581
Long
LON
CORP
US
N
3
2021-03-29
Floating
2.9344
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORPORATION
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORPORATIO 2018 TERM LOAN
933NLFII8
113200000.000000
PA
USD
113169078.290000
0.7376017
Long
LON
CORP
US
N
3
2020-09-28
Floating
2.5246
N
N
N
N
N
N
TPG REAL ESTATE FINANCE ISSUER LTD 2019-FL3
N/A
TPG REAL ESTATE FINANCE TRTX 2019 FL3 A 144A
87276VAA3
44300000.000000
PA
USD
44333145.260000
0.2889500
Long
ABS-O
CORP
KY
N
2
2034-10-15
Floating
2.88975
N
N
N
N
N
N
TRALEE CLO V LTD 2018-5A
N/A
TRALEE CLO LTD TRAL 2018 5A A1 144A
89300JAA6
43200000.000000
PA
USD
43003756.220000
0.2802854
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
3.07588
N
N
N
N
N
N
TRILLIUM CREDIT CARD TRUST II 2019-1A
N/A
TRILLIUM CREDIT CARD TRUST II TCCT 2019 1A A 144A
89621AAL3
31400000.000000
PA
USD
31500982.400000
0.2053138
Long
ABS-MBS
CORP
CA
N
2
2024-01-26
Floating
2.272
N
N
N
N
N
N
TRINITY SQUARE 2015-1 PLC 15-1X
N/A
TRINITY SQUARE TRINI 2015 1X A REGS
ACI0JG421
6820511.540000
PA
9104662.180000
0.0593414
Long
ABS-MBS
CORP
GB
N
2
2051-07-15
Floating
1.935
N
N
N
N
N
N
AIA GROUP LIMITED
ZP5ILWVSYE4LJGMMVD57
AIA GROUP LTD SR UNSECURED 144A 09/21 VAR
00131LAG0
39800000.000000
PA
USD
39834122.530000
0.2596267
Long
DBT
CORP
HK
N
2
2021-09-20
Floating
2.428
N
N
N
N
N
N
TULANE UNIVERSITY
N/A
TULANE LA UNIV TULHGR 02/36 FLOATING VAR
899062BQ5
18680000.000000
PA
USD
17782239.200000
0.1158992
Long
DBT
MUN
US
N
2
2036-02-15
Floating
2.21
N
N
N
N
N
N
TYSON FOODS INC
WD6L6041MNRW1JE49D58
TYSON FOODS INC SR UNSECURED 06/20 VAR
902494BB8
20610000.000000
PA
USD
20638934.380000
0.1345183
Long
DBT
CORP
US
N
2
2020-06-02
Floating
2.45688
N
N
N
N
N
N
TYSON FOODS INC
WD6L6041MNRW1JE49D58
TYSON FOODS INC SR UNSECURED 08/20 VAR
902494BE2
8831000.000000
PA
USD
8840844.620000
0.0576219
Long
DBT
CORP
US
N
2
2020-08-21
Floating
2.34463
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG COMPANY GUAR 144A 04/21 VAR
90351DAE7
65900000.000000
PA
USD
67152591.610000
0.4376802
Long
DBT
CORP
CH
N
2
2021-04-14
Floating
3.76613
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 08/23 VAR
90352JAD5
30100000.000000
PA
USD
30306767.130000
0.1975303
Long
DBT
CORP
CH
N
2
2023-08-15
Floating
2.85988
N
N
N
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6
N/A
UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2013 C6 A3FL 144A
90349GAC9
3295745.780000
PA
USD
3334700.180000
0.0217346
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Floating
2.52563
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
01F030629
326900000.000000
PA
USD
331138624.630000
2.1582611
Long
ABS-MBS
USGSE
US
N
2
2050-02-12
Fixed
3
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP SR UNSECURED 01/22 3.5
00912XBE3
18700000.000000
PA
USD
19216253.140000
0.1252457
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
01F032617
107900000.000000
PA
USD
110945871.340000
0.7231115
Long
ABS-MBS
USGSE
US
N
2
2050-01-14
Fixed
3.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
01F032625
29000000.000000
PA
USD
29811834.120000
0.1943045
Long
ABS-MBS
USGSE
US
N
2
2050-02-12
Fixed
3.5
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP SR UNSECURED 01/23 2.25
00914AAD4
14250000.000000
PA
USD
14264091.830000
0.0929690
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.25
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP SR UNSECURED 01/23 2.75
00912XAX2
12800000.000000
PA
USD
12968642.820000
0.0845257
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.75
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01F040610
1260550000.000000
PA
USD
1310882589.190000
8.5439351
Long
ABS-MBS
USGSE
US
N
2
2050-01-14
Fixed
4
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01F040628
53000000.000000
PA
USD
55139014.280000
0.3593794
Long
ABS-MBS
USGSE
US
N
2
2050-02-12
Fixed
4
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP SR UNSECURED 03/21 2.5
00912XAZ7
6700000.000000
PA
USD
6731193.460000
0.0438719
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
2.5
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP SR UNSECURED 06/21 3.375
00912XAS3
5300000.000000
PA
USD
5390199.910000
0.0351317
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
3.375
N
N
N
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD SR UNSECURED 02/22 5.5
00928QAN1
5113000.000000
PA
USD
5438891.120000
0.0354490
Long
DBT
CORP
BM
N
2
2022-02-15
Fixed
5.5
N
N
N
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD SR UNSECURED 03/21 5.125
00928QAM3
43697000.000000
PA
USD
45145101.540000
0.2942421
Long
DBT
CORP
BM
N
2
2021-03-15
Fixed
5.125
N
N
N
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD SR UNSECURED 04/20 7.625
00928QAG6
7434000.000000
PA
USD
7544383.970000
0.0491720
Long
DBT
CORP
BM
N
2
2020-04-15
Fixed
7.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 01/20 0.00000
912796TB5
2961000.000000
PA
USD
2959396.530000
0.0192884
Long
DBT
UST
US
N
2
2020-01-16
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 01/20 0.00000
912796WM7
10516000.000000
PA
USD
10514013.630000
0.0685272
Long
DBT
UST
US
N
2
2020-01-07
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 02/20 0.00000
912796SD2
24645000.000000
PA
USD
24587303.340000
0.1602526
Long
DBT
UST
US
N
2
2020-02-27
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 02/20 0.00000
912796TG4
43000.000000
PA
USD
42911.630000
0.0002797
Long
DBT
UST
US
N
2
2020-02-20
None
0
N
N
N
N
N
N
ALBA PLC 2015-1
N/A
ALBA PLC ALBA 2015 1 A REGS
ACI0CCZX5
1598562.710000
PA
2121326.980000
0.0138262
Long
ABS-MBS
CORP
GB
N
2
2049-04-24
Floating
1.95688
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 04/23 0.625
9128284H0
20513790.000000
PA
USD
20833716.910000
0.1357878
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/25 0.375
912828XL9
34292004.000000
PA
USD
34997627.140000
0.2281039
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.375
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/28 0.75
912828Y38
407849944.740000
PA
USD
429200318.360000
2.7973975
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75
N
N
N
N
N
N
ALLEGRO CLO I LTD 2013-1A
N/A
