NPORT-P false 0000810893 XXXXXXXX S000009703 C000026625 C000026623 C000026629 C000064151 C000200448 C000026624 C000026627 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 2021-03-31 N 16844036387.650000 777390121.350000 16066646266.299999 0.000000 0.000000 233199650.260000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 297638470.717094 0.000000 0.000000 22354313.530000 ILS AUD USD GBP CAD EUR N ASSET BACKED FUNDING CERTS 2004-OPT5 N/A 04542BJY9 327904.250000 PA USD 323401.730000 0.0020129 Long ABS-MBS CORP US N 2 2034-06-25 Floating 0.80863 N N N N N N ASSET BACKED SEC HOME EQTY LN 2006-HE5 N/A 04544PAE9 1150000.000000 PA USD 1120722.040000 0.0069755 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.34863 N N N N N N ASSET BACKED SEC HOME EQTY LN 2007-HE2 N/A 04544TAB7 22151.620000 PA USD 18013.290000 0.0001121 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.18863 N N N N N N N/A N/A 000000000 -42000000.000000 NC USD -475805.400000 -0.0029614 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% APR 30YR JMBO N/A 104.270000 USD 2021-04-14 XXXX -370805.400000 N N N N/A N/A 000000000 -32400000.000000 NC USD -199677.960000 -0.0012428 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.0% MAY 30YR JMBO N/A 100.050000 USD 2021-05-13 XXXX -7302.960000 N N N N/A N/A 000000000 -13900000.000000 NC USD -102412.420000 -0.0006374 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% APR 30YR JMBO N/A 103.780000 USD 2021-04-14 XXXX -69291.330000 N N N N/A N/A 000000000 -26100000.000000 NC USD -263270.700000 -0.0016386 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% APR 30YR JMBO N/A 104.130000 USD 2021-04-14 XXXX -195981.640000 N N N N/A N/A 000000000 1.000000 NC -237491.130000 -0.0014782 N/A DFE AU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 56166924.320000 USD 73634404.000000 AUD 2021-04-07 -237491.130000 N N N N/A N/A 000000000 1.000000 NC 172755.530000 0.0010752 N/A DFE AU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4344054.000000 AUD 3472306.620000 USD 2021-04-07 172755.530000 N N N N/A N/A 000000000 1.000000 NC 96589.960000 0.0006012 N/A DFE AU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7271000.000000 AUD 5619319.640000 USD 2021-04-07 96589.960000 N N N N/A N/A 000000000 1.000000 NC 235395.560000 0.0014651 N/A DFE AU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 73634404.000000 AUD 56173404.150000 USD 2021-05-04 235395.560000 N N N N/A N/A 000000000 1.000000 NC 790444.980000 0.0049198 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 98939063.000000 ILS 30553722.130000 USD 2022-01-31 790444.980000 N N N N/A N/A 000000000 1.000000 NC 618530.200000 0.0038498 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 113988600.000000 ILS 34909074.200000 USD 2022-01-31 618530.200000 N N N N/A N/A 000000000 1.000000 NC -35362.320000 -0.0002201 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 7666279.310000 USD 6507000.000000 EUR 2021-04-07 -35362.320000 N N N AT&T INC 549300Z40J86GGSTL398 00206RDW9 3500000.000000 PA 2914447.000000 0.0181397 Long DBT CORP US Y 2 2024-05-25 Fixed 2.85 N N N N N N N/A N/A 000000000 1.000000 NC -11635.510000 -0.0000724 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1128304.320000 USD 810000.000000 GBP 2021-04-07 -11635.510000 N N N N/A N/A 000000000 1.000000 NC 1892.300000 0.0000118 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2975891.180000 USD 2160000.000000 GBP 2021-04-07 1892.300000 N N N N/A N/A 000000000 1.000000 NC 46848.150000 0.0002916 N/A DFE AU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2589000.000000 AUD 2013337.920000 USD 2021-04-07 46848.150000 N N N N/A N/A 000000000 1.000000 NC 888872.870000 0.0055324 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 28896000.000000 EUR 34775914.120000 USD 2021-04-07 888872.870000 N N N N/A N/A 000000000 1.000000 NC 92514.900000 0.0005758 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2503000.000000 EUR 3027843.810000 USD 2021-04-07 92514.900000 N N N N/A N/A 000000000 1.000000 NC 385836.840000 0.0024015 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 19500000.000000 EUR 23253960.600000 USD 2021-04-07 385836.840000 N N N N/A N/A 000000000 1.000000 NC 41181.950000 0.0002563 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2060000.000000 GBP 2881105.080000 USD 2021-04-07 41181.950000 N N N N/A N/A 000000000 1.000000 NC 165761.030000 0.0010317 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 16658000.000000 GBP 23130537.530000 USD 2021-04-07 165761.030000 N N N N/A N/A 000000000 1.000000 NC -12837.100000 -0.0000799 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2145000.000000 GBP 2944267.330000 USD 2021-04-07 -12837.100000 N N N N/A N/A 000000000 1.000000 NC 118582.360000 0.0007381 N/A DFE IL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 27545940.000000 ILS 8405071.250000 USD 2022-01-31 118582.360000 N N N N/A N/A 000000000 1.000000 NC 276684.630000 0.0017221 N/A DFE IL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 31028760.000000 ILS 9610890.510000 USD 2022-01-31 276684.630000 N N N ATLAS SENIOR LOAN FUND LTD 2018-9A N/A 04941VAC9 1808819.570000 PA USD 1807833.460000 0.0112521 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.094 N N N N N N ATMOS ENERGY CORPORATION QVLWEGTD2S8GJMO8D383 049560AU9 35100000.000000 PA USD 35115530.000000 0.2185617 Long DBT CORP US N 2 2023-03-09 Fixed 0.625 N N N N N N ATMOS ENERGY CORPORATION QVLWEGTD2S8GJMO8D383 049560AV7 53400000.000000 PA USD 53409263.830000 0.3324232 Long DBT CORP US N 2 2023-03-09 Floating 0.56538 N N N N N N ATRIUM HOTEL PORTFOLIO TRUST 2018-ATRM N/A 04965KAA8 17200000.000000 PA USD 17220278.800000 0.1071803 Long ABS-MBS CORP US N 2 2035-06-15 Floating 1.056 N N N N N N N/A N/A 000000000 1.000000 NC 750709.680000 0.0046725 N/A DFE IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 102398441.500000 ILS 31653304.950000 USD 2022-08-01 750709.680000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05367AAJ2 67301000.000000 PA USD 68283665.940000 0.4250026 Long DBT CORP US N 2 2022-01-20 Fixed 2.875 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAG6 14550000.000000 PA USD 14551127.920000 0.0905673 Long DBT CORP US N 2 2021-06-01 Floating 1.1405 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05369AAE1 26893000.000000 PA USD 26866660.460000 0.1672201 Long DBT CORP US N 2 2021-07-30 Floating 0.8815 N N N N N N N/A N/A 000000000 1.000000 NC -237.780000 -0.0000015 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 64695.480000 USD 7136688.000000 JPY 2021-04-07 -237.780000 N N N N/A N/A 000000000 1.000000 NC -304.840000 -0.0000019 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 57506.660000 USD 6333324.000000 JPY 2021-04-07 -304.840000 N N N N/A N/A 000000000 1.000000 NC 405562.630000 0.0025243 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 12421416.000000 AUD 9840320.280000 USD 2021-04-07 405562.630000 N N N N/A N/A 000000000 1.000000 NC 28358.620000 0.0001765 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1416000.000000 AUD 1103889.530000 USD 2021-04-07 28358.620000 N N N N/A N/A 000000000 1.000000 NC 7252.890000 0.0000451 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 481000.000000 AUD 372599.190000 USD 2021-04-07 7252.890000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 U0536PAD6 260000.000000 PA USD 259745.350000 0.0016167 Long DBT CORP US N 2 2021-07-30 Floating 0.8815 N N N N N N N/A N/A 000000000 1.000000 NC 239.150000 0.0000015 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 7136688.000000 JPY 64714.840000 USD 2021-05-07 239.150000 N N N N/A N/A 000000000 1.000000 NC 305.490000 0.0000019 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6333324.000000 JPY 57523.270000 USD 2021-05-07 305.490000 N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAC4 16166000.000000 PA USD 16890993.850000 0.1051308 Long DBT CORP KY N 2 2023-03-15 Fixed 4.5 N N N N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAA8 42096000.000000 PA USD 44206932.120000 0.2751472 Long DBT CORP KY N 2 2022-08-15 Fixed 5.25 N N N N N N N/A N/A 000000000 1.000000 NC 414094.570000 0.0025774 N/A DFE AU N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 19600000.000000 AUD 15301386.800000 USD 2021-04-07 414094.570000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAA9 12300000.000000 PA USD 13057850.850000 0.0812730 Long DBT CORP KY N 2 2023-01-15 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -9759.220000 -0.0000607 N/A DFE CA N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1231245.560000 USD 1535000.000000 CAD 2021-04-07 -9759.220000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAH4 24800000.000000 PA USD 24735477.590000 0.1539555 Long DBT CORP KY N 2 2025-02-15 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC 5841.060000 0.0000364 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 13470012.000000 JPY 127500.580000 USD 2021-04-07 5841.060000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAE1 1100000.000000 PA USD 1121944.880000 0.0069831 Long DBT CORP KY N 2 2022-05-01 Fixed 3.625 N N N N N N N/A N/A 000000000 1.000000 NC -61461.980000 -0.0003825 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 7777505.570000 USD 5597000.000000 GBP 2021-04-07 -61461.980000 N N N N/A N/A 000000000 1.000000 NC 1649835.540000 0.0102687 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 797681789.930000 USD 579812576.000000 GBP 2021-04-07 1649835.540000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAB7 3900000.000000 PA USD 4160788.940000 0.0258971 Long DBT CORP KY N 2 2023-10-01 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC 3718.740000 0.0000231 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1833000.000000 AUD 1395984.390000 USD 2021-04-07 3718.740000 N N N N/A N/A 000000000 1.000000 NC 3285072.080000 0.0204465 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 78045997.000000 EUR 94809613.760000 USD 2021-04-06 3285072.080000 N N N N/A N/A 000000000 1.000000 NC -1647476.660000 -0.0102540 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 579812576.000000 GBP 797760064.630000 USD 2021-05-05 -1647476.660000 N N N AVON FINANCE NO 2 PLC 2A N/A ACI1RJQB0 58603744.370000 PA 80965784.510000 0.5039371 Long ABS-MBS CORP GB N 2 2048-09-20 Floating 0.94852 N N N N N N N/A N/A 000000000 1.000000 NC USD -237579.580000 -0.0014787 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 -237579.580000 N N N N/A N/A 000000000 1.000000 NC USD -185024.760000 -0.0011516 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 -185024.760000 N N N BAIN CAPITAL EURO 2018-2 DAC 18-2A N/A ACI1WTQT3 14900000.000000 PA 17485079.830000 0.1088284 Long ABS-CBDO CORP IE N 3 2032-01-20 Floating 0.74 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT N/A 05525DAA4 17500000.000000 PA USD 17523943.500000 0.1090703 Long ABS-MBS CORP US N 2 2034-03-15 Floating 1.306 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ N/A 05492HAA4 11700000.000000 PA USD 11677259.880000 0.0726801 Long ABS-MBS CORP US N 2 2036-04-15 Floating 1.156 N N N N N N BANC OF AMERICA FUNDING CORP 2006-A N/A 058927AA2 496840.700000 PA USD 496748.440000 0.0030918 Long ABS-MBS CORP US N 2 2036-02-20 Floating 2.73129 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 51789.930000 PA USD 49830.220000 0.0003101 Long ABS-MBS CORP US N 2 2047-01-20 Floating 3.37563 Y N N N N N N/A N/A 000000000 1.000000 NC -979964.360000 -0.0060994 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 169207363.000000 CAD 133666682.110000 USD 2021-04-05 -979964.360000 N N N N/A N/A 000000000 1.000000 NC 112566.660000 0.0007006 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 11187000.000000 AUD 8609716.570000 USD 2021-04-07 112566.660000 N N N N/A N/A 000000000 1.000000 NC 62850.880000 0.0003912 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 3749000.000000 EUR 4459394.260000 USD 2021-04-07 62850.880000 N N N N/A N/A 000000000 -13500000.000000 NC USD -333363.600000 -0.0020749 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 102.250000 USD 2021-04-07 XXXX -274301.100000 N N N N/A N/A 000000000 -27400000.000000 NC USD -241344.680000 -0.0015021 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 99.910000 USD 2021-05-06 XXXX -87219.680000 N N N N/A N/A 000000000 -18200000.000000 NC USD -63578.060000 -0.0003957 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 100.390000 USD 2021-05-06 XXXX 30265.690000 N N N N/A N/A 000000000 -11600000.000000 NC USD -37708.120000 -0.0002347 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 100.450000 USD 2021-05-06 XXXX 22104.380000 N N N N/A N/A 000000000 -11600000.000000 NC USD -53225.440000 -0.0003313 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 98.450000 USD 2021-05-06 XXXX 28337.060000 N N N N/A N/A 000000000 -19000000.000000 NC USD -16811.200000 -0.0001046 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 101.450000 USD 2021-05-06 XXXX 49985.680000 N N N N/A N/A 000000000 -34800000.000000 NC USD -149577.360000 -0.0009310 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUN 30YR N/A 100.530000 USD 2021-06-07 XXXX 29860.140000 N N N N/A N/A 000000000 -27600000.000000 NC USD -191535.720000 -0.0011921 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 99.430000 USD 2021-05-06 XXXX -27660.720000 N N N N/A N/A 000000000 -33200000.000000 NC USD -38687.960000 -0.0002408 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 98.950000 USD 2021-04-07 XXXX 85812.040000 N N N N/A N/A 000000000 -55400000.000000 NC USD -212669.520000 -0.0013237 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 101.550000 USD 2021-05-06 XXXX 68658.610000 N N N N/A N/A 000000000 -9300000.000000 NC USD -57978.060000 -0.0003609 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUN 30YR N/A 101.390000 USD 2021-06-07 XXXX -7845.250000 N N N N/A N/A 000000000 -21000000.000000 NC USD -544813.500000 -0.0033910 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 102.380000 USD 2021-04-07 XXXX -459501.000000 N N N N/A N/A 000000000 -28400000.000000 NC USD -208385.000000 -0.0012970 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 99.550000 USD 2021-05-06 XXXX -26447.500000 N N N N/A N/A 000000000 -36700000.000000 NC USD -244201.800000 -0.0015199 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUN 30YR N/A 101.590000 USD 2021-06-07 XXXX -19127.580000 N N N N/A N/A 000000000 -68800000.000000 NC USD -445301.120000 -0.0027716 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUN 30YR N/A 100.050000 USD 2021-06-07 XXXX -66363.620000 N N N N/A N/A 000000000 -4100000.000000 NC USD -7.380000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 101.880000 USD 2021-04-07 XXXX 9281.680000 N N N N/A N/A 000000000 -2100000.000000 NC USD -8806.770000 -0.0000548 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 104.050000 USD 2021-06-07 XXXX -767.710000 N N N N/A N/A 000000000 -15200000.000000 NC USD -14671.040000 -0.0000913 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 101.390000 USD 2021-05-06 XXXX 51828.960000 N N N N/A N/A 000000000 -20800000.000000 NC USD -209894.880000 -0.0013064 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUN 30YR N/A 99.380000 USD 2021-06-07 XXXX -50644.880000 N N N N/A N/A 000000000 -900000.000000 NC USD -3292.110000 -0.0000205 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 103.880000 USD 2021-06-07 XXXX 47.730000 N N N N/A N/A 000000000 -21000000.000000 NC USD -42.000000 -0.0000003 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 101.860000 USD 2021-04-07 XXXX 45895.500000 N N N N/A N/A 000000000 -49800000.000000 NC USD -250424.280000 -0.0015587 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 98.690000 USD 2021-05-06 XXXX -55893.030000 N N N N/A N/A 000000000 -2500000.000000 NC USD -687.500000 -0.0000043 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 102.250000 USD 2021-05-06 XXXX 7125.000000 N N N N/A N/A 000000000 -36000000.000000 NC USD -156106.800000 -0.0009716 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 101.790000 USD 2021-05-06 XXXX -1419.300000 N N N N/A N/A 000000000 -18700000.000000 NC USD -50353.490000 -0.0003134 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 99.610000 USD 2021-04-07 XXXX 13927.760000 N N N N/A N/A 000000000 -11600000.000000 NC USD -197817.120000 -0.0012312 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 101.480000 USD 2021-04-07 XXXX -170629.620000 N N N N/A N/A 000000000 -33200000.000000 NC USD -5242.280000 -0.0000326 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 100.950000 USD 2021-04-07 XXXX 82945.220000 N N N N/A N/A 000000000 -13700000.000000 NC USD -45940.210000 -0.0002859 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 103.740000 USD 2021-06-07 XXXX 9716.040000 N N N N/A N/A 000000000 -6700000.000000 NC USD -20904.000000 -0.0001301 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 104.180000 USD 2021-05-06 XXXX -1275.090000 N N N N/A N/A 000000000 -4700000.000000 NC USD -15952.270000 -0.0000993 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 103.760000 USD 2021-06-07 XXXX 3875.860000 N N N N/A N/A 000000000 -4100000.000000 NC USD -2.050000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 102.080000 USD 2021-04-07 XXXX 9607.330000 N N N N/A N/A 000000000 -15200000.000000 NC USD -103572.800000 -0.0006446 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 99.390000 USD 2021-05-06 XXXX -9760.300000 N N N N/A N/A 000000000 -31200000.000000 NC USD -202456.800000 -0.0012601 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUN 30YR N/A 101.510000 USD 2021-06-07 XXXX -29394.300000 N N N N/A N/A 000000000 -9300000.000000 NC USD -22036.350000 -0.0001372 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUN 30YR N/A 103.390000 USD 2021-06-07 XXXX 12838.650000 N N N N/A N/A 000000000 -15700000.000000 NC USD -131.880000 -0.0000008 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 101.610000 USD 2021-04-07 XXXX 34211.870000 N N N N/A N/A 000000000 -53400000.000000 NC USD -730357.140000 -0.0045458 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 100.750000 USD 2021-05-06 XXXX -354888.390000 N N N N/A N/A 000000000 -6200000.000000 NC USD -23388.260000 -0.0001456 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% JUN 30YR N/A 103.910000 USD 2021-06-07 XXXX 830.490000 N N N N/A N/A 000000000 -8300000.000000 NC USD -7587.030000 -0.0000472 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 101.430000 USD 2021-05-06 XXXX 18350.470000 N N N BANCO SANTANDER CHILE SA 3YJP8HORPAEXJ80D6368 ACI0T44Q4 23600000.000000 PA USD 23696120.200000 0.1474864 Long DBT CORP CL N 2 2021-11-28 Floating 1.38975 N N N N N N N/A N/A 000000000 -36100000.000000 NC USD -744858.520000 -0.0046361 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 101.840000 USD 2021-04-07 XXXX -632046.020000 N N N BANCO SANTANDER CHILE SA 3YJP8HORPAEXJ80D6368 05970FAC5 5200000.000000 PA USD 5443984.000000 0.0338838 Long DBT CORP CL N 2 2025-01-10 Fixed 2.7 N N N N N N N/A N/A 000000000 -34800000.000000 NC USD -275306.280000 -0.0017135 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUN 30YR N/A 98.530000 USD 2021-06-07 XXXX -57806.280000 N N N N/A N/A 000000000 -19000000.000000 NC USD -98317.400000 -0.0006119 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 102.120000 USD 2021-05-06 XXXX -12965.840000 N N N N/A N/A 000000000 -20800000.000000 NC USD -102450.400000 -0.0006377 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUN 30YR N/A 100.380000 USD 2021-06-07 XXXX 27549.600000 N N N N/A N/A 000000000 -8100000.000000 NC USD -3704.940000 -0.0000231 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 101.910000 USD 2021-05-06 XXXX 21607.560000 N N N N/A N/A 000000000 -76000000.000000 NC USD -441947.600000 -0.0027507 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUN 30YR N/A 101.170000 USD 2021-06-07 XXXX 9302.400000 N N N N/A N/A 000000000 -14400000.000000 NC USD -6816.960000 -0.0000424 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 101.890000 USD 2021-05-06 XXXX 38183.040000 N N N N/A N/A 000000000 -21000000.000000 NC USD -50.400000 -0.0000003 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 101.830000 USD 2021-04-07 XXXX 45887.100000 N N N N/A N/A 000000000 -19700000.000000 NC USD -70431.440000 -0.0004384 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 99.830000 USD 2021-04-07 XXXX -2712.690000 N N N N/A N/A 000000000 -14400000.000000 NC USD -125323.200000 -0.0007800 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 99.890000 USD 2021-05-06 XXXX -44323.200000 N N N N/A N/A 000000000 -2100000.000000 NC USD -5184.270000 -0.0000323 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAY 30YR N/A 103.980000 USD 2021-05-06 XXXX 1050.110000 N N N N/A N/A 000000000 -28400000.000000 NC USD -158491.880000 -0.0009865 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% MAY 30YR N/A 102.250000 USD 2021-05-06 XXXX -36460.630000 N N N N/A N/A 000000000 -13400000.000000 NC USD -297403.620000 -0.0018511 N/A DIR US N 2 CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 102.000000 USD 2021-04-07 XXXX -265473.930000 N N N N/A N/A 000000000 -15300000.000000 NC USD -13835.790000 -0.0000861 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% MAY 30YR N/A 101.440000 USD 2021-05-06 XXXX 39953.270000 N N N N/A N/A 000000000 -15200000.000000 NC USD -57700.720000 -0.0003591 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 99.880000 USD 2021-04-07 XXXX -5450.720000 N N N N/A N/A 000000000 -15400000.000000 NC USD -75329.100000 -0.0004689 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% APR 30YR N/A 100.080000 USD 2021-04-07 XXXX -27204.100000 N N N N/A N/A 000000000 -6094.000000 NC USD 19156671.260000 0.1192325 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-06-21 -875631625.000000 USD 19156671.260000 N N N N/A N/A 000000000 5238.000000 NC USD -444224.030000 -0.0027649 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2021-06-30 1156165731.760000 USD -444224.030000 N N N N/A N/A 000000000 -25233.000000 NC USD 32191761.840000 0.2003639 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-06-30 -3113712786.050000 USD 32191761.840000 N N N BANCORP COMMERCIAL MORTGAGE TRUST 2019-CRE5 N/A 05972MAA2 5659344.620000 PA USD 5662529.700000 0.0352440 Long ABS-MBS CORP US N 2 2036-03-15 Floating 1.106 N N N N N N BANCORP COMMERCIAL MORTGAGE TRUST 2019-CRE6 N/A 05973BAA5 13956720.630000 PA USD 13967123.970000 0.0869324 Long ABS-MBS CORP US N 2 2036-09-15 Floating 1.156 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505EZ3 7980000.000000 PA 6473029.480000 0.0402886 Long DBT CORP US Y 2 2023-03-15 Floating 2.604 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505ES9 200000.000000 PA 164232.860000 0.0010222 Long DBT CORP US Y 2 2022-06-22 Fixed 3.228 N N N N N N BANK OF AMERICA MTG SEC 2002-G N/A 06050HKR8 4136.570000 PA USD 4250.310000 0.0000265 Long ABS-MBS CORP US N 2 2032-07-20 Floating 3.36167 N N N N N N BANK OF AMERICA MTGE SECS-2006-A N/A 05949CRS7 39742.030000 PA USD 39148.350000 0.0002437 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.68704 Y N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBE4 21400000.000000 PA USD 22113947.660000 0.1376389 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 22156528.030000 0.1379039 Long DBT CORP GB N 2 2023-02-15 Floating 1.62375 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBB0 700000.000000 PA USD 749852.540000 0.0046671 Long DBT CORP GB N 2 2024-05-16 Floating 4.338 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 59058000.000000 PA USD 59920418.660000 0.3729491 Long DBT CORP GB N 2 2024-05-16 Floating 1.57375 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI137384 5000000.000000 PA 3870162.860000 0.0240882 Long DBT CORP GB N 2 2023-06-15 Floating 1.8369 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CR6F1 2000000.000000 PA 