0001398344-20-004016.txt : 20200224 0001398344-20-004016.hdr.sgml : 20200224 20200224143353 ACCESSION NUMBER: 0001398344-20-004016 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20191231 FILED AS OF DATE: 20200224 PERIOD START: 20191231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MML Series Investment Fund II CENTRAL INDEX KEY: 0001317146 IRS NUMBER: 043557005 STATE OF INCORPORATION: CT FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-21714 FILM NUMBER: 20643669 BUSINESS ADDRESS: STREET 1: 100 BRIGHT MEADOW BLVD. CITY: ENFIELD STATE: CT ZIP: 06082 BUSINESS PHONE: (860) 562-1000 MAIL ADDRESS: STREET 1: 100 BRIGHT MEADOW BLVD. CITY: ENFIELD STATE: CT ZIP: 06082 0001317146 S000003834 MML Managed Bond Fund C000010690 Initial Class C000067855 Service Class NPORT-P 1 primary_doc.xml NPORT-P false 0001317146 XXXXXXXX S000003834 C000010690 C000067855 MML Series Investment Fund II 811-21714 0001317146 XSZQMOMB2JPNHA01JH98 100 BRIGHT MEADOW BLVD. ENFIELD 06082-1981 8605621000 MML Managed Bond Fund S000003834 P1YXM1SSOECE52ITGE86 2019-12-31 2019-12-31 N 1240300006.62 128470717.03 1111829289.59 0 0 0 0 0 0 0 0 0 0 109614480.48 0 0 1585823 USD UST 321 HENDERSON RECEIVABLES LLC N/A 46618LAA8 1959817.7 PA USD 1973277.34 0.1774802444 Long ABS-O CORP US Y 2 2072-09-15 Fixed 3.26 N N N N N N 90DAY EUR FUTR DEC20 N/A ADI0C2LM4 -10 NC USD 0 0 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Short 90 Day Eurodollar Time Deposit Prin $1 mil 2020-12-14 -2459500 USD -21658.2 N N N 90DAY EUR FUTR DEC23 N/A ADI0G8YN1 -15 NC USD 0 0 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Short 90 Day Eurodollar Time Deposit Prin $1 mil 2023-12-18 -3681562.5 USD -31174.8 N N N 90DAY EUR FUTR DEC24 N/A ADI0GPRG6 -40 NC USD 0 0 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Short 90 Day Eurodollar Time Deposit Prin $1 mil 2024-12-16 -9804500 USD -82132.8 N N N 90DAY EUR FUTR JUN20 N/A ADI08QVS2 -11 NC USD 0 0 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Short 90 Day Eurodollar Time Deposit Prin $1 mil 2020-06-15 -2703525 USD -22930.27 N N N 90DAY EUR FUTR MAR20 N/A ADI08QVR4 -11 NC USD 0 0 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Short 90 Day Eurodollar Time Deposit Prin $1 mil 2020-03-16 -2702287.5 USD -23274.02 N N N 90DAY EUR FUTR MAR21 N/A ADI0FQYG7 -9 NC USD 0 0 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Short 90 Day Eurodollar Time Deposit Prin $1 mil 2021-03-15 -2214900 USD -20054.88 N N N 90DAY EUR FUTR MAR22 N/A ADI09ZZX6 -15 NC USD 0 0 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Short 90 Day Eurodollar Time Deposit Prin $1 mil 2022-03-14 -3689437.5 USD -31924.8 N N N 90DAY EUR FUTR MAR23 N/A ADI0GMD52 -12 NC USD 0 0 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Short 90 Day Eurodollar Time Deposit Prin $1 mil 2023-03-13 -2947950 USD -24939.84 N N N 90DAY EUR FUTR SEP20 N/A ADI09H527 -10 NC USD 0 0 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Short 90 Day Eurodollar Time Deposit Prin $1 mil 2020-09-14 -2459125 USD -21158.2 N N N 90DAY EUR FUTR SEP21 N/A ADI0GMFK7 -17 NC USD 0 0 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Short 90 Day Eurodollar Time Deposit Prin $1 mil 2021-09-13 -4183487.5 USD -37031.44 N N N 90DAY EUR FUTR SEP22 N/A 99ZA06835 -14 NC USD 0 0 N/A DIR US N 1 Chicago Mercantile Exchange Inc. SNZ2OJLFK8MNNCLQOF39 Short 90 Day Eurodollar Time Deposit Prin $1 mil 2022-09-19 -3441550 USD -29271.48 N N N AASET 2018 2 TRUST N/A 04546KAA6 1551295.98 PA USD 1581061.16 0.1422035896 Long ABS-O CORP US Y 2 2038-11-18 Fixed 4.454 N N N N N N AASET 2019 1 TRUST 549300TXM3PCKZJKD061 00256DAA0 1797406 PA USD 1809542.44 0.1627536221 Long ABS-O CORP US Y 2 2039-05-15 Fixed 3.844 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAS8 2060000 PA USD 2301986.86 0.2070449917 Long DBT CORP US N 2 2045-05-14 Fixed 4.7 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBR9 1045000 PA USD 1098354.76 0.0987880757 Long DBT CORP US Y 2 2039-11-21 Fixed 4.05 N N N N N N ACCESS GROUP INC N/A 00432CAV3 64248.59 PA USD 64184.02 0.0057728305 Long ABS-O CORP US N 2 2038-07-01 Floating 2.79 N N N N N N ACCESS GROUP INC N/A 00432CBH3 1400000 PA USD 1378690.95 0.1240020355 Long ABS-O CORP US N 2 2039-07-01 Floating 1.699 N N N N N N ADAMS OUTDOOR ADVERTISING 549300BTFXNHDCUHER30 006346AS9 1957362.09 PA USD 2031032.89 0.1826748862 Long ABS-O CORP US Y 2 2048-11-15 Fixed 4.81 N N N N N N AIMCO 5493004I93856WYBB035 00901AAE7 2000000 PA USD 1992436 0.17920341 Long ABS-CBDO CORP KY Y 2 2032-07-22 Floating 4.74842 N N N N N N AIRCASTLE LTD 549300PNK8AKY3OIKP58 00928QAP6 1750000 PA USD 1871766.89 0.1683502052 Long DBT CORP BM N 2 2023-04-01 Fixed 5 N N N N N N AIRCASTLE LTD 549300PNK8AKY3OIKP58 00928QAR2 3095000 PA USD 3272506.27 0.2943353175 Long DBT CORP BM N 2 2023-09-25 Fixed 4.4 N N N N N N ALEXANDRIA REAL ESTATE E MGCJBT4MKTQBVLNUIS88 015271AT6 845000 PA USD 835065.36 0.075107336 Long DBT CORP US N 2 2029-12-15 Fixed 2.75 N N N N N N ALLEGRO CLO LTD N/A 01750FAE6 2200000 PA USD 2203601.4 0.1981960199 Long ABS-CBDO CORP KY Y 2 2032-04-20 Floating 4.71588 N N N N N N ALLERGAN FUNDING SCS 222100FLFVOSKCBCAR54 00507UAS0 1375000 PA USD 1444997.88 0.1299658044 Long DBT CORP LU N 2 2025-03-15 Fixed 3.8 N N N N N N ALLSTATE CORP OBT0W1ED8G0NWVOLOJ77 020002309 95000 NS USD 2531750 0.227710317 Long EP CORP US N 1 N N N ALLSTATE CORP OBT0W1ED8G0NWVOLOJ77 020002BB6 4260000 PA USD 4579798.2 0.411915592 Long DBT CORP US N 2 2053-08-15 Fixed 5.75 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BJ4 1340000 PA USD 1576974.55 0.1418360323 Long DBT CORP US N 2 2047-08-22 Fixed 4.05 N N N N N N AMCOR FINANCE USA INC 549300ZMT7FVT8R77U18 02343UAC9 3105000 PA USD 3190689.86 0.286976597 Long DBT CORP US Y 2 2026-04-28 Fixed 3.625 N N N N N N AMER AIRLN 14 1 B PTT IWUQB36BXD6OWD6X4T14 02376XAA7 153361.37 PA USD 157839.92 0.0141964168 Long ABS-O CORP US N 2 2024-04-01 Fixed 4.375 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DA2 1175000 PA USD 1355396.65 0.1219069027 Long DBT CORP US N 2 2044-07-16 Fixed 4.5 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DK0 1025000 PA USD 1128326.48 0.1014837881 Long DBT CORP US N 2 2028-04-01 Fixed 4.2 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DL8 505000 PA USD 608937.95 0.054769015 Long DBT CORP US N 2 2048-04-01 Fixed 4.75 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DM6 2860000 PA USD 3144455.6 0.2828182014 Long DBT CORP US N 2 2048-04-01 Fixed 5.75 N N N N N N AMERICAN TOWER TRUST I N/A 03027WAK8 1910000 PA USD 1996707.12 0.1795875625 Long ABS-O CORP US Y 2 2048-03-15 Fixed 3.652 N N N N N N AMTRUST FINANCIAL SERVIC 549300SNNS1GRWBTGA28 032359AE1 3030000 PA USD 3094364.5 0.2783129145 Long DBT CORP US N 2 2023-08-15 Fixed 6.125 N N N N N N ANHEUSER BUSCH CO/INBEV 5493002J2SVENP0PVK27 03522AAJ9 4225000 PA USD 5011367.73 0.4507317604 Long DBT CORP US N 2 2046-02-01 Fixed 4.9 N N N N N N ANTARES HOLDINGS N/A 03666HAA9 2945000 PA USD 3098523.41 0.2786869746 Long DBT CORP US Y 2 2023-08-15 Fixed 6 N N N N N N ANTERO RESOURCES CORP APVBKPOULHUX7YZLKU17 03674PAL7 5459000 PA USD 5197991.56 0.4675170558 Long DBT CORP US N 2 2021-11-01 Fixed 5.375 N N N N N N APOLLO MANAGEMENT HOLDIN 5493006XQW0V5K38YM64 03765HAE1 805000 PA USD 816004.35 0.0733929532 Long DBT CORP US Y 2 2050-01-14 Fixed 4.95 N N N N N N ARBYS FUNDING LLC N/A 038779AA2 1824000 PA USD 1852385.64 0.1666070194 Long ABS-O CORP US Y 2 2045-10-30 Fixed 4.969 N N N N N N ARCH CAPITAL GRP US INC 549300B4QKQFLY1XST28 03938JAA7 540000 PA USD 670048.38 0.060265401 Long DBT CORP US N 2 2043-11-01 Fixed 5.144 N N N N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 04010LAU7 2600000 PA USD 2639133.51 0.2373685902 Long DBT CORP US N 2 2023-02-10 Fixed 3.5 N N N N N N ARES FINANCE CO LLC N/A 04015CAA6 2080000 PA USD 2079252.86 0.1870118803 Long DBT CORP US Y 2 2024-10-08 Fixed 4 N N N N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 042735BG4 965000 PA USD 992317.99 0.0892509308 Long DBT CORP US N 2 2024-09-08 Fixed 3.25 N N N N N N ASCENTIUM EQUIPMENT RECEIVABLE N/A 04365TAF4 2473000 PA USD 2531020.29 0.2276446855 Long ABS-O CORP US Y 2 2024-07-10 Fixed 4.15 N N N N N N ASCENTIUM EQUIPMENT RECEIVABLE N/A 04365UAN4 1251000 PA USD 1280606.17 0.1151801074 Long ABS-O CORP US Y 2 2027-04-12 Fixed 4.31 N N N N N N ASCENTIUM EQUIPMENT RECEIVABLE N/A 04365VAG7 3759000 PA USD 3732763.31 0.3357316942 Long ABS-O CORP US Y 2 2027-05-10 Fixed 3.78 N N N N N N ASSOC BANC CORP 549300N3CIN473IW5094 045487AB1 2991000 PA USD 3162079.46 0.2844033243 Long DBT CORP US N 2 2025-01-15 Fixed 4.25 N N N N N N ASSURANT CLO III, LTD 635400CQOZFHCREPDQ50 04624WAG2 820000 PA USD 813404.74 0.0731591394 Long ABS-CBDO CORP KY Y 2 2031-10-20 Floating 4.21588 N N N N N N AT+T INC 549300Z40J86GGSTL398 00206RCQ3 2830000 PA USD 3202831.7 0.2880686568 Long DBT CORP US N 2 2046-05-15 Fixed 4.75 N N N N N N AT+T INC 549300Z40J86GGSTL398 00206RDR0 648000 PA USD 774219.95 0.0696347863 Long DBT CORP US N 2 2037-03-01 Fixed 5.25 N N N N N N AT+T INC 549300Z40J86GGSTL398 00206RJF0 210000 PA USD 273470.55 0.0245964513 Long DBT CORP US N 2 2041-03-29 Fixed 6.25 N N N N N N ATHENE HOLDING LTD 549300H316CT32FQXI76 04686JAA9 6228000 PA USD 6448770.64 0.5800144591 Long DBT CORP BM N 2 2028-01-12 Fixed 4.125 N N N N N N ATRIUM CDO CORP N/A 04965FAG6 1190000 PA USD 1184490.3 0.1065352668 Long ABS-CBDO CORP KY Y 2 2031-01-23 Floating 3.684 N N N N N N AUTORIDAD CANAL DE PANAM 549300W1ISP1PW2J2P64 05330GAA2 1050000 PA USD 1223260.5 0.1100223309 Long DBT NUSS PA Y 2 2035-07-29 Fixed 4.95 N N N N N N AVANGRID INC 549300OX0Q38NLSKPB49 05351WAB9 1675000 PA USD 1777498.48 0.1598715285 Long DBT CORP US N 2 2029-06-01 Fixed 3.8 N N N N N N AVANGRID INC 549300OX0Q38NLSKPB49 05353AAM1 6000000 PA USD 5993091 0.5390297824 Long STIV CORP US N 2 2020-01-21 None 0 N N N N N N AVENTURA MALL TRUST N/A 05359AAG8 4270000 PA USD 4541683.02 0.4084874416 Long ABS-O CORP US Y 2 2040-07-05 Floating 4.11232 N N N N N N AVERY POINT CLO LTD 549300ZZJXJNKXU40667 05364CBC5 1000000 PA USD 1000106 0.089951399 Long ABS-CBDO CORP KY Y 2 2028-01-15 Floating 5.60088 N N N N N N AVIS BUDGET RENTAL CAR FUNDING IHXLB8SL0QWSSG2VG640 05377RDJ0 1271000 PA USD 1300992.42 0.1170136848 Long ABS-O CORP US Y 2 2023-03-20 Fixed 4.53 N N N N N N AVIS BUDGET RENTAL CAR FUNDING IHXLB8SL0QWSSG2VG640 05377RDM3 5766000 PA USD 5941925.27 0.5344278412 Long ABS-O CORP US Y 2 2025-09-22 Fixed 3.55 N N N N N N AXIS SPECIALTY FINAN PLC N/A 05464HAC4 2500000 PA USD 2650986.15 0.2384346387 Long DBT CORP GB N 2 2027-12-06 Fixed 4 N N N N N N AXIS SPECIALTY FINANCE N/A 05463HAB7 885000 PA USD 925776.97 0.0832661074 Long DBT CORP US N 2 2029-07-15 Fixed 3.9 N N N N N N AXIS SPECIALTY FINANCE N/A 05463HAC5 1315000 PA USD 1332852.3 0.1198792218 Long DBT CORP US N 2 2040-01-15 Fixed 4.9 N N N N N N BALLYROCK LTD N/A 05875MAJ1 400000 PA USD 402682.8 0.0362180421 Long ABS-CBDO CORP KY Y 2 2030-11-20 Floating 5.99769 N N N N N N BANC OF AMERICA MERRILL LYNCH N/A 054967AJ3 670000 PA USD 669619.51 0.0602268276 Long ABS-O CORP US Y 2 2034-09-15 Floating 3.08975 N N N N N N BANC OF AMERICA MORTGAGE SECUR 549300IE5TDZLY0T0V30 05949ALH1 22039.81 PA USD 21743.5 0.0019556509 Long ABS-O CORP US N 2 2034-08-25 Floating 4.62389 N N N N N N BANK N/A 065403BG1 441000 PA USD 475865.72 0.0428002504 Long ABS-O CORP US N 2 2052-04-15 Floating 4.128 N N N N N N BANK N/A 065405AF9 665833 PA USD 738263.98 0.0664008393 Long ABS-O CORP US N 2 2052-02-15 Floating 4.267 N N N N N N BANK N/A 065405AG7 547420 PA USD 600790.06 0.0540361785 Long ABS-O CORP US N 2 