NPORT-P false 0000810893 XXXXXXXX S000009703 C000026627 C000026625 C000200448 C000026624 C000026623 C000064151 C000026629 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO Short-Term Fund S000009703 STEUGJL6LZNTJZNDUF35 2021-03-31 2020-09-30 N 14558869226.850000 722380049.250000 13836489177.600000 0.000000 0.000000 580631324.780000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 151955727.330000 AUD CAD EUR GBP USD N ARGENT SECURITIES INC 2003-W1 N/A 040104AG6 1976849.390000 PA USD 1968408.050000 0.0142262 Long ABS-MBS CORP US N 2 2033-12-25 Floating 5.77313 N N N N N N ARGENT SECURITIES INC 2003-W8 N/A 040104DQ1 129825.410000 PA USD 127264.280000 0.0009198 Long ABS-MBS CORP US N 2 2033-12-25 Floating 1.19813 N N N N N N N/A N/A 000000000 1.000000 NC 195790.720000 0.0014150 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 14306623.400000 USD 20247705.000000 AUD 2020-10-02 195790.720000 N N N N/A N/A 000000000 1.000000 NC 664.700000 0.0000048 N/A DFE GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1044518.170000 USD 810000.000000 GBP 2020-10-02 664.700000 N N N N/A N/A 000000000 1.000000 NC 251284.210000 0.0018161 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 46947190.800000 USD 4977787167.000000 JPY 2020-10-02 251284.210000 N N N N/A N/A 000000000 1.000000 NC 86336.870000 0.0006240 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 14817766.380000 USD 1571861249.000000 JPY 2020-10-02 86336.870000 N N N N/A N/A 000000000 1.000000 NC 141522.100000 0.0010228 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 42598572.000000 AUD 30652739.650000 USD 2020-10-02 141522.100000 N N N N/A N/A 000000000 1.000000 NC -195750.230000 -0.0014147 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 20247705.000000 AUD 14307716.770000 USD 2020-11-03 -195750.230000 N N N N/A N/A 000000000 1.000000 NC 422194.770000 0.0030513 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 59656190.000000 CAD 45224404.240000 USD 2020-10-02 422194.770000 N N N N/A N/A 000000000 1.000000 NC -1681564.800000 -0.0121531 N/A DFE AU N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 71522363.960000 USD 97509000.000000 AUD 2020-10-02 -1681564.800000 N N N N/A N/A 000000000 1.000000 NC 33797.630000 0.0002443 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1892914.260000 USD 2690000.000000 AUD 2020-10-02 33797.630000 N N N N/A N/A 000000000 1.000000 NC 185107.570000 0.0013378 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 18003708.050000 USD 25394515.000000 AUD 2020-10-02 185107.570000 N N N N/A N/A 000000000 1.000000 NC -185209.140000 -0.0013386 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 25394515.000000 AUD 18004926.990000 USD 2020-11-03 -185209.140000 N N N N/A N/A 000000000 1.000000 NC 408296.300000 0.0029509 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 66128167.350000 USD 88596343.000000 CAD 2020-10-02 408296.300000 N N N N/A N/A 000000000 1.000000 NC -407472.400000 -0.0029449 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 88596343.000000 CAD 66135463.260000 USD 2020-11-03 -407472.400000 N N N N/A N/A 000000000 1.000000 NC USD 83534.510000 0.0006037 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-01-13 0.000000 USD 0.000000 USD 807200000.000000 USD 83534.510000 N N N N/A N/A 000000000 1.000000 NC USD 60823.160000 0.0004396 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-01-13 0.000000 USD 0.000000 USD 618000000.000000 USD 60823.160000 N N N ARKANSAS STUDENT LOAN AUTHORITY 2010-1 N/A 041150DJ9 2391773.400000 PA USD 2375294.080000 0.0171669 Long ABS-O MUN US N 2 2043-11-25 Floating 1.15 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 6705034.960000 PA USD 6414385.780000 0.0463585 Long ABS-MBS CORP US N 2 2035-04-15 Floating 1.05238 N N N N N N ASSET BACKED FUNDING CERT 2003-WMC1 N/A 04542BEA6 1169607.980000 PA USD 1163376.540000 0.0084080 Long ABS-MBS CORP US N 2 2033-06-25 Floating 1.12313 N N N N N N ASSET BACKED FUNDING CERTS 2004-OPT5 N/A 04542BJY9 358340.790000 PA USD 349293.830000 0.0025244 Long ABS-MBS CORP US N 2 2034-06-25 Floating 0.84813 N N N N N N ASSET BACKED SEC HOME EQTY LN 2006-HE5 N/A 04544PAE9 1150000.000000 PA USD 1095685.390000 0.0079188 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.38813 N N N N N N ASSET BACKED SEC HOME EQTY LN 2007-HE2 N/A 04544TAB7 22755.340000 PA USD 18721.160000 0.0001353 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.22813 N N N N N N ASSURANT INC H3F39CAXWQRVWURFXL38 04621XAL2 8230000.000000 PA USD 8227551.580000 0.0594627 Long DBT CORP US N 2 2021-03-26 Floating 1.48325 N N N N N N N/A N/A 000000000 1.000000 NC USD 5544867.870000 0.0400742 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2030-08-20 0.000000 USD -223126.810000 USD 890200000.000000 USD 5767994.680000 N N N ASTRAZENECA PLC PY6ZZQWO2IZFZC3IOL08 04635PL31 13000000.000000 PA USD 12995629.140000 0.0939229 Long DBT CORP GB N 2 2020-11-03 None 0 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RFY3 52326000.000000 PA USD 52797336.910000 0.3815804 Long DBT CORP US N 2 2023-02-15 Floating 1.15475 N N N N N N N/A N/A 000000000 1.000000 NC 292083.760000 0.0021110 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 56568935.080000 USD 5996847352.000000 JPY 2020-10-02 292083.760000 N N N N/A N/A 000000000 1.000000 NC 42845.590000 0.0003097 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 4930092.000000 AUD 3574022.870000 USD 2020-10-02 42845.590000 N N N N/A N/A 000000000 1.000000 NC 750098.340000 0.0054212 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 55575130.000000 CAD 42487403.650000 USD 2020-10-02 750098.340000 N N N N/A N/A 000000000 1.000000 NC 810062.330000 0.0058545 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 48319326.760000 USD 68592537.000000 AUD 2020-10-02 810062.330000 N N N N/A N/A 000000000 1.000000 NC 654345.480000 0.0047291 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 86133982.000000 USD 9153130958.000000 JPY 2020-10-02 654345.480000 N N N N/A N/A 000000000 1.000000 NC 494927.820000 0.0035770 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 109588793.000000 AUD 78987875.980000 USD 2020-10-02 494927.820000 N N N N/A N/A 000000000 1.000000 NC 445801.600000 0.0032219 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 46577270.000000 AUD 33806760.690000 USD 2020-10-02 445801.600000 N N N N/A N/A 000000000 1.000000 NC -810062.310000 -0.0058545 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 68592537.000000 AUD 48322893.580000 USD 2020-11-03 -810062.310000 N N N N/A N/A 000000000 -50400000.000000 NC USD -1789.200000 -0.0000129 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 105.320000 USD 2020-10-07 XXXX 69085.800000 N N N N/A N/A 000000000 -54000000.000000 NC USD -49879.800000 -0.0003605 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.950000 USD 2020-11-05 XXXX 167385.830000 N N N N/A N/A 000000000 -30000000.000000 NC USD -35895.000000 -0.0002594 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 102.380000 USD 2020-11-05 XXXX 95355.000000 N N N N/A N/A 000000000 -26900000.000000 NC USD -1269.680000 -0.0000092 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.980000 USD 2020-10-07 XXXX 86995.950000 N N N N/A N/A 000000000 -55000000.000000 NC USD -54092.500000 -0.0003909 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 102.060000 USD 2020-11-05 XXXX 255282.500000 N N N N/A N/A 000000000 -53000000.000000 NC USD -1876.200000 -0.0000136 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 103.600000 USD 2020-10-07 XXXX 122342.550000 N N N N/A N/A 000000000 -53000000.000000 NC USD -1176.600000 -0.0000085 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.600000 USD 2020-10-07 XXXX 189292.150000 N N N N/A N/A 000000000 -50100000.000000 NC USD -3491.970000 -0.0000252 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 102.190000 USD 2020-10-07 XXXX 156984.590000 N N N N/A N/A 000000000 -28800000.000000 NC USD -25983.360000 -0.0001878 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 103.920000 USD 2020-11-05 XXXX 32516.640000 N N N N/A N/A 000000000 -13700000.000000 NC USD -23777.720000 -0.0001718 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% DEC 30YR N/A 104.090000 USD 2020-12-07 XXXX 1909.780000 N N N N/A N/A 000000000 -26800000.000000 NC USD -541.360000 -0.0000039 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.550000 USD 2020-10-07 XXXX 120896.140000 N N N N/A N/A 000000000 -22200000.000000 NC USD -201593.760000 -0.0014570 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 102.440000 USD 2020-11-05 XXXX -38562.510000 N N N N/A N/A 000000000 -62300000.000000 NC USD -3974.740000 -0.0000287 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 102.140000 USD 2020-10-07 XXXX 190712.760000 N N N N/A N/A 000000000 -55000000.000000 NC USD -209753.500000 -0.0015159 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 103.060000 USD 2020-11-05 XXXX 48059.000000 N N N N/A N/A 000000000 -40600000.000000 NC USD -645.540000 -0.0000047 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.440000 USD 2020-10-07 XXXX 170635.710000 N N N N/A N/A 000000000 -30000000.000000 NC USD -62052.000000 -0.0004485 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 103.380000 USD 2020-11-05 XXXX 22323.000000 N N N N/A N/A 000000000 -13700000.000000 NC USD -58997.680000 -0.0004264 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% DEC 30YR N/A 102.090000 USD 2020-12-07 XXXX -7622.680000 N N N N/A N/A 000000000 -30700000.000000 NC USD -1363.080000 -0.0000099 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.950000 USD 2020-10-07 XXXX 99371.300000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A2B6 2650000.000000 PA USD 2752120.480000 0.0198903 Long DBT CORP US N 2 2022-01-25 Fixed 4 N N N N N N N/A N/A 000000000 -54900000.000000 NC USD -3107.340000 -0.0000225 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 102.080000 USD 2020-10-07 XXXX 177033.290000 N N N N/A N/A 000000000 -46000000.000000 NC USD -3914.600000 -0.0000283 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 102.290000 USD 2020-10-07 XXXX 139835.400000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A2F7 136939000.000000 PA USD 138032174.450000 0.9975954 Long DBT CORP US N 2 2022-07-01 Floating 1.464 N N N N N N N/A N/A 000000000 -13500000.000000 NC USD -0.140000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 103.970000 USD 2020-10-07 XXXX 26367.050000 N N N N/A N/A 000000000 -11300000.000000 NC USD -1274.640000 -0.0000092 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 104.480000 USD 2020-10-07 XXXX 19471.450000 N N N ATLAS SENIOR LOAN FUND LTD 2018-9A N/A 04941VAC9 2228751.970000 PA USD 2204413.620000 0.0159319 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.14175 N N N N N N N/A N/A 000000000 -28800000.000000 NC USD -26138.880000 -0.0001889 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.920000 USD 2020-11-05 XXXX 59361.120000 N N N N/A N/A 000000000 -54000000.000000 NC USD -48589.200000 -0.0003512 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.910000 USD 2020-11-05 XXXX 168676.430000 N N N N/A N/A 000000000 -22200000.000000 NC USD -27727.800000 -0.0002004 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 102.440000 USD 2020-11-05 XXXX 135303.450000 N N N N/A N/A 000000000 -24100000.000000 NC USD -850.730000 -0.0000061 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.840000 USD 2020-10-07 XXXX 79168.800000 N N N ATRIUM HOTEL PORTFOLIO TRUST 2018-ATRM N/A 04965KAA8 17200000.000000 PA USD 16402522.000000 0.1185454 Long ABS-MBS CORP US N 2 2035-06-15 Floating 1.10238 N N N N N N N/A N/A 000000000 -12500000.000000 NC USD -1501.250000 -0.0000108 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 104.500000 USD 2020-10-07 XXXX 21936.250000 N N N N/A N/A 000000000 -6400000.000000 NC USD -6955.520000 -0.0000503 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% NOV 30YR N/A 103.970000 USD 2020-11-05 XXXX 15044.480000 N N N N/A N/A 000000000 884.000000 NC USD 136931.600000 0.0009896 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-12-21 123345625.000000 USD 136931.600000 N N N N/A N/A 000000000 1740.000000 NC USD 147510.670000 0.0010661 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-12-21 278264062.500000 USD 147510.670000 N N N N/A N/A 000000000 -8314.000000 NC USD -543658.560000 -0.0039292 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-12-31 -1837069238.530000 USD -543658.560000 N N N N/A N/A 000000000 -9708.000000 NC USD -1554490.970000 -0.0112347 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-12-31 -1223511375.000000 USD -1554490.970000 N N N N/A N/A 000000000 24.000000 NC USD -82722.290000 -0.0005979 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-12-21 5323500.000000 USD -82722.290000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05367AAJ2 51476000.000000 PA USD 51093205.420000 0.3692642 Long DBT CORP US N 2 2022-01-20 Fixed 2.875 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05367AAD5 14793000.000000 PA USD 15116509.740000 0.1092511 Long DBT CORP US N 2 2021-04-06 Fixed 6.75 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAG6 14050000.000000 PA USD 13747992.580000 0.0993604 Long DBT CORP US N 2 2021-06-01 Floating 1.196 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAE1 26893000.000000 PA USD 26183311.750000 0.1892338 Long DBT CORP US N 2 2021-07-30 Floating 0.93825 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05367AAA1 12543000.000000 PA USD 12578086.530000 0.0909052 Long DBT CORP US N 2 2020-10-15 Fixed 7.125 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 U0536PAD6 260000.000000 PA USD 253138.770000 0.0018295 Long DBT CORP US N 2 2021-07-30 Floating 0.93825 N N N N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAD2 21566000.000000 PA USD 21477537.560000 0.1552239 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 70014LAA8 33371000.000000 PA USD 33518450.430000 0.2422468 Long DBT CORP KY N 2 2022-08-15 Fixed 5.25 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAA9 8100000.000000 PA USD 8180528.340000 0.0591229 Long DBT CORP KY N 2 2023-01-15 Fixed 5.5 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAH4 24800000.000000 PA USD 22773179.330000 0.1645878 Long DBT CORP KY N 2 2025-02-15 Fixed 2.875 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAE1 1100000.000000 PA USD 1081421.620000 0.0078157 Long DBT CORP KY N 2 2022-05-01 Fixed 3.625 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAB7 3900000.000000 PA USD 3914985.590000 0.0282946 Long DBT CORP KY N 2 2023-10-01 Fixed 5.125 N N N N N N AVON FINANCE NO 2 PLC 2A N/A ACI1RJQB0 62300000.000000 PA 80209891.430000 0.5796983 Long ABS-MBS CORP GB N 2 2048-09-20 Floating 0.959 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT N/A 05525DAA4 17500000.000000 PA USD 16581671.750000 0.1198402 Long ABS-MBS CORP US N 2 2034-03-15 Floating 1.35238 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ N/A 05492HAA4 11700000.000000 PA USD 11290428.630000 0.0815989 Long ABS-MBS CORP US N 2 2036-04-15 Floating 1.20238 N N N N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AA2 567763.220000 PA USD 550822.980000 0.0039809 Long ABS-MBS CORP US N 2 2036-02-20 Floating 3.89494 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 57820.980000 PA USD 56321.340000 0.0004070 Long ABS-MBS CORP US N 2 2047-01-20 Floating 4.19876 Y N N N N N BANCO DEL ESTADO DE CHILE 5493004R4EJC0W0XVQ72 05968AAD8 7620000.000000 PA USD 7666672.500000 0.0554091 Long DBT CORP CL N 2 2021-01-08 Fixed 2.668 N N N N N N BANCO SANTANDER CHILE SA 3YJP8HORPAEXJ80D6368 ACI0T44Q4 23600000.000000 PA USD 23524735.120000 0.1700195 Long DBT CORP CL N 2 2021-11-28 Floating 1.45588 N N N N N N BANCO SANTANDER CHILE SA 3YJP8HORPAEXJ80D6368 05970FAC5 5200000.000000 PA USD 5489250.000000 0.0396723 Long DBT CORP CL N 2 2025-01-10 Fixed 2.7 N N N N N N BANCO SANTANDER CHILE SA 3YJP8HORPAEXJ80D6368 05970FAA9 6302000.000000 PA USD 6336440.430000 0.0457951 Long DBT CORP CL N 2 2020-12-15 Fixed 2.5 N N N N N N BANCORP COMMERCIAL MORTGAGE TRUST 2018-CRE4 N/A 05972LAA4 968289.620000 PA USD 959857.660000 0.0069371 Long ABS-MBS CORP US N 2 2035-09-15 Floating 1.05238 N N N N N N BANCORP COMMERCIAL MORTGAGE TRUST 2019-CRE5 N/A 05972MAA2 10379191.320000 PA USD 10118276.090000 0.0731275 Long ABS-MBS CORP US N 2 2036-03-15 Floating 1.15238 N N N N N N BANCORP COMMERCIAL MORTGAGE TRUST 2019-CRE6 N/A 05973BAA5 21538887.820000 PA USD 21306129.980000 0.1539851 Long ABS-MBS CORP US N 2 2036-09-15 Floating 1.20238 N N N N N N BANGKOK BANK PCL/HONG KONG BRANCH 549300CCL2BKJGMYXV60 Y0606WBS8 1100000.000000 PA USD 1102139.500000 0.0079655 Long DBT CORP TH N 2 2020-10-18 Fixed 4.8 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHE2 82334000.000000 PA USD 82709941.160000 0.5977668 Long DBT CORP US N 2 2024-03-05 Floating 1.038 N N N N N N BANK OF AMERICA MTG SEC 2002-G N/A 06050HKR8 13292.910000 PA USD 13306.130000 0.0000962 Long ABS-MBS CORP US N 2 2032-07-20 Floating 3.61212 N N N N N N BANK OF AMERICA MTGE SECS-2006-A N/A 05949CRS7 41057.370000 PA USD 38764.960000 0.0002802 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.68821 Y N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAT2 18924000.000000 PA USD 19064234.980000 0.1377823 Long DBT CORP GB N 2 2023-01-10 Floating 1.89788 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBE4 40000000.000000 PA USD 41881297.200000 0.3026873 Long DBT CORP GB N 2 2023-02-15 Floating 4.61 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBF1 21989000.000000 PA USD 22103394.250000 0.1597471 Long DBT CORP GB N 2 2023-02-15 Floating 1.71013 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 52158000.000000 PA USD 52326914.200000 0.3781806 Long DBT CORP GB N 2 2024-05-16 Floating 1.66013 N N N N N N BASIC ASSET BACKED SECURITIES TRUST 2006-1 N/A 06983NAC1 557192.380000 PA USD 554360.510000 0.0040065 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.45813 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAV7 1900000.000000 PA USD 1969989.840000 0.0142376 Long DBT CORP US N 2 2022-08-15 Fixed 2.764 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAX3 116071000.000000 PA USD 116774514.460000 0.8439606 Long DBT CORP US N 2 2022-08-15 Floating 1.16013 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAA1 15118000.000000 PA USD 15423166.350000 0.1114673 Long DBT CORP US N 2 2021-06-25 Fixed 3.5 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAC7 19000000.000000 PA USD 19039151.590000 0.1376010 Long DBT CORP US N 2 2021-06-25 Floating 0.855 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAU7 2200000.000000 PA USD 2237160.950000 0.0161686 Long DBT CORP US N 2 2021-07-15 Fixed 2.75 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAG8 46900000.000000 PA USD 47357731.340000 0.3422670 Long DBT CORP US N 2 2023-12-15 Floating 1.26038 N N N N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAF0 1325000.000000 PA USD 1359390.680000 0.0098247 Long DBT CORP US N 2 2021-10-08 Fixed 3 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2019-SBR1 N/A 07333YAA6 3358249.720000 PA USD 3369395.080000 0.0243515 Long ABS-MBS CORP US N 2 2034-06-28 Fixed 3.4748 N N N N N N BEAR STEARNS COMM MTGE SEC 2006-T22 N/A 07387BGB3 4916000.000000 PA USD 4939715.770000 0.0357006 Long ABS-MBS CORP US N 2 2038-04-12 Variable 6.10509 N N N N N N BEAR STEARNS SECOND LIEN TRUST 2007 N/A 07401UAD5 9728147.430000 PA USD 9709894.510000 0.0701760 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.49813 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 3348781.580000 PA USD 2781652.360000 0.0201037 Long ABS-MBS CORP US N 2 2036-01-26 Floating 3.07203 Y N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 2073427.180000 PA USD 1842168.720000 0.0133138 Long ABS-MBS CORP US N 2 2046-12-26 Floating 6.76481 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-4 N/A 07384MVP4 1115591.430000 PA USD 1073546.130000 0.0077588 Long ABS-MBS CORP US N 2 2033-07-25 Floating 3.12234 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-5 N/A 07384MWN8 625904.020000 PA USD 616222.910000 0.0044536 Long ABS-MBS CORP US N 2 2033-08-25 Floating 3.09836 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-3 N/A 073881AA2 588228.370000 PA USD 568728.480000 0.0041104 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.87416 Y N N N N N BEAR STEARNS ADJUST RT MTGE TR 2000- N/A 07384MAA0 26903.850000 PA USD 26124.770000 0.0001888 Long ABS-MBS CORP US N 2 2030-11-25 Floating 2.7813 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZS4 29406.630000 PA USD 30220.680000 0.0002184 Long ABS-MBS CORP US N 2 2034-01-25 Floating 4.05105 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 105362.890000 PA USD 107466.190000 0.0007767 Long ABS-MBS CORP US N 2 2034-01-25 Floating 3.54042 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4E9 35302.250000 PA USD 34906.620000 0.0002523 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.69588 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HZJ3 939481.320000 PA USD 950782.530000 0.0068716 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 3.169 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSZ5 103397.530000 PA USD 103066.460000 0.0007449 Long ABS-MBS CORP US N 2 2035-05-25 Floating 3.50182 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 1447463.250000 PA USD 1143047.690000 0.0082611 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.25119 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AV3 1520343.780000 PA USD 1166379.010000 0.0084297 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.41305 N N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 394702.350000 PA USD 369541.020000 0.0026708 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.46813 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384MZ96 284022.660000 PA USD 268330.690000 0.0019393 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.0343 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2C5 4374615.160000 PA USD 3631152.810000 0.0262433 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.23893 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A 07384YGX8 17631.590000 PA USD 17145.020000 0.0001239 Long ABS-MBS CORP US N 2 2042-11-25 Floating 1.14813 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC4 N/A 07384YKF2 6947152.740000 PA USD 7203670.800000 0.0520629 Long ABS-MBS CORP US N 2 2033-09-25 Variable 5.5 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE11 N/A 0738793P1 597045.870000 PA USD 595483.280000 0.0043037 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.82313 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6 N/A 07387YAA1 358543.270000 PA USD 357336.560000 0.0025826 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.39813 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7 N/A 07387VAA7 618741.150000 PA USD 618073.530000 0.0044670 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.14813 N N N N N N BEAR STEARNS ASSETBACKED SEC 2001-3 N/A 07384YBM7 60284.020000 PA USD 59169.580000 0.0004276 Long ABS-MBS CORP US N 2 2032-10-27 Floating 0.94813 N N N N N N BEAR STEARNS ASSETBK SEC 2005-AQ2 N/A 0738792V9 6134490.030000 PA USD 6108479.790000 0.0441476 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.63813 Y N N N N N BEAR STEARNS ASSETBK SECU INC 2002- N/A 07384YEM4 135011.850000 PA USD 134163.420000 0.0009696 Long ABS-MBS CORP US N 2 2032-10-25 Floating 0.80813 N N N N N N BENEFIT STREET PARTNERS CLO LTD 2015-VIIA N/A 08180RAL9 1873869.070000 PA USD 1866031.590000 0.0134863 Long ABS-CBDO CORP KY N 2 2027-07-18 Floating 1.05175 N N N N N N BG ENERGY CAPITAL PLC S2M8QDKEE05NZN8JD460 05541VAE6 6900000.000000 PA USD 7143171.940000 0.0516256 Long DBT CORP GB N 2 2021-10-15 Fixed 4 N N N N N N BGC PARTNERS INC TF1LXM1YNB81WKUH5G19 05541TAH4 2550000.000000 PA USD 2591228.430000 0.0187275 Long DBT CORP US N 2 2021-05-27 Fixed 5.125 N N N N N N BLUEMOUNTAIN CLO LTD 2015-1A N/A 09627XAU5 5406508.890000 PA USD 5405902.870000 0.0390699 Long ABS-CBDO CORP KY N 2 2027-04-13 Floating 1.59625 N N N N N N BMW FINANCE N V 5299006ZHG3IXU0PNJ56 05600LAD8 30000000.000000 PA USD 30148720.800000 0.2178929 Long DBT CORP NL N 2 2022-08-12 Floating 1.04688 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565EBD6 4500000.000000 PA USD 4509873.450000 0.0325941 Long DBT CORP US N 2 2021-08-13 Floating 0.7535 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681LAG5 40130000.000000 PA USD 40034289.950000 0.2893385 Long DBT CORP SG N 2 2021-05-02 Floating 1.301 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681LAC4 3400000.000000 PA USD 3425737.290000 0.0247587 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 09681LAD2 22200000.000000 PA USD 22671394.800000 0.1638522 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 09681MAG3 27110000.000000 