0001752724-24-130138.txt : 20240606
0001752724-24-130138.hdr.sgml : 20240606
20240606164538
ACCESSION NUMBER: 0001752724-24-130138
CONFORMED SUBMISSION TYPE: NPORT-P/A
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230930
FILED AS OF DATE: 20240606
DATE AS OF CHANGE: 20240606
PERIOD START: 20230930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: THORNBURG INVESTMENT TRUST
CENTRAL INDEX KEY: 0000816153
ORGANIZATION NAME:
IRS NUMBER: 061158764
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P/A
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05201
FILM NUMBER: 241026114
BUSINESS ADDRESS:
STREET 1: 2300 NORTH RIDGETOP ROAD
CITY: SANTA FE
STATE: NM
ZIP: 87506-8361
BUSINESS PHONE: 5059840200
MAIL ADDRESS:
STREET 1: 2300 NORTH RIDGETOP ROAD
CITY: SANTA FE
STATE: NM
ZIP: 87506-8361
FORMER COMPANY:
FORMER CONFORMED NAME: THORNBURG INCOME TRUST
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: LIMITED TERM TRUST
DATE OF NAME CHANGE: 19870816
0000816153
S000011851
Thornburg Investment Income Builder Fund
C000032380
Thornburg Investment Income Builder Fund - Class A
TIBAX
C000032381
Thornburg Investment Income Builder Fund - Class C
TIBCX
C000032382
Thornburg Investment Income Builder Fund - Class I
TIBIX
C000042675
Thornburg Investment Income Builder Fund - Class R3
TIBRX
C000047041
Thornburg Investment Income Builder Fund - Class R5
TIBMX
C000058461
Thornburg Investment Income Builder Fund - Class R4
TIBGX
C000177479
Thornburg Investment Income Builder Fund - Class R6
TIBOX
NPORT-P/A
1
primary_doc.xml
NPORT-P/A
false
0001752724-23-260221
0000816153
XXXXXXXX
S000011851
C000032380
C000058461
C000042675
C000047041
C000032382
C000177479
C000032381
THORNBURG INVESTMENT TRUST
811-05201
0000816153
5493001XM52H8S4WYY82
2300 NORTH RIDGETOP ROAD
SANTA FE
87506-8361
505-984-0200
Thornburg Investment Income Builder Fund
S000011851
549300TMVK6SMZQZYS83
2023-09-30
2023-09-30
N
11469175866.55
38503891.93
11430671974.62
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1485000.00000000
0.00000000
0.00000000
673181.42000000
N
HCL Technologies Ltd
549300C1F8OLYSOQYB65
HCL Technologies Ltd
000000000
2092600.00000000
NS
31171811.60000000
0.272703229252
Long
EC
CORP
IN
N
1
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Home Lending Mortgage Trust 2019-1
16159WBZ6
1021382.43000000
PA
USD
793696.37000000
0.006943567025
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.89000000
N
N
N
N
N
N
VT Topco, Inc.
5493007T812R37X02Y38
VT Topco Inc 2023 Term Loan B
91838LAG5
1000000.00000000
PA
USD
999170.00000000
0.008741130899
Long
LON
CORP
US
N
2
2030-08-10
Variable
9.66000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-13INV
33853HBM2
170017062.33000000
PA
USD
1321967.67000000
0.011565091474
Long
ABS-MBS
CORP
US
N
2
2051-12-30
Variable
0.18000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-J2
12568PBA0
106093823.43000000
PA
USD
1052811.45000000
0.009210407335
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Variable
0.26000000
N
N
N
N
N
N
United Auto Credit Securitization Trust
N/A
United Auto Credit Securitization Trust 2022-1
90944DAL5
37000.00000000
PA
USD
5299477.01000000
0.046361902622
Long
ABS-O
CORP
US
N
2
2028-11-10
None
0.00000000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2019-3
78432BAG4
3366214.00000000
PA
USD
2564491.23000000
0.022435174727
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
5.93000000
N
N
N
N
N
N
Equitable Holdings Inc
549300FIBAKMNHPZ4009
Equitable Holdings Inc
29452E101
5403873.00000000
NS
USD
153415954.47000000
1.342142918724
Long
EC
CORP
US
N
1
N
N
N
Cisco Systems Inc
549300LKFJ962MZ46593
Cisco Systems Inc
17275R102
2053251.00000000
NS
USD
110382773.76000000
0.965671782070
Long
EC
CORP
US
N
1
N
N
N
MidCap Financial Investment Corp
5493005P14I7WFB3FW47
MidCap Financial Investment Corp
03761U502
2937783.00000000
NS
USD
40394516.25000000
0.353387065429
Long
EC
CORP
US
N
1
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
Qorvo Inc
74736KAJ0
9800000.00000000
PA
USD
7767480.00000000
0.067952960396
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.38000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Corp
16164AAE5
723944.39000000
PA
USD
613382.74000000
0.005366112695
Long
ABS-MBS
CORP
US
N
2
2045-12-25
Variable
3.75000000
N
N
N
N
N
N
Credit Suisse ABS Trust
N/A
Credit Suisse ABS Trust 2020-AT1
22551XAB0
40000.00000000
PA
USD
442839.59000000
0.003874134355
Long
ABS-O
CORP
US
N
2
2026-06-15
None
0.00000000
N
N
N
N
N
N
Drillco Holdings Luxembourg SA
N/A
Drillco Holdings Luxembourg SA
262051105
14782.00000000
NS
USD
283962.22000000
0.002484212832
Long
EC
CORP
LU
N
3
N
N
N
Santander Consumer Auto Receivables Trust
N/A
Santander Consumer Auto Receivables Trust 2020-A
80281MAN3
45588.00000000
PA
USD
6137643.00000000
0.053694507318
Long
ABS-O
CORP
US
N
2
2029-01-16
None
0.00000000
N
N
N
N
N
N
Drillco Holdings Luxembourg SA
N/A
Drillco Holdings Luxembourg SA
262051204
133041.00000000
NS
USD
2555717.61000000
0.022358419659
Long
EC
CORP
LU
N
3
N
N
N
Social Professional Loan Program LLC
N/A
SoFi Professional Loan Program 2021-B Trust
83405N106
23000.00000000
PA
USD
800544.69000000
0.007003478813
Long
ABS-O
CORP
US
N
2
2047-02-15
None
0.00000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2021-INV1
64829WAL8
100219282.70000000
PA
USD
3550418.42000000
0.031060452332
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
0.75000000
N
N
N
N
N
N
VONTIER CORP
549300VVSQLG4P5K4639
Vontier Corp
928881AD3
4375000.00000000
PA
USD
3632650.00000000
0.031779846434
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
2.40000000
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods Inc
90290MAH4
3975000.00000000
PA
USD
3970985.25000000
0.034739735851
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
7.25000000
N
N
N
N
N
N
COGENT COMMUNICATIONS GR
549300KFWFYF8Q1U0Y26
Cogent Communications Group Inc
19240CAE3
10000000.00000000
PA
USD
9534600.00000000
0.083412418982
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
7.00000000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series 2020-ST6
91680XAA1
1554381.48000000
PA
USD
1523333.18000000
0.013326715904
Long
ABS-O
CORP
US
N
2
2027-01-20
Fixed
3.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-J1
12559YBL8
678851.76000000
PA
USD
370400.50000000
0.003240408795
Long
ABS-MBS
CORP
US
N
2
2050-07-25
Variable
3.44000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2020-INV1
36258KBN7
1880980.80000000
PA
USD
1343816.66000000
0.011756235005
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
3.85000000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAA1
32485955.00000000
PA
USD
29249054.44000000
0.255882195770
Long
DBT
CORP
XX
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
Marlette Funding Trust
N/A
Marlette Funding Trust 2021-1
57110N106
9550.00000000
PA
USD
360101.01000000
0.003150304818
Long
ABS-O
CORP
US
N
2
2031-06-16
None
0.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-NQM5 Trust
12663DAE4
3814739.27000000
PA
USD
3680485.40000000
0.032198329268
Long
ABS-MBS
CORP
US
N
2
2067-05-25
Variable
5.17000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-J2
12568PCK7
164000.00000000
PA
USD
57976.88000000
0.000507204476
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Variable
2.76000000
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust 2020-A
038413AD2
8200000.00000000
PA
USD
6972278.45000000
0.060996225466
Long
ABS-O
CORP
US
N
2
2046-07-17
Fixed
7.15000000
N
N
N
N
N
N
MALAMUTE ENERGY, INC.
N/A
MALAMUTE ENERGY, INC.