2052-02-15 Floating 4.438 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGC7 1090000 PA USD 1182047.07 0.1063155181 Long DBT CORP US N 2 2027-11-25 Fixed 4.183 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGM5 1150000 PA USD 1325857.16 0.1192500659 Long DBT CORP US N 2 2038-04-24 Fixed 4.244 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 59022CAJ2 1550000 PA USD 2095180.52 0.1884444437 Long DBT CORP US N 2 2037-01-29 Fixed 6.11 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 59023VAA8 400000 PA USD 630561.89 0.0567139125 Long DBT CORP US N 2 2038-05-14 Fixed 7.75 N N N N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 064159HB5 795000 PA USD 873395.28 0.0785548005 Long DBT CORP CA N 2 2025-12-16 Fixed 4.5 N N N N Y Bank of Nova Scotia USD XXXX N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 064159KJ4 3575000 PA USD 3619687.5 0.3255614449 Long DBT CORP CA N 2 2099-12-31 Fixed 4.65 N N N N Y Bank of Nova Scotia CAD XXXX N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06739FFU0 3351000 PA USD 3725050.45 0.3350379851 Long DBT CORP GB Y 2 2021-06-12 Fixed 10.179 N N N N N N BARCLAYS COMMERCIAL MORTGAGE S N/A 05491VAE6 2250000 PA USD 2399655.83 0.215829521 Long ABS-O CORP US Y 2 2038-08-05 Floating 4.2665 N N N N N N BARCLAYS COMMERCIAL MORTGAGE S N/A 05491VAG1 1610000 PA USD 1702463.43 0.1531227362 Long ABS-O CORP US Y 2 2038-08-05 Floating 4.2665 N N N N N N BARCLAYS COMMERCIAL MORTGAGE S N/A 05491VAJ5 1370000 PA USD 1419122.31 0.1276385074 Long ABS-O CORP US Y 2 2038-08-05 Floating 4.2665 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAU9 1720000 PA USD 1846070.24 0.1660390005 Long DBT CORP GB N 2 2028-01-10 Fixed 4.337 N N N N Y N/A N/A XXXX N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBC8 2085000 PA USD 2108814.02 0.1896706661 Long DBT CORP GB N 2 2024-05-16 Floating 3.28413 N N N N Y N/A N/A XXXX N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBK0 540000 PA USD 558335.03 0.050217694 Long DBT CORP US N 2 2049-09-06 Fixed 4.758 N N N N N N BEAR STEARNS COMMERCIAL MORTGA N/A 07388VAG3 366949.43 PA USD 367163.99 0.0330234141 Long ABS-O CORP US N 2 2045-01-12 Floating 5.44991 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 075887BG3 825000 PA USD 965505.13 0.0868393322 Long DBT CORP US N 2 2044-12-15 Fixed 4.685 N N N N N N BEMIS COMPANY INC. PTVU09TE3QPJPL7K4E13 08143TA64 12000000 PA USD 11996388 1.0789775114 Long STIV CORP US N 2 2020-01-06 None 0 N N N N N N BENEFIT STREET PARTNERS CLO LT 549300MYLNCW81S1Y182 08181LAQ0 500000 PA USD 489936 0.0440657576 Long ABS-CBDO CORP KY Y 2 2029-01-15 Floating 5.50088 N N N N N N BENEFIT STREET PARTNERS CLO LT N/A 08186PAC7 500000 PA USD 500585 0.0450235486 Long ABS-CBDO CORP KY Y 2 2032-10-15 Floating 3.85925 N N N N N N BHMS MORTGAGE TRUST N/A 05549GAA9 4450000 PA USD 4441650.47 0.3994903275 Long ABS-O CORP US Y 2 2035-07-15 Floating 2.98975 N N N N N N BHMS MORTGAGE TRUST N/A 05549GAG6 4950000 PA USD 4940699.45 0.4443757235 Long ABS-O CORP US Y 2 2035-07-15 Floating 3.23975 N N N N N N BLACKROCK TCP CAP CORP 549300JU1XG1HF56J989 09259EAA6 2910000 PA USD 2973399.18 0.267433068 Long DBT CORP US N 2 2024-08-23 Fixed 3.9 N N N N N N BLACKROCK TCP CAP CORP 549300JU1XG1HF56J989 87238QAE3 2870000 PA USD 2972102.63 0.2673164539 Long DBT CORP US N 2 2022-08-11 Fixed 4.125 N N N N N N BM1105949 SWAPTION N/A 99ZW81806 66610000 NC USD 2549480.43 0.229305025 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Put Purchased BARCLAYS CAPITAL AC28XWWI3WIBK2824319 2042-12-15 3330034.59 USD 0 USD 66610000 USD 1 USD 2.94 USD 2032-12-13 XXXX -780554.16 N N N BM1106210 SWAPTION N/A 99ZW82572 16360000 NC USD 1076403.09 0.0968137015 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Call Purchased BARCLAYS CAPITAL AC28XWWI3WIBK2824319 2042-12-15 817874.04 USD 0 USD 16360000 USD 1 USD 2.44 USD 2032-12-13 XXXX 258529.05 N N N BM1107630 SWAPTION N/A 99ZX35644 72340000 NC USD 2480847.49 0.2231320503 N/A DIR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Put Purchased CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 2043-02-02 3465086 USD 0 USD 72340000 USD 1 USD 3.11 USD 2033-01-31 XXXX -984238.51 N N N BM1107895 SWAPTION N/A 99ZX35750 18140000 NC USD 1327196.41 0.1193705205 N/A DIR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Call Purchased CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 2043-02-02 870720 USD 0 USD 18140000 USD 1 USD 2.61 USD 2033-01-31 XXXX 456476.41 N N N BRE GRAND ISLANDER TIMESHARE I N/A 05584AAA8 616157.02 PA USD 616570.15 0.0554554693 Long ABS-O CORP US Y 2 2029-05-25 Fixed 2.94 N N N N N N BRISTOL MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122BV9 1230000 PA USD 1467774.92 0.1320144139 Long DBT CORP US Y 2 2047-11-15 Fixed 4.35 N N N N N N BROADRIDGE FINANCIAL SOL N/A 11133TAD5 1210000 PA USD 1208892.4 0.1087300372 Long DBT CORP US N 2 2029-12-01 Fixed 2.9 N N N N N N BROOKFIELD FINANCE INC N/A 11271LAD4 1752000 PA USD 2006239.2 0.1804448955 Long DBT CORP CA N 2 2029-03-29 Fixed 4.85 N N N N N N BROWN + BROWN INC 549300PC8KTJ71XKFY89 115236AA9 1132000 PA USD 1204256.83 0.1083131054 Long DBT CORP US N 2 2024-09-15 Fixed 4.2 N N N N N N BUNGE LTD FINANCE CORP 549300QHC068L40NNM71 120568AX8 1179000 PA USD 1174751.66 0.1056593554 Long DBT CORP US N 2 2026-08-15 Fixed 3.25 N N N N N N BUNGE LTD FINANCE CORP 549300QHC068L40NNM71 120568BA7 1810000 PA USD 1901494.81 0.1710239897 Long DBT CORP US N 2 2024-03-15 Fixed 4.35 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2 N/A 056054AH2 1729000 PA USD 1730620.76 0.155655259 Long ABS-O CORP US Y 2 2036-10-15 Floating 3.53975 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2 N/A 056054AJ8 2088000 PA USD 2089305.63 0.1879160452 Long ABS-O CORP US Y 2 2036-10-15 Floating 3.73975 N N N N N N BX TRUST N/A 056059AG3 735000 PA USD 734544.89 0.0660663374 Long ABS-O CORP US Y 2 2035-11-15 Floating 2.63975 N N N N N N BX TRUST N/A 056059AN8 1876000 PA USD 1881240.61 0.1692022892 Long ABS-O CORP US Y 2 2035-11-15 Floating 3.43975 N N N N N N CAL FUNDING III LTD N/A 12805PAJ5 1330000 PA USD 1349062.09 0.1213371605 Long ABS-O CORP BM Y 2 2043-09-25 Fixed 4.34 N N N N N N CALIFORNIA ST N/A 13063A5G5 920000 PA USD 1475698.4 0.1327270664 Long DBT MUN US N 2 2039-04-01 Fixed 7.55 N N N N N N CAMB COMMERCIAL MORTGAGE TRUST N/A 12482HAL8 898516 PA USD 901052.87 0.0810423757 Long ABS-O CORP US Y 2 2037-12-15 Floating 3.48975 N N N N N N CANYON CAPITAL CLO LTD N/A 13887WAE0 250000 PA USD 250389.75 0.0225205211 Long ABS-CBDO CORP KY Y 2 2032-10-15 Floating 4.83804 N N N N N N CAPITAL AUTOMOTIVE REIT N/A 12479RAB3 861627.24 PA USD 860624.56 0.0774061781 Long ABS-CBDO CORP US Y 2 2044-10-15 Fixed 3.66 N N N N N N CAPITAL AUTOMOTIVE REIT N/A 12479RAE7 945896.82 PA USD 961381.72 0.086468465 Long ABS-O CORP US Y 2 2047-04-15 Fixed 4.18 N N N N N N CARLYLE FINANCE SUB LLC N/A 14314DAA1 1100000 PA USD 1097305.42 0.0986936961 Long DBT CORP US Y 2 2029-09-19 Fixed 3.5 N N N N N N CARLYLE GLOBAL MARKET STRATEGI 549300XYKYPK3H877P92 14311MAU0 330000 PA USD 318915.63 0.0286838666 Long ABS-CBDO CORP KY Y 2 2028-07-28 Floating 4.78563 N N N N N N CARMAX AUTO OWNER TRUST N/A 14315PAH8 1974000 PA USD 1970553.79 0.1772352832 Long ABS-O CORP US N 2 2026-01-15 Fixed 2.85 N N N N N N CARVANA AUTO RECEIVABLES TRUST N/A 14686YAG2 1625000 PA USD 1621703.53 0.1458590402 Long ABS-O CORP US Y 2 2025-07-15 Fixed 3.07 N N N N N N CASTLELAKE AIRCRAFT SECURITIZA N/A 14855MAA6 1458427.78 PA USD 1472282.84 0.1324198646 Long ABS-O CORP US Y 2 2039-04-15 Fixed 3.967 N N N N N N CASTLELAKE AIRCRAFT STRUCTURED N/A 14856CAA7 1440463.7 PA USD 1464276.73 0.1316997801 Long ABS-O CORP US Y 2 2043-06-15 Fixed 4.125 N N N N N N CBAM CLO MANAGEMENT 254900FSYLEH1VUJJF28 12481XAS9 900000 PA USD 902564.1 0.0811782985 Long ABS-CBDO CORP KY Y 2 2031-01-15 Floating 3.84561 N N N N N N CBAM CLO MANAGEMENT N/A 12482NAG6 1900000 PA USD 1905831.1 0.1714140037 Long ABS-CBDO CORP KY Y 2 2032-04-20 Floating 4.01588 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPBT9 1275000 PA USD 1345125 0.1209830513 Long DBT CORP US Y 2 2027-05-01 Fixed 5.125 N N N N N N CENOVUS ENERGY INC 549300EIRQ0Z2B9C1W06 15135UAF6 550000 PA USD 700737.58 0.0630256449 Long DBT CORP CA N 2 2039-11-15 Fixed 6.75 N N N N N N CENOVUS ENERGY INC 549300EIRQ0Z2B9C1W06 15135UAM1 1125000 PA USD 1191901.85 0.1072018754 Long DBT CORP CA N 2 2027-04-15 Fixed 4.25 N N N N N N CHARTER COMM OPT LLC/CAP 549300TPZNMN50BJ3745 161175BA1 735000 PA USD 911198.78 0.0819549178 Long DBT CORP US N 2 2045-10-23 Fixed 6.484 N N N N N N CHASE EDUCATION LOAN TRUST N/A 16151UAD8 5960954.76 PA USD 5756589.98 0.5177584395 Long ABS-O CORP US N 2 2039-06-28 Floating 2.0605 N N N N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAH8 463000 PA USD 472823.46 0.0425266239 Long DBT CORP US Y 2 2029-11-15 Fixed 3.7 N N N N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 16411QAE1 533000 PA USD 547710.8 0.0492621309 Long DBT CORP US Y 2 2029-10-01 Fixed 4.5 N N N N N N CIFC FUNDING LTD 635400BTAKRBKGRV3X14 12551MAA7 2330000 PA USD 2324326.45 0.2090542561 Long ABS-CBDO CORP KY Y 2 2030-11-16 Floating 3.18213 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523CE8 880000 PA USD 1021453.25 0.0918714104 Long DBT CORP US Y 2 2046-07-15 Fixed 4.8 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KU4 1725000 PA USD 1882439.03 0.1693100773 Long DBT CORP US N 2 2028-07-25 Fixed 4.125 N N N N N N CITY OF HOPE/THE 549300QIQJNNQEIXBL15 17858PAB7 1050000 PA USD 1215972.98 0.1093668778 Long DBT CORP US N 2 2048-08-15 Fixed 4.378 N N N N N N CLEAR CREEK CLO LTD 254900YU962C7CTRM558 18452LAG3 2040000 PA USD 2035020.36 0.1830335267 Long ABS-CBDO CORP KY Y 2 2030-10-20 Floating 3.16588 N N N N N N CLEVELAND ELECTRIC ILLUM N/A 186108CK0 945000 PA USD 984330.23 0.0885324968 Long DBT CORP US Y 2 2028-04-01 Fixed 3.5 N N N N N N CMS ENERGY CORP 549300IA9XFBAGNIBW29 125896BN9 780000 PA USD 931639.36 0.0837933817 Long DBT CORP US N 2 2044-03-01 Fixed 4.875 N N N N N N CNH INDUSTRIAL CAP LLC 549300PNSJ5B81UMVO28 12592BAG9 2280000 PA USD 2339600.45 0.2104280281 Long DBT CORP US N 2 2021-10-15 Fixed 3.875 N N N N N N CNO FINANCIAL GROUP INC 11XPYHB76MPM4Y4P2897 12621EAK9 2621000 PA USD 2902757.5 0.2610794235 Long DBT CORP US N 2 2025-05-30 Fixed 5.25 N N N N N N COLLEGE AVE STUDENT LOANS N/A 19421UAC8 2244000 PA USD 2245794.53 0.2019909487 Long ABS-O CORP US Y 2 2048-12-28 Fixed 3.81 N N N N N N COLLEGE AVE STUDENT LOANS N/A 19421UAD6 1281000 PA USD 1278839.59 0.1150212179 Long ABS-O CORP US Y 2 2048-12-28 Fixed 4.46 N N N N N N COLLEGE LOAN CORPORATON TRUST 2549009BH7OGY8PKL423 194267AM2 900000 PA USD 712854.9 0.0641154993 Long ABS-O CORP US N 2 2047-01-25 Floating 0 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NAV3 265000 PA USD 393055.71 0.0353521637 Long DBT CORP US N 2 2037-08-15 Fixed 6.95 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NBK6 880000 PA USD 1071017.16 0.0963292809 Long DBT CORP US N 2 2044-03-01 Fixed 4.75 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NBU4 645000 PA USD 654655.5 0.0588809367 Long DBT CORP US N 2 2046-07-15 Fixed 3.4 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCC3 630000 PA USD 694089.21 0.0624276781 Long DBT CORP US N 2 2047-11-01 Fixed 3.969 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCZ2 565000 PA USD 579231.73 0.0520971821 Long DBT CORP US N 2 2050-02-01 Fixed 3.45 N N N N N N COMM MORTGAGE TRUST N/A 12591UAH6 1375000 PA USD 1453034.28 0.1306886132 Long ABS-O CORP US N 2 2047-03-10 Fixed 4.199 N N N N N N COMM MORTGAGE TRUST N/A 12592MBQ2 2908000 PA USD 