NPORT-P
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0000916183
XXXXXXXX
PIMCO Strategic Income Fund, Inc.
811-08216
0000916183
SXMV4TXSOGB1HGOZUF63
1633 Broadway
New York
10019
(844) 337-4626
N/A
N/A
2022-06-30
2022-03-31
N
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243967211.300000
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3688265.790000
USD
CAD
CZK
BRL
GBP
HUF
MXN
ZAR
EUR
PEN
N
N/A
N/A
SOLD CZK/BOUGHT USD
000000000
1.000000
NC
-6493.450000
-0.0026616
N/A
DFE
CZ
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3677540.660000
CZK
158775.870000
USD
2022-06-15
-6493.450000
N
N
N
N/A
N/A
SOLD CZK/BOUGHT USD
000000000
1.000000
NC
-3031.150000
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N/A
DFE
CZ
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3769000.000000
CZK
166348.370000
USD
2022-06-15
-3031.150000
N
N
N
N/A
N/A
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000000000
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NC
-1249.060000
-0.0005120
N/A
DFE
MX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
740000.000000
MXN
35760.190000
USD
2022-05-04
-1249.060000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-12851.760000
-0.0052678
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
562093.400000
PEN
139640.130000
USD
2022-04-28
-12851.760000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-14389.920000
-0.0058983
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
669185.140000
PEN
165508.790000
USD
2022-08-02
-14389.920000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-30795.810000
-0.0126229
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
11415193.590000
PEN
3036117.240000
USD
2022-08-08
-30795.810000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-2488.690000
-0.0010201
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
562093.400000
PEN
145465.540000
USD
2023-03-14
-2488.690000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-5219.040000
-0.0021392
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
704599.120000
PEN
181574.310000
USD
2022-12-27
-5219.040000
N
N
N
N/A
N/A
BOUGHT HUF/SOLD USD
000000000
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NC
-210.660000
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N/A
DFE
HU
N
2
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK
1VUV7VQFKUOQSJ21A208
23691.100000
USD
7817000.000000
HUF
2022-04-22
-210.660000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
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NC
36221.700000
0.0148470
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
895978.810000
USD
4474025.400000
BRL
2022-05-03
36221.700000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
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NC
3031.990000
0.0012428
N/A
DFE
ZA
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
77362.000000
USD
1185495.290000
ZAR
2022-06-15
3031.990000
N
N
N
N/A
N/A
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000000000
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NC
-36782.550000
-0.0150768
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
4474025.400000
BRL
902931.460000
USD
2022-04-04
-36782.550000
N
N
N
N/A
N/A
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000000000
1.000000
NC
-23875.270000
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N/A
DFE
HU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
108657031.000000
HUF
302505.000000
USD
2022-04-22
-23875.270000
N
N
N
N/A
N/A
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000000000
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NC
-8854.430000
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N/A
DFE
ZA
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1741929.420000
ZAR
109718.680000
USD
2022-05-16
-8854.430000
N
N
N
N/A
N/A
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NC
3261.750000
0.0013370
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DFE
N/A
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2
HSBC BANK PLC
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1664962.890000
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1508000.000000
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2022-04-04
3261.750000
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N/A
N/A
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1420.260000
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DFE
N/A
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2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
260760.930000
USD
237000.000000
EUR
2022-04-04
1420.260000
N
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N/A
N/A
BOUGHT EUR/SOLD USD
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NC
20.600000
0.0000084
N/A
DFE
N/A
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HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
129410.620000
USD
117000.000000
EUR
2022-04-04
20.600000
N
N
N
N/A
N/A
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776.270000
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N/A
DFE
N/A
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HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
160736.190000
USD
146000.000000
EUR
2022-04-04
776.270000
N
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N/A
N/A
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-447.240000
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DFE
N/A
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HSBC BANK PLC
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133310.560000
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EUR
2022-05-03
-447.240000
N
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-230.960000
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DFE
GB
N
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HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
277411.030000
USD
211000.000000
GBP
2022-04-04
-230.960000
N
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1876.750000
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DFE
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HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
812586.010000
USD
620000.000000
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2022-04-04
1876.750000
N
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N/A
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000000000
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-12413.850000
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N/A
DFE
N/A
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2
HSBC BANK PLC
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1979941.960000
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2022-04-04
-12413.850000
N
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N
N/A
N/A
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-1702.350000
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DFE
N/A
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HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1544000.000000
EUR
1706347.280000
USD
2022-04-04
-1702.350000
N
N
N
N/A
N/A
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5381.280000
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N/A
DFE
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
300000.000000
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399476.160000
USD
2022-04-04
5381.280000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
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NC
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-0.0004708
N/A
DFE
GB
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
308000.000000
GBP
403455.420000
USD
2022-04-04
-1148.660000
N
N
N
N/A
N/A
INTELSAT EMERGENCE SA CALL EXP 17FEB27
000000000
148.000000
NC
USD
499.500000
0.0002047
N/A
DE
LU
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Luxembourg Stock Exchange
N/A
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INTELSAT EMERGENCE SA
INTELSAT EMERGENCE SA
N/A
77.220000
USD
2027-02-17
XXXX
-2657876.800000
N
N
N
N/A
N/A
INTELSAT EMERGENCE SA CALL EXP17FEB27
000000000
563.000000
NC
USD
2955.750000
0.0012115
N/A
DE
LU
N
3
Luxembourg Stock Exchange
N/A
Call
Purchased
INTELSAT EMERGENCE SA
INTELSAT EMERGENCE SA
N/A
60.150000
USD
2027-02-17
XXXX
-351.880000
N
N
N
N/A
N/A
INTELSAT JACKSON HOLDINGS S A EXP 05DEC25
000000000
10308.000000
NC
USD
51540.000000
0.0211258
N/A
DE
LU
N
3
Luxembourg Stock Exchange
N/A
Call
Purchased
INTELSAT JACKSON HOLDINGS SA
INTELSAT JACKSON HOLDINGS SA
N/A
0.000000
USD
2025-12-05
XXXX
51540.000000
N
N
N
N/A
N/A
INTELSAT JACKSON HOLDINGS S A RIGHTS
000000000
10583.000000
NC
USD
47623.500000
0.0195205
N/A
DE
LU
N
3
Luxembourg Stock Exchange
N/A
Call
Purchased
INTELSAT JACKSON HOLDINGS SA
INTELSAT JACKSON HOLDINGS SA
N/A
0.000000
USD
2025-12-05
XXXX
47623.500000
N
N
N
N/A
N/A
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000000000
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USD
643.510000
0.0002638
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
N/A
ITRAXX ASIA EX-JAPAN IG SERIES 37
Y
Single Leg Swap
2027-06-22
0.000000
USD
-21559.440000
USD
4400000.000000
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N
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N/A
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SOLD CZK/BOUGHT USD
000000000
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NC
-7723.560000
-0.0031658
N/A
DFE
CZ
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4739580.210000
CZK
205274.000000
USD
2022-06-15
-7723.560000
N
N
N
N/A
N/A
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000000000
1.000000
NC
-120357.200000
-0.0493334
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
18361309.460000
USD
16489000.000000
EUR
2022-04-04
-120357.200000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
120771.290000
0.0495031
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
16489000.000000
EUR
18377298.840000
USD
2022-05-03
120771.290000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
12681.430000
0.0051980
N/A
DFE
ZA
N
2
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
114127.420000
USD
1884000.000000
ZAR
2022-08-16
12681.430000
N
N
N
N/A
N/A
ROLLS-ROYCE PLC SNR SE ICE
000000000
1.000000
NC
-13273.370000
-0.0054406
N/A
DCR
GB
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
ROLLS-ROYCE PLC
ROLLS-ROYCE PLC CO GTD SR UNSEC REGS
Y
Single Leg Swap
2026-06-21
0.000000
EUR
-26583.260000
EUR
300000.000000
EUR
13309.890000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
4642.200000
0.0019028
N/A
DFE
ZA
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
107605.200000
USD
1649000.000000
ZAR
2022-05-16
4642.200000
N
N
N
N/A
N/A
SOLD CZK/BOUGHT USD
000000000
1.000000
NC
-19985.770000
-0.0081920
N/A
DFE
CZ
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
6722042.660000
CZK
282104.000000
USD
2022-06-15
-19985.770000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875
ACI1T7K79
400000.000000
PA
402398.350000
0.1649395
Long
DBT
CORP
IT
N
2
2026-01-09
Fixed
1.875
N
N
N
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625
ACI1J7WJ1
2100000.000000
PA
2195352.640000
0.8998556
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DBT
CORP
IT
N
2
2025-04-28
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2.625
N
N
N
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
1393220.680000
0.5710688
Long
DBT
CORP
IT
N
2
2024-09-24
Fixed
3.625
N
N
N
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
250285.030000
0.1025896
N/A
DFE
N/A
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
13608000.000000
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15304131.740000
USD
2022-04-04
250285.030000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
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ACI0ZY1X9
400000.000000
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292810.150000
0.1200203
Long
DBT
CORP
IT
N
2
2028-01-18
Floating
5.375
N
N
N
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
141573.280000
0.0580296
N/A
DFE
GB
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
4974000.000000
GBP
6675666.430000
USD
2022-04-04
141573.280000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-3427.490000
-0.0014049
N/A
DFE
PE
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2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
139702.800000
PEN
33702.310000
USD
2022-11-29
-3427.490000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR
ACI1J42S1
1304000.000000
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982837.950000
0.4028566
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DBT
CORP
IT
N
2
2030-01-22
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8
N
N
N
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
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1108073.030000
0.4541893
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DBT
CORP
IT
N
2
2029-07-23
Fixed
10.5
N
N
N
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR
ACI1R35P7
400000.000000
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310444.660000
0.1272485
Long
DBT
CORP
IT
N
2
2030-09-10
Floating
8.5
N
N
N
N
N
N
BANCO DE CREDITO DEL PERU SA
549300EQYQ8SCQZ4BY14
BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65
05971U2B2
400000.000000
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104730.830000
0.0429282
Long
DBT
CORP
PE
N
2
2024-09-17
Fixed
4.65
N
N
N
N
N
N
N/A
N/A
IRS CAD 3.30000 06/19/14-10Y CME
000000000
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NC
169788.650000
0.0695949
N/A
DIR
CA
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
CAD-BA-CDOR 3M
N/A
N/A
Y
2024-06-19
623609.130000
CAD
0.000000
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11200000.000000
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-453820.480000
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N
N
N/A
N/A
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000000000
1.000000
NC
-90059.300000
-0.0369145
N/A
DIR
CA
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
CAD-BA-CDOR 3M
N/A
N/A
Y
2044-06-20
0.000000
CAD
-182730.410000
CAD
1300000.000000
CAD
92671.110000
N
N
N
N/A
N/A
IRS CZK 1.80000 05/17/21-5Y CME
000000000
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NC
-656318.230000
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N/A
DIR
CZ
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
CZK-PRIBOR-Reference Banks 6M
N/A
N/A
Y
2026-05-18
0.000000
CZK
0.000000
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146800000.000000
CZK
-656318.230000
N
N
N
N/A
N/A
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000000000
1.000000
NC
132234.020000
0.0542016
N/A
DIR
N/A
N
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London Clearing house
N/A
N/A
Euribor 6 Month ACT/360
Y
2024-09-06
2446.740000
EUR
0.000000
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15100000.000000
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129787.280000
N
N
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N/A
N/A
IRS EUR 0.50000 09/21/22-30Y LCH
000000000
1.000000
NC
529621.270000
0.2170871
N/A
DIR
N/A
N
2
London Clearing house
N/A
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Euribor 6 Month ACT/360
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2052-09-23
303226.560000
EUR
0.000000
EUR
3500000.000000
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226394.710000
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N
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BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2
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Long
ABS-MBS
CORP
US
N
2
2032-08-15
Floating
4.14657
N
N
N
N
N
N
N/A
N/A
IRS HUF 2.12100 05/17/21-5Y CME
000000000
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NC
-903158.760000
-0.3701968
N/A
DIR
HU
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
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N/A
N/A
Y
2026-05-18
0.000000
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197492.710000
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5680.650000
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N