1604139.990000 0.0099843 Long DBT CORP GB N 2 2024-06-26 Fixed 3.25 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 ACI1CR5G0 1500000.000000 PA 1182643.970000 0.0073609 Long DBT CORP GB N 2 2024-06-26 Floating 2.18 N N N N N N BASIC ASSET BACKED SECURITIES TRUST 2006-1 N/A 06983NAC1 387962.120000 PA USD 387027.400000 0.0024089 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.72863 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DAZ8 31969000.000000 PA USD 34074190.620000 0.2120803 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAG8 46900000.000000 PA USD 47550087.470000 0.2959553 Long DBT CORP US N 2 2023-12-15 Floating 1.19388 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2019-SBR1 N/A 07333YAA6 2491950.530000 PA USD 2505840.660000 0.0155965 Long ABS-MBS CORP US N 2 2034-06-28 Fixed 3.4748 N N N N N N BEAR STEARNS SECOND LIEN TRUST 2007 N/A 07401UAD5 3559940.020000 PA USD 3557313.500000 0.0221410 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.45863 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 3038827.110000 PA USD 2623243.500000 0.0163273 Long ABS-MBS CORP US N 2 2036-01-26 Floating 2.75729 Y N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 1896977.740000 PA USD 1650905.390000 0.0102754 Long ABS-MBS CORP US N 2 2046-12-26 Floating 2.88606 Y N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-4 N/A 07384MVP4 1059392.130000 PA USD 1050200.530000 0.0065365 Long ABS-MBS CORP US N 2 2033-07-25 Floating 2.54213 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-5 N/A 07384MWN8 618942.930000 PA USD 625488.870000 0.0038931 Long ABS-MBS CORP US N 2 2033-08-25 Floating 2.94517 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2007-3 N/A 073881AA2 505298.600000 PA USD 501958.630000 0.0031242 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.46588 Y N N N N N BEAR STEARNS ADJUST RT MTGE TR 2000- N/A 07384MAA0 25345.670000 PA USD 25219.840000 0.0001570 Long ABS-MBS CORP US N 2 2030-11-25 Floating 2.78055 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZS4 27493.380000 PA USD 28331.300000 0.0001763 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.32279 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 91227.650000 PA USD 94603.660000 0.0005888 Long ABS-MBS CORP US N 2 2034-01-25 Floating 2.77247 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M4E9 31886.530000 PA USD 32597.060000 0.0002029 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.75648 N N N N N N BEAR STEARNS ALT-A TRUST 2005-10 N/A 07386HZJ3 850713.310000 PA USD 887481.650000 0.0055238 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 2.72558 Y N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A 07386HSZ5 90454.780000 PA USD 92739.010000 0.0005772 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.76153 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 1340433.390000 PA USD 1066251.630000 0.0066364 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.03301 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AV3 1435175.950000 PA USD 1115444.870000 0.0069426 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.21521 N N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 373295.820000 PA USD 362927.490000 0.0022589 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.42863 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384MZ96 183027.120000 PA USD 177139.450000 0.0011025 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.90153 N N N N N N BEAR STEARNS ARM TR 2004-8 N/A 07384M2C5 3777537.050000 PA USD 3279554.540000 0.0204122 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.0216 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1 N/A 07384YGX8 15417.590000 PA USD 15073.270000 0.0000938 Long ABS-MBS CORP US N 2 2042-11-25 Floating 1.10863 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC4 N/A 07384YKF2 6484336.850000 PA USD 6598785.400000 0.0410713 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 430929.050000 PA USD 431299.130000 0.0026844 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.78363 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6 N/A 07387YAA1 313958.740000 PA USD 315704.350000 0.0019650 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.35863 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7 N/A 07387VAA7 472098.520000 PA USD 472277.490000 0.0029395 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.10863 N N N N N N BEAR STEARNS ASSETBACKED SEC 2001-3 N/A 07384YBM7 53588.960000 PA USD 52610.840000 0.0003275 Long ABS-MBS CORP US N 2 2032-10-27 Floating 0.90863 N N N N N N BEAR STEARNS ASSETBK SEC 2005-AQ2 N/A 0738792V9 5643705.130000 PA USD 5633284.030000 0.0350620 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.84363 Y N N N N N BEAR STEARNS ASSETBK SECU INC 2002- N/A 07384YEM4 120556.160000 PA USD 120060.870000 0.0007473 Long ABS-MBS CORP US N 2 2032-10-25 Floating 0.76863 N N N N N N BENEFIT STREET PARTNERS CLO LTD 2015-VIIA N/A 08180RAL9 1077062.710000 PA USD 1077384.780000 0.0067057 Long ABS-CBDO CORP KY N 2 2027-07-18 Floating 1.00338 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 085770AA3 46123000.000000 PA USD 48853481.600000 0.3040677 Long DBT CORP US N 2 2026-07-15 Fixed 4.875 N N N N N N BGC PARTNERS INC TF1LXM1YNB81WKUH5G19 05541TAH4 2550000.000000 PA USD 2563501.920000 0.0159554 Long DBT CORP US N 2 2021-05-27 Fixed 5.125 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 ACI0T0ZP0 1800000.000000 PA 1391571.500000 0.0086612 Long DBT CORP FR N 2 2022-12-16 Floating 1.784 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681LAG5 40130000.000000 PA USD 40119195.400000 0.2497049 Long DBT CORP SG N 2 2021-05-04 Floating 1.25188 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 09681LAC4 3400000.000000 PA USD 3414025.000000 0.0212491 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 22653348.420000 0.1409961 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 27102700.900000 0.1686892 Long DBT CORP SG N 2 2021-05-04 Floating 1.25188 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 BZ12VMII6 13827000.000000 PA USD 14057219.550000 0.0874932 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 17178570.500000 0.1069207 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 19900000.000000 PA USD 20306379.890000 0.1263884 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 7757111.570000 0.0482808 Long DBT CORP SG N 2 2023-09-26 Floating 1.32013 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DD4 8896000.000000 PA USD 9016402.650000 0.0561188 Long DBT CORP US N 2 2023-02-04 Fixed 1.167 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DE2 52600000.000000 PA USD 53272246.410000 0.3315704 Long DBT CORP US N 2 2024-02-04 Fixed 1.433 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023CS2 89131000.000000 PA USD 95431837.060000 0.5939748 Long DBT CORP US N 2 2023-05-01 Fixed 4.508 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023BQ7 11878000.000000 PA USD 12102506.790000 0.0753269 Long DBT CORP US N 2 2023-06-15 Fixed 1.875 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023BN4 1827000.000000 PA USD 1860594.950000 0.0115805 Long DBT CORP US N 2 2022-10-30 Fixed 2.2 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023BH7 6000000.000000 PA USD 6284643.300000 0.0391161 Long DBT CORP US N 2 2024-10-30 Fixed 2.85 N N N N N N BORAL FINANCE PTY LTD 549300X2TYFVNPM0UT91 09952AAA4 1400000.000000 PA USD 1437607.650000 0.0089478 Long DBT CORP AU N 2 2022-11-01 Fixed 3 N N N N N N BRASS NO 8 PLC 8A N/A 10554MAA8 10029873.690000 PA USD 10084045.040000 0.0627638 Long ABS-MBS CORP GB N 2 2066-11-16 Floating 0.89375 N N N N N N BRAVO MORTGAGE ASSET TRUST 2006-1A N/A 105667AB5 123356.280000 PA USD 123404.910000 0.0007681 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.34863 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAG8 35500000.000000 PA USD 35577580.640000 0.2214375 Long DBT CORP US N 2 2022-02-01 Floating 1.255 N N N N N N BROOKSIDE MILL CLO LTD 2013-1A N/A 114521AL1 3734538.050000 PA USD 3732693.080000 0.0232326 Long ABS-CBDO CORP KY N 2 2028-01-17 Floating 1.04338 N N N N N N BSST 2021-1818 MORTGAGE TRUST N/A 07403PAA0 5200000.000000 PA USD 5211672.440000 0.0324378 Long ABS-MBS CORP US N 2 2036-03-15 Floating 1.3 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-MFM1 N/A 05608VAA4 76900000.000000 PA USD 76809903.960000 0.4780705 Long ABS-MBS CORP US N 2 2034-01-15 Floating 0.806 N N N N N N BXMT 2020-FL3 LTD N/A 05608XAA0 3100000.000000 PA USD 3113149.270000 0.0193765 Long ABS-MBS CORP KY N 2 2037-03-15 Floating 1.5075 N N N N N N CALIFORNIA STATE N/A 13063DAF5 50810000.000000 PA USD 50858284.740000 0.3165457 Long DBT MUN US N 2 2047-04-01 Floating 0.891 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AE7 4900000.000000 PA USD 5428573.630000 0.0337878 Long DBT CORP US N 2 2024-05-01 Fixed 4.875 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AC1 16500000.000000 PA USD 17603121.860000 0.1095631 Long DBT CORP US N 2 2022-06-17 Fixed 6.5 N N N N N N CATHEDRAL LAKE CLO LTD 2015-2A N/A 14918MAW3 25200000.000000 PA USD 25196764.820000 0.1568265 Long ABS-CBDO CORP KY N 3 2029-07-15 Floating 1.049 N N N N N N CBAM LTD 2017-3A N/A 12481HAC9 7100000.000000 PA USD 7104760.830000 0.0442206 Long ABS-CBDO CORP KY N 2 2029-10-17 Floating 1.45338 N N N N N N CENTERPOINT ENERGY RESOURCES CORP 2JADVB0458J06WCD4N56 15189WAN0 34000000.000000 PA USD 34011749.380000 0.2116917 Long DBT CORP US N 2 2023-03-02 Floating 0.68425 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI10JL08 26200000.000000 PA USD 26262480.710000 0.1634596 Long DBT CORP JP N 2 2022-02-15 Floating 0.65375 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0SQFL5 37880000.000000 PA USD 38068642.400000 0.2369421 Long DBT CORP JP N 2 2022-03-03 Floating 0.99425 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0LZ657 16928000.000000 PA USD 16943827.680000 0.1054596 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 16907538.080000 0.1052338 Long DBT CORP JP N 2 2021-04-23 Floating 1.28775 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0PN1Y2 2100000.000000 PA USD 2115675.890000 0.0131681 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 62570352.000000 0.3894425 Long DBT CORP JP N 2 2021-09-14 Floating 1.03388 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0YDH84 114500000.000000 PA USD 114756612.820000 0.7142537 Long DBT CORP JP N 2 2021-11-02 Floating 0.76188 N N N N N N CHARLES SCHWAB CORP/THE 549300VSGCJ7E698NM85 808513BM6 46690000.000000 PA USD 46965841.250000 0.2923189 Long DBT CORP US N 2 2024-03-18 Floating 0.51 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BQ6 500000.000000 PA USD 547154.840000 0.0034055 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 160374000.000000 PA USD 164831580.900000 1.0259240 Long DBT CORP US N 2 2024-02-01 Floating 1.855 N N N N N N CHASE FUNDING MTGE LN ASSET BK 2002-3 N/A 161546DB9 19518.180000 PA USD 18794.250000 0.0001170 Long ABS-MBS CORP US N 2 2032-08-25 Floating 0.74863 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630BD9 169892.670000 PA USD 171318.380000 0.0010663 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.32057 Y N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-3A N/A 16678RBU0 82160.750000 PA USD 84545.090000 0.0005262 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.35863 N N N N N N CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD) 529900Q5XXSXHRQERC81 942AYM905 16254618.000000 PA USD 16220327.750000 0.1009565 Long DBT CORP US Y 2 2021-04-22 None 0 N N N N N N CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD) 529900Q5XXSXHRQERC81 942FGT909 17330716.000000 PA USD 17254117.010000 0.1073909 Long DBT CORP US Y 2 2021-05-14 None 0 N N N N N N CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD) 529900Q5XXSXHRQERC81 935ISRII4 12483870.000000 PA USD 12393479.420000 0.0771379 Long DBT CORP US Y 2 2021-06-11 None 0 N N N N N N CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD) 529900Q5XXSXHRQERC81 942KKPII2 25431923.000000 PA USD 25126095.990000 0.1563867 Long DBT CORP US Y 2 2021-07-27 None 0 N N N N N N CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD) 529900Q5XXSXHRQERC81 935KDS001 23944637.000000 PA USD 23826268.840000 0.1482965 Long DBT CORP US Y 2 2021-05-19 None 0 N N N N N N CIMIC GROUP LTD (AKA: LEIGHTON HOLDINGS LTD) 529900Q5XXSXHRQERC81 936LZK001 1448962.000000 PA USD 1441799.190000 0.0089739 Long DBT CORP US Y 2 2021-05-19 None 0 N N N N N N CIT GROUP HOME EQUITY LOAN TRUS 2002-2 N/A 12558MBB7 3057.820000 PA USD 3058.500000 0.0000190 Long ABS-MBS CORP US N 2 2033-06-25 Floating 0.64863 N N N N N N CIT GROUP INC N8O96ZZJQRFYQUJY7K79 125581GQ5 23040000.000000 PA USD 24282777.600000 0.1511378 Long DBT CORP US N 2 2022-08-15 Fixed 5 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LL3 72478000.000000 PA USD 73544781.940000 0.4577482 Long DBT CORP US N 2 2024-05-17 Floating 1.2915 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MA6 23640000.000000 PA USD 23951067.650000 0.1490732 Long DBT CORP US N 2 2024-06-01 Floating 1.2135 N N N N N N CITIGROUP MORTGAGE LOAN TR 2004-HYB2 N/A 17307GEC8 27813.740000 PA USD 28913.580000 0.0001800 Long ABS-MBS CORP US N 2 2034-03-25 Floating 2.40035 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2014-11 N/A 17323JAD4 2475841.700000 PA USD 2464146.320000 0.0153370 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.25763 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-B N/A 17327VAA9 4825032.070000 PA USD 4873407.840000 0.0303325 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 9480087.350000 PA USD 9545888.640000 0.0594143 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 39638.480000 PA USD 41409.790000 0.0002577 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.48 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR7 N/A 172987AD1 125304.990000 PA USD 123101.870000 0.0007662 Long ABS-MBS CORP US N 2 2046-07-25 Floating 2.92132 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 990786.230000 PA USD 980887.190000 0.0061051 Long ABS-MBS CORP US N 2 2037-09-25 Floating 3.31274 Y N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 261189.390000 PA USD 223678.810000 0.0013922 Long ABS-MBS CORP US N 2 2045-07-25 Floating 0.16863 N N N N N N CITIGROUP MTGE LOAN TR INC 2008-RR1 N/A 173145AA1 175357.780000 PA USD 159466.330000 0.0009925 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.17863 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 62724.890000 PA USD 63653.680000 0.0003962 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 268937.370000 PA USD 279533.390000 0.0017398 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.05591 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 11052.030000 PA USD 11253.560000 0.0000700 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 2767536.490000 PA USD 2847433.880000 0.0177226 Long ABS-MBS CORP US N 2 2048-10-15 Fixed 5.648 N N N N N N CK HUTCHISON INTERNATIONAL (17) LIMITED 254900TNOJOSKVTDPK87 G2177UAA7 232000.000000 PA USD 237030.390000 0.0014753 Long DBT CORP KY N 2 2022-04-05 Fixed 2.875 N N N N N N CLNC 2019-FL1 LTD N/A 12565DAA1 46900000.000000 PA USD 46884210.650000 0.2918108 Long ABS-O CORP KY N 2 2035-08-20 Floating 1.36025 N N N N N N CNH INDUSTRIAL CAPITAL LLC 549300PNSJ5B81UMVO28 12592BAF1 2000000.000000 PA USD 2000000.000000 0.0124481 Long DBT CORP US N 2 2021-04-01 Fixed 4.875 N N N N N N CNPC (HK) OVERSEAS CAPITAL LTD N/A G21895AB6 13850000.000000 PA USD 13882357.890000 0.0864048 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 953432.200000 0.0059342 Long ABS-MBS CORP US N 2 2046-03-10 Floating 0.73588 N N N N N N COMMONBOND STUDENT LOAN TRUST 2017-AGS N/A 20267VAA5 2472369.790000 PA USD 2537373.340000 0.0157928 Long ABS-O CORP US N 2 2041-05-25 Fixed 2.55 N N N N N N CONTIMORTGAGE HOME EQUITY LN 1996-1 N/A 21075WCK9 351.220000 PA USD 348.590000 0.0000022 Long ABS-MBS CORP US N 2 2027-03-15 Floating 0.446 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA17 N/A 12668PAA0 1582728.230000 PA USD 1382089.570000 0.0086022 Long ABS-MBS CORP US N 2 2046-12-20 Floating 0.30588 Y N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA22 N/A 23245PAA9 88731.450000 PA USD 82937.840000 0.0005162 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.26863 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-62 N/A 12668ATT2 277720.540000 PA USD 260162.490000 0.0016193 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.25903 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDE0 192270.880000 PA USD 182940.740000 0.0011386 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.25903 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19 N/A 12668RAA6 2350637.260000 PA USD 1850131.110000 0.0115154 Long ABS-MBS CORP US N 2 2047-02-20 Floating 0.29088 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2 N/A 02147BAJ4 117011.610000 PA USD 72831.850000 0.0004533 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 491913.970000 PA USD 491175.560000 0.0030571 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.03788 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11 N/A 02147DAB7 515839.540000 PA USD 499689.950000 0.0031101 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.48863 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9 N/A 02146YAC0 844275.970000 PA USD 674511.410000 0.0041982 Long ABS-MBS CORP US N 2 2046-07-20 Floating 0.32088 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2003-J3 N/A 12669FFD0 87480.440000 PA USD 89020.630000 0.0005541 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 155411.520000 PA USD 148402.040000 0.0009237 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.52863 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 1544179.940000 PA USD 1476874.080000 0.0091922 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.28863 N N N N N N COUNTRYWIDE ASSET BACKED CERT 2007-SEA1 N/A 23248AAJ0 204633.440000 PA USD 200928.840000 0.0012506 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.39863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2002-3 N/A 126671RM0 142992.630000 PA USD 141048.300000 0.0008779 Long ABS-MBS CORP US N 2 2032-05-25 Floating 0.84863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-1 N/A 126671Z33 1356901.610000 PA USD 1353603.660000 0.0084249 Long ABS-MBS CORP US N 2 2034-03-25 Floating 0.93363 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673AW2 4856192.410000 PA USD 4741867.930000 0.0295137 Long ABS-MBS CORP US N 2 2034-12-25 Floating 0.64863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-AB2 N/A 126673QH8 555000.000000 PA USD 549084.640000 0.0034175 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.00863 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-11 N/A 12666TAG1 77950.610000 PA USD 76955.300000 0.0004790 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.25863 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-13 N/A 126698AD1 1796857.710000 PA USD 1784558.040000 0.0111072 Long ABS-MBS CORP US N 2 2047-10-25 Floating 0.90863 N N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2004-BC5 N/A 126673PS5 2278508.950000 PA USD 2298616.790000 0.0143068 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.60863 N N N N N N COUNTRYWIDE HOME EQUITY LN TRUST 2006-I N/A 12668FAB0 10210.590000 PA USD 9879.240000 0.0000615 Long ABS-MBS CORP US N 2 2037-01-15 Floating 0.246 N N N N N N COUNTRYWIDE HOME LOANS 2001-HYB1 N/A 12669B2Z4 2649.700000 PA USD 2683.190000 0.0000167 Long ABS-MBS CORP US N 2 2031-07-19 Floating 2.125 N N N N N N COUNTRYWIDE HOME LOANS 2003-R4 N/A 12669FFS7 7750.760000 PA USD 7749.540000 0.0000482 Long ABS-MBS CORP US N 2 2034-01-25 Variable 4.82301 Y N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPN5 160796.800000 PA USD 144052.190000 0.0008966 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.74863 N N N N N N COUNTRYWIDE HOME LOANS 2005-3 N/A 12669GTV3 13407.280000 PA USD 12959.330000 0.0000807 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.68863 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GZQ7 127835.580000 PA USD 114491.450000 0.0007126 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.56863 N N N N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 1487867.180000 PA USD 1426783.540000 0.0088804 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.44863 Y N N N N N COUNTRYWIDE HOME LOANS 2007-HY4 N/A 17025RAA3 89420.040000 PA USD 86190.360000 0.0005365 Long ABS-MBS CORP US N 2 2047-09-25 Floating 3.02334 Y N N N N N CREDIT AGRICOLE SA/LONDON BRANCH 969500TJ5KRTCJQWXH05 BLJM9JII6 41800000.000000 PA USD 42346845.990000 0.2635699 Long DBT CORP FR N 2 2024-03-22 Floating 1.23663 N N N N N N CREDIT BASED ASSET SRVC & SEC 2006-CB9 N/A 12465MAA2 41333.550000 PA USD 24549.060000 0.0001528 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.16863 N N N N N N CREDIT BASED ASSET SRVC & SEC 2007-CB6 N/A 1248RHAA5 259848.810000 PA USD 206023.340000 0.0012823 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.22863 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 27271.730000 PA USD 26080.560000 0.0001623 Long ABS-MBS CORP US N 2 2032-03-25 Floating 0.798344 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AH1 23700000.000000 PA USD 23949467.150000 0.1490633 Long DBT CORP CH N 2 2024-06-12 Floating 1.42413 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AQ1 8700000.000000 PA USD 8850243.000000 0.0550846 Long DBT CORP CH N 2 2026-06-05 Floating 2.193 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AE8 2800000.000000 PA USD 2817742.900000 0.0175378 Long DBT CORP CH N 2 2023-12-14 Floating 1.38388 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 H3698DBT0 2020000.000000 PA USD 2041262.600000 0.0127050 Long DBT CORP CH N 2 2024-06-12 Floating 1.42413 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP N/A 12651QAA7 15600000.000000 PA USD 15548339.040000 0.0967740 Long ABS-MBS CORP US N 2 2032-07-15 Floating 0.856 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP10 N/A 12597FAC4 2608278.460000 PA USD 2626329.830000 0.0163465 Long ABS-MBS CORP US N 2 2059-12-26 Fixed 3.04777 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL4 N/A 22946AAC2 9349801.180000 PA USD 9361338.830000 0.0582657 Long ABS-MBS CORP US N 2 2058-08-26 Fixed 3.48182 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL8 N/A 12596YAC4 8730344.240000 PA USD 8803215.550000 0.0547919 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 20039035.490000 PA USD 20230813.070000 0.1259181 Long ABS-MBS CORP US N 2 2059-10-27 Fixed 3.00677 N N N N N N CREDIT-BASED ASSET SERVC SEC 2005-CB5 N/A 12489WMZ4 3181560.990000 PA USD 3169823.890000 0.0197292 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.70863 N N N N N N CROWN POINT CLO LTD 2018-6A N/A 22847DAL6 2650827.670000 PA USD 2657476.160000 0.0165403 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.394 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 1428.220000 PA USD 1392.560000 0.0000087 Long ABS-MBS CORP US N 2 2032-01-25 Floating 0.72863 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2003-AR26 N/A 22541QZU9 304179.570000 PA USD 308692.260000 0.0019213 Long ABS-MBS CORP US N 2 2033-11-25 Floating 2.44902 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2004-AR7 N/A 22541SRP5 186152.710000 PA USD 199072.250000 0.0012390 Long ABS-MBS CORP US N 2 2034-11-25 Floating 3.0523 N N N N N N CVC CORDATUS LOAN FUND VII DAC 7A N/A ACI1W2TC6 19500000.000000 PA 23096326.750000 0.1437533 Long ABS-CBDO CORP IE N 2 2031-09-15 Floating 0.63 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DM3 19800000.000000 PA USD 20023756.040000 0.1246293 Long DBT CORP US N 2 2023-05-04 Floating 1.03225 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851DP6 8150000.000000 PA USD 8177556.860000 0.0508977 Long DBT CORP US N 