3057453.17 0.2749930406 Long ABS-O CORP US N 2 2047-10-10 Floating 4.57462 N N N N N N COMM MORTGAGE TRUST N/A 12593ABE4 1000000 PA USD 1045987.5 0.0940780666 Long ABS-O CORP US N 2 2048-05-10 Floating 4.24974 N N N N N N COMM MORTGAGE TRUST N/A 12624QBA0 1060000 PA USD 1023675.18 0.092071255 Long ABS-O CORP US Y 2 2045-10-15 Fixed 3.703 N N N N N N COUNTRYWIDE ASSET BACKED CERTI N/A 1266716D3 23961.53 PA USD 22844.92 0.0020547147 Long ABS-O CORP US N 2 2034-09-25 Floating 2.252 N N N N N N COUNTRYWIDE HOME LOANS N/A 12669EH33 4023.21 PA USD 3829.15 0.0003444009 Long ABS-O CORP US N 2 2033-09-25 Floating 3.991 N N N N N N COUNTRYWIDE HOME LOANS N/A 12669FKR3 17921.19 PA USD 16776.49 0.0015089088 Long ABS-O CORP US N 2 2034-02-25 Floating 4.60804 N N N N N N CPT MORTGAGE TRUST N/A 12654YAJ8 982000 PA USD 955448.19 0.0859347922 Long ABS-O CORP US Y 2 2039-11-13 Floating 2.9968 N N N N N N CPT MORTGAGE TRUST N/A 12654YAL3 1556000 PA USD 1450750.14 0.1304831734 Long ABS-O CORP US Y 2 2039-11-13 Floating 2.9968 N N N N N N CREDIT SUISSE AG ANGGYXNX0JLX3X63JN86 22546DAA4 3069000 PA USD 3418098.75 0.3074301767 Long DBT CORP CH Y 2 2023-08-08 Fixed 6.5 N N N N N N CRONOS CONTAINERS PROGRAM LTD 549300MPYH4CSGCW6113 227170AG2 261111.1 PA USD 261146.45 0.0234879988 Long ABS-O CORP BM Y 2 2029-11-18 Fixed 3.27 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAM3 589000 PA USD 716645.15 0.0644564014 Long DBT CORP US N 2 2049-02-15 Fixed 5.2 N N N N N N CROWN CASTLE TOWERS LLC N/A 22822RBB5 1700000 PA USD 1718217.54 0.1545396902 Long ABS-O CORP US Y 2 2042-05-15 Fixed 3.222 N N N N N N CROWN CASTLE TOWERS LLC N/A 22822RBH2 2750000 PA USD 3044137.25 0.2737953819 Long ABS-O CORP US Y 2 2048-07-15 Fixed 4.241 N N N N N N CSX CORP 549300JVQR4N1MMP3Q88 126408HN6 650000 PA USD 788793.51 0.0709455595 Long DBT CORP US N 2 2048-11-15 Fixed 4.75 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650BR0 560000 PA USD 715438.2 0.0643478461 Long DBT CORP US N 2 2039-09-15 Fixed 6.125 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CX6 1175000 PA USD 1283618.47 0.1154510393 Long DBT CORP US N 2 2028-03-25 Fixed 4.3 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CZ1 1255000 PA USD 1487208.12 0.1337622721 Long DBT CORP US N 2 2048-03-25 Fixed 5.05 N N N N N N CVS PASS THROUGH TRUST 549300EJG376EN5NQE29 126650BS8 933511 PA USD 1154498.55 0.1038377529 Long DBT CORP US Y 2 2032-01-10 Fixed 7.507 N N N N N N CVS PASS THROUGH TRUST 549300EJG376EN5NQE29 126650BY5 1086935.36 PA USD 1267170.44 0.1139716728 Long DBT CORP US Y 2 2034-01-10 Fixed 5.926 N N N N N N DB MASTER FINANCE LLC 549300F17UZJL70BPB08 233046AL5 1550210 PA USD 1631239.48 0.1467167213 Long ABS-O CORP US Y 2 2049-05-20 Fixed 4.352 N N N N N N DEEPHAVEN RESIDENTIAL MORTGAGE N/A 24380RAC4 902265.18 PA USD 909434.49 0.0817962342 Long ABS-O CORP US Y 2 2059-01-25 Floating 3.948 N N N N N N DELL INT LLC / EMC CORP N/A 25272KAK9 2702000 PA USD 3110542.32 0.2797679778 Long DBT CORP US Y 2 2026-06-15 Fixed 6.02 N N N N N N DEUTSCHE BANK NY N/A 251526BP3 2553000 PA USD 2564610.69 0.2306658688 Long DBT CORP DE N 2 2021-01-22 Fixed 3.15 N N N N Y N/A N/A XXXX N N N DIAGEO CAPITAL PLC 213800L23DJLALFC4O95 2524H4AQ3 4000000 PA USD 3995085.32 0.359325425 Long STIV CORP US N 2 2020-01-24 None 0 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAM1 1105000 PA USD 1118470.8 0.1005973498 Long DBT CORP US N 2 2026-12-01 Fixed 3.25 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAN1 2905000 PA USD 3035725 0.2730387685 Long DBT CORP US N 2 2028-08-09 Fixed 4.682 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAR0 1552000 PA USD 1656793.8 0.1490151245 Long DBT CORP US N 2 2028-03-20 Fixed 3.95 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAS8 995000 PA USD 1124534.95 0.1011427708 Long DBT CORP US N 2 2037-09-20 Fixed 5 N N N N N N DOMINOS PIZZA MASTER ISSUER LL N/A 25755TAE0 2999250 PA USD 3088304.03 0.2777678245 Long ABS-O CORP US Y 2 2045-10-25 Fixed 4.474 N N N N N N DOMINOS PIZZA MASTER ISSUER LL N/A 25755TAH3 764400 PA USD 789252.02 0.0709867987 Long ABS-O CORP US Y 2 2047-07-25 Fixed 4.118 N N N N N N DOMINOS PIZZA MASTER ISSUER LL 5299004V0Y8MI5D9FF45 25755TAL4 1100000 PA USD 1104599.98 0.0993497824 Long ABS-O CORP US Y 2 2049-10-25 Fixed 3.668 N N N N N N DRB PRIME STUDENT LOAN TRUST N/A 518887AC8 680373.87 PA USD 689852.7 0.0620466385 Long ABS-O CORP US Y 2 2042-08-25 Fixed 3.02 N N N N N N DRUG ROYALTY II LP 1 549300Y0CSPJQGA1JE86 26223UAD1 24271.88 PA USD 24265.57 0.0021824906 Long ABS-O CORP US Y 2 2023-07-15 Fixed 3.484 N N N N N N DRYDEN SENIOR LOAN FUND N/A 26252NAE9 1500000 PA USD 1504029 0.1352751735 Long ABS-CBDO CORP KY Y 2 2032-05-15 Floating 3.80988 N N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26244HAT0 12000000 PA USD 11981838 1.0776688573 Long STIV CORP US N 2 2020-01-27 None 0 N N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CAT2 635000 PA USD 656873.52 0.0590804295 Long DBT CORP US N 2 2046-09-01 Fixed 3.75 N N N N N N DUPONT DE NEMOURS INC 5493004JF0SDFLM8GD76 26078JAE0 1750000 PA USD 2088924.44 0.1878817602 Long DBT CORP US N 2 2038-11-15 Fixed 5.319 N N N N N N DUPONT DE NEMOURS INC 5493004JF0SDFLM8GD76 26082MAP2 7000000 PA USD 6991086.83 0.6287913887 Long STIV CORP US N 2 2020-01-23 None 0 N N N N N N DUPONT DE NEMOURS INC 5493004JF0SDFLM8GD76 26082MAT4 5000000 PA USD 4992383.75 0.4490243059 Long STIV CORP US N 2 2020-01-27 None 0 N N N N N N EARNEST STUDENT LOAN PROGRAM L N/A 27034JAB7 484465.17 PA USD 486534.03 0.0437597781 Long ABS-O CORP US Y 2 2034-05-25 Fixed 3.02 N N N N N N EATON VANCE CDO LTD 5493007R7GEORNX00105 27830XAE6 1800000 PA USD 1804854.6 0.162331989 Long ABS-CBDO CORP KY Y 2 2031-04-15 Floating 3.95088 N N N N N N EATON VANCE CDO LTD 549300R0C8KS2AMEHL81 27831BAE3 1700000 PA USD 1696724.1 0.1526065301 Long ABS-CBDO CORP KY Y 2 2030-10-15 Floating 3.75088 N N N N N N ECMC GROUP STUDENT LOAN TRUST N/A 26828WAA2 2258229.32 PA USD 2258226.38 0.2031090925 Long ABS-O CORP US Y 2 2066-12-27 Floating 2.992 N N N N N N ECMC GROUP STUDENT LOAN TRUST N/A 26829GAA6 2166019.27 PA USD 2125430.23 0.1911651591 Long ABS-O CORP US Y 2 2068-09-25 Floating 2.592 N N N N N N EDLINC STUDENT LOAN FUNDING TR N/A 28108RAA0 2384303.71 PA USD 2350933 0.2114472988 Long ABS-O CORP US Y 2 2047-12-01 Floating 4.35 N N N N N N EDUCATIONAL FUNDING OF THE SOU N/A 28148WAC7 625000 PA USD 646694.63 0.0581649212 Long ABS-O CORP US N 2 2046-04-25 Floating 5.63963 N N N N N N EDUCATIONAL SERVICES OF AMERIC N/A 28090AAB5 1200000 PA USD 1132661.4 0.1018736789 Long ABS-O CORP US Y 2 2048-06-25 Floating 3.292 N N N N N N EDUCATIONAL SERVICES OF AMERIC N/A 281378AB5 1100000 PA USD 1049445.32 0.0943890694 Long ABS-O CORP US Y 2 2056-10-25 Floating 3.292 N N N N N N EDVESTINU PRIVATE EDUCATION LO N/A 28166GAA3 1614092.11 PA USD 1670462.18 0.1502444841 Long ABS-O CORP US Y 2 2038-11-25 Fixed 3.58 N N N N N N EL PUERTO DE LIVERPOOL 4469000001BO4JEXZL32 283837AA0 2620000 PA USD 2695351.2 0.2424249141 Long DBT CORP MX Y 2 2024-10-02 Fixed 3.95 N N N N N N ELMWOOD CLO II LTD. N/A 29001LAA9 2900000 PA USD 2909332.2 0.2616707643 Long ABS-CBDO CORP KY Y 2 2031-04-20 Floating 3.41588 N N N N N N ELMWOOD CLO III LTD N/A 29002HAE9 350000 PA USD 350227.85 0.031500146 Long ABS-CBDO CORP KY Y 2 2032-10-15 Floating 3.76788 N N N N N N EMBARQ CORP N/A 29078EAA3 145000 PA USD 153337.5 0.0137914607 Long DBT CORP US N 2 2036-06-01 Fixed 7.995 N N N N N N ENCANA CORP CZ72ZHBVKZXQRV3XFE26 292505AG9 545000 PA USD 643904.25 0.0579139492 Long DBT CORP CA N 2 2038-02-01 Fixed 6.5 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29273RBJ7 1000000 PA USD 1159725.81 0.1043079024 Long DBT CORP US N 2 2045-12-15 Fixed 6.125 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29273RBK4 1085000 PA USD 1136376.38 0.1022078111 Long DBT CORP US N 2 2027-04-15 Fixed 4.2 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAA1 2370000 PA USD 2227800 0.2003724871 Long DBT CORP US N 2 2099-12-31 Fixed 6.25 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAK9 1125000 PA USD 1169133.02 0.1051540044 Long DBT CORP US N 2 2020-10-15 Fixed 7.5 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAM5 1150000 PA USD 1273210.89 0.1145149621 Long DBT CORP US N 2 2024-01-15 Fixed 5.875 N N N N N N ENLINK MIDSTREAM PARTNER 88CPW63VL7KHJWS0NY83 29336UAE7 2924000 PA USD 2748560 0.2472106128 Long DBT CORP US N 2 2025-06-01 Fixed 4.15 N N N N N N ENLINK MIDSTREAM PARTNER 88CPW63VL7KHJWS0NY83 29336UAF4 951000 PA USD 891562.5 0.0801887941 Long DBT CORP US N 2 2026-07-15 Fixed 4.85 N N N N N N ENSTAR GROUP LTD 213800AMAL5QFXVUCN04 29359UAA7 920000 PA USD 953946.83 0.0857997571 Long DBT CORP BM N 2 2022-03-10 Fixed 4.5 N N N N N N ENSTAR GROUP LTD 213800AMAL5QFXVUCN04 29359UAB5 1600000 PA USD 1714441.06 0.1542000266 Long DBT CORP BM N 2 2029-06-01 Fixed 4.95 N N N N N N ENTERGY CORP N/A 29366EAP1 8000000 PA USD 7989915.76 0.7186279256 Long STIV CORP US N 2 2020-01-23 None 0 N N N N N N ENTERGY LOUISIANA LLC 0V5453U14HDZO63CGH17 29364WAV0 1005000 PA USD 1078047.99 0.0969616469 Long DBT CORP US N 2 2045-01-15 Fixed 4.95 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBN2 575000 PA USD 581888.5 0.052336137 Long DBT CORP US N 2 2077-08-16 Fixed 5.25 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBR3 1205000 PA USD 1197519.96 0.1077071787 Long DBT CORP US N 2 2078-02-15 Fixed 5.375 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAD2 2325000 PA USD 2332420.1 0.209782214 Long DBT CORP US N 2 2023-07-15 Fixed 4.75 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAE9 1550000 PA USD 1523353.3 0.137013237 Long DBT CORP US N 2 2022-10-01 Fixed 3 N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAF6 4510000 PA USD 4196113.34 0.3774062601 Long DBT CORP US N 2 2027-10-01 Fixed 3.9 N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882PAR3 125000 PA USD 168763.02 0.0151788608 Long DBT CORP US Y 2 2034-06-01 Fixed 6.7 N N N N N N EXELON CORP N/A 3016A2A64 1000000 PA USD 999699 0.0899147926 Long STIV CORP US N 2 2020-01-06 None 0 N N N N N N FANNIE MAE CAS B1V7KEBTPIMZEU4LTD58 20754FAK8 2166000 PA USD 2189214.11 0.1969020002 Long ABS-O USGSE US Y 2 2031-07-25 Floating 4.242 N N N N N N FANNIE MAE CAS B1V7KEBTPIMZEU4LTD58 30711XCZ5 6310.97 PA USD 6313.9 0.0005678839 Long ABS-O USGSE US N 2 2029-01-25 Floating 3.242 N N N N N N FANNIE MAE CAS B1V7KEBTPIMZEU4LTD58 30711XDP6 436846.89 PA USD 437623.17 0.0393606441 Long ABS-O USGSE US N 2 2029-04-25 Floating 3.092 N N N N N N FCI FUNDING, LLC 213800W6B18ZHTNG7371 30259MAA4 426119.08 PA USD 427924.63 0.0384883394 Long ABS-O CORP US Y 2 2031-02-18 Fixed 3.63 N N N N N N FED HM LN PC POOL C01079 S6XOOCT0IEG5ABCC6L87 31292HFU3 1127.99 PA USD 1312.57 0.000118055 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 7.5 N N N N N N FED HM LN PC POOL C01135 S6XOOCT0IEG5ABCC6L87 31292HHL1 4868.57 PA USD 5643.43 0.0005075806 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 7.5 N N N N N N FED HM LN PC POOL C90939 S6XOOCT0IEG5ABCC6L87 3128P7BG7 18841.28 PA USD 20347.38 0.0018300813 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 5.5 N N N N N N FED HM LN PC POOL C91026 S6XOOCT0IEG5ABCC6L87 3128P7D75 30975.14 PA USD 33470.53 0.0030104019 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 5.5 N N N N N N FED HM LN PC POOL C91074 S6XOOCT0IEG5ABCC6L87 3128P7FP3 3360.89 PA USD 3631.65 0.0003266374 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 5.5 N N N N N N FED HM LN PC POOL C91128 S6XOOCT0IEG5ABCC6L87 3128P7HD8 1678.46 PA USD 1815.25 0.000163267 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 