2
2035-02-25
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2.55565
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N
N
N
N
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2025-12-15
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N
N
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Y
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2025-06-15
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7.125
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N
N
N
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BARCLAYS PLC
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N/A
N/A
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1009683.360000
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EC
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US
N
1
N
N
N
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181353.570000
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N
2
2036-07-26
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0.561709
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N
N
N
N
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BEAR STEARNS COMMERCIAL MORTGA BSCMS 2005 PW10 C
07387BEG4
673746.650000
PA
USD
626416.820000
0.2567627
Long
ABS-MBS
CORP
US
N
2
2040-12-11
Variable
5.75313
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
175086.860000
PA
USD
168947.280000
0.0692500
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
224013.660000
PA
USD
138789.500000
0.0568886
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
3.29161
Y
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2005-C
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1
073879U97
207378.810000
PA
USD
201199.770000
0.0824700
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
0.95657
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS JR SUBORDINA 144A 12/99 VAR
05565ASK0
1900000.000000
PA
USD
1700519.000000
0.6970277
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
813787.460000
0.3335643
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
656526.490000
0.2691044
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
645151.100000
0.2644417
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
1017035.130000
0.4168737
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 06/26 7.125
097751BV2
1500000.000000
PA
USD
1471822.500000
0.6032870
Long
DBT
CORP
CA
N
2
2026-06-15
Fixed
7.125
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC COMPANY GUAR 11/30 4.15
11135FAQ4
190000.000000
PA
USD
192866.080000
0.0790541
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
714539.690000
0.2928835
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
269620.100000
0.1105149
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 04/33 3.419
11135FBK6
100000.000000
PA
USD
93515.860000
0.0383313
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
3.419
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC SR UNSECURED 144A 04/34 3.469
11135FBL4
200000.000000
PA
USD
185644.320000
0.0760940
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
176617.230000
0.0723938
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
965905.870000
0.3959163
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
693000.000000
0.2840546
Long
LON
CORP
US
N
2
2030-02-01
Floating
6.1
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
99222.790000
PA
USD
98850.700000
0.0405180
Long
LON
CORP
US
N
2
2024-12-23
Floating
3.2074
N
N
N
N
N
N
CARNIVAL CORPORATION
F1OF2ZSX47CR0BCWA982
CARNIVAL CORPORATION 2021 INCREMENTAL TERM LOAN B
P2121YAS7
463837.500000
PA
USD
454174.370000
0.1861621
Long
LON
CORP
PA
N
2
2028-10-18
Floating
4
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
649827.500000
0.2663585
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
1139866.000000
0.4672210
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
465603.560000
0.1908468
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
4645667.600000
1.9042180
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
100055.810000
0.0410120
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
242131.080000
0.0992474
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
416810.000000
0.1708467
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
2454551.450000
1.0060989
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
4108112.220000
1.6838788
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
1068202.470000
PA
USD
735808.200000
0.3016013
Long
ABS-MBS
CORP
US
N
2
2046-03-25
Floating
2.32657
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
306519.990000
0.1256398
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
8
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
1050000.000000
0.4303857
Long
EP
USGSE
US
N
2
N
N
N
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ
17311QBN9
810292.100000
PA
USD
363537.790000
0.1490109
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.19571
Y
N
N
N
N
N
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJFX 144A
17311QAE0
405146.050000
PA
USD
181870.060000
0.0745469
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.19571
Y
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TR 2003-UP3
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2003 UP3 A3
17307GAV0
1200.330000
PA
USD
1227.290000
0.0005031
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Fixed
7
N
N
N
N
N
N
CITY OF CHICAGO
T5UYO5SYLC8K73MJQX30
CHICAGO IL CHI 01/29 FIXED 7.045
167486ZZ5
50000.000000
PA
USD
54948.660000
0.0225230
Long
DBT
MUN
US
N
2
2029-01-01
Fixed
7.045
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO JR SUBORDINA 12/49 VAR
369604BQ5
139000.000000
NS
USD
133787.500000
0.0548383
Long
EP
CORP
US
N
2
N
N
N
COMM 2021-2400 MORTGAGE TRUST
N/A
COMM MORTGAGE TRUST COMM 2021 2400 G 144A
20048FAS7
1380000.000000
PA
USD
1357508.210000
0.5564306
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
6.397
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
189158.500000
0.0775344
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
6.02722
N
N
N
N
N
N
CONSECO FINANCE SECURITIZATION 2000-5
N/A
CONSECO FINANCE SECURITIZATION CNF 2000 5 A6
20846QEQ7
1437099.540000
PA
USD
567157.800000
0.2324730
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
474581.150000
0.1945266
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
668205.460000
0.2738915
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 05/25 5.4
ACI1MJZQ2
1000000.000000
PA
USD
770500.000000
0.3158211
Long
DBT
CORP
KY
N
2
2025-05-27
Fixed
5.4
N
N
N
N
N
N
COUNTRY GARDEN HOLDINGS COMPANY LIMITED
549300MGHLPT1EFHGF84
COUNTRY GARDEN HLDGS SR SECURED REGS 09/25 6.15
ACI1FGXS4
200000.000000
PA
USD
156000.000000
0.0639430
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
1061637.550000
PA
USD
990076.600000
0.4058236
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
0.87657
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERT 2007-BC2
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A
12669QAA7
1623228.110000
PA
USD
1690094.390000
0.6927547
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
0.65657
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
2149111.760000
0.8809019
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
2.10657
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-12
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A
12667AAA4
2184914.550000
PA
USD
2133786.240000
0.8746201
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.71657
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2004-12
N/A
COUNTRYWIDE HOME LOANS CWHL 2004 12 16A1
12669FP98
212860.220000
PA
USD
210688.770000
0.0863595
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
2.68792
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2004-R1
N/A
COUNTRYWIDE HOME LOANS CWHL 2004 R1 3A 144A
12669F7M9
343880.280000
PA
USD
354679.530000
0.1453800
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
804697.920000
PA
USD
728090.600000
0.2984379
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
1.09657
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-R2
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 R2 2A2 144A
12669GP21
66951.730000
PA
USD
68915.810000
0.0282480
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
32134.590000
PA
USD
32066.440000
0.0131437
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
203550.000000
0.0834333
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
593742.000000
0.2433696
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
251567.510000
0.1031153
Long
ABS-MBS
CORP
US
N
2
2040-02-15
Variable
5.457
N
N
N
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC CLASS A COMMON STOCK
45174J509
68102.000000
NS
USD
1289170.860000
0.5284197
Long
EC
CORP
US
N
1
N
N
N
CREDIT SUISSE MRTG CAPITAL CERT 2006-2
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 2 3A1
225470YJ6
757942.220000
PA
USD
198460.420000
0.0813472
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
6.5
Y
N
N
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC CLASS B COMMON STOCK
45174J608
52880.000000
NS
USD
900916.560000
0.3692777
Long
EC
CORP
US
N
3
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2004-1
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 1 3A1
22541SAN8
258071.140000
PA
USD
257656.550000
0.1056111
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Fixed
7
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507
126650BS8
628870.730000
PA
USD
732031.700000
0.3000533
Long
DBT
CORP
US
N
2
2032-01-10
Fixed
7.507
N
N
N
N
N
N
INTELSAT EMERGENCE SA
549300YV2L21F4K80V46
INTELSAT EMERGENCE SA COMMON STOCK
000000000
98667.000000
NS
USD
3009343.500000
1.2335033
Long
EC
CORP
LU
Y
3
N
N
N
DISCOVERY COMMUNICATIONS (MAGALLANES INC)
549300DXR29GD4N0A520
MAGALLANES INC COMPANY GUAR 144A 03/32 4.279
55903VAL7
800000.000000
PA
USD
804550.080000
0.3297780
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.279
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS (MAGALLANES INC)
549300DXR29GD4N0A520
MAGALLANES INC COMPANY GUAR 144A 03/42 5.05
55903VAN3
800000.000000
PA
USD
817682.860000
0.3351610
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS (MAGALLANES INC)
549300DXR29GD4N0A520
MAGALLANES INC COMPANY GUAR 144A 03/52 5.141
55903VAQ6
1300000.000000
PA
USD
1333111.980000
0.5464308
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.141
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS (MAGALLANES INC)
549300DXR29GD4N0A520
MAGALLANES INC COMPANY GUAR 144A 03/62 5.391
55903VAS2
500000.000000
PA
USD
518039.160000
0.2123397
Long
DBT
CORP
US
N
2
2062-03-15
Fixed
5.391
N
N
N
N
N
N
AMH NEW FINANCE INC
N/A
ASSOCIATED MATERIALS GROUP INC ASSOCIATED MATERIALS DUMMY
936LNQ902
397884.000000
NS
USD
0.400000
0.0000002
Long
EC
CORP
US
N
3
N
N
N
DTEK FINANCE PLC
549300VBCR9V58ZYQ356
DTEK FINANCE PLC COMPANY GUAR REGS 12/27 7
ACI1XVP76
2325169.000000
PA
USD
517350.100000
0.2120572
Long
DBT
CORP
GB
N
2
2027-12-31
Fixed
7
N
N
Y
N
N
N
ECAF I LTD 2015-1A
N/A
ECAF LTD ECAF 2015 1A A2 144A
26827EAC9
1473149.700000
PA
USD
1222820.320000
0.5012232
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
380048.640000
0.1557786
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
1140145.910000
0.4673357
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
1052286.920000
0.4313231
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
563880.880000
0.2311298
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
1.19157
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP SR UNSECURED 04/44 5.3
86765BAP4
100000.000000
PA
USD
103219.680000
0.0423088
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
8344161.030000
PA
USD
5611448.290000
2.3000830
Long
LON
CORP
US
N
2
2025-10-10
Floating
4.2074
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
1019355.020000
0.4178246
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
8.75
N
N
N
N
N
N
EQUINITI (ARMOR HOLDCO INC)
254900X6HLK0YPTHHF09
ASTEROID PRIVATE MERGER COMPANY GUAR 144A 11/29 8.5
04625PAA9
2400000.000000
PA
USD
2332176.000000
0.9559383
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
8.5
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
1056191.960000
0.4329237
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
87690.580000
0.0359436
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
1976958.980000
0.8103380
Long
ABS-MBS
CORP
GB
N
2
2045-09-13
Floating
2.6221
N
N
N
N
N
N
EUROSAIL PLC 2007-6NCX
N/A
EUROSAIL PLC ESAIL 2007 6NCX C1A REGS
G329A0AF1
1129979.180000
PA
1422446.900000
0.5830484
Long
ABS-MBS
CORP
GB
N
2
2045-09-13
Floating
3.2721
N
N
N
N
N
N
EUROSAIL PLC 2007-6NCX
N/A
EUROSAIL PLC ESAIL 2007 6NCX D1A REGS
G329A0AE4
960482.300000
PA
1253956.950000
0.5139859
Long
ABS-MBS
CORP
GB
N
2
2045-09-13
Floating
4.8721
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
22920.000000
0.0093947
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
11.5
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2019-2A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2019 2A R 144A
30167LAL3
6786.000000
PA
USD
3848716.370000
1.5775548
Long
ABS-O
CORP
US
N
3
2031-05-15
Fixed
0
N
N
N
N
N
N
FAIRFAX INDIA HOLDINGS CORPORATION
549300K2JHXU7AX7CV78
FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5
303897AA0
2650000.000000
PA
USD
2623778.250000
1.0754635
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
1103.180000
PA
USD
1122.310000
0.0004600
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
94909.400000
PA
USD
102749.670000
0.0421162
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
4294.380000
PA
USD
4520.300000
0.0018528
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
96009.130000
PA
USD
102762.260000
0.0421213
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
83990.820000
PA
USD
91810.250000
0.0376322
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
23219.220000
PA
USD
25096.610000
0.0102869
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
14096.320000
PA
USD
15812.900000
0.0064816
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
350648.060000
PA
USD
380816.800000
0.1560934
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
1865562.130000
PA
USD
2010367.250000
0.8240317
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
278438.540000
PA
USD
304517.900000
0.1248192
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Fixed
6.5
N
N
N
N
N
N
FANNIE MAE 2003-47
N/A
FANNIE MAE FNR 2003 47 PE
31393CRH8
13152.590000
PA
USD
14087.520000
0.0057743
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
35200.320000
PA
USD
39527.370000
0.0162019
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
3423479.640000
PA
USD
99188.820000
0.0406566
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Variable
1.12013
N
N
N
N
N
N
FANNIE MAE 2004-53
N/A
FANNIE MAE FNR 2004 53 NC
31394ABD7
1497.310000
PA
USD
1525.080000
0.0006251
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
76113.080000
PA
USD
76390.090000
0.0313116
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
419179.360000
PA
USD
440799.920000
0.1806800
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
1212228.330000
PA
USD
1275507.380000
0.5228192
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
79718.300000
PA
USD
85776.220000
0.0351589
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
86047.340000
PA
USD
91973.560000
0.0376991
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
407042.030000
PA
USD
413365.880000
0.1694350
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
724324.920000
0.2968944
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Floating
6.20657
N
N
N
N
N
N
FANNIE MAE GRANTOR TR 2004-T1
N/A
FANNIEMAE GRANTOR TRUST FNGT 2004 T1 1A1
31393XFS1
670333.880000
PA
USD
720432.220000
0.2952988
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
43558.510000
PA
USD
44741.050000
0.0183390
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
66314.530000
PA
USD
73015.980000
0.0299286
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
524729.840000
PA
USD
581698.710000
0.2384332
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
215053.670000
PA
USD
224210.570000
0.0919019
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
2990806.320000
PA
USD
3191715.530000
1.3082559