000000000
12439.00000000
NS
USD
12439.00000000
0.000108821248
Long
EC
CORP
US
N
3
N
N
N
STONEX GROUP INC
549300JUF07L8VF02M60
StoneX Group Inc
46116VAE5
17784000.00000000
PA
USD
18001498.32000000
0.157484165060
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
8.63000000
N
N
N
N
N
N
ENSTAR GROUP LTD
213800AMAL5QFXVUCN04
Enstar Group Ltd
29359UAC3
8354000.00000000
PA
USD
6289225.36000000
0.055020609234
Long
DBT
CORP
BM
N
2
2031-09-01
Fixed
3.10000000
N
N
N
N
N
N
BAE Systems PLC
8SVCSVKSGDWMW2QHOH83
BAE Systems PLC
000000000
10930100.00000000
NS
133064754.12000000
1.164102639070
Long
EC
CORP
GB
N
1
N
N
N
DaVinciRe Holdings Ltd
N/A
DaVinciRe Holdings Ltd
238791AB3
5000000.00000000
PA
USD
4843400.00000000
0.042371962127
Long
DBT
CORP
BM
N
2
2025-05-01
Fixed
4.75000000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series 2021-ST4
91534HAB2
1375000.00000000
PA
USD
235787.75000000
0.002062763681
Long
ABS-O
CORP
US
N
2
2027-07-20
None
0.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-J1
12559YAS4
57485556.42000000
PA
USD
905598.71000000
0.007922532568
Long
ABS-MBS
CORP
US
N
2
2050-07-25
Variable
0.44000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BP0
10000000.00000000
PA
USD
8060300.00000000
0.070514664561
Long
DBT
CORP
US
N
2
2043-03-01
Fixed
5.00000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAH4
5000000.00000000
PA
USD
4296900.00000000
0.037590965863
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2020-INV1
36258KAX6
3311248.40000000
PA
USD
84732.20000000
0.000741270506
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
0.93000000
N
N
N
N
N
N
NUFARM AUSTRALIA/AMERICA
N/A
Nufarm Australia Ltd / Nufarm Americas Inc
67052NAB1
3000000.00000000
PA
USD
2648790.00000000
0.023172653417
Long
DBT
CORP
AU
N
2
2030-01-27
Fixed
5.00000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-P4
14687KAK2
17500.00000000
PA
USD
5633172.67000000
0.049281203086
Long
ABS-O
CORP
US
N
2
2028-09-11
None
0.00000000
N
N
N
N
N
N
Vericast Corp.
549300J73P7FL8TVF308
Vericast Corp. 2022 Term Loan
181593AQ7
36167.83000000
PA
USD
32867.52000000
0.000287537951
Long
LON
CORP
US
N
2
2026-06-16
Variable
13.40000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2020-INV1
36258KBQ0
4402311.59000000
PA
USD
2492925.60000000
0.021809090537
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
3.85000000
N
N
N
N
N
N
Singapore Telecommunications Ltd
2549003XJKIQO8YDYD89
Singapore Telecommunications Ltd
000000000
56090000.00000000
NS
99296122.90000000
0.868681413660
Long
EC
CORP
SG
N
1
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2017-7
81746GCD3
2059888.82000000
PA
USD
1735880.26000000
0.015186161092
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
3.72000000
N
N
N
N
N
N
JPMorgan Chase Bank, NA - CACLN
N/A
JPMorgan Chase Bank NA - CACLN
46591HBE9
3321073.83000000
PA
USD
3835262.41000000
0.033552379234
Long
ABS-O
CORP
US
N
2
2028-02-25
Fixed
31.36000000
N
N
N
N
N
N
Tesco PLC
2138002P5RNKC5W2JZ46
Tesco PLC
000000000
87778330.00000000
NS
282953798.31000000
2.475390763887
Long
EC
CORP
GB
N
1
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAC7
10003281.00000000
PA
USD
195564.14000000
0.001710871770
Long
DBT
CORP
XX
N
2
2026-12-31
None
0.00000000
Y
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-AFC1 Trust
12597MAD7
3808500.00000000
PA
USD
2725164.25000000
0.023840805300
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.84000000
N
N
N
N
N
N
TRUST FIBRAUNO
N/A
Trust Fibra Uno
898339AA4
1618000.00000000
PA
USD
1368019.00000000
0.011967966564
Long
DBT
MX
N
2
2030-01-15
Fixed
4.87000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287Y109
977267.00000000
NS
USD
145671419.02000000
1.274390686246
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747S504
120000.00000000
NS
USD
2596800.00000000
0.022717824514
Long
EP
CORP
US
N
1
N
N
N
CIM Trust
N/A
CIM Trust 2020-J2
12568PCL5
654999.99000000
PA
USD
167103.53000000
0.001461887195
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Variable
2.76000000
N
N
N
N
N
N
CITGO PETROLEUM CORP
YX52P86PXMLYDOTUQ225
CITGO Petroleum Corp
17302XAK2
10750000.00000000
PA
USD
10591222.50000000
0.092656166877
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
7.00000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2021-INV1 Trust
95003KAX0
183683093.06000000
PA
USD
4645529.11000000
0.040640910003
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
0.50000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAC9
5000000.00000000
PA
USD
4812450.00000000
0.042101199393
Long
DBT
CORP
MA
N
2
2025-10-22
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2021-INV1 Trust
95003KBL5
3365112.46000000
PA
USD
2224681.90000000
0.019462389481
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
3.31000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-7
46591XCM5
2289984.46000000
PA
USD
773993.22000000
0.006771196144
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Variable
3.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-13INV
33853HBV2
14094678.74000000
PA
USD
125297.47000000
0.001096151392
Long
ABS-MBS
CORP
US
N
2
2051-12-30
Variable
0.18000000
N
N
N
N
N
N
AMER AIRLINE 19-1B PTT
N/A
American Airlines 2019-1 Class B Pass Through Trust
02379DAA8
6762928.91000000
PA
USD
5956855.41000000
0.052112906600
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.85000000
N
N
N
N
N
N
Galton Funding Mortgage Trust 2020-H1
N/A
Galton Funding Mortgage Trust 2020-H1
36418HAE2
4379900.00000000
PA
USD
2806709.17000000
0.024554192231
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
3.39000000
N
N
N
N
N
N
Mello Mortgage Capital Acceptance Trust
N/A
Mello Mortgage Capital Acceptance 2021-INV2
58549XBQ5
102218773.86000000
PA
USD
496333.48000000
0.004342119878
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
0.12000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-13INV
33853HBE0
2408694.29000000
PA
USD
1552675.89000000
0.013583417435
Long
ABS-MBS
CORP
US
N
2
2051-12-30
Variable
3.36000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2020-2
33851KBG0
107361204.59000000
PA
USD
2563227.29000000
0.022424117284
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
0.67000000
N
N
N
N
N
N
Endesa SA
549300LHK07F2CHV4X31
Endesa SA
000000000
8664557.00000000
NS
176570636.13000000
1.544709152025
Long
EC
CORP
ES
N
1
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2020-A
12597JAE2
1924518.95000000
PA
USD
1902647.47000000
0.016645106028
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
4.09000000
N
N
N
N
N
N
Mello Mortgage Capital Acceptance Trust
N/A
Mello Mortgage Capital Acceptance 2021-INV3
585491BZ5
1924920.09000000
PA
USD
815760.54000000
0.007136593035
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
3.01000000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2019-3
78432BAN9
53387892.59000000
PA
USD
2114817.22000000
0.018501250186
Long
ABS-MBS
CORP
US
N
2
2059-09-25
None
0.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
6677600.00000000
NS
426629347.15000000
3.732320795288
Long
EC
CORP
FR
N
1
N
N
N
Shell PLC
21380068P1DRHMJ8KU70
Shell PLC
000000000
3953500.00000000
NS
125704711.42000000
1.099714099915
Long
EC
CORP
GB
N
1
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAE8
5000000.00000000
PA
USD
2759700.00000000
0.024142937581
Long
DBT
CORP
NL
N
2
2051-02-08
Fixed
3.83000000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2019-3
78432BAM1
53387892.59000000
PA
USD
533.88000000
0.000004670591
Long
ABS-MBS
CORP
US
N
2
2059-09-25
None
0.00000000
N
N
N
N
N
N
DEUTSCHE TELEKOM INT FIN
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
25156PAC7
26150000.00000000
PA
USD
29944626.50000000
0.261967332860
Long
DBT
CORP
NL
N
2
2030-06-15
Fixed
8.75000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967424
4289773.00000000
NS
USD
176438363.49000000
1.543551979111
Long
EC
CORP
US
N
1
N
N
N
Visio Trust
N/A
Visio 2022-1 Trust
92838CAD0
5351000.00000000
PA
USD
4707186.41000000
0.041180312237
Long
ABS-MBS
CORP
US
N
2
2057-08-25
Variable
5.93000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAF5
11800000.00000000
PA
USD
8768698.00000000
0.076712008003
Long
DBT
CORP
NL
N
2
2031-07-13
Fixed
3.06000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4
59020ULT0
928822.56000000
PA
USD
906451.88000000
0.007929996434
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.76000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-2
46655DCT7
1802415.53000000
PA
USD
514538.26000000
0.004501382430
Long
ABS-MBS
CORP
US
N
2
2052-08-25
Variable
2.98000000
N
N
N
N
N
N
MATTHEWS INTERNATIONAL C
549300ZVC5O0ATML6U61
Matthews International Corp
577128AA9
14969000.00000000
PA
USD
14348534.95000000
0.125526609300
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
5.25000000
N
N
N
N
N
N
CIMPRESS PLC
549300X1IFD75XISOR81
Cimpress PLC
17186HAG7
11859000.00000000
PA
USD
11102514.39000000
0.097129148790
Long
DBT
CORP
IE
N
2
2026-06-15
Fixed
7.00000000
N
N
N
N
N
N
Samsung Electronics Co Ltd
9884007ER46L6N7EI764
Samsung Electronics Co Ltd
000000000
5604000.00000000
NS
284062249.89000000
2.485087932894
Long
EC
CORP
KR
N
1
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2020-INV1
36258KAN8
1425322.15000000
PA
USD
210879.55000000
0.001844856981
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
3.41000000
N
N
N
N
N
N
BIM Birlesik Magazalar AS
7890001GCDJQD8DJKE29
BIM Birlesik Magazalar AS
000000000
2799600.00000000
NS
28048584.71000000
0.245380015910
Long
EC
CORP
TR
N
1
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2020-2
33851KBH8
18401152.09000000
PA
USD
352407.82000000
0.003083001776
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
0.50000000
N
N
N
N
N
N
LKQ CORP
DS830JTTZQN6GK0I2E41
LKQ Corp
501889AE9
5840000.00000000
PA
USD
5648740.00000000
0.049417392193
Long
DBT
CORP
US
N
2
2033-06-15
Fixed
6.25000000
N
N
N
N
N
N
CNTL AMR BOTTLING CORP
N/A
Central American Bottling Corp / CBC Bottling Holdco SL / Beliv Holdco SL
15239XAA6
10443000.00000000
PA
USD
9399744.30000000
0.082232648446
Long
DBT
CORP
VG
N
2
2029-04-27
Fixed
5.25000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-157027.72000000
-0.00137374005
N/A
DFE
CH
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
3570366.30000000
USD
3119800.00000000
CHF
2023-10-17
-157027.72000000
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust 2020-1
02529VAL3
5460000.00000000
PA
USD
5426965.91000000
0.047477225503
Long
ABS-O
CORP
US
N
2
2026-11-13
Fixed
4.75000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2020-EXP1
17328JAJ6
37557643.98000000
PA
USD
1510418.21000000
0.013213730683
Long
ABS-MBS
CORP
US
N
2
2060-05-25
None
0.00000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2020-3 Trust
95002TAW4
165540107.31000000
PA
USD
1148964.22000000
0.010051589465
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Variable
0.18000000
N
N
N
N
N
N
Saluda Grade Alternative Mortgage Trust
N/A
Saluda Grade Alternative Mortgage Trust 2020-FIG1
795811AE8
18163800.81000000
PA
USD
6360854.06000000
0.055647245184
Long
ABS-MBS
CORP
US
N
2
2050-09-25
None
0.00000000
N
N
N
N
N
N
SIX FLAGS ENTERTAINMENT
549300JYTDUAA4JQ3717
Six Flags Entertainment Corp
83001AAD4
4912000.00000000
PA
USD
4615315.20000000
0.040376586872
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
7.25000000
N
N
N
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI Inc
55354GAK6
3000000.00000000
PA
USD
2513340.00000000
0.021987683712
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.63000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-13INV
33853HBN0
12861394.35000000
PA
USD
331664.49000000
0.002901530992
Long
ABS-MBS
CORP
US
N
2
2051-12-30
Variable
0.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-2
46655DCS9
1726013.58000000
PA
USD
882022.80000000
0.007716281264
Long
ABS-MBS
CORP
US
N
2
2052-08-25
Variable
3.13000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
3000000.00000000
PA
USD
2226240.00000000
0.019476020350
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Goldman Home Improvement Trust Issuer Trust
N/A
Goldman Home Improvement Trust 2021-GRN2 Issuer Trust
38149XAE9
42000.00000000
PA
USD
2857047.06000000
0.024994567828
Long
ABS-O
CORP
US
N
3
2051-06-20
None
0.00000000
N
N
N
N
N
N
Orange SA
969500MCOONR8990S771
Orange SA
000000000
51501480.00000000
NS
591326397.21000000
5.173155161157
Long
EC
CORP
FR
N
1
N
N
N
HORACE MANN EDUCATORS CO
254900G5YAV3A2YK8T32
Horace Mann Educators Corp
440327AL8
10000000.00000000
PA
USD
9994300.00000000
0.087434054814
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
7.25000000
N
N
N
N
N
N
ANTARES HOLDINGS
5493008EAIGV4283RM42
Antares Holdings LP
03666HAE1
3000000.00000000
PA
USD
2572500.00000000
0.022505238587
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
3.75000000
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAP8
9544000.00000000
PA
USD
9373925.92000000
0.082006779136
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
4.90000000
N
N
N
N
N
N
FAIR ISAAC CORP
RI6HET5SJUEY30V1PS26
Fair Isaac Corp
303250AF1
7000000.00000000
PA
USD
6255130.00000000
0.054722329657
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.00000000
N
N
N
N
N
N
Medtronic PLC
549300GX3ZBSQWUXY261
Medtronic PLC
000000000
882915.00000000
NS
USD
69185219.40000000
0.605259424411
Long
EC
CORP
IE
N
1
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-4
46652FCF5
1582547.78000000
PA
USD
580730.78000000
0.005080460547
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Variable
3.08000000
N
N
N
N
N
N
CME Group Inc
LCZ7XYGSLJUHFXXNXD88
CME Group Inc
12572Q105
1606027.00000000
NS
USD
321558725.94000000
2.813121806434
Long
EC
CORP
US
N
1
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2020-2
61946PAE3
4036697.66000000
PA
USD
1730588.80000000
0.015139869325
Long
ABS-O
CORP
US
N
2
2046-08-20
None
0.00000000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381VAA5
4300000.00000000
PA
USD
3861744.00000000
0.033784050566
Long
DBT
CORP
XX
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
BLUE OWL CREDIT INCOME
5493003I42XBWPE05N35
Blue Owl Credit Income Corp
69120VAP6
2500000.00000000
PA
USD
2478950.00000000
0.021686826509
Long
DBT
CORP
US
N
2
2027-09-16
Fixed
7.75000000
N
N
N
N
N
N
LPL HOLDINGS INC
549300Z5YF8CCRMYUL26
LPL Holdings Inc
50212YAD6
1000000.00000000
PA
USD
870670.00000000
0.007616962519
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.00000000
N
N
N
N
N
N
Enbridge Inc
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250N105
3309521.00000000
NS
109769130.17000000
0.960303387357
Long
EC
CORP
CA
N
1
N
N
N
Legal & General Group PLC
213800JH9QQWHLO99821
Legal & General Group PLC
000000000
5776100.00000000
NS
15680507.68000000
0.137179228962
Long
EC
CORP
GB
N
1
N
N
N
Roche Holding AG
549300U41AUUVOAAOB37
Roche Holding AG
000000000
576400.00000000
NS
157709488.17000000
1.379704434876
Long
EC
CORP
CH
N
1
N
N
N
IHS NETHERLANDS HOLDCO
5493006Z6YQYCCN2XI74
IHS Netherlands Holdco BV
44963LAC0
9995000.00000000
PA
USD
8370612.60000000
0.073229400848
Long
DBT
CORP
NL
N
2
2027-09-18
Fixed
8.00000000
N
N
N
N
N
N
ESC 144A3C7 SCHAHIN II
N/A
ESC 144A3C7 SCHAHIN II
806ESCAA7
11396734.53000000
PA
USD
101316.97000000
0.000886360576
Long
ABS-O
CORP
US
N
2
2023-09-25
None
0.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
2000000.00000000
PA
2083226.73000000
0.018224884194
Long
DBT
CORP
MX
Y
2
2024-02-21
Fixed
3.75000000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2020-C
12597TAF7
3000000.00000000
PA
USD
2957280.00000000
0.025871444885
Long
ABS-O
CORP
US
N
2
2027-11-15
Fixed
6.67000000
N
N
N
N
N
N
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
23977222.59000000
0.209762143846
N/A
DFE
US
N
2
Brown Brothers Harriman & Co.
5493006KMX1VFTPYPW14
738779900.00000000
EUR
805499112.77000000
USD
2023-10-17
23977222.59000000
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
000000000
9884000.00000000
PA
USD
8415731.80000000
0.073624121300
Long
DBT
CORP
MX
Y
2
2036-09-29
Fixed
5.00000000
N
N
N
N
N
N
TotalEnergies SE
529900S21EQ1BO4ESM68
TotalEnergies SE
000000000
8359100.00000000
NS
550674547.76000000
4.817516844002
Long
EC
CORP
FR
N
1
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AH6
32700000.00000000
PA
USD
34000479.00000000
0.297449520688
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.85000000
N
N
N
N
N
N
JPMorgan Chase Bank, NA - CACLN
N/A
JPMorgan Chase Bank NA - CACLN
46591HBW9
3663120.02000000
PA
USD
4311832.93000000
0.037721604990
Long
ABS-O
CORP
US
N
2
2028-09-25
Fixed
28.35000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2020-INV1
36258KBP2
1885433.14000000
PA
USD
1424921.37000000
0.012465770806
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
3.85000000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BE6
10000000.00000000
PA
USD
9863100.00000000
0.086286265775
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV
000000000
1907500.00000000
NS
53220833.11000000
0.465596714070
Long
EC
CORP
NL
N
1
N
N
N
Newell Brands Inc
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AW6
3700000.00000000
PA
USD
3486547.00000000
0.030501680108
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
5.20000000
N
N
N
N
N
N
Marlette Funding Trust
N/A
Marlette Funding Trust 2021-2
57108T107
26000.00000000
PA
USD
1037805.21000000
0.009079126864
Long
ABS-O
CORP
US
N
2
2031-09-15
None
0.00000000
N
N
N
N
N
N
STEWART INFORMATION SERV
529900TV1XI0PLKENU10
Stewart Information Services Corp
86038AAA0
8101000.00000000
PA
USD
5942893.60000000
0.051990763213
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
3.60000000
N
N
N
N
N
N
Mello Mortgage Capital Acceptance Trust
N/A
Mello Mortgage Capital Acceptance 2021-INV2
58549XBZ5
1523274.48000000
PA
USD
633023.37000000
0.005537936627
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
3.14000000
N
N
N
N
N
N
UNITED WHOLESALE MTGE LL
549300HW662MN1WU8550
United Wholesale Mortgage LLC
91153LAA5
5000000.00000000
PA
USD
4756100.00000000
0.041608227500
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
5.50000000
N
N
N
N
N
N
Enel SpA
WOCMU6HCI0OJWNPRZS33
Enel SpA
000000000
50085971.00000000
NS
308188773.29000000
2.696156218761
Long
EC
CORP
IT
N
1
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2020-3 Trust
95002TBN3
1912754.83000000
PA
USD
616966.34000000
0.005397463433
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Variable
3.18000000
N
N
N
N
N
N
VT TOPCO INC
5493007T812R37X02Y38
VT Topco Inc
91838PAA9
1000000.00000000
PA
USD
990080.00000000
0.008661608015
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
8.50000000
N
N
N
N
N
N
Mello Mortgage Capital Acceptance Trust
N/A
Mello Mortgage Capital Acceptance 2021-INV2
58549XBY8
315107.79000000
PA
USD
192555.25000000
0.001684548821
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
3.32000000
N
N
N
N
N
N
CORECIVIC INC
529900JFA3K6PTLT8B15
CoreCivic Inc
21871NAB7
20726000.00000000
PA
USD
21034195.62000000
0.184015390054
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
8.25000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2021-J3
17330BDR8
590000.00000000
PA
USD
161594.45000000
0.001413691604
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
2.86000000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAP6
7500000.00000000
PA
USD
7311300.00000000
0.063962118904
Long
DBT
US
N
2
2029-02-15
Fixed
7.00000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2021-INV1
64829WBA1
1090192.11000000
PA
USD
660538.68000000
0.005778651346
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
3.25000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2020-2
33851KCA2
2503943.21000000
PA
USD
1756975.71000000
0.015370712359
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
3.67000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BH5
2500000.00000000
PA
USD
1881575.00000000
0.016460755799
Long
DBT
CORP
US
N
2
2033-10-15
Fixed
2.75000000
N
N
N
N
N
N
LENOVO GROUP LTD
254900VUZRGD5U73RE46
Lenovo Group Ltd
526250AD7
5000000.00000000
PA
USD
4906450.00000000
0.042923548247
Long
DBT
CORP
HK
N
2
2028-01-27
Fixed
5.83000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2020-1
23344EAJ5
4500000.00000000
PA
USD
4370061.06000000
0.038231007500
Long
ABS-O
CORP
US
N
2
2027-02-16
Fixed
3.48000000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2019-3
78432BAF6
7910000.00000000
PA
USD
5881887.07000000
0.051457054170
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
5.66000000
N
N
N
N
N
N
AXA SA
F5WCUMTUM4RKZ1MAIE39
AXA SA
000000000
1809000.00000000
NS
53896093.46000000
0.471504156358
Long
EC
CORP
FR
N
1
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp
12513GBD0
5000000.00000000
PA
USD
4560750.00000000
0.039899229110
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
4.25000000
N
N
N
N
N
N
Thornburg Capital Management Fund
549300GLR0WG6ALV5277
Thornburg Capital Management Fund
885216739
61652319.80000000
NS
USD
616523198.00000000
5.393586653250
Long
EC
RF
US
N
1
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17328PCE1
1400000.00000000
PA
USD
561636.74000000
0.004913418399
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
3.86000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17328PCD3
585000.00000000
PA
USD
296472.68000000
0.002593659241
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
3.86000000
N
N
N
N
N
N
CUSHMAN & WAKEFIELD US
549300870CMN3WI5IF97
Cushman & Wakefield US Borrower LLC
23166MAA1
3000000.00000000
PA
USD
2766300.00000000
0.024200676969
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
6.75000000
N
N
N
N
N
N
Upstart Structured Pass-Through Trust
N/A
Upstart Structured Pass-Through Trust Series 2022-4A
91680YBD2
4834021.13000000
PA
USD
4825395.59000000
0.042214452489
Long
ABS-O
CORP
US
N
2
2030-11-15
Fixed
7.01000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCZ1
7184000.00000000
PA
USD
6888019.20000000
0.060259092512
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
4.88000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-J1
12559YBK0
1349503.15000000
PA
USD
1028844.70000000
0.009000736809
Long
ABS-MBS
CORP
US
N
2
2050-07-25
Variable
3.44000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2018-4
33845D101
53000.00000000
PA
USD
2476957.54000000
0.021669395688
Long
ABS-O
CORP
US
N
2
2026-03-16
None
0.00000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-2
61946RAE9
10000000.00000000
PA
USD
1280464.80000000
0.011202008095
Long
ABS-O
CORP
US
N
2
2047-04-22
None
0.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-J1
12559YAT2
51272422.61000000
PA
USD
994633.73000000
0.008701445831
Long
ABS-MBS
CORP
US
N
2
2050-07-25
Variable
0.50000000
N
N
N
N
N
N
Proper Pass-Thru Trust II
549300DCN6PLVC4QVK93
Prosper Pass-Thru Trust II Series 2019-St2
74361EAB3
17477134.00000000
PA
USD
1458536.74000000
0.012759851242
Long
ABS-O
CORP
US
N
2
2025-11-15
None
0.00000000
N
N
N
N
N
N
LP LMS 2021-2 Asset Securitization Trust
N/A
LP LMS 2021-2 Asset Securitization Trust
50214JAA3
915759.59000000
PA
USD
902088.86000000
0.007891827024
Long
ABS-O
CORP
US
N
2
2029-01-15
Fixed
1.75000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
1110227.73000000
0.009712707463
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
16500000.00000000
CHF
19162694.76000000
USD
2023-10-17
1110227.73000000
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2021-J3
17330BDP2
1033000.00000000
PA
USD
378103.52000000
0.003307797834
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
2.86000000
N
N
N
N
N
N
FIRST HORIZON BANK
COOWI3L2W9TPYR3WJX37
First Horizon Bank
337158208
12000.00000000
NS
USD
8023957.08000000
0.070196722448
Long
EP
CORP
US
N
2
N
N
N
ENSTAR FINANCE LLC
N/A
Enstar Finance LLC
29360AAA8
1632000.00000000
PA
USD
1433450.88000000
0.012540390304
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
5.75000000
N
N
N
N
N
N
Veros Auto Receivables Trust
N/A
Veros Automobile Receivables Trust 2020-1
92511FAD7
5000000.00000000
PA
USD
4884465.50000000
0.042731219221
Long
ABS-O
CORP
US
N
2
2027-02-16
Fixed
5.64000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-J2
12568PCM3
113013458.07000000
PA
USD
938768.89000000
0.008212718308
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Variable
0.21000000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series 2021-ST8
91683LAB2
4150000.00000000
PA
USD
1328572.70000000
0.011622874866
Long
ABS-O
CORP
US
N
2
2029-10-20
None
0.00000000
N
N
N
N
N
N
Nestle SA
KY37LUS27QQX7BB93L28
Nestle SA
000000000
490300.00000000
NS
55567511.88000000
0.486126380000
Long
EC
CORP
CH
N
1
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-3
46592ABL7
14845332.73000000
PA
USD
51826.54000000
0.000453398891
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
0.14000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-4
46652FAE0
12994325.30000000
PA
USD
241858.18000000
0.002115870182
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Variable
0.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
CITIGROUP MORTGAGE LOAN TRUST 2021-J1
17329EBZ9
459574.42000000
PA
USD
118360.86000000
0.001035467208
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.61000000
N
N
N
N
N
N
SBA Tower Trust
N/A
SBA Tower Trust
78403DAN0
5000000.00000000
PA
USD
4785703.50000000
0.041867210524
Long
DBT
US
N
2
2025-01-15
Fixed
2.84000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903AX1
4497000.00000000
PA
USD
3802348.41000000
0.033264434658
Long
DBT
CORP
US
N
2
2034-10-01
Fixed
4.50000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2019-3
33846A106
60000.00000000
PA
USD
3586024.95000000
0.031371952217
Long
ABS-O
CORP
US
N
2
2026-12-15
None
0.00000000
N
N
N
N
N
N
RETAIL OPPORTUNITY IN
549300KH0PNTJK9NTE57
Retail Opportunity Investments Partnership LP
76132FAC1
5000000.00000000
PA
USD
4930500.00000000
0.043133947076
Long
DBT
US
N
2
2028-10-15
Fixed
6.75000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM LLC
69378KAA2
9225443.01000000
PA
USD
9002293.01000000
0.078755588735
Long
ABS-MBS
CORP
US
N
2
2067-08-25
Variable
5.50000000
N
N
N
N
N
N
Vector Group Ltd
549300TUIF4WWN6NDN50
Vector Group Ltd
92240MBJ6
44464000.00000000
PA
USD
44531140.64000000
0.389575877418
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
10.50000000
N
N
N
N
N
N
CRESTWOOD EQUITY PARTNER
549300CUY0F1TYDLDL45
Crestwood Equity Partners LP
226344307
2166596.00000000
NS
USD
21037647.16000000
0.184045585480
Long
EP
CORP
US
N
1
N
N
N
SILGAN HOLDINGS INC
KAF673KJXD92C8KSLU49
Silgan Holdings Inc
827048AX7
2500000.00000000
PA
USD
2219150.00000000
0.019413994250
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
1.40000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2020-INV1
36258KAQ1
17065757.13000000
PA
USD
2164229.83000000
0.018933531071
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
2.92000000
N
N
N
N
N
N
ANTARES HOLDINGS
5493008EAIGV4283RM42
Antares Holdings LP
03666HAB7
11500000.00000000
PA
USD
11579695.00000000
0.101303711852
Long
DBT
CORP
US
N
2
2025-05-18
Fixed
8.50000000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust 2019-4
02529RAL2
5000000.00000000
PA
USD
4990090.50000000
0.043655268133
Long
ABS-O
CORP
US
N
2
2026-09-14
Fixed
5.37000000
N
N
N
N
N
N
DC Office Trust
N/A
DC Office Trust 2019-MTC
23312BAA8
3025000.00000000
PA
USD
2385583.40000000
0.020870018886
Long
ABS-MBS
CORP
US
N
2
2045-09-15
Fixed
2.97000000
N
N
N
N
N
N
GREYSTAR REAL ESTATE PAR
254900HGC806SXAS4M46
Greystar Real Estate Partners LLC
39807UAD8
2490000.00000000
PA
USD
2451504.60000000
0.021446723389
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
7.75000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-J2
12568PCJ0
491000.00000000
PA
USD
178010.96000000
0.001557309669
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Variable
2.76000000
N
N
N
N
N
N
Engie SA
LAXUQCHT4FH58LRZDY46
Engie SA
000000000
5846972.00000000
NS
89820270.83000000
0.785782944602
Long
EC
CORP
FR
N
1
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAG6
23630000.00000000
PA
USD
21642008.10000000
0.189332771931
Long
DBT
CORP
US
N
2
2034-12-01
Fixed
5.30000000
N
N
N
N
N
N
Elme Communities
549300DI34BGS8LVKW95
Elme Communities
939653101
2354592.00000000
NS
USD
32116634.88000000
0.280968913737
Long
EC
US
N
1
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
064058AL4
4500000.00000000
PA
USD
3651795.00000000
0.031947334400
Long
DBT
CORP
US
N
2
2026-12-20
Fixed
3.75000000
N
N
N
N
N
N
First Help Financial LLC
N/A
FHF Trust 2022-2
31568EAA6
4952189.59000000
PA
USD
4896950.29000000
0.042840441059
Long
ABS-O
CORP
US
N
2
2027-12-15
Fixed
6.14000000
N
N
N
N
N
N
GOTO GROUP INC
549300D12V5KRBV00592
GoTo Group Inc
541056AA5
5655000.00000000
PA
USD
3098657.25000000
0.027108268497
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
5.50000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
23812105.28000000
0.208317632881
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
738779900.00000000
EUR
805333995.46000000
USD
2023-10-17
23812105.28000000
N
N
N
FIN DEPT GOVT SHARJAH
254900ZNL8O3F1CLJO24
Finance Department Government of Sharjah
38381CAE2
4786000.00000000
PA
USD
4750679.32000000
0.041560805266
Long
DBT
NUSS
AE
N
2
2032-11-23
Fixed
6.50000000
N
N
N
N
N
N
MMC Norilsk Nickel PJSC
253400JPTEEW143W3E47
MMC Norilsk Nickel PJSC
000000000
351400.00000000
NS
2073260.00000000
0.018137691332
Long
EC
CORP
RU
N
3
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-11
46654KCH8
4257287.11000000
PA
USD
1699518.81000000
0.014868056871
Long
ABS-MBS
CORP
US
N
2
2052-01-25
Variable
2.92000000
N
N
N
N
N
N
AstraZeneca PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
000000000
1405300.00000000
NS
190355605.44000000
1.665305468153
Long
EC
CORP
GB
N
1
N
N
N
Koninklijke KPN NV
549300YO0JZHAL7FVP81
Koninklijke KPN NV
000000000
24526000.00000000
NS
80876031.08000000
0.707535228546
Long
EC
CORP
NL
N
1
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-3
46654UCW3
2667671.30000000
PA
USD
1625736.78000000
0.014222582745
Long
ABS-MBS
CORP
US
N
2
2052-08-25
Variable
3.11000000
N
N
N
N
N
N
JT INTL FIN SERVICES BV
549300U2F0PG10VZUN93
JT International Financial Services BV
480914AA8
5000000.00000000
PA
USD
5292650.00000000
0.046302177262
Long
DBT
CORP
NL
N
2
2032-10-24
Fixed
6.88000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
27706848.01000000
0.242390369275
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
301035700.00000000
GBP
395031388.00000000
USD
2023-10-17
27706848.01000000
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2019-A
12596HAE7
651182.18000000
PA
USD
650986.14000000
0.005695081981
Long
ABS-O
CORP
US
N
2
2026-03-16
Fixed
5.81000000
N
N
N
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135F101
441884.00000000
NS
USD
367020012.72000000
3.210834966963
Long
EC
CORP
US
N
1
N
N
N
TRUST F/1401
N/A
Trust Fibra Uno
898324AC2
11637000.00000000
PA
USD
11164305.06000000
0.097669717797
Long
DBT
MX
N
2
2026-01-30
Fixed
5.25000000
N
N
N
N
N
N
SLR Investment Corp
BJOT6DX9ML6BR3Z0O636
SLR Investment Corp
83413U100
4307900.00000000
NS
USD
66298581.00000000
0.580005979938
Long
EC
CORP
US
N
1
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-3
46654UCX1
1697872.71000000
PA
USD
637914.55000000
0.005580726587
Long
ABS-MBS
CORP
US
N
2
2052-08-25
Variable
3.11000000
N
N
N
N
N
N
Stellantis NV
549300LKT9PW7ZIBDF31
Stellantis NV
000000000
3305200.00000000
NS
63633442.93000000
0.556690307195
Long
EC
CORP
NL
N
1
N
N
N
COMPASS GROUP DIVERSIFIE
549300I6PTUQPX21TE93
Compass Group Diversified Holdings LLC
20451RAB8
6272000.00000000
PA
USD
5483797.76000000
0.047974412809
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
Deutsche Telekom AG
549300V9QSIG4WX4GJ96
Deutsche Telekom AG
000000000
3434800.00000000
NS
72149501.93000000
0.631192130175
Long
EC
CORP
DE
N
1
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2020-EXP1
17328JAG2
1450000.00000000
PA
USD
967084.61000000
0.008460435328
Long
ABS-MBS
CORP
US
N
2
2060-05-25
Variable
4.47000000
N
N
N
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076102
505482.00000000
NS
USD
152736441.12000000
1.336198269525
Long
EC
CORP
US
N
1
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
CITIGROUP MORTGAGE LOAN TRUST 2021-J1
17329EBX4
379000.00000000
PA
USD
144034.36000000
0.001260069052
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.61000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Funding 2022-1 LLC
68377X109
11604.00000000
PA
USD
1826502.90000000
0.015978963476
Long
ABS-O
CORP
US
N
2
2029-06-15
Variable
0.00000000
N
N
N
N
N
N
SCIENCE APPLICATIONS INT
549300LZPNZIXQGZPZ48
Science Applications International Corp
808625AA5
5000000.00000000
PA
USD
4540200.00000000
0.039719449653
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
4.88000000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2019-3
78432BAK5
950.00000000
PA
USD
950.00000000
0.000008310972
Long
ABS-MBS
CORP
US
N
3
2059-09-25
Variable
0.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BW9
69318000.00000000
PA
USD
68572831.50000000
0.599902014966
Long
DBT
CORP
US
N
2
2024-06-24
Fixed
4.55000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAB9
6000000.00000000
PA
USD
3982860.00000000
0.034843620819
Long
DBT
NUSS
NG
N
2
2047-11-28
Fixed
7.63000000
N
N
N
N
N
N
BURFORD CAPITAL GLBL FIN
549300JVAOO67CSCH406
Burford Capital Global Finance LLC
12116LAE9
7500000.00000000
PA
USD
7573200.00000000
0.066253322786
Long
DBT
CORP
US
N
2
2031-07-01
Fixed
9.25000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBL1
5000000.00000000
PA
USD
4466700.00000000
0.039076442836
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
3.13000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2022-6
03465VAC7
4558363.54000000
PA
USD
3947263.08000000
0.034532205007
Long
ABS-MBS
CORP
US
N
2
2067-07-25
Variable
4.30000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2020-INV1
36258KBT4
21467614.32000000
PA
USD
248457.58000000
0.002173604321
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
0.35000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-P2
14687TAJ6
8000.00000000
PA
USD
1810540.53000000
0.015839318405
Long
ABS-O
CORP
US
N
2
2028-05-10
None
0.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-AFC1 Trust
12657LAG9
215000.00000000
PA
USD
137358.13000000
0.001201662774
Long
ABS-MBS
CORP
US
N
2
2056-03-25
Variable
4.34000000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAN7
5000000.00000000
PA
USD
4784600.00000000
0.041857556674
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.88000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2020-INV1
36258KBU1
91340989.22000000
PA
USD
634902.08000000
0.005554372318
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
0.19000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-1
61947DAE9
6980230.75000000
PA
USD
804681.00000000
0.007039664875
Long
ABS-O
CORP
US
N
2
2046-12-20
None
0.00000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-P1
14688DAM3
24000.00000000
PA
USD
7377879.53000000
0.064544582736
Long
ABS-O
CORP
US
N
2
2029-01-10
None
0.00000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2020-2
33851KBZ8
834647.74000000
PA
USD
597428.24000000
0.005226536474
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
3.67000000
N
N
N
N
N
N
Retained Vantage Data Centers Issuer, LLC
254900N4NW6XZ9B4HM15
Retained Vantage Data Centers Issuer LLC
76134KAA2
5000000.00000000
PA
USD
4525237.25000000
0.039588549649
Long
ABS-O
CORP
US
N
2
2048-09-15
Fixed
5.00000000
N
N
N
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust 2019-INV1
85572JAE7
10000000.00000000
PA
USD
8144586.80000000
0.071252038533
Long
ABS-MBS
CORP
US
N
2
2049-09-27
Variable
3.66000000
N
N
N
N
N
N
JPMorgan Chase Bank, NA - CACLN
N/A
JPMorgan Chase Bank NA - CACLN
46591HAT7
1811224.48000000
PA
USD
2038732.39000000
0.017835630263
Long
ABS-O
CORP
US
N
2
2028-01-25
Fixed
33.78000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2021-INV1 Trust
95003KBN1
2002218.38000000
PA
USD
722563.37000000
0.006321267652
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
3.31000000
N
N
N
N
N
N
TELENET FINANCE LUX NOTE
2138007RI9GLJPCC3E25
Telenet Finance Luxembourg Notes Sarl
000000000
10000000.00000000
PA
USD
9033200.00000000
0.079025975201
Long
DBT
CORP
LU
N
2
2028-03-01
Fixed
5.50000000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229BD7
6300000.00000000
PA
USD
6018138.00000000
0.052649030725
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
6.63000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-4
46652FBT6
3064654.30000000
PA
USD
62721.83000000
0.000548715159
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Variable
0.55000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
46647HAL8
1999978.58000000
PA
USD
1670879.18000000
0.014617506159
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Variable
6.87000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2023-I1
12570DAD8
5000000.00000000
PA
USD
4744860.35000000
0.041509898635
Long
ABS-MBS
CORP
US
N
2
2058-04-25
Variable
7.14000000
N
N
N
N
N
N
GoTo Group, Inc.
549300D12V5KRBV00592
GoTo Group Inc Term Loan B
54142KAD3
2969543.10000000
PA
USD
1957879.16000000
0.017128294507
Long
LON
CORP
US
N
2
2027-08-31
Variable
10.27000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550AT3
10000000.00000000
PA
USD
9384000.00000000
0.082094911137
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
5.80000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2021-INV1 Trust
95003KBM3
2595943.90000000
PA
USD
1612329.59000000
0.014105291391
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
3.31000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBA6
13820000.00000000
PA
USD
11408824.60000000
0.099808870601
Long
DBT
CORP
US
N
2
2066-11-01
Floating
8.65000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-4
46652FCD0
1938649.07000000
PA
USD
1511861.97000000
0.013226361261
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Variable
3.65000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
14198000.00000000
PA
USD
12827893.00000000
0.112223437331
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
FORESEA HOLDING SA
N/A
FORESEA Holding SA
262051AA3
1520371.00000000
PA
USD
1415252.55000000
0.012381184178
Long
DBT
CORP
LU
N
2
2030-06-15
Fixed
7.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-13INV
33853HBG5
4142954.42000000
PA
USD
2030379.10000000
0.017762552407
Long
ABS-MBS
CORP
US
N
2
2051-12-30
Variable
3.16000000
N
N
N
N
N
N
VORNADO REALTY LP
549300BMOJ05INE4YK86
Vornado Realty LP
929043AK3
8186500.00000000
PA
USD
6953040.05000000
0.060827920400
Long
DBT
US
N
2
2026-06-01
Fixed
2.15000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081103
6539421.00000000
NS
USD
216912594.57000000
1.897636421127
Long
EC
CORP
US
N
1
N
N
N
E.ON SE
Q9MAIUP40P25UFBFG033
E.ON SE
000000000
4564400.00000000
NS
54047978.01000000
0.472832901950
Long
EC
CORP
DE
N
1
N
N
N
Residential Mortgage Loan Trust
N/A
Residential Mortgage Loan Trust 2019-3
76119NAE7
1500000.00000000
PA
USD
1339268.51000000
0.011716446005
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
3.81000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
000000000
1582472.00000000
NS
39226841.84000000
0.343171791886
Long
EC
CORP
CH
N
1
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-4
46652FBD1
2866395.30000000
PA
USD
117901.43000000
0.001031447934
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Floating
0.00000000
N
N
N
N
N
N
BHP Group Ltd
WZE1WSENV6JSZFK0JC28
BHP Group Ltd
000000000
4713000.00000000
NS
134087374.33000000
1.173048921600
Long
EC
CORP
AU
N
1
N
N
N
Assicurazioni Generali SpA
549300X5UKJVE386ZB61
Assicurazioni Generali SpA
000000000
7232347.00000000
NS
148072527.00000000
1.295396520246
Long
EC
CORP
IT
N
1
N
N
N
SEAWORLD PARKS & ENTERTA
549300UZV72O3371JJ53
SeaWorld Parks & Entertainment Inc
81282UAC6
24785000.00000000
PA
USD
25175363.75000000
0.220243952463
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
8.75000000
N
N
N
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
000000000
6517900.00000000
NS
105129864.57000000
0.919717272995
Long
EC
CORP
IT
N
1
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RBS6
12000000.00000000
PA
USD
13567680.00000000
0.118695384052
Long
DBT
CORP
US
N
2
2038-04-08
Fixed
9.25000000
N
N
N
N
N
N
Proper Pass-Thru Trust II
549300HCI5NYJ9JJET80
Prosper Pass-Thru Trust II Series 2019-St1
74360MAB6
38500000.00000000
PA
USD
460893.51000000
0.004032077125
Long
ABS-O
CORP
US
N
2
2025-07-15
None
0.00000000
N
N
N
N
N
N
SUMMIT MIDSTREAM PARTNER
N/A
Summit Midstream Partners LP
866142AA0
16097000.00000000
PA
USD
11765780.21000000
0.102931658227
Long
DBT
CORP
US
N
2
2023-10-30
Fixed
13.10000000
N
Y
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDE9
12070000.00000000
PA
USD
8629808.60000000
0.075496949078
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
Onslow Bay Mortgage Loan Trust
67115DAA0
19319773.00000000
PA
USD
14944565.62000000
0.130740919284
Long
ABS-MBS
CORP
US
N
2
2061-10-25
Variable
1.96000000
N
N
N
N
N
N
AES ESPANA BV
7245003VZ59682IZLJ86
AES Espana BV
00109YAA3
2000000.00000000
PA
USD
1793140.00000000
0.015687091747
Long
DBT
CORP
NL
N
2
2028-05-04
Fixed
5.70000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-J1
12559YBN4
70213112.32000000
PA
USD
463912.08000000
0.004058484759
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Variable
0.20000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-4
46652FBQ2
47996355.94000000
PA
USD
139746.19000000
0.001222554459
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Variable
0.10000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AP9
10000000.00000000
PA
USD
9062400.00000000
0.079281428249
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
5.50000000
N
N
N
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAC7
85390000.00000000
PA
USD
87867163.90000000
0.768696399433
Long
DBT
CORP
ES
N
2
2036-06-20
Fixed
7.05000000
N
N
N
N
N
N
LyondellBasell Industries NV
BN6WCCZ8OVP3ITUUVN49
LyondellBasell Industries NV
000000000
1867909.00000000
NS
USD
176890982.30000000
1.547511665917
Long
EC
CORP
NL
N
1
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BR7
6345000.00000000
PA
USD
6253441.65000000
0.054707559309
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
6.75000000
N
N
N
N
N
N
ARCHES BUYER INC
2549009ADY4208OH2Y47
Arches Buyer Inc
039524AA1
6500000.00000000
PA
USD
5548140.00000000
0.048537303951
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.25000000
N
N
N
N
N
N
LUKOIL PJSC
549300LCJ1UJXHYBWI24
LUKOIL PJSC
000000000
314000.00000000
NS
226080.00000000
0.001977836478
Long
EC
CORP
RU
N
3
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2020-3 Trust
95002TBM5
1046000.00000000
PA
USD
448985.46000000
0.003927900835
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Variable
3.18000000
N
N
N
N
N
N
Marlette Funding Trust
N/A
Marlette Funding Trust 2021-3
57108Q103
21881.00000000
PA
USD
2126593.62000000
0.018604274750
Long
ABS-O
CORP
US
N
2
2031-12-15
None
0.00000000
N
N
N
N
N
N
TC Energy Corp
549300UGKOFV2IWJJG27
TC Energy Corp
87807B107
2370000.00000000
NS
81503920.49000000
0.713028251278
Long
EC
CORP
CA
N
1
N
N
N
VONTIER CORP
549300VVSQLG4P5K4639
Vontier Corp
928881AF8
1457000.00000000
PA
USD
1121074.08000000
0.009807595585
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.95000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-11
46654KCG0
3707294.67000000
PA
USD
2188544.69000000
0.019146246999
Long
ABS-MBS
CORP
US
N
2
2052-01-25
Variable
3.03000000
N
N
N
N
N
N
LendingPoint Asset Securitization Trust
N/A
LendingPoint 2020-REV1 Asset Securitization Trust
52606YAC8
25750000.00000000
PA
USD
25512289.91000000
0.223191514607
Long
ABS-O
CORP
US
N
2
2028-10-15
Fixed
7.70000000
N
N
N
N
N
N
ENERGIAN ISRAEL FINANCE
98450044QACBL3F8EB03
Energian Israel Finance Ltd
000000000
3565000.00000000
PA
USD
3561648.90000000
0.031158700974
Long
DBT
CORP
IL
Y
2
2033-09-30
Fixed
8.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-13INV
33853HBF7
472104.08000000
PA
USD
278524.69000000
0.002436643187
Long
ABS-MBS
CORP
US
N
2
2051-12-30
Variable
3.36000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2020-EXP1
17328JAF4
2150000.00000000
PA
USD
1612127.62000000
0.014103524478
Long
ABS-MBS
CORP
US
N
2
2060-05-25
Variable
4.47000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-147574.53000000
-0.00129103984
N/A
DFE
CH
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
3505771.03000000
USD
3069400.00000000
CHF
2023-10-17
-147574.53000000
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2019-4
33845F106
60000.00000000
PA
USD
3606719.35000000
0.031552994942
Long
ABS-O
CORP
US
N
2
2027-03-15
None
0.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-2
46655DCR1
3249533.96000000
PA
USD
2002362.50000000
0.017517452206
Long
ABS-MBS
CORP
US
N
2
2052-08-25
Variable
3.13000000
N
N
N
N
N
N
Barclays Mortgage Loan Trust
N/A
Barclays Mortgage Loan Trust 2022-INV1
06744YAC7
15464722.05000000
PA
USD
13682358.71000000
0.119698638368
Long
ABS-MBS
CORP
US
N
2
2062-02-25
Variable
4.53000000
N
N
N
N
N
N
Mello Mortgage Capital Acceptance Trust
N/A
Mello Mortgage Capital Acceptance 2021-INV3
585491BQ5
122612497.86000000
PA
USD
827168.43000000
0.007236393729
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
0.17000000
N
N
N
N
N
N
Petroleo Brasileiro SA
5493000J801JZRCMFE49
Petroleo Brasileiro SA
71654V408
7310155.00000000
NS
USD
109579223.45000000
0.958642008915
Long
EC
CORP
BR
N
1
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525103
1857277.00000000
NS
USD
206269183.62000000
1.804523689228
Long
EC
CORP
US
N
1
N
N
N
Mello Mortgage Capital Acceptance Trust
N/A
Mello Mortgage Capital Acceptance 2021-INV3
585491BY8
440471.94000000
PA
USD
266524.73000000
0.002331662833
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
3.22000000
N
N
N
N
N
N
NN Group NV
724500OHYNDT9OY6Q215
NN Group NV
000000000
9502716.00000000
NS
305822989.95000000
2.675459418562
Long
EC
CORP
NL
N
1
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-4
46652FBS8
1327937.23000000
PA
USD
173898.43000000
0.001521331645
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Variable
3.50000000
N
N
N
N
N
N
FIDELITY NATL FINANCIAL
549300CAZYIH39SYQ287
Fidelity National Financial Inc
31620RAJ4
10000000.00000000
PA
USD
8477000.00000000
0.074160119534
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
3.40000000
N
N
N
N
N
N
WINDSOR HOLDINGS III LLC
254900IXUJZ9H146T437
Windsor Holdings III LLC
97360AAA5
7470000.00000000
PA
USD
7374533.40000000
0.064515309479
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
8.50000000
N
N
N
N
N
N
Deutsche Post AG
8ER8GIG7CSMVD8VUFE78
Deutsche Post AG
000000000
1146100.00000000
NS
46693411.75000000
0.408492272839
Long
EC
CORP
DE
N
1
N
N
N
Glencore PLC
2138002658CPO9NBH955
Glencore PLC
000000000
50289400.00000000
NS
288321680.08000000
2.522351098169
Long
EC
CORP
JE
N
1
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAD0
5000000.00000000
PA
USD
2862500.00000000
0.025042272285
Long
DBT
CORP
NL
N
2
2050-08-03
Fixed
4.03000000
N
N
N
N
N
N
Imagefirst Holdings, LLC
N/A
Imagefirst Holdings, LLC 2021 Term Loan
45249TAJ1
4566548.24000000
PA
USD
4526590.94000000
0.039600392260
Long
LON
CORP
US
N
2
2028-04-27
Variable
10.47000000
N
N
N
N
N
N
Houston Galleria Mall Trust
N/A
Houston Galleria Mall Trust 2015-HGLR
44217NAC0
8033750.00000000
PA
USD
7525083.72000000
0.065832382704
Long
ABS-MBS
CORP
US
N
2
2037-03-05
Fixed
3.09000000
N
N
N
N
N
N
Amur Equipment Finance Receivables LLC
549300LUWIM31186Z163
Amur Equipment Finance Receivables VIII LLC
03237PAE3
5536361.51000000
PA
USD
5534150.29000000
0.048414916483
Long
ABS-O
CORP
US
N
2
2027-01-20
Fixed
7.00000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Home Lending Mortgage Trust 2019-1
16159WCB8
745502.80000000
PA
USD
297139.75000000
0.002599495031
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.89000000
N
N
N
N
N
N
Regions Financial Corp
CW05CS5KW59QTC0DG824
Regions Financial Corp
7591EP100
10976144.00000000
NS
USD
188789676.80000000
1.651606110464
Long
EC
CORP
US
N
1
N
N
N
KEHE DISTRIBUTORS LLC/FI
N/A
KeHE Distributors LLC / KeHE Finance Corp
487526AB1
5168000.00000000
PA
USD
5159472.80000000
0.045137090902
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
8.63000000
N
N
N
N
N
N
ACCO BRANDS CORP
JCT8P4Y190IH4I1NX328
ACCO Brands Corp
00081TAK4
7500000.00000000
PA
USD
6265575.00000000
0.054813706612
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.25000000
N
N
N
N
N
N
Solvay SA
549300MMVL80RTBP3O28
Solvay SA
000000000
406700.00000000
NS
45083781.78000000
0.394410598782
Long
EC
CORP
BE
N
1
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2019-3
78432BAJ8
54013818.08000000
PA
USD
254383.48000000
0.002225446417
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
0.38000000
N
N
N
N
N
N
ENTERPRISE TE PARTNERS
N/A
Enterprise TE Partners LP
872384AC6
7000000.00000000
PA
USD
6463940.00000000
0.056549081404
Long
DBT
CORP
US
N
2
2067-06-01
Variable
8.45000000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
Cleveland-Cliffs Inc
185899AG6
5000000.00000000
PA
USD
4989500.00000000
0.043650102208
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.75000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
CITIGROUP MORTGAGE LOAN TRUST 2021-J1
17329EBY2
615000.00000000
PA
USD
200455.07000000
0.001753659543
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.61000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-7
46591XCL7
1657780.91000000
PA
USD
819232.36000000
0.007166965877
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Variable
3.50000000
N
N
N
N
N
N
DARLING INGREDIENTS INC
L1N0SPPKS7EXZYUMZ898
Darling Ingredients Inc
237266AJ0
4050000.00000000
PA
USD
3837415.50000000
0.033571215310
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
6.00000000
N
N
N
N
N
N
ODEBRECHT OIL & FINANCE
N/A
Odebrecht Oil & Gas Finance Ltd
67576JAB7
2337727.00000000
PA
USD
53533.95000000
0.000468335983
Long
DBT
CORP
KY
N
2
2023-10-30
None
0.00000000
N
N
N
N
N
N
Taiwan Semiconductor Manufacturing Co Ltd
549300KB6NK5SBD14S87
Taiwan Semiconductor Manufacturing Co Ltd
000000000
18565000.00000000
NS
300785148.93000000
2.631386410158
Long
EC
CORP
TW
N
1
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-3
46654UCY9
1442800.90000000
PA
USD
412757.49000000
0.003610964350
Long
ABS-MBS
CORP
US
N
2
2052-08-25
Variable
2.22000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2020-INV1
36258KAV0
3075695.16000000
PA
USD
35870.29000000
0.000313807360
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
0.42000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Credit Trust
N/A
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2019-HP1
21055M101
400000.00000000
PA
USD
3256564.50000000
0.028489703030
Long
ABS-O
CORP
US
N
2
2026-12-15
None
0.00000000
N
N
N
N
N
N
Vodafone Group PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
000000000
315984524.00000000
NS
296166215.85000000
2.590978172653
Long
EC
CORP
GB
N
1
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QAZ5
5648000.00000000
PA
USD
3371912.48000000
0.029498812383
Long
DBT
CORP
MX
N
2
2041-06-02
Fixed
6.50000000
N
N
N
N
N
N
Sirius XM Radio Inc
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBA5
7500000.00000000
PA
USD
6850050.00000000
0.059926923064
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-AFC1 Trust
12657LAH7
84775552.84000000
PA
USD
686486.99000000
0.006005657336
Long
ABS-MBS
CORP
US
N
2
2056-03-25
Variable
0.25000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2020-INV1
36258KAU2
61704446.19000000
PA
USD
617.04000000
0.000005398107
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
0.00000000
N
N
N
N
N
N
NYC Commercial Mortgage Trust 2021-909
N/A
NYC Commercial Mortgage Trust 2021-909
67076XAA3
5000000.00000000
PA
USD
3517479.55000000
0.030772290183
Long
ABS-MBS
CORP
US
N
2
2043-04-10
Fixed
2.94000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Home Lending Mortgage Trust 2019-1
16159WCA0
477825.79000000
PA
USD
289958.12000000
0.002536667316
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.89000000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Securitization Trust 2021-1
12657TAA5
14000000.00000000
PA
USD
13984809.44000000
0.122344595934
Long
ABS-O
CORP
US
N
2
2026-06-16
Fixed
7.86000000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series 2021-ST9
91683MAB0
1415000.00000000
PA
USD
314737.04000000
0.002753443023
Long
ABS-O
CORP
US
N
2
2029-11-20
None
0.00000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2003-6
07384MXJ6
24046.81000000
PA
USD
24046.81000000
0.000210370921
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
6.05000000
N
N
N
N
N
N
ANTARES HOLDINGS
5493008EAIGV4283RM42
Antares Holdings LP
03666HAF8
3000000.00000000
PA
USD
2979750.00000000
0.026068021255
Long
DBT
CORP
US
N
2
2028-08-11
Fixed
7.95000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAD7
2000000.00000000
PA
USD
1578660.00000000
0.013810736617
Long
DBT
CORP
MA
N
2
2031-06-23
Fixed
3.75000000
N
N
N
N
N
N
BWX TECHNOLOGIES INC
549300NP85N265KWMS58
BWX Technologies Inc
05605HAB6
7500000.00000000
PA
USD
6639375.00000000
0.058083855566
Long
DBT
CORP
US
N
2
2028-06-30
Fixed
4.13000000
N
N
N
N
N
N
Novartis AG
5493007HIVTX6SY6XD66
Novartis AG
000000000
1323708.00000000
NS
135747495.45000000
1.187572312033
Long
EC
CORP
CH
N
1
N
N
N
CIM Trust
N/A
CIM Trust 2020-J1
12559YBM6
1294843.70000000
PA
USD
448616.08000000
0.003924669354
Long
ABS-MBS
CORP
US
N
2
2050-07-25
Variable
3.44000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-P1
14687B106
24000.00000000
PA
USD
2832676.52000000
0.024781364790
Long
ABS-O
CORP
US
N
2
2027-12-10
None
0.00000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCQ4
8000000.00000000
PA
USD
6400480.00000000
0.055993908443
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
064058AF7
1935000.00000000
PA
USD
1747730.70000000
0.015289833387
Long
DBT
CORP
US
N
2
2026-09-20
Fixed
4.63000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Credit Trust
N/A
Consumer Loan Underlying Bond CLUB Credit Trust 2020-P1
21055JAC2
346253.76000000
PA
USD
344827.32000000
0.003016684590
Long
ABS-O
CORP
US
N
2
2028-03-15
Fixed
4.61000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2021-INV1
64829WBB9
1955468.83000000
PA
USD
914273.59000000
0.007998423819
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.81000000
N
N
N
N
N
N
Mello Mortgage Capital Acceptance Trust
N/A
Mello Mortgage Capital Acceptance 2021-INV2
58549XBT9
7003847.47000000
PA
USD
262179.93000000
0.002293652819
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
0.70000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2020-2
33851KCB0
3338591.44000000
PA
USD
1575889.28000000
0.013786497272
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
3.61000000
N
N
N
N
N
N
Simon & Schuster, Inc.
N/A
Simon & Schuster, Inc.
000000000
1500000.00000000
PA
USD
1488750.00000000
0.013024168686
Long
LON
CORP
US
N
2
2030-09-27
None
0.00000000
N
N
N
N
N
N
Mello Mortgage Capital Acceptance Trust
N/A
Mello Mortgage Capital Acceptance 2021-INV3
585491BT9
9929885.39000000
PA
USD
259123.34000000
0.002266912571
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
0.55000000
N
N
N
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933Y105
1997740.00000000
NS
USD
205667333.00000000
1.799258464040
Long
EC
CORP
US
N
1
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
95344.41000000
0.000834110279
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
1913000.00000000
CHF
2188336.50000000
USD
2023-10-17
95344.41000000
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2020-EXP1
17328JAH0
725000.00000000
PA
USD
413957.96000000
0.003621466532
Long
ABS-MBS
CORP
US
N
2
2060-05-25
Variable
4.47000000
N
N
N
N
N
N
KEY BANK NA
HUX2X73FUCYHUVH1BK78
KeyBank NA/Cleveland OH
49327M3H5
10250000.00000000
PA
USD
8629167.50000000
0.075491340484
Long
DBT
CORP
US
N
2
2033-01-26
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2004-HYB2
17307GEF1
182557.43000000
PA
USD
156474.63000000
0.001368901411
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Variable
4.65000000
N
N
N
N
N
N
QBE Insurance Group Ltd
549300D2FBW76FPUSG65
QBE Insurance Group Ltd
74737EAA2
40000000.00000000
PA
USD
39968800.00000000
0.349662732766
Long
DBT
CORP
AU
N
2
2043-11-24
Fixed
7.50000000
N
N
N
N
N
N
Xperi Corporation
N/A
Xperi Corporation 2020 Term Loan B
98422BAB5
8167431.78000000
PA
USD
8143582.88000000
0.071243255847
Long
LON
CORP
US
N
2
2028-06-08
Variable
8.93000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2019-4
14686YAK3
32000.00000000
PA
USD
9074127.97000000
0.079384029129
Long
ABS-O
CORP
US
N
2
2026-10-15
None
0.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625H100
1664855.00000000
NS
USD
241437272.10000000
2.112187915426
Long
EC
CORP
US
N
1
N
N
N
Nathan's Famous Inc
54930034SKNSF1JIE673
Nathan's Famous Inc
632347AC4
5000000.00000000
PA
USD
4979300.00000000
0.043560868609
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
6.63000000
N
N
N
N
N
N
Equinor ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
000000000
4622100.00000000
NS
151734460.32000000
1.327432548645
Long
EC
CORP
NO
N
1
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAF0
5000000.00000000
PA
USD
4975100.00000000
0.043524125362
Long
DBT
CORP
GB
N
2
2027-07-27
Fixed
6.13000000
N
N
N
N
N
N
COMPASS MINERALS INTERNA
2549008X9G8XP7YJGC47
Compass Minerals International Inc
20451NAG6
3000000.00000000
PA
USD
2842920.00000000
0.024870978769
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
6.75000000
N
N
N
N
N
N
Chimera Investment Corp
2JBBQFJOL123LOUBE657
Chimera Investment Corp
16934Q208
14843587.00000000
NS
USD
81045985.02000000
0.709022052246
Long
EC
US
N
1
N
N
N
Proper Pass-Thru Trust II
549300DCN6PLVC4QVK93
Prosper Pass-Thru Trust II Series 2019-St2
74361EAC1
8738067.00000000
PA
USD
729226.64000000
0.006379560550
Long
ABS-O
CORP
US
N
2
2025-11-15
None
0.00000000
N
N
N
N
N
N
OPEN TEXT HOLDINGS INC
N/A
Open Text Holdings Inc
683720AA4
10000000.00000000
PA
USD
8371600.00000000
0.073238039011
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.13000000
N
N
N
N
N
N
Fat Brands Fazoli's Native I, LLC
N/A
FAT Brands Fazoli's Native I LLC
31200BAA6
14187000.00000000
PA
USD
12430243.65000000
0.108744644913
Long
ABS-O
CORP
US
N
2
2051-07-25
Fixed
7.00000000
N
N
N
N
N
N
Mercedes-Benz Group AG
529900R27DL06UVNT076
Mercedes-Benz Group AG
000000000
1089600.00000000
NS
75903942.49000000
0.664037448179
Long
EC
CORP
DE
N
1
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-AFC1 Trust
12657LAJ3
84775552.84000000
PA
USD
14381302.74000000
0.125813274774
Long
ABS-MBS
CORP
US
N
2
2056-03-25
Variable
3.30000000
N
N
N
N
N
N
AMER AIRLINE 16-3 B PTT
N/A
American Airlines 2016-3 Class B Pass Through Trust
023771S41
9478713.76000000
PA
USD
8856057.05000000
0.077476259223
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.75000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2019-2
33845W109
33000.00000000
PA
USD
1506882.00000000
0.013182794531
Long
ABS-O
CORP
US
N
2
2026-12-15
None
0.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-4
46652FCE8
894904.22000000
PA
USD
593350.01000000
0.005190858519
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Variable
3.65000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2019-1
33844RAL5
6000.00000000
PA
USD
101778.66000000
0.000890399621
Long
ABS-O
CORP
US
N
2
2026-06-15
None
0.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-7
46591XCK9
2365597.44000000
PA
USD
1796843.64000000
0.015719492642
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Variable
3.50000000
N
N
N
N
N
N
2024-05-23
THORNBURG INVESTMENT TRUST
Christopher Luckham
Christopher Luckham
Manager - Fund Admin