5.5 N N N N N N FED HM LN PC POOL C91148 S6XOOCT0IEG5ABCC6L87 3128P7HZ9 75701.66 PA USD 81871.24 0.007363652 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 5.5 N N N N N N FED HM LN PC POOL C91176 S6XOOCT0IEG5ABCC6L87 3128P7JV6 26679.04 PA USD 28878.36 0.0025973736 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5.5 N N N N N N FED HM LN PC POOL C91217 S6XOOCT0IEG5ABCC6L87 3128P7K69 9646.92 PA USD 10448.2 0.0009397306 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 5.5 N N N N N N FED HM LN PC POOL C91239 S6XOOCT0IEG5ABCC6L87 3128P7LU5 5516.68 PA USD 5888.48 0.0005296209 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 4.5 N N N N N N FED HM LN PC POOL C91251 S6XOOCT0IEG5ABCC6L87 3128P7L84 35947.51 PA USD 38370.24 0.003451091 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.5 N N N N N N FED HM LN PC POOL C91344 S6XOOCT0IEG5ABCC6L87 3128P7P56 113036.93 PA USD 117886.36 0.0106029191 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 3.5 N N N N N N FED HM LN PC POOL C91424 S6XOOCT0IEG5ABCC6L87 3128P7SM6 76356.65 PA USD 79727.9 0.007170876 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 3.5 N N N N N N FED HM LN PC POOL D97258 S6XOOCT0IEG5ABCC6L87 3128E4B35 11855.36 PA USD 12810.44 0.0011521949 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 5.5 N N N N N N FED HM LN PC POOL D97417 S6XOOCT0IEG5ABCC6L87 3128E4G22 10240.65 PA USD 11075.25 0.0009961286 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 5.5 N N N N N N FED HM LN PC POOL G05253 S6XOOCT0IEG5ABCC6L87 3128M7E28 177924.21 PA USD 197062.75 0.0177241913 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5 N N N N N N FED HM LN PC POOL J13972 S6XOOCT0IEG5ABCC6L87 3128PTMV4 35485.4 PA USD 36798.93 0.0033097644 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.5 N N N N N N FED HM LN PC POOL SB8013 S6XOOCT0IEG5ABCC6L87 3132D53W0 7096838.7 PA USD 7160462.57 0.6440253587 Long ABS-MBS USGA US N 2 2034-09-01 Fixed 2.5 N N N N N N FED HM LN PC POOL SB8020 S6XOOCT0IEG5ABCC6L87 3132D54D1 4099526.06 PA USD 4136278.72 0.3720246227 Long ABS-MBS USGA US N 2 2034-12-01 Fixed 2.5 N N N N N N FED HM LN PC POOL ZA5946 S6XOOCT0IEG5ABCC6L87 31329PTB9 9155391.39 PA USD 9656041.15 0.8684823507 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.5 N N N N N N FIBRIA OVERSEAS FINANCE 549300WABWKSHESAMG92 31572UAG1 1250000 PA USD 1291575 0.1161666644 Long DBT CORP KY N 2 2025-01-14 Fixed 4 N N N N N N FIRST REPUBLIC BANK YWC0TIKBQM2JV8L4IV08 33616CAB6 4360000 PA USD 4817132.96 0.433261923 Long DBT CORP US N 2 2046-08-01 Fixed 4.375 N N N N N N FLATIRON CLO LTD N/A 33883JAC5 350000 PA USD 351252.65 0.0315923185 Long ABS-CBDO CORP KY Y 2 2032-11-16 Floating 3.79491 N N N N N N FLATIRON CLO LTD N/A 33883JAD3 250000 PA USD 250298.25 0.0225122914 Long ABS-CBDO CORP KY Y 2 2032-11-16 Floating 4.59491 N N N N N N FMC TECH INC EMQFUEY7DV1MVNKAUT87 3024X2AD8 6500000 PA USD 6495535.61 0.5842205877 Long STIV CORP US N 2 2020-01-13 None 0 N N N N N N FMC TECH INC EMQFUEY7DV1MVNKAUT87 3024X2AX4 5000000 PA USD 4991199.45 0.4489177877 Long STIV CORP US N 2 2020-01-31 None 0 N N N N N N FNMA POOL 190317 B1V7KEBTPIMZEU4LTD58 31368HK69 2687.26 PA USD 3115.41 0.0002802058 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 8 N N N N N N FNMA POOL 252926 B1V7KEBTPIMZEU4LTD58 31371H4K1 138.85 PA USD 159.63 0.0000143574 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 8 N N N N N N FNMA POOL 253437 B1V7KEBTPIMZEU4LTD58 31371JPW8 117.33 PA USD 136.02 0.0000122339 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 8 N N N N N N FNMA POOL 253481 B1V7KEBTPIMZEU4LTD58 31371JRA4 66.03 PA USD 76.72 0.0000069003 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 8 N N N N N N FNMA POOL 529453 B1V7KEBTPIMZEU4LTD58 31384PE27 2445.96 PA USD 2833.21 0.0002548242 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 7.5 N N N N N N FNMA POOL 532819 B1V7KEBTPIMZEU4LTD58 31384S4C0 118.23 PA USD 136.81 0.0000123049 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 8 N N N N N N FNMA POOL 534703 B1V7KEBTPIMZEU4LTD58 31384VAC6 2525.92 PA USD 2919.79 0.0002626114 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 8 N N N N N N FNMA POOL 535996 B1V7KEBTPIMZEU4LTD58 31384WNM8 4574.58 PA USD 5319.82 0.0004784745 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 7.5 N N N N N N FNMA POOL 575667 B1V7KEBTPIMZEU4LTD58 31386WQU5 11483.84 PA USD 13299.4 0.0011961728 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 7 N N N N N N FNMA POOL 596656 B1V7KEBTPIMZEU4LTD58 31387WZV2 98.65 PA USD 98.72 0.0000088791 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 8 N N N N N N FNMA POOL 597220 B1V7KEBTPIMZEU4LTD58 31387XPD1 2974.76 PA USD 3468.91 0.0003120002 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 8 N N N N N N FNMA POOL 602008 B1V7KEBTPIMZEU4LTD58 31388DYD4 3633.27 PA USD 4205.64 0.0003782631 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 8 N N N N N N FNMA POOL 725692 B1V7KEBTPIMZEU4LTD58 31402DF96 68090.67 PA USD 71710.03 0.0064497338 Long ABS-MBS USGSE US N 2 2033-10-01 Variable 4.357 N N N N N N FNMA POOL 775539 B1V7KEBTPIMZEU4LTD58 31404QS42 27773.6 PA USD 29001.22 0.0026084238 Long ABS-MBS USGSE US N 2 2034-05-01 Variable 4.511 N N N N N N FNMA POOL 888586 B1V7KEBTPIMZEU4LTD58 31410GF32 84620.5 PA USD 89118.5 0.0080154841 Long ABS-MBS USGSE US N 2 2034-10-01 Variable 4.37 N N N N N N FNMA POOL AA3980 B1V7KEBTPIMZEU4LTD58 31416MM68 58289.56 PA USD 61691.99 0.0055486926 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 4.5 N N N N N N FNMA POOL AB7397 B1V7KEBTPIMZEU4LTD58 31417EGF2 159405.45 PA USD 163991.11 0.0147496663 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3 N N N N N N FNMA POOL AB7401 B1V7KEBTPIMZEU4LTD58 31417EGK1 144808.37 PA USD 148974.12 0.0133990102 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3 N N N N N N FNMA POOL AB8809 B1V7KEBTPIMZEU4LTD58 31417FYF9 70870.26 PA USD 72909.01 0.0065575723 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3 N N N N N N FNMA POOL AD0836 B1V7KEBTPIMZEU4LTD58 31418M4W9 60226.03 PA USD 65098.97 0.0058551228 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 5.5 N N N N N N FNMA POOL AD6437 B1V7KEBTPIMZEU4LTD58 31418UEK6 418253.67 PA USD 459807.09 0.0413559073 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5 N N N N N N FNMA POOL AD6996 B1V7KEBTPIMZEU4LTD58 31418UX25 2835216.15 PA USD 3116894.31 0.2803392876 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5 N N N N N N FNMA POOL AL3215 B1V7KEBTPIMZEU4LTD58 3138EKSD8 132851.16 PA USD 136672.93 0.0122926182 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3 N N N N N N FNMA POOL AL8173 B1V7KEBTPIMZEU4LTD58 3138ETCK0 1149815.19 PA USD 1256862.75 0.1130445799 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 5 N N N N N N FNMA POOL AO8180 B1V7KEBTPIMZEU4LTD58 3138M0CS7 30714.48 PA USD 31569.26 0.0028393981 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3 N N N N N N FNMA POOL AP8668 B1V7KEBTPIMZEU4LTD58 3138MCT20 177391.75 PA USD 182494.83 0.0164139254 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3 N N N N N N FNMA POOL AR0306 B1V7KEBTPIMZEU4LTD58 3138NWKU2 11283.1 PA USD 11607.68 0.0010440164 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3 N N N N N N FNMA POOL AR1975 B1V7KEBTPIMZEU4LTD58 3138NYFR1 40324.51 PA USD 41484.54 0.0037311969 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3 N N N N N N FNMA POOL AR2174 B1V7KEBTPIMZEU4LTD58 3138NYMY8 256424.11 PA USD 263800.74 0.0237267306 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3 N N N N N N FNMA POOL AR4109 B1V7KEBTPIMZEU4LTD58 3138W1R74 140501.76 PA USD 144543.62 0.0130005228 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3 N N N N N N FNMA POOL AR4432 B1V7KEBTPIMZEU4LTD58 3138W14S3 53022.55 PA USD 54547.87 0.0049061372 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3 N N N N N N FNMA POOL AR5391 B1V7KEBTPIMZEU4LTD58 3138W27D1 97503 PA USD 100307.9 0.0090218796 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3 N N N N N N FNMA POOL AS1304 B1V7KEBTPIMZEU4LTD58 3138WANW3 1180090.3 PA USD 1230144.54 0.1106414943 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 3.5 N N N N N N FNMA POOL AT0169 B1V7KEBTPIMZEU4LTD58 3138WMFK2 228477.36 PA USD 235050.04 0.021140839 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3 N N N N N N FNMA POOL AV1897 B1V7KEBTPIMZEU4LTD58 3138XDDB3 207781.09 PA USD 216594.25 0.0194808908 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 3.5 N N N N N N FNMA POOL AV2325 B1V7KEBTPIMZEU4LTD58 3138XDSP6 616216.92 PA USD 642354.13 0.0577745285 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 3.5 N N N N N N FNMA POOL BF0196 B1V7KEBTPIMZEU4LTD58 3140FXGE6 1203590.26 PA USD 1260503.59 0.1133720439 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 3.5 N N N N N N FNMA POOL BJ0686 B1V7KEBTPIMZEU4LTD58 3140H1XQ8 2792119.86 PA USD 2926858.35 0.2632470989 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4 N N N N N N FNMA POOL BK7877 B1V7KEBTPIMZEU4LTD58 3140HMXF6 1703458.98 PA USD 1805021.08 0.1623469625 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.5 N N N N N N FNMA POOL BN5241 B1V7KEBTPIMZEU4LTD58 3140JMZF2 18259047.94 PA USD 19233553.41 1.7299016666 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.5 N N N N N N FNMA POOL BN5342 B1V7KEBTPIMZEU4LTD58 3140JM5C2 26045432.16 PA USD 27098818.83 2.4373183081 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4 N N N N N N FNMA POOL CA1073 B1V7KEBTPIMZEU4LTD58 3140Q8FP5 12133578.28 PA USD 12593578.01 1.1326898947 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA POOL CA1909 B1V7KEBTPIMZEU4LTD58 3140Q9DP5 8014396.8 PA USD 8499737.45 0.7644822393 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.5 N N N N N N FNMA POOL CA1951 B1V7KEBTPIMZEU4LTD58 3140Q9EZ2 3515931.07 PA USD 3679005.93 0.3308966551 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4 N N N N N N FNMA POOL CA1952 B1V7KEBTPIMZEU4LTD58 3140Q9E25 2454214.26 PA USD 2602071.1 0.2340351279 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.5 N N N N N N FNMA POOL MA1356 B1V7KEBTPIMZEU4LTD58 31418AQJ0 8988551.41 PA USD 9452911.66 0.8502125055 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.5 N N N N N N FNMA POOL MA1368 B1V7KEBTPIMZEU4LTD58 31418AQW1 241035.95 PA USD 247969.9 0.0223028753 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3 N N N N N N FNMA POOL MA3029 B1V7KEBTPIMZEU4LTD58 31418CLK8 3788727.54 PA USD 3900397.63 0.3508090375 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 3 N N N N N N FNMA POOL MA3090 B1V7KEBTPIMZEU4LTD58 31418CNG5 1600630.59 PA USD 1646807.66 0.1481169524 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 3 N N N N N N FNMA POOL MA3537 B1V7KEBTPIMZEU4LTD58 31418C4X9 4114209.1 PA USD 4335074.66 0.3899047004 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.5 N N N N N N FNMA POOL MA3564 B1V7KEBTPIMZEU4LTD58 31418C6A7 3824139.06 PA USD 4034212.79 0.3628446226 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.5 N N N N N N FNMA POOL MA3638 B1V7KEBTPIMZEU4LTD58 31418DBG6 8671146.98 PA USD 9016425.12 0.810954092 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4 N N N N N N FNMA POOL MA3639 B1V7KEBTPIMZEU4LTD58 31418DBH4 8777478.29 PA USD 9237713.08 0.8308571439 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.5 N N N N N N FNMA POOL MA3688 B1V7KEBTPIMZEU4LTD58 31418DC26 6294346.85 PA USD 6624382.11 0.5958092822 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4.5 N N N N N N FNMA POOL MA3797 B1V7KEBTPIMZEU4LTD58 31418DGF3 13290448.08 PA USD 13409598.28 1.2060842798 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 