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
385884.320000
PA
USD
36114.370000
0.0148030
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
1250339.850000
PA
USD
57739.690000
0.0236670
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
553420.280000
PA
USD
72321.740000
0.0296440
Long
ABS-MBS
USGSE
US
N
2
2041-07-25
Floating
6.29343
N
N
N
N
N
N
FANNIE MAE REMICS 2014-47
N/A
FANNIE MAE FNR 2014 47 BI
3136AKTL7
6354290.510000
PA
USD
393297.540000
0.1612092
Long
ABS-MBS
USGSE
US
N
2
2054-08-25
Floating
1.71024
N
N
N
N
N
N
FANNIE MAE REMICS 2016-40
N/A
FANNIE MAE FNR 2016 40 IO
3136ASD86
4103749.780000
PA
USD
481286.130000
0.1972749
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
110266.810000
PA
USD
12610.020000
0.0051687
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Floating
5.59343
N
N
N
N
N
N
FANNIE MAE REMICS 2019-59
N/A
FANNIE MAE FNR 2019 59 HS
3136B6MJ9
6952965.200000
PA
USD
1913748.050000
0.7844284
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Floating
5.54343
N
N
N
N
N
N
FANNIE MAE REMICS 2019-70
N/A
FANNIE MAE FNR 2019 70 IO
3136B7KN0
99681.640000
PA
USD
20825.260000
0.0085361
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
1269758.480000
PA
USD
228709.150000
0.0937459
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
1183187.860000
PA
USD
162006.460000
0.0664050
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Floating
5.64343
N
N
N
N
N
N
FANNIE MAE REMICS 2022-3
N/A
FANNIE MAE FNR 2022 3 YS
3136BLFH8
137468538.310000
PA
USD
5690592.620000
2.3325235
Long
ABS-MBS
USGSE
US
N
2
2052-02-25
Floating
2.451
N
N
N
N
N
N
FANNIE MAE WHOLE LOAN 2003-W2
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W2 1A3
31392JAD1
877.640000
PA
USD
985.840000
0.0004041
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
7929.950000
PA
USD
8469.010000
0.0034714
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Variable
5.36511
N
N
N
N
N
N
FANNIE MAE WHOLE LOAN 2003-W4
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W4 4A
31393AQ34
223202.910000
PA
USD
240200.750000
0.0984562
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Variable
5.70298
N
N
N
N
N
N
FANNIE MAE-1993-105
N/A
FANNIE MAE FNR 1993 105 D
31359AS75
2126.190000
PA
USD
2172.150000
0.0008903
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
3571.380000
PA
USD
3797.840000
0.0015567
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
2098.640000
PA
USD
2215.940000
0.0009083
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
769906.310000
PA
USD
134396.850000
0.0550881
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
91684.250000
PA
USD
100794.840000
0.0413149
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
919885.010000
PA
USD
1011131.530000
0.4144539
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
25202.800000
PA
USD
27961.730000
0.0114613
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
17638.280000
PA
USD
19800.460000
0.0081160
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
236395.110000
PA
USD
256950.110000
0.1053216
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
75893.380000
PA
USD
84251.930000
0.0345341
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
633595.270000
PA
USD
90320.150000
0.0370214
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
247089.730000
PA
USD
254782.770000
0.1044332
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
299257.900000
PA
USD
308381.910000
0.1264030
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Variable
5.07962
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2003-W1
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1
31392GVX0
18984.420000
PA
USD
19343.660000
0.0079288
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Fixed
4.96867
N
N
N
N
N
N
FANNIEMAE WHOLE LOAN 2003-W18
N/A
FANNIEMAE WHOLE LOAN FNW 2003 W18 1A7
31393UNR0
930234.430000
PA
USD
980547.650000
0.4019178
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
1396.700000
PA
USD
1570.710000
0.0006438
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
493249.330000
PA
USD
535036.620000
0.2193068
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
36583.910000
PA
USD
40331.230000
0.0165314
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
57127.080000
PA
USD
62706.500000
0.0257028
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
145766.000000
PA
USD
157838.660000
0.0646967
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
256425.890000
PA
USD
278965.160000
0.1143453
Long
ABS-MBS
USGSE
US
N
2
2044-06-25
Fixed
7.5
N
N
N
N
N
N
FEL ENERGY VI SA RL
254900H2U8PBIY32VI94
FEL ENERGY VI SARL SR SECURED 144A 12/40 5.75
30260LAA3
1254256.580000
PA
USD
1128084.640000
0.4623919
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
1032500.000000
0.4232126
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
FERROGLOBE / GLOBE SPEC SR SECURED REGS 12/25 9.375
ACI1ZL198
400000.000000
PA
USD
407500.000000
0.1670306
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
25103.630000
PA
USD
27442.310000
0.0112484
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
478.770000
PA
USD
478.400000
0.0001961
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Floating
2.283
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 785735 FH 12/26 FLOATING VAR
31348SLQ5
2381.210000
PA
USD
2379.920000
0.0009755
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
18021.570000
PA
USD
18549.640000
0.0076033
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
141161.410000
PA
USD
151260.760000
0.0620004
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
333.550000
PA
USD
350.400000
0.0001436
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
28654.410000
PA
USD
30281.600000
0.0124122
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
166.990000
PA
USD
184.630000
0.0000757
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
20.320000
PA
USD
20.400000
0.0000084
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
117.540000
PA
USD
121.660000
0.0000499
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
30.330000
PA
USD
30.400000
0.0000125
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
2028.180000
PA
USD
2181.020000
0.0008940
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
45091.950000
PA
USD
47313.570000
0.0193934
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
56039.410000
PA
USD
59917.090000
0.0245595
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
6235.700000
PA
USD
6618.130000
0.0027127
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
2943.800000
PA
USD
3177.970000
0.0013026
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
664.390000
PA
USD
698.280000
0.0002862
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
1944.720000
PA
USD
2056.890000
0.0008431
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
606.000000
PA
USD
643.960000
0.0002640
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
2284.180000
PA
USD
2425.190000
0.0009941
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
2734.910000
PA
USD
2924.900000
0.0011989
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
4491.450000
PA
USD
4509.150000
0.0018483
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
293.980000
PA
USD
294.630000
0.0001208
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 D72357 FG 06/26 FIXED 7.5
3128FDTN1
701.640000
PA
USD
704.270000
0.0002887
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
863.110000
PA
USD
866.120000
0.0003550
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
722.130000
PA
USD
724.840000
0.0002971
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
5684.250000
PA
USD
5705.550000
0.0023387
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 D73735 FG 08/26 FIXED 7.5
3128FFEG7
2881.240000
PA
USD
2892.090000
0.0011854
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
1798.560000
PA
USD
1805.340000
0.0007400
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
3527.610000
PA
USD
3540.930000
0.0014514
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
60876.440000
PA
USD
61610.060000
0.0252534
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
270931.150000
PA
USD
291255.400000
0.1193830
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
13006.710000
PA
USD
13910.270000
0.0057017
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
72392.800000
PA
USD
78645.240000
0.0322360
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
4771.180000
PA
USD
5198.680000
0.0021309
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
48610.710000
PA
USD
52166.640000
0.0213826
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
2739.370000
PA
USD
3037.120000
0.0012449
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
303.170000
PA
USD
332.370000
0.0001362
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
1093926.600000
PA
USD
1207544.110000
0.4949616
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
30759.470000
PA
USD
30974.280000
0.0126961
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
149557.930000
PA
USD
156844.630000
0.0642892
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
12296.640000
PA
USD
12618.490000
0.0051722
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
54366.800000
PA
USD
56620.850000
0.0232084
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
216.550000
PA
USD
222.310000
0.0000911
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
141263.390000
PA
USD
150413.990000
0.0616534
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
60714.710000
PA
USD
62424.710000
0.0255873
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
74718.690000
PA
USD
77153.820000
0.0316247
Long
ABS-MBS
USGSE
US
N
2
2032-07-25
Variable
4.56022
N
N
N
N
N
N
FHLMC STRUCTURED PASS THROUGH SEC T-51
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 51 1A
31392W7B0
37147.210000
PA
USD
42954.880000
0.0176068
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
20897.210000
PA
USD
23745.890000
0.0097332
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
39522.270000
PA
USD
44905.650000
0.0184064
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
283417.470000
PA
USD
315212.350000
0.1292028
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
164415.480000
PA
USD
178573.890000
0.0731959
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
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
8233535.370000
3.3748533
Long
EP
CORP
GB
N
2
N
N
N
FHLMC STRUCTURED PASS THRU SEC T-59
N/A
FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A2
31394PPR8
35426.250000
PA
USD
39078.850000
0.0160181
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
1589427.000000
PA
USD
1772963.860000
0.7267222
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
1344471.670000
0.5510870
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
96908.060000
PA
USD
107197.770000
0.0439394
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
355.640000
PA
USD
356.720000
0.0001462
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
10701.230000
PA
USD
10762.070000
0.0044113
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
1739.230000
PA
USD
1949.410000
0.0007990
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
3204.430000
PA
USD
3482.930000
0.0014276
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
2024.030000
PA
USD
2280.680000
0.0009348
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
13273.480000
PA
USD
13685.420000
0.0056095
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
880.050000
PA
USD
903.690000
0.0003704
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
4782.250000
PA
USD
5075.740000
0.0020805
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
4965.010000
PA
USD
5315.170000
0.0021786
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 254463 FN 08/32 FIXED 6.5
31371KTU5
3242.780000
PA
USD
3556.430000
0.0014577
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
5300.010000
PA
USD
5671.250000
0.0023246
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
19334.950000
PA
USD
20989.870000
0.0086036
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
3854.820000
PA
USD
3994.030000
0.0016371
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
28707.810000
PA
USD
32009.040000
0.0131202
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
6130.450000
PA
USD
6800.150000
0.0027873
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 257030 FN 11/47 FIXED 6.5
31371NPP4
4647.960000
PA
USD
4806.110000
0.0019700
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
17324.010000
PA
USD
17966.610000
0.0073644
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
4.5
N
N
N
N
N
N
NMG PARENT
N/A
NEIMAN MARCUS USD COMMON STOCK EQUITY
967DUC905
32851.000000
NS
USD
5093630.990000
2.0878342
Long
EC
CORP
US
Y
3
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 303999 FN 12/24 FIXED VAR
31373UUY1
54.820000
PA
USD
56.820000
0.0000233
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
2077.980000
PA
USD
2078.750000
0.0008521
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
382.900000
PA
USD
384.330000
0.0001575
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
2140.310000
PA
USD
2318.090000
0.0009502
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
7889.700000
PA
USD
7912.170000
0.0032431
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
6.5
N
N
N
N
N
N
NOBLE CORPORATION
N/A
NOBLE CORP COMMON STOCK USD.00001
000000000
17389.000000
NS
USD
609484.450000
0.2498223
Long
EC
CORP
KY
Y
1
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 442497 FN 09/28 FIXED 6.5
31380KRS1
795.780000
PA
USD
887.270000
0.0003637
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
4474.430000
PA
USD
4808.040000
0.0019708
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
722.170000
PA
USD
776.000000
0.0003181
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
263.930000
PA
USD
266.540000
0.0001093
Long
ABS-MBS
USGSE
US
N
2
2027-07-15
Fixed
8.856
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 459764 FN 04/29 FIXED 6.5
31381FWZ9
966.990000
PA
USD
1038.320000
0.0004256
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
30126.930000
PA
USD
32355.370000
0.0132622
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
695.170000
PA
USD
746.600000
0.0003060
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
823.260000
PA
USD
884.690000
0.0003626
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
838.110000
PA
USD
911.180000
0.0003735
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
2601.640000
PA
USD
2795.520000
0.0011459
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
1473.580000
PA
USD
1583.480000
0.0006491
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
1562.150000
PA
USD
1741.270000
0.0007137
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
9397.460000
PA
USD
10185.450000
0.0041749
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
107.100000
PA
USD
116.110000
0.0000476
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
1318.230000
PA
USD
1412.240000
0.0005789
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
3184.680000
PA
USD
3301.350000
0.0013532
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
6.5
N
N
N
N
N
N
NOBLE FINANCE COMPANY
5493003DTPH8AMMK4P51
NOBLE CORP COMMON STOCK
000000000
1690.000000
NS
USD
59234.500000
0.0242797
Long
EC
CORP
KY
N
2
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 569853 FN 11/27 FLOATING VAR
31386QBW0
8268.740000
PA
USD
8273.090000
0.0033911
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
11456.780000
PA
USD
11465.920000
0.0046998
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
16511.080000
PA
USD
16919.950000
0.0069353
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
2298.830000
PA
USD
2316.170000
0.0009494
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
2608.830000
PA
USD
2780.330000
0.0011396
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
2030.220000
PA
USD
2174.240000
0.0008912
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
2577.590000
PA
USD
2787.680000
0.0011426
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
56668.460000
PA
USD
56722.420000
0.0232500
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Floating
2.479
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 634933 FN 01/32 FIXED 7
31389TLN0
7841.290000
PA
USD
7908.290000
