0001688554-22-000035.txt : 20220829
0001688554-22-000035.hdr.sgml : 20220829
20220826182000
ACCESSION NUMBER: 0001688554-22-000035
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220630
FILED AS OF DATE: 20220829
DATE AS OF CHANGE: 20220826
PERIOD START: 20220630
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIMCO Flexible Credit Income Fund
CENTRAL INDEX KEY: 0001688554
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23211
FILM NUMBER: 221206668
BUSINESS ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
BUSINESS PHONE: (844)337-4626
MAIL ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
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MXN
0.000000
MXN
9300000.000000
MXN
5416.250000
N
N
N
BANC OF AMERICA FUNDING TRUST 2015-R2
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2015 R2 6A2 144A
05990TAV9
2682929.860000
PA
USD
2403429.200000
0.0815589
Long
ABS-MBS
CORP
US
N
2
2037-02-27
Variable
6.82931
N
N
N
N
N
N
BANC OF AMERICA FUNDING TRUST 2015-R4
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2015 R4 5A2 144A
05990RAQ4
17437413.190000
PA
USD
6883955.930000
0.2336028
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.15571
N
N
N
N
N
N
N/A
N/A
IRS USD 0.50000 06/16/21-5Y CME
000000000
1.000000
NC
USD
-31243385.080000
-1.0602251
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2026-06-16
0.000000
USD
-7048852.000000
USD
323700000.000000
USD
-24194533.080000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875
ACI1T7K79
33141000.000000
PA
29087648.750000
0.9870715
Long
DBT
CORP
IT
N
2
2026-01-09
Fixed
1.875
N
N
N
N
N
N
N/A
N/A
IRS USD 1.00000 12/16/20-10Y CME
000000000
1.000000
NC
USD
-8322560.730000
-0.2824210
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2030-12-16
1769388.000000
USD
0.000000
USD
53800000.000000
USD
-10091948.730000
N
N
N
N/A
N/A
IRS USD 1.15000 09/20/20-30Y CME
000000000
1.000000
NC
USD
8521133.720000
0.2891594
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2050-09-20
55276.000000
USD
0.000000
USD
24300000.000000
USD
8465857.720000
N
N
N
N/A
N/A
IRS USD 1.25000 06/16/21-30Y CME
000000000
1.000000
NC
USD
25105447.380000
0.8519379
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2051-06-16
14088924.000000
USD
0.000000
USD
74500000.000000
USD
11016523.380000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625
ACI1J7WJ1
20390000.000000
PA
18982402.730000
0.6441562
Long
DBT
CORP
IT
N
2
2025-04-28
Fixed
2.625
N
N
N
N
N
N
N/A
N/A
IRS USD 1.42000 08/17/21-7Y CME
000000000
1.000000
NC
USD
8163111.610000
0.2770102
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-08-17
0.000000
USD
0.000000
USD
93400000.000000
USD
8163111.610000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625
BJSF9FII4
4664000.000000
PA
4522576.180000
0.1534708
Long
DBT
CORP
IT
N
2
2024-09-24
Fixed
3.625
N
N
N
N
N
N
N/A
N/A
IRS USD 1.50000 06/21/17-10Y CME
000000000
1.000000
NC
USD
-831259.290000
-0.0282083
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2027-06-21
0.000000
USD
-834047.340000
USD
11500000.000000
USD
2788.050000
N
N
N
N/A
N/A
IRS USD 1.50000 12/15/21-7Y CME
000000000
1.000000
NC
USD
-2329309.690000
-0.0790437
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-12-15
0.000000
USD
-100557.840000
USD
25600000.000000
USD
-2228751.850000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR
ACI0ZY1X9
9818000.000000
PA
6114720.740000
0.2074993
Long
DBT
CORP
IT
N
2
2028-01-18
Floating
5.375
N
N
N
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR
ACI1J42S1
10800000.000000
PA
7249089.330000
0.2459934
Long
DBT
CORP
IT
N
2
2030-01-22
Floating
8
N
N
N
N
N
N
N/A
N/A
IRS USD 2.25000 06/20/18-10Y CME
000000000
1.000000
NC
USD
-2561459.060000
-0.0869215
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2028-06-20
0.000000
USD
-3466152.120000
USD
58100000.000000
USD
904693.060000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5
ACI1DBG64
17253000.000000
PA
12648964.830000
0.4292349
Long
DBT
CORP
IT
N
2
2029-07-23
Fixed
10.5
N
N
N
N
N
N
N/A
N/A
IRS USD 2.50000 12/20/17-10Y LCH
000000000
1.000000
NC
USD
-69897.570000
-0.0023719
N/A
DIR
US
N
2
London Clearing house
N/A
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2027-12-20
40147.000000
USD
0.000000
USD
2500000.000000
USD
-110044.570000
N
N
N
N/A
N/A
IRS USD 3.00000 06/19/19-10Y CME
000000000
1.000000
NC
USD
-201452.550000
-0.0068362
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
USD-LIBOR-BBA-Bloomberg 3M
N/A
N/A
Y
2029-06-19
4764724.430000
USD
0.000000
USD
59000000.000000
USD
-4966176.980000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR
ACI1R35P7
500000.000000
PA
346923.850000
0.0117726
Long
DBT
CORP
IT
N
2
2030-09-10
Floating
8.5
N
N
N
N
N
N
N/A
N/A
IRS ZAR 5.87300 05/12/21-5Y CME
000000000
1.000000
NC
-4068898.980000
-0.1380756
N/A
DIR
ZA
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month
Y
2026-05-12
0.000000
ZAR
-18264.900000
ZAR
1011400000.000000
ZAR
-4050634.080000
N
N
N
N/A
N/A
RFR GBP SONIO/0.75000 09/21/22-10Y LCH
000000000
1.000000
NC
2446472.080000
0.0830195
N/A
DIR
GB
N
2
London Clearing house
N/A
SONIA O/N Deposit Rates Swap
N/A
N/A
Y
2032-09-21
1348242.060000
GBP
0.000000
GBP
13900000.000000
GBP
1098230.020000
N
N
N
N/A
N/A
RFR GBP SONIO/0.75000 09/21/22-30Y LCH
000000000
1.000000
NC
8466077.980000
0.2872912
N/A
DIR
GB
N
2
London Clearing house
N/A
SONIA O/N Deposit Rates Swap
N/A
N/A
Y
2052-09-23
2848211.720000
GBP
0.000000
GBP
22000000.000000
GBP
5617866.260000
N
N
N
BANCO DE CREDITO DEL PERU SA
549300EQYQ8SCQZ4BY14
BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65
05971U2B2
1300000.000000
PA
314516.130000
0.0106729
Long
DBT
CORP
PE
N
2
2024-09-17
Fixed
4.65
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/1.75000 06/15/22-30Y LCH
000000000
1.000000
NC
USD
9950433.330000
0.3376618
N/A
DIR
US
N
2
London Clearing house
N/A
N/A
USD-SOFR-COMPOUND
Y
2052-06-17
4888806.000000
USD
0.000000
USD
54700000.000000
USD
5061627.330000
N
N
N
N/A
N/A
RFR USD SOFR/1.75000 06/15/22-5Y LCH
000000000
1.000000
NC
USD
-11745045.230000
-0.3985609
N/A
DIR
US
N
2
London Clearing house
N/A
N/A
USD-SOFR-COMPOUND
Y
2027-06-15
0.000000
USD
-5908319.000000
USD
246200000.000000
USD
-5836726.230000
N
N
N
N/A
N/A
ZCS BRL 11.14 03/29/22-01/02/25 CME
000000000
1.000000
NC
-14232.710000
-0.0004830
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
2600000.000000
BRL
-14232.710000
N
N
N
N/A
N/A
ZCS BRL 11.16 03/29/22-01/02/25 CME
000000000
1.000000
NC
-9719.100000
-0.0003298
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
1800000.000000
BRL
-9719.100000
N
N
N
N/A
N/A
ZCS BRL 11.22 03/25/22-01/04/27 CME
000000000
1.000000
NC
-21366.050000
-0.0007250
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
3200000.000000
BRL
-21366.050000
N
N
N
N/A
N/A
ZCS BRL 11.245 03/25/22-01/04/27 CME
000000000
1.000000
NC
-10470.960000
-0.0003553
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
1600000.000000
BRL
-10470.960000
N
N
N
N/A
N/A
ZCS BRL 11.26 03/25/22-01/04/27 CME
000000000
1.000000
NC
-10343.850000
-0.0003510
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
1600000.000000
BRL
-10343.850000
N
N
N
N/A
N/A
ZCS BRL 11.35 03/28/22-01/02/25 CME
000000000
1.000000
NC
-10328.380000
-0.0003505
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
2200000.000000
BRL
-10328.380000
N
N
N
N/A
N/A
ZCS BRL 11.7 03/24/22-01/04/27 CME
000000000
1.000000
NC
-3329.240000
-0.0001130
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
800000.000000
BRL
-3329.240000
N
N
N
N/A
N/A
ZCS BRL 11.715 03/24/22-01/04/27 CME
000000000
1.000000
NC
-14702.040000
-0.0004989
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
3600000.000000
BRL
-14702.040000
N
N
N
N/A
N/A
ZCS BRL 11.87 03/22/22-01/04/27 CME
000000000
1.000000
NC
-27905.710000
-0.0009470
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
8500000.000000
BRL
-27905.710000
N
N
N
N/A
N/A
ZCS BRL 12 03/23/22-01/02/25 CME
000000000
1.000000
NC
-13588.780000
-0.0004611
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
5900000.000000
BRL
-13588.780000
N
N
N
N/A
N/A
ZCS BRL 12.015 03/17/22-01/04/27 CME
000000000
1.000000
NC
-682040.120000
-0.0231446
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
269000000.000000
BRL
-682040.120000
N
N
N
N/A
N/A
ZCS BRL 12.08 03/21/22-01/02/25 CME
000000000
1.000000
NC
-19873.110000
-0.0006744
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
9900000.000000
BRL
-19873.110000
N
N
N
N/A
N/A
ZCS BRL 12.14 03/21/22-01/02/25 CME
000000000
1.000000
NC
-8943.970000
-0.0003035
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
5000000.000000
BRL
-8943.970000
N
N
N
N/A
N/A
ZCS BRL 12.145 03/22/22-01/02/25 CME
000000000
1.000000
NC
-8688.560000
-0.0002948
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
4900000.000000
BRL
-8688.560000
N
N
N
N/A
N/A
ZCS BRL 12.16 03/21/22-01/02/25 CME
000000000
1.000000
NC
-16988.700000
-0.0005765
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
9900000.000000
BRL
-16988.700000
N
N
N
N/A
N/A
ZCS BRL 12.67 03/29/22-01/02/23 CME
000000000
1.000000
NC
5788.010000
0.0001964
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
8000000.000000
BRL
5788.010000
N
N
N
N/A
N/A
ZCS BRL 12.69 03/29/22-01/02/23 CME
000000000
1.000000
NC
3705.360000
0.0001257
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
5300000.000000
BRL
3705.360000
N
N
N
N/A
N/A
ZCS BRL 12.74 03/25/22-01/02/23 CME
000000000
1.000000
NC
8553.120000
0.0002902
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
13700000.000000
BRL
8553.120000
N
N
N
N/A
N/A
ZCS BRL 12.75 03/28/22-01/02/23 CME
000000000
1.000000
NC
4085.540000
0.0001386
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
6600000.000000
BRL
4085.540000
N
N
N
N/A
N/A
ZCS BRL 12.76 03/25/22-01/02/23 CME
000000000
1.000000
NC
8216.020000
0.0002788
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
13700000.000000
BRL
8216.020000
N
N
N
N/A
N/A
ZCS BRL 12.9 03/21/22-01/02/23 CME
000000000
1.000000
NC
11124.500000
0.0003775
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
28100000.000000
BRL
11124.500000
N
N
N
N/A
N/A
ZCS BRL 12.93 03/24/22-01/02/23 CME
000000000
1.000000
NC
1339.610000
0.0000455
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
3500000.000000
BRL
1339.610000
N
N
N
N/A
N/A
ZCS BRL 12.9385 03/21/22-01/02/23 CME
000000000
1.000000
NC
4902.400000
0.0001664
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
14100000.000000
BRL
4902.400000
N
N
N
N/A
N/A
ZCS BRL 12.946 03/22/22-01/02/23 CME
000000000
1.000000
NC
12232.860000
0.0004151
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
35300000.000000
BRL
12232.860000
N
N
N
N/A
N/A
ZCS BRL 12.96 03/21/22-01/02/23 CME
000000000
1.000000
NC
9013.990000
0.0003059
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
28100000.000000
BRL
9013.990000
N
N
N
N/A
N/A
ZCS BRL 12.97 03/22/22-01/02/23 CME
000000000
1.000000
NC
4464.890000
0.0001515
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
14100000.000000
BRL
4464.890000
N
N
N
N/A
N/A
ZCS BRL 12.97 03/23/22-01/02/23 CME
000000000
1.000000
NC
5655.860000
0.0001919
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
17400000.000000
BRL
5655.860000
N
N
N
N/A
N/A
ZCS BRL 12.97 03/24/22-01/02/23 CME
000000000
1.000000
NC
4901.560000
0.0001663
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
0.000000
BRL
14700000.000000
BRL
4901.560000
N
N
N
N/A
N/A
ZCS BRL 6.17 03/18/21-01/02/23 CME
000000000
1.000000
NC
-1876067.010000
-0.0636632
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2023-01-03
0.000000
BRL
-37631.240000
BRL
203900000.000000
BRL
-1838435.770000
N
N
N
BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2
N/A
THE BANCORP COMMERCIAL MORTGAG BANC 2017 CRE2 D 144A
05972AAJ9
3789908.780000
PA
USD
3763303.620000
0.1277054
Long
ABS-MBS
CORP
US
N
2
2032-08-15
Floating
5.074
N
N
N
N
N
N
N/A
N/A
UKRAINE EM SP BRC
000000000
1.000000
NC
USD
-1369860.200000
-0.0464854
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
UKRAINE GOVT
UKRAINE GOVERNMENT
Y
Single Leg Swap
2022-12-21
190103.850000
USD
0.000000
USD
3100000.000000
USD
-1559964.050000
N
N
N
N/A
N/A
WINDSTREAM HOLDINGS II, LLC 8725909B2
000000000
1366195.000000
NC
USD
29132662.940000
0.9885990
N/A
DE
US
N
3
None
N/A
Call
Purchased
WINDSTREAM HOLDINGS INC
WINDSTREAM *BACKSTOP COMMITMENT*
N/A
0.000000
USD
2055-09-21
XXXX
17602677.060000
N
N
N
BANK OF AMERICA MTG SEC 2002-G
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1B3
06050HKZ0
22193.000000
PA
USD
20760.300000
0.0007045
Long
ABS-MBS
CORP
US
N
2
2032-07-20
Floating
5.74998
N
N
N
N
N
N
BANK OF AMERICA MTGE SECURITIES 2004-E
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E B1
05949AHJ2
196852.270000
PA
USD
161772.310000
0.0054896
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
3.45255
N
N
N
N
N
N
BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6
N/A
BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 F5TD 144A
05492TBM1
6000000.000000
PA
USD
4320684.000000
0.1466198
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Variable
3.81129
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA 12/99 VAR
06738EBA2
2410000.000000
PA
USD
2373850.000000
0.0805551
Long
DBT
CORP
GB
N
2
2023-09-15
Floating
7.75
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA 12/99 VAR
06738EBG9
250000.000000
PA
USD
246250.000000
0.0083563
Long
DBT
CORP
GB
N
2
2024-06-15
Floating
8
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA REGS VAR
931ZUKII2
1200000.000000
PA
1353482.090000
0.0459296
Long
DBT
CORP
GB
N
2
2024-09-15
Floating
5.875
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA REGS VAR
ACI1FNQ32
650000.000000
PA
730220.390000
0.0247796
Long
DBT
CORP
GB
N
2
2025-12-15
Floating
6.375
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC JR SUBORDINA VAR
ACI1CH093
4100000.000000
PA
4801275.730000
0.1629283
Long
DBT
CORP
GB
N
2
2025-06-15
Floating
7.125
N
N
N
N
Y
BARCLAYS PLC
BARCLAYS PLC
GBP
XXXX
N
N
N
CLEAR CHANNEL OUTDOOR HOLDINGS INC
N/A
CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK
18453H106
725704.000000
NS
USD
776503.280000
0.0263502
Long
EC
CORP
US
N
1
N
N
N
BBCCRE TRUST 2015-GTP
N/A
BBCCRE TRUST BBCCR 2015 GTP E 144A
05490TAJ1
6020000.000000
PA
USD
5471406.430000
0.1856688
Long
ABS-MBS
CORP
US
N
2
2033-08-10
Variable
4.71469
N
N
N
N
N
N
BBCCRE TRUST 2015-GTP
N/A
BBCCRE TRUST BBCCR 2015 GTP F 144A
05490TAL6
3660000.000000
PA
USD
3153303.380000
0.1070054
Long
ABS-MBS
CORP
US
N
2
2033-08-10
Variable
4.71469
N
N
N
N
N
N
BBCMS TRUST 2018-CBM
N/A
BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM E 144A
05549RAJ6
22100000.000000
PA
USD
20983209.650000
0.7120523
Long
ABS-MBS
CORP
US
N
2
2037-07-15
Floating
4.874
N
N
N
N
N
N
BBVA-6 FTPYME FTA 6
N/A
BBVA 6 FTPYME FTA BBVAP 6 C REGS
E22473AC1
645397.200000
PA
414598.600000
0.0140691
Long
ABS-O
CORP
ES
N
2
2046-03-22
Floating
0.3514
Y
N
N
N
N
N
BCAP LLC TRUST 2009-RR4
N/A
BCAP LLC TRUST BCAP 2009 RR4 1A2 144A
05531RAB3
2000104.160000
PA
USD
637703.210000
0.0216401
Long
ABS-MBS
CORP
US
N
2
2037-06-26
Variable
6.5
N
N
N
N
N
N
BCAP LLC TRUST 2010-RR9
N/A
BCAP LLC TRUST BCAP 2010 RR9 1A5 144A
05533GAE9
11031354.990000
PA
USD
7426392.020000
0.2520101
Long
ABS-MBS
CORP
US
N
2
2037-08-28
Variable
3.07129
N
N
N
N
N
N
BCAP LLC TRUST 2014-RR2
N/A
BCAP LLC TRUST BCAP 2014 RR2 11A4 144A
05543DCD4
2329936.840000
PA
USD
1967000.480000
0.0667490
Long
ABS-MBS
CORP
US
N
2
2037-05-26
Variable
2.18446
N
N
N
N
N
N
BCP TRUST 2021-330N
N/A
BCP TRUST BCP 2021 330N E 144A
05553BAN5
4900000.000000
PA
USD
4562364.030000
0.1548210
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
4.962
N
N
N
N
N
N
BCP TRUST 2021-330N
N/A
BCP TRUST BCP 2021 330N F 144A
05553BAQ8
3500000.000000
PA
USD
3204279.050000
0.1087352
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
5.958
N
N
N
N
N
N
BEAR STEARNS COMM MTGE SEC 2006-T24
N/A
BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 B 144A
07388NAH9
45242.480000
PA
USD
43208.320000
0.0014662
Long
ABS-MBS
CORP
US
N
2
2041-10-12
Variable
5.657
Y
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-AQ1
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2007 AQ1 A2
07389VAB3
8025081.890000
PA
USD
8060725.290000
0.2735358
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
1.82357
N
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2006-3
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M3
07388GAF8
3914588.640000
PA
USD
3428960.040000
0.1163597
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
2.59857
N
N
N
N
N
N
BELLE HAVEN ABS CDO LTD 2006-1A
N/A
BELLE HAVEN ABS CDO LTD BLHV 2006 1A A1 144A
078452AA7
96560571.750000
PA
USD
48280.290000
0.0016384
Long
ABS-CBDO
CORP
KY
N
2
2046-07-05
Floating
2.54286
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REG COMMON STOCK CHF.04
717158901
115607.000000
NS
656355.670000
0.0222730
Long
EC
CORP
CH
N
1
N
N
N
BMO 2022-C1 MORTGAGE TRUST
N/A
BMO 2022 C1 MORTGAGE TRUST BMO 2022 C1 111E 144A
05609MCS2
12569000.000000
PA
USD
10124701.540000
0.3435755
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
3.37762
N
N
N
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO SR UNSECURED 05/40 5.705
097023CV5
2172000.000000
PA
USD
2029702.400000
0.0688767
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.705
N
N
N
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO SR UNSECURED 05/50 5.805
097023CW3
2179000.000000
PA
USD
2005297.680000
0.0680485
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.805
N
N
N
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO SR UNSECURED 05/60 5.93
097023CX1
3679000.000000
PA
USD
3357888.270000
0.1139479
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93
N
N
N
N
N
N
BOMBARDIER CAPITAL MTG SEC-1999-B
N/A
BOMBARDIER CAPITAL MORTGAGE SE BCM 1999 B A6
09774XBG6
4066205.830000
PA
USD
751418.980000
0.0254989
Long
ABS-O
CORP
US
N
2
2029-12-15
Fixed
7.85
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC SR UNSECURED 144A 03/25 7.5
097751BM2
5799000.000000
PA
USD
5256677.520000
0.1783821
Long
DBT
CORP
CA
N
2
2025-03-15
Fixed
7.5
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
BOMBARDIER INC SR UNSECURED 144A 06/26 7.125
097751BV2
13500000.000000
PA
USD
11173950.000000
0.3791811
Long
DBT
CORP
CA
N
2
2026-06-15
Fixed
7.125
N
N
N
N
N
N
BWAY MORTGAGE TRUST 2021-1450
N/A
BWAY MORTGAGE TRUST BWAY 2021 1450 E 144A
12430YAN0
7654000.000000
PA
USD
7376631.290000
0.2503215
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
5.17401
N
N
N
N
N
N
BWAY MORTGAGE TRUST 2021-1450
N/A
BWAY MORTGAGE TRUST BWAY 2021 1450 F 144A
12430YAQ3
6611000.000000
PA
USD
6374451.150000
0.2163131
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
6.17401
N
N
N
N
N
N
BWAY MORTGAGE TRUST 2021-1450
N/A
BWAY MORTGAGE TRUST BWAY 2021 1450 G 144A
12430YAS9
3000000.000000
PA
USD
2876824.800000
0.0976233
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
7.17401
N
N
N
N
N
N
BX TRUST 2017-APPL
N/A
BX TRUST BX 2017 APPL F 144A
12433PAQ9
11841350.000000
PA
USD
11494441.070000
0.3900568
Long
ABS-MBS
CORP
US
N
2
2034-07-15
Floating
5.574
N
N
N
N
N
N
BX TRUST 2017-SLCT
N/A
BX TRUST BX 2017 SLCT E 144A
05607DAN7
9655195.890000
PA
USD
9486158.510000
0.3219070
Long
ABS-MBS
CORP
US
N
2
2034-07-15
Floating
4.474
N
N
N
N
N
N
BX TRUST 2017-SLCT
N/A
BX TRUST BX 2017 SLCT F 144A
05607DAQ0
18031050.000000
PA
USD
17420599.790000
0.5911574
Long
ABS-MBS
CORP
US
N
2
2034-07-15
Floating
5.574
N
N
N
N
N
N
BX TRUST 2018-GW 2018-GW
N/A
BX TRUST BX 2018 GW G 144A
12433UAS4
5345000.000000
PA
USD
5005580.740000
0.1698613
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
4.244
N
N
N
N
N
N
BX TRUST 2019-ATL
N/A
BX TRUST BX 2019 ATL F 144A
056058AQ3
3738500.000000
PA
USD
3434847.810000
0.1165595
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
4.0606
N
N
N
N
N
N
BX TRUST 2019-ATL
N/A
BX TRUST BX 2019 ATL G 144A
056058AS9
2436000.000000
PA
USD
2227539.790000
0.0755902
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
4.8106
N
N
N
N
N
N
C-BASS CBO XVI CORP 16A
N/A
C BASS LTD CBCL 16A A 144A
12498YAA7
21287092.200000
PA
USD
483578.870000
0.0164100
Long
ABS-CBDO
CORP
KY
N
2
2041-09-06
Floating
1.86071
N
N
N
N
N
N
C-BASS LTD 13A
N/A
C BASS LTD CBCL 13A A 144A
12498FAA8
51642205.530000
PA
USD
1264252.830000
0.0429016
Long
ABS-CBDO
CORP
KY
N
2
2040-03-17
Floating
1.41817
N
N
N
N
N
N
C-BASS LTD 18A
N/A
C BASS LTD CBCL 18A A1 144A
1248MMAA9
54781541.850000
PA
USD
2246755.380000
0.0762423
Long
ABS-CBDO
CORP
KY
N
2
2047-03-13
Floating
2.07129
N
N
N
N
N
N
C-BASS LTD 18A
N/A
C BASS LTD CBCL 18A A2 144A
1248MMAB7
31296933.040000
PA
USD
5936934.310000
0.2014662
Long
ABS-CBDO
CORP
KY
N
2
2047-03-13
Fixed
5.538
N
N
N
N
N
N
CABINETWORKS (ACPRODUCTS HOLDINGS INC)
N/A
VICTORS MERGER CORP SR UNSECURED 144A 05/29 6.375
92641PAA4
1100000.000000
PA
USD
672710.500000
0.0228280
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
6.375
N
N
N
N
N
N
CAESARS RESORT COLLECTION LLC (AKA: CAESARS GROWTH PROPERTIES HOLDINGS LLC)
549300V3UCT773B1KR38
CAESARS RESORT COLLECTION LLC TERM B LOANS
12769LAB5
17635195.870000
PA
USD
17025317.890000
0.5777437
Long
LON
CORP
US
N
2
2024-12-23
Floating
4.4161
N
N
N
N
N
N
CALIFORNIA REPUBLIC AUTO RECEIVABLES TRUST 2018-1
N/A
CALIFORNIA REPUBLIC AUTO RECEI CRART 2018 1 R
13057FAH4
6994300.000000
PA
USD
7717251.620000
0.2618802
Long
ABS-O
CORP
US
N
3
2025-04-15
Fixed
0
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A
N/A
CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A
14311CAA6
2900000.000000
PA
USD
989160.130000
0.0335665
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Variable
0
N
N
N
N
N
N
CARNIVAL CORPORATION
F1OF2ZSX47CR0BCWA982
CARNIVAL CORP SECURED 144A 02/26 10.5
143658BG6
700000.000000
PA
USD
698194.000000
0.0236928
Long
DBT
CORP
PA
N
2
2026-02-01
Fixed
10.5
N
N
N
N
N
N
CARNIVAL CORPORATION
F1OF2ZSX47CR0BCWA982
CARNIVAL CORPORATION 2021 INCREMENTAL TERM LOAN B
P2121YAS7
3919305.000000
PA
USD
3527374.500000
0.1196993
Long
LON
CORP
PA
N
3
2028-10-18
Floating
6.1269
N
N
N
N
N
N
CARNIVAL CORPORATION
F1OF2ZSX47CR0BCWA982
CARNIVAL CORPORATION EUR TERM LOAN B
P2121YAP3
15516811.550000
PA
15081931.570000
0.5117961
Long
LON
CORP
PA
N
2
2025-06-30
Floating
3.9744
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST 2021-N4
N/A
CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N4 N 144A
14687HAG8
1852474.280000
PA
USD
1850390.890000
0.0627919
Long
ABS-O
CORP
US
N
2
2028-09-11
Fixed
2.99
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST 2021-N4
N/A
CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N4 R 144A
14687HAJ2
12000.000000
PA
USD
3468000.000000
0.1176845
Long
ABS-O
CORP
US
N
3
2028-09-12
Fixed
0
N
N
N
N
N
N
CARVANA CO
5493003WEAK2PJ5WS063
CARVANA CO COMPANY GUAR 144A 05/30 10.25
146869AJ1
11900000.000000
PA
USD
9797389.000000
0.3324684
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
10.25
N
N
N
N
N
N
CASINO GUICHARD PERRACHON SA
969500VHL8F83GBL6L29
CASINO GUICHARD PERRACHON SA 2021 EUR TERM LOAN
944WEWII6
9200000.000000
PA
8689077.430000
0.2948585
Long
LON
CORP
FR
N
2
2025-08-31
Floating
4
N
N
N
N
N
N
CASSINI SAS
9695009FFM30CUZ8FO85
COMEXPOSIUM 2019 EUR 1ST LIEN TLB
945AYZII4
6732047.620000
PA
5829069.240000
0.1978059
Long
LON
CORP
FR
N
2
2026-03-28
Fixed
4
N
N
Y
N
N
N
CDC MORTGAGE CAPITAL TRUST 2004-HE1
N/A
CDC MORTGAGE CAPITAL TRUST CDCMC 2004 HE1 B1
12506YCP2
658899.600000
PA
USD
616103.350000
0.0209071
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
4.17357
Y
N
N
N
N
N
CEDAR FUNDING IX CLO LTD 2018-9A
N/A
CEDAR FUNDING LTD CEDF 2018 9A SUB 144A
15033FAC9
12000000.000000
PA
USD
6476325.360000
0.2197701
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Variable
0
N
N
N
N
N
N
CENGAGE LEARNING INC
549300BYGM0FWUSVXJ88
CENGAGE LEARNING INC 2021 TERM LOAN B
15134NAF3
4571139.980000
PA
USD
4139167.250000
0.1404601
Long
LON
CORP
US
N
2
2026-07-14
Floating
5.75
N
N
N
N
N
N
CGG SA
969500FCVQ5SLAAUJV59
CGG SA SR SECURED 144A 04/27 7.75
ACI1WM066
16600000.000000
PA
14873763.100000
0.5047320
Long
DBT
CORP
FR
N
2
2027-04-01
Fixed
7.75
N
N
N
N
N
N
CGG SA
969500FCVQ5SLAAUJV59
CGG SA SR SECURED 144A 04/27 8.75
12531TAF6
22793000.000000
PA
USD
19422485.130000
0.6590901
Long
DBT
CORP
FR
N
2
2027-04-01
Fixed
8.75
N
N
N
N
N
N
CHAMPION PATH HOLDINGS LIMITED
549300QWJFPV5413KI88
CHAMPION PATH HOLDINGS COMPANY GUAR REGS 01/26 4.5
ACI1V8V80
8177000.000000
PA
USD
5192395.000000
0.1762007
Long
DBT
CORP
VG
N
2
2026-01-27
Fixed
4.5
N
N
N
N
N
N
CHAMPION PATH HOLDINGS LIMITED
549300QWJFPV5413KI88
CHAMPION PATH HOLDINGS COMPANY GUAR REGS 01/28 4.85
ACI1V8M31
5700000.000000
PA
USD
3349747.500000
0.1136716
Long
DBT
CORP
VG
N
2
2028-01-27
Fixed
4.85
N
N
N
N
N
N
CHASE MORTGAGE FINANCE CORP 2007-A1
N/A
CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 11M1
161630BD9
49192.720000
PA
USD
47191.900000
0.0016014
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
3.34202
Y
N
N
N
N
N
CHEVY CHASE MORTGAGE FUND CORP 2005-1A
N/A
CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A B1 144A
16678RCV7
3983938.500000
PA
USD
2655481.460000
0.0901121
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
1.99357
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8
12543DBC3
5637000.000000
PA
USD
5149794.090000
0.1747551
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
8
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2013 375P E 144A
17320QAN9
7500000.000000
PA
USD
6961201.500000
0.2362241
Long
ABS-MBS
CORP
US
N
2
2035-05-10
Fixed
3.63483
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-TBR
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2018 TBR E 144A
17326MAN2
4000000.000000
PA
USD
3776714.800000
0.1281605
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
4.124
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-KEYS
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2021 KEYS F 144A
17291GAL0
13140000.000000
PA
USD
12606454.240000
0.4277923
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
5.024
N
N
N
N
N
N
CITIGROUP COMMERCIAL MTGE TRUST 2006-C5
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2006 C5 AJ
17310MAH3
2657510.230000
PA
USD
1823583.520000
0.0618822
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Fixed
5.482
N
N
N
N
N
N
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ
17311QBN9
883161.330000
PA
USD
392790.240000
0.0133291
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.69271
Y
N
N
N
N
N
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJFX 144A
17311QAE0
63842.990000
PA
USD
28556.970000
0.0009691
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.69271
Y
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2013-8
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2013 8 2A2 144A
17321PAG5
498449.610000
PA
USD
389209.290000
0.0132076
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
2.82021
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2014-C
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 C B2 144A
17323GAD0
13555000.000000
PA
USD
12275465.610000
0.4165604
Long
ABS-MBS
CORP
US
N
2
2054-02-25
Fixed
4.25
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC 2005-OPT1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT1 M6
17307GNW4
7799.370000
PA
USD
8507.010000
0.0002887
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
2.76357
Y
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2006-SHL1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 SHL1 M3 144A
17309UAD7
2756000.000000
PA
USD
2061681.750000
0.0699619
Long
ABS-MBS
CORP
US
N
2
2045-11-25
Floating
2.97357
N
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-12
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A3 144A
17307GY85
3164193.580000
PA
USD
2445149.260000
0.0829746
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
6
N
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-4
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 4 B1
17307GWF1
3095692.210000
PA
USD
2888418.280000
0.0980167
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
2.65076
N
N
N
N
N
N
CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3
N/A
CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ
14986DAJ9
280752.670000
PA
USD
255707.310000
0.0086773
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
5.688
Y
N
N
N
N
N
CITY OF BUENOS AIRES
5299007MC8RF52X0ON96
CITY OF BUENOS AIRES UNSECURED 03/24 VAR
BD8QV0II3
328937000.000000
PA
1220882.160000
0.0414299
Long
DBT
MUN
AR
N
2
2024-03-29
Floating
47.2218
N
N
N
N
N
N
CITY OF DETROIT
549300BQRJP7MKKHOY28
DETROIT MI DET 04/44 ADJUSTABLE VAR
251093S84
7200000.000000
PA
USD
5781314.160000
0.1961853
Long
DBT
MUN
US
N
2
2044-04-01
Variable
4
N
N
N
N
N
N
CLAVEAU RE LTD
N/A
CLAVEAU RE LTD UNSECURED 144A 07/28 VAR
182896AA8
3400000.000000
PA
USD
3310750.000000
0.1123483
Long
DBT
CORP
BM
N
2
2028-07-08
Floating
17.25
N
N
N
N
N
N
CLEAR CHANNEL OUTDOOR HOLDINGS INC
N/A
CLEAR CHANNEL OUTDOOR HLDNGS I TERM LOAN B
18452RAD7
26734261.240000
PA
USD
23016541.400000
0.7810522
Long
LON
CORP
US
N
2
2026-08-21
Floating
4.7389
N
N
N
N
N
N
COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR
N/A
COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR E 144A
12564NAN2
4575000.000000
PA
USD
4226328.270000
0.1434179
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
4.045
N
N
N
N
N
N
COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR
N/A
COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR F 144A
12564NAQ5
10700000.000000
PA
USD
9848426.590000
0.3342003
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
4.741
N
N
N
N
N
N
COLT 2021-1R MORTGAGE LOAN TRUST
N/A
COLT FUNDING LLC COLT 2021 1R B1 144A
19688BAE4
2458000.000000
PA
USD
2378183.820000
0.0807022
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
3.55
N
N
N
N
N
N
COLT 2021-1R MORTGAGE LOAN TRUST
N/A
COLT FUNDING LLC COLT 2021 1R B2 144A
19688BAF1
1998000.000000
PA
USD
1928836.230000
0.0654539
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
4.553
N
N
N
N
N
N
COLT 2021-1R MORTGAGE LOAN TRUST
N/A
COLT FUNDING LLC COLT 2021 1R M1 144A
19688BAD6
1156000.000000
PA
USD
1123383.110000
0.0381213
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
2.695
N
N
N
N
N
N
COMETE HOLDING
N/A
COMEXPOSIUM 2019 EUR TERM LOAN B
964NDFII9
43457838.950000
PA
37628781.980000
1.2769096
Long
LON
CORP
FR
N
2
2026-03-28
Fixed
4
N
N
Y
N
N
N
COMM 2019-521F MORTGAGE TRUST
N/A
COMM MORTGAGE TRUST COMM 2019 521F E 144A
20048GAL0
2929000.000000
PA
USD
2746511.580000
0.0932012
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
3.324
N
N
N
N
N
N
COMM 2021-2400 MORTGAGE TRUST
N/A
COMM MORTGAGE TRUST COMM 2021 2400 G 144A
20048FAS7
5260000.000000
PA
USD
5042910.330000
0.1711281
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
7.325
N
N
N
N
N
N
COMM MORTGAGE TRUST 2015-CR26
N/A
COMM MORTGAGE TRUST COMM 2015 CR26 XE 144A
12593QAG5
28636000.000000
PA
USD
966585.270000
0.0328005
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
1.37077
N
N
N
N
N
N
COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1
N/A
COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM
20173WAH1
2649744.800000
PA
USD
453856.500000
0.0154013
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
6.67299
N
N
N
N
N
N
COMMERCIAL MTAGE PASSTHRU CERT 2005-C6
N/A
COMM MORTGAGE TRUST COMM 2005 C6 G 144A
126171AS6
2067814.370000
PA
USD
1916208.010000
0.0650253
Long
ABS-MBS
CORP
US
N
2
2044-06-10
Variable
5.68899
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
COMMSCOPE INC COMPANY GUAR 144A 03/27 8.25
20338QAA1
2058000.000000
PA
USD
1631973.420000
0.0553800
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
8.25
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2021-R01
N/A
FANNIE MAE CAS CAS 2021 R01 1B1 144A
20754RAF3
7600000.000000
PA
USD
6543207.080000
0.2220397
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
4.02566
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2021-R01
N/A
FANNIE MAE CAS CAS 2021 R01 1B2 144A
20754RAJ5
18950000.000000
PA
USD
15939851.250000
0.5409091
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
6.92566
N
N
N
N
N
N
CONSECO FINANCE SEC CORP 2001-3
N/A
CONSECO FINANCE SECURITIZATION CNF 2001 3 M1
20846QHQ4
1816249.410000
PA
USD
1669170.800000
0.0566423
Long
ABS-O
CORP
US
N
2
2033-05-01
Variable
7.15
N
N
N
N
N
N
CONSECO FINANCE SECURITIZATION 2000-2
N/A
CONSECO FINANCE SECURITIZATION CNF 2000 2 A5
20846QCQ9
19043992.390000
PA
USD
4759124.170000
0.1614980
Long
ABS-O
CORP
US
N
2
2030-12-01
Fixed
8.85
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO JR SUBORDINA 12/49 VAR
369604BQ5
299000.000000
NS
USD
263105.050000
0.0089283
Long
EP
CORP
US
N
2
N
N
N
CONSECO FINANCE SECURITIZATION 2000-3
N/A
CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A
20846QDJ4
15497339.240000
PA
USD
4892468.160000
0.1660229
Long
ABS-O
CORP
US
N
2
2030-12-01
Variable
8.26
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND 2018-18
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2018 18 PT 144A
21052MAA2
274442.810000
PA
USD
248356.300000
0.0084278
Long
ABS-O
CORP
US
N
3
2043-10-15
Fixed
23.1265
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND 2019-14
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 14 PT 144A
21055BAA3
495193.240000
PA
USD
472740.730000
0.0160422
Long
ABS-O
CORP
US
N
2
2044-05-16
Variable
19.645
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND 2019-17
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 17 PT 144A
21056GAA1
940028.600000
PA
USD
903482.920000
0.0306591
Long
ABS-O
CORP
US
N
2
2044-06-15
Variable
7.9
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-21
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 21 PT 144A
21054XAA6
1362656.660000
PA
USD
1334488.780000
0.0452851
Long
ABS-O
CORP
US
N
2
2044-07-15
Variable
20.1318
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-27
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 27 PT 144A
21051MAA3
1444018.490000
PA
USD
1444416.530000
0.0490154
Long
ABS-O
CORP
US
N
3
2044-08-15
Variable
21.049
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-38
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 38 PT 144A
21054UAA2
1344344.670000
PA
USD
1345569.910000
0.0456611
Long
ABS-O
CORP
US
N
2
2044-10-17
Variable
20.8586
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-41
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 41 PT 144A
21054YAA4
1520376.600000
PA
USD
1514019.600000
0.0513773
Long
ABS-O
CORP
US
N
2
2044-11-17
Variable
20.8563
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-49
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 49 PT 144A
21056YAA2
2001205.220000
PA
USD
1993489.770000
0.0676479
Long
ABS-O
CORP
US
N
2
2044-12-15
Variable
7.3
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-53
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 53 PT 144A
21056QAA9
3308741.250000
PA
USD
3345231.040000
0.1135184
Long
ABS-O
CORP
US
N
2
2045-01-16
Variable
7.6
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-54
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 54 PT 144A
21055NAA7
3086821.670000
PA
USD
3051512.440000
0.1035512
Long
ABS-O
CORP
US
N
2
2045-02-15
Variable
24.6436
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2020-4
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2020 4 PT 144A
21056PAA1
2651276.260000
PA
USD
2656157.790000
0.0901351
Long
ABS-O
CORP
US
N
2
2045-03-15
Variable
25.8392
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST 2018-25
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2018 25 PT 144A
21053JAA8
367564.600000
PA
USD
342375.750000
0.0116183
Long
ABS-O
CORP
US
N
3
2043-12-15
Variable
24.4388
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST 2020-1
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2020 1 PT 144A
21056BAA2
3426759.440000
PA
USD
3396578.260000
0.1152608
Long
ABS-O
CORP
US
N
2
2045-02-15
Variable
7.4
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST 2020-6
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2020 6 PT 144A
21057KAA1
2292023.370000
PA
USD
2327606.570000
0.0789859
Long
ABS-O
CORP
US
N
2
2045-03-15
Variable
7.4
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2019-46
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 46 PT 144A
21056LAA0
1906041.520000
PA
USD
1919216.270000
0.0651274
Long
ABS-O
CORP
US
N
2
2044-12-15
Variable
24.6633
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2020-8
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2020 8 PT 144A
21056UAA0
3049051.290000
PA
USD
3067244.370000
0.1040851
Long
ABS-O
CORP
US
N
2
2045-04-17
Variable
24.4375
N
N
N
N
N
N
CORESTATE CAPITAL HOLDING SA
529900GNB86RB7HRX793
CORESTATE CAPITAL HOLD SR UNSECURED REGS 04/23 3.5
ACI11QWM1
5400000.000000
PA
1275234.220000
0.0432743
Long
DBT
CORP
LU
N
2
2023-04-15
Fixed
3.5
N
N
N
N
N
N
CORESTATE CAPITAL HOLDING SA
529900GNB86RB7HRX793
CORESTATE CAPITAL HOLD SR UNSECURED REGS 11/22 1.375
ACI0Z2W07
3200000.000000
PA
872397.420000
0.0296043
Long
DBT
CORP
LU
N
2
2022-11-28
Fixed
1.375
N
N
N
Y
N
CORESTATE CAPITAL HOLDING SA
CORESTATE CAPITAL HOLDING S.
EUR
XXXX
N
N
N
CORONADO CDO LTD 1A
N/A
CORONADO CDO LTD CORON 1A B1 144A
21976RAB2
1806478.680000
PA
USD
893104.990000
0.0303070
Long
ABS-CBDO
CORP
KY
N
2
2038-09-04
Floating
3.11071
Y
N
N
N
N
N
CORONADO CDO LTD 1A
N/A
CORONADO CDO LTD CORON 1A B2 144A
21976RAE6
258069.220000
PA
USD
151909.350000
0.0051550
Long
ABS-CBDO
CORP
KY
N
2
2038-09-04
Fixed
6
Y
N
N
N
N
N
CORSAIR INTERNATIONAL LIMITED
213800F3PS68ENYG4O41
CORSAIR INTERNATIONAL SECURED 144A 01/29 VAR
ACI236434
1300000.000000
PA
1272420.890000
0.0431788
Long
DBT
CORP
JE
N
2
2029-01-28
Floating
5.2
N
N
N
N
N
N
CORSAIR INTERNATIONAL LIMITED
213800F3PS68ENYG4O41
CORSAIR INTERNATIONAL SR UNSECURED 144A 01/27 VAR
ACI236343
2300000.000000
PA
2275309.040000
0.0772112
Long
DBT
CORP
JE
N
2
2027-01-28
Floating
4.85
N
N
N
N
N
N
COTY INC
549300BO9IWPF3S48F93
COTY INC SR SECURED 144A 04/26 3.875
ACI1YJLH4
15510000.000000
PA
14420286.640000
0.4893436
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.875
N
N
N
N
N
N
COTY INC
549300BO9IWPF3S48F93
COTY INC SR SECURED REGS 04/26 3.875
ACI1YJFS7
7100000.000000
PA
6601162.810000
0.2240064
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.875
N
N
N
N
N
N
COTY INC
549300BO9IWPF3S48F93
COTY INC TERM LOAN B
22207EBG8
1319274.380000
PA
USD
1261350.320000
0.0428031
Long
LON
CORP
US
N
2
2025-04-07
Floating
3.4097
N
N
N
N
N
N
COTY INC
549300BO9IWPF3S48F93
COTY INC TERM LOAN B
22207EBK9
9782713.820000
PA
9508539.820000
0.3226665
Long
LON
CORP
US
N
2
2025-04-07
Floating
2.5
N
N
N
N
N
N
COUNTRY GARDEN HOLDINGS COMPANY LIMITED
549300MGHLPT1EFHGF84
COUNTRY GARDEN HLDGS SR SECURED REGS 09/25 6.15
ACI1FGXS4
1000000.000000
PA
USD
540500.000000
0.0183415
Long
DBT
CORP
KY
N
2
2025-09-17
Fixed
6.15
N
N
N
N
N
N
COUNTRY GARDEN HOLDINGS COMPANY LIMITED
549300MGHLPT1EFHGF84
COUNTRY GARDEN HLDGS SR SECURED REGS 10/30 3.875
ACI1S6R75
300000.000000
PA
USD
126750.000000
0.0043012
Long
DBT
CORP
KY
N
2
2030-10-22
Fixed
3.875
N
N
N
N
N
N
COUNTRYWIDE ALT LOAN TRUST 2006-OA16
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4B
23242GAR5
50179.030000
PA
USD
72402.630000
0.0024569
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
2.12357
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-J1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J1 M
12667FV44
338004.590000
PA
USD
164193.230000
0.0055718
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
6.84466
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA18 A2
23244GAE2
372619.200000
PA
USD
243106.530000
0.0082497
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
2.10357
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A3
02147CAF0
1806619.620000
PA
USD
1727050.130000
0.0586064
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
2.00357
Y
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A2A
126680AD9
4501135.490000
PA
USD
2973945.680000
0.1009190
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
2.04357
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A2
12668AWJ0
415809.720000
PA
USD
117088.230000
0.0039733
Long
ABS-MBS
CORP
US
N
2
2035-12-20
Floating
2.39229
N
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERT 2006-BC3
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC3 M2
23242HAF9
2700000.000000
PA
USD
2302520.310000
0.0781346
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
2.10357
Y
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTS 2006-25
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 M1
12667TAF2
8050347.920000
PA
USD
6054000.910000
0.2054388
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
1.87357
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2005-12
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 12 M5
126670EP9
2390000.000000
PA
USD
1659329.200000
0.0563083
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.58357
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2005-3
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV8
126673C34
3465684.990000
PA
USD
3009450.780000
0.1021239
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
3.72357
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2005-4
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 4 MV7
126673R53
12139888.920000
PA
USD
9340275.140000
0.3169565
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
3.49857
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-3
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 3 M3
126670WE4
3930427.650000
PA
USD
3680811.300000
0.1249061
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
2.25357
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-11
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 11 2M1
23247LAF5
26399999.920000
PA
USD
17678984.350000
0.5999255
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
1.92357
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-13
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 1M1
126698AG4
9915999.990000
PA
USD
7731310.840000
0.2623573
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Floating
3.12357
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTS 2005-13
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 13 MV3
126670HL5
2000000.000000
PA
USD
1656795.600000
0.0562223
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.35857
Y
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTS 2005-BC5
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC5 M6
126670NK0
3463504.150000
PA
USD
3164244.230000
0.1073767
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.88357
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTS 2006-2
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 2 M3
126670UY2
2073330.320000
PA
USD
2151814.370000
0.0730205
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
2.28357
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-9
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 9 1A2
12669GYZ8
3730982.320000
PA
USD
2166332.950000
0.0735132
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.32357
Y
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-9
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 9 1A5
12669GZS3
3240341.630000
PA
USD
1950179.200000
0.0661781
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.32357
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2006-HYB5
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 3A1A
170256AK7
104305.460000
PA
USD
94070.630000
0.0031922
Long
ABS-MBS
CORP
US
N
2
2036-09-20
Variable
2.98117
N
N
N
N
N
N
CREDIT BASED ASSET SRVC & SEC 2007-MX1
N/A
CREDIT BASED ASSET SERVICING A CBASS 2007 MX1 M1 144A
1248MPAE4
1800000.000000
PA
USD
1743366.960000
0.0591601
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
5.783
Y
N
N
N
N
N
CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-AR28
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR28 CB1
22541QU91
569605.810000
PA
USD
518098.350000
0.0175813
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Variable
3.0781
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR
225401AJ7
200000.000000
PA
USD
185000.000000
0.0062779
Long
DBT
CORP
CH
N
2
2023-07-17
Floating
7.5
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR
225401AK4
200000.000000
PA
USD
173799.830000
0.0058978
Long
DBT
CORP
CH
N
2
2025-09-12
Floating
7.25
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2007-C1
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C1 AJ
22545XAG8
5846945.600000
PA
USD
613198.420000
0.0208085
Long
ABS-MBS
CORP
US
N
2
2040-02-15
Variable
5.457
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2007-C2
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 C 144A
22545YAL5
5700000.000000
PA
USD
6822677.130000
0.2315234
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
5.79208
Y
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2007-C2
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 D 144A
22545YAN1
2870000.000000
PA
USD
4185665.400000
0.1420380
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
5.79208
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2007-C2
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 E 144A
22545YAQ4
2500000.000000
PA
USD
3656875.000000
0.1240938
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
5.79208
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP F 144A
12651QAQ2
19836200.000000
PA
USD
18385699.690000
0.6239074
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
5.674
N
N
N
N
N
N
CREDIT SUISSE MRTG CAPITAL CERT 2006-6
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 2A5
22942JAR4
488887.240000
PA
USD
156658.730000
0.0053161
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.5
N
N
N
N
N
N
CREDIT-BASED ASSET SERV & SEC 2004-CB4
N/A
CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 M2
12489WJS4
1719682.250000
PA
USD
1212204.530000
0.0411354
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
6.767
Y
N
N
N
N
N
CS FIRST BOSTON MTG SEC CORP 2002-29
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 29 1B2
22541NPU7
764391.400000
PA
USD
525780.740000
0.0178420
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Fixed
7.5
N
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2005-C3
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 C3 D
225458VX3
47782.540000
PA
USD
44440.860000
0.0015081
Long
ABS-MBS
CORP
US
N
2
2037-07-15
Variable
4.981
Y
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2005-FIX1
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 FIX1 M1
22541S5V6
978438.700000
PA
USD
650213.320000
0.0220646
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
5.85
Y
N
N
N
N
N
CSMC SERIES 2011-5R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2011 5R 6A7 144A
12645LCB3
4743695.140000
PA
USD
4567112.040000
0.1549821
Long
ABS-MBS
CORP
US
N
2
2037-11-27
Variable
3.28806
N
N
N
N
N
N
CSMC SERIES 2014-2R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2014 2R 28A2 144A
12648ELY6
955628.710000
PA
USD
606144.870000
0.0205692
Long
ABS-MBS
CORP
US
N
2
2037-06-27
Variable
10.8621
N
N
N
N
N
N
CSMC SERIES 2015-4R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2015 4R 1A4 144A
12650BAG8
15215033.970000
PA
USD
11228720.940000
0.3810398
Long
ABS-MBS
CORP
US
N
2
2036-10-27
Floating
1.15571
N
N
N
N
N
N
CTDL 2020-1
N/A
CTDL 2020 1 TRUST CTDL 2020 1 B1 144A
12657JAB5
894000.000000
PA
USD
837996.980000
0.0284369
Long
ABS-MBS
CORP
US
N
2
2055-05-25
Fixed
4.75
N
N
N
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC CLASS A COMMON STOCK
45174J509
171118.000000
NS
USD
1350121.020000
0.0458155
Long
EC
CORP
US
N
1
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC CLASS B COMMON STOCK
45174J608
132822.000000
NS
USD
943169.020000
0.0320059
Long
EC
CORP
US
N
3
N
N
N
DBGS 2021-W52 MORTGAGE TRUST
N/A
DBGS MORTGAGE TRUST DBGS 2021 W52 F 144A
23308LAQ7
6000000.000000
PA
USD
5746490.400000
0.1950036
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
5.475
N
N
N
N
N
N
DBGS MORTGAGE TRUST 2018-5BP
N/A
DBGS MORTGAGE TRUST DBGS 2018 5BP E 144A
33830CAJ9
6900000.000000
PA
USD
6471262.290000
0.2195983
Long
ABS-MBS
CORP
US
N
2
2033-06-15
Floating
3.374
N
N
N
N
N
N
DBGS MORTGAGE TRUST 2018-5BP
N/A
DBGS MORTGAGE TRUST DBGS 2018 5BP F 144A
33830CAL4
1251000.000000
PA
USD
1131650.970000
0.0384019
Long
ABS-MBS
CORP
US
N
2
2033-06-15
Floating
3.924
N
N
N
N
N
N
DBGS MORTGAGE TRUST 2019-1735
N/A
DBGS MORTGAGE TRUST DBGS 2019 1735 E 144A
23307EAL5
3840000.000000
PA
USD
2996359.680000
0.1016796
Long
ABS-MBS
CORP
US
N
2
2037-04-10
Variable
4.33437
N
N
N
N
N
N
DELTA FUNDING HOME EQ LN TR 1999-3
N/A
DELTA FUNDING HOME EQUITY LOAN DELHE 1999 3 M1
24763LFY1
1822338.570000
PA
USD
1206907.500000
0.0409557
Long
ABS-MBS
CORP
US
N
2
2030-01-15
Variable
8.1
Y
N
N
N
N
N
DELUXE CORPORATION
KWGNKB8TX9LE5TV29231
DELUXE CORP COMPANY GUAR 144A 06/29 8
248019AU5
2439000.000000
PA
USD
1991516.670000
0.0675809
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
8
N
N
N
N
N
N
INTELSAT SA
549300YV2L21F4K80V46
INTELSAT EMERGENCE SA COMMON STOCK
000000000
668760.000000
NS
USD
18725280.000000
0.6354309
Long
EC
CORP
LU
Y
3
N
N
N
DEUTSCHE MORTGAGE AND ASSET RECEIVING CORP 2014-RS2
N/A
DEUTSCHE MORTGAGE AND ASSET RE DMARC 2014 RS2 1A2 144A
25160GAB3
1634023.000000
PA
USD
972914.610000
0.0330153
Long
ABS-MBS
CORP
US
N
2
2035-12-26
Fixed
0
N
N
N
N
N
N
DEUTSCHE MORTGAGE SECURITIES INC RE-REMIC TRUST CERTIFICATES SERIES 2007-RS8
N/A
DEUTSCHE MORTGAGE SECURITIES, DMSI 2007 RS8 3A1 144A
25156WAG3
3934195.720000
PA
USD
3214695.840000
0.1090887
Long
ABS-MBS
CORP
US
N
2
2036-09-28
Variable
3.36623
N
N
N
N
N
N
DIAMOND INFRASTRUCTURE FUNDING LLC 2021 1A
N/A
DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A C 144A
25265LAE0
4000000.000000
PA
USD
3415805.200000
0.1159133
Long
ABS-O
CORP
US
N
2
2049-04-15
Fixed
3.475
N
N
N
N
N
N
DIAMOND SPORTS GROUP LLC
5493002K6DHWNZH8YA34
DIAMOND SPORTS GROUP LLC 2022 FIRST PRI TERM LOAN
25277BAE8
46408305.000000
PA
USD
45828201.190000
1.5551519
Long
LON
CORP
US
N
2
2026-05-26
Floating
9.786
N
N
N
N
N
N
DIEBOLD NIXDORF INCORPORATED
549300XZK6EWDBAZSY16
DIEBOLD INC TERM LOAN B
25365EAM7
12860102.260000
PA
USD
10915011.790000
0.3703942
Long
LON
CORP
US
N
2
2023-11-06
Floating
4
N
N
N
N
N
N
DIRECTV FINANCING LLC
N/A
DIRECTV FINANCING LLC TERM LOAN
25460HAB8
5128750.000000
PA
USD
4743175.700000
0.1609568
Long
LON
CORP
US
N
2
2027-08-02
Floating
6.6661
N
N
N
N
N
N
DISH DBS CORPORATION
N/A
DISH DBS CORP SR SECURED 144A 12/26 5.25
25470XBE4
10448000.000000
PA
USD
8209150.320000
0.2785725
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25
N
N
N
N
N
N
DISH DBS CORPORATION
N/A
DISH DBS CORP SR SECURED 144A 12/28 5.75
25470XBF1
15398000.000000
PA
USD
11429704.430000
0.3878600
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75
N
N
N
N
N
N
DISH NETWORK CORPORATION
529900U350CWHH15G169
DISH NETWORK CORP SR UNSECURED 08/26 3.375
25470MAB5
3300000.000000
PA
USD
2237400.000000
0.0759248
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.375
N
N
N
Y
N
DISH NETWORK CORPORATION
DISH NETWORK CORP-A
USD
XXXX
N
N
N
DOLP TRUST 2021-NYC
N/A
DOLP TRUST DOLP 2021 NYC F 144A
23345LAN9
6100000.000000
PA
USD
4593631.840000
0.1558821
Long
ABS-MBS
CORP
US
N
2
2041-05-10
Variable
3.70378
N
N
N
N
N
N
DOLP TRUST 2021-NYC
N/A
DOLP TRUST DOLP 2021 NYC G 144A
23345LAQ2
8000000.000000
PA
USD
5669100.000000
0.1923774
Long
ABS-MBS
CORP
US
N
2
2041-05-10
Variable
3.70378
N
N
N
N
N
N
DORIC NIMROD AIR ALPHA 2013-1 CLASS A PASS THROUGH TRUST
N/A
DORIC NIMROD 2013 1 CL A PASS THRU CE 144A 05/25 5.25
233283AA8
1321257.210000
PA
USD
1303975.690000
0.0442496
Long
DBT
CORP
GG
N
2
2025-05-30
Fixed
5.25
N
N
N
N
N
N
DORIC NIMROD AIR FINANCE ALPHA LTD 2012-1 CLASS A PASS THROUGH TRUST
N/A
DORIC NIMROD AIR 2012 1A PASS THRU CE 144A 11/24 5.125
258258AA0
65514.420000
PA
USD
64947.720000
0.0022040
Long
DBT
CORP
GG
N
2
2024-11-30
Fixed
5.125
N
N
N
N
N
N
DROP MORTGAGE TRUST 2021-FILE
N/A
DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE D 144A
26210YAL0
5805878.000000
PA
USD
5418655.550000
0.1838788
Long
ABS-MBS
CORP
US
N
2
2043-10-15
Floating
4.07
N
N
N
N
N
N
DSSV SARL
N/A
DSSV DSSV PRL A
ACI1DSVZ6
30534577.310000
PA
31752320.220000
1.0774955
Long
ABS-MBS
CORP
LU
N
3
2024-10-15
Floating
3
N
N
N
N
N
N
DTEK FINANCE PLC
549300VBCR9V58ZYQ356
DTEK FINANCE PLC COMPANY GUAR REGS 12/27 7.5
ACI1XVP76
14839853.000000
PA
USD
3570839.630000
0.1211743
Long
DBT
CORP
GB
N
2
2027-12-31
Fixed
7.5
N
N
Y
N
N
N
DUFRY ONE BV
7245003K5MN9U7XW0808
DUFRY ONE BV COMPANY GUAR REGS 02/27 2
ACI1GQQH3
1608000.000000
PA
1269038.040000
0.0430640
Long
DBT
CORP
NL
N
2
2027-02-15
Fixed
2
N
N
N
N
N
N
ECAF I LTD 2015-1A
N/A
ECAF LTD ECAF 2015 1A A1 144A
26827EAA3
4196146.680000
PA
USD
2706564.960000
0.0918456
Long
ABS-O
CORP
KY
N
2
2040-06-15
Fixed
3.473
N
N
N
N
N
N
ENCORE CREDIT RECEIVABLES TRUST 2005-2
N/A
ENCORE CREDIT RECEIVABLES TRUS ECR 2005 2 M5
126673J52
13194504.560000
PA
USD
10438774.230000
0.3542334
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.59857
N
N
N
N
N
N
ENDURANCE INTERNATIONAL GROUP HOLDINGS INC
549300UTQC2651SB0W88
ENDURANCE INTERNATIONAL SR UNSECURED 144A 02/29 6
29279XAA8
3900000.000000
PA
USD
2820367.680000
0.0957074
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6
N
N
N
N
N
N
EQUINITI (ARMOR HOLDCO INC)
254900X6HLK0YPTHHF09
ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5
04625PAA9
4400000.000000
PA
USD
3643817.890000
0.1236507
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
8.5
N
N
N
N
N
N
ESKOM HOLDINGS SOC LTD
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD SR UNSECURED REGS 02/25 7.125
S25221AL6
4674000.000000
PA
USD
3953783.340000
0.1341692
Long
DBT
CORP
ZA
N
2
2025-02-11
Fixed
7.125
N
N
N
N
N
N
ESKOM HOLDINGS SOC LTD
3789001900ED06F65111
ESKOM HOLDINGS SOC LTD SR UNSECURED REGS 08/23 6.75
S25221AC6
45418000.000000
PA
USD
41898105.000000
1.4217865
Long
DBT
CORP
ZA
N
2
2023-08-06
Fixed
6.75
N
N
N
N
N
N
EUROSAIL PLC 2007-1X
N/A
EUROSAIL PLC ESAIL 2007 1X D1A REGS
ACI05RDQ9
250000.000000
PA
225243.520000
0.0076435
Long
ABS-MBS
CORP
GB
N
2
2045-03-13
Floating
0.558
N
N
N
N
N
N
EUROSAIL PLC 2007-3X
N/A
EUROSAIL PLC ESAIL 2007 3X D1A REGS
ACI01VU93
5421236.050000
PA
5113546.970000
0.1735251
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
2.9404
N
N
N
N
N
N
EUROSAIL PLC 2007-3X
N/A
EUROSAIL PLC ESAIL 2007 3X E1C REGS
G3299SAF2
1780940.530000
PA
1990545.360000
0.0675479
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
5.5904
N
N
N
N
N
N
EUROSAIL-UK 2007-4BL PLC 4X
N/A
EUROSAIL PLC ESAIL 2007 4X E1C REGS
G3299TAF0
1839804.520000
PA
2117429.590000
0.0718537
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
5.0904
N
N
N
N
N
N
EXELA INTERMEDIATE LLC / EXELA FINANCE INC
N/A
EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5
30162RAC5
10000.000000
PA
USD
3350.000000
0.0001137
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
11.5
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2019-2A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2019 2A R 144A
30167LAL3
6900.000000
PA
USD
3357047.100000
0.1139193
Long
ABS-O
CORP
US
N
3
2031-05-15
Fixed
0
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2019-3A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2019 3A R 144A
30167EAL9
16100.000000
PA
USD
10853332.720000
0.3683012
Long
ABS-O
CORP
US
N
3
2031-08-15
Fixed
0
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2020-2A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2020 2A R 144A
30167YAL5
20570.000000
PA
USD
26134172.020000
0.8868471
Long
ABS-O
CORP
US
N
3
2032-09-15
Fixed
0
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2021 4A R 144A
30165JAN6
19142.000000
PA
USD
16159239.710000
0.5483539
Long
ABS-O
CORP
US
N
3
2033-12-15
Fixed
0
N
N
N
N
N
N
AMH NEW FINANCE INC
N/A
ASSOCIATED MATERIALS GROUP INC ASSOCIATED MATERIALS DUMMY
936LNQ902
2418841.000000
NS
USD
560747.810000
0.0190286
Long
EC
CORP
US
N
3
N
N
N
EXTENDED STAY AMERICA TRUST 2021-ESH
N/A
EXTENDED STAY AMERICA TRUST ESA 2021 ESH F 144A
30227FAN0
21890276.080000
PA
USD
21106168.580000
0.7162249
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
5.025
N
N
N
N
N
N
FAIRFAX INDIA HOLDINGS CORPORATION
549300K2JHXU7AX7CV78
FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5
303897AA0
12400000.000000
PA
USD
12070780.000000
0.4096145
Long
DBT
CORP
CA
N
2
2028-02-26
Fixed
5
N
N
N
N
N
N
FANNIE MAE REMICS 2021-5
N/A
FANNIE MAE FNR 2021 5 JI
3136BDZW1
12596451.030000
PA
USD
676202.680000
0.0229465
Long
ABS-MBS
USGSE
US
N
2
2036-02-25
Fixed
1.5
N
N
N
N
N
N
FANNIE MAE REMICS 2021-59
N/A
FANNIE MAE FNR 2021 59 KI
3136BGB75
28517727.750000
PA
USD
6432321.790000
0.2182769
Long
ABS-MBS
USGSE
US
N
2
2051-09-25
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS 2022-3
N/A
FANNIE MAE FNR 2022 3 YS
3136BLFH8
228155841.200000
PA
USD
6053704.570000
0.2054287
Long
ABS-MBS
USGSE
US
N
2
2052-02-25
Floating
1.62434
N
N
N
N
N
N
FARRINGDON MORTAGES PLC 2
N/A
FARRINGDON MORTGAGES NO.2 07/47 1
B0LNR9II9
5675000.000000
PA
4261144.440000
0.1445993
Long
ABS-MBS
CORP
GB
N
2
2047-07-15
Floating
5.1245
N
N
N
N
N
N
FARRINGDON MORTAGES PLC 2
N/A
ROOF 2 D
963FSYII0
1.000000
PA
0.000000
0.0000000
Long
ABS-MBS
CORP
GB
N
2
2047-07-15
Variable
0
N
N
N
N
N
N
FEL ENERGY VI SA RL
254900H2U8PBIY32VI94
FEL ENERGY VI SARL SR SECURED 144A 12/40 5.75
30260LAA3
6028085.570000
PA
USD
4386035.060000
0.1488374
Long
DBT
CORP
LU
N
2
2040-12-01
Fixed
5.75
N
N
N
N
N
N
FERROGLOBE FINANCE COMPANY PLC / GLOBE SPECIALTY METALS INC
N/A
FERROGLOBE / GLOBE SPEC SR SECURED 12/25 9.375
ACI1ZL3W5
7000000.000000
PA
USD
7070000.000000
0.2399161
Long
DBT
CORP
GB
Y
2
2025-12-31
Fixed
9.375
N
N
N
N
N
N
FERROGLOBE PLC / GLOBE SPECIALTY METALS INC
N/A
FERROGLOBE / GLOBE SPEC SR SECURED REGS 12/25 9.375
ACI1ZL198
3808000.000000
PA
USD
3846080.000000
0.1305144
Long
DBT
CORP
GB
Y
2
2025-12-31
Fixed
9.375
N
N
N
N
N
N
MCDERMOTT INTERNATIONAL LTD
54930004RAXI4B3L4752
MCDERMOTT INTERNATIONAL LTD COMMON STOCK
G5924V106
57729.000000
NS
USD
32905.530000
0.0011166
Long
EC
CORP
BM
N
3
N
N
N
FINSBURY SQUARE 2020-2A
N/A
FINSBURY SQUARE FSQ 2020 2A E 144A
ACI1N8695
1000000.000000
PA
1218886.290000
0.0413622
Long
ABS-MBS
CORP
GB
N
2
2070-06-16
Floating
6.60992
N
N
N
N
N
N
FIRST QUANTUM MINERALS LTD
549300I7UVBGWRYMYZ18
FIRST QUANTUM MINERALS L COMPANY GUAR 144A 03/24 6.5
335934AP0
1150000.000000
PA
USD
1106676.880000
0.0375544
Long
DBT
CORP
CA
N
2
2024-03-01
Fixed
6.5
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST 2018-1
N/A
FLAGSHIP CREDIT AUTO TRUST FCAT 2018 1 R 144A
33844M102
20000.000000
PA
USD
1199283.560000
0.0406970
Long
ABS-O
CORP
US
N
3
2025-05-15
Fixed
0
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST 2018-3
N/A
FLAGSHIP CREDIT AUTO TRUST FCAT 2018 3 R 144A
33844P105
33000.000000
PA
USD
3134248.480000
0.1063588
Long
ABS-O
CORP
US
N
3
2025-12-15
Fixed
0
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST 2020-3
N/A
FLAGSHIP CREDIT AUTO TRUST FCAT 2020 3 R 144A
33844T107
20000.000000
PA
USD
3418443.760000
0.1160028
Long
ABS-O
CORP
US
N
3
2027-12-15
Fixed
0
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST 2021-3
N/A
FLAGSHIP CREDIT AUTO TRUST FCAT 2021 3 R 144A
33846Q101
8473.000000
PA
USD
2929670.600000
0.0994166
Long
ABS-O
CORP
US
N
3
2028-12-15
Fixed
0
N
N
N
N
N
N
FLOODSMART RE LTD
549300KK1LNVFW95S875
FLOODSMART RE LTD UNSECURED 144A 03/24 VAR
33975CAG0
2246000.000000
PA
USD
2072384.200000
0.0703251
Long
DBT
CORP
BM
N
2
2024-03-01
Floating
13.58
N
N
N
N
N
N
FLOODSMART RE LTD
549300KK1LNVFW95S875
FLOODSMART RE LTD UNSECURED 144A 03/24 VAR
33975CAH8
643000.000000
PA
USD
567897.600000
0.0192713
Long
DBT
CORP
BM
N
2
2024-03-01
Floating
17.33
N
N
N
N
N
N
NATIONWIDE BUILDING SOCIETY
549300XFX12G42QIKN82
NATIONWIDE BLDG SOCIETY JR SUBORDINA REGS 06/49 VAR
ACI07BWB4
151500.000000
NS
27015093.310000
0.9167406
Long
EP
CORP
GB
N
2
N
N
N
NMG PARENT
N/A
NEIMAN MARCUS USD COMMON STOCK EQUITY
967DUC905
178186.000000
NS
USD
30799215.070000
1.0451525
Long
EC
CORP
US
Y
3
N
N
N
NOBLE CORPORATION
N/A
NOBLE CORP COMMON STOCK USD.00001
000000000
43099.000000
NS
USD
1092559.650000
0.0370753
Long
EC
CORP
KY
Y
1
N
N
N
NORDIC AVIATION CAPITAL DAC
2138007FEJEHFJEOHU52
NAC EQUITY BACKSTOP
936UXV900
18446.000000
NS
USD
271918.020000
0.0092274
Long
EC
CORP
US
Y
3
N
N
N
AT&T MOBILITY II LLC
N/A
AT+T MOBILITY II LLC PREFERRED STOCK 7
04651L206
484024.000000
NS
USD
12288633.160000
0.4170072
Long
EP
CORP
US
Y
3
N
N
N
FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1
N/A
FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A
35563CAB4
63895355.870000
PA
USD
5423000.120000
0.1840262
Long
ABS-MBS
USGSE
US
N
2
2055-11-25
Variable
0.7
N
N
N
N
N
N
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071
N/A
FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3
3137FCLG7
24637000.000000
PA
USD
2272824.840000
0.0771269
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Variable
2.07911
N
N
N
N
N
N
FREDDIE MAC REMICS 3907
N/A
FREDDIE MAC FHR 3907 MS
3137AEE68
1473124.740000
PA
USD
86323.930000
0.0029293
Long
ABS-MBS
USGSE
US
N
2
2026-08-15
Floating
5.326
N
N
N
N
N
N
FREDDIE MAC REMICS 5069
N/A
FREDDIE MAC FHR 5069 IL
3137F9C66
4905730.050000
PA
USD
847237.730000
0.0287505
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
3
N
N
N
N
N
N
FREDDIE MAC REMICS 5069
N/A
FREDDIE MAC FHR 5069 PI
3137F9CZ2
3668720.720000
PA
USD
558961.890000
0.0189680
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
3
N
N
N
N
N
N
FREDDIE MAC REMICS 5140
N/A
FREDDIE MAC FHR 5140 JI
3137H24K7
4459412.610000
PA
USD
817945.910000
0.0277565
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-DNA6
N/A
FREDDIE MAC STACR STACR 2021 DNA6 B2 144A
35564KLV9
12000000.000000
PA
USD
10350420.000000
0.3512351
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
8.42566
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-HQA3
N/A
FREDDIE MAC STACR STACR 2021 HQA3 B1 144A
35564KKK4
3100000.000000
PA
USD
2615269.120000
0.0887476
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Floating
4.27566
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-HQA3
N/A
FREDDIE MAC STACR STACR 2021 HQA3 B2 144A
35564KKL2
3700000.000000
PA
USD
2967811.440000
0.1007109
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Floating
7.17566
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2
N/A
FREDDIE MAC STACR STACR 2022 DNA2 B1 144A
35564KSJ9
5700000.000000
PA
USD
5044016.070000
0.1711656
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
5.67566
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2
N/A
FREDDIE MAC STACR STACR 2022 DNA2 B2 144A
35564KSQ3
1600000.000000
PA
USD
1386378.080000
0.0470459
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
9.42566
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2
N/A
FREDDIE MAC STACR STACR 2022 DNA2 M2 144A
35564KRN1
11700000.000000
PA
USD
10552535.370000
0.3580938
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
4.67566
N
N
N
N
N
N
FREED ABS TRUST 2020-3FP
N/A
FREED ABS TRUST FREED 2020 3FP CERT 144A
35634LAD5
4850.000000
PA
USD
1048754.510000
0.0355888
Long
ABS-O
CORP
US
N
3
2027-09-20
Fixed
0
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2004-A
N/A
FREMONT HOME LOAN TRUST FHLT 2004 A M3
35729PCM0
1883436.980000
PA
USD
1554532.190000
0.0527521
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
3.72357
Y
N
N
N
N
N
FREMONT HOME LOAN TRUST 2006-2
N/A
FREMONT HOME LOAN TRUST FHLT 2006 2 M1
35729PPZ7
10451883.500000
PA
USD
7368327.020000
0.2500397
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.10357
N
N
N
N
N
N
FRESH MARKET INC/THE
529900QM5ZSBEBR6CS58
FRESH MARKET INC SR SECURED 144A 05/23 9.75
35804HAA4
50000.000000
PA
USD
50000.000000
0.0016967
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
9.75
N
N
N
N
N
N
FRONTIER COMMUNICATIONS HOLDINGS LLC
N/A
FRONTIER COMMUNICATIONS CORP 2021 DIP TERM LOAN B
35906EAQ3
3767208.990000
PA
USD
3538821.940000
0.1200878
Long
LON
CORP
US
N
2
2028-05-01
Floating
6.0625
N
N
N
N
N
N
FRONTIER COMMUNICATIONS HOLDINGS LLC
N/A
FRONTIER COMMUNICATIONS SECURED 144A 01/30 6
35908MAB6
6200000.000000
PA
USD
4787795.000000
0.1624709
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6
N
N
N
N
N
N
FULL HOUSE RESORTS INC
5493009DKIWW0H901Y82
FULL HOUSE RESORTS INC SR SECURED 144A 02/28 8.25
359678AC3
1931000.000000
PA
USD
1546096.940000
0.0524659
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
8.25
N
N
N
N
N
N
GATEWAY CASINOS & ENTERTAINMENT LIMITED
549300JSKBQMMD1B3U44
GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN
943ZHKII3
11886479.680000
PA
9130482.270000
0.3098373
Long
LON
CORP
CA
N
3
2027-10-18
Fixed
9.59
N
N
Y
N
N
N
GATEWAY CASINOS & ENTERTAINMENT LIMITED
549300JSKBQMMD1B3U44
GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN
943ZERII1
54315613.350000
PA
USD
53670615.440000
1.8212794
Long
LON
CORP
CA
N
2
2027-10-15
Fixed
9.59
N
N
Y
N
N
N
GC PASTOR HIPOTECARIO FTA 5
N/A
PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS
997AAZII7
4969158.740000
PA
4661751.660000
0.1581937
Long
ABS-MBS
CORP
ES
N
2
2046-06-21
Floating
0.001
N
N
N
N
N
N
GCT COMMERCIAL MORTGAGE TRUST 2021-GCT
N/A
GCT COMMERCIAL MORTGAGE TRUST GCT 2021 GCT E 144A
36167RAJ2
12000000.000000
PA
USD
11239917.600000
0.3814197
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
4.674
N
N
N
N
N
N
GENESIS ENERGY LP / GENESIS ENERGY FINANCE CORP
N/A
GENESIS ENERGY LP/FIN COMPANY GUAR 01/27 8
37185LAM4
3834000.000000
PA
USD
3403825.200000
0.1155067
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
8
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 02/27 6.375
37443GAG6
1100000.000000
PA
USD
633853.000000
0.0215094
Long
DBT
NUSS
GH
N
2
2027-02-11
Fixed
6.375
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 02/35 7.875
37443GAH4
1100000.000000
PA
USD
518677.500000
0.0176010
Long
DBT
NUSS
GH
N
2
2035-02-11
Fixed
7.875
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 03/61 8.75
37443GAJ0
400000.000000
PA
USD
189908.000000
0.0064444
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75
N
N
N
N
N
N
GIBSON BRANDS INC (AKA: GIBSON GUITAR CORP)
549300KU4ACNZQGB7J14
GIBSON BRANDS INC 2021 TERM LOAN
37476YAB8
6069500.190000
PA
USD
5265291.410000
0.1786744
Long
LON
CORP
US
N
2
2028-08-11
Floating
6.4113
N
N
N
N
N
N
GLACIER FUNDING CDO LTD 2004-2A
N/A
GLACIER FUNDING CDO GLCR 2004 2A B 144A
37638VAC7
33250000.000000
PA
USD
6915401.500000
0.2346699
Long
ABS-CBDO
CORP
KY
N
2
2042-11-12
Floating
1.05438
N
N
N
N
N
N
GLG EURO CLO 1A
N/A
MAN GLG EURO CLO GLGE 1A SUBR 144A
ACI11ZRZ8
1762000.000000
PA
718044.060000
0.0243664
Long
ABS-CBDO
CORP
IE
N
2
2030-10-15
Fixed
0
N
N
N
N
N
N
GMAC COMMERCIAL MORTGAGE ASSET CORPORATION 2003 BRAG
N/A
GMAC COMMERCIAL MORTGAGE ASSET GMACN 2003 BRAG CERT 144A
36185PAA3
1336622.210000
PA
USD
1268523.710000
0.0430466
Long
ABS-MBS
CORP
US
N
2
2038-08-10
Fixed
5.55
N
N
N
N
N
N
SEQUA CORPORATION
549300JLD7TQRZ92KO78
SEQUA CORPORATION PREFERRED STOCK
000000000
1308.000000
NS
USD
1431082.800000
0.0485629
Long
EP
CORP
US
N
3
N
N
N
STEARNS HOLDINGS LLC
549300B7MV13XJXKBZ36
STEARNS HOLDING LLC CLASS B STEARNS HOLDING LLC CLASSB
9353MP906
284008.000000
NS
USD
0.280000
0.0000000
Long
EC
CORP
US
N
3
N
N
N
STICHTING AK RABOBANK CERTIFICATEN
N/A
STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR
BJBQCWII7
56604000.000000
NS
57762839.610000
1.9601465
Long
EP
CORP
NL
N
2
N
N
N
SYNIVERSE CORPORATION
N/A
SYNIVERSE PFD PIK PFDJJZ917
936UVD902
31168794.000000
NS
USD
30545418.120000
1.0365400
Long
EP
CORP
US
Y
3
N
N
N
GREAT HALL MORTGAGES PLC 2007-2X
N/A
FIAC
936NUVII0
1000000.000000
PA
1.220000
0.0000000
Long
ABS-MBS
CORP
GB
N
3
2039-06-25
Fixed
0
N
N
N
N
N
N
GREAT HALL MORTGAGES PLC 2007-2X
N/A
GREAT HALL MORTGAGES PLC 2007 GHM 2007 2X R
936LMVII3
1000000.000000
PA
16213721.180000
0.5502027
Long
ABS-MBS
CORP
GB
N
3
2039-06-25
Fixed
0
N
N
N
N
N
N
GREENE KING FINANCE PLC
213800QIJMYMW6TSBG41
GREENE KING FINANCE PLC SECURED REGS 03/36 VAR
B14551II6
200000.000000
PA
200854.540000
0.0068159
Long
DBT
CORP
GB
N
2
2036-03-15
Floating
3.29798
N
N
N
N
N
N
GREENPOINT MANUFACTURED HOUSING 1999-5
N/A
GREENPOINT MANUFACTURED HOUSIN GPMH 1999 5 M2
395383AG7
137066.820000
PA
USD
121633.100000
0.0041275
Long
ABS-O
CORP
US
N
2
2029-12-15
Fixed
9.23
Y
N
N
N
N
N
GRIFOLS ESCROW ISSUER SA
959800HLB3PGTGSLVV62
GRIFOLS ESCROW ISSUER SR UNSECURED 144A 10/28 3.875
ACI20T312
4100000.000000
PA
3558843.860000
0.1207672
Long
DBT
CORP
ES
N
2
2028-10-15
Fixed
3.875
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II 2017-SLP
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP F 144A
36255MAQ0
3380000.000000
PA
USD
3243461.520000
0.1100649
Long
ABS-MBS
CORP
US
N
2
2032-10-10
Variable
4.74434
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II 2017-SLP
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP G 144A
36255MAS6
2440000.000000
PA
USD
2324640.950000
0.0788853
Long
ABS-MBS
CORP
US
N
2
2032-10-10
Variable
4.74434
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2015-590M
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2015 590M E 144A
36250WAN0
3000000.000000
PA
USD
2668015.500000
0.0905375
Long
ABS-MBS
CORP
US
N
2
2035-10-10
Variable
3.93225
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2020-DUNE
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE F 144A
36258BAU2
3500000.000000
PA
USD
3308666.550000
0.1122776
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
4.574
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 AIOS 144A
36260AAP1
45999420.590000
PA
USD
163463.540000
0.0055470
Long
ABS-O
CORP
US
N
2
2059-07-25
Fixed
0
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 B 144A
36260AAU0
6871000.000000
PA
USD
5297912.720000
0.1797814
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Floating
3.81287
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 SA 144A
36260AAH9
44703.210000
PA
USD
42915.080000
0.0014563
Long
ABS-MBS
CORP
US
N
2
2059-07-25
None
0
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 X 144A
36260AAQ9
50196142.970000
PA
USD
484688.940000
0.0164476
Long
ABS-O
CORP
US
N
2
2059-07-25
Variable
0
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 AIOS 144A
36261WAQ0
100960115.400000
PA
USD
548556.690000
0.0186149
Long
ABS-O
CORP
US
N
2
2060-12-25
Variable
0.165
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 B 144A
36261WAP2
20530968.250000
PA
USD
17163819.650000
0.5824437
Long
ABS-MBS
CORP
US
N
2
2060-12-25
Variable
3.59637
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 SA 144A
36261WAH0
128473.620000
PA
USD
127148.540000
0.0043147
Long
ABS-MBS
CORP
US
N
2
2060-12-25
Variable
0
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 X 144A
36261WAR8
113996685.990000
PA
USD
4230417.020000
0.1435566
Long
ABS-O
CORP
US
N
2
2060-12-25
Variable
0
N
N
N
N
N
N
GSAMP TRUST 2004-AHL
N/A
GSAMP TRUST GSAMP 2004 AHL M2
36242DHR7
717698.610000
PA
USD
689595.690000
0.0234010
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
3.34857
Y
N
N
N
N
N
GSAMP TRUST 2004-SEA2
N/A
GSAMP TRUST GSAMP 2004 SEA2 M2
36228F6A9
2993066.160000
PA
USD
2633208.920000
0.0893563
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Floating
3.49857
Y
N
N
N
N
N
GSAMP TRUST 2005-AHL2 2005-AHL2
N/A
GSAMP TRUST GSAMP 2005 AHL2 M1
362341C64
7130746.720000
PA
USD
5221007.250000
0.1771717
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
2.28357
N
N
N
N
N
N
GSAMP TRUST 2005-SD1
N/A
GSAMP TRUST GSAMP 2005 SD1 M3 144A
36242DWF6
8336633.730000
PA
USD
6552235.640000
0.2223461
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
4.24857
Y
N
N
N
N
N
GSAMP TRUST 2005-WMC1
N/A
GSAMP TRUST GSAMP 2005 WMC1 M2
362341PV5
4133839.080000
PA
USD
3416742.430000
0.1159451
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.40357
N
N
N
N
N
N
GSAMP TRUST 2006-HE3
N/A
GSAMP TRUST GSAMP 2006 HE3 M1
36244KAF2
2897826.270000
PA
USD
2141968.280000
0.0726864
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
2.04357
N
N
N
N
N
N
GSAMP TRUST 2006-HE4
N/A
GSAMP TRUST GSAMP 2006 HE4 M1
362439AF8
7313632.790000
PA
USD
5901022.900000
0.2002476
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
2.07357
Y
N
N
N
N
N
GSAMP TRUST 2006-SD1
N/A
GSAMP TRUST GSAMP 2006 SD1 M2 144A
362341X79
1276995.580000
PA
USD
1088599.020000
0.0369409
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
2.97357
N
N
N
N
N
N
TEXGEN POWER LLC
5493003XDLS9LCQ3SY55
TEXGEN POWER LLC
933KFF900
273307.000000
NS
USD
6832675.000000
0.2318626
Long
EC
CORP
US
N
3
N
N
N
GSMSC RESECURITIZATION TRUST 2015-7R
N/A
GS MORTGAGE SECURITIES CORP. GSMSC 2015 7R B 144A
36254RAB3
38686360.860000
PA
USD
16485101.730000
0.5594118
Long
ABS-MBS
CORP
US
N
2
2037-09-26
Variable
3.18869
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2005-1
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 1 2A1B
41161PLE1
1787304.390000
PA
USD
1256268.200000
0.0426307
Long
ABS-MBS
CORP
US
N
2
2035-03-19
Floating
2.25514
Y
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-12
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13
41162DAD1
2898637.270000
PA
USD
2737871.890000
0.0929080
Long
ABS-MBS
CORP
US
N
2
2036-12-19
Floating
1.85229
Y
N
N
N
N
N
HARVEST CLO XV DAC 15A
N/A
HARVEST CLO HARVT 15A SUB 144A
ACI13DPQ7
2000000.000000
PA
1005974.320000
0.0341371
Long
ABS-CBDO
CORP
IE
N
2
2029-05-22
Floating
0
N
N
N
N
N
N
HAWAIIAN BRAND INTELLECTUAL PROPERTY LTD / HAWAIIANMILES LOYALTY LTD
N/A
HAWAIIAN BRAND INTELLECT SR SECURED 144A 01/26 5.75
41984LAA5
4000000.000000
PA
USD
3594700.000000
0.1219839
Long
DBT
CORP
KY
N
2
2026-01-20
Fixed
5.75
N
N
N
N
N
N
HAWKSMOOR MORTGAGES 19-1X
N/A
HAWKSMOOR MORTGAGES PLC HWKSM 2019 1X F REGS
ACI1MVKH1
2035000.000000
PA
2475908.740000
0.0840184
Long
ABS-MBS
CORP
GB
N
2
2053-05-25
Floating
4.52491
N
N
N
N
N
N
HAWKSMOOR MORTGAGES 19-1X
N/A
HAWKSMOOR MORTGAGES PLC HWKSM 2019 1X G REGS
ACI1MVKJ7
1131000.000000
PA
1374163.820000
0.0466314
Long
ABS-MBS
CORP
GB
N
2
2053-05-25
Floating
4.52491
N
N
N
N
N
N
HESTIA RE LTD
549300QRKQ1ZKOXEMZ38
HESTIA RE LTD UNSECURED 144A 04/25 VAR
42815KAA0
3520000.000000
PA
USD
3495184.000000
0.1186069
Long
DBT
CORP
BM
N
2
2025-04-22
Floating
9.5
N
N
N
N
N
N
HILTON ORLANDO TRUST 2018-ORL
N/A
HILTON USA TRUST HILT 2018 ORL E 144A
432885AN1
23000000.000000
PA
USD
21792801.300000
0.7395253
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Floating
4.124
N
N
N
N
N
N
HILTON ORLANDO TRUST 2018-ORL
N/A
HILTON USA TRUST HILT 2018 ORL F 144A
432885AQ4
2207000.000000
PA
USD
2093189.640000
0.0710311
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Floating
5.124
N
N
N
N
N
N
HILTON USA TRUST 2016-SFP
N/A
HILTON USA TRUST HILT 2016 SFP F 144A
43289VAS2
3000000.000000
PA
USD
2882880.000000
0.0978288
Long
ABS-MBS
CORP
US
N
2
2035-11-05
Fixed
6.15522
N
N
N
N
N
N
HOME EQUITY ASSET TRUST 2006-4
N/A
HOME EQUITY ASSET TRUST HEAT 2006 4 M1
437084VR4
10238322.950000
PA
USD
8969741.500000
0.3043827
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
2.10357
N
N
N
N
N
N
HOSPITALITY MORTGAGE TRUST 2019-HIT
N/A
HOSPITALITY MORTGAGE TRUST HPLY 2019 HIT F 144A
40443RAQ4
13870800.480000
PA
USD
12815903.910000
0.4348998
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
4.474
N
N
N
N
N
N
HOSPITALITY MORTGAGE TRUST 2019-HIT
N/A
HOSPITALITY MORTGAGE TRUST HPLY 2019 HIT G 144A
40443RAS0
3879510.120000
PA
USD
3570641.760000
0.1211675
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
5.224
N
N
N
N
N
N
HOUT BAY 2006-1
N/A
HOUT BAY HOUT 2006 1A A1 144A
442451AA8
13490924.530000
PA
USD
2501527.700000
0.0848878
Long
ABS-CBDO
CORP
KY
N
2
2041-07-05
Floating
1.62675
N
N
N
N
N
N
HOUT BAY 2006-1
N/A
HOUT BAY HOUT 2006 1A A2 144A
442451AB6
8111157.650000
PA
USD
1029038.240000
0.0349198
Long
ABS-CBDO
CORP
KY
N
2
2041-07-05
Floating
1.82675
N
N
N
N
N
N
HOUT BAY 2006-1
N/A
HOUT BAY HOUT 2006 1A B 144A
442451AC4
3290000.000000
PA
USD
8984.990000
0.0003049
Long
ABS-CBDO
CORP
KY
N
2
2041-07-05
Floating
1.95675
N
N
N
N
N
N
HSI ASSET LOAN OBLIGATION 2007-1
N/A
HSI ASSET LOAN OBLIGATION HALO 2007 1 2A12
40431TAP6
7054006.350000
PA
USD
3436954.550000
0.1166309
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.5
N
N
N
N
N
N
HSI ASSET SECUR CORP TRUST 2007-OPT1
N/A
HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 1A
40431JAA1
9565687.090000
PA
USD
8271405.620000
0.2806851
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.76357
N
N
N
N
N
N
HUARONG FINANCE 2017 CO LTD
5493006V07LYI3HE6G83
HUARONG FINANCE 2017 CO COMPANY GUAR REGS 04/27 4.75
G463PSAE4
1100000.000000
PA
USD
994125.000000
0.0337350
Long
DBT
CORP
VG
N
2
2027-04-27
Fixed
4.75
N
N
N
N
N
N
HUARONG FINANCE 2017 CO LTD
5493006V07LYI3HE6G83
HUARONG FINANCE 2017 CO COMPANY GUAR REGS 11/27 4.25
ACI0YNJ23
300000.000000
PA
USD
261750.000000
0.0088823
Long
DBT
CORP
VG
N
2
2027-11-07
Fixed
4.25
N
N
N
N
N
N
HUARONG FINANCE 2017 CO LTD
5493006V07LYI3HE6G83
HUARONG FINANCE 2017 CO COMPANY GUAR REGS 11/47 4.95
ACI0YNJJ6
600000.000000
PA
USD
423000.000000
0.0143542
Long
DBT
CORP
VG
N
2
2047-11-07
Fixed
4.95
N
N
N
N
N
N
HUARONG FINANCE 2019 CO LTD
549300M6T6OW4AGYHK10
HUARONG FINANCE 2019 COMPANY GUAR REGS 02/30 3.375
ACI1K6N02
1200000.000000
PA
USD
904500.000000
0.0306937
Long
DBT
CORP
VG
N
2
2030-02-24
Fixed
3.375
N
N
N
N
N
N
HUARONG FINANCE 2019 CO LTD
549300M6T6OW4AGYHK10
HUARONG FINANCE 2019 COMPANY GUAR REGS 05/29 4.5
ACI1C6PX7
1200000.000000
PA
USD
1000500.000000
0.0339514
Long
DBT
CORP
VG
N
2
2029-05-29
Fixed
4.5
N
N
N
N
N
N
HUARONG FINANCE 2019 CO LTD
549300M6T6OW4AGYHK10
HUARONG FINANCE 2019 COMPANY GUAR REGS 09/30 3.625
ACI1RSZZ7
1400000.000000
PA
USD
1078000.000000
0.0365813
Long
DBT
CORP
VG
N
2
2030-09-30
Fixed
3.625
N
N
N
N
N
N
HUARONG FINANCE 2019 CO LTD
549300M6T6OW4AGYHK10
HUARONG FINANCE 2019 COMPANY GUAR REGS 11/29 3.875
ACI1GS152
800000.000000
PA
USD
639000.000000
0.0216841
Long
DBT
CORP
VG
N
2
2029-11-13
Fixed
3.875
N
N
N
N
N
N
HUARONG FINANCE II CO LTD
549300BHVD63HE2GHX17
HUARONG FINANCE II COMPANY GUAR REGS 06/26 4.625
G463PCAJ8
400000.000000
PA
USD
367500.000000
0.0124709
Long
DBT
CORP
VG
N
2
2026-06-03
Fixed
4.625
N
N
N
N
N
N
HUNTINGTON CDO LTD 2005-1A
N/A
HUNTINGTON CDO LTD HUNTN 2005 1A B 144A
446279AG6
10000000.000000
PA
USD
2800393.600000
0.0950296
Long
ABS-CBDO
CORP
KY
N
3
2040-11-05
Floating
0.985
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
IHEARTCOMMUNICATIONS INC COMPANY GUAR 05/27 8.375
45174HBD8
574000.000000
PA
USD
457374.680000
0.0155207
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
8.375
N
N
N
N
N
N
UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)
549300V3NU625PJUVA84
UNITI GROUP INC REIT USD.0001
91325V108
544155.000000
NS
USD
5125940.100000
0.1739456
Long
EC
CORP
US
N
1
N
N
N
VALARIS LIMITED
N/A
VALARIS LTD COMMON STOCK USD.01
G9460G101
2258.000000
NS
USD
95377.920000
0.0032366
Long
EC
CORP
BM
N
1
N
N
N
INSTANT BRANDS HOLDINGS INC
N/A
INSTANT BRANDS HOLDINGS INC TERM LOAN
45783DAB5
16015056.820000
PA
USD
12865423.640000
0.4365803
Long
LON
CORP
US
N
2
2028-04-12
Floating
7.0757
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5
45824TBC8
49498000.000000
PA
USD
40959595.000000
1.3899387
Long
DBT
CORP
LU
N
2
2030-03-15
Fixed
6.5
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B
L5137LAQ8
13960381.790000
PA
USD
12808650.290000
0.4346537
Long
LON
CORP
LU
N
2
2029-02-01
Floating
4.9195
N
N
N
N
N
N
ISCHUS CDO I LTD 2004-1A
N/A
ISCHUS CDO LTD ICM 2004 1A A2 144A
464266AC9
3309182.840000
PA
USD
2861225.380000
0.0970939
Long
ABS-CBDO
CORP
KY
N
2
2040-01-05
Floating
2.34757
N
N
N
N
N
N
IVORY COAST GOVT (AKA: COTE D'IVOIRE)
254900ICW11T82O6H590
IVORY COAST SR UNSECURED 144A 01/32 4.875
ACI1T3TK0
5800000.000000
PA
4389524.610000
0.1489558
Long
DBT
NUSS
CI
N
2
2032-01-30
Fixed
4.875
N
N
N
N
N
N
IVORY COAST GOVT (AKA: COTE D'IVOIRE)
254900ICW11T82O6H590
IVORY COAST SR UNSECURED 144A 03/48 6.625
ACI11JRN1
2000000.000000
PA
1411397.250000
0.0478949
Long
DBT
NUSS
CI
N
2
2048-03-22
Fixed
6.625
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-BCON
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 BCON F 144A
46590WAN8
3400000.000000
PA
USD
3293476.300000
0.1117621
Long
ABS-MBS
CORP
US
N
2
2031-01-05
Variable
3.88089
N
N
N
N
N
N
JACKSON PARK TRUST 2019-LIC
N/A
JACKSON PARK TRUST JAX 2019 LIC E 144A
46868RAN4
22447000.000000
PA
USD
16839907.750000
0.5714519
Long
ABS-MBS
CORP
US
N
2
2039-10-14
Variable
3.35048
N
N
N
N
N
N
VOYAGER AVIATION HOLDINGS LLC
549300KHOKL1CX4NIJ92
VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9
942UCF009
2200.830000
NS
USD
0.000000
0.0000000
Long
EC
CORP
US
N
3
N
N
N
JEFFERSON CAPITAL HOLDINGS LLC
N/A
JEFFERSON CAPITAL HOLDIN COMPANY GUAR 144A 08/26 6
472481AA8
5030000.000000
PA
USD
4410203.400000
0.1496575
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MOR-2007-LD11
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LD11 AJ
46631BAK1
14981657.620000
PA
USD
3775377.720000
0.1281151
Long
ABS-MBS
CORP
US
N
2
2049-06-15
Variable
6.01805
Y
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 E 144A
46642CAN0
1846228.000000
PA
USD
1104715.630000
0.0374878
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
3.5
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 F 144A
46642CAR1
1490332.000000
PA
USD
307264.580000
0.0104268
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
3.5
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 G 144A
46642CAU4
1490332.000000
PA
USD
166371.570000
0.0056457
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
3.5
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 NR 144A
46642CAX8
3971754.650000
PA
USD
273911.270000
0.0092950
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
3.5
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 E 144A
46649JAN8
24000000.000000
PA
USD
22568095.200000
0.7658345
Long
ABS-MBS
CORP
US
N
2
2035-02-15
Floating
4.474
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 F 144A
46649JAQ1
5000000.000000
PA
USD
4613509.500000
0.1565566
Long
ABS-MBS
CORP
US
N
2
2035-02-15
Floating
5.474
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5
N/A
JP MORGAN CHASE COMMERCIAL 11/38 VAR
46654PAN6
15000000.000000
PA
USD
14005443.000000
0.4752661
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
4.84
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 F 144A
46654PAQ9
1442000.000000
PA
USD
1331876.480000
0.0451964
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
5.59
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 H 144A
46654PAU0
21526000.000000
PA
USD
19995856.580000
0.6785471
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
7.715
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2006-A4
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 2A2
46628LAG3
8109.180000
PA
USD
6259.640000
0.0002124
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
2.74257
Y
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2007-CH1
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MF1
46630LAH7
600000.000000
PA
USD
643457.700000
0.0218353
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
5.791
N
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2007-CH1
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MF2
46630LAJ3
1681341.630000
PA
USD
2107541.220000
0.0715181
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
5.84
N
N
N
N
N
N
JP MORGAN RESECURITIZATION TRUST SERIES 2014-7
N/A
JP MORGAN REREMIC JPMRR 2014 7 1C 144A
46643WAB1
7828928.060000
PA
USD
1865369.720000
0.0633002
Long
ABS-O
CORP
US
N
2
2036-05-26
Variable
0
N
N
N
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND MINING HOLDINGS L COMMON
935ZXN908
63729.000000
NS
USD
6.370000
0.0000002
Long
EC
CORP
US
Y
3
N
N
N
KEYCORP STUDENT LOAN TRUST 1999-A
N/A
KEYCORP STUDENT LN TR SER 2004 A CL 1A1
000000000
100000.000000
PA
USD
12797931.270000
0.4342899
Long
ABS-O
CORP
US
N
3
2050-01-01
Fixed
0
N
N
N
N
N
N
KEYCORP STUDENT LOAN TRUST 1999-B
N/A
KEYCORP STUDENT LOAN TRUST 199 KSLT 1999 B
934GPPII6
100000.000000
PA
USD
15827794.330000
0.5371065
Long
ABS-O
CORP
US
N
3
2050-01-01
Fixed
0
N
N
N
N
N
N
KEYCORP STUDENT LOAN TRUST 2000-A
N/A
KSLT 2000 A CERT SUB KSLT 2000 A CERT SUB
934MAWII4
100000.000000
PA
USD
10887575.590000
0.3694632
Long
ABS-O
CORP
US
N
3
2050-01-01
Fixed
0
N
N
N
N
N
N
KEYCORP STUDENT LOAN TRUST 2000-B
N/A
KSLT 2000 B CERT SUB KSLT 2000 B CERT SUB
933FUCII2
100000.000000
PA
USD
7450251.030000
0.2528197
Long
ABS-O
CORP
US
N
3
2050-01-01
Fixed
0
N
N
N
N
N
N
KEYCORP STUDENT LOAN TRUST 2002-A
N/A
KSLT 2002 A R SUB KSLT 2002 A R SUB
933UTWII7
100000.000000
PA
USD
10974038.140000
0.3723972
Long
ABS-O
CORP
US
N
3
2050-01-01
Fixed
0
N
N
N
N
N
N
KEYCORP STUDENT LOAN TRUST 2003-A
N/A
KSLT 2003 A R SUB KSLT 2003 A R SUB
933RCTII9
100000.000000
PA
USD
21115826.810000
0.7165526
Long
ABS-O
CORP
US
N
3
2050-01-01
Fixed
0
N
N
N
N
N
N
KIK CUSTOM PRODUCTS (KRONOS ACQUISITION HOLDINGS INC)
N/A
KRONOS ACQUISITION HOLDINGS 2021 1ST LIEN TERM LOAN
50106JAF3
13930000.000000
PA
USD
13651400.000000
0.4632519
Long
LON
CORP
US
N
3
2026-12-22
Floating
7.6485
N
N
N
N
N
N
KIWI VFS SUB I SARL
N/A
KIWI VFS SUB I SARL EUR TERM LOAN
943VLLII5
34650000.000000
PA
35756564.740000
1.2133771
Long
LON
CORP
GB
N
3
2029-05-16
Floating
7
N
N
N
N
N
N
KIWI VFS SUB I SARL
N/A
KIWI VFS SUB I SARL GBP TERM LOAN B
943VLWII1
6550860.380000
PA
7858311.760000
0.2666670
Long
LON
CORP
GB
N
3
2029-05-16
Floating
8.6885
N
N
N
N
N
N
KNOLLWOOD CDO LTD. 2004-1A
N/A
KNOLLWOOD CDO LTD KNOLL 2004 1A A1 144A
499169AA8
8355916.550000
PA
USD
3884155.890000
0.1318064
Long
ABS-CBDO
CORP
KY
N
2
2039-01-10
Floating
1.43643
N
N
N
N
N
N
KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP
N/A
KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP E 144A
50085PAL1
15339000.000000
PA
USD
11233079.490000
0.3811877
Long
ABS-MBS
CORP
US
N
2
2044-11-05
Fixed
3.02449
N
N
N
N
N
N
LABRADOR AVIATION FINANCE LTD 2016-1A
N/A
LABRADOR AVIATION FINANCE LIMI LAFL 2016 1A A1 144A
50543LAA0
7087130.070000
PA
USD
6354228.690000
0.2156269
Long
ABS-O
CORP
US
N
2
2042-01-15
Fixed
4.3
N
N
N
N
N
N
LAKESIDE CDO I LTD/LAKESIDE CDO I INC 2004-1A
N/A
LAKESIDE CDO LTD LAKES 2004 1A A2A 144A
51210VAC4
15107497.620000
PA
USD
5518648.020000
0.1872719
Long
ABS-CBDO
CORP
KY
N
2
2040-01-03
Floating
2.83507
N
N
N
N
N
N
LAKESIDE CDO I LTD/LAKESIDE CDO I INC 2004-1A
N/A
LAKESIDE CDO LTD LAKES 2004 1A A2B 144A
51210VAL4
20213566.530000
PA
USD
7383854.140000
0.2505666
Long
ABS-CBDO
CORP
KY
N
2
2040-01-04
Floating
2.83507
N
N
N
N
N
N
LEALAND FINANCE COMPANY BV
N/A
LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL
N5200EAC5
170648.620000
PA
USD
106655.390000
0.0036193
Long
LON
CORP
US
N
3
2024-06-28
Floating
4.6661
N
N
N
N
N
N
LEALAND FINANCE COMPANY BV
N/A
LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL
N5200EAB7
2360976.250000
PA
USD
1210000.330000
0.0410606
Long
LON
CORP
US
N
2
2025-06-30
Fixed
2.6661
N
N
Y
N
N
N
LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST1
N/A
LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST1 CERT 144A
52607NAB3
2300000.000000
PA
USD
2203438.570000
0.0747723
Long
ABS-O
CORP
US
N
3
2028-03-15
Fixed
0
N
N
N
N
N
N
LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2
N/A
LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 CERT 144A
52607QAB6
2900000.000000
PA
USD
2733111.290000
0.0927465
Long
ABS-O
CORP
US
N
3
2028-04-15
Fixed
0
N
N
N
N
N
N
LIBERTY STREET TRUST 2016-225L
N/A
LIBERTY STREET TRUST LBTY 2016 225L E 144A
902055AJ1
616273.000000
PA
USD
560840.540000
0.0190318
Long
ABS-MBS
CORP
US
N
2
2036-02-10
Variable
4.80345
N
N
N
N
N
N
LIFEMILES LTD
254900CGQFLUG99LJ840
LIFEMILES LTD 2021 TERM LOAN B
G6368CAE9
7057609.820000
PA
USD
6638564.240000
0.2252756
Long
LON
CORP
BM
N
2
2026-08-30
Floating
6.8249
N
N
N
N
N
N
280 PARK AVENUE 2017-280P MORTGAGE TRUST
N/A
280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P E 144A
90205FAN0
9645000.000000
PA
USD
9191229.760000
0.3118987
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
3.30989
N
N
N
N
N
N
280 PARK AVENUE 2017-280P MORTGAGE TRUST
N/A
280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P F 144A
90205FAQ3
7233000.000000
PA
USD
6721080.810000
0.2280758
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
4.01799
N
N
N
N
N
N
510 LOAN ACQUISITION TRUST 2020-1
N/A
510 LOAN ACQUISITION TRUST FTLA 2020 1 A 144A
33831HAA6
6672975.090000
PA
USD
6512928.790000
0.2210122
Long
ABS-MBS
CORP
US
N
2
2060-09-25
Fixed
5.107
N
N
N
N
N
N
522 FIFTH AVENUE TRUST
N/A
522 FIFTH AVENUE TRUST FIXED TERM LOAN
945BERII2
8983052.250000
PA
USD
8559957.680000
0.2904769
Long
LON
CORP
US
N
3
2025-08-27
Fixed
6.824
N
N
N
N
N
N
LNR CDO LTD 2005-1A
N/A
LNR CDO LTD LNR 2005 1A A 144A
53944PAA0
2135278.100000
PA
USD
43971.780000
0.0014922
Long
ABS-CBDO
CORP
KY
N
2
2043-02-28
Floating
1.91271
Y
N
N
N
N
N
LONG BEACH MORTGAGE LOAD TR 2005-WL1
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M5
542514LM4
15023815.950000
PA
USD
13217962.290000
0.4485434
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
2.74857
Y
N
N
N
N
N
LONG BEACH MORTGAGE LOAD TR 2006-1
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 2A3
542514RL0
131902.420000
PA
USD
112014.050000
0.0038011
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.00357
N
N
N
N
N
N
LONG BEACH MORTGAGE LOAN TR 2005-2
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M7
542514KX1
4350078.790000
PA
USD
3736238.740000
0.1267870
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
3.49857
Y
N
N
N
N
N
LUDGATE FUNDING PLC 2006-1X
N/A
LUDGATE FUNDING PLC LGATE 2006 1X MC REGS
ACI20ZV82
375000000.000000
PA
2287.000000
0.0000776
Long
ABS-MBS
CORP
GB
N
3
2060-12-01
Floating
0
N
N
N
N
N
N
LUDGATE FUNDING PLC 2006-1X
N/A
LUDGATE FUNDING PLC LGATE 2006 1X RES REGS
ACI20ZV58
375000000.000000
PA
3179308.330000
0.1078879
Long
ABS-MBS
CORP
GB
N
3
2060-12-01
Floating
0
N
N
N
N
N
N
LUXE TRUST 2021-TRIP
N/A
LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP F 144A
55066WAL8
26640000.000000
PA
USD
24728777.140000
0.8391559
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
4.574
N
N
N
N
N
N
MANSARD MORTGAGES PLC 2006-1X
N/A
MANSARD MORTGAGES PLC MANSD 2006 1X B2 REGS
B1GJ7MII5
2670541.220000
PA
3114290.120000
0.1056815
Long
ABS-MBS
CORP
GB
N
2
2048-10-15
Floating
4.5348
N
N
N
N
N
N
MARGATE FUNDING LTD
N/A
MARGATE FUNDING LTD MGATE 2004 1A A1S 144A
56659NAA3
37104815.090000
PA
USD
12670218.310000
0.4299561
Long
ABS-CBDO
CORP
KY
N
2
2044-12-04
Floating
0.85214
N
N
N
N
N
N
MARKET BIDCO FINCO PLC
549300UGYX6EBVHRVG53
MARKET BIDCO FINCO PLC SR SECURED 144A 11/27 4.75
ACI261ZG9
3700000.000000
PA
3090299.760000
0.1048674
Long
DBT
CORP
GB
N
2
2027-11-04
Fixed
4.75
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2018-2A
N/A
MARLETTE FUNDING TRUST MFT 2018 2A CERT 144A
57109E109
10196.000000
PA
USD
792029.920000
0.0268770
Long
ABS-O
CORP
US
N
3
2028-07-17
Fixed
0
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2019-1A
N/A
MARLETTE FUNDING TRUST MFT 2019 1A CERT 144A
57109X107
16695.000000
PA
USD
980796.700000
0.0332827
Long
ABS-O
CORP
US
N
3
2029-04-16
Fixed
0
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2019-2
N/A
MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A
57109H102
4409.000000
PA
USD
330704.640000
0.0112223
Long
ABS-O
CORP
US
N
3
2029-07-16
Fixed
0
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2020-1A
N/A
MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A
57109J108
11251.000000
PA
USD
843493.080000
0.0286234
Long
ABS-O
CORP
US
N
3
2030-03-15
Fixed
0
N
N
N
N
N
N
AADVANTAGE LOYALTY IP LTD
N/A
AADVANTAGE LOYALTY IP LTD 2021 TERM LOAN
02376CBJ3
4700000.000000
PA
USD
4502600.000000
0.1527930
Long
LON
CORP
KY
N
2
2028-04-20
Floating
5.8127
N
N
N
N
N
N
MASTR ADJUSTABLE RATE MORTGAGES TRUST 2005-3 2005-3
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 3 B1
576433YZ3
846146.850000
PA
USD
582062.640000
0.0197519
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
2.5879
N
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2006-NC1
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M2
57643LNH5
8955505.390000
PA
USD
8543982.900000
0.2899348
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.23857
Y
N
N
N
N
N
MASTR ASSET BACKED SECURIT TR 2003-OPT1
N/A
MASTR ASSET BACKED SECURITIES MABS 2003 OPT1 M4
57643LAN6
444865.130000
PA
USD
286718.420000
0.0097296
Long
ABS-MBS
CORP
US
N
2
2032-12-25
Floating
7.47357
Y
N
N
N
N
N
MELCO RESORTS FINANCE LIMITED
N/A
MELCO RESORTS FINANCE SR UNSECURED 144A 12/29 5.375
58547DAD1
700000.000000
PA
USD
423524.310000
0.0143720
Long
DBT
CORP
KY
N
2
2029-12-04
Fixed
5.375
N
N
N
N
N
N
MERCURY CDO LTD 2004-1A
N/A
MERCURY CDO LTD MRCY 2004 1A A2A 144A
58936RAC1
6682397.340000
PA
USD
4998453.260000
0.1696194
Long
ABS-CBDO
CORP
KY
N
2
2040-12-08
Floating
2.19971
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 FM1 M2
59020UC37
4464000.000000
PA
USD
3601744.030000
0.1222230
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
2.49357
N
N
N
N
N
N
MFA 2020-NQM1 TRUST
N/A
MFRA TRUST MFRA 2020 NQM1 B1 144A
552754AE3
6143000.000000
PA
USD
6033725.240000
0.2047508
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
4.978
N
N
N
N
N
N
MFA 2020-NQM1 TRUST
N/A
MFRA TRUST MFRA 2020 NQM1 M1 144A
552754AD5
1185000.000000
PA
USD
1151714.300000
0.0390827
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
3.071
N
N
N
N
N
N
MGM CHINA HOLDINGS LIMITED
529900VZFN87OS7WJM66
MGM CHINA HOLDINGS LTD SR UNSECURED 144A 02/27 4.75
55300RAG6
200000.000000
PA
USD
141618.000000
0.0048057
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
4.75
N
N
N
N
N
N
MGM CHINA HOLDINGS LIMITED
529900VZFN87OS7WJM66
MGM CHINA HOLDINGS LTD SR UNSECURED 144A 06/25 5.25
55300RAE1
400000.000000
PA
USD
307466.520000
0.0104337
Long
DBT
CORP
KY
N
2
2025-06-18
Fixed
5.25
N
N
N
N
N
N
MGM CHINA HOLDINGS LIMITED
529900VZFN87OS7WJM66
MGM CHINA HOLDINGS LTD SR UNSECURED REGS 05/26 5.875
G60744AB8
200000.000000
PA
USD
151490.340000
0.0051407
Long
DBT
CORP
KY
N
2
2026-05-15
Fixed
5.875
N
N
N
N
N
N
ACACIA CDO LTD 5A
N/A
ACACIA CDO LTD ACCDO 5A B 144A
00388EAB7
28467152.600000
PA
USD
9877959.620000
0.3352025
Long
ABS-CBDO
CORP
KY
N
2
2039-11-08
Floating
2.22071
N
N
N
N
N
N
ACCREDITED MORTGAGE LOAN TRUST 2004-3
N/A
ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 3 1M3
004375BG5
1863045.740000
PA
USD
1559911.990000
0.0529347
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
6
N
N
N
N
N
N
ACCREDITED MORTGAGE LOAN TRUST 2007-1
N/A
ACCREDITED MORTGAGE LOAN TRUST ACCR 2007 1 M3
00438QAG9
5235000.000000
PA
USD
4033337.680000
0.1368688
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
1.91357
N
N
N
N
N
N
MKP CBO IV LTD
N/A
MKP CBO LTD MKP 4A A1 144A
553121AA2
3354359.710000
PA
USD
3285384.010000
0.1114875
Long
ABS-CBDO
CORP
KY
N
2
2040-07-12
Floating
1.31071
N
N
N
N
N
N
MKP CBO IV LTD
N/A
MKP CBO LTD MKP 4A A2 144A
553121AC8
44000000.000000
PA
USD
7921113.200000
0.2687981
Long
ABS-CBDO
CORP
KY
N
3
2040-07-12
Floating
1.51071
N
N
N
N
N
N
MLCC MORTGAGE INVESTORS INC 2004-C
N/A
MLCC MORTGAGE INVESTORS INC MLCC 2004 C B1
59020UDS1
603432.080000
PA
USD
505772.750000
0.0171631
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
2.35857
N
N
N
N
N
N
MODULAIRE (BCP V MODULAR SERVICES FINANCE II PLC)
213800227GGD6UI7PI97
BCP MODULAR SERVICES SR SECURED 144A 11/28 6.125
ACI210XN3
4700000.000000
PA
4490119.420000
0.1523694
Long
DBT
CORP
GB
N
2
2028-11-30
Fixed
6.125
N
N
N
N
N
N
ACE SECURITIES CORP 2005-HE1
N/A
ACE SECURITIES CORP. ACE 2005 HE1 M6
004421KZ5
14197793.010000
PA
USD
11505211.380000
0.3904223
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
2.89857
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2003-NC8
N/A
MORGAN STANLEY CAPITAL INC MSAC 2003 NC8 B3
61746RDS7
1543439.030000
PA
USD
1475711.690000
0.0500774
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Floating
7.24857
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE1
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 M1
617451DS5
8698000.000000
PA
USD
6952608.870000
0.2359325
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.17857
Y
N
N
N
N
N
ACE SECURITIES CORP 2005-HE5
N/A
ACE SECURITIES CORP. ACE 2005 HE5 M5
004421RJ4
3546448.710000
PA
USD
2530508.190000
0.0858712
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.58357
Y
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-NC5
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2FP
61749BAB9
222231.160000
PA
USD
124433.650000
0.0042226
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.69357
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2017-ASHF
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF E 144A
61691KAN1
17482000.000000
PA
USD
16280539.060000
0.5524701
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
4.474
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2017-ASHF
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF F 144A
61691KAQ4
6258000.000000
PA
USD
5827107.290000
0.1977393
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
5.674
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2018-SUN
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2018 SUN F 144A
61691MAQ0
10000000.000000
PA
USD
9437570.000000
0.3202581
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
3.874
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2019-PLND
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2019 PLND C 144A
61691XAJ2
4500000.000000
PA
USD
4299660.450000
0.1459063
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
2.824
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I-2005-HQ7
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2005 HQ7 F
617451BX6
7500000.000000
PA
USD
3978948.000000
0.1350232
Long
ABS-MBS
CORP
US
N
2
2042-11-14
Variable
5.48526
N
N
N
N
N
N
MORGAN STANLEY CAPITAL INC 2005-HE7
N/A
MORGAN STANLEY CAPITAL INC MSAC 2005 HE7 M3
61744CWN2
5820538.410000
PA
USD
4959688.930000
0.1683040
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.32857
N
N
N
N
N
N
MORGAN STANLEY HOME EQUITY LN 2005-2
N/A
MORGAN STANLEY HOME EQUITY LOA MSHEL 2005 2 M6
61744CQQ2
5580593.840000
PA
USD
4425612.370000
0.1501804
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
2.68857
Y
N
N
N
N
N
ACE SECURITIES CORP 2006-NC1
N/A
ACE SECURITIES CORP. ACE 2006 NC1 M2
004421UV3
2922214.750000
PA
USD
2746637.280000
0.0932055
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
2.26857
N
N
N
N
N
N
MORGAN STANLEY RESECURITIZATION TRUST 2013-R9
N/A
MORGAN STANLEY REREMIC TRUST MSRR 2013 R9 3B2 144A
61763DAV2
8154348.890000
PA
USD
6934561.040000
0.2353201
Long
ABS-MBS
CORP
US
N
2
2046-06-26
Variable
3.144
N
N
N
N
N
N
MORTGAGE EQUITY CONVER ASSET TR 2010-1A
N/A
MORTGAGE EQUITY CONVERSION ASS MECA 2010 1A A 144A
61911BAA3
61126.310000
PA
USD
57346.320000
0.0019460
Long
ABS-MBS
CORP
US
N
2
2060-07-25
Fixed
4
N
N
N
N
N
N
MORTGAGE FUNDING 2008-1 PLC
N/A
MORTGAGE FUNDING PLC MFD 2008 1 B1 REGS
ACI1690J6
1700000.000000
PA
2003700.680000
0.0679944
Long
ABS-MBS
CORP
GB
N
2
2046-03-13
Floating
4.7904
N
N
N
N
N
N
ACE SECURITIES CORP 2006-OP1
N/A
ACE SECURITIES CORP. ACE 2006 OP1 M1
00442PAG5
7691163.360000
PA
USD
5773831.710000
0.1959314
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
2.04357
N
N
N
N
N
N
MRCD 2019-PARK MORTGAGE TRUST
N/A
MRCD MORTGAGE TRUST MRCD 2019 PARK G 144A
55348UAW8
6000000.000000
PA
USD
5193802.200000
0.1762485
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Fixed
2.71752
N
N
N
N
N
N
MRCD 2019-PARK MORTGAGE TRUST
N/A
MRCD MORTGAGE TRUST MRCD 2019 PARK J 144A
55348UBA5
12000000.000000
PA
USD
10533301.200000
0.3574411
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Fixed
4.25
N
N
N
N
N
N
MRCD 2019-PRKC MORTGAGE TRUST
N/A
MRCD 2019 PRKC MORTGAGE TRUST MRCD 2019 PRKC A 144A
55348UAA6
5000000.000000
PA
USD
4229071.500000
0.1435109
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
4.25
N
N
N
N
N
N
MSSG TRUST 2017-237P
N/A
MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P E 144A
55375KAL0
8006000.000000
PA
USD
6738887.980000
0.2286800
Long
ABS-MBS
CORP
US
N
2
2039-09-13
Variable
3.86481
N
N
N
N
N
N
MULTIPLAN CORPORATION
N/A
MULTIPLAN CORP SR UNSECURED 144A 10/27 6
000000000
10600000.000000
PA
USD
8760900.000000
0.2972958
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
6
N
N
Y
Y
N
MULTIPLAN CORPORATION
MULTIPLAN CORP
USD
XXXX
N
N
N
N-STAR REL CDO VIII LTD 2006-8A
N/A
N STAR REAL ESTATE CDO LTD NSTAR 2006 8A B 144A
62940FAD1
1399424.830000
PA
USD
1397825.290000
0.0474343
Long
ABS-CBDO
CORP
KY
N
2
2041-02-01
Floating
2.13314
N
N
N
N
N
N
NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY
213800F6E89RCASJ7E83
NAC 29 2020G PPN NAC AVIATION 29 J PPN 2020 G
936NTAII8
4333630.000000
PA
USD
3247008.680000
0.1101852
Long
DBT
CORP
GB
Y
3
2025-03-14
Fixed
6.58
N
N
N
N
N
N
NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY
213800F6E89RCASJ7E83
NAC 29 2020I PPN NAC AVIATION 29 J PPN 2020 I
936NSZII4
1022276.390000
PA
USD
677353.670000
0.0229856
Long
DBT
CORP
US
Y
3
2024-02-27
Fixed
4.79
N
N
N
N
N
N
NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY
213800F6E89RCASJ7E83
NAC AVIATION 29 DAC REVOLVER
G6360LAB3
21300000.000000
PA
USD
12141000.000000
0.4119974
Long
LON
CORP
IE
N
3
2026-03-31
Floating
2.355
N
N
N
N
N
N
NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY
213800F6E89RCASJ7E83
NAC AVIATION 29 DAC 2018 TERM LOAN
941WFJII7
4391301.480000
PA
USD
2813632.800000
0.0954789
Long
LON
CORP
IE
N
3
2022-07-30
Floating
3.0529
N
N
N
N
N
N
NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY
213800F6E89RCASJ7E83
NAC AVIATION 29 DAC 2019 TERM LOAN
941WFHII1
5108698.520000
PA
USD
3273598.020000
0.1110875
Long
LON
CORP
IE
N
3
2023-06-11
Floating
3.9607
N
N
N
N
N
N
NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY
213800F6E89RCASJ7E83
NAC AVIATION 29 DAC SENIOR UNSECURED NOTES
935UZU000
18412675.000000
PA
USD
12755942.560000
0.4328651
Long
DBT
CORP
DK
Y
3
2026-02-27
Fixed
4.92
N
N
N
N
N
N
NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY
213800F6E89RCASJ7E83
NAC AVIATION 29 J PPN 2020 H NAC AVIATION 29 J PPN 2020 H
943GTRII7
4855413.330000
PA
USD
3856887.190000
0.1308811
Long
DBT
CORP
IE
Y
3
2027-03-15
Fixed
6.83
N
N
N
N
N
N
NATIONAL COLLEGIATE II COMMUTATION TRUST 2005 AR16
N/A
NATIONAL COLLEGIATE II COMMUTA NCMCT 2005 AR16 AR16
63545AAA5
22875000.000000
PA
USD
4130470.130000
0.1401650
Long
ABS-O
CORP
US
N
2
2045-06-01
Fixed
3.748
N
N
N
N
N
N
NATIONAL COLLEGIATE STUDENT LOAN TRUST
N/A
NATL COLL STUDENT LOAN ASSET BACKED 144A 06/45 VAR
63543NAR2
50000.000000
PA
USD
44131.020000
0.0014976
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
4.755
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2017 75B D 144A
63874EAL4
7000000.000000
PA
USD
6101388.300000
0.2070469
Long
ABS-MBS
CORP
US
N
2
2037-04-10
Variable
4.19316
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-285M
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 285M E 144A
63874FAL1
2700000.000000
PA
USD
2602132.830000
0.0883018
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Fixed
3.91675
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-285M
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 285M F 144A
63874FAN7
2900000.000000
PA
USD
2703866.330000
0.0917540
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
3.91675
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-RIVA
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 RIVA E 144A
63874JAQ2
5000000.000000
PA
USD
4951497.500000
0.1680260
Long
ABS-MBS
CORP
US
N
2
2033-02-15
Floating
4.06516
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-TECH
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 TECH F 144A
63874LAS3
1825770.000000
PA
USD
1729579.860000
0.0586922
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
4.325
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-TECH
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 TECH G 144A
63874LAU8
791760.000000
PA
USD
751186.650000
0.0254911
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
5.325
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2022 RRI D 144A
63875JAL2
4950000.000000
PA
USD
4777457.360000
0.1621201
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Floating
5.22325
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2022 RRI E 144A
63875JAN8
9950000.000000
PA
USD
9579129.670000
0.3250619
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Floating
6.47165
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC JR SUBORDINA 12/49 VAR
780099CK1
6325000.000000
PA
USD
6274273.500000
0.2129136
Long
DBT
CORP
GB
N
2
2025-08-10
Floating
8
N
N
N
N
Y
NATWEST GROUP PLC
NATWEST GROUP PLC
GBP
XXXX
N
N
N
NAVIENT CORPORATION
54930067J0ZNOEBRW338
NAVIENT CORP SR UNSECURED 01/25 5.625
78442FDJ4
139000.000000
PA
USD
131058.040000
0.0044474
Long
DBT
CORP
US
N
2
2025-01-25
Fixed
5.625
N
N
N
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL CORPORATION LTD COMPANY GUAR 05/24 6
62886HAT8
4000000.000000
PA
USD
4452400.000000
0.1510895
Long
DBT
CORP
BM
N
2
2024-05-15
Fixed
6
N
N
N
Y
N
NCL CORPORATION LTD
NORWEGIAN CRUISE LINE HOLDINGS LTD
USD
XXXX
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL CORPORATION LTD SR SECURED 144A 02/27 5.875
62886HBE0
5571000.000000
PA
USD
4773678.480000
0.1619918
Long
DBT
CORP
BM
N
2
2027-02-15
Fixed
5.875
N
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2004-1
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 1 CB1
007036AT3
2744628.480000
PA
USD
2486478.880000
0.0843771
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
2.77357
Y
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2004-2
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 2 7M2
007036CD6
1713683.060000
PA
USD
1645041.660000
0.0558235
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
3.42357
N
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2005-11
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 11 5A1
007036UQ7
37684.650000
PA
USD
24105.820000
0.0008180
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.16357
N
N
N
N
N
N
NEW YORK MORTGAGE TRUST 2021-SP1
N/A
NEW YORK MORTGAGE TRUST NYMT 2021 SP1 A2 144A
62955RAB1
4450000.000000
PA
USD
4031028.940000
0.1367905
Long
ABS-MBS
CORP
US
N
2
2061-08-25
Fixed
3.5582
N
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2005-7
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 7 7M1
007036NH5
2249665.800000
PA
USD
2163058.840000
0.0734021
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.62357
N
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2005-8
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 7M1
007036QX7
1525093.890000
PA
USD
1533313.230000
0.0520320
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.64357
N
N
N
N
N
N
NGD HOLDINGS BV
984500ED2ABF0UF46690
NGD HOLDINGS BV SR SECURED 12/26 6.75
ACI1XVPP6
1378268.000000
PA
USD
613329.260000
0.0208130
Long
DBT
CORP
NL
N
2
2026-12-31
Fixed
6.75
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER GROUP SA SR UNSECURED REGS 01/26 1.875
ACI1TZD42
400000.000000
PA
217986.180000
0.0073972
Long
DBT
CORP
LU
N
2
2026-01-14
Fixed
1.875
N
N
N
N
N
N
NIGERIA GOVT
549300GSBZD84TNEQ285
REPUBLIC OF NIGERIA SR UNSECURED 144A 09/51 8.25
65412JAT0
4200000.000000
PA
USD
2628003.000000
0.0891797
Long
DBT
NUSS
NG
N
2
2051-09-28
Fixed
8.25
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER GROUP SA SR UNSECURED REGS 04/27 2.25
ACI1X8QD3
2200000.000000
PA
1120375.920000
0.0380193
Long
DBT
CORP
LU
N
2
2027-04-27
Fixed
2.25
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER GROUP SA SR UNSECURED REGS 11/26 2.75
ACI1SQBP8
600000.000000
PA
321439.800000
0.0109079
Long
DBT
CORP
LU
N
2
2026-11-13
Fixed
2.75
N
N
N
N
N
N
ADLER REAL ESTATE AG
529900Y6QFNN3D363B76
ADLER REAL ESTATE AG SR UNSECURED REGS 04/23 1.875
BD8ZD2II9
1000000.000000
PA
825034.270000
0.0279970
Long
DBT
CORP
DE
N
2
2023-04-27
Fixed
1.875
N
N
N
N
N
N
ADLER REAL ESTATE AG
529900Y6QFNN3D363B76
ADLER REAL ESTATE AG SR UNSECURED REGS 04/26 3
BD5N5GII7
300000.000000
PA
209760.190000
0.0071181
Long
DBT
CORP
DE
N
2
2026-04-27
Fixed
3
N
N
N
N
N
N
NOBLE FINANCE COMPANY
5493003DTPH8AMMK4P51
NOBLE FINANCE CO SECURED 02/28 11
65505JAC5
633439.000000
PA
USD
693615.710000
0.0235374
Long
DBT
CORP
KY
N
2
2028-02-15
Fixed
11
N
N
Y
N
N
N
NOBLE FINANCE COMPANY
5493003DTPH8AMMK4P51
NOBLE FINANCE CO SECURED 144A 02/28 11
65505JAA9
946458.000000
PA
USD
1036371.510000
0.0351686
Long
DBT
CORP
KY
N
2
2028-02-15
Fixed
11
N
N
Y
N
N
N
AEGIS ASSET BACKED SEC TR 2004-3
N/A
AEGIS ASSET BACKED SECURITIES AABST 2004 3 B2
00764MCK1
638439.050000
PA
USD
629576.940000
0.0213643
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
4.77357
N
N
N
N
N
N
NOMURA HOME EQUITY LOAN INC 2005-HE1
N/A
NOMURA HOME EQUITY LOAN INC NHELI 2005 HE1 M6
65536HBH0
3000000.000000
PA
USD
2538121.200000
0.0861296
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.70357
N
N
N
N
N
N
NOMURA HOME EQUITY LOAN INC 2006-FM1
N/A
NOMURA HOME EQUITY LOAN INC NHELI 2006 FM1 M1
65536HBY3
11322639.200000
PA
USD
7537077.830000
0.2557661
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.23857
Y
N
N
N
N
N
NOMURA RESECURITIZATION TRUST 2014-3R
N/A
NOMURA RESECURITIZATION TRUST NMRR 2014 3R 2A8 144A
65540LAX1
266159.990000
PA
USD
235006.950000
0.0079748
Long
ABS-MBS
CORP
US
N
2
2035-07-26
Variable
4.03233
N
N
N
N
N
N
NOMURA RESECURITIZATION TRUST 2015-1R
N/A
NOMURA RESECURITIZATION TRUST NMRR 2015 1R 2A8 144A
65540TAN6
10013555.800000
PA
USD
8387509.550000
0.2846250
Long
ABS-MBS
CORP
US
N
2
2036-10-26
Floating
2.56538
N
N
N
N
N
N
AEGIS ASSET BACKED SEC TR 2004-6
N/A
AEGIS ASSET BACKED SECURITIES AABST 2004 6 B1
00764MEA1
3100000.000000
PA
USD
709352.540000
0.0240714
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
3.32357
Y
N
N
N
N
N
NOVASTAR HOME EQUITY LOAN 2005-3
N/A
NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M4
66987XHA6
4238008.280000
PA
USD
3741334.050000
0.1269599
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.50857
N
N
N
N
N
N
ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED
549300L7LF2PIRAWID66
ODBRCHT OFFSHRE DRLL FIN SR SECURED 144A 12/22 6.72
67576GAC1
177969.430000
PA
USD
171740.500000
0.0058279
Long
DBT
CORP
KY
N
2
2022-12-01
Fixed
6.72
N
N
N
N
N
N
ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED
549300L7LF2PIRAWID66
ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/22 6.72
G6711KAC9
899213.930000
PA
USD
867741.440000
0.0294463
Long
DBT
CORP
KY
N
2
2022-12-01
Fixed
6.72
N
N
N
N
N
N
OI SA (AKA: BRASIL TELECOM S/A)
254900YEMWCRRAGD4978
OI SA COMPANY GUAR 07/25 VAR
P7354PAA2
50338000.000000
PA
USD
24712907.010000
0.8386173
Long
DBT
CORP
BR
N
2
2025-07-27
Fixed
10
N
N
Y
N
N
N
OPTION ONE MORTGAGE LOAN TRUST 2005-4
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M4
68389FJL9
5639429.790000
PA
USD
4601086.700000
0.1561351
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.52357
N
N
N
N
N
N
ORIENT POINT CDO LTD
N/A
ORIENT POINT CDO LTD ORPT 2005 1A A1VB 144A
68619MAQ4
55698720.160000
PA
USD
18288006.380000
0.6205923
Long
ABS-CBDO
CORP
KY
N
2
2045-10-03
Floating
2.56286
N
N
N
N
N
N
ORIENT POINT CDO LTD
N/A
ORIENT POINT CDO LTD ORPT 2005 1A A1VF 144A
68619MAL5
55520768.980000
PA
USD
18229578.250000
0.6186095
Long
ABS-CBDO
CORP
KY
N
2
2045-10-03
Floating
2.56286
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75
694308HH3
24633000.000000
PA
USD
18923765.500000
0.6421664
Long
DBT
CORP
US
N
2
2044-02-15
Fixed
4.75
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4
694308KC0
2800000.000000
PA
USD
2433760.730000
0.0825882
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
4.4
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3
694308HL4
1575000.000000
PA
USD
1147677.960000
0.0389457
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.3
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25
694308HN0
2555000.000000
PA
USD
1870890.750000
0.0634875
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
4.25
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/52 5.25
694308KD8
2500000.000000
PA
USD
2064378.480000
0.0700534
Long
DBT
CORP
US
N
2
2052-03-01
Fixed
5.25
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45
694308GZ4
3732000.000000
PA
USD
2808699.730000
0.0953115
Long
DBT
CORP
US
N
2
2042-04-15
Fixed
4.45
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6
694308HD2
20000.000000
PA
USD
15293.530000
0.0005190
Long
DBT
CORP
US
N
2
2043-06-15
Fixed
4.6
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55
694308JM0
9177500.000000
PA
USD
8163471.780000
0.2770224
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.55
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5
694308JQ1
11073000.000000
PA
USD
8598824.630000
0.2917958
Long
DBT
CORP
US
N
2
2040-07-01
Fixed
4.5
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95
694308JN8
16565500.000000
PA
USD
13249430.970000
0.4496113
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.95
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75
694308HA8
26000.000000
PA
USD
17641.790000
0.0005987
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
3.75
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5
694308GY7
368000.000000
PA
USD
271258.570000
0.0092050
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
4.5
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4
694308HR1
4000.000000
PA
USD
2812.690000
0.0000954
Long
DBT
CORP
US
N
2
2046-12-01
Fixed
4
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC SR SECURED 06/41 4.2
694308JU2
4400000.000000
PA
USD
3228922.220000
0.1095715
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
4.2
N
N
N
N
N
N
PALISADES CDO LTD. 2004-1A
N/A
PALISADES CDO LTD PALIS 2004 1A B1 144A
696399AD6
21400000.000000
PA
USD
10218542.800000
0.3467600
Long
ABS-CBDO
CORP
KY
N
2
2039-07-22
Floating
2.08629
N
N
N
N
N
N
PALISADES CDO LTD. 2004-1A
N/A
PALISADES CDO LTD PALIS 2004 1A B2 144A
696399AE4
2000000.000000
PA
USD
1021642.620000
0.0346688
Long
ABS-CBDO
CORP
KY
N
3
2039-07-22
Fixed
5.65
N
N
N
N
N
N
AIM AVIATION FINANCE LIMITED 2015-1A
N/A
DCAL AVIATION FINANCE LIMITED DCAL 2015 1A A1 144A
001406AA5
9115080.230000
PA
USD
7459353.250000
0.2531286
Long
ABS-O
CORP
KY
N
2
2040-02-15
Variable
6.213
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
AIR CANADA 2021 TERM LOAN B
C0102MAP0
2800000.000000
PA
USD
2583000.000000
0.0876525
Long
LON
CORP
CA
N
3
2028-08-11
Floating
4.25
N
N
N
N
N
N
PARK PLACE SECURITIES INC 2004-MHQ1
N/A
PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M6
70069FDA2
16719914.830000
PA
USD
13293551.170000
0.4511085
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
3.72357
N
N
N
N
N
N
PARK PLACE SECURITIES INC 2004-WHQ2
N/A
PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M6
70069FEN3
6027591.090000
PA
USD
4654980.210000
0.1579639
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
3.57357
N
N
N
N
N
N
PARK PLACE SECURITIES INC 2005-WCH1
N/A
PARK PLACE SECURITIES INC PPSI 2005 WCH1 M6
70069FFN2
1730000.000000
PA
USD
1610726.710000
0.0546590
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
3.09357
Y
N
N
N
N
N
PENNYMAC CORP
EWN0I878407TKQNXZ933
PENNYMAC CORP COMPANY GUAR 03/26 5.5
70932AAF0
18075000.000000
PA
USD
15929497.500000
0.5405577
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.5
N
N
N
Y
N
PENNYMAC MORTGAGE INVESTMENT TRUST
PENNYMAC MORTGAGE INVESTMENT
USD
XXXX
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
BONOS DE TESORERIA BONDS 02/29 5.94
ACI16QTC2
600000.000000
PA
143279.090000
0.0048621
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
BONOS DE TESORERIA SR UNSECURED 08/32 6.15
ACI0WBN59
869000.000000
PA
200863.050000
0.0068162
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
BONOS DE TESORERIA SR UNSECURED 08/40 5.35
ACI1H2BH1
400000.000000
PA
78328.330000
0.0026580
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
5.35
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU BONDS REGS 08/37 6.9
715638CQ3
49300000.000000
PA
11670778.630000
0.3960407
Long
DBT
NUSS
PE
N
2
2037-08-12
Fixed
6.9
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU BONDS REGS 08/40 5.35
715638DC3
695000.000000
PA
136095.470000
0.0046183
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
5.35
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94
P78024AE9
168000.000000
PA
40118.150000
0.0013614
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED REGS 08/32 6.15
P78024AF6
2040000.000000
PA
471531.200000
0.0160011
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15
N
N
N
N
N
N
PERU LNG SRL
254900F70J1LOALV5K70
PERU LNG SRL SR UNSECURED REGS 03/30 5.375
P7721BAE1
30662000.000000
PA
USD
24837906.410000
0.8428591
Long
DBT
CORP
PE
N
2
2030-03-22
Fixed
5.375
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE COMPANY GUAR 06/50 6.75
71647NBG3
14828000.000000
PA
USD
12877747.300000
0.4369985
Long
DBT
CORP
NL
N
2
2050-06-03
Fixed
6.75
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE COMPANY GUAR 12/99 6.85
71647NAN9
3252000.000000
PA
USD
2678135.820000
0.0908809
Long
DBT
CORP
NL
N
2
2099-12-31
Fixed
6.85
N
N
N
N
N
N
PETROLEOS DE VENEZUELA SA (PDVSA)
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/27 5.375
P7807HAC9
440000.000000
PA
USD
26290.000000
0.0008921
Long
DBT
CORP
VE
N
2
2027-04-12
Fixed
5.375
Y
Y
N
N
N
N
PETROLEOS DE VENEZUELA SA (PDVSA)
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 05/24 6
P7807HAT2
650000.000000
PA
USD
40787.500000
0.0013841
Long
DBT
CORP
VE
N
2
2024-05-16
Fixed
6
Y
Y
N
N
N
N
PETROLEOS DE VENEZUELA SA (PDVSA)
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 11/26 6
P7807HAR6
430000.000000
PA
USD
25692.500000
0.0008719
Long
DBT
CORP
VE
N
2
2026-11-15
Fixed
6
Y
Y
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 01/31 5.95
71654QDE9
9529000.000000
PA
USD
6998574.050000
0.2374923
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 01/50 7.69
71654QDD1
190000.000000
PA
USD
129786.150000
0.0044042
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 01/60 6.95
71654QDF6
1816000.000000
PA
USD
1123468.400000
0.0381242
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7
71643VAB1
26454000.000000
PA
USD
20226728.400000
0.6863816
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.7
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 03/27 6.5
71654QCG5
12000.000000
PA
USD
10440.960000
0.0003543
Long
DBT
CORP
MX
N
2
2027-03-13
Fixed
6.5
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 06/35 6.625
706451BG5
8400000.000000
PA
USD
5754672.000000
0.1952813
Long
DBT
CORP
MX
N
2
2035-06-15
Fixed
6.625
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 09/47 6.75
71654QCC4
23799000.000000
PA
USD
14778108.050000
0.5014860
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR REGS 04/27 2.75
ACI0CBT55
2700000.000000
PA
2129045.090000
0.0722478
Long
DBT
CORP
MX
N
2
2027-04-21
Fixed
2.75
N
N
N
N
N
N
PETRORIO LUXEMBOURG SARL
222100466T5WZDU1B498
PETRORIO LUX TRAD SARL SR SECURED 144A 06/26 6.125
71677WAA0
1846000.000000
PA
USD
1700996.700000
0.0577223
Long
DBT
CORP
LU
N
2
2026-06-09
Fixed
6.125
N
N
N
N
N
N
PIPER SANDLER COMPANIES
QUQDBTUSOAKFEVMRMF78
PIPER SANDLER COS SR UNSECURED 144A 10/23 5.2
724078AE0
2900000.000000
PA
USD
2860125.000000
0.0970566
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
5.2
N
N
N
N
N
N
ALBA PLC 2006-2
N/A
ALBA FRN 15DEC38 GBP
B1HMYZII8
100.000000
PA
3410210.950000
0.1157234
Long
ABS-MBS
CORP
GB
N
2
2038-12-15
Fixed
0
N
N
N
N
N
N
ALBA PLC 2006-2
N/A
ALBA PLC ALBA 2006 2 MERC REGS
B1HMYYII1
100.000000
PA
3.340000
0.0000001
Long
ABS-O
CORP
GB
N
2
2038-12-15
Floating
0
N
N
N
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A2 144A
74143FAB5
1000000.000000
PA
USD
920231.900000
0.0312275
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
3.8441
N
N
N
N
N
N
ALBA PLC 2006-2
N/A
ALBA PLC ALBA 2006 2 SUB REGS
991ZCLII7
3491000.000000
PA
3294428.600000
0.1117944
Long
ABS-MBS
CORP
GB
N
2
2038-12-15
Floating
6.22187
N
N
N
N
N
N
PROFRAC SERVICES LLC
N/A
PROFRAC SERVICES LLC 2022 TERM LOAN
945AEHII6
22712500.000000
PA
USD
22371812.500000
0.7591737
Long
LON
CORP
US
N
3
2025-03-04
Floating
10.0074
N
N
N
N
N
N
PROJECT ANFORA
N/A
PROJECT ANFORA SENIOR TERM LOAN
938BZJII6
36091483.900000
PA
36831132.310000
1.2498419
Long
LON
CORP
US
Y
3
2026-10-01
Floating
2.75
N
N
N
N
N
N
PROJECT OMNI
N/A
PROJECT OMNI SENIOR TERM LOAN
965HDEII4
18136938.400000
PA
19006604.600000
0.6449775
Long
LON
CORP
US
Y
3
2026-09-03
Floating
3
N
N
N
N
N
N
PROJECT QUASAR HOLDCO SLU
N/A
PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1
944ZSGII9
16415444.200000
PA
16930214.960000
0.5745165
Long
LON
CORP
ES
N
3
2026-03-15
Floating
3.25
N
N
N
N
N
N
PROJECT QUASAR INVESTMENTS 2017 SLU
N/A
NEPTUNE QUASAR PPN
936TNJII2
1.000000
PA
0.000000
0.0000000
Long
LON
CORP
LU
N
3
2028-03-15
None
0
N
N
N
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES SA 2018 EUR TERM LOAN 2
933NSTII1
1000000.000000
PA
869798.500000
0.0295161
Long
LON
CORP
ES
N
3
2022-11-30
Fixed
6
N
N
Y
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES SA 2022 EUR PIK JUNIOR TERM LOAN
945BECII5
13718394.330000
PA
13028423.400000
0.4421116
Long
LON
CORP
ES
N
2
2027-06-30
Fixed
9
N
N
Y
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES SA 2022 EUR PIK SENIOR TERM LOAN
945BEBII7
42565768.820000
PA
40034600.710000
1.3585496
Long
LON
CORP
ES
N
2
2026-12-31
Floating
5.25
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED 144A 08/32 2.031
ACI1PPLN7
500000.000000
PA
363308.020000
0.0123286
Long
DBT
CORP
NL
N
2
2032-08-03
Fixed
2.031
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED 144A 08/50 4.027
74365PAD0
1600000.000000
PA
USD
996122.620000
0.0338028
Long
DBT
CORP
NL
N
2
2050-08-03
Fixed
4.027
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED REGS 02/51 3.832
N7163RAQ6
11500000.000000
PA
USD
6946691.040000
0.2357317
Long
DBT
CORP
NL
N
2
2051-02-08
Fixed
3.832
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED REGS 08/50 4.027
N7163RAD5
1700000.000000
PA
USD
1058380.290000
0.0359155
Long
DBT
CORP
NL
N
2
2050-08-03
Fixed
4.027
N
N
N
N
N
N
PROVINCE OF BUENOS AIRES ARGENTINA
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
ACI11ZNP4
25911000.000000
PA
97572.870000
0.0033111
Long
DBT
NUSS
AR
N
2
2025-04-12
Floating
42.0333
N
N
N
N
N
N
PROVINCE OF BUENOS AIRES ARGENTINA
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
P1910WRC5
93337000.000000
PA
351478.500000
0.0119272
Long
DBT
NUSS
AR
N
2
2025-04-12
Floating
42.0333
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/23 FIXED 5.25
74514L3E5
2988435.000000
PA
USD
3043463.440000
0.1032781
Long
DBT
MUN
PR
N
2
2023-07-01
Fixed
5.25
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/24 ZEROCPNOID 0
74514L3Q8
1376412.000000
PA
USD
1260437.730000
0.0427722
Long
DBT
MUN
PR
N
2
2024-07-01
None
0
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/33 FIXED 4
74514L3K1
2675764.000000
PA
USD
2458008.450000
0.0834110
Long
DBT
MUN
PR
N
2
2033-07-01
Fixed
4
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/33 ZEROCPNOID 0
74514L3R6
3443450.000000
PA
USD
1939221.910000
0.0658063
Long
DBT
MUN
PR
N
2
2033-07-01
None
0
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/35 FIXED 4
74514L3L9
2405155.000000
PA
USD
2160323.210000
0.0733092
Long
DBT
MUN
PR
N
2
2035-07-01
Fixed
4
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/37 FIXED 4
74514L3M7
2064258.000000
PA
USD
1832291.760000
0.0621777
Long
DBT
MUN
PR
N
2
2037-07-01
Fixed
4
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 07/41 FIXED 4
74514L3N5
1876000.000000
PA
USD
1628932.860000
0.0552768
Long
DBT
MUN
US
N
2
2041-07-01
Fixed
4
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR
74514L3T2
31295373.000000
PA
USD
15608567.280000
0.5296672
Long
DBT
MUN
PR
N
2
2043-11-01
Variable
0
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR
74514L4G9
34717000.000000
PA
USD
14971706.250000
0.5080557
Long
DBT
MUN
PR
N
2
2051-11-01
Variable
0
N
N
N
N
N
N
PUTNAM STRUCTURED PRODUCT FUNDING 2003-1A LTD
N/A
PUTNAM STRUCTURED PRODUCT FUND PTNM 2003 1A B 144A
74686PAJ9
3214889.580000
PA
USD
2302741.820000
0.0781421
Long
ABS-CBDO
CORP
KY
N
2
2038-10-15
Floating
1.58363
N
N
N
N
N
N
QUANTUM BIDCO LIMITED
259400QEGOEU126C6775
ADDO AND WINTERBOTHAM GBP TERM LOAN
937ICLII2
7000000.000000
PA
7093817.330000
0.2407243
Long
LON
CORP
GB
N
2
2028-01-29
Floating
7.6316
N
N
N
N
N
N
RBSSP RESECURITIZATION TRUST 2009-7
N/A
RBSSP RESECURITIZATION TRUST RBSSP 2009 7 12A4 144A
75524MCB4
2428322.320000
PA
USD
897195.890000
0.0304458
Long
ABS-MBS
CORP
US
N
2
2037-10-26
Floating
1.70571
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QS1
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1
74922KAA3
153347.440000
PA
USD
132166.940000
0.0044850
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
6
Y
N
N
N
N
N
RESIDENTIAL ASSET MORTGAGE PROD 2006-NC3
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC3 M2
76112B4Q0
15507943.090000
PA
USD
12406401.000000
0.4210036
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.16357
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC SR UNSECURED 11/31 8
370425RZ5
2000.000000
PA
USD
2190.830000
0.0000743
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
8
N
N
N
N
N
N
ALORICA INC
549300I7BKCLNE05U640
ALORICA INC 2020 TERM LOAN
937JVNII5
10304310.440000
PA
USD
9897263.490000
0.3358576
Long
LON
CORP
US
N
3
2025-12-11
Floating
8.2504
N
N
N
N
N
N
RESIDENTIAL ASSET SEC TRUST 2007-A1
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A9
761136AJ9
1785918.520000
PA
USD
694281.900000
0.0235600
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
5.75
Y
N
N
N
N
N
RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A
N/A
RESIDENTIAL MORTGAGE SECURITIE RMS 32A E 144A
ACI1PKHR4
4150000.000000
PA
4992754.770000
0.1694261
Long
ABS-MBS
CORP
GB
N
2
2070-06-20
Floating
5.44749
N
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
ALTICE FINANCING SA SR SECURED 144A 08/29 5.75
02154CAH6
9526000.000000
PA
USD
7671621.210000
0.2603318
Long
DBT
CORP
LU
N
2
2029-08-15
Fixed
5.75
N
N
N
N
N
N
RIO OIL FINANCE TRUST SERIES 2014-1
549300V5D1W52HY8NO65
RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25
76716XAA0
1415777.870000
PA
USD
1468543.910000
0.0498341
Long
DBT
CORP
US
N
2
2024-07-06
Variable
9.25
N
N
N
N
N
N
RIO OIL FINANCE TRUST SERIES 2014-1
549300V5D1W52HY8NO65
RIO OIL FINANCE TRUST SR SECURED REGS 07/24 9.25
U76673AA7
1108702.770000
PA
USD
1150024.120000
0.0390254
Long
DBT
CORP
US
N
2
2024-07-06
Variable
9.25
N
N
N
N
N
N
RIO OIL FINANCE TRUST SERIES 2018-1
N/A
RIO OIL FINANCE TRUST SR SECURED 144A 04/28 8.2
76716XAC6
2216610.000000
PA
USD
2306327.290000
0.0782638
Long
DBT
CORP
US
N
2
2028-04-06
Fixed
8.2
N
N
N
N
N
N
RIO OIL FINANCE TRUST SERIES 2018-1
N/A
RIO OIL FINANCE TRUST SR SECURED REGS 04/28 8.2
U76673AC3
3761520.000000
PA
USD
3913767.520000
0.1328113
Long
DBT
CORP
US
N
2
2028-04-06
Fixed
8.2
N
N
N
N
N
N
ALTICE FRANCE HOLDING SA
5299000JVHXKJPOE6H40
ALTICE FRANCE HOLDING SA SR SECURED 144A 05/27 10.5
02156TAB0
23800000.000000
PA
USD
20017228.000000
0.6792723
Long
DBT
CORP
LU
N
2
2027-05-15
Fixed
10.5
N
N
N
N
N
N
ROCKFORD TOWER CLO LTD 2020-1A
N/A
ROCKFORD TOWER CLO LTD ROCKT 2020 1A SUB 144A
77341HAC2
8300000.000000
PA
USD
7768533.240000
0.2636204
Long
ABS-CBDO
CORP
KY
N
3
2032-01-20
Floating
0
N
N
N
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
ROLLS ROYCE PLC COMPANY GUAR REGS 02/26 4.625
ACI1S5ZS2
300000.000000
PA
296103.510000
0.0100481
Long
DBT
CORP
GB
N
2
2026-02-16
Fixed
4.625
N
N
N
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
ROLLS ROYCE PLC COMPANY GUAR REGS 05/28 1.625
ACI12HZ39
4700000.000000
PA
3687950.780000
0.1251483
Long
DBT
CORP
GB
N
2
2028-05-09
Fixed
1.625
N
N
N
N
N
N
ROMANIA GOVT
315700IASY927EDWBK92
ROMANIA UNSECURED 144A 04/41 2.75
ACI1X0DG7
5200000.000000
PA
3194638.200000
0.1084081
Long
DBT
NUSS
RO
N
2
2041-04-14
Fixed
2.75
N
N
N
N
N
N
ROMANIA GOVT
315700IASY927EDWBK92
ROMANIA UNSECURED 144A 12/40 2.625
ACI1T3QG2
6700000.000000
PA
4092334.190000
0.1388708
Long
DBT
NUSS
RO
N
2
2040-12-02
Fixed
2.625
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES COMPANY GUAR 144A 06/23 9.125
780153BC5
1100000.000000
PA
USD
1090490.500000
0.0370051
Long
DBT
CORP
LR
N
2
2023-06-15
Fixed
9.125
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES LTD 2017 NON EXTENDED REVOLVER
937MWXII5
22400000.000000
PA
USD
21952000.000000
0.7449276
Long
LON
CORP
LR
N
2
2022-10-12
Floating
2.5387
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES SR SECURED 144A 06/23 10.875
780153AY8
4500000.000000
PA
USD
4525830.000000
0.1535813
Long
DBT
CORP
LR
N
2
2023-06-01
Fixed
10.875
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES SR SECURED 144A 06/25 11.5
780153AZ5
4234000.000000
PA
USD
4360871.810000
0.1479835
Long
DBT
CORP
LR
N
2
2025-06-01
Fixed
11.5
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES SR UNSECURED 06/23 4.25
780153BB7
3200000.000000
PA
USD
3072000.000000
0.1042464
Long
DBT
CORP
LR
N
2
2023-06-15
Fixed
4.25
N
N
N
Y
N
ROYAL CARIBBEAN CRUISES LTD
ROYAL CARIBBEAN CRUISES LTD
USD
XXXX
N
N
N
RR 7 LTD 2019-7A
N/A
RR LTD RRAM 2019 7A SUB 144A
74980CAC6
5000000.000000
PA
USD
2674398.000000
0.0907541
Long
ABS-CBDO
CORP
KY
N
2
2120-01-15
Variable
0
N
N
N
N
N
N
RSA SECURITY (REDSTONE HOLDCO 2 LP)
N/A
REDSTONE HOLDCO 2 LP 2021 2ND LIEN TERM LOAN
75774EAK1
6000000.000000
PA
USD
5200002.000000
0.1764589
Long
LON
CORP
US
N
2
2029-04-27
Floating
8.9749
N
N
N
N
N
N
RUSSIAN GOVT
5493004EHVGF71PDBU58
RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625
78307ADE0
1600000.000000
PA
USD
472000.000000
0.0160170
Long
DBT
NUSS
RU
N
2
2042-04-04
Fixed
5.625
N
N
N
N
N
N
RUSSIAN GOVT
5493004EHVGF71PDBU58
RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1
X5424XCG1
800000.000000
PA
USD
212000.000000
0.0071941
Long
DBT
NUSS
RU
N
2
2035-03-28
Fixed
5.1
N
N
N
N
N
N
RUSSIAN GOVT
5493004EHVGF71PDBU58
RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625
X74344DS2
4600000.000000
PA
USD
1357000.000000
0.0460490
Long
DBT
NUSS
RU
N
2
2042-04-04
Fixed
5.625
N
N
N
N
N
N
SANDERS RE III LTD
N/A
SANDERS RE III LTD UNSECURED 144A 04/29 VAR
80000XAC3
6399000.000000
PA
USD
6404439.150000
0.2173307
Long
DBT
CORP
BM
N
2
2029-04-09
Floating
11.75
N
N
N
N
N
N
SASOL FINANCING LIMITED
378900A5BC68CC18C276
SASOL LTD REVOLVER
937HWVII0
19251768.940000
PA
USD
19068776.260000
0.6470872
Long
LON
CORP
ZA
N
3
2022-11-23
Floating
0.56
N
N
N
N
N
N
SAXON ASSET SECURITIES TRUST 2007-3
N/A
SAXON ASSET SECURITIES TRUST SAST 2007 3 2M1
80557BAG9
21892000.000000
PA
USD
15682960.310000
0.5321916
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Floating
2.42357
N
N
N
N
N
N
SCHENCK PROCESS (PLATIN 1426 GMBH)
213800NMYXIGFN77O655
PLATIN 1426 GMBH SR SECURED 144A 06/23 6.875
BGGC6YII2
400000.000000
PA
411215.580000
0.0139543
Long
DBT
CORP
DE
N
2
2023-06-15
Fixed
6.875
N
N
N
N
N
N
SCHENCK PROCESS (PLATIN 1426 GMBH)
213800NMYXIGFN77O655
PLATIN 1426 GMBH SR SECURED REGS 06/23 6.875
ACI147DK5
3880000.000000
PA
3988791.130000
0.1353572
Long
DBT
CORP
DE
N
2
2023-06-15
Fixed
6.875
N
N
N
N
N
N
SEAGATE HDD CAYMAN
529900BD50TRWEG1SF63
SEAGATE HDD CAYMAN COMPANY GUAR 06/29 4.091
81180WBC4
2700000.000000
PA
USD
2327076.000000
0.0789679
Long
DBT
CORP
KY
N
2
2029-06-01
Fixed
4.091
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1
N/A
FREDDIE MAC SCRT SCRT 2018 1 BX
35563PEX3
18110031.630000
PA
USD
8171030.760000
0.2772789
Long
ABS-MBS
CORP
US
N
2
2057-05-25
Variable
3.55574
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2
N/A
FREDDIE MAC SCRT SCRT 2020 2 BXS 144A
35563PRM3
10252863.950000
PA
USD
4836947.490000
0.1641388
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
5.24382
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2
N/A
FREDDIE MAC SCRT SCRT 2020 2 M 144A
35563PRE1
6300000.000000
PA
USD
5664750.840000
0.1922298
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
4.25
N
N
N
N
N
N
SEAZEN GROUP LIMITED
5493006M8GRAQRCSCD67
SEAZEN GROUP LTD SR SECURED REGS 04/23 6.15
ACI1B3VB6
200000.000000
PA
USD
149100.000000
0.0050596
Long
DBT
CORP
KY
N
2
2023-04-15
Fixed
6.15
N
N
N
N
N
N
SEAZEN GROUP LIMITED
5493006M8GRAQRCSCD67
SEAZEN GROUP LTD SR SECURED REGS 07/25 4.45
ACI1TYCZ7
200000.000000
PA
USD
117450.000000
0.0039856
Long
DBT
CORP
KY
N
2
2025-07-13
Fixed
4.45
N
N
N
N
N
N
SEC ASSET BACKED REC LLC 2005-FR1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 FR1 M2
81375WDT0
934354.140000
PA
USD
846999.130000
0.0287424
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
2.59857
N
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR3
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 FR3 M2
81375WEV4
1623676.060000
PA
USD
1312301.750000
0.0445322
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
2.59857
Y
N
N
N
N
N
SEQUA MEZZANINE HOLDINGS LLC
N/A
SEQUA MEZZANINE HOLDINGS LLC 2020 EXTENDED TERM LOAN
81733HAE6
22455540.500000
PA
USD
22361968.260000
0.7588397
Long
LON
CORP
US
N
2
2023-11-28
Fixed
8.3029
N
N
Y
N
N
N
SEQUOIA MORTGAGE TRUST 11
N/A
SEQUOIA MORTGAGE TRUST SEMT 11 B1
81744AAB4
198350.380000
PA
USD
156295.950000
0.0053038
Long
ABS-MBS
CORP
US
N
2
2032-12-20
Floating
3.05014
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2003-4
N/A
SEQUOIA MORTGAGE TRUST SEMT 2003 4 2B1
81743PBY1
74425.670000
PA
USD
68393.310000
0.0023209
Long
ABS-MBS
CORP
US
N
2
2033-07-20
Floating
2.57014
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2005-4
N/A
SEQUOIA MORTGAGE TRUST SEMT 2005 4 1B1
81744FHX8
24263.430000
PA
USD
21282.590000
0.0007222
Long
ABS-MBS
CORP
US
N
2
2035-10-20
Floating
2.26014
Y
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2005-4
N/A
SEQUOIA MORTGAGE TRUST SEMT 2005 4 1B2
81744FHY6
236727.180000
PA
USD
191275.590000
0.0064908
Long
ABS-MBS
CORP
US
N
2
2035-10-20
Floating
2.54014
Y
N
N
N
N
N
SG MORTGAGE SECURITIES TRUST 2006-FRE1
N/A
SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2B
81879MAV1
4714213.660000
PA
USD
2827316.640000
0.0959433
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
1.98357
N
N
N
N
N
N
SIERRA MADRE FUNDING LTD 2004-1A
N/A
SIERRA MADRE FUNDING LTD MADRE 2004 1A A1A 144A
82639RAB3
11405358.660000
PA
USD
8751126.400000
0.2969641
Long
ABS-CBDO
CORP
KY
N
2
2039-09-07
Floating
1.49971
N
N
N
N
N
N
SIERRA MADRE FUNDING LTD 2004-1A
N/A
SIERRA MADRE FUNDING LTD MADRE 2004 1A A2 144A
82639RAC1
16000000.000000
PA
USD
3737232.000000
0.1268207
Long
ABS-CBDO
CORP
KY
N
2
2039-09-07
Floating
1.75971
N
N
N
N
N
N
SIERRA MADRE FUNDING LTD 2004-1A
N/A
SIERRA MADRE FUNDING LTD MADRE 2004 1A B 144A
82639RAD9
10400000.000000
PA
USD
2419466.400000
0.0821031
Long
ABS-CBDO
CORP
KY
N
2
2039-09-07
Floating
1.99971
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2014-A
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2014 A R 144A
784456105
15318.000000
PA
USD
2063435.690000
0.0700214
Long
ABS-O
CORP
US
N
3
2045-09-15
Fixed
0
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2015-A
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A
78448P100
15401.000000
PA
USD
7115405.680000
0.2414569
Long
ABS-O
CORP
US
N
3
2048-10-15
Fixed
0
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2015-C
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2015 C R 144A
78448R106
9980.000000
PA
USD
4681994.970000
0.1588806
Long
ABS-O
CORP
US
N
3
2046-09-18
Fixed
0
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA R 144A
78449VAF3
12485764.310000
PA
USD
17569423.530000
0.5962076
Long
ABS-O
CORP
US
N
3
2054-09-15
Fixed
0
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB R 144A
78449DAF3
16689169.890000
PA
USD
23879097.930000
0.8103225
Long
ABS-O
CORP
US
N
3
2054-09-15
Fixed
0
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2022-B
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B D 144A
83206NAE7
7395000.000000
PA
USD
7276885.580000
0.2469366
Long
ABS-O
CORP
US
N
2
2055-02-16
Fixed
5.95
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2022-B
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A
83206NAF4
7992.000000
PA
USD
14268591.320000
0.4841959
Long
ABS-O
CORP
US
N
3
2055-02-16
Fixed
0
N
N
N
N
N
N
AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD
N/A
AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/26 5.5
00253XAA9
1300000.000000
PA
USD
1198990.000000
0.0406870
Long
DBT
CORP
US
N
2
2026-04-20
Fixed
5.5
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 C R1 144A
83405D108
28500.000000
PA
USD
393300.000000
0.0133464
Long
ABS-O
CORP
US
N
3
2040-07-25
Fixed
0
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A
78471C109
4400000.000000
PA
USD
709280.000000
0.0240690
Long
ABS-O
CORP
US
N
3
2040-09-25
Fixed
0
N
N
N
N
N
N
SOFTBANK VISION FUND II
N/A
SOFTBANK VISION FUND II FIXED TERM LOAN
944YFGII6
34921078.570000
PA
USD
34921078.570000
1.1850254
Long
LON
CORP
GB
N
3
2025-12-21
Variable
5
N
N
N
N
N
N
SOLSTICE ABS CBO LTD 2003-3A
N/A
SOLSTICE ABS CBO LTD SOLST 2003 3A B 144A
83436YAC9
8661986.610000
PA
USD
3732874.470000
0.1266728
Long
ABS-CBDO
CORP
KY
N
2
2039-03-15
Floating
3.44363
N
N
N
N
N
N
AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD
N/A
AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/29 5.75
00253XAB7
4200000.000000
PA
USD
3600114.000000
0.1221677
Long
DBT
CORP
US
N
2
2029-04-20
Fixed
5.75
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ1
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ1 M1
83612JAE4
25364165.340000
PA
USD
21890542.900000
0.7428421
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.99857
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT3 M1
83611MPK8
10011787.050000
PA
USD
8299498.140000
0.2816384
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
2.08857
Y
N
N
N
N
N
SOUTH COAST FUNDING 5A
N/A
SOUTH COAST FUNDING SCF 5A B 144A
84129VAG6
23610422.600000
PA
USD
9230187.780000
0.3132208
Long
ABS-CBDO
CORP
KY
N
2
2039-08-06
Floating
2.45614
N
N
N
N
N
N
SOUTH COAST FUNDING 5A
N/A
SOUTH COAST FUNDING SCF 5A C1 144A
84129VAJ0
32715953.960000
PA
USD
3271.600000
0.0001110
Long
ABS-CBDO
CORP
KY
N
2
2039-08-06
Floating
4.65614
N
N
N
N
N
N
SPIRIT AEROSYSTEMS INC
ZD2NBKV6GCC3UMGBM518
SPIRIT AEROSYSTEMS INC COMPANY GUAR 06/23 3.95
85205TAJ9
5000000.000000
PA
USD
4695150.000000
0.1593270
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.95
N
N
N
N
N
N
STAGWELL (MIDAS OPCO HOLDINGS LLC)
N/A
MIDAS OPCO HOLDINGS LLC COMPANY GUAR 144A 08/29 5.625
59565JAA9
1700000.000000
PA
USD
1370752.500000
0.0465156
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
5.625
N
N
N
N
N
N
START IRELAND 2019-1
N/A
START LTD. STARR 2019 1 A 144A
85573LAA9
2378989.390000
PA
USD
2182022.630000
0.0740456
Long
ABS-O
CORP
BM
N
2
2044-03-15
Fixed
4.089
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6
N/A
STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B1 144A
85573RAH1
200000.000000
PA
USD
149910.220000
0.0050871
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Fixed
3.935
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6
N/A
STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B2 144A
85573RAK4
600000.000000
PA
USD
428019.960000
0.0145246
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Fixed
3.935
N
N
N
N
N
N
STEENBOK LUX FINCO 1 SARL
N/A
STEENBOK LUX FINCO 2 SARL EUR PIK TERM LOAN A1
943ZWJII9
38324444.420000
PA
24298071.430000
0.8245401
Long
LON
CORP
LU
N
2
2022-12-31
Fixed
10
N
N
Y
N
N
N
STEENBOK LUX FINCO 2 SARL
N/A
STEENBOK LUX FINCO 2 SARL EUR 1ST LIEN FIXED RATE TL A1
935YNSII2
10992896.710000
PA
11476806.090000
0.3894584
Long
LON
CORP
LU
N
2
2022-12-29
Fixed
7.875
N
N
Y
N
N
N
STEENBOK LUX FINCO 2 SARL
N/A
STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN FIXED RATE TL A2
935YNTII0
64211977.230000
PA
43823225.680000
1.4871143
Long
LON
CORP
LU
N
3
2022-12-29
Fixed
10.75
N
N
Y
N
N
N
STRUCTURED ADJUSTABLE RT MTG LN 2004-18
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2004 18 M
863579GC6
2046283.740000
PA
USD
1557475.460000
0.0528520
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
2.15357
N
N
N
N
N
N
STRUCTURED ARM LOAN TRUST 2005-19XS
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS M1II
863579ZA9
5181277.320000
PA
USD
4848606.670000
0.1645345
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.27357
N
N
N
N
N
N
STRUCTURED ASSET INVST LN TR 2005-5
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M5
86358ETK2
13176343.880000
PA
USD
10529630.130000
0.3573165
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
2.59857
N
N
N
N
N
N
STRUCTURED ASSET INVST LN TR 2005-8
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2005 8 M2
86358EXR2
9383727.910000
PA
USD
8022336.660000
0.2722331
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.37357
N
N
N
N
N
N
STRUCTURED ASSET INVST LN TR 2006-3
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2006 3 A6
863587AF8
40000000.000000
PA
USD
15723552.000000
0.5335691
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.87357
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2007-AR3
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 1A3
86363NAC3
2157829.620000
PA
USD
2401589.710000
0.0814965
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Floating
2.04357
Y
N
N
N
N
N
STRUCTURED ASSET SEC CORP 2005-WF1
N/A
STRUCTURED ASSET SECURITIES CO SASC 2005 WF1 M6
86359BW49
414275.610000
PA
USD
390277.410000
0.0132438
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
2.82357
N
N
N
N
N
N
STRUCTURED ASSET SEC CORP 2007-MN1A
N/A
STRUCTURED ASSET SECURITIES CO SASC 2007 MN1A A4 144A
863613AD7
7800000.000000
PA
USD
5499215.280000
0.1866125
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.86357
N
N
N
N
N
N
STRUCTURED ASSET SEC CORP 2007-OSI
N/A
STRUCTURED ASSET SECURITIES CO SASC 2007 OSI A4
863619AD4
3053474.460000
PA
USD
2160306.310000
0.0733087
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.82357
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CO-2007-BC1
N/A
STRUCTURED ASSET SECURITIES CO SASC 2007 BC1 M1
86362PAG0
10210564.980000
PA
USD
10289032.150000
0.3491520
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
1.85357
Y
N
N
N
N
N
STUBHUB (PUG LLC)
N/A
PUG LLC USD TERM LOAN
74530DAC9
70200.000000
PA
USD
64320.750000
0.0021827
Long
LON
CORP
US
N
2
2027-02-12
Floating
4.5596
N
N
N
N
N
N
STUDIO CITY CO LTD
N/A
STUDIO CITY CO LTD SR SECURED 144A 02/27 7
86400GAC3
1200000.000000
PA
USD
1041957.880000
0.0353582
Long
DBT
CORP
VG
N
2
2027-02-15
Fixed
7
N
N
N
N
N
N
STUDIO CITY FINANCE LIMITED
254900D6R731QAUIG324
STUDIO CITY FINANCE LTD COMPANY GUAR 144A 01/29 5
86389QAG7
1400000.000000
PA
USD
724983.000000
0.0246019
Long
DBT
CORP
VG
N
2
2029-01-15
Fixed
5
N
N
N
N
N
N
STUDIO CITY FINANCE LIMITED
254900D6R731QAUIG324
STUDIO CITY FINANCE LTD COMPANY GUAR REGS 01/29 5
G85381AG9
200000.000000
PA
USD
103569.000000
0.0035146
Long
DBT
CORP
VG
N
2
2029-01-15
Fixed
5
N
N
N
N
N
N
STWD 2021-HTS MORTGAGE TRUST 2021-HTS
N/A
STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS E 144A
78486DAJ9
9723500.000000
PA
USD
9291131.930000
0.3152889
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
4.324
N
N
N
N
N
N
STWD 2021-HTS MORTGAGE TRUST 2021-HTS
N/A
STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS F 144A
78486DAL4
6612000.000000
PA
USD
6334201.450000
0.2149472
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
5.324
N
N
N
N
N
N
SUMMER STREET LTD 2005-1A
N/A
SUMMER STREET LTD SMSTR 2005 1A A1 144A
86565MAA5
33326519.370000
PA
USD
7676130.530000
0.2604848
Long
ABS-CBDO
CORP
KY
N
2
2045-12-06
Floating
1.876
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LIMITED
549300OLARYHDXP3WK18
SUNAC CHINA HOLDINGS LTD SR SECURED REGS 07/25 7
ACI1NTG15
300000.000000
PA
USD
45000.000000
0.0015270
Long
DBT
CORP
KY
N
2
2025-07-09
Fixed
7
Y
Y
N
N
N
N
SUNSEEKER ISSUER LLC
N/A
SUNSEEKER TERM LOAN
943ZJCII9
31800000.000000
PA
USD
31438324.610000
1.0668402
Long
DBT
CORP
US
N
3
2028-10-31
Fixed
4.4597
N
N
N
N
N
N
SYNIVERSE HOLDINGS LLC
549300CYZBHMZC8VLL59
SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN
87168TAB7
46234087.740000
PA
USD
40801582.430000
1.3845767
Long
LON
CORP
US
N
2
2027-05-13
Floating
8.2864
N
N
N
N
N
N
TBW MTGE BACKED PASS THRU CERT 2006-4
N/A
TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A5
872224AF7
5000000.000000
PA
USD
2330581.500000
0.0790869
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
6.83
Y
N
N
N
N
N
TDA FTA 28
N/A
TITULIZACION DE ACTIVOS TDA 28 A REGS
B241Q4II4
28283850.700000
PA
17100658.520000
0.5803004
Long
ABS-MBS
CORP
ES
N
2
2050-10-28
Floating
0
N
N
N
N
N
N
TEAM HEALTH HOLDINGS INC
549300PVTQ4UDTTMQT11
TEAM HEALTH INC DEL TERM LOAN B
87817JAE8
43611419.720000
PA
USD
38959520.410000
1.3220674
Long
LON
CORP
US
N
2
2024-02-06
Floating
4.4161
N
N
N
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN
938VCRII9
420806.630000
PA
USD
145178.290000
0.0049265
Long
LON
CORP
BR
N
3
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN 2
938VGTII1
33863719.150000
PA
USD
11852301.700000
0.4022006
Long
LON
CORP
BR
N
3
2035-02-26
Fixed
1.75
N
N
N
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN 3
938VGUII8
16382182.120000
PA
USD
5733763.740000
0.1945718
Long
LON
CORP
BR
N
3
2035-02-26
Fixed
1.75
N
N
N
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN 4
938PYRII8
22752885.110000
PA
USD
7963509.790000
0.2702368
Long
LON
CORP
BR
N
3
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN 5
945BALII9
11307139.060000
PA
USD
3957498.670000
0.1342953
Long
LON
CORP
BR
N
3
2035-02-26
Fixed
3.0849
N
N
N
N
N
N
TERWIN MORTGAGE TRUST 2005-12AL
N/A
TERWIN MORTGAGE TRUST TMTS 2005 12AL M1
881561WE0
455053.500000
PA
USD
312353.640000
0.0105995
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
5.869
Y
N
N
N
N
N
TERWIN MTGE TRUST 2006-5
N/A
TERWIN MORTGAGE TRUST TMTS 2006 5 1M1 144A
8815612H6
10897829.100000
PA
USD
8379956.520000
0.2843687
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
2.16357
N
N
N
N
N
N
TEXGEN POWER LLC
5493003XDLS9LCQ3SY55
EXGEN TEXAS POWER LLC 2021 2ND LIEN TERM LOAN
941VXVII2
36929465.720000
PA
USD
37127693.120000
1.2599055
Long
LON
CORP
US
N
3
2026-10-08
Floating
7.75
N
N
N
N
N
N
THARALDSON HOTEL PORTFOLIO TRUST 2018
N/A
THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL E 144A
88327HAN3
10957145.630000
PA
USD
9996920.560000
0.3392394
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
4.6
N
N
N
N
N
N
THARALDSON HOTEL PORTFOLIO TRUST 2018
N/A
THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL F 144A
88327HAQ6
4571282.920000
PA
USD
4156001.980000
0.1410314
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
5.37248
N
N
N
N
N
N
TITULIZACION DE ACTIVOS 27
N/A
TITULIZACION DE ACTIVOS TDA 27 A3 REGS
E9053PAF3
10427341.980000
PA
8617818.250000
0.2924404
Long
ABS-MBS
CORP
ES
N
2
2050-12-28
Floating
0
N
N
N
N
N
N
TOBACCO SETTLEMENT FINANCE AUTHORITY
N/A
TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0
88880LAB9
1200000.000000
PA
USD
97206.240000
0.0032986
Long
DBT
MUN
US
N
2
2047-06-01
None
0
N
N
N
N
N
N
TOLL ROAD INVESTORS PARTNERSHIP II LP
N/A
TOLL ROAD INV PART II INSURED 144A 02/43 0.00000
88948ABM8
88539215.530000
PA
USD
23297358.310000
0.7905816
Long
DBT
CORP
US
N
2
2043-02-15
None
0
N
N
N
N
N
N
TOPAZ SOLAR FARMS LLC
N/A
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875
89054XAD7
3029651.000000
PA
USD
2627752.650000
0.0891712
Long
DBT
CORP
US
N
2
2039-09-30
Fixed
4.875
N
N
N
N
N
N
TOPAZ SOLAR FARMS LLC
N/A
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75
89054XAC9
28282475.000000
PA
USD
25721921.130000
0.8728576
Long
DBT
CORP
US
N
2
2039-09-30
Fixed
5.75
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC COMPANY GUAR 144A 01/26 7.5
893830BF5
190000.000000
PA
USD
136110.300000
0.0046188
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
7.5
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC COMPANY GUAR 144A 02/27 8
893830BL2
254000.000000
PA
USD
170524.170000
0.0057866
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
8
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC COMPANY GUAR 144A 11/25 7.25
893830BK4
346000.000000
PA
USD
256514.020000
0.0087046
Long
DBT
CORP
KY
N
2
2025-11-01
Fixed
7.25
N
N
N
N
N
N
TRANSOCEAN PHOENIX 2 LIMITED
N/A
TRANSOCEAN PHOENIX 2 LTD SR SECURED 144A 10/24 7.75
893828AA1
900000.000000
PA
USD
858496.500000
0.0291326
Long
DBT
CORP
KY
N
2
2024-10-15
Fixed
7.75
N
N
N
N
N
N
TRANSOCEAN PONTUS LIMITED
N/A
TRANSOCEAN PONTUS LTD SR SECURED 144A 08/25 6.125
89382PAA3
84870.000000
PA
USD
77771.050000
0.0026391
Long
DBT
CORP
KY
N
2
2025-08-01
Fixed
6.125
N
N
N
N
N
N
TRANSOCEAN POSEIDON LIMITED
N/A
TRANSOCEAN POSEIDON LTD SR SECURED 144A 02/27 6.875
89383JAA6
6143437.500000
PA
USD
5414242.190000
0.1837290
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
6.875
N
N
N
N
N
N
TTAN 2021-MHC
N/A
TTAN TTN 2021 MHC E 144A
87303TAN7
7082923.910000
PA
USD
6538990.060000
0.2218966
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
3.725
N
N
N
N
N
N
UKRAINE GOVT
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT SR UNSECURED 144A 01/30 4.375
ACI1J9SD5
3304000.000000
PA
865606.700000
0.0293738
Long
DBT
NUSS
UA
N
2
2030-01-27
Fixed
4.375
N
N
N
N
N
N
UKRAINE GOVT
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT SR UNSECURED 144A 05/29 6.876
90372UAR5
5000000.000000
PA
USD
1237500.000000
0.0419938
Long
DBT
NUSS
UA
N
2
2029-05-21
Fixed
6.876
N
N
N
N
N
N
AMSURG LLC
N/A
ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN
943TEZII7
86315447.650000
PA
USD
80273366.310000
2.7240274
Long
LON
CORP
US
N
3
2028-04-30
Fixed
13
N
N
Y
N
N
N
CAESARS ENTERTAINMENT INC
549300FA4CTCW903Y781
CAESARS ENTERTAINMENT INC COMMON STOCK
12769G100
1.000000
NS
USD
38.300000
0.0000013
Long
EC
CORP
US
N
1
N
N
N
AMSURG LLC
N/A
ENVISION HEALTHCARE CORPORTION 2022 DELAYED DRAW TERM LOAN
945BFLII4
6692307.690000
PA
USD
6608653.840000
0.2242606
Long
LON
CORP
US
N
2
2027-04-30
Floating
8.92005
N
N
N
N
N
N
UNIQUE PUB FINANCE CO PLC
213800FOMWLKHQTI5562
UNIQUE PUB FINANCE CO ASSET BACKED REGS 03/24 7.395
565675II8
1505762.400000
PA
1886574.380000
0.0640197
Long
DBT
CORP
GB
N
2
2024-03-28
Fixed
7.395
N
N
N
N
N
N
UNIQUE PUB FINANCE CO PLC
213800FOMWLKHQTI5562
UNIQUE PUB FINANCE CO ASSET BACKED REGS 06/27 5.659
743541II7
1115920.200000
PA
1433993.740000
0.0486617
Long
DBT
CORP
GB
N
2
2027-06-30
Fixed
5.659
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
UNITED AIRLINES, INC. 2021 TERM LOAN B
90932RAJ3
2469492.480000
PA
USD
2299097.500000
0.0780185
Long
LON
CORP
US
N
2
2028-04-21
Floating
5.3916
N
N
N
N
N
N
AMSURG LLC
N/A
ENVISION HEALTHCARE CORPORTION 2022 TERM LOAN
945BFKII6
36807692.310000
PA
USD
36347596.160000
1.2334334
Long
LON
CORP
US
N
2
2027-04-30
Floating
10.4672
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 07/22 0.00000
912796X20
15100000.000000
PA
USD
15092317.880000
0.5121485
Long
DBT
UST
US
N
2
2022-07-19
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 07/22 0.00000
912796X38
6547000.000000
PA
USD
6542373.890000
0.2220114
Long
DBT
UST
US
N
2
2022-07-26
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 08/22 0.00000
912796T41
14164000.000000
PA
USD
14138961.170000
0.4797970
Long
DBT
UST
US
N
2
2022-08-18
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 09/22 0.00000
912796U49
312000.000000
PA
USD
310962.600000
0.0105523
Long
DBT
UST
US
N
2
2022-09-15
None
0
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 09/22 0.00000
912796U56
50000.000000
PA
USD
49813.150000
0.0016904
Long
DBT
UST
US
N
2
2022-09-22
None
0
N
N
N
N
N
N
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
N/A
UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6
91327AAB8
24136000.000000
PA
USD
16729385.680000
0.5677014
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6
N
N
N
N
N
N
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
N/A
UNITI GRP/UNITI HLD/CSL SR SECURED 144A 02/25 7.875
91327AAA0
40204000.000000
PA
USD
38919080.160000
1.3206951
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.875
N
N
N
N
N
N
UPFIELD BV (AKA: FLORA FOOD GROUP, SIGMA BIDCO BV)
2549002VGA888UKFKS25
SIGMA BIDCO B.V. 2018 PLN TERM LOAN B
933XDYII4
31527000.000000
PA
5100431.780000
0.1730800
Long
LON
CORP
NL
N
2
2025-07-02
Floating
6.32
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
U.S. RENAL CARE, INC. 2019 TERM LOAN B
90290PAN4
38769697.800000
PA
USD
26697240.370000
0.9059545
Long
LON
CORP
US
N
2
2026-06-26
Floating
6.6875
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US RENAL CARE INC 2021 TERM LOAN B
90290PAQ7
1685891.270000
PA
USD
1175909.160000
0.0399038
Long
LON
CORP
US
N
3
2026-06-26
Floating
7.1875
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US RENAL CARE INC SR UNSECURED 144A 07/27 10.625
07335BAA4
51399000.000000
PA
USD
19403122.500000
0.6584331
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
10.625
N
N
N
N
N
N
VALARIS LIMITED
N/A
VALARIS LTD SR SECURED 04/28 8.25
000000000
2015000.000000
PA
USD
1957532.200000
0.0664277
Long
DBT
CORP
BM
N
2
2028-04-30
Fixed
8.25
N
N
N
N
N
N
ANTHRACITE LTD 2004-HY1A
N/A
ANTHRACITE LTD SER 2004 HY1 CL D 144A
000000000
6386140.410000
PA
USD
305512.960000
0.0103674
Long
ABS-MBS
CORP
US
N
2
2041-06-20
Fixed
5.678
N
N
N
N
N
N
VALARIS LIMITED
N/A
VALARIS LTD SR SECURED 144A 04/28 8.25
91889FAA9
4612000.000000
PA
USD
4480465.760000
0.1520419
Long
DBT
CORP
BM
N
2
2028-04-30
Fixed
8.25
N
N
Y
N
N
N
VALE SA
254900SMTWBX7RU2SR20
VALE SA SUBORDINATED 12/49 VAR
B011X9II2
313730000.000000
PA
25695713.820000
0.8719683
Long
DBT
CORP
BR
N
3
2049-12-29
Variable
3.20163
N
N
N
N
N
N
VENEZUELAN GOVT
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25
922646AS3
65000.000000
PA
USD
5687.500000
0.0001930
Long
DBT
NUSS
VE
N
2
2027-09-15
Fixed
9.25
Y
Y
N
N
N
N
VENEZUELAN GOVT
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25
P97475AP5
650000.000000
PA
USD
55250.000000
0.0018749
Long
DBT
NUSS
VE
N
2
2024-10-13
Fixed
8.25
Y
Y
N
N
N
N
VERITAS US INC
549300RFUWCPWS8FQ104
VERITAS US INC 2021 TERM LOAN B
G9341JAN0
8597801.650000
PA
USD
7087812.740000
0.2405206
Long
LON
CORP
US
N
2
2025-09-01
Floating
7.2504
N
N
N
N
N
N
VERITAS US INC / VERITAS BERMUDA LTD
N/A
VERITAS US INC/BERMUDA L SR SECURED 144A 09/25 7.5
92346LAE3
13000000.000000
PA
USD
9781200.000000
0.3319190
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
7.5
N
N
N
N
N
N
VIAD CORP
549300PXU4ZW7LPO5Y40
VIAD CORP INITIAL TERM LOAN
92553BAL7
6252750.000000
PA
USD
5877585.000000
0.1994522
Long
LON
CORP
US
N
3
2028-07-30
Floating
6.6661
N
N
N
N
N
N
VIKING CRUISES LTD
549300IJP90T4MV2GL84
VIKING CRUISES LTD SR SECURED 144A 05/25 13
92676XAE7
26287000.000000
PA
USD
26974924.220000
0.9153775
Long
DBT
CORP
BM
N
2
2025-05-15
Fixed
13
N
N
N
N
N
N
VIKING OCEAN CRUISES SHIP VII LTD
N/A
VIKING OCEAN CRUISES SHI SR SECURED 144A 02/29 5.625
92682RAA0
400000.000000
PA
USD
315909.760000
0.0107202
Long
DBT
CORP
BM
N
2
2029-02-15
Fixed
5.625
N
N
N
N
N
N
VNET GROUP INC
529900672GYJQ3T38I58
VNET GROUP INC SR UNSECURED 02/26 0.00000
90138VAB3
9000000.000000
PA
USD
7414200.000000
0.2515963
Long
DBT
CORP
KY
N
2
2026-02-01
None
0
N
N
N
Y
N
VNET GROUP INC
VNET GROUP INC-ADR
USD
XXXX
N
N
N
VOYAGER AVIATION HOLDINGS LLC
549300KHOKL1CX4NIJ92
VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5
92918XAA3
22311000.000000
PA
USD
19968345.000000
0.6776135
Long
DBT
CORP
US
N
2
2026-05-09
Fixed
8.5
N
N
N
N
N
N
WAIKIKI BEACH HOTEL TRUST 2019-WBM
N/A
WAIKIKI BEACH HOTEL TRUST WBHT 2019 WBM E 144A
93065PAJ0
15000000.000000
PA
USD
13822447.500000
0.4690563
Long
ABS-MBS
CORP
US
N
2
2033-12-15
Floating
4.004
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR5
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR5 B1
92922FM39
459725.040000
PA
USD
318229.580000
0.0107989
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
3.31006
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR6
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 B1
92922FJ74
12076623.810000
PA
USD
9081859.010000
0.3081873
Long
ABS-MBS
CORP
US
N
2
2045-04-25
Floating
2.52357
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR8
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 B1
92922FS74
7547041.650000
PA
USD
6235360.530000
0.2115931
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
2.62857
Y
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR9
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A1B
93363DAC1
8037474.750000
PA
USD
6590932.640000
0.2236593
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
1.723
N
N
N
N
N
N
WASHINGTON MUTUAL 2007-OA4
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A1B
93364CAB4
1844867.830000
PA
USD
990102.560000
0.0335985
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
1.2459
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2019 JWDR E 144A
95002NAN7
11000000.000000
PA
USD
9671267.100000
0.3281885
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
3.98898
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-JS2
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 JS2 G 144A
95003GAQ4
7935000.000000
PA
USD
5260380.500000
0.1785078
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
3.56903
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL C 144A
95003WAG1
7835000.000000
PA
USD
7291047.290000
0.2474172
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
5.09192
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL D 144A
95003WAJ5
3700000.000000
PA
USD
3318471.540000
0.1126103
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
5.09192
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL X 144A
95003WAC0
355000000.000000
PA
USD
5474632.500000
0.1857783
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
0.490968
N
N
N
N
N
N
WELLS FARGO HOME EQUITY TRUST 2005-3
N/A
WELLS FARGO HOME EQUITY TRUST WFHET 2005 3 M9 144A
9497ENAJ2
250000.000000
PA
USD
234281.000000
0.0079502
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
4.17357
N
N
N
N
N
N
WELLS FARGO MORTGAGE BACKED SECURITIES 2005-AR14
N/A
WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 AR14 B1
94982DAH9
1136643.880000
PA
USD
813240.510000
0.0275968
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.8077
N
N
N
N
N
N
WEST MARINE (RISING TIDE HOLDINGS INC)
254900T03WM6VU0KWL83
RISING TIDE HOLDINGS INC 2ND LIEN TERM LOAN
76770EAF4
2779000.000000
PA
USD
2473310.000000
0.0839303
Long
LON
CORP
US
N
2
2029-05-25
Floating
9.9161
N
N
N
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND COAL CO PIK TERM LOAN
96106JAE9
7939339.980000
PA
USD
4763603.990000
0.1616500
Long
LON
CORP
US
N
2
2029-03-15
Fixed
15
N
N
Y
N
N
N
WHLN - SV PORTFOLIO
N/A
PREYLOCK REITMAN SANTA CRUZ TERM LOAN
933BWMII7
7900000.000000
PA
USD
7830575.590000
0.2657258
Long
LON
CORP
US
Y
3
2022-11-09
Floating
6.819
N
N
N
N
N
N
WHLN LOAN
N/A
FOREST PARK II WHLN0ERP1
938SYJII0
364936.430000
PA
USD
377265.840000
0.0128023
Long
LON
CORP
US
N
3
2024-12-11
Fixed
5.78
N
N
N
N
N
N
WHLN LOAN
N/A
MONTGOMERY PLAZA APARTMENTS FIXED TERM LOAN
938XCWII4
410980.220000
PA
USD
425414.910000
0.0144362
Long
LON
CORP
US
N
3
2024-11-11
Fixed
5.9
N
N
N
N
N
N
WHLN LOAN
N/A
PARK SPRINGS APARTMENTS WHLN0PSA8
938SYDII3
1683865.820000
PA
USD
1699483.680000
0.0576709
Long
LON
CORP
US
N
3
2023-02-01
Fixed
7
N
N
N
N
N
N
WHLN LOAN
N/A
STILLWATER PARTNERS LLC FIXED TERM LOAN
938XBDII7
377589.390000
PA
USD
377622.350000
0.0128144
Long
LON
CORP
US
N
3
2024-05-01
Fixed
5.52
N
N
N
N
N
N
WHLN LOAN
N/A
WALGREENS AUBURN FIXED TERM LOAN
938XCUII8
1011647.600000
PA
USD
1036115.310000
0.0351599
Long
LON
CORP
US
N
3
2025-03-01
Fixed
5.89
N
N
N
N
N
N
WHLN LOAN
N/A
WALGREENS MAGNOLIA WHLN0MAG1
938SYFII8
655785.580000
PA
USD
715632.830000
0.0242846
Long
LON
CORP
US
N
3
2030-03-06
Fixed
6
N
N
N
N
N
N
WHLN-2018-TOCU4
N/A
WHLN92622 WHLN RTL PFLX
964EJZII9
6454725.530000
PA
USD
6383547.210000
0.2166218
Long
LON
CORP
US
Y
3
2023-06-01
Fixed
8
N
N
N
N
N
N
WINDSTREAM SERVICES II LLC
549300KT9GVEBYCD2N29
WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B
97381JAE3
6990961.080000
PA
USD
6571503.420000
0.2229999
Long
LON
CORP
US
N
2
2027-09-21
Floating
7.25
N
N
N
N
N
N
WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)
549300L3SXBFJVGRCF66
WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75
97382WAA1
29771000.000000
PA
USD
24048120.670000
0.8160582
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
7.75
N
N
N
N
N
N
WOLVERINE ESCROW LLC
N/A
WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5
950814AA1
110877053.000000
PA
USD
105225218.300000
3.5707532
Long
DBT
CORP
US
N
3
2026-11-15
Fixed
10.5
N
N
Y
N
N
N
WORLDWIDE PLAZA TRUST 2017-WWP
N/A
WORLDWIDE PLAZA TRUST WPT 2017 WWP E 144A
98162JAN6
10000000.000000
PA
USD
8106727.000000
0.2750968
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.71539
N
N
N
N
N
N
WORLDWIDE PLAZA TRUST 2017-WWP
N/A
WORLDWIDE PLAZA TRUST WPT 2017 WWP F 144A
98162JAQ9
2465000.000000
PA
USD
1900506.370000
0.0644925
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.71539
N
N
N
N
N
N
WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP
N/A
WYNN LAS VEGAS LLC/CORP COMPANY GUAR 144A 03/25 5.5
983130AV7
4800000.000000
PA
USD
4401504.000000
0.1493623
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.5
N
N
N
N
N
N
WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP
N/A
WYNN LAS VEGAS LLC/CORP COMPANY GUAR 144A 05/27 5.25
983130AX3
3740000.000000
PA
USD
3208302.900000
0.1088718
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.25
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED 144A 01/26 5.5
98313RAG1
3400000.000000
PA
USD
2359940.000000
0.0800831
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
5.5
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED 144A 08/28 5.625
98313RAH9
6900000.000000
PA
USD
4269616.500000
0.1448868
Long
DBT
CORP
KY
N
2
2028-08-26
Fixed
5.625
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED 144A 10/27 5.5
98313RAD8
400000.000000
PA
USD
259454.000000
0.0088044
Long
DBT
CORP
KY
N
2
2027-10-01
Fixed
5.5
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED 144A 12/29 5.125
98313RAE6
400000.000000
PA
USD
248908.000000
0.0084465
Long
DBT
CORP
KY
N
2
2029-12-15
Fixed
5.125
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED REGS 01/26 5.5
G98149AG5
2200000.000000
PA
USD
1527020.000000
0.0518185
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
5.5
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LTD SR UNSECURED REGS 08/28 5.625
G98149AH3
200000.000000
PA
USD
123757.000000
0.0041996
Long
DBT
CORP
KY
N
2
2028-08-26
Fixed
5.625
N
N
N
N
N
N
YAHOO (AKA: AP CORE HOLDINGS II LLC)
549300PND8ZZ4RWYRZ56
AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1
00187GAC3
9976717.240000
PA
USD
9411366.600000
0.3193689
Long
LON
CORP
US
N
2
2027-09-01
Floating
7.1661
N
N
N
N
N
N
YAHOO (AKA: AP CORE HOLDINGS II LLC)
549300PND8ZZ4RWYRZ56
AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2
00187GAD1
8972000.000000
PA
USD
8474798.680000
0.2875871
Long
LON
CORP
US
N
2
2027-09-01
Floating
7.1661
N
N
N
N
N
N
YOSEMITE RE LTD
N/A
YOSEMITE RE LTD UNSECURED 144A 06/25 VAR
98740RAA7
3730000.000000
PA
USD
3736154.500000
0.1267841
Long
DBT
CORP
BM
N
2
2025-06-06
Floating
11.3044
N
N
N
N
N
N
N/A
N/A
BARCLAYS REV REPO EUR
000000000
-7643942.000000
PA
-8005283.680000
-0.2716544
Short
RA
GB
N
2
Reverse repurchase
N
-0.3500000
2022-07-27
11900000.000000
EUR
6953549.680000
EUR
N
N
N
N/A
N/A
BARCLAYS REV REPO EUR
000000000
-441100.000000
PA
-463977.150000
-0.0157448
Short
RA
GB
N
2
Reverse repurchase
N
-1.0000000
2024-02-18
500000.000000
EUR
349800.000000
EUR
CDS
N
N
N
N/A
N/A
BARCLAYS REV REPO EUR
000000000
-5800185.000000
PA
-6076475.860000
-0.2062015
Short
RA
GB
N
2
Reverse repurchase
N
-0.3400000
2024-05-29
7020000.000000
EUR
6236350.380000
EUR
CDS
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-20998803.680000
PA
USD
-21041297.090000
-0.7140235
Short
RA
US
N
2
Reverse repurchase
N
2.3500000
2022-08-26
55498923.770000
USD
28122737.510000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-3713372.550000
PA
USD
-3727260.560000
-0.1264823
Short
RA
US
N
2
Reverse repurchase
N
2.0400000
2022-08-01
5325770.000000
USD
4780274.010000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-33476791.250000
PA
USD
-33603259.100000
-1.1403060
Short
RA
US
N
2
Reverse repurchase
N
1.6000000
2022-07-07
46264964.320000
USD
39169244.000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-14644726.430000
PA
USD
-14684999.430000
-0.4983264
Short
RA
US
N
2
Reverse repurchase
N
1.6500000
2022-08-02
18593000.000000
USD
15436725.130000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-75752443.460000
PA
USD
-75953026.350000
-2.5774193
Short
RA
US
N
2
Reverse repurchase
N
1.8300000
2022-08-12
95274358.270000
USD
78934376.820000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-3181092.000000
PA
USD
-3186140.220000
-0.1081197
Short
RA
US
N
2
Reverse repurchase
N
1.9700000
2022-09-01
4051000.000000
USD
3584834.230000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-3473762.500000
PA
USD
-3486594.180000
-0.1183154
Short
RA
US
N
2
Reverse repurchase
N
1.2200000
2022-09-14
4100000.000000
USD
3595472.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-23784278.000000
PA
USD
-23880643.960000
-0.8103750
Short
RA
US
N
2
Reverse repurchase
N
1.4300000
2022-09-22
26884687.500000
USD
23979094.830000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-5105658.740000
PA
USD
-5125797.740000
-0.1739408
Short
RA
US
N
2
Reverse repurchase
N
1.4200000
2022-09-23
5790850.700000
USD
5356818.440000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-10804839.000000
PA
USD
-10841600.400000
-0.3679031
Short
RA
US
N
2
Reverse repurchase
N
1.6500000
2022-10-14
11471000.000000
USD
10916762.890000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-18203225.000000
PA
USD
-18266460.980000
-0.6198611
Short
RA
US
N
2
Reverse repurchase
N
1.6900000
2022-10-17
24136000.000000
USD
16729385.680000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-13765783.530000
PA
USD
-13812301.600000
-0.4687120
Short
RA
US
N
2
Reverse repurchase
N
1.9900000
2022-10-27
15254000.000000
USD
14506621.960000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-15004025.000000
PA
USD
-15056038.960000
-0.5109174
Short
RA
US
N
2
Reverse repurchase
N
1.9500000
2022-10-28
21207000.000000
USD
11945914.490000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-2320342.000000
PA
USD
-2328057.140000
-0.0790012
Short
RA
US
N
2
Reverse repurchase
N
1.9000000
2022-10-31
3011700.000000
USD
2408820.210000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-6106868.560000
PA
USD
-6128670.080000
-0.2079727
Short
RA
US
N
2
Reverse repurchase
N
2.0400000
2022-10-31
7689080.000000
USD
6423804.140000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO MERRILL LYNCH
000000000
-3358545.000000
PA
USD
-3368011.430000
-0.1142914
Short
RA
US
N
2
Reverse repurchase
N
1.3900000
2022-07-20
4148000.000000
USD
3650856.920000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-4197023.000000
PA
USD
-4197023.000000
-0.1424234
Short
RA
US
N
2
Reverse repurchase
N
0.6500000
2022-07-01
4700000.000000
USD
3870614.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-16387075.000000
PA
USD
-16416237.080000
-0.5570749
Short
RA
US
N
2
Reverse repurchase
N
1.0800000
2022-07-06
19500000.000000
USD
16535334.760000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-2852120.890000
PA
USD
-2859217.130000
-0.0970258
Short
RA
US
N
2
Reverse repurchase
N
0.5300000
2022-07-14
2903000.000000
USD
2196091.690000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-20914046.000000
PA
USD
-20919656.570000
-0.7098957
Short
RA
US
N
2
Reverse repurchase
N
0.6500000
2022-07-14
22752000.000000
USD
19402180.320000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-5836902.360000
PA
USD
-5850035.400000
-0.1985174
Short
RA
US
N
2
Reverse repurchase
N
1.3500000
2022-08-02
7212800.000000
USD
5526865.060000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-845685.150000
PA
USD
-848102.140000
-0.0287798
Short
RA
US
N
2
Reverse repurchase
N
0.8000000
2022-08-05
1019000.000000
USD
679735.450000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-7202857.950000
PA
USD
-7218552.180000
-0.2449571
Short
RA
US
N
2
Reverse repurchase
N
1.4800000
2022-08-09
8454000.000000
USD
7128103.840000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-50692929.190000
PA
USD
-50811001.480000
-1.7242401
Short
RA
US
N
2
Reverse repurchase
N
2.1500000
2022-08-23
88754635.030000
USD
68886757.150000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-8049103.050000
PA
USD
-8059611.600000
-0.2734980
Short
RA
US
N
2
Reverse repurchase
N
1.8800000
2022-09-06
9720000.000000
USD
8574658.540000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-4575027.530000
PA
USD
-4580334.560000
-0.1554308
Short
RA
US
N
2
Reverse repurchase
N
1.7400000
2022-09-07
5852000.000000
USD
4455937.220000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-8477819.270000
PA
USD
-8488327.060000
-0.2880462
Short
RA
US
N
2
Reverse repurchase
N
1.9400000
2022-09-07
9627993.000000
USD
8666019.020000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-981963.510000
PA
USD
-985741.620000
-0.0334505
Short
RA
US
N
2
Reverse repurchase
N
1.7100000
2022-10-11
1112000.000000
USD
1009261.670000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-3105044.920000
PA
USD
-3116405.930000
-0.1057533
Short
RA
US
N
2
Reverse repurchase
N
1.7800000
2022-10-14
3900000.000000
USD
2822605.260000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATIXIS
000000000
-3001744.000000
PA
-3145493.290000
-0.1067404
Short
RA
N/A
N
2
Reverse repurchase
N
-0.3000000
2022-07-25
3700000.000000
EUR
2948900.000000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-9715893.000000
PA
USD
-9742069.240000
-0.3305911
Short
RA
US
N
2
Reverse repurchase
N
1.8300000
2022-08-12
12000000.000000
USD
11070000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-5885926.000000
PA
USD
-5895266.640000
-0.2000523
Short
RA
US
N
2
Reverse repurchase
N
1.9700000
2022-09-01
7700000.000000
USD
6535625.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-1730492.000000
PA
USD
-1736503.540000
-0.0589272
Short
RA
US
N
2
Reverse repurchase
N
1.6900000
2022-10-17
2000000.000000
USD
1845000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-1686304.000000
PA
USD
-1692149.850000
-0.0574221
Short
RA
US
N
2
Reverse repurchase
N
1.9500000
2022-10-28
9287745.000000
USD
2234863.640000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-1037609.000000
PA
USD
-1041059.050000
-0.0353277
Short
RA
US
N
2
Reverse repurchase
N
1.9000000
2022-10-31
1400000.000000
USD
1078000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-21475822.190000
PA
USD
-21522309.760000
-0.7303464
Short
RA
US
N
2
Reverse repurchase
N
0.5500000
2022-07-05
24053000.000000
USD
21754839.120000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-2265444.000000
PA
USD
-2272822.420000
-0.0771268
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-06
2600673.220000
USD
2511137.020000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1299018.630000
PA
USD
-1299357.100000
-0.0440929
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-08
1718000.000000
USD
1502353.430000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1068143.000000
PA
USD
-1071035.890000
-0.0363449
Short
RA
US
N
2
Reverse repurchase
N
1.5000000
2022-08-01
1600000.000000
USD
929492.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1217700.000000
PA
USD
-1220853.160000
-0.0414289
Short
RA
US
N
2
Reverse repurchase
N
1.5800000
2022-08-03
2200000.000000
USD
1152530.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1997625.000000
PA
USD
-2002838.800000
-0.0679651
Short
RA
US
N
2
Reverse repurchase
N
1.6200000
2022-08-04
2300000.000000
USD
2170744.600000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-20200239.710000
PA
USD
-20263084.910000
-0.6876153
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2022-08-05
27551992.460000
USD
25687672.900000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-9857984.960000
PA
USD
-9882221.910000
-0.3353471
Short
RA
US
N
2
Reverse repurchase
N
1.6700000
2022-08-09
12000000.000000
USD
9825990.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-35677497.010000
PA
USD
-35778583.250000
-1.2141243
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2022-08-09
50782000.000000
USD
45496917.560000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-14102981.900000
PA
USD
-14143939.310000
-0.4799659
Short
RA
US
N
2
Reverse repurchase
N
2.0500000
2022-08-09
21628000.000000
USD
17883817.900000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-9496920.000000
PA
USD
-9520269.230000
-0.3230645
Short
RA
US
N
2
Reverse repurchase
N
1.6700000
2022-08-09
12000000.000000
USD
11070000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-11558836.900000
PA
USD
-11576257.410000
-0.3928332
Short
RA
US
N
2
Reverse repurchase
N
1.7200000
2022-08-12
15722153.000000
USD
12410815.360000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-5633171.460000
PA
USD
-5641793.350000
-0.1914508
Short
RA
US
N
2
Reverse repurchase
N
1.9000000
2022-08-31
6211000.000000
USD
6090338.080000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-5791133.920000
PA
USD
-5801416.510000
-0.1968675
Short
RA
US
N
2
Reverse repurchase
N
2.2828800
2022-09-07
8922000.000000
USD
7469236.110000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-56358582.690000
PA
USD
-56376675.230000
-1.9131079
Short
RA
US
N
2
Reverse repurchase
N
2.8892300
2022-09-23
90900352.900000
USD
75047252.380000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-19119678.750000
PA
USD
-19119678.750000
-0.6488146
Short
RA
US
N
2
Reverse repurchase
N
2.6800000
2022-10-06
24053000.000000
USD
21754839.120000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-434741.980000
PA
USD
-435053.060000
-0.0147633
Short
RA
US
N
2
Reverse repurchase
N
1.8400000
2024-06-16
591589.420000
USD
501578.760000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-216529.000000
PA
USD
-216684.780000
-0.0073531
Short
RA
US
N
2
Reverse repurchase
N
1.8500000
2024-06-16
292000.000000
USD
237016.190000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-235663.000000
PA
USD
-235832.550000
-0.0080028
Short
RA
US
N
2
Reverse repurchase
N
1.8500000
2024-06-16
400000.000000
USD
266550.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO UBS AG LONDON
000000000
-8998797.000000
PA
USD
-9007353.810000
-0.3056590
Short
RA
US
N
2
Reverse repurchase
N
1.5300000
2022-07-25
10500000.000000
USD
10605000.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-5790943.870000
PA
USD
-5812563.400000
-0.1972458
Short
RA
US
N
2
Reverse repurchase
N
1.6000000
2022-07-08
8395714.190000
USD
6884698.050000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-21617359.000000
PA
USD
-21674645.420000
-0.7355158
Short
RA
US
N
2
Reverse repurchase
N
1.5300000
2022-07-25
28844000.000000
USD
19994114.600000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-20342955.940000
PA
USD
-20397362.050000
-0.6921720
Short
RA
US
N
2
Reverse repurchase
N
1.6600000
2022-08-04
28600000.000000
USD
25919376.800000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-5011084.000000
PA
USD
-5024492.830000
-0.1705031
Short
RA
US
N
2
Reverse repurchase
N
1.6900000
2022-08-05
5952000.000000
USD
5467987.640000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-28313448.950000
PA
USD
-28317695.970000
-0.9609436
Short
RA
US
N
2
Reverse repurchase
N
2.7000000
2022-09-29
35000000.000000
USD
32820302.750000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-31381496.390000
PA
USD
-31404073.620000
-1.0656780
Short
RA
US
N
2
Reverse repurchase
N
1.8500000
2024-06-16
40852000.000000
USD
34011451.650000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO STANDARD CHARTERE VAR 1
000000000
-688340.630000
PA
USD
-688477.720000
-0.0233631
Short
RA
US
N
2
Reverse repurchase
N
2.3900000
2022-09-23
1050000.000000
USD
771172.500000
USD
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-3732770.000000
PA
-3911465.490000
-0.1327332
Short
RA
LU
N
2
Reverse repurchase
N
-0.0520000
2022-08-17
4781720.580000
EUR
4280651.730000
EUR
ABS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO EUR ZCP
000000000
-2345121.000000
PA
-2453460.110000
-0.0832567
Short
RA
LU
N
2
Reverse repurchase
N
-0.4100000
2022-08-08
2700000.000000
EUR
2031628.500000
EUR
CDS
N
N
N
N/A
N/A
HSBC REVERSE REPO EUR ZCP
000000000
-6387852.000000
PA
-6682046.290000
-0.2267511
Short
RA
LU
N
2
Reverse repurchase
N
-0.4500000
2024-02-11
7170000.000000
EUR
6369605.730000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-293183.660000
PA
-306895.580000
-0.0104143
Short
RA
LU
N
2
Reverse repurchase
N
-0.6000000
2022-07-25
300000.000000
EUR
282555.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-4619089.000000
PA
-4837393.370000
-0.1641540
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-07-25
5300000.000000
EUR
4531563.600000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-11430053.000000
PA
-11970873.930000
-0.4062243
Short
RA
LU
N
2
Reverse repurchase
N
-0.3600000
2022-07-29
11860000.000000
EUR
11549030.800000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-22381033.000000
PA
-23439964.550000
-0.7954208
Short
RA
LU
N
2
Reverse repurchase
N
-0.3800000
2022-08-04
23400000.000000
EUR
22786452.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-12232851.000000
PA
-12811941.690000
-0.4347654
Short
RA
LU
N
2
Reverse repurchase
N
-0.4000000
2022-08-09
15510000.000000
EUR
13760472.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-384043.000000
PA
-402234.940000
-0.0136496
Short
RA
LU
N
2
Reverse repurchase
N
-0.3800000
2022-08-09
400000.000000
EUR
392400.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-3722117.000000
PA
-3898604.280000
-0.1322967
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2022-08-09
3880000.000000
EUR
3806280.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-1579032.000000
PA
-1653563.730000
-0.0561127
Short
RA
LU
N
2
Reverse repurchase
N
-0.5000000
2022-08-17
3200000.000000
EUR
832480.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-978650.000000
PA
-990497.650000
-0.0336119
Short
RA
LU
N
2
Reverse repurchase
N
-5.0000000
2023-11-09
1200000.000000
EUR
713172.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-8735076.000000
PA
-9119077.040000
-0.3094503
Short
RA
LU
N
2
Reverse repurchase
N
-1.0000000
2024-02-18
9900000.000000
EUR
6926040.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-1620477.000000
PA
-1684825.870000
-0.0571735
Short
RA
LU
N
2
Reverse repurchase
N
-5.5000000
2024-05-10
2600000.000000
EUR
1545206.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-3930128.000000
PA
-4098673.330000
-0.1390860
Short
RA
LU
N
2
Reverse repurchase
N
-4.0000000
2024-05-18
5760000.000000
EUR
3689280.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-366331.000000
PA
-382505.090000
-0.0129801
Short
RA
LU
N
2
Reverse repurchase
N
-3.0000000
2024-05-18
500000.000000
EUR
331050.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-6388630.000000
PA
-6694180.140000
-0.2271629
Short
RA
LU
N
2
Reverse repurchase
N
-0.6000000
2024-06-23
7100000.000000
EUR
6299120.000000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-3793005.000000
PA
-3974554.660000
-0.1348741
Short
RA
LU
N
2
Reverse repurchase
N
-0.5000000
2024-06-23
4700000.000000
EUR
3519204.900000
EUR
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO EUR ZCP
000000000
-26180386.000000
PA
-27433323.880000
-0.9309330
Short
RA
LU
N
2
Reverse repurchase
N
-0.4500000
2024-06-23
34141000.000000
EUR
28909425.290000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-6153381.670000
PA
-6444803.090000
-0.2187004
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2022-07-25
6900000.000000
EUR
5899582.800000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-1821472.000000
PA
-1907784.920000
-0.0647395
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2022-07-28
2000000.000000
EUR
1710024.000000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-10721698.000000
PA
-11229380.450000
-0.3810621
Short
RA
LU
N
2
Reverse repurchase
N
-0.3400000
2022-07-29
11000000.000000
EUR
10711580.000000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-671073.000000
PA
-703127.930000
-0.0238602
Short
RA
LU
N
2
Reverse repurchase
N
-0.1200000
2022-08-09
3300000.000000
EUR
825000.000000
EUR
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-9709543.000000
PA
-10170266.250000
-0.3451217
Short
RA
LU
N
2
Reverse repurchase
N
-0.3400000
2022-08-12
10344000.000000
EUR
10072780.320000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-364257.000000
PA
-381586.690000
-0.0129489
Short
RA
LU
N
2
Reverse repurchase
N
-0.2500000
2022-08-17
500000.000000
EUR
346684.500000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-1297172.000000
PA
-1350545.620000
-0.0458299
Short
RA
LU
N
2
Reverse repurchase
N
-5.5000000
2024-05-19
2000000.000000
EUR
1188620.000000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-4177105.000000
PA
-4376021.420000
-0.1484976
Short
RA
LU
N
2
Reverse repurchase
N
-0.3500000
2024-05-29
4660000.000000
EUR
4311939.940000
EUR
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-4211657.000000
PA
-4412416.940000
-0.1497327
Short
RA
LU
N
2
Reverse repurchase
N
-0.3000000
2024-05-29
5200000.000000
EUR
4355176.800000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-2266604.000000
PA
-2372381.470000
-0.0805053
Short
RA
N/A
N
2
Reverse repurchase
N
-0.3000000
2022-08-08
2400000.000000
EUR
2052028.800000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-3321900.000000
PA
-3479685.300000
-0.1180810
Short
RA
N/A
N
2
Reverse repurchase
N
-0.2900000
2022-08-08
4100000.000000
EUR
3396005.400000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-1850756.000000
PA
-1933779.090000
-0.0656216
Short
RA
N/A
N
2
Reverse repurchase
N
-3.0000000
2024-05-26
2800000.000000
EUR
1793400.000000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-1865998.000000
PA
-1953550.020000
-0.0662925
Short
RA
N/A
N
2
Reverse repurchase
N
-1.0000000
2024-05-26
3000000.000000
EUR
1782930.000000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-1171819.000000
PA
-1227939.750000
-0.0416694
Short
RA
N/A
N
2
Reverse repurchase
N
-2.0000000
2024-06-29
1740000.000000
EUR
1114470.000000
EUR
CDS
N
N
N
N/A
N/A
REV REPO STANDARD CHARTERED BA ZCP
000000000
-4662444.000000
PA
-4882802.590000
-0.1656949
Short
RA
LU
N
2
Reverse repurchase
N
-0.3200000
2022-07-19
5800000.000000
EUR
4188677.520000
EUR
N
N
N
N/A
N/A
REV REPO STANDARD CHARTERED BA ZCP
000000000
-1400336.000000
PA
-1466705.840000
-0.0497718
Short
RA
LU
N
2
Reverse repurchase
N
-0.3700000
2022-08-17
2000000.000000
EUR
1346817.360000
EUR
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-10312910.470000
PA
USD
-10340342.820000
-0.3508932
Short
RA
US
N
2
Reverse repurchase
N
2.2800000
2022-08-22
16126338.710000
USD
12361966.700000
USD
PLCMO
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-8726184.720000
PA
USD
-8747697.200000
-0.2968477
Short
RA
US
N
2
Reverse repurchase
N
1.2500000
2023-01-17
12404048.870000
USD
11341018.950000
USD
PLCMO
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-13847950.980000
PA
USD
-13885109.650000
-0.4711827
Short
RA
US
N
2
Reverse repurchase
N
2.1000000
2022-08-16
21892000.000000
USD
15682960.310000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-5763958.800000
PA
USD
-5765097.180000
-0.1956350
Short
RA
US
N
2
Reverse repurchase
N
2.3700000
2022-07-28
7395000.000000
USD
7276885.580000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-17168975.000000
PA
USD
-17187803.650000
-0.5832576
Short
RA
US
N
2
Reverse repurchase
N
1.8800000
2022-09-12
22509000.000000
USD
17339033.850000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-503168.940000
PA
USD
-503292.490000
-0.0170789
Short
RA
US
N
2
Reverse repurchase
N
2.2100000
2022-09-15
690000.000000
USD
532767.930000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-4759920.000000
PA
USD
-4786268.800000
-0.1624191
Short
RA
US
N
2
Reverse repurchase
N
1.8800000
2022-09-16
6611000.000000
USD
6374451.150000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-2192601.400000
PA
USD
-2201664.150000
-0.0747121
Short
RA
US
N
2
Reverse repurchase
N
0.9600000
2022-08-01
2750000.000000
USD
2581303.730000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-5078857.800000
PA
USD
-5096456.040000
-0.1729451
Short
RA
US
N
2
Reverse repurchase
N
1.8900000
2022-08-01
7500000.000000
USD
6080045.250000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-6056411.200000
PA
USD
-6063392.900000
-0.2057575
Short
RA
US
N
2
Reverse repurchase
N
1.6600000
2022-09-01
7654000.000000
USD
7376631.290000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-1669470.220000
PA
USD
-1677657.120000
-0.0569303
Short
RA
US
N
2
Reverse repurchase
N
1.9400000
2022-10-03
2761643.400000
USD
2170532.960000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-988452.820000
PA
USD
-991451.130000
-0.0336443
Short
RA
US
N
2
Reverse repurchase
N
1.9500000
2022-08-08
1185000.000000
USD
1151714.300000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-9254341.510000
PA
USD
-9285292.140000
-0.3150907
Short
RA
US
N
2
Reverse repurchase
N
2.1500000
2022-08-08
11700000.000000
USD
10552535.370000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-5984743.750000
PA
USD
-6004453.510000
-0.2037574
Short
RA
US
N
2
Reverse repurchase
N
1.5200000
2022-07-14
7500000.000000
USD
6978179.250000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-16536051.110000
PA
USD
-16594092.660000
-0.5631103
Short
RA
US
N
2
Reverse repurchase
N
1.6200000
2022-07-14
23919500.000000
USD
21090185.120000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-10897957.000000
PA
USD
-10906009.380000
-0.3700887
Short
RA
US
N
2
Reverse repurchase
N
1.9000000
2022-07-29
49300000.000000
PEN
44681496.630000
PEN
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-3220670.000000
PA
USD
-3223112.350000
-0.1093743
Short
RA
US
N
2
Reverse repurchase
N
1.9500000
2022-07-29
498410000.000000
ARS
453587379.020000
ARS
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-5630725.000000
PA
USD
-5635104.460000
-0.1912238
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2022-07-29
19248899.000000
USD
5813144.980000
USD
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-438608.000000
PA
USD
-438932.080000
-0.0148949
Short
RA
US
N
2
Reverse repurchase
N
1.9000000
2022-07-29
2040000.000000
PEN
1805256.000000
PEN
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-14820570.000000
PA
USD
-14832097.110000
-0.5033181
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2022-07-29
55765932.000000
USD
15457116.270000
USD
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-3708288.160000
PA
USD
-3719165.810000
-0.1262076
Short
RA
US
N
2
Reverse repurchase
N
1.7600000
2022-08-02
4500000.000000
USD
4299660.450000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-950911.150000
PA
USD
-953618.080000
-0.0323604
Short
RA
US
N
2
Reverse repurchase
N
1.8300000
2022-08-05
1156000.000000
USD
1123383.110000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-3219462.470000
PA
USD
-3227824.130000
-0.1095342
Short
RA
US
N
2
Reverse repurchase
N
1.8700000
2022-08-12
3792571.180000
USD
3765947.330000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-18429423.210000
PA
USD
-18465447.620000
-0.6266136
Short
RA
US
N
2
Reverse repurchase
N
2.2700000
2022-08-29
50782378.580000
USD
25791622.900000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-4391444.490000
PA
USD
-4395980.720000
-0.1491749
Short
RA
US
N
2
Reverse repurchase
N
2.1900000
2022-09-02
6300000.000000
USD
5845549.570000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-13440000.000000
PA
USD
-13461728.000000
-0.4568155
Short
RA
US
N
2
Reverse repurchase
N
1.9400000
2022-07-01
20000000.000000
USD
18980522.200000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-14678083.470000
PA
USD
-14744004.370000
-0.5003287
Short
RA
US
N
2
Reverse repurchase
N
0.9400000
2022-07-11
18304771.170000
USD
17649096.100000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-13066200.000000
PA
USD
-13066200.000000
-0.4433935
Short
RA
US
N
2
Reverse repurchase
N
2.7000000
2022-07-29
20000000.000000
USD
18980522.200000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-4658800.000000
PA
USD
-4669683.470000
-0.1584628
Short
RA
US
N
2
Reverse repurchase
N
1.4500000
2022-08-04
5300000.000000
USD
4498139.200000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-9956960.800000
PA
USD
-9984336.910000
-0.3388123
Short
RA
US
N
2
Reverse repurchase
N
2.0200000
2022-08-12
13555000.000000
USD
12275465.610000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-8270827.410000
PA
USD
-8274719.300000
-0.2807975
Short
RA
US
N
2
Reverse repurchase
N
2.4200000
2022-09-26
11344085.600000
USD
8453344.140000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-3418317.300000
PA
USD
-3428486.800000
-0.1163436
Short
RA
US
N
2
Reverse repurchase
N
2.1000000
2022-08-09
6000000.000000
USD
4320684.000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-7164404.320000
PA
USD
-7182581.100000
-0.2437365
Short
RA
US
N
2
Reverse repurchase
N
2.1240800
2022-08-19
8955505.400000
USD
8543982.910000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-9199910.760000
PA
USD
-9219237.730000
-0.3128492
Short
RA
US
N
2
Reverse repurchase
N
2.1608000
2022-08-26
15339000.000000
USD
11233079.490000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-2111076.750000
PA
USD
-2114907.220000
-0.0717681
Short
RA
US
N
2
Reverse repurchase
N
2.3328800
2022-09-07
2929000.000000
USD
2746511.580000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-2983728.920000
PA
USD
-2997155.700000
-0.1017066
Short
RA
US
N
2
Reverse repurchase
N
1.0000000
2022-07-19
7129579.250000
USD
3473776.270000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-2223641.970000
PA
USD
-2235427.270000
-0.0758579
Short
RA
US
N
2
Reverse repurchase
N
1.8000000
2022-09-16
3098348.000000
USD
2725832.690000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-12196800.000000
PA
USD
-12219103.200000
-0.4146478
Short
RA
US
N
2
Reverse repurchase
N
2.2700000
2022-09-02
26400000.000000
USD
17678984.400000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-9573540.000000
PA
USD
-9591817.480000
-0.3254924
Short
RA
US
N
2
Reverse repurchase
N
2.3700000
2022-09-02
18950000.000000
USD
15939851.240000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079
000000000
-7894541.030000
PA
USD
-7908468.310000
-0.2683690
Short
RA
US
N
2
Reverse repurchase
N
2.1900000
2022-09-01
10067513.040000
USD
9891257.060000
USD
PLCMO
N
N
N
N/A
N/A
HSBC REPO
000000000
138800000.000000
PA
USD
138800000.000000
4.7100928
Long
RA
US
N
2
Repurchase
N
1.4900000
2022-07-01
164486200.000000
USD
143209118.120000
USD
UST
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO GBP ZCP
000000000
-828889.000000
PA
-1011105.530000
-0.0343112
Short
RA
GB
N
2
Reverse repurchase
N
1.6200000
2022-08-11
1000000.000000
GBP
1001302.900000
GBP
ABS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO GBP ZCP
000000000
-1563240.000000
PA
-1907012.780000
-0.0647133
Short
RA
GB
N
2
Reverse repurchase
N
1.6700000
2022-08-11
1942211.800000
GBP
1860624.140000
GBP
ABS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO GBP ZCP
000000000
-3646549.000000
PA
-4448788.990000
-0.1509669
Short
RA
GB
N
2
Reverse repurchase
N
1.5600000
2022-08-17
4150000.000000
GBP
4101498.120000
GBP
ABS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO GBP ZCP
000000000
-1743675.000000
PA
-2127735.710000
-0.0722034
Short
RA
GB
N
2
Reverse repurchase
N
1.7100000
2022-08-17
2035000.000000
GBP
2033934.270000
GBP
ABS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO GBP ZCP
000000000
-969475.000000
PA
-1183094.800000
-0.0401476
Short
RA
GB
N
2
Reverse repurchase
N
1.7600000
2022-08-17
1131000.000000
GBP
1128861.840000
GBP
ABS
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO GBP ZCP
000000000
-3055376.000000
PA
-3725364.170000
-0.1264179
Short
RA
GB
N
2
Reverse repurchase
N
1.9528000
2022-08-31
5421236.050000
GBP
4200727.700000
GBP
ABS
N
N
N
N/A
N/A
REV REPO CREDIT AGRICOLE CIB ZCP
000000000
-1456658.000000
PA
-1776643.350000
-0.0602893
Short
RA
GB
N
2
Reverse repurchase
N
1.5500000
2022-08-11
1700000.000000
GBP
1646020.070000
GBP
ABS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-3840170.000000
PA
-4686605.250000
-0.1590371
Short
RA
GB
N
2
Reverse repurchase
N
1.2500000
2022-07-19
4100000.000000
GBP
3944200.000000
GBP
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-1402097.000000
PA
-1712259.720000
-0.0581045
Short
RA
GB
N
2
Reverse repurchase
N
1.8000000
2022-07-28
1837706.000000
GBP
1737463.180000
GBP
ABS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-567712.000000
PA
-692500.440000
-0.0234996
Short
RA
GB
N
2
Reverse repurchase
N
1.4500000
2022-08-17
650000.000000
GBP
599868.750000
GBP
CDS
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-3277674.250000
PA
-3990835.470000
-0.1354266
Short
RA
GB
N
2
Reverse repurchase
N
1.2000000
2024-06-23
4700000.000000
GBP
3688588.200000
GBP
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO GBP ZCP
000000000
-1134446.000000
PA
-1383647.830000
-0.0469532
Short
RA
GB
N
2
Reverse repurchase
N
0.9500000
2022-07-19
1200000.000000
GBP
1111872.000000
GBP
CDS
N
N
N
N/A
N/A
PARIBAS REVERSE REPO GBP ZCP
000000000
-1477666.000000
PA
-1802343.100000
-0.0611614
Short
RA
GB
N
2
Reverse repurchase
N
1.4000000
2022-08-17
1505762.400000
GBP
1549801.990000
GBP
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-213951.230000
PA
USD
-214440.710000
-0.0072769
Short
RA
US
N
2
Reverse repurchase
N
1.1600000
2022-07-22
256000.000000
USD
204754.120000
USD
CDS
N
N
N
ARGENT SECURITIES INC 2005-W2
N/A
ARGENT SECURITIES INC. ARSI 2005 W2 M3
040104NF4
10148691.570000
PA
USD
7751820.280000
0.2630533
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.41857
N
N
N
N
N
N
N/A
N/A
REVERSE REPO TORONTO DOMINIO
000000000
-641329.000000
PA
USD
-641762.970000
-0.0217778
Short
RA
US
N
2
Reverse repurchase
N
1.7400000
2024-06-16
832000.000000
USD
657936.940000
USD
CDS
N
N
N
ARGENT SECURITIES INC 2005-W4
N/A
ARGENT SECURITIES INC. ARSI 2005 W4 A2D
040104PT2
201883.320000
PA
USD
164382.560000
0.0055782
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.38357
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-14429103.050000
PA
USD
-14468494.500000
-0.4909795
Short
RA
US
N
2
Reverse repurchase
N
1.0800000
2022-07-01
18075000.000000
USD
15929497.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-13100082.190000
PA
USD
-13100082.190000
-0.4445432
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2022-10-03
18075000.000000
USD
15929497.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-1783250.000000
PA
USD
-1789875.270000
-0.0607383
Short
RA
US
N
2
Reverse repurchase
N
1.2500000
2022-09-16
2015000.000000
USD
1957532.200000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-426191.000000
PA
USD
-426812.530000
-0.0144836
Short
RA
US
N
2
Reverse repurchase
N
1.2500000
2022-09-16
500000.000000
USD
398410.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-887115.000000
PA
USD
-890674.050000
-0.0302245
Short
RA
US
N
2
Reverse repurchase
N
1.4300000
2022-09-23
1300000.000000
USD
804420.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-756945.000000
PA
USD
-759363.440000
-0.0257685
Short
RA
US
N
2
Reverse repurchase
N
1.4200000
2022-09-23
890000.000000
USD
806767.200000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-1970133.550000
PA
USD
-1975127.290000
-0.0670247
Short
RA
US
N
2
Reverse repurchase
N
1.2500000
2022-09-16
2500000.000000
USD
1911500.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-841024.000000
PA
USD
-842794.590000
-0.0285997
Short
RA
US
N
2
Reverse repurchase
N
1.4300000
2022-09-22
1000000.000000
USD
867345.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-3737057.550000
PA
USD
-3746692.930000
-0.1271417
Short
RA
US
N
2
Reverse repurchase
N
1.8200000
2022-08-09
5296000.000000
USD
4290051.280000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-3309637.500000
PA
USD
-3315194.930000
-0.1124991
Short
RA
US
N
2
Reverse repurchase
N
1.9500000
2022-08-31
5616000.000000
USD
2757115.610000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-1780259.360000
PA
USD
-1782924.800000
-0.0605025
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2022-12-09
2200000.000000
USD
1850332.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-2081824.740000
PA
USD
-2083840.640000
-0.0707139
Short
RA
US
N
2
Reverse repurchase
N
2.4900000
2022-09-19
3000000.000000
USD
2293800.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-119442.850000
PA
USD
-119510.000000
-0.0040555
Short
RA
US
N
2
Reverse repurchase
N
2.5300000
2022-09-26
119000.000000
USD
122565.840000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
000000000
-7473699.080000
PA
USD
-7473699.080000
-0.2536154
Short
RA
US
N
2
Reverse repurchase
N
2.7200000
2022-10-03
10000000.000000
USD
9490261.100000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-7582452.820000
PA
USD
-7603536.250000
-0.2580213
Short
RA
US
N
2
Reverse repurchase
N
1.1000000
2022-07-01
8893000.000000
USD
7183498.610000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-1435500.000000
PA
USD
-1439100.720000
-0.0488350
Short
RA
US
N
2
Reverse repurchase
N
1.0500000
2022-07-06
1800000.000000
USD
1414500.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-576180.000000
PA
USD
-577625.250000
-0.0196014
Short
RA
US
N
2
Reverse repurchase
N
1.0500000
2022-07-06
900000.000000
USD
543654.080000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-263670.000000
PA
USD
-264342.140000
-0.0089703
Short
RA
US
N
2
Reverse repurchase
N
1.6100000
2022-08-05
300000.000000
USD
276690.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-6625440.810000
PA
USD
-6642435.070000
-0.2254070
Short
RA
US
N
2
Reverse repurchase
N
1.6200000
2022-08-05
7773000.000000
USD
7029417.920000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-1323957.770000
PA
USD
-1325781.520000
-0.0449896
Short
RA
US
N
2
Reverse repurchase
N
1.7100000
2022-09-02
1657000.000000
USD
1350697.720000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-2137668.650000
PA
USD
-2139980.900000
-0.0726189
Short
RA
US
N
2
Reverse repurchase
N
1.7700000
2022-09-12
2800000.000000
USD
2211582.600000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-5314539.970000
PA
USD
-5330344.830000
-0.1808820
Short
RA
US
N
2
Reverse repurchase
N
1.0100000
2022-09-15
5010000.000000
USD
4622698.010000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-2647663.920000
PA
USD
-2656629.200000
-0.0901511
Short
RA
US
N
2
Reverse repurchase
N
1.1500000
2022-09-15
3300000.000000
USD
1245750.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-7803908.220000
PA
USD
-7807337.600000
-0.2649372
Short
RA
US
N
2
Reverse repurchase
N
2.2600000
2022-09-26
10250000.000000
USD
8527452.150000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-8744740.000000
PA
USD
-8747091.360000
-0.2968272
Short
RA
US
N
2
Reverse repurchase
N
2.4200000
2022-09-26
12500000.000000
USD
10097125.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-7620866.130000
PA
USD
-7621361.490000
-0.2586262
Short
RA
US
N
2
Reverse repurchase
N
2.3400000
2022-09-30
13900000.000000
USD
8457539.870000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-6107691.060000
PA
USD
-6107691.060000
-0.2072607
Short
RA
US
N
2
Reverse repurchase
N
2.4800000
2022-09-30
8893000.000000
USD
7183498.610000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-1436601.920000
PA
USD
-1441645.990000
-0.0489214
Short
RA
US
N
2
Reverse repurchase
N
1.5800000
2022-10-11
1428000.000000
USD
1303360.820000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-1228625.620000
PA
USD
-1232424.120000
-0.0418216
Short
RA
US
N
2
Reverse repurchase
N
2.1000000
2022-11-07
1413302.000000
USD
1285348.700000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-423688.390000
PA
USD
-425004.530000
-0.0144223
Short
RA
US
N
2
Reverse repurchase
N
2.1100000
2022-11-07
481000.000000
USD
465627.240000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO MERRILL LYNCH
000000000
-130357.000000
PA
USD
-130719.140000
-0.0044359
Short
RA
US
N
2
Reverse repurchase
N
1.3700000
2022-07-20
145456.630000
USD
150877.800000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-447795.810000
PA
USD
-449440.840000
-0.0152515
Short
RA
US
N
2
Reverse repurchase
N
1.1500000
2022-09-07
600000.000000
USD
371271.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-4379949.450000
PA
USD
-4397553.190000
-0.1492283
Short
RA
US
N
2
Reverse repurchase
N
1.5900000
2022-09-30
4500000.000000
USD
4525830.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-251529.730000
PA
USD
-252164.490000
-0.0085570
Short
RA
US
N
2
Reverse repurchase
N
1.1500000
2022-07-13
235962.980000
USD
244757.320000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-471476.130000
PA
USD
-472079.620000
-0.0160197
Short
RA
US
N
2
Reverse repurchase
N
1.9200000
2022-09-07
600000.000000
USD
514701.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-3782469.150000
PA
USD
-3784528.490000
-0.1284257
Short
RA
US
N
2
Reverse repurchase
N
2.4500000
2022-09-23
4500000.000000
USD
3945510.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-1630453.730000
PA
USD
-1636047.090000
-0.0555183
Short
RA
US
N
2
Reverse repurchase
N
1.3000000
2022-07-01
1800000.000000
USD
1660500.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-15914962.070000
PA
USD
-15956933.610000
-0.5414887
Short
RA
US
N
2
Reverse repurchase
N
1.0000000
2022-07-01
19883080.000000
USD
15205718.240000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-6102690.370000
PA
USD
-6118455.650000
-0.2076260
Short
RA
US
N
2
Reverse repurchase
N
1.0000000
2022-07-05
6730000.000000
USD
5287861.950000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-11863418.520000
PA
USD
-11881543.190000
-0.4031929
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2022-07-05
15000000.000000
USD
14235391.650000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-1517408.000000
PA
USD
-1517408.000000
-0.0514923
Short
RA
US
N
2
Reverse repurchase
N
2.2000000
2022-08-01
1800000.000000
USD
1660500.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-12865730.000000
PA
USD
-12865730.000000
-0.4365907
Short
RA
US
N
2
Reverse repurchase
N
2.2000000
2022-08-01
20663440.000000
USD
15990378.030000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-4667737.320000
PA
USD
-4670187.880000
-0.1584800
Short
RA
US
N
2
Reverse repurchase
N
2.7000000
2022-09-23
8344000.000000
USD
3149860.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-2689054.390000
PA
USD
-2690492.290000
-0.0913002
Short
RA
US
N
2
Reverse repurchase
N
2.7500000
2022-09-23
4373000.000000
USD
3133816.450000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-5788717.500000
PA
USD
-5792544.490000
-0.1965664
Short
RA
US
N
2
Reverse repurchase
N
1.7000000
2024-06-16
7300000.000000
USD
5581580.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-3953901.600000
PA
USD
-3956669.330000
-0.1342671
Short
RA
US
N
2
Reverse repurchase
N
1.8000000
2024-06-16
7396000.000000
USD
4592583.180000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-1258125.000000
PA
USD
-1259103.540000
-0.0427269
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2024-06-16
1525000.000000
USD
1512769.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-8629237.500000
PA
USD
-8636788.090000
-0.2930841
Short
RA
US
N
2
Reverse repurchase
N
2.2500000
2024-06-16
10500000.000000
USD
9761800.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-12173250.000000
PA
USD
-12184517.020000
-0.4134741
Short
RA
US
N
2
Reverse repurchase
N
2.3800000
2024-06-16
19600000.000000
USD
16175100.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-10406164.000000
PA
USD
-10416442.980000
-0.3534756
Short
RA
US
N
2
Reverse repurchase
N
2.5400000
2022-09-19
12280000.000000
USD
11328300.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-5003164.000000
PA
USD
-5019459.030000
-0.1703323
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-08
6663000.000000
USD
5397396.460000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1190971.000000
PA
USD
-1191281.310000
-0.0404254
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-06
1400000.000000
USD
1290030.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-3107170.270000
PA
USD
-3112895.230000
-0.1056342
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-08
3800000.000000
USD
2820683.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-505266.560000
PA
USD
-506018.840000
-0.0171714
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-08
647000.000000
USD
475189.150000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1002491.000000
PA
USD
-1005397.940000
-0.0341176
Short
RA
US
N
2
Reverse repurchase
N
1.4300000
2022-07-25
1252454.160000
USD
1208618.260000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-3643398.590000
PA
USD
-3647467.060000
-0.1237746
Short
RA
US
N
2
Reverse repurchase
N
0.6700000
2022-07-08
4674000.000000
USD
3953783.340000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-369022.900000
PA
USD
-369626.660000
-0.0125431
Short
RA
US
N
2
Reverse repurchase
N
1.9000000
2022-08-31
585000.000000
USD
363258.670000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1118530.940000
PA
USD
-1120301.950000
-0.0380168
Short
RA
US
N
2
Reverse repurchase
N
1.9000000
2022-08-31
1500000.000000
USD
1178572.500000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1368767.640000
PA
USD
-1370402.560000
-0.0465038
Short
RA
US
N
2
Reverse repurchase
N
1.7200000
2022-08-12
1854000.000000
USD
1456715.610000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-3213000.000000
PA
USD
-3215274.090000
-0.1091084
Short
RA
US
N
2
Reverse repurchase
N
1.8200000
2024-06-16
4000000.000000
USD
3594700.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-3204075.000000
PA
USD
-3205146.590000
-0.1087647
Short
RA
US
N
2
Reverse repurchase
N
1.7200000
2022-08-12
4200000.000000
USD
3600114.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-52790.910000
PA
USD
-52794.750000
-0.0017916
Short
RA
US
N
2
Reverse repurchase
N
2.6200000
2022-09-30
67534.710000
USD
65171.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-40516335.460000
PA
USD
-40611999.030000
-1.3781433
Short
RA
US
N
2
Reverse repurchase
N
1.7000000
2022-08-12
49498000.000000
USD
40959595.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-2709628.380000
PA
USD
-2709628.380000
-0.0919496
Short
RA
US
N
2
Reverse repurchase
N
2.7500000
2022-10-03
3441637.000000
USD
3130048.390000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-13965000.000000
PA
USD
-14018710.940000
-0.4757164
Short
RA
US
N
2
Reverse repurchase
N
1.6100000
2022-07-06
17750000.000000
USD
16833496.380000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-50229625.060000
PA
USD
-50425311.310000
-1.7111520
Short
RA
US
N
2
Reverse repurchase
N
1.6500000
2022-07-07
68635477.510000
USD
63179796.890000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-8184375.000000
PA
USD
-8213811.470000
-0.2787307
Short
RA
US
N
2
Reverse repurchase
N
1.6600000
2022-07-14
11250000.000000
USD
10681498.130000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2694821.090000
PA
USD
-2703945.550000
-0.0917567
Short
RA
US
N
2
Reverse repurchase
N
1.8752800
2022-08-01
3666423.260000
USD
3345117.720000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-350649.590000
PA
USD
-351796.800000
-0.0119380
Short
RA
US
N
2
Reverse repurchase
N
0.7800000
2022-08-04
411090.120000
USD
403893.000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-12431569.430000
PA
USD
-12469278.520000
-0.4231373
Short
RA
US
N
2
Reverse repurchase
N
1.9500000
2022-08-08
15261000.000000
USD
14289189.920000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-5874857.540000
PA
USD
-5889299.890000
-0.1998498
Short
RA
US
N
2
Reverse repurchase
N
1.7700000
2022-08-12
230929933.950000
USD
6127310.120000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-20459520.000000
PA
USD
-20516920.320000
-0.6962291
Short
RA
US
N
2
Reverse repurchase
N
2.0200000
2022-08-12
26640000.000000
USD
24728777.140000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-6236221.250000
PA
USD
-6254929.490000
-0.2122572
Short
RA
US
N
2
Reverse repurchase
N
2.0376900
2022-08-12
8750000.000000
USD
7851463.200000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-94111093.070000
PA
USD
-94382766.150000
-3.2028212
Short
RA
US
N
2
Reverse repurchase
N
2.0376900
2022-08-15
146679932.440000
USD
120627675.250000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1761820.840000
PA
USD
-1766490.730000
-0.0599448
Short
RA
US
N
2
Reverse repurchase
N
1.9473800
2022-08-16
2132000.000000
USD
2094074.920000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-10196640.000000
PA
USD
-10225055.090000
-0.3469810
Short
RA
US
N
2
Reverse repurchase
N
2.0473800
2022-08-16
13140000.000000
USD
12606454.240000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-28632536.000000
PA
USD
-28709366.640000
-0.9742347
Short
RA
US
N
2
Reverse repurchase
N
2.1000000
2022-08-16
39482000.000000
USD
35178512.260000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-9634113.950000
PA
USD
-9661196.510000
-0.3278468
Short
RA
US
N
2
Reverse repurchase
N
2.2000000
2022-08-16
15581113.260000
USD
11498888.070000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1758321.690000
PA
USD
-1762207.580000
-0.0597994
Short
RA
US
N
2
Reverse repurchase
N
2.2100000
2022-08-26
2500000.000000
USD
2327863.250000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-27123171.050000
PA
USD
-27175722.200000
-0.9221915
Short
RA
US
N
2
Reverse repurchase
N
2.2500000
2022-08-31
38405000.000000
USD
33920077.480000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-3781788.370000
PA
USD
-3787723.680000
-0.1285341
Short
RA
US
N
2
Reverse repurchase
N
2.2600000
2022-09-07
5181277.260000
USD
4848606.620000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-758138.100000
PA
USD
-759354.280000
-0.0257682
Short
RA
US
N
2
Reverse repurchase
N
2.3100000
2022-09-07
28636000.000000
USD
966585.270000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-740218.590000
PA
USD
-741431.730000
-0.0251600
Short
RA
US
N
2
Reverse repurchase
N
2.3600000
2022-09-07
894000.000000
USD
837996.980000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2679397.200000
PA
USD
-2682210.570000
-0.0910192
Short
RA
US
N
2
Reverse repurchase
N
2.1000000
2022-09-14
3000000.000000
USD
2904120.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-5018278.240000
PA
USD
-5023380.150000
-0.1704653
Short
RA
US
N
2
Reverse repurchase
N
2.4400000
2022-09-16
32186448.470000
USD
6991283.670000
USD
AMBS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2221875.000000
PA
USD
-2234305.160000
-0.0758198
Short
RA
US
N
2
Reverse repurchase
N
1.9000000
2022-09-19
3000000.000000
USD
2876824.800000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2405452.490000
PA
USD
-2407922.090000
-0.0817114
Short
RA
US
N
2
Reverse repurchase
N
2.6400000
2022-09-19
3000000.000000
USD
2799915.300000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2262962.950000
PA
USD
-2265418.270000
-0.0768756
Short
RA
US
N
2
Reverse repurchase
N
2.7900000
2022-09-19
2700000.000000
USD
2602132.830000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-37922190.110000
PA
USD
-37922190.110000
-1.2868662
Short
RA
US
N
2
Reverse repurchase
N
3.0200000
2022-10-05
58395067.500000
USD
50715187.360000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-8711543.750000
PA
USD
-8708155.930000
-0.2955059
Short
RA
US
N
2
Reverse repurchase
N
-1.0000000
2024-06-16
11900000.000000
USD
9797389.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-6210352.880000
PA
USD
-6215183.150000
-0.2109084
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2024-06-16
8362000.000000
USD
6754572.740000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-856148.000000
PA
USD
-856780.590000
-0.0290743
Short
RA
US
N
2
Reverse repurchase
N
1.9000000
2024-06-16
1306668.200000
USD
887904.270000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-443812.500000
PA
USD
-444157.690000
-0.0150722
Short
RA
US
N
2
Reverse repurchase
N
2.0000000
2024-06-16
500000.000000
USD
461250.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO WOOD GUNDY REVERSE REPO
000000000
-1984350.040000
PA
USD
-1986417.080000
-0.0674078
Short
RA
US
N
2
Reverse repurchase
N
2.5000000
2022-09-16
23434718.430000
USD
2427710.250000
USD
AMBS
N
N
N
N/A
N/A
BANCA MONTE DEI PASCHI DI SNR SE SP BYL
000000000
1.000000
NC
-50641.870000
-0.0017185
N/A
DCR
IT
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
BANCA MONTE DEI PASCHI DI SIENA SPA
Y
Single Leg Swap
2022-12-21
0.000000
EUR
-102315.230000
EUR
3200000.000000
EUR
51673.360000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
BONCER BONDS 03/23 1.4
ACI1L3HY1
263988461.600000
PA
972442.040000
0.0329992
Long
DBT
NUSS
AR
N
2
2023-03-25
Fixed
1.4
N
N
N
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-69301.820000
-0.0023517
N/A
DFE
N/A
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
9583639.870000
USD
9079000.000000
EUR
2022-07-05
-69301.820000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-30277.970000
-0.0010275
N/A
DFE
N/A
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
6610356.020000
USD
6279000.000000
EUR
2022-07-05
-30277.970000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BILLS 09/22 0.00000
ACI24ZDF2
339100000.000000
PA
1136681.140000
0.0385726
Long
DBT
NUSS
AR
N
2
2022-09-30
None
0
N
N
N
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
7747.810000
0.0002629
N/A
DFE
GB
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1143818.250000
USD
946000.000000
GBP
2022-07-05
7747.810000
N
N
N
N/A
N/A
BOUGHT IDR/SOLD USD
000000000
1.000000
NC
-102784.300000
-0.0034879
N/A
DFE
ID
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
6449761.420000
USD
94985636432.000000
IDR
2022-08-10
-102784.300000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
81158.110000
0.0027541
N/A
DFE
PE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1706623.210000
USD
6856700.060000
PEN
2022-07-21
81158.110000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-33580.120000
-0.0011395
N/A
DFE
PE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2478445.650000
USD
9369763.780000
PEN
2022-07-14
-33580.120000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
414151.470000
0.0140540
N/A
DFE
RU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
236687.000000
USD
36994178.100000
RUB
2022-08-19
414151.470000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
-5020.780000
-0.0001704
N/A
DFE
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
378584.740000
USD
6088000.000000
ZAR
2022-07-22
-5020.780000
N
N
N
N/A
N/A
SOLD CHF/BOUGHT USD
000000000
1.000000
NC
-39394.880000
-0.0013368
N/A
DFE
CH
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
967000.000000
CHF
976324.780000
USD
2022-08-16
-39394.880000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 07/30 VAR
ACI1QL1T4
969945.000000
PA
USD
206113.310000
0.0069943
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.5
N
N
N
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
3189231.210000
0.1082246
N/A
DFE
GB
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
67731000.000000
GBP
85638195.900000
USD
2022-07-05
3189231.210000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
-198588.660000
-0.0067390
N/A
DFE
GB
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
69895000.000000
GBP
84925570.280000
USD
2022-08-02
-198588.660000
N
N
N
CAYENNE AVIATION LLC
N/A
VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5
942UCF900
13205.000000
NS
USD
3992493.670000
0.1354828
Long
EP
CORP
US
N
3
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 07/35 VAR
ACI1QL1M9
1209000.000000
PA
USD
257033.400000
0.0087223
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.125
N
N
N
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-73855.850000
-0.0025063
N/A
DFE
PE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
5608717.650000
PEN
1387746.850000
USD
2022-07-26
-73855.850000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
60980.340000
0.0020693
N/A
DFE
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
16235463.690000
ZAR
1058133.000000
USD
2022-07-13
60980.340000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 10/23 16
ACI0QD0C2
868000.000000
PA
2145.080000
0.0000728
Long
DBT
NUSS
AR
N
2
2023-10-17
Fixed
16
N
N
N
N
N
N
N/A
N/A
BOUGHT CNY/SOLD USD
000000000
1.000000
NC
826.980000
0.0000281
N/A
DFE
CN
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
7508566.000000
USD
50284115.650000
CNY
2022-08-10
826.980000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-7954.460000
-0.0002699
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
4937511.260000
USD
4704000.000000
EUR
2022-07-05
-7954.460000
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-41141.000000
-0.0013961
N/A
DFE
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1230443.370000
USD
977000.000000
GBP
2022-07-05
-41141.000000
N
N
N
N/A
N/A
BOUGHT IDR/SOLD USD
000000000
1.000000
NC
-7847.710000
-0.0002663
N/A
DFE
ID
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
702242.250000
USD
10394449336.000000
IDR
2022-08-16
-7847.710000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 10/26 15.5
ACI0QD081
47041000.000000
PA
61359.390000
0.0020822
Long
DBT
NUSS
AR
N
2
2026-10-17
Fixed
15.5
N
N
N
N
N
N
N/A
N/A
SOLD CNY/BOUGHT USD
000000000
1.000000
NC
-7181.190000
-0.0002437
N/A
DFE
CN
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
100555857.530000
CNY
15013490.830000
USD
2022-07-25
-7181.190000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
11238.130000
0.0003814
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
3436000.000000
EUR
3611994.330000
USD
2022-07-05
11238.130000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
10041.990000
0.0003408
N/A
DFE
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
831000.000000
GBP
1021618.520000
USD
2022-07-05
10041.990000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR
040114HU7
30184038.000000
PA
USD
8828831.120000
0.2996010
Long
DBT
NUSS
AR
N
2
2038-01-09
Variable
2
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1
040114HX1
948754.000000
PA
USD
223668.760000
0.0075901
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1
N
N
N
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
8892.280000
0.0003018
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
1701362.120000
USD
1632000.000000
EUR
2022-07-05
8892.280000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-125415.590000
-0.0042559
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
11080684.890000
USD
10454000.000000
EUR
2022-07-05
-125415.590000
N
N
N
N/A
N/A
BOUGHT EUR/SOLD USD
000000000
1.000000
NC
-1312761.380000
-0.0445478
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
358639609.650000
USD
340977001.000000
EUR
2022-07-05
-1312761.380000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR
040114HS2
260042.000000
PA
USD
57469.280000
0.0019502
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.5
N
N
N
N
N
N
N/A
N/A
BOUGHT GBP/SOLD USD
000000000
1.000000
NC
-21316.780000
-0.0007234
N/A
DFE
GB
N
2
BNP Paribas S.A.
N/A
998808.900000
USD
803000.000000
GBP
2022-07-05
-21316.780000
N
N
N
N/A
N/A
BOUGHT IDR/SOLD USD
000000000
1.000000
NC
-9591.530000
-0.0003255
N/A
DFE
ID
N
2
BNP Paribas S.A.
N/A
640729.000000
USD
9447549105.000000
IDR
2022-08-16
-9591.530000
N
N
N
N/A
N/A
BOUGHT INR/SOLD USD
000000000
1.000000
NC
-555.550000
-0.0000189
N/A
DFE
IN
N
2
BNP Paribas S.A.
N/A
34001.360000
USD
2650440.010000
INR
2022-08-10
-555.550000
N
N
N
N/A
N/A
BOUGHT MXN/SOLD USD
000000000
1.000000
NC
99051.850000
0.0033613
N/A
DFE
MX
N
2
BNP Paribas S.A.
N/A
2465507.190000
USD
51572000.000000
MXN
2022-07-01
99051.850000
N
N
N
N/A
N/A
BOUGHT MXN/SOLD USD
000000000
1.000000
NC
1228740.920000
0.0416966
N/A
DFE
MX
N
2
BNP Paribas S.A.
N/A
14387852.190000
USD
316045000.000000
MXN
2022-08-09
1228740.920000
N
N
N
N/A
N/A
BOUGHT MXN/SOLD USD
000000000
1.000000
NC
1833.760000
0.0000622
N/A
DFE
MX
N
2
BNP Paribas S.A.
N/A
1848906.020000
USD
37712977.630000
MXN
2022-09-15
1833.760000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR
040114HT0
12869954.000000
PA
USD
2721995.270000
0.0923692
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.125
N
N
N
N
N
N
CBL & ASSOCIATES PROPERTIES INC
529900EIVFBRS4PUBZ13
CBL + ASSOCIATES PROPERTIES REIT USD.01
124830878
24558.000000
NS
USD
576867.420000
0.0195756
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
-1403.260000
-0.0000476
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
68226.000000
USD
1101013.970000
ZAR
2022-11-08
-1403.260000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR
040114HV5
24633140.000000
PA
USD
6404616.400000
0.2173367
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
2.5
N
N
N
N
N
N
N/A
N/A
SOLD CAD/BOUGHT USD
000000000
1.000000
NC
-35367.260000
-0.0012002
N/A
DFE
CA
N
2
BNP Paribas S.A.
N/A
9350100.000000
CAD
7228729.000000
USD
2022-08-16
-35367.260000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
8610356.590000
0.2921872
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
323795001.000000
EUR
347931327.960000
USD
2022-07-05
8610356.590000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
117635.960000
0.0039919
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
5941000.000000
EUR
6343506.910000
USD
2022-07-05
117635.960000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
338333.000000
0.0114811
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
35165000.000000
EUR
37189494.760000
USD
2022-07-05
338333.000000
N
N
N
N/A
N/A
SOLD EUR/BOUGHT USD
000000000
1.000000
NC
1309707.570000
0.0444441
N/A
DFE
N/A
N
2
BNP Paribas S.A.
N/A
340977001.000000
EUR
359293262.560000
USD
2022-08-02
1309707.570000
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
3994.590000
0.0001356
N/A
DFE
GB
N
2
BNP Paribas S.A.
N/A
1249000.000000
GBP
1524402.630000
USD
2022-07-05
3994.590000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA UNSECURED 10/22 VAR
P0761DAQ6
3184000.000000
PA
2733.260000
0.0000928
Long
DBT
NUSS
AR
N
2
2022-10-04
Floating
40.1781
N
N
N
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
1160.040000
0.0000394
N/A
DFE
MX
N
2
BNP Paribas S.A.
N/A
37712977.630000
MXN
1876541.210000
USD
2022-07-01
1160.040000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
6663.120000
0.0002261
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
5255199.850000
ZAR
328292.000000
USD
2022-08-16
6663.120000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
6196.310000
0.0002103
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
5519191.190000
ZAR
343982.000000
USD
2022-08-16
6196.310000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
12878.240000
0.0004370
N/A
DFE
ZA
N
2
BNP Paribas S.A.
N/A
7112146.090000
ZAR
448156.000000
USD
2022-08-16
12878.240000
N
N
N
N/A
N/A
BOMBARDIER INC SNR S* ICE
000000000
1.000000
NC
USD
-61698.160000
-0.0020937
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BOMBARDIER INC
BOMBARDIER INC SR UNSEC REGS
Y
Single Leg Swap
2024-06-21
0.000000
USD
-10138.240000
USD
1300000.000000
USD
-51559.920000
N
N
N
N/A
N/A
BOMBARDIER INC SNR S* ICE
000000000
1.000000
NC
USD
-39257.150000
-0.0013322
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BOMBARDIER INC
BOMBARDIER INC SR UNSEC REGS
Y
Single Leg Swap
2024-12-21
0.000000
USD
-247.480000
USD
600000.000000
USD
-39009.670000
N
N
N
N/A
N/A
BOMBARDIER INC SNR S* ICE
000000000
1.000000
NC
USD
-582261.380000
-0.0197587
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BOMBARDIER INC
BOMBARDIER INC SR UNSEC REGS
Y
Single Leg Swap
2026-06-23
0.000000
USD
-450000.000000
USD
5000000.000000
USD
-132261.380000
N
N
N
N/A
N/A
BOMBARDIER INC SNR S* ICE
000000000
1.000000
NC
USD
-1462809.340000
-0.0496395
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BOMBARDIER INC
BOMBARDIER INC SR UNSEC REGS
Y
Single Leg Swap
2027-06-22
0.000000
USD
-223417.900000
USD
10300000.000000
USD
-1239391.440000
N
N
N
N/A
N/A
BOMBARDIER INC SNR S* ICE
000000000
1.000000
NC
USD
-620632.190000
-0.0210608
N/A
DCR
US
N
2
Intercontinental Exchange
5493000F4ZO33MV32P92
BOMBARDIER INC
BOMBARDIER INC SR UNSEC REGS
Y
Single Leg Swap
2025-06-21
0.000000
USD
-607500.000000
USD
7600000.000000
USD
-13132.190000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
29462.360000
0.0009998
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
514628.290000
USD
2088104.300000
PEN
2022-07-27
29462.360000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-70169.740000
-0.0023812
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
3253509.110000
USD
12232543.570000
PEN
2022-08-08
-70169.740000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-236.220000
-0.0000080
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
11452.820000
USD
43009.920000
PEN
2022-07-19
-236.220000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
11488.290000
0.0003898
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1736233.870000
USD
6856700.060000
PEN
2023-04-27
11488.290000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
278.220000
0.0000094
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
65495.540000
USD
252747.300000
PEN
2022-08-08
278.220000
N
N
N
ASHFORD HOSPITALITY TRUST 2018-ASHF
N/A
ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF E 144A
04410RAN6
15356000.000000
PA
USD
14036170.230000
0.4763088
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Floating
4.424
N
N
N
N
N
N
ASHFORD HOSPITALITY TRUST 2018-KEYS
N/A
ASHFORD HOSPITALITY TRUST AHT1 2018 KEYS D 144A
04410CAL3
7750000.000000
PA
USD
7274583.230000
0.2468585
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
4.075
N
N
N
N
N
N
N/A
N/A
SOLD GBP/BOUGHT USD
000000000
1.000000
NC
80991.890000
0.0027484
N/A
DFE
GB
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
6449000.000000
GBP
7931361.340000
USD
2022-07-05
80991.890000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-52078.050000
-0.0017672
N/A
DFE
MX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
36766000.000000
MXN
1764624.200000
USD
2022-08-09
-52078.050000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
-8484.020000
-0.0002879
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
6856700.060000
PEN
1779297.300000
USD
2022-07-21
-8484.020000
N
N
N
N/A
N/A
SOLD PEN/BOUGHT USD
000000000
1.000000
NC
317858.520000
0.0107863
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
43663281.510000
PEN
11697506.230000
USD
2022-07-25
317858.520000
N
N
N
N/A
N/A
CGCMT 2006-C5 AJ BP GST
000000000
1.000000
NC
USD
832819.400000
0.0282612
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CITIGROUP COMMERCIAL MTGE TRUST 2006-C5
CGCMT 2006-C5 AJ WM15 WC6.0357
Y
Single Leg Swap
2049-10-16
159450.610000
USD
0.000000
USD
2657510.210000
USD
673368.790000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
5619.590000
0.0001907
N/A
DFE
ZA
N
2
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK
1VUV7VQFKUOQSJ21A208
8460000.000000
ZAR
525163.330000
USD
2022-07-14
5619.590000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
-1094496.430000
-0.0371411
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
21602837.490000
USD
107329377.520000
BRL
2022-07-05
-1094496.430000
N
N
N
N/A
N/A
BOUGHT BRL/SOLD USD
000000000
1.000000
NC
-151070.950000
-0.0051265
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
20483682.910000
USD
107329377.520000
BRL
2022-08-02
-151070.950000
N
N
N
N/A
N/A
BOUGHT PEN/SOLD USD
000000000
1.000000
NC
-174.910000
-0.0000059
N/A
DFE
PE
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
7792.460000
USD
29193.690000
PEN
2022-07-14
-174.910000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
1.060000
0.0000000
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
2.000000
USD
189.400000
RUB
2022-10-07
1.060000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
342479.470000
0.0116218
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
635937.000000
USD
61177139.400000
RUB
2022-10-14
342479.470000
N
N
N
N/A
N/A
BOUGHT RUB/SOLD USD
000000000
1.000000
NC
424639.260000
0.0144099
N/A
DFE
RU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
817634.000000
USD
77675230.000000
RUB
2022-10-14
424639.260000
N
N
N
N/A
N/A
BOUGHT ZAR/SOLD USD
000000000
1.000000
NC
-87.190000
-0.0000030
N/A
DFE
ZA
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
438293.700000
USD
7160000.000000
ZAR
2022-08-16
-87.190000
N
N
N
N/A
N/A
SOLD BRL/BOUGHT USD
000000000
1.000000
NC
137879.490000
0.0046789
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
107329377.520000
BRL
20646220.550000
USD
2022-07-05
137879.490000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
5098.930000
0.0001730
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
5500000.000000
MXN
269959.850000
USD
2022-12-21
5098.930000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-16470.580000
-0.0005589
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
12168022.370000
MXN
588617.680000
USD
2022-07-01
-16470.580000
N
N
N
N/A
N/A
SOLD MXN/BOUGHT USD
000000000
1.000000
NC
-2362.400000
-0.0000802
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1691000.000000
MXN
81727.210000
USD
2022-07-01
-2362.400000
N
N
N
N/A
N/A
SOLD PLN/BOUGHT USD
000000000
1.000000
NC
2672.630000
0.0000907
N/A
DFE
PL
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
28785000.000000
PLN
6417050.640000
USD
2022-07-15
2672.630000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
-659.050000
-0.0000224
N/A
DFE
ZA
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1101013.970000
ZAR
66163.690000
USD
2022-11-08
-659.050000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
1179.590000
0.0000400
N/A
DFE
ZA
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
4193408.360000
ZAR
250928.000000
USD
2023-05-12
1179.590000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
35007.570000
0.0011880
N/A
DFE
ZA
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
10790000.000000
ZAR
695377.440000
USD
2022-08-16
35007.570000
N
N
N
N/A
N/A
SOLD ZAR/BOUGHT USD
000000000
1.000000
NC
5208.070000
0.0001767
N/A
DFE
ZA
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
8349000.000000
ZAR
517881.750000
USD
2022-07-15
5208.070000
N
N
N
N/A
N/A
GUARANTEED RATE INC WTS 7214419C9
000000000
1361.000000
NC
USD
0.000000
0.0000000
N/A
DE
US
N
3
None
N/A
Call
Purchased
GUARANTEED RATE INC
GUARANTEED RATE INC
N/A
0.010000
USD
2060-12-31
XXXX
-178690.450000
N
N
N
2022-08-12
PIMCO Flexible Credit Income Fund
/s/ Bijal Parikh
Bijal Parikh
Treasurer