2.5 N N N N N N FNMA TBA 30 YR 4.5 B1V7KEBTPIMZEU4LTD58 01F042616 3525000 PA USD 3711715.02 0.3338385717 Long ABS-MBS USGSE US N 2 2050-01-14 Fixed 4.5 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370CS7 530000 PA USD 505033.39 0.045423645 Long DBT CORP US N 2 2046-12-08 Fixed 5.291 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397WK5 2278000 PA USD 2368860.4 0.2130597226 Long DBT CORP US N 2 2023-08-06 Fixed 4.375 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397XW8 2700000 PA USD 2720301.65 0.2446690041 Long DBT CORP US N 2 2021-03-18 Fixed 3.336 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZB2 2760000 PA USD 2839685.26 0.2554065886 Long DBT CORP US N 2 2023-02-15 Fixed 4.14 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3133TLUH9 38475 PA USD 42476.55 0.0038204201 Long ABS-O USGSE US N 2 2029-08-15 Fixed 7 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 31393RCR9 1000145.98 PA USD 1110082.33 0.0998428752 Long ABS-O USGSE US N 2 2033-05-15 Fixed 5.5 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 31394KH98 1786967.52 PA USD 1954207.67 0.1757650827 Long ABS-O USGSE US N 2 2033-10-15 Fixed 5.5 N N N N N N FREDDIE MAC STACR N/A 3137G0KX6 470624.23 PA USD 471956.71 0.0424486668 Long ABS-O USGSE US N 2 2029-03-25 Floating 3.142 N N N N N N FREDDIE MAC STACR S6XOOCT0IEG5ABCC6L87 35564TAH3 855000 PA USD 858684.11 0.0772316504 Long ABS-O USGSE US N 2 2049-07-25 Floating 3.842 N N N N N N FULTON FINANCIAL CORP 5493005QLZ6O1BNC0C11 360271AK6 1565000 PA USD 1589279.97 0.1429428047 Long DBT CORP US N 2 2022-03-16 Fixed 3.6 N N N N N N GALAXY CLO LTD 549300S1CAKZT00VQL17 36320MAL2 3000000 PA USD 2970516 0.2671737494 Long ABS-O CORP KY Y 2 2031-04-20 Fixed 2.96588 N N N N N N GCCFC COMMERCIAL MORTGAGE TRUS N/A 20173MAG5 479803.48 PA USD 484132.12 0.0435437458 Long ABS-O CORP US N 2 2038-07-10 Floating 5.61931 N N N N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164QNA2 335000 PA USD 358360.88 0.0322316459 Long DBT CORP IE N 2 2035-11-15 Fixed 4.418 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BF9 113000 PA USD 116575.63 0.0104850296 Long DBT CORP US N 2 2042-10-09 Fixed 4.125 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36960LA21 500000 PA USD 499951.36 0.0449665578 Long STIV CORP US N 2 2020-01-02 None 0 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36960LC94 3000000 PA USD 2987718 0.2687209294 Long STIV CORP US N 2 2020-03-09 None 0 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962G4B7 298000 PA USD 398289.75 0.035822923 Long DBT CORP US N 2 2039-01-10 Fixed 6.875 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAN0 565000 PA USD 590929.91 0.0531493383 Long DBT CORP US N 2 2027-10-01 Fixed 4.2 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAP5 800000 PA USD 818387.95 0.0736073386 Long DBT CORP US N 2 2038-04-01 Fixed 5.15 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCD6 3200000 PA USD 3297352.19 0.2965700059 Long DBT CORP US N 2 2024-11-07 Fixed 3.5 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCL8 2193000 PA USD 2303722.38 0.2072010876 Long DBT CORP US N 2 2023-06-19 Fixed 4.15 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCP9 1216000 PA USD 1260737.39 0.1133930723 Long DBT CORP US N 2 2021-11-06 Fixed 4.2 N N N N N N GENPACT LUXEMBOURG SARL 549300875ZJZQ1PBR343 37254BAB6 2400000 PA USD 2434931.26 0.219002259 Long DBT CORP LU N 2 2022-04-01 Fixed 3.7 N N N N N N GENPACT LUXEMBOURG SARL 549300875ZJZQ1PBR343 37254BAC4 2660000 PA USD 2672336.92 0.2403549668 Long DBT CORP LU N 2 2024-12-01 Fixed 3.375 N N N N N N GLENCORE FINANCE CANADA 5493005TTO0UJ33KCK70 98417EAR1 894000 PA USD 947813.36 0.0852481014 Long DBT CORP CA Y 2 2042-10-25 Fixed 5.55 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AH1 3065000 PA USD 3249513 0.2922672599 Long DBT CORP US Y 2 2024-04-29 Fixed 4.625 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AL2 2150000 PA USD 2238801.43 0.2013619762 Long DBT CORP US Y 2 2025-04-16 Fixed 4 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AQ1 975000 PA USD 1006960.5 0.0905679055 Long DBT CORP US Y 2 2027-10-27 Fixed 3.875 N N N N N N GLOBAL AIR LEASE CO LTD N/A 37960JAA6 1350000 PA USD 1408657.5 0.1266972829 Long DBT CORP KY Y 2 2024-09-15 Fixed 6.5 N N Y N N N GLOBAL SC FINANCE SRL N/A 37952UAD5 229166.67 PA USD 228314.51 0.0205350329 Long ABS-O CORP BB Y 2 2029-07-17 Fixed 3.19 N N N N N N GLOBAL SC FINANCE SRL N/A 37956AAA1 1382241.84 PA USD 1415204.16 0.1272861017 Long ABS-O CORP BM Y 2 2037-04-15 Fixed 3.85 N N N N N N GNMA II POOL 008746 549300M8ZYFG0OCMTT87 36202KWF8 3210.04 PA USD 3262.21 0.0002934093 Long ABS-MBS USGA US N 2 2025-11-20 Variable 4.125 N N N N N N GNMA II POOL 080136 549300M8ZYFG0OCMTT87 36225CEJ1 723.36 PA USD 738.17 0.0000663924 Long ABS-MBS USGA US N 2 2027-11-20 Variable 4.125 N N N N N N GNMA II TBA 30 YR 3.5 549300M8ZYFG0OCMTT87 21H032613 64500000 PA USD 66480349.95 5.9793666683 Long ABS-MBS USGA US N 2 2050-01-21 Fixed 3.5 N N N N N N GNMA II TBA 30 YR 4 549300M8ZYFG0OCMTT87 21H040616 37975000 PA USD 39310056.7 3.5356198175 Long ABS-MBS USGA US N 2 2050-01-21 Fixed 4 N N N N N N GNMA POOL 352022 549300M8ZYFG0OCMTT87 36203LAX0 3290.62 PA USD 3496.44 0.0003144763 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 7 N N N N N N GNMA POOL 371146 549300M8ZYFG0OCMTT87 36204JHX7 71.76 PA USD 75.1 0.0000067546 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 7 N N N N N N GNMA POOL 374440 549300M8ZYFG0OCMTT87 36204M4Z9 235.31 PA USD 250.03 0.0000224882 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 7 N N N N N N GNMA POOL 478658 549300M8ZYFG0OCMTT87 36209QWT8 2000.32 PA USD 2271.15 0.0002042715 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 7 N N N N N N GNMA POOL 480539 549300M8ZYFG0OCMTT87 36209SZC8 373.27 PA USD 419.68 0.0000377468 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 7 N N N N N N GNMA POOL 488634 549300M8ZYFG0OCMTT87 36210CY72 2067.36 PA USD 2329.57 0.0002095259 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 7 N N N N N N GNMA POOL 491089 549300M8ZYFG0OCMTT87 36210FRJ7 7320.35 PA USD 7970.88 0.0007169158 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 7 N N N N N N GNMA POOL 493723 549300M8ZYFG0OCMTT87 36210JPG7 2374.87 PA USD 2705.05 0.0002432972 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 7 N N N N N N GNMA POOL 499410 N/A 36210QYF3 1168.09 PA USD 1329.66 0.0001195921 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 7 N N N N N N GNMA POOL 500928 549300M8ZYFG0OCMTT87 36210SPM4 3264.42 PA USD 3706.41 0.0003333614 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 7 N N N N N N GNMA POOL 510083 549300M8ZYFG0OCMTT87 36211DUG3 819.19 PA USD 925.07 0.0000832025 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 7 N N N N N N GNMA POOL 581417 549300M8ZYFG0OCMTT87 36201E4A5 11290.23 PA USD 12887.37 0.0011591141 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 7 N N N N N N GOLDENTREE LOAN MANAGEMENT US 549300UYD6YMBA6XSE43 38136MAC2 1950000 PA USD 1947979.8 0.1752049364 Long ABS-CBDO CORP KY Y 2 2030-11-28 Floating 3.11588 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GES9 1410000 PA USD 1685093.88 0.1515604865 Long DBT CORP US N 2 2027-01-15 Fixed 5.95 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GFD1 1145000 PA USD 1590552.44 0.143057253 Long DBT CORP US N 2 2037-10-01 Fixed 6.75 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVR2 550000 PA USD 597429.46 0.0537339199 Long DBT CORP US N 2 2025-10-21 Fixed 4.25 N N N N N N GOODGREEN TRUST N/A 38217KAA2 1830586.41 PA USD 1862217.66 0.1674913296 Long ABS-O CORP US Y 2 2052-10-15 Fixed 3.23 N N N N N N GOODGREEN TRUST N/A 38217VAA8 863373.89 PA USD 889892.42 0.080038584 Long ABS-O CORP US Y 2 2052-10-15 Fixed 3.74 N N N N N N GOODGREEN TRUST N/A 38218DAA7 1457803.31 PA USD 1519761.99 0.1366902279 Long ABS-O CORP US Y 2 2054-10-15 Fixed 3.86 N N N N N N GOODGREEN TRUST N/A 38218EAA5 3026720.88 PA USD 3000769.17 0.2698947759 Long ABS-O CORP KY Y 2 2054-10-15 Fixed 2.76 N N N N N N GRUPO TELEVISA SAB 549300O4AF0C816ILN62 40049JAV9 2196000 PA USD 2561516.38 0.2303875608 Long DBT CORP MX N 2 2025-03-18 Fixed 6.625 N N N N N N GS MORTGAGE SECURITIES TRUST 5493005BBCF84ICNQ550 36192BAE7 488000 PA USD 511621.74 0.0460162135 Long ABS-O CORP US Y 2 2045-01-10 Fixed 4.948 N N N N N N GSR MORTGAGE LOAN TRUST CU46ESEFJB81SUVBJO28 36242DBJ1 5693.31 PA USD 5627.19 0.00050612 Long ABS-O CORP US N 2 2034-08-25 Floating 4.30621 N N N N N N HARBOR PARK CLO LTD N/A 41154XAG0 1290000 PA USD 1287441.93 0.1157949284 Long ABS-CBDO CORP KY Y 2 2031-01-20 Floating 3.66588 N N N N N N HEALTHCARE TRUST OF AMER 549300IYGAS4GE6VDL07 42225UAD6 2015000 PA USD 2103486.53 0.1891915018 Long DBT CORP US N 2 2026-08-01 Fixed 3.5 N N N N N N HELIOS ISSUER, LLC N/A 42329GAA8 1543111.06 PA USD 1608420.77 0.144664364 Long ABS-O CORP US Y 2 2049-09-20 Fixed 4.94 N N N N N N HELIOS ISSUER, LLC N/A 86745JAA5 460689.55 PA USD 481798.85 0.0433338872 Long ABS-O CORP US Y 2 2048-07-20 Fixed 4.87 N N N N N N HERCULES CAPITAL INC 549300UJ5OC256GR2B73 427096AG7 2910000 PA USD 2933677.56 0.2638604314 Long DBT CORP US N 2 2022-10-23 Fixed 4.625 N N N N N N HERO FUNDING TRUST N/A 40417QAA3 1267080.03 PA USD 1297742.35 0.1167213674 Long ABS-O CORP US Y 2 2047-09-20 Fixed 3.57 N N N N N N HERO FUNDING TRUST N/A 42770XAA5 1053771.17 PA USD 1058270.04 0.0951827812 Long ABS-O CORP US Y 2 2042-09-20 Fixed 3.08 N N N N N N HERO FUNDING TRUST 549300Z5C0ID42MSJA91 42771AAA4 1074111.29 PA USD 1071075.1 0.0963344922 Long ABS-O CORP KY Y 2 2048-09-20 Fixed 3.19 N N N N N N HERO FUNDING TRUST 549300P141LFKW37WX94 42771LAB8 314464.77 PA USD 318000.77 0.0286015824 Long ABS-O CORP US Y 2 2048-09-20 Fixed 3.28 N N N N N N HERO FUNDING TRUST 549300P141LFKW37WX94 42771LAC6 252805.01 PA USD 259197.69 0.0233127237 Long ABS-O CORP US Y 2 2048-09-20 Fixed 4.07 N N N N N N HERO FUNDING TRUST N/A 42772GAB8 1904175.69 PA USD 1981053.36 0.1781796341 Long ABS-O CORP KY Y 2 2048-09-20 Fixed 4.67 N N N N N N HERTZ VEHICLE FINANCING LLC 549300FPK70TCB78NG05 42806DBR9 3810000 PA USD 3880253.35 0.3489972234 Long ABS-O CORP US Y 2 2024-02-25 Fixed 3.6 N N N N N N HERTZ VEHICLE FINANCING LLC 549300PD0C69OJ0NLB27 42806DCP2 2293000 PA USD 2281528.81 0.2052049565 Long ABS-O CORP US Y 2 2025-12-26 Fixed 3.03 N N N N N N HIGHBRIDGE LOAN MANAGEMENT LTD 549300X85DZ32WYBX519 44330QAD3 1200000 PA USD 1167426 0.1050004718 Long ABS-CBDO CORP KY Y 2 2031-07-18 Floating 3.85325 N N N N N N HIGHER EDUCATION FUNDING N/A 429827AR9 450000 PA USD 398351.7 0.0358284949 Long ABS-O CORP US Y 2 2044-01-01 Floating 3.387 N N N N N N HIGHER EDUCATION FUNDING N/A 429827AS7 450000 PA USD 386187.3 0.034734406 Long ABS-O CORP US Y 2 2044-01-01 Floating 0 N N N N N N HORIZON AIRCRAFT FINANCE I LIM N/A 440405AE8 964712.75 PA USD 990384.91 0.089077066 Long ABS-O CORP US Y 2 2038-12-15 Fixed 4.458 N N N N N N HORIZON AIRCRAFT FINANCE I LIM N/A 44040HAA0 1352224.33 PA USD 1350559.34 0.121471826 Long ABS-O CORP KY Y 2 2039-07-15 Fixed 3.721 N N N N N N HORIZON AIRCRAFT FINANCE III L N/A 44040JAA6 2399630.91 PA USD 2385509.08 0.2145571359 Long ABS-O CORP KY Y 2 2039-11-15 Fixed 3.425 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AP4 1225000 PA USD 1299905.99 0.1169159692 Long DBT CORP GB N 2 2024-03-14 Fixed 4.25 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BG6 830000 PA USD 972858.75 0.0875007305 Long DBT CORP US N 2 2047-03-15 Fixed 4.8 N N N N N N HUNTSMAN INTERNATIONAL L 3YTEJFW18LGIUQ2N5J61 44701QBD3 1000000 PA USD 1068163.53 0.0960726201 Long DBT CORP US N 2 2022-11-15 Fixed 5.125 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABC0 1705000 PA USD 1724001.95 0.1550599509 Long DBT CORP US Y 2 2022-11-01 Fixed 2.85 N N N N N N ICG US CLO LTD N/A 44932VAA0 750000 PA USD 750047.25 0.0674606486 Long ABS-CBDO CORP KY Y 2 2032-10-26 Floating 3.49571 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 45262BAC7 1539000 PA USD 1552512.88 0.139635904 Long DBT CORP GB Y 2 2029-07-26 Fixed 3.875 N N N N N N INDYMAC INDX MORTGAGE LOAN TRU N/A 45660NQ24 36651.19 PA USD 35370.49 0.0031812878 Long ABS-O CORP US N 2 2034-08-25 Floating 3.9456 N N N N N N INFRAESTRUCTURA ENERGETI 715K4H1JYF3O6JOK1411 456829AA8 820000 PA USD 797450 0.0717241403 Long DBT CORP MX Y 2 2028-01-14 Fixed 3.75 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AP8 1205000 PA USD 1261220.15 0.1134364926 Long DBT CORP NL N 2 2024-04-09 Fixed 3.55 N N N N Y N/A N/A XXXX N N N INGREDION INC PKSTQ48QDN0XSVS7YK88 457187AB8 638000 PA USD 645115.56 0.0580228967 Long DBT CORP US N 2 2026-10-01 Fixed 3.2 N N N N N N IPALCO ENTERPRISES INC 5493000YFVK2DZX0JV43 462613AK6 3410000 PA USD 3424747.26 0.3080281561 Long DBT CORP US N 2 2020-07-15 Fixed 3.45 N N N N N N IPALCO ENTERPRISES INC 5493000YFVK2DZX0JV43 462613AM2 1060000 PA USD 1096609.54 0.0986311073 Long DBT CORP US N 2 2024-09-01 Fixed 3.7 N N N N N N J.G. WENTWORTH XLII LLC N/A 46590UAA0 1465457.55 PA USD 1552571.53 0.1396411791 Long ABS-O CORP US Y 2 2075-10-15 Fixed 3.96 N N N N N N JACKSON PARK TRUST N/A 46868RAJ3 2300000 PA USD 2274695.86 0.2045903882 Long ABS-O CORP US Y 2 2039-10-14 Fixed 3.131 N N N N N N JBS USA/FOOD/FINANCE P77IMDGVZE8EFBTF2M92 46590XAB2 776000 PA USD 833501.6 0.0749666885 Long DBT CORP NA Y 2 2030-01-15 Fixed 5.5 N N N N N N JOBSOHIO BEVERAGE SYS STWD LIQ N/A 47770VAZ3 1950000 PA USD 2285517 0.2055636617 Long DBT MUN US N 2 2035-01-01 Fixed 4.532 N N N N N N JP MORGAN MORTGAGE TRUST N/A 46648CAL8 2719565.38 PA USD 2766732.98 0.2488451245 Long ABS-O CORP US Y 2 2047-01-25 Floating 3.5 N N N N N N JPMORGAN CHASE + CO 8I5DZWZKVSZI1NUHU748 46625HJB7 1125000 PA USD 1540730.81 0.1385762027 Long DBT CORP US N 2 2041-07-15 Fixed 5.6 N N N N N N KINROSS GOLD CORP 549300UEBMAQDN0K0R06 496902AJ6 2495000 PA USD 2594800 0.2333811516 Long DBT CORP CA N 2 2021-09-01 Fixed 5.125 N N N N N N KINROSS GOLD CORP 549300UEBMAQDN0K0R06 496902AQ0 470000 PA USD 492325 0.0442806287 Long DBT CORP CA N 2 2027-07-15 Fixed 4.5 N N N N N N KKR FINANCIAL CLO LTD 549300LGO0WGOG6NE245 48252RAG9 2400000 PA USD 2406084 0.2164076826 Long ABS-CBDO CORP KY Y 2 2032-04-20 Floating 4.66588 N N N N N N KKR GRP FIN CO VI LLC 549300TUJWGHJM3FSJ07 48252AAA9 1260000 PA USD 1343082.86 0.1207993774 Long DBT CORP US Y 2 2029-07-01 Fixed 3.75 N N N N N N KNDL MORTGAGE TRUST N/A 482598AN9 1505000 PA USD 1504099.26 0.1352814928 Long ABS-O CORP US Y 2 2036-05-15 Floating 3.53975 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAW6 1605000 PA USD 1673375.47 0.1505065108 Long DBT CORP US Y 2 2039-10-01 Fixed 4.625 N N N N N N KREF 2018 FL1 LTD. N/A 48275PAG6 1670000 PA USD 1671043.25 0.1502967466 Long ABS-CBDO CORP KY Y 2 2036-06-15 Floating 3.73738 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AF6 780000 PA USD 792381.49 0.0712682691 Long DBT CORP US N 2 2029-12-15 Fixed 2.9 N N N N N N LABRADOR AVIATION FINANCE LIMI 549300FTBC83WH0X4750 50543LAA0 2305937.5 PA USD 2347754.06 0.211161379 Long ABS-O CORP US Y 2 2042-01-15 Floating 4.3 N N N N N N LAZARD GROUP LLC FI94J2CJ1D7BIGVMS874 52107QAG0 800000 PA USD 845115.54 0.0760112679 Long DBT CORP US N 2 2025-02-13 Fixed 3.75 N N N N N N LAZARD GROUP LLC FI94J2CJ1D7BIGVMS874 52107QAH8 1253000 PA USD 1293673.23 0.1163553832 Long DBT CORP US N 2 2027-03-01 Fixed 3.625 N N N N N N LAZARD GROUP LLC FI94J2CJ1D7BIGVMS874 52107QAJ4 755000 PA USD 831256.43 0.0747647537 Long DBT CORP US N 2 2028-09-19 Fixed 4.5 N N N N N N LEASEPLAN CORPORATION NV 724500C60L930FVHS484 52206AAD2 1535000 PA USD 1534479.08 0.1380139104 Long DBT CORP NL Y 2 2024-10-24 Fixed 2.875 N N N N N N LEGG MASON INC OWUNCC6U1ZJXMZKFBJ36 524901AR6 1195000 PA USD 1357204.1 0.1220694681 Long DBT CORP US N 2 2044-01-15 Fixed 5.625 N N N N N N MACH I 549300ODEK8HY3445C77 55446MAA5 2187145.91 PA USD 2172115.84 0.1953641499 Long ABS-O CORP KY Y 2 2039-10-15 Fixed 3.474 N N N N N N MADISON PARK FUNDING LTD N/A 55820CAJ4 620000 PA USD 617471.02 0.0555364952 Long ABS-CBDO CORP KY Y 2 2030-10-18 Floating 4.20325 N N N N N N MADISON PARK FUNDING LTD N/A 55821AAE8 1665000 PA USD 1649753.6 0.1483819158 Long ABS-CBDO CORP KY Y 2 2030-07-15 Floating 3.60088 N N N N N N MARATHON PETROLEUM CORP 3BNYRYQHD39K4LCKQF12 56585AAF9 1120000 PA USD 1454731.28 0.1308412446 Long DBT CORP US N 2 2041-03-01 Fixed 6.5 N N N N N N MARATHON PETROLEUM CORP 3BNYRYQHD39K4LCKQF12 56585ABE1 510000 PA USD 542680.69 0.0488097134 Long DBT CORP US N 2 2048-04-01 Fixed 4.5 N N N N N N MARKEL CORP 549300SCNO12JLWIK605 570535AU8 585000 PA USD 599326.42 0.053904536 Long DBT CORP US N 2 2029-09-17 Fixed 3.35 N N N N N N MARS INC 54930073HKEO6GZBSS03 571676AF2 1910000 PA USD 2162118.7 0.1944649885 Long DBT CORP US Y 2 2049-04-01 Fixed 3.95 N N N N N N MCKESSON CORP 549300WZWOM80UCFSF54 58155QAE3 550000 PA USD 674990.55 0.060709909 Long DBT CORP US N 2 2041-03-01 Fixed 6 N N N N N N MERRILL LYNCH MORTGAGE INVESTO N/A 589929W53 1955.37 PA USD 1900.62 0.0001709453 Long ABS-O CORP US N 2 2033-07-25 Floating 4.74424 N N N N N N MERRILL LYNCH MORTGAGE INVESTO N/A 59020UAA3 1913.09 PA USD 1820.75 0.0001637617 Long ABS-O CORP US N 2 2034-02-25 Floating 3.250006 N N N N N N MICROCHIP TECHNOLOGY INC 5493007PTFULNYZJ1R12 595017AN4 985000 PA USD 1007340.42 0.0906020762 Long DBT CORP US N 2 2021-06-01 Fixed 3.922 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BL7 2064000 PA USD 2584530.46 0.23245749 Long DBT CORP US N 2 2045-11-03 Fixed 4.45 N N N N N N MID AMERICA APARTMENTS 549300FXWGE3QSYCUJ38 59523UAQ0 725000 PA USD 791224.22 0.0711641821 Long DBT CORP US N 2 2029-03-15 Fixed 3.95 N N N N N N MOLSON COORS BEVERAGE 54930073LBBH6ZCBE225 60871RAD2 360000 PA USD 393643.63 0.0354050423 Long DBT CORP US N 2 2042-05-01 Fixed 5 N N N N N N MOLSON COORS BREWING CO 54930073LBBH6ZCBE225 60871RAH3 1124000 PA USD 1121920.68 0.1009076385 Long DBT CORP US N 2 2046-07-15 Fixed 4.2 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174467X1 975000 PA USD 1098245.27 0.0987782279 Long DBT CORP US N 2 2025-11-24 Fixed 5 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174467Y9 3200000 PA USD 3500427.97 0.3148350203 Long DBT CORP US N 2 2026-09-08 Fixed 4.35 N N N N N N MORGAN STANLEY CAPITAL I TRUST N/A 617459AG7 1325000 PA USD 1350400.65 0.1214575531 Long ABS-O CORP US Y 2 2044-06-15 Floating 5.2 N N N N N N MORGAN STANLEY CAPITAL I TRUST N/A 61767YBD1 760000 PA USD 836414.35 0.0752286667 Long ABS-O CORP US N 2 2051-07-15 Floating 4.62 N N N N N N MORGAN STANLEY CAPITAL I TRUST N/A 61768HAZ9 1950000 PA USD 2152720.25 0.1936196744 Long ABS-O CORP US N 2 2052-03-15 Fixed 4.272 N N N N N N MOSAIC SOLAR LOANS LLC 549300ZLA8SW2SVJMN33 61946EAA6 352633.94 PA USD 366366.81 0.0329517142 Long ABS-O CORP US Y 2 2042-06-20 Fixed 4.45 N N N N N N MOSAIC SOLAR LOANS LLC 549300ZLA8SW2SVJMN33 61946FAA3 329577.95 PA USD 338386.45 0.0304351084 Long ABS-O CORP US Y 2 2043-06-22 Fixed 4.01 N N N N N N MP CLO III, LTD 549300FWSFBNCWDD1P18 553205AC9 1750000 PA USD 1742182.75 0.1566951659 Long ABS-CBDO CORP KY Y 2 2030-10-20 Floating 3.21588 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAM2 595000 PA USD 605456.43 0.0544558806 Long DBT CORP US N 2 2038-04-15 Fixed 4.5 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAU4 1775000 PA USD 1788312.5 0.1608441617 Long DBT CORP US N 2 2099-12-31 Fixed 6.875 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAW0 652000 PA USD 664857.52 0.0597985254 Long DBT CORP US Y 2 2022-10-15 Fixed 6.25 N N N N N N MVW OWNER TRUST 549300Y5CF8WQOLGBR17 55388PAA8 306798.72 PA USD 306678.45 0.0275832318 Long ABS-O CORP US Y 2 2032-12-20 Fixed 2.52 N N N N N N MVW OWNER TRUST N/A 553896AA9 222967.69 PA USD 222878.48 0.0200461062 Long ABS-O CORP US Y 2 2034-12-20 Fixed 2.42 N N N N N N MYLAN NV 549300A0CD4KNFGIIS89 62854AAN4 2230000 PA USD 2324827.58 0.2090993286 Long DBT CORP NL N 2 2026-06-15 Fixed 3.95 N N N N N N NATIONAL OILWELL VARCO I 549300EHF3IW1AR6U008 637071AK7 1506000 PA USD 1387832.33 0.1248242282 Long DBT CORP US N 2 2042-12-01 Fixed 3.95 N N N N N N NATIONAL OILWELL VARCO I 549300EHF3IW1AR6U008 637071AM3 1270000 PA USD 1273871.99 0.1145744227 Long DBT CORP US N 2 2029-12-01 Fixed 3.6 N N N N N N NAVIENT STUDENT LOAN TRUST 5493007OOYUHTF8GSL63 63939LAC1 940000 PA USD 946556.97 0.0851350993 Long ABS-O CORP US N 2 2058-10-25 Floating 3.208 N N N N N N NAVIENT STUDENT LOAN TRUST 549300761SV59SBM0Z40 63939QAA4 3299502.26 PA USD 3338297.48 0.3002527017 Long ABS-O CORP US Y 2 2065-06-25 Floating 2.958 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63940FAC1 2370000 PA USD 2425516.54 0.2181554815 Long ABS-O CORP US Y 2 2065-06-25 Floating 3.208 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63940LAC8 7050000 PA USD 7144021.62 0.642546629 Long ABS-O CORP US Y 2 2066-03-25 Floating 3.008 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63940QAC7 880000 PA USD 877257.22 0.0789021506 Long ABS-O CORP US Y 2 2059-12-15 Floating 2.45975 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63940TAC1 4700000 PA USD 4597437.07 0.4135020648 Long ABS-O CORP US Y 2 2067-03-25 Floating 2.508 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63940VAC6 1530000 PA USD 1571325.3 0.1413279282 Long ABS-O CORP US Y 2 2042-06-16 Fixed 4.22 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63940XAB4 4530000 PA USD 4533446.42 0.4077466264 Long ABS-O CORP US Y 2 2067-12-27 Floating 2.608 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63940YAC0 2249000 PA USD 2300478.94 0.2069093665 Long ABS-O CORP US Y 2 2068-02-15 Fixed 3.67 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63941BAD7 1190000 PA USD 1259394.14 0.1132722579 Long ABS-O CORP US Y 2 2043-01-15 Fixed 3.9 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63941LAD5 2950000 PA USD 3083555.65 0.2773407464 Long ABS-O CORP US Y 2 2059-12-15 Fixed 4.04 N N N N N N NELNET PRIVATE EDUCATION LOAN N/A 64034JAB0 545070.38 PA USD 550390.48 0.0495031463 Long ABS-O CORP US Y 2 2040-12-26 Fixed 3.6 N N N N N N NELNET STUDENT LOAN TRUST N/A 64031AAJ5 606764.89 PA USD 560494.27 0.0504119 Long ABS-O CORP US N 2 2041-06-25 Floating 2.35625 N N N N N N NELNET STUDENT LOAN TRUST 549300T6B0Q52I6OM558 64031QCK5 325000 PA USD 306194.53 0.0275397071 Long ABS-O CORP US N 2 2032-03-22 Floating 2.78 N N N N N N NELNET STUDENT LOAN TRUST N/A 64034CAB5 3250000 PA USD 3221152.03 0.2897164214 Long ABS-O CORP US Y 2 2067-04-25 Floating 3.192 N N N N N N NELNET STUDENT LOAN TRUST N/A 64034EAA3 8478743.66 PA USD 8372176.87 0.7530092028 Long ABS-O CORP US Y 2 2067-10-25 Fixed 2.53 N N N N N N NELNET STUDENT LOAN TRUST N/A 64034EAB1 2150000 PA USD 2093122.83 0.1882593713 Long ABS-O CORP US Y 2 2067-10-25 Fixed 3.45 N N N N N N NELNET STUDENT LOAN TRUST N/A 64034NAA3 1951557.09 PA USD 1951258.7 0.1754998468 Long ABS-O CORP US Y 2 2067-06-27 Floating 2.608 N N N N N N NEVADA POWER CO MJZFGXRJ52U8U4MKJ519 641423BP2 550000 PA USD 762011.98 0.0685367787 Long DBT CORP US N 2 2036-04-01 Fixed 6.65 N N N N N N NEW YORK CITY NY MUNI WTR FIN 549300Q2EHQ6RJPQKP05 64972FY34 105000 PA USD 152909.4 0.0137529566 Long DBT MUN US N 2 2044-06-15 Fixed 5.882 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229AV8 2982000 PA USD 3098926.43 0.278723223 Long DBT