ALLEGRO CLO LTD ALLEG 2013 1A A1R 144A
01749GAJ7
2647104.470000
PA
USD
2648333.710000
0.0172610
Long
ABS-CBDO
CORP
KY
N
2
2026-01-30
Floating
3.1555
N
N
N
N
N
N
ALLERGAN FUNDING SCS
222100FLFVOSKCBCAR54
ALLERGAN FUNDING SCS COMPANY GUAR 03/20 VAR
00507UAQ4
98658000.000000
PA
USD
98849132.120000
0.6442687
Long
DBT
CORP
LU
N
2
2020-03-12
Floating
3.14225
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST 2019-1
N/A
UPSTART SECURITIZATION TRUST UPST 2019 1 A 144A
91679KAA2
4154741.870000
PA
USD
4166000.390000
0.0271527
Long
ABS-O
CORP
US
N
2
2026-04-20
Fixed
3.45
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST 2019-2
N/A
UPSTART SECURITIZATION TRUST UPST 2019 2 A 144A
916780AA7
5621410.940000
PA
USD
5638005.350000
0.0367468
Long
ABS-O
CORP
US
N
2
2029-09-20
Fixed
2.897
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST 2019-3
N/A
UPSTART SECURITIZATION TRUST UPST 2019 3 A 144A
91678WAA7
17600000.000000
PA
USD
17597528.960000
0.1146954
Long
ABS-O
CORP
US
N
2
2030-01-21
Fixed
2.684
N
N
N
N
N
N
UTAH STATE BOARD OF REGENTS 2017-1
N/A
STATE BOARD OF REGENTS OF THE USBR 2017 1 A
91754RZF7
14680096.730000
PA
USD
14575868.040000
0.0950011
Long
ABS-O
MUN
US
N
2
2057-01-25
Floating
2.542
N
N
N
N
N
N
VENTAS REALTY LP
32SXKSJ72K64GM3HOU64
VENTAS REALTY LP COMPANY GUAR 06/23 3.125
92277GAH0
3900000.000000
PA
USD
3999912.930000
0.0260702
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.125
N
N
N
N
N
N
VENTURE CDO LTD 2018-35A
N/A
VENTURE CDO LTD VENTR 2018 35A AS 144A
92331XAC8
5700000.000000
PA
USD
5704008.530000
0.0371770
Long
ABS-CBDO
CORP
KY
N
2
2031-10-22
Floating
3.10325
N
N
N
N
N
N
VENTURE CLO LTD 2014-16A
N/A
VENTURE CDO LTD VENTR 2014 16A ARR 144A
92329XAQ1
10150000.000000
PA
USD
10132693.840000
0.0660418
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
2.85088
N
N
N
N
N
N
VENTURE CLO LTD 2014-17A
N/A
VENTURE CDO LTD VENTR 2014 17A ARR 144A
92329YAL0
47450000.000000
PA
USD
47259508.180000
0.3080231
Long
ABS-CBDO
CORP
KY
N
2
2027-04-15
Floating
2.88088
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS SR UNSECURED 03/22 VAR
92343VDX9
32600000.000000
PA
USD
33155187.450000
0.2160955
Long
DBT
CORP
US
N
2
2022-03-16
Floating
2.89363
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS SR UNSECURED 05/25 VAR
92343VEP5
62331000.000000
PA
USD
63808535.790000
0.4158847
Long
DBT
CORP
US
N
2
2025-05-15
Floating
3.00988
N
N
N
N
N
N
ALLSTATE CORP
OBT0W1ED8G0NWVOLOJ77
ALLSTATE CORP SR UNSECURED 03/23 VAR
020002BF7
4050000.000000
PA
USD
4062981.060000
0.0264813
Long
DBT
CORP
US
N
2
2023-03-29
Floating
2.5905
N
N
N
N
N
N
VMC FINANCE LLC 2018-FL1
N/A
VMC FINANCE LLC VMC 2018 FL1 A 144A
91832DAA2
34318.020000
PA
USD
34249.200000
0.0002232
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Floating
2.55738
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMWARE INC SR UNSECURED 08/22 2.95
928563AB1
5400000.000000
PA
USD
5504516.140000
0.0358768
Long
DBT
CORP
US
N
2
2022-08-21
Fixed
2.95
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC COMPANY GUAR 03/20 8
02005NAE0
4800000.000000
PA
USD
4844400.000000
0.0315743
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
8
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC SR UNSECURED 01/24 VAR
92857WBN9
44969000.000000
PA
USD
45556077.940000
0.2969207
Long
DBT
CORP
GB
N
2
2024-01-16
Floating
2.99088
N
N
N
N
N
N
VOLKSWAGEN GROUP OF AMERICA FINANCE LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 05/20 2.4
928668AM4
2200000.000000
PA
USD
2203072.430000
0.0143590
Long
DBT
CORP
US
N
2
2020-05-22
Fixed
2.4
N
N
N
N
N
N
VOLKSWAGEN GROUP OF AMERICA FINANCE LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/21 VAR
928668AW2
27000000.000000
PA
USD
27195730.290000
0.1772535
Long
DBT
CORP
US
N
2
2021-09-24
Floating
2.79475
N
N
N
N
N
N
VOLKSWAGEN GROUP OF AMERICA FINANCE LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/22 2.7
928668AZ5
2900000.000000
PA
USD
2933508.630000
0.0191197
Long
DBT
CORP
US
N
2
2022-09-26
Fixed
2.7
N
N
N
N
N
N
VOLKSWAGEN GROUP OF AMERICA FINANCE LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/21 VAR
928668AQ5
35000000.000000
PA
USD
35315350.350000
0.2301747
Long
DBT
CORP
US
N
2
2021-11-12
Floating
2.84063
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC COMPANY GUAR 09/20 7.5
02005NAJ9
300000.000000
PA
USD
311366.250000
0.0020294
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
7.5
N
N
N
N
N
N
VOLKSWAGEN GROUP OF AMERICA FINANCE LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMERICA COMPANY GUAR REGS 11/21 VAR
U9273ACF0
1500000.000000
PA
USD
1513515.020000
0.0098646
Long
DBT
CORP
US
N
2
2021-11-12
Floating
2.84063
N
N
N
N
N
N
VOLKSWAGEN INTERNATIONAL FINANCE NV
5299004PWNHKYTR23649
VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 08/20 4
928670AB4
5000000.000000
PA
USD
5059405.550000
0.0329757
Long
DBT
CORP
NL
N
2
2020-08-12
Fixed
4
N
N
N
N
N
N
VOLT LXII LLC 2017-NPL9
N/A
VERICREST OPPORTUNITY LOAN TRA VOLT 2017 NPL9 A1 144A
92872FAA6
14355126.820000
PA
USD
14404485.490000
0.0938841
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Fixed
3.125
N
N
N
N
N
N
VULCAN MATERIALS COMPANY
549300Q8LSNHAVWBNI21
VULCAN MATERIALS CO SR UNSECURED 03/21 VAR
929160AX7
8454000.000000
PA
USD
8472177.710000
0.0552191
Long
DBT
CORP
US
N
2
2021-03-01
Floating
2.55688
N
N
N
N
N
N
VULCAN MATERIALS COMPANY
549300Q8LSNHAVWBNI21
VULCAN MATERIALS CO SR UNSECURED 06/20 VAR
929160AU3
23851000.000000
PA
USD
23877317.910000
0.1556251
Long
DBT
CORP
US
N
2
2020-06-15
Floating
2.49363
N
N
N
N
N
N
WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)
06BTX5UWZD0GQ5N5Y745
WESTINGHOUSE AIR BRAKE COMPANY GUAR 09/21 VAR
960386AP5
34220000.000000
PA
USD
34225365.010000
0.2230705
Long
DBT
CORP
US
N
2
2021-09-15
Floating
3.19363
N
N
N
N
N
N
WAMU MORTGAGE P/T CERTIFICATES 2007-OA1
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA1 A1A
92926WAA5
367953.330000
PA
USD
357706.200000
0.0023314
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
2.93948
Y
N
N
N
N
N
WAMU MTGE P/T CERT 2007-HY1
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 1A1
92925VAA8
429183.220000
PA
USD
401653.990000
0.0026179
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