2 2021-11-05 Floating 0.86513 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAU5 11890000.000000 PA USD 12011749.080000 0.0747620 Long DBT CORP DK N 2 2022-09-20 Floating 3.001 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAQ4 39480000.000000 PA USD 39828551.550000 0.2478959 Long DBT CORP DK N 2 2023-09-12 Floating 1.24413 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAY7 38772000.000000 PA USD 38993675.420000 0.2426995 Long DBT CORP DK N 2 2023-12-08 Floating 1.171 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636BAP4 10309000.000000 PA USD 10400013.630000 0.0647305 Long DBT CORP DK N 2 2023-09-12 Floating 1.24413 N N N N N N DELL EQUIPMENT FINANCE TRUST 2020-1 N/A 24703NAB5 21880949.030000 PA USD 22075387.520000 0.1373989 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 25272KAG8 5200000.000000 PA USD 5685064.160000 0.0353843 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 9775802.610000 0.0608453 Long DBT CORP US N 2 2024-07-15 Fixed 4 N N N N N N DELOS FINANCE SARL 549300HX549YWOJQT076 L2324EAE1 420000.000000 PA USD 419704.740000 0.0026123 Long LON CORP LU N 2 2023-10-06 Floating 2.0039 N N N N N N DELTA AIR LINES 2007-1 CLASS A PASS THROUGH TRUST N/A 247367BH7 9490856.030000 PA USD 9922088.260000 0.0617558 Long DBT CORP US N 2 2024-02-10 Fixed 6.821 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZM3 15400000.000000 PA USD 15399999.230000 0.0958507 Long DBT CORP US N 2 2021-04-19 Fixed 3.4 N N N N N N DELTA FUNDING HOME EQ LN TR 1999-3 N/A 24763LFX3 21465.000000 PA USD 21133.260000 0.0001315 Long ABS-MBS CORP US N 2 2029-09-15 Floating 0.926 N N N N N N DEVELOPMENT BANK OF JAPAN INC (DBJ) 5493001HGBABMWFZUI25 BLTVH0II7 4000000.000000 PA USD 3993397.360000 0.0248552 Long DBT CORP JP N 2 2021-04-23 Floating 0.78775 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAS8 14800000.000000 PA USD 14811216.620000 0.0921861 Long DBT CORP US N 2 2023-03-24 Fixed 0.9 N N N N N N DORCHESTER PARK CLO LTD 2015-1A N/A 25820NAA2 6243494.500000 PA USD 6248207.710000 0.0388893 Long ABS-CBDO CORP IE N 2 2028-04-20 Floating 1.124 N N N N N N DORIC NIMROD AIR FINANCE ALPHA LTD 2012-1 CLASS A PASS THROUGH TRUST N/A 258258AA0 954361.680000 PA USD 951398.530000 0.0059216 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 12195814.870000 0.0759077 Long ABS-CBDO CORP NL N 2 2030-01-15 Floating 0.88 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W43B2 9400000.000000 PA 11023380.120000 0.0686103 Long ABS-CBDO CORP NL N 2 2033-04-15 Floating 0.66 N N N N N N DURHAM MORTGAGES B PLC 18-BX N/A ACI192FB9 8296372.990000 PA 11421646.600000 0.0710892 Long ABS-MBS CORP GB N 2 2054-03-31 Floating 0.66013 N N N N N N DUTCH PROPERTY FINANCE 2020-1 BV 20-1 N/A ACI1J8R14 816011.170000 PA 957988.940000 0.0059626 Long ABS-MBS CORP NL N 2 2054-07-28 Floating 0.111 N N N N N N E-470 PUBLIC HIGHWAY AUTHORITY 549300164ZV2301BC703 26822LMG6 1540000.000000 PA USD 1540477.550000 0.0095880 Long DBT MUN US N 2 2039-09-01 Floating 1.127 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2017-2 N/A 26828VAA4 1226631.750000 PA USD 1240308.690000 0.0077198 Long ABS-O CORP US N 2 2067-05-25 Floating 1.15863 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2018-1A N/A 26828HAA5 20005974.300000 PA USD 20077127.550000 0.1249615 Long ABS-O CORP US N 2 2068-02-27 Floating 0.85863 N N N N N N ECMC GROUP STUDENT LOAN TRUST 2019-1A N/A 26829XAB7 10915719.150000 PA USD 11083380.230000 0.0689838 Long ABS-O CORP US N 2 2069-07-25 Floating 1.10863 N N N N N N EDUCATIONAL SERVICES OF AMERICA INC 2012-2 N/A 28137QAA7 1992111.180000 PA USD 1986837.860000 0.0123662 Long ABS-O CORP US N 2 2039-04-25 Floating 0.83863 N N N N N N EFS VOLUNTEER LLC 2010-1 N/A 26844VAB2 3655490.140000 PA USD 3669594.480000 0.0228398 Long ABS-O CORP US N 2 2035-10-25 Floating 1.06775 N N N N N N EGCLO 2018-1A N/A 29915RAA1 20985631.160000 PA USD 20997158.150000 0.1306879 Long ABS-CBDO CORP KY N 2 2028-05-28 Floating 1.1105 N N N N N N ELLINGTON FINANCIAL MORTGAGE TRUST 2020-1 N/A 31574PAA3 2632461.640000 PA USD 2675333.120000 0.0166515 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.006 N N N N N N EMCM MORTGAGE LOAN TRUST 2001-A N/A 268668AA8 26188.200000 PA USD 25977.430000 0.0001617 Long ABS-MBS CORP US N 2 2040-05-25 Floating 0.85763 N N N N N N ENERGY TRANSFER PARTNERS LP / REGENCY ENERGY FINANCE CORP N/A 75886AAQ1 7779000.000000 PA USD 8173592.810000 0.0508730 Long DBT CORP US N 2 2022-10-01 Fixed 5 N N N N N N EQUIFAX INC 5493004MCF8JDC86VS77 294429AK1 4200000.000000 PA USD 4205856.820000 0.0261776 Long DBT CORP US N 2 2021-06-01 Fixed 2.3 N N N N N N EQUIFAX INC 5493004MCF8JDC86VS77 294429AP0 24961000.000000 PA USD 25019946.900000 0.1557260 Long DBT CORP US N 2 2021-08-15 Floating 1.06375 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6FF5 3750000.000000 PA 4397625.050000 0.0273711 Long ABS-CBDO CORP NL N 2 2034-04-24 Floating 0.62 N N N N N N EUROHOME UK MORTGAGES 2007-1 A N/A B1VBS4II2 911002.450000 PA 1229767.900000 0.0076542 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 0.23025 N N N N N N EUROPEAN LOAN CONDUIT 36A N/A ACI1G9KP9 10688921.560000 PA 12578894.700000 0.0782920 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 590751.360000 PA 693176.760000 0.0043144 Long ABS-MBS CORP IE N 2 2063-03-24 Floating 0.301 N N N N N N EXELON GENERATION COMPANY LLC S2PEWKCZFFECR4533P43 3016E2RM7 38500000.000000 PA USD 38496339.420000 0.2396041 Long DBT CORP US N 2 2021-04-21 None 0 N N N N N N EXPORT-IMPORT BANK OF INDIA 335800OFZ8YEIVN1QI11 ACI1HMTB1 11400000.000000 PA USD 11444916.000000 0.0712340 Long DBT CORP IN Y 2 2022-03-28 Floating 1.213 N N N N N N EXPORT-IMPORT BANK OF INDIA 335800OFZ8YEIVN1QI11 ACI0WQLC3 41353000.000000 PA USD 41413375.380000 0.2577599 Long DBT CORP IN N 2 2022-08-21 Floating 1.18238 N N N N N N FANNIE MAE 1993-165 N/A 31359D5L3 4693.940000 PA USD 4754.820000 0.0000296 Long ABS-MBS USGSE US N 2 2023-09-25 Floating 1.25863 N N N N N N FANNIE MAE 1997-43 N/A 31359P3F1 796.140000 PA USD 799.700000 0.0000050 Long ABS-MBS USGSE US N 2 2027-07-18 Floating 0.60813 N N N N N N FANNIE MAE 1998-66 N/A 31359U3W3 115596.640000 PA USD 115605.930000 0.0007195 Long ABS-MBS USGSE US N 2 2028-12-25 Floating 0.40863 N N N N N N FANNIE MAE 2000-34 N/A 31358SSV4 1594.790000 PA USD 1602.240000 0.0000100 Long ABS-MBS USGSE US N 2 2030-10-25 Floating 0.55863 N N N N N N FANNIE MAE 2001-24 N/A 31359S5P1 51699.900000 PA USD 52247.850000 0.0003252 Long ABS-MBS USGSE US N 2 2031-04-25 Floating 0.73863 N N N N N N FANNIE MAE 2002-19 N/A 31392CFU3 264629.560000 PA USD 265138.070000 0.0016502 Long ABS-MBS USGSE US N 2 2032-03-17 Floating 0.5075 N N N N N N FANNIE MAE 2002-21 N/A 31392CRD8 6272.540000 PA USD 6348.840000 0.0000395 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 1.00863 N N N N N N FANNIE MAE 2002-34 N/A 31392CM92 47978.700000 PA USD 48341.180000 0.0003009 Long ABS-MBS USGSE US N 2 2032-05-18 Floating 0.60813 N N N N N N FANNIE MAE 2002-34 N/A 31392CQ31 50626.140000 PA USD 50879.560000 0.0003167 Long ABS-MBS USGSE US N 2 2032-05-18 Floating 0.50813 N N N N N N FANNIE MAE 2002-54 N/A 31392D5Q1 24298.590000 PA USD 24371.980000 0.0001517 Long ABS-MBS USGSE US N 2 2032-09-25 Floating 0.50863 N N N N N N FANNIE MAE 2002-60 N/A 31392EVN7 1262.610000 PA USD 1238.620000 0.0000077 Long ABS-MBS USGSE US N 2 2032-06-25 Floating 0.50863 N N N N N N FANNIE MAE 2003-11 N/A 31392HPL1 46549.620000 PA USD 45997.310000 0.0002863 Long ABS-MBS USGSE US N 2 2033-02-25 Floating 0.55863 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 8927.410000 PA USD 8895.010000 0.0000554 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 0.22863 N N N N N N FANNIE MAE 2004-63 N/A 31394ANT9 67155.920000 PA USD 66665.730000 0.0004149 Long ABS-MBS USGSE US N 2 2034-08-25 Floating 0.25863 N N N N N N FANNIE MAE 2006-104 N/A 31396LNC0 64790.600000 PA USD 65286.390000 0.0004063 Long ABS-MBS USGSE US N 2 2036-11-25 Floating 0.44863 N N N N N N FANNIE MAE 2006-118 N/A 31396L4T4 44056.620000 PA USD 43687.830000 0.0002719 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 0.17763 N N N N N N FANNIE MAE 2006-15 N/A 31395BVE0 18781.680000 PA USD 18713.490000 0.0001165 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 0.24763 N N N N N N FANNIE MAE 2006-20 N/A 31395BU43 24816.970000 PA USD 24952.750000 0.0001553 Long ABS-MBS USGSE US N 2 2036-04-25 Floating 0.45863 N N N N N N FANNIE MAE 2006-46 N/A 31395D5F2 75730.680000 PA USD 76013.370000 0.0004731 Long ABS-MBS USGSE US N 2 2036-06-25 Floating 0.42863 N N N N N N FANNIE MAE 2006-8 N/A 31394VZ37 37737.180000 PA USD 38025.160000 0.0002367 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 0.47863 N N N N N N FANNIE MAE 2006-81 N/A 31396KM33 39238.280000 PA USD 39642.430000 0.0002467 Long ABS-MBS USGSE US N 2 2036-09-25 Floating 0.45863 N N N N N N FANNIE MAE 2007-73 N/A 31396V4Q8 157838.460000 PA USD 155216.730000 0.0009661 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.17763 N N N N N N FANNIE MAE 2007-86 N/A 31396XNX8 35401.080000 PA USD 34883.580000 0.0002171 Long ABS-MBS USGSE US N 2 2037-09-25 Floating 0.55863 N N N N N N FANNIE MAE 2008-53 N/A 31397LC31 4630.490000 PA USD 4745.870000 0.0000295 Long ABS-MBS USGSE US N 2 2038-07-25 Floating 0.95863 N N N N N N FANNIE MAE 2008-88 N/A 31397MXL6 25214.790000 PA USD 26086.090000 0.0001624 Long ABS-MBS USGSE US N 2 2038-10-25 Floating 1.32863 N N N N N N FANNIE MAE 2009-87 N/A 31398FJ28 5692.820000 PA USD 5884.410000 0.0000366 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.10863 N N N N N N FANNIE MAE 2009-96 N/A 31398FXF3 10882.050000 PA USD 11199.210000 0.0000697 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.00863 N N N N N N FANNIE MAE 2010-39 N/A 31398PU98 98638.540000 PA USD 100899.530000 0.0006280 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 0.87863 N N N N N N FANNIE MAE 2010-74 N/A 31398RV36 134336.380000 PA USD 136427.920000 0.0008491 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.64863 N N N N N N FANNIE MAE G92-50 N/A 31358PRF6 32.110000 PA USD 32.090000 0.0000002 Long ABS-MBS USGSE US N 2 2022-08-25 Floating 0.70863 N N N N N N FANNIE MAE G93-7 N/A 31358TJG5 5.070000 PA USD 5.070000 0.0000000 Long ABS-MBS USGSE US N 2 2023-02-25 Floating 0.95863 N N N N N N FANNIE MAE REMIC 1999-W2 N/A 31359R6T4 1589.330000 PA USD 1627.360000 0.0000101 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 1339.070000 PA USD 1343.360000 0.0000084 Long ABS-MBS USGSE US N 2 2027-09-17 Floating 0.5575 N N N N N N FANNIE MAE REMICS 2007-7 N/A 31396PSN2 451556.300000 PA USD 452061.860000 0.0028137 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 0.30863 N N N N N N FANNIE MAE REMICS 2012-29 N/A 3136A5FK7 143467.600000 PA USD 145467.970000 0.0009054 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 0.60863 N N N N N N FANNIE MAE REMICS 2013-51 N/A 3136AECE5 9307015.140000 PA USD 562656.530000 0.0035020 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 8761836.070000 PA USD 521687.610000 0.0032470 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 6586606.920000 PA USD 406286.290000 0.0025288 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 3890367.970000 PA USD 3891079.520000 0.0242184 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 0.52288 N N N N N N FANNIE MAE REMICS 2014-84 N/A 3136AL2T7 7967800.800000 PA USD 8023941.130000 0.0499416 Long ABS-MBS USGSE US N 2 2044-12-25 Floating 0.47288 N N N N N N FANNIE MAE REMICS 2016-11 N/A 3136ARPW2 3252515.600000 PA USD 3253709.920000 0.0202513 Long ABS-MBS USGSE US N 2 2046-03-25 Floating 0.62288 N N N N N N FANNIE MAE REMICS 2016-40 N/A 3136ASL87 12907223.900000 PA USD 12897175.630000 0.0802730 Long ABS-MBS USGSE US N 2 2046-07-25 Floating 0.57288 N N N N N N FANNIE MAE WHOLE LOAN 2003-W4 N/A 31393AP68 149453.010000 PA USD 170776.290000 0.0010629 Long ABS-MBS USGSE US N 2 2042-10-25 Variable 5.69696 N N N N N N FANNIE MAE-2006-56 N/A 31395NXU6 24351.820000 PA USD 24576.660000 0.0001530 Long ABS-MBS USGSE US N 2 2036-07-25 Floating 0.53863 N N N N N N FANNIE MAE-2020-29 N/A 3136B9TM9 3286492.810000 PA USD 3315091.540000 0.0206334 Long ABS-MBS USGSE US N 2 2050-05-25 Floating 0.92288 N N N N N N FANNIE MAE-G92-11 N/A 31358LYZ3 129.820000 PA USD 129.620000 0.0000008 Long ABS-MBS USGSE US N 2 2022-02-25 Floating 0.60863 N N N N N N FANNIE MAE-G92-52 N/A 31358QSU0 98.590000 PA USD 98.470000 0.0000006 Long ABS-MBS USGSE US N 2 2022-09-25 Floating 0.81763 N N N N N N FANNIE MAE-G92-67 N/A 31358RV59 27.360000 PA USD 27.350000 0.0000002 Long ABS-MBS USGSE US N 2 2022-12-25 Floating 0.75863 N N N N N N FANNIEMAE WHOLE LOAN 2002-W8 N/A 31392DQ70 2097.060000 PA USD 2025.070000 0.0000126 Long ABS-MBS USGSE US N 2 2032-09-25 Floating 0.50863 N N N N N N FANNIEMAE WHOLE LOAN 2003-W-8 N/A 31393CX40 18024.260000 PA USD 18168.360000 0.0001131 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 0.45863 N N N N N N FANNIEMAE WHOLE LOAN 2003-W6 N/A 31393BX75 192662.920000 PA USD 193929.100000 0.0012070 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 0.46763 N N N N N N FANNIEMAE WHOLE LOAN 2004-W2 N/A 31393XGV3 134918.700000 PA USD 135450.230000 0.0008431 Long ABS-MBS USGSE US N 2 2044-03-25 Floating 0.45863 N N N N N N FEDERAL EXPRESS CORP 1998 PASS THROUGH TRUST N/A 31331FAX9 206743.280000 PA USD 215107.180000 0.0013388 Long DBT CORP US N 2 2023-07-15 Fixed 6.72 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130ALCV4 130000000.000000 PA USD 128537604.000000 0.8000276 Long DBT USGSE US N 2 2026-02-24 Fixed 0.75 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130AKYH3 170000000.000000 PA USD 166176224.000000 1.0342932 Long DBT USGSE US N 2 2027-02-10 Fixed 0.83 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130AL2X1 155200000.000000 PA USD 151811495.120000 0.9448860 Long DBT USGSE US N 2 2027-02-17 Fixed 0.85 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130AL5A8 195350000.000000 PA USD 191558793.710000 1.1922762 Long DBT USGSE US N 2 2027-02-26 Fixed 0.9 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130ALCE2 136300000.000000 PA USD 133801055.360000 0.8327877 Long DBT USGSE US N 2 2027-02-26 Fixed 0.92 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130ALED2 219000000.000000 PA USD 216114018.000000 1.3451097 Long DBT USGSE US N 2 2027-02-24 Fixed 1.02 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130ALGL2 137300000.000000 PA USD 136099373.290000 0.8470926 Long DBT USGSE US N 2 2027-02-26 Fixed 1.115 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130ALHH0 132300000.000000 PA USD 131925716.690000 0.8211155 Long DBT USGSE US N 2 2026-03-05 Fixed 0.96 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 3130ALGJ7 36700000.000000 PA USD 36621296.850000 0.2279337 Long DBT USGSE US N 2 2026-03-23 Fixed 1 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134GXHY3 41300000.000000 PA USD 40640562.900000 0.2529499 Long DBT USGSE US N 2 2026-06-23 Fixed 0.75 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134GWYS9 30000000.000000 PA USD 29653474.500000 0.1845654 Long DBT USGSE US N 2 2025-10-15 Fixed 0.6 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134GWZV1 52000000.000000 PA USD 51670036.600000 0.3215981 Long DBT USGSE US N 2 2025-10-22 Fixed 0.65 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134GW4C7 109750000.000000 PA USD 107639469.090000 0.6699561 Long DBT USGSE US N 2 2026-10-27 Fixed 0.8 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134GW6C5 43500000.000000 PA USD 42679805.330000 0.2656423 Long DBT USGSE US N 2 2026-10-28 Fixed 0.8 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 3134GXHX5 54000000.000000 PA USD 52966461.600000 0.3296672 Long DBT USGSE US N 2 2026-12-23 Fixed 0.85 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION (FANNIE MAE) B1V7KEBTPIMZEU4LTD58 3135G06L2 143000000.000000 PA USD 140726099.800000 0.8758897 Long DBT USGSE US N 2 2026-12-18 Fixed 0.875 N N N N N N FHLMC PASS THRU POOLS N/A 3128JLGZ6 3610.440000 PA USD 3615.400000 0.0000225 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 2.449 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCNJ9 18358.180000 PA USD 18381.900000 0.0001144 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.31 N N N N N N FHLMC PASS THRU POOLS N/A 3128NCVN1 8566.270000 PA USD 8561.340000 0.0000533 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 16046.860000 PA USD 16468.640000 0.0001025 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 2.429 N N N N N N FHLMC PASS THRU POOLS N/A 3128QJGX8 42700.700000 PA USD 45215.620000 0.0002814 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.378 N N N N N N FHLMC PASS THRU POOLS N/A 3128Q2FY4 5745.410000 PA USD 5808.020000 0.0000361 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 2.555 N N N N N N FHLMC PASS THRU POOLS N/A 31349TE49 13274.240000 PA USD 14161.790000 0.0000881 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 2.375 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDGT0 432.730000 PA USD 433.390000 0.0000027 Long ABS-MBS USGSE US N 2 2025-04-01 Floating 2.642 N N N N N N FHLMC PASS THRU POOLS N/A 3128HDGU7 13.960000 PA USD 13.930000 0.0000001 Long ABS-MBS USGSE US N 2 2023-02-01 Floating 2.381 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRB70 9905.100000 PA USD 9984.150000 0.0000621 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 3.204 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRD29 15455.720000 PA USD 15515.970000 0.0000966 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 288552.050000 PA USD 311355.150000 0.0019379 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 2950.650000 PA USD 3164.670000 0.0000197 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 3152983.450000 PA USD 3401074.250000 0.0211685 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 132282.670000 PA USD 141898.040000 0.0008832 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 93419771.290000 PA USD 100144927.970000 0.6233095 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 457007.020000 PA USD 489964.490000 0.0030496 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 1902191.420000 PA USD 2045801.450000 0.0127332 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 156708.470000 PA USD 168401.050000 0.0010481 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 171335.540000 PA USD 184586.770000 0.0011489 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 92742.690000 PA USD 99472.020000 0.0006191 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 15696.800000 PA USD 16866.650000 0.0001050 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 53824977.820000 PA USD 57740647.530000 0.3593821 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 8324590.630000 PA USD 8927026.940000 0.0555625 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 391068.480000 PA USD 419705.570000 0.0026123 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 2860645.480000 PA USD 3066125.900000 0.0190838 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 554615.100000 PA USD 557145.480000 0.0034677 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 1.7 N N N N N N FHLMC STRUCTURED PASS THRU SEC T-57 N/A 31394JD87 137520.390000 PA USD 166559.220000 0.0010367 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 1531896.020000 PA USD 1555343.680000 0.0096806 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 1.45903 N N N N N N FHR-3582 N/A 31398KBD1 12507.840000 PA USD 12947.760000 0.0000806 Long ABS-MBS USGSE US N 2 2049-10-15 Floating 1.106 N N N N N N FIELDSTONE MTGE INVESTMENT CORP 2004-3 N/A 31659TBS3 577736.450000 PA USD 566583.940000 0.0035265 Long ABS-MBS CORP US N 2 2034-08-25 Floating 2.28363 Y N N N N N FIGUEROA CLO LTD 2014-1A N/A 31683YAJ3 1411183.840000 PA USD 1412920.870000 0.0087941 Long ABS-CBDO CORP KY N 2 2027-01-15 Floating 1.14125 N N N N N N FINANCE AMERICA MTGE LOAN TRUST 2004-2 N/A 317350BD7 7229667.790000 PA USD 7176680.110000 0.0446682 Long ABS-MBS CORP US N 2 2034-08-25 Floating 0.93363 N N N N N N FINSBURY SQUARE 19-3 N/A ACI1G06J8 2146683.670000 PA 2975171.680000 0.0185177 Long ABS-MBS CORP GB N 2 2069-12-16 Floating 1.05861 N N N N N N FINSBURY SQUARE 2018-2 PLC 18-2 N/A ACI163WL9 2181783.430000 PA 3016186.990000 0.0187730 Long ABS-MBS CORP GB N 2 2068-09-12 Floating 1.0295 N N N N N N FINSBURY SQUARE 2019-1 PLC 19-1 N/A ACI19GS57 2255658.220000 PA 3117781.230000 0.0194053 Long ABS-MBS CORP GB N 2 2069-06-16 Floating 1.048 N N N N N N FINSBURY SQUARE 2020-1 PLC 20-1A N/A ACI1JHW34 22895074.800000 PA 31609800.540000 0.1967417 Long ABS-MBS CORP GB N 2 2070-03-16 Floating 0.84861 N N N N N N FINSBURY SQUARE 2020-2A N/A ACI1N87B9 26213334.120000 PA 36489651.040000 0.2271143 Long ABS-MBS CORP GB N 2 2070-06-16 Floating 1.34861 N N N N N N FIRST ABU DHABI BANK PJSC 2138002Y3WMK6RZS8H90 ACI1B1WQ6 36861000.000000 PA USD 37078074.430000 0.2307767 Long DBT CORP AE N 2 2022-04-16 Floating 1.17563 N N N N N N FIRST ABU DHABI BANK PJSC 2138002Y3WMK6RZS8H90 ACI1DSTV8 4200000.000000 PA USD 4226178.600000 0.0263040 Long DBT CORP AE N 2 2023-08-08 Floating 1.04263 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAE5 2343189.810000 PA USD 2301806.500000 0.0143266 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.26863 N N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR3 N/A 32051GQL2 147359.310000 PA USD 121546.750000 0.0007565 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.2625 Y N N N N N FIRST NLC TRUST 2007-1 N/A 32115BAA8 398253.250000 PA USD 255090.330000 0.0015877 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.17863 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AG2 1630000.000000 PA USD 1655079.770000 0.0103013 Long DBT CORP US N 2 2022-07-15 Variable 3.35 N N N N N N FIRSTKEY HOMES 2020-SFR2 TRUST N/A 33767JAA0 54379713.470000 PA USD 53924201.800000 0.3356282 Long ABS-MBS CORP US N 2 2037-10-19 Fixed 1.266 N N N N N N FIRSTKEY MASTER FUNDING 2016-R1 N/A 33767FAA8 3199103.320000 PA USD 3177113.000000 0.0197746 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 731631.970000 PA USD 733091.440000 0.0045628 Long ABS-CBDO CORP KY N 2 2026-01-16 Floating 1.07338 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2019-2 N/A 33845WAA7 2401915.340000 PA USD 2425603.990000 0.0150971 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 2395.230000 PA USD 2452.310000 0.0000153 Long ABS-MBS USGSE US N 2 2028-07-01 Floating 4.474 N N N N N N FNMA PASS THRU POOLS N/A 31365RW75 257.410000 PA USD 257.440000 0.0000016 Long ABS-MBS USGSE US N 2 2021-05-01 Floating 1.707 N N N N N N FNMA PASS THRU POOLS N/A 31373RJ70 2863.350000 PA USD 2879.620000 0.0000179 Long ABS-MBS USGSE US N 2 2024-11-01 Floating 2.343 N N N N N N FNMA PASS THRU POOLS N/A 31374GUX3 515.920000 PA USD 517.400000 0.0000032 Long ABS-MBS USGSE US N 2 2027-11-01 Floating 2.416 N N N N N N FNMA PASS THRU POOLS N/A 31374TP37 2178.020000 PA USD 2184.330000 0.0000136 Long ABS-MBS USGSE US N 2 2029-04-01 Floating 2.338 N N N N N N FNMA PASS THRU POOLS N/A 31376ZXQ1 4789.840000 PA USD 4774.220000 0.0000297 Long ABS-MBS USGSE US N 2 2027-01-01 Floating 1.707 N N N N N N FNMA PASS THRU POOLS N/A 31384QRC9 35953.110000 PA USD 35894.790000 0.0002234 Long ABS-MBS USGSE US N 2 2029-07-01 Floating 3.511 N N N N N N FNMA PASS THRU POOLS N/A 31384V5K4 135007.330000 PA USD 135081.490000 0.0008408 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 2.459 N N N N N N FNMA PASS THRU POOLS N/A 31385HN32 10844.580000 PA USD 11486.300000 0.0000715 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 4.021 N N N N N N FNMA PASS THRU POOLS N/A 31385HU59 470055.020000 PA USD 487372.280000 0.0030334 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 3.26 N N N N N N FNMA PASS THRU POOLS N/A 31385HWQ1 19260.800000 PA USD 19268.370000 0.0001199 Long ABS-MBS USGSE US N 2 