PA USD 27045342.650000 0.1954639 Long DBT CORP SG N 2 2021-05-02 Floating 1.301 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 BZ12VMII6 13827000.000000 PA USD 14129167.510000 0.1021153 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 09681MAC2 17108000.000000 PA USD 17237503.970000 0.1245800 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 09681MAD0 19000000.000000 PA USD 19403446.000000 0.1402339 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 09681MAH1 7760000.000000 PA USD 7609572.400000 0.0549964 Long DBT CORP SG N 2 2023-09-26 Floating 1.35825 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023BT1 11563000.000000 PA USD 11648762.770000 0.0841887 Long DBT CORP US N 2 2022-03-01 Fixed 2.125 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CG8 9749000.000000 PA USD 9943248.340000 0.0718625 Long DBT CORP US N 2 2022-05-01 Fixed 2.7 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CL7 39629000.000000 PA USD 40156246.410000 0.2902199 Long DBT CORP US N 2 2021-08-01 Fixed 2.3 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023AD7 3812000.000000 PA USD 4064742.120000 0.0293770 Long DBT CORP US N 2 2021-08-15 Fixed 8.75 N N N N N N BORAL FINANCE PTY LTD 549300X2TYFVNPM0UT91 09952AAA4 800000.000000 PA USD 817623.850000 0.0059092 Long DBT CORP AU N 2 2022-11-01 Fixed 3 N N N N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10112RAS3 10000000.000000 PA USD 10131210.700000 0.0732210 Long DBT CORP US N 2 2021-05-15 Fixed 4.125 N N N N N N BRASS NO 8 PLC 8A N/A 10554MAA8 14224556.950000 PA USD 14274598.940000 0.1031663 Long ABS-MBS CORP GB N 2 2066-11-16 Floating 0.98013 N N N N N N BRAVO MORTGAGE ASSET TRUST 2006-1A N/A 105667AB5 207850.900000 PA USD 207240.380000 0.0014978 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.38813 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAG8 35500000.000000 PA USD 35063472.830000 0.2534131 Long DBT CORP US N 2 2022-02-01 Floating 1.301 N N N N N N BROADCOM CORP / BROADCOM CAYMAN FINANCE LTD N/A 11134LAK5 8378000.000000 PA USD 8410695.560000 0.0607863 Long DBT CORP US N 2 2021-01-15 Fixed 2.2 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAW1 63123000.000000 PA USD 63826463.540000 0.4612909 Long DBT CORP US N 2 2021-04-15 Fixed 3.125 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAX9 6200000.000000 PA USD 6490674.600000 0.0469098 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 114521AL1 4519430.730000 PA USD 4482786.820000 0.0323983 Long ABS-CBDO CORP KY N 2 2028-01-17 Floating 1.09288 N N N N N N CALIFORNIA STATE N/A 13063DAF5 50810000.000000 PA USD 50786627.400000 0.3670485 Long DBT MUN US N 2 2047-04-01 Floating 0.928 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AE7 4900000.000000 PA USD 5367600.630000 0.0387931 Long DBT CORP US N 2 2024-05-01 Fixed 4.875 N N N N N N CBAM LTD 2017-3A N/A 12481HAC9 7100000.000000 PA USD 7090100.260000 0.0512420 Long ABS-CBDO CORP KY N 2 2029-10-17 Floating 1.50288 N N N N N N CENT CLO LP 2013-19A N/A 12518XAA5 316966.330000 PA USD 317040.810000 0.0022913 Long ABS-CBDO CORP KY N 2 2025-10-29 Floating 1.59963 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0KH2X1 8450000.000000 PA USD 8498376.250000 0.0614200 Long DBT CORP JP N 2 2021-02-16 Fixed 2.241 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI10JL08 26200000.000000 PA USD 26252384.280000 0.1897330 Long DBT CORP JP N 2 2022-02-15 Floating 0.74013 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0SQFL5 37880000.000000 PA USD 38051975.200000 0.2750118 Long DBT CORP JP N 2 2022-03-03 Floating 1.06113 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0LZ657 16928000.000000 PA USD 17075358.240000 0.1234082 Long DBT CORP JP N 2 2021-04-23 Fixed 2.293 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0M4ZZ7 16900000.000000 PA USD 16972394.190000 0.1226640 Long DBT CORP JP N 2 2021-04-23 Floating 1.3145 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0PN1Y2 2100000.000000 PA USD 2126585.120000 0.0153694 Long DBT CORP JP N 2 2021-09-14 Fixed 2.091 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0PMVY1 62400000.000000 PA USD 62390952.000000 0.4509161 Long DBT CORP JP N 2 2021-09-14 Floating 1.09913 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0YDH84 114500000.000000 PA USD 114806795.880000 0.8297394 Long DBT CORP JP N 2 2021-11-02 Floating 0.811 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BQ6 500000.000000 PA USD 554666.840000 0.0040087 Long DBT CORP US N 2 2024-02-01 Fixed 4.5 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BP8 120557000.000000 PA USD 123406406.890000 0.8918910 Long DBT CORP US N 2 2024-02-01 Floating 1.901 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 35600000.000000 PA USD 37706732.170000 0.2725166 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 161546DB9 21359.140000 PA USD 20530.790000 0.0001484 Long ABS-MBS CORP US N 2 2032-08-25 Floating 0.78813 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630BD9 194239.200000 PA USD 189127.250000 0.0013669 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.64951 Y N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-3A N/A 16678RBU0 96479.620000 PA USD 95685.260000 0.0006915 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.39813 N N N N N N CIGNA CORPORATION 549300VIWYMSIGT1U456 125523AB6 54200000.000000 PA USD 54211056.800000 0.3917978 Long DBT CORP US N 2 2021-09-17 Floating 0.89613 N N N N N N CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD) 529900Q5XXSXHRQERC81 966XGZ907 41781710.000000 PA USD 41321270.120000 0.2986398 Long DBT CORP US Y 2 2021-01-04 None 0 N N N N N N CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD) 529900Q5XXSXHRQERC81 966XHT900 7129338.000000 PA USD 7044829.470000 0.0509149 Long DBT CORP US Y 2 2021-01-11 None 0 N N N N N N CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD) 529900Q5XXSXHRQERC81 935UHV008 15000000.000000 PA USD 14804353.050000 0.1069950 Long DBT CORP US Y 2 2021-01-21 None 0 N N N N N N CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD) 529900Q5XXSXHRQERC81 967EGD006 14095455.000000 PA USD 13943866.270000 0.1007760 Long DBT CORP US Y 3 2021-01-04 None 0 N N N N N N CIT GROUP HOME EQUITY LOAN TRUS 2002-2 N/A 12558MBB7 8668.710000 PA USD 8659.450000 0.0000626 Long ABS-MBS CORP US N 2 2033-06-25 Floating 0.68813 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LL3 72478000.000000 PA USD 73143722.030000 0.5286292 Long DBT CORP US N 2 2024-05-17 Floating 1.38013 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MA6 23640000.000000 PA USD 23775649.160000 0.1718330 Long DBT CORP US N 2 2024-06-01 Floating 1.269 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LN9 37052000.000000 PA USD 37328143.370000 0.2697805 Long DBT CORP US N 2 2023-07-24 Floating 1.2135 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KX8 37214000.000000 PA USD 37847897.690000 0.2735369 Long DBT CORP US N 2 2023-09-01 Floating 1.676 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LR0 1520000.000000 PA USD 1528075.730000 0.0110438 Long DBT CORP US N 2 2022-10-27 Floating 0.9345 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB2 N/A 17307GEC8 31086.260000 PA USD 31464.270000 0.0002274 Long ABS-MBS CORP US N 2 2034-03-25 Floating 4.02309 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2014-11 N/A 17323JAD4 3293936.640000 PA USD 3269462.360000 0.0236293 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.66237 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-B N/A 17327VAA9 5142551.010000 PA USD 5209460.740000 0.0376502 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 17328GAA1 10065512.900000 PA USD 10166596.820000 0.0734767 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 17307G2Z0 49529.980000 PA USD 49761.630000 0.0003596 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.88 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR7 N/A 172987AD1 144956.870000 PA USD 139268.570000 0.0010065 Long ABS-MBS CORP US N 2 2046-07-25 Floating 2.96464 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 1117624.460000 PA USD 1076530.530000 0.0077804 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.35534 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 275078.880000 PA USD 232296.770000 0.0016789 Long ABS-MBS CORP US N 2 2045-07-25 Floating 0.20813 N N N N N N CITIGROUP MTGE LOAN TR INC 2008-RR1 N/A 173145AA1 197624.460000 PA USD 173926.940000 0.0012570 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.21813 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 111926.210000 PA USD 111707.640000 0.0008073 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.57 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-3 N/A 17307GTJ7 337129.560000 PA USD 335566.730000 0.0024252 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.17687 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 13356.690000 PA USD 13044.100000 0.0000943 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.94 N N N N N N CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3 N/A 14986DAH3 4713041.670000 PA USD 4829871.370000 0.0349068 Long ABS-MBS CORP US N 2 2048-10-15 Fixed 5.648 N N N N N N CLNC 2019-FL1 LTD N/A 12565DAA1 46900000.000000 PA USD 46028013.630000 0.3326567 Long ABS-O CORP KY N 2 2035-08-20 Floating 1.40625 N N N N N N CNH INDUSTRIAL CAPITAL LLC 549300PNSJ5B81UMVO28 12592BAF1 2000000.000000 PA USD 2038842.100000 0.0147353 Long DBT CORP US N 2 2021-04-01 Fixed 4.875 N N N N N N CNH INDUSTRIAL CAPITAL LLC 549300PNSJ5B81UMVO28 12592BAG9 12550000.000000 PA USD 12897855.630000 0.0932162 Long DBT CORP US N 2 2021-10-15 Fixed 3.875 N N N N N N CNH INDUSTRIAL CAPITAL LLC 549300PNSJ5B81UMVO28 12592BAE4 4189000.000000 PA USD 4202759.780000 0.0303745 Long DBT CORP US N 2 2020-11-06 Fixed 4.375 N N N N N N CNOOC FINANCE (2011) LIMITED N/A G2353WAA9 6801000.000000 PA USD 6873634.680000 0.0496776 Long DBT CORP VG N 2 2021-01-26 Fixed 4.25 N N N N N N CNPC (HK) OVERSEAS CAPITAL LTD N/A G21895AB6 12500000.000000 PA USD 12754875.000000 0.0921829 Long DBT CORP VG N 2 2021-04-28 Fixed 4.5 N N N N N N COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2013-CR6 N/A 12624XAF5 953427.530000 PA USD 953365.370000 0.0068902 Long ABS-MBS CORP US N 2 2046-03-10 Floating 0.78113 N N N N N N COMMONBOND STUDENT LOAN TRUST 2017-AGS N/A 20267VAA5 3306444.710000 PA USD 3393853.220000 0.0245283 Long ABS-O CORP US N 2 2041-05-25 Fixed 2.55 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887BW1 1900000.000000 PA USD 1900176.570000 0.0137331 Long DBT CORP US N 2 2020-10-09 Floating 0.76838 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887BZ4 1500000.000000 PA USD 1551587.910000 0.0112137 Long DBT CORP US N 2 2021-10-22 Fixed 3.8 N N N N N N CONTIMORTGAGE HOME EQUITY LN 1996-1 N/A 21075WCK9 360.990000 PA USD 356.750000 0.0000026 Long ABS-MBS CORP US N 2 2027-03-15 Floating 0.49238 N N N N N N CONTINENTAL AIRLINES 2010 CLASS A PASS THRU TRUST N/A 21079VAA1 351802.870000 PA USD 348549.890000 0.0025191 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 210795QC7 2172801.410000 PA USD 2147241.440000 0.0155187 Long DBT CORP US N 2 2022-04-29 Fixed 5.5 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA17 N/A 12668PAA0 1699888.520000 PA USD 1415662.910000 0.0102314 Long ABS-MBS CORP US N 2 2046-12-20 Floating 0.35125 Y N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA22 N/A 23245PAA9 97821.130000 PA USD 88490.480000 0.0006395 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.30813 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-62 N/A 12668ATT2 310897.920000 PA USD 283806.960000 0.0020511 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.01929 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDE0 214890.720000 PA USD 197775.320000 0.0014294 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.01929 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19 N/A 12668RAA6 2520197.550000 PA USD 1920711.350000 0.0138815 Long ABS-MBS CORP US N 2 2047-02-20 Floating 0.33625 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2 N/A 02147BAJ4 122985.420000 PA USD 78616.830000 0.0005682 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 02149DAN9 558429.520000 PA USD 539567.390000 0.0038996 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.83927 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 572688.180000 PA USD 536323.740000 0.0038762 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.33813 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 919645.310000 PA USD 698854.840000 0.0050508 Long ABS-MBS CORP US N 2 2046-07-20 Floating 0.36625 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2003-J3 N/A 12669FFD0 94686.060000 PA USD 96938.700000 0.0007006 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 12668BE33 167372.670000 PA USD 154312.600000 0.0011153 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.35813 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 1767733.310000 PA USD 1630641.000000 0.0117851 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.32813 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-SEA1 N/A 23248AAJ0 218313.950000 PA USD 213341.850000 0.0015419 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.43813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2002-3 N/A 126671RM0 146948.080000 PA USD 143985.620000 0.0010406 Long ABS-MBS CORP US N 2 2032-05-25 Floating 0.88813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-1 N/A 126671Z33 1448307.580000 PA USD 1438806.680000 0.0103986 Long ABS-MBS CORP US N 2 2034-03-25 Floating 0.97313 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-12 N/A 126673NW8 736174.850000 PA USD 736963.150000 0.0053262 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.57313 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673AW2 5215835.870000 PA USD 5019196.250000 0.0362751 Long ABS-MBS CORP US N 2 2034-12-25 Floating 0.68813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-AB2 N/A 126673QH8 555000.000000 PA USD 543313.310000 0.0039267 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.04813 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-11 N/A 12666TAG1 92364.980000 PA USD 91089.980000 0.0006583 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.29813 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-13 N/A 126698AD1 1914137.280000 PA USD 1883617.320000 0.0136134 Long ABS-MBS CORP US N 2 2047-10-25 Floating 0.94813 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2004-BC5 N/A 126673PS5 2278508.950000 PA USD 2279981.320000 0.0164780 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.64813 N N N N N N COUNTRYWIDE HOME EQUITY LN TRUST 2006-I N/A 12668FAB0 11418.720000 PA USD 10941.760000 0.0000791 Long ABS-MBS CORP US N 2 2037-01-15 Floating 0.29238 N N N N N N COUNTRYWIDE HOME LOANS 2001-HYB1 N/A 12669B2Z4 2791.600000 PA USD 2759.150000 0.0000199 Long ABS-MBS CORP US N 2 2031-07-19 Floating 3.625 N N N N N N COUNTRYWIDE HOME LOANS 2003-R4 N/A 12669FFS7 8203.080000 PA USD 8295.350000 0.0000600 Long ABS-MBS CORP US N 2 2034-01-25 Variable 4.92533 Y N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPN5 175481.250000 PA USD 153337.990000 0.0011082 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.78813 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTV3 15586.710000 PA USD 14488.080000 0.0001047 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.72813 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GZQ7 140157.740000 PA USD 122914.290000 0.0008883 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.60813 N N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 1659661.560000 PA USD 1555359.630000 0.0112410 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.48813 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HY4 N/A 17025RAA3 95167.530000 PA USD 88563.100000 0.0006401 Long ABS-MBS CORP US N 2 2047-09-25 Floating 3.2305 Y N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 43382.900000 PA USD 26405.110000 0.0001908 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.20813 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAA5 282180.980000 PA USD 221761.630000 0.0016027 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.26813 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 29321.730000 PA USD 27133.040000 0.0001961 Long ABS-MBS CORP US N 2 2032-03-25 Floating 0.797994 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AH1 23700000.000000 PA USD 23903577.790000 0.1727575 Long DBT CORP CH N 2 2024-06-12 Floating 1.48913 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AE8 1300000.000000 PA USD 1312281.540000 0.0094842 Long DBT CORP CH N 2 2023-12-14 Floating 1.44913 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 H3698DBT0 1500000.000000 PA USD 1512884.670000 0.0109340 Long DBT CORP CH N 2 2024-06-12 Floating 1.48913 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AH4 5450000.000000 PA USD 5763752.960000 0.0416562 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 12651QAA7 15600000.000000 PA USD 15127437.000000 0.1093300 Long ABS-MBS CORP US N 2 2032-07-15 Floating 0.90238 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP10 N/A 12597FAC4 2726360.210000 PA USD 2750855.470000 0.0198812 Long ABS-MBS CORP US N 2 2059-12-26 Fixed 3.12001 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL4 N/A 22946AAC2 9895970.760000 PA USD 9978370.550000 0.0721163 Long ABS-MBS CORP US N 2 2058-08-26 Fixed 3.50677 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL8 N/A 12596YAC4 9294652.650000 PA USD 9383194.440000 0.0678149 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 12654WAC7 20817129.020000 PA USD 20966737.560000 0.1515322 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 12489WMZ4 4113837.410000 PA USD 4085741.130000 0.0295287 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.74813 N N N N N N CRH AMERICA INC 549300RN11MJ182CNF63 12626PAL7 400000.000000 PA USD 405969.170000 0.0029340 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 22847DAL6 2897942.520000 PA USD 2871928.330000 0.0207562 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.44175 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 1576.160000 PA USD 1518.600000 0.0000110 Long ABS-MBS CORP US N 2 2032-01-25 Floating 0.76813 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR26 N/A 22541QZU9 647142.700000 PA USD 645441.230000 0.0046648 Long ABS-MBS CORP US N 2 2033-11-25 Floating 3.49356 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2004-AR7 N/A 22541SRP5 206765.580000 PA USD 213520.070000 0.0015432 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.34178 N N N N N N D.R. HORTON INC 529900ZIUEYVSB8QDD25 23331ABE8 11200000.000000 PA USD 11886539.950000 0.0859072 Long DBT CORP US N 2 2022-09-15 Fixed 4.375 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DC5 15297000.000000 PA USD 15303258.920000 0.1106007 Long DBT CORP US N 2 2021-02-22 Floating 0.70613 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DQ4 56150000.000000 PA USD 56325916.270000 0.4070824 Long DBT CORP US N 2 2022-02-22 Floating 1.13613 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DV3 28700000.000000 PA USD 28862472.140000 0.2085968 Long DBT CORP US N 2 2022-02-15 Floating 1.18013 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851BE3 3195000.000000 PA USD 3228180.360000 0.0233309 Long DBT CORP US N 2 2021-03-10 Fixed 2.875 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DK7 43855000.000000 PA USD 43877173.970000 0.3171120 Long DBT CORP US N 2 2021-05-04 Floating 0.79875 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DM3 19800000.000000 PA USD 19727941.270000 0.1425791 Long DBT CORP US N 2 2023-05-04 Floating 1.08875 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851CH5 1500000.000000 PA USD 1516174.010000 0.0109578 Long DBT CORP US N 2 2021-07-06 Fixed 2 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851CK8 1700000.000000 PA USD 1727794.690000 0.0124872 Long DBT CORP US N 2 2021-10-30 Fixed 2.2 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DP6 8150000.000000 PA USD 8157538.100000 0.0589567 Long DBT CORP US N 2 2021-11-05 Floating 0.919 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 U2339CDF2 900000.000000 PA USD 900455.060000 0.0065078 Long DBT CORP US N 2 2021-05-04 Floating 0.79875 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 U2339CDL9 21190000.000000 PA USD 21209599.050000 0.1532874 Long DBT CORP US N 2 2021-11-05 Floating 0.919 N N N N N N DANONE SA 969500KMUQ2B6CBAF162 23636TAC4 1600000.000000 PA USD 1625091.940000 0.0117450 Long DBT CORP FR N 2 2021-11-02 Fixed 2.077 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAU5 26820000.000000 PA USD 27351322.440000 0.1976753 Long DBT CORP DK N 2 2022-09-20 Floating 3.001 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAQ4 24800000.000000 PA USD 24619433.680000 0.1779312 Long DBT CORP DK N 2 2023-09-12 Floating 1.30913 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAY7 34489000.000000 PA USD 34510023.110000 0.2494131 Long DBT CORP DK N 2 2023-12-08 Floating 1.171 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636BAP4 7855000.000000 PA USD 7797808.530000 0.0563568 Long DBT CORP DK N 2 2023-09-12 Floating 1.30913 N N N N N N DBS GROUP HOLDINGS LTD 5493007FKT78NKPM5V55 24023KAC2 7800000.000000 PA USD 7820417.900000 0.0565202 Long DBT CORP SG N 2 2022-07-25 Floating 0.8645 N N N N N N DBS GROUP HOLDINGS LTD 5493007FKT78NKPM5V55 24023LAC0 11200000.000000 PA USD 11229318.020000 0.0811573 Long DBT CORP SG N 2 2022-07-25 Floating 0.8645 N N N N N N DELL EQUIPMENT FINANCE TRUST 2020-1 N/A 24703NAB5 29900000.000000 PA USD 30402876.140000 0.2197297 Long ABS-O CORP US N 2 2022-06-22 Fixed 2.26 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAD5 31001000.000000 PA USD 31737243.990000 0.2293735 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 25272KAG8 5200000.000000 PA USD 5704379.980000 0.0412271 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 24703DAY7 9000000.000000 PA USD 9737354.160000 0.0703745 Long DBT CORP US N 2 2024-07-15 Fixed 4 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A U2526DAB5 472000.000000 PA USD 483209.550000 0.0034923 Long DBT CORP US N 2 2021-06-15 Fixed 4.42 N N N N N N DELOS FINANCE SARL 549300HX549YWOJQT076 L2324EAE1 420000.000000 PA USD 411600.000000 0.0029747 Long LON CORP LU N 2 2023-10-06 Floating 1.9704 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZL5 4300000.000000 PA USD 4305759.460000 0.0311189 Long DBT CORP US N 2 2020-12-04 Fixed 2.6 N N N N N N DELTA FUNDING HOME EQ LN TR 1999-3 N/A 24763LFX3 23023.190000 PA USD 22581.090000 0.0001632 Long ABS-MBS CORP US N 2 2029-09-15 Floating 0.97238 N N N N N N DEVELOPMENT BANK OF JAPAN INC (DBJ) 5493001HGBABMWFZUI25 BLTVH0II7 4000000.000000 PA USD 4005533.400000 0.0289491 Long DBT CORP JP N 2 2021-04-23 Floating 0.8145 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDH9 44100000.000000 PA USD 44177000.810000 0.3192790 Long DBT CORP US N 2 2023-09-15 Floating 0.77613 N N N N N N DORCHESTER PARK CLO LTD 2015-1A N/A 25820NAA2 8136869.410000 PA USD 8115285.880000 0.0586513 Long ABS-CBDO CORP IE N 2 2028-04-20 Floating 1.17175 N N N N N N DORIC NIMROD AIR FINANCE ALPHA LTD 2012-1 CLASS A PASS THROUGH TRUST N/A 258258AA0 1178583.520000 PA USD 1053401.870000 0.0076132 Long DBT CORP GG N 2 2024-11-30 Fixed 5.125 N N N N N N DRYDEN EURO CLO 16-46A N/A ACI1C3DT6 10400000.000000 PA 12189633.670000 0.0880977 Long ABS-CBDO CORP NL N 2 2030-01-15 Floating 0.88 N N N N N N DURHAM MORTGAGES A PLC 18-AX N/A ACI16JVP6 22791488.670000 PA 29348985.310000 0.2121129 Long ABS-MBS CORP GB N 2 2053-03-31 Floating 0.61738 N N N N N N DURHAM MORTGAGES B PLC 18-BX N/A ACI192FB9 8789290.860000 PA 11282847.140000 0.0815441 Long ABS-MBS CORP GB N 2 2054-03-31 Floating 0.66825 N N N N N N DUTCH PROPERTY FINANCE 2020-1 BV 20-1 N/A ACI1J8R14 842121.590000 PA 985321.210000 0.0071212 Long ABS-MBS CORP NL N 2 2054-07-28 Floating 0.202 N N N N N N E-470 PUBLIC HIGHWAY AUTHORITY 549300164ZV2301BC703 26822LMG6 1540000.000000 PA USD 1544404.400000 0.0111618 Long DBT MUN US N 2 2039-09-01 Floating 1.15 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2017-2 N/A 26828VAA4 1257655.410000 PA USD 1247909.210000 0.0090190 Long ABS-O CORP US N 2 2067-05-25 Floating 1.19813 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2018-1A N/A 26828HAA5 20541105.840000 PA USD 19856431.750000 0.1435077 Long ABS-O CORP US N 2 2068-02-27 Floating 0.89813 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2019-1A N/A 26829XAB7 11441792.060000 PA USD 11341396.060000 0.0819673 Long ABS-O CORP US N 2 2069-07-25 Floating 1.14813 N N N N N N EDUCATIONAL SERVICES OF AMERICA INC 2012-2 N/A 28137QAA7 2199082.720000 PA USD 2173718.280000 0.0157100 Long ABS-O CORP US N 2 2039-04-25 Floating 