CORP US N 2 2023-04-01 Fixed 3.85 N N N N N N NEWFIELD EXPLORATION CO T8W3X1PFLPW2YE0UIP44 651290AP3 1904000 PA USD 2024080.44 0.1820495699 Long DBT CORP US N 2 2022-01-30 Fixed 5.75 N N N N N N NEWFIELD EXPLORATION CO T8W3X1PFLPW2YE0UIP44 651290AQ1 975000 PA USD 1071412.65 0.0963648521 Long DBT CORP US N 2 2024-07-01 Fixed 5.625 N N N N N N NEWFIELD EXPLORATION CO T8W3X1PFLPW2YE0UIP44 651290AR9 1650000 PA USD 1789612.75 0.1609611086 Long DBT CORP US N 2 2026-01-01 Fixed 5.375 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBM1 1435000 PA USD 1442654.71 0.1297550553 Long DBT CORP US N 2 2029-11-01 Fixed 2.75 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473QAZ6 950000 PA USD 1190525.29 0.1070780651 Long DBT CORP US N 2 2042-02-01 Fixed 5.8 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473QBC6 1035000 PA USD 1203846.16 0.1082761689 Long DBT CORP US N 2 2044-02-15 Fixed 4.8 N N N N N N NP SPE II LLC 549300M4DFCB4G0UM882 62946AAD6 2260000 PA USD 2351073.03 0.2114598933 Long ABS-O CORP US Y 2 2047-10-21 Fixed 4.219 N N N N N N OAK HILL CREDIT PARTNERS N/A 67098DAC7 1000000 PA USD 1000658 0.0900010469 Long ABS-CBDO CORP KY Y 2 2032-10-22 Floating 3.2655 N N N N N N OAK HILL CREDIT PARTNERS N/A 67098DAJ2 500000 PA USD 500385.5 0.0450056051 Long ABS-CBDO CORP KY Y 2 2032-10-22 Floating 4.5855 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DL6 1258000 PA USD 1621889.58 0.1458757738 Long DBT CORP US N 2 2046-03-15 Fixed 6.6 N N N N N N OCTAGON INVESTMENT PARTNERS 42 N/A 67576PAE7 1500000 PA USD 1501506 0.1350482501 Long ABS-CBDO CORP KY Y 2 2031-04-15 Floating 3.95088 N N N N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JAF1 495000 PA USD 771935.01 0.0694292746 Long DBT CORP US N 2 2038-09-01 Fixed 7.5 N N N N N N ONEMAIN DIRECT AUTO RECEIVABLE N/A 68267EAB0 1774000 PA USD 1810591.59 0.1628479846 Long ABS-O CORP US Y 2 2028-11-14 Fixed 3.95 N N N N N N ONEMAIN FINANCIAL ISSUANCE TRU N/A 68269BAA6 8400000 PA USD 8291343.48 0.7457388969 Long ABS-O CORP US Y 2 2036-10-14 Fixed 3.14 N N N N N N ORANGE CNTY CA LOCAL TRANSPRTN N/A 684273HC2 1350000 PA USD 1951290 0.175502662 Long DBT MUN US N 2 2041-02-15 Fixed 6.908 N N N N N N OXFORD FINANCE FUNDING TRUST N/A 69144YAA5 458143.91 PA USD 460255.68 0.0413962543 Long ABS-O CORP US Y 2 2024-06-17 Fixed 3.968 N N N N N N PACIFIC NATIONAL FINANCE 213800SSTRDXLWWVF948 04363UAB2 610000 PA USD 619163.19 0.0556886921 Long DBT CORP AU Y 2 2020-09-23 Fixed 4.625 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAA8 5055000 PA USD 5385597 0.484390639 Long DBT CORP KY Y 2 2022-08-15 Fixed 5.25 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAB6 545000 PA USD 598360.95 0.0538176999 Long DBT CORP KY Y 2 2024-02-15 Fixed 5.5 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAC4 1550000 PA USD 1622850 0.1459621558 Long DBT CORP KY Y 2 2023-03-15 Fixed 4.5 N N N N N N PATTERSON UTI ENERGY INC 254900XGFBKIXD6G0697 703481AB7 1680000 PA USD 1636733.25 0.1472108412 Long DBT CORP US N 2 2028-02-01 Fixed 3.95 N N N N N N PBF HOLDING CO LLC 549300TILVIIV9FLL461 69318FAE8 1175000 PA USD 1219062.5 0.1096447549 Long DBT CORP US N 2 2023-11-15 Fixed 7 N N N N N N PENNSYLVANIA ELECTRIC CO O1PLQWO3TX952VMBJ146 708696BX6 1860000 PA USD 1979559.13 0.1780452403 Long DBT CORP US Y 2 2025-04-15 Fixed 4.15 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 706451BG5 140000 PA USD 143430 0.0129003617 Long DBT CORP MX N 2 2035-06-15 Fixed 6.625 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QBR2 595000 PA USD 573258.7 0.0515599567 Long DBT NUSS MX N 2 2045-01-23 Fixed 6.375 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCG5 585000 PA USD 621106.2 0.0558634501 Long DBT NUSS MX N 2 2027-03-13 Fixed 6.5 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCK6 665000 PA USD 661675 0.0595122836 Long DBT NUSS MX N 2 2028-02-12 Fixed 5.35 N N N N N N PIONEER AIRCRAFT FINANCE LIMIT N/A 72353PAA4 1575642.83 PA USD 1587792.77 0.1428090432 Long ABS-O CORP KY Y 2 2044-06-15 Fixed 3.967 N N N N N N PITNEY BOWES INC 549300N2O26NW4ST6W55 724479AK6 1855000 PA USD 1880506.25 0.1691362395 Long DBT CORP US N 2 2021-10-01 Fixed 4.125 N N N N N N PLAINS ALL AMER PIPELINE 5521FA2ITF25TVH63740 72650RBE1 1195000 PA USD 1162123.97 0.1045235974 Long DBT CORP US N 2 2044-06-15 Fixed 4.7 N N N N N N PLAINS ALL AMER PIPELINE 5521FA2ITF25TVH63740 72650RBL5 1642000 PA USD 1749848.99 0.1573846818 Long DBT CORP US N 2 2026-12-15 Fixed 4.5 N N N N N N PLAINS ALL AMERICAN PIPE 5521FA2ITF25TVH63740 726503AE5 2345000 PA USD 2186712.5 0.1966770007 Long DBT CORP US N 2 2099-12-31 Fixed 6.125 N N N N N N PLANET FITNESS MASTER ISSUER L 549300NX9W3U2DO53T22 72703PAC7 2322000 PA USD 2300430.01 0.2069049657 Long ABS-O CORP US Y 2 2049-12-05 Fixed 3.858 N N N N N N PNMAC GMSR ISSUER TRUST 5493007JEN3QN6CZC711 69354WAC0 1270000 PA USD 1277492.87 0.1149000914 Long ABS-O CORP US Y 2 2023-02-25 Floating 4.642 N N N N N N PROGRESSIVE CORP 529900TACNVLY9DCR586 743315AU7 1625000 PA USD 1707810 0.1536036167 Long DBT CORP US N 2 2099-12-31 Fixed 5.375 N N N N N N PRUDENTIAL FINANCIAL INC 5PRBRS5FEH7NREC8OR45 744320AL6 550000 PA USD 591250 0.0531781278 Long DBT CORP US N 2 2042-09-15 Fixed 5.875 N N N N N N PRUDENTIAL FINANCIAL INC 5PRBRS5FEH7NREC8OR45 744320BF8 2440000 PA USD 2787700 0.2507309374 Long DBT CORP US N 2 2048-09-15 Fixed 5.7 N N N N N N PSMC 2018 1 TRUST N/A 693680AA8 3047081.49 PA USD 3058874.3 0.2751208597 Long ABS-O CORP US Y 2 2048-06-25 Floating 3.5 N N N N N N PUBLIC SEVC. ENT. GR PUSS41EMO3E6XXNV3U28 74457LAT3 3000000 PA USD 2995459.5 0.2694172143 Long STIV CORP US N 2 2020-01-27 None 0 N N N N N N QWEST CORP 549300R2L4N683OO1509 74913GAX3 725000 PA USD 780614.75 0.0702099466 Long DBT CORP US N 2 2021-12-01 Fixed 6.75 N N N N N N RECKITT BENCKISER TREAS 213800LAXWIUOOBZ3908 7562E0AN6 4000000 PA USD 3995705.12 0.359381171 Long STIV CORP US N 2 2020-01-22 None 0 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325BM6 2080000 PA USD 2691520 0.2420803288 Long DBT NUSS CO N 2 2041-01-18 Fixed 6.125 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BB1 985000 PA USD 1130477.58 0.101677262 Long DBT CORP US N 2 2045-08-15 Fixed 5.85 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BG0 1095000 PA USD 1179189.3 0.106058485 Long DBT CORP US N 2 2025-06-12 Fixed 4.45 N N N N N N ROCKFORD TOWER CLO LTD N/A 77342MAE6 1500000 PA USD 1501899 0.1350835973 Long ABS-CBDO CORP KY Y 2 2032-04-20 Floating 4.01588 N N N N N N RRAM 549300YH0VOGWM5JZF65 74988LAA2 2450000 PA USD 2429197.05 0.2184865134 Long ABS-O CORP KY Y 2 2030-01-15 Floating 3.09088 N N N N N N SANTANDER REVOLVING AUTO LOAN N/A 80286JAB1 856000 PA USD 851640.14 0.0765981026 Long ABS-O CORP US Y 2 2032-01-26 Fixed 2.8 N N N N N N SANTANDER REVOLVING AUTO LOAN N/A 80286JAC9 561000 PA USD 556533.99 0.0500557051 Long ABS-O CORP US Y 2 2032-01-26 Fixed 3 N N N N N N SANTANDER REVOLVING AUTO LOAN N/A 80286JAD7 1087000 PA USD 1078689.34 0.0970193311 Long ABS-O CORP US Y 2 2032-01-26 Fixed 3.45 N N N N N N SAUDI ARABIAN OIL CO 5586006WD91QHB7J4X50 80414L2E4 2075000 PA USD 2222834.35 0.1999258673 Long DBT CORP SA Y 2 2039-04-16 Fixed 4.25 N N N N N N SEQUOIA MORTGAGE TRUST N/A 81747AAA3 416077.63 PA USD 422898.35 0.0380362664 Long ABS-O CORP US Y 2 2049-02-25 Floating 4 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 44106MAR3 760000 PA USD 790122.55 0.0710650958 Long DBT CORP US N 2 2023-06-15 Fixed 4.5 N N N N N N SIERRA RECEIVABLES FUNDING CO N/A 82652JAB3 93391.2 PA USD 93749.6 0.0084320139 Long ABS-O CORP US Y 2 2032-09-20 Fixed 3.08 N N N N N N SIERRA RECEIVABLES FUNDING CO N/A 82653GAD4 1012735.86 PA USD 1033032.2 0.0929128428 Long ABS-O CORP US Y 2 2035-09-20 Fixed 5.2 N N N N N N SLC STUDENT LOAN TRUST N/A 784424AG8 4000000 PA USD 3722957.2 0.3348497143 Long ABS-O CORP US N 2 2068-02-15 Floating 1.99988 N N N N N N SLM STUDENT LN TR 2006 2 5493007758ACJK074H95 78446G102 7308 NS USD 3617460 0.3253610994 Long EC CORP US N 1 N N N SLM STUDENT LOAN TRUST N/A 78442GEX0 118000 PA USD 118000 0.0106131401 Long ABS-O USGA US N 2 2028-03-15 Floating 1.513 N N N N N N SLM STUDENT LOAN TRUST N/A 78442GEY8 3950000 PA USD 3948662.14 0.3551500376 Long ABS-O USGA US N 2 2039-12-15 Floating 5.194 N N N N N N SLM STUDENT LOAN TRUST 549300JLVVUXV7DNSJ85 78442GGU4 250000 PA USD 250000 0.0224854663 Long ABS-O USGA US N 2 2030-06-15 Floating 2.894 N N N N N N SLM STUDENT LOAN TRUST 549300UECCCKC4WVNL14 78442GKG0 5650000 PA USD 5522194.18 0.4966764441 Long ABS-O USGA US Y 2 2065-10-25 Floating 2.53963 N N N N N N SLM STUDENT LOAN TRUST N/A 78442GPD2 863469.9 PA USD 797595.09 0.07173719 Long ABS-O USGA US N 2 2040-04-25 Floating 2.08963 N N N N N N SLM STUDENT LOAN TRUST 549300H0EHPP0GTD9V95 78442GQA7 2106197.37 PA USD 1968471.65 0.1770480116 Long ABS-O USGA US N 2 2044-01-25 Floating 2.22963 N N N N N N SLM STUDENT LOAN TRUST N/A 78446CAB7 1420000 PA USD 1339824.95 0.1205063549 Long ABS-O USGA US N 2 2043-06-25 Floating 3.208 N N N N N N SLM STUDENT LOAN TRUST 549300LSGT1L2CL14698 83149EAG2 2019162.03 PA USD 1882472.23 0.1693130634 Long ABS-O USGA US N 2 2040-10-25 Floating 2.14963 N N N N N N SOCIAL PROFESSIONAL LOAN PROGR 549300RC6OGKQI1MHM67 78471C109 4688500 PA USD 2340171.01 0.2104793453 Long ABS-O CORP US Y 2 2040-09-25 Fixed 0.01 N N N N N N SOCIAL PROFESSIONAL LOAN PROGR N/A 78471H108 6724700 PA USD 2088196.34 0.1878162736 Long ABS-O CORP US Y 2 2048-06-15 Fixed 0 N N N N N N SOCIAL PROFESSIONAL LOAN PROGR N/A 83401A108 4961600 PA USD 1711752 0.1539581675 Long ABS-O CORP US Y 2 2048-02-25 Fixed 0.01 N N N N N N SOCIAL PROFESSIONAL LOAN PROGR N/A 83401L104 1200 PA USD 990000 0.0890424465 Long ABS-O CORP US Y 2 2033-03-25 Floating 0 N N N N N N SOCIAL PROFESSIONAL LOAN PROGR N/A 83404R108 3324300 PA USD 1981548.41 0.1782241598 Long ABS-O CORP US Y 2 2047-08-26 Fixed 0.01 N N N N N N SOCIAL PROFESSIONAL LOAN PROGR N/A 83405DAE8 990000 PA USD 1036832.64 0.0932546615 Long ABS-O CORP US Y 2 2040-07-25 Fixed 4.21 N N N N N N SOCIAL PROFESSIONAL LOAN PROGR 5493002WMPR84WZ75V46 83406E105 3759800 PA USD 2906325.4 0.2614003271 Long ABS-O CORP US Y 2 2042-02-25 Fixed 0.01 N N N N N N SOFI ALTERNATIVE TRUST N/A 83406JAA2 6781898.54 PA USD 6932097.25 0.6234857559 Long ABS-O CORP US Y 2 2045-01-25 Fixed 4.00956 N N N N N N SOUTH CAROLINA STUDENT LOAN CO 549300PIO3ZMSROGFF38 83715RAF9 1800000 PA USD 1776392.28 0.1597720348 Long ABS-O CORP US N 2 2033-01-03 Floating 2.69113 N N N N N N SOUTH CAROLINA STUDENT LOAN CO 549300PIO3ZMSROGFF38 83715RAG7 3050000 PA USD 3073827.21 0.2764657523 Long ABS-O CORP US N 2 2035-08-01 Floating 3.19113 N N N N N N SOUTH TEXAS HIGHER EDUCATION A N/A 840555DA1 1700000 PA USD 1709333.51 0.153740644 Long DBT MUN US N 2 2046-10-01 Floating 2.94863 N N N N N N SOUTHWESTERN ELEC POWER R64UBJHEC74EB3HGQ410 845437BL5 300000 PA USD 395334.29 0.0355571034 Long DBT CORP US N 2 2040-03-15 Fixed 6.2 N N N N N N SPIRIT AIR 2015 1 PTT A 549300DCAFIXFNFR3304 84858DAA6 1495878.91 PA USD 1558970.59 0.1402167225 Long ABS-O CORP US N 2 2029-10-01 Fixed 4.1 N N N N N N SPIRIT REALTY LP 549300GTBVIBJRX5BW73 84861TAD0 820000 PA USD 863608.26 0.0776745376 Long DBT CORP US N 2 2029-07-15 Fixed 4 N N N N N N SPIRIT REALTY LP 549300GTBVIBJRX5BW73 84861TAE8 1480000 PA USD 1482409.38 0.1333306645 Long DBT CORP US N 2 2027-01-15 Fixed 3.2 N N N N N N SPIRIT REALTY LP 549300GTBVIBJRX5BW73 84861TAF5 515000 PA USD 517710.08 0.0465638102 Long DBT CORP US N 2 2030-01-15 Fixed 3.4 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AB3 1238000 PA USD 1258117.5 0.1131574345 Long DBT CORP US Y 2 2023-02-15 Fixed 5.5 N N N N