2040-12-01 Floating 2.444 N N N N N N FNMA PASS THRU POOLS N/A 31387L5Z0 140911.970000 PA USD 140203.110000 0.0008726 Long ABS-MBS USGSE US N 2 2032-01-01 Floating 2.438 N N N N N N FNMA PASS THRU POOLS N/A 31391JK90 2077.330000 PA USD 2070.130000 0.0000129 Long ABS-MBS USGSE US N 2 2033-02-01 Floating 2.34 N N N N N N FNMA PASS THRU POOLS N/A 31402DGC8 1965.850000 PA USD 1987.920000 0.0000124 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 6242.830000 PA USD 6302.580000 0.0000392 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 2.706 N N N N N N FNMA PASS THRU POOLS N/A 31402LPB2 264468.450000 PA USD 272057.840000 0.0016933 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 1.46 N N N N N N FNMA PASS THRU POOLS N/A 31402QUH2 17294.430000 PA USD 18236.980000 0.0001135 Long ABS-MBS USGSE US N 2 2034-02-01 Floating 2.362 N N N N N N FNMA PASS THRU POOLS N/A 31402XBS4 8883.210000 PA USD 8843.690000 0.0000550 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 2.465 N N N N N N FNMA PASS THRU POOLS N/A 31403C2E0 5944.590000 PA USD 5992.830000 0.0000373 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 2.409 N N N N N N FNMA PASS THRU POOLS N/A 31404NDT0 50942.630000 PA USD 51085.510000 0.0003180 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 2.989 N N N N N N FNMA PASS THRU POOLS N/A 31404Q5M7 896771.790000 PA USD 924150.080000 0.0057520 Long ABS-MBS USGSE US N 2 2044-03-01 Floating 1.46 N N N N N N FNMA PASS THRU POOLS N/A 31404UZK9 920.640000 PA USD 918.670000 0.0000057 Long ABS-MBS USGSE US N 2 2034-06-01 Floating 2.535 N N N N N N FNMA PASS THRU POOLS N/A 31405JRX4 5734.970000 PA USD 5767.320000 0.0000359 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 2.347 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 68443.790000 PA USD 70523.250000 0.0004389 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 1.46 N N N N N N FNMA PASS THRU POOLS N/A 31405QAT5 25866.280000 PA USD 25914.670000 0.0001613 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 139854.890000 PA USD 140967.110000 0.0008774 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 244847.140000 PA USD 252324.730000 0.0015705 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 1.46 N N N N N N FNMA PASS THRU POOLS N/A 31406L3G1 46198.060000 PA USD 49636.280000 0.0003089 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 2.3 N N N N N N FNMA PASS THRU POOLS N/A 31406REZ4 13551.200000 PA USD 13622.600000 0.0000848 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 1.788 N N N N N N FNMA PASS THRU POOLS N/A 31406RHY4 5650.150000 PA USD 5702.960000 0.0000355 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 1.788 N N N N N N FNMA PASS THRU POOLS N/A 31406VQS8 9834.810000 PA USD 9959.950000 0.0000620 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 2.695 N N N N N N FNMA PASS THRU POOLS N/A 31406WDU5 8847.900000 PA USD 8838.930000 0.0000550 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.418 N N N N N N FNMA PASS THRU POOLS N/A 31407BYZ6 11836.100000 PA USD 11867.360000 0.0000739 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 2.479 N N N N N N FNMA PASS THRU POOLS N/A 31407KD22 1978.990000 PA USD 1981.240000 0.0000123 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 24849.270000 PA USD 24901.920000 0.0001550 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.986 N N N N N N FNMA PASS THRU POOLS N/A 31407NBS1 754.600000 PA USD 756.360000 0.0000047 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 5259.900000 PA USD 5276.100000 0.0000328 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 5726.720000 PA USD 5728.530000 0.0000357 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 44951.110000 PA USD 48018.680000 0.0002989 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 2.607 N N N N N N FNMA PASS THRU POOLS N/A 31407XUZ2 30897.630000 PA USD 31110.860000 0.0001936 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 1.772 N N N N N N FNMA PASS THRU POOLS N/A 31407Y2C2 7287.060000 PA USD 7267.790000 0.0000452 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 1.993 N N N N N N FNMA PASS THRU POOLS N/A 31408B4W5 10250.250000 PA USD 10333.000000 0.0000643 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 1.788 N N N N N N FNMA PASS THRU POOLS N/A 31408B5A2 13254.540000 PA USD 13383.880000 0.0000833 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 1.788 N N N N N N FNMA PASS THRU POOLS N/A 31408DC85 3438.750000 PA USD 3441.680000 0.0000214 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.28 N N N N N N FNMA PASS THRU POOLS N/A 31408DC93 4240.780000 PA USD 4245.800000 0.0000264 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.28 N N N N N N FNMA PASS THRU POOLS N/A 31408GAM9 21150.870000 PA USD 21134.690000 0.0001315 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 2.287 N N N N N N FNMA PASS THRU POOLS N/A 31409BFF9 15823.010000 PA USD 15978.000000 0.0000994 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 2.19 N N N N N N FNMA PASS THRU POOLS N/A 31409JPM6 7445.980000 PA USD 7436.600000 0.0000463 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 4980.070000 PA USD 5283.760000 0.0000329 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 2.106 N N N N N N FNMA PASS THRU POOLS N/A 31411EJC2 4069.380000 PA USD 4309.100000 0.0000268 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 2.036 N N N N N N FNMA PASS THRU POOLS N/A 3138ENEW5 1047569.710000 PA USD 1108260.470000 0.0068979 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 2.491 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 87321.900000 PA USD 876187.990000 0.0054535 Long STIV RF US N 1 N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 376002876.760000 PA USD 3707388364.850000 23.0750606 Long STIV RF US N 1 N N N FORD AUTO SECURITIZATION TRUST 2019-BA N/A 345213HK1 22112036.670000 PA 17819306.840000 0.1109087 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 49525339.920000 0.3082494 Long ABS-O CORP US N 2 2024-09-15 Floating 0.706 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XA6 19055000.000000 PA USD 19311289.750000 0.1201949 Long DBT CORP US N 2 2022-01-09 Fixed 3.219 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZM8 21490000.000000 PA USD 22131046.700000 0.1377453 Long DBT CORP US N 2 2022-01-07 Fixed 5.596 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZN6 14800000.000000 PA USD 14978031.420000 0.0932244 Long DBT CORP US N 2 2022-01-07 Floating 3.37688 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YZ0 7735000.000000 PA USD 7735000.000000 0.0481432 Long DBT CORP US N 2 2021-04-05 Fixed 3.47 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YY3 25605000.000000 PA USD 25605000.000000 0.1593674 Long DBT CORP US N 2 2021-04-05 Floating 1.04838 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397VU4 70728000.000000 PA USD 71767701.600000 0.4466875 Long DBT CORP US N 2 2021-08-02 Fixed 5.875 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZG1 21500000.000000 PA USD 21398410.350000 0.1331853 Long DBT CORP US N 2 2021-10-12 Floating 1.10438 N N N N N N FREDDIE MAC 2374 N/A 31339G5N7 36498.120000 PA USD 36610.070000 0.0002279 Long ABS-MBS USGSE US N 2 2031-06-15 Floating 0.506 N N N N N N FREDDIE MAC 2395 N/A 31339LMA5 1254.070000 PA USD 1240.780000 0.0000077 Long ABS-MBS USGSE US N 2 2031-12-15 Floating 0.556 N N N N N N FREDDIE MAC 2432 N/A 31339NNP7 81645.430000 PA USD 81351.800000 0.0005063 Long ABS-MBS USGSE US N 2 2032-03-15 Floating 0.806 N N N N N N FREDDIE MAC 2477 N/A 31392PU94 86660.000000 PA USD 87317.280000 0.0005435 Long ABS-MBS USGSE US N 2 2031-06-15 Floating 0.656 N N N N N N FREDDIE MAC 2820 N/A 31395CEC1 27218.460000 PA USD 27191.290000 0.0001692 Long ABS-MBS USGSE US N 2 2034-07-15 Floating 0.356 N N N N N N FREDDIE MAC 3013 N/A 31395XRF4 935396.890000 PA USD 1080498.930000 0.0067251 Long ABS-MBS USGSE US N 2 2035-08-15 Fixed 5 N N N N N N FREDDIE MAC 3397 N/A 31397PLU2 78758.050000 PA USD 80149.690000 0.0004989 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 0.706 N N N N N N FREDDIE MAC 3807 N/A 3137A6NJ7 1015285.130000 PA USD 1000170.990000 0.0062251 Long ABS-MBS USGSE US N 2 2041-02-15 Floating 0.606 N N N N N N FREDDIE MAC 3898 N/A 3137ADYR2 168867.020000 PA USD 171264.240000 0.0010660 Long ABS-MBS USGSE US N 2 2039-07-15 Floating 0.606 N N N N N N FREDDIE MAC 3927 N/A 3137AFEP3 433417.970000 PA USD 439446.640000 0.0027351 Long ABS-MBS USGSE US N 2 2041-09-15 Floating 0.556 N N N N N N FREDDIE MAC REMICS 2711 N/A 31394LYU0 88990.850000 PA USD 90844.830000 0.0005654 Long ABS-MBS USGSE US N 2 2033-11-15 Floating 1.106 N N N N N N FREDDIE MAC REMICS 3245 N/A 31397CNM7 20537.180000 PA USD 20799.950000 0.0001295 Long ABS-MBS USGSE US N 2 2036-11-15 Floating 0.586 N N N N N N FREDDIE MAC REMICS 4579 N/A 3137BPS83 10725450.240000 PA USD 698707.310000 0.0043488 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 2.38212 N N N N N N FREDDIE MAC REMICS 4948 N/A 3137FQZF3 11195628.880000 PA USD 11566522.150000 0.0719909 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 2.5 N N N N N N FREDDIE MAC STRIPS 240 N/A 3128HVSA8 213879.780000 PA USD 214451.570000 0.0013348 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 0.456 N N N N N N FREDDIE MAC STRIPS 328 N/A 31351DC90 11646821.760000 PA USD 11528129.470000 0.0717519 Long ABS-MBS USGSE US N 2 2038-02-15 Floating 0.47288 N N N N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01 N/A 3137G1BK2 4764613.460000 PA USD 4733529.600000 0.0294618 Long ABS-MBS MUN US N 2 2046-12-25 Fixed 3 N N N N N N FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01 N/A 3137G1BL0 14809912.660000 PA USD 14821208.180000 0.0922483 Long ABS-MBS MUN US N 2 2046-12-25 Fixed 3.5 N N N N N N FREDDIE MAC-1482 N/A 312914Y65 484.720000 PA USD 486.480000 0.0000030 Long ABS-MBS USGSE US N 2 2023-03-15 Floating 0.86225 N N N N N N FREDDIE MAC-2380 N/A 31339GVJ7 36707.200000 PA USD 37039.590000 0.0002305 Long ABS-MBS USGSE US N 2 2031-06-15 Floating 0.706 N N N N N N FREMONT HOME LOAN TRUST 2005-A N/A 35729PHN3 1714877.160000 PA USD 1704253.670000 0.0106074 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.84363 N N N N N N FWD SECURITIZATION TRUST 2020-INV1 N/A 302985AA4 8908487.850000 PA USD 9083738.300000 0.0565379 Long ABS-MBS CORP US N 2 2050-01-25 Variable 2.24 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2A2 15210000.000000 PA USD 15202806.580000 0.0946234 Long DBT CORP US N 2 2026-01-15 Fixed 1.625 N N N N N N GALLATIN CLO IX LTD 2018-1A N/A 36361WAC0 24613360.490000 PA USD 24640780.020000 0.1533660 Long ABS-CBDO CORP KY N 2 2028-01-21 Floating 1.27363 N N N N N N GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A N/A 36361UAA8 13264504.410000 PA USD 13266036.990000 0.0825688 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.54125 N N N N N N GATX CORPORATION 549300IHYHCQP2PIR591 361448BB8 28600000.000000 PA USD 28698910.530000 0.1786242 Long DBT CORP US N 2 2021-11-05 Floating 0.91513 N N N N N N GCAT LLC 2019-RPL1 N/A 36167CAA4 2290346.540000 PA USD 2369483.050000 0.0147478 Long ABS-MBS CORP US N 2 2068-10-25 Variable 2.65 N N N N N N GCT COMMERCIAL MORTGAGE TRUST 2021-GCT N/A 36167RAA1 16100000.000000 PA USD 16113623.820000 0.1002924 Long ABS-MBS CORP US N 2 2038-02-15 Floating 0.906 N N N N N N GEMGARTO 2021-1 PLC 21 -1A N/A ACI1VNV95 8800000.000000 PA 12153164.020000 0.0756422 Long ABS-MBS CORP GB N 2 2067-12-16 Floating 0.63892 N N N N N N GENERAL ELECTRIC CAPITAL FUNDING CANADA 0J5QMY71ANJ6F7HPJJ52 36158ZBV7 16000000.000000 PA 13119796.550000 0.0816586 Long DBT CORP CA N 2 2022-01-26 Fixed 4.6 N N N N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 37045VAR1 10095000.000000 PA USD 10123192.610000 0.0630075 Long DBT CORP US N 2 2021-09-10 Floating 1.0825 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBS4 969000.000000 PA USD 988553.410000 0.0061528 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 62619709.220000 0.3897497 Long DBT CORP US N 2 2022-01-14 Floating 1.78375 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCE4 5975000.000000 PA USD 6027890.760000 0.0375180 Long DBT CORP US N 2 2023-01-05 Floating 1.18425 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XCH7 39908000.000000 PA USD 39911241.730000 0.2484105 Long DBT CORP US N 2 2021-04-09 Floating 1.07475 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XAW6 150000.000000 PA USD 153549.210000 0.0009557 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 20054000.000000 PA USD 20271717.050000 0.1261727 Long DBT CORP US N 2 2022-06-30 Floating 1.509 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 37045XBM7 3934000.000000 PA USD 3951215.730000 0.0245927 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 2175896.600000 0.0135429 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 4827576.440000 0.0300472 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 41859146.400000 0.2605344 Long DBT CORP US N 2 2021-11-06 Floating 1.29263 N N N N N N GMAC MORTGAGE CORP LOAN TRUST 2004-AR2 N/A 36185N3V0 254627.040000 PA USD 242996.360000 0.0015124 Long ABS-MBS CORP US N 2 2034-08-19 Floating 3.07233 N N N N N N GNMA PASS THRU POOLS N/A 36202J3L0 637.430000 PA USD 641.990000 0.0000040 Long ABS-MBS USGSE US N 2 2022-07-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KFV2 7292.270000 PA USD 7400.670000 0.0000461 Long ABS-MBS USGSE US N 2 2023-09-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KJQ9 58244.980000 PA USD 59447.410000 0.0003700 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 678.700000 PA USD 689.610000 0.0000043 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 559.000000 PA USD 571.090000 0.0000036 Long ABS-MBS USGSE US N 2 2024-08-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KQL2 419.040000 PA USD 424.100000 0.0000026 Long ABS-MBS USGSE US N 2 2024-12-20 Floating 2.125 N N N N N N GNMA PASS THRU POOLS N/A 36202KSG1 979.770000 PA USD 992.610000 0.0000062 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 4030.590000 PA USD 4145.220000 0.0000258 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 282.200000 PA USD 287.220000 0.0000018 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 12606.250000 PA USD 13006.320000 0.0000810 Long ABS-MBS USGSE US N 2 2025-07-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KUH6 1798.120000 PA USD 1855.510000 0.0000115 Long ABS-MBS USGSE US N 2 2025-08-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KUK9 1093.000000 PA USD 1100.810000 0.0000069 Long ABS-MBS USGSE US N 2 2025-08-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36202KXJ9 1107.810000 PA USD 1122.240000 0.0000070 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 14.540000 PA USD 14.560000 0.0000001 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 11205.110000 PA USD 11472.570000 0.0000714 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 101.510000 PA USD 102.050000 0.0000006 Long ABS-MBS USGSE US N 2 2021-12-20 Floating 2.125 N N N N N N GNMA PASS THRU POOLS N/A 36202K3B9 371.460000 PA USD 377.240000 0.0000023 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 2072.950000 PA USD 2084.270000 0.0000130 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 69877.630000 PA USD 72066.360000 0.0004485 Long ABS-MBS USGSE US N 2 2026-11-20 Floating 2.125 N N N N N N GNMA PASS THRU POOLS N/A 36225CCX2 78079.130000 PA USD 80944.340000 0.0005038 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 5199.990000 PA USD 5386.530000 0.0000335 Long ABS-MBS USGSE US N 2 2027-08-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36225CDP8 16643.910000 PA USD 16794.410000 0.0001045 Long ABS-MBS USGSE US N 2 2027-08-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36225CDU7 31158.170000 PA USD 32223.430000 0.0002006 Long ABS-MBS USGSE US N 2 2027-09-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36225CDW3 5761.920000 PA USD 5800.410000 0.0000361 Long ABS-MBS USGSE US N 2 2027-09-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36225CDZ6 60630.110000 PA USD 62742.460000 0.0003905 Long ABS-MBS USGSE US N 2 2027-10-20 Floating 2.125 N N N N N N GNMA PASS THRU POOLS N/A 36225CJJ6 16099.180000 PA USD 16261.810000 0.0001012 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 27630.880000 PA USD 28804.110000 0.0001793 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 60656.150000 PA USD 61531.460000 0.0003830 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 260708.150000 PA USD 271045.160000 0.0016870 Long ABS-MBS USGSE US N 2 2029-08-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36225CK70 36283.990000 PA USD 36729.810000 0.0002286 Long ABS-MBS USGSE US N 2 2029-09-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36225CM52 54650.370000 PA USD 55091.560000 0.0003429 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 111674.850000 PA USD 116441.950000 0.0007247 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 43987.960000 PA USD 45958.770000 0.0002861 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 102432.750000 PA USD 106982.250000 0.0006659 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 69841.510000 PA USD 72991.850000 0.0004543 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 5799.640000 PA USD 6051.770000 0.0000377 Long ABS-MBS USGSE US N 2 2031-08-20 Floating 2.25 N N N N N N GNMA PASS THRU POOLS N/A 36225CTC0 32533.180000 PA USD 33955.410000 0.0002113 Long ABS-MBS USGSE US N 2 2031-10-20 Floating 2.125 N N N N N N GNMA PASS THRU POOLS N/A 36225CUD6 77885.180000 PA USD 81488.320000 0.0005072 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 12824.400000 PA USD 12986.420000 0.0000808 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 5604.560000 PA USD 5873.450000 0.0000366 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 21743.450000 PA USD 22741.250000 0.0001415 Long ABS-MBS USGSE US N 2 2033-12-20 Floating 2.125 N N N N N N GOLDEN CREDIT CARD TRUST 2018-3A N/A 380881EL2 6500000.000000 PA USD 6502366.000000 0.0404712 Long ABS-MBS CORP CA N 2 2023-05-15 Floating 0.426 N N N N N N GOLDENTREE LOAN MANAGEMENT EUR CLO 4 DAC 4A N/A ACI1N8273 9300000.000000 PA 10946693.170000 0.0681330 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 12901917.200000 0.0803025 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.174 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWU4 4840000.000000 PA USD 4874517.620000 0.0303394 Long DBT CORP US N 2 2023-02-23 Floating 0.92525 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWK6 5596000.000000 PA USD 5637734.130000 0.0350897 Long DBT CORP US N 2 2023-06-05 Floating 1.24375 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWE0 12500000.000000 PA 9963893.530000 0.0620160 Long DBT CORP US Y 2 2022-07-27 Floating 0.9775 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWN0 4600000.000000 PA USD 4634476.860000 0.0288453 Long DBT CORP US N 2 2023-07-24 Floating 1.21775 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXF6 15000000.000000 PA 11965146.810000 0.0744720 Long DBT CORP US Y 2 2022-08-23 Floating 1.0875 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVX9 4900000.000000 PA USD 5130906.910000 0.0319351 Long DBT CORP US N 2 2027-10-28 Floating 1.9685 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141EB81 775000.000000 PA USD 797927.000000 0.0049664 Long DBT CORP US N 2 2023-11-29 Floating 1.78975 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXN9 15800000.000000 PA USD 15814046.200000 0.0984278 Long DBT CORP US N 2 2026-12-09 Floating 0.851595 N N N N N N GOSFORTH FUNDING 2017-1 PLC 17-1A N/A 383121AA8 522576.000000 PA USD 522913.060000 0.0032546 Long ABS-MBS CORP GB N 2 2059-12-19 Floating 0.65963 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H11 N/A 38375BSK9 18075824.450000 PA USD 18225197.640000 0.1134350 Long ABS-MBS USGSE US N 2 2062-02-20 Floating 0.8195 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H12 N/A 38375BRW4 3795367.110000 PA USD 3814865.430000 0.0237440 Long ABS-MBS USGSE US N 2 2062-04-20 Floating 0.6695 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29 N/A 38376RLR5 6219688.970000 PA USD 6234751.810000 0.0388056 Long ABS-MBS USGSE US N 2 2065-11-20 Floating 0.7995 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30 N/A 38376RLJ3 2922606.730000 PA USD 2943649.210000 0.0183215 Long ABS-MBS USGSE US N 2 2065-10-20 Floating 0.7195 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04 N/A 38376RRA6 4710869.270000 PA USD 4791397.810000 0.0298220 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 0.9195 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRL2 17648458.350000 PA USD 18071880.160000 0.1124807 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 1.1195 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11 N/A 38375UXM7 22969462.340000 PA USD 23366076.050000 0.1454322 Long ABS-MBS USGSE US N 2 2066-05-20 Floating 0.9195 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11 N/A 38375UWT3 3312697.650000 PA USD 3377496.670000 0.0210218 Long ABS-MBS USGSE US N 2 2066-04-20 Floating 0.9695 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14 N/A 38376RVV5 7784210.080000 PA USD 7920583.990000 0.0492983 Long ABS-MBS USGSE US N 2 2066-06-20 Floating 0.9195 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ N/A 38376RC95 2492321.220000 PA USD 2533938.500000 0.0157714 Long ABS-MBS USGSE US N 2 2066-10-20 Floating 0.8895 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24 N/A 38376RJ72 6798230.580000 PA USD 6936294.490000 0.0431720 Long ABS-MBS USGSE US N 2 2066-11-20 Floating 0.9695 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H01 N/A 38376RN85 2678642.090000 PA USD 2734151.050000 0.0170176 Long ABS-MBS USGSE US N 2 2066-12-20 Floating 1.0695 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10 N/A 38375UZZ6 4074930.870000 PA USD 4135009.210000 0.0257366 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 4164587.560000 PA USD 4241649.090000 0.0264003 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 1752081.230000 PA USD 1780598.980000 0.0110826 Long ABS-MBS USGSE US N 2 2067-11-20 Floating 1.08013 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H01 N/A 38380LPD9 5122150.180000 PA USD 5100858.940000 0.0317481 Long ABS-MBS USGSE US N 2 2068-12-20 Floating 0.58438 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H01 N/A 38380LPB3 12803699.260000 PA USD 12749753.430000 0.0793554 Long ABS-MBS USGSE US N 2 2068-12-20 Floating 0.58438 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-17 N/A 38382CP47 4650179.800000 PA USD 4869860.340000 0.0303104 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 4144515.600000 PA USD 4345416.430000 0.0270462 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 176646.960000 PA USD 180810.410000 0.0011254 Long ABS-MBS USGSE US N 2 2039-08-16 Floating 1.10613 N N N N N N GPMT LLC 2018-FL1 N/A 36255CAA7 4353953.460000 PA USD 4364641.760000 0.0271659 Long ABS-MBS CORP KY N 2 2035-11-21 Floating 1.01025 N N N N N N GREAT HALL MORTGAGES PLC 2006-1 N/A 991XUKII4 960074.040000 PA 1308799.610000 0.0081461 Long ABS-MBS CORP GB N 2 2038-06-18 Floating 0.231 N N N N N N GREAT HALL MORTGAGES PLC 2006-1 N/A B1L2FGII0 1299612.420000 PA 1517507.710000 0.0094451 Long ABS-MBS CORP GB N 2 2038-06-18 Floating 0 N N N N N N GREAT HALL MORTGAGES PLC 2007-1 N/A B1S83ZII1 1632634.760000 PA 2226753.030000 0.0138595 Long ABS-MBS CORP GB N 2 2039-03-18 Floating 0.211 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR1 N/A 39538RAB5 147646.220000 PA USD 138607.550000 0.0008627 Long ABS-MBS CORP US N 2 2045-06-25 Floating 0.54863 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR2 N/A 39538RBB4 66437.030000 PA USD 57223.070000 0.0003562 Long ABS-MBS CORP US N 2 2045-06-25 Floating 0.56863 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 236994.130000 PA USD 213618.780000 0.0013296 Long ABS-MBS CORP US N 2 