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-21847.310000
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N/A
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47946.910000
0.0032425
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2021-04-06
47946.910000
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163008.310000
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163008.310000
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N/A
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2021-04-07
-2530.100000
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N/A
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-62234.520000
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2022-01-31
25551.670000
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N/A
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4822.230000
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2021-04-07
4822.230000
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N/A
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DCR
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DCR
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523897.840000
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04965CAJ7
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PA
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4368552.050000
0.2954291
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ABS-CBDO
CORP
KY
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2
2027-04-22
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1.05238
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N/A
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2157610.630000
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5493000F4ZO33MV32P92
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13862.410000
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DFE
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MORGAN STANLEY & CO. INTERNATIONAL PLC
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2021-05-04
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-8633.680000
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DFE
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2021-04-06
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2021-05-04
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2021-04-07
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2021-04-07
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N/A
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17748.740000
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2021-05-07
17748.740000
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22672.610000
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2021-05-07
22672.610000
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N/A
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94284.740000
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DFE
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2
NATWEST MARKETS PLC
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2021-06-15
94284.740000
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N/A
N/A
S+P500 EMINI FUT JUN21 XCME 20210618
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4272021.590000
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1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
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N/A
2021-06-18
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2021-04-21
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HSBC BANK USA, NATIONAL ASSOCIATION
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2021-05-19
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13901676.740000
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HSBC BANK USA, NATIONAL ASSOCIATION
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2021-08-11
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Citibank International Limited
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2021-09-15
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2021-08-04
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98970445.470000
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328745.500000
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N/A
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2
Wells Fargo Trust Company, National Association
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N/A
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Y
2021-08-04
0.000000
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5408263.460000
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328745.500000
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N/A
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36195919.170000
2.4477970
N/A
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Wells Fargo Trust Company, National Association
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N/A
Y
2021-10-13
0.000000
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154922089.040000
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36195919.170000
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N/A
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21633098.400000
1.4629669
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GOLDMAN SACHS INTERNATIONAL
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S&P 500 INDEX
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N/A
Y
2021-10-27
0.000000
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95441251.080000
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21633098.400000
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N/A
N/A
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000000000
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442280.690000
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2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
S&P 500 INDEX
N/A
N/A
Y
2021-04-14
0.000000
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9772569.710000
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442280.690000
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000000000
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4852374.150000
0.3281482
N/A
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N
2
Wells Fargo Trust Company, National Association
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S&P 500 INDEX
N/A
N/A
Y
2022-04-20
0.000000
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228551156.760000
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4852374.150000
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N/A
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GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
S&P 500 INDEX
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N/A
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2022-02-23
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27592448.310000
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000000000
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-1889.050000
-0.0001277
N/A
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US
N
2
Wells Fargo Trust Company, National Association
N/A
S&P 500 INDEX
N/A
N/A
Y
2022-03-16
0.000000
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52093014.050000
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-1889.050000
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N/A
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000000000
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26728607.970000
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N/A
DE
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
S&P 500 INDEX
N/A
N/A
Y
2021-04-07
0.000000
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66902276.510000
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26728607.970000
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N/A
N/A
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000000000
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30232.460000
0.0020445
N/A
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N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
S&P 500 INDEX
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N/A
Y
2021-06-23
0.000000
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22079437.510000
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30232.460000
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N
N
N/A
N/A
SPTR TRS EQUITY 3ML-2 CBK
000000000
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USD
552933.670000
0.0373929
N/A
DE
US
N
2
Citibank International Limited
N/A
S&P 500 INDEX
N/A
N/A
Y
2021-04-15
0.000000
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0.000000
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9667130.630000
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552933.670000
N
N
N
N/A
N/A
SAUDI ARABIA GOVT EM SP NGF
000000000
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USD
140159.430000
0.0094785
N/A
DCR
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N
2
NOMURA GLOBAL FINANCIAL PRODUCTS INC.
0Z3VO5H2G7GRS05BHJ91
SAUDI ARABIA GOVT
SAUDI INTERNATIONAL BOND
Y
Single Leg Swap
2023-06-21
55694.580000
USD
0.000000
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8400000.000000
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84464.850000
N
N
N
N/A
N/A
SOLD JPY/BOUGHT USD
000000000
1.000000
NC
433504.280000
0.0293163
N/A
DFE
JP
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
999700000.000000
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9462674.020000
USD
2021-04-07
433504.280000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
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2021-11-01
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2026-02-15
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N/A
N/A
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2030-01-15
64990.490000
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N/A
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N/A
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2
London Clearing house
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N/A
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SNZ2OJLFK8MNNCLQOF39
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2048-12-18
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2048-12-18
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2026-06-16
992088.510000
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2031-06-16
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Chicago Mercantile Exchange
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2023-06-19
0.000000
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N/A
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1617901.600000
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2
London Clearing house
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N/A
N/A
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2031-07-07
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2
Chicago Mercantile Exchange
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N/A
N/A
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2030-06-17
3587412.020000
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2
Chicago Mercantile Exchange
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USD-LIBOR-BBA-Bloomberg 3M
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N/A
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2025-06-17
0.000000
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315902.760000
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N/A
N/A
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612265.750000
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DIR
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2
London Clearing house
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N/A
N/A
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2031-07-21
0.000000
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612265.750000
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N/A
N/A
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10784.360000
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N/A
DIR
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N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2030-01-07
0.000000
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-202186.430000
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11300000.000000
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212970.790000
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N
N
N/A
N/A
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000000000
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USD
103593.570000
0.0070057
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
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N/A
N/A
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2050-01-18
0.000000
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-1242.820000
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800000.000000
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104836.390000
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N
N
N/A
N/A
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000000000
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USD
222904.340000
0.0150742
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
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2050-01-24
0.000000
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-13003.370000
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N/A
N/A
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000000000
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7378.010000
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2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
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N/A
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2050-02-07
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N
2
London Clearing house
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N/A
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2030-01-15
0.000000
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-36357.130000
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7700000.000000
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N/A
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17733.830000
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N/A
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N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
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2050-01-18
0.000000
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400000.000000
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N/A
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000000000
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52504.700000
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N/A
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Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
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2050-03-21
0.000000
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-21070.990000
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1100000.000000
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000000000
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2
Chicago Mercantile Exchange
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N/A
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2050-01-13
0.000000
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000000000
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-3820501.210000
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2
London Clearing house
N/A
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N/A
N/A
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2021-06-21
0.000000
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N/A
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-76534.710000
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N/A
N/A
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N/A
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-2270.770000
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DFE
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2
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106782.180000
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7977530.000000
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2021-06-22
-2270.770000
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N
N/A
N/A
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000000000
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-2084.580000
-0.0001410
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DFE
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2
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BFM8T61CT2L1QCEMIK50
106601.200000
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7977928.000000
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2021-06-22
-2084.580000
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N
N
N/A
N/A
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000000000
1.000000
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2276.580000
0.0001540
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DFE
DK
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2
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BFM8T61CT2L1QCEMIK50
368337.000000
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60345.780000
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2021-04-09
2276.580000
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N
N
N/A
N/A
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000000000
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5746.530000
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N/A
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1
Intercontinental Exchange
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N/A
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2021-06-28
-351790.940000
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5746.530000
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N
N
N/A
N/A
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000000000
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1732132.780000
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N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2021-06-21
-82097812.500000
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1732132.780000
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N
N
N/A
N/A
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000000000
129.000000
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-26369.150000
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N/A
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N
1
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549300EX04Q2QBFQTQ27
Long
N/A
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2021-06-30
28473726.500000
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-26369.150000
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N
N/A
N/A
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000000000
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-1294392.970000
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N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
N/A
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2021-06-30
99582539.470000
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-1294392.970000
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N
N/A
N/A
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000000000
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-652331.120000
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1
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549300EX04Q2QBFQTQ27
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2021-06-21
16696125.000000
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-652331.120000
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N/A
N/A
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000000000
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832372.180000
0.0562903
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N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
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UNITED STATES GOVT
2021-06-21
-16490906.250000
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832372.180000
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N
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223121.670000
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2026-01-12
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N
N
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806094.980000
0.0545132
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2023-02-15
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N
N
N
N
N
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2637967.570000
0.1783961
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2024-05-16
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N
N
N
N
N
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300000.000000
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334667.150000
0.0226323
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2028-05-09
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N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FINANCE II LLC COMPANY GUAR 144A 07/21 2.75
07274NAU7
800000.000000
PA
USD
804577.210000
0.0544106
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
2.75
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FINANCE II LLC COMPANY GUAR 144A 12/23 VAR
07274NAG8
1000000.000000
PA
USD
1013861.140000
0.0685637
Long
DBT
CORP
US
N
2
2023-12-15
Floating
1.19388
N
N
N
N
N
N
BEAR STEARNS STRUC PROD INC 2007-R6
N/A
BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1
07402FAA3
312402.810000
PA
USD
269679.260000
0.0182374
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
BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1
07402FAC9
214752.200000
PA
USD
186894.950000
0.0126390
Long
ABS-MBS
CORP
US
N
2
2046-12-26
Floating
2.88606
Y
N
N
N
N
N
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 1A1
07384MZQ8
13226.440000
PA
USD
13026.260000
0.0008809
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
2.375
N
N
N
N
N
N
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1
07384MZV7
237744.780000
PA
USD
246542.860000
0.0166728
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
2.77247
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-7
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1
07386HVS7
92734.300000
PA
USD
73765.770000
0.0049885
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
3.03301
Y
N
N
N
N
N
BEAR STEARNS ARM 2003-1
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1
07384MTN2
12821.590000
PA
USD
13656.450000
0.0009235
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Floating
2.49999
N
N
N
N
N
N
BEAR STEARNS ARM TRUST 2002-11
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A2
07384MSJ2
5274.020000
PA
USD
4918.040000
0.0003326
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Floating
2.82596
N
N
N
N
N
N
BLACK DIAMOND CLO 2015-1 DESIGNATED ACTIVITY CO 15-1A
N/A
BLACK DIAMOND CLO LTD BLACK 2015 1A A1R 144A
ACI0ZL547
564971.770000
PA
662873.680000
0.0448277
Long
ABS-CBDO
CORP
IE
N
2
2029-10-03
Floating
0.65
N
N
N
N
N
N
BLACK DIAMOND CLO 2015-1 DESIGNATED ACTIVITY CO 15-1A
N/A
BLACK DIAMOND CLO LTD BLACK 2015 1A A2R 144A
ACI0ZL539
353073.380000
PA
USD
353044.470000
0.0238751
Long
ABS-CBDO
CORP
IE
N
2
2029-10-03
Floating
1.2875
N
N
N
N
N
N
BSPRT 2018-FL3
N/A
BSPRT 2018 FL3 ISSUER, LTD BSPRT 2018 FL3 A 144A
05585JAA8
492560.310000
PA
USD
493304.450000
0.0333604
Long
ABS-CBDO
CORP
KY
N
2
2028-03-15
Floating
1.156
N
N
N
N
N
N
BSPRT-2021-FL6
N/A
BSPRT ISSUER, LTD. BSPRT 2021 FL6 A 144A
05601HAA2
11200000.000000
PA
USD
11200527.520000
0.7574505
Long
ABS-O
CORP
KY
N
2
2036-03-15
Floating
1.203
N
N
N
N
N
N
CALIFORNIA STATE
N/A
CALIFORNIA ST CAS 04/47 FLOATING VAR
13063DAF5
2300000.000000
PA
USD
2302185.690000
0.1556884
Long
DBT
MUN
US
N
2
2047-04-01
Floating
0.891
N
N
N
N
N
N
CANADA GOVT
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT BONDS 12/48 2.75
135087D35
-3400000.000000
PA
-3159637.310000
-0.2136747
Short
DBT
NUSS
CA
N
2
2048-12-01
Fixed
2.75
N
N
N
N
N
N
CATAMARAN CLO LTD 2013-1A
N/A
CATAMARAN CLO LTD CRMN 2013 1A AR 144A
14889EAL0
1126546.970000
PA
USD
1126172.880000
0.0761589
Long
ABS-CBDO
CORP
KY
N
2
2028-01-27
Floating
1.06288
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 02/24 4.5
161175BQ6
1600000.000000
PA
USD
1750895.490000
0.1184066
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.5
N
N
N
N
N
N
CHASE FUNDING MORTGAGE LOAN AS 2002-4
N/A
CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 4 2A1
161546DQ6
81966.440000
PA
USD
81497.490000
0.0055114
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Floating
0.84863
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SR UNSECURED 06/24 VAR
172967MA6
5500000.000000
PA
USD
5572371.920000
0.3768390
Long
DBT
CORP
US
N
2
2024-06-01
Floating
1.2135
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2007-FS1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 FS1 1A1 144A
17313EAA3
197009.760000
PA
USD
204780.550000
0.0138486
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Variable
5.75
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AHL3
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3A
17312GAA9
452728.270000
PA
USD
387709.930000
0.0262194
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
0.16863
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AMC1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A
17311BAS2
146260.260000
PA
USD
98662.510000
0.0066722
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.26863
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-WFH4
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH4 M1
17313JAF1
1100000.000000
PA
USD
1113460.590000
0.0752992
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
1.75863
N
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-11
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A
17307GW53
50179.910000
PA
USD
50922.940000
0.0034437
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.57
N
N
N
N
N
N
CITRIX SYSTEMS INC
HCTKJGUQOPZ5NBK7NP58
CITRIX SYSTEMS INC SR UNSECURED 03/26 1.25
177376AG5
1300000.000000
PA
USD
1278908.700000
0.0864879
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.25
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA JR SUBORDINA REGS 12/49 VAR
BD2YKYII0
800000.000000
PA
952889.120000
0.0644404
Long
DBT
CORP
NL
N
2
2021-06-29
Floating
6.625
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2004-3
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2004 3 2A
1266714M5
637030.030000
PA
USD
617088.820000
0.0417314
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
0.50863
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-2
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 2 1A
12668NAA5
337856.700000
PA
USD
319548.890000
0.0216099
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
0.24863
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-9
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A
12670FAA8
422879.730000
PA
USD
395123.980000
0.0267208
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
0.30863
Y
N
N
N
N
N
CREDIT ACCEPTANCE AUTO LOAN TRUST 2018-3A
N/A
CREDIT ACCEPTANCE AUTO LOAN TR CAALT 2018 3A A 144A
22534DAA8
1017150.680000
PA
USD
1023018.620000
0.0691830
Long
ABS-O
CORP
US
N
2
2027-08-15
Fixed
3.55
N
N
N
N
N
N
CREDIT SUISSE AG/ ZURICH BRANCH
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG SUBORDINATED 144A 08/23 6.5
22546DAA4
2500000.000000
PA
USD
2759062.500000
0.1865853
Long
DBT
CORP
CH
N
2
2023-08-08
Fixed
6.5
N
N
N
N
N
N
CREDIT SUISSE AG/ ZURICH BRANCH
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG SUBORDINATED REGS 08/23 6.5
ACI06K5Q2
2400000.000000
PA
USD
2648700.000000
0.1791218
Long
DBT
CORP
CH
N
2
2023-08-08
Fixed
6.5
N
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A
22540VK43
58376.480000
PA
USD
55826.710000
0.0037754
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Floating
0.798344
N
N
N
N
N
N
CROWN CASTLE TOWERS LLC
N/A
CROWN CASTLE TOWERS LLC ASSET BACKED 144A 05/42 3.222
22822RBB5
100000.000000
PA
USD
100630.660000
0.0068053
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
3.222
N
N
N
N
N
N
CROWN POINT CLO LTD 2018-6A
N/A
CROWN POINT CLO LTD CRNPT 2018 6A A1 144A
22847DAL6
1078302.790000
PA
USD
1081007.260000
0.0731045
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
CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1
22540A7A0
105168.970000
PA
USD
102542.800000
0.0069346
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 2002-AR21
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR21 1A1
22540V4R0
563.920000
PA
USD
521.370000
0.0000353
Long
ABS-MBS
CORP
US
N
2
2032-06-25
Floating
0.098
N
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2002-AR21
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR21 2A1
22540V4S8
6122.120000
PA
USD
6337.420000
0.0004286
Long
ABS-MBS
CORP
US
N
2
2032-06-25
Floating
4.94587
N
N
N
N
N
N
D.R. HORTON INC
529900ZIUEYVSB8QDD25
D.R. HORTON INC COMPANY GUAR 09/22 4.375
23331ABE8
1200000.000000
PA
USD
1253640.410000
0.0847791
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
4.375
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE FUNDING LLC COMPANY GUAR 144A 02/24 1.625
23371DAH7
2000000.000000
PA
USD
1997500.000000
0.1350836
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
1.625
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE FUNDING LLC COMPANY GUAR 144A 03/25 2.625
23371DAF1
600000.000000
PA
USD
605355.600000
0.0409380
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
2.625
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE FUNDING LLC COMPANY GUAR 144A 03/28 3.375
23371DAG9
500000.000000
PA
USD
497839.000000
0.0336670
Long
DBT
CORP
US
N
2
2028-03-20
Fixed
3.375
N
N
N
N
N
N
DENALI CAPITAL CLO X LTD 2013-1A
N/A
DENALI CAPITAL CLO X LTD DEN10 2013 1A A1LR 144A
24823BAK6
438478.110000
PA
USD
439045.840000
0.0296911
Long
ABS-CBDO
CORP
KY
N
2
2027-10-26
Floating
1.26525
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG SR UNSECURED REGS 01/27 1.625
ACI1J0CL3
4300000.000000
PA
5261045.840000
0.3557852
Long
DBT
CORP
DE
N
2
2027-01-20
Fixed
1.625
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG SR UNSECURED REGS 01/28 1.75
ACI0ZWMV4
600000.000000
PA
737884.890000
0.0499004
Long
DBT
CORP
DE
N
2
2028-01-17
Fixed
1.75
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG SR UNSECURED REGS 09/26 VAR
ACI1QTHL7
2400000.000000
PA
2900116.210000
0.1961242
Long
DBT
CORP
DE
N
2
2026-09-03
Floating
1.375
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY SR UNSECURED 10/21 4.25
251526BX6
2400000.000000
PA
USD
2444893.010000
0.1653391
Long
DBT
CORP
DE
N
2
2021-10-14
Fixed
4.25
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY SR UNSECURED 11/25 VAR
251526CB3
1800000.000000
PA
USD
1950669.740000
0.1319166
Long
DBT
CORP
DE
N
2
2025-11-26
Floating
3.961
N
N
N
N
N
N
DRYDEN 36 SENIOR LOAN FUND 2014-36A
N/A
DRYDEN SENIOR LOAN FUND DRSLF 2014 36A AR3 144A
26249KAZ4
2900000.000000
PA
USD
2905042.350000
0.1964573
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
1.26125
N
N
N
N
N
N
DRYDEN XXV SENIOR LOAN FUND 2012-25A
N/A
DRYDEN SENIOR LOAN FUND DRSLF 2012 25A ARR 144A
26250JAS9
1827489.480000
PA
USD
1828174.280000
0.1236327
Long
ABS-CBDO
CORP
KY
N
2
2027-10-15
Floating
1.14125
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER OPERATNG COMPANY GUAR 03/23 4.25
29278NAL7
200000.000000
PA
USD
211244.600000
0.0142857
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.25
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP (AKA: ENERGY TRANSFER PARTNERS LP)
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATNG COMPANY GUAR 02/22 5.2
29273RAQ2
400000.000000
PA
USD
410447.840000
0.0277571
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
5.2
N
N
N
N
N
N
ENERGY TRANSFER PARTNERS LP / REGENCY ENERGY FINANCE CORP
N/A
ENRGY TRANS PT/REG FIN COMPANY GUAR 10/22 5
75886AAQ1
100000.000000
PA
USD
105072.540000
0.0071057
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
5
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA FINANCE LLC COMPANY GUAR 144A 12/21 2.6
26884TAQ5
200000.000000
PA
USD
202565.210000
0.0136987
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
2.6
N
N
N
N
N
N
FANNIE MAE 2003-25
N/A
FANNIE MAE FNR 2003 25 KP
31393APU5
162511.450000
PA
USD
184711.620000
0.0124914
Long
ABS-MBS
USGSE
US
N
2
2033-04-25
Fixed
5
N
N
N
N
N
N
FANNIE MAE 2004-11
N/A
FANNIE MAE FNR 2004 11 A
31393T7H3
72163.250000
PA
USD
71901.350000
0.0048624
Long
ABS-MBS
USGSE
US
N
2
2034-03-25
Floating
0.22863
N
N
N
N
N
N
FANNIE MAE 2007-14
N/A
FANNIE MAE FNR 2007 14 F
31396PZS3
33693.300000
PA
USD
33954.170000
0.0022962
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
0.46863
N
N
N
N
N
N
FANNIE MAE 2007-14
N/A
FANNIE MAE FNR 2007 14 FB
31396PZU8
12479.000000
PA
USD
12570.500000
0.0008501
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
0.45863
N
N
N
N
N
N
FANNIE MAE 2007-4
N/A
FANNIE MAE FNR 2007 4 DF
31396PMC2
72816.350000
PA
USD
73513.700000
0.0049715
Long
ABS-MBS
USGSE
US
N
2
2037-02-25
Floating
0.55363
N
N
N
N
N
N
FANNIE MAE 2007-42
N/A
FANNIE MAE FNR 2007 42 AF
31396VN53
38015.700000
PA
USD
38151.140000
0.0025800
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
Floating
0.35863
N
N
N
N
N
N
FANNIE MAE 2007-63
N/A
FANNIE MAE FNR 2007 63 FC
31396WTU0
43708.530000
PA
USD
43968.580000
0.0029734
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
0.45863
N
N
N
N
N
N
FANNIE MAE 2007-65
N/A
FANNIE MAE FNR 2007 65 KF
31396WLX2
76052.810000
PA
USD
76740.020000
0.0051896
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
0.48863
N
N
N
N
N
N
FANNIE MAE 2007-96
N/A
FANNIE MAE FNR 2007 96 AF
31396XNT7
182336.850000
PA
USD
182174.130000
0.0123198
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
0.82863
N
N
N
N
N
N
FANNIE MAE 2009-111
N/A
FANNIE MAE FNR 2009 111 FC
31398GQS1
58150.790000
PA
USD
59593.290000
0.0040301
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
0.85863
N
N
N
N
N
N
FANNIE MAE 2009-111
N/A
FANNIE MAE FNR 2009 111 FE
31398GRA9
58122.750000
PA
USD
59575.390000
0.0040289
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Floating
0.85863
N
N
N
N
N
N
FANNIE MAE 2009-47
N/A
FANNIE MAE FNR 2009 47 FA
31396QFA2
54757.860000
PA
USD
56180.150000
0.0037993
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Floating
1.00863
N
N
N
N
N
N
FANNIE MAE 2009-87
N/A
FANNIE MAE FNR 2009 87 FX
31398FM57
90619.860000
PA
USD
92255.510000
0.0062389
Long
ABS-MBS
USGSE
US
N
2
2039-11-25
Floating
0.85863
N
N
N
N
N
N
FANNIE MAE 2009-99
N/A
FANNIE MAE FNR 2009 99 FC
31398F4R9
92771.720000
PA
USD
94976.880000
0.0064229
Long
ABS-MBS
USGSE
US
N
2
2039-12-25
Floating
0.92863
N
N
N
N
N
N
FANNIE MAE REMICS 2010-109
N/A
FANNIE MAE FNR 2010 109 N
31398NRZ9
912010.410000
PA
USD
976015.850000
0.0660044
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS 2018-27
N/A
FANNIE MAE FNR 2018 27 WF
3136B1M35
931628.040000
PA
USD
928428.460000
0.0627862
Long
ABS-MBS
USGSE
US
N
2
2058-05-25
Floating
0.47288
N
N
N
N
N
N
FANNIE MAE-2005-75
N/A
FANNIE MAE FNR 2005 75 AF
31394FAF2
181804.880000
PA
USD
183708.610000
0.0124235
Long
ABS-MBS
USGSE
US
N
2
2035-09-25
Floating
0.50863
N
N
N
N
N
N
FANNIE MAE-ACES 2015-M17
N/A
FANNIEMAE ACES FNA 2015 M17 FA
3136AQC65
796362.740000
PA
USD
798187.530000
0.0539785
Long
ABS-MBS
USGSE
US
N
2
2022-11-25
Floating
1.03738
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 845225 FH 12/22 FLOATING VAR
31288UYW5
404.560000
PA
USD
405.870000
0.0000274
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Floating
2.375
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 847415 FH 06/35 FLOATING VAR
3128JRGY6
184575.280000
PA
USD
195354.250000
0.0132111
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Floating
2.789
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 849407 FH 09/37 FLOATING VAR
31300MNY5
572282.040000
PA
USD
611142.180000
0.0413293
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Floating
2.695
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A97944 FG 04/41 FIXED 5
312946ZH2
1037.650000
PA
USD
1150.330000
0.0000778
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C01615 FG 08/33 FIXED 6
31292HYL2
7843.200000
PA
USD
9382.230000
0.0006345
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91015 FG 12/26 FIXED 5
3128P7DU4
10357.820000
PA
USD
11471.450000
0.0007758
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91161 FG 02/28 FIXED 5
3128P7JE4
16332.110000
PA
USD
18092.140000
0.0012235
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91175 FG 05/28 FIXED 5
3128P7JU8
5283.310000
PA
USD
5904.080000
0.0003993
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91222 FG 12/28 FIXED 5
3128P7LB7
15301.340000
PA
USD
16960.290000
0.0011470
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91238 FG 01/29 FIXED 5
3128P7LT8
39063.420000
PA
USD
43637.730000
0.0029511
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D59813 FG 04/25 FIXED 8.5
31356N3W2
689.720000
PA
USD
692.840000
0.0000469
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
8.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G04614 FG 02/34 FIXED 6
3128M6N79
192945.090000
PA
USD
230796.360000
0.0156079
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G04618 FG 07/33 FIXED 6
3128M6PB8
3218.320000
PA
USD
3846.050000
0.0002601
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G04629 FG 01/29 FIXED 6
3128M6PN2
130.040000
PA
USD
146.310000
0.0000099
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G08789 FG 11/47 FIXED 4
3128MJ2X7
893336.800000
PA
USD
965672.460000
0.0653049
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q02852 FG 08/41 FIXED 5
3132GGEZ4
6905.090000
PA
USD
7654.920000
0.0005177
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
5
N
N
N
N
N
N
FHLMC STRUCTURED PASS THRU SEC T-59
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1
31394PPQ0
499426.550000
PA
USD
579756.710000
0.0392068
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 041732 FN 02/27 FLOATING VAR
31361ULM1
318.710000
PA
USD
322.590000
0.0000218
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Floating
4.216
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 062687 FN 04/28 FLOATING VAR
31362JUL7
1525.840000
PA
USD
1552.460000
0.0001050
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Floating
4.445
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 064730 FN 11/27 FLOATING VAR
31362L4P2
4050.200000
PA
USD
4112.670000
0.0002781
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Floating
4.411
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 065579 FN 07/28 FLOATING VAR
31362M2L1
2630.830000
PA
USD
2693.530000
0.0001822
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
FNMA POOL 067698 FN 11/28 FLOATING VAR
31362QGF0
4061.250000
PA
USD
4141.520000
0.0002801
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Floating
4.56
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 086654 FN 08/29 FLOATING VAR
31363EH73
2006.070000
PA
USD
2053.230000
0.0001389
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Floating
5.623
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 303469 FN 11/28 FLOATING VAR
31373UCE5
3155.610000
PA
USD
3210.340000
0.0002171
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Floating
4.263
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 534064 FN 03/30 FIXED 8
31384UJH8
1986.720000
PA
USD
1994.940000
0.0001349
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 535439 FN 08/30 FIXED VAR
31384VZC9
604.850000
PA
USD
691.960000
0.0000468
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 536234 FN 05/30 FIXED 8
31384WV31
3859.910000
PA
USD
3993.710000
0.0002701
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 544860 FN 09/34 FLOATING VAR
31385HJD5
28519.950000
PA
USD
30029.620000
0.0020308
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
4.929
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 544861 FN 12/36 FLOATING VAR
31385HJE3
63164.590000
PA
USD
66461.610000
0.0044946
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
4.055
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 758900 FN 12/33 FLOATING VAR
31403VDD8
54920.960000
PA
USD
55136.450000
0.0037287
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Floating
2.112
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 795297 FN 07/44 FLOATING VAR
31405PRS1
22348.990000
PA
USD
23028.000000
0.0015573
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
FNMA POOL 814583 FN 04/35 FLOATING VAR
31406M6U5
117028.930000
PA
USD
117500.890000
0.0079462
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Floating
2.578
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 844532 FN 11/35 FLOATING VAR
31407YHH5
49014.700000
PA
USD
51656.840000
0.0034934
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
2.023
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL5548 FN 05/38 FLOATING VAR
3138ENEW5
238919.410000
PA
USD
252761.160000
0.0170933
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Floating
2.491
N
N
N
N
N
N
PIMCO FUNDS
549300F9QJIJF2GM8419
PIMCO ST FLOATING NAV PORT IV MUTUAL FUND
000000000
7055846.370000
PA
USD
70798362.500000
4.7878331
Long
STIV
RF
US
N
1
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ3935 FN 12/47 FIXED 3.5
3140H5LR0
70433.260000
PA
USD
74638.750000
0.0050475
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.5
N
N
N
N
N
N
PIMCO FUNDS
LWVQWTQCFH3YG7CVH718
PIMCO PRV SHORT TERM FLT III MUTUAL FUND
000000000
38307163.980000
PA
USD
377708636.800000
25.5430471
Long
STIV
RF
US
N
1
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ3996 FN 02/48 FIXED 3.5
3140H5NN7
287288.420000
PA
USD
304731.400000
0.0206079
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ4012 FN 02/48 FIXED 3.5
3140H5N64
144512.410000
PA
USD
152980.760000
0.0103455
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ4916 FN 03/48 FIXED 3.5
3140H6PA1
22381.960000
PA
USD
23744.140000
0.0016057
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3238 FN 01/48 FIXED 3.5
31418CS47
1982566.260000
PA
USD
2103664.980000
0.1422631
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3276 FN 02/48 FIXED 3.5
31418CUA0
1521074.980000
PA
USD
1608951.010000
0.1088074
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3305 FN 03/48 FIXED 3.5
31418CU77
15541741.280000
PA
USD
16487610.410000
1.1149965
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3414 FN 07/48 FIXED 3.5
31418CYL2
1473643.260000
PA
USD
1561094.380000
0.1055711
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3442 FN 08/48 FIXED 3.5
31418CZG2
705431.880000
PA
USD
745489.980000
0.0504147
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
3.5
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 01/22 3.219
345397XA6
200000.000000
PA
USD
202690.000000
0.0137072
Long
DBT
CORP
US
N
2
2022-01-09
Fixed
3.219
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 02/23 1.514
345397ZS5
400000.000000
PA
472839.210000
0.0319764
Long
DBT
CORP
US
N
2
2023-02-17
Fixed
1.514
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 03/22 3.339
345397YL1
200000.000000
PA
USD
203002.000000
0.0137283
Long
DBT
CORP
US
N
2
2022-03-28
Fixed
3.339
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 05/21 VAR
ACI12NHY8
200000.000000
PA
234426.720000
0.0158534
Long
DBT
CORP
US
N
2
2021-05-14
Floating
0.000001
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 06/24 2.748
ACI1TC740
300000.000000
PA
417643.170000
0.0282437
Long
DBT
CORP
US
N
2
2024-06-14
Fixed
2.748
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 07/24 1.744
ACI1K2ZL2
1000000.000000
PA
1180728.320000
0.0798483
Long
DBT
CORP
US
N
2
2024-07-19
Fixed
1.744
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 08/21 5.875
345397VU4
200000.000000
PA
USD
202940.000000
0.0137241
Long
DBT
CORP
US
N
2
2021-08-02
Fixed
5.875
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 10/22 3.55
34540XAB9
400000.000000
PA
USD
410248.000000
0.0277436
Long
DBT
CORP
US
N
2
2022-10-07
Fixed
3.55
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 12/21 VAR
ACI0Z5583
300000.000000
PA
350930.480000
0.0237321
Long
DBT
CORP
US
N
2
2021-12-01
Floating
0.000001
N
N
N
N
N
N
FREDDIE MAC 3355
N/A
FREDDIE MAC FHR 3355 BF
31397KC90
1229814.100000
PA
USD
1260947.090000
0.0852732
Long
ABS-MBS
USGSE
US
N
2
2037-08-15
Floating
0.806
N
N
N
N
N
N
FREDDIE MAC 3360
N/A
FREDDIE MAC FHR 3360 FB
31397KE23
618929.640000
PA
USD
630354.030000
0.0426285
Long
ABS-MBS
USGSE
US
N
2
2037-08-15
Floating
0.776
N
N
N
N
N
N
FREDDIE MAC 3360
N/A
FREDDIE MAC FHR 3360 FC
31397KE31
674674.670000
PA
USD
688572.020000
0.0465656
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Floating
0.826
N
N
N
N
N
N
FREDDIE MAC 3368
N/A
FREDDIE MAC FHR 3368 AF
31397KL82
733994.390000
PA
USD
747596.550000
0.0505572
Long
ABS-MBS
USGSE
US
N
2
2037-09-15
Floating
0.826
N
N
N
N
N
N
FREDDIE MAC 3404
N/A
FREDDIE MAC FHR 3404 AF
31397PST8
323156.570000
PA
USD
330872.840000
0.0223757
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Floating
0.961
N
N
N
N
N
N
FREDDIE MAC 3439
N/A
FREDDIE MAC FHR 3439 FN
31397TAL6
13480.990000
PA
USD
13549.650000
0.0009163
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Floating
0.436
N
N
N
N
N
N
FREDDIE MAC 3597
N/A
FREDDIE MAC FHR 3597 FC
31398L5U8
22689.650000
PA
USD
23243.410000
0.0015719
Long
ABS-MBS
USGSE
US
N
2
2039-11-15
Floating
0.956
N
N
N
N
N
N
FREDDIE MAC 3608
N/A
FREDDIE MAC FHR 3608 FA
31398LPT9
1034.140000
PA
USD
1060.170000
0.0000717
Long
ABS-MBS
USGSE
US
N
2
2039-12-15
Floating
0.956
N
N
N
N
N
N
FREDDIE MAC 3609
N/A
FREDDIE MAC FHR 3609 F
31398LN38
85626.250000
PA
USD
87629.000000
0.0059260
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Floating
0.856
N
N
N
N
N
N
FREDDIE MAC 4559
N/A
FREDDIE MAC FHR 4559 AF
3137BNCR3
195092.850000
PA
USD
198066.260000
0.0133945
Long
ABS-MBS
USGSE
US
N
2
2042-03-15
Floating
0.62288
N
N
N
N
N
N
FREDDIE MAC REMICS 3376
N/A
FREDDIE MAC FHR 3376 FD
31397KZG9
207465.660000
PA
USD
206591.050000
0.0139710
Long
ABS-MBS
USGSE
US
N
2
2037-10-15
Floating
0.816
N
N
N
N
N
N
FREDDIE MAC REMICS 4638
N/A
FREDDIE MAC FHR 4638 FA
3137BTH38
492804.090000
PA
USD
498727.300000
0.0337271
Long
ABS-MBS
USGSE
US
N
2
2040-07-15
Floating
0.56288
N
N
N
N
N
N
FREDDIE MAC-3271
N/A
FREDDIE MAC FHR 3271 FA
31397FFJ6
61788.060000
PA
USD
62124.850000
0.0042013
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Floating
0.446
N
N
N
N
N
N
FREDDIE MAC-3271
N/A
FREDDIE MAC FHR 3271 FP
31397FFP2
4878.500000
PA
USD
4897.490000
0.0003312
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Floating
0.406
N
N
N
N
N
N
FREDDIE MAC-3372
N/A
FREDDIE MAC FHR 3372 F
31397KQ61
51958.000000
PA
USD
52860.920000
0.0035748
Long
ABS-MBS
USGSE
US
N
2
2037-10-15
Floating
0.706
N
N
N
N
N
N
FREDDIE MAC-3891
N/A
FREDDIE MAC FHR 3891 BF
3137ADTZ0
975111.880000
PA
USD
988695.290000
0.0668618
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Floating
0.656
N
N
N
N
N
N
GLG EURO CLO III DAC A
N/A
MAN GLG EURO CLO GLGE 3A AR 144A
ACI1VVSK6
300000.000000
PA
351747.290000
0.0237874
Long
ABS-CBDO
CORP
IE
N
2
2030-10-15
Floating
0.68
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST 2019-3A
N/A
GLS AUTO RECEIVABLES TRUST GCAR 2019 3A A 144A
36258AAA8
460856.030000
PA
USD
464209.310000
0.0313928
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
2.58
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST 2019-4A
N/A
GLS AUTO RECEIVABLES TRUST GCAR 2019 4A A 144A
36258HAA3
873055.140000
PA
USD
881351.430000
0.0596026
Long
ABS-O
CORP
US
N
2
2023-11-15
Fixed
2.47
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST 2020-1A
N/A
GLS AUTO RECEIVABLES TRUST GCAR 2020 1A A 144A
36258XAA8
1163062.120000
PA
USD
1172943.260000
0.0793218
Long
ABS-O
CORP
US
N
2
2024-02-15
Fixed
2.17
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008036 G2 08/22 FLOATING VAR
36202J4V7
2659.340000
PA
USD
2670.910000
0.0001806
Long
ABS-MBS
USGSE
US
N
2
2022-08-20
Floating
2.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008041 G2 08/22 FLOATING VAR
36202J5A2
6646.100000
PA
USD
6709.550000
0.0004537
Long
ABS-MBS
USGSE
US
N
2
2022-08-20
Floating
2.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008047 G2 09/22 FLOATING VAR
36202J5G9
6751.600000
PA
USD
6811.760000
0.0004607
Long
ABS-MBS
USGSE
US
N
2
2022-09-20
Floating
2.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008052 G2 09/22 FLOATING VAR
36202J5M6
12024.150000
PA
USD
12149.030000
0.0008216
Long
ABS-MBS
USGSE
US
N
2
2022-09-20
Floating
2.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008098 G2 12/22 FLOATING VAR
36202J7K8
9901.780000
PA
USD
10013.650000
0.0006772
Long
ABS-MBS
USGSE
US
N
2
2022-12-20
Floating
2.125
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008228 G2 07/23 FLOATING VAR
36202KD93
14641.490000
PA
USD
14877.540000
0.0010061
Long
ABS-MBS
USGSE
US
N
2
2023-07-20
Floating
2.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008482 G2 08/24 FLOATING VAR
36202KM77
873.450000
PA
USD
892.340000
0.0000603
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
GNMA II POOL 008709 G2 10/25 FLOATING VAR
36202KVA0
8132.650000
PA
USD
8245.500000
0.0005576
Long
ABS-MBS
USGSE
US
N
2
2025-10-20
Floating
2.125
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008744 G2 11/25 FLOATING VAR
36202KWD3
3312.060000
PA
USD
3377.120000
0.0002284
Long
ABS-MBS
USGSE
US
N
2
2025-11-20
Floating
2.125
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008814 G2 02/26 FLOATING VAR
36202KYK5
6270.250000
PA
USD
6347.940000
0.0004293
Long
ABS-MBS
USGSE
US
N
2
2026-02-20
Floating
3
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008830 G2 03/26 FLOATING VAR
36202KY33
29716.740000
PA
USD
30392.680000
0.0020553
Long
ABS-MBS
USGSE
US
N
2
2026-03-20
Floating
3
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 008865 G2 05/26 FLOATING VAR
36202KZ65
17733.210000
PA
USD
18156.490000
0.0012279
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
GNMA II POOL 008949 G2 08/26 FLOATING VAR
36202K5J0
1610.200000
PA
USD
1640.570000
0.0001109
Long
ABS-MBS
USGSE
US
N
2
2026-08-20
Floating
2.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080060 G2 04/27 FLOATING VAR
36225CB62
34016.000000
PA
USD
35240.730000
0.0023832
Long
ABS-MBS
USGSE
US
N
2
2027-04-20
Floating
2.875
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080086 G2 06/27 FLOATING VAR
36225CCY0
2737.020000
PA
USD
2825.170000
0.0001911
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
GNMA II POOL 080092 G2 07/27 FLOATING VAR
36225CC61
55992.400000
PA
USD
56865.060000
0.0038456
Long
ABS-MBS
USGSE
US
N
2
2027-07-20
Floating
2.25
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080143 G2 12/27 FLOATING VAR
36225CER3
16178.280000
PA
USD
16751.690000
0.0011329
Long
ABS-MBS
USGSE
US
N
2
2027-12-20
Floating
2.125
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080156 G2 01/28 FLOATING VAR
36225CE69
22836.840000
PA
USD
23526.750000
0.0015910
Long
ABS-MBS
USGSE
US
N
2
2028-01-20
Floating
3
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 080171 G2 02/28 FLOATING VAR
36225CFM3
3724.680000
PA
USD
3756.880000
0.0002541
Long
ABS-MBS
USGSE
US
N
2
2028-02-20
Floating
3
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 082793 G2 04/41 FLOATING VAR
36225FC72
1268853.930000
PA
USD
1335779.620000
0.0903339
Long
ABS-MBS
USGSE
US
N
2
2041-04-20
Floating
2.875
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H32
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H32 FA
38376RMP8
2103332.730000
PA
USD
2136677.070000
0.1444956
Long
ABS-MBS
USGSE
US
N
2
2065-12-20
Floating
0.8695
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H02 FH
38376RPV2
4295414.550000
PA
USD
4399336.090000
0.2975109
Long
ABS-MBS
USGSE
US
N
2
2066-01-20
Floating
1.1195
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H04 FB
38376RRA6
305900.610000
PA
USD
311129.740000
0.0210406
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
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FE
38376RRG3
340079.010000
PA
USD
349924.300000
0.0236641
Long
ABS-MBS
USGSE
US
N
2
2066-03-20
Floating
1.2695
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FK
38376RRL2
1120537.040000
PA
USD
1147420.960000
0.0775959
Long
ABS-MBS
USGSE
US
N
2
2066-03-20
Floating
1.1195
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FM
38376RRJ7
4719.650000
PA
USD
4737.700000
0.0003204
Long
ABS-MBS
USGSE
US
N
2
2066-02-20
Floating
0.8895
N
N
N
N
N
N
GREENPOINT MTGE FUNDING TR 2005-AR5
N/A
GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1
39538WEA2
171162.430000
PA
USD
154280.230000
0.0104334
Long
ABS-MBS
CORP
US
N
2
2045-11-25
Floating
0.64863
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2014-GC18 2014-GC18
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2014 GC18 A4
36252RAM1
4500000.000000
PA
USD
4854933.000000
0.3283213
Long
ABS-MBS
CORP
US
N
2
2047-01-10
Fixed
4.074
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 A1 144A
36261WAA5
4100000.000000
PA
USD
4171745.900000
0.2821198
Long
ABS-MBS
CORP
US
N
2
2060-12-25
Variable
1.75
N
N
N
N
N
N
GSAMP TRUST 2004-WF
N/A
GSAMP TRUST GSAMP 2004 WF M2
36242DKL6
25680.450000
PA
USD
25997.000000
0.0017581
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
1.75863
N
N
N
N
N
N
GSAMP TRUST 2006-HE4
N/A
GSAMP TRUST GSAMP 2006 HE4 A1
362439AA9
302589.880000
PA
USD
297724.230000
0.0201340
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
0.24863
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2004-2F
N/A
GSR MORTGAGE LOAN TRUST GSR 2004 2F 7A1
36229RLL1
14584.990000
PA
USD
14135.550000
0.0009559
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
0.45863
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2006-AR1
N/A
GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1
3623414A4
27171.900000
PA
USD
27869.710000
0.0018847
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
3.01782
Y
N
N
N
N
N
HALCYON LOAN ADVISORS FUNDING 2014-3 LTD
N/A
HALCYON LOAN ADVISORS FUNDING HLA 2014 3A AR 144A
40538FAQ6
213823.030000
PA
USD
214107.660000
0.0144793
Long
ABS-CBDO
CORP
KY
N
2
2025-10-22
Floating
1.32238
N
N
N
N
N
N
HARLEY-DAVIDSON FINANCIAL SERVICES INC
RLUFFFFW4GRYU77BTS24
HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 06/22 2.55
41283LAQ8
200000.000000
PA
USD
203476.630000
0.0137604
Long
DBT
CORP
US
N
2
2022-06-09
Fixed
2.55
N
N
N
N
N
N
HARVEST CLO XVI DAC 16A
N/A
HARVEST CLO HARVT 16A ARR 144A
ACI1VVSJ9
600000.000000
PA
703327.580000
0.0475635
Long
ABS-CBDO
CORP
IE
N
2
2031-10-15
Floating
0.64
N
N
N
N
N
N
HAWKSMOOR MORTGAGES 19-1A
N/A
HAWKSMOOR MORTGAGES PLC HWKSM 2019 1A A 144A
ACI1DHFV7
3594494.090000
PA
4974154.860000
0.3363838
Long
ABS-MBS
CORP
GB
N
2
2053-05-25
Floating
1.09892
N
N
N
N
N
N
HERA COMMERCIAL MORTGAGE 2021-FL1
N/A
HERA COMMERCIAL MORTGAGE LTD HERA 2021 FL1 A 144A
42704RAA9
2200000.000000
PA
USD
2201880.560000
0.1489051
Long
ABS-CBDO
CORP
KY
N
2
2038-02-18
Floating
1.17
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR
404280CH0
800000.000000
PA
USD
801038.700000
0.0541713
Long
DBT
CORP
GB
N
2
2031-06-04
Floating
2.848
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 07/27 VAR
ACI1WKQ05
1600000.000000
PA
2227670.690000
0.1506492
Long
DBT
CORP
GB
N
2
2027-07-24
Floating
1.75
N
N
N
N
N
N
HSI ASSET SEC CORP TRUST 2006-OPT3
N/A
HSI ASSET SECURITIZATION CORPO HASC 2006 OPT3 M1
40430HFN3
923430.270000
PA
USD
896768.530000
0.0606452
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.43863
N
N
N
N
N
N
IMPAC CMB TR 2003-11
N/A
IMPAC CMB TRUST IMM 2003 11 1A1
45254NFY8
5452.130000
PA
USD
5533.010000
0.0003742
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
0.86863
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 02/23 3.5
453140AB1
300000.000000
PA
USD
312249.580000
0.0211163
Long
DBT
CORP
GB
N
2
2023-02-11
Fixed
3.5
N
N
N
N
N
N
INVESCO EURO CLO I DAC 1A
N/A
INVESCO EURO CLO INVSC 1A A1R 144A
ACI1VT7W8
400000.000000
PA
468560.500000
0.0316870
Long
ABS-CBDO
CORP
IE
N
2
2031-07-15
Floating
0.65
N
N
N
N
N
N
ISRAEL GOVT
213800T8ZHTFZIBYPE21
ISRAEL FIXED BOND BONDS 01/22 5.5
977UCSII1
5800000.000000
PA
1830163.620000
0.1237672
Long
DBT
NUSS
IL
N
2
2022-01-31
Fixed
5.5
N
N
N
N
N
N
ISRAEL GOVT
213800T8ZHTFZIBYPE21
ISRAEL FLOATING RATE BONDS 11/21 VAR
ACI1VWZN0
18100000.000000
PA
5414136.580000
0.3661382
Long
DBT
NUSS
IL
N
2
2021-11-30
Floating
0.05
N
N
N
N
N
N
ITC HOLDINGS CORP
549300HTO5U9D3SLE207
ITC HOLDINGS CORP SR UNSECURED 11/22 2.7
465685AM7
2400000.000000
PA
USD
2478384.770000
0.1676041
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.7
N
N
N
N
N
N
JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM)
5493007YYYNZ4NMEOD64
JAPAN FIN ORG MUNICIPAL SR UNSECURED 144A 04/21 2.125
471068AH9
1800000.000000
PA
USD
1800768.740000
0.1217794
Long
DBT
NUSS
JP
N
2
2021-04-13
Fixed
2.125
N
N
N
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN GOVT CPI LINKED BONDS 03/28 0.1
ACI12NZL6
955690500.000000
PA
8717520.030000
0.5895338
Long
DBT
NUSS
JP
N
2
2028-03-10
Fixed
0.1
N
N
N
N
N
N
JMP CREDIT ADVISORS CLO IIIR LTD 2014-1RA
N/A
JMP CREDIT ADVISORS CLO LTD JMP 2014 1RA A 144A
46649DAA9
1390570.470000
PA
USD
1392110.670000
0.0941433
Long
ABS-CBDO
CORP
KY
N
2
2028-01-17
Floating
1.07338
N
N
N
N
N
N
JUBILEE CLO 2015-XVI BV 15-16A
N/A
JUBILEE CDO BV JUBIL 2015 16A A1R 144A
ACI0YWRZ1
1084929.720000
PA
1270388.660000
0.0859117
Long
ABS-CBDO
CORP
NL
N
2
2029-12-15
Floating
0.258
N
N
N
N
N
N
KVK CLO LTD 2013-1A
N/A
KVK CLO LTD KVK 2013 1A AR 144A
482739AF6
1084722.220000
PA
USD
1083872.010000
0.0732983
Long
ABS-CBDO
CORP
KY
N
2
2028-01-14
Floating
1.13375
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2020-RPL1
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2020 RPL1 A1 144A
52474HAA8
3346144.090000
PA
USD
3500660.990000
0.2367368
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
3
N
N
N
N
N
N
LEHMAN MORTGAGE TRUST 2007-5
N/A
LEHMAN MORTGAGE TRUST LMT 2007 5 4A2
52521RBH3
944242.290000
PA
USD
687331.620000
0.0464817
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.42863
Y
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR
ACI1GWB29
600000.000000
PA
864931.750000
0.0584922
Long
DBT
CORP
GB
N
2
2024-12-27
Floating
5.125
N
N
N
N
Y
LLOYDS BANKING GROUP PLC
LLOYDS BANKING GROUP PLC
GBP
XXXX
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 08/28 4.55
539439AT6
700000.000000
PA
USD
797835.680000
0.0539547
Long
DBT
CORP
GB
N
2
2028-08-16
Fixed
4.55
N
N
N
N
N
N
LONG BEACH MTGE LOAN TRUST 2004-4
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1
542514HN7
49476.290000
PA
USD
48112.060000
0.0032536
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
0.66863
N
N
N
N
N
N
MACKAY SHIELDS EURO CLO-2 DAC 2A
N/A
MACKAY SHIELDS EURO CLO MKSE 2A A 144A
ACI1NGXC0
300000.000000
PA
352803.970000
0.0238588
Long
ABS-CBDO
CORP
IE
N
2
2033-08-15
Floating
1.55
N
N
N
N
N
N
MARATHON CLO V LTD 2013-5A
N/A
MARATHON CLO LTD MCLO 2013 5A A1R 144A
56576QAN8
874104.400000
PA
USD
874644.450000
0.0591490
Long
ABS-CBDO
CORP
KY
N
2
2027-11-21
Floating
1.05238
N
N
N
N
N
N
MARATHON OIL CORPORATION
1FRVQX2CRLGC1XLP5727
MARATHON OIL CORP SR UNSECURED 11/22 2.8
565849AK2
136000.000000
PA
USD
139533.090000
0.0094361
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.8
N
N
N
N
N
N
MARVELL TECHNOLOGY GROUP LTD
8DF36O58U3QIHUCGZB18
MARVELL TECHNOLOGY GROUP SR UNSECURED 06/23 4.2
57385LAA6
1300000.000000
PA
USD
1391553.770000
0.0941057
Long
DBT
CORP
BM
N
2
2023-06-22
Fixed
4.2
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVS 2005-A10
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A10 A
59020UZ65
122669.010000
PA
USD
123920.180000
0.0083803
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.52863
N
N
N
N
N
N
MFA LLC 2018-NPL1
N/A
MFRA TRUST MFRA 2021 NPL1 A1 144A
55282YAA6
1300000.000000
PA
USD
1300798.720000
0.0879682
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Fixed
2.3633
N
N
N
N
N
N
ABU DHABI GOVT
213800FER4348CINTA77
ABU DHABI GOVT INT L SR UNSECURED 144A 10/22 2.5
29135LAC4
2200000.000000
PA
USD
2270567.200000
0.1535501
Long
DBT
NUSS
AE
N
2
2022-10-11
Fixed
2.5
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE7
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2FP
61750MAB1
31956.650000
PA
USD
18255.050000
0.0012345
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
0.18863
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE8
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1
61750SAA0
112737.840000
PA
USD
106957.000000
0.0072331
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.23863
N
N
N
N
N
N
MORGAN STANLEY REREMIC TRUST 2013-R10
N/A
MORGAN STANLEY REREMIC TRUST MSRR 2013 R10 3A 144A
61763GEU3
6480.960000
PA
USD
6488.140000
0.0004388
Long
ABS-MBS
CORP
US
N
2
2051-01-26
Floating
0.73763
N
N
N
N
N
N
MOUNTAIN VIEW CLO LLC 2017-1A
N/A
MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A
62432HAJ9
1700000.000000
PA
USD
1699498.930000
0.1149309
Long
ABS-CBDO
CORP
KY
N
2
2029-10-16
Floating
1.31338
N
N
N
N
N
N
NATIONWIDE BUILDING SOCIETY
549300XFX12G42QIKN82
NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 03/24 VAR
63861VAA5
3400000.000000
PA
USD
3593499.170000
0.2430151
Long
DBT
CORP
GB
N
2
2024-03-08
Floating
3.766
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC SR UNSECURED 06/24 VAR
780097BH3
2000000.000000
PA
USD
2043954.800000
0.1382252
Long
DBT
CORP
GB
N
2
2024-06-25
Floating
1.75063
N
N
N
N
N
N
NAVIENT CORPORATION
54930067J0ZNOEBRW338
NAVIENT CORP SR UNSECURED 07/21 6.625
63938CAD0
100000.000000
PA
USD
101925.000000
0.0068928
Long
DBT
CORP
US
N
2
2021-07-26
Fixed
6.625
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2017-2
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2017 2A A 144A
63939RAA2
2367541.270000
PA
USD
2400642.570000
0.1623466
Long
ABS-O
CORP
US
N
2
2066-12-27
Floating
1.15863
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST 2017-3A
N/A
NELNET STUDENT LOAN TRUST NSLT 2017 3A A 144A
64032KAA1
1745466.850000
PA
USD
1747040.560000
0.1181459
Long
ABS-O
CORP
US
N
2
2066-02-25
Floating
0.95863
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A
64828XAA1
3369278.690000
PA
USD
3517105.790000
0.2378489
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.75
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS INC
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL COMPANY GUAR 03/23 0.65
65339KBU3
7200000.000000
PA
USD
7224386.980000
0.4885587
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
0.65
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/28 2.75
654740BT5
700000.000000
PA
USD
695393.420000
0.0470269
Long
DBT
CORP
US
N
2
2028-03-09
Fixed
2.75
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 07/22 2.65
654740AZ2
1600000.000000
PA
USD
1634778.880000
0.1105541
Long
DBT
CORP
US
N
2
2022-07-13
Fixed
2.65
N
N
N
N
N
N
NISSAN MOTOR CO LTD
353800DRBDH1LUTNAY26
NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345
654744AC5
400000.000000
PA
USD
435369.500000
0.0294424
Long
DBT
CORP
JP
N
2
2027-09-17
Fixed
4.345
N
N
N
N
N
N
NISSAN MOTOR CO LTD
353800DRBDH1LUTNAY26
NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81
654744AD3
600000.000000
PA
USD
658812.200000
0.0445530
Long
DBT
CORP
JP
N
2
2030-09-17
Fixed
4.81
N
N
N
N
N
N
NTT FINANCE CORPORATION
3538007PR116187GD960
NTT FINANCE CORP SR UNSECURED REGS 07/21 1.9
ACI0NPCG6
400000.000000
PA
USD
401959.720000
0.0271831
Long
DBT
CORP
JP
N
2
2021-07-21
Fixed
1.9
N
N
N
N
N
N
OMAN GOVT
549300SZ20F0QTKNQC75
OMAN GOV INTERNTL BOND SR UNSECURED 144A 03/22 3.875
682051AD9
800000.000000
PA
USD
813320.000000
0.0550018
Long
DBT
NUSS
OM
N
2
2022-03-08
Fixed
3.875
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK INC COMPANY GUAR 02/22 4.25
682680AQ6
300000.000000
PA
USD
306359.690000
0.0207180
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
4.25
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 11/21 VAR
694308JR9
3000000.000000
PA
USD
3006011.160000
0.2032855
Long
DBT
CORP
US
N
2
2021-11-15
Floating
1.57263
N
N
N
N
N
N
AFC HOME EQUITY LOAN TR 1998-2
N/A
AFC HOME EQUITY LOAN TRUST AFC 1998 2 2A
00105HDN3
69809.970000
PA
USD
68810.810000
0.0046534
Long
ABS-MBS
CORP
US
N
2
2028-06-25
Floating
0.66763
N
N
N
N
N
N
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP
N/A
PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 02/22 3.375
709599AS3
500000.000000
PA
USD
509295.550000
0.0344418
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
3.375
N
N
N
N
N
N
PERNOD RICARD
52990097YFPX9J0H5D87
PERNOD RICARD SA SR UNSECURED 144A 07/22 4.25
714264AH1
700000.000000
PA
USD
732300.040000
0.0495228
Long
DBT
CORP
FR
N
2
2022-07-15
Fixed
4.25
N
N
N
N
N
N
PRIME MORTGAGE TRUST 2004-CL1
N/A
PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2
74160MDL3
30196.710000
PA
USD
29181.040000
0.0019734
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
0.50863
N
N
N
N
N
N
QATAR GOVT
52990074F6OJOAXK4P65
STATE OF QATAR SR UNSECURED REGS 01/22 4.5
ACI0178P5
900000.000000
PA
USD
930204.000000
0.0629063
Long
DBT
NUSS
QA
N
2
2022-01-20
Fixed
4.5
N
N
N
N
N
N
QATAR GOVT
52990074F6OJOAXK4P65
STATE OF QATAR SR UNSECURED REGS 04/23 3.875
ACI122SK2
2600000.000000
PA
USD
2774621.200000
0.1876374
Long
DBT
NUSS
QA
N
2
2023-04-23
Fixed
3.875
N
N
N
N
N
N
RESIDENTIAL ASSET SEC CORP 2006-EMX7
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX7 A3
74924TAC8
74768.200000
PA
USD
73794.490000
0.0049905
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.40863
N
N
N
N
N
N
RIPON MORTGAGES PLC 1A
N/A
RIPON MORTGAGES RIPON 1A A1 144A
ACI0TMV43
7213525.650000
PA
9960893.470000
0.6736186
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
RIPON MORTGAGES RIPON 1X A1 REGS
ACI0TMVB7
253106.160000
PA
349505.030000
0.0236357
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
RIPON MORTGAGES RIPON 1X A2 REGS
ACI0WLGW6
2214678.930000
PA
3058091.510000
0.2068075
Long
ABS-MBS
CORP
GB
N
2
2056-08-20
Floating
0.86013
N
N
N
N
N
N
RYDER SYSTEM INC
ZXJ6Y2OSPZXIVGRILD15
RYDER SYSTEM INC SR UNSECURED 09/22 2.5
78355HKF5
300000.000000
PA
USD
307854.560000
0.0208191
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
2.5
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS LIQUEFACTION SR SECURED 03/25 5.625
785592AM8
400000.000000
PA
USD
457597.940000
0.0309457
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.625
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS LIQUEFACTION SR SECURED 04/23 5.625
785592AD8
900000.000000
PA
USD
976490.310000
0.0660365
Long
DBT
CORP
US
N
2
2023-04-15
Variable
5.625
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 08/23 4.6
80007RAB1
1300000.000000
PA
USD
1393457.000000
0.0942344
Long
DBT
CORP
KY
N
2
2023-08-08
Fixed
4.6
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 08/25 5.125
80007RAF2
1300000.000000
PA
USD
1456474.500000
0.0984960
Long
DBT
CORP
KY
N
2
2025-08-08
Fixed
5.125
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS SR UNSECURED 11/24 VAR
80281LAJ4
1200000.000000
PA
USD
1321296.550000
0.0893544
Long
DBT
CORP
GB
N
2
2024-11-15
Floating
4.796
N
N
N
N
N
N
SAUDI ARABIA GOVT
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND SR UNSECURED REGS 03/23 2.875
ACI0Y0CZ7
300000.000000
PA
USD
312228.000000
0.0211148
Long
DBT
NUSS
SA
N
2
2023-03-04
Fixed
2.875
N
N
N
N
N
N
SAUDI ARABIA GOVT
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/21 2.375
ACI0QG399
2400000.000000
PA
USD
2426640.000000
0.1641047
Long
DBT
NUSS
SA
N
2
2021-10-26
Fixed
2.375
N
N
N
N
N
N
SAUDI ARABIA GOVT
635400FMICXSM3SI3H65
SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/25 2.9
ACI1LTBF1
900000.000000
PA
USD
955620.900000
0.0646251
Long
DBT
NUSS
SA
N
2
2025-10-22
Fixed
2.9
N
N
N
N
N
N
SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL CO SR UNSECURED 144A 11/23 1.25
80414L2G9
600000.000000
PA
USD
604357.520000
0.0408705
Long
DBT
CORP
SA
N
2
2023-11-24
Fixed
1.25
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA TOWER TRUST ASSET BACKED 144A 04/47 3.168
78403DAL4
800000.000000
PA
USD
802142.400000
0.0542459
Long
DBT
CORP
US
N
2
2047-04-09
Fixed
3.168
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2003-10A
N/A
SLM STUDENT LOAN TRUST SLMA 2003 10A A3 144A
78442GJG2
589430.980000
PA
USD
589677.300000
0.0398777
Long
ABS-O
CORP
US
N
2
2027-12-15
Floating
0.65388
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2003-5
N/A
SLM STUDENT LOAN TRUST SLMA 2003 5 A5
B010CSII5
237177.640000
PA
278450.750000
0.0188306
Long
ABS-O
CORP
US
N
2
2024-06-17
Floating
0
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 A A2FX 144A
83406TAB8
3500000.000000
PA
USD
3605186.900000
0.2438055
Long
ABS-O
CORP
US
N
2
2046-05-15
Fixed
2.54
N
N
N
N
N
N
SOUND POINT CLO XII LTD 2016-2A
N/A
SOUND POINT CLO LTD SNDPT 2016 2A AR2 144A
83610CAW1
2450000.000000
PA
USD
2453285.160000
0.1659067
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
1.274
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LN TR 2006-3
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A3
83612HAC2
29941.300000
PA
USD
29862.280000
0.0020195
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.42863
N
N
N
N
N
N
SOUTHERN PACIFIC FINANCING PLC 2005-B
N/A
SOUTHERN PACIFIC FINANCING PLC SPF 2005 B A REGS
99UYQXII7
106381.160000
PA
146424.670000
0.0099022
Long
ABS-MBS
CORP
GB
N
2
2043-06-10
Floating
0.25725
N
N
N
N
N
N
SPECIALTY UNDERWRITING & RESID 2005-BC2
N/A
SPECIALTY UNDERWRITING + RESID SURF 2005 BC2 M3
84751PFW4
221801.700000
PA
USD
222009.620000
0.0150137
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
1.08363
N
N
N
N
N
N
ST PAULS CLO 4A
N/A
ST PAULS CLO SPAUL 4A AR1 144A
BF2T19II2
600000.000000
PA
704616.770000
0.0476506
Long
ABS-CBDO
CORP
IE
N
2
2030-04-25
Floating
0.85
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC SR UNSECURED 144A 01/25 VAR
853254BY5
1100000.000000
PA
USD
1094599.660000
0.0740238
Long
DBT
CORP
GB
N
2
2025-01-12
Floating
0.991
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC SR UNSECURED 144A 09/22 VAR
853254BR0
1000000.000000
PA
USD
1004223.760000
0.0679120
Long
DBT
CORP
GB
N
2
2022-09-10
Floating
1.3825
N
N
N
N
N
N
STATE GRID OVERSEAS INVESTMENT (2016) LIMITED
3003006V8BHG5158QO96
STATE GRID OVERSEAS INV COMPANY GUAR REGS 05/23 3.75
G8450LAN4
2400000.000000
PA
USD
2544616.340000
0.1720831
Long
DBT
CORP
VG
N
2
2023-05-02
Fixed
3.75
N
N
N
N
N
N
STRUCTURED ADJUSTABLE RT MTGE LN 2005-18
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2005 18 6A1
863579XK9
569928.020000
PA
USD
556985.070000
0.0376669
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.98997
Y
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2005-AR5
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3
86359LPF0
207850.840000
PA
USD
210728.910000
0.0142508
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
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A
86359LRW1
214259.470000
PA
USD
205879.870000
0.0139229
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.66863
Y
N
N
N
N
N
STRUCTURED ASSET MTGE INV 1999-1
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 1999 1 2A
86358HGW3
59908.300000
PA
USD
59516.840000
0.0040249
Long
ABS-MBS
CORP
US
N
2
2029-06-25
Floating
6.14329
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T MOBILE USA INC COMPANY GUAR 02/26 2.25
87264ABR5
200000.000000
PA
USD
201688.000000
0.0136394
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T MOBILE USA INC COMPANY GUAR 02/31 2.875
87264ABT1
400000.000000
PA
USD
387100.000000
0.0261782
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.875
N
N
N
N
N
N
TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC
N/A
TOWD POINT MORTGAGE FUNDING TPMF 2019 GR4A A1 144A
ACI19VH23
1577406.730000
PA
2188666.140000
0.1480114
Long
ABS-MBS
CORP
GB
N
2
2051-10-20
Floating
1.05838
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2017-6
N/A
TOWD POINT MORTGAGE TRUST TPMT 2017 6 A1 144A
89175JAA8
4585105.660000
PA
USD
4718016.870000
0.3190621
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Variable
2.75
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-4
N/A
TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A
89178BAA2
3560324.240000
PA
USD
3724859.640000
0.2518986
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
2.9
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-HY2
N/A
TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A
89177HAA0
3925644.750000
PA
USD
3962923.070000
0.2679979
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Floating
1.10863
N
N
N
N
N
N
TRALEE CLO V LTD 2018-5A
N/A
TRALEE CLO LTD TRAL 2018 5A A1 144A
89300JAA6
2887418.390000
PA
USD
2888138.510000
0.1953142
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
1.334
N
N
N
N
N
N
TRINITY SQUARE 2015-1A
N/A
TRINITY SQUARE TRINI 2015 1A A 144A
ACI0JGC63
1039096.180000
PA
1434824.950000
0.0970319
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
TRINITY SQUARE TRINI 2021 1A A 144A
ACI1WK7V8
10400000.000000
PA
14338506.760000
0.9696605
Long
ABS-MBS
CORP
GB
N
2
2059-07-15
Floating
0.89832
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 02/22 VAR
90351DAG2
300000.000000
PA
USD
303858.660000
0.0205488
Long
DBT
CORP
CH
N
2
2022-02-01
Floating
1.735
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 01/27 VAR
902613AC2
800000.000000
PA
USD
788904.890000
0.0533507
Long
DBT
CORP
CH
N
2
2027-01-30
Floating
1.364
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE
01F020661
12900000.000000
PA
USD
12826933.760000
0.8674384
Long
ABS-MBS
USGSE
US
N
2
2051-06-14
Fixed
2
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
01F030660
2000000.000000
PA
USD
2082499.980000
0.1408318
Long
ABS-MBS
USGSE
US
N
2
2051-06-14
Fixed
3
N
N
N
N
N
N
AMERIQUEST MTGE SECURITIES INC 2004-R12
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M2
03072SXE0
1189029.170000
PA
USD
1189058.300000
0.0804116
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
1.02363
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
CASH MGMT BILL 06/21 0.00000
912796H36
45727000.000000
PA
USD
45726434.810000
3.0923108
Long
DBT
UST
US
N
2
2021-06-29
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
CASH MGMT BILL 07/21 0.00000
912796J26
46400000.000000
PA
USD
46398156.990000
3.1377369
Long
DBT
UST
US
N
2
2021-07-20
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 05/21 0.00000
9127962Y4
17400000.000000
PA
USD
17399763.190000
1.1766820
Long
DBT
UST
US
N
2
2021-05-20
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 06/21 0.00000
912796A41
5200000.000000
PA
USD
5199909.000000
0.3516507
Long
DBT
UST
US
N
2
2021-06-03
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 07/21 0.00000
912796B40
19400000.000000
PA
USD
19399019.140000
1.3118844
Long
DBT
UST
US
N
2
2021-07-01
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 07/21 0.00000
912796C56
4400000.000000
PA
USD
4399781.850000
0.2975411
Long
DBT
UST
US
N
2
2021-07-29
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 08/21 0.00000
912796D48
225200000.000000
PA
USD
225185258.410000
15.2284515
Long
DBT
UST
US
N
2
2021-08-19
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 09/21 0.00000
912796D63
45200000.000000
PA
USD
45196132.680000
3.0564484
Long
DBT
UST
US
N
2
2021-09-02
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/28 0.5
9128283R9
9861069.000000
PA
USD
10989261.780000
0.7431634
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.5
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/43 0.625
912810RA8
113760.000000
PA
USD
128757.550000
0.0087074
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/44 1.375
912810RF7
2020014.000000
PA
USD
2643506.900000
0.1787707
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.375
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/45 0.75
912810RL4
1332828.000000
PA
USD
1544978.540000
0.1044812
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/46 1
912810RR1
993447.000000
PA
USD
1218889.450000
0.0824290
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/48 1
912810SB5
424248.000000
PA
USD
528819.380000
0.0357621
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/49 1
912810SG4
2941473.700000
PA
USD
3689955.390000
0.2495381
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/28 0.75
912828Y38
2813265.000000
PA
USD
3210117.270000
0.2170884
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/30 0.125
912828ZZ6
2652286.000000
PA
USD
2881266.820000
0.1948495
Long
DBT
UST
US
N
2
2030-07-15
Fixed
0.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 02/26 1.625
912828P46
600000.000000
PA
USD
620671.870000
0.0419738
Long
DBT
UST
US
N
2
2026-02-15
Fixed
1.625
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 02/49 3
912810SF6
4000000.000000
PA
USD
4495390.640000
0.3040067
Long
DBT
UST
US
N
2
2049-02-15
Fixed
3
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 04/24 2
912828X70
300000.000000
PA
USD
314935.550000
0.0212979
Long
DBT
UST
US
N
2
2024-04-30
Fixed
2
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 08/21 2.75
9128284W7
2500000.000000
PA
USD
2525681.150000
0.1708025
Long
DBT
UST
US
N
2
2021-08-15
Fixed
2.75
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 09/21 2.125
912828F21
115400000.000000
PA
USD
116604876.400000
7.8855593
Long
DBT
UST
US
N
2
2021-09-30
Fixed
2.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 09/23 1.375
912828T26
13360000.000000
PA
USD
13741229.740000
0.9292689
Long
DBT
UST
US
N
2
2023-09-30
Fixed
1.375
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 09/23 2.875
9128285D8
1620000.000000
PA
USD
1726470.710000
0.1167549
Long
DBT
UST
US
N
2
2023-09-30
Fixed
2.875
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 09/25 3
9128285C0
4900000.000000
PA
USD
5380525.410000
0.3638652
Long
DBT
UST
US
N
2
2025-09-30
Fixed
3
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 10/25 3
9128285J5
5000000.000000
PA
USD
5492675.800000
0.3714495
Long
DBT
UST
US
N
2
2025-10-31
Fixed
3
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 11/23 2.875
9128285P1
1380000.000000
PA
USD
1475387.100000
0.0997750
Long
DBT
UST
US
N
2
2023-11-30
Fixed
2.875
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 11/39 4.375
912810QD3
2800000.000000
PA
USD
3744343.740000
0.2532162
Long
DBT
UST
US
N
2
2039-11-15
Fixed
4.375
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 12/25 2.625
9128285T3
2000000.000000
PA
USD
2164648.440000
0.1463872
Long
DBT
UST
US
N
2
2025-12-31
Fixed
2.625
N
N
N
N
N
N
UTAH STATE BOARD OF REGENTS 2017-1
N/A
STATE BOARD OF REGENTS OF THE USBR 2017 1 A
91754RZF7
1190046.250000
PA
USD
1193598.420000
0.0807187
Long
ABS-O
MUN
US
N
2
2057-01-25
Floating
0.85863
N
N
N
N
N
N
VENTURE CDO LTD 2018-35A
N/A
VENTURE CDO LTD VENTR 2018 35A AS 144A
92331XAC8
2300000.000000
PA
USD
2301606.440000
0.1556492
Long
ABS-CBDO
CORP
KY
N
2
2031-10-22
Floating
1.87238
N
N
N
N
N
N
VENTURE CLO LTD 2013-4A
N/A
VENTURE CDO LTD VENTR 2013 14A ARR 144A
92328GBA3
1700000.000000
PA
USD
1703905.820000
0.1152289
Long
ABS-CBDO
CORP
KY
N
2
2029-08-28
Floating
1.2205
N
N
N
N
N
N
VENTURE XXVII CLO LTD 2017-27A
N/A
VENTURE CDO LTD VENTR 2017 27A AR 144A
92331LBC3
1000000.000000
PA
USD
998759.030000
0.0675424
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.23138
N
N
N
N
N
N
AQUEDUCT EUROPEAN CLO 1-2017 DAC
N/A
AQUEDUCT EUROPEAN CLO AQUE 2017 1A AR 144A
ACI1VHTC4
900000.000000
PA
1055330.340000
0.0713681
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
WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A
929227LE4
185007.110000
PA
USD
189202.630000
0.0127951
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
WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A
929227XB7
26538.700000
PA
USD
26151.920000
0.0017686
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
WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A
929227QB5
70073.910000
PA
USD
69439.190000
0.0046959
Long
ABS-MBS
CORP
US
N
2
2042-06-25
Floating
1.65903
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR13
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1
92922F4M7
71090.800000
PA
USD
71098.810000
0.0048082
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
0.68863
N
N
N
N
N
N
ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL1
N/A
ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL1 A 144A
03881CAA9
6700000.000000
PA
USD
6703315.160000
0.4533206
Long
ABS-CBDO
CORP
KY
N
2
2035-12-15
Floating
1.1
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED REGS 03/30 0.625
U94974KM0
900000.000000
PA
1050527.540000
0.0710433
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
0.625
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED REGS 05/25 VAR
ACI1M1519
400000.000000
PA
487374.130000
0.0329593
Long
DBT
CORP
US
N
2
2025-05-04
Floating
1.338
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED REGS 05/30 VAR
ACI1M15X9
1300000.000000
PA
1652767.040000
0.1117706
Long
DBT
CORP
US
N
2
2030-05-04
Floating
1.741
N
N
N
N
N
N
Z CAPITAL CREDIT PARTNERS CLO LTD 2015-1
N/A
Z CAPITAL CREDIT PARTNERS CLO ZCCP 2015 1A A1R 144A
98877EAG8
661377.900000
PA
USD
661806.090000
0.0447555
Long
ABS-CBDO
CORP
KY
N
2
2027-07-16
Floating
1.17338
N
N
N
N
N
N
N/A
N/A
J P MORGAN TERM REPO
000000000
81700000.000000
PA
USD
81700000.000000
5.5250708
Long
RA
US
N
2
Repurchase
N
0.0200000
2021-04-01
76443696.000000
USD
83279551.970000
USD
UST
N
N
N
N/A
N/A
REPO BANK AMERICA REPO
000000000
50000000.000000
PA
USD
50000000.000000
3.3813163
Long
RA
US
N
2
Repurchase
N
0.0300000
2021-04-05
42894000.000000
USD
50128758.580000
USD
UST
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
-25076.810000
-0.0016959
N/A
DFE
BR
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1460409.370000
USD
8078984.610000
BRL
2021-04-05
-25076.810000
N
N
N
N/A
N/A
BOUGHT CAD/SOLD USD
000000000
1.000000
NC
12250.620000
0.0008285
N/A
DFE
CA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3243985.270000
USD
4092000.000000
CAD
2021-04-07
12250.620000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
1643.920000
0.0001112
N/A
DFE
RU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
159539.150000
USD
12211733.000000
RUB
2021-04-22
1643.920000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-1000.390000
-0.0000677
N/A
DFE
RU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
92641.320000
USD
6995105.000000
RUB
2021-06-22
-1000.390000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
25692.840000
0.0017375
N/A
DFE
BR
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
8078984.610000
BRL
1458550.580000
USD
2021-05-04
25692.840000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
604420.500000
0.0408747
N/A
DFE
GB
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
16273000.000000
GBP
23038434.660000
USD
2021-04-07
604420.500000
N
N
N
N/A
N/A
BOUGHT MXN/SOLD USD
000000000
1.000000
NC
2.280000
0.0000002
N/A
DFE
MX
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
5355.800000
USD
111000.000000
MXN
2021-08-05
2.280000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
443.250000
0.0000300
N/A
DFE
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
101000.000000
GBP
139682.200000
USD
2021-04-07
443.250000
N
N
N
N/A
N/A
BERKSHIRE HATHAWAY INC SNR S* ICE
000000000
1.000000
NC
USD
4199.240000
0.0002840
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BERKSHIRE HATHAWAY INC
BERKSHIRE HATHAWAY INC SR UNSEC
Y
Single Leg Swap
2021-12-21
13367.670000
USD
0.000000
USD
600000.000000
USD
-9168.430000
N
N
N
N/A
N/A
BERKSHIRE HATHAWAY INC SNR S* ICE
000000000
1.000000
NC
USD
2228.860000
0.0001507
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BERKSHIRE HATHAWAY INC
BERKSHIRE HATHAWAY INC SR UNSEC
Y
Single Leg Swap
2022-06-21
4278.690000
USD
0.000000
USD
200000.000000
USD
-2049.830000
N
N
N
N/A
N/A
BOEING CO/THE SNR S* ICE
000000000
1.000000
NC
USD
1413.760000
0.0000956
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BOEING CO/THE
BOEING CO DEBENTURES SR UNSEC
Y
Single Leg Swap
2022-12-21
56.540000
USD
0.000000
USD
200000.000000
USD
1357.220000
N
N
N
N/A
N/A
CDX EM34 ICE
000000000
1.000000
NC
USD
-159599.060000
-0.0107931
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.EM.34
Y
Single Leg Swap
2025-12-21
0.000000
USD
-99000.000000
USD
3300000.000000
USD
-60599.060000
N
N
N
N/A
N/A
CDX EM35 ICE
000000000
1.000000
NC
USD
-99287.740000
-0.0067145
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.EM.35
Y
Single Leg Swap
2026-06-21
0.000000
USD
-86700.000000
USD
2400000.000000
USD
-12587.740000
N
N
N
N/A
N/A
CDX HY35 5Y ICE
000000000
1.000000
NC
USD
829135.130000
0.0560714
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.NA.HY.35
Y
Single Leg Swap
2025-12-21
820600.000000
USD
0.000000
USD
9000000.000000
USD
8535.130000
N
N
N
N/A
N/A
CDX HY36 5Y ICE
000000000
1.000000
NC
USD
280956.190000
0.0190000
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.NA.HY.36
Y
Single Leg Swap
2026-06-21
263190.000000
USD
0.000000
USD
3100000.000000
USD
17766.190000
N
N
N
N/A
N/A
CDX IG35 5Y ICE
000000000
1.000000
NC
USD
1714597.560000
0.1159519
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.NA.IG.35
Y
Single Leg Swap
2025-12-21
1663621.250000
USD
0.000000
USD
70900000.000000
USD
50976.310000
N
N
N
N/A
N/A
CDX IG36 5Y ICE
000000000
1.000000
NC
USD
1095446.100000
0.0740810
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
CDX.NA.IG.36
Y
Single Leg Swap
2026-06-21
1016511.290000
USD
0.000000
USD
46300000.000000
USD
78934.810000
N
N
N
N/A
N/A
BOUGHT DKK/SOLD USD
000000000
1.000000
NC
-441.570000
-0.0000299
N/A
DFE
DK
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
99462.550000
USD
628097.000000
DKK
2021-04-09
-441.570000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-6348.580000
-0.0004293
N/A
DFE
RU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
418186.380000
USD
31305140.000000
RUB
2021-05-21
-6348.580000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-2032.480000
-0.0001374
N/A
DFE
RU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
98973.850000
USD
7399696.000000
RUB
2021-06-22
-2032.480000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-2258.800000
-0.0001528
N/A
DFE
RU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
96678.210000
USD
7207191.000000
RUB
2021-06-22
-2258.800000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
-5591.660000
-0.0003781
N/A
DFE
RU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
236916.610000
USD
17657419.000000
RUB
2021-06-22
-5591.660000
N
N
N
N/A
N/A
SOLD DKK/BOUGHT USD
000000000
1.000000
NC
441.320000
0.0000298
N/A
DFE
DK
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
628097.000000
DKK
99610.320000
USD
2021-07-01
441.320000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
14962.680000
0.0010119
N/A
DFE
N/A
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
952000.000000
EUR
1131396.210000
USD
2021-04-07
14962.680000
N
N
N
N/A
N/A
SOLD ILS/BOUGHT USD
000000000
1.000000
NC
43060.180000
0.0029120
N/A
DFE
IL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
8602150.000000
ILS
2627573.460000
USD
2021-11-30
43060.180000
N
N
N
N/A
N/A
SOLD ILS/BOUGHT USD
000000000
1.000000
NC
41463.880000
0.0028040
N/A
DFE
IL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
9502850.000000
ILS
2896592.190000
USD
2021-11-30
41463.880000
N
N
N
2021-05-05
PIMCO Funds
/s/ Jason Nagler
Jason Nagler
Assistant Treasurer