0.87813 N N N N N N EFS VOLUNTEER LLC 2010-1 N/A 26844VAB2 4123661.630000 PA USD 4086020.020000 0.0295308 Long ABS-O CORP US N 2 2035-10-25 Floating 1.0945 N N N N N N EGCLO 2018-1A N/A 29915RAA1 28759700.350000 PA USD 28561222.470000 0.2064196 Long ABS-CBDO CORP KY N 2 2028-05-28 Floating 1.17588 N N N N N N EKSPORTFINANS ASA HKDM6R5I7TEN7ODGZB21 ACI0SX1T8 49200000.000000 PA USD 49202460.000000 0.3555993 Long DBT CORP NO N 2 2020-11-10 Floating 1.04325 N N N N N N ELEVATION CLO LTD 2015-4A N/A 28623DAA7 1095928.250000 PA USD 1094886.670000 0.0079130 Long ABS-CBDO CORP KY N 2 2027-04-18 Floating 1.26175 N N N N N N ELLINGTON FINANCIAL MORTGAGE TRUST 2020-1 N/A 31574PAA3 3319764.890000 PA USD 3367900.480000 0.0243407 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.006 N N N N N N ELMWOOD CLO I LTD 2019-1A N/A 290015AA4 23000000.000000 PA USD 22999819.680000 0.1662258 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 1.62175 N N N N N N EMCM MORTGAGE LOAN TRUST 2001-A N/A 268668AA8 30075.870000 PA USD 29374.680000 0.0002123 Long ABS-MBS CORP US N 2 2040-05-25 Floating 0.88813 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBB0 144700000.000000 PA USD 144671350.850000 1.0455785 Long DBT CORP CA N 2 2022-02-18 Floating 0.77038 N N N N N N EQUIFAX INC 5493004MCF8JDC86VS77 294429AK1 4200000.000000 PA USD 4249286.790000 0.0307107 Long DBT CORP US N 2 2021-06-01 Fixed 2.3 N N N N N N EQUIFAX INC 5493004MCF8JDC86VS77 294429AP0 37249000.000000 PA USD 37402054.650000 0.2703146 Long DBT CORP US N 2 2021-08-15 Floating 1.15013 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26884TAD4 6200000.000000 PA USD 6410136.170000 0.0463278 Long DBT CORP US N 2 2021-08-16 Fixed 4.5 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26884TAQ5 100000.000000 PA USD 101773.840000 0.0007355 Long DBT CORP US N 2 2021-12-01 Fixed 2.6 N N N N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 974924.270000 PA 1213014.500000 0.0087668 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 0.20913 N N N N N N EUROPEAN LOAN CONDUIT 36A N/A ACI1G9KP9 10688921.560000 PA 12427355.280000 0.0898158 Long ABS-MBS CORP IE N 2 2030-02-17 Floating 1 N N N N N N EUROPEAN RESIDENTIAL LOAN SECURITISATION 2019-PL1 DAC 19-PL1 N/A ACI1FYWJ6 629475.080000 PA 736773.270000 0.0053249 Long ABS-MBS CORP IE N 2 2063-03-24 Floating 0.324 N N N N N N EXPORT-IMPORT BANK OF INDIA 335800OFZ8YEIVN1QI11 ACI1HMTB1 11400000.000000 PA USD 11368365.000000 0.0821622 Long DBT CORP IN Y 2 2022-03-28 Floating 1.25325 N N N N N N EXPORT-IMPORT BANK OF INDIA 335800OFZ8YEIVN1QI11 ACI0WQLC3 41353000.000000 PA USD 40970277.990000 0.2961031 Long DBT CORP IN N 2 2022-08-21 Floating 1.24688 N N N N N N FANNIE MAE 1993-165 N/A 31359D5L3 6133.280000 PA USD 6221.820000 0.0000450 Long ABS-MBS USGSE US N 2 2023-09-25 Floating 1.29813 N N N N N N FANNIE MAE 1997-43 N/A 31359P3F1 934.650000 PA USD 937.690000 0.0000068 Long ABS-MBS USGSE US N 2 2027-07-18 Floating 0.65 N N N N N N FANNIE MAE 1998-66 N/A 31359U3W3 155816.440000 PA USD 155701.840000 0.0011253 Long ABS-MBS USGSE US N 2 2028-12-25 Floating 0.44813 N N N N N N FANNIE MAE 2000-34 N/A 31358SSV4 1706.820000 PA USD 1711.620000 0.0000124 Long ABS-MBS USGSE US N 2 2030-10-25 Floating 0.59813 N N N N N N FANNIE MAE 2001-24 N/A 31359S5P1 57002.100000 PA USD 57517.360000 0.0004157 Long ABS-MBS USGSE US N 2 2031-04-25 Floating 0.77813 N N N N N N FANNIE MAE 2002-19 N/A 31392CFU3 304507.290000 PA USD 304748.890000 0.0022025 Long ABS-MBS USGSE US N 2 2032-03-17 Floating 0.5505 N N N N N N FANNIE MAE 2002-21 N/A 31392CRD8 7212.600000 PA USD 7297.060000 0.0000527 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 1.04813 N N N N N N FANNIE MAE 2002-34 N/A 31392CM92 55964.300000 PA USD 56326.060000 0.0004071 Long ABS-MBS USGSE US N 2 2032-05-18 Floating 0.65 N N N N N N FANNIE MAE 2002-34 N/A 31392CQ31 57600.360000 PA USD 57821.770000 0.0004179 Long ABS-MBS USGSE US N 2 2032-05-18 Floating 0.55 N N N N N N FANNIE MAE 2002-54 N/A 31392D5Q1 28848.520000 PA USD 28883.000000 0.0002087 Long ABS-MBS USGSE US N 2 2032-09-25 Floating 0.54813 N N N N N N FANNIE MAE 2002-60 N/A 31392EVN7 1306.460000 PA USD 1276.890000 0.0000092 Long ABS-MBS USGSE US N 2 2032-06-25 Floating 0.54813 N N N N N N FANNIE MAE 2003-11 N/A 31392HPL1 57910.670000 PA USD 57129.560000 0.0004129 Long ABS-MBS USGSE US N 2 2033-02-25 Floating 0.59813 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 11023.120000 PA USD 10983.990000 0.0000794 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 0.26813 N N N N N N FANNIE MAE 2004-63 N/A 31394ANT9 70280.530000 PA USD 69740.080000 0.0005040 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 0.29813 N N N N N N FANNIE MAE 2006-104 N/A 31396LNC0 74922.720000 PA USD 75306.260000 0.0005443 Long ABS-MBS USGSE US N 2 2036-11-25 Floating 0.48813 N N N N N N FANNIE MAE 2006-118 N/A 31396L4T4 49032.240000 PA USD 48595.860000 0.0003512 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 0.23513 N N N N N N FANNIE MAE 2006-15 N/A 31395BVE0 22437.540000 PA USD 22346.840000 0.0001615 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 0.30513 N N N N N N FANNIE MAE 2006-20 N/A 31395BU43 27318.540000 PA USD 27401.750000 0.0001980 Long ABS-MBS USGSE US N 2 2036-04-25 Floating 0.49813 N N N N N N FANNIE MAE 2006-46 N/A 31395D5F2 85513.340000 PA USD 85625.740000 0.0006188 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 0.46813 N N N N N N FANNIE MAE 2006-8 N/A 31394VZ37 43553.800000 PA USD 43782.690000 0.0003164 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 0.51813 N N N N N N FANNIE MAE 2006-81 N/A 31396KM33 44299.020000 PA USD 44641.080000 0.0003226 Long ABS-MBS USGSE US N 2 2036-09-25 Floating 0.52513 N N N N N N FANNIE MAE 2007-73 N/A 31396V4Q8 185755.140000 PA USD 182806.590000 0.0013212 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.23513 N N N N N N FANNIE MAE 2007-86 N/A 31396XNX8 40170.670000 PA USD 40495.750000 0.0002927 Long ABS-MBS USGSE US N 2 2037-09-25 Floating 0.59813 N N N N N N FANNIE MAE 2008-53 N/A 31397LC31 4791.200000 PA USD 4897.010000 0.0000354 Long ABS-MBS USGSE US N 2 2038-07-25 Floating 0.99813 N N N N N N FANNIE MAE 2008-88 N/A 31397MXL6 28217.510000 PA USD 29198.210000 0.0002110 Long ABS-MBS USGSE US N 2 2038-10-25 Floating 1.36813 N N N N N N FANNIE MAE 2009-87 N/A 31398FJ28 8507.040000 PA USD 8789.890000 0.0000635 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.14813 N N N N N N FANNIE MAE 2009-96 N/A 31398FXF3 10971.580000 PA USD 11284.600000 0.0000816 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.04813 N N N N N N FANNIE MAE 2010-39 N/A 31398PU98 111487.350000 PA USD 113711.340000 0.0008218 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 0.91813 N N N N N N FANNIE MAE 2010-74 N/A 31398RV36 148800.420000 PA USD 150533.020000 0.0010879 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.68813 N N N N N N FANNIE MAE G-26 N/A 31358JBU4 110.790000 PA USD 110.650000 0.0000008 Long ABS-MBS USGSE US N 2 2021-08-25 Floating 0.59813 N N N N N N FANNIE MAE G92-50 N/A 31358PRF6 163.420000 PA USD 163.230000 0.0000012 Long ABS-MBS USGSE US N 2 2022-08-25 Floating 0.74813 N N N N N N FANNIE MAE G93-7 N/A 31358TJG5 29.210000 PA USD 29.190000 0.0000002 Long ABS-MBS USGSE US N 2 2023-02-25 Floating 0.99813 N N N N N N FANNIE MAE REMIC 1999-W2 N/A 31359R6T4 2048.540000 PA USD 2127.030000 0.0000154 Long ABS-MBS USGSE US N 2 2032-06-25 Variable 8.01 N N N N N N FANNIE MAE REMIC-1997-76 N/A 31359QS88 1597.290000 PA USD 1600.500000 0.0000116 Long ABS-MBS USGSE US N 2 2027-09-17 Floating 0.6005 N N N N N N FANNIE MAE REMICS 2007-7 N/A 31396PSN2 504444.680000 PA USD 503601.550000 0.0036397 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 0.34813 N N N N N N FANNIE MAE REMICS 2012-29 N/A 3136A5FK7 151685.600000 PA USD 153344.250000 0.0011083 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 0.64813 N N N N N N FANNIE MAE REMICS 2013-51 N/A 3136AECE5 11132912.850000 PA USD 671744.380000 0.0048549 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 3136AEMA2 10476948.180000 PA USD 623307.170000 0.0045048 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 3136AEMK0 8131358.570000 PA USD 501222.630000 0.0036225 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 3136AKPQ0 4622946.990000 PA USD 4623920.120000 0.0334183 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 0.55563 N N N N N N FANNIE MAE REMICS 2014-84 N/A 3136AL2T7 9152207.190000 PA USD 9195692.070000 0.0664597 Long ABS-MBS USGSE US N 2 2044-12-25 Floating 0.50563 N N N N N N FANNIE MAE REMICS 2016-11 N/A 3136ARPW2 3645015.960000 PA USD 3646315.770000 0.0263529 Long ABS-MBS USGSE US N 2 2046-03-25 Floating 0.65563 N N N N N N FANNIE MAE REMICS 2016-40 N/A 3136ASL87 15257324.630000 PA USD 15244989.080000 0.1101796 Long ABS-MBS USGSE US N 2 2046-07-25 Floating 0.60563 N N N N N N FANNIE MAE WHOLE LOAN 2003-W4 N/A 31393AP68 155969.370000 PA USD 180010.770000 0.0013010 Long ABS-MBS USGSE US N 2 2042-10-25 Variable 5.76089 N N N N N N FANNIE MAE-2006-56 N/A 31395NXU6 27710.230000 PA USD 27909.150000 0.0002017 Long ABS-MBS USGSE US N 2 2036-07-25 Floating 0.57813 N N N N N N FANNIE MAE-2020-29 N/A 3136B9TM9 3770248.190000 PA USD 3790108.350000 0.0273921 Long ABS-MBS USGSE US N 2 2050-05-25 Floating 0.95563 N N N N N N FANNIE MAE-G92-11 N/A 31358LYZ3 266.210000 PA USD 265.500000 0.0000019 Long ABS-MBS USGSE US N 2 2022-02-25 Floating 0.64813 N N N N N N FANNIE MAE-G92-52 N/A 31358QSU0 210.590000 PA USD 210.190000 0.0000015 Long ABS-MBS USGSE US N 2 2022-09-25 Floating 0.87513 N N N N N N FANNIE MAE-G92-67 N/A 31358RV59 146.640000 PA USD 146.480000 0.0000011 Long ABS-MBS USGSE US N 2 2022-12-25 Floating 0.79813 N N N N N N FANNIEMAE WHOLE LOAN 2002-W8 N/A 31392DQ70 2149.950000 PA USD 2064.870000 0.0000149 Long ABS-MBS USGSE US N 2 2032-09-25 Floating 0.54813 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CX40 19658.190000 PA USD 19771.640000 0.0001429 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 0.49813 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 207687.750000 PA USD 208522.490000 0.0015070 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 0.52513 N N N N N N FANNIEMAE WHOLE LOAN 2004-W2 N/A 31393XGV3 153303.700000 PA USD 153637.900000 0.0011104 Long ABS-MBS USGSE US N 2 2044-03-25 Floating 0.49813 N N N N N N FEDERAL EXPRESS CORP 1998 PASS THROUGH TRUST N/A 31331FAX9 867065.700000 PA USD 893698.490000 0.0064590 Long DBT CORP US N 2 2023-07-15 Fixed 6.72 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134GWGP5 25717000.000000 PA USD 25746802.150000 0.1860790 Long DBT USGSE US N 2 2025-07-28 Fixed 0.75 N N N N N N FHLMC PASS THRU POOLS N/A 3128JLGZ6 3709.040000 PA USD 3715.780000 0.0000269 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 3128NCNJ9 18942.080000 PA USD 18990.780000 0.0001373 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 3128NCVN1 8844.100000 PA USD 8855.420000 0.0000640 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 2.626 N N N N N N FHLMC PASS THRU POOLS N/A 3128NC6C3 24740.290000 PA USD 25517.540000 0.0001844 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 2.405 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJGX8 49578.180000 PA USD 52059.040000 0.0003762 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.375 N N N N N N FHLMC PASS THRU POOLS N/A 3128Q2FY4 7356.320000 PA USD 7458.110000 0.0000539 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 2.674 N N N N N N FHLMC PASS THRU POOLS N/A 31349TE49 15358.880000 PA USD 16217.800000 0.0001172 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 4.083 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDGT0 616.120000 PA USD 618.340000 0.0000045 Long ABS-MBS USGSE US N 2 2025-04-01 Floating 2.912 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDGU7 29.340000 PA USD 29.460000 0.0000002 Long ABS-MBS USGSE US N 2 2023-02-01 Floating 3.769 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRB70 11219.240000 PA USD 11325.640000 0.0000819 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 3.412 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRD29 15960.740000 PA USD 16055.730000 0.0001160 Long ABS-MBS USGSE US N 2 2034-08-01 Floating 2.83 N N N N N N FHLMC PASS THRU POOLS N/A 3133KGKJ6 421515.630000 PA USD 452507.460000 0.0032704 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3133KGNV6 2978.150000 PA USD 3172.480000 0.0000229 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMH32 3864807.120000 PA USD 4137073.120000 0.0298997 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DMKA2 201398.090000 PA USD 214604.030000 0.0015510 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DV3P8 136382929.820000 PA USD 145392834.860000 1.0507928 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132DV3V5 646869.690000 PA USD 689611.150000 0.0049840 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131Y0ZS4 2865853.590000 PA USD 3061641.310000 0.0221273 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131Y1M80 236371.610000 PA USD 252236.890000 0.0018230 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131Y2HD3 310424.870000 PA USD 331969.870000 0.0023992 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131Y7TD9 141821.650000 PA USD 151346.760000 0.0010938 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3131YBMQ8 25827.950000 PA USD 27551.250000 0.0001991 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132ACYH7 85179202.080000 PA USD 90784738.890000 0.6561255 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132ADWE4 13280380.390000 PA USD 14149576.900000 0.1022628 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132AEDH6 577822.200000 PA USD 616056.500000 0.0044524 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FHLMC PASS THRU POOLS N/A 3132AEEZ5 4342457.720000 PA USD 4628905.730000 0.0334543 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 31395M2F5 621266.140000 PA USD 631515.790000 0.0045641 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 2.5225 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A 31394JD87 143109.750000 PA USD 178667.080000 0.0012913 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 31395HHV5 1717782.180000 PA USD 1768027.310000 0.0127780 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 2.21929 N N N N N N FHR-3582 N/A 31398KBD1 12871.290000 PA USD 13324.640000 0.0000963 Long ABS-MBS USGSE US N 2 2049-10-15 Floating 1.15238 N N N N N N FIELDSTONE MTGE INVESTMENT CORP 2004-3 N/A 31659TBS3 698723.210000 PA USD 681681.980000 0.0049267 Long ABS-MBS CORP US N 2 2034-08-25 Floating 2.32313 Y N N N N N FIGUEROA CLO LTD 2014-1A N/A 31683YAJ3 4882421.710000 PA USD 4883535.780000 0.0352946 Long ABS-CBDO CORP KY N 2 2027-01-15 Floating 1.175 N N N N N N FINANCE AMERICA MTGE LOAN TRUST 2004-2 N/A 317350BD7 7852677.700000 PA USD 7714894.620000 0.0557576 Long ABS-MBS CORP US N 2 2034-08-25 Floating 0.97313 N N N N N N FINSBURY SQUARE 19-3 N/A ACI1G06J8 1462313.570000 PA 1890953.500000 0.0136664 Long ABS-MBS CORP GB N 2 2069-12-16 Floating 1.06929 N N N N N N FINSBURY SQUARE 2018-2 PLC 18-2 N/A ACI163WL9 3437479.070000 PA 4443081.770000 0.0321113 Long ABS-MBS CORP GB N 2 2068-09-12 Floating 1.00963 N N N N N N FINSBURY SQUARE 2019-1 PLC 19-1 N/A ACI19GS57 2306448.190000 PA 2979559.260000 0.0215341 Long ABS-MBS CORP GB N 2 2069-06-16 Floating 1.0225 N N N N N N FINSBURY SQUARE 2020-1 PLC 20-1A N/A ACI1JHW34 24056899.140000 PA 30964466.610000 0.2237885 Long ABS-MBS CORP GB N 2 2070-03-16 Floating 0.85929 N N N N N N FINSBURY SQUARE 2020-2A N/A ACI1N87B9 28500000.000000 PA 37005105.140000 0.2674458 Long ABS-MBS CORP GB N 2 2070-06-16 Floating 1.37 N N N N N N FIRST ABU DHABI BANK PJSC 2138002Y3WMK6RZS8H90 ACI1B1WQ6 36861000.000000 PA USD 36984356.440000 0.2672958 Long DBT CORP AE N 2 2022-04-16 Floating 1.22088 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAE5 2774675.830000 PA USD 2701199.920000 0.0195223 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.30813 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 184441.430000 PA USD 156245.430000 0.0011292 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.0944 Y N N N N N FIRST NLC TRUST 2007-1 N/A 32115BAA8 414273.580000 PA USD 258050.230000 0.0018650 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.21813 N N N N N N FIRSTKEY MASTER FUNDING 2016-R1 N/A 33767FAA8 3443944.690000 PA USD 3441576.980000 0.0248732 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 338422AQ1 1507376.460000 PA USD 1506208.200000 0.0108858 Long ABS-CBDO CORP KY N 2 2026-01-16 Floating 1.12088 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2019-2 N/A 33845WAA7 4090213.460000 PA USD 4150926.130000 0.0299999 Long ABS-O CORP US N 2 2023-10-16 Fixed 2.83 N N N N N N FNMA PASS THRU POOLS N/A 31362M2L1 2911.400000 PA USD 2951.900000 0.0000213 Long ABS-MBS USGSE US N 2 2028-07-01 Floating 4.456 N N N N N N FNMA PASS THRU POOLS N/A 31365RW75 1031.130000 PA USD 1030.520000 0.0000074 Long ABS-MBS USGSE US N 2 2021-05-01 Floating 1.903 N N N N N N FNMA PASS THRU POOLS N/A 31373RJ70 3265.300000 PA USD 3292.890000 0.0000238 Long ABS-MBS USGSE US N 2 2024-11-01 Floating 2.967 N N N N N N FNMA PASS THRU POOLS N/A 31374GUX3 803.600000 PA USD 807.810000 0.0000058 Long ABS-MBS USGSE US N 2 2027-11-01 Floating 4.036 N N N N N N FNMA PASS THRU POOLS N/A 31374TP37 2294.320000 PA USD 2312.340000 0.0000167 Long ABS-MBS USGSE US N 2 2029-04-01 Floating 3.719 N N N N N N FNMA PASS THRU POOLS N/A 31376ZXQ1 5223.750000 PA USD 5204.540000 0.0000376 Long ABS-MBS USGSE US N 2 2027-01-01 Floating 1.903 N N N N N N FNMA PASS THRU POOLS N/A 31384QRC9 39453.190000 PA USD 39558.590000 0.0002859 Long ABS-MBS USGSE US N 2 2029-07-01 Floating 3.843 N N N N N N FNMA PASS THRU POOLS N/A 31384V5K4 150104.190000 PA USD 150622.500000 0.0010886 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 3.113 N N N N N N FNMA PASS THRU POOLS N/A 31385HN32 12134.710000 PA USD 12811.380000 0.0000926 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.061 N N N N N N FNMA PASS THRU POOLS N/A 31385HU59 545839.740000 PA USD 564933.430000 0.0040829 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 3.363 N N N N N N FNMA PASS THRU POOLS N/A 31385HWQ1 21282.240000 PA USD 21362.750000 0.0001544 Long ABS-MBS USGSE US N 2 2040-12-01 Floating 3.016 N N N N N N FNMA PASS THRU POOLS N/A 31387L5Z0 146101.010000 PA USD 146059.790000 0.0010556 Long ABS-MBS USGSE US N 2 2032-01-01 Floating 3.938 N N N N N N FNMA PASS THRU POOLS N/A 31391JK90 2146.610000 PA USD 2148.400000 0.0000155 Long ABS-MBS USGSE US N 2 2033-02-01 Floating 3.84 N N N N N N FNMA PASS THRU POOLS N/A 31402DGC8 2025.350000 PA USD 2053.450000 0.0000148 Long ABS-MBS USGSE US N 2 2034-07-01 Floating 2.466 N N N N N N FNMA PASS THRU POOLS N/A 31402DNB2 7733.750000 PA USD 7827.310000 0.0000566 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 2.769 N N N N N N FNMA PASS THRU POOLS N/A 31402LPB2 285487.710000 PA USD 286821.480000 0.0020729 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 2.22 N N N N N N FNMA PASS THRU POOLS N/A 31402QUH2 21355.220000 PA USD 22395.830000 0.0001619 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 3.399 N N N N N N FNMA PASS THRU POOLS N/A 31402XBS4 9181.560000 PA USD 9161.750000 0.0000662 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 2.59 N N N N N N FNMA PASS THRU POOLS N/A 31403C2E0 6170.620000 PA USD 6220.430000 0.0000450 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 2.407 N N N N N N FNMA PASS THRU POOLS N/A 31404NDT0 52769.510000 PA USD 53180.610000 0.0003844 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 3.289 N N N N N N FNMA PASS THRU POOLS N/A 31404Q5M7 1007491.910000 PA USD 1012438.360000 0.0073172 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 2.22 N N N N N N FNMA PASS THRU POOLS N/A 31404UZK9 1565.120000 PA USD 1584.470000 0.0000115 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 2.523 N N N N N N FNMA PASS THRU POOLS N/A 31405JRX4 9003.110000 PA USD 9055.060000 0.0000654 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 2.288 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 93846.610000 PA USD 94307.860000 0.0006816 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 2.22 N N N N N N FNMA PASS THRU POOLS N/A 31405QAT5 26702.240000 PA USD 26751.320000 0.0001933 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 2.414 N N N N N N FNMA PASS THRU POOLS N/A 31405XYK3 144120.240000 PA USD 145230.150000 0.0010496 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 1.97 N N N N N N FNMA PASS THRU POOLS N/A 31406DAF3 276466.070000 PA USD 277821.220000 0.0020079 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 2.22 N N N N N N FNMA PASS THRU POOLS N/A 31406L3G1 58206.630000 PA USD 61464.600000 0.0004442 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 3.835 N N N N N N FNMA PASS THRU POOLS N/A 31406REZ4 13964.240000 PA USD 14080.080000 0.0001018 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 2.413 N N N N N N FNMA PASS THRU POOLS N/A 31406RHY4 12971.000000 PA USD 13085.280000 0.0000946 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 2.627 N N N N N N FNMA PASS THRU POOLS N/A 31406VQS8 15367.820000 PA USD 15560.770000 0.0001125 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 2.643 N N N N N N FNMA PASS THRU POOLS N/A 31406WDU5 9174.010000 PA USD 9181.370000 0.0000664 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.417 N N N N N N FNMA PASS THRU POOLS N/A 31407BYZ6 16716.650000 PA USD 16798.470000 0.0001214 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 2.468 N N N N N N FNMA PASS THRU POOLS N/A 31407KD22 2225.820000 PA USD 2229.000000 0.0000161 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.01 N N N N N N FNMA PASS THRU POOLS N/A 31407MWT8 25497.710000 PA USD 25657.330000 0.0001854 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 3.78 N N N N N N FNMA PASS THRU POOLS N/A 31407NBS1 5907.140000 PA USD 5914.360000 0.0000427 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.442 N N N N N N FNMA PASS THRU POOLS N/A 31407R2A1 5404.670000 PA USD 5426.110000 0.0000392 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.362 N N N N N N FNMA PASS THRU POOLS N/A 31407ULE5 5886.370000 PA USD 5884.430000 0.0000425 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 2.335 N N N N N N FNMA PASS THRU POOLS N/A 31407UMR5 52316.600000 PA USD 55471.340000 0.0004009 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 3.266 N N N N N N FNMA PASS THRU POOLS N/A 31407XUZ2 37535.850000 PA USD 37774.920000 0.0002730 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.46 N N N N N N FNMA PASS THRU POOLS N/A 31407Y2C2 7480.450000 PA USD 7481.610000 0.0000541 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 31408B4W5 17365.180000 PA USD 17516.090000 0.0001266 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 2.445 N N N N N N FNMA PASS THRU POOLS N/A 31408B5A2 19355.970000 PA USD 19534.160000 0.0001412 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 2.449 N N N N N N FNMA PASS THRU POOLS N/A 31408DC85 3529.370000 PA USD 3538.050000 0.0000256 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 31408DC93 4353.130000 PA USD 4365.200000 0.0000315 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 31408GAM9 21660.420000 PA USD 21770.420000 0.0001573 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 3.912 N N N N N N FNMA PASS THRU POOLS N/A 31409BFF9 16213.830000 PA USD 16290.030000 0.0001177 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 3.815 N N N N N N FNMA PASS THRU POOLS N/A 31409JPM6 7634.440000 PA USD 7648.540000 0.0000553 Long ABS-MBS USGSE US N 2 2036-06-01 Floating 3.015 N N N N N N FNMA PASS THRU POOLS N/A 31411EGB7 5104.340000 PA USD 5378.690000 0.0000389 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 3.761 N N N N N N FNMA PASS THRU POOLS N/A 31411EJC2 5010.550000 PA USD 5262.200000 0.0000380 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 3.645 N N N N N N FNMA PASS THRU POOLS N/A 3138ENEW5 1191130.480000 PA USD 1258026.610000 0.0090921 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 3.008 N N N N N N FORD AUTO SECURITIZATION TRUST 2019-BA N/A 345213HK1 29100000.000000 PA 22168275.320000 0.1602160 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 A 2019-3 N/A 34528QHB3 49200000.000000 PA USD 49475421.600000 0.3575721 Long ABS-O CORP US N 2 2024-09-15 Floating 0.75238 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZL0 50100000.000000 PA USD 49922451.610000 0.3608029 Long DBT CORP US N 2 2021-01-07 Floating 2.82588 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XW8 300000.000000 PA USD 300540.000000 0.0021721 Long DBT CORP US N 2 2021-03-18 Fixed 3.336 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YY3 18155000.000000 PA USD 17890557.720000 