2045-11-25 Floating 0.64863 N N N N N N GREENWICH CAPITAL ACCEPTANCE I-1994-AR5 N/A 396782CW2 731.740000 PA USD 738.560000 0.0000046 Long ABS-MBS CORP US N 2 2024-06-25 Floating 3.44947 N N N N N N GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2 N/A 39809LAA2 16000000.000000 PA USD 16019995.040000 0.0997096 Long ABS-CBDO CORP KY N 2 2037-09-15 Floating 1.286 N N N N N N GS MORTGAGE SECURITIES TRUST 2014-GC18 2014-GC18 N/A 36252RAQ2 19652098.800000 PA USD 20417827.110000 0.1270821 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 2208338.800000 PA USD 2224385.030000 0.0138447 Long ABS-MBS CORP US N 2 2049-11-10 Fixed 2.905 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1 N/A 36261WAA5 91193000.000000 PA USD 92788786.310000 0.5775243 Long ABS-MBS CORP US N 2 2060-12-25 Variable 1.75 N N N N N N GSAA HOME EQUITY TRUST 2007-7 N/A 36249BAD2 956582.810000 PA USD 943971.220000 0.0058753 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.64863 N N N N N N GSAMP TRUST 2004-FM2 N/A 36228FN28 1379524.370000 PA USD 1355155.760000 0.0084346 Long ABS-MBS CORP US N 2 2034-01-25 Floating 0.85863 N N N N N N GSAMP TRUST 2006-HE4 N/A 362439AE1 5661500.000000 PA USD 5543503.580000 0.0345032 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.36863 N N N N N N GSAMP TRUST 2007-FM1 N/A 3622MAAB7 307445.490000 PA USD 189704.470000 0.0011807 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.17863 N N N N N N GSMPS MORTGAGE LOAN TRUST 2006-RP1 N/A 3623413G2 92269.670000 PA USD 99559.880000 0.0006197 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 573274.060000 PA USD 585205.380000 0.0036424 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.92926 N N N N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 165370.680000 PA USD 169617.610000 0.0010557 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.01782 Y N N N N N GSR MORTGAGE LOAN TRUST 2006-AR2 N/A 36297TAB8 150568.120000 PA USD 125585.690000 0.0007817 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.70703 N N N N N N GSR MTGE LOAN TRUST 2003-2F N/A 36228FNB8 87.780000 PA USD 91.570000 0.0000006 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6 N N N N N N GSRPM MORTGAGE LOAN TRUST 2006-1 N/A 362334NV2 2206160.230000 PA USD 2192147.800000 0.0136441 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.60863 N N N N N N GULF STREAM MERIDIAN 2 LTD 2020-IIA N/A 40256TAA1 10700000.000000 PA USD 10743740.100000 0.0668698 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 2.44125 N N N N N N GULF STREAM MERIDIAN 2 LTD 2020-IIA N/A 40256TAN3 1500000.000000 PA USD 1501743.170000 0.0093470 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 1.64125 N N N N N N HARBEN FINANCE 2017-1 PLC 17-1X N/A ACI12FW02 3101881.700000 PA 4283581.060000 0.0266613 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86013 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 577544.410000 PA USD 557368.010000 0.0034691 Long ABS-MBS CORP US N 2 2035-05-19 Floating 0.55025 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-1 N/A 41161PA86 1570404.280000 PA USD 1560806.910000 0.0097146 Long ABS-MBS CORP US N 2 2036-03-19 Floating 0.59025 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-6 N/A 41161UAJ1 28599.460000 PA USD 29507.970000 0.0001837 Long ABS-MBS CORP US N 2 2036-08-19 Floating 3.08774 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-1 N/A 41164MAC1 496510.070000 PA USD 458841.440000 0.0028559 Long ABS-MBS CORP US N 2 2037-03-19 Floating 0.24025 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2004-1 N/A 41161PCY7 8568.680000 PA USD 8240.570000 0.0000513 Long ABS-MBS CORP US N 2 2034-04-19 Floating 2.18823 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41283LAU9 7717000.000000 PA USD 7937196.490000 0.0494017 Long DBT CORP US N 2 2022-02-04 Fixed 4.05 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 41284VAB8 5523000.000000 PA USD 5545316.010000 0.0345145 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 1400000.000000 PA USD 1439917.360000 0.0089622 Long DBT CORP US N 2 2022-02-04 Fixed 4.05 N N N N N N HARVEST CLO XXI DAC 21A N/A ACI1WSV44 9500000.000000 PA 11140650.120000 0.0693402 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.76 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 113389949.830000 PA 156911976.190000 0.9766318 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.09892 N N N N N N HAWKSMOOR MORTGAGES 19-1X N/A ACI1DHG20 21648657.570000 PA 29957978.170000 0.1864607 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.09892 N N N N N N HAYFIN EMERALD CLO IV DAC 4A N/A ACI1PFD57 19500000.000000 PA 22948830.410000 0.1428352 Long ABS-CBDO CORP IE N 2 2033-02-15 Floating 1.45 N N N N N N HEATHROW FUNDING LIMITED 7TI96JO3DYEIQWZ7Z726 05607MAA5 6900000.000000 PA USD 6968144.260000 0.0433702 Long DBT CORP JE N 2 2023-07-15 Fixed 4.875 N N N N N N HEATHROW FUNDING LIMITED 7TI96JO3DYEIQWZ7Z726 B6R4Q7II7 7800000.000000 PA USD 7877025.230000 0.0490272 Long DBT CORP JE N 2 2023-07-15 Fixed 4.875 N N N N N N HERA COMMERCIAL MORTGAGE 2021-FL1 N/A 42704RAA9 8300000.000000 PA USD 8307094.840000 0.0517040 Long ABS-CBDO CORP KY N 2 2038-02-18 Floating 1.17 N N N N N N HEWLETT PACKARD ENTERPRISE COMPANY 549300BX44RGX6ANDV88 42824CBB4 38400000.000000 PA USD 38406484.220000 0.2390448 Long DBT CORP US N 2 2021-10-05 Floating 0.91425 N N N N N N HOME EQUITY ASSET TRUST 2004-1 N/A 437084AV8 3499137.680000 PA USD 3492268.870000 0.0217361 Long ABS-MBS CORP US N 2 2034-06-25 Floating 1.05363 N N N N N N HOME EQUITY ASSET TRUST 2006-3 N/A 437084US3 7367971.130000 PA USD 7299611.090000 0.0454333 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.69363 N N N N N N HOME EQUITY PASS-THRU CERTS 2002-3 N/A 22541NHE2 798.440000 PA USD 757.640000 0.0000047 Long ABS-MBS CORP US N 2 2033-02-25 Floating 1.02863 N N N N N N HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2 N/A 43789XAA2 7013802.380000 PA USD 7068265.960000 0.0439934 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 21721376.620000 PA USD 21735606.290000 0.1352840 Long ABS-MBS CORP US N 2 2036-11-15 Floating 1.106 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CA5 39249000.000000 PA USD 40032497.170000 0.2491652 Long DBT CORP GB N 2 2025-03-11 Floating 1.40725 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BW8 862000.000000 PA USD 887943.860000 0.0055266 Long DBT CORP GB N 2 2026-09-12 Floating 1.56413 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 ACI0YTRJ4 200000.000000 PA 152353.540000 0.0009483 Long DBT CORP GB N 2 2024-02-16 Floating 1.1103 N N N N N N HSI ASSET LOAN OBLIGATION 2007-WF1 N/A 40431KAA8 94513.970000 PA USD 36912.130000 0.0002297 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.16863 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFL7 163804.380000 PA USD 163578.020000 0.0010181 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.28863 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFN3 3551654.890000 PA USD 3449109.730000 0.0214675 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.43863 N N N N N N HSI ASSET SECUR CORP TRUST 2007-WF1 N/A 40431RAA3 116351.560000 PA USD 114825.880000 0.0007147 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.26863 N N N N N N HUTCHISON WHAMPOA INTERNATIONAL (12) (II) LIMITED 2549005GEGKY2Q53V676 G4690AAB3 380000.000000 PA USD 396176.290000 0.0024658 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 12633951.520000 0.0786347 Long DBT CORP US N 2 2023-02-10 Fixed 2.375 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABU0 30000000.000000 PA USD 29952750.300000 0.1864281 Long DBT CORP US N 2 2023-04-03 Fixed 0.8 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891AAV9 16300000.000000 PA USD 16318642.800000 0.1015684 Long DBT CORP US N 2 2021-07-08 Floating 1.174 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABQ9 38500000.000000 PA USD 38724359.140000 0.2410233 Long DBT CORP US N 2 2022-11-10 Fixed 1.15 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABC0 4865000.000000 PA USD 5019629.260000 0.0312425 Long DBT CORP US N 2 2022-11-01 Fixed 2.85 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891CAY9 1979000.000000 PA USD 2032060.430000 0.0126477 Long DBT CORP US N 2 2022-02-01 Fixed 3.95 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891CAV5 24188000.000000 PA USD 24215664.540000 0.1507201 Long DBT CORP US N 2 2021-07-08 Floating 1.174 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891CAR4 2830000.000000 PA USD 2932863.710000 0.0182544 Long DBT CORP US N 2 2022-09-20 Fixed 3.25 N N N N N N HYUNDAI CAPITAL SERVICES 549300MALMDAGL2ZJJ27 44920UAJ7 16500000.000000 PA USD 16837408.670000 0.1047973 Long DBT CORP KR N 2 2022-03-06 Fixed 3 N N N N N N HYUNDAI CAPITAL SERVICES 549300MALMDAGL2ZJJ27 Y3815NAX9 9517000.000000 PA USD 9711613.230000 0.0604458 Long DBT CORP KR N 2 2022-03-06 Fixed 3 N N N N N N IMPAC CMB TR 2004-10 N/A 45254NLJ4 1865918.320000 PA USD 1903578.900000 0.0118480 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.74863 N N N N N N IMPAC CMB TRUST 2003-8 N/A 45254NFG7 485.080000 PA USD 488.470000 0.0000030 Long ABS-MBS CORP US N 2 2033-10-25 Floating 1.00863 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 453140AB1 4500000.000000 PA USD 4683743.690000 0.0291520 Long DBT CORP GB N 2 2023-02-11 Fixed 3.5 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 453140AE5 44988000.000000 PA USD 46491358.150000 0.2893657 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 18138050.090000 0.1128926 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 45262BAB9 2100000.000000 PA USD 2247106.700000 0.0139862 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 G4721VBL7 1500000.000000 PA USD 1561247.900000 0.0097173 Long DBT CORP GB N 2 2023-02-11 Fixed 3.5 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 G4721VNT7 500000.000000 PA USD 516708.440000 0.0032160 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 8952782.570000 0.0557228 Long ABS-MBS CORP US N 2 2034-06-15 Floating 0.806 N N N N N N INDYMAC ARM TRUST 2001-H2 N/A 45660UAQ2 795.870000 PA USD 775.060000 0.0000048 Long ABS-MBS CORP US N 2 2032-01-25 Floating 1.80971 N N N N N N INDYMAC ARM TRUST 2001-H2 N/A 45660UAT6 769.030000 PA USD 774.110000 0.0000048 Long ABS-MBS CORP US N 2 2032-01-25 Floating 1.76244 N N N N N N INDYMAC IMSC MTGE LN TRUST 2007-HOA1 N/A 45670LAA5 391126.470000 PA USD 315010.330000 0.0019606 Long ABS-MBS CORP US N 2 2047-07-25 Floating 0.28863 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 746492.070000 PA USD 700337.960000 0.0043590 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.29863 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR4 N/A 45661EAV6 118841.350000 PA USD 115732.040000 0.0007203 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.52863 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR6 N/A 456612AC4 332759.340000 PA USD 304123.270000 0.0018929 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.50863 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2004-AR11 N/A 45660N6S9 12462.690000 PA USD 12904.550000 0.0000803 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.90995 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 85377.290000 PA USD 83214.670000 0.0005179 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.58863 N N N N N N INFOR INC 549300Q3IIYBYI4RHD64 45674CAB9 3400000.000000 PA USD 3444141.520000 0.0214366 Long DBT CORP US N 2 2023-07-15 Fixed 1.45 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AX1 27200000.000000 PA USD 27264464.000000 0.1696960 Long DBT CORP NL N 2 2027-04-01 Floating 1.02 N N N N N N INTERNATIONAL LEASE FINANCE CORPORATION N/A 459745GK5 22679000.000000 PA USD 24068966.880000 0.1498070 Long DBT CORP US N 2 2022-01-15 Fixed 8.625 N N N N N N INVESCO EURO CLO I DAC 1A N/A ACI1VT7W8 2500000.000000 PA 2928503.100000 0.0182272 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.65 N N N N N N ISRAEL ELECTRIC CORPORATION LTD 254900JW7GE35YNJGJ55 46507NAE0 13900000.000000 PA USD 15672250.000000 0.0975452 Long DBT CORP IL N 2 2023-06-21 Fixed 6.875 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 977UCSII1 350950000.000000 PA 110740676.320000 0.6892582 Long DBT NUSS IL N 2 2022-01-31 Fixed 5.5 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 BJGTFKII9 100950000.000000 PA 30625314.830000 0.1906142 Long DBT NUSS IL N 2 2022-07-31 Fixed 0.75 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1VNWB9 277400000.000000 PA 83005919.660000 0.5166350 Long DBT MUN IL N 2 2022-02-02 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1MBY72 36300000.000000 PA 10858185.520000 0.0675822 Long DBT MUN IL N 2 2021-05-05 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI1VRHK7 238500000.000000 PA 71369507.340000 0.4442091 Long DBT NUSS IL N 2 2021-11-30 None 0 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-AON N/A 46649XAA5 7740000.000000 PA USD 8268220.940000 0.0514620 Long ABS-MBS CORP US N 2 2031-07-05 Fixed 4.1283 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-LAQ N/A 46649VAA9 12667549.550000 PA USD 12686540.740000 0.0789620 Long ABS-MBS CORP US N 2 2032-06-15 Floating 1.106 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PHH N/A 46650FAA0 23839507.540000 PA USD 23896174.050000 0.1487316 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 14313435.550000 PA USD 14198080.710000 0.0883699 Long ABS-MBS CORP US N 2 2031-12-15 Floating 1.556 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST N/A 46652DAA3 8500000.000000 PA USD 8514911.550000 0.0529974 Long ABS-MBS CORP US N 2 2036-12-15 Floating 0.956 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAH9 2500000.000000 PA USD 2668312.680000 0.0166078 Long DBT CORP US N 2 2025-03-01 Floating 3.22 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAQ9 1253000.000000 PA USD 1264083.370000 0.0078677 Long DBT CORP US N 2 2024-04-23 Floating 0.94775 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2012-HSBC N/A 46637YAA7 10865096.570000 PA USD 11129030.410000 0.0692679 Long ABS-MBS CORP US N 2 2032-07-05 Fixed 3.0934 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NM1 887717.580000 PA USD 871980.390000 0.0054273 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.24646 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 6129186.180000 PA USD 6029289.030000 0.0375267 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.31863 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-NC2 N/A 46629FAE0 2500000.000000 PA USD 2431395.750000 0.0151332 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.37863 N N N N N N JP MORGAN MTGE ACQUIS CORP 2007-CH4 N/A 46630CAE4 1500000.000000 PA USD 1476680.400000 0.0091910 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.34863 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19 N/A 46641WAT4 67192.080000 PA USD 67125.880000 0.0004178 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 4546484.600000 0.0282977 Long ABS-MBS CORP US N 2 2050-09-15 Fixed 3.3785 N N N N N N JUBILEE CLO 2014-XI BV 14-11A N/A ACI1W2T93 6300000.000000 PA 7388010.080000 0.0459835 Long ABS-CBDO CORP NL N 2 2030-04-15 Floating 0.61 N N N N N N KEB HANA BANK (AKA: KOREA EXCHANGE BANK) 6RPK2YDJN6L35AS0M510 ACI0Y2276 4400000.000000 PA USD 4433924.000000 0.0275971 Long DBT CORP KR N 2 2022-09-14 Floating 1.05888 N N N N N N KEB HANA BANK (AKA: KOREA EXCHANGE BANK) 6RPK2YDJN6L35AS0M510 Y4S96CSP9 3720000.000000 PA USD 3738600.000000 0.0232693 Long DBT CORP KR N 2 2022-10-02 Floating 0.89425 N N N N N N KIA CORPORATION 988400V8MJK9N7OI5X76 Y47606AD3 4623000.000000 PA USD 4627016.970000 0.0287989 Long DBT CORP KR N 2 2021-04-21 Fixed 2.625 N N N N N N KKR CLO 9 LTD N/A 48250LAW9 12400000.000000 PA USD 12400000.000000 0.0771785 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 1.14513 N N N N N N KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO) 5493003STKEZ2S0RNU91 50077LAQ9 14110000.000000 PA USD 14137924.250000 0.0879955 Long DBT CORP US N 2 2022-08-10 Floating 1.01538 N N N N N N LANARK MASTER ISSUER PLC 19-1A N/A 513770BB2 16716667.650000 PA USD 16757406.170000 0.1042993 Long ABS-MBS CORP GB N 2 2069-12-22 Floating 0.95238 N N N N N N LAURELIN 2016-1 DAC 16-1A N/A ACI1WVS58 31700000.000000 PA 37174590.410000 0.2313774 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 0.72 N N N N N N LCM XV LP 15A N/A 50184NAR3 35600000.000000 PA USD 35600000.000000 0.2215770 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.19688 N N N N N N LEASEPLAN CORPORATION NV 724500C60L930FVHS484 52206AAD2 17150000.000000 PA USD 18049490.230000 0.1123414 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 7832584.620000 PA USD 7909275.020000 0.0492279 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 3396182.150000 PA USD 3412857.400000 0.0212419 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 3874372.710000 PA USD 3901131.450000 0.0242809 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 299439.500000 PA USD 235566.060000 0.0014662 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.19863 N N N N N N LENNAR CORPORATION 529900G61XVRLX5TJX09 526057BY9 21124000.000000 PA USD 21491029.500000 0.1337618 Long DBT CORP US N 2 2022-01-15 Fixed 4.125 N N N N N N LENNAR CORPORATION 529900G61XVRLX5TJX09 526057CP7 7275000.000000 PA USD 7743328.130000 0.0481950 Long DBT CORP US N 2 2022-10-01 Fixed 5.375 N N N N N N LENNAR CORPORATION 529900G61XVRLX5TJX09 526057BN3 25600000.000000 PA USD 26904960.000000 0.1674585 Long DBT CORP US N 2 2022-11-15 Variable 4.75 N N N N N N LENNAR CORPORATION 529900G61XVRLX5TJX09 526057BW3 2398000.000000 PA USD 2622404.840000 0.0163220 Long DBT CORP US N 2 2023-12-15 Fixed 4.875 N N N N N N LIBERTY FUNDING PTY LIMITED 2018-1 N/A ACI12DYP0 1356965.200000 PA 1035140.630000 0.0064428 Long ABS-MBS CORP AU N 2 2049-10-10 Floating 1.26 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 ACI0XPZ54 500000.000000 PA 383075.020000 0.0023843 Long DBT CORP GB N 2 2023-03-20 Floating 1.3305 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 BF4TF2II0 9000000.000000 PA 6927582.470000 0.0431178 Long DBT CORP GB N 2 2025-03-07 Floating 1.4366 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AP4 10000000.000000 PA USD 10364224.400000 0.0645077 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 41412495.760000 0.2577545 Long ABS-O CORP KY N 2 2036-05-15 Floating 1.236 N N N N N N LOANCORE ISSUER LTD 2021-CRE4 N/A 53946CAA7 15000000.000000 PA USD 15046968.000000 0.0936534 Long ABS-MBS CORP US N 2 2035-07-15 Floating 0.91025 N N N N N N LONDON WALL MORTGAGE CAPITAL PLC 17-FL1 N/A ACI0WP8J5 1997749.080000 PA 2758423.570000 0.0171686 Long ABS-MBS CORP GB N 2 2049-11-15 Floating 0.90213 N N N N N N LONG BEACH MORTGAGE LOAN TR 2005-2 N/A 542514KV5 21687065.520000 PA USD 21748600.400000 0.1353649 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.08363 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-4 N/A 542514BQ6 16346.900000 PA USD 16316.180000 0.0001016 Long ABS-MBS CORP US N 2 2032-03-25 Floating 0.80863 N N N N N N LONG BEACH MTGE LOAN TRUST 2003-4 N/A 542514EH3 1339908.630000 PA USD 1332115.320000 0.0082912 Long ABS-MBS CORP US N 2 2033-08-25 Floating 1.12863 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-1 N/A 542514EV2 355964.490000 PA USD 356012.470000 0.0022158 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.93363 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 358703.080000 PA USD 348812.380000 0.0021710 Long ABS-MBS CORP US N 2 2034-10-25 Floating 0.66863 N N N N N N LP CREDIT CARD ABS MASTER TRUST 2018-1 N/A 50214FAA1 32379003.650000 PA USD 33674244.740000 0.2095910 Long ABS-MBS CORP US N 2 2024-08-20 Floating 1.66113 N N N N N N 280 PARK AVENUE 2017-280P MORTGAGE TRUST N/A 90205FAA8 12400000.000000 PA USD 12418542.960000 0.0772939 Long ABS-MBS CORP US N 2 2034-09-15 Floating 0.986 N N N N N N LUMINENT MORTGAGE TRUST 2006-6 N/A 55027YAD0 125153.070000 PA USD 120983.980000 0.0007530 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.50863 N N N N N N LUMINENT MORTGAGE TRUST 2006-7 N/A 55028BAA5 100633.610000 PA USD 97083.880000 0.0006043 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.46863 Y N N N N N LUMINENT MORTGAGE TRUST 2006-7 N/A 55028BAG2 511123.170000 PA USD 496898.360000 0.0030927 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.27863 N N N N N N 522 FUNDING CLO I LTD 2017-1A N/A 04625AAA2 8400000.000000 PA USD 8403598.390000 0.0523046 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 1.474 N N N N N N MACKAY SHIELDS EURO CLO-2 DAC 2A N/A ACI1NGXC0 9700000.000000 PA 11407328.450000 0.0710001 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 3434898.030000 PA USD 3437587.520000 0.0213958 Long ABS-CBDO CORP KY N 2 2026-04-20 Floating 1.554 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 817826AA8 16100000.000000 PA USD 16112505.190000 0.1002854 Long DBT CORP US N 2 2023-02-10 Fixed 0.625 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 817826AB6 26700000.000000 PA USD 26622976.640000 0.1657034 Long DBT CORP US N 2 2024-02-10 Fixed 0.8 N N N N N N MARBLE POINT CLO X LTD 2017-1A N/A 566061AL1 44400000.000000 PA USD 44400000.000000 0.2763489 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.222 N N N N N N MARLETTE FUNDING TRUST 2018-4A N/A 57109GAA2 196637.310000 PA USD 196872.020000 0.0012253 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 420725.720000 PA USD 423143.290000 0.0026337 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 5165394.590000 PA USD 5203189.270000 0.0323850 Long ABS-O CORP US N 2 2029-07-16 Fixed 3.13 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 817826AC4 1200000.000000 PA USD 1169746.510000 0.0072806 Long DBT CORP US N 2 2026-02-10 Fixed 0.95 N N N N N N MARLETTE FUNDING TRUST 2019-3 N/A 57109MAA9 711847.890000 PA USD 716553.350000 0.0044599 Long ABS-O CORP US N 2 2029-09-17 Fixed 2.69 N N N N N N MARRIOTT INTERNATIONAL INC 225YDZ14ZO8E1TXUSU86 571903AM5 29561000.000000 PA USD 29753455.710000 0.1851877 Long DBT CORP US N 2 2021-10-15 Fixed 3.125 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 565586.710000 PA USD 567293.710000 0.0035309 Long ABS-O CORP US N 2 2038-04-25 Floating 1.16775 N N N N N N MASTER CREDIT CARD TRUST II SERIES 2018-1A N/A 576339BM6 20800000.000000 PA USD 20931884.480000 0.1302816 Long ABS-MBS CORP CA N 2 2024-07-21 Floating 0.60088 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1 N/A 576433G42 279061.720000 PA USD 256995.840000 0.0015996 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.31863 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UF1 329129.220000 PA USD 332776.600000 0.0020712 Long ABS-MBS CORP US N 2 2034-11-21 Floating 3.17818 N N N N N N MASTR ALTERNATIVE LOANS TR 2003-5 N/A 576434FH2 401275.650000 PA USD 416358.640000 0.0025914 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 8389670.070000 PA USD 8241751.800000 0.0512973 Long ABS-MBS CORP US N 2 2034-09-25 Floating 0.80863 N N N N N N MASTR ASSET BACKED SEC TR 2006-HE4 N/A 576449AA0 54328.330000 PA USD 25248.610000 0.0001571 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.20863 N N N N N N MASTR ASSET BACKED SEC TR 2007-WMC1 N/A 55275TAB4 284192.170000 PA USD 111757.180000 0.0006956 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.15863 N N N N N N MASTR ASSET BACKED SECURITIES 2004-OPT1 N/A 57643LCH7 1151442.580000 PA USD 1134237.380000 0.0070596 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.88863 N N N N N N MELLON RES FUND CORP 1999-TBC3 N/A 585525DF2 301887.630000 PA USD 305893.010000 0.0019039 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 399213.190000 PA USD 392850.050000 0.0024451 Long ABS-MBS CORP US N 2 2030-12-15 Floating 0.546 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A 585525FX1 24894.160000 PA USD 23774.920000 0.0001480 Long ABS-MBS CORP US N 2 2032-08-15 Floating 0.966 N N N N N N