0.0032415
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
8412.050000
PA
USD
8582.400000
0.0035178
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
2507.110000
PA
USD
2613.160000
0.0010711
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
1284.300000
PA
USD
1370.990000
0.0005620
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
5846.180000
PA
USD
6243.620000
0.0025592
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
2034.610000
PA
USD
2173.130000
0.0008907
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
18678.750000
PA
USD
20082.200000
0.0082315
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
1641.980000
PA
USD
1753.640000
0.0007188
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
12616.260000
PA
USD
13466.910000
0.0055200
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
1191.320000
PA
USD
1292.250000
0.0005297
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
12873.820000
PA
USD
13933.230000
0.0057111
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
409.210000
PA
USD
443.320000
0.0001817
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
709.820000
PA
USD
762.490000
0.0003125
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
6561.320000
PA
USD
7159.190000
0.0029345
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
12951.360000
PA
USD
13957.490000
0.0057211
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
9397.530000
PA
USD
9848.540000
0.0040368
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
35333.080000
PA
USD
37979.910000
0.0155676
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
254.650000
PA
USD
273.730000
0.0001122
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
12396.480000
PA
USD
13476.410000
0.0055239
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
10196.250000
PA
USD
11015.740000
0.0045153
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
249824.320000
PA
USD
276355.390000
0.1132756
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
4119.190000
PA
USD
4518.550000
0.0018521
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
34417.360000
PA
USD
36611.220000
0.0150066
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
10942.910000
PA
USD
12079.340000
0.0049512
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
3122.460000
PA
USD
3356.120000
0.0013756
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
25113.550000
PA
USD
26996.620000
0.0110657
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
24310.860000
PA
USD
26129.170000
0.0107101
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
521.750000
PA
USD
560.840000
0.0002299
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
13367.030000
PA
USD
14800.730000
0.0060667
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
50002.160000
PA
USD
53749.760000
0.0220316
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
8344.580000
PA
USD
8961.000000
0.0036730
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
8568.330000
PA
USD
9204.860000
0.0037730
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
5715.560000
PA
USD
6143.790000
0.0025183
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
155.650000
PA
USD
167.210000
0.0000685
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
972.210000
PA
USD
1045.080000
0.0004284
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
25529.070000
PA
USD
27488.350000
0.0112672
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
17755.620000
PA
USD
17817.290000
0.0073031
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
21526.320000
PA
USD
23282.930000
0.0095435
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
73036.720000
PA
USD
78500.350000
0.0321766
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
5026.530000
PA
USD
5441.080000
0.0022303
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
22431.750000
PA
USD
24111.110000
0.0098829
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
470.140000
PA
USD
504.740000
0.0002069
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
1429.740000
PA
USD
1535.120000
0.0006292
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
4621.530000
PA
USD
5155.410000
0.0021132
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
6689.360000
PA
USD
7190.730000
0.0029474
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
1516.440000
PA
USD
1629.300000
0.0006678
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
2253.150000
PA
USD
2420.080000
0.0009920
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
2576.110000
PA
USD
2767.310000
0.0011343
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
3577.460000
PA
USD
3881.870000
0.0015911
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
6245.510000
PA
USD
6840.020000
0.0028037
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
49065.000000
PA
USD
50696.260000
0.0207799
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 775469 FN 05/34 FIXED 6.5
31404QQW2
6930.050000
PA
USD
7474.720000
0.0030638
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
27248.070000
PA
USD
29261.500000
0.0119940
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
1422.790000
PA
USD
1529.400000
0.0006269
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
35070.320000
PA
USD
37697.610000
0.0154519
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
14523.540000
PA
USD
15595.420000
0.0063924
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
26384.900000
PA
USD
28363.770000
0.0116261
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 800224 FN 12/34 FIXED 6.5
31405VAZ0
13665.700000
PA
USD
14685.580000
0.0060195
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
3602.950000
PA
USD
3905.200000
0.0016007
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
12506.850000
PA
USD
13201.040000
0.0054110
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
25132.080000
PA
USD
25227.110000
0.0103404
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
42768.880000
PA
USD
47818.380000
0.0196003
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
152478.820000
PA
USD
170616.130000
0.0699340
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
296223.450000
PA
USD
330723.590000
0.1355607
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
25654.410000
PA
USD
25713.290000
0.0105396
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
124923.610000
PA
USD
129741.440000
0.0531799
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
28663.460000
PA
USD
32568.290000
0.0133495
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
247227.720000
PA
USD
276370.530000
0.1132818
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
182986.010000
PA
USD
195604.210000
0.0801764
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
374986.970000
PA
USD
419205.840000
0.1718288
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
79647.240000
PA
USD
84568.780000
0.0346640
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
52385.550000
PA
USD
54372.920000
0.0222870
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
1011525.610000
PA
USD
1130037.530000
0.4631924
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
7554.720000
PA
USD
7790.720000
0.0031933
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
196883.160000
PA
USD
202230.350000
0.0828924
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
96136.010000
PA
USD
99116.680000
0.0406270
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
6479193.920000
PA
USD
6679281.860000
2.7377785
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
54967.510000
PA
USD
56641.110000
0.0232167
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
98914.170000
PA
USD
101765.030000
0.0417126
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
83325.890000
PA
USD
85473.150000
0.0350347
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
436.220000
PA
USD
440.200000
0.0001804
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
64915.720000
PA
USD
6.490000
0.0000027
Long
LON
CORP
US
N
3
2022-06-30
Fixed
5.2961
Y
Y
Y
N
N
N
FREDDIE MAC 1652
N/A
FREDDIE MAC FHR 1652 PL
3133T3PK8
36651.420000
PA
USD
37718.460000
0.0154605
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
31586.410000
PA
USD
32882.750000
0.0134783
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
2575.110000
PA
USD
2655.650000
0.0010885
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
26640.690000
PA
USD
28266.450000
0.0115862
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
8141.010000
PA
USD
8407.760000
0.0034463
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
95257.180000
PA
USD
102735.050000
0.0421102
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
57669.210000
PA
USD
61620.990000
0.0252579
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
13211.890000
PA
USD
14437.580000
0.0059178
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
41302.130000
PA
USD
44411.520000
0.0182039
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
716948.700000
PA
USD
780443.540000
0.3198969
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
130050.070000
PA
USD
138073.930000
0.0565953
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
1474.470000
PA
USD
1515.970000
0.0006214
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
62074.610000
PA
USD
66706.990000
0.0273426
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
35460.780000
PA
USD
38168.560000
0.0156450
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
370370.600000
PA
USD
411461.180000
0.1686543
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
341514.600000
PA
USD
379156.340000
0.1554128
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
289884.900000
PA
USD
309005.510000
0.1266586
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
23872.080000
PA
USD
26525.250000
0.0108725
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
720402.380000
PA
USD
785109.350000
0.3218094
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
71191.550000
PA
USD
78364.040000
0.0321207
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
349175.550000
PA
USD
379411.920000
0.1555176
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
937.420000
PA
USD
954.010000
0.0003910
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
110897.460000
PA
USD
116141.290000
0.0476053
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
1435770.660000
PA
USD
1554669.990000
0.6372455
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
521771.160000
0.2138694
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Variable
2.01043
N
N
N
N
N
N
FREDDIE MAC REMIC 2230
N/A
FREDDIE MAC FHR 2230 Z
3133TNSS4
23080.470000
PA
USD
25732.450000
0.0105475
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
2806674.270000
PA
USD
100251.600000
0.0410922
Long
ABS-MBS
USGSE
US
N
2
2038-05-15
Floating
1.78167
N
N
N
N
N
N
FREDDIE MAC REMICS 4324
N/A
FREDDIE MAC FHR 4324 IO
3137BAGM8
1358336.830000
PA
USD
38879.400000
0.0159363
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Floating
1.80771
N
N
N
N
N
N
FREDDIE MAC REMICS 4496
N/A
FREDDIE MAC FHR 4496 BI
3137BKS27
11287358.080000
PA
USD
638876.880000
0.2618700
Long
ABS-MBS
USGSE
US
N
2
2038-11-15
Floating
1.89062
N
N
N
N
N
N
FREDDIE MAC REMICS 4923
N/A
FREDDIE MAC FHR 4923 NS
3137FPYZ2
6609959.200000
PA
USD
1269075.810000
0.5201829
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
5.54343
N
N
N
N
N
N
FREDDIE MAC REMICS 4923
N/A
FREDDIE MAC FHR 4923 QS
3137FPZ32
7073931.190000
PA
USD
1370033.720000
0.5615647
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
5.54343
N
N
N
N
N
N
FREDDIE MAC REMICS 4923
N/A
FREDDIE MAC FHR 4923 SE
3137FPZ73
17949968.990000
PA
USD
3491669.250000
1.4312043
Long
ABS-MBS
USGSE
US
N
2
2048-04-25
Floating
5.54343
N
N
N
N
N
N
FREDDIE MAC REMICS 4976
N/A
FREDDIE MAC FHR 4976 DI
3137FTAM9
600074.310000
PA
USD
111400.860000
0.0456622
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
837257.360000
PA
USD
132585.400000
0.0543456
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
805676.200000
PA
USD
126373.050000
0.0517992
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Floating
5.69343
N
N
N
N
N
N
FREDDIE MAC REMICS 5051
N/A
FREDDIE MAC FHR 5051 SX
3137F83L5
7164365.520000
PA
USD
515079.190000
0.2111264
Long
ABS-MBS
USGSE
US
N
2
2048-11-15
Floating
4.20033
N
N
N
N
N
N
FREDDIE MAC REMICS 5060
N/A
FREDDIE MAC FHR 5060 IP
3137F87A5
9959399.600000
PA
USD
1450780.760000
0.5946622
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
581864.750000
PA
USD
83755.770000
0.0343307
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
2666933.640000
1.0931525
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
7.599
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
2637624.080000
1.0811388
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
7.899
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
1581477.730000
PA
USD
1550385.400000
0.6354892
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Floating
8.00657
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
217064.370000
PA
USD
220465.860000
0.0903670
Long
ABS-MBS
USGSE
US
N
2
2025-03-25
Floating
10.75
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
698696.120000
0.2863894
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
5.60657
N
N
N
N
N
N
FREDDIE MAC-1343
N/A
FREDDIE MAC FHR 1343 LA
312911GW4
293.830000
PA
USD
295.970000
0.0001213
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
8852.910000
PA
USD
9057.090000
0.0037124
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
28179.900000
PA
USD
28918.380000
0.0118534
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
2638.310000
PA
USD
2712.050000
0.0011116
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
50458.020000
PA
USD
52026.540000
0.0213252
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
1200.610000
PA
USD
1236.200000
0.0005067
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
697.400000
PA
USD
710.550000
0.0002912
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
1871.710000
PA
USD
1931.100000
0.0007915
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
184264.500000
PA
USD
205566.660000
0.0842600
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
639665.110000
PA
USD
537886.330000
0.2204748
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
639842.800000
PA
USD
60.270000
0.0000247
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
653992.510000
0.2680657
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
177660.000000
0.0728213
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
587502.320000
PA
471120.330000
0.1931081
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
2686102.000000
PA
USD
2688621.560000
1.1020422
Long
LON
CORP
CA
N
2
2027-10-15
Fixed
8.75
N
N
Y
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
1960000.000000
0.8033866
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
795150.000000
0.3259249
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
962383.640000
PA
943181.000000
0.3866015
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
243944.140000
0.0999905
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
271751.320000
0.1113885
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
90896.500000
0.0372577
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
19774.540000
PA
USD
17855.830000
0.0073189
Long
ABS-MBS
CORP
US
N
2
2034-08-19
Floating
2.80494
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA I TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01N040645
20000000.000000
PA
USD
20579687.600000
8.4354317
Long
ABS-MBS
USGSE
US
N
2
2052-04-21
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004261 G2 10/38 FIXED 6.5
36202EWW5
466.790000
PA
USD
486.240000
0.0001993
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
24660.900000
PA
USD
24901.820000
0.0102070
Long
ABS-MBS
USGSE
US
N
2
2024-11-20
Fixed
6.5
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
0.0025494
Long
EC
CORP
US
Y
3
N
N
N
STICHTING AK RABOBANK CERTIFICATEN
N/A
STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR
BJBQCWII7
5317100.000000
NS
6879781.730000
2.8199616
Long
EP
CORP
NL
N
2
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 3.5 JUMBOS
21H032654
1500000.000000
PA
USD
1504218.750000
0.6165659
Long
ABS-MBS
USGSE
US
N
2
2051-05-20