3.86778
Y
N
N
N
N
N
WAMU MTGE P/T CERT 2007-HY1
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 2A3
92925VAF7
469747.840000
PA
USD
466181.090000
0.0030384
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
3.97401
Y
N
N
N
N
N
WAMU MTGE P/T CERT 2007-HY1
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 4A1
92925VAM2
988824.510000
PA
USD
975799.910000
0.0063600
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
4.03464
Y
N
N
N
N
N
WAMU MTGE P/T CERT 2007-HY5
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 2A1
92990GAC7
342245.620000
PA
USD
291118.880000
0.0018974
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
3.44407
Y
N
N
N
N
N
WAMU MTGE P/T CERTIFICATES 2007-HY4
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 1A1
933636AA0
185181.430000
PA
USD
170827.130000
0.0011134
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
3.50057
Y
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC SR UNSECURED 02/22 4.125
02005NAY6
10050000.000000
PA
USD
10394514.000000
0.0677483
Long
DBT
CORP
US
N
2
2022-02-13
Fixed
4.125
N
N
N
N
N
N
WARWICK FINANCE RESIDENTIAL MORTGAGES PLC 1
N/A
WARWICK FINANCE RESIDENTIAL MO WARW 1 A REGS
BWT3HWII5
5985447.510000
PA
7943610.790000
0.0517740
Long
ABS-MBS
CORP
GB
N
2
2049-09-21
Floating
1.79963
N
N
N
N
N
N
WASHINGTON MUTUAL 2002 AR2
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A
929227LE4
32170.010000
PA
USD
32137.130000
0.0002095
Long
ABS-MBS
CORP
US
N
2
2034-02-27
Floating
2.35
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC SR UNSECURED 03/20 4.125
02005NAZ3
12500000.000000
PA
USD
12561750.000000
0.0818737
Long
DBT
CORP
US
N
2
2020-03-30
Fixed
4.125
N
N
N
N
N
N
WASHINGTON MUTUAL 2002-AR17
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A
929227XB7
184505.430000
PA
USD
182061.710000
0.0011866
Long
ABS-MBS
CORP
US
N
2
2042-11-25
Floating
3.43948
N
N
N
N
N
N
WASHINGTON MUTUAL 2002-AR6
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A
929227QB5
182457.840000
PA
USD
181782.650000
0.0011848
Long
ABS-MBS
CORP
US
N
2
2042-06-25
Floating
3.63948
N
N
N
N
N
N
WASHINGTON MUTUAL 2002-AR9
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A
9393357P4
283402.950000
PA
USD
278214.040000
0.0018133
Long
ABS-MBS
CORP
US
N
2
2042-08-25
Floating
3.63948
N
N
N
N
N
N
WASHINGTON MUTUAL 2003-AR1
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A5
939336PB3
34169.090000
PA
USD
34865.730000
0.0002272
Long
ABS-MBS
CORP
US
N
2
2033-03-25
Floating
4.49347
N
N
N
N
N
N
WASHINGTON MUTUAL 2003-AR9
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 1A6
92922FBV9
767623.070000
PA
USD
783490.760000
0.0051066
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Floating
4.32165
N
N
N
N
N
N
WASHINGTON MUTUAL 2003-AR9
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 2A
92922FBX5
271233.070000
PA
USD
276841.740000
0.0018044
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Floating
4.40005
N
N
N
N
N
N
WASHINGTON MUTUAL 2004-AR3
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR3 A2
92922FNJ3
766180.470000
PA
USD
779613.150000
0.0050813
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
4.49813
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR1
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1B
939336X57
1790503.790000
PA
USD
1782516.890000
0.0116179
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
2.572
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC SR UNSECURED 04/21 4.25
02005NBG4
2400000.000000
PA
USD
2458368.000000
0.0160229
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
4.25
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR13
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1
92922F4M7
704114.490000
PA
USD
695022.820000
0.0045299
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
2.082
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR13
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1B3
92922F4S4
1171129.200000
PA
USD
1160697.950000
0.0075651
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
2.152
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR15
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A1
92922F5T1
74315.450000
PA
USD
72746.750000
0.0004741
Long
ABS-MBS
CORP
US
N
2
2045-11-25
Floating
2.052
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR19
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1
92925CBA9
101997.760000
PA
USD
101635.190000
0.0006624
Long
ABS-MBS
CORP
US
N
2
2045-12-25
Floating
2.062
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR2
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A
92922FD21
86735.220000
PA
USD
85534.150000
0.0005575
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
2.102
N
N
N
N
N
N
WASHINGTON MUTUAL 2006 AR7
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A
93363CAC3
176105.660000
PA
USD
170775.960000
0.0011131
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
2.627
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR10
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 1A1
93363EAA3
280661.640000
PA
USD
272014.680000
0.0017729
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
3.70945
Y
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR10
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 1A2
93363EAB1
5431.930000
PA
USD
5264.580000
0.0000343
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
3.70945
Y
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC SR UNSECURED 05/22 4.625
02005NBC3
200000.000000
PA
USD
210062.400000
0.0013691
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
4.625
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR11
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR11 2A
93363TAB8
285392.230000
PA
USD
292565.220000
0.0019069
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
2.627
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR15
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 2A
93363QAC2
115316.460000
PA
USD
116070.610000
0.0007565
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
2.627
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR16
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1