MELLON RESIDENTIAL FUNDING CO 2001-TBC1 N/A 585525FC7 375001.250000 PA USD 381963.520000 0.0023774 Long ABS-MBS CORP US N 2 2031-11-15 Floating 0.806 N N N N N N MERRILL LYNCH MORTGAGE BACKED SEC 2007-1 N/A 59024NAC1 239324.280000 PA USD 245478.840000 0.0015279 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.0548 Y N N N N N MERRILL LYNCH MORTGAGE INV 2007-HE2 N/A 59024LAB7 284569.140000 PA USD 116974.820000 0.0007281 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.22863 N N N N N N MERRILL LYNCH MORTGAGE INVESTO-2006-RM4 N/A 59023QAB7 5379.870000 PA USD 3146.990000 0.0000196 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.26863 N N N N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A1 N/A 589929F37 2064.120000 PA USD 2023.390000 0.0000126 Long ABS-MBS CORP US N 2 2032-12-25 Floating 1.70063 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 1829812.760000 PA USD 1848476.120000 0.0115051 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.52863 N N N N N N MERRILL LYNCH MORTGAGE INVS 2006-HE1 N/A 59020U3E3 3209554.960000 PA USD 3203422.780000 0.0199383 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.69363 N N N N N N MF1 2019-FL2 LTD N/A 55282LAA4 1797672.490000 PA USD 1805528.680000 0.0112377 Long ABS-MBS CORP KY N 2 2034-12-25 Floating 1.23863 N N N N N N MF1 2020-FL3 LTD N/A 59319WAA9 22800000.000000 PA USD 23126135.760000 0.1439388 Long ABS-MBS CORP US N 2 2035-07-15 Floating 2.156 N N N N N N MF1 2020-FL4 LTD N/A 58003UAA6 42300000.000000 PA USD 42596100.000000 0.2651213 Long ABS-CBDO CORP US N 2 2035-11-15 Floating 1.806 N N N N N N MF1 2021-FL5 LTD N/A 55282XAA8 74100000.000000 PA USD 74349250.170000 0.4627553 Long ABS-MBS CORP US N 2 2036-07-15 Floating 0.958 N N N N N N MFA 2020-NQM1 TRUST N/A 552754AA1 5013773.010000 PA USD 5067427.400000 0.0315400 Long ABS-MBS CORP US N 2 2065-03-25 Variable 1.479 N N N N N N MFA 2020-NQM2 TRUST N/A 552751AA7 37391800.130000 PA USD 37750249.140000 0.2349604 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.381 N N N N N N MGM RESORTS INTERNATIONAL 54930066VBP7DZEGGJ87 552953BX8 30820000.000000 PA USD 32523575.500000 0.2024292 Long DBT CORP US N 2 2022-03-15 Fixed 7.75 N N N N N N MIDOCEAN CREDIT CLO VIII 2018-8A N/A 59801MAL2 31800000.000000 PA USD 31800000.000000 0.1979256 Long ABS-CBDO CORP KY N 2 2031-02-20 Floating 1.243 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2019-GS2 N/A 59981TAC9 22075242.570000 PA USD 22865531.840000 0.1423168 Long ABS-MBS CORP US N 2 2059-08-25 Fixed 2.75 N N N N N N MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 N/A 59982HAC4 25588911.280000 PA USD 25739716.970000 0.1602059 Long ABS-MBS CORP US N 2 2060-11-25 Variable 1.125 N N N N N N MIRAE ASSET DAEWOO CO LTD (AKA: DAEWOO SECURITIES CO LTD) 98840072S6T63E2V1291 ACI164321 16700000.000000 PA USD 16991081.000000 0.1057538 Long DBT CORP KR N 2 2021-11-07 Fixed 4.125 N N N N N N MITSUBISHI HC CAPITAL INC 353800MZ3QX9RLMH7B09 60682LAD4 6000000.000000 PA USD 6137564.580000 0.0382007 Long DBT CORP JP N 2 2022-02-28 Fixed 3.406 N N N N N N MITSUBISHI HC CAPITAL INC 353800MZ3QX9RLMH7B09 60682LAE2 5000000.000000 PA USD 5347467.650000 0.0332830 Long DBT CORP JP N 2 2024-02-28 Fixed 3.559 N N N N N N MITSUBISHI HC CAPITAL INC 353800MZ3QX9RLMH7B09 60682LAA0 22460000.000000 PA USD 23085640.820000 0.1436867 Long DBT CORP JP N 2 2022-09-19 Fixed 2.652 N N N N N N MITSUBISHI HC CAPITAL INC 353800MZ3QX9RLMH7B09 J4706DJP6 2000000.000000 PA USD 2161130.840000 0.0134510 Long DBT CORP JP N 2 2023-09-19 Fixed 3.96 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBC2 90669000.000000 PA USD 91114999.900000 0.5671065 Long DBT CORP JP N 2 2024-05-25 Floating 0.8175 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YBG3 29800000.000000 PA USD 30193182.390000 0.1879246 Long DBT CORP JP N 2 2024-07-10 Floating 1.21438 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAU3 2000000.000000 PA USD 2024072.400000 0.0125980 Long DBT CORP JP N 2 2024-09-11 Floating 1.17725 N N N N N N MKS CLO LTD 2017-1A N/A 55317AAA7 7100000.000000 PA USD 7094038.840000 0.0441538 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.224 N N N N N N MLCC MORTGAGE INVESTORS INC 2005-3 N/A 59020UL78 221768.160000 PA USD 220468.670000 0.0013722 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.60863 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468D4 5000000.000000 PA 4195051.250000 0.0261103 Long DBT CORP US Y 2 2024-02-07 Fixed 3 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-HE4 N/A 61746RGK1 16204420.520000 PA USD 16126851.580000 0.1003747 Long ABS-MBS CORP US N 2 2034-05-25 Floating 1.00863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-WMC1 N/A 61744CXM3 850539.770000 PA USD 842580.590000 0.0052443 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.72863 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE6 N/A 61755CAA0 118126.140000 PA USD 107414.590000 0.0006686 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.16863 N N N N N N MORGAN STANLEY ABS CAPITAL-2006-HE6 N/A 61750FAD2 19131.240000 PA USD 9240.080000 0.0000575 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.20863 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C7 N/A 61690KAC6 488743.710000 PA USD 496755.000000 0.0030918 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 2911516.670000 PA USD 3042714.270000 0.0189381 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 836241.900000 PA USD 836767.060000 0.0052081 Long ABS-MBS CORP US N 2 2049-06-11 Variable 6.16288 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-PLND N/A 61691XAA1 11400000.000000 PA USD 11273244.540000 0.0701655 Long ABS-MBS CORP US N 2 2036-05-15 Floating 1.106 N N N N N N MORGAN STANLEY HOME EQUITY LN 2005-2 N/A 61744CQP4 950000.000000 PA USD 944315.960000 0.0058775 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.09863 N N N N N N MORGAN STANLEY IXIS RE CAP TR 2006-2 N/A 617463AA2 8522.760000 PA USD 3932.440000 0.0000245 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.15863 N N N N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 36156.780000 PA USD 38126.270000 0.0002373 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.07704 N N N N N N ACCREDITED MORTGAGE LOAN TRUST 2006-2 N/A 00437NAD4 5481312.420000 PA USD 5392133.110000 0.0335610 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.36863 N N N N N N MORGAN STANLEY MTGE LN TR 2007-6XS N/A 61751JAG6 789852.320000 PA USD 289872.480000 0.0018042 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.32863 N N N N N N MORTGAGEIT TRUST 2004-2 N/A 61913PAG7 293562.650000 PA USD 302452.370000 0.0018825 Long ABS-MBS CORP US N 2 2034-12-25 Floating 0.84863 N N N N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 13200000.000000 PA USD 13196109.300000 0.0821336 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 1.31338 N N N N N N MOUNTAIN VIEW CLO LTD 2014-1A N/A 62431XAU0 3109785.440000 PA USD 3108643.430000 0.0193484 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 1.04125 N N N N N N MOUNTAIN VIEW CLO XIV LTD 2019-1A N/A 62432MAA7 12500000.000000 PA USD 12516377.880000 0.0779029 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.73125 N N N N N N ACE SECURITIES CORP 2004-HE2 N/A 004421GT4 2897997.680000 PA USD 2886426.270000 0.0179653 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.14363 N N N N N N MYLAN INC 30ZMPDNA1RHIBH89C294 628530BD8 300000.000000 PA USD 323911.920000 0.0020161 Long DBT CORP US N 2 2023-11-29 Fixed 4.2 N N N N N N ACE SECURITIES CORP 2004-OP1 N/A 004421EW9 17158058.820000 PA USD 16920992.780000 0.1053175 Long ABS-MBS CORP US N 2 2034-04-25 Floating 0.88863 N N N N N N NASSAU LTD 2020-IA N/A 631715AA7 9900000.000000 PA USD 9939655.740000 0.0618652 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 2.374 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAD9 12800000.000000 PA USD 13207010.690000 0.0822014 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 5002313.020000 PA USD 4886363.910000 0.0304131 Long ABS-MBS CORP US N 2 2033-02-15 Floating 0.856 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAB7 10160.450000 PA USD 5612.350000 0.0000349 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.22863 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 28845000.000000 PA USD 29478938.100000 0.1834791 Long DBT CORP GB N 2 2024-06-25 Floating 1.75063 N N N N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAD0 8400000.000000 PA USD 8561700.000000 0.0532887 Long DBT CORP US N 2 2021-07-26 Fixed 6.625 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-A N/A 63941FAB2 2600000.000000 PA USD 2674006.400000 0.0166432 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 24174275.220000 PA USD 24590469.210000 0.1530529 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 18533614.730000 PA USD 18613972.780000 0.1158547 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 2465080.080000 PA USD 2514711.510000 0.0156518 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 4477681.760000 PA USD 4591179.800000 0.0285758 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 19921993.580000 PA USD 20200528.950000 0.1257296 Long ABS-O CORP US N 2 2066-12-27 Floating 1.15863 N N N N N N NAVIENT STUDENT LOAN TRUST 2017-5A N/A 63940CAA2 14767059.280000 PA USD 14930126.010000 0.0929262 Long ABS-O CORP US N 2 2066-07-26 Floating 0.91763 N N N N N N NAVIENT STUDENT LOAN TRUST 2018-1A N/A 63940DAB8 7882194.950000 PA USD 7875998.760000 0.0490208 Long ABS-O CORP US N 2 2067-03-25 Floating 0.45863 N N N N N N NAVIENT STUDENT LOAN TRUST 2020-IA N/A 63942AAA4 3731118.020000 PA USD 3697936.810000 0.0230162 Long ABS-O CORP US N 2 2069-04-15 Fixed 1.33 N N N N N N NAVIENT STUDENT LOAN TRUST 2020-IA N/A 63942AAB2 14737916.180000 PA USD 14808307.420000 0.0921680 Long ABS-O CORP US N 2 2069-04-15 Floating 1.106 N N N N N N NELNET STUDENT LOAN TRUST 2012-4A N/A 64033AAA2 4642004.450000 PA USD 4630743.410000 0.0288221 Long ABS-O CORP US N 2 2038-09-27 Floating 0.80863 N N N N N N NELNET STUDENT LOAN TRUST 2015-3A N/A 64033TAC7 5124087.240000 PA USD 5116269.420000 0.0318440 Long ABS-O CORP US N 2 2051-02-27 Floating 0.70863 N N N N N N NELNET STUDENT LOAN TRUST 2016-1A N/A 64033UAA8 3336662.640000 PA USD 3333285.270000 0.0207466 Long ABS-O CORP US N 2 2065-09-25 Floating 0.90863 N N N N N N NELNET STUDENT LOAN TRUST 2017-3A N/A 64032KAA1 3281477.670000 PA USD 3284436.250000 0.0204426 Long ABS-O CORP US N 2 2066-02-25 Floating 0.95863 N N N N N N NELNET STUDENT LOAN TRUST 2019-2 N/A 64034NAA3 68578719.780000 PA USD 68839771.530000 0.4284639 Long ABS-O CORP US N 2 2067-06-27 Floating 1.00863 N N N N N N NELNET STUDENT LOAN TRUST 2019-3A N/A 64031DAA8 37885494.660000 PA USD 37806867.100000 0.2353127 Long ABS-O CORP US N 2 2067-08-25 Floating 0.90863 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2004-3 N/A 64352VHV6 2387566.280000 PA USD 2351004.280000 0.0146328 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.03863 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2006-1 N/A 64352VQR5 240384.450000 PA USD 233758.350000 0.0014549 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.28863 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A N/A 64830KAA5 12331411.790000 PA USD 13380511.580000 0.0832813 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 3832706.690000 PA USD 4014711.200000 0.0249879 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 82936021.910000 PA USD 86576664.460000 0.5388596 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 2801936.320000 PA USD 2966470.220000 0.0184635 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 78825117.160000 PA USD 82283569.180000 0.5121390 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N ADCB FINANCE (CAYMAN) LIMITED 213800R9XDKRM525M609 ACI1N5JH9 10900000.000000 PA 14989164.210000 0.0932937 Long DBT CORP KY N 2 2021-06-14 Fixed 1.4 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339KBU3 13500000.000000 PA USD 13545725.580000 0.0843096 Long DBT CORP US N 2 2023-03-01 Fixed 0.65 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2004-2 N/A 007036BU9 603721.250000 PA USD 628702.750000 0.0039131 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.6452 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AW9 91000000.000000 PA USD 91262894.450000 0.5680270 Long DBT CORP US N 2 2022-01-13 Floating 1.1145 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BH1 800000.000000 PA USD 837351.550000 0.0052117 Long DBT CORP US N 2 2023-03-15 Fixed 3.45 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BA6 3039000.000000 PA USD 3041057.220000 0.0189278 Long DBT CORP US N 2 2022-07-13 Floating 0.8745 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AS8 2500000.000000 PA USD 2511617.880000 0.0156325 Long DBT CORP US N 2 2021-09-14 Fixed 1.9 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BJ7 200000.000000 PA USD 202657.360000 0.0012614 Long DBT CORP US N 2 2021-09-21 Fixed 3.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BN8 4800000.000000 PA USD 4800889.010000 0.0298811 Long DBT CORP US N 2 2021-09-21 Floating 0.81663 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BE8 41451000.000000 PA USD 41442570.520000 0.2579416 Long DBT CORP US N 2 2022-09-28 Floating 0.883 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 U65478BE5 1160000.000000 PA USD 1185214.690000 0.0073769 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 U65478BF2 150000.000000 PA USD 149909.930000 0.0009331 Long DBT CORP US N 2 2022-07-13 Floating 0.8745 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 U65478BK1 6861000.000000 PA USD 6859604.750000 0.0426947 Long DBT CORP US N 2 2022-09-28 Floating 0.883 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AA9 26400000.000000 PA USD 27636305.930000 0.1720104 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAP4 54450000.000000 PA USD 56349938.010000 0.3507262 Long DBT CORP JP N 2 2025-01-16 Fixed 2.648 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAR0 62127000.000000 PA USD 62046546.780000 0.3861823 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 3917363.880000 PA USD 3757832.370000 0.0233890 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.25863 N N N N N N NOMURA RESECURITIZATION TRUST 2015-4R N/A 65540WCH0 1402555.370000 PA USD 1389840.500000 0.0086505 Long ABS-MBS CORP US N 2 2036-12-26 Floating 0.604059 N N N N N N NORDEA BANK ABP 529900ODI3047E2LIV03 65557CAZ6 14115000.000000 PA USD 14282175.380000 0.0888933 Long DBT CORP FI N 2 2023-08-30 Floating 1.12975 N N N N N N NORDEA BANK ABP 529900ODI3047E2LIV03 65557DAZ4 3945000.000000 PA USD 3991723.830000 0.0248448 Long DBT CORP FI N 2 2023-08-30 Floating 1.12975 N N N N N N NORTHSTAR EDUCATION FINANCE INC 2012-1 N/A 66705EAA6 3031224.680000 PA USD 3046596.630000 0.0189622 Long ABS-O CORP US N 2 2031-12-26 Floating 0.80863 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-1 N/A 66987XGJ8 3495634.560000 PA USD 3481070.350000 0.0216664 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.18863 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-4 N/A 66987WDE4 7154720.600000 PA USD 7122912.860000 0.0443335 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.76863 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAW8 4319000.000000 PA USD 4511048.610000 0.0280771 Long DBT CORP NL N 2 2022-09-01 Fixed 3.875 N N N N N N OAKCL-2014-1A N/A 674000AN4 486729.870000 PA USD 487458.760000 0.0030340 Long ABS-CBDO CORP KY N 2 2029-05-13 Floating 1.48375 N N N N N N OBX TRUST 2018-1 N/A 67112FAD2 1509763.870000 PA USD 1514669.390000 0.0094274 Long ABS-MBS CORP US N 2 2057-06-25 Floating 0.75863 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599CQ6 99061000.000000 PA USD 98049087.920000 0.6102648 Long DBT CORP US N 2 2022-08-15 Floating 1.64375 N N N N N N OCEAN TRAILS CLO VI 2016-6A N/A 67515UAQ3 2362838.450000 PA USD 2363596.710000 0.0147112 Long ABS-CBDO CORP KY N 2 2028-07-15 Floating 1.39125 N N N N N N OCP CLO 2015-9 N/A 67091YAJ3 801567.500000 PA USD 801767.740000 0.0049903 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.04125 N N N N N N ONCILLA MORTGAGE FUNDING PLC 2016-1 N/A ACI0MW9H4 92450.250000 PA 127621.710000 0.0007943 Long ABS-MBS CORP GB N 2 2043-12-12 Floating 1.4795 N N N N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A 68249DAA7 27900000.000000 PA USD 28118680.200000 0.1750128 Long ABS-MBS CORP US N 2 2026-01-15 Floating 1.056 N N N N N N ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION) 5493008I795YYBFWFU90 85172FAL3 500000.000000 PA USD 530937.500000 0.0033046 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 2730000.000000 0.0169917 Long DBT CORP US N 2 2022-05-15 Fixed 6.125 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRUST 2017-1 N/A 68267LAA6 1847944.890000 PA USD 1851005.090000 0.0115208 Long ABS-O CORP US N 2 2032-09-14 Fixed 2.37 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2005-2 N/A 68389FHB3 676402.330000 PA USD 676269.890000 0.0042092 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.76863 N N N N N N ORANGE UNIFIED SCHOOL DISTRICT N/A 684146AA1 31970000.000000 PA USD 31960409.000000 0.1989240 Long DBT MUN US Y 2 2043-05-01 Floating 0.965 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAA3 1934000.000000 PA USD 1988460.320000 0.0123763 Long DBT CORP IE N 2 2022-05-26 Fixed 3.5 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 686330AH4 21535000.000000 PA USD 22199732.690000 0.1381728 Long DBT CORP JP N 2 2022-07-18 Fixed 2.9 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 ACI0RXMB5 12000000.000000 PA USD 12250080.000000 0.0762454 Long DBT CORP JP N 2 2022-01-19 Fixed 3.2 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00772BAP6 10450000.000000 PA USD 10932860.330000 0.0680469 Long DBT CORP IE N 2 2022-07-01 Fixed 4.625 N N N N N N OZLM XVI LTD 2017-16A N/A 67111KAJ9 26200000.000000 PA USD 26200000.000000 0.1630707 Long ABS-CBDO CORP KY N 2 2030-05-16 Floating 1.21388 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HG5 6900000.000000 PA USD 7342455.950000 0.0457000 Long DBT CORP US N 2 2024-02-15 Fixed 3.75 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00772BAM3 12300000.000000 PA USD 12567739.020000 0.0782225 Long DBT CORP IE N 2 2021-10-01 Fixed 5 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JE8 81808000.000000 PA USD 81935409.420000 0.5099721 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 45600000.000000 PA USD 45661716.860000 0.2842019 Long DBT CORP US N 2 2022-06-16 Floating 1.6695 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HC4 2100000.000000 PA USD 2188178.120000 0.0136194 Long DBT CORP US N 2 2023-06-15 Fixed 3.25 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAH8 30705000.000000 PA USD 31416040.900000 0.1955358 Long DBT CORP IE N 2 2021-12-16 Fixed 4.45 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JB4 7000000.000000 PA USD 7471412.200000 0.0465026 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 4664938.610000 0.0290349 Long DBT CORP US N 2 2024-08-15 Fixed 3.4 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JR9 25590000.000000 PA USD 25641275.200000 0.1595932 Long DBT CORP US N 2 2021-11-15 Floating 1.57263 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308HE0 2300000.000000 PA USD 2442118.170000 0.0151999 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 7139689.870000 PA USD 7141028.780000 0.0444463 Long ABS-CBDO CORP KY N 2 2028-02-20 Floating 0.98238 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2018-3A N/A 69700LAA9 8269322.180000 PA USD 8269643.360000 0.0514709 Long ABS-CBDO CORP KY N 2 2026-08-15 Floating 1.04375 N N N N N N PEACEHEALTH OBLIGATED GROUP N/A 70462GAB4 2100000.000000 PA USD 2097047.530000 0.0130522 Long DBT CORP US N 2 2025-11-15 Fixed 1.375 N N N N N N AIA GROUP LIMITED ZP5ILWVSYE4LJGMMVD57 00131LAG0 38900000.000000 PA USD 38861878.000000 0.2418792 Long DBT CORP HK N 2 2021-09-20 Floating 0.70663 N N N N N N PENARTH MASTER ISSUER PLC 19-1A N/A 70659PAL5 34050000.000000 PA USD 34072166.550000 0.2120677 Long ABS-MBS CORP GB N 2 2023-07-18 Floating 0.64813 N N N N N N PENARTH MASTER ISSUER PLC 19-1X N/A ACI1D8GY0 4100000.000000 PA USD 4102669.100000 0.0255353 Long ABS-MBS CORP GB N 2 2023-07-18 Floating 0.64813 N N N N N N PENNSYLVANIA HIGHER EDUCATION-2006-2 N/A 709163GH6 2092689.920000 PA USD 2056086.680000 0.0127972 Long ABS-O CORP US N 2 2036-10-25 Floating 0.34775 N N N N N N AIA GROUP LIMITED ZP5ILWVSYE4LJGMMVD57 00131MAG8 1000000.000000 PA USD 999020.000000 0.0062180 Long DBT CORP HK N 2 2021-09-20 Floating 0.70663 N N N N N N PERMANENT MASTER ISSUER PLC 19-1A N/A 71419GAY6 13050000.000000 PA USD 13076543.700000 0.0813894 Long ABS-MBS CORP GB N 2 2058-07-15 Floating 0.79125 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00912XBE3 7991000.000000 PA USD 8172445.160000 0.0508659 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 14633146.590000 0.0910778 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 13193362.690000 0.0821165 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 1954258.340000 0.0121634 Long DBT CORP US N 2 2024-02-01 Fixed 4.25 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00912XAS3 5300000.000000 PA USD 5324325.300000 0.0331390 Long DBT CORP US N 2 2021-06-01 Fixed 3.375 N N N N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 00928QAN1 6113000.000000 PA USD 6357543.900000 0.0395698 Long DBT CORP BM N 2 2022-02-15 Fixed 5.5 N N N N N N PFP 2019-6 LTD N/A 69346WAA5 2097676.530000 PA USD 2105558.970000 0.0131052 Long ABS-MBS CORP KY N 2 2037-04-14 Floating 1.15613 N N N N N N PFP LTD 2019-5 N/A 69346TAA2 24053363.350000 PA USD 24127112.160000 0.1501689 Long ABS-MBS CORP KY N 2 2036-04-14 Floating 1.07613 N N N N N N PFS FINANCING CORP 2019-A N/A 69335PDD4 18700000.000000 PA USD 18737562.690000 0.1166240 Long ABS-O CORP US N 2 2024-04-15 Floating 0.656 N N N N N N PFS FINANCING CORP 2019-C N/A 69335PDM4 2980000.000000 PA USD 3060232.330000 0.0190471 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 14087211.600000 0.0876799 Long ABS-O CORP US N 2 2024-08-15 Fixed 0.93 N N N N N N PIPER SANDLER COMPANIES QUQDBTUSOAKFEVMRMF78 724078AD2 6900000.000000 PA USD 6943102.230000 0.0432144 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 24692530.440000 0.1536881 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 3778175.170000 PA 5226486.940000 0.0325300 Long ABS-MBS CORP GB N 2 2057-04-27 Floating 1.29817 N N N N N N POLARIS 2020-1 PLC 20-1 N/A ACI1PGM22 1064744.640000 PA 1476589.830000 0.0091904 Long ABS-MBS CORP GB N 2 2057-05-27 Floating 1.29817 N N N N N N PRECISE MORTGAGE FUNDING 2018-2B N/A ACI11CLN2 2578797.880000 PA 3551059.080000 0.0221021 Long ABS-MBS CORP GB N 2 2055-03-12 Floating 0.75725 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL1 LLC N/A 000000000 6500000.000000 PA USD 6497841.090000 0.0404430 Long ABS-MBS CORP US N 3 2060-09-27 Fixed 2.2395 N N N N N N ALBACORE EURO CLO I DAC A N/A ACI1NFNZ2 9800000.000000 PA 11543839.470000 0.0718497 Long ABS-CBDO CORP IE N 2 2031-07-18 Floating 1.53 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI1JX5N5 22100000.000000 PA USD 22142542.500000 0.1378168 Long DBT CORP KY N 2 2022-02-12 Floating 1.30251 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 BG0651II5 19480000.000000 PA 14968793.620000 0.0931669 Long DBT CORP KY N 2 2023-02-01 Floating 1.76 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 BD93CFII1 47309000.000000 PA USD 47384883.640000 0.2949270 Long DBT CORP KY N 2 2021-05-31 Floating 1.53975 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI1BFTD8 35840000.000000 PA USD 35994936.320000 0.2240352 Long DBT CORP KY N 2 2022-05-02 Floating 1.20188 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI0W6TY1 40600000.000000 PA USD 40750220.000000 0.2536324 Long DBT CORP KY N 2 2021-07-18 Floating 1.79338 