N N State Street Navigator Securities Lending Trust 5493005HD34MZLK62085 638995910 5804480 NS USD 5804480 0.5220657572 Long STIV RF US N 1 N N STEELE CREEK CLO LTD N/A 85816LAE8 1170000 PA USD 1130504.31 0.1016796662 Long ABS-CBDO CORP KY Y 2 2031-08-18 Floating 4.20413 N N N N N N STEELE CREEK CLO LTD N/A 85816VAA4 660000 PA USD 657851.04 0.0591683495 Long ABS-CBDO CORP KY Y 2 2030-01-15 Floating 3.25088 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAD6 1870000 PA USD 1875883.73 0.1687204814 Long DBT CORP NL Y 2 2020-04-24 Fixed 3.698 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAH7 2065000 PA USD 2156613.11 0.1939698055 Long DBT CORP NL Y 2 2023-04-24 Fixed 4.441 N N N N N N TRINITY RAIL LEASING L.P. N/A 89657BAC8 3289000 PA USD 3248732.12 0.2921970261 Long ABS-O CORP US Y 2 2049-10-18 Fixed 3.1 N N N N N N TACO BELL FUNDING, LLC N/A 87342RAE4 1128600 PA USD 1214558.46 0.1092396532 Long ABS-O CORP US Y 2 2048-11-25 Fixed 4.94 N N N N N N TRIP RAIL MASTER FUNDING LLC 5493004VSVYOZVEYVJ29 89690EAF4 327345.09 PA USD 327396.25 0.0294466294 Long ABS-O CORP US Y 2 2047-08-15 Fixed 2.709 N N N N N N TRITON CONTAINER FINANCE LLC N/A 89679HAA3 813523.94 PA USD 809138.72 0.0727754456 Long ABS-O CORP US Y 2 2042-06-20 Fixed 3.52 N N N N N N TAL ADVANTAGE LLC 5493000YLAGDN6QHT178 874074AA5 1973998.72 PA USD 2025329 0.1821618677 Long ABS-O CORP US Y 2 2042-04-20 Fixed 4.5 N N N N N N TRITON CONTAINER FINANCE LLC N/A 89679HAN5 1394000 PA USD 1412202.85 0.1270161583 Long ABS-O CORP US Y 2 2043-06-22 Fixed 4.19 N N N N N N TANGER PROPERTIES LP PQPGJDNFN35EXH363L31 875484AG2 1448000 PA USD 1490868.71 0.1340915124 Long DBT CORP US N 2 2023-12-01 Fixed 3.875 N N N N N N TRITON CONTAINER FINANCE LLC N/A 89679HAE5 2691429.9 PA USD 2690897.8 0.242024367 Long ABS-O CORP US Y 2 2042-08-20 Fixed 3.62 N N N N N N TECK RESOURCES LIMITED T8KI5SQ2JRWHL7XY0E11 878742AS4 850000 PA USD 948906.11 0.0853463854 Long DBT CORP CA N 2 2040-08-15 Fixed 6 N N N N N N UDR INC P3CH2EG5X6Z1XWU1OO74 90265EAQ3 805000 PA USD 823413.38 0.0740593352 Long DBT CORP US N 2 2030-01-15 Fixed 3.2 N N N N N N TELEFONICA EMISIONES SAU 549300Y5MFC4SW5Z3K71 87938WAV5 1105000 PA USD 1236267.79 0.1111922308 Long DBT CORP ES N 2 2038-03-06 Fixed 4.665 N N N N N N UNITED AIR 2018 1 B PTT N/A 90932NAA1 519139.84 PA USD 536868.47 0.0482869515 Long ABS-O CORP US N 2 2027-09-01 Fixed 4.6 N N N N N N TELUS CORP L2TEUTQ8OSHMJWVLCE40 87974PA60 5000000 PA USD 4998495 0.4495739631 Long STIV CORP CA N 2 2020-01-06 None 0 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91086QAS7 685000 PA USD 938450 0.0844059433 Long DBT NUSS MX N 2 2034-09-27 Fixed 6.75 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91086QBB3 3727000 PA USD 4118335 0.3704107311 Long DBT NUSS MX N 2 2044-03-08 Fixed 4.75 N N N N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAF8 460000 PA USD 331200 0.0297887457 Long DBT CORP NL N 2 2046-10-01 Fixed 4.1 N N N N N N UNITED TECHNOLOGIES CORP I07WOS4YJ0N7YRFE7309 913017BP3 350000 PA USD 486075.23 0.0437185128 Long DBT CORP US N 2 2038-07-15 Fixed 6.125 N N N N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAC5 724000 PA USD 701157.8 0.0630634403 Long DBT CORP NL N 2 2021-07-21 Fixed 2.2 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RS9 900000 PA USD 920877.57 0.0828254462 Long DBT UST US N 2 2046-05-15 Fixed 2.5 N N N N N N TEXTAINER MARINE CONTAINERS LI 549300X48KLHDDGPK024 88315LAC2 518773.33 PA USD 523639.63 0.047097125 Long ABS-O CORP BM Y 2 2044-04-20 Fixed 3.96 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YV6 1600000 PA USD 1587000.8 0.1427378119 Long DBT UST US N 2 2024-11-30 Fixed 1.5 N N N N N N TIAA SEASONED COMMERCIAL MORTG N/A 87246AAE8 565.57 PA USD 565.52 0.0000508639 Long ABS-O CORP US N 2 2039-08-15 Floating 5.50278 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAH6 630000 PA USD 819000 0.0736623875 Long DBT CORP KY N 2 2036-11-21 Fixed 6.875 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YB0 2000000 PA USD 1950053.8 0.1753914759 Long DBT UST US N 2 2029-08-15 Fixed 1.625 N N N N N N TIME WARNER CABLE LLC B1WXCWLJVJXMWJX6O298 88732JAU2 985000 PA USD 1244547.15 0.1119368919 Long DBT CORP US N 2 2039-06-15 Fixed 6.75 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAP8 1250000 PA USD 1467250 0.1319672016 Long DBT CORP KY N 2 2026-08-10 Fixed 6.25 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810QA9 5200000 PA USD 6242078.96 0.5614242239 Long DBT UST US N 2 2039-02-15 Fixed 3.5 N N N N N N TPG SPECIALTY LENDING IN 549300TX61566GJWCN05 87265KAF9 3575000 PA USD 3601332.09 0.3239105251 Long DBT CORP US N 2 2024-11-01 Fixed 3.875 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SJ8 7900000 PA USD 7685224.28 0.6912234056 Long DBT UST US N 2 2049-08-15 Fixed 2.25 N N N N N TRANSCANADA PIPELINES LTD 5BV01I6231JPDAPMGH09 89355PAG3 12000000 PA USD 11989669.32 1.0783732208 Long STIV CORP CA N 2 2020-01-16 None 0 N N N N N N VALLEY NATIONAL BANCORP 549300ET52S1UBIB9762 919794AB3 1530000 PA USD 1642262.92 0.14770819 Long DBT CORP US N 2 2023-09-27 Fixed 5.125 N N N N N N TRINITY RAIL LEASING L.P. N/A 89657AAB2 2420000 PA USD 2515685.35 0.2262654324 Long ABS-O CORP US Y 2 2048-06-17 Fixed 4.62 N N N N N N STORE CAPITAL CORP 5493004EA6C9IHDZ7N66 862121AB6 1480000 PA USD 1642897.77 0.1477652896 Long DBT CORP US N 2 2029-03-15 Fixed 4.625 N N N N N N USF+G CAPITAL I N/A 902965AA0 885000 PA USD 1357594.86 0.1221046138 Long DBT CORP US Y 2 2045-12-15 Fixed 8.5 N N N N N N WAVE 2017 1 LLC N/A 94353WAC9 1878695.08 PA USD 1887458.82 0.1697615666 Long ABS-O CORP US Y 2 2042-11-15 Fixed 6.656 N N N N N N WAVE 2017 1 LLC N/A 94353WAA3 3303793.54 PA USD 3323764.64 0.2989455909 Long ABS-O CORP US Y 2 2042-11-15 Fixed 3.844 N N N N N N WAVE USA N/A 94354KAA8 4006968 PA USD 3964524.99 0.3565767719 Long ABS-O CORP US Y 2 2044-09-15 Fixed 3.597 N N N N N N VELOCITY COMMERCIAL CAPITAL LO N/A 92258TAB8 195485.15 PA USD 196015.25 0.0176299772 Long ABS-O CORP US Y 2 2046-10-25 Floating 2.99694 N N N N N N WELLS FARGO + COMPANY PBLD0EJDB5FWOLXP3B76 94974BFP0 909000 PA USD 1167447.66 0.10500242 Long DBT CORP US N 2 2043-11-02 Fixed 5.375 N N N N N N STORE MASTER FUNDING LLC N/A 86212VAE4 1317458.33 PA USD 1396098.6 0.125567712 Long ABS-O CORP US Y 2 2048-10-20 Fixed 4.29 N N N N N N VEREIT OPERATING PARTNER 5493005TQOUJE1LCS698 92340LAD1 2260000 PA USD 2474939.27 0.222600654 Long DBT CORP US N 2 2025-11-01 Fixed 4.625 N N N N N N WELLS FARGO COMMERCIAL MORTGAG 549300NYO16WLNMVJJ46 95001NBC1 400000 PA USD 448303.04 0.0403212116 Long ABS-O CORP US N 2 2051-06-15 Floating 4.556 N N N N N N STORE MASTER FUNDING LLC N/A 86212XAB6 2911996.66 PA USD 2877456.39 0.2588037945 Long ABS-O CORP US Y 2 2049-11-20 Fixed 3.65 N N N N N N VEREIT OPERATING PARTNER 5493005TQOUJE1LCS698 92340LAE9 2790000 PA USD 2741752.78 0.2465983587 Long DBT CORP US N 2 2029-12-15 Fixed 3.1 N N N N N N WELLS FARGO COMMERCIAL MORTGAG 549300NYO16WLNMVJJ46 95001NBB3 1450000 PA USD 1611034.83 0.1448994774 Long ABS-O CORP US N 2 2051-06-15 Floating 4.405 N N N N N N WELLS FARGO MORTGAGE BACKED SE N/A 95001TAA3 1605039.84 PA USD 1646735.73 0.1481104829 Long ABS-O CORP US Y 2 2048-11-25 Floating 4 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VBT0 885000 PA USD 1299415 0.1168718087 Long DBT CORP US N 2 2043-09-15 Fixed 6.55 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AH7 655000 PA USD 646672.18 0.058162902 Long DBT CORP US N 2 2028-03-01 Fixed 4.5 N N N N N N WILLIS ENGINE SECURITIZATION T N/A 97064EAA6 1268423.21 PA USD 1324718.62 0.1191476634 Long ABS-O CORP US Y 2 2043-09-15 Fixed 4.75 N N N N N N VIACOMCBS INC. 5KYC8KF17ROCY24M3H09 92557KAP4 7000000 PA USD 6991104.75 0.6287930005 Long STIV CORP US N 2 2020-01-23 None 0 N N N N N N WILLIS NORTH AMERICA INC 5493004KVU1HWZCP0C66 970648AJ0 905000 PA USD 896999.07 0.0806777694 Long DBT CORP US N 2 2029-09-15 Fixed 2.95 N N N N N N WILLIS NORTH AMERICA INC 5493004KVU1HWZCP0C66 970648AG6 1965000 PA USD 2166959.12 0.1949003449 Long DBT CORP US N 2 2028-09-15 Fixed 4.5 N N N N N N VIVINT SOLAR FINANCING LLC 549300IMDTS6JXV4CV59 92854VAB1 2640171.86 PA USD 2767569.92 0.2489204005 Long ABS-O CORP US Y 2 2048-04-30 Fixed 7.37 N N N N N N STRUCTURED ADJUSTABLE RATE MOR N/A 86359BLB5 20595.82 PA USD 20075.14 0.0018055955 Long ABS-O CORP US N 2 2034-03-25 Floating 4.13329 N N N N N N WIND RIVER CLO LTD 254900CL04BC1Q11T078 88433BAS6 900000 PA USD 895383.9 0.080532498 Long ABS-CBDO CORP KY Y 2 2031-11-01 Floating 3.70913 N N N N N N WIND RIVER CLO LTD N/A 88434HAG8 1150000 PA USD 1145673.7 0.1030440294 Long ABS-CBDO CORP KY Y 2 2030-07-15 Floating 3.75088 N N N N N N STRUCTURED ASSET SECURITIES CO N/A 863576EH3 3985600.18 PA USD 3912808.77 0.3519253186 Long ABS-O CORP US Y 2 2035-11-25 Floating 2.592 N N N N N N XCEL ENERGY INC LGJNMI9GH8XIDG5RCM61 98389BAH3 1250000 PA USD 1690704.26 0.1520650945 Long DBT CORP US N 2 2036-07-01 Fixed 6.5 N N N N N N VOYA FINANCIAL INC 549300T065Z4KJ686G75 929089AF7 1080000 PA USD 1082700 0.0973800574 Long DBT CORP US N 2 2048-01-23 Fixed 4.7 N N N N N N XLIT LTD 635400XCGXK8NVDIVE95 98420EAC9 2250000 PA USD 2451620.14 0.220503288 Long DBT CORP KY N 2 2025-03-31 Fixed 4.45 N N N N N N VSE VOI MORTGAGE LLC N/A 918290AA5 883121.15 PA USD 879483.93 0.079102425 Long ABS-O CORP US Y 2 2033-07-20 Fixed 2.54 N N N N N N STRUCTURED RECEIVABLES FINANCE N/A 86365LAA9 171803.26 PA USD 172874.5 0.015548655 Long ABS-O CORP US Y 2 2036-08-15 Fixed 3.73 N N N N N N YARA INTERNATIONAL ASA 213800WKOUWXWFJ5Z514 984851AF2 3328000 PA USD 3617484.35 0.3253632895 Long DBT CORP NO Y 2 2028-06-01 Fixed 4.75 N N N N N N VW CR INC 549300UUPJ2NXDB68M19 91842JAE9 1000000 PA USD 999254.89 0.0898748485 Long STIV CORP US N 2 2020-01-14 None 0 N N N N N N SUNOCO LOGISTICS PARTNER 5493006LL0CKP8WQW329 86765BAP4 525000 PA USD 558770.46 0.0502568573 Long DBT CORP US N 2 2044-04-01 Fixed 5.3 N N N N N N VW CR INC 549300UUPJ2NXDB68M19 91842JCJ6 4000000 PA USD 3981436 0.3580977797 Long STIV CORP US N 2 2020-03-18 None 0 N N N N N N SUTTONPARK STRUCTURED SETTLEME N/A 869507AA1 1967256.59 PA USD 2103880 0.1892268912 Long ABS-O CORP US Y 2 2071-01-15 Fixed 4.19 N N N N N N WALGREENS BOOTS 549300RPTUOIXG4LIH86 93142WCT8 4000000 PA USD 3979236 0.3578999076 Long STIV CORP US N 2 2020-03-27 None 0 N N N N N N SVB FINANCIAL GROUP 549300D2KJ20JMXE7542 78486QAD3 1000000 PA USD 1047792.47 0.094240409 Long DBT CORP US N 2 2025-01-29 Fixed 3.5 N N N N N N WALGREENS BOOTS 549300RPTUOIXG4LIH86 93142WDW0 8000000 PA USD 7943533.36 0.714456206 Long STIV CORP US N 2 2020-04-30 None 0 N N N N N N WAMU MORTGAGE PASS THROUGH CER N/A 92922FNW4 52880.93 PA USD 51748.07 0.0046543179 Long ABS-O CORP US N 2 2044-04-25 Floating 3.63948 N N N N N N US LONG BOND(CBT) MAR20 N/A ADI1CT5R0 -160 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Long Bond 2020-03-20 -24945000 USD 481980.8 N N N US ULTRA BOND CBT MAR20 N/A ADI1CTD83 436 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Ultra Long Bond 2020-03-20 79202125 USD -1929214.52 N N N US 5YR NOTE (CBT) MAR20 N/A ADI1CW4N3 341 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury 5 Year Note 2020-03-31 40445796.88 USD -159639.34 N N N US 2YR NOTE (CBT) MAR20 N/A ADI1CW635 619 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury 2 Year Note 2020-03-31 133394500 USD -96822.73 N N N US 10YR ULTRA FUT MAR20 N/A ADI1D4LR6 79 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury 10 Year Ultra Note 2020-03-20 11115546.88 USD -127059.7 N N N 2020-02-24 MML Series Investment Fund II /s/ Renee Hitchcock Renee Hitchcock Treasurer and CFO