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 3.5 JUMBOS
21H032662
1000000.000000
PA
USD
999843.750000
0.4098271
Long
ABS-MBS
USGSE
US
N
2
2052-06-21
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 4 JUMBOS
21H040640
1700000.000000
PA
USD
1734000.000000
0.7107512
Long
ABS-MBS
USGSE
US
N
2
2052-04-21
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 341594 GN 01/23 FIXED 8.5
36224XNK3
68.090000
PA
USD
68.300000
0.0000280
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
29.870000
PA
USD
31.100000
0.0000127
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
30.400000
PA
USD
30.510000
0.0000125
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
3578.940000
PA
USD
3593.040000
0.0014728
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
1153.820000
PA
USD
1157.310000
0.0004744
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
732.480000
PA
USD
735.080000
0.0003013
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
34.450000
PA
USD
34.520000
0.0000141
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
2072.270000
PA
USD
2088.740000
0.0008562
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
5172.550000
PA
USD
5192.940000
0.0021285
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
3959.120000
PA
USD
3973.110000
0.0016285
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
281.030000
PA
USD
285.290000
0.0001169
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
2350.430000
PA
USD
2359.580000
0.0009672
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
14402.110000
PA
USD
14820.080000
0.0060746
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
64.240000
PA
USD
65.520000
0.0000269
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
1058.450000
PA
USD
1070.460000
0.0004388
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
1471.040000
PA
USD
1494.840000
0.0006127
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
7448.760000
PA
USD
7629.410000
0.0031272
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
66426.470000
PA
USD
70237.380000
0.0287897
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
6209.690000
PA
USD
6234.150000
0.0025553
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
310.990000
PA
USD
315.410000
0.0001293
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
38.340000
PA
USD
38.460000
0.0000158
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
2285.710000
PA
USD
2322.730000
0.0009521
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
3012.660000
PA
USD
3024.520000
0.0012397
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 433492 GN 03/27 FIXED 7.5
36207JRM7
1974.810000
PA
USD
1982.440000
0.0008126
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 445343 GN 02/28 FIXED 7.5
36207XWC2
7610.430000
PA
USD
7639.770000
0.0031315
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
9091.820000
PA
USD
9127.820000
0.0037414
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
4946.090000
PA
USD
5227.310000
0.0021426
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
1995.950000
PA
USD
2003.780000
0.0008213
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
13766.160000
PA
USD
13820.400000
0.0056649
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
340.570000
PA
USD
341.900000
0.0001401
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
175.220000
PA
USD
178.520000
0.0000732
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
4035.150000
PA
USD
4051.120000
0.0016605
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
11601.150000
PA
USD
11687.110000
0.0047904
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
28217.950000
PA
USD
28453.690000
0.0116629
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
330.390000
PA
USD
348.410000
0.0001428
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
1574.100000
PA
USD
1667.490000
0.0006835
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
16721.570000
PA
USD
16787.420000
0.0068810
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
15849.060000
PA
USD
15911.690000
0.0065221
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
30325.340000
PA
USD
30524.990000
0.0125119
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
820.480000
PA
USD
831.660000
0.0003409
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
14692.920000
PA
USD
14750.680000
0.0060462
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
1786.450000
PA
USD
1793.470000
0.0007351
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
8243.760000
PA
USD
8344.820000
0.0034205
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
305.510000
PA
USD
315.170000
0.0001292
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
1106.510000
PA
USD
1122.980000
0.0004603
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
7305.780000
PA
USD
7334.400000
0.0030063
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
7882.060000
PA
USD
8417.620000
0.0034503
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
10825.850000
PA
USD
10868.870000
0.0044551
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
2731.080000
PA
USD
2741.890000
0.0011239
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
5786.480000
PA
USD
6163.910000
0.0025265
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
104043.160000
PA
USD
111296.680000
0.0456195
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
6149.300000
PA
USD
6543.210000
0.0026820
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
1674.310000
PA
USD
1788.980000
0.0007333
Long
ABS-MBS
USGSE
US
N
2
2031-08-15
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 569341 GN 04/32 FIXED 6.5
36200QP24
96915.820000
PA
USD
103882.180000
0.0425804
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
6204.320000
PA
USD
6822.570000
0.0027965
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
5806.970000
PA
USD
6205.460000
0.0025436
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
10298.690000
PA
USD
11012.610000
0.0045140
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
89959.760000
PA
USD
96091.000000
0.0393869
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
3904.400000
PA
USD
4172.400000
0.0017102
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
100744.030000
PA
USD
107688.470000
0.0441406
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
2252.420000
PA
USD
2413.070000
0.0009891
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
81969.140000
PA
USD
87719.000000
0.0359552
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
90084.710000
PA
USD
99933.820000
0.0409620
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
172910.080000
PA
USD
184977.780000
0.0758208
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
705.790000
PA
USD
725.510000
0.0002974
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
9.490000
PA
USD
9.510000
0.0000039
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
3700.200000
PA
USD
3904.860000
0.0016006
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
148.710000
PA
USD
161.080000
0.0000660
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
5659.210000
PA
USD
6121.370000
0.0025091
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
915771.800000
0.3753668
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
99159.220000
0.0406445
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
963542.100000
0.3949474
Long
DBT
MUN
US
N
2
2050-06-01
Fixed
3.85
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-88
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2017 88 SA
38380FRT5
6498505.910000
PA
USD
912102.350000
0.3738627
Long
ABS-MBS
USGSE
US
N
2
2047-06-20
Floating
5.75143
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2019 110 PS
38381YWG5
15951578.680000
PA
USD
2409230.730000
0.9875223
Long
ABS-MBS
USGSE
US
N
2
2049-09-20
Floating
5.60143
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-115
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2019 115 SY
38381YVM3
32185227.250000
PA
USD
5221290.330000
2.1401607
Long
ABS-MBS
USGSE
US
N
2
2049-09-20
Floating
5.60143
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-97
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2019 97 SB
38381YHY3
14056612.620000
PA
USD
2170807.670000
0.8897948
Long
ABS-MBS
USGSE
US
N
2
2049-08-20
Floating
5.60143
N
N
N
N
N
N
GREEN TREE FINANCIAL CORP 1999-3
N/A
CONSECO FINANCIAL CORP GT 1999 3 A9
393505X98
70391.860000
PA
USD
66166.060000
0.0271209
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
2127773.560000
0.8721555
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
383899.560000
0.1573570
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
484967.100000
PA
USD
500465.100000
0.2051362
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
333595.000000
PA
USD
323573.610000
0.1326300
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
1379644.030000
PA
USD
1509519.030000
0.6187385
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
14417.010000
PA
USD
14197.180000
0.0058193
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
431.550000
PA
USD
438.730000
0.0001798
Long
ABS-MBS
CORP
US
N
2
2033-03-25
Floating
2.88
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2004-14
N/A
GSR MORTGAGE LOAN TRUST GSR 2004 14 1A1
36242DPB3
108393.950000
PA
USD
104143.140000
0.0426874
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
0.78657
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2004-2F
N/A
GSR MORTGAGE LOAN TRUST GSR 2004 2F 5A1
36229RLJ6
7613.680000
PA
USD
7831.170000
0.0032099
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Fixed
6.5
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
1011896.640000
0.4147675
Long
EC
CORP
US
N
1
N
N
N
VALARIS LIMITED
N/A
VALARIS LTD COMMON STOCK USD.01
G9460G101
1412.000000
NS
USD
73381.640000
0.0300785
Long
EC
CORP
BM
N
1
N
N
N
HOLLYFRONTIER CORPORATION
549300J3U2WK73C9ZK26
HOLLYFRONTIER CORP SR UNSECURED 10/30 4.5
436106AC2
3419000.000000
PA
USD
3338369.720000
1.3683682
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
89488.920000
0.0366807
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
404280CN7
200000.000000
PA
USD
179000.000000
0.0733705
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
179750.000000
0.0736779
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
528705.080000
0.2167115
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
196000.000000
0.0803387
Long
DBT
CORP
VG
N
2
2027-04-27
Fixed
4.75
N
N
N
N
N
N
HUARONG FINANCE 2019 CO LTD
549300M6T6OW4AGYHK10
HUARONG FINANCE 2019 COMPANY GUAR REGS 05/29 4.5
ACI1C6PX7
2000000.000000
PA
USD
1894160.000000
0.7763994
Long
DBT
CORP
VG
N
2
2029-05-29
Fixed
4.5
N
N
N
N
N
N
HUARONG FINANCE 2019 CO LTD
549300M6T6OW4AGYHK10
HUARONG FINANCE 2019 COMPANY GUAR REGS 09/30 3.625
ACI1RSZZ7
1000000.000000
PA
USD
880000.000000
0.3607042
Long
DBT
CORP
VG
N
2
2030-09-30
Fixed
3.625
N
N
N
N
N
N
HUARONG FINANCE II CO LTD
549300BHVD63HE2GHX17
HUARONG FINANCE II COMPANY GUAR REGS 06/26 4.625
G463PCAJ8
200000.000000
PA
USD
195750.000000
0.0802362
Long
DBT
CORP
VG
N
2
2026-06-03
Fixed
4.625
N
N
N
N
N
N
VICI PROPERTIES INC
254900RKH6RY9KCJQH63
VICI PROPERTIES INC REIT USD.01
925652109
44227.000000
NS
USD
1258700.420000
0.5159302
Long
EC
CORP
US
N
1
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
ILLINOIS ST ILS 04/35 FIXED 6.725
452152FA4
15000.000000
PA
USD
17020.900000
0.0069767
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
58523.780000
0.0239884
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
273737.700000
PA
269127.240000
0.1103129
Long
ABS-MBS
CORP
ES
N
2
2043-03-22
Floating
0
N
N
N
N
N
N
INSTANT BRANDS HOLDINGS INC
N/A
INSTANT BRANDS HOLDINGS INC TERM LOAN
45783DAB5
2770951.670000
PA
USD
2590839.810000
1.0619623
Long
LON
CORP
US
N
2
2028-04-12
Floating
5.75
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
ESC CB144A INTELSAT JA 07/25 9.75
458ESCAC4
4167000.000000
PA
USD
0.040000
0.0000000
Long
DBT
CORP
LU
N
3
2025-07-15
Fixed
9.75
Y
Y
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
ESC CB144A INTELSAT JA 10/24 8.5
458ESCAB6
4184000.000000
PA
USD
0.040000
0.0000000
Long
DBT
CORP
LU
N
3
2024-10-15
Fixed
8.5
Y
Y
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
ESC GCB INTELSAT JACKS 08/23 5.5
458ESCAA8
1970000.000000
PA
USD
0.020000
0.0000000
Long
DBT
CORP
LU
N
3
2023-08-01
Fixed
5.5
Y
Y
N
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
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5
45824TBC8
7256000.000000
PA
USD
7256000.000000
2.9741702
Long
DBT
CORP
LU
N
2
2030-03-15
Fixed
6.5
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDGS S A TERM LOAN B 3
L5137LAF2
34.410000
PA
USD
33.900000
0.0000139
Long
LON
CORP
LU
N
2
2023-11-27
Floating
8.25
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HOLDINGS SA 2021 TERM LOAN B
941CXNII2
1459090.800000
PA
USD
1437507.930000
0.5892218
Long
LON
CORP
LU
N
2
2029-02-01
Floating
4.9195
N
N
N
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
2177656.360000
0.8926021
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
6.787
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2006-A6
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 4A1
46628BCC2
807506.900000
PA
USD
732473.360000
0.3002343
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
2.61589
Y
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2007-S2
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2007 S2 3A1
46630WBA7
30465.160000
PA
USD
30182.430000
0.0123715
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
5.5
Y
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
3438418.730000
1.4093774
Long
DBT
CORP
JE
N
2
2050-07-31
Fixed
5.5
N
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
95542.980000
0.0391622
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
188691.310000
0.0773429
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
275481.400000
0.1129174
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
17201.930000
0.0070509
Long
LON
CORP
US
N
3
2024-06-28
Floating
3.4574
N
N
N
N
N
N
LEALAND FINANCE COMPANY BV
N/A
LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL
N5200EAB7
185484.070000
PA
USD
89959.770000
0.0368737
Long
LON
CORP
US
N
2
2025-06-30
Fixed
1.2086
N
N
Y
N
N
N
LUXE TRUST 2021-TRIP
N/A
LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP E 144A
55066WAJ3
3015845.000000
PA
USD
2964128.390000
1.2149700
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
3.147
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
325200.000000
0.1332966
Long
ABS-CBDO
CORP
KY
N
2
2047-07-27
Variable
0
N
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
3829.100000
0.0015695
Long
ABS-O
CORP
US
N
2
2022-05-15
Fixed
7.65
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
470424.390000
0.1928228
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
652804.590000
0.2675788
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
606413.430000
0.2485635
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
408522.240000
PA
USD
405045.760000
0.1660247
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
2.98559
N
N
N
N
N
N
MASTR ALT LN TR 2006-3
N/A
MASTR ALTERNATIVE LOANS TRUST MALT 2006 3 1A3
57645DAC6
257706.620000
PA
USD
186555.140000
0.0764673
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
514433.180000
PA
USD
509891.400000
0.2090000
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
21059.020000
PA
USD
20971.990000
0.0085962
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
1322667.780000
PA
USD
1183794.010000
0.4852267
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
2615167.180000
PA
USD
2279490.600000
0.9343430
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
7
Y
N
N
N
N
N
MFA 2020-NQM3 TRUST
N/A
MFRA TRUST MFRA 2020 NQM3 B1 144A
552757AE6
300000.000000
PA
USD
294819.870000
0.1208441
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
106062.500000
0.0434741
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
100620.500000
0.0412435
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
4.5
N
N
N
N
N
N
MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECTUAL PROPERTY ASSETS LTD
N/A
MILEAGE PLUS HLDINGS LLC SR SECURED 144A 06/27 6.5
599191AA1
500000.000000
PA
USD
521875.000000
0.2139119
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.5
N
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2005-3