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI150049 14400000.000000 PA USD 14482800.000000 0.0901420 Long DBT CORP KY N 2 2021-08-11 Floating 1.6525 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 ACI16QBD9 10000000.000000 PA USD 10044543.800000 0.0625180 Long DBT CORP KY Y 2 2021-12-06 Floating 1.4955 N N N N N N RAAC SERIES 2006-RP4 N/A 74919TAB7 5102739.780000 PA USD 5088688.880000 0.0316724 Long ABS-MBS CORP US N 2 2046-01-25 Floating 0.65863 N N N N N N RALI SERIES 2005-QO1 TRUST N/A 761118EN4 456498.360000 PA USD 398669.790000 0.0024814 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.40863 N N N N N N RAMP SERIES 2005-RS7 N/A 76112BWX4 1000000.000000 PA USD 995499.400000 0.0061961 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.88863 N N N N N N RBSSP RESECURITIZATION TRUST 2010-2 N/A 74929CDA1 1433290.700000 PA USD 1426474.400000 0.0088785 Long ABS-MBS CORP US N 2 2045-08-26 Floating 0.75763 N N N N N N RELIANCE INDUSTRIES LIMITED 5493003UOETFYRONLG31 759470AY3 3750000.000000 PA USD 3897223.880000 0.0242566 Long DBT CORP IN N 2 2022-02-14 Fixed 5.4 N N N N N N RELIANCE INDUSTRIES LIMITED 5493003UOETFYRONLG31 Y72570AP2 10440000.000000 PA USD 10849871.270000 0.0675304 Long DBT CORP IN N 2 2022-02-14 Fixed 5.4 N N N N N N RENAISSANCE HOME EQUITY LN TR 2003-2 N/A 759950AW8 324681.580000 PA USD 319542.030000 0.0019889 Long ABS-MBS CORP US N 2 2033-08-25 Floating 0.98863 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2004-3 N/A 759950DY1 143270.320000 PA USD 136425.190000 0.0008491 Long ABS-MBS CORP US N 2 2034-11-25 Floating 0.82863 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO3 N/A 761118WP9 151519.910000 PA USD 61658.880000 0.0003838 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.52863 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH7 N/A 75115LAA5 199110.390000 PA USD 187670.000000 0.0011681 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.35863 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QO2 N/A 761118HU5 281395.090000 PA USD 279776.170000 0.0017413 Long ABS-MBS CORP US N 2 2045-09-25 Floating 1.61903 N N N N N N RESIDENTIAL ASSET MTGE PRO INC 2004-RS1 N/A 760985N80 2470288.980000 PA USD 2450071.640000 0.0152494 Long ABS-MBS CORP US N 2 2034-01-25 Floating 1.12863 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC5 N/A 76112BH60 100000.000000 PA USD 99313.290000 0.0006181 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.79863 N N N N N N RESIDENTIAL ASSET MTGE PROD 2006-RZ2 N/A 75156UAC1 2453012.770000 PA USD 2449810.360000 0.0152478 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.64863 N N N N N N RESIDENTIAL ASSET MTGE PROD INC 2002-RS3 N/A 760985LY5 3378.630000 PA USD 3239.780000 0.0000202 Long ABS-MBS CORP US N 2 2032-06-25 Floating 0.66863 N N N N N N RESIDENTIAL ASSET SEC TR 2004-IP2 N/A 45660LAS8 1011765.000000 PA USD 1037099.800000 0.0064550 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.28088 N N N N N N RESIDENTIAL ASSET SECUR TRUST 2005-A15 N/A 45660L4G1 93346.800000 PA USD 60725.460000 0.0003780 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 1479450.070000 PA USD 1473607.570000 0.0091718 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.75363 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 10218.870000 PA USD 10630.340000 0.0000662 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 4146335.710000 PA 5725104.190000 0.0356335 Long ABS-MBS CORP GB N 2 2065-09-20 Floating 1.2835 N N N N N N RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A N/A ACI1PKR28 31205904.950000 PA 43433943.030000 0.2703361 Long ABS-MBS CORP GB N 2 2070-06-20 Floating 1.29852 N N N N N N RESIMAC PREMIER SERIES 2021-1A N/A 76123EAA9 13900000.000000 PA USD 13908402.550000 0.0865669 Long ABS-MBS CORP AU N 2 2052-07-10 Floating 0.84175 N N N N N N RIPON MORTGAGES PLC 1A N/A ACI0TMV43 84474181.920000 PA 116647305.140000 0.7260215 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86013 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0TMVB7 10851926.750000 PA 14985028.340000 0.0932679 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86013 N N N N N N RIPON MORTGAGES PLC 1X N/A ACI0WLGW6 7529908.350000 PA 10397511.090000 0.0647149 Long ABS-MBS CORP GB N 2 2056-08-20 Floating 0.86013 N N N N N N RMAC 2018-1 PLC 18-1 N/A ACI11M5K4 6185357.550000 PA 8505804.190000 0.0529408 Long ABS-MBS CORP GB N 2 2046-06-12 Floating 0.7795 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NAY6 19917000.000000 PA USD 20527993.210000 0.1277678 Long DBT CORP US N 2 2022-02-13 Fixed 4.125 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBC3 200000.000000 PA USD 208911.950000 0.0013003 Long DBT CORP US N 2 2022-05-19 Fixed 4.625 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AH9 12700000.000000 PA USD 13192382.180000 0.0821104 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 3471965.540000 0.0216098 Long DBT CORP US N 2 2023-04-15 Variable 5.625 N N N N N N SAGE AR FUNDING NO 1 PLC 1A N/A ACI1S3ZB4 4800000.000000 PA 6637851.810000 0.0413145 Long ABS-MBS CORP GB N 2 2030-11-17 Floating 1.29882 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAH8 14400000.000000 PA USD 15058353.460000 0.0937243 Long DBT CORP GB N 2 2024-01-05 Floating 3.373 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAN5 53500000.000000 PA USD 53582043.860000 0.3334986 Long DBT CORP GB N 2 2025-03-15 Floating 1.089 N N N N N N SAUDI ARABIA GOVT 635400FMICXSM3SI3H65 M6320UAB5 22384000.000000 PA USD 22632462.400000 0.1408661 Long DBT NUSS SA N 2 2021-10-26 Fixed 2.375 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 80414L2G9 2200000.000000 PA USD 2215977.570000 0.0137924 Long DBT CORP SA N 2 2023-11-24 Fixed 1.25 N N N N N N SCULPTOR CLO XXV 25A N/A 811244AC6 19700000.000000 PA USD 19700423.350000 0.1226169 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 1.49238 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-OP2 N/A 81375WBL9 3243067.370000 PA USD 3003319.070000 0.0186929 Long ABS-MBS CORP US N 2 2034-08-25 Floating 0.77863 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1 N/A 81375WCT1 595637.200000 PA USD 578844.040000 0.0036028 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.78363 N N N N N N SEQUOIA MORTGAGE TRUST 10 N/A 81743VAB9 101018.040000 PA USD 99587.820000 0.0006198 Long ABS-MBS CORP US N 2 2027-10-20 Floating 0.87088 N N N N N N SEQUOIA MORTGAGE TRUST 2004-3 N/A 81744FAZ0 550927.730000 PA USD 550928.340000 0.0034290 Long ABS-MBS CORP US N 2 2034-05-20 Floating 0.7575 N N N N N N SEQUOIA MORTGAGE TRUST 2005-3 N/A 81744FHK6 1544571.890000 PA USD 1588280.800000 0.0098856 Long ABS-MBS CORP US N 2 2035-05-20 Floating 0.51088 N N N N N N SEQUOIA MORTGAGE TRUST 2005-4 N/A 81744FJG3 56059.700000 PA USD 59194.370000 0.0003684 Long ABS-MBS CORP US N 2 2035-04-20 Floating 2.78863 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAA1 97835.470000 PA USD 75300.440000 0.0004687 Long ABS-MBS CORP US N 2 2047-01-20 Floating 2.20582 Y N N N N N SHACKLETON CLO LTD 2016-9A N/A 81882LAN6 16573500.060000 PA USD 16564483.740000 0.1030986 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.354 N N N N N N SILVERSTONE MASTER ISSUER PLC 19-1A N/A 82846GAV2 3492500.020000 PA USD 3499394.220000 0.0217805 Long ABS-MBS CORP GB N 2 2070-01-21 Floating 0.79363 N N N N N N SILVERSTONE MASTER ISSUER PLC 19-1A N/A ACI1BCW41 20064000.000000 PA 27933961.520000 0.1738631 Long ABS-MBS CORP GB N 2 2070-01-21 Floating 0.79904 N N N N N N SINOPEC GROUP OVERSEAS DEVELOPMENT (2016) LIMITED 5299002BJODD4TLAOX51 G8200TAB6 2100000.000000 PA USD 2103056.660000 0.0130896 Long DBT CORP VG N 2 2021-05-03 Fixed 2.75 N N N N N N SK TELECOM CO LTD 9884003WEA1PHW006037 Y4935NAM6 2875000.000000 PA USD 3053167.690000 0.0190031 Long DBT CORP KR N 2 2023-04-16 Fixed 3.75 N N N N N N SL GREEN OPERATING PARTNERSHIP LP 2K1OXW4LY7IS2U150Y32 78444FAG1 26900000.000000 PA USD 26900881.780000 0.1674331 Long DBT CORP US N 2 2021-08-16 Floating 1.17375 N N N N N N SLC STUDENT LOAN TRUST 2006-1 N/A 784427AE6 10914875.470000 PA USD 10874284.140000 0.0676824 Long ABS-O CORP US N 2 2027-03-15 Floating 0.29388 N N N N N N SLC STUDENT LOAN TRUST 2007-1 N/A 784424AD5 5392840.620000 PA USD 5355637.570000 0.0333339 Long ABS-O CORP US N 2 2029-05-15 Floating 0.25375 N N N N N N SLC STUDENT LOAN TRUST-2005-3 N/A 784420AP6 3338728.350000 PA USD 3325280.950000 0.0206968 Long ABS-O CORP US N 2 2029-06-15 Floating 0.30388 N N N N N N SLM CONSOLIDATION STUD LN TRUST 2004-10 N/A 78442GNJ1 14045756.420000 PA USD 14027621.940000 0.0873090 Long ABS-O CORP US N 2 2029-10-25 Floating 0.81775 N N N N N N SLM CONSOLIDATION STUD LN TRUST 2004-10 N/A 78442GNK8 6513497.300000 PA USD 6526571.190000 0.0406219 Long ABS-O CORP US N 2 2029-10-25 Floating 0.81775 N N N N N N SLM STUDENT LOAN TRUST 2003-10A N/A 78442GJG2 6709111.500000 PA USD 6711915.240000 0.0417755 Long ABS-O CORP US N 2 2027-12-15 Floating 0.65388 N N N N N N SLM STUDENT LOAN TRUST 2003-11 N/A 78442GJS6 9696628.110000 PA USD 9698611.070000 0.0603649 Long ABS-O CORP US N 2 2025-12-15 Floating 0.73388 N N N N N N SLM STUDENT LOAN TRUST 2005-5 N/A 78442GPQ3 1716697.300000 PA USD 1708216.300000 0.0106321 Long ABS-O CORP US N 2 2028-10-25 Floating 0.35775 N N N N N N SLM STUDENT LOAN TRUST 2005-6 N/A 78442GPY6 33175663.280000 PA USD 32863549.960000 0.2045452 Long ABS-O CORP US N 2 2031-10-27 Floating 0.35775 N N N N N N SLM STUDENT LOAN TRUST 2005-7 N/A 78442GQJ8 6744304.300000 PA USD 6695526.120000 0.0416735 Long ABS-O CORP US N 2 2029-10-25 Floating 0.36775 N N N N N N SLM STUDENT LOAN TRUST 2005-8 N/A 78442GQR0 981353.010000 PA USD 981714.340000 0.0061103 Long ABS-O CORP US N 2 2028-01-25 Floating 0.76775 N N N N N N AMBAC LSNI LLC N/A 02315QAA6 1905.400000 PA USD 1912.550000 0.0000119 Long DBT CORP KY N 2 2023-02-12 Floating 6 N N N N N N SLM STUDENT LOAN TRUST 2008-2 N/A 784442AC9 1163671.770000 PA USD 1145294.830000 0.0071284 Long ABS-O CORP US N 2 2023-04-25 Floating 0.96775 N N N N N N SLM STUDENT LOAN TRUST 2008-5 N/A 78444YAD7 4534423.640000 PA USD 4571660.330000 0.0284544 Long ABS-O CORP US N 2 2023-07-25 Floating 1.91775 N N N N N N SLM STUDENT LOAN TRUST 2008-7 N/A 78445FAD7 2403548.060000 PA USD 2384517.730000 0.0148414 Long ABS-O CORP US N 2 2023-07-25 Floating 1.11775 N N N N N N SLM STUDENT LOAN TRUST 2008-8 N/A 78445GAD5 9272121.550000 PA USD 9332842.820000 0.0580883 Long ABS-O CORP US N 2 2023-04-25 Floating 1.71775 N N N N N N SLM STUDENT LOAN TRUST 2008-9 N/A 78445JAA5 4972881.530000 PA USD 5016213.230000 0.0312213 Long ABS-O CORP US N 2 2023-04-25 Floating 1.71775 N N N N N N SLM STUDENT LOAN TRUST 2012-2 N/A 78446YAA1 4456378.900000 PA USD 4327814.600000 0.0269366 Long ABS-O CORP US N 2 2029-01-25 Floating 0.80863 N N N N N N SLM STUDENT LOAN TRUST 2012-3 N/A 78447AAA2 2034573.150000 PA USD 2046398.900000 0.0127369 Long ABS-O CORP US N 2 2038-12-27 Floating 0.75863 N N N N N N SLM STUDENT LOAN TRUST 2013-2 N/A 78446CAA9 10896237.450000 PA USD 10804194.750000 0.0672461 Long ABS-O CORP US N 2 2043-06-25 Floating 0.55863 N N N N N N SMALL BUSINESS ADMIN PART CERT 2004-20C N/A 83162CNQ2 15668.610000 PA USD 16271.120000 0.0001013 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 27464.870000 PA USD 30196.830000 0.0001879 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 47213.510000 PA USD 51579.800000 0.0003210 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 3017436.690000 PA USD 3051355.090000 0.0189919 Long ABS-O CORP US N 2 2032-02-17 Floating 1.556 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2016-C N/A 78449KAB6 761826.010000 PA USD 782395.920000 0.0048697 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 14538643.240000 PA USD 14537616.810000 0.0904832 Long ABS-O CORP US N 2 2054-09-15 Floating 0.40863 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA N/A 78449VAB2 16647000.000000 PA USD 16771060.100000 0.1043843 Long ABS-O CORP US N 2 2054-09-15 Fixed 1.6 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB N/A 78449DAC0 61700000.000000 PA USD 62632274.660000 0.3898279 Long ABS-O CORP US N 2 2054-09-15 Floating 0.95863 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 78448TAE2 21150000.000000 PA USD 22483659.990000 0.1399400 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 18500000.000000 PA USD 18564517.830000 0.1155469 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 9017706.280000 0.0561269 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 1760000.000000 PA USD 1766137.910000 0.0109926 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 4329604.150000 0.0269478 Long DBT CORP US Y 2 2021-09-02 Floating 1.38479 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WJGII2 6622000.000000 PA USD 6635185.990000 0.0412979 Long DBT CORP US Y 2 2021-09-02 Floating 1.38479 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WKMII7 2161000.000000 PA USD 2165303.070000 0.0134770 Long DBT CORP US Y 2 2021-09-02 Floating 1.38479 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WKNII5 1637000.000000 PA USD 1640259.660000 0.0102091 Long DBT CORP US Y 2 2021-09-02 Floating 1.38479 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WKPII0 3440000.000000 PA USD 3446849.870000 0.0214534 Long DBT CORP US Y 2 2021-09-02 Floating 1.38479 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WKQII8 4286000.000000 PA USD 4294534.450000 0.0267295 Long DBT CORP US Y 2 2021-09-02 Floating 1.38479 N N N N N N SOFI CONSUMER LOAN PROGRAM LLC 2017-4 N/A 83405JAA3 87533.000000 PA USD 87664.540000 0.0005456 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 1342633.710000 PA USD 1348211.280000 0.0083914 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 2366587.750000 PA USD 2386680.550000 0.0148549 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 4057472.520000 PA USD 4090622.880000 0.0254603 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 648727.940000 PA USD 669830.930000 0.0041691 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 1795165.950000 PA USD 1813253.680000 0.0112858 Long ABS-O CORP US N 2 2036-10-27 Floating 1.60863 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2015-D N/A 78470NAB2 1301676.500000 PA USD 1321152.960000 0.0082230 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 1321304.150000 PA USD 1338007.550000 0.0083279 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 133488.020000 PA USD 133358.710000 0.0008300 Long ABS-O CORP US N 2 2040-07-25 Floating 0.70863 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAA0 7627384.070000 PA USD 7672001.220000 0.0477511 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 26297257.270000 PA USD 26725502.850000 0.1663415 Long ABS-O CORP US N 2 2046-02-15 Fixed 1.95 N N N N N N SOUND POINT CLO X LTD 2015-3A N/A 83609WAN0 5958826.630000 PA USD 5965722.420000 0.0371311 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 1.114 N N N N N N SOUND POINT CLO XII LTD 2016-2A N/A 83610CAW1 10300000.000000 PA USD 10313811.060000 0.0641939 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.274 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAN0 48600000.000000 PA USD 48569720.740000 0.3023016 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.16096 N N N N N N SOUND POINT CLO XV LTD 2017-1A N/A 83609RAL5 250000.000000 PA USD 250000.000000 0.0015560 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.10063 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 40700000.000000 PA USD 40700000.000000 0.2533198 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 1.1555 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT1 N/A 83611MLZ9 2647445.380000 PA USD 2598084.560000 0.0161707 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.37863 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT2 N/A 83611MML9 18429166.370000 PA USD 18329538.300000 0.1140844 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.38863 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3 N/A 83611MPH5 1684569.300000 PA USD 1682168.450000 0.0104699 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.27863 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400HC0 23400000.000000 PA USD 23443527.280000 0.1459143 Long DBT CORP US N 2 2024-04-01 Floating 0.84 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400GN7 1300000.000000 PA USD 1420890.780000 0.0088437 Long DBT CORP US N 2 2025-08-01 Fixed 3.7 N N N N N N SP STATIC CLO 2020-1A N/A 78472HAA5 1766980.860000 PA USD 1770514.820000 0.0110198 Long ABS-CBDO CORP KY N 2 2028-07-22 Floating 1.62238 N N N N N N SPECIALTY UNDERWRITING & RESID 2005-BC2 N/A 84751PFW4 982264.680000 PA USD 983185.450000 0.0061194 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.08363 N N N N N N SPRINGLEAF FUNDING TRUST 2017-AA N/A 85172PAA5 11185186.570000 PA USD 11218126.940000 0.0698225 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 318562.500000 0.0019828 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 9427000.000000 0.0586743 Long DBT CORP US N 2 2022-11-15 Fixed 6 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAE5 15900000.000000 PA USD 16318965.000000 0.1015705 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 1716375.000000 0.0106828 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAA8 2013000.000000 PA USD 2031247.850000 0.0126426 Long DBT CORP US N 2 2023-03-20 Variable 3.36 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CB4 6200000.000000 PA USD 6221611.900000 0.0387238 Long DBT CORP GB N 2 2025-03-23 Floating 1.214 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BN9 1708000.000000 PA USD 1839544.400000 0.0114495 Long DBT CORP GB N 2 2025-05-21 Floating 3.785 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BW9 78700000.000000 PA USD 79579889.610000 0.4953111 Long DBT CORP GB N 2 2023-10-14 Floating 1.33517 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 ACI1FDKY2 8700000.000000 PA USD 8736746.710000 0.0543782 Long DBT CORP GB N 2 2022-09-10 Floating 1.3825 N N N N N N STANLINGTON NO 1 PLC 17-1 N/A ACI0SNHR7 1591579.070000 PA 2190307.210000 0.0136326 Long ABS-MBS CORP GB N 2 2046-06-12 Floating 1.0795 N N N N N N STANWICH MORTGAGE LOAN CO LLC 2019-NPB1 N/A 85502HAA4 2272618.860000 PA USD 2286050.040000 0.0142285 Long ABS-MBS CORP US N 2 2024-08-15 Fixed 3.375 N N N N N N STEELE CREEK CLO LTD 2015-1A N/A 85816BDC1 27300000.000000 PA USD 27299945.400000 0.1699169 Long ABS-CBDO CORP KY N 2 2029-05-21 Floating 1.0483 N N N N N N STRATTON MORTGAGE FUNDING 2019-1 PLC N/A ACI1CGVH3 7776543.210000 PA 10760506.790000 0.0669742 Long ABS-MBS CORP GB N 2 2051-05-25 Floating 1.24892 N N N N N N STRATTON MORTGAGE FUNDING 21-2A N/A ACI1W61K9 16800000.000000 PA 23152360.020000 0.1441020 Long ABS-MBS CORP GB N 2 2060-07-20 Floating 0.94868 N N N N N N STRUCTURED ADJ RATE MTG LN 2004-19 N/A 863579JG4 29998.250000 PA USD 28057.600000 0.0001746 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.65903 Y N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGF2 2041.620000 PA USD 2061.140000 0.0000128 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.57824 N N N N N N STRUCTURED ADJUSTABLE RATE MTG LN 2004-1 N/A 86359BGG0 26541.060000 PA USD 27031.290000 0.0001682 Long ABS-MBS CORP US N 2 2034-02-25 Floating 2.57824 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VM7 294183.350000 PA USD 285082.170000 0.0017744 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.97153 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A 86358HNX3 8064.010000 PA USD 8041.500000 0.0000501 Long ABS-MBS CORP US N 2 2032-09-19 Floating 0.77025 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC11 N/A 86358EEM4 10393.790000 PA USD 10400.900000 0.0000647 Long ABS-MBS CORP US N 2 2033-10-25 Floating 1.08363 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR1 N/A 86359LAQ2 111044.540000 PA USD 112504.840000 0.0007002 Long ABS-MBS CORP US N 2 2034-03-19 Floating 0.81025 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A 86359LBY4 6660.870000 PA USD 6797.620000 0.0000423 Long ABS-MBS CORP US N 2 2034-07-19 Floating 0.69025 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR7 N/A 86359LFN4 533382.620000 PA USD 527024.010000 0.0032802 Long ABS-MBS CORP US N 2 2035-04-19 Floating 0.81025 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR2 N/A 86359LJA8 204520.180000 PA USD 204719.850000 0.0012742 Long ABS-MBS CORP US N 2 2045-05-25 Floating 0.56863 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPD5 28177.020000 PA USD 27435.770000 0.0001708 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.61025 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPE3 50813.240000 PA USD 49294.460000 0.0003068 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.61025 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 1415535.920000 PA USD 1435136.560000 0.0089324 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.61025 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 16481.500000 PA USD 15836.920000 0.0000986 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.66863 Y N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAE8 2801231.320000 PA USD 2718298.070000 0.0169189 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.54863 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 1063300.930000 PA USD 952693.820000 0.0059296 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.48863 Y N N N N N STRUCTURED ASSET MTG INV INC 2007-AR2 N/A 86363DAH4 306539.600000 PA USD 130471.290000 0.0008121 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.36863 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAN1 785978.320000 PA USD 416954.660000 0.0025952 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.54863 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR6 N/A 86360UAF3 1219595.640000 PA USD 1065888.900000 0.0066342 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.48863 Y N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-2 N/A 02660XAD6 419686.310000 PA USD 408147.870000 0.0025403 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.48863 Y N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 419714.250000 PA USD 421393.780000 0.0026228 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.61513 N N N N N N STRUCTURED ASSET SECURITIES CORP 2004-4XS N/A 86359BHM6 1116.130000 PA USD 1117.670000 0.0000070 Long ABS-MBS CORP US N 2 2034-02-25 Variable 5.05 N N N N N N STRUCTURED ASSET SECURITIES CP 2002-14A N/A 86358RR66 2997.630000 PA USD 2895.530000 0.0000180 Long ABS-MBS CORP US N 2 2032-07-25 Floating 2.119 N N N N N N SUMITOMO MITSUI FINANCIAL GROUP INC 35380028MYWPB6AUO129 ACI0T9LW1 20515000.000000 PA 15708387.490000 0.0977702 Long DBT CORP JP N 2 2022-03-29 Floating 1.3002 N N N N N N SUTTER HEALTH 549300MJCC12LU768G81 86944BAF0 3800000.000000 PA USD 3792336.390000 0.0236038 Long DBT CORP US N 2 2025-08-15 Fixed 1.321 N N N N N N SYNCHRONY BANK (AKA: GE CAPITAL RETAIL BANK) 549300UATVPGSLE43Z27 87166FAC7 19200000.000000 PA USD 19242177.410000 0.1197647 Long DBT CORP US N 2 2021-05-24 Fixed 3.65 N N N N N N SYNCHRONY BANK (AKA: GE CAPITAL RETAIL BANK) 549300UATVPGSLE43Z27 87166FAA1 6050000.000000 PA USD 6215048.240000 0.0386829 Long DBT CORP US N 2 2022-06-15 Fixed 3 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAQ6 15049000.000000 PA USD 15457569.210000 0.0962091 Long DBT CORP US N 2 2022-07-25 Fixed 2.85 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAE4 14503000.000000 PA USD 14529943.670000 0.0904354 Long DBT CORP NL N 2 2021-04-23 Fixed 3.933 N N N N N N AMERICAN HOME MTGE INV TRUST 2005-2 N/A 02660TEQ2 43215.460000 PA USD 43428.500000 0.0002703 Long ABS-MBS CORP US N 2 2045-09-25 Floating 1.70063 N N N N N N TCW CLO AMR LTD 2019-1A N/A 87241EAC9 1300000.000000 PA USD 1300848.740000 0.0080966 Long ABS-CBDO CORP KY N 2 2029-02-15 Floating 1.16775 N N N N N N TERWIN MTGE TRUST 2006-5 N/A 8815612F0 1416617.010000 PA USD 