92925GAA1
187227.280000
PA
USD
179464.720000
0.0011697
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
3.33676
Y
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR17
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A
92925DAA8
523199.490000
PA
USD
494250.230000
0.0032214
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
3.14666
Y
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR17
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A
92925DAB6
1115287.170000
PA
USD
1122719.440000
0.0073175
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
3.13666
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR17
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A
92925DAD2
649731.760000
PA
USD
658417.180000
0.0042914
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
2.627
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR18
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1
933637AA8
300741.030000
PA
USD
289608.890000
0.0018876
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
3.37456
Y
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR19
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 1A
933638AA6
491905.910000
PA
USD
480880.630000
0.0031342
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
2.97948
Y
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR19
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 1A1A
933638AB4
250925.890000
PA
USD
258669.460000
0.0016859
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
2.96948
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR19
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 2A
933638AD0
150796.470000
PA
USD
150828.630000
0.0009831
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
2.377
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR3
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A
92925CDA7
1371940.670000
PA
USD
1401749.370000
0.0091362
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
3.23948
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR9
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 1A
93363DAA5
6420997.380000
PA
USD
6059463.120000
0.0394937
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
3.23948
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR9
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A
93363DAB3
3978653.660000
PA
USD
3890902.070000
0.0253597
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
2.627
N
N
N
N
N
N
WASHINGTON MUTUAL 2007-OA3
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA3 2A1A
93364AAC6
895267.250000
PA
USD
900632.410000
0.0058700
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
2.99948
N
N
N
N
N
N
WASHINGTON MUTUAL ASSET BACKED 2006-HE5
N/A
WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1
93934XAB9
56899.560000
PA
USD
29624.160000
0.0001931
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.852
N
N
N
N
N
N
WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1
N/A
WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 2A2
939335N84
48.570000
PA
USD
48.910000
0.0000003
Long
ABS-MBS
CORP
US
N
2
2031-02-25
Floating
4.395
N
N
N
N
N
N
WASHINGTON MUTUAL MTGE P/T 2006-AR3
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR3 A1A
93934FQP0
333463.180000
PA
USD
291615.890000
0.0019007
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
3.20948
Y
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 01/23 VAR
949746SL6
11800000.000000
PA
USD
11959015.150000
0.0779452
Long
DBT
CORP
US
N
2
2023-01-24
Floating
3.046
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 02/22 VAR
949746SP7
59720000.000000
PA
USD
60138435.940000
0.3919641
Long
DBT
CORP
US
N
2
2022-02-11
Floating
2.83063
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 05/23 VAR
94986RPV7
3000000.000000
PA
USD
3014642.130000
0.0196485
Long
DBT
CORP
US
N
2
2023-05-17
Floating
2.80413
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
WELLS FARGO BANK NA SR UNSECURED 05/22 VAR
94988J5W3
28460000.000000
PA
USD
28588079.110000
0.1863284
Long
DBT
CORP
US
N
2
2022-05-27
Floating
2.53863
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
WELLS FARGO BANK NA SR UNSECURED 09/22 VAR
94988J5Z6
39000000.000000
PA
USD
39220160.070000
0.2556251
Long
DBT
CORP
US
N
2
2022-09-09
Floating
2.545
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2013 LC12 A3FL 144A
94988QBG5
2500000.000000
PA
USD
2515711.500000
0.0163966
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Floating
2.78738
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS5
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2016 NXS5 A6FL 144A
95000CBK8
3500000.000000
PA
USD
3584776.300000
0.0233645
Long
ABS-MBS
CORP
US
N
2
2059-01-15
Floating
3.28738
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2017 HSDB A 144A
95001EAA6
10000000.000000
PA
USD
9979286.000000
0.0650420
Long
ABS-MBS
CORP
US
N
2
2031-12-13
Floating
2.5905
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-BXI
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2018 BXI A 144A
95001PAA1
5026832.750000
PA
USD
5014848.280000
0.0326853
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.47096
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRUST 2011-C4
N/A
WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2011 C4 AFL 144A
92936CAG4
11394879.640000
PA
USD
11480676.250000
0.0748276
Long
ABS-MBS
CORP
US
N
2
2044-06-15
Floating
3.18738
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRUST 2012-C10
N/A
WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2012 C10 AFL 144A
92890NAZ2
20883748.180000
PA
USD
20997393.360000
0.1368546
Long
ABS-MBS
CORP
US
N
2
2045-12-15
Floating
2.52738
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRUST 2012-C6
N/A
WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2012 C6 A4
92936QAG3
2200000.000000
PA
USD
2236989.920000
0.0145800
Long
ABS-MBS
CORP
US
N
2
2045-04-15
Fixed
3.44
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRUST 2012-C7
N/A
WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2012 C7 AFL 144A
92936TAH5
22535000.000000
PA
USD
22727228.060000
0.1481292
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Floating
2.93738