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 7A1
007036JA5
224838.960000
PA
USD
222634.980000
0.0912561
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.74109
N
N
N
N
N
N
MORGAN STANLEY RESECURITIZATION TRUST 2014-R2
N/A
MORGAN STANLEY REREMIC TRUST MSRR 2014 R2 2B 144A
61763LBJ0
7469885.870000
PA
USD
6698758.350000
2.7457617
Long
ABS-MBS
CORP
US
N
2
2046-12-26
Floating
2.71341
N
N
N
N
N
N
ADJUSTABLE RATE MORTGAGE TR 2005-4
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 4 3A1
007036KD7
189520.850000
PA
USD
187137.720000
0.0767061
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.77298
Y
N
N
N
N
N
NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY
213800F6E89RCASJ7E83
NAC AVIATION 29 DAC REVOLVER
G6360LAB3
1000000.000000
PA
USD
635000.000000
0.2602809
Long
LON
CORP
IE
N
2
2022-06-27
Floating
2.355
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
0.4143508
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
0.4167983
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
0.4725586
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
326284.500000
0.1337411
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
706000.000000
0.2893831
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 02/27 5.875
62886HBE0
1060000.000000
PA
USD
1045451.500000
0.4285213
Long
DBT
CORP
BM
N
2
2027-02-15
Fixed
5.875
N
N
N
N
N
N
NEWGATE FUNDING PLC 2007-3X
N/A
NEWGATE FUNDING PLC NGATE 2007 3X BB REGS
B2NDQHII8
1419743.280000
PA
1504931.170000
0.6168580
Long
ABS-MBS
CORP
GB
N
2
2050-12-15
Floating
0.748
N
N
N
N
N
N
NEWGATE FUNDING PLC 2007-3X
N/A
NEWGATE FUNDING PLC NGATE 2007 3X CB REGS
B2NDQJII4
1419743.280000
PA
1475987.230000
0.6049941
Long
ABS-MBS
CORP
GB
N
2
2050-12-15
Floating
0.998
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
54459.600000
0.0223225
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
510255.000000
0.2091490
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
6000000.000000
PA
USD
5960462.820000
2.4431409
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
35634.550000
0.0146063
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
25457.770000
0.0104349
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
1743853.320000
PA
USD
1692069.250000
0.6935642
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
597987.390000
PA
USD
572885.730000
0.2348208
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
1793962.150000
PA
USD
1727289.550000
0.7080007
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
3715.340000
PA
USD
3638.830000
0.0014915
Long
ABS-O
CORP
US
N
2
2032-06-15
Floating
0.62657
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
1945626.210000
PA
USD
1872189.720000
0.7673940
Long
DBT
CORP
CA
N
2
2028-09-15
Fixed
3.6
N
N
N
N
N
N
ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED
549300L7LF2PIRAWID66
ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/22 6.72
G6711KAC9
197481.240000
PA
USD
195508.400000
0.0801372
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
970596.000000
0.3978387
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
2442724.200000
1.0012510
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
856008.090000
0.3508701
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
164697.790000
0.0675082
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
11346.670000
0.0046509
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
185700.150000
0.0761168
Long
LON
CORP
LU
N
2
2025-06-30
Floating
3.2346
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
2083984.490000
0.8542068
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 03/29 4.2
694308KB2
1300000.000000
PA
USD
1279677.350000
0.5245284
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.2
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
811465.000000
0.3326123
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
195605.090000
0.0801768
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
89080.520000
0.0365133
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
1097132.630000
0.4497050
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
646340.960000
0.2649294
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
723553.030000
0.2965780
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
81727.280000
0.0334993
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
463739.670000
0.1900828
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.5
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
166815.610000
0.0683762
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
248959.470000
0.1020463
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
174307.880000
0.0714473
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
1683255.000000
0.6899513
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
2880272.430000
1.1805982
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
2483278.000000
1.0178737
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
1005801.600000
0.4122692
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
52512.000000
0.0215242
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
121967.250000
0.0499933
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
2996000.000000
PA
USD
2440901.120000
1.0005038
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
3470160.170000
1.4223879
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
3041577.530000
1.2467157
Long
DBT
CORP
US
Y
3
2034-06-25
Fixed
8.625
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC SR UNSECURED 11/31 8
370425RZ5
1000.000000
PA
USD
1244.160000
0.0005100
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
8
N
N
N
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES SA 2018 EUR TERM LOAN 2
933NSTII1
4932634.250000
PA
5297569.140000
2.1714267
Long
LON
CORP
ES
N
2
2022-11-30
Fixed
6
N
N
Y
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED 144A 07/31 3.061
74365PAF5
1100000.000000
PA
USD
915347.020000
0.3751926
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
441935.160000
0.1811453
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
2544055.310000
1.0427857
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 07/23 FIXED 5.25
74514L3E5
78583.000000
PA
USD
80518.940000
0.0330040
Long
DBT
MUN
PR
N
2
2023-07-01
Fixed
5.25
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/24 ZEROCPNOID 0
74514L3Q8
36194.000000
PA
USD
33048.640000
0.0135463
Long
DBT
MUN
PR
N
2
2024-07-01
None
0
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/33 FIXED 4
74514L3K1
70361.000000
PA
USD
68871.990000
0.0282300
Long
DBT
MUN
PR
N
2
2033-07-01
Fixed
4
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/33 ZEROCPNOID 0
74514L3R6
90548.000000
PA
USD
52433.390000
0.0214920
Long
DBT
MUN
PR
N
2
2033-07-01
None
0
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/35 FIXED 4
74514L3L9
63246.000000
PA
USD
61217.910000
0.0250927
Long
DBT
MUN
PR
N
2
2035-07-01
Fixed
4
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/37 FIXED 4
74514L3M7
54281.000000
PA
USD
52294.550000
0.0214351
Long
DBT
MUN
PR
N
2
2037-07-01
Fixed
4
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/41 FIXED 4
74514L3N5
73801.940000
PA
USD
70361.600000
0.0288406
Long
DBT
MUN
US
N
2
2041-07-01
Fixed
4
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/46 FIXED 4
74514L3P0
76753.000000
PA
USD
72529.060000
0.0297290
Long
DBT
MUN
PR
N
2
2046-07-01
Fixed
4
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR
74514L3T2
351322.000000
PA
USD
189274.730000
0.0775820
Long
DBT
MUN
PR
N
2
2043-11-01
Variable
0
N
N
N
N
N
N
RBSSP RESECURITIZATION TRUST 2009-5
N/A
RBSSP RESECURITIZATION TRUST RBSSP 2009 5 14A3 144A
74928WBY8
5247189.260000
PA
USD
2451358.270000
1.0047901
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
2428368.940000
PA
USD
1720241.500000
0.7051118
Long
ABS-MBS
CORP
US
N
2
2037-02-26
Fixed
6
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2005-QS10
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A
761118CW6
892772.220000
PA
USD
844784.020000
0.3462695
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
6
Y
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
938048.560000
PA
USD
907223.060000
0.3718627
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.7
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
442262.890000
0.1812796
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
227911.190000
PA
USD
241401.160000
0.0989482
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
9191.840000
PA
USD
5475.330000
0.0022443
Long
ABS-MBS
CORP
US
N
2
2031-12-25
Fixed
8.5
Y
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
320527.190000
PA
USD
336202.570000
0.1378065
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
553177.480000
PA
USD
610926.440000
0.2504133
Long
DBT
CORP
US
N
2
2027-01-06
Variable
9.75
N
N
N
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
143814.960000
0.0589485
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3
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
194257.000000
0.0796242
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
233048.770000
0.0955246
Long
DBT
CORP
GB
N
2
2026-02-16
Fixed
4.625
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
934787.890000
0.3831613
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.35
N
N
N
N
N
N
ROMANIA GOVT
315700IASY927EDWBK92
ROMANIA UNSECURED 144A 04/33 2
ACI1X0BQ7
7500000.000000
PA
6679204.270000
2.7377467
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
536450.920000
0.2198865
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
380500.000000
0.1559636
Long
DBT
CORP
KY
N
2
2026-01-08
Variable
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
181598.000000
0.0744354
Long
DBT
CORP
KY
N
2
2030-06-18
Variable
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
199250.000000
0.0816708
Long
DBT
CORP
KY
N
2
2025-08-08
Variable
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
2953689.560000
1.2106912
Long
DBT
CORP
KY
N
2
2028-08-08
Variable
5.4
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 144A 03/27 2.55
80007RAM7
400000.000000
PA
USD
349400.000000
0.1432160
Long
DBT
CORP
KY
N
2
2027-03-08
Variable
2.55
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 144A 03/29 3.1
80007RAP0
400000.000000
PA
USD
342000.000000
0.1401828
Long
DBT
CORP
KY
N
2
2029-03-08
Variable
3.1
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
164000.000000
0.0672221
Long
DBT
CORP
KY
N
2
2031-08-08
Variable
3.25
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
565322.740000
0.2317208
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
3.375
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
467715.520000
0.1917125
Long
DBT
CORP
AU
N
2
2031-04-29
Fixed
3.649
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
221594.220000
0.0908295
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
185000.000000
0.0758299
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
187000.000000
0.0766496
Long
DBT
CORP
KY
N
2
2022-06-11
Fixed
6.45
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
8282634.240000
3.3949784
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
162627.600000
0.0666596
Long
LON
CORP
US
N
2
2023-11-28
Fixed
7.75
N
N
Y
N
N
N
SKYMILES IP LTD
2549008L7P4I8VB90936
SKYMILES IP LTD. 2020 SKYMILES TERM LOAN B
24736CBS2
3100000.000000
PA
USD
3209467.200000
1.3155322
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
23884.480000
PA
USD
24069.610000
0.0098659
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
9375.540000
PA
USD
9709.010000
0.0039796
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
122286.940000
0.0501243
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
6376.670000
PA
USD
6603.010000
0.0027065
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
1798398.780000
0.7371477
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
204089.000000
0.0836543
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
1861715.510000
PA
USD
1861715.510000
0.7631007
Long
LON
CORP
GB
N
3
2025-12-21
Variable
5
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
106740.260000
0.0437519
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
1348589.600000
0.5527749
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
905625.000000
0.3712077
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
4204444.440000
PA
3776165.110000
1.5478166
Long
LON
CORP
LU
N
2
2022-12-31
Fixed
10
N
N
Y
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
631465.640000
0.2588322
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
4504612.780000
PA
4329178.280000
1.7744918
Long
LON
CORP
LU
N
2
2022-12-29
Fixed
10.75
N
N
Y
N
N
N
AMERIQUEST MORTGAGE SEC INC 2002-C
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2002 C M2
03072SDG7
39319.070000
PA
USD
781.450000
0.0003203
Long
ABS-MBS
CORP
US
N
2
2032-11-25
Floating
3.98157
Y
N
N
N
N
N
STRUCTURED ASSET SEC CORP 2006-RF3
N/A
STRUCTURED ASSET SECURITIES CO SASC 2006 RF3 1A4 144A
863592AD3
2314921.280000
PA
USD
1596768.340000
0.6545012
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
15640.000000
PA
USD
15376.080000
0.0063025
Long
LON
CORP
US
N
2
2027-02-12
Floating
3.9574
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
305108.000000
0.1250611
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
206896.050000
0.0848049
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
3462665.830000
1.4193161
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
5778079.080000
PA
USD
5630738.060000
2.3079897
Long
LON
CORP
US
N
2
2023-03-09
Floating
6
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
427035.200000
0.1750379
Long
DBT
CORP
US
N
2
2052-10-15
Fixed
3.4
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T MOBILE USA INC SR SECURED 144A 11/60 3.6
87264ACN3
100000.000000
PA
USD
86264.700000
0.0353591
Long
DBT
CORP
US
N
2
2060-11-15
Fixed
3.6
N
N
N
N
N
N
TALEN ENERGY SUPPLY LLC (AKA: PPL ENERGY SUPPLY LLC)
K5K33XN0PQAU1XF7NN66
TALEN ENERGY SUPPLY LLC SR SECURED 144A 05/27 7.25
87422VAF5
1335000.000000
PA
USD
1249606.730000
0.5122027
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
7.25
N
N
N
N
N
N
TEAM HEALTH HOLDINGS INC
549300PVTQ4UDTTMQT11
TEAM HEALTH INC DEL TERM LOAN B
87817JAE8
3265642.260000
PA
USD
3119504.770000
1.2786574
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
265821.350000
0.1089578
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
1043437.130000
0.4276956
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
691376.570000
0.2833891
Long
DBT
CORP
KY
N
2
2061-04-22
Fixed
3.94
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
105689.900000
PA
164560.540000
0.0674519
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
97160.770000
PA
150545.160000
0.0617071
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
92500.010000
PA
140487.850000
0.0575847
Long
DBT
CORP
GB
N
2
2044-07-13
Fixed
5.4111
N
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
1815527.500000
0.7441686
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
2462957.530000
1.0095445
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
855289.530000
0.3505756
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
2266259.470000
0.9289197
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
32243.000000
0.0132161
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
104533.200000
0.0428472
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
49200.000000
PA
USD
48978.600000
0.0200759
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
56250.000000
PA
USD
55777.220000
0.0228626
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
6.875
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
712277.060000
PA
USD
712410.260000
0.2920107
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 144A 12/99 4.875
902613AJ7
2100000.000000
PA
USD
2031120.000000
0.8325381
Long
DBT
CORP
CH
N
2
2027-02-12
Floating
4.875
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE
01F020448
-300000.000000
PA
USD
-291386.720000
-0.1194368
Short
ABS-MBS
USGSE
US
N
2
2037-04-18
Fixed
2
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE
01F020646
-1950000.000000
PA
USD
-1810376.960000
-0.7420575
Short
ABS-MBS
USGSE
US
N
2
2052-04-13
Fixed
2
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
1287000.000000
0.5275299