1398906.460000 0.0087069 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.31863 N N N N N N THARALDSON HOTEL PORTFOLIO TRUST 2018 N/A 88327HAA1 10207011.300000 PA USD 10208121.820000 0.0635361 Long ABS-MBS CORP US N 2 2034-11-11 Floating 1.004 N N N N N N THORNBURG MORTGAGE SEC TRUST 2005-1 N/A 885220HB2 48162.000000 PA USD 49126.420000 0.0003058 Long ABS-MBS CORP US N 2 2045-04-25 Floating 2.3178 N N N N N N TOWD POINT MORTGAGE FUNDING 19-A13A N/A ACI1G4F01 46744896.000000 PA 64623532.770000 0.4022217 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.94905 N N N N N N TOWD POINT MORTGAGE FUNDING 19-V2A N/A ACI1GVL46 8678730.000000 PA 12017261.810000 0.0747963 Long ABS-MBS CORP GB N 2 2054-02-20 Floating 1.24888 N N N N N N TOWD POINT MORTGAGE FUNDING 2018 - AUBURN 12 PLC 18-A12X N/A BF2GGBII9 9046367.040000 PA 12476019.580000 0.0776517 Long ABS-MBS CORP GB N 2 2045-02-20 Floating 0.86013 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 9395857.500000 PA 13036837.450000 0.0811422 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.05838 N N N N N N TOWD POINT MORTGAGE FUNDING 2019-AUBURN 13 PLC 19-A13X N/A ACI1G4DQ6 1593576.000000 PA 2203074.980000 0.0137121 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 0.94905 N N N N N N TOWD POINT MORTGAGE TRUST 2018-3 N/A 89175MAA1 24099318.730000 PA USD 25406101.880000 0.1581295 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 14242127.960000 PA USD 14377372.630000 0.0894858 Long ABS-MBS CORP US N 2 2058-05-25 Floating 1.10863 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A 89177XAA5 11482227.890000 PA USD 11594819.170000 0.0721670 Long ABS-MBS CORP US N 2 2059-10-25 Floating 1.10863 N N N N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A 89178WAU2 40077941.470000 PA USD 41399683.930000 0.2576747 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 122893642.450000 PA USD 123938607.090000 0.7714031 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 4331460.120000 PA 5988278.520000 0.0372715 Long ABS-MBS CORP GB N 2 2061-12-20 Floating 1.2835 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2019-FL3 N/A 87276VAA3 44300000.000000 PA USD 44297785.000000 0.2757127 Long ABS-O CORP KY N 2 2034-10-15 Floating 1.2575 N N N N N N TRALEE CLO V LTD 2018-5A N/A 89300JAA6 43012577.390000 PA USD 43023304.730000 0.2677802 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.334 N N N N N N TRINITY SQUARE 2015-1 PLC 15-1X N/A ACI0JG421 6927307.800000 PA 9565499.560000 0.0595364 Long ABS-MBS CORP GB N 2 2051-07-15 Floating 1.178 N N N N N N TRINITY SQUARE 2021-1 PLC A N/A ACI1WK7V8 4200000.000000 PA 5790550.810000 0.0360408 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 0.89832 N N N N N N TULANE UNIVERSITY N/A 899062BQ5 17275000.000000 PA USD 16346356.460000 0.1017409 Long DBT MUN US N 2 2036-02-15 Floating 0.498 N N N N N N UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6 N/A 90349GAC9 3200869.850000 PA USD 3192464.690000 0.0198701 Long ABS-MBS CORP US N 2 2046-04-10 Floating 0.89588 N N N N N N UMBS PASS THRU POOLS N/A 01F020653 100000.000000 PA USD 99636.720000 0.0006201 Long ABS-MBS USGSE US N 2 2051-05-13 Fixed 2 N N N N N N AMERIQUEST MTAGE SEC INC 2004-R3 N/A 03072SQC2 203737.300000 PA USD 203646.660000 0.0012675 Long ABS-MBS CORP US N 2 2034-05-25 Floating 0.88863 N N N N N N AMERIQUEST MTGE SECURITIES INC 2005-R11 N/A 03072SU94 204901.640000 PA USD 205057.410000 0.0012763 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.78363 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127964Z9 25410000.000000 PA USD 25409901.150000 0.1581531 Long DBT UST US N 2 2021-04-29 None 0 N N N N N N AMORTIZING RESIDENTIAL COLLAT 2001-BC6 N/A 86358RMY0 137727.640000 PA USD 134942.830000 0.0008399 Long ABS-MBS CORP US N 2 2031-10-25 Floating 0.80863 N N N N N N AMRESCO RES SEC 1999-1 N/A 03215PFN4 88063.830000 PA USD 85882.170000 0.0005345 Long ABS-MBS CORP US N 2 2029-06-25 Floating 1.04863 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBJ9 240700000.000000 PA USD 230808734.380000 1.4365707 Long DBT UST US N 2 2028-01-31 Fixed 0.75 N N N N N N UPSTART SECURITIZATION TRUST 2019-2 N/A 916780AA7 1262533.790000 PA USD 1268664.650000 0.0078963 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 5870948.210000 PA USD 5913934.120000 0.0368088 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 12376480.950000 PA USD 12413423.510000 0.0772621 Long ABS-O MUN US N 2 2057-01-25 Floating 0.85863 N N N N N N VALERO ENERGY CORPORATION 549300XTO5VR8SKV1V74 91913YAZ3 40625000.000000 PA USD 40766107.280000 0.2537313 Long DBT CORP US N 2 2023-09-15 Floating 1.33388 N N N N N N VENTAS REALTY LP 32SXKSJ72K64GM3HOU64 92277GAH0 3900000.000000 PA USD 4079526.050000 0.0253913 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 5703981.170000 0.0355020 Long ABS-CBDO CORP KY N 2 2031-10-22 Floating 1.87238 N N N N N N VENTURE CLO LTD 2014-16A N/A 92329XAQ1 7183649.840000 PA USD 7184493.270000 0.0447168 Long ABS-CBDO CORP KY N 2 2028-01-15 Floating 1.09125 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 41405035.690000 PA USD 41456781.630000 0.2580301 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.12125 N N N N N N VENTURE XXIV CLO LTD 2016-24A N/A 92330WBJ5 26000000.000000 PA USD 26000000.000000 0.1618259 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.124 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 19500000.000000 PA USD 19500000.000000 0.1213694 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 1.1655 N N N N N N VENTURE XXVI CLO LTD 2017-26A N/A 92331MAE8 25200000.000000 PA USD 25222660.340000 0.1569877 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 1.324 N N N N N N AOZORA BANK LTD X0XUGKC9FD2CYUQNC010 ACI1F8R18 8770000.000000 PA USD 8981444.700000 0.0559012 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 14698339.800000 0.0914836 Long DBT CORP JP N 2 2021-09-07 Fixed 3.81 N N N N N N VERICREST OPPORTUNITY LOAN TRANSFEREE 2021-NPL7 N/A 91835NAA7 1900000.000000 PA USD 1898593.070000 0.0118170 Long ABS-MBS CORP US N 3 2051-04-25 Variable 2.1157 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VGE8 38700000.000000 PA USD 38952652.180000 0.2424442 Long DBT CORP US N 2 2026-03-20 Floating 0.81 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 ACI0WPDC4 15500000.000000 PA 11897065.310000 0.0740482 Long DBT CORP US N 2 2023-02-17 Floating 1.2301 N N N N N N VERUS SECURITIZATION TRUST 2020-INV1 N/A 92537TAA3 1702027.860000 PA USD 1729775.000000 0.0107662 Long ABS-MBS CORP US N 2 2060-03-25 Fixed 1.977 N N N N N N VIBRANT CLO VII LTD N/A 92558BAJ7 57000000.000000 PA USD 57000000.000000 0.3547722 Long ABS-CBDO CORP KY N 2 2030-09-15 Floating 1.23513 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AB1 5400000.000000 PA USD 5570152.970000 0.0346690 Long DBT CORP US N 2 2022-08-21 Fixed 2.95 N N N N N N APOLLO AVIATION SECURITIZATION EQUITY TRUST 2018-1A N/A 000367AA0 8117234.290000 PA USD 7767213.470000 0.0483437 Long ABS-O CORP US N 2 2038-01-16 Fixed 3.844 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BC5 11955000.000000 PA USD 12274734.440000 0.0763989 Long DBT CORP US N 2 2022-05-13 Fixed 2.9 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AZ5 2900000.000000 PA USD 2995517.040000 0.0186443 Long DBT CORP US N 2 2022-09-26 Fixed 2.7 N N N N N N VOLVO FINANCIAL EQUIPMENT MASTER OWNER TRUST 2018-A N/A 92887MAB2 510000.000000 PA USD 511201.410000 0.0031818 Long ABS-O CORP US N 2 2023-07-17 Floating 0.626 N N N N N N VW CREDIT CANADA INC 5493008EKOD7VIY3LM85 918423AS3 20000000.000000 PA 16657464.630000 0.1036773 Long DBT CORP CA Y 2 2022-11-14 Fixed 3.7 N N N N N N VW CREDIT CANADA INC 5493008EKOD7VIY3LM85 918423AU8 10500000.000000 PA 8555589.330000 0.0532506 Long DBT CORP CA Y 2 2022-06-27 Fixed 2.65 N N N N N N WAMU MORTGAGE P/T CERTIFICATES 2007-OA1 N/A 92926WAA5 274901.920000 PA USD 262866.580000 0.0016361 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.95903 Y N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAA8 326414.600000 PA USD 303351.840000 0.0018881 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.94272 Y N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAF7 366092.990000 PA USD 365757.830000 0.0022765 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.00607 Y N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAM2 796252.470000 PA USD 787329.190000 0.0049004 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.19617 Y N N N N N APRES STATIC CDO LTD 2019-1A N/A 03835JBA0 35555219.640000 PA USD 35617062.260000 0.2216832 Long ABS-CBDO CORP KY N 2 2028-10-15 Floating 1.31125 N N N N N N WAMU MTGE P/T CERT 2007-HY5 N/A 92990GAC7 281766.140000 PA USD 252214.590000 0.0015698 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.27508 Y N N N N N WAMU MTGE P/T CERTIFICATES 2007-HY4 N/A 933636AA0 155139.720000 PA USD 145716.250000 0.0009069 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.12875 Y N N N N N AQUEDUCT EUROPEAN CLO 1-2017 DAC N/A ACI1VHTC4 29200000.000000 PA 34239606.820000 0.2131099 Long ABS-CBDO CORP IE N 2 2030-07-20 Floating 0.64 N N N N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 22934.770000 PA USD 23454.880000 0.0001460 Long ABS-MBS CORP US N 2 2034-02-27 Floating 1.707 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 126521.700000 PA USD 124677.770000 0.0007760 Long ABS-MBS CORP US N 2 2042-11-25 Floating 1.45903 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 122414.820000 PA USD 121306.000000 0.0007550 Long ABS-MBS CORP US N 2 2042-06-25 Floating 1.65903 N N N N N N WASHINGTON MUTUAL 2002-AR9 N/A 9393357P4 163893.040000 PA USD 161219.980000 0.0010034 Long ABS-MBS CORP US N 2 2042-08-25 Floating 1.65903 N N N N N N WASHINGTON MUTUAL 2003-AR1 N/A 939336PB3 24915.750000 PA USD 24950.090000 0.0001553 Long ABS-MBS CORP US N 2 2033-03-25 Floating 2.32477 N N N N N N WASHINGTON MUTUAL 2003-AR9 N/A 92922FBV9 548831.840000 PA USD 555292.580000 0.0034562 Long ABS-MBS CORP US N 2 2033-09-25 Floating 2.76749 N N N N N N WASHINGTON MUTUAL 2003-AR9 N/A 92922FBX5 170916.860000 PA USD 168541.900000 0.0010490 Long ABS-MBS CORP US N 2 2033-09-25 Floating 2.78516 N N N N N N WASHINGTON MUTUAL 2004-AR3 N/A 92922FNJ3 483282.770000 PA USD 497679.140000 0.0030976 Long ABS-MBS CORP US N 2 2034-06-25 Floating 3.54447 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X57 1263630.420000 PA USD 1241723.240000 0.0077286 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.88863 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2019-FL1 N/A 03879YAA5 19500000.000000 PA USD 19518519.350000 0.1214847 Long ABS-CBDO CORP KY N 2 2037-05-15 Floating 1.256 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 497635.620000 PA USD 497691.700000 0.0030977 Long ABS-MBS CORP US N 2 2045-10-25 Floating 0.68863 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4S4 827700.050000 PA USD 819262.390000 0.0050991 Long ABS-MBS CORP US N 2 2045-10-25 Floating 0.82863 N N N N N N WASHINGTON MUTUAL 2005-AR15 N/A 92922F5T1 55837.510000 PA USD 55035.150000 0.0003425 Long ABS-MBS CORP US N 2 2045-11-25 Floating 0.62863 N N N N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 75408.510000 PA USD 76704.280000 0.0004774 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.64863 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD21 63148.610000 PA USD 62943.230000 0.0003918 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.72863 N N N N N N WASHINGTON MUTUAL 2006 AR7 N/A 93363CAC3 144487.390000 PA USD 141748.210000 0.0008823 Long ABS-MBS CORP US N 2 2046-07-25 Floating 1.957 N N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAA3 224940.120000 PA USD 219677.310000 0.0013673 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.01491 Y N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAB1 4353.510000 PA USD 4251.650000 0.0000265 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 3.01491 Y N N N N N WASHINGTON MUTUAL 2006-AR11 N/A 93363TAB8 226849.240000 PA USD 235132.190000 0.0014635 Long ABS-MBS CORP US N 2 2046-09-25 Floating 1.957 N N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAC2 88684.850000 PA USD 87292.500000 0.0005433 Long ABS-MBS CORP US N 2 2046-11-25 Floating 1.957 N N N N N N WASHINGTON MUTUAL 2006-AR16 N/A 92925GAA1 149082.690000 PA USD 147247.990000 0.0009165 Long ABS-MBS CORP US N 2 2036-12-25 Floating 2.73593 Y N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAA8 402445.310000 PA USD 373366.790000 0.0023239 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.19916 Y N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 846592.060000 PA USD 811544.160000 0.0050511 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.18916 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAD2 543232.440000 PA USD 527420.250000 0.0032827 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.96 N N N N N N WASHINGTON MUTUAL 2006-AR18 N/A 933637AA8 232021.090000 PA USD 215199.280000 0.0013394 Long ABS-MBS CORP US N 2 2037-01-25 Floating 2.57527 Y N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AA6 380616.650000 PA USD 367897.090000 0.0022898 Long ABS-MBS CORP US N 2 2047-01-25 Floating 0.99903 Y N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AB4 193007.190000 PA USD 192022.220000 0.0011952 Long ABS-MBS CORP US N 2 2047-01-25 Floating 0.98903 N N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AD0 127026.550000 PA USD 126170.260000 0.0007853 Long ABS-MBS CORP US N 2 2047-01-25 Floating 1.707 N N N N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 1036170.410000 PA USD 1043790.820000 0.0064966 Long ABS-MBS CORP US N 2 2046-02-25 Floating 1.25903 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAA5 4540475.530000 PA USD 4390933.610000 0.0273295 Long ABS-MBS CORP US N 2 2046-08-25 Floating 1.25903 N N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAB3 1521747.130000 PA USD 1491572.100000 0.0092837 Long ABS-MBS CORP US N 2 2046-08-25 Floating 1.957 N N N N N N WASHINGTON MUTUAL 2007-OA3 N/A 93364AAC6 672037.350000 PA USD 646315.860000 0.0040227 Long ABS-MBS CORP US N 2 2047-04-25 Floating 1.01903 N N N N N N WASHINGTON MUTUAL ASSET BACKED 2006-HE5 N/A 93934XAB9 52685.880000 PA USD 27339.580000 0.0001702 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.16863 N N N N N N WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1 N/A 939335N84 42.990000 PA USD 43.250000 0.0000003 Long ABS-MBS CORP US N 2 2031-02-25 Floating 1.77 N N N N N N WASHINGTON MUTUAL MTGE P/T 2006-AR3 N/A 93934FQP0 274699.950000 PA USD 238548.390000 0.0014847 Long ABS-MBS CORP US N 2 2046-05-25 Floating 1.22903 Y N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SY8 2000000.000000 PA 1683409.660000 0.0104777 Long DBT CORP US Y 2 2024-02-08 Fixed 3.184 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SQ5 1500000.000000 PA 1212731.500000 0.0075481 Long DBT CORP US Y 2 2022-04-25 Fixed 2.094 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94986RPV7 3000000.000000 PA USD 3015918.390000 0.0187713 Long DBT CORP US N 2 2023-05-17 Floating 1.0915 N N N N N N AREIT TRUST 2018-CRE2 N/A 04002QAA0 6921850.040000 PA USD 6937286.460000 0.0431782 Long ABS-MBS CORP US N 2 2035-11-14 Floating 1.08613 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SG7 30900000.000000 PA 25538731.980000 0.1589550 Long DBT CORP US Y 2 2023-10-27 Fixed 2.509 N N N N N N AREIT TRUST 2019-CRE3 N/A 00217LAA0 27400000.000000 PA USD 27507238.120000 0.1712071 Long ABS-MBS CORP US N 2 2036-09-14 Floating 1.12613 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12 N/A 94988QBG5 2500000.000000 PA USD 2506437.750000 0.0156003 Long ABS-MBS CORP US N 2 2046-07-15 Floating 1.1575 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12 N/A 94988QAG6 4100247.000000 PA USD 4378741.520000 0.0272536 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 3583051.500000 0.0223012 Long ABS-MBS CORP US N 2 2059-01-15 Floating 1.6575 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB N/A 95001EAA6 10000000.000000 PA USD 9846863.000000 0.0612876 Long ABS-MBS CORP US N 2 2031-12-13 Floating 0.956 N N N N N N AREIT TRUST 2020-CRE4 N/A 04002RAA8 26100000.000000 PA USD 26501720.760000 0.1649487 Long ABS-MBS CORP KY N 2 2037-04-15 Floating 2.7275 N N N N N N WELLS FARGO HOME EQUITY TRUST 2006-3 N/A 9497EBAC3 5563439.470000 PA USD 5576126.340000 0.0347062 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.52863 N N N N N N ARGENT SECURITIES INC 2003-W1 N/A 040104AG6 1633567.550000 PA USD 1651811.230000 0.0102810 Long ABS-MBS CORP US N 2 2033-12-25 Floating 5.73363 N N N N N N ARGENT SECURITIES INC 2003-W8 N/A 040104DQ1 117529.740000 PA USD 116657.270000 0.0007261 Long ABS-MBS CORP US N 2 2033-12-25 Floating 1.15863 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2012-C10 N/A 92890NAZ2 20883748.180000 PA USD 20936158.030000 0.1303082 Long ABS-MBS CORP US N 2 2045-12-15 Floating 0.8975 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2012-C6 N/A 92936QAG3 2048949.750000 PA USD 2067704.200000 0.0128695 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 20716285.070000 PA USD 20681444.420000 0.1287228 Long ABS-MBS CORP US N 2 2045-06-15 Floating 1.3075 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2014-C21 N/A 92939FBE8 13545178.160000 PA USD 13478084.830000 0.0838886 Long ABS-MBS CORP US N 2 2047-08-15 Floating 0.6675 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 2014-C25 N/A 92939LAF3 11589315.180000 PA USD 12146378.790000 0.0756000 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 2702903.170000 PA USD 2705360.160000 0.0168384 Long ABS-CBDO CORP KY N 2 2027-04-17 Floating 1.15338 N N N N N N WORLD BANK (INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT: IBRD) ZTMSNXROF84AHWJNKQ93 459058JT1 117100000.000000 PA USD 114362049.770000 0.7117979 Long DBT CORP N/A N 2 2027-02-10 Fixed 0.85 N N N N N N ZEPHYRUS CAPITAL AVIATION PARTNERS LTD 2018-1 N/A 933QMTII0 12622231.410000 PA USD 12249037.470000 0.0762389 Long ABS-O CORP US N 2 2038-10-15 Fixed 4.605 N N N N N N N/A N/A 000000000 5051000.000000 PA USD 5051000.000000 0.0314378 Long RA US N 2 Repurchase N 0.0000001 2021-04-01 5153900.000000 USD 5152085.830000 USD UST N N N N/A N/A 000000000 -2427914.580000 PA USD -2427884.230000 -0.0151113 Short RA US N 2 Reverse repurchase N -0.0500000 2023-03-23 2500000.000000 USD 2498866.320000 USD CDS N N N N/A N/A 000000000 -230771125.000000 PA USD -230771766.030000 -1.4363406 Short RA US N 2 Reverse repurchase N 0.0500000 2021-04-01 240700000.000000 USD 230620687.500000 USD UST N N N N/A N/A 000000000 6884.000000 NC -5055402.080000 -0.0314652 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Long N/A BAFUT 2022-12-19 1355559680.110000 CAD -5055402.080000 N N N N/A N/A 000000000 8285.000000 NC -8783962.560000 -0.0546720 N/A DIR CA N 1 THE MONTREAL EXCHANGE / BOURSE DE MONTREAL N/A Long N/A BAFUT 2023-03-13 1628305432.880000 CAD -8783962.560000 N N N N/A N/A 000000000 1.000000 NC -106366.240000 -0.0006620 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 14511000.000000 CAD 11440857.370000 USD 2021-04-07 -106366.240000 N N N N/A N/A 000000000 1.000000 NC 163466.880000 0.0010174 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 9302000.000000 EUR 11072148.280000 USD 2021-04-07 163466.880000 N N N N/A N/A 000000000 1.000000 NC 4215756.460000 0.0262392 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 113502115.200000 GBP 160690165.590000 USD 2021-04-07 4215756.460000 N N N N/A N/A 000000000 1.000000 NC 163628.630000 0.0010184 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 36303630.000000 ILS 11025958.520000 USD 2021-05-05 163628.630000 N N N N/A N/A 000000000 1.000000 NC 10959.310000 0.0000682 N/A DFE CA N 2 BNP Paribas S.A. N/A 2993767.370000 USD 3775937.000000 CAD 2021-04-07 10959.310000 N N N N/A N/A 000000000 1.000000 NC -24933.490000 -0.0001552 N/A DFE GB N 2 BNP Paribas S.A. N/A 2994445.350000 USD 2154000.000000 GBP 2021-04-07 -24933.490000 N N N N/A N/A 000000000 1.000000 NC 302265.530000 0.0018813 N/A DFE AU N 2 BNP Paribas S.A. N/A 9320934.000000 AUD 7382034.320000 USD 2021-04-07 302265.530000 N N N N/A N/A 000000000 1.000000 NC -10934.850000 -0.0000681 N/A DFE CA N 2 BNP Paribas S.A. N/A 3775937.000000 CAD 2993901.960000 USD 2021-05-04 -10934.850000 N N N N/A N/A 000000000 1.000000 NC 16103812.410000 0.1002313 N/A DFE JP N 2 BNP Paribas S.A. N/A 25900000000.000000 JPY 250071207.530000 USD 2021-04-26 16103812.410000 N N N ARKANSAS STUDENT LOAN AUTHORITY 2010-1 N/A 041150DJ9 2218633.010000 PA USD 2220274.130000 0.0138192 Long ABS-O MUN US N 2 2043-11-25 Floating 1.0875 N N N N N N N/A N/A 000000000 1.000000 NC 16349.970000 0.0001018 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7304660.620000 USD 9200063.000000 CAD 2021-04-07 16349.970000 N N N N/A N/A 000000000 1.000000 NC -3281267.860000 -0.0204229 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 237248662.980000 USD 25900000000.000000 JPY 2021-04-26 -3281267.860000 N N N N/A N/A 000000000 1.000000 NC 475709.700000 0.0029609 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6937539.500000 USD 151984146.700000 MXN 2021-05-04 475709.700000 N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 6705034.960000 PA USD 6702165.880000 0.0417148 Long ABS-MBS CORP US N 2 2035-04-15 Floating 1.006 N N N N N N N/A N/A 000000000 1.000000 NC 47521.790000 0.0002958 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3171000.000000 AUD 2456073.000000 USD 2021-04-07 47521.790000 N N N N/A N/A 000000000 1.000000 NC -16244.210000 -0.0001011 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9200063.000000 CAD 7305034.720000 USD 2021-05-04 -16244.210000 N N N N/A N/A 000000000 1.000000 NC 16819804.210000 0.1046877 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 454008460.800000 GBP 642717440.740000 USD 2021-04-07 16819804.210000 N N N N/A N/A 000000000 1.000000 NC 323159.730000 0.0020114 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 42106470.000000 ILS 12989810.270000 USD 2022-01-31 323159.730000 N N N N/A N/A 000000000 1.000000 NC 309702.840000 0.0019276 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 56780520.000000 ILS 17390664.620000 USD 2022-01-31 309702.840000 N N N N/A N/A 000000000 1.000000 NC 161863.760000 0.0010075 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 36907380.000000 ILS 11264957.420000 USD 2022-02-02 161863.760000 N N N N/A N/A 000000000 1.000000 NC 35905.650000 0.0002235 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9201840.000000 ILS 2804156.640000 USD 2022-02-02 35905.650000 N N N N/A N/A 000000000 1.000000 NC 570426.350000 0.0035504 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 139541850.000000 ILS 42549733.190000 USD 2022-02-02 570426.350000 N N N N/A N/A 000000000 1.000000 NC 863855.710000 0.0053767 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 140718291.000000 ILS 43142622.250000 USD 2021-11-30 863855.710000 N N N N/A N/A 000000000 1.000000 NC 811660.160000 0.0050518 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 97824450.000000 ILS 30202985.580000 USD 2021-11-30 811660.160000 N N N N/A N/A 000000000 1.000000 NC 392847.020000 0.0024451 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 46413920.000000 ILS 14355856.610000 USD 2022-02-02 392847.020000 N N N N/A N/A 000000000 1.000000 NC 257382.540000 0.0016020 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 30409120.000000 ILS 9405561.230000 USD 2022-02-02 257382.540000 N N N N/A N/A 000000000 1.000000 NC 135338.440000 0.0008424 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15004500.000000 ILS 4649242.400000 USD 2022-02-02 135338.440000 N N N ASSET BACKED FUNDING CERT 2003-WMC1 N/A 04542BEA6 1003267.730000 PA USD 1002503.840000 0.0062397 Long ABS-MBS CORP US N 2 2033-06-25 Floating 1.08363 N N N N N N 2021-05-05 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer