0000916183-22-000010.txt : 20220228
0000916183-22-000010.hdr.sgml : 20220228
20220228135203
ACCESSION NUMBER: 0000916183-22-000010
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220228
PERIOD START: 20220630
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIMCO STRATEGIC INCOME FUND, INC
CENTRAL INDEX KEY: 0000916183
IRS NUMBER: 943194834
STATE OF INCORPORATION: MD
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-08216
FILM NUMBER: 22687142
BUSINESS ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
BUSINESS PHONE: 212 739 4000
MAIL ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
FORMER COMPANY:
FORMER CONFORMED NAME: PIMCO STRATEGIC GLOBAL GOVERNMENT FUND INC
DATE OF NAME CHANGE: 20041005
FORMER COMPANY:
FORMER CONFORMED NAME: RCM STRATEGIC GLOBAL GOVERNMENT FUND INC
DATE OF NAME CHANGE: 19931214
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Y
2023-12-15
0.000000
USD
-3520.000000
USD
85300000.000000
USD
684496.080000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625
BJSF9FII4
1300000.000000
PA
1510700.330000
0.5470109
Long
DBT
CORP
IT
N
2
2024-09-24
Fixed
3.625
N
N
N
N
N
N
N/A
N/A
IRS USD 1.00000 06/17/20-3Y CME
000000000
1.000000
NC
USD
-14321.880000
-0.0051858
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2023-06-19
0.000000
USD
-76086.110000
USD
3400000.000000
USD
61764.230000
N
N
N
N/A
N/A
IRS USD 1.00000 12/16/20-10Y CME
000000000
1.000000
NC
USD
222949.190000
0.0807279
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2030-12-16
28212.270000
USD
0.000000
USD
4805000.000000
USD
194736.920000
N
N
N
N/A
N/A
IRS USD 1.15000 12/11/20-30Y CME
000000000
1.000000
NC
USD
2425879.600000
0.8783890
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2050-12-12
35805.270000
USD
0.000000
USD
17500000.000000
USD
2390074.330000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR
ACI0ZY1X9
400000.000000
PA
360619.750000
0.1305771
Long
DBT
CORP
IT
N
2
2028-01-18
Floating
5.375
N
N
N
N
Y
BANCA MONTE DEI PASCHI DI SIENA SPA
BANCA MONTE DEI PASCHI SIENA
EUR
XXXX
N
N
N
N/A
N/A
IRS USD 1.25000 12/16/20-30Y CME
000000000
1.000000
NC
USD
1035852.860000
0.3750729
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2050-12-16
908775.060000
USD
0.000000
USD
9000000.000000
USD
127077.800000
N
N
N
N/A
N/A
IRS USD 1.35000 01/20/22-5Y CME
000000000
1.000000
NC
USD
4328.000000
0.0015671
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2027-01-20
0.000000
USD
0.000000
USD
3200000.000000
USD
4328.000000
N
N
N
N/A
N/A
IRS USD 1.35000 02/03/22-10Y LCH
000000000
1.000000
NC
USD
2148541.560000
0.7779674
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2032-02-03
0.000000
USD
-717625.890000
USD
95700000.000000
USD
2866167.450000
N
N
N
N/A
N/A
IRS USD 1.36000 02/15/22-5Y CME
000000000
1.000000
NC
USD
4224.850000
0.0015298
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2027-02-16
0.000000
USD
0.000000
USD
2130000.000000
USD
4224.850000
N
N
N
N/A
N/A
IRS USD 1.37000 08/25/21-7Y CME
000000000
1.000000
NC
USD
10001.170000
0.0036213
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-08-25
0.000000
USD
0.000000
USD
11363000.000000
USD
10001.170000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR
ACI1J42S1
1304000.000000
PA
1240668.300000
0.4492347
Long
DBT
CORP
IT
N
2
2030-01-22
Floating
8
N
N
N
N
N
N
N/A
N/A
IRS USD 1.42000 02/24/22-5Y CME
000000000
1.000000
NC
USD
-548.400000
-0.0001986
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2027-02-24
0.000000
USD
0.000000
USD
1000000.000000
USD
-548.400000
N
N
N
N/A
N/A
IRS USD 1.42000 08/17/21-7Y CME
000000000
1.000000
NC
USD
-11122.690000
-0.0040274
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-08-17
0.000000
USD
0.000000
USD
3800000.000000
USD
-11122.690000
N
N
N
N/A
N/A
IRS USD 1.45000 02/17/22-5Y CME
000000000
1.000000
NC
USD
-8113.700000
-0.0029379
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2027-02-17
0.000000
USD
0.000000
USD
3500000.000000
USD
-8113.700000
N
N
N
N/A
N/A
IRS USD 1.45000 04/07/21-30Y LCH
000000000
1.000000
NC
USD
220165.130000
0.0797198
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2051-04-07
0.000000
USD
0.000000
USD
3500000.000000
USD
220165.130000
N
N
N
N/A
N/A
IRS USD 1.50000 01/12/22-7Y CME
000000000
1.000000
NC
USD
-2996.460000
-0.0010850
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2029-01-12
0.000000
USD
0.000000
USD
2365000.000000
USD
-2996.460000
N
N
N
N/A
N/A
IRS USD 1.50000 12/15/21-7Y CME
000000000
1.000000
NC
USD
164582.040000
0.0595937
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-12-15
1189694.450000
USD
0.000000
USD
66541000.000000
USD
-1025112.410000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5
ACI1DBG64
1360000.000000
PA
1477475.580000
0.5349805
Long
DBT
CORP
IT
N
2
2029-07-23
Fixed
10.5
N
N
N
N
N
N
N/A
N/A
IRS USD 1.50000 12/18/19-10Y CME
000000000
1.000000
NC
USD
-3414.650000
-0.0012364
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2029-12-18
0.000000
USD
-68448.860000
USD
4500000.000000
USD
65034.210000
N
N
N
N/A
N/A
IRS USD 1.50000 12/18/19-5Y CME
000000000
1.000000
NC
USD
-142738.230000
-0.0516842
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2024-12-18
45676.000000
USD
0.000000
USD
14000000.000000
USD
-188414.230000
N
N
N
N/A
N/A
IRS USD 1.65000 04/08/21-30Y LCH
000000000
1.000000
NC
USD
-216340.360000
-0.0783349
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2051-04-10
0.000000
USD
0.000000
USD
14600000.000000
USD
-216340.360000
N
N
N
N/A
N/A
IRS USD 1.75000 01/22/20-30Y CME
000000000
1.000000
NC
USD
-37677.050000
-0.0136425
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2050-01-24
0.000000
USD
-9477.360000
USD
4100000.000000
USD
-28199.690000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR
ACI1R35P7
400000.000000
PA
392299.190000
0.1420480
Long
DBT
CORP
IT
N
2
2030-09-10
Floating
8.5
N
N
N
N
N
N
N/A
N/A
IRS USD 1.75000 12/15/21-10Y LCH
000000000
1.000000
NC
USD
-340220.260000
-0.1231907
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2031-12-15
0.000000
USD
-299018.950000
USD
19500000.000000
USD
-41201.310000
N
N
N
N/A
N/A
IRS USD 1.87500 02/07/20-30Y CME
000000000
1.000000
NC
USD
-52788.410000
-0.0191142
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2050-02-07
0.000000
USD
-5422.950000
USD
1400000.000000
USD
-47365.460000
N
N
N
N/A
N/A
IRS USD 2.00000 01/15/20-30Y CME
000000000
1.000000
NC
USD
-300095.550000
-0.1086619
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2050-01-18
0.000000
USD
-31677.430000
USD
4400000.000000
USD
-268418.120000
N
N
N
N/A
N/A
IRS USD 2.00000 06/20/18-7Y CME
000000000
1.000000
NC
USD
-223588.210000
-0.0809593
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2025-06-20
398633.230000
USD
0.000000
USD
8400000.000000
USD
-622221.440000
N
N
N
N/A
N/A
IRS USD 3.00000 06/19/19-10Y CME
000000000
1.000000
NC
USD
7062045.580000
2.5571027
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2029-06-19
5159342.830000
USD
0.000000
USD
65000000.000000
USD
1902702.750000
N
N
N
N/A
N/A
IRS USD 3.00000 06/19/19-5Y CME
000000000
1.000000
NC
USD
-1568711.780000
-0.5680163
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2024-06-19
0.000000
USD
-1240779.780000
USD
32500000.000000
USD
-327932.000000
N
N
N
N/A
N/A
IRS ZAR 5.87300 05/12/21-5Y CME
000000000
1.000000
NC
-78528.040000
-0.0284343
N/A
DIR
ZA
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month
Y
2026-05-12
0.000000
ZAR
-2691.070000
ZAR
149000000.000000
ZAR
-75836.970000
N
N
N
N/A
N/A
OIS GBP SONIO/0.75000 03/16/22-30Y LCH
000000000
1.000000
NC
102991.610000
0.0372923
N/A
DIR
GB
N
2
London Clearing house
N/A
SONIA O/N Deposit Rates Swap
N/A
N/A
Y
2052-03-18
0.000000
GBP
-61448.400000
GBP
3500000.000000
GBP
164440.010000
N
N
N
N/A
N/A
OIS GBP SONIO/0.75000 09/21/22-30Y LCH
000000000
1.000000
NC
73949.570000
0.0267765
N/A
DIR
GB
N
2
London Clearing house
N/A
SONIA O/N Deposit Rates Swap
N/A
N/A
Y
2052-09-23
0.000000
GBP
-17314.180000
GBP
2600000.000000
GBP
91263.750000
N
N
N
BANCO DE CREDITO DEL PERU
549300EQYQ8SCQZ4BY14
BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65
05971U2B2
400000.000000
PA
98108.480000
0.0355242
Long
DBT
CORP
PE
N
2
2024-09-17
Fixed
4.65
N
N
N
N
N
N
N/A
N/A
OIS USD SOFR/1.00000 06/15/22-5Y CME
000000000
1.000000
NC
USD
10478.160000
0.0037940
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2027-06-15
11298.460000
USD
0.000000
USD
900000.000000
USD
-820.300000
N
N
N
N/A
N/A
ZCS BRL 3.7 02/26/21-01/03/22 CME
000000000
1.000000
NC
-168738.560000
-0.0610987
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2022-01-03
0.000000
BRL
-33613.260000
BRL
96800000.000000
BRL
-135125.300000
N
N
N
N/A
N/A
ZCS BRL 3.9775 03/10/21-01/03/22 CME
000000000
1.000000
NC
-5938.250000
-0.0021502
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2022-01-03
0.000000
BRL
0.000000
BRL
4100000.000000
BRL
-5938.250000
N
N
N
N/A
N/A
ZCS BRL 4.04 03/11/21-01/03/22 CME
000000000
1.000000
NC
-5772.650000
-0.0020902
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2022-01-03
0.000000
BRL
-17.120000
BRL
4200000.000000
BRL
-5755.530000
N
N
N
N/A
N/A
ZCS BRL 7.655 05/12/21-01/02/24 CME
000000000
1.000000
NC
-568170.140000
-0.2057293
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2024-01-02
0.000000
BRL
0.000000
BRL
79200000.000000
BRL
-568170.140000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
82.680000
0.0000299
N/A
DFE
MX
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
740000.000000
MXN
36121.350000
USD
2022-01-21
82.680000
N
N
N
BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2
N/A
THE BANCORP COMMERCIAL MORTGAG BANC 2017 CRE2 D 144A
05972AAJ9
3300000.000000
PA
USD
2979644.250000
1.0789022
Long
ABS-MBS
CORP
US
N
2
2032-08-15
Floating
3.85975
N
N
N
N
N
N
N/A
N/A
WINDSTREAM HOLDINGS II, LLC 8725909B2
000000000
28052.000000
NC
USD
695016.350000
0.2516591
N/A
DE
US
N
3
None
N/A
Call
Purchased
WINDSTREAM HOLDINGS INC
WINDSTREAM *BACKSTOP COMMITMENT*
N/A
0.000000
USD
2055-09-21
XXXX
565576.730000
N
N
N
BANK OF AMERICA MTGE SECURITIES 2005-A
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A1
05949AH86
6354.310000
PA
USD
6594.070000
0.0023877
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
2.50894
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA REGS 12/49 VAR
ACI0PG9W3
200000.000000
PA
USD
202750.000000
0.0734139
Long
DBT
CORP
GB
N
2
2022-03-15
Floating
7.875
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA REGS VAR
ACI1FNQ32
200000.000000
PA
293731.710000
0.1063576
Long
DBT
CORP
GB
N
2
2025-12-15
Floating
6.375
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA VAR
ACI1CH093
900000.000000
PA
1343796.950000
0.4865767
Long
DBT
CORP
GB
N
2
2025-06-15
Floating
7.125
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
CLEAR CHANNEL OUTDOOR HOLDINGS INC
N/A
CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK
18453H106
291816.000000
NS
USD
965910.960000
0.3497476
Long
EC
CORP
US
N
1
N
N
N
BCAP LLC TRUST 2011-R11
N/A
BCAP LLC TRUST BCAP 2011 R11 8A7 144A
05533FCN9
210478.040000
PA
USD
190688.620000
0.0690466
Long
ABS-MBS
CORP
US
N
2
2036-07-26
Floating
0.48563
N
N
N
N
N
N
BEAR STEARNS COMM MTGE SEC 2005-PW1
N/A
BEAR STEARNS COMMERCIAL MORTGA BSCMS 2005 PW10 C
07387BEG4
711684.930000
PA
USD
679321.560000
0.2459762
Long
ABS-MBS
CORP
US
N
2
2040-12-11
Variable
5.74254
Y
N
N
N
N
N
BEAR STEARNS COMM MTGE SEC 2006-T24
N/A
BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 B 144A
07388NAH9
182858.330000
PA
USD
182369.040000
0.0660342
Long
ABS-MBS
CORP
US
N
2
2041-10-12
Variable
5.657
Y
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-5
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2
073873AK7
226817.340000
PA
USD
143648.800000
0.0520139
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
3.39826
Y
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2005-C
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1
073879U97
224434.120000
PA
USD
218400.990000
0.0790810
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
0.60188
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS JR SUBORDINA 144A 12/99 VAR
05565ASK0
1900000.000000
PA
USD
1910450.000000
0.6917566
Long
DBT
CORP
FR
N
2
2031-02-25
Floating
4.625
N
N
N
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO SR UNSECURED 02/33 6.125
097023AU9
716000.000000
PA
USD
908011.100000
0.3287826
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
6.125
N
N
N
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO SR UNSECURED 05/40 5.705
097023CV5
586000.000000
PA
USD
753749.580000
0.2729259
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.705
N
N
N
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO SR UNSECURED 05/50 5.805
097023CW3
557000.000000
PA
USD
755685.620000
0.2736269
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.805
N
N
N
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO SR UNSECURED 05/60 5.93
097023CX1
878000.000000
PA
USD
1221758.970000
0.4423879
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC SR UNSECURED 144A 03/25 7.5
097751BM2
6000.000000
PA
USD
6119.910000
0.0022160
Long
DBT
CORP
CA
N
2
2025-03-15
Fixed
7.5
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC SR UNSECURED 144A 04/27 7.875
097751BT7
1296000.000000
PA
USD
1345675.680000
0.4872570
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
7.875
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC SR UNSECURED 144A 06/26 7.125
097751BV2
1785000.000000
PA
USD
1854088.430000
0.6713486
Long
DBT
CORP
CA
N
2
2026-06-15
Fixed
7.125
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC SR UNSECURED 144A 12/24 7.5
097751BR1
430000.000000
PA
USD
448565.340000
0.1624214
Long
DBT
CORP
CA
N
2
2024-12-01
Fixed
7.5
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC COMPANY GUAR 11/30 4.15
11135FAQ4
190000.000000
PA
USD
210890.160000
0.0763614
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC COMPANY GUAR 144A 02/41 3.5
11135FBJ9
800000.000000
PA
USD
822534.630000
0.2978323
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
3.5
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC COMPANY GUAR 144A 02/51 3.75
11135FBG5
300000.000000
PA
USD
314394.720000
0.1138395
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.75
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC SR UNSECURED 144A 04/34 3.469
11135FBL4
100000.000000
PA
USD
104799.500000
0.0379469
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
3.469
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC SR UNSECURED 144A 11/35 3.137
11135FBP5
200000.000000
PA
USD
201406.910000
0.0729276
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.137
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC SR UNSECURED 144A 11/36 3.187
11135FBQ3
1110000.000000
PA
USD
1109742.980000
0.4018279
Long
DBT
CORP
US
N
2
2036-11-15
Fixed
3.187
N
N
N
N
N
N
BROOKS AUTOMATION (ALTAR BIDCO INC)
N/A
ALTAR BIDCO, INC. 2021 2ND LIEN TERM LOAN
943ZYXII6
700000.000000
PA
USD
705250.000000
0.2553646
Long
LON
CORP
US
N
2
2029-11-04
Floating
7
N
N
N
N
N
N
CAESARS RESORT COLLECTION LLC (AKA: CAESARS GROWTH PROPERTIES HOLDINGS LLC)
549300V3UCT773B1KR38
CAESARS RESORT COLLECTION LLC TERM B LOANS
12769LAB5
99740.930000
PA
USD
99354.430000
0.0359753
Long
LON
CORP
US
N
2
2024-12-23
Floating
2.8542
N
N
N
N
N
N
CARNIVAL CORPORATION
F1OF2ZSX47CR0BCWA982
CARNIVAL CORPORATION 2021 INCREMENTAL TERM LOAN B
P2121YAS7
465000.000000
PA
USD
460931.250000
0.1668990
Long
LON
CORP
PA
N
2
2028-10-18
Floating
4
N
N
N
N
N
N
CBL & ASSOCIATES HOLDCO II LLC
N/A
CBL + ASSOCIATES HOLD SR SECURED 11/28 7
12511CAC4
27496.000000
PA
USD
52583.060000
0.0190398
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
7
N
N
N
Y
N
CBL & Associates Properties Inc
CBL & Associates Properties Inc
USD
XXXX
N
N
N
CDW LLC / CDW FINANCE CORP
N/A
CDW LLC/CDW FINANCE COMPANY GUAR 12/26 2.67
12513GBG3
800000.000000
PA
USD
821184.000000
0.2973433
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
2.67
N
N
N
N
N
N
CDW LLC / CDW FINANCE CORP
N/A
CDW LLC/CDW FINANCE COMPANY GUAR 12/28 3.276
12513GBH1
200000.000000
PA
USD
205302.000000
0.0743380
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
3.276
N
N
N
N
N
N
CDW LLC / CDW FINANCE CORP
N/A
CDW LLC/CDW FINANCE COMPANY GUAR 12/31 3.569
12513GBJ7
700000.000000
PA
USD
729582.000000
0.2641750
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
3.569
N
N
N
N
N
N
CELLNEX FINANCE COMPANY SA
549300OUROMFTRFA7T23
CELLNEX FINANCE COMPANY GUAR 144A 07/41 3.875
15118JAA3
1400000.000000
PA
USD
1340969.000000
0.4855527
Long
DBT
CORP
ES
N
2
2041-07-07
Fixed
3.875
N
N
N
N
N
N
CGG SA
969500FCVQ5SLAAUJV59
CGG SA SR SECURED 144A 04/27 7.75
ACI1WM066
416000.000000
PA
471602.970000
0.1707632
Long
DBT
CORP
FR
N
2
2027-04-01
Fixed
7.75
N
N
N
N
N
N
CGG SA
969500FCVQ5SLAAUJV59
CGG SA SR SECURED 144A 04/27 8.75
12531TAF6
4612000.000000
PA
USD
4560760.680000
1.6514101
Long
DBT
CORP
FR
N
2
2027-04-01
Fixed
8.75
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 03/50 4.8
161175BT0
105000.000000
PA
USD
117849.880000
0.0426724
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.8
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 04/61 3.85
161175BY9
300000.000000
PA
USD
283755.650000
0.1027453
Long
DBT
CORP
US
N
2
2061-04-01
Fixed
3.85
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 06/41 3.5
161175BZ6
500000.000000
PA
USD
488367.920000
0.1768336
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.5
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 06/52 3.9
161175CA0
2900000.000000
PA
USD
2913655.290000
1.0550082
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.9
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 12/61 4.4
161175CC6
4700000.000000
PA
USD
4874106.140000
1.7648697
Long
DBT
CORP
US
N
2
2061-12-01
Fixed
4.4
N
N
N
N
N
N
CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1
126694U97
1072930.220000
PA
USD
746552.250000
0.2703198
Long
ABS-MBS
CORP
US
N
2
2046-03-25
Floating
1.97188
Y
N
N
N
N
N
CHS/COMMUNITY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8
12543DBC3
294000.000000
PA
USD
309387.960000
0.1120266
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
8
N
N
N
N
N
N
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ
17311QBN9
811916.020000
PA
USD
365362.210000
0.1322943
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.51208
Y
N
N
N
N
N
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJFX 144A
17311QAE0
405958.010000
PA
USD
182681.100000
0.0661472
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.51208
Y
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TR 2003-UP3
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2003 UP3 A3
17307GAV0
1240.920000
PA
USD
1259.450000
0.0004560
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Fixed
7
N
N
N
N
N
N
FARM CREDIT BANK OF TEXAS
V1EBJIOLRNYDHDF63Z33
FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR
30767EAD1
1000000.000000
NS
USD
1072500.000000
0.3883425
Long
EP
USGSE
US
N
2
N
N
N
CITY OF CHICAGO
T5UYO5SYLC8K73MJQX30
CHICAGO IL CHI 01/29 FIXED 7.045
167486ZZ5
60000.000000
PA
USD
68914.430000
0.0249533
Long
DBT
MUN
US
N
2
2029-01-01
Fixed
7.045
N
N
N
N
N
N
COMM 2021-2400 MORTGAGE TRUST
N/A
COMM MORTGAGE TRUST COMM 2021 2400 G 144A
20048FAS7
1380000.000000
PA
USD
1383441.310000
0.5009316
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
6.1
N
N
N
N
N
N
COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1
N/A
COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM
20173WAH1
1143815.570000
PA
USD
198166.050000
0.0717541
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.95563
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO JR SUBORDINA 12/49 VAR
369604BQ5
139000.000000
NS
USD
138305.000000
0.0500790
Long
EP
CORP
US
N
2
N
N
N
CONSECO FINANCE SECURITIZATION 2000-5
N/A
CONSECO FINANCE SECURITIZATION CNF 2000 5 A6
20846QEQ7
1446957.810000
PA
USD
562619.880000
0.2037196
Long
ABS-O
CORP
US
N
2
2031-05-01
Fixed
7.96
N
N
N
N
N
N
CORESTATE CAPITAL HOLDING SA
529900GNB86RB7HRX793
CORESTATE CAPITAL HOLD SR UNSECURED REGS 04/23 3.5
ACI11QWM1
600000.000000
PA
602323.220000
0.2180958
Long
DBT
CORP
LU
N
2
2023-04-15
Fixed
3.5
N
N
N
N
N
N
CORESTATE CAPITAL HOLDING SA
529900GNB86RB7HRX793
CORESTATE CAPITAL HOLD SR UNSECURED REGS 11/22 1.375
ACI0Z2W07
700000.000000
PA
703288.310000
0.2546543
Long
DBT
CORP
LU
N
2
2022-11-28
Fixed
1.375
N
N
N
Y
N
CORESTATE CAPITAL HOLDING SA
CORESTATE CAPITAL HOLDING S.
EUR
XXXX
N
N
N
COUNTRY GARDEN HOLDINGS COMPANY LIMITED
549300MGHLPT1EFHGF84
COUNTRY GARDEN HLDGS SR SECURED REGS 09/25 6.15
ACI1FGXS4
200000.000000
PA
USD
195379.480000
0.0707451
Long
DBT
CORP
KY
N
2
2025-09-17
Fixed
6.15
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A1A
12668BD91
1119024.950000
PA
USD
1058227.760000
0.3831747
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
0.52188
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERT 2007-BC2
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A
12669QAA7
1706168.130000
PA
USD
1824291.950000
0.6605596
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
0.30188
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2004-10
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MV5
126673JX1
2296722.820000
PA
USD
2225083.210000
0.8056825
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
1.75188
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-12
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A
12667AAA4
2235150.420000
PA
USD
2231328.310000
0.8079438
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.36188
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2004-12
N/A
COUNTRYWIDE HOME LOANS CWHL 2004 12 16A1
12669FP98
225359.270000
PA
USD
225844.180000
0.0817761
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
2.71973
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2004-R1
N/A
COUNTRYWIDE HOME LOANS CWHL 2004 R1 3A 144A
12669F7M9
379028.870000
PA
USD
399513.330000
0.1446602
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
7.5
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-1
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1
12669GRM5
846106.600000
PA
USD
777625.440000
0.2815711
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
0.74188
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-R2
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 R2 2A2 144A
12669GP21
73994.200000
PA
USD
78605.500000
0.0284623
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
7.5
Y
N
N
N
N
N
CREDIT BASED ASSET SRVC & SEC 2007-SP1
N/A
CREDIT BASED ASSET SERVICING A CBASS 2007 SP1 A4 144A
1248MAAD9
59097.180000
PA
USD
59407.650000
0.0215110
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Variable
6.52
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR
225401AJ7
200000.000000
PA
USD
211850.000000
0.0767090
Long
DBT
CORP
CH
N
2
2023-07-17
Floating
7.5
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA 144A VAR
225401AL2
600000.000000
PA
USD
648180.000000
0.2347001
Long
DBT
CORP
CH
N
2
2026-08-21
Floating
6.375
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2007-C1
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C1 AJ
22545XAG8
2174778.550000
PA
USD
312125.090000
0.1130177
Long
ABS-MBS
CORP
US
N
2
2040-02-15
Variable
5.457
N
N
N
N
N
N
CREDIT SUISSE MRTG CAPITAL CERT 2006-2
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 2 3A1
225470YJ6
758518.960000
PA
USD
216044.630000
0.0782278
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
6.5
Y
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2004-1
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 1 3A1
22541SAN8
261511.230000
PA
USD
271365.970000
0.0982592
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Fixed
7
N
N
N
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC CLASS A COMMON STOCK
45174J509
68102.000000
NS
USD
1432866.080000
0.5188278
Long
EC
CORP
US
N
1
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507
126650BS8
639939.520000
PA
USD
792821.190000
0.2870734
Long
DBT
CORP
US
N
2
2032-01-10
Fixed
7.507
N
N
N
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC CLASS B COMMON STOCK
45174J608
52880.000000
NS
USD
1001335.680000
0.3625746
Long
EC
CORP
US
N
3
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
DELTA AIR LINES INC SR UNSECURED 01/26 7.375
247361ZZ4
785000.000000
PA
USD
925009.230000
0.3349375
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.375
N
N
N
N
N
N
DTEK FINANCE PLC
549300VBCR9V58ZYQ356
DTEK FINANCE PLC COMPANY GUAR REGS 12/27 5
ACI1XVP76
2318445.000000
PA
USD
1270507.860000
0.4600394
Long
DBT
CORP
GB
N
2
2027-12-31
Fixed
5
N
N
Y
N
N
N
ECAF I LTD 2015-1A
N/A
ECAF LTD ECAF 2015 1A A2 144A
26827EAC9
1516006.720000
PA
USD
1393353.890000
0.5045208
Long
ABS-O
CORP
KY
N
2
2040-06-15
Fixed
4.947
N
N
N
N
N
N
EGYPTIAN GOVT
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT SR UNSECURED 144A 04/31 6.375
ACI1B3T03
400000.000000
PA
421001.220000
0.1524407
Long
DBT
NUSS
EG
N
2
2031-04-11
Fixed
6.375
N
N
N
N
N
N
EGYPTIAN GOVT
529900GFIVH4086NMH82
ARAB REPUBLIC OF EGYPT SR UNSECURED REGS 04/31 6.375
ACI1B3V91
1200000.000000
PA
1263003.660000
0.4573222
Long
DBT
NUSS
EG
N
2
2031-04-11
Fixed
6.375
N
N
N
N
N
N
ELMWOOD CLO II LTD
N/A
ELMWOOD CLO II LTD. ELMW2 2019 2A SUB 144A
29001RAC2
1212500.000000
PA
USD
1052557.490000
0.3811215
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0
N
N
N
N
N
N
ENCORE CREDIT RECEIVABLES TR 2005-1
N/A
ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M3
126673VR0
576427.220000
PA
USD
574439.180000
0.2079992
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
0.83688
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP SR UNSECURED 04/44 5.3
86765BAP4
100000.000000
PA
USD
114759.410000
0.0415533
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.3
N
N
N
N
N
N
ENVISION HEALTHCARE CORPORATION
549300OL60X0LPKY8N60
ENTERPRISE MERGER SUB INC INITIAL TERM LOANS
29373UAC5
8365722.170000
PA
USD
6757412.080000
2.4467977
Long
LON
CORP
US
N
2
2025-10-10
Floating
3.8543
N
N
N
N
N
N
ENVISION HEALTHCARE CORPORATION
549300OL60X0LPKY8N60
ENVISION HEALTHCARE CORP COMPANY GUAR 144A 10/26 8.75
29373TAA2
2108000.000000
PA
USD
1214450.420000
0.4397415
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
8.75
N
N
N
N
N
N
ERSTE GROUP BANK AG
PQOH26KWDF7CG10L6792
ERSTE GROUP BANK AG JR SUBORDINA REGS 12/99 VAR
BN13P8II9
1000000.000000
PA
1194001.470000
0.4323371
Long
DBT
CORP
AT
N
2
2027-10-15
Floating
4.25
N
N
N
N
N
N
ESSENTIAL PROPERTIES LP
254900XX9FNFCDE1NX02
ESSENTIAL PROPER COMPANY GUAR 07/31 2.95
29670VAA7
100000.000000
PA
USD
98672.080000
0.0357283
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.95
N
N
N
N
N
N
EUROSAIL PLC 2007-6NCX
N/A
EUROSAIL PLC ESAIL 2007 6NCX B1A REGS
G329A0AA2
1581970.850000
PA
2066838.090000
0.7483833
Long
ABS-MBS
CORP
GB
N
2
2045-09-13
Floating
1.69463
N
N
N
N
N
N
EUROSAIL PLC 2007-6NCX
N/A
EUROSAIL PLC ESAIL 2007 6NCX C1A REGS
G329A0AF1
1129979.180000
PA
1484874.200000
0.5376595
Long
ABS-MBS
CORP
GB
N
2
2045-09-13
Floating
2.34463
N
N
N
N
N
N
EUROSAIL PLC 2007-6NCX
N/A
EUROSAIL PLC ESAIL 2007 6NCX D1A REGS
G329A0AE4
960482.300000
PA
1367905.350000
0.4953061
Long
ABS-MBS
CORP
GB
N
2
2045-09-13
Floating
3.94463
N
N
N
N
N
N
EXELA INTERMEDIATE LLC / EXELA FINANCE INC
N/A
EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5
30162RAC5
48000.000000
PA
USD
34098.240000
0.0123467
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
11.5
N
N
N
N
N
N
FAIRFAX INDIA HOLDINGS CORPORATION
549300K2JHXU7AX7CV78
FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5
303897AA0
2900000.000000
PA
USD
2901131.000000
1.0504732
Long
DBT
CORP
CA
N
2
2028-02-26
Fixed
5
N
N
N
N
N
N
FANNIE MAE 1993-21
N/A
FANNIE MAE FNR 1993 21 KA
31358T4H9
1647.280000
PA
USD
1691.040000
0.0006123
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
7.7
N
N
N
N
N
N
FANNIE MAE 1997-33
N/A
FANNIE MAE FNR 1997 33 PA
31359PQJ8
110169.000000
PA
USD
122174.340000
0.0442382
Long
ABS-MBS
USGSE
US
N
2
2027-06-18
Fixed
8.5
N
N
N
N
N
N
FANNIE MAE 1997-79
N/A
FANNIE MAE FNR 1997 79 PL
31359RAQ5
5296.020000
PA
USD
5774.080000
0.0020907
Long
ABS-MBS
USGSE
US
N
2
2027-12-18
Fixed
6.85
N
N
N
N
N
N
FANNIE MAE 2001-46
N/A
FANNIE MAE FNR 2001 46 ZL
313920XQ8
101834.940000
PA
USD
113478.440000
0.0410895
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
6
N
N
N
N
N
N
FANNIE MAE 2001-49
N/A
FANNIE MAE FNR 2001 49 Z
313921AG3
87246.300000
PA
USD
99672.480000
0.0360905
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Fixed
6.5
N
N
N
N
N
N
FANNIE MAE 2001-50
N/A
FANNIE MAE FNR 2001 50 BA
31392AJW9
24337.140000
PA
USD
27326.190000
0.0098946
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Fixed
7
N
N
N
N
N
N
FANNIE MAE 2001-60
N/A
FANNIE MAE FNR 2001 60 ZM
3139213J5
15460.100000
PA
USD
18004.820000
0.0065194
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Fixed
8.5
N
N
N
N
N
N
FANNIE MAE 2001-79
N/A
FANNIE MAE FNR 2001 79 BA
31392BMM5
369340.950000
PA
USD
419302.730000
0.1518257
Long
ABS-MBS
USGSE
US
N
2
2045-03-25
Fixed
7
N
N
N
N
N
N
FANNIE MAE 2002-70
N/A
FANNIE MAE FNR 2002 70 QZ
31392FCA3
1998826.080000
PA
USD
2257078.210000
0.8172676
Long
ABS-MBS
USGSE
US
N
2
2032-11-25
Fixed
5.5
N
N
N
N
N
N
FANNIE MAE 2002-93
N/A
FANNIE MAE FNR 2002 93 A1
31392GRW7
283475.150000
PA
USD
327092.790000
0.1184373
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Fixed
6.5
N
N
N
N
N
N
AMH NEW FINANCE INC
N/A
ASSOCIATED MATERIALS GROUP INC
931WQR908
397884.000000
NS
USD
2777230.320000
1.0056099
Long
EC
CORP
US
Y
3
N
N
N
FANNIE MAE 2003-47
N/A
FANNIE MAE FNR 2003 47 PE
31393CRH8
13588.000000
PA
USD
15242.800000
0.0055193
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Fixed
5.75
N
N
N
N
N
N
FANNIE MAE 2003-71
N/A
FANNIE MAE FNR 2003 71 TA
31393EJT7
37322.480000
PA
USD
43859.950000
0.0158813
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Fixed
7
N
N
N
N
N
N
FANNIE MAE 2003-89
N/A
FANNIE MAE FNR 2003 89 IO
31393TFP6
3501299.170000
PA
USD
108122.570000
0.0391502
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
1.11593
N
N
N
N
N
N
FANNIE MAE 2004-53
N/A
FANNIE MAE FNR 2004 53 NC
31394ABD7
1965.930000
PA
USD
2018.330000
0.0007308
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Fixed
5.5
N
N
N
N
N
N
FANNIE MAE 2004-81
N/A
FANNIE MAE FNR 2004 81 ZH
31394BCG7
91019.870000
PA
USD
92545.070000
0.0335097
Long
ABS-MBS
USGSE
US
N
2
2024-11-25
Fixed
4.25
N
N
N
N
N
N
FANNIE MAE 2004-92
N/A
FANNIE MAE FNR 2004 92 BW
31394BRK2
455080.240000
PA
USD
499578.260000
0.1808928
Long
ABS-MBS
USGSE
US
N
2
2034-12-25
Fixed
5.5
N
N
N
N
N
N
FANNIE MAE 2005-22
N/A
FANNIE MAE FNR 2005 22 DB
31394DBP4
1304213.460000
PA
USD
1438559.710000
0.5208894
Long
ABS-MBS
USGSE
US
N
2
2035-04-25
Fixed
5.5
N
N
N
N
N
N
FANNIE MAE 2005-7
N/A
FANNIE MAE FNR 2005 7 ZY
31394B5P5
89887.850000
PA
USD
99940.180000
0.0361874
Long
ABS-MBS
USGSE
US
N
2
2035-02-25
Fixed
7
N
N
N
N
N
N
FANNIE MAE 2008-67
N/A
FANNIE MAE FNR 2008 67 ZW
31397MCX3
92242.190000
PA
USD
103434.190000
0.0374526
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Fixed
5
N
N
N
N
N
N
FANNIE MAE 2010-76
N/A
FANNIE MAE FNR 2010 76 ZC
31398TFU0
423190.570000
PA
USD
451037.690000
0.1633167
Long
ABS-MBS
USGSE
US
N
2
2040-07-25
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE CONNECTICULT AVENUE SECURITIES 2017-C01
N/A
FANNIE MAE CAS CAS 2017 C01 1B1
30711XEQ3
660000.000000
PA
USD
725335.640000
0.2626375
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Floating
5.85275
N
N
N
N
N
N
FANNIE MAE GRANTOR TR 2004-T1
N/A
FANNIEMAE GRANTOR TRUST FNGT 2004 T1 1A1
31393XFS1
686179.340000
PA
USD
775947.860000
0.2809637
Long
ABS-MBS
USGSE
US
N
2
2044-01-25
Fixed
6
N
N
N
N
N
N
FANNIE MAE GRANTOR TRUST 2000-T6
N/A
FANNIEMAE GRANTOR TRUST FNGT 2000 T6 A1
31358SR37
45333.210000
PA
USD
47690.460000
0.0172683
Long
ABS-MBS
USGSE
US
N
2
2040-11-25
Fixed
7.5
N
N
N
N
N
N
FANNIE MAE GRANTOR TRUST 2001-T5
N/A
FANNIEMAE GRANTOR TRUST FNGT 2001 T5 A3
31359SY20
68141.630000
PA
USD
78747.550000
0.0285138
Long
ABS-MBS
USGSE
US
N
2
2041-06-19
Fixed
7.5
N
N
N
N
N
N
FANNIE MAE GRANTOR TRUST 2001-T5
N/A
FANNIEMAE GRANTOR TRUST FNGT 2001 T5 A4
31359SY38
530360.600000
PA
USD
615730.310000
0.2229504
Long
ABS-MBS
USGSE
US
N
2
2041-06-19
Variable
8
N
N
N
N
N
N
FANNIE MAE GRANTOR TRUST 2001-T8
N/A
FANNIEMAE GRANTOR TRUST FNGT 2001 T8 A1
313920UK4
225120.370000
PA
USD
261969.330000
0.0948567
Long
ABS-MBS
USGSE
US
N
2
2041-07-25
Fixed
7.5
N
N
N
N
N
N
FANNIE MAE REMICS 2007-118
N/A
FANNIE MAE FNR 2007 118 AC
31396YCB6
3263345.220000
PA
USD
3657484.880000
1.3243421
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Fixed
5
N
N
N
N
N
N
FANNIE MAE REMICS 2012-126
N/A
FANNIE MAE FNR 2012 126 PI
3136A9ZM3
410272.310000
PA
USD
38347.910000
0.0138854
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE REMICS 2012-138
N/A
FANNIE MAE FNR 2012 138 AI
3136AAEZ4
1386496.950000
PA
USD
67343.680000
0.0243845
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Fixed
2.5
N
N
N
N
N
N
FANNIE MAE REMICS 2012-43
N/A
FANNIE MAE FNR 2012 43 SI
3136A5YM2
626952.340000
PA
USD
69073.720000
0.0250110
Long
ABS-MBS
USGSE
US
N
2
2041-07-25
Floating
6.64812
N
N
N
N
N
N
FANNIE MAE REMICS 2014-47
N/A
FANNIE MAE FNR 2014 47 BI
3136AKTL7
6805396.660000
PA
USD
445414.570000
0.1612806
Long
ABS-MBS
USGSE
US
N
2
2054-08-25
Floating
1.72901
N
N
N
N
N
N
FANNIE MAE REMICS 2016-40
N/A
FANNIE MAE FNR 2016 40 IO
3136ASD86
4216405.060000
PA
USD
487401.670000
0.1764837
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE REMICS 2019-1
N/A
FANNIE MAE FNR 2019 1 HS
3136B3ZF0
147545.310000
PA
USD
18116.700000
0.0065599
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Floating
5.94812
N
N
N
N
N
N
FANNIE MAE REMICS 2019-59
N/A
FANNIE MAE FNR 2019 59 HS
3136B6MJ9
7681861.660000
PA
USD
1667649.970000
0.6038409
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Floating
5.89812
N
N
N
N
N
N
FANNIE MAE REMICS 2019-70
N/A
FANNIE MAE FNR 2019 70 IO
3136B7KN0
106088.260000
PA
USD
18359.600000
0.0066478
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE REMICS 2020-40
N/A
FANNIE MAE FNR 2020 40 IO
3136B9P50
1349186.270000
PA
USD
195055.770000
0.0706279
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
3
N
N
N
N
N
N
FANNIE MAE REMICS 2020-47
N/A
FANNIE MAE FNR 2020 47 SA
3136BATP9
1315576.480000
PA
USD
198715.850000
0.0719532
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Floating
5.99812
N
N
N
N
N
N
FANNIE MAE REMICS 2020-93
N/A
FANNIE MAE FNR 2020 93 JI
3136BDVU9
554110.490000
PA
USD
69863.410000
0.0252969
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Fixed
2.5
N
N
N
N
N
N
FANNIE MAE WHOLE LOAN 2003-W2
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W2 1A3
31392JAD1
905.290000
PA
USD
1069.580000
0.0003873
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
7.5
N
N
N
N
N
N
FANNIE MAE WHOLE LOAN 2003-W4
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W4 2A
31393AP68
8180.250000
PA
USD
9171.410000
0.0033209
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Variable
5.48896
N
N
N
N
N
N
FANNIE MAE WHOLE LOAN 2003-W4
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W4 4A
31393AQ34
232451.750000
PA
USD
262386.930000
0.0950079
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Variable
5.93347
N
N
N
N
N
N
FANNIE MAE-1993-105
N/A
FANNIE MAE FNR 1993 105 D
31359AS75
2727.380000
PA
USD
2814.940000
0.0010193
Long
ABS-MBS
USGSE
US
N
2
2023-06-25
Fixed
6.5
N
N
N
N
N
N
FANNIE MAE-1996-46
N/A
FANNIE MAE FNR 1996 46 ZA
31359KF85
4167.580000
PA
USD
4531.570000
0.0016408
Long
ABS-MBS
USGSE
US
N
2
2026-11-25
Fixed
7.5
N
N
N
N
N
N
FANNIE MAE-1997-35
N/A
FANNIE MAE FNR 1997 35 PJ
31359PTR7
2301.400000
PA
USD
2489.390000
0.0009014
Long
ABS-MBS
USGSE
US
N
2
2027-06-18
Fixed
7
N
N
N
N
N
N
FANNIE MAE-2020-38
N/A
FANNIE MAE FNR 2020 38 QI
3136BADX9
804365.370000
PA
USD
126096.420000
0.0456584
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
4
N
N
N
N
N
N
FANNIEMAE GRANTOR TRUST 2002-18
N/A
FANNIEMAE GRANTOR TRUST FNGT 2002 T18 A1
31392GFN0
94924.580000
PA
USD
109988.560000
0.0398259
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Fixed
6.5
N
N
N
N
N
N
FANNIEMAE GRANTOR TRUST 2002-T16
N/A
FANNIEMAE GRANTOR TRUST FNGT 2002 T16 A1
31392FDB0
950030.610000
PA
USD
1100868.780000
0.3986146
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
6.5
N
N
N
N
N
N
FANNIEMAE GRANTOR TRUST 2002-T19
N/A
FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A2
31392GVR3
26863.740000
PA
USD
31398.430000
0.0113691
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
7
N
N
N
N
N
N
FANNIEMAE GRANTOR TRUST 2002-T19
N/A
FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A3
31392GVS1
18311.500000
PA
USD
21457.680000
0.0077696
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
7.5
N
N
N
N
N
N
FANNIEMAE GRANTOR TRUST 2002-T4
N/A
FANNIEMAE GRANTOR TRUST FNGT 2002 T4 A1
31392B6T8
246780.420000
PA
USD
280097.210000
0.1014207
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Fixed
6.5
N
N
N
N
N
N
FANNIEMAE GRANTOR TRUST 2004-T2
N/A
FANNIEMAE GRANTOR TRUST FNGT 2004 T2 1A3
31393X7C5
78056.540000
PA
USD
90978.960000
0.0329427
Long
ABS-MBS
USGSE
US
N
2
2043-11-25
Fixed
7
N
N
N
N
N
N
FANNIEMAE STRIP-385
N/A
FANNIEMAE STRIP FNS 385 7
3136FEW32
696062.530000
PA
USD
90221.880000
0.0326685
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Fixed
5
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2001-W3
N/A
FANNIEMAE WHOLE LOAN FNW 2001 W3 A
3139216F0
255333.320000
PA
USD
275173.590000
0.0996379
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Fixed
7
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2002-W1
N/A
FANNIEMAE WHOLE LOAN FNW 2002 W1 2A
31392CMS0
312350.790000
PA
USD
338012.780000
0.1223914
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Variable
5.199
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2003-W1
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1
31392GVX0
19790.850000
PA
USD
21255.760000
0.0076965
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Fixed
5.038
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2003-W18
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W18 1A7
31393UNR0
961749.550000
PA
USD
1066863.200000
0.3863015
Long
ABS-MBS
USGSE
US
N
2
2043-08-25
Fixed
5.807
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2003-W3
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W3 1A3
31392JYH6
1445.600000
PA
USD
1705.340000
0.0006175
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Fixed
7.5
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2003-W6
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W6 3A
31393BU94
520134.890000
PA
USD
592999.600000
0.2147198
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Fixed
6.5
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2004-W2
N/A
FANNIEMAE WHOLE LOAN FNW 2004 W2 2A2
31393XGQ4
39190.640000
PA
USD
45155.740000
0.0163505
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Fixed
7
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2004-W2
N/A
FANNIEMAE WHOLE LOAN FNW 2004 W2 5A
31393XGU5
62334.070000
PA
USD
71239.170000
0.0257951
Long
ABS-MBS
USGSE
US
N
2
2044-03-25
Fixed
7.5
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2004-W8
N/A
FANNIEMAE WHOLE LOAN FNW 2004 W8 2A
31394ALL8
155880.770000
PA
USD
177257.000000
0.0641832
Long
ABS-MBS
USGSE
US
N
2
2044-06-25
Fixed
6.5
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2004-W8
N/A
FANNIEMAE WHOLE LOAN FNW 2004 W8 3A
31394ALN4
280369.760000
PA
USD
327545.620000
0.1186013
Long
ABS-MBS
USGSE
US
N
2
2044-06-25
Fixed
7.5
N
N
N
N
N
N
FEDERAL HOME LOAN BANK (FLHB)
2549001DPIFGXC1TOL40
FED HOME LN DISCOUNT NT DISCOUNT NOT 01/22 0.00000
313385SB3
3000000.000000
PA
USD
3000000.000000
1.0862728
Long
DBT
USGSE
US
N
2
2022-01-21
None
0
N
N
N
N
N
N
FEL ENERGY VI SA RL
N/A
FEL ENERGY VI SARL SR SECURED 144A 12/40 5.75
30260LAA3
1254256.580000
PA
USD
1258665.290000
0.4557513
Long
DBT
CORP
LU
N
2
2040-12-01
Fixed
5.75
N
N
N
N
N
N
FERROGLOBE FINANCE COMPANY PLC / GLOBE SPECIALTY METALS INC
N/A
FERROGLOBE / GLOBE SPEC SR SECURED 12/25 9.375
ACI1ZL3W5
1000000.000000
PA
USD
1035000.000000
0.3747641
Long
DBT
CORP
GB
Y
2
2025-12-31
Fixed
9.375
N
N
N
N
N
N
FERROGLOBE PLC / GLOBE SPECIALTY METALS INC
N/A
FERROGLOBEL FINANCE SR SECURED REGS 12/25 9.375
ACI1ZL198
400000.000000
PA
USD
413000.000000
0.1495436
Long
DBT
CORP
GB
Y
2
2025-12-31
Fixed
9.375
N
N
N
N
N
N
FHLMC 2173 REMIC
N/A
FREDDIE MAC FHR 2173 Z
3133TLM62
25983.150000
PA
USD
29588.310000
0.0107137
Long
ABS-MBS
USGSE
US
N
2
2029-07-15
Fixed
6.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1B0797 FH 04/33 FLOATING VAR
31336SNN4
497.290000
PA
USD
499.660000
0.0001809
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Floating
2.158
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 785735 FH 12/26 FLOATING VAR
31348SLQ5
2499.990000
PA
USD
2510.370000
0.0009090
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Floating
2.262
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A45797 FG 05/32 FIXED 7.5
3128K6NN6
19085.580000
PA
USD
19816.670000
0.0071754
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A54878 FG 12/30 FIXED 7.5
3128KHM37
145608.520000
PA
USD
161593.860000
0.0585117
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C00450 FG 03/26 FIXED 7.5
31292GQB5
352.580000
PA
USD
378.360000
0.0001370
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C00489 FG 12/26 FIXED 7.5
31292GRJ7
30298.970000
PA
USD
32940.350000
0.0119274
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C01086 FG 11/30 FIXED 7.5
31292HF33
171.170000
PA
USD
197.630000
0.0000716
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C36310 FG 02/30 FIXED 7.5
31294DAK7
21.310000
PA
USD
21.390000
0.0000077
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C37703 FG 04/30 FIXED 7.5
31294ERY7
120.700000
PA
USD
126.360000
0.0000458
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C37903 FG 04/30 FIXED 7.5
31294EX87
30.990000
PA
USD
31.060000
0.0000112
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C38907 FG 06/29 FIXED 6.5
31294F3Q7
2087.020000
PA
USD
2305.660000
0.0008349
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C42995 FG 12/26 FIXED 8
31298BKG5
48584.810000
PA
USD
52165.790000
0.0188888
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
8
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C62740 FG 01/32 FIXED 7
31287NBH0
57316.210000
PA
USD
63618.370000
0.0230356
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
7
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C62910 FG 01/32 FIXED 7
31287NGT9
9045.300000
PA
USD
10051.880000
0.0036397
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
7
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C64701 FG 03/32 FIXED 7
31287QGJ4
3374.300000
PA
USD
3804.400000
0.0013775
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
7
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C80365 FG 12/25 FIXED 7.5
31335GMN2
707.330000
PA
USD
758.380000
0.0002746
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C80397 FG 04/26 FIXED 7.5
31335GNN1
2062.130000
PA
USD
2236.630000
0.0008099
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C80401 FG 05/26 FIXED 7.5
31335GNS0
643.570000
PA
USD
702.950000
0.0002545
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C80408 FG 06/26 FIXED 7.5
31335GNZ4
2554.380000
PA
USD
2776.910000
0.0010055
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C80453 FG 12/26 FIXED 7.5
31335GQE8
2970.300000
PA
USD
3268.470000
0.0011835
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D54958 FG 07/24 FIXED 8
31356HQK6
5026.190000
PA
USD
5046.670000
0.0018274
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
8
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D65942 FG 12/25 FIXED 7.5
3128F5S74
514.290000
PA
USD
515.800000
0.0001868
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D72147 FG 06/26 FIXED 7.5
3128FDL41
1434.180000
PA
USD
1439.740000
0.0005213
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D72357 FG 06/26 FIXED 7.5
3128FDTN1
739.760000
PA
USD
742.620000
0.0002689
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D72491 FG 07/26 FIXED 7.5
3128FDXU0
1006.440000
PA
USD
1010.100000
0.0003657
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D72907 FG 07/26 FIXED 7.5
3128FEGQ6
758.940000
PA
USD
760.550000
0.0002754
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D72941 FG 07/26 FIXED 7.5
3128FEHS1
5997.740000
PA
USD
6020.920000
0.0021801
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D73433 FG 08/26 FIXED 7.5
3128FEY60
2520.740000
PA
USD
2529.960000
0.0009161
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D73735 FG 08/26 FIXED 7.5
3128FFEG7
3018.650000
PA
USD
3030.370000
0.0010973
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D75657 FG 11/26 FIXED 7.5
3128FHJA1
1882.410000
PA
USD
1889.720000
0.0006843
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D76893 FG 12/26 FIXED 7.5
3128FJUS5
3682.420000
PA
USD
3696.750000
0.0013386
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D97342 FG 08/24 FIXED 7.5
3128E4EP3
63078.490000
PA
USD
64165.320000
0.0232337
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G00921 FG 04/28 FIXED 7.5
31283HAW5
294410.590000
PA
USD
325691.490000
0.1179299
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G01227 FG 03/31 FIXED 7
31283HLG8
13329.210000
PA
USD
14811.520000
0.0053631
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
7
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G01324 FG 10/31 FIXED 7
31283HPH2
76916.000000
PA
USD
86681.150000
0.0313865
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
7
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G01381 FG 04/32 FIXED 7
31283HRA5
5165.980000
PA
USD
5847.670000
0.0021174
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
7
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G02472 FG 01/36 FIXED 7
3128M4CH4
51028.610000
PA
USD
56996.950000
0.0206381
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
7
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G04614 FG 02/34 FIXED 6
3128M6N79
2909.150000
PA
USD
3348.400000
0.0012124
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 G04624 FG 02/33 FIXED 6
3128M6PH5
317.870000
PA
USD
360.960000
0.0001307
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G06623 FG 04/39 FIXED 5.5
3128M8VQ4
1108041.920000
PA
USD
1268675.670000
0.4593760
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H00437 FG 12/36 FIXED 7
3128MSPW4
31114.610000
PA
USD
31372.320000
0.0113596
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
7
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H01580 FG 09/36 FIXED 7
3128MTXH6
150973.610000
PA
USD
161671.170000
0.0585397
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
7
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL K30175 FG 09/47 FIXED 6.5
31302PFQ2
18524.780000
PA
USD
19724.280000
0.0071420
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
6.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P00029 FG 03/33 FIXED 6
31283NA69
55522.050000
PA
USD
59960.260000
0.0217111
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P50019 FG 07/24 FIXED 7
31288LAU5
253.180000
PA
USD
262.770000
0.0000951
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
7
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P50545 FG 03/37 FIXED 7.5
31288LTA9
142444.360000
PA
USD
156337.890000
0.0566085
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P51301 FG 07/37 FIXED 6.5
3128C6NS4
61269.810000
PA
USD
63414.120000
0.0229617
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.5
N
N
N
N
N
N
FHLMC STRUCTURED PASS THROUGH SEC T-41
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 41 3A
31392MEN8
76341.280000
PA
USD
83479.570000
0.0302272
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Variable
4.71755
N
N
N
N
N
N
FHLMC STRUCTURED PASS THROUGH SEC T-51
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 51 1A
31392W7B0
37882.270000
PA
USD
46241.040000
0.0167435
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
Fixed
6.5
N
N
N
N
N
N
FHLMC STRUCTURED PASS THRU SEC T-42
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 42 A5
31392MH39
21520.310000
PA
USD
25872.020000
0.0093680
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Fixed
7.5
N
N
N
N
N
N
FHLMC STRUCTURED PASS THRU SEC T-54
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 54 2A
31393LFK4
40404.290000
PA
USD
47434.670000
0.0171757
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
6.5
N
N
N
N
N
N
FHLMC STRUCTURED PASS THRU SEC T-54
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 54 3A
31393LFM0
289206.540000
PA
USD
343789.760000
0.1244832
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
7
N
N
N
N
N
N
FHLMC STRUCTURED PASS THRU SEC T-59
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1
31394PPQ0
171472.000000
PA
USD
196651.190000
0.0712056
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
Fixed
6.5
N
N
N
N
N
N
FHLMC STRUCTURED PASS THRU SEC T-59
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A2
31394PPR8
36947.040000
PA
USD
42999.630000
0.0155698
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
Fixed
7
N
N
N
N
N
N
FHLMC STRUCTURED PASS THRU SEC T-60
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 60 1A1
31394XVD5
1635449.000000
PA
USD
1932888.270000
0.6998813
Long
ABS-MBS
USGSE
US
N
2
2044-03-25
Fixed
6.5
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST 2018-3
N/A
FLAGSHIP CREDIT AUTO TRUST FCAT 2018 3 R 144A
33844P105
12000.000000
PA
USD
1519103.400000
0.5500536
Long
ABS-O
CORP
US
N
3
2025-12-15
Fixed
0
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 190328 FN 12/32 FIXED VAR
31368HLH4
103662.970000
PA
USD
119041.040000
0.0431037
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 193901 FN 12/22 FIXED 8
31368MKN1
478.240000
PA
USD
479.900000
0.0001738
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 252526 FN 04/29 FIXED 7
31371HPK8
12993.280000
PA
USD
13079.670000
0.0047360
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
7
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 253184 FN 04/30 FIXED 8
31371JFZ2
1971.050000
PA
USD
2317.260000
0.0008391
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 253398 FN 08/30 FIXED 8
31371JNP5
3309.490000
PA
USD
3739.240000
0.0013539
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 253585 FN 01/31 FIXED 8
31371JUJ1
2077.510000
PA
USD
2452.370000
0.0008880
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 253862 FN 04/31 FIXED 6.5
31371J5X8
14473.160000
PA
USD
15159.140000
0.0054890
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 253973 FN 08/31 FIXED 6.5
31371KCJ8
896.790000
PA
USD
932.970000
0.0003378
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 254072 FN 10/31 FIXED 6.5
31371KFM8
4882.020000
PA
USD
5393.220000
0.0019528
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 254144 FN 11/31 FIXED 8
31371KHV6
5215.720000
PA
USD
5771.560000
0.0020898
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 254357 FN 05/22 FIXED 7.5
31371KQJ3
62.480000
PA
USD
62.410000
0.0000226
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
7.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 254463 FN 08/32 FIXED 6.5
31371KTU5
3413.480000
PA
USD
3898.150000
0.0014115
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 254497 FN 09/32 FIXED 6.5
31371KUW9
5416.010000
PA
USD
6047.370000
0.0021897
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 254881 FN 07/33 FIXED 6.5
31371LCS6
19689.890000
PA
USD
22368.510000
0.0080994
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 254915 FN 09/23 FIXED 4.5
31371LDU0
4938.270000
PA
USD
5283.710000
0.0019132
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 255001 FN 11/33 FIXED 6.5
31371LGJ2
29823.490000
PA
USD
34993.530000
0.0126708
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 255071 FN 01/34 FIXED 6.5
31371LJQ3
6621.210000
PA
USD
7720.900000
0.0027957
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.5
N
N
N
N
N
N
NATIONWIDE BUILDING SOCIETY
549300XFX12G42QIKN82
NATIONWIDE BLDG SOCIETY JR SUBORDINA REGS 06/49 VAR
ACI07BWB4
36440.000000
NS
9439258.090000
3.4178698
Long
EP
CORP
GB
N
2
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 257030 FN 11/47 FIXED 6.5
31371NPP4
4664.970000
PA
USD
4967.520000
0.0017987
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 257154 FN 03/28 FIXED 4.5
31371NTK1
19635.860000
PA
USD
21027.810000
0.0076140
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 303999 FN 12/24 FIXED VAR
31373UUY1
62.360000
PA
USD
65.630000
0.0000238
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 323328 FN 09/28 FLOATING VAR
31374TD97
2152.820000
PA
USD
2159.820000
0.0007821
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Floating
2.135
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 398916 FN 09/27 FIXED 8
31378HDV0
399.640000
PA
USD
401.240000
0.0001453
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 407308 FN 11/28 FIXED 6.5
31378SNZ6
2202.980000
PA
USD
2430.920000
0.0008802
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 413793 FN 02/28 FIXED 6.5
31379AUS2
8663.810000
PA
USD
8677.000000
0.0031419
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 442497 FN 09/28 FIXED 6.5
31380KRS1
819.640000
PA
USD
914.680000
0.0003312
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 443108 FN 01/29 FIXED 6.5
31380LGR3
4616.380000
PA
USD
5097.940000
0.0018459
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 450811 FN 11/28 FIXED 6.5
31380UYG7
746.360000
PA
USD
824.180000
0.0002984
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 458053 FN 07/27 VARIABLE
31381DZS7
412.910000
PA
USD
417.520000
0.0001512
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
9.031
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 459764 FN 04/29 FIXED 6.5
31381FWZ9
1664.390000
PA
USD
1837.720000
0.0006654
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 489119 FN 07/29 FIXED 6.5
31382QK87
31498.640000
PA
USD
34764.730000
0.0125880
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 491193 FN 03/29 FIXED 6.5
31382SUS8
719.530000
PA
USD
794.140000
0.0002876
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 494976 FN 06/29 FIXED 6.5
31382W2H4
848.390000
PA
USD
936.940000
0.0003393
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 498247 FN 06/29 FIXED 6.5
31383BP84
860.010000
PA
USD
948.910000
0.0003436
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 503022 FN 06/29 FIXED 6.5
31383GYT7
3394.180000
PA
USD
3748.220000
0.0013572
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 503901 FN 07/29 FIXED 6.5
31383HX66
1955.710000
PA
USD
2159.710000
0.0007820
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 526692 FN 12/29 FIXED 6.5
31384LC51
1609.890000
PA
USD
1796.250000
0.0006504
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 535283 FN 05/30 FIXED VAR
31384VUG5
9799.300000
PA
USD
11013.690000
0.0039880
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 535597 FN 10/30 FIXED VAR
31384V7J5
111.180000
PA
USD
125.000000
0.0000453
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 535951 FN 03/31 FIXED VAR
31384WL81
1435.310000
PA
USD
1590.190000
0.0005758
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 540909 FN 05/31 FIXED 6.5
31385C3S0
3325.400000
PA
USD
3566.990000
0.0012916
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 569853 FN 11/27 FLOATING VAR
31386QBW0
8618.930000
PA
USD
8634.640000
0.0031265
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Floating
2.325
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 576596 FN 12/28 FLOATING VAR
31386XRR9
11863.570000
PA
USD
11918.960000
0.0043157
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Floating
2.32
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 583498 FN 05/31 FIXED 8
31387GGF3
16817.700000
PA
USD
17341.250000
0.0062791
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 591337 FN 08/31 FIXED 8
31387Q4W7
2682.500000
PA
USD
2722.070000
0.0009856
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 596686 FN 11/31 FIXED 6.5
31387W2T3
2662.460000
PA
USD
2955.290000
0.0010701
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 596712 FN 06/32 FIXED 6.5
31387W3V7
2079.220000
PA
USD
2310.910000
0.0008368
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 602008 FN 08/31 FIXED 8
31388DYD4
2631.040000
PA
USD
2945.390000
0.0010665
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 621803 FN 03/32 FLOATING VAR
31389CX87
57901.600000
PA
USD
58584.840000
0.0212130
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Floating
2.4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 634933 FN 01/32 FIXED 7
31389TLN0
8502.850000
PA
USD
8594.780000
0.0031121
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
7
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 635044 FN 06/32 FIXED 8
31389TP55
8537.340000
PA
USD
8753.600000
0.0031696
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 662051 FN 08/32 FIXED 6.5
31391BQC4
2553.920000
PA
USD
2727.080000
0.0009875
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 673284 FN 12/32 FIXED 6
31391P6V3
1436.050000
PA
USD
1579.920000
0.0005721
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 676839 FN 01/33 FIXED 6
31391T4Y1
6055.710000
PA
USD
6666.210000
0.0024138
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 677569 FN 02/33 FIXED 6
31391UW68
2114.960000
PA
USD
2328.360000
0.0008431
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 683892 FN 01/33 FIXED 6
31400CXV1
19024.020000
PA
USD
21109.840000
0.0076437
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 684200 FN 01/33 FIXED 6
31400DDD1
1690.720000
PA
USD
1861.300000
0.0006740
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 687742 FN 02/33 FIXED 6
31400HBK8
13070.920000
PA
USD
14376.160000
0.0052055
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 702022 FN 05/33 FIXED 6.5
31400Y4F0
1209.090000
PA
USD
1368.840000
0.0004956
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 704395 FN 05/33 FIXED 6.5
31401CRQ8
19314.620000
PA
USD
21325.920000
0.0077219
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 712129 FN 06/33 FIXED 6.5
31401MEA5
490.810000
PA
USD
556.070000
0.0002013
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 713298 FN 06/33 FIXED 6.5
31401NNP0
790.310000
PA
USD
874.300000
0.0003166
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 725034 FN 12/33 FIXED VAR
31402CPT3
6704.040000
PA
USD
7660.640000
0.0027738
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 725246 FN 01/34 FIXED VAR
31402CWF5
13140.900000
PA
USD
14780.580000
0.0053519
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 725851 FN 07/34 FIXED VAR
31402DL81
13658.770000
PA
USD
14820.400000
0.0053663
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
7
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 729682 FN 08/33 FIXED 6.5
31402HUF6
40471.080000
PA
USD
44983.450000
0.0162881
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 730754 FN 08/33 FIXED 6.5
31402JZT7
261.780000
PA
USD
290.760000
0.0001053
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735394 FN 02/35 FIXED VAR
31402Q7F2
12888.070000
PA
USD
14607.490000
0.0052892
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735487 FN 04/35 FIXED VAR
31402RCY3
10529.900000
PA
USD
11829.960000
0.0042835
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735504 FN 04/35 FIXED VAR
31402RDH9
265089.810000
PA
USD
304400.350000
0.1102206
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735741 FN 07/35 FIXED VAR
31402RLW7
4620.170000
PA
USD
5309.960000
0.0019227
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735861 FN 09/33 FIXED VAR
31402RQN2
35779.070000
PA
USD
39365.560000
0.0142539
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 739477 FN 10/33 FIXED 6.5
31402VQ60
11188.640000
PA
USD
12971.930000
0.0046970
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 742880 FN 10/33 FIXED 6.5
31403AJZ9
3197.900000
PA
USD
3569.670000
0.0012925
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 743468 FN 10/33 FIXED 6.5
31403A6D2
25620.760000
PA
USD
28773.550000
0.0104186
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 743878 FN 11/33 FIXED 6.5
31403BM34
24666.600000
PA
USD
27245.320000
0.0098653
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 743965 FN 11/33 FIXED 6.5
31403BQS5
532.050000
PA
USD
595.600000
0.0002157
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 745112 FN 10/35 FIXED VAR
31403CYH8
14273.640000
PA
USD
16576.510000
0.0060022
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 747151 FN 10/33 FIXED 6.5
31403FBU7
51008.570000
PA
USD
56705.230000
0.0205324
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 747416 FN 10/33 FIXED 6.5
31403FK52
8490.740000
PA
USD
9370.170000
0.0033929
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 747640 FN 11/33 FIXED 6.5
31403FS54
8839.480000
PA
USD
9759.030000
0.0035337
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 747686 FN 11/33 FIXED 6.5
31403FUK8
5805.180000
PA
USD
6434.750000
0.0023300
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 748111 FN 10/33 FIXED 6.5
31403GDQ2
170.940000
PA
USD
188.720000
0.0000683
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 748116 FN 10/33 FIXED 6.5
31403GDV1
990.010000
PA
USD
1105.780000
0.0004004
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 748671 FN 10/33 FIXED 6.5
31403GW81
25944.940000
PA
USD
29127.800000
0.0105469
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 748774 FN 11/33 FIXED 7
31403G2F8
18514.570000
PA
USD
18584.080000
0.0067291
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
7
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 749783 FN 11/33 FIXED 6.5
31403H6U9
21826.260000
PA
USD
24643.410000
0.0089232
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 750674 FN 10/33 FIXED 6.5
31403J6K7
74770.540000
PA
USD
82665.110000
0.0299323
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 750859 FN 10/32 FIXED 6.5
31403KE82
5908.150000
PA
USD
6693.180000
0.0024235
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 752997 FN 10/33 FIXED 6.5
31403MRS0
22936.860000
PA
USD
25366.340000
0.0091849
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 753904 FN 12/33 FIXED 6.5
31403NRZ2
953.900000
PA
USD
1052.420000
0.0003811
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.5
N
N
N
N
N
N
NMG PARENT
N/A
NEIMAN MARCUS USD COMMON STOCK EQUITY
967DUC905
32851.000000
NS
USD
4807415.340000
1.7407215
Long
EC
CORP
US
Y
3
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 754796 FN 12/33 FIXED 6.5
31403QRR3
543.460000
PA
USD
606.770000
0.0002197
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 755211 FN 10/33 FIXED 6.5
31403RAL2
1448.980000
PA
USD
1598.810000
0.0005789
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 755910 FN 11/33 FIXED 6.5
31403RYF9
4684.040000
PA
USD
5229.400000
0.0018935
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 758557 FN 07/34 FIXED 6.5
31403UWS6
6796.650000
PA
USD
7515.410000
0.0027213
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 763726 FN 01/34 FIXED 6.5
31404BPK2
1545.650000
PA
USD
1706.660000
0.0006180
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 763753 FN 01/34 FIXED 6.5
31404BQE5
2284.740000
PA
USD
2521.920000
0.0009132
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 766442 FN 03/34 FIXED 6.5
31404EP34
2609.900000
PA
USD
2881.190000
0.0010433
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 768504 FN 01/34 FIXED 6.5
31404GX97
3624.470000
PA
USD
4108.320000
0.0014876
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 771196 FN 04/34 FIXED 6.5
31404KXZ0
7589.600000
PA
USD
8749.470000
0.0031681
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 771462 FN 10/32 FIXED 6.5
31404LB74
50637.080000
PA
USD
52910.370000
0.0191584
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.5
N
N
N
N
N
N
NOBLE CORPORATION
N/A
NOBLE CORP COMMON STOCK USD.00001
000000000
17389.000000
NS
USD
431421.090000
0.1562137
Long
EC
CORP
KY
Y
1
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 775469 FN 05/34 FIXED 6.5
31404QQW2
7045.530000
PA
USD
7930.890000
0.0028717
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 781808 FN 11/34 FIXED 6.5
31404XR55
27747.980000
PA
USD
30622.660000
0.0110882
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 783390 FN 09/34 FIXED 6.5
31405AKB8
1446.250000
PA
USD
1597.590000
0.0005785
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 786574 FN 07/34 FIXED 6.5
31405D2F3
35686.350000
PA
USD
39422.030000
0.0142744
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 791804 FN 08/34 FIXED 6.5
31405KU58
14904.280000
PA
USD
16447.100000
0.0059553
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 793441 FN 08/34 FIXED 6.5
31405MP27
26718.880000
PA
USD
29879.050000
0.0108189
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.5
N
N
N
N
N
N
NOBLE FINANCE COMPANY
5493003DTPH8AMMK4P51
NOBLE CORP COMMON STOCK
000000000
1690.000000
NS
USD
41928.900000
0.0151821
Long
EC
CORP
KY
N
2
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 800224 FN 12/34 FIXED 6.5
31405VAZ0
14121.130000
PA
USD
15595.290000
0.0056469
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 802206 FN 10/34 FIXED 6.5
31405XGP2
3662.190000
PA
USD
4143.570000
0.0015003
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 807392 FN 10/31 FIXED 8
31406D7D2
18576.200000
PA
USD
20259.370000
0.0073357
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 829978 FN 07/31 FIXED 8
31407GCP1
25644.490000
PA
USD
25748.730000
0.0093234
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 831551 FN 06/36 FIXED 6.5
31407HZQ2
46418.880000
PA
USD
54535.690000
0.0197469
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 888215 FN 12/36 FIXED VAR
31410FYL3
155786.780000
PA
USD
181496.740000
0.0657183
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 888743 FN 01/36 FIXED VAR
31410GLY7
314631.920000
PA
USD
364460.430000
0.1319678
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 906353 FN 01/47 FIXED 7
31411E5N3
25739.520000
PA
USD
25893.240000
0.0093757
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
7
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 918263 FN 04/37 FIXED 6.5
31411YFC2
126238.410000
PA
USD
133626.630000
0.0483850
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 929119 FN 02/38 FIXED 6.5
31412MG44
28973.260000
PA
USD
34665.330000
0.0125520
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 995050 FN 09/37 FIXED VAR
31416BL71
264163.660000
PA
USD
306489.790000
0.1109772
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AA8656 FN 10/36 FIXED 6
31416STN1
188694.380000
PA
USD
207948.720000
0.0752963
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AD0938 FN 04/39 FIXED VAR
31418NBG4
392456.990000
PA
USD
455469.410000
0.1649213
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AI1162 FN 04/41 FIXED 4.5
3138AEJG9
80454.550000
PA
USD
88981.660000
0.0322195
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AI9192 FN 08/41 FIXED 4.5
3138APGA0
52849.640000
PA
USD
56674.570000
0.0205213
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL0152 FN 06/40 FIXED VAR
3138EGE26
1076538.680000
PA
USD
1247939.650000
0.4518676
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BE3702 FN 06/47 FIXED 4
3140FPDG1
8365.100000
PA
USD
8971.830000
0.0032486
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BJ3524 FN 11/47 FIXED 4
3140H44J0
224781.990000
PA
USD
240099.910000
0.0869380
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BM2006 FN 01/48 FIXED VAR
3140J6GQ4
108011.170000
PA
USD
115537.300000
0.0418350
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL CA0709 FN 09/47 FIXED 4
3140Q7YF8
7308706.170000
PA
USD
7825783.030000
2.8336451
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3183 FN 11/47 FIXED 4
31418CRD8
61420.000000
PA
USD
65839.760000
0.0238400
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3306 FN 03/48 FIXED 4
31418CU85
110965.070000
PA
USD
118662.640000
0.0429667
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3384 FN 06/48 FIXED 4
31418CXN9
93902.480000
PA
USD
100211.570000
0.0362857
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4
N
N
N
N
N
N
FNR 1992-188
N/A
FANNIE MAE FNR 1992 188 PZ
31358Q4G7
876.600000
PA
USD
892.340000
0.0003231
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
7.5
N
N
N
N
N
N
FORBES ENERGY SERVICES LLC
N/A
FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN
962XCSII2
79981.930000
PA
USD
8.000000
0.0000029
Long
LON
CORP
US
N
3
2022-06-30
Fixed
5.2961
N
N
Y
N
N
N
FORTRESS TRANSPORTATION AND INFRASTRUCTURE INVESTORS LLC
529900E7PUVK6BC8PE80
FORTRESS TRANS + INFRAST SR UNSECURED 144A 10/25 6.5
34960PAB7
100000.000000
PA
USD
103475.500000
0.0374675
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC 1652
N/A
FREDDIE MAC FHR 1652 PL
3133T3PK8
43015.240000
PA
USD
44846.910000
0.0162387
Long
ABS-MBS
USGSE
US
N
2
2024-01-15
Fixed
7
N
N
N
N
N
N
FREDDIE MAC 1721
N/A
FREDDIE MAC FHR 1721 K
3133T5JQ7
37251.730000
PA
USD
39363.540000
0.0142532
Long
ABS-MBS
USGSE
US
N
2
2024-05-15
Fixed
7.5
N
N
N
N
N
N
FREDDIE MAC 1730
N/A
FREDDIE MAC FHR 1730 Z
3133T5LA9
3019.670000
PA
USD
3184.680000
0.0011531
Long
ABS-MBS
USGSE
US
N
2
2024-05-15
Fixed
7
N
N
N
N
N
N
FREDDIE MAC 1795
N/A
FREDDIE MAC FHR 1795 D
3133T6LM1
28352.700000
PA
USD
30875.190000
0.0111796
Long
ABS-MBS
USGSE
US
N
2
2025-09-15
Fixed
7
N
N
N
N
N
N
FREDDIE MAC 1829
N/A
FREDDIE MAC FHR 1829 ZB
3133T6J36
9972.830000
PA
USD
10436.780000
0.0037791
Long
ABS-MBS
USGSE
US
N
2
2026-03-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC 1980
N/A
FREDDIE MAC FHR 1980 Z
3133TAG22
103851.910000
PA
USD
115787.150000
0.0419255
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
7
N
N
N
N
N
N
FREDDIE MAC 2034
N/A
FREDDIE MAC FHR 2034 Z
3133TCV70
67578.840000
PA
USD
74475.140000
0.0269668
Long
ABS-MBS
USGSE
US
N
2
2028-02-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC 2040
N/A
FREDDIE MAC FHR 2040 PE
3133TD3W4
14572.540000
PA
USD
16466.500000
0.0059624
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
7.5
N
N
N
N
N
N
FREDDIE MAC 2104
N/A
FREDDIE MAC FHR 2104 ZM
3133THB89
43443.980000
PA
USD
48535.210000
0.0175742
Long
ABS-MBS
USGSE
US
N
2
2028-12-15
Fixed
6
N
N
N
N
N
N
FREDDIE MAC 2138
N/A
FREDDIE MAC FHR 2138 KC
3133TJTN3
774614.750000
PA
USD
873984.030000
0.3164617
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
7
N
N
N
N
N
N
FREDDIE MAC 2152
N/A
FREDDIE MAC FHR 2152 BZ
3133TKXF2
138512.560000
PA
USD
151853.730000
0.0549849
Long
ABS-MBS
USGSE
US
N
2
2029-05-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC 2283
N/A
FREDDIE MAC FHR 2283 K
3133TRJM8
1812.840000
PA
USD
1886.730000
0.0006832
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC 2290
N/A
FREDDIE MAC FHR 2290 ZD
3133TRE68
66661.210000
PA
USD
74328.520000
0.0269137
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
6
N
N
N
N
N
N
FREDDIE MAC 2311
N/A
FREDDIE MAC FHR 2311 Z
3133TSDK6
37698.430000
PA
USD
42113.100000
0.0152488
Long
ABS-MBS
USGSE
US
N
2
2031-04-15
Fixed
6
N
N
N
N
N
N
FREDDIE MAC 2322
N/A
FREDDIE MAC FHR 2322 KZ
3133TUHY7
383478.000000
PA
USD
446246.370000
0.1615818
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC 2322
N/A
FREDDIE MAC FHR 2322 PZ
3133TUKA5
352581.460000
PA
USD
408966.220000
0.1480830
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC 2359
N/A
FREDDIE MAC FHR 2359 PZ
3133TV6U5
362206.300000
PA
USD
403549.320000
0.1461216
Long
ABS-MBS
USGSE
US
N
2
2031-09-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC 2415
N/A
FREDDIE MAC FHR 2415 ZA
31339DKU1
24813.630000
PA
USD
28884.600000
0.0104589
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC 2417
N/A
FREDDIE MAC FHR 2417 CJ
31339D5N4
795929.830000
PA
USD
907709.420000
0.3286734
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Fixed
6
N
N
N
N
N
N
FREDDIE MAC 2457
N/A
FREDDIE MAC FHR 2457 PE
31392PKZ7
73750.530000
PA
USD
84872.800000
0.0307317
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC 2484
N/A
FREDDIE MAC FHR 2484 LZ
31392R3H2
379056.300000
PA
USD
443404.970000
0.1605529
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC 2756
N/A
FREDDIE MAC FHR 2756 NA
31394PXG3
1129.170000
PA
USD
1163.990000
0.0004215
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Fixed
5
N
N
N
N
N
N
FREDDIE MAC 2947
N/A
FREDDIE MAC FHR 2947 OZ
31395R6Y9
123508.110000
PA
USD
133863.720000
0.0484708
Long
ABS-MBS
USGSE
US
N
2
2035-03-15
Fixed
6
N
N
N
N
N
N
FREDDIE MAC 3871
N/A
FREDDIE MAC FHR 3871 JB
3137AC7C7
1534728.900000
PA
USD
1745577.630000
0.6320578
Long
ABS-MBS
USGSE
US
N
2
2041-06-15
Fixed
5.5
N
N
N
N
N
N
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071
N/A
FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3
3137FCLG7
5336000.000000
PA
USD
566153.340000
0.2049990
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Variable
2.01041
N
N
N
N
N
N
FREDDIE MAC REMIC 2230
N/A
FREDDIE MAC FHR 2230 Z
3133TNSS4
23990.900000
PA
USD
27808.580000
0.0100692
Long
ABS-MBS
USGSE
US
N
2
2030-04-15
Fixed
8
N
N
N
N
N
N
FREDDIE MAC REMICS 4066
N/A
FREDDIE MAC FHR 4066 SA
3137ARFG6
2963824.740000
PA
USD
134609.210000
0.0487408
Long
ABS-MBS
USGSE
US
N
2
2038-05-15
Floating
1.85228
N
N
N
N
N
N
FREDDIE MAC REMICS 4324
N/A
FREDDIE MAC FHR 4324 IO
3137BAGM8
1533199.040000
PA
USD
72030.760000
0.0260817
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Floating
1.83662
N
N
N
N
N
N
FREDDIE MAC REMICS 4496
N/A
FREDDIE MAC FHR 4496 BI
3137BKS27
12355541.120000
PA
USD
738965.150000
0.2675726
Long
ABS-MBS
USGSE
US
N
2
2038-11-15
Floating
1.91047
N
N
N
N
N
N
FREDDIE MAC REMICS 4923
N/A
FREDDIE MAC FHR 4923 NS
3137FPYZ2
6977228.180000
PA
USD
1316344.800000
0.4766365
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
5.89812
N
N
N
N
N
N
FREDDIE MAC REMICS 4923
N/A
FREDDIE MAC FHR 4923 QS
3137FPZ32
5840166.200000
PA
USD
1132536.130000
0.4100811
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
5.89812
N
N
N
N
N
N
FREDDIE MAC REMICS 4923
N/A
FREDDIE MAC FHR 4923 SE
3137FPZ73
19095468.100000
PA
USD
3573478.160000
1.2939241
Long
ABS-MBS
USGSE
US
N
2
2048-04-25
Floating
5.89812
N
N
N
N
N
N
FREDDIE MAC REMICS 4976
N/A
FREDDIE MAC FHR 4976 DI
3137FTAM9
654373.280000
PA
USD
97884.690000
0.0354432
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Fixed
3.5
N
N
N
N
N
N
FREDDIE MAC REMICS 4983
N/A
FREDDIE MAC FHR 4983 IO
3137FTH34
918050.980000
PA
USD
122944.650000
0.0445171
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC REMICS 4990
N/A
FREDDIE MAC FHR 4990 SN
3137FUYG3
873825.700000
PA
USD
144093.680000
0.0521750
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Floating
6.04812
N
N
N
N
N
N
FREDDIE MAC REMICS 5051
N/A
FREDDIE MAC FHR 5051 SX
3137F83L5
8148985.680000
PA
USD
654791.370000
0.2370940
Long
ABS-MBS
USGSE
US
N
2
2048-11-15
Floating
4.2
N
N
N
N
N
N
FREDDIE MAC REMICS 5060
N/A
FREDDIE MAC FHR 5060 IP
3137F87A5
10567760.030000
PA
USD
1283686.950000
0.4648114
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Fixed
3
N
N
N
N
N
N
FREDDIE MAC REMICS 5065
N/A
FREDDIE MAC FHR 5065 IG
3137F8RG0
607487.130000
PA
USD
77557.580000
0.0280829
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Fixed
3
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-DNA6
N/A
FREDDIE MAC STACR STACR 2021 DNA6 B2 144A
35564KLV9
2800000.000000
PA
USD
2919299.600000
1.0570519
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
7.54967
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-DNA7
N/A
FREDDIE MAC STACR STACR 2021 DNA7 B2 144A
35564KNE5
2800000.000000
PA
USD
2958211.760000
1.0711417
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
7.84967
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-DNA2
N/A
FREDDIE MAC STACR STACR 2015 DNA2 B
3137G0FZ7
1582047.330000
PA
USD
1699352.980000
0.6153203
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Floating
7.65275
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-HQ1
N/A
FREDDIE MAC STACR STACR 2015 HQ1 B
3137G0EM7
231724.490000
PA
USD
237376.690000
0.0859519
Long
ABS-MBS
USGSE
US
N
2
2025-03-25
Floating
10.8528
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2017-DNA2
N/A
FREDDIE MAC STACR STACR 2017 DNA2 B1
3137G0PR4
650000.000000
PA
USD
709003.040000
0.2567236
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
5.25275
N
N
N
N
N
N
FREDDIE MAC-1343
N/A
FREDDIE MAC FHR 1343 LA
312911GW4
760.210000
PA
USD
772.120000
0.0002796
Long
ABS-MBS
USGSE
US
N
2
2022-08-15
Fixed
8
N
N
N
N
N
N
FREDDIE MAC-1503
N/A
FREDDIE MAC FHR 1503 PZ
312915U58
11456.130000
PA
USD
11837.420000
0.0042862
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Fixed
7
N
N
N
N
N
N
FREDDIE MAC-1578
N/A
FREDDIE MAC FHR 1578 K
3133T0J70
35503.450000
PA
USD
36837.120000
0.0133384
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Fixed
6.9
N
N
N
N
N
N
FREDDIE MAC-1584
N/A
FREDDIE MAC FHR 1584 L
3133T1CA8
3395.530000
PA
USD
3530.050000
0.0012782
Long
ABS-MBS
USGSE
US
N
2
2023-09-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC-1603
N/A
FREDDIE MAC FHR 1603 K
3133T1RC8
62429.580000
PA
USD
65120.580000
0.0235796
Long
ABS-MBS
USGSE
US
N
2
2023-10-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC-1628
N/A
FREDDIE MAC FHR 1628 LZ
3133T3KK3
1485.190000
PA
USD
1548.110000
0.0005606
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC-1643
N/A
FREDDIE MAC FHR 1643 PK
3133T2YT1
926.210000
PA
USD
952.570000
0.0003449
Long
ABS-MBS
USGSE
US
N
2
2023-12-15
Fixed
6.5
N
N
N
N
N
N
FREDDIE MAC-1695
N/A
FREDDIE MAC FHR 1695 EB
3133T4SX5
2195.960000
PA
USD
2296.320000
0.0008315
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Fixed
7
N
N
N
N
N
N
FREDDIE MAC-2325
N/A
FREDDIE MAC FHR 2325 ZN
3133TU5B0
203941.500000
PA
USD
237720.820000
0.0860766
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Fixed
7
N
N
N
N
N
N
FREMF MORTGAGE TRUST 2014-K715
N/A
FREMF MORTGAGE TRUST FREMF 2014 K715 D 144A
30291XAJ1
644160.140000
PA
USD
541094.520000
0.1959254
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
None
0
N
N
N
N
N
N
FREMF MORTGAGE TRUST 2014-K715
N/A
FREMF MORTGAGE TRUST FREMF 2014 K715 X2B 144A
30291XAC6
644338.460000
PA
USD
188.660000
0.0000683
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
Fixed
0.1
N
N
N
N
N
N
FRONTIER COMMUNICATIONS HOLDINGS LLC
N/A
FRONTIER COMMUNICATIONS SECURED 144A 01/30 6
35908MAB6
706000.000000
PA
USD
710744.320000
0.2573541
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6
N
N
N
N
N
N
FUTURE DIAMOND LIMITED
98450078C09D9F084D16
FUTURE DIAMOND LTD COMPANY GUAR REGS 09/22 4.25
ACI20GSS4
200000.000000
PA
USD
188500.170000
0.0682542
Long
DBT
CORP
VG
N
2
2022-09-22
Fixed
4.25
N
N
N
N
N
N
GATEWAY CASINOS & ENTERTAINMENT LIMITED
549300JSKBQMMD1B3U44
GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN
943ZHKII3
588974.760000
PA
466193.110000
0.1688043
Long
LON
CORP
CA
N
3
2027-10-18
Floating
8.75
N
N
N
N
N
N
GATEWAY CASINOS & ENTERTAINMENT LIMITED
549300JSKBQMMD1B3U44
GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN
943ZERII1
2699600.000000
PA
USD
2701287.250000
0.9781116
Long
LON
CORP
CA
N
2
2027-10-15
Floating
8.75
N
N
N
N
N
N
GAZPROM OAO VIA GPN CAPITAL SA
54930038HWNV6ZAAFY05
GAZPROM NEFT (GPN CAPITA SR UNSECURED 144A 11/23 6
36192NAB7
5600000.000000
PA
USD
6006924.000000
2.1750527
Long
DBT
CORP
LU
N
2
2023-11-27
Fixed
6
N
N
N
N
N
N
GAZPROM PJSC VIA GAZ CAPITAL SA
213800568PRHV2JR9650
GAZPROM (GAZ CAPITAL SA) SR UNSECURED REGS 04/34 8.625
B00ZMCII3
1710000.000000
PA
USD
2418665.040000
0.8757767
Long
DBT
CORP
LU
N
2
2034-04-28
Fixed
8.625
N
N
N
N
N
N
GC PASTOR HIPOTECARIO FTA 5
N/A
PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS
997AAZII7
982910.520000
PA
1021395.310000
0.3698380
Long
ABS-MBS
CORP
ES
N
2
2046-06-21
Floating
0
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 02/27 6.375
37443GAG6
323000.000000
PA
USD
273401.740000
0.0989963
Long
DBT
NUSS
GH
N
2
2027-02-11
Fixed
6.375
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 02/35 7.875
37443GAH4
388000.000000
PA
USD
305550.000000
0.1106369
Long
DBT
NUSS
GH
N
2
2035-02-11
Fixed
7.875
N
N
N
N
N
N
GLP CAPITAL LP / GLP FINANCING II INC
N/A
GLP CAPITAL LP / FIN II COMPANY GUAR 01/32 3.25
361841AR0
100000.000000
PA
USD
100701.500000
0.0364631
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.25
N
N
N
N
N
N
GMAC MORTGAGE CORP LOAN TRUST 2004-AR2
N/A
GMAC MORTGAGE CORPORATION LOAN GMACM 2004 AR2 5A2
36185N4A5
20034.640000
PA
USD
18377.580000
0.0066544
Long
ABS-MBS
CORP
US
N
2
2034-08-19
Floating
2.80581
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA I TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01N040611
14000000.000000
PA
USD
14862688.540000
5.3816448
Long
ABS-MBS
USGSE
US
N
2
2052-01-21
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA I TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01N040629
6000000.000000
PA
USD
6354958.020000
2.3010727
Long
ABS-MBS
USGSE
US
N
2
2052-02-22
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004217 G2 08/38 FIXED 6.5
36202EVJ5
2484.580000
PA
USD
2709.140000
0.0009810
Long
ABS-MBS
USGSE
US
N
2
2038-08-20
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004261 G2 10/38 FIXED 6.5
36202EWW5
470.500000
PA
USD
507.310000
0.0001837
Long
ABS-MBS
USGSE
US
N
2
2038-10-20
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 616713 G2 11/24 FIXED 6.5
36290TDS5
27000.920000
PA
USD
27310.380000
0.0098888
Long
ABS-MBS
USGSE
US
N
2
2024-11-20
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 3.5 JUMBOS
21H032621
1500000.000000
PA
USD
1560813.860000
0.5651566
Long
ABS-MBS
USGSE
US
N
2
2052-02-22
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 4 JUMBOS
21H040616
1000000.000000
PA
USD
1053111.700000
0.3813222
Long
ABS-MBS
USGSE
US
N
2
2052-01-20
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 4 JUMBOS
21H040624
200000.000000
PA
USD
210622.340000
0.0762644
Long
ABS-MBS
USGSE
US
N
2
2052-02-22
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 4 JUMBOS
21H040632
500000.000000
PA
USD
526555.850000
0.1906611
Long
ABS-MBS
USGSE
US
N
2
2051-03-18
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 320825 GN 05/22 FIXED 8.5
36223XLE0
2.910000
PA
USD
2.920000
0.0000011
Long
ABS-MBS
USGSE
US
N
2
2022-05-15
Fixed
8.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 341594 GN 01/23 FIXED 8.5
36224XNK3
97.030000
PA
USD
97.360000
0.0000353
Long
ABS-MBS
USGSE
US
N
2
2023-01-15
Fixed
8.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 345096 GN 03/26 FIXED 7.5
36203CKH4
32.270000
PA
USD
34.250000
0.0000124
Long
ABS-MBS
USGSE
US
N
2
2026-03-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 353125 GN 06/23 FIXED 7.5
36203MHA1
36.540000
PA
USD
36.680000
0.0000133
Long
ABS-MBS
USGSE
US
N
2
2023-06-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 353706 GN 06/27 FIXED 7.5
36203M3P3
3734.210000
PA
USD
3749.370000
0.0013576
Long
ABS-MBS
USGSE
US
N
2
2027-06-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 367562 GN 03/26 FIXED 7
36204EJF5
1514.650000
PA
USD
1519.670000
0.0005503
Long
ABS-MBS
USGSE
US
N
2
2026-03-15
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 373604 GN 03/26 FIXED 7
36204MAD1
775.340000
PA
USD
778.190000
0.0002818
Long
ABS-MBS
USGSE
US
N
2
2026-03-15
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 389230 GN 04/24 FIXED 7
36205FLK7
65.780000
PA
USD
65.960000
0.0000239
Long
ABS-MBS
USGSE
US
N
2
2024-04-15
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 399225 GN 04/27 FIXED 7.5
36205SPJ8
2766.180000
PA
USD
2794.060000
0.0010117
Long
ABS-MBS
USGSE
US
N
2
2027-04-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 399238 GN 04/27 FIXED 7.5
36205SPX7
5382.210000
PA
USD
5404.080000
0.0019568
Long
ABS-MBS
USGSE
US
N
2
2027-04-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 405721 GN 09/25 FIXED 7
36206AVN0
4217.680000
PA
USD
4233.110000
0.0015328
Long
ABS-MBS
USGSE
US
N
2
2025-09-15
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 410253 GN 12/25 FIXED 7
36206FWN8
297.830000
PA
USD
303.430000
0.0001099
Long
ABS-MBS
USGSE
US
N
2
2025-12-15
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 410289 GN 10/25 FIXED 7.5
36206FXS6
2490.710000
PA
USD
2500.720000
0.0009055
Long
ABS-MBS
USGSE
US
N
2
2025-10-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 410324 GN 03/26 FIXED 7.5
36206FYV8
15159.900000
PA
USD
15717.970000
0.0056913
Long
ABS-MBS
USGSE
US
N
2
2026-03-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 412531 GN 12/25 FIXED 7
36206JHG2
69.410000
PA
USD
71.360000
0.0000258
Long
ABS-MBS
USGSE
US
N
2
2025-12-15
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 413294 GN 05/27 FIXED 7.5
36206KC74
1184.780000
PA
USD
1199.750000
0.0004344
Long
ABS-MBS
USGSE
US
N
2
2027-05-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 414844 GN 11/25 FIXED 7
36206LZH5
1569.210000
PA
USD
1601.750000
0.0005800
Long
ABS-MBS
USGSE
US
N
2
2025-11-15
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 418956 GN 07/27 FIXED 7.5
36206RMD5
7775.060000
PA
USD
8021.800000
0.0029046
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 421282 GN 04/27 FIXED 7.5
36206T6T4
69282.460000
PA
USD
75047.780000
0.0271741
Long
ABS-MBS
USGSE
US
N
2
2027-04-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 422100 GN 03/27 FIXED 7.5
36206U3H0
6471.450000
PA
USD
6497.720000
0.0023528
Long
ABS-MBS
USGSE
US
N
2
2027-03-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 422120 GN 05/27 FIXED 7.5
36206U4D8
323.030000
PA
USD
328.470000
0.0001189
Long
ABS-MBS
USGSE
US
N
2
2027-05-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 423379 GN 04/26 FIXED 7
36206WJY2
47.410000
PA
USD
47.570000
0.0000172
Long
ABS-MBS
USGSE
US
N
2
2026-04-15
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 429423 GN 04/26 FIXED 7
36207EAY0
2408.340000
PA
USD
2459.160000
0.0008904
Long
ABS-MBS
USGSE
US
N
2
2026-04-15
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 430603 GN 02/28 FIXED 7.5
36207FKQ3
3146.970000
PA
USD
3159.740000
0.0011441
Long
ABS-MBS
USGSE
US
N
2
2028-02-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 433029 GN 06/26 FIXED 7
36207JA60
443.770000
PA
USD
445.410000
0.0001613
Long
ABS-MBS
USGSE
US
N
2
2026-06-15
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 433492 GN 03/27 FIXED 7.5
36207JRM7
2113.820000
PA
USD
2122.260000
0.0007685
Long
ABS-MBS
USGSE
US
N
2
2027-03-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 439534 GN 04/27 FIXED 7.5
36207RHK4
142.510000
PA
USD
142.660000
0.0000517
Long
ABS-MBS
USGSE
US
N
2
2027-04-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 445343 GN 02/28 FIXED 7.5
36207XWC2
8268.280000
PA
USD
8301.200000
0.0030058
Long
ABS-MBS
USGSE
US
N
2
2028-02-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 445792 GN 01/28 FIXED 7.5
36207YF96
9394.840000
PA
USD
9433.170000
0.0034157
Long
ABS-MBS
USGSE
US
N
2
2028-01-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 446811 GN 06/27 FIXED 7.5
36208CKY2
5159.580000
PA
USD
5585.060000
0.0020223
Long
ABS-MBS
USGSE
US
N
2
2027-06-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 447328 GN 06/27 FIXED 7.5
36208C4M6
2108.990000
PA
USD
2117.520000
0.0007667
Long
ABS-MBS
USGSE
US
N
2
2027-06-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 447342 GN 07/27 FIXED 7.5
36208C5B9
14335.580000
PA
USD
14393.790000
0.0052119
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 447399 GN 07/27 FIXED 7.5
36208C7L5
359.640000
PA
USD
361.090000
0.0001307
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 447529 GN 04/27 FIXED 7.5
36208DEA9
188.360000
PA
USD
193.110000
0.0000699
Long
ABS-MBS
USGSE
US
N
2
2027-04-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 448042 GN 01/28 FIXED 7.5
36208DWB7
4173.290000
PA
USD
4190.310000
0.0015173
Long
ABS-MBS
USGSE
US
N
2
2028-01-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 448600 GN 06/27 FIXED 7.5
36208EKM4
12047.030000
PA
USD
12167.760000
0.0044058
Long
ABS-MBS
USGSE
US
N
2
2027-06-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 448605 GN 07/27 FIXED 7.5
36208EKS1
29480.770000
PA
USD
29801.530000
0.0107909
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 449648 GN 07/27 FIXED 7.5
36208FP95
592.780000
PA
USD
595.180000
0.0002155
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 451321 GN 07/27 FIXED 7.5
36208HLA2
348.520000
PA
USD
376.030000
0.0001362
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 451387 GN 08/27 FIXED 7.5
36208HNC6
1639.360000
PA
USD
1782.680000
0.0006455
Long
ABS-MBS
USGSE
US
N
2
2027-08-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 453008 GN 01/28 FIXED 7.5
36208KGR4
17421.230000
PA
USD
17491.940000
0.0063337
Long
ABS-MBS
USGSE
US
N
2
2028-01-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 453009 GN 01/28 FIXED 7.5
36208KGS2
16424.690000
PA
USD
16491.570000
0.0059714
Long
ABS-MBS
USGSE
US
N
2
2028-01-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 454351 GN 01/28 FIXED 7.5
36208LWL7
31340.260000
PA
USD
31633.990000
0.0114544
Long
ABS-MBS
USGSE
US
N
2
2028-01-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 455360 GN 12/27 FIXED 7.5
36208MZZ1
864.870000
PA
USD
878.180000
0.0003180
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 456586 GN 08/27 FIXED 7.5
36208PF37
15352.620000
PA
USD
15414.830000
0.0055816
Long
ABS-MBS
USGSE
US
N
2
2027-08-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 462037 GN 02/28 FIXED 7.5
36208VHN8
1874.020000
PA
USD
1881.610000
0.0006813
Long
ABS-MBS
USGSE
US
N
2
2028-02-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 463328 GN 01/28 FIXED 7.5
36208WVV2
8831.260000
PA
USD
8951.870000
0.0032414
Long
ABS-MBS
USGSE
US
N
2
2028-01-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 470020 GN 02/29 FIXED 7.5
36209FDZ9
315.070000
PA
USD
328.100000
0.0001188
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 491153 GN 01/29 FIXED 7.5
36210FTJ5
1153.910000
PA
USD
1175.360000
0.0004256
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 495943 GN 02/29 FIXED 7.5
36210L5C3
7739.250000
PA
USD
7770.510000
0.0028136
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 496602 GN 04/29 FIXED 6
36210MU33
8216.710000
PA
USD
9042.500000
0.0032742
Long
ABS-MBS
USGSE
US
N
2
2029-04-15
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 498356 GN 02/29 FIXED 7.5
36210PTM6
11129.540000
PA
USD
11175.100000
0.0040464
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 501911 GN 03/29 FIXED 7.5
36210TR81
2828.570000
PA
USD
2840.100000
0.0010284
Long
ABS-MBS
USGSE
US
N
2
2029-03-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 503001 GN 02/29 FIXED 7.5
36210UX65
5952.540000
PA
USD
6541.850000
0.0023687
Long
ABS-MBS
USGSE
US
N
2
2029-02-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 533972 GN 05/32 FIXED 6.5
36212HFM7
105958.010000
PA
USD
116395.260000
0.0421457
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 543927 GN 02/31 FIXED 8.5
36212UHC8
6262.620000
PA
USD
6783.570000
0.0024563
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
8.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 557681 GN 08/31 FIXED 6
36213LRA0
1709.430000
PA
USD
1882.340000
0.0006816
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6
N
N
N
N
N
N
STICHTING AK RABOBANK CERTIFICATEN
N/A
STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR
BJBQCWII7
5317100.000000
NS
8353852.510000
3.0248543
Long
EP
CORP
NL
N
2
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 569341 GN 04/32 FIXED 6.5
36200QP24
99375.980000
PA
USD
110260.740000
0.0399244
Long
ABS-MBS
USGSE
US
N
2
2032-04-15
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 616975 GN 02/36 FIXED 6
36290TMY2
6284.650000
PA
USD
7141.700000
0.0025859
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 627597 GN 12/37 FIXED 6
36291GGE0
5873.590000
PA
USD
6468.680000
0.0023423
Long
ABS-MBS
USGSE
US
N
2
2037-12-15
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 627708 GN 09/36 FIXED 6
36291GKV7
10407.660000
PA
USD
11468.200000
0.0041525
Long
ABS-MBS
USGSE
US
N
2
2036-09-15
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 627727 GN 07/37 FIXED 6
36291GLG9
193140.960000
PA
USD
213130.060000
0.0771725
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 632024 GN 12/36 FIXED 6
36291MD59
3943.760000
PA
USD
4343.280000
0.0015727
Long
ABS-MBS
USGSE
US
N
2
2036-12-15
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 632082 GN 07/37 FIXED 6
36291MFX6
101729.200000
PA
USD
112068.220000
0.0405789
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 681706 GN 12/38 FIXED 6
36295VKT5
2277.990000
PA
USD
2515.680000
0.0009109
Long
ABS-MBS
USGSE
US
N
2
2038-12-15
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 685192 GN 10/38 FIXED 6
36296AF90
83026.830000
PA
USD
91587.770000
0.0331631
Long
ABS-MBS
USGSE
US
N
2
2038-10-15
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 699270 GN 09/38 FIXED 6
36296R2B2
91289.890000
PA
USD
104982.460000
0.0380132
Long
ABS-MBS
USGSE
US
N
2
2038-09-15
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 701432 GN 11/38 FIXED 6
36296UHH6
231406.800000
PA
USD
257790.410000
0.0933436
Long
ABS-MBS
USGSE
US
N
2
2038-11-15
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 780189 GN 07/25 FIXED 7
36225AF62
847.340000
PA
USD
880.970000
0.0003190
Long
ABS-MBS
USGSE
US
N
2
2025-07-15
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 780232 GN 11/22 FIXED 8
36225AHH6
23.930000
PA
USD
24.000000
0.0000087
Long
ABS-MBS
USGSE
US
N
2
2022-11-15
Fixed
8
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 780518 GN 06/26 FIXED 7
36225ASF8
4070.230000
PA
USD
4411.470000
0.0015974
Long
ABS-MBS
USGSE
US
N
2
2026-06-15
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 780580 GN 06/27 FIXED 7.5
36225AUD0
158.610000
PA
USD
177.650000
0.0000643
Long
ABS-MBS
USGSE
US
N
2
2027-06-15
Fixed
7.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 780798 GN 12/27 FIXED 7.5
36225A3F5
6206.870000
PA
USD
6952.780000
0.0025175
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
7.5
N
N
N
N
N
N
GOLDEN STATE TOBACCO SECURITIZATION
N/A
GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/36 FIXED 3.487
38122ND41
1000000.000000
PA
USD
1015067.400000
0.3675467
Long
DBT
MUN
US
N
2
2036-06-01
Fixed
3.487
N
N
N
N
N
N
GOLDEN STATE TOBACCO SECURITIZATION
N/A
GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/46 FIXED 3
38122NB76
100000.000000
PA
USD
102568.850000
0.0371393
Long
DBT
MUN
US
N
2
2046-06-01
Fixed
3
N
N
N
N
N
N
GOLDEN STATE TOBACCO SECURITIZATION
N/A
GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85
38122ND82
1000000.000000
PA
USD
1018319.200000
0.3687242
Long
DBT
MUN
US
N
2
2050-06-01
Fixed
3.85
N
N
N
N
N
N
AXIS ENERGY SERVICES HOLDINGS LLC
N/A
AXIS ENERGY SERVICES CLASS A EQTY009T1 AXIS ENERGY SERVICES
942WZK900
422.340000
NS
USD
6219.590000
0.0022521
Long
EC
CORP
US
Y
3
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-88
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2017 88 SA
38380FRT5
7065294.600000
PA
USD
1238921.310000
0.4486022
Long
ABS-MBS
USGSE
US
N
2
2047-06-20
Floating
6.09612
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2019 110 PS
38381YWG5
17260645.160000
PA
USD
2880156.130000
1.0428784
Long
ABS-MBS
USGSE
US
N
2
2049-09-20
Floating
5.94612
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-115
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2019 115 SY
38381YVM3
35635313.510000
PA
USD
5756197.140000
2.0842668
Long
ABS-MBS
USGSE
US
N
2
2049-09-20
Floating
5.94612
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-97
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2019 97 SB
38381YHY3
15528300.990000
PA
USD
2327557.220000
0.8427874
Long
ABS-MBS
USGSE
US
N
2
2049-08-20
Floating
5.94612
N
N
N
N
N
N
GREEN TREE FINANCIAL CORP 1999-3
N/A
CONSECO FINANCIAL CORP GT 1999 3 A9
393505X98
73641.660000
PA
USD
70282.470000
0.0254486
Long
ABS-O
CORP
US
N
2
2031-02-01
Fixed
6.53
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II 2017-SLP
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP F 144A
36255MAQ0
2200000.000000
PA
USD
2162528.940000
0.7830321
Long
ABS-MBS
CORP
US
N
2
2032-10-10
Variable
4.5913
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II 2017-SLP
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP G 144A
36255MAS6
400000.000000
PA
USD
386601.120000
0.1399848
Long
ABS-MBS
CORP
US
N
2
2032-10-10
Variable
4.5913
N
N
N
N
N
N
GSAA HOME EQUITY TRUST 2004-CW1
N/A
GSAA HOME EQUITY TRUST GSAA 2004 CW1 2A1
36228FT55
511967.220000
PA
USD
552082.510000
0.1999041
Long
ABS-MBS
CORP
US
N
2
2034-04-01
Fixed
6
N
N
N
N
N
N
GSMPS MORTGAGE LOAN TRUST 1998-1
N/A
GSMPS MORTGAGE LOAN TRUST GSMPS 1998 1 A 144A
36228FAA4
339414.390000
PA
USD
334773.850000
0.1212186
Long
ABS-MBS
CORP
US
N
2
2027-09-19
Fixed
8
N
N
N
N
N
N
GSMPS MORTGAGE LOAN TRUST 2003-3
N/A
GSMPS MORTGAGE LOAN TRUST GSMPS 2003 3 A1 144A
36290PAS6
1409499.450000
PA
USD
1602879.670000
0.5803882
Long
ABS-MBS
CORP
US
N
2
2043-06-25
Fixed
7
N
N
N
N
N
N
GSMPS MTGE LOAN TRUST 1998-5
N/A
GSMPS MORTGAGE LOAN TRUST GSMPS 1998 5 A 144A
36228FAT3
15218.780000
PA
USD
15184.410000
0.0054981
Long
ABS-MBS
CORP
US
N
2
2027-06-19
Fixed
7.5
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2003-1
N/A
GSR MORTGAGE LOAN TRUST GSR 2003 1 A2
36229RJJ9
442.770000
PA
USD
453.970000
0.0001644
Long
ABS-MBS
CORP
US
N
2
2033-03-25
Floating
1.84
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2004-14
N/A
GSR MORTGAGE LOAN TRUST GSR 2004 14 1A1
36242DPB3
119166.700000
PA
USD
116522.080000
0.0421916
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
0.43188
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2004-2F
N/A
GSR MORTGAGE LOAN TRUST GSR 2004 2F 5A1
36229RLJ6
8533.450000
PA
USD
8898.810000
0.0032222
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Fixed
6.5
N
N
N
N
N
N
HOLLYFRONTIER CORPORATION
549300J3U2WK73C9ZK26
HOLLYFRONTIER CORP SR UNSECURED 10/30 4.5
436106AC2
4029000.000000
PA
USD
4345386.530000
1.5734251
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
4.5
N
N
N
N
N
N
HOST HOTELS & RESORTS LP
FXB7X4WXVA8QPMNOGS12
HOST HOTELS + RESORTS LP SR UNSECURED 12/31 2.9
44107TBA3
100000.000000
PA
USD
96585.340000
0.0349727
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.9
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR
404280BL2
600000.000000
PA
USD
647250.000000
0.2343634
Long
DBT
CORP
GB
N
2
2027-05-22
Floating
6
N
N
N
N
Y
HSBC HOLDINGS PLC
HSBC HOLDINGS PLC
GBP
XXXX
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR
404280CN7
200000.000000
PA
USD
200336.000000
0.0725399
Long
DBT
CORP
GB
N
2
2030-12-17
Floating
4.6
N
N
N
N
Y
HSBC HOLDINGS PLC
HSBC HOLDINGS PLC
GBP
XXXX
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR
404280CQ0
200000.000000
PA
USD
200500.000000
0.0725992
Long
DBT
CORP
GB
N
2
2031-03-09
Floating
4.7
N
N
N
N
Y
HSBC HOLDINGS PLC
HSBC HOLDINGS PLC
GBP
XXXX
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR
BFM4XMII1
400000.000000
PA
585094.710000
0.2118575
Long
DBT
CORP
GB
N
2
2026-09-28
Floating
5.875
N
N
N
N
Y
HSBC HOLDINGS PLC
HSBC HOLDINGS PLC
GBP
XXXX
N
N
N
HUARONG FINANCE 2017 CO LTD
5493006V07LYI3HE6G83
HUARONG FINANCE 2017 CO COMPANY GUAR REGS 04/27 4.75
G463PSAE4
200000.000000
PA
USD
206750.000000
0.0748623
Long
DBT
CORP
VG
N
2
2027-04-27
Fixed
4.75
N
N
N
N
N
N
UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)
549300V3NU625PJUVA84
UNITI GROUP INC REIT USD.0001
91325V108
73539.000000
NS
USD
1030281.390000
0.3730556
Long
EC
CORP
US
N
1
N
N
N
HUARONG FINANCE II CO LTD
549300BHVD63HE2GHX17
HUARONG FINANCE II COMPANY GUAR REGS 06/26 4.625
G463PCAJ8
200000.000000
PA
USD
206724.000000
0.0748529
Long
DBT
CORP
VG
N
2
2026-06-03
Fixed
4.625
N
N
N
N
N
N
II-VI INCORPORATED
549300O5C25A0MMHHU33
II VI INC COMPANY GUAR 144A 12/29 5
902104AC2
87000.000000
PA
USD
89027.100000
0.0322359
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
5
N
N
N
N
N
N
II-VI INCORPORATED
549300O5C25A0MMHHU33
II VI INCORPORATED 2021 BRIDGE TERM LOAN B
943ZRCII0
360000.000000
PA
USD
360075.600000
0.1303801
Long
LON
CORP
US
N
2
2028-12-01
Floating
3.25
N
N
N
N
N
N
VALARIS LIMITED
N/A
VALARIS LTD COMMON STOCK USD.01
G9460G101
1412.000000
NS
USD
50832.000000
0.0184058
Long
EC
CORP
BM
N
1
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
ILLINOIS ST ILS 04/35 FIXED 6.725
452152FA4
15000.000000
PA
USD
18458.760000
0.0066837
Long
DBT
MUN
US
N
2
2035-04-01
Fixed
6.725
N
N
N
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
ILLINOIS ST ILS 06/33 FIXED 5.1
452151LF8
55000.000000
PA
USD
63614.890000
0.0230344
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.1
N
N
N
N
N
N
IM PASTOR FTH 3
N/A
PASTOR IM FTH/FTA IMPAS 3 A REGS
B0BL9JII2
288661.200000
PA
305093.570000
0.1104716
Long
ABS-MBS
CORP
ES
N
2
2043-03-22
Floating
0
N
N
N
N
N
N
VICI PROPERTIES INC
254900RKH6RY9KCJQH63
VICI PROPERTIES INC REIT USD.01
925652109
44227.000000
NS
USD
1331674.970000
0.4821874
Long
EC
CORP
US
N
1
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV JR SUBORDINA VAR
456837AR4
200000.000000
PA
USD
215417.000000
0.0780005
Long
DBT
CORP
NL
N
2
2026-11-16
Floating
5.75
N
N
N
N
Y
ING GROEP NV
ING GROEP NV
EUR
XXXX
N
N
N
INSTANT BRANDS HOLDINGS INC
N/A
INSTANT BRANDS HOLDINGS INC TERM LOAN
45783DAB5
2824931.250000
PA
USD
2711934.000000
0.9819667
Long
LON
CORP
US
N
3
2028-04-12
Floating
5.75
N
N
N
N
N
N
INTELSAT CONNECT FINANCE SA
549300T8SOCBO2H77X11
INTELSAT CONNECT FINANCE COMPANY GUAR 144A 02/23 9.5
45827AAD5
105000.000000
PA
USD
16126.950000
0.0058394
Long
DBT
CORP
LU
N
2
2023-02-15
Fixed
9.5
Y
Y
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDG COMPANY GUAR 08/23 5.5
45824TAP0
1970000.000000
PA
USD
894202.700000
0.3237827
Long
DBT
CORP
LU
N
2
2023-08-01
Fixed
5.5
Y
Y
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDG COMPANY GUAR 144A 07/25 9.75
45824TAY1
4167000.000000
PA
USD
1917486.720000
0.6943046
Long
DBT
CORP
LU
N
2
2025-07-15
Fixed
9.75
Y
Y
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDG COMPANY GUAR 144A 10/24 8.5
45824TBA2
4184000.000000
PA
USD
1922025.000000
0.6959478
Long
DBT
CORP
LU
N
2
2024-10-15
Fixed
8.5
Y
Y
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDG SR SECURED 144A 02/24 8
45824TAR6
60000.000000
PA
USD
61012.500000
0.0220921
Long
DBT
CORP
LU
N
2
2024-02-15
Fixed
8
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDGS S A TERM LOAN B 3
L5137LAF2
10000.000000
PA
USD
10012.500000
0.0036254
Long
LON
CORP
LU
N
2
2023-11-27
Floating
8
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HOLDINGS SA 2021 DIP TERM LOAN
L5137LAM7
710475.230000
PA
USD
713139.510000
0.2582214
Long
LON
CORP
LU
N
2
2022-10-13
Floating
5.3917
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HOLDINGS SA 2021 TERM LOAN B
941CXNII2
650391.960000
PA
USD
649895.800000
0.2353214
Long
LON
CORP
LU
N
3
2028-12-01
Floating
4.25
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON SECURED
943MYFII4
7256000.000000
PA
USD
7248864.380000
2.6247481
Long
DBT
CORP
US
N
3
2029-12-01
Fixed
6.5
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY JR SUBORDINA 12/99 VAR
949746TD3
1700000.000000
NS
USD
1747812.530000
0.6328671
Long
EP
CORP
US
N
2
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND MINING HOLDINGS L COMMON
935ZXN908
70.000000
NS
USD
0.010000
0.0000000
Long
EC
CORP
US
Y
3
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 H 144A
46654PAU0
2200000.000000
PA
USD
2200158.840000
0.7966576
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
6.5
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2006-A6
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 4A1
46628BCC2
854061.190000
PA
USD
792802.540000
0.2870666
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
2.61587
Y
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2007-S2
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2007 S2 3A1
46630WBA7
33492.510000
PA
USD
33739.350000
0.0122167
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
5.5
Y
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP SR UNSECURED 08/24 3.2
517834AG2
100000.000000
PA
USD
101872.290000
0.0368870
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.2
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP SR UNSECURED 08/26 3.5
517834AE7
200000.000000
PA
USD
202658.510000
0.0733808
Long
DBT
CORP
US
N
2
2026-08-18
Fixed
3.5
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP SR UNSECURED 08/29 3.9
517834AF4
300000.000000
PA
USD
302392.360000
0.1094935
Long
DBT
CORP
US
N
2
2029-08-08
Fixed
3.9
N
N
N
N
N
N
LEALAND FINANCE COMPANY BV
N/A
LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL
N5200EAC5
27523.090000
PA
USD
16376.240000
0.0059297
Long
LON
CORP
US
N
3
2024-06-30
Floating
3.1043
N
N
N
N
N
N
LEALAND FINANCE COMPANY BV
N/A
LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL
N5200EAB7
183610.240000
PA
USD
82012.640000
0.0296960
Long
LON
CORP
US
N
2
2025-06-30
Floating
1.1043
N
N
N
N
N
N
AA BOND CO LIMITED
2138002EPF6QVRZBMC58
AA BOND CO LTD SR SECURED REGS 07/50 5.5
ACI1JGR32
2500000.000000
PA
3765775.620000
1.3635532
Long
DBT
CORP
JE
N
2
2050-07-31
Fixed
5.5
N
N
N
N
N
N
LUXE TRUST 2021-TRIP
N/A
LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP E 144A
55066WAJ3
2887000.000000
PA
USD
2889264.270000
1.0461764
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
2.86
N
N
N
N
N
N
MADISON PARK FUNDING XXIII LTD 2017-23A
N/A
MADISON PARK FUNDING LTD MDPK 2017 23A SUB 144A
55820UAC9
500000.000000
PA
USD
340539.950000
0.1233064
Long
ABS-CBDO
CORP
KY
N
2
2047-07-27
Variable
0
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2018-4A
N/A
MARLETTE FUNDING TRUST MFT 2018 4A CERT 144A
57109G104
5800.000000
PA
USD
498368.780000
0.1804548
Long
ABS-O
CORP
US
N
3
2028-12-15
Fixed
0
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2019-1A
N/A
MARLETTE FUNDING TRUST MFT 2019 1A CERT 144A
57109X107
9871.000000
PA
USD
693641.570000
0.2511613
Long
ABS-O
CORP
US
N
3
2029-04-16
Fixed
0
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2019-2
N/A
MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A
57109H102
6816.000000
PA
USD
608901.270000
0.2204776
Long
ABS-O
CORP
US
N
3
2029-07-16
Fixed
0
N
N
N
N
N
N
MASTR ADJUSTABLE RATE MTGES TRU 2004-10
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1
576433SV9
414083.070000
PA
USD
417641.620000
0.1512242
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
2.93205
N
N
N
N
N
N
MASTR ALT LN TR 2006-3
N/A
MASTR ALTERNATIVE LOANS TRUST MALT 2006 3 1A3
57645DAC6
262941.070000
PA
USD
210667.120000
0.0762807
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.25
N
N
N
N
N
N
MASTR ALTERNATIVE LOANS TR 2004-3
N/A
MASTR ALTERNATIVE LOANS TRUST MALT 2004 3 5A1
576434NY6
521072.580000
PA
USD
537095.250000
0.1944773
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
6.5
N
N
N
N
N
N
MASTR ALTERNATIVE LOANS TR 2004-3
N/A
MASTR ALTERNATIVE LOANS TRUST MALT 2004 3 8A1
576434PB4
21386.720000
PA
USD
22140.480000
0.0080169
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Fixed
7
N
N
N
N
N
N
MASTR REPERFORMING LOAN TR 2006-1
N/A
MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A3 144A
57643QBN4
1363124.330000
PA
USD
1273643.940000
0.4611749
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
7.5
Y
N
N
N
N
N
MASTR REPERFORMING LOAN TRUST 2005-2
N/A
MASTR REPERFORMING LOAN TRUST MARP 2005 2 1A2 144A
57643QAG0
2635210.300000
PA
USD
2381219.240000
0.8622179
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
7
Y
N
N
N
N
N
ACCESS FINANCIAL MANUF HSG 1995-1
N/A
ACCESS FINANCIAL MANUF HSG CON ACCFC 1995 1 B1
004313AE2
199763.940000
PA
USD
4237.230000
0.0015343
Long
ABS-O
CORP
US
N
2
2022-02-15
Fixed
7.65
N
N
N
N
N
N
MFA 2020-NQM3 TRUST
N/A
MFRA TRUST MFRA 2020 NQM3 B1 144A
552757AE6
300000.000000
PA
USD
300814.980000
0.1089224
Long
ABS-MBS
CORP
US
N
2
2065-01-26
Variable
3.661
N
N
N
N
N
N
MGM GROWTH PROPERTIES OPERATING PARTNERSHIP LP / MGP FINANCE CO-ISSUER INC
N/A
MGM GROWTH/MGM FINANCE COMPANY GUAR 02/27 5.75
55303XAJ4
100000.000000
PA
USD
113118.000000
0.0409590
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.75
N
N
N
N
N
N
MGM GROWTH PROPERTIES OPERATING PARTNERSHIP LP / MGP FINANCE CO-ISSUER INC
N/A
MGM GROWTH/MGM FINANCE COMPANY GUAR 09/26 4.5
55303XAB1
100000.000000
PA
USD
107704.500000
0.0389988
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
4.5
N
N
N
N
N
N
MORGAN STANLEY RESECURITIZATION TRUST 2014-R2
N/A
MORGAN STANLEY REREMIC TRUST MSRR 2014 R2 2B 144A
61763LBJ0
7475652.400000
PA
USD
6911440.990000
2.5025701
Long
ABS-MBS
CORP
US
N
2
2046-12-26
Floating
2.70433
N
N
N
N
N
N
NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A5
N/A
NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A5 1O 144A
63546CAA0
3200000.000000
PA
USD
1010880.000000
0.3660305
Long
ABS-O
CORP
US
N
2
2038-03-25
Floating
0
N
N
N
N
N
N
NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A6
N/A
NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A6 1O 144A
63546EAA6
3200000.000000
PA
USD
1016851.200000
0.3681926
Long
ABS-O
CORP
US
N
2
2038-03-25
Floating
0
N
N
N
N
N
N
NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6
N/A
NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A6 1O 144A
63546GAA1
4000000.000000
PA
USD
1152888.000000
0.4174503
Long
ABS-O
CORP
US
N
2
2038-03-25
Floating
0
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC JR SUBORDINA 12/49 VAR
780099CK1
300000.000000
PA
USD
348699.000000
0.1262607
Long
DBT
CORP
GB
N
2
2025-08-10
Floating
8
N
N
N
N
Y
NATWEST GROUP PLC
NATWEST GROUP PLC
GBP
XXXX
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC JR SUBORDINA 12/99 VAR
639057AD0
800000.000000
PA
USD
786000.000000
0.2846035
Long
DBT
CORP
GB
N
2
2031-06-28
Floating
4.6
N
N
N
N
Y
NATWEST GROUP PLC
NATWEST GROUP PLC
GBP
XXXX
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL CORPORATION LTD SR SECURED 144A 02/26 10.25
62886HAY7
1935000.000000
PA
USD
2252639.930000
0.8156605
Long
DBT
CORP
BM
N
2
2026-02-01
Fixed
10.25
N
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2005-3
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 7A1
007036JA5
228865.500000
PA
USD
229824.770000
0.0832175
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.65239
N
N
N
N
N
N
ADJUSTABLE RATE MORTGAGE TR 2005-4
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 4 3A1
007036KD7
248338.320000
PA
USD
247064.670000
0.0894599
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.8033
Y
N
N
N
N
N
NEWGATE FUNDING PLC 2007-3X
N/A
NEWGATE FUNDING PLC NGATE 2007 3X BB REGS
B2NDQHII8
1480147.310000
PA
1640059.010000
0.5938505
Long
ABS-MBS
CORP
GB
N
2
2050-12-15
Floating
0.647
N
N
N
N
N
N
NEWGATE FUNDING PLC 2007-3X
N/A
NEWGATE FUNDING PLC NGATE 2007 3X CB REGS
B2NDQJII4
1480147.310000
PA
1610246.390000
0.5830556
Long
ABS-MBS
CORP
GB
N
2
2050-12-15
Floating
0.897
N
N
N
N
N
N
NEWMARK GROUP INC
N/A
NEWMARK GROUP INC SR UNSECURED 11/23 6.125
65158NAB8
52000.000000
PA
USD
55692.000000
0.0201656
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
6.125
N
N
N
N
N
N
NGD HOLDINGS BV
984500ED2ABF0UF46690
NGD HOLDINGS BV SR SECURED 12/26 6.75
ACI1XVPP6
1479000.000000
PA
USD
1356982.500000
0.4913511
Long
DBT
CORP
NL
N
2
2026-12-31
Fixed
6.75
N
N
N
N
N
N
NISSAN MOTOR CO LTD
353800DRBDH1LUTNAY26
NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81
654744AD3
5400000.000000
PA
USD
6045617.740000
2.1890634
Long
DBT
CORP
JP
N
2
2030-09-17
Fixed
4.81
N
N
N
N
N
N
NOBLE FINANCE COMPANY
5493003DTPH8AMMK4P51
NOBLE FINANCE CO SECURED 02/28 11
65505JAC5
31535.000000
PA
USD
35003.850000
0.0126746
Long
DBT
CORP
KY
N
2
2028-02-15
Fixed
11
N
N
Y
N
N
N
NOBLE FINANCE COMPANY
5493003DTPH8AMMK4P51
NOBLE FINANCE CO SECURED 144A 02/28 11
65505JAA9
22529.000000
PA
USD
25007.190000
0.0090549
Long
DBT
CORP
KY
N
2
2028-02-15
Fixed
11
N
N
Y
N
N
N
NOMURA ASSET ACCEPTANCE CORP 2004-R1
N/A
NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A
62951MAB6
1788954.890000
PA
USD
1826739.410000
0.6614458
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
7.5
Y
N
N
N
N
N
NOMURA ASSET ACCEPTANCE CORP 2004-R2
N/A
NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R2 A2 144A
62951MAN0
614156.400000
PA
USD
612744.700000
0.2218693
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Fixed
7
Y
N
N
N
N
N
NOMURA ASSET ACCEPTANCE CORP 2004-R2
N/A
NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R2 A3 144A
62951MAT7
1842469.220000
PA
USD
1848112.700000
0.6691849
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Fixed
7.5
Y
N
N
N
N
N
OAKWOOD MORTGAGE INVESTORS INC 2002-B
N/A
OAKWOOD MORTGAGE INVESTORS INC OAK 2002 B A1
67087TDM0
4512.820000
PA
USD
4425.990000
0.0016026
Long
ABS-O
CORP
US
N
2
2032-06-15
Floating
0.33975
N
N
N
N
N
N
ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED
549300L7LF2PIRAWID66
ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/22 6.72
G6711KAC9
263827.100000
PA
USD
260199.480000
0.0942159
Long
DBT
CORP
KY
N
2
2022-12-01
Fixed
6.72
N
N
N
N
N
N
OI MOVEL SA
254900M3NQMOCMEIGF93
OI MOVEL SA SR SECURED REGS 07/26 8.75
ACI1ZJ987
950000.000000
PA
USD
980884.500000
0.3551694
Long
DBT
CORP
BR
N
2
2026-07-30
Fixed
8.75
N
N
N
N
N
N
OI SA (AKA: BRASIL TELECOM S/A)
254900YEMWCRRAGD4978
OI SA COMPANY GUAR 07/25 VAR
P7354PAA2
3220000.000000
PA
USD
2829172.500000
1.0244177
Long
DBT
CORP
BR
N
2
2025-07-27
Fixed
10
N
N
Y
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP SR UNSECURED 03/61 4.1
68389XCB9
1000000.000000
PA
USD
1044874.040000
0.3783394
Long
DBT
CORP
US
Y
2
2061-03-25
Fixed
4.1
N
N
N
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP SR UNSECURED 04/60 3.85
68389XBY0
200000.000000
PA
USD
198092.310000
0.0717274
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
3.85
N
N
N
N
N
N
ORTHO-CLINICAL DIAGNOSTICS INC / ORTHO-CLINICAL DIAGNOSTICS SA
N/A
ORTHO CLINICAL INC/SA SR UNSECURED 144A 06/25 7.375
68752DAC2
11000.000000
PA
USD
11616.170000
0.0042061
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
7.375
N
N
N
N
N
N
ORTHO-CLINICAL DIAGNOSTICS SA
222100N2EDW8BU5UUT55
ORTHO CLINICAL DIAGNOSTICS SA TERM LOAN
L7300KAJ3
186107.350000
PA
USD
186274.290000
0.0674482
Long
LON
CORP
LU
N
2
2025-06-30
Floating
3.1012
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75
694308HH3
2296000.000000
PA
USD
2386267.950000
0.8640460
Long
DBT
CORP
US
N
2
2044-02-15
Fixed
4.75
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3
694308HL4
950000.000000
PA
USD
962727.000000
0.3485947
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.3
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45
694308GZ4
220000.000000
PA
USD
224088.250000
0.0811403
Long
DBT
CORP
US
N
2
2042-04-15
Fixed
4.45
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6
694308HD2
100000.000000
PA
USD
103304.980000
0.0374058
Long
DBT
CORP
US
N
2
2043-06-15
Fixed
4.6
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55
694308JM0
1104000.000000
PA
USD
1194778.980000
0.4326186
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.55
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5
694308JQ1
708000.000000
PA
USD
738711.570000
0.2674808
Long
DBT
CORP
US
N
2
2040-07-01
Fixed
4.5
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95
694308JN8
765000.000000
PA
USD
835116.680000
0.3023882
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.95
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75
694308HA8
100000.000000
PA
USD
93501.210000
0.0338559
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
3.75
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/50 3.5
694308JJ7
574000.000000
PA
USD
533163.360000
0.1930536
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.5
N
N
N
N
N
N
AIR CANADA 2015-1 CLASS A PASS THROUGH TRUST
N/A
AIR CANADA 2015 1A PTT PASS THRU CE 144A 09/28 3.6
009090AA9
2013195.360000
PA
USD
2032733.020000
0.7360342
Long
DBT
CORP
CA
N
2
2028-09-15
Fixed
3.6
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4
694308HR1
200000.000000
PA
USD
194689.230000
0.0704952
Long
DBT
CORP
US
N
2
2046-12-01
Fixed
4
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/47 3.95
694308HY6
300000.000000
PA
USD
289674.620000
0.1048886
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
3.95
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR SECURED 06/41 4.2
694308JU2
200000.000000
PA
USD
201622.090000
0.0730055
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
4.2
N
N
N
N
N
N
PANAMA GOVT
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA SR UNSECURED 04/50 4.5
698299BH6
1700000.000000
PA
USD
1876817.000000
0.6795784
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
4.5
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU BONDS REGS 08/37 6.9
715638CQ3
10700000.000000
PA
2732836.030000
0.9895352
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.9
N
N
N
N
N
N
PERU LNG SRL
254900F70J1LOALV5K70
PERU LNG SRL SR UNSECURED REGS 03/30 5.375
P7721BAE1
2800000.000000
PA
USD
2426368.000000
0.8785659
Long
DBT
CORP
PE
N
2
2030-03-22
Fixed
5.375
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 01/31 5.95
71654QDE9
1088000.000000
PA
USD
1059385.600000
0.3835939
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 01/50 7.69
71654QDD1
60000.000000
PA
USD
58018.500000
0.0210080
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 01/60 6.95
71654QDF6
150000.000000
PA
USD
134171.250000
0.0485822
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 09/47 6.75
71654QCC4
3777000.000000
PA
USD
3359547.080000
1.2164616
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR REGS 04/27 2.75
ACI0CBT55
3538000.000000
PA
3746171.670000
1.3564548
Long
DBT
CORP
MX
N
2
2027-04-21
Fixed
2.75
N
N
N
N
N
N
PINNACOL ASSURANCE
549300D37RE2C54DGD62
PINNACOL ASSURANCE SUBORDINATE 06/34 8.625
000000000
2600000.000000
PA
USD
3436890.370000
1.2444669
Long
DBT
CORP
US
Y
3
2034-06-25
Fixed
8.625
N
N
N
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES SA 2018 EUR TERM LOAN 2
933NSTII1
2432634.250000
PA
2699450.230000
0.9774465
Long
LON
CORP
ES
N
2
2022-11-30
Fixed
4.5
N
N
Y
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED 144A 07/31 3.061
74365PAF5
1100000.000000
PA
USD
1073387.600000
0.3886639
Long
DBT
CORP
NL
N
2
2031-07-13
Fixed
3.061
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED 144A 07/33 1.985
ACI1Z3X77
500000.000000
PA
556063.140000
0.2013454
Long
DBT
CORP
NL
N
2
2033-07-13
Fixed
1.985
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED REGS 01/30 3.68
N7163RAA1
2900000.000000
PA
USD
2987650.410000
1.0818011
Long
DBT
CORP
NL
N
2
2030-01-21
Fixed
3.68
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/35 FIXED 8
74514L2G1
1900000.000000
PA
USD
1691000.000000
0.6122958
Long
DBT
MUN
PR
N
2
2035-07-01
Fixed
8
Y
Y
N
N
N
N
RBSSP RESECURITIZATION TRUST 2009-5
N/A
RBSSP RESECURITIZATION TRUST RBSSP 2009 5 14A3 144A
74928WBY8
5245681.110000
PA
USD
2673251.550000
0.9679602
Long
ABS-MBS
CORP
US
N
2
2036-12-26
Variable
6.25
N
N
N
N
N
N
RBSSP RESECURITIZATION TRUST 2009-7
N/A
RBSSP RESECURITIZATION TRUST RBSSP 2009 7 18A3 144A
75524MCS7
2508501.380000
PA
USD
1861334.860000
0.6739725
Long
ABS-MBS
CORP
US
N
2
2037-02-26
Fixed
6
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC SR UNSECURED 11/31 8
370425RZ5
1000.000000
PA
USD
1376.040000
0.0004983
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
8
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2005-QS10
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A
761118CW6
996032.220000
PA
USD
978081.430000
0.3541544
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
6
Y
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
ALTICE FINANCING SA SR SECURED 144A 08/29 4.25
ACI1ZNKP7
405000.000000
PA
452217.240000
0.1637438
Long
DBT
CORP
LU
N
2
2029-08-15
Fixed
4.25
N
N
N
N
N
N
RESIDENTIAL ASSET MTGE PROD INC 2004-SL1
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL1 A6
760985W72
639064.630000
PA
USD
462198.890000
0.1673580
Long
ABS-MBS
CORP
US
N
2
2031-11-25
Floating
8.5
N
N
N
N
N
N
RESIDENTIAL ASSET MTGE PROD INC 2004-SL2
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL2 A4
7609856D8
234985.560000
PA
USD
257606.680000
0.0932770
Long
ABS-MBS
CORP
US
N
2
2031-10-25
Fixed
8.5
N
N
N
N
N
N
RESIDENTIAL ASSET MTGE PROD INC 2004-SL3
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL3 A4
76112BBS8
9328.230000
PA
USD
5740.340000
0.0020785
Long
ABS-MBS
CORP
US
N
2
2031-12-25
Fixed
8.5
Y
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
ALTICE FINANCING SA SR SECURED 144A 08/29 5.75
02154CAH6
945000.000000
PA
USD
936981.680000
0.3392726
Long
DBT
CORP
LU
N
2
2029-08-15
Fixed
5.75
N
N
N
N
N
N
RIO OIL FINANCE TRUST SERIES 2014-1
549300V5D1W52HY8NO65
RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25
76716XAA0
344915.130000
PA
USD
371440.830000
0.1344954
Long
DBT
CORP
US
N
2
2024-07-06
Variable
9.25
N
N
N
N
N
N
RIO OIL FINANCE TRUST SERIES 2014-3
N/A
RIO OIL FINANCE TRUST SR SECURED 144A 01/27 9.75
76716XAB8
573818.430000
PA
USD
659598.550000
0.2388347
Long
DBT
CORP
US
N
2
2027-01-06
Variable
9.75
N
N
N
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
ROLLS ROYCE PLC COMPANY GUAR 144A 10/25 3.625
77578JAB4
200000.000000
PA
USD
203226.000000
0.0735863
Long
DBT
CORP
GB
N
2
2025-10-14
Fixed
3.625
N
N
N
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
ROLLS ROYCE PLC COMPANY GUAR REGS 02/26 4.625
ACI1S5ZS2
200000.000000
PA
252748.280000
0.0915179
Long
DBT
CORP
GB
N
2
2026-02-16
Fixed
4.625
N
N
N
N
N
N
ROMANIA GOVT
315700IASY927EDWBK92
ROMANIA UNSECURED 144A 04/33 2
ACI1X0BQ7
7500000.000000
PA
7798816.110000
2.8238806
Long
DBT
NUSS
RO
N
2
2033-04-14
Fixed
2
N
N
N
N
N
N
SABRA HEALTH CARE LP
549300OVKLRFSIQG0H81
SABRA HEALTH CARE LP COMPANY GUAR 12/31 3.2
78574MAA1
600000.000000
PA
USD
586997.980000
0.2125466
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
3.2
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 01/26 3.8
80007RAK1
400000.000000
PA
USD
402478.000000
0.1457336
Long
DBT
CORP
KY
N
2
2026-01-08
Fixed
3.8
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 06/30 4.375
80007RAL9
200000.000000
PA
USD
204363.000000
0.0739980
Long
DBT
CORP
KY
N
2
2030-06-18
Fixed
4.375
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 08/25 5.125
80007RAF2
200000.000000
PA
USD
210035.000000
0.0760518
Long
DBT
CORP
KY
N
2
2025-08-08
Fixed
5.125
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 08/28 5.4
80007RAE5
2998000.000000
PA
USD
3231799.030000
1.1702051
Long
DBT
CORP
KY
N
2
2028-08-08
Fixed
5.4
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 144A 03/27 2.3
80007RAM7
400000.000000
PA
USD
376974.000000
0.1364989
Long
DBT
CORP
KY
N
2
2027-03-08
Fixed
2.3
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 144A 03/29 2.85
80007RAP0
400000.000000
PA
USD
376990.000000
0.1365047
Long
DBT
CORP
KY
N
2
2029-03-08
Fixed
2.85
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 144A 08/31 3.25
80007RAR6
200000.000000
PA
USD
188199.000000
0.0681452
Long
DBT
CORP
KY
N
2
2031-08-08
Fixed
3.25
N
N
N
N
N
N
SANTOS FINANCE LTD
213800BKUBSWG53XNS94
SANTOS FINANCE LTD COMPANY GUAR 144A 04/31 3.649
803014AA7
500000.000000
PA
USD
509611.160000
0.1845256
Long
DBT
CORP
AU
N
2
2031-04-29
Fixed
3.649
N
N
N
N
N
N
SBERBANK OF RUSSIA VIA SB CAPITAL SA
222100YFG9QVABDS2B03
SBERBANK (SB CAP SA) SR UNSECURED 144A 02/22 6.125
78406JAB0
2000000.000000
PA
USD
2006980.000000
0.7267093
Long
DBT
CORP
LU
N
2
2022-02-07
Fixed
6.125
N
N
N
N
N
N
AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST
N/A
AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7
02377AAA6
625365.710000
PA
USD
635756.160000
0.2302015
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.7
N
N
N
N
N
N
SCHENCK PROCESS (PLATIN 1426 GMBH)
213800NMYXIGFN77O655
PLATIN 1426 GMBH SR SECURED 144A 06/23 6.875
BGGC6YII2
200000.000000
PA
228420.590000
0.0827090
Long
DBT
CORP
DE
N
2
2023-06-15
Fixed
6.875
N
N
N
N
N
N
SEAZEN GROUP (NEW METRO GLOBAL LIMITED)
549300HJRNTCANEH0D47
NEW METRO GLOBAL LTD COMPANY GUAR REGS 08/22 5
ACI0WMNR7
200000.000000
PA
USD
188941.700000
0.0684141
Long
DBT
CORP
VG
N
2
2022-08-08
Fixed
5
N
N
N
N
N
N
SEAZEN GROUP LIMITED
5493006M8GRAQRCSCD67
SEAZEN GROUP LTD SR SECURED REGS 06/22 6.45
ACI1MWRT6
200000.000000
PA
USD
188000.610000
0.0680733
Long
DBT
CORP
KY
N
2
2022-06-11
Fixed
6.45
N
N
N
N
N
N
AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST
N/A
AMER AIRLINE 16 1 AA PTT PASS THRU CE 07/29 3.575
02376UAA3
380936.030000
PA
USD
387781.830000
0.1404123
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
3.575
N
N
N
N
N
N
SEQUA MEZZANINE HOLDINGS LLC
N/A
SEQUA MEZZANINE HOLDINGS LLC 2020 2ND LIEN TERM LOAN
81733HAF3
8329487.610000
PA
USD
8326888.810000
3.0150910
Long
LON
CORP
US
N
2
2024-04-28
Fixed
11.75
N
N
Y
N
N
N
SEQUA MEZZANINE HOLDINGS LLC
N/A
SEQUA MEZZANINE HOLDINGS LLC 2020 EXTENDED TERM LOAN
81733HAE6
162272.550000
PA
USD
163591.010000
0.0592348
Long
LON
CORP
US
N
2
2023-11-28
Fixed
7.75
N
N
Y
N
N
N
AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST
N/A
AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3
023771R91
154366.120000
PA
USD
153785.150000
0.0556842
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3
N
N
N
N
N
N
AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST
N/A
AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35
02376AAA7
972686.580000
PA
USD
992269.870000
0.3592919
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.35
N
N
N
N
N
N
SKYMILES IP LTD
2549008L7P4I8VB90936
SKYMILES IP LTD. 2020 SKYMILES TERM LOAN B
24736CBS2
3100000.000000
PA
USD
3285612.500000
1.1896905
Long
LON
CORP
US
N
2
2027-10-20
Floating
4.75
N
N
N
N
N
N
SMALL BUSINESS ADMIN PART CERT 2005-20B
N/A
SMALL BUSINESS ADMINISTRATION SBAP 2005 20B 1
83162CPH0
30258.120000
PA
USD
31224.580000
0.0113061
Long
ABS-O
CORP
US
N
2
2025-02-01
Fixed
4.625
N
N
N
N
N
N
SMALL BUSINESS ADMIN PART CERTS 2007-20G
N/A
SMALL BUSINESS ADMINISTRATION SBAP 2007 20G 1
83162CRD7
11342.900000
PA
USD
12193.970000
0.0044153
Long
ABS-O
CORP
US
N
2
2027-07-01
Fixed
5.82
N
N
N
N
N
N
SMALL BUSINESS ADMIN PART CERTS 2007-20K
N/A
SMALL BUSINESS ADMINISTRATION SBAP 2007 20K 1
83162CRK1
118389.140000
PA
USD
127690.640000
0.0462356
Long
ABS-O
CORP
US
N
2
2027-11-01
Fixed
5.51
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTIFICATES 2007-20H
N/A
SMALL BUSINESS ADMINISTRATION SBAP 2007 20H 1
83162CRE5
8359.750000
PA
USD
8993.600000
0.0032565
Long
ABS-O
CORP
US
N
2
2027-08-01
Fixed
5.78
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2015-A
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A
78448P100
4500.000000
PA
USD
1750735.970000
0.6339256
Long
ABS-O
CORP
US
N
3
2048-10-15
Fixed
0
N
N
N
N
N
N
SOCIETE GENERALE SA
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE JR SUBORDINA 144A 12/99 VAR
83367TBV0
200000.000000
PA
USD
214639.000000
0.0777188
Long
DBT
CORP
FR
N
2
2023-10-04
Floating
7.375
N
N
N
N
N
N
SOFTBANK VISION FUND II
N/A
SOFTBANK VISION FUND II FIXED TERM LOAN
944YFGII6
1900000.000000
PA
USD
1900600.800000
0.6881903
Long
LON
CORP
GB
N
3
2025-12-21
Variable
5
N
N
N
N
N
N
AMERICAN ASSETS TRUST LP
549300V1TI0SMG9Z6U69
AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375
02401LAA2
600000.000000
PA
USD
613334.470000
0.2220829
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
3.375
N
N
N
N
N
N
SOUTH AFRICA GOVT
378900AAFB4F17004C49
REPUBLIC OF SOUTH AFRICA SR UNSECURED 09/49 5.75
836205BB9
400000.000000
PA
USD
385700.000000
0.1396585
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON COMPANY
9R1Z5I36FERIBVKW4P77
SOUTHERN CAL EDISON 1ST MORTGAGE 03/49 4.875
842400GR8
100000.000000
PA
USD
122378.340000
0.0443121
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
4.875
N
N
N
N
N
N
SPIRIT AEROSYSTEMS INC
ZD2NBKV6GCC3UMGBM518
SPIRIT AEROSYSTEMS INC COMPANY GUAR 06/23 3.95
85205TAJ9
1360000.000000
PA
USD
1370730.400000
0.4963291
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.95
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC JR SUBORDINA 144A 12/99 VAR
853254BX7
1000000.000000
PA
USD
993125.000000
0.3596016
Long
DBT
CORP
GB
N
2
2031-01-14
Floating
4.75
N
N
N
N
Y
STANDARD CHARTERED PLC
STANDARD CHARTERED PLC
GBP
XXXX
N
N
N
STEENBOK LUX FINCO 1 SARL
N/A
STEENBOK LUX FINCO 2 SARL EUR PIK TERM LOAN A1
943ZWJII9
4000000.000000
PA
4132753.610000
1.4964326
Long
LON
CORP
LU
N
2
2022-01-30
Floating
7.875
N
N
N
N
N
N
STEENBOK LUX FINCO 2 SARL
N/A
STEENBOK LUX FINCO 2 SARL EUR 1ST LIEN FIXED RATE TL A1
935YNSII2
556781.180000
PA
637857.000000
0.2309622
Long
LON
CORP
LU
N
2
2022-12-29
Fixed
7.875
N
N
Y
N
N
N
STEENBOK LUX FINCO 2 SARL
N/A
STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN FIXED RATE TL A2
935YNTII0
4270000.000000
PA
4429944.700000
1.6040428
Long
LON
CORP
LU
N
2
2022-12-29
Fixed
10.75
N
N
Y
N
N
N
STRUCTURED ASSET SEC CORP 2006-RF3
N/A
STRUCTURED ASSET SECURITIES CO SASC 2006 RF3 1A4 144A
863592AD3
2316532.660000
PA
USD
1604598.930000
0.5810107
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Fixed
7.5
Y
N
N
N
N
N
STUBHUB (PUG LLC)
N/A
PUG LLC USD TERM LOAN
74530DAC9
15680.000000
PA
USD
15366.400000
0.0055640
Long
LON
CORP
US
N
2
2027-02-12
Floating
3.6042
N
N
N
N
N
N
STUDIO CITY FINANCE LIMITED
254900D6R731QAUIG324
STUDIO CITY FINANCE LTD COMPANY GUAR 144A 01/29 5
86389QAG7
400000.000000
PA
USD
358626.000000
0.1298552
Long
DBT
CORP
VG
N
2
2029-01-15
Fixed
5
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
SYNGENTA FINANCE NV COMPANY GUAR 144A 04/28 5.182
87164KAC8
200000.000000
PA
USD
224720.120000
0.0813691
Long
DBT
CORP
NL
N
2
2028-04-24
Fixed
5.182
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
SYNGENTA FINANCE NV COMPANY GUAR 144A 04/48 5.676
87164KAJ3
3209000.000000
PA
USD
3961275.790000
1.4343421
Long
DBT
CORP
NL
N
2
2048-04-24
Fixed
5.676
N
N
N
N
N
N
SYNIVERSE HOLDINGS INC
549300CYZBHMZC8VLL59
SYNIVERSE HLDGS INC FIRST LIEN TERM LOAN B
87164GAM5
5808173.240000
PA
USD
5775502.270000
2.0912570
Long
LON
CORP
US
N
2
2023-03-09
Floating
6
N
N
N
N
N
N
SYNIVERSE HOLDINGS INC
549300CYZBHMZC8VLL59
SYNIVERSE HOLDINGS INC 2021 BRIDGE TERM LOAN
943ZZEII7
6054000.000000
PA
USD
6026625.200000
2.1821864
Long
LON
CORP
US
N
3
2028-10-15
Floating
4.5
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T MOBILE USA INC SR SECURED 144A 10/52 3.4
87264ACM5
500000.000000
PA
USD
498624.170000
0.1805473
Long
DBT
CORP
US
N
2
2052-10-15
Fixed
3.4
N
N
N
N
N
N
TEAM HEALTH HOLDINGS INC
549300PVTQ4UDTTMQT11
TEAM HEALTH INC DEL TERM LOAN B
87817JAE8
3274736.860000
PA
USD
3144916.470000
1.1387458
Long
LON
CORP
US
N
2
2024-02-06
Floating
3.75
N
N
N
N
N
N
TENCENT HOLDINGS LIMITED
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD SR UNSECURED 144A 04/41 3.68
88032WBB1
300000.000000
PA
USD
312008.180000
0.1129753
Long
DBT
CORP
KY
N
2
2041-04-22
Fixed
3.68
N
N
N
N
N
N
TENCENT HOLDINGS LIMITED
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD SR UNSECURED 144A 04/51 3.84
88032WBC9
1200000.000000
PA
USD
1262927.260000
0.4572945
Long
DBT
CORP
KY
N
2
2051-04-22
Fixed
3.84
N
N
N
N
N
N
TENCENT HOLDINGS LIMITED
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD SR UNSECURED 144A 04/61 3.94
88032WBD7
800000.000000
PA
USD
848383.220000
0.3071919
Long
DBT
CORP
KY
N
2
2061-04-22
Fixed
3.94
N
N
N
N
N
N
TESCO PROPERTY FIN 4 PLC
213800UCE6O94DGHWT77
TESCO PROPERTY FIN 4 PLC SR SECURED REGS 10/40 5.8006
B3LSHBII8
448032.930000
PA
786907.820000
0.2849322
Long
DBT
CORP
GB
N
2
2040-10-13
Fixed
5.8006
N
N
N
N
N
N
TESCO PROPERTY FINANCE 3 PLC
213800HCQGDQGFP75D78
TESCO PROPERTY FIN 3 PLC SR SECURED REGS 04/40 5.744
G8765XAA6
106221.130000
PA
185564.250000
0.0671911
Long
DBT
CORP
GB
N
2
2040-04-13
Fixed
5.744
N
N
N
N
N
N
TESCO PROPERTY FINANCE 5 PLC
213800BN1HYPUZMXAF92
TESCO PROPERTY FIN 5 PLC SR SECURED REGS 10/41 5.6611
ACI01EQ39
97590.080000
PA
171487.560000
0.0620941
Long
DBT
CORP
GB
N
2
2041-10-13
Fixed
5.6611
N
N
N
N
N
N
TESCO PROPERTY FINANCE 6 PLC
213800FORYFOB97FHO66
TESCO PROPERTY FIN 6 PLC SR SECURED REGS 07/44 5.4111
B9JST3II3
92845.230000
PA
159845.600000
0.0578786
Long
DBT
CORP
GB
N
2
2044-07-13
Fixed
5.4111
N
N
N
N
N
N
AMERIQUEST MORTGAGE SEC INC 2002-C
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2002 C M2
03072SDG7
39319.070000
PA
USD
490.630000
0.0001777
Long
ABS-MBS
CORP
US
N
2
2032-11-25
Floating
3.62688
Y
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA JR SUBORDINA 12/99 VAR
064159VJ2
1811000.000000
PA
USD
1945127.190000
0.7043129
Long
DBT
CORP
CA
N
2
2025-06-04
Floating
4.9
N
N
N
N
Y
THE BANK OF NOVA SCOTIA
BANK OF NOVA SCOTIA
CAD
XXXX
N
N
N
TOBACCO SETTLEMENT FINANCE AUTHORITY
N/A
TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0
88880LAB9
25300000.000000
PA
USD
2819361.160000
1.0208651
Long
DBT
MUN
US
N
2
2047-06-01
None
0
N
N
N
N
N
N
TOPAZ SOLAR FARMS LLC
N/A
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875
89054XAD7
805039.000000
PA
USD
911693.590000
0.3301160
Long
DBT
CORP
US
N
2
2039-09-30
Fixed
4.875
N
N
N
N
N
N
TOPAZ SOLAR FARMS LLC
N/A
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75
89054XAC9
2059618.000000
PA
USD
2457898.150000
0.8899826
Long
DBT
CORP
US
N
2
2039-09-30
Fixed
5.75
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC COMPANY GUAR 144A 02/27 8
893830BL2
38000.000000
PA
USD
27399.520000
0.0099211
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
8
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC COMPANY GUAR 144A 11/25 7.25
893830BK4
120000.000000
PA
USD
92524.800000
0.0335024
Long
DBT
CORP
KY
N
2
2025-11-01
Fixed
7.25
N
N
N
N
N
N
TRANSOCEAN PONTUS LIMITED
N/A
TRANSOCEAN PONTUS LTD SR SECURED 144A 08/25 6.125
89382PAA3
53600.000000
PA
USD
52449.740000
0.0189916
Long
DBT
CORP
KY
N
2
2025-08-01
Fixed
6.125
N
N
N
N
N
N
TRANSOCEAN POSEIDON LIMITED
N/A
TRANSOCEAN POSEIDON LTD SR SECURED 144A 02/27 6.875
89383JAA6
60000.000000
PA
USD
58037.400000
0.0210148
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
6.875
N
N
N
N
N
N
TRIUMPH GROUP INC
5493007L6S47Q14SL582
TRIUMPH GROUP INC SECURED 144A 09/24 6.25
896818AQ4
12000.000000
PA
USD
12088.140000
0.0043770
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
6.25
N
N
N
N
N
N
UAL 2007-1 PASS-THROUGH TRUST
N/A
UAL 2007 PASS TRUST PASS THRU CE 01/24 6.636
909287AA2
834823.480000
PA
USD
853607.010000
0.3090834
Long
DBT
CORP
US
N
2
2024-01-02
Fixed
6.636
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG JR SUBORDINA REGS 12/99 VAR
ACI1PGJL4
200000.000000
PA
USD
213200.000000
0.0771978
Long
DBT
CORP
CH
N
2
2026-07-29
Floating
5.125
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE
01F020422
-300000.000000
PA
USD
-306685.620000
-0.1110481
Short
ABS-MBS
USGSE
US
N
2
2037-02-17
Fixed
2
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE
01F020620
-1950000.000000
PA
USD
-1939802.380000
-0.7023849
Short
ABS-MBS
USGSE
US
N
2
2052-02-14
Fixed
2
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
01F022634
43600000.000000
PA
USD
44276350.670000
16.0320653
Long
ABS-MBS
USGSE
US
N
2
2051-03-11
Fixed
2.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
01F030629
30500000.000000
PA
USD
31552797.480000
11.4249820
Long
ABS-MBS
USGSE
US
N
2
2052-02-14
Fixed
3
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
01F032633
65000000.000000
PA
USD
68239187.900000
24.7087915
Long
ABS-MBS
USGSE
US
N
2
2052-03-14
Fixed
3.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01F040628
81600000.000000
PA
USD
86753969.420000
31.4128261
Long
ABS-MBS
USGSE
US
N
2
2051-02-11
Fixed
4
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01F040636
-500000.000000
PA
USD
-531424.450000
-0.1924240
Short
ABS-MBS
USGSE
US
N
2
2052-03-14
Fixed
4
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UNICREDIT SPA SR UNSECURED 144A 12/23 7.83
904678AG4
2240000.000000
PA
USD
2498561.430000
0.9047065
Long
DBT
CORP
IT
N
2
2023-12-04
Fixed
7.83
N
N
N
N
N
N
UNIGEL LUXEMBOURG SA
N/A
UNIGEL LUXEMBOURG SA COMPANY GUAR 144A 10/26 8.75
904752AB8
200000.000000
PA
USD
212210.000000
0.0768393
Long
DBT
CORP
LU
N
2
2026-10-01
Fixed
8.75
N
N
N
N
N
N
UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST
N/A
UNITED AIR 2019 1 AA PTT PASS THRU CE 02/33 4.15
90931CAA6
81945.690000
PA
USD
89843.050000
0.0325314
Long
DBT
CORP
US
N
2
2033-02-25
Fixed
4.15
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 01/22 0.00000
912796Q51
13000.000000
PA
USD
13000.010000
0.0047072
Long
DBT
UST
US
N
2
2022-01-04
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 01/22 0.00000
912796Q77
2000000.000000
PA
USD
1999991.660000
0.7241789
Long
DBT
UST
US
N
2
2022-01-18
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 02/22 0.00000
912796L80
385000.000000
PA
USD
384987.970000
0.1394007
Long
DBT
UST
US
N
2
2022-02-17
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 02/22 0.00000
912796R84
3800000.000000
PA
USD
3799897.860000
1.3759086
Long
DBT
UST
US
N
2
2022-02-15
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 03/22 0.00000
912796N39
4400000.000000
PA
USD
4399493.160000
1.5930166
Long
DBT
UST
US
N
2
2022-03-31
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 04/22 0.00000
912796G45
2000000.000000
PA
USD
1999587.500000
0.7240325
Long
DBT
UST
US
N
2
2022-04-21
None
0
N
N
N
N
N
N
CAPITAL FARM CREDIT ACA
254900S6K5I3OISPS518
CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR
14019TAA4
1300000.000000
NS
USD
1326000.000000
0.4801326
Long
EP
CORP
US
N
2
N
N
N
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
N/A
UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6
91327AAB8
2738000.000000
PA
USD
2638747.500000
0.9554666
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6
N
N
N
N
N
N
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
N/A
UNITI GRP/UNITI HLD/CSL SR SECURED 144A 02/25 7.875
91327AAA0
2954000.000000
PA
USD
3086782.300000
1.1176959
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.875
N
N
N
N
N
N
UNIVISION COMMUNICATIONS INC
549300YQDE2JSGTL8V47
UNIVISION COMMUNICATIONS 2017 REPLACEMENT REPRICED NEW
914908AX6
1841555.430000
PA
USD
1842376.760000
0.6671079
Long
LON
CORP
US
N
2
2024-03-15
Floating
3.75
N
N
N
N
N
N
US AIRWAYS 2013-1 CLASS A PASS THROUGH TRUST
N/A
US AIRWAYS 2013 1A PTT PASS THRU CE 05/27 3.95
90346WAA1
101922.230000
PA
USD
103033.700000
0.0373076
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.95
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US RENAL CARE INC SR UNSECURED 144A 07/27 10.625
07335BAA4
4154000.000000
PA
USD
4220463.960000
1.5281918
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
10.625
N
N
N
N
N
N
VALARIS LIMITED
N/A
VALARIS LTD SR SECURED 04/28 8.25
000000000
9000.000000
PA
USD
9378.860000
0.0033960
Long
DBT
CORP
BM
N
2
2028-04-30
Fixed
8.25
N
N
N
N
N
N
VALARIS LIMITED
N/A
VALARIS LTD SR SECURED 144A 04/28 8.25
91889FAA9
1960000.000000
PA
USD
2042506.200000
0.7395730
Long
DBT
CORP
BM
N
2
2028-04-30
Fixed
8.25
N
N
Y
N
N
N
VALE OVERSEAS LTD
254900BA3U6G5DNV5V04
VALE OVERSEAS LIMITED COMPANY GUAR 11/36 6.875
91911TAH6
26000.000000
PA
USD
34592.480000
0.0125256
Long
DBT
CORP
KY
N
2
2036-11-21
Fixed
6.875
N
N
N
N
N
N
VALE OVERSEAS LTD
254900BA3U6G5DNV5V04
VALE OVERSEAS LIMITED COMPANY GUAR 11/39 6.875
91911TAK9
25000.000000
PA
USD
33605.750000
0.0121683
Long
DBT
CORP
KY
N
2
2039-11-10
Fixed
6.875
N
N
N
N
N
N
VALE SA
254900SMTWBX7RU2SR20
VALE SA SUBORDINATED 12/49 VAR
B011X9II2
50000000.000000
PA
4530673.250000
1.6405157
Long
DBT
CORP
BR
N
3
2049-12-29
Variable
3.20163
N
N
N
N
N
N
VENDEE MORTGAGE TRUST 1996-2
N/A
VENDEE MORTGAGE TRUST VENDE 1996 2 1Z
911760HH2
25078.640000
PA
USD
27471.880000
0.0099473
Long
ABS-MBS
CORP
US
N
2
2026-06-15
Fixed
6.75
N
N
N
N
N
N
VENDEE MORTGAGE TRUST 1998-3
N/A
VENDEE MORTGAGE TRUST VENDE 1998 3 E
911760LY0
58221.250000
PA
USD
61646.030000
0.0223215
Long
ABS-MBS
CORP
US
N
2
2029-03-15
Fixed
6.5
N
N
N
N
N
N
VENDEE MORTGAGE TRUST 2000-3
N/A
VENDEE MORTGAGE TRUST VENDE 2000 3 2Z
911760PM2
1090030.350000
PA
USD
1268228.400000
0.4592140
Long
ABS-MBS
CORP
US
N
2
2030-09-15
Fixed
7.5
N
N
N
N
N
N
VENDEE MORTGAGE TRUST-1996-1
N/A
VENDEE MORTGAGE TRUST VENDE 1996 1 1Z
92260MAH6
11827.880000
PA
USD
12999.350000
0.0047069
Long
ABS-MBS
CORP
US
N
2
2026-02-15
Fixed
6.75
N
N
N
N
N
N
VENEZUELAN GOVT
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25
922646AS3
171000.000000
PA
USD
11115.000000
0.0040246
Long
DBT
NUSS
VE
N
2
2027-09-15
Fixed
9.25
Y
Y
N
N
N
N
VENEZUELAN GOVT
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25
P97475AP5
13000.000000
PA
USD
845.000000
0.0003060
Long
DBT
NUSS
VE
N
2
2024-10-13
Fixed
8.25
Y
Y
N
N
N
N
VIKING CRUISES LTD
549300IJP90T4MV2GL84
VIKING CRUISES LTD SR SECURED 144A 05/25 13
92676XAE7
100000.000000
PA
USD
113313.500000
0.0410298
Long
DBT
CORP
BM
N
2
2025-05-15
Fixed
13
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR5
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR5 A6
92922FM21
74749.900000
PA
USD
78550.900000
0.0284426
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.82862
N
N
N
N
N
N
WASHINGTON MUTUAL MSC MTG CTFS 2003-MS9
N/A
WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS9 2A
939336N66
146238.770000
PA
USD
149951.390000
0.0542960
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Fixed
7.5
N
N
N
N
N
N
WASHINGTON MUTUAL MSC MTG CTFS 2004-RA1
N/A
WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2004 RA1 2A
939336P80
60841.690000
PA
USD
64951.730000
0.0235184
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
7
N
N
N
N
N
N
WESCO AIRCRAFT HOLDINGS INC
529900P5VTXZS191P208
WOLVERINE ESCROW LLC SR SECURED 144A 11/24 8.5
97789LAC0
5978000.000000
PA
USD
5550812.120000
2.0098988
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
8.5
N
N
N
N
N
N
WESCO AIRCRAFT HOLDINGS INC
529900P5VTXZS191P208
WOLVERINE ESCROW LLC SR SECURED 144A 11/26 9
97789LAB2
2216000.000000
PA
USD
2107670.840000
0.7631685
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
9
N
N
N
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND COAL CO PIK TERM LOAN
96106JAE9
6171.170000
PA
USD
1851.350000
0.0006704
Long
LON
CORP
US
N
2
2029-03-15
Fixed
15
N
N
Y
N
N
N
WINDSTREAM SERVICES II LLC
549300KT9GVEBYCD2N29
WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B
97381JAE3
16743.220000
PA
USD
16825.190000
0.0060922
Long
LON
CORP
US
N
2
2027-09-21
Floating
7.25
N
N
N
N
N
N
WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)
549300L3SXBFJVGRCF66
WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75
97382WAA1
50000.000000
PA
USD
53099.010000
0.0192267
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
7.75
N
N
N
N
N
N
N/A
N/A
BARCLAYS REV REPO EUR
000000000
-1178173.000000
PA
-1340658.250000
-0.4854402
Short
RA
GB
N
2
Reverse repurchase
N
-0.3200000
2023-11-05
1300000.000000
EUR
1326922.120000
EUR
CDS
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
1223000.000000
PA
USD
1223000.000000
0.4428372
Long
RA
US
N
2
Repurchase
N
0.0000001
2022-01-03
1266700.000000
USD
1247504.990000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-874965.630000
PA
USD
-875366.660000
-0.3169623
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-01-05
1000000.000000
USD
1035000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-187862.600000
PA
USD
-187932.740000
-0.0680487
Short
RA
US
N
2
Reverse repurchase
N
0.4800000
2022-01-06
200000.000000
USD
213200.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-8945950.590000
PA
USD
-8947178.170000
-3.2396921
Short
RA
US
N
2
Reverse repurchase
N
0.1900000
2022-01-10
8338059.780000
USD
9359042.210000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-12516448.350000
PA
USD
-12521600.940000
-4.5339582
Short
RA
US
N
2
Reverse repurchase
N
0.5700000
2022-01-10
90891612.270000
USD
15473886.940000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-747262.380000
PA
USD
-747598.650000
-0.2706987
Short
RA
US
N
2
Reverse repurchase
N
0.3000000
2022-01-12
643583.410000
USD
797335.600000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-2316665.000000
PA
USD
-2317610.970000
-0.8391859
Short
RA
US
N
2
Reverse repurchase
N
0.3000000
2022-01-14
1710000.000000
USD
2418665.040000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-184667.690000
PA
USD
-185096.020000
-0.0670216
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-01-20
200000.000000
USD
202750.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-2759698.250000
PA
USD
-2764543.820000
-1.0010163
Short
RA
US
N
2
Reverse repurchase
N
0.4900000
2022-02-28
3054000.000000
USD
3190257.800000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-1201272.210000
PA
USD
-1203042.090000
-0.4356106
Short
RA
US
N
2
Reverse repurchase
N
0.5200000
2022-03-21
1479000.000000
USD
1356982.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-4805358.000000
PA
USD
-4806329.770000
-1.7403285
Short
RA
US
N
2
Reverse repurchase
N
0.2600000
2022-01-05
4865256.580000
USD
5110346.480000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-1726816.820000
PA
USD
-1727370.840000
-0.6254653
Short
RA
US
N
2
Reverse repurchase
N
0.3500000
2022-01-05
1900000.000000
USD
1940371.910000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-5143532.770000
PA
USD
-5151010.700000
-1.8651343
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-01-05
5693000.000000
USD
5919085.280000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-1511875.100000
PA
USD
-1512227.870000
-0.5475640
Short
RA
US
N
2
Reverse repurchase
N
0.3000000
2022-01-06
1600000.000000
USD
1652725.320000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-2843223.300000
PA
USD
-2844284.770000
-1.0298897
Short
RA
US
N
2
Reverse repurchase
N
0.4800000
2022-01-06
3374000.000000
USD
3388794.870000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-7709505.230000
PA
USD
-7712974.500000
-2.7927982
Short
RA
US
N
2
Reverse repurchase
N
0.3000000
2022-01-12
7368000.000000
USD
8230831.700000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-14269578.000000
PA
USD
-14275404.750000
-5.1689947
Short
RA
US
N
2
Reverse repurchase
N
0.3000000
2022-01-14
13914000.000000
USD
14820680.540000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-1499611.660000
PA
USD
-1502046.450000
-0.5438774
Short
RA
US
N
2
Reverse repurchase
N
0.3500000
2022-01-20
1600000.000000
USD
1570634.440000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-8075682.760000
PA
USD
-8094413.860000
-2.9309139
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-01-20
9392000.000000
USD
8895025.580000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-2356145.350000
PA
USD
-2358146.000000
-0.8538633
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-02-03
2404303.060000
USD
2768179.810000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-987003.750000
PA
USD
-987614.050000
-0.3576061
Short
RA
US
N
2
Reverse repurchase
N
0.5300000
2022-02-24
1100000.000000
USD
1161666.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-257200.000000
PA
USD
-257651.600000
-0.0932933
Short
RA
US
N
2
Reverse repurchase
N
0.4900000
2022-02-28
300000.000000
USD
309580.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-1165470.720000
PA
USD
-1167406.050000
-0.4227072
Short
RA
US
N
2
Reverse repurchase
N
0.4900000
2022-03-03
1194459.380000
USD
1258026.110000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-843884.530000
PA
USD
-845457.440000
-0.3061325
Short
RA
US
N
2
Reverse repurchase
N
0.5500000
2022-03-03
1060000.000000
USD
1016841.400000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-2040670.360000
PA
USD
-2043676.950000
-0.7399969
Short
RA
US
N
2
Reverse repurchase
N
0.5200000
2022-03-21
2200000.000000
USD
2210359.180000
USD
CDS
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
BONCER BONDS 08/23 1.45
ACI1WSBF1
35000000.000000
PA
298517.540000
0.1080905
Long
DBT
NUSS
AR
N
2
2023-08-13
Fixed
1.45
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2545290.000000
PA
USD
-2548153.450000
-0.9226633
Short
RA
US
N
2
Reverse repurchase
N
0.4500000
2022-01-06
2700000.000000
USD
2800018.420000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1208593.750000
PA
USD
-1211413.800000
-0.4386420
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-01-19
1300000.000000
USD
1348157.020000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-283474.930000
PA
USD
-284108.810000
-0.1028732
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-01-26
323000.000000
USD
273401.740000
USD
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1460031.000000
PA
USD
-1460187.140000
-0.5287205
Short
RA
US
N
2
Reverse repurchase
N
0.5500000
2022-03-10
1600000.000000
USD
1661928.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1553215.970000
PA
USD
-1555394.790000
-0.5631944
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-03-21
1910000.000000
USD
1773511.400000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1540000.000000
PA
USD
-1541069.530000
-0.5580073
Short
RA
US
N
2
Reverse repurchase
N
0.9260000
2022-06-07
2200000.000000
USD
2200158.840000
USD
PLCMO
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BILLS 02/22 0.00000
ACI1WPB75
21695812.160000
PA
107852.670000
0.0390525
Long
DBT
NUSS
AR
N
2
2022-02-28
None
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-2235799.000000
PA
USD
-2237762.860000
-0.8102737
Short
RA
US
N
2
Reverse repurchase
N
0.4000000
2022-01-13
6637622.000000
USD
2657113.040000
USD
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-1799413.000000
PA
USD
-1799677.830000
-0.6516470
Short
RA
US
N
2
Reverse repurchase
N
0.0800000
2023-10-27
1700000.000000
USD
1876817.000000
USD
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-2791019.000000
PA
USD
-2792104.400000
-1.0109957
Short
RA
US
N
2
Reverse repurchase
N
0.2500000
2023-11-08
2996000.000000
USD
2664867.100000
USD
CDS
N
N
N
N/A
N/A
FIRST BOSTON REVERSE REPO EUR 05/40 VAR
000000000
-889489.000000
PA
-1008801.780000
-0.3652780
Short
RA
LU
N
2
Reverse repurchase
N
-2.0000000
2023-10-26
1300000.000000
EUR
1086397.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-482113.000000
PA
-548631.180000
-0.1986544
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-02-11
700000.000000
EUR
617732.580000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-1888224.000000
PA
-2148338.290000
-0.7778938
Short
RA
LU
N
2
Reverse repurchase
N
-0.4000000
2023-11-05
2100000.000000
EUR
2106617.100000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-825336.000000
PA
-939085.070000
-0.3400342
Short
RA
LU
N
2
Reverse repurchase
N
-0.4500000
2023-11-16
960000.000000
EUR
916051.200000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-2937833.000000
PA
-3342511.610000
-1.2102932
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-01-19
3538000.000000
EUR
3290446.140000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-350795.840000
PA
-399219.020000
-0.1445536
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2022-02-09
405000.000000
EUR
397204.560000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-970093.000000
PA
-1103938.850000
-0.3997263
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-02-11
1000000.000000
EUR
1048750.000000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-562722.000000
PA
-634479.120000
-0.2297391
Short
RA
LU
N
2
Reverse repurchase
N
-2.5000000
2023-08-19
600000.000000
EUR
529050.000000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO CANADIAN IMPERIAL
000000000
-455446.000000
PA
-518314.850000
-0.1876771
Short
RA
N/A
N
2
Reverse repurchase
N
-0.3000000
2022-02-09
500000.000000
EUR
488417.500000
EUR
CDS
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-2377897.500000
PA
USD
-2382296.610000
-0.8626080
Short
RA
US
N
2
Reverse repurchase
N
0.6000000
2022-03-14
3300000.000000
USD
2979644.250000
USD
PLCMO
N
N
N
N/A
N/A
PARIBAS REPO
000000000
3600000.000000
PA
USD
3600000.000000
1.3035274
Long
RA
US
N
2
Repurchase
N
0.0300000
2022-01-03
3525200.000000
USD
3662490.010000
USD
UST
N
N
N
N/A
N/A
PARIBAS REVERSE REPO GBP ZCP
000000000
-940712.000000
PA
-1274011.990000
-0.4613082
Short
RA
GB
N
2
Reverse repurchase
N
0.3500000
2023-11-05
900000.000000
GBP
992794.500000
GBP
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS
000000000
-2528222.000000
PA
-3424112.940000
-1.2398403
Short
RA
GB
N
2
Reverse repurchase
N
0.4500000
2022-02-09
2500000.000000
GBP
2782147.500000
GBP
CDS
N
N
N
N/A
N/A
REVERSE REPO STANDARD CHARTERE
000000000
-535457.000000
PA
-725093.960000
-0.2625500
Short
RA
GB
N
2
Reverse repurchase
N
0.3400000
2022-02-09
448032.930000
GBP
581365.920000
GBP
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-1385220.430000
PA
USD
-1386126.620000
-0.5019039
Short
RA
US
N
2
Reverse repurchase
N
0.3000000
2022-03-09
1500000.000000
USD
1475369.580000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-548847.440000
PA
USD
-548926.720000
-0.1987614
Short
RA
US
N
2
Reverse repurchase
N
0.4000000
2022-03-17
625365.710000
USD
635756.160000
USD
CDS
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 07/30 VAR
ACI1QL1T4
514866.000000
PA
USD
166147.260000
0.0601604
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.5
N
N
N
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-1375594.550000
PA
USD
-1376564.350000
-0.4984415
Short
RA
US
N
2
Reverse repurchase
N
0.2700000
2022-01-20
1360000.000000
USD
1416860.010000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-12767118.880000
PA
USD
-12771587.370000
-4.6244760
Short
RA
US
N
2
Reverse repurchase
N
0.3000000
2022-01-20
12285000.000000
USD
13342606.150000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-1573019.690000
PA
USD
-1573753.770000
-0.5698420
Short
RA
US
N
2
Reverse repurchase
N
0.3000000
2022-02-08
1594000.000000
USD
1638843.280000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-681700.000000
PA
USD
-682438.700000
-0.2471049
Short
RA
US
N
2
Reverse repurchase
N
0.4700000
2022-01-13
800000.000000
USD
766268.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-745966.950000
PA
USD
-747376.000000
-0.2706181
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-02-22
834823.470000
USD
853607.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-6642986.000000
PA
USD
-6651658.790000
-2.4085054
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-04-01
7879066.260000
USD
7795079.640000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-495910.530000
PA
USD
-496433.300000
-0.1797540
Short
RA
US
N
2
Reverse repurchase
N
0.5500000
2022-04-27
600000.000000
USD
586997.980000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-201578.000000
PA
USD
-201641.970000
-0.0730127
Short
RA
US
N
2
Reverse repurchase
N
0.2400000
2023-11-16
200000.000000
USD
209516.860000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-5456752.760000
PA
USD
-5459299.240000
-1.9767628
Short
RA
US
N
2
Reverse repurchase
N
0.3500000
2023-11-16
5947000.000000
USD
6600023.290000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO TORONTO DOMINIO
000000000
-329156.340000
PA
USD
-329464.100000
-0.1192960
Short
RA
US
N
2
Reverse repurchase
N
0.2200000
2023-08-03
300000.000000
USD
328399.170000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO TORONTO DOMINIO
000000000
-496968.750000
PA
USD
-497430.380000
-0.1801150
Short
RA
US
N
2
Reverse repurchase
N
0.2200000
2023-08-04
500000.000000
USD
509611.150000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO TORONTO DOMINIO
000000000
-3147037.950000
PA
USD
-3149691.960000
-1.1404749
Short
RA
US
N
2
Reverse repurchase
N
0.2200000
2023-08-18
3185903.960000
USD
3227145.300000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO TORONTO DOMINIO
000000000
-106869.000000
PA
USD
-106931.050000
-0.0387188
Short
RA
US
N
2
Reverse repurchase
N
0.2200000
2023-08-30
100000.000000
USD
110443.920000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO TORONTO DOMINIO
000000000
-964428.130000
PA
USD
-965158.960000
-0.3494753
Short
RA
US
N
2
Reverse repurchase
N
0.2200000
2023-09-01
925000.000000
USD
971664.200000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO TORONTO DOMINIO
000000000
-214225.000000
PA
USD
-214390.130000
-0.0776287
Short
RA
US
N
2
Reverse repurchase
N
0.2500000
2023-09-14
200000.000000
USD
208974.810000
USD
CDS
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-970190.000000
PA
USD
-972191.020000
-0.3520216
Short
RA
US
N
2
Reverse repurchase
N
0.4500000
2022-01-21
1040000.000000
USD
1113886.800000
USD
CDS
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 07/35 VAR
ACI1QL1M9
904000.000000
PA
USD
282500.000000
0.1022907
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.125
N
N
N
N
N
N
N/A
N/A
REVERSE REPO FIRST BOSTON REVERSE REPO
000000000
-975651.100000
PA
USD
-975027.770000
-0.3530487
Short
RA
US
N
2
Reverse repurchase
N
-0.5000000
2023-11-18
1302000.000000
USD
1238351.730000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-1172789.740000
PA
USD
-1175607.690000
-0.4256769
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-01-12
1360000.000000
USD
1370730.400000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-378164.960000
PA
USD
-378818.560000
-0.1371668
Short
RA
US
N
2
Reverse repurchase
N
0.5100000
2022-03-03
559000.000000
USD
484407.040000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-743928.360000
PA
USD
-744892.160000
-0.2697187
Short
RA
US
N
2
Reverse repurchase
N
0.5300000
2022-05-12
914000.000000
USD
869319.110000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-815350.300000
PA
USD
-816199.620000
-0.2955385
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-02-03
945000.000000
USD
936981.670000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-638730.000000
PA
USD
-639154.750000
-0.2314321
Short
RA
US
N
2
Reverse repurchase
N
0.5700000
2022-02-24
1208000.000000
USD
695946.920000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-178343.090000
PA
USD
-178384.700000
-0.0645915
Short
RA
US
N
2
Reverse repurchase
N
0.3000000
2022-01-06
200000.000000
USD
205302.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-6249005.000000
PA
USD
-6253483.430000
-2.2643297
Short
RA
US
N
2
Reverse repurchase
N
0.4300000
2022-01-05
7465620.480000
USD
7205284.730000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-1639225.000000
PA
USD
-1640774.060000
-0.5941094
Short
RA
US
N
2
Reverse repurchase
N
0.4200000
2022-01-14
1900000.000000
USD
1910450.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-10029764.000000
PA
USD
-10030466.080000
-3.6319409
Short
RA
US
N
2
Reverse repurchase
N
0.1200000
2022-01-13
9493286.770000
USD
10342398.340000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO BANK OF MONTREAL REVERSE REPO
000000000
-4469661.440000
PA
USD
-4474955.500000
-1.6203408
Short
RA
US
N
2
Reverse repurchase
N
0.5200000
2022-01-11
30021925.640000
USD
5829708.590000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO WOOD GUNDY REVERSE REPO
000000000
-259078.260000
PA
USD
-259127.630000
-0.0938278
Short
RA
US
N
2
Reverse repurchase
N
0.1400000
2022-01-11
250753.150000
USD
270493.990000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO WOOD GUNDY REVERSE REPO
000000000
-6319387.620000
PA
USD
-6319829.980000
-2.2883532
Short
RA
US
N
2
Reverse repurchase
N
0.1200000
2022-01-13
5759173.560000
USD
6452089.440000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO WOOD GUNDY REVERSE REPO
000000000
-5502029.400000
PA
USD
-5509134.540000
-1.9948077
Short
RA
US
N
2
Reverse repurchase
N
0.5700000
2022-01-13
48851069.860000
USD
6561348.940000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO WOOD GUNDY REVERSE REPO
000000000
-2043628.710000
PA
USD
-2046281.990000
-0.7409402
Short
RA
US
N
2
Reverse repurchase
N
0.5700000
2022-01-18
14540953.920000
USD
2480133.850000
USD
AMBS
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR
040114HU7
4388387.000000
PA
USD
1687334.800000
0.6109686
Long
DBT
NUSS
AR
N
2
2038-01-09
Variable
2
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1
040114HX1
269214.000000
PA
USD
98599.630000
0.0357020
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR
040114HS2
131799.000000
PA
USD
46788.650000
0.0169417
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.5
N
N
N
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
962.380000
0.0003485
N/A
DFE
N/A
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
145904.070000
USD
129000.000000
EUR
2022-01-04
962.380000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
131682.340000
0.0476810
N/A
DFE
N/A
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
22638310.000000
USD
20000000.000000
EUR
2022-01-04
131682.340000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-1393.030000
-0.0005044
N/A
DFE
PE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
205344.920000
USD
825014.300000
PEN
2022-07-21
-1393.030000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR
040114HT0
226993.000000
PA
USD
73772.730000
0.0267124
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.125
N
N
N
N
N
N
N/A
N/A
SOLD CZK/BOUGHT USD
000000000
1.000000
NC
607.760000
0.0002201
N/A
DFE
CZ
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
816985.920000
CZK
37944.000000
USD
2022-01-20
607.760000
N
N
N
N/A
N/A
SOLD CZK/BOUGHT USD
000000000
1.000000
NC
669.550000
0.0002424
N/A
DFE
CZ
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
813905.150000
CZK
37865.000000
USD
2022-01-20
669.550000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
-131441.930000
-0.0475939
N/A
DFE
N/A
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
20000000.000000
EUR
22651770.000000
USD
2022-02-02
-131441.930000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-108.090000
-0.0000391
N/A
DFE
MX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2029000.000000
MXN
97706.850000
USD
2022-03-18
-108.090000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-351.820000
-0.0001274
N/A
DFE
MX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
538000.000000
MXN
25584.330000
USD
2022-03-18
-351.820000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR
040114HV5
1880235.000000
PA
USD
671008.870000
0.2429662
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
2.5
N
N
N
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-5756.850000
-0.0020845
N/A
DFE
PE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
704599.120000
PEN
168766.260000
USD
2022-06-27
-5756.850000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR
040114HW3
114993.000000
PA
USD
37444.600000
0.0135584
Long
DBT
NUSS
AR
N
2
2046-07-09
Variable
1.125
N
N
N
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
1451.000000
0.0005254
N/A
DFE
ZA
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
696808.120000
ZAR
43415.350000
USD
2022-11-08
1451.000000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
1758.450000
0.0006367
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
328406.440000
USD
290000.000000
EUR
2022-01-04
1758.450000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
8866.850000
0.0032106
N/A
DFE
GB
N
2
BNP Paribas S.A.
N/A
478409.080000
USD
360000.000000
GBP
2022-01-07
8866.850000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
-3779.090000
-0.0013684
N/A
DFE
CA
N
2
BNP Paribas S.A.
N/A
682000.000000
CAD
535371.740000
USD
2022-01-07
-3779.090000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
-25177.520000
-0.0091166
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
2296000.000000
EUR
2588817.600000
USD
2022-01-04
-25177.520000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
-5376.850000
-0.0019469
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
1010000.000000
EUR
1144507.760000
USD
2022-01-04
-5376.850000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
-393308.830000
-0.1424136
N/A
DFE
GB
N
2
BNP Paribas S.A.
N/A
13372000.000000
GBP
17706361.170000
USD
2022-01-05
-393308.830000
N
N
N
N/A
N/A
SOLD HUF/BOUGHT USD
000000000
1.000000
NC
-795.320000
-0.0002880
N/A
DFE
HU
N
2
BNP Paribas S.A.
N/A
44282000.000000
HUF
135222.360000
USD
2022-02-09
-795.320000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
1057.460000
0.0003829
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
667953.300000
ZAR
41727.000000
USD
2022-08-16
1057.460000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
1102.490000
0.0003992
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
672542.800000
ZAR
42538.000000
USD
2022-05-16
1102.490000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
1674.410000
0.0006063
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
960744.670000
ZAR
59534.000000
USD
2022-11-08
1674.410000
N
N
N
N/A
N/A
BOEING CO/THE SNR S* ICE
000000000
1.000000
NC
USD
3465.320000
0.0012548
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BOEING CO/THE
BOEING CO SR UNSEC
Y
Single Leg Swap
2026-06-21
0.000000
USD
-41893.290000
USD
2300000.000000
USD
45358.610000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
7047.060000
0.0025517
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
796189.100000
USD
4474025.400000
BRL
2022-01-04
7047.060000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
27857.350000
0.0100869
N/A
DFE
N/A
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4529556.620000
USD
4003000.000000
EUR
2022-01-04
27857.350000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
2966.220000
0.0010740
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
174813.370000
USD
714899.280000
PEN
2022-05-05
2966.220000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
18525.370000
0.0067079
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
912025.420000
USD
3716412.400000
PEN
2022-01-18
18525.370000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
21454.500000
0.0077685
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
886125.990000
USD
3716412.400000
PEN
2022-12-06
21454.500000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
-1511.330000
-0.0005472
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4474025.400000
BRL
801724.830000
USD
2022-01-04
-1511.330000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
-4869.750000
-0.0017633
N/A
DFE
N/A
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1111000.000000
EUR
1260003.320000
USD
2022-01-04
-4869.750000
N
N
N
ASSOCIATED MATERIALS LLC / AMH NEW FINANCE INC
N/A
ASSOC MAT LLC/AMH NEW FI SR SECURED 144A 09/25 9
04570XAC3
1042000.000000
PA
USD
1116028.890000
0.4041039
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
9
N
N
N
N
N
N
ASTEROID PRIVATE MERGER SUB INC
549300IWRY8V2R98AJ89
ASTEROID PRIVATE MERGER COMPANY GUAR 144A 11/29 8.5
04625PAA9
2400000.000000
PA
USD
2518872.020000
0.9120607
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
8.5
N
N
N
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-93271.020000
-0.0337726
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
11415193.590000
PEN
2755629.110000
USD
2022-03-17
-93271.020000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-213.590000
-0.0000773
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
562093.400000
PEN
139640.130000
USD
2022-04-28
-213.590000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
246.190000
0.0000891
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
669185.140000
PEN
165508.790000
USD
2022-08-02
246.190000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-19687.720000
-0.0071287
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3716412.400000
PEN
910863.070000
USD
2022-01-18
-19687.720000
N
N
N
CHARLES SCHWAB CORP/THE
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP JR SUBORDINA 12/99 VAR
808513BJ3
100000.000000
NS
USD
101125.000000
0.0366164
Long
EP
CORP
US
N
2
N
N
N
2022-02-15
PIMCO Strategic Income Fund, Inc.
/s/ Jason Nagler
Jason Nagler
Assistant Treasurer