Long
EP
CORP
US
N
2
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
01F022642
35900000.000000
PA
USD
34253648.620000
14.0402673
Long
ABS-MBS
USGSE
US
N
2
2052-04-13
Fixed
2.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
01F022642
-44500000.000000
PA
USD
-42459258.040000
-17.4036740
Short
ABS-MBS
USGSE
US
N
2
2052-04-13
Fixed
2.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
01F022659
-9200000.000000
PA
USD
-8759898.960000
-3.5906050
Short
ABS-MBS
USGSE
US
N
2
2052-05-12
Fixed
2.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
01F022667
8600000.000000
PA
USD
8173150.440000
3.3501020
Long
ABS-MBS
USGSE
US
N
2
2052-06-13
Fixed
2.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
01F030652
5600000.000000
PA
USD
5466438.990000
2.2406449
Long
ABS-MBS
USGSE
US
N
2
2052-05-12
Fixed
3
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
01F030660
20000000.000000
PA
USD
19494769.800000
7.9907335
Long
ABS-MBS
USGSE
US
N
2
2052-06-13
Fixed
3
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
01F032641
23700000.000000
PA
USD
23748140.630000
9.7341526
Long
ABS-MBS
USGSE
US
N
2
2052-04-13
Fixed
3.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
01F032666
66500000.000000
PA
USD
66255059.890000
27.1573625
Long
ABS-MBS
USGSE
US
N
2
2052-06-13
Fixed
3.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01F040651
77200000.000000
PA
USD
78535360.820000
32.1909491
Long
ABS-MBS
USGSE
US
N
2
2052-05-12
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
2381556.240000
0.9761788
Long
DBT
CORP
IT
N
2
2023-12-04
Fixed
7.83
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
79633.220000
PA
USD
80640.740000
0.0330539
Long
DBT
CORP
US
N
2
2033-02-25
Fixed
4.15
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
CASH MGMT BILL 07/22 0.00000
912796X38
5400000.000000
PA
USD
5387298.010000
2.2082058
Long
DBT
UST
US
N
2
2022-07-26
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 04/22 0.00000
912796G45
2000000.000000
PA
USD
1999869.440000
0.8197288
Long
DBT
UST
US
N
2
2022-04-21
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 04/22 0.00000
912796T90
4300000.000000
PA
USD
4299712.420000
1.7624141
Long
DBT
UST
US
N
2
2022-04-19
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 06/22 0.00000
912796R43
16700000.000000
PA
USD
16682240.550000
6.8379027
Long
DBT
UST
US
N
2
2022-06-23
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 06/22 0.00000
912796R50
4400000.000000
PA
USD
4394431.230000
1.8012385
Long
DBT
UST
US
N
2
2022-06-30
None
0
N
N
N
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
2469785.520000
1.0123432
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
754000.000000
PA
USD
784310.800000
0.3214821
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
1838485.560000
0.7535790
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
97509.790000
0.0399684
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
3963331.400000
1.6245345
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
9336.690000
0.0038270
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
2033323.600000
0.8334413
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
31412.420000
0.0128757
Long
DBT
CORP
KY
N
2
2036-11-21
Fixed
6.875
N
N
N
N
N
N
VALE SA
254900SMTWBX7RU2SR20
VALE SA SUBORDINATED 12/49 VAR
B011X9II2
50000000.000000
PA
5535004.670000
2.2687494
Long
DBT
CORP
BR
N
2
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
22863.040000
PA
USD
24302.500000
0.0099614
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
53328.860000
PA
USD
54361.250000
0.0222822
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
1010043.670000
PA
USD
1120706.280000
0.4593676
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
10852.930000
PA
USD
11569.170000
0.0047421
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
14877.000000
0.0060980
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
1131.000000
0.0004636
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
111301.500000
0.0456215
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
69461.130000
PA
USD
70886.790000
0.0290559
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.86861
N
N
N
N
N
N
WASHINGTON MUTUAL MSC MTG CTFS 2003-MS9
N/A
WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS9 2A
939336N66
138875.810000
PA
USD
137894.870000
0.0565219
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
59103.050000
PA
USD
60701.740000
0.0248811
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
7
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
BONCER BONDS 08/23 1.45
ACI1WSBF1
66558135.000000
PA
352396.330000
0.1444441
Long
DBT
NUSS
AR
N
2
2023-08-13
Fixed
1.45
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL C 144A
95003WAG1
2558000.000000
PA
USD
2532911.140000
1.0382179
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
5.0919
N
N
N
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND COAL CO PIK TERM LOAN
96106JAE9
6402.590000
PA
USD
2438.320000
0.0009994
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
16700.010000
PA
USD
16623.470000
0.0068138
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
50983.750000
0.0208978
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
7.75
N
N
N
N
N
N
WOLVERINE ESCROW LLC
N/A
WESCO AIRCRAFT HLDGS INC 03/27 10.5
950814AA1
10599000.000000
PA
USD
11156084.610000
4.5727803
Long
DBT
CORP
US
N
3
2026-11-15
Fixed
10.5
N
N
Y
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 07/30 VAR
ACI1QL1T4
514866.000000
PA
USD
157039.280000
0.0643690
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.5
N
N
N
N
N
N
CBL & ASSOCIATES PROPERTIES INC
529900EIVFBRS4PUBZ13
CBL + ASSOCIATES PROPERTIES REIT USD.01
124830878
2011.000000
NS
USD
66141.790000
0.0271109
Long
EC
CORP
US
N
1
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 07/35 VAR
ACI1QL1M9
904000.000000
PA
USD
262702.400000
0.1076794
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.125
N
N
N
N
N
N
N/A
N/A
BARCLAYS REV REPO EUR
000000000
-1178173.000000
PA
-1301642.060000
-0.5335316
Short
RA
GB
N
2
Reverse repurchase
N
-0.3200000
2023-11-05
1300000.000000
EUR
1259408.800000
EUR
CDS
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
6536000.000000
PA
USD
6536000.000000
2.6790485
Long
RA
US
N
2
Repurchase
N
0.0100000
2022-04-01
6685200.000000
USD
6666742.160000
USD
UST
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-7836829.870000
PA
USD
-7838201.300000
-3.2128093
Short
RA
US
N
2
Reverse repurchase
N
0.4200000
2022-04-21
7495336.050000
USD
8028246.030000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-1884791.000000
PA
USD
-1884979.480000
-0.7726364
Short
RA
US
N
2
Reverse repurchase
N
1.2000000
2022-06-02
2300000.000000
USD
2141459.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-834350.000000
PA
USD
-834813.530000
-0.3421827
Short
RA
US
N
2
Reverse repurchase
N
1.2500000
2022-09-16
1000000.000000
USD
1032500.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-441528.000000
PA
USD
-441720.920000
-0.1810575
Short
RA
US
N
2
Reverse repurchase
N
1.4300000
2022-09-22
1479000.000000
USD
510255.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-683022.380000
PA
USD
-683253.850000
-0.2800597
Short
RA
US
N
2
Reverse repurchase
N
1.2200000
2022-09-23
628870.780000
USD
732031.760000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-12553514.000000
PA
USD
-12574698.050000
-5.1542574
Short
RA
US
N
2
Reverse repurchase
N
0.7500000
2022-10-11
87898784.450000
USD
14912389.140000
USD
AMBS
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR
040114HU7
4388387.000000
PA
USD
1667587.060000
0.6835292
Long
DBT
NUSS
AR
N
2
2038-01-09
Variable
2
N
N
N
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-1384273.000000
PA
USD
-1385048.180000
-0.5677190
Short
RA
US
N
2
Reverse repurchase
N
0.3600000
2022-04-08
1600000.000000
USD
1389125.800000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-1861843.000000
PA
USD
-1863435.910000
-0.7638059
Short
RA
US
N
2
Reverse repurchase
N
0.5500000
2022-04-08
2250000.000000
USD
2109476.590000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-1206044.000000
PA
USD
-1206154.550000
-0.4943921
Short
RA
US
N
2
Reverse repurchase
N
1.1000000
2022-06-02
1500000.000000
USD
1296668.320000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-7777884.000000
PA
USD
-7778661.780000
-3.1884046
Short
RA
US
N
2
Reverse repurchase
N
1.2000000
2022-06-02
10144177.490000
USD
9225765.730000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-5152580.830000
PA
USD
-5154298.360000
-2.1127013
Short
RA
US
N
2
Reverse repurchase
N
0.7500000
2022-06-16
5505256.580000
USD
5501785.610000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-5459552.180000
PA
USD
-5460780.580000
-2.2383256
Short
RA
US
N
2
Reverse repurchase
N
0.9000000
2022-06-23
6214000.000000
USD
5894240.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-8326983.800000
PA
USD
-8335773.390000
-3.4167597
Short
RA
US
N
2
Reverse repurchase
N
1.5200000
2022-09-07
11760635.710000
USD
11334386.090000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-3115944.000000
PA
USD
-3117675.080000
-1.2779074
Short
RA
US
N
2
Reverse repurchase
N
1.2500000
2022-09-16
3855200.000000
USD
3684974.610000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-1599344.000000
PA
USD
-1600042.820000
-0.6558434
Short
RA
US
N
2
Reverse repurchase
N
1.4300000
2022-09-22
2200000.000000
USD
1862073.510000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-6525013.720000
PA
USD
-6527224.980000
-2.6754517
Short
RA
US
N
2
Reverse repurchase
N
1.2200000
2022-09-23
7368000.000000
USD
7054220.070000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-4120035.000000
PA
USD
-4130449.540000
-1.6930347
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-04-01
4662066.260000
USD
4359604.590000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-2764582.890000
PA
USD
-2767923.420000
-1.1345473
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-04-04
2026283.000000
USD
2229579.970000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-198575.410000
PA
USD
-198734.880000
-0.0814597
Short
RA
US
N
2
Reverse repurchase
N
0.4900000
2022-05-03
200000.000000
USD
208750.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1041844.000000
PA
USD
-1042680.650000
-0.4273856
Short
RA
US
N
2
Reverse repurchase
N
0.4900000
2022-05-03
1200000.000000
USD
1036000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-3669138.000000
PA
USD
-3669138.000000
-1.5039472
Short
RA
US
N
2
Reverse repurchase
N
1.2500000
2022-06-30
4654922.240000
USD
4352769.850000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1665947.000000
PA
USD
-1666270.940000
-0.6829897
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2024-03-17
1800366.120000
USD
1767212.330000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-260797.000000
PA
USD
-260854.810000
-0.1069221
Short
RA
US
N
2
Reverse repurchase
N
0.5700000
2024-03-17
312682.860000
USD
302407.690000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-888611.000000
PA
USD
-888811.430000
-0.3643159
Short
RA
US
N
2
Reverse repurchase
N
0.5800000
2024-03-17
1060000.000000
USD
1045451.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-5721298.000000
PA
USD
-5722632.970000
-2.3456566
Short
RA
US
N
2
Reverse repurchase
N
0.6000000
2024-03-17
6659277.040000
USD
6644861.590000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-774250.000000
PA
USD
-774421.630000
-0.3174286
Short
RA
US
N
2
Reverse repurchase
N
0.5700000
2024-03-17
950000.000000
USD
970596.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-121550.000000
PA
USD
-121577.420000
-0.0498335
Short
RA
US
N
2
Reverse repurchase
N
0.5800000
2024-03-17
200000.000000
USD
185000.000000
USD
CDS
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1
040114HX1
269214.000000
PA
USD
92609.620000
0.0379599
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1
N
N
N
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-2040120.140000
PA
USD
-2040244.820000
-0.8362783
Short
RA
US
N
2
Reverse repurchase
N
0.5500000
2022-04-29
2157212.270000
USD
2303897.510000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-2519597.000000
PA
USD
-2520097.420000
-1.0329656
Short
RA
US
N
2
Reverse repurchase
N
0.5500000
2022-05-06
10700000.000000
PEN
10593675.810000
PEN
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-207016.000000
PA
USD
-207064.590000
-0.0848739
Short
RA
US
N
2
Reverse repurchase
N
0.6500000
2022-05-06
904000.000000
USD
262702.400000
USD
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-2059421.000000
PA
USD
-2059941.580000
-0.8443518
Short
RA
US
N
2
Reverse repurchase
N
0.6500000
2022-05-06
6637622.000000
USD
2600076.800000
USD
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-905557.360000
PA
USD
-905607.670000
-0.3712006
Short
RA
US
N
2
Reverse repurchase
N
1.0000000
2022-07-05
1300000.000000
USD
1136286.360000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-3656366.650000
PA
USD
-3657077.600000
-1.4990037
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2024-03-17
4884000.000000
USD
4297952.720000
USD
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-202602.000000
PA
-223856.810000
-0.0917569
Short
RA
LU
N
2
Reverse repurchase
N
-0.5000000
2022-04-05
200000.000000
EUR
210665.600000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-497095.000000
PA
-549642.090000
-0.2252934
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-05-11
700000.000000
EUR
604027.670000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-189874.000000
PA
-209966.490000
-0.0860634
Short
RA
LU
N
2
Reverse repurchase
N
-0.4000000
2022-05-25
200000.000000
EUR
200311.200000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-5885870.000000
PA
-6508839.700000
-2.6679158
Short
RA
LU
N
2
Reverse repurchase
N
-0.3800000
2022-05-25
5310000.000000
EUR
6210708.750000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-1888224.000000
PA
-2085371.030000
-0.8547751
Short
RA
LU
N
2
Reverse repurchase
N
-0.4000000
2023-11-05
2100000.000000
EUR
1984500.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-357420.000000
PA
-394964.560000
-0.1618925
Short
RA
LU
N
2
Reverse repurchase
N
-0.4500000
2024-01-05
400000.000000
EUR
363750.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-1199970.000000
PA
-1325913.120000
-0.5434800
Short
RA
LU
N
2
Reverse repurchase
N
-1.0000000
2024-02-18
1360000.000000
EUR
1001648.160000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-962692.000000
PA
-1060841.370000
-0.4348295
Short
RA
LU
N
2
Reverse repurchase
N
-4.0000000
2024-02-25
1300000.000000
EUR
885716.000000
EUR
CDS
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR
040114HS2
131799.000000
PA
USD
44482.160000
0.0182328
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.5
N
N
N
N
N
N
N/A
N/A
MERRILL LYNCH REVERSE REPO EUR ZCP
000000000
-336198.000000
PA
-367204.420000
-0.1505138
Short
RA
LU
N
2
Reverse repurchase
N
-5.5000000
2022-04-06
400000.000000
EUR
264687.200000
EUR
CDS
N
N
N
N/A
N/A
MERRILL LYNCH REVERSE REPO EUR ZCP
000000000
-352091.000000
PA
-387224.940000
-0.1587201
Short
RA
LU
N
2
Reverse repurchase
N
-3.0000000
2022-04-06
400000.000000
EUR
280628.000000
EUR
CDS
N
N
N
N/A
N/A
MERRILL LYNCH REVERSE REPO EUR ZCP
000000000
-392801.000000
PA
-434380.230000
-0.1780486
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2022-04-06
410000.000000
EUR
414814.220000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-3043457.000000
PA
-3364438.930000
-1.3790537
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-04-19
3530000.000000
EUR
3129775.660000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-914780.000000
PA
-1011351.120000
-0.4145439
Short
RA
LU
N
2
Reverse repurchase
N
-0.4500000
2022-05-11
1000000.000000
EUR
954750.000000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-562722.000000
PA
-612471.550000
-0.2510467
Short
RA
LU
N
2
Reverse repurchase
N
-2.5000000
2023-08-19
600000.000000
EUR
429000.000000
EUR
CDS
N
N
N
N/A
N/A
REV REPO STANDARD CHARTERED BA ZCP
000000000
-6174234.000000
PA
-6825154.590000
-2.7975704
Short
RA
LU
N
2
Reverse repurchase
N
-0.4500000
2022-05-02
7500000.000000
EUR
6037700.100000
EUR
N
N
N
N/A
N/A
REV REPO STANDARD CHARTERED BA ZCP
000000000
-1265587.000000
PA
-1399243.810000
-0.5735376
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-05-02
1600000.000000
EUR
1374187.470000
EUR
N
N
N
N/A
N/A
REV REPO STANDARD CHARTERED BA ZCP
000000000
-423331.000000
PA
-468035.690000
-0.1918437
Short
RA
LU
N
2
Reverse repurchase
N
-0.4100000
2022-08-08
500000.000000
EUR
399489.500000
EUR
CDS
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-2480346.490000
PA
USD
-2481462.650000
-1.0171296
Short
RA
US
N
2
Reverse repurchase
N
0.9000000
2022-04-14
3055057.860000
USD
3029523.080000
USD
PLCMO
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR
040114HT0
226993.000000
PA
USD
69686.850000
0.0285640
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.125
N
N
N
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-5833420.000000
PA
-7670064.650000
-3.1438916
Short
RA
GB
N
2
Reverse repurchase
N
0.9500000
2022-05-25
128940.010000
GBP
169621.490000
GBP
CDS
N
N
N
N/A
N/A
MERRILL LYNCH REVERSE REPO GBP ZCP
000000000
-391967.000000
PA
-515325.080000
-0.2112272
Short
RA
GB
N
2
Reverse repurchase
N
0.6000000
2022-04-06
400000.000000
GBP
402470.400000
GBP
CDS
N
N
N
N/A
N/A
MERRILL LYNCH REVERSE REPO GBP ZCP
000000000
-196128.000000
PA
-257872.650000
-0.1056997
Short
RA
GB
N
2
Reverse repurchase
N
0.9000000
2022-04-06
200000.000000
GBP
207026.000000
GBP
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO GBP ZCP
000000000
-940712.000000
PA
-1237542.430000
-0.5072577
Short
RA
GB
N
2
Reverse repurchase
N
0.3500000
2023-11-05
900000.000000
GBP
949116.600000
GBP
CDS
N
N
N
N/A
N/A
REV REPO CANADIAN IMPERIAL BA
000000000
-2555874.000000
PA
-3360281.800000
-1.3773498
Short
RA
GB
N
2
Reverse repurchase
N
0.5800000
2024-02-09
2500000.000000
GBP
2617455.000000
GBP
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-8965717.230000
PA
USD
-8967241.400000
-3.6755929
Short
RA
US
N
2
Reverse repurchase
N
0.3400000
2022-04-13
8584646.130000
USD
9016863.500000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-1748348.040000
PA
USD
-1748916.250000
-0.7168653
Short
RA
US
N
2
Reverse repurchase
N
0.7800000
2022-06-10
1945646.680000
USD
1872209.410000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2474010.000000
PA
USD
-2476930.700000
-1.0152720
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-04-06
2700000.000000
USD
2359979.360000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-7755074.190000
PA
USD
-7758481.480000
-3.1801329
Short
RA
US
N
2
Reverse repurchase
N
1.1297900
2022-04-22
10357724.300000
USD
9537003.080000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-357606.330000
PA
USD
-357875.920000
-0.1466902
Short
RA
US
N
2
Reverse repurchase
N
0.4600000
2022-05-04
400000.000000
USD
391750.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-205356.920000
PA
USD
-205480.130000
-0.0842245
Short
RA
US
N
2
Reverse repurchase
N
0.7200000
2022-05-06
323000.000000
USD
243944.140000
USD
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1540000.000000
PA
USD
-1544555.400000
-0.6330996
Short
RA
US
N
2
Reverse repurchase
N
0.9260000
2022-06-07
2200000.000000
USD
2177656.360000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1118047.840000
PA
USD
-1118642.270000
-0.4585216
Short
RA
US
N
2
Reverse repurchase
N
0.8700000
2022-06-13
1300000.000000
USD
1275579.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-64075.000000
PA
USD
-64089.950000
-0.0262699
Short
RA
US
N
2
Reverse repurchase
N
0.6000000
2024-03-17
200000.000000
USD
177660.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-332000.000000
PA
USD
-332096.830000
-0.1361236
Short
RA
US
N
2
Reverse repurchase
N
0.7500000
2024-03-17
400000.000000
USD
407500.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1612800.000000
PA
USD
-1612866.100000
-0.6610995
Short
RA
US
N
2
Reverse repurchase
N
0.7500000
2024-03-29
2100000.000000
USD
2031120.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-332769.990000
PA
USD
-332908.180000
-0.1364561
Short
RA
US
N
2
Reverse repurchase
N
0.6500000
2022-06-09
400000.000000
USD
342403.240000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-871356.880000
PA
USD
-871768.840000
-0.3573303
Short
RA
US
N
2
Reverse repurchase
N
0.7400000
2022-06-09
1100000.000000
USD
971918.440000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-536291.430000
PA
USD
-536541.700000
-0.2199237
Short
RA
US
N
2
Reverse repurchase
N
1.1200000
2022-09-15
625365.710000
USD
604815.380000
USD
CDS
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR
040114HV5
1880235.000000
PA
USD
667483.430000
0.2735955
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
2.5
N
N
N
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-75865.000000
PA
USD
-75872.590000
-0.0310995
Short
RA
US
N
2
Reverse repurchase
N
1.2000000
2022-06-02
100000.000000
USD
81727.280000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-1487805.480000
PA
USD
-1488729.570000
-0.6102171
Short
RA
US
N
2
Reverse repurchase
N
0.4300000
2022-04-11
1594000.000000
USD
1409785.580000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-11963453.680000
PA
USD
-11966278.380000
-4.9048716
Short
RA
US
N
2
Reverse repurchase
N
0.8500000
2022-05-24
12816000.000000
USD
12384941.390000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1859860.500000
PA
USD
-1861521.970000
-0.7630214
Short
RA
US
N
2
Reverse repurchase
N
0.4800000
2022-04-29
2000000.000000
USD
1894160.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-447563.000000
PA
USD
-447648.290000
-0.1834871
Short
RA
US
N
2
Reverse repurchase
N
0.4900000
2024-03-17
1000000.000000
USD
770500.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO TORONTO DOMINIO
000000000
-2309102.000000
PA
USD
-2309524.030000
-0.9466535
Short
RA
US
N
2
Reverse repurchase
N
0.4700000
2024-03-17
2572686.580000
USD
2407861.100000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO TORONTO DOMINIO
000000000
-162450.000000
PA
USD
-162481.590000
-0.0665998
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2024-03-17
200000.000000
USD
171201.620000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-5767913.000000
PA
USD
-5774756.450000
-2.3670215
Short
RA
US
N
2
Reverse repurchase
N
0.5100000
2022-04-05
6968866.090000
USD
6284902.220000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-1602887.000000
PA
USD
-1604635.480000
-0.6577259
Short
RA
US
N
2
Reverse repurchase
N
0.5100000
2022-04-14
1900000.000000
USD
1700519.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-1770691.440000
PA
USD
-1772379.500000
-0.7264827
Short
RA
US
N
2
Reverse repurchase
N
0.5200000
2022-04-25
1960000.000000
USD
2033323.600000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-361468.000000
PA
USD
-361787.900000
-0.1482937
Short
RA
US
N
2
Reverse repurchase
N
0.5400000
2022-05-02
400000.000000
USD
358750.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-299406.000000
PA
USD
-299690.600000
-0.1228405
Short
RA
US
N
2
Reverse repurchase
N
0.5800000
2022-05-02
350000.000000
USD
344758.750000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-3169699.640000
PA
USD
-3171154.180000
-1.2998280
Short
RA
US
N
2
Reverse repurchase
N
1.1800000
2022-06-17
3400000.000000
USD
3473384.070000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-2189736.000000
PA
USD
-2190843.030000
-0.8980072
Short
RA
US
N
2
Reverse repurchase
N
1.3000000
2022-06-17
2855000.000000
USD
2689021.920000
USD
CDS
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-5964457.140000
PA
USD
-5970708.220000
-2.4473404
Short
RA
US
N
2
Reverse repurchase
N
0.7700000
2022-05-13
7256000.000000
USD
7256000.000000
USD
CDS
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR
040114HW3
114993.000000
PA
USD
36337.790000
0.0148945
Long
DBT
NUSS
AR
N
2
2046-07-09
Variable
1.125
N
N
N
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-305630.650000
PA
USD
-305770.730000
-0.1253327
Short
RA
US
N
2
Reverse repurchase
N
0.7500000
2022-05-13
320527.190000
USD
336202.570000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-1153647.540000
PA
USD
-1154105.790000
-0.4730577
Short
RA
US
N
2
Reverse repurchase
N
1.4300000
2022-09-23
1360000.000000
USD
1348589.600000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO REGIONS BANK REPU REGIONS BANK
000000000
-396427.060000
PA
USD
-396435.320000
-0.1624953
Short
RA
US
N
2
Reverse repurchase
N
0.7500000
2022-06-16
536000.000000
USD
475370.360000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-495910.530000
PA
USD
-497100.020000
-0.2037569
Short
RA
US
N
2
Reverse repurchase
N
0.5500000
2022-04-27
600000.000000
USD
536450.920000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-662296.000000
PA
USD
-663331.390000
-0.2718937
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-06
800000.000000
USD
651352.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-146872.920000
PA
USD
-147014.930000
-0.0602601
Short
RA
US
N
2
Reverse repurchase
N
0.5900000
2022-05-03
200000.000000
USD
187000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-665945.570000
PA
USD
-666038.060000
-0.2730031
Short
RA
US
N
2
Reverse repurchase
N
0.5000000
2022-04-19
754000.000000
USD
784310.800000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-646848.000000
PA
USD
-646848.000000
-0.2651373
Short
RA
US
N
2
Reverse repurchase
N
0.7600000
2022-05-03
866000.000000
USD
768042.410000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF MONTREAL REVERSE REPO
000000000
-2066643.570000
PA
USD
-2069536.870000
-0.8482848
Short
RA
US
N
2
Reverse repurchase
N
0.6300000
2022-04-11
12817394.380000
USD
2470675.450000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO WOOD GUNDY REVERSE REPO
000000000
-5125018.240000
PA
USD
-5127865.480000
-2.1018667
Short
RA
US
N
2
Reverse repurchase
N
0.8000000
2022-04-07
138344702.570000
USD
5726861.970000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO WOOD GUNDY REVERSE REPO
000000000
-5637363.720000
PA
USD
-5638322.090000
-2.3110983
Short
RA
US
N
2
Reverse repurchase
N
0.3400000
2022-04-13
5278955.230000
USD
5691087.920000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO WOOD GUNDY REVERSE REPO
000000000
-193652.150000
PA
USD
-193700.560000
-0.0793961
Short
RA
US
N
2
Reverse repurchase
N
0.6000000
2022-06-16
189887.400000
USD
200991.790000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO WOOD GUNDY REVERSE REPO
000000000
-4187646.000000
PA
USD
-4189706.340000
-1.7173235
Short
RA
US
N
2
Reverse repurchase
N
1.1500000
2022-06-16
27318491.740000
USD
5322224.350000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO WOOD GUNDY REVERSE REPO
000000000
-4575287.990000
PA
USD
-4577512.080000
-1.8762817
Short
RA
US
N
2
Reverse repurchase
N
1.2500000
2022-06-16
42280760.640000
USD
5691846.960000
USD
AMBS
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
2476.800000
0.0010152
N/A
DFE
N/A
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
552860.580000
USD
502000.000000
EUR
2022-04-04
2476.800000
N
N
N
N/A
N/A
BOUGHT HUF/SOLD USD
000000000
1.000000
NC
316.120000
0.0001296
N/A
DFE
HU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
6385.280000
USD
2231000.000000
HUF
2022-04-22
316.120000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
16715.350000
0.0068515
N/A
DFE
PE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
205344.920000
USD
825014.300000
PEN
2022-07-21
16715.350000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
-5576.650000
-0.0022858
N/A
DFE
GB
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
511000.000000
GBP
665698.300000
USD
2022-04-04
-5576.650000
N
N
N
N/A
N/A
SOLD HUF/BOUGHT USD
000000000
1.000000
NC
-9766.930000
-0.0040034
N/A
DFE
HU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
74028060.000000
HUF
212596.020000
USD
2022-04-22
-9766.930000
N
N
N
N/A
N/A
SOLD HUF/BOUGHT USD
000000000
1.000000
NC
-3943.610000
-0.0016165
N/A
DFE
HU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
47567000.000000
HUF
138936.520000
USD
2022-04-22
-3943.610000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-21344.450000
-0.0087489
N/A
DFE
PE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
704599.120000
PEN
168766.260000
USD
2022-06-27
-21344.450000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-6179.520000
-0.0025329
N/A
DFE
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
550030.460000
USD
414000.000000
GBP
2022-04-04
-6179.520000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
-3033.590000
-0.0012434
N/A
DFE
ZA
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
696808.120000
ZAR
43415.350000
USD
2022-11-08
-3033.590000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-5459.520000
-0.0022378
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
559690.650000
USD
501000.000000
EUR
2022-04-04
-5459.520000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-1663.350000
-0.0006818
N/A
DFE
GB
N
2
BNP Paribas S.A.
N/A
244688.530000
USD
185000.000000
GBP
2022-04-04
-1663.350000
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
-4856.750000
-0.0019907
N/A
DFE
CA
N
2
BNP Paribas S.A.
N/A
442000.000000
CAD
348698.880000
USD
2022-04-04
-4856.750000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
-56163.530000
-0.0230209
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
2547000.000000
EUR
2761454.600000
USD
2022-04-04
-56163.530000
N
N
N
N/A
N/A
SOLD HUF/BOUGHT USD
000000000
1.000000
NC
-13807.330000
-0.0056595
N/A
DFE
HU
N
2
BNP Paribas S.A.
N/A
138085111.000000
HUF
400968.000000
USD
2022-04-22
-13807.330000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-9246.250000
-0.0037900
N/A
DFE
MX
N
2
BNP Paribas S.A.
N/A
2567000.000000
MXN
116861.890000
USD
2022-08-09
-9246.250000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
-3231.800000
-0.0013247
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
667953.300000
ZAR
41727.000000
USD
2022-08-16
-3231.800000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
-3241.980000
-0.0013289
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
672542.800000
ZAR
42538.000000
USD
2022-05-16
-3241.980000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
-4508.840000
-0.0018481
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
960744.670000
ZAR
59534.000000
USD
2022-11-08
-4508.840000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
-1296.150000
-0.0005313
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
394504.710000
ZAR
25257.290000
USD
2022-08-16
-1296.150000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
-3948.940000
-0.0016186
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
1185495.290000
ZAR
76445.050000
USD
2022-06-15
-3948.940000
N
N
N
N/A
N/A
BOEING CO/THE SNR S* ICE
000000000
1.000000
NC
USD
-30081.020000
-0.0123299
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BOEING CO/THE
BOEING CO SR UNSEC
Y
Single Leg Swap
2026-06-23
0.000000
USD
-41893.290000
USD
2300000.000000
USD
11812.270000
N
N
N
CHARLES SCHWAB CORP/THE
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP JR SUBORDINA 12/99 VAR
808513BJ3
100000.000000
NS
USD
89937.000000
0.0368644
Long
EP
CORP
US
N
2
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
84635.860000
0.0346915
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
855078.150000
USD
4474025.400000
BRL
2022-04-04
84635.860000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
19012.230000
0.0077929
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
174813.370000
USD
714899.280000
PEN
2022-05-05
19012.230000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
100986.320000
0.0413934
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
886125.990000
USD
3716412.400000
PEN
2022-12-06
100986.320000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
6259.400000
0.0025657
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
109642.750000
USD
435259.800000
PEN
2022-11-08
6259.400000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
1565.970000
0.0006419
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
150925.920000
USD
562093.400000
PEN
2022-04-28
1565.970000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
5200.820000
0.0021318
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
184909.890000
USD
704599.120000
PEN
2022-06-27
5200.820000
N
N
N
2022-05-12
PIMCO Strategic Income Fund, Inc.
/s/ Jason Nagler
Jason Nagler
Assistant Treasurer
XXXX