0.1292998 Long DBT CORP US N 2 2021-04-05 Floating 1.044 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YS6 11200000.000000 PA USD 11214000.000000 0.0810466 Long DBT CORP US N 2 2020-11-02 Fixed 2.343 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YR8 13375000.000000 PA USD 13333484.800000 0.0963647 Long DBT CORP US N 2 2020-11-02 Floating 0.681 N N N N N N FREDDIE MAC 2374 N/A 31339G5N7 39811.540000 PA USD 39859.270000 0.0002881 Long ABS-MBS USGSE US N 2 2031-06-15 Floating 0.55238 N N N N N N FREDDIE MAC 2395 N/A 31339LMA5 1329.270000 PA USD 1332.970000 0.0000096 Long ABS-MBS USGSE US N 2 2031-12-15 Floating 0.60238 N N N N N N FREDDIE MAC 2432 N/A 31339NNP7 84124.040000 PA USD 85121.420000 0.0006152 Long ABS-MBS USGSE US N 2 2032-03-15 Floating 0.85238 N N N N N N FREDDIE MAC 2477 N/A 31392PU94 97649.740000 PA USD 98227.730000 0.0007099 Long ABS-MBS USGSE US N 2 2031-06-15 Floating 0.70238 N N N N N N FREDDIE MAC 2820 N/A 31395CEC1 32586.960000 PA USD 32499.480000 0.0002349 Long ABS-MBS USGSE US N 2 2034-07-15 Floating 0.40238 N N N N N N FREDDIE MAC 3013 N/A 31395XRF4 1065095.080000 PA USD 1242366.740000 0.0089789 Long ABS-MBS USGSE US N 2 2035-08-15 Fixed 5 N N N N N N FREDDIE MAC 3397 N/A 31397PLU2 91296.760000 PA USD 92653.390000 0.0006696 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 0.75238 N N N N N N FREDDIE MAC 3807 N/A 3137A6NJ7 1141402.830000 PA USD 1129409.540000 0.0081625 Long ABS-MBS USGSE US N 2 2041-02-15 Floating 0.65238 N N N N N N FREDDIE MAC 3898 N/A 3137ADYR2 182038.840000 PA USD 184110.480000 0.0013306 Long ABS-MBS USGSE US N 2 2039-07-15 Floating 0.65238 N N N N N N FREDDIE MAC 3927 N/A 3137AFEP3 485661.570000 PA USD 490546.550000 0.0035453 Long ABS-MBS USGSE US N 2 2041-09-15 Floating 0.60238 N N N N N N FREDDIE MAC REMICS 2711 N/A 31394LYU0 104351.460000 PA USD 106273.690000 0.0007681 Long ABS-MBS USGSE US N 2 2033-11-15 Floating 1.15238 N N N N N N FREDDIE MAC REMICS 3245 N/A 31397CNM7 23528.800000 PA USD 23770.560000 0.0001718 Long ABS-MBS USGSE US N 2 2036-11-15 Floating 0.63238 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 12024887.420000 PA USD 687212.700000 0.0049667 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 3.11685 N N N N N N FREDDIE MAC REMICS 4948 N/A 3137FQZF3 74636363.250000 PA USD 75718508.420000 0.5472379 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 4950 N/A 3137FRCJ8 30778993.240000 PA USD 30977019.130000 0.2238792 Long ABS-MBS USGSE US N 2 2034-06-25 Fixed 2.5 N N N N N N FREDDIE MAC STRIPS 240 N/A 3128HVSA8 239461.380000 PA USD 240402.810000 0.0017375 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 0.50238 N N N N N N FREDDIE MAC STRIPS 328 N/A 31351DC90 13322250.240000 PA USD 13231741.270000 0.0956293 Long ABS-MBS USGSE US N 2 2038-02-15 Floating 0.50563 N N N N N N FREDDIE MAC-1482 N/A 312914Y65 681.630000 PA USD 684.250000 0.0000049 Long ABS-MBS USGSE US N 2 2023-03-15 Floating 0.91188 N N N N N N FREDDIE MAC-2380 N/A 31339GVJ7 41362.200000 PA USD 41671.510000 0.0003012 Long ABS-MBS USGSE US N 2 2031-06-15 Floating 0.75238 N N N N N N FREMONT HOME LOAN TRUST 2005-A N/A 35729PHN3 1827618.990000 PA USD 1809746.340000 0.0130795 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.88313 N N N N N N FRESENIUS MEDICAL CARE US FINANCE INC B8RI7LM5Z25R6H3S2R89 35803QAA5 6235000.000000 PA USD 6348543.220000 0.0458826 Long DBT CORP US N 2 2021-02-15 Fixed 5.75 N N N N N N FWD SECURITIZATION TRUST 2020-INV1 N/A 302985AA4 10547947.590000 PA USD 10635666.430000 0.0768668 Long ABS-MBS CORP US N 2 2050-01-25 Variable 2.24 N N N N N N GALLATIN CLO IX LTD 2018-1A N/A 36361WAC0 27318453.870000 PA USD 27133062.650000 0.1960979 Long ABS-CBDO CORP KY N 2 2028-01-21 Floating 1.32138 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAA8 14477446.620000 PA USD 14443815.800000 0.1043893 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.575 N N N N N N GATX CORPORATION 549300IHYHCQP2PIR591 361448BB8 22600000.000000 PA USD 22574995.130000 0.1631555 Long DBT CORP US N 2 2021-11-05 Floating 0.969 N N N N N N GCAT LLC 2019-RPL1 N/A 36167CAA4 2566981.530000 PA USD 2680189.270000 0.0193704 Long ABS-MBS CORP US N 2 2068-10-25 Variable 2.65 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 215196.270000 PA USD 2154760.250000 0.0155730 Long STIV RF US N 1 N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 37033LGC4 19500000.000000 PA USD 19545648.140000 0.1412616 Long DBT CORP US N 2 2022-10-15 Fixed 6.61 N N N N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 37045VAR1 10095000.000000 PA USD 10095872.610000 0.0729656 Long DBT CORP US N 2 2021-09-10 Floating 1.1495 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBS4 969000.000000 PA USD 994067.110000 0.0071844 Long DBT CORP US N 2 2022-01-14 Fixed 3.45 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBR6 61980000.000000 PA USD 62307658.510000 0.4503141 Long DBT CORP US N 2 2022-01-14 Floating 1.81813 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCE4 5975000.000000 PA USD 5912538.840000 0.0427315 Long DBT CORP US N 2 2023-01-05 Floating 1.224 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCH7 39908000.000000 PA USD 39891295.310000 0.2883050 Long DBT CORP US N 2 2021-04-09 Floating 1.11838 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XAW6 150000.000000 PA USD 154241.280000 0.0011147 Long DBT CORP US N 2 2022-04-10 Fixed 3.45 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBX3 18954000.000000 PA USD 18900772.620000 0.1366009 Long DBT CORP US N 2 2022-06-30 Floating 1.53038 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBM7 3934000.000000 PA USD 3994291.230000 0.0288678 Long DBT CORP US N 2 2021-07-06 Fixed 3.2 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCU8 2100000.000000 PA USD 2172844.510000 0.0157037 Long DBT CORP US N 2 2022-07-08 Fixed 3.55 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCP9 4725000.000000 PA USD 4879420.470000 0.0352649 Long DBT CORP US N 2 2021-11-06 Fixed 4.2 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCN4 41665000.000000 PA USD 41656665.330000 0.3010638 Long DBT CORP US N 2 2021-11-06 Floating 1.3485 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BV4 28500000.000000 PA USD 28538022.420000 0.2062519 Long DBT CORP US N 2 2023-09-29 Floating 0.7425 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2004-AR2 N/A 36185N3V0 256780.870000 PA USD 237134.150000 0.0017138 Long ABS-MBS CORP US N 2 2034-08-19 Floating 3.07588 N N N N N N GNMA PASS THRU POOLS N/A 36202J3L0 879.720000 PA USD 884.560000 0.0000064 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 36202KFV2 9286.850000 PA USD 9488.180000 0.0000686 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 36202KJQ9 73038.950000 PA USD 74916.510000 0.0005414 Long ABS-MBS USGSE US N 2 2024-02-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36202KKX2 869.820000 PA USD 885.900000 0.0000064 Long ABS-MBS USGSE US N 2 2024-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36202KM77 697.380000 PA USD 715.450000 0.0000052 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 36202KQL2 482.570000 PA USD 485.490000 0.0000035 Long ABS-MBS USGSE US N 2 2024-12-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36202KSG1 1258.240000 PA USD 1279.020000 0.0000092 Long ABS-MBS USGSE US N 2 2025-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36202KSJ5 4747.140000 PA USD 4907.550000 0.0000355 Long ABS-MBS USGSE US N 2 2025-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36202KS89 327.690000 PA USD 333.950000 0.0000024 Long ABS-MBS USGSE US N 2 2025-06-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36202KTG0 14569.950000 PA USD 15012.170000 0.0001085 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 36202KUH6 2119.280000 PA USD 2175.960000 0.0000157 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 36202KUK9 1209.750000 PA USD 1214.990000 0.0000088 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 36202KXJ9 1279.560000 PA USD 1298.370000 0.0000094 Long ABS-MBS USGSE US N 2 2026-01-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36202KXN0 84.810000 PA USD 85.540000 0.0000006 Long ABS-MBS USGSE US N 2 2021-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36202KZ65 12970.020000 PA USD 13331.080000 0.0000963 Long ABS-MBS USGSE US N 2 2026-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36202K2P9 277.660000 PA USD 279.590000 0.0000020 Long ABS-MBS USGSE US N 2 2021-12-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36202K3B9 440.010000 PA USD 448.120000 0.0000032 Long ABS-MBS USGSE US N 2 2026-06-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36202K4G7 3816.460000 PA USD 3857.110000 0.0000279 Long ABS-MBS USGSE US N 2 2022-01-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36225CAM8 76861.960000 PA USD 79628.500000 0.0005755 Long ABS-MBS USGSE US N 2 2026-11-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36225CCX2 85602.300000 PA USD 88964.830000 0.0006430 Long ABS-MBS USGSE US N 2 2027-06-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CDM5 5992.130000 PA USD 6203.380000 0.0000448 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 36225CDP8 18989.460000 PA USD 19114.630000 0.0001381 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 36225CDU7 34779.960000 PA USD 36079.450000 0.0002608 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 36225CDW3 6166.320000 PA USD 6190.790000 0.0000447 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 36225CDZ6 68588.740000 PA USD 71251.660000 0.0005150 Long ABS-MBS USGSE US N 2 2027-10-20 Floating 3.125 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 114204091.820000 PA USD 1126166549.410000 8.1391062 Long STIV RF US N 1 N N N GNMA PASS THRU POOLS N/A 36225CJJ6 17110.550000 PA USD 17331.010000 0.0001253 Long ABS-MBS USGSE US N 2 2029-03-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36225CJ56 34971.920000 PA USD 36499.700000 0.0002638 Long ABS-MBS USGSE US N 2 2029-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CKD7 64312.050000 PA USD 65436.710000 0.0004729 Long ABS-MBS USGSE US N 2 2029-06-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CKY1 285949.870000 PA USD 297924.880000 0.0021532 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 36225CK70 40418.660000 PA USD 40642.430000 0.0002937 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 36225CM52 57183.250000 PA USD 57650.880000 0.0004167 Long ABS-MBS USGSE US N 2 2030-02-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36225CND4 117104.700000 PA USD 122332.200000 0.0008841 Long ABS-MBS USGSE US N 2 2030-03-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36225CNK8 52213.110000 PA USD 54580.250000 0.0003945 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CNM4 124041.590000 PA USD 129662.160000 0.0009371 Long ABS-MBS USGSE US N 2 2030-04-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CNZ5 77064.240000 PA USD 80590.920000 0.0005825 Long ABS-MBS USGSE US N 2 2030-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225CS23 6806.430000 PA USD 7114.420000 0.0000514 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 36225CTC0 35334.630000 PA USD 36980.430000 0.0002673 Long ABS-MBS USGSE US N 2 2031-10-20 Floating 3.125 N N N N N N GNMA PASS THRU POOLS N/A 36225CUD6 88658.580000 PA USD 92855.580000 0.0006711 Long ABS-MBS USGSE US N 2 2032-02-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36225CUZ7 15775.490000 PA USD 16004.810000 0.0001157 Long ABS-MBS USGSE US N 2 2032-03-20 Floating 3 N N N N N N GNMA PASS THRU POOLS N/A 36225CU61 6040.890000 PA USD 6328.650000 0.0000457 Long ABS-MBS USGSE US N 2 2032-05-20 Floating 2.875 N N N N N N GNMA PASS THRU POOLS N/A 36225C2M7 25068.380000 PA USD 26279.060000 0.0001899 Long ABS-MBS USGSE US N 2 2033-12-20 Floating 3.125 N N N N N N GOLDEN CREDIT CARD TRUST 2018-3A N/A 380881EL2 6500000.000000 PA USD 6505759.000000 0.0470189 Long ABS-MBS CORP CA N 2 2023-05-15 Floating 0.47238 N N N N N N GOLDENTREE LOAN MANAGEMENT EUR CLO 4 DAC 4A N/A ACI1N8273 9300000.000000 PA 10906909.570000 0.0788271 Long ABS-CBDO CORP IE N 2 2031-07-20 Floating 1.55 N N N N N N GOLDENTTREE LOAN MANAGEMENT US CLO 1 LTD 2017-1A N/A 38136FAU7 12900000.000000 PA USD 12849299.900000 0.0928653 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.22175 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWU4 29440000.000000 PA USD 29552795.240000 0.2135859 Long DBT CORP US N 2 2023-02-23 Floating 1.00613 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWK6 5596000.000000 PA USD 5633865.280000 0.0407174 Long DBT CORP US N 2 2023-06-05 Floating 1.298 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWN0 4600000.000000 PA USD 4626830.740000 0.0334393 Long DBT CORP US N 2 2023-07-24 Floating 1.2635 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148YAB4 31378000.000000 PA USD 31517267.170000 0.2277837 Long DBT CORP US N 2 2022-10-31 Floating 1.04063 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141EB81 775000.000000 PA USD 798107.850000 0.0057681 Long DBT CORP US N 2 2023-11-29 Floating 1.85588 N N N N N N GOODMAN US FINANCE TWO LLC N/A 38239LAB2 6484000.000000 PA USD 6903342.970000 0.0498923 Long DBT CORP US N 2 2022-03-22 Fixed 6 N N N N N N GOSFORTH FUNDING 2017-1 PLC 17-1A N/A 383121AA8 1588780.000000 PA USD 1589429.810000 0.0114872 Long ABS-MBS CORP GB N 2 2059-12-19 Floating 0.69738 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H11 N/A 38375BSK9 20924872.820000 PA USD 21057327.260000 0.1521869 Long ABS-MBS USGSE US N 2 2062-02-20 Floating 0.85488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H12 N/A 38375BRW4 4364640.570000 PA USD 4377985.460000 0.0316409 Long ABS-MBS USGSE US N 2 2062-04-20 Floating 0.70488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29 N/A 38376RLR5 6796136.520000 PA USD 6819984.160000 0.0492898 Long ABS-MBS USGSE US N 2 2065-11-20 Floating 0.83488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30 N/A 38376RLJ3 3270308.270000 PA USD 3286218.970000 0.0237504 Long ABS-MBS USGSE US N 2 2065-10-20 Floating 0.75488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04 N/A 38376RRA6 5167982.050000 PA USD 5237605.620000 0.0378536 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 0.95488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRL2 18943476.300000 PA USD 19348080.540000 0.1398337 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 1.15488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11 N/A 38375UXM7 24392977.540000 PA USD 24727034.490000 0.1787089 Long ABS-MBS USGSE US N 2 2066-05-20 Floating 0.95488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11 N/A 38375UWT3 3597454.810000 PA USD 3655570.970000 0.0264198 Long ABS-MBS USGSE US N 2 2066-04-20 Floating 1.00488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14 N/A 38376RVV5 8530050.550000 PA USD 8648115.830000 0.0625022 Long ABS-MBS USGSE US N 2 2066-06-20 Floating 0.95488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ N/A 38376RC95 2729683.030000 PA USD 2764680.300000 0.0199811 Long ABS-MBS USGSE US N 2 2066-10-20 Floating 0.92488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24 N/A 38376RJ72 7502182.900000 PA USD 7626803.910000 0.0551209 Long ABS-MBS USGSE US N 2 2066-11-20 Floating 1.00488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H01 N/A 38376RN85 3017965.020000 PA USD 3072821.360000 0.0222081 Long ABS-MBS USGSE US N 2 2066-12-20 Floating 1.10488 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10 N/A 38375UZZ6 4355111.120000 PA USD 4449856.560000 0.0321603 Long ABS-MBS USGSE US N 2 2067-04-20 Floating 1.90388 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15 N/A 38376R6F8 4473319.750000 PA USD 4575393.300000 0.0330676 Long ABS-MBS USGSE US N 2 2067-07-20 Floating 1.4375 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H25 N/A 38375UZ78 1866758.040000 PA USD 1908624.200000 0.0137941 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 38380LPD9 5537633.860000 PA USD 5537228.510000 0.0400190 Long ABS-MBS USGSE US N 2 2068-12-20 Floating 2.2125 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H01 N/A 38380LPB3 15064362.080000 PA USD 15066210.480000 0.1088875 Long ABS-MBS USGSE US N 2 2068-12-20 Floating 2.2125 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-17 N/A 38382CP47 55362712.610000 PA USD 56532737.110000 0.4085772 Long ABS-MBS USGSE US N 2 2049-10-20 Fixed 2.5 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-21 N/A 38382DMC0 33536037.020000 PA USD 34251206.420000 0.2475426 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 2.5 N N N N N N GOVERNMENT NATL MTGE ASSOC 2009-66 N/A 38376FRF1 201481.620000 PA USD 206440.930000 0.0014920 Long ABS-MBS USGSE US N 2 2039-08-16 Floating 1.15213 N N N N N N GPMT LLC 2018-FL1 N/A 36255CAA7 4681724.800000 PA USD 4666492.340000 0.0337260 Long ABS-MBS CORP KY N 2 2035-11-21 Floating 1.05625 N N N N N N GREAT HALL MORTGAGES PLC 2006-1 N/A 991XUKII4 1110985.200000 PA 1409852.690000 0.0101894 Long ABS-MBS CORP GB N 2 2038-06-18 Floating 0.202 N N N N N N GREAT HALL MORTGAGES PLC 2007-1 N/A B1S83ZII1 1802340.320000 PA 2286695.910000 0.0165266 Long ABS-MBS CORP GB N 2 2039-03-18 Floating 0.182 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR1 N/A 39538RAB5 163382.380000 PA USD 143815.220000 0.0010394 Long ABS-MBS CORP US N 2 2045-06-25 Floating 0.58813 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR2 N/A 39538RBB4 72475.920000 PA USD 60378.570000 0.0004364 Long ABS-MBS CORP US N 2 2045-06-25 Floating 0.60813 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 262918.590000 PA USD 226923.330000 0.0016400 Long ABS-MBS CORP US N 2 2045-11-25 Floating 0.68813 N N N N N N GREENWICH CAPITAL ACCEPTANCE I-1994-AR5 N/A 396782CW2 861.390000 PA USD 862.900000 0.0000062 Long ABS-MBS CORP US N 2 2024-06-25 Floating 4.4242 N N N N N N GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2 N/A 39809LAA2 16000000.000000 PA USD 15640000.000000 0.1130345 Long ABS-CBDO CORP KY N 2 2037-09-15 Floating 1.33238 N N N N N N GS MORTGAGE SECURITIES TRUST 2014-GC18 2014-GC18 N/A 36252RAQ2 23240092.880000 PA USD 24183552.340000 0.1747810 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 36251XAP2 4200000.000000 PA USD 4226408.760000 0.0305454 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 36253XAA3 8000000.000000 PA USD 7988436.800000 0.0577346 Long ABS-MBS CORP US N 2 2032-07-15 Floating 0.85238 N N N N N N GSAA HOME EQUITY TRUST 2007-7 N/A 36249BAD2 1256403.920000 PA USD 1212101.740000 0.0087602 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.68813 N N N N N N GSAMP TRUST 2004-FM2 N/A 36228FN28 1471204.180000 PA USD 1423535.400000 0.0102883 Long ABS-MBS CORP US N 2 2034-01-25 Floating 0.89813 N N N N N N GSAMP TRUST 2006-HE4 N/A 362439AE1 5661500.000000 PA USD 5435471.410000 0.0392836 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.40813 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAB7 318276.000000 PA USD 191414.050000 0.0013834 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.21813 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413G2 97509.070000 PA USD 106157.050000 0.0007672 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 362341RX9 636554.620000 PA USD 647870.010000 0.0046823 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.68124 N N N N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 194288.460000 PA USD 193621.080000 0.0013994 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.78255 Y N N N N N GSR MORTGAGE LOAN TRUST 2006-AR2 N/A 36297TAB8 163731.550000 PA USD 135752.140000 0.0009811 Long ABS-MBS CORP US N 2 2036-04-25 Floating 3.50166 N N N N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 89.390000 PA USD 95.500000 0.0000007 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 362334NV2 2500000.000000 PA USD 2471968.000000 0.0178656 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.64813 N N N N N N GULF STREAM MERIDIAN 2 LTD 2020-IIA N/A 40256TAA1 10700000.000000 PA USD 10723062.780000 0.0774984 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 2.47755 N N N N N N HARBEN FINANCE 2017-1 PLC 17-1X N/A ACI12FW02 3277992.290000 PA 4221356.200000 0.0305089 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86825 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 621796.370000 PA USD 580058.660000 0.0041922 Long ABS-MBS CORP US N 2 2035-05-19 Floating 0.59625 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-1 N/A 41161PA86 1702323.090000 PA USD 1564402.410000 0.0113064 Long ABS-MBS CORP US N 2 2036-03-19 Floating 0.63625 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-5 N/A 41161MAC4 1133727.150000 PA USD 655407.210000 0.0047368 Long ABS-MBS CORP US N 2 2046-07-19 Floating 0.33625 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-6 N/A 41161UAJ1 29147.870000 PA USD 29138.600000 0.0002106 Long ABS-MBS CORP US N 2 2036-08-19 Floating 3.42385 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-1 N/A 41164MAC1 523560.870000 PA USD 490504.390000 0.0035450 Long ABS-MBS CORP US N 2 2037-03-19 Floating 0.28625 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-1 N/A 41161PCY7 10569.400000 PA USD 9976.030000 0.0000721 Long ABS-MBS CORP US N 2 2034-04-19 Floating 2.87399 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41283LAK1 7899000.000000 PA USD 7928373.700000 0.0573005 Long DBT CORP US N 2 2021-01-15 Fixed 2.85 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41283LAU9 4000000.000000 PA USD 4135241.720000 0.0298865 Long DBT CORP US N 2 2022-02-04 Fixed 4.05 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41283LAT2 1825000.000000 PA USD 1822696.470000 0.0131731 Long DBT CORP US N 2 2021-03-02 Floating 1.18088 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41284VAB8 5523000.000000 PA USD 5605674.450000 0.0405137 Long DBT CORP US N 2 2021-05-21 Fixed 3.55 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 U24652AP1 775000.000000 PA USD 801244.160000 0.0057908 Long DBT CORP US N 2 2022-02-04 Fixed 4.05 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 121072947.590000 PA 156284296.620000 1.1295083 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.1122 N N N N N N HAWKSMOOR MORTGAGES 19-1X N/A ACI1DHG20 23115512.560000 PA 29838140.500000 0.2156482 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.1122 N N N N N N HAYFIN EMERALD CLO IV DAC 4A N/A ACI1PFD57 19500000.000000 PA 22906774.370000 0.1655534 Long ABS-CBDO CORP IE N 2 2033-02-15 Floating 1.45 N N N N N N HEATHROW FUNDING LIMITED 7TI96JO3DYEIQWZ7Z726 05607MAA5 6500000.000000 PA USD 6661998.590000 0.0481480 Long DBT CORP JE N 2 2023-07-15 Fixed 4.875 N N N N N N HEWLETT PACKARD ENTERPRISE COMPANY 549300BX44RGX6ANDV88 42824CBB4 38400000.000000 PA USD 38405567.230000 0.2775673 Long DBT CORP US N 2 2021-10-05 Floating 0.954 N N N N N N HOLMES MASTER ISSUER PLC 18-1A N/A 43641NBY9 11131431.100000 PA USD 11134726.000000 0.0804736 Long ABS-MBS CORP GB N 2 2054-10-15 Floating 0.635 N N N N N N HOLMES MASTER ISSUER PLC 18-2A N/A 43641NCA0 93580572.600000 PA USD 93569062.190000 0.6762486 Long ABS-MBS CORP GB N 2 2054-10-15 Floating 0.695 N N N N N N HOME EQUITY ASSET TRUST 2004-1 N/A 437084AV8 3892877.250000 PA USD 3879628.620000 0.0280391 Long ABS-MBS CORP US N 2 2034-06-25 Floating 1.09313 N N N N N N HOME EQUITY ASSET TRUST 2006-3 N/A 437084US3 7763000.000000 PA USD 7602597.790000 0.0549460 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.53813 N N N N N N HOME EQUITY PASS-THRU CERTS 2002-3 N/A 22541NHE2 798.440000 PA USD 734.040000 0.0000053 Long ABS-MBS CORP US N 2 2033-02-25 Floating 1.06813 N N N N N N HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2 N/A 43789XAA2 8200761.630000 PA USD 8281072.510000 0.0598495 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.657 N N N N N N HOSPITALITY MORTGAGE TRUST 2019-HIT N/A 40443RAA9 21883129.780000 PA USD 21107480.060000 0.1525494 Long ABS-MBS CORP US N 2 2036-11-15 Floating 1.15238 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CA5 23800000.000000 PA USD 24022359.350000 0.1736160 Long DBT CORP GB N 2 2025-03-11 Floating 1.48025 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BR9 157132000.000000 PA USD 156629835.980000 1.1320056 Long DBT CORP GB N 2 2024-05-18 Floating 1.27038 N N N N N N HSI ASSET LOAN OBLIGATION 2007-WF1 N/A 40431KAA8 99103.250000 PA USD 37224.390000 0.0002690 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.20813 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFL7 260008.940000 PA USD 259217.630000 0.0018734 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.32813 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFN3 3872010.170000 PA USD 3684323.770000 0.0266276 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.47813 N N N N N N HSI ASSET SECUR CORP TRUST 2007-WF1 N/A 40431RAA3 131208.030000 PA USD 