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRUST 2014-C21
N/A
WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C21 ASBF 144A
92939FBE8
19377261.140000
PA
USD
19417354.630000
0.1265564
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Floating
2.29738
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRUST 2014-C25
N/A
WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2014 C25 ASB
92939LAF3
15524737.560000
PA
USD
15933910.650000
0.1038524
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Fixed
3.369
N
N
N
N
N
N
WGL HOLDINGS INC
549300FMXG4FL88R7K50
WGL HOLDINGS INC SR UNSECURED 03/20 VAR
92924FAD8
17882000.000000
PA
USD
17874736.510000
0.1165021
Long
DBT
CORP
US
N
2
2020-03-12
Floating
2.43725
N
N
N
N
N
N
WHITEHORSE X LTD 2015-10A
N/A
WHITEHORSE LTD WITEH 2015 10A A1R 144A
96525WAN3
9766526.040000
PA
USD
9762203.670000
0.0636271
Long
ABS-CBDO
CORP
KY
N
2
2027-04-17
Floating
2.93213
N
N
N
N
N
N
WIND RIVER CLO LTD 2012-1A
N/A
WIND RIVER CLO LTD WINDR 2012 1A AR2 144A
87244ABL3
14355543.580000
PA
USD
14362490.660000
0.0936104
Long
ABS-CBDO
CORP
KY
N
2
2026-01-15
Floating
2.88088
N
N
N
N
N
N
WOODSIDE FINANCE LIMITED
254900AIZKU6TGRRNZ98
WOODSIDE FINANCE LTD COMPANY GUAR 144A 05/21 4.6
980236AL7
41706000.000000
PA
USD
42696157.580000
0.2782806
Long
DBT
CORP
AU
N
2
2021-05-10
Fixed
4.6
N
N
N
N
N
N
WOOLWORTHS GROUP LTD (AKA WOOLWORTHS LIMITED)
QNWEWQBS7HP85QHXQL92
WOOLWORTHS GROUP LTD COMPANY GUAR 144A 04/21 4.55
980888AF8
751000.000000
PA
USD
771203.960000
0.0050265
Long
DBT
CORP
AU
N
2
2021-04-12
Fixed
4.55
N
N
N
N
N
N
WOOLWORTHS GROUP LTD (AKA WOOLWORTHS LIMITED)
QNWEWQBS7HP85QHXQL92
WOOLWORTHS GROUP LTD COMPANY GUAR 144A 09/20 4
980888AD3
14550000.000000
PA
USD
14727467.660000
0.0959892
Long
DBT
CORP
AU
N
2
2020-09-22
Fixed
4
N
N
N
N
N
N
ZEPHYRUS CAPITAL AVIATION PARTNERS LTD 2018-1
N/A
ZEPHYRUS CAPITAL AVIATION PART TERM LOAN
933QMTII0
15204351.000000
PA
USD
15259892.490000
0.0994594
Long
ABS-O
CORP
US
N
2
2038-10-15
Fixed
4.605
N
N
N
N
N
N
ZF NORTH AMERICA CAPITAL INC
529900JYGMS9CW9IQX78
ZF NA CAPITAL COMPANY GUAR 144A 04/20 4
98877DAA3
37060000.000000
PA
USD
37238254.520000
0.2427076
Long
DBT
CORP
US
N
2
2020-04-29
Fixed
4
N
N
N
N
N
N
ZF NORTH AMERICA CAPITAL INC
529900JYGMS9CW9IQX78
ZF NA CAPITAL COMPANY GUAR 144A 04/22 4.5
98877DAB1
950000.000000
PA
USD
979281.560000
0.0063827
Long
DBT
CORP
US
N
2
2022-04-29
Fixed
4.5
N
N
N
N
N
N
ZF NORTH AMERICA CAPITAL INC
529900JYGMS9CW9IQX78
ZF NA CAPITAL COMPANY GUAR REGS 04/20 4
U98737AA4
1028000.000000
PA
USD
1032944.570000
0.0067324
Long
DBT
CORP
US
N
2
2020-04-29
Fixed
4
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS INC
2P2YLDVPES3BXQ1FRB91
ZIMMER BIOMET HOLDINGS SR UNSECURED 03/21 VAR
98956PAP7
21320000.000000
PA
USD
21322231.990000
0.1389718
Long
DBT
CORP
US
N
2
2021-03-19
Floating
2.6525
N
N
N
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
ZOETIS INC SR UNSECURED 08/21 VAR
98978VAR4
21700000.000000
PA
USD
21724968.670000
0.1415968
Long
DBT
CORP
US
N
2
2021-08-20
Floating
2.3385
N
N
N
N
N
N
N/A
N/A
CIBC WORLD MARKETS CORP REVERSE REPO
000000000
-177981000.000000
PA
USD
-178531554.550000
-1.1636145
Short
RA
US
N
2
Reverse repurchase
N
1.9200000
2021-11-04
185000000.000000
USD
186774392.100000
USD
CDS
N
N
N
N/A
N/A
CIBC WORLD MARKETS CORP REVERSE REPO
000000000
-23930000.000000
PA
USD
-23987432.000000
-0.1563428
Short
RA
US
N
2
Reverse repurchase
N
1.9200000
2021-11-17
25000000.000000
USD
25164913.750000
USD
CDS
N
N
N
N/A
N/A
CIBC WORLD MARKETS CORP REVERSE REPO
000000000
-43281000.000000
PA
USD
-43300494.240000
-0.2822195
Short
RA
US
N
2
Reverse repurchase
N
1.9200000
2021-12-23
44900000.000000
USD
45486177.130000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CIBC
000000000
-193682000.000000
PA
USD
-194322441.810000
-1.2665347
Short
RA
US
N
2
Reverse repurchase
N
1.9200000
2021-10-31
200000000.000000
USD
203348191.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CIBC
000000000
-48585000.000000
PA
USD
-48717151.200000
-0.3175236
Short
RA
US
N
2
Reverse repurchase
N
1.9200000
2021-11-11
50000000.000000
USD
50900263.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CIBC
000000000
-47860000.000000
PA
USD
-47972311.470000
-0.3126690
Short
RA
US
N
2
Reverse repurchase
N
1.9200000
2021-11-17
50000000.000000
USD
50329827.500000
USD
CDS
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC COMPANY GUAR 02/22 3.49
02209SBA0
15000000.000000
PA
USD
15434529.900000
0.1005976
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.49
N
N
N
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-346283000.000000
PA
USD
-346854847.890000
-2.2606947
Short
RA
US
N
2
Reverse repurchase
N
2.0500000
2020-01-06
360880000.000000
USD
363147173.910000
USD
CDS
N
N
N
AMBAC LSNI LLC
N/A
AMBAC LSNI LLC SR SECURED 144A 02/23 VAR
02315QAA6
2046.170000
PA
USD
2076.850000
0.0000135
Long
DBT
CORP
KY
N
2
2023-02-12
Floating
6.94463
N
N
N
N
N
N
N/A
N/A
REVERSE REPO FIRST BOSTON REVERSE REPO
000000000
-296438000.000000
PA
USD
-296862894.470000
-1.9348623
Short
RA
US
N
2
Reverse repurchase
N
2.1500000
2021-12-06
309417000.000000
USD
310960128.160000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO TORONTO DOMINIO
000000000
-58243000.000000
PA
USD
-58277622.230000
-0.3798359
Short
RA
US
N
2
Reverse repurchase
N
2.1400000
2020-01-06
60025000.000000
USD
60550096.900000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-85978000.000000
PA
USD
-86126073.210000
-0.5613436
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2020-01-03
89850000.000000
USD
90526933.350000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO/REGIONS BANK
000000000
-32629000.000000
PA
USD
-32658094.190000
-0.2128556
Short
RA
US
N
2
Reverse repurchase
N
2.1400000
2020-01-02
34000000.000000
USD
34468885.160000
USD
CDS
N
N
N
N/A
213800J6B7JSBDETCB42
AUST 10Y BOND FUT MAR20 XSFE 20200316
000000000
5977.000000
NC
-7249097.960000
-0.0472474
N/A
DIR
AU
N
1
ASX - SYDNEY FUTURES EXCHANGE LIMITED
N/A
Long
N/A
AUSTRALIA GOVT
2020-03-16
599617828.930000
AUD
-7249097.960000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-109615.600000
-0.0007144
N/A
DFE
MX
N
2
Banco Santander, S.A.
5493006QMFDDMYWIAM13
85900000.000000
MXN
4415476.270000
USD
2020-01-30
-109615.600000
N
N
N
N/A
N/A
SOLD AUD/BOUGHT USD
000000000
1.000000
NC
-11193164.380000
-0.0729536
N/A
DFE
AU
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
488614757.000000
AUD
331755738.790000
USD
2020-01-10
-11193164.380000
N
N
N
N/A
N/A
SOLD CZK/BOUGHT USD
000000000
1.000000
NC
-26436.010000
-0.0001723
N/A
DFE
CZ
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
66000000.000000
CZK
2884958.350000
USD
2020-01-10
-26436.010000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-1409121.420000
-0.0091842
N/A
DFE
MX
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1664716000.000000
MXN
86312517.580000
USD
2020-01-28
-1409121.420000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-78192.770000
-0.0005096
N/A
DFE
MX
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
61400000.000000
MXN
3169195.830000
USD
2020-01-02
-78192.770000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
USD
1873753.640000
0.0122126
N/A
DFE
N/A
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
170458713.970000
USD
153568000.000000
EUR
2020-01-10
1873753.640000
N
N
N
AMERICAN HOME MORTGAGE ASSETS 2006-1
N/A
AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1
02660WAC0
1297548.600000
PA
USD
1181631.580000
0.0077015
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
1.982
Y
N
N
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
-94937.230000
-0.0006188
N/A
DFE
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2989000.000000
GBP
3865098.620000
USD
2020-01-10
-94937.230000
N
N
N
AMERICAN HOME MORTGAGE ASSETS 2006-2
N/A
AMERICAN HOME MORTGAGE ASSETS AHMA 2006 2 2A1
02660XAD6
507596.140000
PA
USD
483424.920000
0.0031508
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
1.982
Y
N
N
N
N
N
AMERICAN HOME MTGE INV TRUST 2004-3
N/A
AMERICAN HOME MORTGAGE INVESTM AHM 2004 3 5A
02660TBP7
14637.650000
PA
USD
14653.570000
0.0000955
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
3.54325
N
N
N
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
25227.880000
0.0001644
N/A
DFE
JP
N
2
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P85
1009000000.000000
JPY
9315852.650000
USD
2020-01-15
25227.880000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-3255887.270000
-0.0212209
N/A
DFE
MX
N
2
BNP Paribas S.A.
R0MUWSFPU8MPRO8K5P85
1780916779.900000
MXN
90166962.380000
USD
2020-02-27
-3255887.270000
N
N
N
AMERICAN HOME MTGE INV TRUST 2005-2
N/A
AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 4A1
02660TEQ2
112786.900000
PA
USD
114288.500000
0.0007449
Long
ABS-MBS
CORP
US
N
2
2045-09-25
Floating
3.40688
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP TERM LOAN
934NVQII2
30000000.000000
PA
USD
30003806.700000
0.1955557
Long
LON
CORP
US
N
3
2021-03-29
Floating
2.8105
N
N
N
N
N
N
N/A
4BFD7AQU0A75QLAHK410
CAN 10YR BOND FUT MAR20 XMOD 20200320
000000000
3971.000000
NC
-8458475.570000
-0.0551298
N/A
DIR
CA
N
1
THE MONTREAL EXCHANGE / BOURSE DE MONTREAL
N/A
Long
N/A
CANADA GOVT
2020-03-20
420417450.230000
CAD
-8458475.570000
N
N
N
N/A
N/A
CDX HY33 5Y ICE
000000000
1.000000
NC
USD
-55979247.760000
-0.3648558
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.NA.HY.33
Y
Single Leg Swap
2024-12-21
0.000000
USD
-38793377.700000
USD
570240000.000000
USD
-17185870.060000
N
N
N
N/A
N/A
CDX IG31 5Y ICE
000000000
1.000000
NC
USD
-15941821.370000
-0.1039040
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
CDX.NA.IG.31
N/A
N/A
Y
Single Leg Swap
2023-12-21
0.000000
USD
-11349315.070000
USD
622100000.000000
USD
-4592506.300000
N
N
N
N/A
N/A
CDX IG32 5Y ICE
000000000
1.000000
NC
USD
-4392121.290000
-0.0286265
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
CDX.NA.IG.32
N/A
N/A
Y
Single Leg Swap
2024-06-21
0.000000
USD
-3113593.640000
USD
166200000.000000
USD
-1278527.650000
N
N
N
N/A
N/A
3175DL007 CDX.O P 0.725 IG33 FEB20 0.725 PUT
000000000
-96600000.000000
NC
USD
-15631.810000
-0.0001019
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
Put
Written
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
N/A
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.730000
USD
2020-02-19
XXXX
51988.190000
N
N
N
N/A
N/A
3175FC633 CDX.O C 0.475 IG33 FEB20 0.475 CALL
000000000
-84900000.000000
NC
USD
-138250.310000
-0.0009011
N/A
DCR
US
N
2
BNP PARIBAS S.A
R0MUWSFPU8MPRO8K5P84
Call
Written
BNP PARIBAS S.A
R0MUWSFPU8MPRO8K5P84
N/A
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.480000
USD
2020-02-19
XXXX
-95800.310000
N
N
N
N/A
N/A
3175FC849 CDX.O C 0.475 IG33 FEB20 0.475 CALL
000000000
-96600000.000000
NC
USD
-157302.470000
-0.0010252
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
Call
Written
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
N/A
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.480000
USD
2020-02-19
XXXX
-113832.470000
N
N
N
N/A
N/A
3175FL906 CDX.O P 0.90 IG33 JAN20 0.9 PUT
000000000
-150700000.000000
NC
USD
-1847.580000
-0.0000120
N/A
DCR
US
N
2
BNP PARIBAS S.A
R0MUWSFPU8MPRO8K5P84
Put
Written
BNP PARIBAS S.A
R0MUWSFPU8MPRO8K5P84
N/A
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.900000
USD
2020-01-15
XXXX
195946.170000
N
N
N
N/A
N/A
3175JD215 CDX.O P 1.20 IG33 5Y JAN20 1.2 PUT
000000000
-273800000.000000
NC
USD
-407.960000
-0.0000027
N/A
DCR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.200000
USD
2020-01-15
XXXX
136492.040000
N
N
N
N/A
N/A
3175JD553 CDX.O P 0.90 IG33 JAN20 0.9 PUT
000000000
-66400000.000000
NC
USD
-814.060000
-0.0000053
N/A
DCR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.900000
USD
2020-01-15
XXXX
86335.940000
N
N
N
N/A
N/A
3175JD934 CDX.O P 0.80 IG33 FEB20 0.8 PUT
000000000
-84900000.000000
NC
USD
-10635.420000
-0.0000693
N/A
DCR
US
N
2
BNP PARIBAS S.A
R0MUWSFPU8MPRO8K5P84
Put
Written
BNP PARIBAS S.A
R0MUWSFPU8MPRO8K5P84
N/A
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.800000
USD
2020-02-19
XXXX
36059.580000
N
N
N
N/A
N/A
3175JF103 CDX.O C 0.475 IG33 JAN20 0.475 CALL
000000000
-723000000.000000
NC
USD
-925150.800000
-0.0060299
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
Call
Written
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
N/A
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.480000
USD
2020-01-15
XXXX
-484120.800000
N
N
N
N/A
N/A
3175SF780 CDX.O P 0.90 IG33 5Y JAN20 0.9 PUT
000000000
-91200000.000000
NC
USD
-1118.110000
-0.0000073
N/A
DCR
US
N
2
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
Put
Written
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
N/A
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.900000
USD
2020-01-15
XXXX
100113.890000
N
N
N
N/A
N/A
3175SF830 CDX.O P 1.00 IG33 5Y JAN20 1 PUT
000000000
-181300000.000000
NC
USD
-917.380000
-0.0000060
N/A
DCR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
1.000000
USD
2020-01-15
XXXX
152507.620000
N
N
N
N/A
N/A
3175SF962 CDX.O C 0.475 IG33 JAN20 0.475 CALL
000000000
-735400000.000000
NC
USD
-941017.840000
-0.0061333
N/A
DCR
US
N
2
Deutsche Bank Securities Inc.
9J6MBOOO7BECTDTUZW19
Call
Written
Deutsche Bank Securities Inc.
9J6MBOOO7BECTDTUZW19
N/A
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.480000
USD
2020-01-15
XXXX
-619280.340000
N
N
N
N/A
N/A
3175ZA882 CDX.O C 0.45 IG33 JAN20 0.45 CALL
000000000
-695500000.000000
NC
USD
-352910.610000
-0.0023002
N/A
DCR
US
N
2
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
Call
Written
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
N/A
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
000000000
0.000000
NC
USD
0.000000
0.000000
DCR
US
N/A
SWOP CDX IG33 (V1 ONLY) 5Y SP
Single Leg Swap
2024-12-20
0.000000
USD
0.000000
USD
N/A
USD
N/A
0.450000
USD
2020-01-15
XXXX
-222504.360000
N
N
N
N/A
N/A
BOUGHT AUD/SOLD USD
000000000
1.000000
NC
USD
133377.740000
0.0008693
N/A
DFE
AU
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
4855584.970000
USD
7108000.000000
AUD
2020-01-10
133377.740000
N
N
N
N/A
N/A
BOUGHT JPY/SOLD USD
000000000
1.000000
NC
USD
-222303.240000
-0.0014489
N/A
DFE
JP
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
367740759.440000
USD
39925614252.000000
JPY
2020-01-10
-222303.240000
N
N
N
AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)
5493006ORUSIL88JOE18
AMERICAN TOWER CORP SR UNSECURED 01/22 2.25
03027XAL4
13118000.000000
PA
USD
13159565.430000
0.0857701
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
2.25
N
N
N
N
N
N
N/A
N/A
BOUGHT MXN/SOLD USD
000000000
1.000000
NC
USD
235722.430000
0.0015364
N/A
DFE
MX
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
12123196.890000
USD
235070000.000000
MXN
2020-02-12
235722.430000
N
N
N
N/A
N/A
SOLD AUD/BOUGHT USD
000000000
1.000000
NC
-182379.940000
-0.0011887
N/A
DFE
AU
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
9875000.000000
AUD
6748684.610000
USD
2020-01-10
-182379.940000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
-63724.540000
-0.0004153
N/A
DFE
CA
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
5703000.000000
CAD
4328352.810000
USD
2020-01-10
-63724.540000
N
N
N
AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)
5493006ORUSIL88JOE18
AMERICAN TOWER CORP SR UNSECURED 05/24 3.375
03027XAT7
9500000.000000
PA
USD
9864612.570000
0.0642946
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.375
N
N
N
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-1572485.880000
-0.0102490
N/A
DFE
MX
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
1536608000.000000
MXN
79398545.970000
USD
2020-01-28
-1572485.880000
N
N
N
N/A
N/A
BOUGHT AUD/SOLD USD
000000000
1.000000
NC
USD
116142.310000
0.0007570
N/A
DFE
AU
N
2
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK
1VUV7VQFKUOQSJ21A208
4818073.770000
USD
7030000.000000
AUD
2020-01-10
116142.310000
N
N
N
N/A
N/A
90DAY EUR FUTR DEC20 XCME 20201214
000000000
-39969.000000
NC
USD
1498087.430000
0.0097641
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
N/A
EUOD
2020-12-14
-9830375550.000000
USD
1498087.430000
N
N
N
N/A
N/A
BOUGHT MXN/SOLD USD
000000000
1.000000
NC
USD
5641.610000
0.0000368
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1352751.200000
USD
25837000.000000
MXN
2020-02-12
5641.610000
N
N
N
AMORTIZING RESIDENTIAL COLL TR 2002-BC6
N/A
AMORTIZING RESIDENTIAL COLLATE ARC 2002 BC6 A2
86358R5Y9
252861.310000
PA
USD
249906.980000
0.0016288
Long
ABS-MBS
CORP
US
N
2
2032-08-25
Floating
2.492
N
N
N
N
N
N
AMORTIZING RESIDENTIAL COLLAT 2001-BC6
N/A
AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A
86358RMY0
201690.750000
PA
USD
200046.140000
0.0013038
Long
ABS-MBS
CORP
US
N
2
2031-10-25
Floating
2.492
N
N
N
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-16752.690000
-0.0001092
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
10094000.000000
MXN
515147.180000
USD
2020-01-28
-16752.690000
N
N
N
AMRESCO RES SEC 1999-1
N/A
AMRESCO RESIDENTIAL SECURITIES AMRES 1999 1 A
03215PFN4
88063.830000
PA
USD
86177.220000
0.0005617
Long
ABS-MBS
CORP
US
N
2
2029-06-25
Floating
2.732
N
N
N
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-77579.770000
-0.0005056
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
61400000.000000
MXN
3153456.220000
USD
2020-02-06
-77579.770000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-174370.040000
-0.0011365
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
170184000.000000
MXN
8819286.100000
USD
2020-01-09
-174370.040000
N
N
N
N/A
N/A
BOUGHT AUD/SOLD USD
000000000
1.000000
NC
USD
57509.330000
0.0003748
N/A
DFE
AU
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
1726669.510000
USD
2542000.000000
AUD
2020-01-10
57509.330000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
USD
16382.060000
0.0001068
N/A
DFE
GB
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
1015691.520000
USD
779000.000000
GBP
2020-01-10
16382.060000
N
N
N
N/A
N/A
SOLD AUD/BOUGHT USD
000000000
1.000000
NC
-175668.350000
-0.0011450
N/A
DFE
AU
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
13568000.000000
AUD
9347438.870000
USD
2020-01-10
-175668.350000
N
N
N
N/A
N/A
SOLD AUD/BOUGHT USD
000000000
1.000000
NC
-95132.300000
-0.0006200
N/A
DFE
AU
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
8088000.000000
AUD
5581672.770000
USD
2020-01-10
-95132.300000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
-65707.720000
-0.0004283
N/A
DFE
CA
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
6460000.000000
CAD
4909361.480000
USD
2020-01-10
-65707.720000
N
N
N
N/A
N/A
SOLD CZK/BOUGHT USD
000000000
1.000000
NC
-27150.850000
-0.0001770
N/A
DFE
CZ
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
66000000.000000
CZK
2884243.510000
USD
2020-01-10
-27150.850000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
-5233527.210000
-0.0341105
N/A
DFE
GB
N
2
HSBC Bank PLC and HSBC Bank USA National Association
MP6I5ZYZBEU3UXPYFY54
154175287.500000
GBP
199028655.930000
USD
2020-01-10
-5233527.210000
N
N
N
ANHEUSER-BUSCH NORTH AMERICAN HOLDING CORPORATION
Z1HY0QHE7OHDWMBJLJ68
ANHEUSER BUSCH NORTH AME COMPANY GUAR 144A 01/22 3.75
78573AAA8
12985000.000000
PA
USD
13348620.120000
0.0870023
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.75
N
N
N
N
N
N
AOZORA BANK LTD
X0XUGKC9FD2CYUQNC010
AOZORA BANK SR UNSECURED REGS 03/20 2.75
ACI0SVM51
23380000.000000
PA
USD
23397666.400000
0.1524989
Long
DBT
CORP
JP
N
2
2020-03-09
Fixed
2.75
N
N
N
N
N
N
AOZORA BANK LTD
X0XUGKC9FD2CYUQNC010
AOZORA BANK SR UNSECURED REGS 09/21 3.81
ACI14SZP4
5610000.000000
PA
USD
5726952.510000
0.0373265
Long
DBT
CORP
JP
N
2
2021-09-07
Fixed
3.81
N
N
N
N
N
N
AP MOLLER - MAERSK A/S
549300D2K6PKKKXVNN73
AP MOLLER MAERSK A/S SR UNSECURED REGS 03/21 VAR
BF13W2II1
7000000.000000
PA
USD
7082404.770000
0.0461610
Long
DBT
CORP
DK
N
2
2021-03-16
Floating
3.99363
N
N
N
N
N
N
APIDOS CLO XVI 2013-16A
N/A
APIDOS CLO APID 2013 16A A1R 144A
03764UAN3
202208.350000
PA
USD
202271.220000
0.0013183
Long
ABS-CBDO
CORP
KY
N
2
2025-01-19
Floating
2.94588
N
N
N
N
N
N
APOLLO AVIATION SECURITIZATION EQUITY TRUST 2018-1A
N/A
AASET 2018 1 TRUST AASET 2018 1A A 144A
000367AA0
14974987.380000
PA
USD
15019558.930000
0.0978929
Long
ABS-O
CORP
US
N
2
2038-01-16
Fixed
3.844
N
N
N
N
N
N
ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2019-FL1
N/A
ARBOR REALTY COLLATERALIZED LO ARCLO 2019 FL1 A 144A
03879YAA5
19500000.000000
PA
USD
19509746.100000
0.1271586
Long
ABS-CBDO
CORP
KY
N
2
2037-05-15
Floating
2.88975
N
N
N
N
N
N
N/A
N/A
BOUGHT CZK/SOLD USD
000000000
1.000000
NC
USD
1703.880000
0.0000111
N/A
DFE
CZ
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
114309.950000
USD
2630000.000000
CZK
2020-01-17
1703.880000
N
N
N
ARBOUR CLO IV DAC 4A
N/A
ARBOUR CLO ARBR 4A A2R 144A
ACI1C2187
6500000.000000
PA
7296068.020000
0.0475536
Long
ABS-CBDO
CORP
IE
N
2
2030-01-15
Floating
0.87
N
N
N
N
N
N
N/A
N/A
SOLD CZK/BOUGHT USD
000000000
1.000000
NC
-1713.810000
-0.0000112
N/A
DFE
CZ
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
2634000.000000
CZK
114476.470000
USD
2020-01-17
-1713.810000
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
USD
31481.570000
0.0002052
N/A
DFE
CA
N
2
JP Morgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
2814165.600000
USD
3695000.000000
CAD
2020-01-10
31481.570000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
-17.890000
-0.0000001
N/A
DFE
JP
N
2
MORGAN STANLEY AND CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
300000.000000
JPY
2743.630000
USD
2020-01-10
-17.890000
N
N
N
AREIT TRUST 2018-CRE2
N/A
AREIT CRE TRUST AREIT 2018 CRE2 A 144A
04002QAA0
18141506.970000
PA
USD
18169327.880000
0.1184222
Long
ABS-MBS
CORP
US
N
2
2035-11-14
Floating
2.71975
N
N
N
N
N
N
AREIT TRUST 2019-CRE3
N/A
AREIT CRE TRUST AREIT 2019 CRE3 A 144A
00217LAA0
27400000.000000
PA
USD
27402733.150000
0.1786027
Long
ABS-MBS
CORP
US
N
2
2036-09-14
Floating
2.75975
N
N
N
N
N
N
ARGENT SECURITIES INC 2003-W1
N/A
ARGENT SECURITIES INC. ARSI 2003 W1 M5
040104AG6
2400000.000000
PA
USD
2390021.760000
0.0155774
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Floating
4.20229
N
N
N
N
N
N
2020-02-10
PIMCO Funds
/s/ Jason Nagler
Jason Nagler
Assistant Treasurer
XXXX