128928.050000 0.0009318 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.30813 N N N N N N HUTCHISON WHAMPOA INTERNATIONAL (11) LIMITED 254900NSPYVQR5EXP064 000000000 12901000.000000 PA USD 13497228.100000 0.0975481 Long DBT CORP KY N 2 2022-01-13 Fixed 4.625 N N N N N N HUTCHISON WHAMPOA INTERNATIONAL (12) (II) LIMITED 2549005GEGKY2Q53V676 G4690AAB3 380000.000000 PA USD 397170.300000 0.0028705 Long DBT CORP KY N 2 2022-11-08 Fixed 3.25 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABE6 12300000.000000 PA USD 12641396.830000 0.0913627 Long DBT CORP US N 2 2023-02-10 Fixed 2.375 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891AAT4 250000.000000 PA USD 250005.240000 0.0018069 Long DBT CORP US N 2 2021-03-12 Floating 1.06913 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891AAH0 3815000.000000 PA USD 3856721.830000 0.0278736 Long DBT CORP US N 2 2021-06-15 Fixed 2.45 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891AAV9 16300000.000000 PA USD 16314398.770000 0.1179085 Long DBT CORP US N 2 2021-07-08 Floating 1.2165 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891AAD9 1820000.000000 PA USD 1823350.150000 0.0131778 Long DBT CORP US N 2 2020-10-30 Fixed 3 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891CAY9 1979000.000000 PA USD 2054104.000000 0.0148456 Long DBT CORP US N 2 2022-02-01 Fixed 3.95 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891CAS2 5800000.000000 PA USD 5867970.030000 0.0424094 Long DBT CORP US N 2 2021-03-12 Fixed 3.45 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891CAT0 27168000.000000 PA USD 27168569.440000 0.1963545 Long DBT CORP US N 2 2021-03-12 Floating 1.06913 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891CAH6 4547000.000000 PA USD 4596727.170000 0.0332218 Long DBT CORP US N 2 2021-06-15 Fixed 2.45 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891CAV5 24188000.000000 PA USD 24209366.710000 0.1749676 Long DBT CORP US N 2 2021-07-08 Floating 1.2165 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891CAR4 2600000.000000 PA USD 2706283.190000 0.0195590 Long DBT CORP US N 2 2022-09-20 Fixed 3.25 N N N N N N HYUNDAI CAPITAL SERVICES 549300MALMDAGL2ZJJ27 44920UAG3 800000.000000 PA USD 807108.710000 0.0058332 Long DBT CORP KR N 2 2021-03-16 Fixed 2.875 N N N N N N HYUNDAI CAPITAL SERVICES 549300MALMDAGL2ZJJ27 44920UAJ7 16500000.000000 PA USD 16922902.760000 0.1223063 Long DBT CORP KR N 2 2022-03-06 Fixed 3 N N N N N N HYUNDAI CAPITAL SERVICES 549300MALMDAGL2ZJJ27 Y3815NAV3 2990000.000000 PA USD 3016568.810000 0.0218015 Long DBT CORP KR N 2 2021-03-16 Fixed 2.875 N N N N N N HYUNDAI CAPITAL SERVICES 549300MALMDAGL2ZJJ27 Y3815NAX9 9517000.000000 PA USD 9760925.180000 0.0705448 Long DBT CORP KR N 2 2022-03-06 Fixed 3 N N N N N N ICICI BANK LTD/HONG KONG BRANCH R7RX8ER1V4666J8D1I38 44927JAC0 14000000.000000 PA USD 14060205.880000 0.1016169 Long DBT CORP IN N 2 2020-11-16 Fixed 5.75 N N N N N N ICICI BANK LTD/HONG KONG BRANCH R7RX8ER1V4666J8D1I38 Y3860XAC7 11696000.000000 PA USD 11746297.710000 0.0848936 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 45254NLJ4 2097949.060000 PA USD 2063800.110000 0.0149156 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.78813 N N N N N N IMPAC CMB TRUST 2003-8 N/A 45254NFG7 544.880000 PA USD 544.220000 0.0000039 Long ABS-MBS CORP US N 2 2033-10-25 Floating 1.04813 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 453140AE5 44988000.000000 PA USD 47033471.650000 0.3399235 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 45262BAA1 17150000.000000 PA USD 18155058.090000 0.1312115 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 G4721VNT7 500000.000000 PA USD 522733.530000 0.0037779 Long DBT CORP GB N 2 2022-07-21 Fixed 3.75 N N N N N N IMT TRUST 2017-APTS N/A 44974AAA5 8947106.530000 PA USD 8868805.930000 0.0640972 Long ABS-MBS CORP US N 2 2034-06-15 Floating 0.85238 N N N N N N INDYMAC ARM TRUST 2001-H2 N/A 45660UAQ2 828.160000 PA USD 779.120000 0.0000056 Long ABS-MBS CORP US N 2 2032-01-25 Floating 2.82322 N N N N N N INDYMAC ARM TRUST 2001-H2 N/A 45660UAT6 800.740000 PA USD 778.200000 0.0000056 Long ABS-MBS CORP US N 2 2032-01-25 Floating 1.99705 N N N N N N INDYMAC IMSC MTGE LN TRUST 2007-HOA1 N/A 45670LAA5 418132.140000 PA USD 324875.500000 0.0023480 Long ABS-MBS CORP US N 2 2047-07-25 Floating 0.32813 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 826018.530000 PA USD 746752.800000 0.0053970 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.33813 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR4 N/A 45661EAV6 129683.180000 PA USD 121804.460000 0.0008803 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.35813 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR6 N/A 456612AC4 356997.700000 PA USD 311647.210000 0.0022524 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.34813 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 14308.130000 PA USD 14333.700000 0.0001036 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.71625 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 94176.690000 PA USD 88840.890000 0.0006421 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.62813 N N N N N N INFOR INC 549300Q3IIYBYI4RHD64 45674CAB9 3400000.000000 PA USD 3448849.570000 0.0249258 Long DBT CORP US N 2 2023-07-15 Fixed 1.45 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AJ2 29609000.000000 PA USD 29902795.890000 0.2161155 Long DBT CORP NL N 2 2022-03-29 Floating 1.36788 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AL7 7690000.000000 PA USD 7791737.390000 0.0563130 Long DBT CORP NL N 2 2023-10-02 Floating 1.23388 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45866FAR5 60800000.000000 PA USD 60995897.600000 0.4408336 Long DBT CORP US N 2 2023-06-15 Floating 0.903 N N N N N N INTERNATIONAL LEASE FINANCE CORPORATION N/A 459745GK5 22679000.000000 PA USD 24392948.870000 0.1762944 Long DBT CORP US N 2 2022-01-15 Fixed 8.625 N N N N N N INTERPUBLIC GROUP OF COMPANIES INC 5493008IUOJ5VWTRC333 460690BN9 6800000.000000 PA USD 7017035.190000 0.0507140 Long DBT CORP US N 2 2021-10-01 Fixed 3.75 N N N N N N ISRAEL ELECTRIC CORPORATION LTD 254900JW7GE35YNJGJ55 46507NAE0 13900000.000000 PA USD 15950610.290000 0.1152793 Long DBT CORP IL N 2 2023-06-21 Fixed 6.875 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-LAQ N/A 46649VAA9 18198216.850000 PA USD 17443942.620000 0.1260720 Long ABS-MBS CORP US N 2 2032-06-15 Floating 1.15238 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PHH N/A 46650FAA0 23839507.540000 PA USD 22675119.240000 0.1638791 Long ABS-MBS CORP US N 2 2035-06-15 Floating 2.41 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 15200000.000000 PA USD 14742242.880000 0.1065461 Long ABS-MBS CORP US N 2 2031-12-15 Floating 1.60238 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST N/A 46652DAA3 8500000.000000 PA USD 8347824.500000 0.0603320 Long ABS-MBS CORP US N 2 2036-12-15 Floating 1.00238 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LSX0 6700000.000000 PA USD 6753086.380000 0.0488064 Long DBT CORP US N 2 2022-06-27 Floating 0.96325 N N N N N N JAPAN TOBACCO INC 353800Z0ENYBQO0XRJ31 BYQRRPII5 5300000.000000 PA USD 5338000.260000 0.0385792 Long DBT CORP JP N 2 2021-04-13 Fixed 2 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAH9 2500000.000000 PA USD 2689077.200000 0.0194347 Long DBT CORP US N 2 2025-03-01 Floating 3.22 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAQ9 1753000.000000 PA USD 1766231.820000 0.0127650 Long DBT CORP US N 2 2024-04-23 Floating 0.9855 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAW6 7004000.000000 PA USD 7065400.780000 0.0510635 Long DBT CORP US N 2 2024-07-23 Floating 1.1455 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRW2 78078000.000000 PA USD 79316921.400000 0.5732446 Long DBT CORP US N 2 2023-10-24 Floating 1.4935 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2012-HSBC N/A 46637YAA7 11025214.930000 PA USD 11365276.660000 0.0821399 Long ABS-MBS CORP US N 2 2032-07-05 Fixed 3.0934 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2020-NNN N/A 46652BAA7 7600000.000000 PA USD 7479088.560000 0.0540534 Long ABS-MBS CORP US N 2 2037-01-16 Floating 1.01213 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NM1 897018.580000 PA USD 802512.110000 0.0058000 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.94477 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 7095059.020000 PA USD 6911116.780000 0.0499485 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.35813 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-NC2 N/A 46629FAE0 2500000.000000 PA USD 2380711.500000 0.0172060 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.41813 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH4 N/A 46630CAE4 1500000.000000 PA USD 1464219.300000 0.0105823 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.38813 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19 N/A 46641WAT4 67192.080000 PA USD 67448.300000 0.0004875 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 465968AC9 4300000.000000 PA USD 4584389.100000 0.0331326 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 482466AF6 19900000.000000 PA USD 19934526.500000 0.1440721 Long DBT CORP KR N 2 2022-10-02 Floating 0.934 N N N N N N KEB HANA BANK (AKA: KOREA EXCHANGE BANK) 6RPK2YDJN6L35AS0M510 ACI0Y2276 8800000.000000 PA USD 8856936.000000 0.0640114 Long DBT CORP KR N 2 2022-09-14 Floating 1.12413 N N N N N N KEB HANA BANK (AKA: KOREA EXCHANGE BANK) 6RPK2YDJN6L35AS0M510 Y4S96CSP9 3720000.000000 PA USD 3726454.200000 0.0269321 Long DBT CORP KR N 2 2022-10-02 Floating 0.934 N N N N N N KIA MOTORS CORPORATION 988400V8MJK9N7OI5X76 Y47606AD3 1730000.000000 PA USD 1744795.620000 0.0126101 Long DBT CORP KR N 2 2021-04-21 Fixed 2.625 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAN1 1700000.000000 PA USD 1709673.190000 0.0123563 Long DBT CORP US N 2 2023-01-15 Floating 1.555 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAQ9 14110000.000000 PA USD 14039813.760000 0.1014695 Long DBT CORP US N 2 2022-08-10 Floating 1.06325 N N N N N N LANARK MASTER ISSUER PLC 19-1A N/A 513770BB2 20650000.000000 PA USD 20702781.400000 0.1496245 Long ABS-MBS CORP GB N 2 2069-12-22 Floating 1.02613 N N N N N N LEASEPLAN CORPORATION NV 724500C60L930FVHS484 52206AAD2 17150000.000000 PA USD 17716220.800000 0.1280399 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 52474WAA5 8397411.880000 PA USD 8629104.870000 0.0623648 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 52473CAA0 3698366.110000 PA USD 3743317.160000 0.0270540 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 52474VAA7 4119298.490000 PA USD 4140586.200000 0.0299251 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 52521MAB8 310720.920000 PA USD 244464.560000 0.0017668 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.23813 N N N N N N LEHMAN XS TRUST 2007-9 N/A 52524MAT6 57247.520000 PA USD 61350.600000 0.0004434 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.29813 Y N N N N N LIBERTY FUNDING PTY LIMITED 2018-1 N/A ACI12DYP0 1618680.910000 PA 1156027.490000 0.0083549 Long ABS-MBS CORP AU N 2 2049-10-10 Floating 1.34 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAK9 36400000.000000 PA USD 37433508.480000 0.2705420 Long DBT CORP GB N 2 2023-03-17 Floating 2.858 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAM5 4700000.000000 PA USD 4735646.870000 0.0342258 Long DBT CORP GB N 2 2023-06-15 Floating 1.326 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AP4 10000000.000000 PA USD 10399729.300000 0.0751616 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 53946JAA2 41400000.000000 PA USD 40987622.880000 0.2962285 Long ABS-O CORP KY N 2 2036-05-15 Floating 1.28238 N N N N N N LONDON WALL MORTGAGE CAPITAL PLC 17-FL1 N/A ACI0WP8J5 2344240.580000 PA 3016721.800000 0.0218027 Long ABS-MBS CORP GB N 2 2049-11-15 Floating 0.92338 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-2 N/A 542514KV5 23800000.000000 PA USD 23729154.540000 0.1714969 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.12313 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-4 N/A 542514BQ6 16346.900000 PA USD 16273.290000 0.0001176 Long ABS-MBS CORP US N 2 2032-03-25 Floating 0.84813 N N N N N N LONG BEACH MTGE LOAN TRUST 2003-4 N/A 542514EH3 1632828.510000 PA USD 1623322.670000 0.0117322 Long ABS-MBS CORP US N 2 2033-08-25 Floating 1.16813 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-1 N/A 542514EV2 470361.560000 PA USD 469396.520000 0.0033925 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.97313 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 358703.080000 PA USD 342333.230000 0.0024741 Long ABS-MBS CORP US N 2 2034-10-25 Floating 0.70813 N N N N N N LP CREDIT CARD ABS MASTER TRUST 2018-1 N/A 50214FAA1 33854309.470000 PA USD 34703741.180000 0.2508132 Long ABS-MBS CORP US N 2 2024-08-20 Floating 1.74 N N N N N N LUMINENT MORTGAGE TRUST 2006-6 N/A 55027YAD0 144468.860000 PA USD 134378.430000 0.0009712 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.34813 N N N N N N LUMINENT MORTGAGE TRUST 2006-7 N/A 55028BAA5 106255.030000 PA USD 98383.780000 0.0007110 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.50813 Y N N N N N LUMINENT MORTGAGE TRUST 2006-7 N/A 55028BAG2 556967.610000 PA USD 516715.450000 0.0037344 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.31813 N N N N N N MACKAY SHIELDS EURO CLO-2 DAC 2A N/A ACI1NGXC0 9700000.000000 PA 11438443.600000 0.0826687 Long ABS-CBDO CORP IE N 2 2033-08-15 Floating 1.55 N N N N N N MADISON PARK FUNDING XVI LTD 2015-16A N/A 55818XAW3 5194503.430000 PA USD 5194383.700000 0.0375412 Long ABS-CBDO CORP KY N 2 2026-04-20 Floating 1.60175 N N N N N N MARLETTE FUNDING TRUST 2018-4A N/A 57109GAA2 2454784.420000 PA USD 2471836.090000 0.0178646 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 57109XAA5 1062881.860000 PA USD 1073814.340000 0.0077607 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 57109HAA0 10948607.270000 PA USD 11067708.410000 0.0799893 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 57109MAA9 1515054.910000 PA USD 1529578.530000 0.0110547 Long ABS-O CORP US N 2 2029-09-17 Fixed 2.69 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903AM5 14868000.000000 PA USD 15073556.640000 0.1089406 Long DBT CORP US N 2 2021-10-15 Fixed 3.125 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903AZ6 2575000.000000 PA USD 2570480.030000 0.0185775 Long DBT CORP US N 2 2020-12-01 Floating 0.846 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 624347.600000 PA USD 623542.190000 0.0045065 Long ABS-O CORP US N 2 2038-04-25 Floating 1.1945 N N N N N N MASTER CREDIT CARD TRUST II SERIES 2018-1A N/A 576339BM6 20800000.000000 PA USD 20835393.280000 0.1505829 Long ABS-MBS CORP CA N 2 2024-07-21 Floating 0.64625 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1 N/A 576433G42 351462.740000 PA USD 315848.250000 0.0022827 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.35813 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UF1 363595.720000 PA USD 367769.400000 0.0026580 Long ABS-MBS CORP US N 2 2034-11-21 Floating 3.23027 N N N N N N MASTR ALTERNATIVE LOANS TR 2003-5 N/A 576434FH2 437292.770000 PA USD 457618.310000 0.0033073 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 57643LFG6 8675077.930000 PA USD 8183810.870000 0.0591466 Long ABS-MBS CORP US N 2 2034-09-25 Floating 0.84813 N N N N N N MASTR ASSET BACKED SEC TR 2006-HE4 N/A 576449AA0 56093.700000 PA USD 26422.090000 0.0001910 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.19813 N N N N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAB4 285509.180000 PA USD 105730.440000 0.0007641 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.19813 N N N N N N MASTR ASSET BACKED SECURITIES 2004-OPT1 N/A 57643LCH7 1211063.490000 PA USD 1177235.100000 0.0085082 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.92813 N N N N N N MELLON RES FUND CORP 1999-TBC3 N/A 585525DF2 319390.500000 PA USD 314123.430000 0.0022703 Long ABS-MBS CORP US N 2 2029-10-20 Floating 2.61001 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC3 N/A 585525EN4 452131.890000 PA USD 438389.880000 0.0031684 Long ABS-MBS CORP US N 2 2030-12-15 Floating 0.59238 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A 585525FX1 27677.030000 PA USD 26764.660000 0.0001934 Long ABS-MBS CORP US N 2 2032-08-15 Floating 1.01238 N N N N N N MELLON RESIDENTIAL FUNDING CO 2001-TBC1 N/A 585525FC7 433943.300000 PA USD 430657.520000 0.0031125 Long ABS-MBS CORP US N 2 2031-11-15 Floating 0.85238 N N N N N N MERRILL LYNCH MORTGAGE BACKED SEC 2007-1 N/A 59024NAC1 242123.930000 PA USD 237991.330000 0.0017200 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.61356 Y N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAB7 294779.200000 PA USD 123305.370000 0.0008912 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.26813 N N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM4 N/A 59023QAB7 5391.910000 PA USD 3143.200000 0.0000227 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.22813 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A1 N/A 589929F37 2591.930000 PA USD 2488.150000 0.0000180 Long ABS-MBS CORP US N 2 2032-12-25 Floating 1.80988 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 2031106.310000 PA USD 1984579.150000 0.0143431 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.35813 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE1 N/A 59020U3E3 3965053.560000 PA USD 3948215.170000 0.0285348 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.53813 N N N N N N MF1 2019-FL2 LTD N/A 55282LAA4 2500000.000000 PA USD 2467208.000000 0.0178312 Long ABS-MBS CORP KY N 2 2034-12-25 Floating 1.27813 N N N N N N MF1 2020-FL3 LTD N/A 59319WAA9 22800000.000000 PA USD 23000826.960000 0.1662331 Long ABS-MBS CORP US N 2 2035-07-15 Floating 2.20238 N N N N N N MFA 2020-NQM1 TRUST N/A 552754AA1 6296723.370000 PA USD 6344910.930000 0.0458564 Long ABS-MBS CORP US N 2 2049-08-25 Variable 1.479 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2019-GS2 N/A 59981TAC9 25156079.140000 PA USD 26373331.500000 0.1906071 Long ABS-MBS CORP US N 2 2059-08-25 Fixed 2.75 N N N N N N MIRAE ASSET DAEWOO CO LTD (AKA: DAEWOO SECURITIES CO LTD) 98840072S6T63E2V1291 ACI164321 16700000.000000 PA USD 17124931.170000 0.1237664 Long DBT CORP KR N 2 2021-11-07 Fixed 4.125 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822AK0 34690000.000000 PA USD 35020625.530000 0.2531034 Long DBT CORP JP N 2 2022-02-22 Floating 1.17613 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822AT1 28900000.000000 PA USD 30787392.240000 0.2225087 Long DBT CORP JP N 2 2023-03-02 Fixed 3.455 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822AS3 32100000.000000 PA USD 32274624.640000 0.2332573 Long DBT CORP JP N 2 2023-03-02 Floating 0.98088 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822AQ7 88747000.000000 PA USD 89454234.610000 0.6465096 Long DBT CORP JP N 2 2022-07-25 Floating 1.0345 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 606822AZ7 25980000.000000 PA USD 26233922.800000 0.1895996 Long DBT CORP JP N 2 2023-07-26 Floating 1.1045 N N N N N N MITSUBISHI UFJ LEASE & FINANCE COMPANY LIMITED 353800MZ3QX9RLMH7B09 60682LAD4 2400000.000000 PA USD 2477266.200000 0.0179039 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 60682LAE2 5000000.000000 PA USD 5379867.500000 0.0388817 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 60682LAA0 22460000.000000 PA USD 23149578.370000 0.1673082 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 ACI0PLHS2 17265000.000000 PA USD 17500922.940000 0.1264838 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 ACI0HH3R7 23766000.000000 PA USD 23790597.810000 0.1719410 Long DBT CORP JP N 2 2020-10-21 Fixed 2.75 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBC2 113315000.000000 PA USD 113294845.790000 0.8188121 Long DBT CORP JP N 2 2024-05-25 Floating 0.88 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAY5 39371000.000000 PA USD 39564891.150000 0.2859460 Long DBT CORP JP N 2 2023-07-16 Floating 1.11088 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBG3 54500000.000000 PA USD 55040828.030000 0.3977948 Long DBT CORP JP N 2 2024-07-10 Floating 1.26288 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBB4 33695000.000000 PA USD 33882305.110000 0.2448765 Long DBT CORP JP N 2 2023-09-13 Floating 1.09913 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAU3 2000000.000000 PA USD 2022038.220000 0.0146138 Long DBT CORP JP N 2 2024-09-11 Floating 1.25025 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 256464.940000 PA USD 245481.910000 0.0017742 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.39813 N N N N N N MOLSON COORS BEVERAGE COMPANY 54930073LBBH6ZCBE225 60871RAF7 1900000.000000 PA USD 1923112.890000 0.0138989 Long DBT CORP US N 2 2021-07-15 Fixed 2.1 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAG3 41340000.000000 PA USD 41823291.060000 0.3022681 Long DBT CORP US N 2 2024-05-08 Floating 1.46325 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BEC6 89254000.000000 PA USD 90734159.770000 0.6557600 Long DBT CORP US N 2 2023-10-24 Floating 1.6635 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-HE4 N/A 61746RGK1 17176489.990000 PA USD 16937523.790000 0.1224120 Long ABS-MBS CORP US N 2 2034-05-25 Floating 1.04813 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-WMC1 N/A 61744CXM3 955220.860000 PA USD 941005.260000 0.0068009 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.45813 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE6 N/A 61755CAA0 124926.280000 PA USD 108182.960000 0.0007819 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.20813 N N N N N N MORGAN STANLEY ABS CAPITAL-2006-HE6 N/A 61750FAD2 19848.410000 PA USD 9571.730000 0.0000692 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.24813 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C7 N/A 61690KAC6 615608.360000 PA USD 627236.830000 0.0045332 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 61690FAK9 3239154.810000 PA USD 3385841.230000 0.0244704 Long ABS-MBS CORP US N 2 2048-04-15 Fixed 3.04 N N N N N N MORGAN STANLEY CAPITAL I 2007-IQ15 N/A 61755YAN4 2118931.460000 PA USD 2110434.330000 0.0152527 Long ABS-MBS CORP US N 2 2049-06-11 Variable 6.34503 N N N N N N MORGAN STANLEY CAPITAL I 2007-T27 N/A 61754JAK4 8100000.000000 PA USD 8352412.200000 0.0603651 Long ABS-MBS CORP US N 2 2042-06-11 Variable 6.21481 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-PLND N/A 61691XAA1 11400000.000000 PA USD 10972010.940000 0.0792977 Long ABS-MBS CORP US N 2 2036-05-15 Floating 1.15238 N N N N N N MORGAN STANLEY HOME EQUITY LN 2005-2 N/A 61744CQP4 950000.000000 PA USD 935556.580000 0.0067615 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.13813 N N N N N N MORGAN STANLEY IXIS RE CAP TR 2006-2 N/A 617463AA2 8720.420000 PA USD 4172.000000 0.0000302 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.19813 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 39324.130000 PA USD 40353.440000 0.0002916 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.7455 N N N N N N MORGAN STANLEY MTGE LN TR 2007-6XS N/A 61751JAG6 816543.610000 PA USD 302844.100000 0.0021887 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.36813 N N N N N N MORTGAGEIT TRUST 2004-2 N/A 61913PAG7 343681.420000 PA USD 342680.410000 0.0024766 Long ABS-MBS CORP US N 2 2034-12-25 Floating 0.88813 N N N N N N MOTEL 6 TRUST 2017-MTL6 N/A 61975FAA7 9232671.610000 PA USD 9094404.040000 0.0657277 Long ABS-MBS CORP US N 2 2034-08-15 Floating 1.07238 N N N N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 13200000.000000 PA USD 13170864.430000 0.0951894 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 1.36088 N N N N N N MOUNTAIN VIEW CLO LTD 2014-1A N/A 62431XAU0 6552719.130000 PA USD 6514169.020000 0.0470796 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 1.075 N N N N N N MYLAN INC 30ZMPDNA1RHIBH89C294 628530BD8 300000.000000 PA USD 329160.170000 0.0023789 Long DBT CORP US N 2 2023-11-29 Fixed 4.2 N N N N N N MYLAN NV 549300A0CD4KNFGIIS89 62854AAM6 27725000.000000 PA USD 28174838.680000 0.2036271 Long DBT CORP NL N 2 2021-06-15 Fixed 3.15 N N N N N N MYLAN NV 549300A0CD4KNFGIIS89 62854AAL8 3428000.000000 PA USD 3443264.440000 0.0248854 Long DBT CORP NL N 2 2020-12-15 Fixed 3.75 N N N N N N MYLAN NV 549300A0CD4KNFGIIS89 62854AAC8 4100000.000000 PA USD 4166522.580000 0.0301126 Long DBT CORP NL N 2 2021-06-15 Fixed 3.15 N N N N N N NASSAU LTD 2020-IA N/A 631715AA7 9900000.000000 PA USD 9919453.100000 0.0716905 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 2.38267 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAD9 12800000.000000 PA USD 13304694.020000 0.0961566 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 63874JAA7 5900000.000000 PA USD 5584460.920000 0.0403604 Long ABS-MBS CORP US N 2 2033-02-15 Floating 0.90238 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 63906AAB6 53900000.000000 PA USD 54350154.470000 0.3928031 Long DBT CORP GB N 2 2022-09-29 Floating 1.61788 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAC2 27760000.000000 PA USD 28011644.400000 0.2024476 Long DBT CORP US N 2 2021-03-25 Fixed 5.875 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAD0 8400000.000000 PA USD 8541750.000000 0.0617335 Long DBT CORP US N 2 2021-07-26 Fixed 6.625 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAA6 2900000.000000 PA USD 2904176.000000 0.0209893 Long DBT CORP US N 2 2020-10-26 Fixed 5 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-A N/A 63941FAB2 2600000.000000 PA USD 2719322.840000 0.0196533 Long ABS-O CORP US N 2 2068-11-15 Fixed 2.46 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-EA N/A 63941TAA4 27879692.800000 PA USD 28270722.220000 0.2043201 Long ABS-O CORP US N 2 2069-05-15 Fixed 1.69 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-GA N/A 63941UAA1 26100000.000000 PA USD 26154961.380000 0.1890289 Long ABS-O CORP US N 2 2069-09-16 Fixed 1.17 N N N N N N NAVIENT STUDENT LOAN TRUST 2014-AA N/A 63939CAB3 3121755.610000 PA USD 3186129.960000 0.0230270 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 63939EAB9 5455541.920000 PA USD 5530828.400000 0.0399728 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 63939RAA2 20327249.790000 PA USD 20124810.710000 0.1454474 Long ABS-O CORP US N 2 2066-12-27 Floating 1.19813 N N N N N N NAVIENT STUDENT LOAN TRUST 2017-5A N/A 63940CAA2 15369039.600000 PA USD 15007555.180000 0.1084636 Long ABS-O CORP US N 2 2066-07-26 Floating 0.94813 N N N N N N NAVIENT STUDENT LOAN TRUST 2018-1A N/A 63940DAB8 9519452.910000 PA USD 9467063.550000 0.0684210 Long ABS-O CORP US N 2 2067-03-25 Floating 0.49813 N N N N N N NAVIENT STUDENT LOAN TRUST 2018-EA N/A 63890BAA4 1366439.740000 PA USD 1369150.480000 0.0098952 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 62889AAA1 1931752.380000 PA USD 1934433.270000 0.0139807 Long ABS-O CORP US N 2 2020-12-07 Floating 0.5055 N N N N N N NCUA GUARANTEED NOTES 2010-R3 N/A 62888WAB2 1820767.350000 PA USD 1820821.060000 0.0131596 Long ABS-MBS CORP US N 2 2020-12-08 Floating 0.71475 N N N N N N NELNET STUDENT LOAN TRUST 2012-4A N/A 64033AAA2 4839938.190000 PA USD 4757604.550000 0.0343845 Long ABS-O CORP US N 2 2038-09-27 Floating 0.84813 N N N N N N NELNET STUDENT LOAN TRUST 2015-3A N/A 64033TAC7 5434773.560000 PA USD 5384593.750000 0.0389159 Long ABS-O CORP US N 2 2051-02-27 Floating 0.74813 N N N N N N NELNET STUDENT LOAN TRUST 2016-1A N/A 64033UAA8 3478310.910000 PA USD 3449351.880000 0.0249294 Long ABS-O CORP US N 2 2065-09-25 Floating 0.94813 N N N N N N NELNET STUDENT LOAN TRUST 2017-3A N/A 64032KAA1 3343692.150000 PA USD 3314238.570000 0.0239529 Long ABS-O CORP US N 2 2066-02-25 Floating 0.99813 N N N N N N NELNET STUDENT LOAN TRUST 2019-2 N/A 64034NAA3 69388188.560000 PA USD 68923842.800000 0.4981310 Long ABS-O CORP US N 2 2067-06-27 Floating 1.07513 N N N N N N NELNET STUDENT LOAN TRUST 2019-3A N/A 64031DAA8 39243768.200000 PA USD 38692244.130000 0.2796392 Long ABS-O CORP US N 2 2067-08-25 Floating 0.94813 N N N N N N NEUBERGER BERMAN CLO XIX LTD 2015-19A N/A 64130CAN2 3829799.010000 PA USD 3819529.020000 0.0276048 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.075 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2004-3 N/A 64352VHV6 2488018.130000 PA USD 2407091.110000 0.0173967 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.07813 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2006-1 N/A 64352VQR5 274343.520000 PA USD 255175.880000 0.0018442 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.32813 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A N/A 64830KAA5 13761056.310000 PA USD 14909984.790000 0.1077584 Long ABS-MBS CORP US N 2 2058-05-25 Variable 4.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 N/A 64829VAA4 4532390.070000 PA USD 4885027.690000 0.0353054 Long ABS-MBS CORP US N 2 2057-12-25 Variable 3.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 89179199.620000 PA USD 93910316.680000 0.6787149 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A N/A 64830TAD0 3169705.220000 PA USD 3409619.890000 0.0246422 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 86656610.880000 PA USD 91725442.020000 0.6629242 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N NISSAN AUTO LEASE TRUST 2020-A N/A 65479NAB0 8438094.580000 PA USD 8499078.380000 0.0614251 Long ABS-O CORP US N 2 2022-05-16 Fixed 1.8 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AW9 90000000.000000 PA USD 88973304.300000 0.6430338 Long DBT CORP US N 2 2022-01-13 Floating 1.15625 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BH1 800000.000000 PA USD 821219.860000 0.0059352 Long DBT CORP US N 2 2023-03-15 Fixed 3.45 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BA6 1680000.000000 PA USD 1642017.890000 0.0118673 Long DBT CORP US N 2 2022-07-13 Floating 0.91625 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BE8 33191000.000000 PA USD 32282442.510000 0.2333138 Long DBT CORP US N 2 2022-09-28 Floating 0.92325 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 U65478BK1 5299000.000000 PA USD 5153947.240000 0.0372490 Long DBT CORP US N 2 2022-09-28 Floating 0.92325 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AA9 26400000.000000 PA USD 26778882.500000 0.1935381 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAP4 29150000.000000 PA USD 30709607.200000 0.2219465 Long DBT CORP JP N 2 2025-01-16 Fixed 2.648 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAR0 39022000.000000 PA USD 39762833.060000 0.2873766 Long DBT CORP JP N 2 2025-07-16 Fixed 1.851 N N N N N N NOMURA HOME EQUITY LOAN INC 2006-HE3 N/A 65536QAA6 4227763.380000 PA USD 3984593.850000 0.0287977 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.29813 N N N N N N NOMURA RESECURITIZATION TRUST 2015-4R N/A 65540WCH0 1947350.200000 PA USD 1919345.360000 0.0138716 Long ABS-MBS CORP US N 2 2036-12-26 Floating 0.700718 N N N N N N NORDEA BANK ABP 529900ODI3047E2LIV03 65557CAZ6 14115000.000000 PA USD 14140786.550000 0.1021992 Long DBT CORP FI N 2 2023-08-30 Floating 1.19588 N N N N N N NORTHSTAR EDUCATION FINANCE INC 2012-1 N/A 66705EAA6 3518574.600000 PA USD 3447945.550000 0.0249192 Long ABS-O CORP US N 2 2031-12-26 Floating 0.84813 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-1 N/A 66987XGJ8 3864000.000000 PA USD 3817321.720000 0.0275888 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.22813 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-4 N/A 66987WDE4 8523644.980000 PA USD 8456036.280000 0.0611140 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.80813 N N N N N N NUTRITION & BIOSCIENCES INC N/A 67079BAA8 5300000.000000 PA USD 5309874.220000 0.0383759 Long DBT CORP US N 2 2022-09-15 Fixed 0.697 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAW8 900000.000000 PA USD 951497.850000 0.0068767 Long DBT CORP NL N 2 2022-09-01 Fixed 3.875 N N N N N N OAKCL-2014-1A N/A 674000AN4 493570.370000 PA USD 490678.130000 0.0035463 Long ABS-CBDO CORP KY N 2 2029-05-13 Floating 1.5435 N N N N N N OBX TRUST 2018-1 N/A 67112FAD2 1775993.950000 PA USD 1777769.940000 0.0128484 Long ABS-MBS CORP US N 2 2057-06-25 Floating 0.79813 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CQ6 99061000.000000 PA USD 88220179.230000 0.6375908 Long DBT CORP US N 2 2022-08-15 Floating 1.73013 N N N N N N OCEAN TRAILS CLO VI 2016-6A N/A 67515UAQ3 3266517.270000 PA USD 3261013.320000 0.0235682 Long ABS-CBDO CORP KY N 2 2028-07-15 Floating 1.425 N N N N N N OCP CLO 2015-9 N/A 67091YAJ3 1343775.550000 PA USD 1339576.680000 0.0096815 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.075 N N N N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 85172FAL3 500000.000000 PA USD 520315.000000 0.0037605 Long DBT CORP US N 2 2023-03-15 Fixed 5.625 N N N N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 85172FAK5 2600000.000000 PA USD 2704000.000000 0.0195425 Long DBT CORP US N 2 2022-05-15 Fixed 6.125 N N N N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 85172FAD1 3350000.000000 PA USD 3511470.000000 0.0253783 Long DBT CORP US N 2 2021-10-01 Fixed 7.75 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2017-1 N/A 68267LAA6 6627686.450000 PA USD 6641321.590000 0.0479986 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 68389FCG7 57929.720000 PA USD 57274.960000 0.0004139 Long ABS-MBS CORP US N 2 2032-08-25 Floating 0.68813 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-2 N/A 68389FHB3 781055.720000 PA USD 781059.700000 0.0056449 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.80813 N N N N N N ORANGE UNIFIED SCHOOL DISTRICT N/A 684146AA1 31970000.000000 PA USD 30553870.630000 0.2208210 Long DBT MUN US Y 3 2043-05-01 Floating 0.999 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 686330AH4 21535000.000000 PA USD 22307751.390000 0.1612241 Long DBT CORP JP N 2 2022-07-18 Fixed 2.9 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 ACI0RXMB5 26500000.000000 PA USD 27319084.530000 0.1974423 Long DBT CORP JP N 2 2022-01-19 Fixed 3.2 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 ACI0LVT02 39695000.000000 PA USD 40083217.100000 0.2896921 Long DBT CORP JP N 2 2021-04-13 Fixed 2.65 N N N N N N OSCAR US FUNDING TRUST X LLC 2019-1A N/A 68784YAB0 4199250.000000 PA USD 4222761.470000 0.0305190 Long ABS-O CORP JP N 2 2022-04-11 Fixed 3.1 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HG5 6900000.000000 PA USD 7231207.520000 0.0522619 Long DBT CORP US N 2 2024-02-15 Fixed 3.75 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JE8 73308000.000000 PA USD 73396797.250000 0.5304582 Long DBT CORP US N 2 2022-06-16 Fixed 1.75 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JD0 38700000.000000 PA USD 38792755.000000 0.2803656 Long DBT CORP US N 2 2022-06-16 Floating 1.71725 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HC4 2100000.000000 PA USD 2176178.700000 0.0157278 Long DBT CORP US N 2 2023-06-15 Fixed 3.25 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JB4 7000000.000000 PA USD 7460360.040000 0.0539180 Long DBT CORP US N 2 2023-08-01 Fixed 4.25 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HK6 4400000.000000 PA USD 4602148.760000 0.0332610 Long DBT CORP US N 2 2024-08-15 Fixed 3.4 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HE0 2300000.000000 PA USD 2428327.400000 0.0175502 Long DBT CORP US N 2 2023-11-15 Fixed 3.85 N N N N N N PALMER SQUARE LOAN FUNDING 2020-1 LTD N/A 69701EAA4 8118106.380000 PA USD 8079792.980000 0.0583948 Long ABS-CBDO CORP KY N 2 2028-02-20 Floating 1.053 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2018-1A N/A 69700EAA5 1633604.980000 PA USD 1627857.010000 0.0117650 Long ABS-CBDO CORP KY N 2 2026-04-15 Floating 0.875 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2018-2A N/A 69700HAA8 7437656.880000 PA USD 7411676.180000 0.0535662 Long ABS-CBDO CORP KY N 2 2026-07-15 Floating 0.925 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2018-3A N/A 69700LAA9 11873975.740000 PA USD 11851412.930000 0.0856533 Long ABS-CBDO CORP KY N 2 2026-08-15 Floating 1.13013 N N N N N N PENARTH MASTER ISSUER PLC 19-1A N/A 70659PAL5 34050000.000000 PA USD 34048774.200000 0.2460796 Long ABS-MBS CORP GB N 2 2023-07-18 Floating 0.69 N N N N N N PENARTH MASTER ISSUER PLC 19-1X N/A ACI1D8GY0 4100000.000000 PA USD 4099852.400000 0.0296307 Long ABS-MBS CORP GB N 2 2023-07-18 Floating 0.69 N N N N N N PENNSYLVANIA HIGHER EDUCATION-2006-2 N/A 709163GH6 2298040.760000 PA USD 2242841.820000 0.0162096 Long ABS-O CORP US N 2 2036-10-25 Floating 0.3745 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AV6 11905000.000000 PA USD 12046264.730000 0.0870616 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 709599BD5 3000000.000000 PA USD 3071183.970000 0.0221963 Long DBT CORP US N 2 2021-07-29 Fixed 3.65 N N N N N N PEPPER RESIDENTIAL SECURITIES TRUST 2016X N/A ACI11C0H8 3394295.340000 PA 2431673.810000 0.0175744 Long ABS-MBS CORP AU N 2 2057-08-13 Floating 1.14 N N N N N N PERMANENT MASTER ISSUER PLC 18-1A N/A 71419GAX8 625000.000000 PA USD 625230.000000 0.0045187 Long ABS-MBS CORP GB N 2 2058-07-15 Floating 0.655 N N N N N N PERMANENT MASTER ISSUER PLC 18-1X N/A ACI13LQS4 1625000.000000 PA USD 1625598.000000 0.0117486 Long ABS-MBS CORP GB N 2 2058-07-15 Floating 0.655 N N N N N N PERMANENT MASTER ISSUER PLC 19-1A N/A 71419GAY6 13050000.000000 PA USD 13079832.300000 0.0945314 Long ABS-MBS CORP GB N 2 2058-07-15 Floating 0.825 N N N N N N 280 PARK AVENUE 2017-280P MORTGAGE TRUST N/A 90205FAA8 12400000.000000 PA USD 12405761.040000 0.0896597 Long ABS-MBS CORP US N 2 2034-09-15 Floating 1.03238 N N N N N N 522 FUNDING CLO I LTD 2017-1A N/A 04625AAA2 8400000.000000 PA USD 8390156.040000 0.0606379 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 1.52175 N N N N N N PFP 2019-6 LTD N/A 69346WAA5 2500000.000000 PA USD 2447881.000000 0.0176915 Long ABS-MBS CORP KY N 2 2037-04-14 Floating 1.20213 N N N N N N PFP LTD 2019-5 N/A 69346TAA2 38119387.420000 PA USD 37664649.810000 0.2722125 Long ABS-MBS CORP KY N 2 2036-04-14 Floating 1.12213 N N N N N N PFS FINANCING CORP 2019-A N/A 69335PDD4 18700000.000000 PA USD 18676800.780000 0.1349822 Long ABS-O CORP US N 2 2024-04-15 Floating 0.70238 N N N N N N PFS FINANCING CORP 2019-C N/A 69335PDM4 2980000.000000 PA USD 3065930.680000 0.0221583 Long ABS-O CORP US N 2 2024-10-15 Fixed 2.23 N N N N N N PFS FINANCING CORP 2020-F N/A 69335PDV4 14000000.000000 PA USD 14025048.800000 0.1013628 Long ABS-O CORP US N 2 2024-08-15 Fixed 1.16 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 718546AS3 26905000.000000 PA USD 26908033.270000 0.1944715 Long DBT CORP US N 2 2021-02-26 Floating 0.83375 N N N N N N PIPER SANDLER COMPANIES QUQDBTUSOAKFEVMRMF78 724078AD2 6900000.000000 PA USD 6900000.000000 0.0498681 Long DBT CORP US N 2 2021-10-15 Fixed 4.74 N N N N N N PIPER SANDLER COMPANIES QUQDBTUSOAKFEVMRMF78 724078AE0 24600000.000000 PA USD 24661500.000000 0.1782352 Long DBT CORP US N 2 2023-10-15 Fixed 5.2 N N N N N N POLARIS 2019-1 HOLDINGS LTD 19-1 N/A ACI1CTP90 4686579.780000 PA 6040944.640000 0.0436595 Long ABS-MBS CORP GB N 2 2057-04-27 Floating 1.30546 N N N N N N PPL WEM LTD / WESTERN POWER DISTRIBUTION PLC N/A 69353UAA9 573000.000000 PA USD 581311.650000 0.0042013 Long DBT CORP GB N 2 2021-05-01 Fixed 5.375 N N N N N N PRECISE MORTGAGE FUNDING 2018-2B N/A ACI11CLN2 2774133.880000 PA 3558266.700000 0.0257165 Long ABS-MBS CORP GB N 2 2055-03-12 Floating 0.73963 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBG3 55600000.000000 PA USD 56653436.520000 0.4094495 Long DBT CORP US N 2 2021-11-19 Fixed 2.15 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBJ7 800000.000000 PA USD 801915.180000 0.0057957 Long DBT CORP US N 2 2021-11-19 Floating 0.72775 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 963TAKII9 24550000.000000 PA USD 24574550.000000 0.1776068 Long LON NUSS QA N 3 2020-12-21 Floating 1.1556 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 938CKDII3 19350000.000000 PA USD 19369350.000000 0.1399875 Long LON NUSS QA N 3 2020-12-21 Floating 1.0969 N N N N N N QATAR NATIONAL BANK (QPSC) 549300FFSRVBS0SQXY75 963ZXGII9 49200000.000000 PA USD 49163100.000000 0.3553148 Long LON CORP QA N 3 2020-12-22 Floating 1.153 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 BD93CFII1 47309000.000000 PA USD 47503676.540000 0.3433217 Long DBT CORP KY N 2 2021-05-31 Floating 1.60588 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI1BFTD8 27590000.000000 PA USD 27573593.330000 0.1992817 Long DBT CORP KY N 2 2022-05-02 Floating 1.251 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI0W6TY1 40600000.000000 PA USD 40811605.580000 0.2949564 Long DBT CORP KY N 2 2021-07-18 Floating 1.84175 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI150049 14400000.000000 PA USD 14489847.940000 0.1047220 Long DBT CORP KY N 2 2021-08-11 Floating 1.7025 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI16QBD9 10000000.000000 PA USD 10017839.400000 0.0724016 Long DBT CORP KY Y 2 2021-12-06 Floating 1.5695 N N N N N N RAAC SERIES 2006-RP4 N/A 74919TAB7 5714612.400000 PA USD 5678868.640000 0.0410427 Long ABS-MBS CORP US N 2 2046-01-25 Floating 0.69813 N N N N N N RALI SERIES 2005-QO1 TRUST N/A 761118EN4 489745.330000 PA USD 415419.720000 0.0030023 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.44813 N N N N N N RAMP SERIES 2005-RS7 N/A 76112BWX4 1000000.000000 PA USD 987221.600000 0.0071349 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.66813 N N N N N N RBSSP RESECURITIZATION TRUST 2010-2 N/A 74929CDA1 1862719.610000 PA USD 1837082.440000 0.0132771 Long ABS-MBS CORP US N 2 2045-08-26 Floating 0.81513 N N N N N N RECKITT BENCKISER TREASURY SERVICES PLC 213800LAXWIUOOBZ3908 75625QAF6 23100000.000000 PA USD 23191003.610000 0.1676076 Long DBT CORP GB N 2 2022-06-24 Floating 0.7825 N N N N N N RELIANCE INDUSTRIES LIMITED 5493003UOETFYRONLG31 Y72570AQ0 3875000.000000 PA USD 3881936.250000 0.0280558 Long DBT CORP IN N 2 2020-10-19 Fixed 4.5 N N N N N N RENAISSANCE HOME EQUITY LN TR 2003-2 N/A 759950AW8 324681.580000 PA USD 310256.330000 0.0022423 Long ABS-MBS CORP US N 2 2033-08-25 Floating 1.02813 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2004-3 N/A 759950DY1 144264.070000 PA USD 133402.000000 0.0009641 Long ABS-MBS CORP US N 2 2034-11-25 Floating 0.50813 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO3 N/A 761118WP9 158886.740000 PA USD 62830.490000 0.0004541 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.35813 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH7 N/A 75115LAA5 211182.940000 PA USD 192498.800000 0.0013912 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.39813 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO2 N/A 761118HU5 313571.750000 PA USD 295907.500000 0.0021386 Long ABS-MBS CORP US N 2 2045-09-25 Floating 2.37929 N N N N N N RESIDENTIAL ASSET MTGE PRO INC 2004-RS1 N/A 760985N80 2824623.320000 PA USD 2779488.380000 0.0200881 Long ABS-MBS CORP US N 2 2034-01-25 Floating 1.16813 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC5 N/A 76112BH60 100000.000000 PA USD 98508.460000 0.0007119 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.83813 N N N N N N RESIDENTIAL ASSET MTGE PROD 2006-RZ2 N/A 75156UAC1 3341354.960000 PA USD 3331594.190000 0.0240783 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.68813 N N N N N N RESIDENTIAL ASSET MTGE PROD INC 2002-RS3 N/A 760985LY5 3402.140000 PA USD 3191.620000 0.0000231 Long ABS-MBS CORP US N 2 2032-06-25 Floating 0.70813 N N N N N N RESIDENTIAL ASSET SEC TR 2004-IP2 N/A 45660LAS8 1061044.430000 PA USD 1036043.360000 0.0074878 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.81381 N N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A15 N/A 45660L4G1 101503.760000 PA USD 70401.000000 0.0005088 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 76110WQ58 1819041.280000 PA USD 1808547.410000 0.0130709 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.79313 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 10546.180000 PA USD 11130.870000 0.0000804 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 ACI16FGD8 4444845.740000 PA 5747987.290000 0.0415422 Long ABS-MBS CORP GB N 2 2065-09-20 Floating 1.25663 N N N N N N RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A N/A ACI1PKR28 34100000.000000 PA 44270035.560000 0.3199514 Long ABS-MBS CORP GB N 2 2070-06-20 Floating 1.315 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BF2 12000000.000000 PA USD 12652846.440000 0.0914455 Long DBT CORP US N 2 2022-06-12 Fixed 4 N N N N N N RIPON MORTGAGES PLC 1A N/A ACI0TMV43 88943129.840000 PA 114644196.710000 0.8285642 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86825 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0TMVB7 11017428.360000 PA 14201031.910000 0.1026346 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86825 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0WLGW6 7970054.560000 PA 10272776.330000 0.0742441 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86825 N N N N N N RMAC 2018-1 PLC 18-1 N/A ACI11M5K4 6532154.780000 PA 8339541.550000 0.0602721 Long ABS-MBS CORP GB N 2 2046-06-12 Floating 0.75963 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2006-2 N/A 00437NAD4 6620473.730000 PA USD 6466176.310000 0.0467328 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.40813 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 77578JAA6 500000.000000 PA USD 499375.000000 0.0036091 Long DBT CORP GB N 2 2020-10-14 Fixed 2.375 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BF7 139241000.000000 PA USD 139860980.300000 1.0108126 Long DBT CORP GB N 2 2023-05-15 Floating 1.75013 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 4400000.000000 PA USD 4421432.800000 0.0319549 Long DBT CORP GB N 2 2024-06-25 Floating 1.775 N N N N N N ACE SECURITIES CORP 2004-HE2 N/A 004421GT4 2934735.270000 PA USD 2880958.300000 0.0208215 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.18313 N N N N N N ACE SECURITIES CORP 2004-OP1 N/A 004421EW9 18060688.760000 PA USD 17616558.360000 0.1273196 Long ABS-MBS CORP US N 2 2034-04-25 Floating 0.92813 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AH9 3500000.000000 PA USD 3715355.350000 0.0268519 Long DBT CORP US N 2 2022-03-15 Fixed 6.25 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AD8 3200000.000000 PA USD 3507261.700000 0.0253479 Long DBT CORP US N 2 2023-04-15 Variable 5.625 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAB7 10525.480000 PA USD 5938.440000 0.0000429 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.20813 N N N N N N SANTANDER HOLDINGS USA INC 549300SMVCQN2P0O6I58 80282KAU0 17109000.000000 PA USD 17789284.470000 0.1285679 Long DBT CORP US N 2 2021-12-03 Fixed 4.45 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAH8 14400000.000000 PA USD 15060353.330000 0.1088452 Long DBT CORP GB N 2 2024-01-05 Floating 3.373 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAE5 6100000.000000 PA USD 6226760.500000 0.0450025 Long DBT CORP GB N 2 2021-08-05 Fixed 2.875 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAV5 500000.000000 PA USD 517781.540000 0.0037421 Long DBT CORP GB N 2 2021-11-15 Fixed 3.75 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAW3 3300000.000000 PA USD 3320130.960000 0.0239955 Long DBT CORP GB N 2 2021-11-15 Floating 0.94013 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAB5 15800000.000000 PA USD 16088792.400000 0.1162780 Long DBT NUSS SA N 2 2021-10-26 Fixed 2.375 N N N N N N SCENTRE MANAGEMENT LTD (SCENTRE GROUP TRUST 1/SCENTRE GROUP TRUST 2) N/A 806213AC8 12180000.000000 PA USD 12259806.770000 0.0886049 Long DBT CORP AU N 2 2021-04-28 Fixed 2.375 N N N N N N SCHLUMBERGER INVESTMENT SA 529900EZ29I5KXPV2J32 80686BKT4 15200000.000000 PA USD 15198027.800000 0.1098402 Long DBT CORP US N 2 2020-10-27 None 0 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-OP2 N/A 81375WBL9 3243067.370000 PA USD 2880454.820000 0.0208178 Long ABS-MBS CORP US N 2 2034-08-25 Floating 0.81813 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1 N/A 81375WCT1 618990.470000 PA USD 589801.420000 0.0042627 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.82313 N N N N N N ADCB FINANCE (CAYMAN) LIMITED 213800R9XDKRM525M609 ACI1N5JH9 10900000.000000 PA 14029644.480000 0.1013960 Long DBT CORP KY N 2 2021-06-14 Fixed 1.4 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAB9 108968.750000 PA USD 105258.770000 0.0007607 Long ABS-MBS CORP US N 2 2027-10-20 Floating 0.91625 N N N N N N SEQUOIA MORTGAGE TRUST 2004-3 N/A 81744FAZ0 648462.870000 PA USD 638483.740000 0.0046145 Long ABS-MBS CORP US N 2 2034-05-20 Floating 1.625 N N N N N N SEQUOIA MORTGAGE TRUST 2005-3 N/A 81744FHK6 1687740.800000 PA USD 1666118.650000 0.0120415 Long ABS-MBS CORP US N 2 2035-05-20 Floating 0.35625 N N N N N N SEQUOIA MORTGAGE TRUST 2005-4 N/A 81744FJG3 58043.090000 PA USD 59208.810000 0.0004279 Long ABS-MBS CORP US N 2 2035-04-20 Floating 4.03061 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAA1 114805.450000 PA USD 88240.880000 0.0006377 Long ABS-MBS CORP US N 2 2047-01-20 Floating 2.63327 Y N N N N N ADJUSTABLE RATE MORTAGE TRUST 2004-2 N/A 007036BU9 696899.700000 PA USD 707552.650000 0.0051137 Long ABS-MBS CORP US N 2 2035-02-25 Floating 3.1695 N N N N N N SHACKLETON CLO LTD 2016-9A N/A 81882LAN6 16573500.060000 PA USD 16512751.550000 0.1193421 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.40175 N N N N N N SHELL INTERNATIONAL FINANCE BV 213800ITMMKU4Z7I4F78 8225X2NK6 125000000.000000 PA USD 124909812.500000 0.9027566 Long DBT CORP US N 2 2021-01-19 None 0 N N N N N N SILVERSTONE MASTER ISSUER PLC 19-1A N/A 82846GAV2 3960000.000000 PA USD 3966547.860000 0.0286673 Long ABS-MBS CORP GB N 2 2070-01-21 Floating 0.84138 N N N N N N SILVERSTONE MASTER ISSUER PLC 19-1A N/A ACI1BCW41 20064000.000000 PA 26183848.290000 0.1892377 Long ABS-MBS CORP GB N 2 2070-01-21 Floating 0.81516 N N N N N N SINOCHEM OVERSEAS CAPITAL COMPANY LIMITED N/A G8185TAA7 29218000.000000 PA USD 29367303.980000 0.2122453 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 G8200TAB6 2100000.000000 PA USD 2122375.500000 0.0153390 Long DBT CORP VG N 2 2021-05-03 Fixed 2.75 N N N N N N SL GREEN OPERATING PARTNERSHIP LP 2K1OXW4LY7IS2U150Y32 78444FAG1 26900000.000000 PA USD 26713760.000000 0.1930675 Long DBT CORP US N 2 2021-08-16 Floating 1.26013 N N N N N N SLC STUDENT LOAN TRUST 2006-1 N/A 784427AE6 14010429.030000 PA USD 13923596.590000 0.1006295 Long ABS-O CORP US N 2 2027-03-15 Floating 0.36038 N N N N N N SLC STUDENT LOAN TRUST 2007-1 N/A 784424AD5 5866392.360000 PA USD 5736570.270000 0.0414597 Long ABS-O CORP US N 2 2029-05-15 Floating 0.34013 N N N N N N SLC STUDENT LOAN TRUST-2005-3 N/A 784420AP6 3953847.460000 PA USD 3924374.690000 0.0283625 Long ABS-O CORP US N 2 2029-06-15 Floating 0.37038 N N N N N N SLM CONSOLIDATION STUD LN TRUST 2004-10 N/A 78442GNJ1 15751827.750000 PA USD 15710654.050000 0.1135451 Long ABS-O CORP US N 2 2029-10-25 Floating 0.8445 N N N N N N SLM CONSOLIDATION STUD LN TRUST 2004-10 N/A 78442GNK8 7304660.880000 PA USD 7285567.230000 0.0526547 Long ABS-O CORP US N 2 2029-10-25 Floating 0.8445 N N N N N N SLM STUDENT LOAN TRUST 2003-10A N/A 78442GJG2 9425930.440000 PA USD 9372999.130000 0.0677412 Long ABS-O CORP US N 2 2027-12-15 Floating 0.72038 N N N N N N SLM STUDENT LOAN TRUST 2003-11 N/A 78442GJS6 12065480.770000 PA USD 12021527.430000 0.0868828 Long ABS-O CORP US N 2 2025-12-15 Floating 0.80038 N N N N N N SLM STUDENT LOAN TRUST 2005-5 N/A 78442GPQ3 1987337.940000 PA USD 1972065.250000 0.0142526 Long ABS-O CORP US N 2 2028-10-25 Floating 0.3845 N N N N N N SLM STUDENT LOAN TRUST 2005-6 N/A 78442GPY6 37922626.810000 PA USD 37340529.660000 0.2698700 Long ABS-O CORP US N 2 2031-10-27 Floating 0.3845 N N N N N N SLM STUDENT LOAN TRUST 2005-7 N/A 78442GQJ8 7681018.480000 PA USD 7556809.500000 0.0546151 Long ABS-O CORP US N 2 2029-10-25 Floating 0.3945 N N N N N N SLM STUDENT LOAN TRUST 2005-8 N/A 78442GQR0 1731277.550000 PA USD 1731982.530000 0.0125175 Long ABS-O CORP US N 2 2028-01-25 Floating 0.7945 N N N N N N SLM STUDENT LOAN TRUST 2006-5 N/A 83149EAE7 1368120.450000 PA USD 1366685.700000 0.0098774 Long ABS-O CORP US N 2 2027-01-25 Floating 0.3545 N N N N N N SLM STUDENT LOAN TRUST 2008-2 N/A 784442AC9 1223272.700000 PA USD 1154666.550000 0.0083451 Long ABS-O CORP US N 2 2023-04-25 Floating 0.9945 N N N N N N SLM STUDENT LOAN TRUST 2008-5 N/A 78444YAD7 4867700.180000 PA USD 4809789.640000 0.0347616 Long ABS-O CORP US N 2 2023-07-25 Floating 1.9445 N N N N N N SLM STUDENT LOAN TRUST 2008-7 N/A 78445FAD7 2543819.010000 PA USD 2423473.730000 0.0175151 Long ABS-O CORP US N 2 2023-07-25 Floating 1.1445 N N N N N N SLM STUDENT LOAN TRUST 2008-8 N/A 78445GAD5 9937814.250000 PA USD 9869453.020000 0.0713292 Long ABS-O CORP US N 2 2023-04-25 Floating 1.7445 N N N N N N SLM STUDENT LOAN TRUST 2008-9 N/A 78445JAA5 5338260.890000 PA USD 5243186.460000 0.0378939 Long ABS-O CORP US N 2 2023-04-25 Floating 1.7445 N N N N N N SLM STUDENT LOAN TRUST 2012-2 N/A 78446YAA1 4630009.160000 PA USD 4365484.240000 0.0315505 Long ABS-O CORP US N 2 2029-01-25 Floating 0.84813 N N N N N N SLM STUDENT LOAN TRUST 2012-3 N/A 78447AAA2 2117919.920000 PA USD 2090383.780000 0.0151078 Long ABS-O CORP US N 2 2038-12-27 Floating 0.79813 N N N N N N SLM STUDENT LOAN TRUST 2013-2 N/A 78446CAA9 11321079.920000 PA USD 11038247.640000 0.0797764 Long ABS-O CORP US N 2 2043-06-25 Floating 0.59813 N N N N N N SMALL BUSINESS ADMIN PART CERT 2004-20C N/A 83162CNQ2 20433.880000 PA USD 21275.530000 0.0001538 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 83162CRR6 30716.890000 PA USD 33750.750000 0.0002439 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 83162CRS4 52062.800000 PA USD 57029.090000 0.0004122 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 78449GAC3 3423456.600000 PA USD 3439781.010000 0.0248602 Long ABS-O CORP US N 2 2032-02-17 Floating 1.60238 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2016-C N/A 78449KAB6 865999.180000 PA USD 882869.710000 0.0063807 Long ABS-O CORP US N 2 2034-09-15 Fixed 2.34 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA N/A 78449VAA4 30927231.720000 PA USD 30779513.980000 0.2224518 Long ABS-O CORP US N 2 2054-09-15 Floating 0.44813 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA N/A 78449VAB2 16647000.000000 PA USD 16779600.010000 0.1212706 Long ABS-O CORP US N 2 2054-09-15 Fixed 1.6 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAE2 21150000.000000 PA USD 22211995.220000 0.1605320 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 78448TAA0 17100000.000000 PA USD 17248310.690000 0.1246581 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 78448TAB8 8800000.000000 PA USD 8982360.550000 0.0649179 Long DBT CORP IE N 2 2022-07-15 Fixed 3 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 G82296AA5 1560000.000000 PA USD 1573530.100000 0.0113723 Long DBT CORP IE N 2 2021-07-15 Fixed 2.65 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WKLII9 4321000.000000 PA USD 4401715.460000 0.0318124 Long DBT CORP US Y 2 2021-09-02 Floating 2.432 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WJGII2 6622000.000000 PA USD 6745697.700000 0.0487530 Long DBT CORP US Y 2 2021-09-02 Floating 1.48988 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WKMII7 2161000.000000 PA USD 2201367.070000 0.0159099 Long DBT CORP US Y 2 2021-09-02 Floating 1.48988 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WKNII5 1637000.000000 PA USD 1667578.850000 0.0120520 Long DBT CORP US Y 2 2021-09-02 Floating 1.48988 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WKPII0 3440000.000000 PA USD 3504258.550000 0.0253262 Long DBT CORP US Y 2 2021-09-02 Floating 1.48988 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WKQII8 4286000.000000 PA USD 4366061.670000 0.0315547 Long DBT CORP US Y 2 2021-09-02 Floating 2.57699 N N N N N N SOFI CONSUMER LOAN PROGRAM LLC 2017-3 N/A 83404JAA4 1915838.590000 PA USD 1926519.960000 0.0139235 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 83405JAA3 1444890.480000 PA USD 1455678.320000 0.0105206 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 78472CAA6 5168224.030000 PA USD 5220707.350000 0.0377314 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 83406CAA7 5361236.290000 PA USD 5428962.110000 0.0392366 Long ABS-O CORP US N 2 2028-04-25 Fixed 3.01 N N N N N N SOFI CONSUMER LOAN PROGRAM LLC 2019-3 N/A 83405TAA1 8057124.530000 PA USD 8152458.040000 0.0589200 Long ABS-O CORP US N 2 2028-05-25 Fixed 2.9 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM 2016-F LLC N/A 78471AAB9 761466.790000 PA USD 786846.170000 0.0056867 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 78470NAA4 2003897.200000 PA USD 2016494.700000 0.0145737 Long ABS-O CORP US N 2 2036-10-27 Floating 1.64813 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2015-D N/A 78470NAB2 1658867.530000 PA USD 1686675.290000 0.0121901 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-A N/A 83404FAC8 1942898.800000 PA USD 1965834.330000 0.0142076 Long ABS-O CORP US N 2 2040-03-26 Fixed 2.4 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C N/A 83405DAA6 169015.580000 PA USD 168515.180000 0.0012179 Long ABS-O CORP US N 2 2040-07-25 Floating 0.74813 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2019-A N/A 78471HAA6 5888103.450000 PA USD 5920307.840000 0.0427876 Long ABS-O CORP US N 2 2048-06-15 Fixed 3.18 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAA0 14909519.920000 PA USD 15059227.900000 0.1088371 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.06 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-C N/A 83390UAF4 33694626.850000 PA USD 34495824.430000 0.2493105 Long ABS-O CORP US N 2 2046-02-15 Fixed 1.95 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM TRUST 2018-C N/A 78490DAA2 1735434.040000 PA USD 1744588.110000 0.0126086 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 83401AAA6 1090050.900000 PA USD 1093428.200000 0.0079025 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 83609WAN0 11628490.420000 PA USD 11559462.190000 0.0835433 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 1.16175 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAL4 48600000.000000 PA USD 48422544.880000 0.3499627 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.4055 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT1 N/A 83611MLZ9 2977856.190000 PA USD 2901107.010000 0.0209671 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.41813 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT2 N/A 83611MML9 19250000.000000 PA USD 18858304.850000 0.1362940 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.42813 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3 N/A 83611MPH5 2296847.690000 PA USD 2275363.900000 0.0164447 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.31813 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GN7 1300000.000000 PA USD 1447323.840000 0.0104602 Long DBT CORP US N 2 2025-08-01 Fixed 3.7 N N N N N N SOUTHERN POWER COMPANY 5LADC78JBG2BMZD5XF57 843646AV2 55475000.000000 PA USD 55482388.720000 0.4009860 Long DBT CORP US N 2 2020-12-20 Floating 0.77738 N N N N N N SP STATIC CLO 2020-1A N/A 78472HAA5 2100000.000000 PA USD 2098854.890000 0.0151690 Long ABS-CBDO CORP KY N 2 2028-07-22 Floating 1.63495 N N N N N N SPECIALTY UNDERWRITING & RESID 2005-BC2 N/A 84751PFW4 1122934.540000 PA USD 1120184.250000 0.0080959 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.12313 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 85205TAH3 27150000.000000 PA USD 25684508.430000 0.1856288 Long DBT CORP US N 2 2021-06-15 Floating 1.05038 N N N N N N SPRINGLEAF FUNDING TRUST 2017-AA N/A 85172PAA5 20773654.360000 PA USD 20808483.470000 0.1503885 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 852061AM2 300000.000000 PA USD 329692.500000 0.0023828 Long DBT CORP US N 2 2021-11-15 Fixed 11.5 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 852061AS9 8800000.000000 PA USD 9493000.000000 0.0686084 Long DBT CORP US N 2 2022-11-15 Fixed 6 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAE5 8200000.000000 PA USD 8589500.000000 0.0620786 Long DBT CORP US N 2 2021-09-15 Fixed 7.25 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 1500000.000000 PA USD 1721437.500000 0.0124413 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00772BAF8 35131000.000000 PA USD 35804335.500000 0.2587675 Long DBT CORP IE N 2 2021-05-15 Fixed 4.5 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAA8 1468750.000000 PA USD 1487498.590000 0.0107505 Long DBT CORP US N 2 2023-03-20 Variable 3.36 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAA3 1400000.000000 PA USD 1414118.570000 0.0102202 Long DBT CORP IE N 2 2022-05-26 Fixed 3.5 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254AY6 3925000.000000 PA USD 3951693.340000 0.0285599 Long DBT CORP GB N 2 2021-01-15 Fixed 3.05 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BN9 1708000.000000 PA USD 1817360.180000 0.0131345 Long DBT CORP GB N 2 2025-05-21 Floating 3.785 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BR0 122870000.000000 PA USD 123291602.600000 0.8910613 Long DBT CORP GB N 2 2022-09-10 Floating 1.4495 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00772BAP6 4150000.000000 PA USD 4262189.940000 0.0308040 Long DBT CORP IE N 2 2022-07-01 Fixed 4.625 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 ACI1FDKY2 8700000.000000 PA USD 8729852.220000 0.0630930 Long DBT CORP GB N 2 2022-09-10 Floating 1.4495 N N N N N N STANLINGTON NO 1 PLC 17-1 N/A ACI0SNHR7 1722840.130000 PA 2216254.390000 0.0160175 Long ABS-MBS CORP GB N 2 2046-06-12 Floating 1.05963 N N N N N N STANWICH MORTGAGE LOAN CO LLC 2019-NPB1 N/A 85502HAA4 2544558.320000 PA USD 2531603.970000 0.0182966 Long ABS-MBS CORP US N 2 2024-08-15 Fixed 3.375 N N N N N N STARWOOD PROPERTY TRUST INC BUGSFQZERKRBFWIG5267 85571BAP0 4100000.000000 PA USD 4111992.500000 0.0297185 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 85572MAA8 9878534.160000 PA USD 9880745.960000 0.0714108 Long ABS-MBS CORP US N 2 2035-01-17 Floating 1.10238 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00772BAM3 12300000.000000 PA USD 12681751.160000 0.0916544 Long DBT CORP IE N 2 2021-10-01 Fixed 5 N N N N N N STRATTON MORTGAGE FUNDING 2019-1 PLC N/A ACI1CGVH3 8203055.200000 PA 10595311.300000 0.0765751 Long ABS-MBS CORP GB N 2 2051-05-25 Floating 1.2622 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 31499.990000 PA USD 29148.930000 0.0002107 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.41929 Y N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAH8 30705000.000000 PA USD 31376588.050000 0.2267670 Long DBT CORP IE N 2 2021-12-16 Fixed 4.45 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGF2 2412.110000 PA USD 2354.730000 0.0000170 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.17007 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 31357.480000 PA USD 30840.530000 0.0002229 Long ABS-MBS CORP US N 2 2034-02-25 Floating 3.17007 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 326126.380000 PA USD 315943.770000 0.0022834 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.23919 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 9045.840000 PA USD 8836.360000 0.0000639 Long ABS-MBS CORP US N 2 2032-09-19 Floating 0.81625 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC11 N/A 86358EEM4 13939.210000 PA USD 13928.730000 0.0001007 Long ABS-MBS CORP US N 2 2033-10-25 Floating 1.12313 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAQ2 124222.630000 PA USD 122475.850000 0.0008852 Long ABS-MBS CORP US N 2 2034-03-19 Floating 0.85625 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBY4 7555.000000 PA USD 7484.090000 0.0000541 Long ABS-MBS CORP US N 2 2034-07-19 Floating 0.73625 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR7 N/A 86359LFN4 583552.440000 PA USD 590078.660000 0.0042647 Long ABS-MBS CORP US N 2 2035-04-19 Floating 0.85625 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR2 N/A 86359LJA8 223421.020000 PA USD 216470.840000 0.0015645 Long ABS-MBS CORP US N 2 2045-05-25 Floating 0.60813 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPD5 33261.890000 PA USD 31589.140000 0.0002283 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.40625 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPE3 59617.430000 PA USD 56499.770000 0.0004083 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.40625 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 1636201.450000 PA USD 1600005.070000 0.0115637 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.40625 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 17848.700000 PA USD 16637.910000 0.0001202 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.42813 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 2923152.140000 PA USD 2465266.670000 0.0178171 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.36813 N N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAH4 366138.690000 PA USD 180198.200000 0.0013023 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.40813 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAN1 800937.420000 PA USD 414549.910000 0.0029961 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.36813 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAF3 1309359.470000 PA USD 1037504.630000 0.0074983 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.33813 Y N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 459286.870000 PA USD 451499.940000 0.0032631 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.65675 N N N N N N AIA GROUP LIMITED ZP5ILWVSYE4LJGMMVD57 00131LAG0 38900000.000000 PA USD 38947458.000000 0.2814837 Long DBT CORP HK N 2 2021-09-20 Floating 0.74738 N N N N N N STRUCTURED ASSET SECURITIES CORP 2004-4XS N/A 86359BHM6 1720.100000 PA USD 1731.310000 0.0000125 Long ABS-MBS CORP US N 2 2034-02-25 Variable 5.05 N N N N N N AIA GROUP LIMITED ZP5ILWVSYE4LJGMMVD57 00131MAG8 1000000.000000 PA USD 1001220.000000 0.0072361 Long DBT CORP HK N 2 2021-09-20 Floating 0.74738 N N N N N N STRUCTURED ASSET SECURITIES CP 2002-14A N/A 86358RR66 3504.760000 PA USD 3271.690000 0.0000236 Long ABS-MBS CORP US N 2 2032-07-25 Floating 2.75125 N N N N N N SUMITOMO MITSUI BANKING CORP/NEW YORK BRANCH 549300MS3WYYVQ4HXM15 86565B6H9 68800000.000000 PA USD 68848757.180000 0.4975883 Long DBT CORP JP N 2 2021-11-05 Floating 0.599 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MAD2 1600000.000000 PA USD 1611134.860000 0.0116441 Long DBT CORP JP N 2 2021-03-09 Floating 1.92175 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 ACI0T9LW1 20515000.000000 PA 14765521.230000 0.1067144 Long DBT CORP JP N 2 2022-03-29 Floating 1.36 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MAG5 5044000.000000 PA USD 5083910.040000 0.0367428 Long DBT CORP JP N 2 2021-07-14 Floating 1.37813 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MAP5 50225000.000000 PA USD 50617785.620000 0.3658282 Long DBT CORP JP N 2 2022-07-12 Floating 1.04625 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MAJ9 9635000.000000 PA USD 9735020.650000 0.0703576 Long DBT CORP JP N 2 2021-10-19 Floating 1.41175 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 86562MAT7 6900000.000000 PA USD 6948574.760000 0.0502192 Long DBT CORP JP N 2 2022-10-18 Floating 1.01175 N N N N N N SYNCHRONY BANK (AKA: GE CAPITAL RETAIL BANK) 549300UATVPGSLE43Z27 87166FAC7 31700000.000000 PA USD 32182026.400000 0.2325881 Long DBT CORP US N 2 2021-05-24 Fixed 3.65 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAQ6 4611000.000000 PA USD 4750929.790000 0.0343362 Long DBT CORP US N 2 2022-07-25 Fixed 2.85 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAA2 2800000.000000 PA USD 2852205.940000 0.0206137 Long DBT CORP NL N 2 2022-03-28 Fixed 3.125 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAE4 9403000.000000 PA USD 9525302.560000 0.0688419 Long DBT CORP NL N 2 2021-04-23 Fixed 3.933 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 874060AQ9 14600000.000000 PA USD 15141820.310000 0.1094340 Long DBT CORP JP N 2 2021-11-26 Fixed 4 N N N N N N TAKEDA PHARMACEUTICAL COMPANY LIMITED 549300ZLMVP4X0OGR454 874060AC0 10200000.000000 PA USD 10430164.630000 0.0753816 Long DBT CORP JP N 2 2022-01-18 Fixed 2.45 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00912XBE3 18700000.000000 PA USD 19187397.740000 0.1386724 Long DBT CORP US N 2 2022-01-15 Fixed 3.5 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00914AAD4 14250000.000000 PA USD 14290785.780000 0.1032833 Long DBT CORP US N 2 2023-01-15 Fixed 2.25 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00912XAX2 12800000.000000 PA USD 13061538.300000 0.0943992 Long DBT CORP US N 2 2023-01-15 Fixed 2.75 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00914AAA0 1800000.000000 PA USD 1869553.800000 0.0135118 Long DBT CORP US N 2 2024-02-01 Fixed 4.25 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00912XAZ7 6700000.000000 PA USD 6741015.190000 0.0487191 Long DBT CORP US N 2 2021-03-01 Fixed 2.5 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00912XAS3 5300000.000000 PA USD 5363915.460000 0.0387664 Long DBT CORP US N 2 2021-06-01 Fixed 3.375 N N N N N N TERWIN MTGE TRUST 2006-5 N/A 8815612F0 1625203.110000 PA USD 1595099.640000 0.0115282 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.35813 N N N N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAN1 6113000.000000 PA USD 6252750.450000 0.0451903 Long DBT CORP BM N 2 2022-02-15 Fixed 5.5 N N N N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAM3 44897000.000000 PA USD 45556684.640000 0.3292503 Long DBT CORP BM N 2 2021-03-15 Fixed 5.125 N N N N N N THARALDSON HOTEL PORTFOLIO TRUST 2018 N/A 88327HAA1 10207011.300000 PA USD 9816938.110000 0.0709496 Long ABS-MBS CORP US N 2 2034-11-11 Floating 0.90863 N N N N N N THORNBURG MORTGAGE SEC TRUST 2005-1 N/A 885220HB2 56617.440000 PA USD 54558.940000 0.0003943 Long ABS-MBS CORP US N 2 2045-04-25 Floating 3.57911 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 48906528.000000 PA 62911053.120000 0.4546750 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.9652 N N N N N N TOWD POINT MORTGAGE FUNDING 19-V2A N/A ACI1GVL46 9155361.400000 PA 11849275.200000 0.0856379 Long ABS-MBS CORP GB N 2 2054-02-20 Floating 1.26285 N N N N N N TOWD POINT MORTGAGE FUNDING 2018 - AUBURN 12 PLC 18-A12X N/A BF2GGBII9 9657845.040000 PA 12412416.510000 0.0897078 Long ABS-MBS CORP GB N 2 2045-02-20 Floating 0.86825 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 10445726.470000 PA 13514260.380000 0.0976712 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.101 N N N N N N TOWD POINT MORTGAGE FUNDING 2019-AUBURN 13 PLC 19-A13X N/A ACI1G4DQ6 1667268.000000 PA 2144694.990000 0.0155003 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.9652 N N N N N N TOWD POINT MORTGAGE TRUST 2018-3 N/A 89175MAA1 27682676.270000 PA USD 29984335.780000 0.2167048 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.75 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 17113453.850000 PA USD 17143398.970000 0.1238999 Long ABS-MBS CORP US N 2 2058-05-25 Floating 1.14813 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAA5 13612778.050000 PA USD 13629791.300000 0.0985061 Long ABS-MBS CORP US N 2 2059-10-25 Floating 1.14813 N N N N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 46681757.490000 PA USD 48869460.710000 0.3531926 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.71 N N N N N N TOWD POINT MORTGAGE TRUST 2020-2 N/A 89176UAN4 138301924.880000 PA USD 141020608.800000 1.0191936 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.636 N N N N N N TOWER BRIDGE FUNDING NO 3 N/A ACI14WK48 5063993.360000 PA 6543000.730000 0.0472880 Long ABS-MBS CORP GB N 2 2061-12-20 Floating 1.25663 N N N N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 935YHEII0 71200000.000000 PA USD 71098612.620000 0.5138486 Long LON CORP US N 3 2021-03-29 Floating 1.0632 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2019-FL3 N/A 87276VAA3 44300000.000000 PA USD 43581257.750000 0.3149734 Long ABS-O CORP KY N 2 2034-10-15 Floating 1.3005 N N N N N N TRALEE CLO V LTD 2018-5A N/A 89300JAA6 43200000.000000 PA USD 42836960.160000 0.3095941 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.38175 N N N N N N ALBACORE EURO CLO I DAC A N/A ACI1NFNZ2 9800000.000000 PA 11579473.020000 0.0836879 Long ABS-CBDO CORP IE N 2 2031-07-18 Floating 1.53 N N N N N N TRINITY SQUARE 2015-1 PLC 15-1X N/A ACI0JG421 7614988.240000 PA 9841766.820000 0.0711291 Long ABS-MBS CORP GB N 2 2051-07-15 Floating 1.23238 N N N N N N TULANE UNIVERSITY N/A 899062BQ5 18000000.000000 PA USD 17010000.000000 0.1229358 Long DBT MUN US N 2 2036-02-15 Floating 0.58 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAB9 7080000.000000 PA USD 7160347.800000 0.0517497 Long DBT CORP CH N 2 2023-05-23 Floating 1.47613 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAD5 31600000.000000 PA USD 31819857.950000 0.2299706 Long DBT CORP CH N 2 2023-08-15 Floating 1.23013 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 H4209UAB2 7543000.000000 PA USD 7628602.190000 0.0551339 Long DBT CORP CH N 2 2023-05-23 Floating 1.47613 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 H4209UAF3 2600000.000000 PA USD 2618089.580000 0.0189216 Long DBT CORP CH N 2 2023-08-15 Floating 1.23013 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6 N/A 90349GAC9 3295745.780000 PA USD 3294209.630000 0.0238081 Long ABS-MBS CORP US N 2 2046-04-10 Floating 0.94113 N N N N N N UMBS PASS THRU POOLS N/A 01F0206C8 100000.000000 PA USD 102949.810000 0.0007440 Long ABS-MBS USGSE US N 2 2050-12-14 Fixed 2 N N N N N N ALLERGAN SALES LLC 254900TUPGX2F5Y3AU71 345838AE6 12000000.000000 PA USD 12065304.360000 0.0871992 Long DBT CORP US N 2 2021-02-15 Fixed 4.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127963T4 2995000.000000 PA USD 2994276.400000 0.0216404 Long DBT UST US N 2 2021-01-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962J7 14481000.000000 PA USD 14481000.000000 0.1046581 Long DBT UST US N 2 2020-10-01 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962R9 25734000.000000 PA USD 25733274.560000 0.1859812 Long DBT UST US N 2 2020-10-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962S7 9384000.000000 PA USD 9383575.750000 0.0678176 Long DBT UST US N 2 2020-10-22 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796TN9 3145000.000000 PA USD 3144966.380000 0.0227295 Long DBT UST US N 2 2020-10-08 None 0 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NAY6 19917000.000000 PA USD 20670798.100000 0.1493934 Long DBT CORP US N 2 2022-02-13 Fixed 4.125 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBG4 7505000.000000 PA USD 7633910.760000 0.0551723 Long DBT CORP US N 2 2021-04-15 Fixed 4.25 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBC3 200000.000000 PA USD 210206.570000 0.0015192 Long DBT CORP US N 2 2022-05-19 Fixed 4.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 152516489.490000 PA USD 175762587.640000 1.2702831 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z94 25800000.000000 PA USD 27831750.000000 0.2011475 Long DBT UST US N 2 2030-02-15 Fixed 1.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZQ6 85800000.000000 PA USD 85505062.500000 0.6179679 Long DBT UST US N 2 2030-05-15 Fixed 0.625 N N N N N N UPSTART SECURITIZATION TRUST 2019-2 N/A 916780AA7 2853116.200000 PA USD 2877118.610000 0.0207937 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 91678WAA7 10437919.030000 PA USD 10527989.920000 0.0760886 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 91754RZF7 13096288.480000 PA USD 13063285.830000 0.0944119 Long ABS-O MUN US N 2 2057-01-25 Floating 0.89813 N N N N N N VALERO ENERGY CORPORATION 549300XTO5VR8SKV1V74 91913YAZ3 35650000.000000 PA USD 35543126.290000 0.2568797 Long DBT CORP US N 2 2023-09-15 Floating 1.40293 N N N N N N VENTAS REALTY LP 32SXKSJ72K64GM3HOU64 92277GAH0 3900000.000000 PA USD 4081827.400000 0.0295005 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 92331XAC8 5700000.000000 PA USD 5697838.850000 0.0411798 Long ABS-CBDO CORP KY N 2 2031-10-22 Floating 1.40775 N N N N N N VENTURE CLO LTD 2014-16A N/A 92329XAQ1 8589816.010000 PA USD 8535266.470000 0.0616866 Long ABS-CBDO CORP KY N 2 2028-01-15 Floating 1.125 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 45534943.070000 PA USD 45122673.340000 0.3261136 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.155 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEP5 45731000.000000 PA USD 46767355.460000 0.3380002 Long DBT CORP US N 2 2025-05-15 Floating 1.38013 N N N N N N VERUS SECURITIZATION TRUST 2020-INV1 N/A 92537TAA3 1985119.780000 PA USD 2011838.700000 0.0145401 Long ABS-MBS CORP US N 2 2060-03-25 Fixed 1.977 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AB1 5400000.000000 PA USD 5624792.060000 0.0406519 Long DBT CORP US N 2 2022-08-21 Fixed 2.95 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AW2 27000000.000000 PA USD 27106833.870000 0.1959083 Long DBT CORP US N 2 2021-09-24 Floating 1.0825 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AZ5 2900000.000000 PA USD 3008094.050000 0.0217403 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 928668AV4 65988000.000000 PA USD 66031905.780000 0.4772302 Long DBT CORP US N 2 2020-11-13 Floating 1.0235 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AQ5 35000000.000000 PA USD 35177832.900000 0.2542396 Long DBT CORP US N 2 2021-11-12 Floating 1.19688 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 U9273ACF0 1500000.000000 PA USD 1507621.410000 0.0108960 Long DBT CORP US N 2 2021-11-12 Floating 1.19688 N N N N N N VOLVO FINANCIAL EQUIPMENT MASTER OWNER TRUST 2018-A N/A 92887MAB2 510000.000000 PA USD 511195.240000 0.0036945 Long ABS-O CORP US N 2 2023-07-17 Floating 0.67238 N N N N N N VULCAN MATERIALS COMPANY 549300Q8LSNHAVWBNI21 929160AX7 8749000.000000 PA USD 8752745.970000 0.0632584 Long DBT CORP US N 2 2021-03-01 Floating 0.896 N N N N N N WAMU MORTGAGE P/T CERTIFICATES 2007-OA1 N/A 92926WAA5 313039.670000 PA USD 288651.970000 0.0020862 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.71929 Y N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAA8 372592.970000 PA USD 334422.760000 0.0024170 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.50779 Y N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAF7 401259.010000 PA USD 387007.130000 0.0027970 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.62673 Y N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAM2 858732.720000 PA USD 823779.290000 0.0059537 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.55158 Y N N N N N WAMU MTGE P/T CERT 2007-HY5 N/A 92990GAC7 321728.070000 PA USD 272443.930000 0.0019690 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.32527 Y N N N N N WAMU MTGE P/T CERTIFICATES 2007-HY4 N/A 933636AA0 165502.430000 PA USD 150193.890000 0.0010855 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.18055 Y N N N N N AMBAC LSNI LLC N/A 02315QAA6 1926.520000 PA USD 1928.930000 0.0000139 Long DBT CORP KY N 2 2023-02-12 Floating 6 N N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 26437.460000 PA USD 26239.260000 0.0001896 Long ABS-MBS CORP US N 2 2034-02-27 Floating 1.903 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 139065.560000 PA USD 132331.660000 0.0009564 Long ABS-MBS CORP US N 2 2042-11-25 Floating 2.21929 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 155677.730000 PA USD 148700.300000 0.0010747 Long ABS-MBS CORP US N 2 2042-06-25 Floating 2.41929 N N N N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 189910.720000 PA USD 180930.320000 0.0013076 Long ABS-MBS CORP US N 2 2042-08-25 Floating 2.41929 N N N N N N WASHINGTON MUTUAL 2003-AR1 N/A 939336PB3 27046.110000 PA USD 26434.130000 0.0001910 Long ABS-MBS CORP US N 2 2033-03-25 Floating 3.52044 N N N N N N WASHINGTON MUTUAL 2003-AR9 N/A 92922FBV9 647059.630000 PA USD 637250.140000 0.0046056 Long ABS-MBS CORP US N 2 2033-09-25 Floating 2.78962 N N N N N N WASHINGTON MUTUAL 2003-AR9 N/A 92922FBX5 204219.750000 PA USD 195216.520000 0.0014109 Long ABS-MBS CORP US N 2 2033-09-25 Floating 2.77201 N N N N N N WASHINGTON MUTUAL 2004-AR3 N/A 92922FNJ3 598945.200000 PA USD 602353.500000 0.0043534 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.66576 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X57 1474051.800000 PA USD 1443425.280000 0.0104320 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.92813 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 583379.950000 PA USD 577049.990000 0.0041705 Long ABS-MBS CORP US N 2 2045-10-25 Floating 0.43813 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4S4 970315.640000 PA USD 950532.940000 0.0068698 Long ABS-MBS CORP US N 2 2045-10-25 Floating 0.50813 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5T1 63382.110000 PA USD 61512.610000 0.0004446 Long ABS-MBS CORP US N 2 2045-11-25 Floating 0.40813 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 83850.130000 PA USD 82458.880000 0.0005960 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.41813 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD21 71080.550000 PA USD 68356.200000 0.0004940 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.45813 N N N N N N WASHINGTON MUTUAL 2006 AR7 N/A 93363CAC3 162693.720000 PA USD 151864.160000 0.0010976 Long ABS-MBS CORP US N 2 2046-07-25 Floating 2.182 N N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAA3 252430.630000 PA USD 239550.580000 0.0017313 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.03164 Y N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAB1 4885.550000 PA USD 4636.270000 0.0000335 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 3.03164 Y N N N N N WASHINGTON MUTUAL 2006-AR11 N/A 93363TAB8 242560.870000 PA USD 238504.520000 0.0017237 Long ABS-MBS CORP US N 2 2046-09-25 Floating 2.182 N N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAC2 93891.450000 PA USD 88037.770000 0.0006363 Long ABS-MBS CORP US N 2 2046-11-25 Floating 2.182 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 169309.620000 PA USD 165970.700000 0.0011995 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.37147 Y N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAA8 461546.090000 PA USD 414001.900000 0.0029921 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.99083 Y N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 979091.500000 PA USD 909073.630000 0.0065701 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.98083 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAD2 583281.020000 PA USD 547505.950000 0.0039570 Long ABS-MBS CORP US N 2 2046-12-25 Floating 2.182 N N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 260819.760000 PA USD 243571.460000 0.0017604 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.08314 Y N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AA6 422237.910000 PA USD 392962.300000 0.0028400 Long ABS-MBS CORP US N 2 2047-01-25 Floating 1.75929 Y N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AB4 215316.330000 PA USD 210228.040000 0.0015194 Long ABS-MBS CORP US N 2 2047-01-25 Floating 1.74929 N N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AD0 139072.340000 PA USD 132339.960000 0.0009565 Long ABS-MBS CORP US N 2 2047-01-25 Floating 1.932 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 1158964.980000 PA USD 1132310.990000 0.0081835 Long ABS-MBS CORP US N 2 2046-02-25 Floating 2.01929 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAA5 5347538.330000 PA USD 5213685.700000 0.0376807 Long ABS-MBS CORP US N 2 2046-08-25 Floating 2.01929 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 1624756.710000 PA USD 1525710.890000 0.0110267 Long ABS-MBS CORP US N 2 2046-08-25 Floating 2.182 N N N N N N WASHINGTON MUTUAL 2007-OA3 N/A 93364AAC6 747971.730000 PA USD 689237.100000 0.0049813 Long ABS-MBS CORP US N 2 2047-04-25 Floating 1.77929 N N N N N N WASHINGTON MUTUAL ASSET BACKED 2006-HE5 N/A 93934XAB9 53569.280000 PA USD 28420.320000 0.0002054 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.20813 N N N N N N WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1 N/A 939335N84 45.230000 PA USD 44.430000 0.0000003 Long ABS-MBS CORP US N 2 2031-02-25 Floating 3.27 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-AR3 N/A 93934FQP0 295689.450000 PA USD 247070.480000 0.0017856 Long ABS-MBS CORP US N 2 2046-05-25 Floating 1.98929 Y N N N N N WEA FINANCE LLC / WESTFIELD UK & EUROPE FINANCE PLC N/A 92890HAE2 15570000.000000 PA USD 15573428.830000 0.1125533 Long DBT CORP US N 2 2020-10-05 Fixed 3.25 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94986RPV7 3000000.000000 PA USD 2991523.740000 0.0216205 Long DBT CORP US N 2 2023-05-17 Floating 1.18013 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SJ1 128988000.000000 PA USD 130621564.660000 0.9440369 Long DBT CORP US N 2 2023-10-31 Floating 1.49063 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12 N/A 94988QBG5 2500000.000000 PA USD 2490001.000000 0.0179959 Long ABS-MBS CORP US N 2 2046-07-15 Floating 1.2005 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12 N/A 94988QAG6 4100247.000000 PA USD 4425727.890000 0.0319859 Long ABS-MBS CORP US N 2 2046-07-15 Variable 4.218 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS5 N/A 95000CBK8 3500000.000000 PA USD 3518540.550000 0.0254294 Long ABS-MBS CORP US N 2 2059-01-15 Floating 1.7005 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB N/A 95001EAA6 10000000.000000 PA USD 9628570.000000 0.0695882 Long ABS-MBS CORP US N 2 2031-12-13 Floating 1.00113 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-BXI N/A 95001PAA1 4390238.080000 PA USD 4399483.040000 0.0317962 Long ABS-MBS CORP US N 2 2036-12-15 Floating 0.883588 N N N N N N WELLS FARGO HOME EQUITY TRUST 2006-3 N/A 9497EBAC3 6274000.000000 PA USD 6264513.080000 0.0452753 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.35813 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2011-C4 N/A 92936CAG4 8884134.850000 PA USD 8890531.430000 0.0642542 Long ABS-MBS CORP US N 2 2044-06-15 Floating 1.6005 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2012-C10 N/A 92890NAZ2 20883748.180000 PA USD 20875451.070000 0.1508725 Long ABS-MBS CORP US N 2 2045-12-15 Floating 0.9405 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2012-C6 N/A 92936QAG3 2099290.680000 PA USD 2131232.020000 0.0154030 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 92936TAH5 22535000.000000 PA USD 22362780.770000 0.1616218 Long ABS-MBS CORP US N 2 2045-06-15 Floating 1.3505 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2014-C21 N/A 92939FBE8 15924682.340000 PA USD 15721220.640000 0.1136215 Long ABS-MBS CORP US N 2 2047-08-15 Floating 0.7105 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2014-C25 N/A 92939LAF3 13246014.880000 PA USD 13900387.880000 0.1004618 Long ABS-MBS CORP US N 2 2047-11-15 Fixed 3.369 N N N N N N WHITEHORSE X LTD 2015-10A N/A 96525WAN3 4425190.100000 PA USD 4414642.040000 0.0319058 Long ABS-CBDO CORP KY N 2 2027-04-17 Floating 1.20288 N N N N N N WIND RIVER CLO LTD 2012-1A N/A 87244ABL3 3592436.740000 PA USD 3579144.720000 0.0258674 Long ABS-CBDO CORP KY N 2 2026-01-15 Floating 1.155 N N N N N N WOODSIDE FINANCE LIMITED 254900AIZKU6TGRRNZ98 980236AL7 49212000.000000 PA USD 49815823.860000 0.3600323 Long DBT CORP AU N 2 2021-05-10 Fixed 4.6 N N N N N N WOODSIDE FINANCE LIMITED 254900AIZKU6TGRRNZ98 Q98229AG4 1660000.000000 PA USD 1680367.950000 0.0121445 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 980888AF8 751000.000000 PA USD 764466.200000 0.0055250 Long DBT CORP AU N 2 2021-04-12 Fixed 4.55 N N N N N N WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST 2018-A N/A 98161YAD6 24958.160000 PA USD 24984.630000 0.0001806 Long ABS-O CORP US N 2 2023-05-15 Fixed 2.94 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 1160817.860000 PA USD 997467.340000 0.0072090 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.33813 Y N N N N N ZEPHYRUS CAPITAL AVIATION PARTNERS LTD 2018-1 N/A 933QMTII0 13340624.700000 PA USD 11886309.840000 0.0859055 Long ABS-O CORP US N 2 2038-10-15 Fixed 4.605 N N N N N N ZIMMER BIOMET HOLDINGS INC 2P2YLDVPES3BXQ1FRB91 98956PAP7 20820000.000000 PA USD 20823661.200000 0.1504982 Long DBT CORP US N 2 2021-03-19 Floating 0.97738 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-2 N/A 02660XAD6 462720.770000 PA USD 449359.620000 0.0032476 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.33813 Y N N N N N N/A N/A 000000000 4776000.000000 PA USD 4776000.000000 0.0345174 Long RA US N 2 Repurchase N 0.0000001 2020-10-01 4775700.000000 USD 4871587.700000 USD UST N N N N/A N/A 000000000 -119197970.820000 PA USD -119210685.280000 -0.8615674 Short RA US N 2 Reverse repurchase N 0.2400000 2020-10-15 123327458.920000 USD 125479418.640000 USD PLCMO N N N AMERICAN HOME MTGE INV TRUST 2005-2 N/A 02660TEQ2 67205.310000 PA USD 67120.670000 0.0004851 Long ABS-MBS CORP US N 2 2045-09-25 Floating 1.80988 N N N N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 934NVQII2 30000000.000000 PA USD 29951282.700000 0.2164659 Long LON CORP US N 3 2021-03-29 Floating 1.0679 N N N N N N N/A N/A 000000000 -6569292.790000 PA USD -6569292.790000 -0.0474780 Short RA US N 2 Reverse repurchase N 0.0000000 2022-09-17 6700000.000000 USD 6753086.380000 USD CDS N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WDP3 22100000.000000 PA USD 22161019.870000 0.1601636 Long DBT CORP US N 2 2023-09-08 Floating 0.6598 N N N N N N N/A N/A 000000000 -112119095.680000 PA USD -112129061.820000 -0.8103867 Short RA US N 2 Reverse repurchase N 0.2000000 2020-10-15 116991092.360000 USD 118011011.460000 USD AMBS N N N N/A N/A 000000000 -61143862.800000 PA USD -61148720.340000 -0.4419381 Short RA US N 2 Reverse repurchase N 0.2200000 2020-10-22 63502492.410000 USD 64428267.140000 USD AMBS N N N N/A N/A 000000000 -168023250.000000 PA USD -168023856.750000 -1.2143533 Short RA US N 2 Reverse repurchase N 0.1300000 2020-10-01 140900000.000000 USD 162493061.670000 USD UST N N N N/A N/A 000000000 -27767250.000000 PA USD -27769355.680000 -0.2006965 Short RA US N 2 Reverse repurchase N 0.1300000 2020-10-08 25800000.000000 USD 27851906.250000 USD UST N N N N/A N/A 000000000 9571.000000 NC 902397.680000 0.0065219 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Long N/A BAFUT 2022-12-19 1785824753.110000 CAD 902397.680000 N N N N/A N/A 000000000 10124.000000 NC 3387449.360000 0.0244820 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Long N/A BAFUT 2021-06-14 1891098268.930000 CAD 3387449.360000 N N N N/A N/A 000000000 1200.000000 NC 1660515.940000 0.0120010 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Long N/A BAFUT 2021-03-15 224163568.770000 CAD 1660515.940000 N N N N/A N/A 000000000 411.000000 NC 32921.070000 0.0002379 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Long N/A BAFUT 2022-09-19 76706573.170000 CAD 32921.070000 N N N N/A N/A 000000000 1.000000 NC 173891.470000 0.0012568 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 34284157.190000 USD 45882467.000000 CAD 2020-10-02 173891.470000 N N N N/A N/A 000000000 1.000000 NC -173543.600000 -0.0012542 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 45882467.000000 CAD 34287856.790000 USD 2020-11-03 -173543.600000 N N N N/A N/A 000000000 1.000000 NC 105496.580000 0.0007625 N/A DFE GB N 2 BNP Paribas S.A. N/A 7752730.170000 USD 6090000.000000 GBP 2020-10-02 105496.580000 N N N N/A N/A 000000000 1.000000 NC 334511.200000 0.0024176 N/A DFE JP N 2 BNP Paribas S.A. N/A 63853798.440000 USD 6769620076.000000 JPY 2020-10-02 334511.200000 N N N N/A N/A 000000000 1.000000 NC 345701.740000 0.0024985 N/A DFE JP N 2 BNP Paribas S.A. N/A 319871994.930000 USD 33759514255.000000 JPY 2020-11-04 345701.740000 N N N N/A N/A 000000000 1.000000 NC -348661.510000 -0.0025199 N/A DFE JP N 2 BNP Paribas S.A. N/A 33759514255.000000 JPY 319752929.110000 USD 2020-10-02 -348661.510000 N N N AMERIQUEST MTAGE SEC INC 2004-R3 N/A 03072SQC2 260763.030000 PA USD 260011.590000 0.0018792 Long ABS-MBS CORP US N 2 2034-05-25 Floating 0.92813 N N N N N N N/A N/A 000000000 1.000000 NC USD -35418537.810000 -0.2559792 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.34 Y Single Leg Swap 2025-06-21 28786818.400000 USD 0.000000 USD 705732000.000000 USD -64205356.210000 N N N N/A N/A 000000000 1.000000 NC USD -8695364.770000 -0.0628437 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.35 Y Single Leg Swap 2025-12-21 0.000000 USD -8486250.000000 USD 203600000.000000 USD -209114.770000 N N N N/A N/A 000000000 -58500000.000000 NC USD -34647.210000 -0.0002504 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 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 2.500000 USD 2021-01-20 XXXX 6302.790000 N N N N/A N/A 000000000 -135800000.000000 NC USD -160860.530000 -0.0011626 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 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 2.500000 USD 2021-03-17 XXXX -65800.530000 N N N AMERIQUEST MTGE SECURITIES INC 2005-R11 N/A 03072SU94 802536.020000 PA USD 803083.270000 0.0058041 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.59813 N N N N N N AMORTIZING RESIDENTIAL COLLAT 2001-BC6 N/A 86358RMY0 159423.650000 PA USD 155587.230000 0.0011245 Long ABS-MBS CORP US N 2 2031-10-25 Floating 0.84813 N N N N N N AMRESCO RES SEC 1999-1 N/A 03215PFN4 88063.830000 PA USD 82870.270000 0.0005989 Long ABS-MBS CORP US N 2 2029-06-25 Floating 1.08813 N N N N N N N/A N/A 000000000 1.000000 NC 377191.480000 0.0027261 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 79655023.620000 USD 106566553.000000 CAD 2020-10-02 377191.480000 N N N N/A N/A 000000000 1.000000 NC -253458.110000 -0.0018318 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6380036.210000 USD 4748000.000000 GBP 2020-10-02 -253458.110000 N N N N/A N/A 000000000 1.000000 NC 136308.170000 0.0009851 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14279816.000000 CAD 10860548.310000 USD 2020-10-02 136308.170000 N N N N/A N/A 000000000 1.000000 NC -375960.920000 -0.0027172 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 106566553.000000 CAD 79664038.920000 USD 2020-11-03 -375960.920000 N N N N/A N/A 000000000 1.000000 NC 17074157.010000 0.1233995 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 544962576.000000 GBP 720266191.940000 USD 2020-10-02 17074157.010000 N N N N/A N/A 000000000 1.000000 NC 123775.340000 0.0008946 N/A DFE MX N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 6713436.520000 USD 151984146.650000 MXN 2020-11-17 123775.340000 N N N AOZORA BANK LTD X0XUGKC9FD2CYUQNC010 ACI1F8R18 6270000.000000 PA USD 6452602.460000 0.0466347 Long DBT CORP JP N 2 2022-09-09 Fixed 2.55 N N N N N N AOZORA BANK LTD X0XUGKC9FD2CYUQNC010 ACI14SZP4 14510000.000000 PA USD 14873475.500000 0.1074946 Long DBT CORP JP N 2 2021-09-07 Fixed 3.81 N N N N N N AP MOLLER - MAERSK A/S 549300D2K6PKKKXVNN73 BF13W2II1 7000000.000000 PA USD 7042983.010000 0.0509015 Long DBT CORP DK N 2 2021-03-16 Floating 2.33725 N N N N N N APOLLO AVIATION SECURITIZATION EQUITY TRUST 2018-1A N/A 000367AA0 10274980.130000 PA USD 9594308.930000 0.0693406 Long ABS-O CORP US N 2 2038-01-16 Fixed 3.844 N N N N N N N/A N/A 000000000 -51000000.000000 NC USD -229168.500000 -0.0016563 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.0% DEC 30YR JMBO N/A 102.190000 USD 2020-12-14 XXXX 57706.500000 N N N N/A N/A 000000000 -41400000.000000 NC USD -400377.330000 -0.0028936 N/A DIR US N 3 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% JAN 30YR JMBO N/A 103.370000 USD 2021-01-14 XXXX -219252.330000 N N N N/A N/A 000000000 -42600000.000000 NC USD -164734.200000 -0.0011906 N/A DIR US N 3 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% JAN 30YR JMBO N/A 103.590000 USD 2021-01-14 XXXX 8.010000 N N N N/A N/A 000000000 -21500000.000000 NC USD -26849.200000 -0.0001940 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.0% NOV 30YR JMBO N/A 102.160000 USD 2020-11-12 XXXX 63853.930000 N N N N/A N/A 000000000 -44800000.000000 NC USD -78413.440000 -0.0005667 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 3.0% DEC 30YR JMBO N/A 104.000000 USD 2020-12-14 XXXX 33586.560000 N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2017-FL3 N/A 03880GAA1 1400000.000000 PA USD 1381807.030000 0.0099867 Long ABS-CBDO CORP KY N 2 2027-12-15 Floating 1.14238 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2019-FL1 N/A 03879YAA5 19500000.000000 PA USD 19330438.340000 0.1397062 Long ABS-CBDO CORP KY N 2 2037-05-15 Floating 1.30238 N N N N N N ARBOUR CLO IV DAC 4A N/A ACI1C2187 6500000.000000 PA 7598033.940000 0.0549130 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 0.87 N N N N N N N/A N/A 000000000 1.000000 NC -54992.040000 -0.0003974 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1959547.490000 USD 1476000.000000 GBP 2020-10-02 -54992.040000 N N N N/A N/A 000000000 1.000000 NC 2286.530000 0.0000165 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1024831.450000 USD 796000.000000 GBP 2020-10-02 2286.530000 N N N N/A N/A 000000000 1.000000 NC 229966.340000 0.0016620 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 76402270.710000 USD 59388757.600000 GBP 2020-10-02 229966.340000 N N N N/A N/A 000000000 1.000000 NC 389674.070000 0.0028163 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 49771682.330000 USD 5290267453.000000 JPY 2020-10-02 389674.070000 N N N N/A N/A 000000000 1.000000 NC 157511.790000 0.0011384 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 10739030.000000 AUD 7849339.590000 USD 2020-10-02 157511.790000 N N N N/A N/A 000000000 1.000000 NC 623138.470000 0.0045036 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 78349831.000000 CAD 59464401.050000 USD 2020-10-02 623138.470000 N N N N/A N/A 000000000 1.000000 NC 331570.230000 0.0023963 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 33184396.000000 CAD 25253280.130000 USD 2020-10-02 331570.230000 N N N N/A N/A 000000000 1.000000 NC 1469209.340000 0.0106184 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 77035997.000000 EUR 91790046.700000 USD 2020-10-02 1469209.340000 N N N AREIT TRUST 2018-CRE2 N/A 04002QAA0 8965570.070000 PA USD 8871822.930000 0.0641190 Long ABS-MBS CORP US N 2 2035-11-14 Floating 1.13213 N N N N N N AREIT TRUST 2019-CRE3 N/A 00217LAA0 27400000.000000 PA USD 27108072.180000 0.1959173 Long ABS-MBS CORP US N 2 2036-09-14 Floating 1.17213 N N N N N N N/A N/A 000000000 1.000000 NC 390690.280000 0.0028236 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 62049000.000000 GBP 80455569.040000 USD 2020-10-02 390690.280000 N N N N/A N/A 000000000 1.000000 NC -230421.680000 -0.0016653 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 59388757.600000 GBP 76414623.570000 USD 2020-11-03 -230421.680000 N N N AREIT TRUST 2020-CRE4 N/A 04002RAA8 26100000.000000 PA USD 26469056.610000 0.1912989 Long ABS-MBS CORP KY N 2 2037-04-14 Floating 2.77238 N N N N N N 2020-11-04 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer