blank row 06/30/2020 jpmorgan income fund us · jpmorgan income fund us 06/30/2020 blank row asset...

JPMORGAN INCOME FUND US09/30/2020Blank Row

Asset Name Shares Value (USD) %

1011778 BC 3.875% 01/28 1,970,000.00 2,007,036.00 0.03%

1011778 BC 4.25% 05/24 1,658,000.00 1,688,590.10 0.03%

1011778 BC ULC 5% 10/25 2,725,000.00 2,794,106.00 0.05%

20 TIMES SQUARE VAR 05/35 600,000.00 548,438.64 0.01%

5AIF JUNIPER 2 LLC 2018-1 A 5.45% 15/AUG/2022 966,957.56 966,957.56 0.02%

ABFC 2002-OPT1 FLT 05/32 245,610.69 243,339.48 0.00%

ACADIA 5.625% 02/23 738,000.00 742,612.50 0.01%

ACADIA 6.5% 03/24 211,000.00 216,538.75 0.00%

ACC 10.5 15JAN21 7,357,398.37 7,357,398.37 0.12%

ACC TRUST 2018-1 2018-1 C 6.81% 21/FEB/2023 5,771,669.53 5,811,209.51 0.10%

ACC TRUST 2019-1 2019-1 A 3.75% 20/MAY/2022 86,173.38 86,762.24 0.00%

ACC TRUST 2019-1 2019-1 B 4.47% 20/OCT/2022 4,133,000.00 4,142,069.04 0.07%

ACC TRUST 2019-1 2019-1 C 6.41% 20/FEB/2024 2,280,000.00 2,237,537.05 0.04%

ACC TRUST 2019-2 2019-2 A 2.82% 21/FEB/2023 3,192,284.58 3,211,239.41 0.05%

ACC TRUST 2019-2 2019-2 B 3.63% 21/AUG/2023 12,470,000.00 12,566,557.70 0.21%

ACC TRUST 2019-2 2019-2 C 5.24% 21/OCT/2024 11,285,000.00 11,066,632.99 0.18%

ACC TRUST 2020-A 2020-A A 6% 20/MAR/2023 5,827,342.45 5,988,608.91 0.10%

ACCELERATED 4.51% 12/33 367,233.58 371,438.51 0.01%

ACCELERATED 6.65% 12/33 795,674.94 824,720.02 0.01%

ACCO BRANDS 5.25% 12/24 2,689,000.00 2,752,863.75 0.05%

ACI 5.75% 08/26 605,000.00 638,916.30 0.01%

ACRE TL 2017-B 500,000.00 495,000.00 0.01%

ADIENT 4.875% 08/26 3,620,000.00 3,448,050.00 0.06%

ADIENT US LLC 7% 05/26 4,760,000.00 5,097,888.60 0.08%

ADJUSTABLE RATE VAR 05/36 1,699,447.41 1,621,132.79 0.03%

ADT 4.125% 06/23 246,000.00 257,838.75 0.00%

ADT 4.875% 07/32 1,405,000.00 1,419,050.00 0.02%

ADVANCED 5% 09/27 125,000.00 130,625.00 0.00%

ADVANZ PHARMA 8% 09/24 395,000.00 387,100.00 0.01%

Advanz Pharma Corp.-Initial Dollar Term Loan LIBOR 674,381.79 653,307.36 0.01%

AECOM 5.125% 03/27 4,208,000.00 4,545,144.96 0.08%

AES 5.125% 09/27 500,000.00 532,550.00 0.01%

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AES CORP/THE 5.5% 04/25 3,838,000.00 3,957,246.66 0.07%

AFFIRM ASSET 2.95% 02/25 8,000,000.00 8,014,212.80 0.13%

AHERN 7.375% 05/23 835,000.00 442,550.00 0.01%

AIR MEDICAL 6.375% 05/23 375,000.00 375,000.00 0.01%

ALBERTSONS 3.25% 03/26 1,787,000.00 1,773,275.84 0.03%

ALBERTSONS 3.5% 03/29 1,783,000.00 1,730,624.38 0.03%

ALBERTSONS 4.625% 01/27 1,755,000.00 1,795,698.45 0.03%

ALBERTSONS 4.875% 02/30 1,160,000.00 1,209,300.00 0.02%

ALBERTSONS 5.75% 03/25 6,573,000.00 6,780,378.15 0.11%

ALBERTSONS 5.875% 02/28 1,317,000.00 1,405,897.50 0.02%

ALBERTSONS 7.5% 03/26 1,980,000.00 2,172,139.20 0.04%

ALCOA 6.125% 05/28 2,625,000.00 2,766,093.75 0.05%

ALCOA 6.75% 09/24 6,290,000.00 6,486,562.50 0.11%

ALCOA INC 5.9% 02/27 3,054,000.00 3,296,029.50 0.05%

ALCOA INC 6.75% 01/28 118,000.00 129,800.00 0.00%

ALCOA NEDERLAND 7% 09/26 945,000.00 989,887.50 0.02%

ALLEGHENY 7.875% 08/23 135,000.00 138,052.35 0.00%

ALLIED 6.625% 07/26 1,542,000.00 1,642,230.00 0.03%

ALLIED 9.75% 07/27 72,000.00 78,229.44 0.00%

ALLISON 4.75% 10/27 1,648,000.00 1,695,380.00 0.03%

ALLISON 5.875% 06/29 3,485,000.00 3,769,027.50 0.06%

ALLISON 5% 10/24 2,130,000.00 2,151,427.80 0.04%

ALLY 4.125% 02/22 35,000.00 36,312.54 0.00%

ALLY 4.625% 03/25 1,366,000.00 1,500,188.26 0.02%

ALLY 5.125% 09/24 128,000.00 142,730.40 0.00%

ALLY 5.75% 11/25 5,925,000.00 6,651,276.78 0.11%

ALLY FINANCIAL 8% 11/31 418,000.00 571,919.76 0.01%

ALTERNATIVE 5.25% 07/35 27,783.76 26,674.49 0.00%

ALTERNATIVE 5.5% 07/35 77,492.21 75,517.10 0.00%

ALTERNATIVE 5.5% 12/35 348,712.59 284,553.41 0.00%

ALTERNATIVE 5.5% 12/35 534,134.41 521,739.29 0.01%

ALTERNATIVE 5.75% 01/37 656,938.30 512,539.71 0.01%

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ALTERNATIVE 6.25% 09/34 32,541.79 33,973.53 0.00%

ALTERNATIVE LOAN 6% 11/34 21,225.73 21,528.68 0.00%

ALTICE 10.5% 05/27 3,332,000.00 3,702,685.00 0.06%

ALTICE 7.375% 05/26 11,290,000.00 11,830,791.00 0.20%

ALTICE 7.5% 05/26 7,710,000.00 8,161,266.30 0.14%

ALTICE 8.125% 02/27 400,000.00 435,884.00 0.01%

ALTICE FRANCE 6% 02/28 1,450,000.00 1,382,995.50 0.02%

AMC 12% 06/26 2,432,000.00 680,960.00 0.01%

AMC ENTMT HLDGS INC 915,000.00 658,800.00 0.01%

AMC NETWORKS 4.75% 08/25 1,785,000.00 1,845,145.58 0.03%

AMC NETWORKS 5% 04/24 2,730,000.00 2,791,425.00 0.05%

AMERICAN AXLE & MANUFACTURING INC CALLABLE NOTES FIXED 828,000.00 801,338.40 0.01%

AMERICAN AXLE & MANUFACTURING INC CALLABLE NOTES FIXED 3,140,000.00 3,037,950.00 0.05%

AMERICAN AXLE & MANUFACTURING INC CALLABLE NOTES FIXED 9,630,000.00 9,530,811.00 0.16%

AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2016-4 201 89,654.78 89,826.01 0.00%

AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2017-2 201 1,330,000.00 1,345,696.13 0.02%

















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AMERICAN WOODMARK CORP BOND FIXED 4.875% 15/MAR/2026 US 1,525,000.00 1,544,062.50 0.03%

AMERICREDIT 3.62% 03/25 495,000.00 516,311.83 0.01%

AMERIGAS 5.5% 05/25 3,952,000.00 4,243,657.60 0.07%

AMERIGAS 5.625% 05/24 189,000.00 199,941.21 0.00%

AMERIGAS 5.75% 05/27 277,000.00 303,315.00 0.01%

AMERIGAS 5.875% 08/26 2,038,000.00 2,240,230.74 0.04%

AMERIQUEST FLT 12/33 256,328.38 254,059.87 0.00%

AMKOR 6.625% 09/27 788,000.00 845,421.56 0.01%

AMN 5.125% 10/24 420,000.00 429,975.00 0.01%

AMSR 2019-SFR1 TRUST 2019-SFR1 F VARIABLE 19/JAN/2039 5,310,000.00 5,301,491.26 0.09%

AMSR 2019-SFR1 TRUST 2019-SFR1 G VARIABLE 19/JAN/2039 2,125,000.00 2,115,932.41 0.04%

AMSR 2019-SFR1 TRUST 2019-SFR1 H VARIABLE 19/JAN/2039 2,125,000.00 2,112,841.18 0.04%

AMSR 2020-SFR2 TRUST 2020-SFR2 E2 4.277% 17/JUL/2037 10,005,000.00 10,521,132.94 0.17%

AMSR 2020-SFR4 TRUST 2020-SFR4 F 2.856% 17/NOV/2037 14,250,000.00 14,249,900.25 0.24%

AMSTED 5.625% 07/27 116,000.00 123,403.12 0.00%

ANGEL OAK 4% 08/21 93,271.13 93,346.21 0.00%

ANGEL OAK VAR 10/49 2,470,000.00 2,435,449.15 0.04%

ANGEL OAK VAR 10/49 8,000,000.00 7,831,615.20 0.13%

ANGEL OAK VAR 12/59 1,550,000.00 1,515,975.18 0.03%

ANGEL OAK VAR 12/59 4,400,000.00 4,296,632.12 0.07%

ANTERO 5.125% 12/22 7,592,000.00 6,187,480.00 0.10%

ANTERO 5.375% 09/24 4,290,000.00 3,667,950.00 0.06%

ANTERO 5.625% 06/23 300,000.00 217,500.00 0.00%

ANTERO 5.75% 01/28 695,000.00 571,637.50 0.01%

ANTERO 5.75% 03/27 675,000.00 558,562.50 0.01%

ANTLER 4.335% 07/22 988,337.50 990,428.33 0.02%

ANTLER MORTGAGE VAR 01/23 3,000,000.00 3,022,146.00 0.05%

ANTLER MORTGAGE VAR 08/22 2,000,000.00 2,049,538.00 0.03%

ANTLER STEP 05/23 1,700,000.00 1,420,961.83 0.02%

APACHE CORP 4.625% 11/25 2,304,000.00 2,196,000.00 0.04%

AQUA FINANCE TRUST 2019-A 2019-A C 4.01% 16/JUL/2040 7,400,000.00 7,455,210.66 0.12%

AQUA FINANCE TRUST 2020-A 2020-AA C 3.97% 17/JUL/2046 4,250,000.00 4,285,807.95 0.07%

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ARAMARK 5% 02/28 4,951,000.00 4,988,132.50 0.08%

ARAMARK 5% 04/25 620,000.00 628,928.00 0.01%

ARBOR REALTY 4.5% 03/27 20,000,000.00 18,401,771.20 0.31%

ARCHROCK 6.875% 04/27 1,701,000.00 1,633,317.21 0.03%

ARCONIC 6.125% 02/28 1,434,000.00 1,472,538.75 0.02%

ARCONIC INC CALLABLE NOTES FIXED 5.4% 110,000.00 118,094.90 0.00%

ARDAGH 5.25% 08/27 6,882,000.00 7,012,758.00 0.12%

ARDAGH 6% 02/25 1,736,000.00 1,802,488.80 0.03%

ARIVO 3.37% 06/25 4,500,000.00 4,540,815.90 0.08%

ARIVO 4.35% 06/26 1,500,000.00 1,497,577.50 0.02%

ARROYO MORTGAGE VAR 04/49 1,520,603.52 1,559,886.18 0.03%

ARROYO MORTGAGE VAR 10/48 1,000,000.00 1,038,979.00 0.02%

ASCEND 6.875% 08/25 1,350,000.00 1,373,908.50 0.02%

ASCENT 7% 11/26 3,495,000.00 2,673,675.00 0.04%

ASHTEAD 4.125% 08/25 2,000,000.00 2,052,500.00 0.03%

ASHTEAD 4.375% 08/27 500,000.00 520,000.00 0.01%

ASHTEAD CAPITAL 4% 05/28 2,630,000.00 2,728,625.00 0.05%

ATS 6.5% 06/23 530,000.00 535,300.00 0.01%

AVANTOR 4.625% 07/28 2,257,000.00 2,341,637.50 0.04%

AVANTOR INC 6% 10/24 7,180,000.00 7,503,100.00 0.12%

AVIS BUDGET 10.5% 05/25 1,000,000.00 1,140,000.00 0.02%

AVIS BUDGET 2.02% 02/27 3,750,000.00 3,782,645.63 0.06%

AVIS BUDGET 2.36% 03/26 13,500,000.00 13,784,601.60 0.23%

AVIS BUDGET 2.65% 03/26 3,000,000.00 3,010,068.00 0.05%

AVIS BUDGET 2.72% 11/22 1,400,000.00 1,420,862.66 0.02%

AVIS BUDGET 2.96% 02/27 1,800,000.00 1,826,973.18 0.03%

AVIS BUDGET 3.07% 09/23 1,500,000.00 1,535,388.90 0.03%

AVIS BUDGET 3.35% 09/25 5,385,000.00 5,685,827.64 0.09%

AVIS BUDGET 3.45% 03/23 5,656,000.00 5,787,636.61 0.10%

AVIS BUDGET 4.24% 09/25 3,000,000.00 3,073,467.60 0.05%

AVIS BUDGET 4.25% 02/27 1,800,000.00 1,845,153.18 0.03%

AVIS BUDGET 4.73% 09/24 560,000.00 580,199.31 0.01%

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AVIS BUDGET 5.25% 03/25 3,436,000.00 3,126,931.80 0.05%

AVIS BUDGET 5.75% 07/27 648,000.00 584,457.12 0.01%

AVIS BUDGET 6.375% 04/24 1,015,000.00 964,554.50 0.02%

AVOLON 5.125% 10/23 160,000.00 160,400.00 0.00%

AVOLON 5.25% 05/24 355,000.00 356,574.66 0.01%

AXALTA 4.75% 06/27 4,470,000.00 4,592,925.00 0.08%

AXALTA 4.875% 08/24 800,000.00 816,000.00 0.01%

AXALTA DUPONT PC US200 6/21/24 - LX1631000 258,696.69 252,275.84 0.00%

B&G FOODS 5.25% 04/25 2,741,000.00 2,816,377.50 0.05%

BALL CORP CALLABLE BOND FIXED 4% 15/NOV/2023 USD 1000 40,000.00 42,460.00 0.00%

BAMLL RE-REMIC ZERO 06/23 7,500,000.00 6,412,882.50 0.11%

BANC OF 5.5% 04/20 3,558.60 3,531.41 0.00%

BANC OF AMERICA FLT 07/37 457,338.03 294,634.54 0.00%

BANC OF AMERICA VAR 02/51 193,120.20 204,321.02 0.00%

BANCORP FLT 03/36 1,000,000.00 908,686.90 0.02%

BANK 2017-BNK7 2017-BNK7 D 2.708% 15/SEP/2060 1,000,000.00 777,190.20 0.01%

BANK 2017-BNK9 2017-BNK9 D 2.8% 15/NOV/2054 2,149,000.00 1,675,788.27 0.03%

BANK 2018-BNK12 2018-BN12 D 3% 15/MAY/2061 1,250,000.00 823,841.00 0.01%

BANK 2019-BNK19 2019-BN19 XA VARIABLE 15/AUG/2061 22,250,757.52 1,551,180.41 0.03%

BANK 2019-BNK20 2019-BN20 XA VARIABLE 15/SEP/2062 55,231,087.10 3,402,947.45 0.06%

BANK 2019-BNK21 2019-BN21 XA VARIABLE 17/OCT/2052 125,780,648.42 8,126,322.93 0.14%

BANK 2019-BNK23 2019-BN23 E 2.5% 15/DEC/2052 3,000,000.00 2,073,079.20 0.03%

BANK 2019-BNK23 2019-BN23 XA VARIABLE 15/DEC/2052 38,990,355.30 2,165,738.78 0.04%

BANK 2019-BNK24 2019-BN24 XA VARIABLE 15/NOV/2062 100,538,751.80 5,211,034.10 0.09%

BANK 2020-BNK25 2020-BN25 E 2.5% 15/JAN/2063 4,250,000.00 2,984,750.35 0.05%

BANK 2020-BNK25 2020-BN25 XA VARIABLE 15/JAN/2063 81,548,476.76 5,680,479.33 0.09%

BANK 2020-BNK26 2020-BN26 D 2.5% 15/MAR/2063 3,250,000.00 2,727,694.13 0.05%

BANK OF AMERICA CORP CALLABLE BOND VARIABLE USD 1000 716,000.00 779,444.76 0.01%

BARCLAYS 3.25% 08/52 3,410,000.00 2,678,892.25 0.04%

BARCLAYS VAR 11/52 96,485,988.25 5,757,589.08 0.10%

BATTALION OIL CORP COMMON STOCK USD 0.0001 667.00 5,269.30 0.00%

BAUSCH 5.25% 01/30 2,673,000.00 2,633,599.98 0.04%

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BAUSCH 5.75% 08/27 2,215,000.00 2,350,668.75 0.04%

BAUSCH 5.875% 05/23 45,000.00 44,775.00 0.00%

BAUSCH 6.125% 04/25 5,981,000.00 6,123,048.75 0.10%

BAUSCH 7.25% 05/29 156,000.00 167,895.00 0.00%

BAUSCH 9.25% 04/26 10,452,000.00 11,497,200.00 0.19%

BAUSCH HEALTH 5.5% 03/23 7,000.00 6,973.75 0.00%

BAUSCH HEALTH 5.5% 11/25 11,580,000.00 11,855,025.00 0.20%

BAUSCH HEALTH 5% 01/28 6,204,000.00 6,025,635.00 0.10%

BAUSCH HEALTH 7% 01/28 140,000.00 148,050.00 0.00%

BAUSCH HEALTH 7% 03/24 2,949,000.00 3,052,215.00 0.05%

BAUSCH HEALTH 8.5% 01/27 4,349,000.00 4,778,463.75 0.08%

BAUSCH HEALTH 9% 12/25 6,215,000.00 6,760,677.00 0.11%

BBCMS 2018-TALL FLT 03/37 6,000,000.00 5,554,845.60 0.09%

BEACON 4.875% 11/25 2,875,000.00 2,817,500.00 0.05%

BEAR STEARNS STEP 09/33 119,438.68 115,241.31 0.00%

BEAR STEARNS VAR 08/34 142,539.96 145,002.00 0.00%

BELLEMEADE RE FLT 03/29 1,000,000.00 930,294.50 0.02%

BELLEMEADE RE FLT 07/29 1,000,000.00 886,765.20 0.01%

BELLEMEADE RE FLT 10/28 619,393.82 614,972.90 0.01%

BELLEMEADE RE FLT 10/28 1,140,000.00 1,097,936.62 0.02%

BENCHMARK 3% 05/52 1,900,000.00 1,548,364.34 0.03%

BERRY 4.875% 07/26 7,076,000.00 7,420,955.00 0.12%

BERRY 5.125% 07/23 80,000.00 81,208.00 0.00%

BERRY GLOBAL 4.5% 02/26 525,000.00 530,250.00 0.01%

BLUE RACER 6.125% 11/22 7,705,000.00 7,516,612.75 0.12%

BLUE RACER 6.625% 07/26 905,000.00 796,400.00 0.01%

BLUEMOUNTAIN FLT 11/28 600,000.00 540,728.40 0.01%

BOMBARDIER 7.5% 03/25 5,000,000.00 3,756,250.00 0.06%

BOMBARDIER 7.5% 12/24 589,000.00 452,054.56 0.01%

BOMBARDIER INC 6% 10/22 338,000.00 312,650.00 0.01%

BOYD GAMING 6.375% 04/26 2,069,000.00 2,154,222.11 0.04%

BOYD GAMING 6% 08/26 1,625,000.00 1,675,781.25 0.03%

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BOYNE USA 7.25% 05/25 594,000.00 620,730.00 0.01%

BRINK'S 4.625% 10/27 995,000.00 993,457.75 0.02%

BROOKFIELD 5.75% 05/26 3,421,000.00 2,695,987.47 0.04%

BUCKEYE 3.95% 12/26 2,260,000.00 2,109,438.80 0.04%

BUCKEYE 4.125% 03/25 1,635,000.00 1,561,425.00 0.03%

BUCKEYE 4.125% 12/27 1,610,000.00 1,525,475.00 0.03%

BUCKEYE 4.15% 07/23 1,855,000.00 1,831,422.95 0.03%

BUCKEYE 4.5% 03/28 1,635,000.00 1,575,731.25 0.03%

BUILDERS 6.75% 06/27 1,696,000.00 1,816,840.00 0.03%

BUSINESS JET 4.212% 07/34 9,809,057.31 9,830,762.79 0.16%

BUSINESS JET 4.335% 02/33 254,082.48 254,531.24 0.00%

BUSINESS JET 4.447% 06/33 15,095,806.60 15,093,071.24 0.25%

BUSINESS JET 6.048% 02/33 969,300.70 981,412.11 0.02%

BUSINESS JET 6.656% 06/33 917,707.90 919,113.00 0.02%

BUSINESS JET 6.948% 07/34 5,142,293.72 5,134,429.61 0.09%

BWX 5.375% 07/26 1,885,000.00 1,958,043.75 0.03%

BX 3.543% 03/44 19,350,000.00 19,431,730.53 0.32%

BX COMMERCIAL VAR 03/44 22,675,000.00 21,685,351.89 0.36%

BXG 4.44% 02/34 1,965,694.86 1,977,376.59 0.03%

C&W SENIOR 6.875% 09/27 2,620,000.00 2,721,525.00 0.05%

CAESARS 5.25% 10/25 2,240,000.00 2,167,200.00 0.04%

CAESARS 5.75% 07/25 234,000.00 241,312.50 0.00%

CALIFORNIA RESOURCES CORPORATION - LX1695690 220,000.00 79,138.40 0.00%

CALLON 6.125% 10/24 294,000.00 83,790.00 0.00%

CALLON 6.25% 04/23 1,687,000.00 539,840.00 0.01%

CALLON 6.375% 07/26 159,000.00 38,955.00 0.00%

CALPINE 4.625% 02/29 1,000,000.00 998,750.00 0.02%

CALPINE CORP NOTES 6,286,000.00 6,537,880.02 0.11%

CAMB COMMERCIAL FLT 12/37 1,000,000.00 945,852.00 0.02%

CAMILLO 5.5% 06/27 959,200.60 959,200.60 0.02%

CARS-DB4 LP 2020-1A A4 3.19% 15/FEB/2050 3,500,000.00 3,586,326.10 0.06%

CARS-DB4 LP 2020-1A A5 3.48% 15/FEB/2050 3,000,000.00 3,116,118.90 0.05%

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CARS-DB4 LP 2020-1A B1 4.17% 15/FEB/2050 3,500,000.00 3,591,142.10 0.06%

CARS-DB4 LP 2020-1A B2 4.52% 15/FEB/2050 4,290,000.00 4,432,986.13 0.07%

CARS-DB4 LP 2020-1A B3 4.95% 15/FEB/2050 4,510,000.00 4,603,236.58 0.08%

CART 5.64 15FEB24 1,001,458.87 973,137.61 0.02%

CARVANA AUTO 3.07% 07/25 4,591,000.00 4,723,743.71 0.08%

CARVANA AUTO 3.88% 10/24 2,000,000.00 2,069,232.80 0.03%

CARVANA AUTO 4.6% 07/26 9,700,000.00 9,931,837.76 0.17%

CARVANA AUTO 4.7% 10/26 6,990,000.00 7,112,931.03 0.12%

CARVANA AUTO 5.01% 04/26 3,000,000.00 3,059,280.60 0.05%

CARVANA AUTO 5.64% 01/26 500,000.00 520,232.85 0.01%

CASCADE MH VAR 11/44 8,022,498.58 8,269,279.46 0.14%

CATALENT 4.875% 01/26 277,000.00 282,540.00 0.00%

CATALENT PHARMA 5% 07/27 980,000.00 1,019,200.00 0.02%

CCM MERGER INC 6% 03/22 1,038,000.00 1,023,239.64 0.02%

CCO 5.125% 05/27 20,640,000.00 21,717,820.80 0.36%

CCO 5.375% 05/25 265,000.00 272,618.75 0.00%

CCO 5.375% 06/29 1,229,000.00 1,331,928.75 0.02%

CCO 5.875% 05/27 3,524,000.00 3,699,847.60 0.06%

CCO HOLDINGS 4.25% 02/31 4,673,000.00 4,840,766.87 0.08%

CCO HOLDINGS 4.75% 03/30 4,817,000.00 5,099,998.75 0.08%

CCO HOLDINGS 5.5% 05/26 3,082,000.00 3,212,985.00 0.05%

CCO HOLDINGS 5.75% 02/26 10,531,000.00 10,952,240.00 0.18%

CCO HOLDINGS 5% 02/28 12,412,000.00 13,048,115.00 0.22%

CD 2017-CD3 3.25% 02/50 700,000.00 524,118.98 0.01%

CD 2017-CD5 3.35% 08/50 266,000.00 179,458.66 0.00%

CDI CDX.NA 1 USD0625 9,950,000.00 371,376.79 0.01%

CDI CDX.NA 1 USD0625 10,630,000.00 396,757.31 0.01%

CDI CDX.NA 1 USD0625 16,150,000.00 602,787.45 0.01%

CDI CDX.NA 1 USD0625 40,390,000.00 1,507,528.49 0.03%

CDI CDX.NA 1 USD0625 40,409,000.00 1,508,237.65 0.03%

CDI CDX.NA 1 USD0625 59,500,000.00 2,220,795.87 0.04%

CDI CDX.NA 1 USD1224 12,381,000.00 340,622.43 0.01%

S-586-564-953 01-Oct-2020 01:02:36



CDI CDX.NA 1 USD1224 99,045,000.00 2,724,896.89 0.05%

CDI CDX.NA 5 USD1225 129,115,000.00 (5,405,770.32) -0.09%

CDI CDX.NA 5 USD1225 129,115,000.00 (5,405,770.32) -0.09%

CDK GLOBAL 4.875% 06/27 2,890,000.00 3,041,725.00 0.05%

CDK GLOBAL 5.25% 05/29 1,639,000.00 1,745,535.00 0.03%

CDS CMBX.N 3 USD0861 2,500,000.00 (590,688.75) -0.01%

CDS CMBX.N 3 USD0861 5,000,000.00 (1,181,377.50) -0.02%

CDS CMBX.N 3 USD0861 5,000,000.00 (1,181,377.50) -0.02%

CDS CMBX.N 3 USD0861 5,000,000.00 (1,181,377.50) -0.02%

CDS CMBX.N 3 USD0861 5,000,000.00 (1,181,377.50) -0.02%

CDS CMBX.N 3 USD0861 5,500,000.00 (1,299,515.25) -0.02%

CDS CMBX.N 3 USD0861 7,500,000.00 (1,772,066.25) -0.03%

CDS CMBX.N 3 USD0861 8,017,000.00 (1,894,220.68) -0.03%

CDS CMBX.N 3 USD0861 12,500,000.00 (2,953,443.75) -0.05%

CDS CMBX.N 3 USD0861 12,500,000.00 (2,953,443.75) -0.05%

CDS CMBX.N 3 USD0861 12,500,000.00 (2,953,443.75) -0.05%

CDW LLC / 4.25% 04/28 6,300,000.00 6,520,500.00 0.11%

CDW LLC / 5.5% 12/24 390,000.00 427,050.00 0.01%

CEDAR FAIR 5.25% 07/29 1,975,000.00 1,875,025.50 0.03%

CEDAR FAIR 5.375% 04/27 24,000.00 23,880.00 0.00%

CENOVUS 5.375% 07/25 2,950,000.00 2,838,633.55 0.05%

CENTENE 3.375% 02/30 1,140,000.00 1,182,750.00 0.02%

CENTENE 4.625% 12/29 3,950,000.00 4,260,707.00 0.07%

CENTENE 5.375% 06/26 8,395,000.00 8,860,670.65 0.15%

CENTENE CORP 3% 10/30 2,180,000.00 2,220,875.00 0.04%

CENTENE CORP 4.25% 12/27 3,261,000.00 3,412,408.23 0.06%

CENTENE CORP 4.75% 01/25 421,000.00 432,703.80 0.01%

CENTENE CORP NOTES 873,000.00 907,265.25 0.02%

CENTEX HOME STEP 08/32 147,051.70 153,126.58 0.00%

CENTRAL 5.125% 02/28 2,775,000.00 2,913,750.00 0.05%

CENTURYLINK 5.125% 12/26 6,300,000.00 6,472,557.00 0.11%

CENTURYLINK 5.625% 04/25 2,711,000.00 2,901,583.30 0.05%

S-586-564-953 01-Oct-2020 01:02:36



CENTURYLINK 6.75% 12/23 388,000.00 425,345.00 0.01%

CENTURYLINK 6.875% 01/28 17,000.00 19,085.90 0.00%

CENTURYLINK 7.5% 04/24 3,707,000.00 4,150,357.20 0.07%

CENTURYLINK INC 4% 02/27 5,090,000.00 5,170,981.90 0.09%

CF HIPPOLYTA LLC 2020-1 A1 1.69% 15/JUL/2060 6,000,000.00 6,066,716.40 0.10%

CF HIPPOLYTA LLC 2020-1 B1 2.28% 15/JUL/2060 4,450,000.00 4,526,929.38 0.08%

CFCRE VAR 11/49 800,000.00 751,481.36 0.01%

CFCRE VAR 11/49 1,900,000.00 1,481,848.38 0.02%

CGMS COMMERCIAL 3% 08/50 4,358,750.00 3,550,849.59 0.06%

CHARTER 4.908% 07/25 30,000.00 34,676.10 0.00%

CHARTER 6.384% 10/35 221,000.00 301,323.79 0.01%

CHEMOURS 6.625% 05/23 970,000.00 981,635.15 0.02%

CHEMOURS CO/THE 7% 05/25 7,326,000.00 7,362,630.00 0.12%

CHENIERE 4.5% 10/29 3,845,000.00 3,943,047.50 0.07%

CHENIERE 4.625% 10/28 4,180,000.00 4,289,725.00 0.07%

CHENIERE 5.25% 10/25 3,038,000.00 3,107,874.00 0.05%

CHENIERE 5.625% 10/26 32,000.00 33,280.00 0.00%

CHENIERE 5.875% 03/25 350,000.00 398,879.25 0.01%

CHESAPEAKE 11.5% 01/25 3,304,000.00 446,040.00 0.01%

CHL GMSR ISSUER TRUST 2018-GT1 A FLOATING 25/MAY/2023 840,000.00 806,365.22 0.01%

CHL GMSR ISSUER TRUST 2018-GT1 B FLOATING 25/MAY/2023 850,000.00 761,445.73 0.01%

CHS/COMMUNIT 8.125% 06/24 815,000.00 594,950.00 0.01%

CHS/COMMUNIT 8.625% 01/24 5,285,000.00 5,258,575.00 0.09%

CHS/COMMUNITY 6.25% 03/23 4,288,000.00 4,191,520.00 0.07%

CHS/COMMUNITY 8% 03/26 101,000.00 99,170.64 0.00%

CIG AUTO 1.55% 01/25 900,000.00 901,478.70 0.01%

CIG AUTO 1.75% 01/26 1,460,000.00 1,459,442.13 0.02%

CIG AUTO 4.85% 05/26 1,660,000.00 1,686,548.21 0.03%

CIM TRUST FLT 08/49 5,289,558.39 5,279,809.73 0.09%

CINCINNATI BELL 7% 07/24 1,740,000.00 1,791,138.60 0.03%

CINCINNATI BELL 8% 10/25 325,000.00 343,281.25 0.01%

Cincinnati Bell Inc. - LX1671560 205,698.47 205,570.94 0.00%

S-586-564-953 01-Oct-2020 01:02:36



CINEMARK 4.875% 06/23 3,316,000.00 2,835,180.00 0.05%

CIT GROUP 5.25% 03/25 1,094,000.00 1,157,452.00 0.02%

CITICORP 5.5% 11/35 54,818.65 54,252.52 0.00%

CITIGROUP 3.172% 09/58 8,000,000.00 5,861,000.00 0.10%

CITIGROUP 3.225% 09/48 2,285,000.00 1,778,757.56 0.03%

CITIGROUP 3.25% 04/50 1,294,000.00 1,032,502.66 0.02%

CITIGROUP 3% 08/56 5,000,000.00 3,833,589.00 0.06%

CITIGROUP 3% 10/50 2,952,500.00 2,358,228.77 0.04%

CITIGROUP 5.25% 09/33 115,239.15 116,882.46 0.00%

CITIGROUP 6.5% 08/19 6,235.80 6,209.70 0.00%

CITIGROUP INC CALLABLE BOND VARIABLE USD 1000 43,000.00 42,379.52 0.00%

CITIGROUP INC CALLABLE BOND VARIABLE USD 1000 83,000.00 92,188.10 0.00%

CITIGROUP INC CALLABLE NOTES VARIABLE USD 1000 865,000.00 887,490.00 0.01%

CITIGROUP INC VAR 12/49 4,714,000.00 4,937,915.00 0.08%

CITIGROUP VAR 01/36 790,000.00 808,141.17 0.01%

CITIGROUP VAR 02/53 165,877,588.91 12,259,000.74 0.20%

CITIGROUP VAR 05/36 4,500,000.00 4,624,193.25 0.08%

CITIGROUP VAR 06/48 3,800,000.00 3,403,651.64 0.06%

CITIGROUP VAR 09/45 1,875,000.00 1,553,936.81 0.03%

CITIGROUP VAR 09/58 4,330,000.00 2,591,692.49 0.04%

CLAIRE'S STORES INC 9.00 4,950.00 0.00%

Claire's Stores, Inc.-Initial Term Loan LIBOR+6.5 12,398.86 9,505.83 0.00%

CLARIOS 6.25% 05/26 2,900,000.00 3,040,795.00 0.05%

CLARIOS 8.5% 05/27 2,780,000.00 2,884,250.00 0.05%

CLEAN 4.875% 07/27 2,860,000.00 2,967,250.00 0.05%

CLEAR 9.25% 02/24 4,560,000.00 4,420,464.00 0.07%

CLEAR CHANNEL OUTDOOR HOLDINGS INC COMMON STOCK USD 5,550.00 5,550.00 0.00%

CLEAR CHANNEL WORLDWIDE HOLDINGS INC 11,409,000.00 10,955,492.25 0.18%

CLEARWAY 5.75% 10/25 55,000.00 57,887.50 0.00%

CLEARWAY ENERGY 5% 09/26 316,000.00 328,640.00 0.01%

CNX 5.875% 04/22 852,000.00 852,000.00 0.01%

COGENT 5.375% 03/22 1,515,000.00 1,545,300.00 0.03%

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COLFAX CORP 6.375% 02/26 23,000.00 24,380.00 0.00%

COLFAX CORP 6% 02/24 1,935,000.00 2,010,813.30 0.03%

COLORADO HEALTH 4% 01/45 175,000.00 189,248.50 0.00%

COLT 2020-1 VAR 02/50 1,994,851.88 2,016,522.16 0.03%

COMM 2.867% 02/48 1,000,000.00 888,963.10 0.01%

COMM 2013-CCRE8 VAR 06/46 750,000.00 743,378.18 0.01%

COMM 2014-UBS2 VAR 03/47 3,210,000.00 2,678,167.84 0.04%

COMM 2015-LC21 MTG TR 3.25% 10JUL2048 3,000,000.00 1,548,174.60 0.03%

COMM 2015-LC21 VAR 07/48 4,200,000.00 3,408,237.84 0.06%

COMM 2016-CR28 VAR 02/49 3,587,500.00 2,713,673.61 0.05%

COMM 2019-GC44 2.5% 08/57 3,493,000.00 2,487,547.98 0.04%

COMM 2020-CBM VAR 02/37 1,630,000.00 1,499,103.99 0.02%

COMM 2020-CBM VAR 02/37 2,670,000.00 2,269,571.82 0.04%

COMM 2020-CBM VAR 02/37 17,870,000.00 14,303,108.69 0.24%

COMM 3.22% 11/47 1,000,000.00 601,614.80 0.01%

COMM 3.222% 11/47 2,510,000.00 1,916,404.58 0.03%

COMM 3.495% 09/47 3,760,000.00 2,406,125.90 0.04%

COMM 3.687% 10/47 2,000,000.00 1,794,792.00 0.03%

COMM VAR 03/48 4,173,500.00 3,653,240.67 0.06%

COMM VAR 05/48 1,490,000.00 1,288,277.69 0.02%

COMM VAR 08/47 2,500,000.00 2,207,204.25 0.04%

COMM VAR 08/47 6,000,000.00 3,481,413.00 0.06%

COMM VAR 08/50 3,402,000.00 2,716,887.55 0.05%

COMM VAR 11/46 1,500,000.00 892,420.80 0.01%

COMM VAR 12/47 2,600,000.00 1,877,807.62 0.03%

COMMERCIAL 4.875% 05/23 40,000.00 41,600.00 0.00%

COMMERCIAL 5.375% 07/27 359,000.00 378,637.30 0.01%

COMMSCOPE 6% 06/25 4,096,000.00 4,151,500.80 0.07%

COMMSCOPE 8.25% 03/27 4,945,000.00 5,142,800.00 0.09%

COMMSCOPE INC 5.5% 03/24 170,000.00 174,686.90 0.00%

COMMSCOPE INC 6% 03/26 7,760,000.00 8,089,024.00 0.13%

COMSTOCK 7.5% 05/25 1,100,000.00 1,045,000.00 0.02%

S-586-564-953 01-Oct-2020 01:02:36



COMSTOCK 9.75% 08/26 1,539,000.00 1,583,169.30 0.03%

COMSTOCK 9.75% 08/26 2,000,000.00 2,050,400.00 0.03%

CONN'S 3.62% 06/24 4,530,000.00 4,479,001.26 0.07%

CONN'S 4.36% 10/23 1,555,264.39 1,555,488.35 0.03%

CONN'S 4.65% 01/23 21,949.76 21,934.48 0.00%

CONN'S 5.29% 10/23 14,212,125.49 13,951,622.91 0.23%

CONN'S 6.02% 01/23 97,514.54 97,253.57 0.00%

CONNECTICUT FLT 01/40 2,000,000.00 1,518,292.80 0.03%

CONNECTICUT FLT 01/40 3,800,000.00 3,723,365.78 0.06%

CONNECTICUT FLT 04/31 194,900.46 192,254.73 0.00%

CONNECTICUT FLT 04/31 8,186,000.00 7,890,102.30 0.13%

CONNECTICUT FLT 06/39 5,000,000.00 4,500,947.50 0.07%

CONNECTICUT FLT 07/31 1,000,000.00 944,926.60 0.02%

CONNECTICUT FLT 07/31 14,494,387.46 14,403,626.50 0.24%

CONNECTICUT FLT 07/39 1,500,000.00 1,311,004.20 0.02%

CONNECTICUT FLT 07/39 1,529,581.18 1,516,136.62 0.03%

CONNECTICUT FLT 08/31 10,130,000.00 9,673,476.36 0.16%

CONNECTICUT FLT 09/39 26,974,000.00 22,828,217.58 0.38%

CONNECTICUT FLT 10/39 3,000,000.00 2,550,888.60 0.04%

CONNECTICUT FLT 10/39 13,415,406.45 13,341,753.19 0.22%

CONSTELLATION 8.5% 09/25 726,000.00 602,580.00 0.01%

CONSTELLIUM 6.625% 03/25 2,610,000.00 2,670,356.25 0.04%

CONSUMER LOAN 5.21% 10/25 1,500,000.00 1,469,128.20 0.02%

CONSUMER LOAN VAR 02/45 19,123,130.47 16,285,351.61 0.27%




CONTINENTAL 4.5% 04/23 1,000,000.00 953,410.00 0.02%

CONTINENTAL 5% 09/22 1,000,000.00 993,130.00 0.02%

COOPER-STAND 5.625% 11/26 884,000.00 618,800.00 0.01%

COREVEST 3.76% 10/52 8,689,000.00 8,447,896.76 0.14%

COREVEST 5.488702% 03/52 575,000.00 588,163.02 0.01%

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COREVEST VAR 06/52 1,250,000.00 1,247,482.25 0.02%

COREVEST VAR 10/52 3,650,000.00 3,444,057.51 0.06%

COREVEST VAR 10/52 46,495,494.43 3,732,635.04 0.06%

COREVEST VAR 10/52 53,875,000.00 5,076,221.03 0.08%

COTY INC 6.5% 04/26 280,000.00 219,800.00 0.00%

COVANTA 5.875% 07/25 1,390,000.00 1,436,912.50 0.02%

CPS AUTO 2.36% 02/24 3,200,000.00 3,253,073.28 0.05%

CPS AUTO 2.9% 12/25 4,200,000.00 4,276,518.96 0.07%

CPS AUTO 3.35% 01/24 160,000.00 163,385.65 0.00%

CREDIT 2.39% 04/29 4,550,000.00 4,619,365.66 0.08%

CREDIT 5.416% 02/40 583.13 561.22 0.00%

CREDIT SUISSE FLT 05/36 4,400,000.00 4,398,629.84 0.07%

CRESTWOOD 5.625% 05/27 4,235,000.00 3,782,998.45 0.06%

CRESTWOOD 5.75% 04/25 229,000.00 208,390.00 0.00%

CRESTWOOD 6.25% 04/23 340,000.00 332,387.40 0.01%

CROWN 4.75% 02/26 860,000.00 892,250.00 0.01%

CSAIL 2016-C5 VAR 11/48 2,750,000.00 2,066,552.13 0.03%

CSAIL 2019-C16 VAR 06/52 2,500,000.00 2,457,985.50 0.04%

CSAIL 2019-C18 2.5% 12/52 6,515,000.00 4,604,175.26 0.08%

CSAIL 2019-C18 VAR 12/52 4,327,000.00 4,110,415.04 0.07%

CSAIL 2019-C18 VAR 12/52 53,352,072.40 3,765,509.24 0.06%

CSC 5.375% 02/28 210,000.00 221,812.50 0.00%

CSC HOLDINGS 5.25% 06/24 1,168,000.00 1,252,680.00 0.02%

CSC HOLDINGS 5.5% 04/27 400,000.00 421,040.00 0.01%

CSC HOLDINGS 6.5% 02/29 6,970,000.00 7,771,550.00 0.13%

CSC HOLDINGS 6.75% 11/21 115,000.00 120,453.30 0.00%

CSFB FLT 06/35 293,741.60 222,967.41 0.00%

CSMA SFR HOLDINGS II FRN 31JUL23 6,810,119.55 6,690,942.46 0.11%

CUMULUS 6.75% 07/26 369,000.00 341,830.53 0.01%

CURO GROUP 8.25% 09/25 1,166,000.00 976,525.00 0.02%

CVR PARTNERS 9.25% 06/23 2,392,000.00 2,206,117.68 0.04%

CWABS INC FLT 07/34 1,405,814.41 1,383,092.79 0.02%

S-586-564-953 01-Oct-2020 01:02:36



DANA 6.5% 06/26 2,380,000.00 2,481,150.00 0.04%

DANA INC 5.375% 11/27 2,745,000.00 2,813,625.00 0.05%

DARLING 5.25% 04/27 1,640,000.00 1,722,000.00 0.03%

DAVITA INC 3.75% 02/31 3,063,000.00 2,951,353.65 0.05%

DAVITA INC 4.625% 06/30 2,000,000.00 2,052,800.00 0.03%

DBJPM 16-C3 VAR 08/49 800,000.00 616,030.64 0.01%

DBJPM 17-C6 VAR 06/50 1,800,000.00 1,563,243.66 0.03%

DCP 3.875% 03/23 350,000.00 346,220.00 0.01%

DCP 5.375% 07/25 4,290,000.00 4,423,333.20 0.07%

DCP 6.75% 09/37 124,000.00 119,040.00 0.00%

DCP MIDSTREAM 5.6% 04/44 25,000.00 22,836.50 0.00%

DCP MIDSTREAM LP CALLABLE BOND VARIABLE USD 1000 235,000.00 153,925.00 0.00%

DEEPHAVE VAR 04/59 1,500,000.00 1,331,004.00 0.02%

DEEPHAVE VAR 04/59 1,500,000.00 1,428,549.30 0.02%

DEEPHAVEN VAR 01/60 3,851,691.54 3,887,074.72 0.06%

DEEPHAVEN VAR 01/60 4,000,000.00 3,904,031.60 0.06%

DEEPHAVEN VAR 01/60 4,873,902.67 4,933,738.60 0.08%

DEEPHAVEN VAR 01/60 9,500,000.00 9,224,190.30 0.15%

DEEPHAVEN VAR 07/59 2,000,000.00 1,917,536.60 0.03%

DEEPHAVEN VAR 07/59 2,000,000.00 1,936,093.00 0.03%

DEEPHAVEN VAR 10/59 5,650,000.00 5,243,001.12 0.09%

DEEPHAVEN VAR 10/59 6,690,000.00 6,530,259.53 0.11%

DELEK 6.75% 05/25 575,000.00 521,812.50 0.01%

DELL 5.875% 06/21 99,000.00 99,189.09 0.00%

DELL 6.02% 06/26 4,170,000.00 4,897,490.82 0.08%

DELL 7.125% 06/24 247,000.00 256,954.10 0.00%

DELPHI 5% 10/25 2,940,000.00 3,358,950.00 0.06%

DELTA AIR 4.5% 10/25 1,851,666.00 1,900,272.23 0.03%

DELTA AIR 4.75% 10/28 2,592,333.00 2,689,545.49 0.04%

DENBURY INC COMMON STOCK USD 0.001 51,059.07 898,639.63 0.01%

DEUTSCHE STEP 12/33 151,832.30 157,615.74 0.00%

DIAMOND 5.25% 02/32 2,996,457.21 2,886,551.35 0.05%

S-586-564-953 01-Oct-2020 01:02:36



DIAMOND 5.375% 08/26 9,755,000.00 6,901,662.50 0.11%

DIAMOND 5.9% 01/31 794,434.50 787,383.02 0.01%

DIAMONDBACK 5.375% 05/25 3,390,000.00 3,519,879.58 0.06%

DISH DBS 5.875% 07/22 1,830,000.00 1,903,200.00 0.03%

DISH DBS 5.875% 11/24 25,468,000.00 26,226,564.38 0.44%

DISH DBS 6.75% 06/21 730,000.00 748,250.00 0.01%

DISH DBS 7.75% 07/26 8,220,000.00 9,036,739.20 0.15%

DISH DBS CORP 5% 03/23 704,000.00 718,080.00 0.01%

DOLE FOOD CO 7.25% 06/25 650,000.00 646,750.00 0.01%

DOMINION STEP 09/22 6,825,000.00 6,825,000.00 0.11%

DOWNSTREAM 10.5% 02/23 851,000.00 782,920.00 0.01%

DRIVE AUTO 2.65% 02/24 870,000.00 885,760.57 0.01%

DRIVE AUTO 2.7% 05/27 2,000,000.00 2,051,354.40 0.03%

DRIVE AUTO 2.9% 08/25 2,080,000.00 2,146,980.37 0.04%

DRIVE AUTO 3.18% 10/26 1,780,000.00 1,839,030.50 0.03%

DRIVE AUTO 3.84% 03/23 196,054.96 198,483.67 0.00%

DRIVE AUTO 4.3% 09/24 1,456,000.00 1,521,003.85 0.03%

DRIVEN 3.786% 07/50 500,000.00 516,375.00 0.01%

DRIVEN 3.981% 10/49 3,940,225.00 4,071,828.52 0.07%

DT ASSET TRUST CMO FIXED 5.84% 16/DEC/2022 500,000.00 500,600.00 0.01%

DT AUTO OWNER 2.08% 03/26 2,000,000.00 2,042,779.20 0.03%

DT AUTO OWNER 2.55% 11/25 5,260,000.00 5,323,912.68 0.09%

DT AUTO OWNER 2.73% 07/25 7,500,000.00 7,703,688.75 0.13%

DT AUTO OWNER 2.96% 04/25 2,300,000.00 2,355,631.71 0.04%

DT AUTO OWNER 3.28% 03/26 3,437,000.00 3,602,638.65 0.06%

DT AUTO OWNER 3.48% 02/27 5,500,000.00 5,439,384.50 0.09%

DT AUTO OWNER 3.85% 08/26 3,500,000.00 3,558,472.75 0.06%

DT AUTO OWNER 3.87% 11/24 2,990,000.00 3,098,589.03 0.05%

DT AUTO OWNER 4.19% 07/24 1,230,000.00 1,275,074.46 0.02%

DT AUTO OWNER 4.73% 03/26 3,770,000.00 4,057,679.65 0.07%

DT AUTO OWNER 4.94% 02/26 2,735,000.00 2,807,023.76 0.05%

DT AUTO OWNER 5.15% 11/24 1,925,000.00 1,968,427.62 0.03%

S-586-564-953 01-Oct-2020 01:02:36



DT AUTO OWNER 5.33% 11/25 1,340,000.00 1,389,624.62 0.02%

DT AUTO OWNER 5.42% 03/25 1,055,000.00 1,080,780.09 0.02%

DT AUTO OWNER 5.54% 06/25 1,200,000.00 1,237,641.48 0.02%

DT AUTO OWNER 6.03% 01/24 500,000.00 516,133.70 0.01%

DT AUTO OWNER 7.17% 06/27 2,130,000.00 2,315,906.61 0.04%

DT AUTO OWNER TRUST 2017-3 2017-3A E 5.6% 15/AUG/2024 905,000.00 932,899.25 0.02%

DUN & 6.875% 08/26 453,000.00 486,544.65 0.01%

E3 2019-1 2019-1 C 5% 20/SEP/2055 1,065,637.16 1,069,343.34 0.02%

EAGLE RE 2019-1 LTD 2019-1 M1B FLOATING 25/APR/2029 541,408.29 537,840.41 0.01%

EAGLE RE 2019-1 LTD 2019-1 M2 FLOATING 25/APR/2029 2,240,000.00 2,160,948.61 0.04%

EDGEWELL 5.5% 06/28 2,000,000.00 2,104,460.00 0.03%

ELARA HGV 3.45% 01/34 2,144,375.68 2,135,664.37 0.04%

EMBARQ CORP 7.995% 06/36 1,643,000.00 1,945,410.58 0.03%

EMC CORP 3.375% 06/23 2,695,000.00 2,772,966.35 0.05%

ENCOMPASS 4.5% 02/28 5,150,000.00 5,175,750.00 0.09%

ENCOMPASS 5.75% 09/25 1,960,000.00 2,018,800.00 0.03%

ENDO DAC / 5.875% 10/24 700,000.00 699,300.00 0.01%

ENDO DAC / 6% 06/28 171,000.00 125,685.00 0.00%

ENDO DAC / 9.5% 07/27 135,000.00 141,075.00 0.00%

ENERGIZER 7.75% 01/27 5,700,000.00 6,227,250.00 0.10%

ENERGY TRANSFER VAR 223,000.00 151,573.10 0.00%

ENLINK 4.15% 06/25 4,292,000.00 3,695,540.76 0.06%

ENLINK 4.4% 04/24 374,000.00 336,873.02 0.01%

ENLINK 4.85% 07/26 1,215,000.00 1,051,108.65 0.02%

ENLINK MIDSTREAM VAR 460,000.00 184,000.00 0.00%

ENPRO 5.75% 10/26 265,000.00 279,575.00 0.00%

Ensemble RCM, LLC - LX1817450 89,001.00 87,739.86 0.00%

ENTEGRIS 4.625% 02/26 3,955,000.00 4,043,987.50 0.07%

ENTERCOM 6.5% 05/27 1,123,000.00 977,010.00 0.02%

ENTERCOM 7.25% 11/24 2,875,000.00 2,400,625.00 0.04%

ENTERPRISE 12% 07/24 1,032,000.00 1,150,680.00 0.02%

ENVISION 8.75% 10/26 1,122,000.00 516,120.00 0.01%

S-586-564-953 01-Oct-2020 01:02:36



EP ENERGY 7.75% 05/26 982,000.00 214,812.50 0.00%

EP ENERGY 9.375% 05/24 499,000.00 49.90 0.00%

EP ENERGY LLC / 8% 11/24 310,000.00 387.50 0.00%

EPOBUYERITRUS3.0614APR55 9,880,225.36 10,129,207.04 0.17%

EQM 4.75% 07/23 880,000.00 878,900.00 0.01%

EQM MIDSTREAM 6% 07/25 1,990,000.00 2,052,187.50 0.03%

ESH 4.625% 10/27 1,915,000.00 1,879,132.05 0.03%

ESH 5.25% 05/25 3,700,000.00 3,737,000.00 0.06%

EXELA 10% 07/23 998,000.00 304,390.00 0.01%

EXETER 2.08% 07/24 3,000,000.00 3,044,724.00 0.05%

EXETER 2.49% 01/25 4,940,000.00 5,071,623.34 0.08%

EXETER 2.73% 12/25 10,000,000.00 10,259,560.00 0.17%

EXETER 2.79% 05/24 2,360,000.00 2,410,546.48 0.04%

EXETER 3.11% 08/25 4,260,000.00 4,373,440.82 0.07%

EXETER 3.28% 05/25 6,591,000.00 6,860,216.65 0.11%

EXETER 3.56% 10/26 11,000,000.00 11,052,682.30 0.18%

EXETER 3.68% 07/23 773,000.00 788,336.47 0.01%

EXETER 3.71% 03/25 1,000,000.00 1,036,463.60 0.02%

EXETER 3.71% 06/23 711,373.52 719,994.73 0.01%

EXETER 3.74% 01/27 12,860,000.00 12,903,156.87 0.21%

EXETER 4.13% 12/24 14,475,000.00 15,128,964.58 0.25%

EXETER 4.35% 06/24 1,515,000.00 1,580,862.05 0.03%

EXETER 4.64% 10/24 2,260,000.00 2,312,000.79 0.04%

EXETER 4.68% 05/26 5,520,000.00 5,707,487.35 0.09%

EXETER 4.73% 04/26 10,000,000.00 10,788,188.00 0.18%

EXETER 4% 08/26 7,092,000.00 7,163,973.16 0.12%

EXETER 5.2% 01/26 6,375,000.00 6,666,065.29 0.11%

EXETER 5.28% 10/24 1,000,000.00 1,021,371.10 0.02%

EXETER 5.33% 05/25 1,100,000.00 1,133,405.02 0.02%

EXETER 5.38% 07/25 2,810,000.00 2,909,948.89 0.05%

EXETER 5.43% 08/24 9,255,000.00 9,880,950.82 0.16%

EXETER 6.39% 02/24 1,000,000.00 1,044,725.80 0.02%

S-586-564-953 01-Oct-2020 01:02:36



EXETER 6.4% 07/23 3,750,000.00 3,859,383.38 0.06%

EXETER 6.55% 08/25 5,130,000.00 5,384,874.82 0.09%

EXETER 7.19% 09/27 10,510,000.00 11,642,609.10 0.19%

EXETER 8.25% 04/23 1,147,137.90 1,164,551.45 0.02%

FANNIE MAE FLT 01/29 1,770,229.82 1,826,229.80 0.03%

FANNIE MAE FLT 01/30 2,760,000.00 2,580,687.77 0.04%

FANNIE MAE FLT 01/30 10,673,259.86 10,525,760.75 0.18%

FANNIE MAE FLT 01/31 1,155,051.94 1,132,939.28 0.02%

FANNIE MAE FLT 01/31 3,000,000.00 2,797,211.10 0.05%

FANNIE MAE FLT 02/30 2,404,414.35 2,374,222.36 0.04%

FANNIE MAE FLT 02/30 8,015,000.00 7,742,150.16 0.13%

FANNIE MAE FLT 03/31 952,438.13 935,777.13 0.02%

FANNIE MAE FLT 03/31 1,375,602.90 1,351,225.70 0.02%

FANNIE MAE FLT 03/31 2,860,000.00 2,602,235.06 0.04%

FANNIE MAE FLT 03/31 15,310,000.00 13,930,068.36 0.23%

FANNIE MAE FLT 04/29 22,528,916.47 23,038,241.20 0.38%

FANNIE MAE FLT 05/29 6,189,687.81 6,395,395.28 0.11%

FANNIE MAE FLT 05/30 4,926,813.81 4,877,025.89 0.08%

FANNIE MAE FLT 05/30 5,200,000.00 4,848,436.32 0.08%

FANNIE MAE FLT 07/25 3,445,276.86 3,522,759.07 0.06%

FANNIE MAE FLT 07/29 1,015,158.51 1,044,300.67 0.02%

FANNIE MAE FLT 07/29 16,485,000.00 16,856,652.68 0.28%

FANNIE MAE FLT 07/30 2,870,000.00 2,661,327.47 0.04%

FANNIE MAE FLT 08/28 4,276,022.08 4,578,038.37 0.08%

FANNIE MAE FLT 08/30 1,446,766.74 1,399,550.93 0.02%

FANNIE MAE FLT 09/28 2,610,322.00 2,762,358.90 0.05%

FANNIE MAE FLT 09/29 5,500,000.00 5,575,942.35 0.09%

FANNIE MAE FLT 09/29 11,289,489.21 11,415,250.73 0.19%

FANNIE MAE FLT 10/28 1,111,907.38 1,174,639.75 0.02%

FANNIE MAE FLT 10/28 2,293,405.26 2,416,557.45 0.04%

FANNIE MAE FLT 10/29 3,000,000.00 2,992,484.10 0.05%

FANNIE MAE FLT 10/30 298,267.29 292,531.49 0.00%

S-586-564-953 01-Oct-2020 01:02:36



FANNIE MAE FLT 12/30 4,250,000.00 3,957,064.93 0.07%

FANNIE MAE FLT 12/30 4,428,417.74 4,349,540.53 0.07%

FANNIE MAE VAR 04/32 108,864,839.13 9,160,431.89 0.15%

FANNIE MAE VAR 10/32 99,937,548.19 5,516,102.94 0.09%

FANNIE MAE VAR 12/32 33,511,205.05 3,505,399.39 0.06%

FANNIE MAE-ACES 2014-M13 X2 VARIABLE 25/AUG/2024 74,553,543.50 944,235.54 0.02%

FANNIE MAE-ACES 2016-M12 X2 VARIABLE 25/SEP/2026 134,895,218.49 1,028,387.19 0.02%

FANNIE MAE-ACES 2017-M8 X VARIABLE 25/MAY/2027 103,082,489.37 1,400,715.79 0.02%

FANNIE MAE-ACES 2018-M15 X VARIABLE 25/JAN/2036 9,323,143.32 542,984.53 0.01%

FANNIE MAE-ACES 2019-M21 X2 VARIABLE 25/FEB/2031 16,908,513.37 1,796,240.41 0.03%

FANNIE MAE-ACES 2019-M28 XAV3 VARIABLE 25/FEB/2027 36,617,741.09 1,925,525.61 0.03%

FANNIE MAE-ACES 2019-M30 X1 VARIABLE 25/NOV/2028 84,737,556.41 1,754,652.11 0.03%

FANNIE MAE-ACES 2019-M30 X2 VARIABLE 25/DEC/2029 127,862,761.24 1,942,503.86 0.03%

FANNIE MAE-ACES 2019-M30 X4 VARIABLE 25/AUG/2028 49,938,215.75 2,446,258.46 0.04%

FANNIE MAE-ACES 2019-M30 X5 VARIABLE 25/MAY/2033 198,838,663.40 5,181,437.31 0.09%

FANNIE MAE-ACES 2019-M31 X VARIABLE 25/SEP/2028 57,599,454.56 4,454,891.57 0.07%

FANNIE MAE-ACES 2019-M31 X1 VARIABLE 25/APR/2034 40,739,024.06 4,444,236.43 0.07%

FANNIE MAE-ACES 2019-M32 X2 VARIABLE 25/OCT/2029 29,302,256.00 2,275,835.90 0.04%



FANNIE MAE-ACES 2020-M10 X6 VARIABLE 25/AUG/2028 37,000,000.00 3,476,301.70 0.06%

FANNIE MAE-ACES 2020-M15 X1 VARIABLE 25/SEP/2031 26,398,095.12 2,724,140.87 0.05%

FANNIE MAE-ACES 2020-M19 X1 VARIABLE 25/MAY/2030 29,948,213.38 977,240.15 0.02%

FANNIE MAE-ACES 2020-M21 XA VARIABLE 25/MAR/2032 82,495,610.65 7,788,872.58 0.13%

FANNIE MAE-ACES 2020-M26 X1 VARIABLE 25/APR/2032 29,972,271.70 1,959,356.34 0.03%

FANNIE MAE-ACES 2020-M33 X VARIABLE 25/JUN/2028 43,376,346.26 4,687,551.61 0.08%

FANNIE MAE-ACES 2020-M6 XL VARIABLE 25/NOV/2049 33,563,024.97 2,830,379.96 0.05%

FEDERAL HOME FLT 10/35 22,000,000.00 7,273,884.20 0.12%

FGI OPERATING COMPANY, LLC - 30252ESC3 247,136.10 0.00 0.00%

FGI Operating Company, LLC-Term Loan LIBOR+10.0 - 57,879.89 28,939.95 0.00%

FHLMC REMICS 2916 S FLOATING 15/JAN/2035 2,835,355.43 656,223.73 0.01%

FHLMC REMICS 3145 GI FLOATING 15/APR/2036 2,512,336.60 545,233.82 0.01%

S-586-564-953 01-Oct-2020 01:02:36



FHLMC REMICS 4102 BI 3.5% 15/AUG/2027 1,832,649.00 230,697.15 0.00%

FHLMC REMICS 4116 LS FLOATING 15/OCT/2042 389,666.38 92,874.49 0.00%

FHLMC REMICS 4149 IO 3% 15/JAN/2033 519,868.31 53,702.60 0.00%

FHLMC REMICS 4160 IO 3% 15/JAN/2033 1,643,490.40 162,186.54 0.00%

FHLMC REMICS 4212 MI 3% 15/JUN/2033 2,131,419.90 214,282.94 0.00%

FHLMC REMICS 4321 PI 4.5% 15/JAN/2044 505,248.99 77,990.79 0.00%

FHLMC REMICS 4495 PI 4% 15/SEP/2043 631,227.01 58,288.76 0.00%

FHLMC REMICS 4550 DI 4% 15/MAR/2044 477,513.19 49,314.70 0.00%

FHLMC REMICS 4585 JI 4% 15/MAY/2045 451,793.62 65,538.72 0.00%

FHLMC REMICS 4599 SA FLOATING 15/JUL/2046 349,568.46 73,874.44 0.00%

FHLMC REMICS 4612 PI 3.5% 15/JUN/2044 58,273.67 5,825.40 0.00%

FHLMC REMICS 4612 QI 3.5% 15/MAY/2044 716,719.22 62,727.27 0.00%

FHLMC REMICS 4628 PI 4% 15/JUL/2045 470,895.53 57,183.15 0.00%

FHLMC REMICS 4657 QI 4% 15/SEP/2044 752,687.81 74,212.91 0.00%

FHLMC REMICS 4670 TI 4.5% 15/JAN/2044 905,647.19 99,505.99 0.00%

FHLMC REMICS 4681 SD FLOATING 15/MAY/2047 859,833.28 163,312.61 0.00%

FHLMC REMICS 4689 SD FLOATING 15/JUN/2047 1,256,668.18 241,541.30 0.00%

FHLMC REMICS 4694 SA FLOATING 15/JUN/2047 1,314,480.40 206,715.06 0.00%

FHLMC REMICS 4707 SA FLOATING 15/AUG/2047 1,083,651.09 250,002.53 0.00%

FHLMC REMICS 4709 SE FLOATING 15/AUG/2047 867,956.61 176,340.75 0.00%

FHLMC REMICS 4714 SA FLOATING 15/AUG/2047 964,870.38 206,779.44 0.00%

FHLMC REMICS 4717 SP FLOATING 15/AUG/2047 33,611,173.32 8,243,604.09 0.14%

FHLMC REMICS 4746 SC FLOATING 15/JAN/2048 13,569,397.72 3,024,681.17 0.05%

FHLMC REMICS 4769 IO 4% 15/SEP/2047 5,779,493.52 584,496.94 0.01%

FHLMC REMICS 4839 WS FLOATING 15/AUG/2056 41,311,647.76 10,525,588.17 0.18%

FHLMC REMICS 4842 PI 4.5% 15/APR/2046 517,397.72 33,649.22 0.00%

FHLMC REMICS 4844 PI 4.5% 15/JAN/2046 2,326,068.47 108,723.46 0.00%

FHLMC REMICS 4844 S FLOATING 15/NOV/2048 10,568,157.45 1,492,023.04 0.02%

FHLMC REMICS 4902 SA FLOATING 25/AUG/2049 38,276,906.32 6,778,981.73 0.11%

FHLMC REMICS 4906 QS FLOATING 25/SEP/2049 26,138,192.08 5,804,037.83 0.10%

FHLMC REMICS 4910 PI 5% 25/JUL/2049 3,205,031.11 616,167.87 0.01%

FHLMC REMICS 4919 SH FLOATING 25/SEP/2049 28,022,337.43 4,310,670.56 0.07%

S-586-564-953 01-Oct-2020 01:02:36



FHLMC REMICS 4925 SA FLOATING 25/OCT/2049 40,637,351.79 7,481,946.02 0.12%

FHLMC REMICS 4931 SY FLOATING 25/NOV/2049 30,328,729.62 5,527,656.64 0.09%

FHLMC REMICS 4932 SA FLOATING 25/NOV/2049 35,073,815.55 6,149,309.70 0.10%

FHLMC REMICS 4937 MS FLOATING 25/DEC/2049 64,338,792.10 11,621,818.41 0.19%

FHLMC REMICS 4954 SY FLOATING 25/FEB/2050 36,630,852.01 7,168,903.17 0.12%

FHLMC REMICS 4983 SA FLOATING 25/JUN/2050 21,731,346.68 4,645,003.64 0.08%

FHLMC REMICS 4983 SY FLOATING 25/MAY/2050 24,290,804.77 5,591,855.00 0.09%

FHLMC REMICS 4995 SB FLOATING 25/JUL/2050 20,476,354.19 4,880,799.07 0.08%

FHLMC STRIPS 277 S6 FLOATING 15/SEP/2042 26,979,919.12 5,175,040.95 0.09%

FHLMC STRIPS 304 C32 3% 15/DEC/2027 360,216.86 20,228.88 0.00%

FHLMC STRIPS 311 S1 FLOATING 15/AUG/2043 1,537,025.76 225,649.14 0.00%

FHLMC STRIPS 342 S7 FLOATING 15/FEB/2045 15,976,895.90 3,667,615.32 0.06%

FHLMC-GNMA COMMERCIAL MBS VARIABLE 25/FEB/2052 77,117,032.64 6,874,775.24 0.11%

FIRSTKEY 4.284% 09/25 9,000,000.00 9,238,124.70 0.15%

FLAGSHIP 2.24% 01/26 10,000,000.00 10,222,962.00 0.17%

FLAGSHIP 2.48% 03/26 4,000,000.00 4,042,796.80 0.07%

FLAGSHIP 2.77% 12/25 4,100,000.00 4,251,191.60 0.07%

FLAGSHIP 3.58% 01/24 175,000.00 180,019.16 0.00%

FLAGSHIP 4.08% 02/25 3,833,000.00 4,012,910.29 0.07%

FLAGSHIP 4.52% 12/26 4,500,000.00 4,592,136.60 0.08%

FLAGSHIP 5.55% 07/24 530,000.00 552,987.74 0.01%

FLAGSHIP 6.25% 10/23 1,110,000.00 1,139,225.63 0.02%

FLAGSHIP 8.24% 10/23 579,113.49 550,157.82 0.01%

FLAGSHIP 8.56% 11/23 1,290,000.00 1,336,139.43 0.02%

FLAGSHIP 8.59% 05/23 1,000,000.00 1,024,370.20 0.02%

FLAGSTAR FLT 03/50 2,582,020.28 2,572,455.96 0.04%

FMG 4.75% 05/22 59,000.00 60,401.25 0.00%

FMG 5.125% 03/23 165,000.00 172,177.50 0.00%

FMG 5.125% 05/24 174,000.00 185,745.00 0.00%

FMG RESOURCES 1,830,000.00 1,953,543.30 0.03%

FNMA INTEREST STRIP 421 7 3.5% 25/MAY/2030 322,317.35 21,234.22 0.00%

FNMA INTEREST STRIP 421 C3 4% 25/JUL/2030 548,549.51 50,152.40 0.00%

S-586-564-953 01-Oct-2020 01:02:36



FNMA REMICS 2003-76 SB FLOATING 25/AUG/2033 2,800,873.84 497,882.77 0.01%

FNMA REMICS 2006-42 LI FLOATING 25/JUN/2036 2,378,209.63 501,856.46 0.01%

FNMA REMICS 2011-78 JS FLOATING 25/AUG/2041 3,058,796.25 679,357.73 0.01%

FNMA REMICS 2011-79 SD FLOATING 25/AUG/2041 6,634,492.55 1,327,074.32 0.02%

FNMA REMICS 2012-101 SC FLOATING 25/SEP/2042 12,109,385.52 2,114,557.85 0.04%

FNMA REMICS 2012-127 AI 4% 25/NOV/2042 752,696.61 101,786.18 0.00%

FNMA REMICS 2012-133 HS FLOATING 25/DEC/2042 350,831.68 89,505.13 0.00%

FNMA REMICS 2012-133 NS FLOATING 25/DEC/2042 1,598,518.61 384,524.77 0.01%

FNMA REMICS 2012-93 FS FLOATING 25/SEP/2032 3,840,216.28 710,291.40 0.01%

FNMA REMICS 2013-55 AI 3% 25/JUN/2033 3,493,675.53 338,030.93 0.01%

FNMA REMICS 2015-35 SA FLOATING 25/JUN/2045 17,230,288.31 3,076,481.76 0.05%

FNMA REMICS 2016-43 MI 4% 25/OCT/2045 517,320.08 78,749.88 0.00%

FNMA REMICS 2016-56 ST FLOATING 25/AUG/2046 8,753,733.13 2,089,256.11 0.03%

FNMA REMICS 2016-6 KI 4% 25/FEB/2044 619,584.97 67,720.02 0.00%

FNMA REMICS 2016-63 AS FLOATING 25/SEP/2046 183,382.26 41,572.68 0.00%

FNMA REMICS 2016-68 BI 3% 25/OCT/2031 1,187,625.75 98,445.27 0.00%

FNMA REMICS 2016-75 SC FLOATING 25/OCT/2046 12,102,831.18 2,553,589.66 0.04%

FNMA REMICS 2016-90 IN 3.5% 25/DEC/2046 669,144.03 95,566.08 0.00%

FNMA REMICS 2016-95 ES FLOATING 25/DEC/2046 3,010,978.27 712,278.53 0.01%

FNMA REMICS 2017-102 IJ 3.5% 25/DEC/2047 1,315,289.75 122,879.10 0.00%

FNMA REMICS 2017-112 SC FLOATING 25/JAN/2048 5,870,952.24 1,066,355.15 0.02%

FNMA REMICS 2017-13 AS FLOATING 25/FEB/2047 1,103,519.78 245,326.57 0.00%

FNMA REMICS 2017-16 SM FLOATING 25/MAR/2047 6,883,745.02 1,393,367.74 0.02%

FNMA REMICS 2017-39 ST FLOATING 25/MAY/2047 2,691,157.35 613,119.92 0.01%

FNMA REMICS 2017-57 SA FLOATING 25/AUG/2057 1,314,503.46 267,505.53 0.00%

FNMA REMICS 2017-6 SB FLOATING 25/FEB/2047 212,102.39 44,130.81 0.00%

FNMA REMICS 2017-69 SH FLOATING 25/SEP/2047 1,489,642.02 320,880.81 0.01%

FNMA REMICS 2017-70 SA FLOATING 25/SEP/2047 1,693,877.98 380,440.76 0.01%

FNMA REMICS 2017-81 SM FLOATING 25/OCT/2047 28,776,782.96 7,109,010.71 0.12%

FNMA REMICS 2017-90 SP FLOATING 25/NOV/2047 4,601,131.94 1,130,287.39 0.02%

FNMA REMICS 2017-93 SA FLOATING 25/NOV/2047 26,135,609.90 4,786,598.43 0.08%

FNMA REMICS 2018-16 SN FLOATING 25/MAR/2048 3,895,703.82 659,327.22 0.01%

S-586-564-953 01-Oct-2020 01:02:36



FNMA REMICS 2018-27 SE FLOATING 25/MAY/2048 5,424,835.86 1,238,005.59 0.02%

FNMA REMICS 2018-67 SN FLOATING 25/SEP/2048 10,598,958.65 2,089,243.41 0.03%

FNMA REMICS 2018-73 SC FLOATING 25/OCT/2048 7,728,765.44 1,520,080.45 0.03%

FNMA REMICS 2018-78 SA FLOATING 25/OCT/2048 31,120,733.97 5,448,079.71 0.09%

FNMA REMICS 2019-31 S FLOATING 25/JUL/2049 19,063,700.49 4,097,164.79 0.07%

FNMA REMICS 2019-32 PI 5% 25/OCT/2048 2,234,747.52 357,721.40 0.01%

FNMA REMICS 2019-37 CS FLOATING 25/JUL/2049 6,607,507.26 1,669,242.67 0.03%

FNMA REMICS 2019-42 SK FLOATING 25/AUG/2049 14,264,937.81 2,623,653.01 0.04%

FNMA REMICS 2019-47 QI 4.5% 25/JUN/2049 4,454,314.85 732,389.58 0.01%



FNMA REMICS 2020-54 AS FLOATING 25/AUG/2050 48,753,513.01 10,862,463.09 0.18%

FORD MOTOR 3.087% 01/23 2,350,000.00 2,302,741.50 0.04%

FORD MOTOR 3.219% 01/22 934,000.00 932,785.80 0.02%

FORD MOTOR 3.37% 11/23 2,620,000.00 2,580,700.00 0.04%

FORD MOTOR 4.063% 11/24 1,000,000.00 998,750.00 0.02%

FORD MOTOR 4.125% 08/27 2,620,000.00 2,547,950.00 0.04%

FORD MOTOR 4.134% 08/25 1,000,000.00 990,415.00 0.02%

FORD MOTOR 4.271% 01/27 13,840,000.00 13,578,424.00 0.23%

FORD MOTOR 4.389% 01/26 1,500,000.00 1,482,885.00 0.02%

FORD MOTOR 4.542% 08/26 3,245,000.00 3,232,441.85 0.05%

FORD MOTOR 4.687% 06/25 7,970,000.00 8,068,828.00 0.13%

FORD MOTOR 5.875% 08/21 2,000,000.00 2,037,500.00 0.03%

FOUNDATION 4.22% 11/34 855,000.00 866,530.96 0.01%

FOUNDATION 5.66% 11/34 3,055,000.00 3,079,295.80 0.05%

FRED VAR 05/47 46,582,991.00 7,281,256.89 0.12%

FREDDIE MAC 2.013% 01/29 38,620,000.00 5,714,149.55 0.10%

FREDDIE MAC FLT 03/29 2,406,286.04 2,490,641.04 0.04%

FREDDIE MAC FLT 03/30 3,500,000.00 3,403,605.80 0.06%

FREDDIE MAC FLT 04/29 16,295,210.12 16,913,478.09 0.28%

FREDDIE MAC FLT 04/30 1,000,000.00 970,461.20 0.02%

FREDDIE MAC FLT 04/49 1,452,987.50 1,429,773.55 0.02%

S-586-564-953 01-Oct-2020 01:02:36



FREDDIE MAC FLT 05/28 2,877,998.10 2,943,051.79 0.05%

FREDDIE MAC FLT 07/28 12,655,902.07 13,413,675.47 0.22%

FREDDIE MAC FLT 08/29 5,318,510.78 5,472,925.76 0.09%

FREDDIE MAC FLT 09/28 1,956,601.13 2,035,201.12 0.03%

FREDDIE MAC FLT 09/30 7,510,000.00 7,050,804.05 0.12%

FREDDIE MAC FLT 09/30 8,654,190.66 8,512,663.49 0.14%

FREDDIE MAC FLT 10/29 7,000,000.00 7,113,836.10 0.12%

FREDDIE MAC FLT 10/48 1,670,000.00 1,553,152.94 0.03%

FREDDIE MAC FLT 10/48 8,430,000.00 8,250,748.70 0.14%

FREDDIE MAC FLT 11/28 16,718,590.25 17,222,297.97 0.29%

FREDDIE MAC FLT 12/28 5,197,207.47 5,360,310.39 0.09%

FREDDIE MAC FLT 12/29 2,500,000.00 2,493,816.25 0.04%

FREDDIE MAC VAR 01/26 17,500,000.00 1,680,113.75 0.03%

FREDDIE MAC VAR 01/27 44,642,697.53 3,698,794.81 0.06%

FREDDIE MAC VAR 01/30 2,762.36 335.80 0.00%

FREDDIE MAC VAR 01/34 95,000,000.00 10,999,993.00 0.18%

FREDDIE MAC VAR 01/37 24,400,217.00 7,230,706.63 0.12%

FREDDIE MAC VAR 01/44 2,915,000.00 214,891.47 0.00%

FREDDIE MAC VAR 01/46 59,463,897.00 9,093,968.37 0.15%

FREDDIE MAC VAR 01/46 93,789,108.00 14,623,410.14 0.24%

FREDDIE MAC VAR 01/48 43,660,808.00 4,087,926.52 0.07%

FREDDIE MAC VAR 02/29 32,068,422.97 1,741,571.91 0.03%

FREDDIE MAC VAR 02/43 6,035,000.00 94,214.20 0.00%

FREDDIE MAC VAR 02/45 47,270,000.00 3,642,867.28 0.06%

FREDDIE MAC VAR 02/47 25,300,000.00 3,558,705.59 0.06%

FREDDIE MAC VAR 02/47 59,033,525.00 9,427,110.83 0.16%

FREDDIE MAC VAR 04/30 17,992,776.86 2,287,261.59 0.04%

FREDDIE MAC VAR 04/34 30,261,160.00 9,130,028.01 0.15%

FREDDIE MAC VAR 04/35 4,450,000.00 1,327,716.69 0.02%

FREDDIE MAC VAR 04/43 2,745,000.00 205,720.18 0.00%

FREDDIE MAC VAR 04/48 16,504,918.00 4,060,571.29 0.07%

FREDDIE MAC VAR 04/48 75,067,000.00 19,178,567.56 0.32%

S-586-564-953 01-Oct-2020 01:02:36



FREDDIE MAC VAR 05/25 11,528,628.00 957,688.89 0.02%

FREDDIE MAC VAR 05/27 18,830,000.00 2,228,067.28 0.04%

FREDDIE MAC VAR 05/28 5,471,000.00 729,869.70 0.01%

FREDDIE MAC VAR 05/30 19,993,615.49 2,574,541.88 0.04%

FREDDIE MAC VAR 05/33 20,000,000.00 3,234,632.00 0.05%

FREDDIE MAC VAR 05/35 5,997,610.97 1,012,585.66 0.02%

FREDDIE MAC VAR 05/36 5,560,000.00 1,483,766.06 0.02%

FREDDIE MAC VAR 05/47 40,000,000.00 4,234,720.00 0.07%

FREDDIE MAC VAR 05/47 50,763,750.00 7,728,187.00 0.13%

FREDDIE MAC VAR 05/48 71,537,135.00 12,959,903.45 0.22%

FREDDIE MAC VAR 06/26 39,727,000.00 1,416,883.32 0.02%

FREDDIE MAC VAR 06/27 107,449,913.75 6,332,539.18 0.11%

FREDDIE MAC VAR 06/29 32,948,116.51 2,213,141.46 0.04%

FREDDIE MAC VAR 06/29 51,795,546.27 3,705,070.09 0.06%

FREDDIE MAC VAR 06/30 9,998,839.76 934,855.52 0.02%

FREDDIE MAC VAR 06/30 43,410,000.00 6,311,314.79 0.10%

FREDDIE MAC VAR 06/30 118,999,477.59 13,606,019.47 0.23%

FREDDIE MAC VAR 06/43 3,400,000.00 207,897.76 0.00%

FREDDIE MAC VAR 07/23 6,583,036.91 48,379.40 0.00%

FREDDIE MAC VAR 07/26 26,250,000.00 2,719,728.38 0.05%

FREDDIE MAC VAR 07/26 91,968,052.56 5,822,708.93 0.10%

FREDDIE MAC VAR 07/29 48,669,127.00 6,901,408.75 0.11%

FREDDIE MAC VAR 07/29 74,289,797.11 6,248,589.12 0.10%

FREDDIE MAC VAR 07/44 21,130,000.00 1,431,160.26 0.02%

FREDDIE MAC VAR 07/45 13,305,000.00 1,631,528.29 0.03%

FREDDIE MAC VAR 07/46 9,000,000.00 1,296,528.30 0.02%

FREDDIE MAC VAR 07/47 19,360,000.00 2,888,242.90 0.05%

FREDDIE MAC VAR 07/48 21,670,000.00 4,931,411.56 0.08%

FREDDIE MAC VAR 08/22 63,370,498.35 342,650.62 0.01%

FREDDIE MAC VAR 08/42 16,800,000.00 336,198.24 0.01%

FREDDIE MAC VAR 08/47 66,697,142.00 9,816,391.98 0.16%

FREDDIE MAC VAR 08/48 10,750,000.00 2,244,519.38 0.04%

S-586-564-953 01-Oct-2020 01:02:36



FREDDIE MAC VAR 09/35 38,000,000.00 10,036,138.20 0.17%

FREDDIE MAC VAR 09/44 8,580,000.00 1,054,165.40 0.02%

FREDDIE MAC VAR 09/46 29,425,000.00 4,259,807.23 0.07%

FREDDIE MAC VAR 09/46 51,390,000.00 7,329,786.53 0.12%

FREDDIE MAC VAR 09/47 83,580,486.00 8,478,178.83 0.14%

FREDDIE MAC VAR 09/48 19,532,606.00 4,486,416.93 0.07%

FREDDIE MAC VAR 10/21 15,091,142.14 175,223.25 0.00%

FREDDIE MAC VAR 10/24 18,533,281.76 224,730.87 0.00%

FREDDIE MAC VAR 10/26 138,194,797.96 4,665,691.31 0.08%

FREDDIE MAC VAR 10/28 2,680,000.00 372,842.40 0.01%

FREDDIE MAC VAR 10/28 27,200,000.00 3,863,012.00 0.06%

FREDDIE MAC VAR 10/28 50,000,000.00 6,239,260.00 0.10%

FREDDIE MAC VAR 10/29 35,000,000.00 4,748,660.00 0.08%

FREDDIE MAC VAR 10/29 97,000,000.00 15,856,454.20 0.26%

FREDDIE MAC VAR 10/34 6,850,000.00 349,906.91 0.01%

FREDDIE MAC VAR 10/43 4,995,000.00 355,321.82 0.01%

FREDDIE MAC VAR 10/43 5,232,306.00 352,417.26 0.01%

FREDDIE MAC VAR 10/44 15,000,000.00 1,043,488.50 0.02%

FREDDIE MAC VAR 10/44 19,730,099.00 2,376,411.50 0.04%

FREDDIE MAC VAR 10/47 49,100,000.00 6,803,821.37 0.11%

FREDDIE MAC VAR 10/47 95,472,259.00 13,365,572.07 0.22%

FREDDIE MAC VAR 11/24 99,958,095.56 1,756,263.74 0.03%

FREDDIE MAC VAR 11/28 19,450,000.00 2,846,600.86 0.05%

FREDDIE MAC VAR 11/29 120,937,258.45 6,285,036.76 0.10%

FREDDIE MAC VAR 11/42 4,580,000.00 272,989.53 0.00%

FREDDIE MAC VAR 11/42 12,550,000.00 301,784.83 0.01%

FREDDIE MAC VAR 11/44 8,000,000.00 796,659.20 0.01%

FREDDIE MAC VAR 11/44 21,409,999.96 1,525,820.04 0.03%

FREDDIE MAC VAR 11/45 12,470,000.00 1,507,955.95 0.03%

FREDDIE MAC VAR 12/26 48,000,675.83 2,655,930.19 0.04%

FREDDIE MAC VAR 12/41 3,253,000.00 201,526.60 0.00%

FREDDIE MAC VAR 12/44 4,930,000.00 270,233.02 0.00%

S-586-564-953 01-Oct-2020 01:02:36



FREDDIE MAC VAR 12/44 42,244,907.00 5,189,165.82 0.09%

FREDDIE MAC VAR 12/45 20,640,000.00 2,664,366.00 0.04%

FREDDIE MAC VAR 12/46 80,100,000.00 10,678,707.72 0.18%

FREED ABS TRUST 2018-1 2018-1 B 4.56% 18/JUL/2024 600,000.00 601,584.84 0.01%

FREED ABS TRUST 2019-1 2019-1 B 3.87% 18/JUN/2026 11,550,000.00 11,565,674.51 0.19%

FREED ABS TRUST 2019-1 2019-1 C 5.39% 18/JUN/2026 8,200,000.00 8,233,733.16 0.14%

FREED ABS TRUST 2020-1 2020-FP1 B 3.06% 18/MAR/2027 6,150,000.00 6,151,682.03 0.10%

FREED ABS TRUST 2020-1 2020-FP1 C 4.37% 18/MAR/2027 5,000,000.00 4,813,062.50 0.08%

FREED ABS TRUST 2020-3FP 2020-3FP B 4.18% 20/SEP/2027 3,000,000.00 3,026,064.90 0.05%

FREEPORT-MCM 4.125% 03/28 2,488,000.00 2,519,100.00 0.04%

FREEPORT-MCM 4.375% 08/28 2,060,000.00 2,129,947.30 0.04%

FREEPORT-MCMO 4.25% 03/30 1,930,000.00 1,978,250.00 0.03%

FREEPORT-MCMO 5.45% 03/43 2,072,000.00 2,300,458.72 0.04%

FREEPORT-MCMOR 5.4% 11/34 98,000.00 108,412.50 0.00%

FREMF 2016-K53 VAR 03/49 69,000.00 76,328.60 0.00%

FREMF 2016-KF24 FLT 10/26 102,820.52 104,105.35 0.00%

FREMF 2017-K67 VAR 09/49 145,000.00 162,924.06 0.00%

FREMF 2017-K67 VAR 09/49 2,010,000.00 2,145,577.52 0.04%

FREMF 2017-K728 VAR 11/50 105,000.00 109,286.87 0.00%

FREMF 2017-K728 VAR 11/50 250,000.00 268,714.03 0.00%

FREMF 2017-KF29 FLT 02/24 183,875.89 180,054.77 0.00%

FREMF 2017-KF32 FLT 05/24 299,428.74 284,531.86 0.00%

FREMF 2017-KF33 FLT 06/27 4,184,032.99 3,971,012.16 0.07%

FREMF 2017-KF35 FLT 08/24 206,005.34 201,174.86 0.00%

FREMF 2017-KF38 FLT 09/24 402,137.70 387,711.33 0.01%

FREMF 2017-KF40 FLT 11/27 196,375.69 187,453.46 0.00%

FREMF 2017-KF41 FLT 11/24 163,047.45 157,253.97 0.00%

FREMF 2018-KC02 VAR 07/25 2,520,000.00 2,552,690.95 0.04%

FREMF 2018-KF49 FLT 06/25 674,832.19 643,330.15 0.01%

FREMF 2018-KF50 FLT 07/28 312,857.81 297,365.94 0.00%

FREMF 2018-KF53 FLT 10/25 1,513,564.28 1,429,502.89 0.02%

FREMF 2018-KF56 FLT 11/28 1,026,430.65 976,224.33 0.02%

S-586-564-953 01-Oct-2020 01:02:36



FREMF 2019-K102 VAR 12/51 7,932,000.00 8,647,229.23 0.14%

FREMF 2019-K102 VAR 12/51 9,100,000.00 9,327,045.91 0.16%

FREMF 2019-K103 VAR 12/51 2,303,000.00 2,487,574.40 0.04%

FREMF 2019-K103 VAR 12/51 10,158,000.00 10,229,982.64 0.17%

FREMF 2019-K734 VAR 02/51 4,150,000.00 4,409,780.46 0.07%

FREMF 2019-K735 VAR 05/26 4,774,000.00 5,070,927.05 0.08%

FREMF 2019-K87 VAR 01/51 4,250,000.00 4,641,825.78 0.08%

FREMF 2019-K88 VAR 02/52 6,700,000.00 7,290,556.76 0.12%

FREMF 2019-K89 VAR 01/51 9,000,000.00 9,746,907.30 0.16%

FREMF 2019-K90 VAR 02/52 2,000,000.00 2,170,555.60 0.04%

FREMF 2019-K92 VAR 05/52 7,000,000.00 7,561,855.70 0.13%

FREMF 2019-K93 VAR 05/52 10,500,000.00 11,199,513.15 0.19%

FREMF 2019-K94 VAR 07/52 9,000,000.00 9,634,074.30 0.16%

FREMF 2019-K95 VAR 08/52 8,250,000.00 8,677,858.20 0.14%

FREMF 2019-K97 VAR 09/51 2,000,000.00 2,103,174.60 0.03%

FREMF 2019-K98 VAR 10/52 12,873,000.00 13,404,751.45 0.22%

FREMF 2019-KC03 VAR 01/26 5,000,000.00 5,163,953.00 0.09%

FREMF 2019-KC05 VAR 07/29 16,737,000.00 16,627,518.26 0.28%

FREMF 2019-KC06 VAR 09/26 7,609,000.00 7,387,905.29 0.12%

FREMF 2019-KF57 FLT 01/29 3,925,961.83 3,744,283.24 0.06%

FREMF 2019-KF58 FLT 01/26 757,788.14 719,589.48 0.01%

FREMF 2019-KF59 FLT 02/29 991,810.27 925,708.20 0.02%

FREMF 2019-KF61 FLT 04/29 4,855,019.29 4,606,617.57 0.08%

FREMF 2019-KF63 FLT 05/29 7,953,080.13 7,463,512.38 0.12%

FREMF 2019-KF65 FLT 07/29 8,400,000.00 7,911,495.48 0.13%

FREMF 2019-KF66 FLT 07/29 4,624,026.02 4,490,166.02 0.07%

FREMF 2019-KF67 FLT 08/29 5,000,000.00 4,647,174.00 0.08%

FREMF 2019-KF70 FLT 09/29 3,000,000.00 2,883,124.50 0.05%

FREMF 2019-KF71 FLT 10/29 5,534,000.00 5,160,453.34 0.09%

FREMF 2019-KF73 FLT 11/29 12,268,000.00 11,615,725.16 0.19%

FREMF 2019-KG01 VAR 04/29 3,000,000.00 2,844,087.60 0.05%

FREMF 2019-KW08 VAR 01/29 10,000,000.00 10,066,738.00 0.17%

S-586-564-953 01-Oct-2020 01:02:36



FREMF 2019-KW09 VAR 05/29 12,670,000.00 12,886,741.89 0.21%

FREMF 2020-K104 VAR 02/52 13,102,000.00 13,378,809.88 0.22%

FREMF 2020-K105 VAR 03/53 13,000,000.00 13,001,188.20 0.22%

FREMF 2020-K105 VAR 03/53 13,250,000.00 14,289,887.83 0.24%

FREMF 2020-K737 VAR 01/53 3,750,000.00 4,074,121.88 0.07%

FREMF 2020-K737 VAR 01/53 6,000,000.00 6,134,179.20 0.10%

FREMF 2020-KF74 FLT 01/27 4,998,305.31 4,706,806.14 0.08%

FREMF 2020-KF75 FLT 12/29 7,000,000.00 6,645,144.80 0.11%

FREMF 2020-KF76 FLT 01/30 3,500,000.00 3,434,466.70 0.06%

FREMF K-100 VAR 11/52 5,188,000.00 5,703,637.91 0.09%

FREMF K-100 VAR 11/52 10,000,000.00 10,221,481.00 0.17%

FRONTIER 11% 09/25 369,000.00 154,980.00 0.00%

FRONTIER 6.875% 01/25 357,000.00 135,288.72 0.00%

FRONTIER 7.625% 04/24 158,000.00 62,607.50 0.00%

FRONTIER 8.5% 04/26 2,274,000.00 2,294,466.00 0.04%

FRONTIER 8% 04/27 5,235,000.00 5,216,913.08 0.09%

FRR 2.75889% 02/50 1,000,000.00 868,093.50 0.01%

FRR RE-REMIC VAR 02/48 6,012,660.00 4,993,621.16 0.08%

FRR RE-REMIC VAR 02/50 2,225,260.00 1,894,704.97 0.03%

FTF 8.0 15AUG20 6,500,000.00 3,380,000.00 0.06%

GAP INC/THE 8.875% 05/27 2,730,000.00 3,105,375.00 0.05%

GATEWAY 8.25% 03/24 982,000.00 829,790.00 0.01%

Gateway Casinos & Entertainment Limited-Initial Te 289,307.38 260,593.62 0.00%

GCAT 2019-NQM2 VAR 01/60 3,000,000.00 2,878,161.30 0.05%

GCAT 2019-NQM2 VAR 01/60 10,871,000.00 10,624,943.61 0.18%

GCI LLC 6.625% 06/24 615,000.00 659,649.00 0.01%

GCI LLC 6.875% 04/25 1,725,000.00 1,778,302.50 0.03%

GCP APPLIED 5.5% 04/26 3,485,000.00 3,554,700.00 0.06%

GENERAL 5.25% 03/26 270,000.00 303,699.58 0.01%

GENESIS 6.25% 05/26 455,000.00 378,883.05 0.01%

GENESIS 7.75% 02/28 2,665,000.00 2,315,485.25 0.04%

GENESIS ENERGY 6% 05/23 53,000.00 48,097.50 0.00%

S-586-564-953 01-Oct-2020 01:02:36



GENESIS SALES 4.68% 08/23 2,650,000.00 2,663,774.44 0.04%

GENESYS 10% 11/24 445,000.00 469,196.88 0.01%

GEO GROUP 5.875% 10/24 250,000.00 191,250.00 0.00%

GFL 3.75% 08/25 1,750,000.00 1,745,625.00 0.03%

GLOBAL 6.5% 09/24 3,709,775.00 2,068,199.56 0.03%

GLOBAL PARTNERS 7% 06/23 119,000.00 121,380.00 0.00%

GLOBAL PARTNERS 7% 08/27 635,000.00 647,147.55 0.01%

GLP CAPITAL 5.25% 06/25 225,000.00 244,309.50 0.00%

GLP CAPITAL 5.75% 06/28 250,000.00 285,422.50 0.00%

GLS AUTO 2.72% 11/25 5,000,000.00 5,095,220.00 0.08%

GLS AUTO 3.06% 08/25 1,050,000.00 1,075,606.98 0.02%

GLS AUTO 3.32% 03/24 1,748,000.00 1,799,242.79 0.03%

GLS AUTO 3.68% 11/26 1,250,000.00 1,259,658.63 0.02%

GLS AUTO 3.87% 12/24 1,140,000.00 1,179,956.54 0.02%

GLS AUTO 4.09% 08/26 950,000.00 964,509.64 0.02%

GLS AUTO 4.52% 02/26 1,000,000.00 1,021,529.10 0.02%

GLS AUTO 4.94% 12/25 830,000.00 853,233.78 0.01%

GLS AUTO 5.34% 08/25 680,000.00 708,123.30 0.01%

GMACM 5.75% 06/34 50,400.03 51,542.02 0.00%

GNMA 2013-182 MS FLOATING 20/DEC/2043 15,386,322.62 3,767,564.20 0.06%

GNMA 2015-110 MS FLOATING 20/AUG/2045 10,907,106.60 1,752,078.34 0.03%

GNMA 2015-H13 GI VARIABLE 20/APR/2065 2,566,198.79 112,012.01 0.00%

GNMA 2016-108 SM FLOATING 20/AUG/2046 4,813,437.64 1,109,820.36 0.02%

GNMA 2016-108 SN FLOATING 20/AUG/2046 21,009,640.08 4,746,972.70 0.08%

GNMA 2016-111 SA FLOATING 20/AUG/2046 8,127,264.09 1,856,700.30 0.03%

GNMA 2016-120 NS FLOATING 20/SEP/2046 5,407,064.59 1,208,992.61 0.02%

GNMA 2016-120 SA FLOATING 20/SEP/2046 27,164,852.34 6,407,140.10 0.11%

GNMA 2016-146 NS FLOATING 20/OCT/2046 6,670,019.19 1,565,724.97 0.03%

GNMA 2016-147 AS FLOATING 20/OCT/2046 9,773,154.02 1,952,379.07 0.03%

GNMA 2016-33 US FLOATING 20/MAR/2046 17,822,778.74 3,297,935.89 0.05%

GNMA 2016-48 DS FLOATING 20/APR/2046 30,140,387.41 6,265,448.10 0.10%

GNMA 2016-49 SB FLOATING 20/APR/2046 7,001,392.03 1,429,238.26 0.02%

S-586-564-953 01-Oct-2020 01:02:36



GNMA 2016-83 SA FLOATING 20/JUN/2046 4,211,131.97 859,556.89 0.01%

GNMA 2017-101 SK FLOATING 20/JUL/2047 12,054,529.54 2,414,113.62 0.04%

GNMA 2017-107 KS FLOATING 20/JUL/2047 11,212,727.83 2,041,650.49 0.03%

GNMA 2017-120 ES FLOATING 20/AUG/2047 9,406,362.42 2,095,589.87 0.03%

GNMA 2017-134 SB FLOATING 20/SEP/2047 7,713,432.66 1,294,185.19 0.02%

GNMA 2017-134 SD FLOATING 20/SEP/2047 11,900,141.61 2,589,864.71 0.04%

GNMA 2017-155 KS FLOATING 20/OCT/2047 8,549,286.92 1,500,806.80 0.02%

GNMA 2017-161 DS FLOATING 20/OCT/2047 5,852,606.18 1,432,211.74 0.02%

GNMA 2017-163 HS FLOATING 20/NOV/2047 16,645,508.60 3,078,495.27 0.05%

GNMA 2017-180 SD FLOATING 20/DEC/2047 8,555,659.06 1,962,544.99 0.03%

GNMA 2017-192 PI 4% 20/JAN/2047 2,000,960.26 160,589.07 0.00%

GNMA 2017-36 SL FLOATING 16/MAR/2047 11,093,557.96 2,324,217.98 0.04%

GNMA 2017-68 DS FLOATING 20/MAY/2047 22,275,822.63 4,761,392.49 0.08%

GNMA 2017-68 SA FLOATING 20/MAY/2047 4,963,460.41 1,015,291.71 0.02%

GNMA 2017-80 AS FLOATING 20/MAY/2047 5,472,650.99 1,168,825.81 0.02%

GNMA 2017-85 SA FLOATING 20/JUN/2047 8,095,732.23 1,442,352.66 0.02%

GNMA 2018-125 SU FLOATING 20/SEP/2048 24,795,419.65 4,801,082.56 0.08%

GNMA 2018-147 SD FLOATING 20/OCT/2048 5,457,273.59 882,393.12 0.01%

GNMA 2018-36 SG FLOATING 20/MAR/2048 5,529,094.85 1,170,172.66 0.02%

GNMA 2018-46 AS FLOATING 20/MAR/2048 20,214,477.73 4,778,971.39 0.08%

GNMA 2018-6 CS FLOATING 20/JAN/2048 6,496,636.72 1,471,733.79 0.02%

GNMA 2018-63 BS FLOATING 20/APR/2048 13,137,467.64 2,840,053.81 0.05%


GNMA 2018-65 DS FLOATING 20/MAY/2048 8,141,602.67 1,911,303.10 0.03%

GNMA 2018-7 DS FLOATING 20/JAN/2048 5,799,147.14 869,982.83 0.01%

GNMA 2019-1 SG FLOATING 20/JAN/2049 19,902,279.46 3,754,043.58 0.06%

GNMA 2019-103 SC FLOATING 20/AUG/2049 36,877,322.72 6,525,829.47 0.11%


GNMA 2019-115 SD FLOATING 20/SEP/2049 43,994,973.05 5,566,666.34 0.09%

GNMA 2019-115 SW FLOATING 20/SEP/2049 44,448,054.45 6,872,651.52 0.11%

GNMA 2019-115 US FLOATING 20/SEP/2049 22,089,269.00 4,056,190.62 0.07%


S-586-564-953 01-Oct-2020 01:02:36




GNMA 2019-120 DS FLOATING 20/SEP/2049 22,594,406.57 4,111,108.76 0.07%

GNMA 2019-132 KI 3.5% 20/MAR/2047 2,704,494.17 220,335.14 0.00%

GNMA 2019-132 SK FLOATING 20/OCT/2049 26,880,473.01 3,880,712.38 0.06%

GNMA 2019-137 PI 3.5% 20/NOV/2049 27,392,124.00 3,073,127.87 0.05%

GNMA 2019-138 SW FLOATING 20/OCT/2049 5,257,760.62 933,034.84 0.02%

GNMA 2019-158 SG FLOATING 20/DEC/2049 28,953,387.98 4,869,256.29 0.08%

GNMA 2019-33 PI 4% 20/NOV/2048 204,333.41 37,682.64 0.00%

GNMA 2019-42 SJ FLOATING 20/APR/2049 12,963,959.54 1,850,833.39 0.03%

GNMA 2019-43 LS FLOATING 20/APR/2049 5,812,483.98 1,074,970.09 0.02%


GNMA 2019-56 GS FLOATING 20/MAY/2049 13,244,329.60 2,632,391.30 0.04%

GNMA 2019-65 ST FLOATING 20/MAY/2049 20,178,922.24 3,115,052.51 0.05%

GNMA 2019-71 SA FLOATING 20/JUN/2049 22,011,394.61 4,124,717.44 0.07%

GNMA 2019-71 SK FLOATING 20/JUN/2049 18,963,849.65 3,220,833.50 0.05%

GNMA 2019-85 CS FLOATING 20/JUL/2049 34,154,289.19 6,721,130.35 0.11%

GNMA 2019-86 ST FLOATING 20/JUL/2049 20,295,315.23 3,126,123.94 0.05%

GNMA 2019-89 KS FLOATING 20/JUL/2049 26,516,941.34 4,289,942.59 0.07%

GNMA 2019-97 GS FLOATING 20/AUG/2049 43,467,047.54 7,690,950.72 0.13%

GNMA 2019-99 SJ FLOATING 20/AUG/2049 18,813,576.00 3,096,345.86 0.05%

GNMA 2020-101 SA FLOATING 20/JUL/2050 98,823,983.54 23,104,553.23 0.38%

GNMA 2020-101 SJ FLOATING 20/JUL/2050 74,346,323.55 17,200,676.20 0.29%

GNMA 2020-11 LS FLOATING 20/JAN/2050 80,945,977.23 12,718,029.58 0.21%

GNMA 2020-11 SN FLOATING 20/JAN/2050 30,633,895.90 5,174,414.24 0.09%

GNMA 2020-33 SB FLOATING 20/MAR/2050 33,492,231.82 8,515,105.21 0.14%

GNMA 2020-86 TS FLOATING 20/JUN/2050 18,272,165.49 3,318,998.17 0.06%

GNMA FLT 10,501,123.59 1,798,035.98 0.03%

GNMA II MORTPASS 4.375% 20/APR/2049 SF PN# BJ9839 668,999.72 737,969.82 0.01%

GNMA II MORTPASS 4.5% 20/AUG/2049 SF PN# BJ9850 748,393.53 828,140.71 0.01%

GNMA II MORTPASS 4.5% 20/DEC/2049 SF PN# BQ8922 741,421.84 855,951.67 0.01%

GNMA II MORTPASS 4.5% 20/JAN/2049 SF PN# BJ9835 1,089,003.95 1,210,511.85 0.02%

GNMA II MORTPASS 4.5% 20/JUL/2049 SF PN# BJ9846 1,698,514.85 1,904,952.07 0.03%

S-586-564-953 01-Oct-2020 01:02:36



GNMA II MORTPASS 4.5% 20/JUL/2049 SF PN# BM5450 1,160,311.44 1,256,167.87 0.02%

GNMA II MORTPASS 4.5% 20/JUN/2048 SF PN# BN2462 215,571.28 231,640.17 0.00%

GNMA II MORTPASS 4.5% 20/JUN/2049 SF PN# BL9253 782,240.78 844,460.38 0.01%

GNMA II MORTPASS 4.5% 20/JUN/2049 SF PN# BN2463 237,214.54 257,529.81 0.00%

GNMA II MORTPASS 4.5% 20/NOV/2049 SF PN# BJ9863 1,579,513.31 1,772,068.03 0.03%

GNMA II MORTPASS 4.5% 20/OCT/2048 SF PN# BH5219 640,320.65 708,513.41 0.01%

GNMA II MORTPASS 4.5% 20/OCT/2048 SF PN# BI9909 944,873.81 1,043,143.77 0.02%

GNMA II MORTPASS 4.5% 20/OCT/2048 SF PN# BJ0977 604,185.38 669,323.72 0.01%


GNMA II MORTPASS 4.5% 20/OCT/2048 SF PN# BJ4168 1,191,390.91 1,317,525.56 0.02%



GNMA II MORTPASS 4.5% 20/OCT/2048 SF PN# BJ4396 1,198,955.69 1,324,741.54 0.02%

GNMA II MORTPASS 4.5% 20/SEP/2048 SF PN# BH2761 2,522,774.24 2,792,449.47 0.05%

GNMA II MORTPASS 4.5% 20/SEP/2048 SF PN# BJ4027 616,992.58 682,738.49 0.01%

GNMA II MORTPASS 4.5% 20/SEP/2048 SF PN# BJ4052 523,854.32 579,002.38 0.01%

GNMA II MORTPASS 4.5% 20/SEP/2049 SF PN# BJ9854 1,080,596.49 1,211,667.55 0.02%

GNMA II MORTPASS 5.5% 20/MAY/2048 SF PN# BF2605 1,194,527.84 1,338,533.64 0.02%

GO DADDY 5.25% 12/27 551,000.00 573,354.07 0.01%

GOLDEN BEAR 2016-R LLC 2016-R R 5.65% 20/SEP/2047 580,014.26 572,846.44 0.01%

GOLDMAN SACHS GROUP VAR 5,070,000.00 4,858,961.25 0.08%

GOODGREEN 2017-R1 TRUST CMO FIXED 5% 20/OCT/2051 446,745.13 450,352.69 0.01%

GOODYEAR 4.875% 03/27 118,000.00 111,510.00 0.00%

GOODYEAR 5.125% 11/23 813,000.00 810,967.50 0.01%

GOODYEAR TIRE & 5% 05/26 503,000.00 488,724.86 0.01%

GOVERNMENT VAR 01/49 40,614,064.02 1,281,548.36 0.02%

GOVERNMENT VAR 01/55 54,262,900.44 610,636.70 0.01%

GOVERNMENT VAR 01/57 24,654,323.08 849,432.65 0.01%

GOVERNMENT VAR 01/57 75,079,429.54 3,854,885.74 0.06%

GOVERNMENT VAR 01/60 157,782,101.85 8,173,586.22 0.14%

GOVERNMENT VAR 02/50 3,368,433.76 113,583.59 0.00%

GOVERNMENT VAR 02/56 38,757,854.49 1,531,543.75 0.03%

S-586-564-953 01-Oct-2020 01:02:36



GOVERNMENT VAR 02/58 77,429,557.54 4,816,823.09 0.08%

GOVERNMENT VAR 02/60 27,724,032.52 2,023,086.42 0.03%

GOVERNMENT VAR 02/60 52,398,403.36 3,706,401.06 0.06%

GOVERNMENT VAR 02/62 158,144,291.04 11,271,354.80 0.19%

GOVERNMENT VAR 03/49 8,246,037.00 42,125.70 0.00%

GOVERNMENT VAR 03/52 22,696,869.86 621,844.30 0.01%

GOVERNMENT VAR 03/57 17,899,548.97 756,340.07 0.01%

GOVERNMENT VAR 03/58 45,621,287.08 2,810,376.21 0.05%

GOVERNMENT VAR 03/62 29,268,188.78 2,194,540.50 0.04%

GOVERNMENT VAR 03/62 35,000,000.00 3,450,482.00 0.06%

GOVERNMENT VAR 03/62 49,863,108.19 4,480,369.81 0.07%

GOVERNMENT VAR 03/62 59,642,991.72 5,904,799.32 0.10%

GOVERNMENT VAR 03/62 87,007,739.58 6,155,597.46 0.10%

GOVERNMENT VAR 03/62 114,195,352.42 10,601,965.04 0.18%

GOVERNMENT VAR 04/54 45,759,697.11 1,038,740.55 0.02%

GOVERNMENT VAR 04/57 20,619,822.07 1,028,898.19 0.02%

GOVERNMENT VAR 04/58 1,396,672.37 77,794.23 0.00%

GOVERNMENT VAR 04/58 151,674,392.26 8,438,662.66 0.14%

GOVERNMENT VAR 04/60 26,579,201.54 1,348,357.58 0.02%

GOVERNMENT VAR 04/62 49,799,952.06 4,781,876.06 0.08%

GOVERNMENT VAR 04/62 69,680,815.16 5,847,976.35 0.10%

GOVERNMENT VAR 04/62 140,809,294.07 11,180,131.22 0.19%

GOVERNMENT VAR 04/62 142,969,814.44 11,662,876.99 0.19%

GOVERNMENT VAR 04/62 198,768,309.50 16,934,404.03 0.28%

GOVERNMENT VAR 05/52 25,096,984.46 859,491.41 0.01%

GOVERNMENT VAR 05/53 81,114,972.76 1,346,597.77 0.02%

GOVERNMENT VAR 05/54 20,470,804.29 613,495.68 0.01%

GOVERNMENT VAR 05/59 9,395,556.81 515,052.21 0.01%

GOVERNMENT VAR 05/59 13,394,897.76 795,372.96 0.01%

GOVERNMENT VAR 05/59 23,781,895.23 1,196,507.58 0.02%

GOVERNMENT VAR 05/60 42,383,329.40 2,559,656.41 0.04%

GOVERNMENT VAR 05/61 101,904,131.76 6,945,744.86 0.12%

S-586-564-953 01-Oct-2020 01:02:36



GOVERNMENT VAR 05/62 9,974,676.22 842,447.19 0.01%

GOVERNMENT VAR 05/62 175,215,339.96 16,221,173.35 0.27%

GOVERNMENT VAR 05/62 260,623,417.76 23,981,133.47 0.40%

GOVERNMENT VAR 06/55 40,630,077.53 806,608.61 0.01%

GOVERNMENT VAR 06/56 10,152,686.89 448,813.74 0.01%

GOVERNMENT VAR 06/58 104,957,334.21 7,005,240.83 0.12%

GOVERNMENT VAR 06/61 10,259,979.53 732,316.30 0.01%

GOVERNMENT VAR 06/62 84,574,650.85 6,208,312.19 0.10%

GOVERNMENT VAR 06/62 99,727,155.19 8,965,600.90 0.15%

GOVERNMENT VAR 06/62 99,871,372.10 8,900,107.23 0.15%

GOVERNMENT VAR 07/54 8,984,480.21 276,339.25 0.00%

GOVERNMENT VAR 07/56 42,594,664.13 2,718,080.52 0.05%

GOVERNMENT VAR 07/57 3,753,259.64 128,484.59 0.00%

GOVERNMENT VAR 07/57 44,078,105.77 1,838,881.27 0.03%

GOVERNMENT VAR 07/58 18,981,490.81 1,017,187.72 0.02%

GOVERNMENT VAR 07/59 14,508,151.21 813,480.74 0.01%

GOVERNMENT VAR 07/59 30,038,885.32 1,438,949.72 0.02%

GOVERNMENT VAR 07/61 181,607,421.19 11,784,196.83 0.20%

GOVERNMENT VAR 08/51 9,543,720.44 213,245.84 0.00%

GOVERNMENT VAR 08/54 2,000,026.56 64,626.66 0.00%

GOVERNMENT VAR 08/54 6,099,171.63 213,818.05 0.00%

GOVERNMENT VAR 08/58 42,398,278.71 2,458,595.63 0.04%

GOVERNMENT VAR 08/60 9,983,742.25 826,778.66 0.01%

GOVERNMENT VAR 08/60 38,263,858.17 2,569,165.53 0.04%

GOVERNMENT VAR 08/60 95,598,494.19 4,681,534.74 0.08%

GOVERNMENT VAR 09/57 17,396,311.77 943,871.69 0.02%

GOVERNMENT VAR 09/57 19,436,898.59 1,546,024.52 0.03%

GOVERNMENT VAR 09/57 49,118,995.71 2,676,852.64 0.04%

GOVERNMENT VAR 09/58 32,458,008.76 1,813,536.06 0.03%

GOVERNMENT VAR 09/58 95,551,923.03 5,314,024.65 0.09%

GOVERNMENT VAR 09/59 5,986,683.17 339,261.14 0.01%

GOVERNMENT VAR 09/62 22,582,527.60 1,958,487.77 0.03%

S-586-564-953 01-Oct-2020 01:02:36



GOVERNMENT VAR 09/62 99,872,664.08 8,602,521.93 0.14%

GOVERNMENT VAR 10/55 29,406,413.71 1,203,828.00 0.02%

GOVERNMENT VAR 10/57 18,989,427.96 1,063,763.07 0.02%

GOVERNMENT VAR 10/59 121,232,367.37 5,358,567.62 0.09%

GOVERNMENT VAR 10/62 65,000,000.00 5,789,062.50 0.10%

GOVERNMENT VAR 11/47 131,643,657.81 2,909,785.59 0.05%

GOVERNMENT VAR 11/54 32,037,678.72 949,401.37 0.02%

GOVERNMENT VAR 11/57 36,085,121.13 2,247,608.68 0.04%

GOVERNMENT VAR 11/57 40,816,692.31 2,186,129.80 0.04%

GOVERNMENT VAR 11/57 73,165,262.90 4,270,692.98 0.07%

GOVERNMENT VAR 11/61 22,040,834.38 1,636,300.52 0.03%

GOVERNMENT VAR 11/61 92,631,708.23 7,818,847.97 0.13%

GOVERNMENT VAR 12/53 16,447,137.63 209,750.35 0.00%

GOVERNMENT VAR 12/57 3,591,298.00 196,544.56 0.00%

GOVERNMENT VAR 12/58 22,000,340.16 1,155,633.87 0.02%

GOVERNMENT VAR 12/58 23,705,204.93 1,322,266.85 0.02%

GOVERNMENT VAR 12/59 9,789,372.99 490,385.91 0.01%

GOVERNMENT VAR 12/61 18,464,820.27 1,754,314.88 0.03%

GRAY 5.125% 10/24 109,000.00 111,180.00 0.00%

GRAY 5.875% 07/26 1,237,000.00 1,283,387.50 0.02%

GRAY TELEVISION 7% 05/27 3,427,000.00 3,715,339.21 0.06%

Greeneden U.S. Holdings I, LLC-Tranche B-3 Dollar 96,204.68 95,884.32 0.00%

GREIF INC 6.5% 03/27 1,690,000.00 1,750,806.20 0.03%

GS MORTGAGE 2.979% 10/48 1,810,000.00 1,298,417.98 0.02%

GS MORTGAGE 3.25% 06/46 3,550,000.00 2,242,965.97 0.04%

GS MORTGAGE VAR 02/53 7,000,000.00 4,989,098.10 0.08%

GS MORTGAGE VAR 02/53 74,866,532.11 3,784,480.74 0.06%

GS MORTGAGE VAR 03/50 2,000,000.00 1,648,219.20 0.03%

GS MORTGAGE VAR 05/53 80,864,600.74 7,295,272.73 0.12%

GS MORTGAGE VAR 06/46 2,240,000.00 1,751,263.58 0.03%

GS MORTGAGE VAR 11/45 400,000.00 362,904.40 0.01%

GSMSC VAR 10/36 179,380.24 89,873.03 0.00%

S-586-564-953 01-Oct-2020 01:02:36



GSR MORTGAGE VAR 09/35 180,879.02 183,560.33 0.00%

Gulf Finance, LLC-Tranche B Term Loan LIBOR+5.25 - 676,705.79 475,385.82 0.01%

GULFPORT 6.375% 01/26 27,000.00 16,605.00 0.00%

GULFPORT 6.625% 05/23 3,075,000.00 1,921,875.00 0.03%

GULFPORT ENERGY 6% 10/24 6,189,000.00 3,837,180.00 0.06%

H&E 5.625% 09/25 2,690,000.00 2,804,325.00 0.05%

HANESBRANDS 4.625% 05/24 35,000.00 36,392.65 0.00%

HARBORVIEW FLT 01/47 9,828,652.18 9,319,419.88 0.15%

HARSCO CORP 5.75% 07/27 139,000.00 140,911.25 0.00%

HARVEST VAR 09/46 11,053,833.86 11,137,867.32 0.19%

HAT HOLDINGS 5.25% 07/24 483,000.00 503,319.81 0.01%

HCA INC 3.5% 09/30 1,515,000.00 1,542,590.27 0.03%

HCA INC 5.25% 06/26 145,000.00 169,132.79 0.00%

HCA INC 5.375% 02/25 2,180,000.00 2,387,100.00 0.04%

HCA INC 5.375% 09/26 2,500,000.00 2,762,500.00 0.05%

HCA INC 5.625% 09/28 11,934,000.00 13,651,899.30 0.23%

HCA INC 5.875% 02/26 15,089,000.00 16,899,680.00 0.28%

HCA INC 5.875% 02/29 17,085,000.00 19,904,025.00 0.33%

HCA INC 5.875% 05/23 355,000.00 386,433.48 0.01%

HCFT 7.25 13FEB25 1,500,000.00 1,500,000.00 0.02%

HEALTHSOUTH 5.75% 11/24 378,000.00 378,567.00 0.01%

HERC HOLDINGS 5.5% 07/27 5,058,000.00 5,233,259.70 0.09%

HERO FUNDING II 2016-3B 2016-3B B 5.24% 20/SEP/2042 330,721.27 334,303.11 0.01%

HERO FUNDING II 2016-4B 2016-4B B 4.99% 20/SEP/2047 303,371.56 310,093.70 0.01%

HERTZ 5.5% 10/24 5,875,000.00 2,643,750.00 0.04%

HERTZ 6.25% 10/22 185,000.00 84,637.50 0.00%

HERTZ 7.125% 08/26 2,755,000.00 1,239,750.00 0.02%

HERTZ 7.625% 06/22 443,000.00 407,560.00 0.01%

HERTZ CORP/THE 6% 01/28 1,450,000.00 656,125.00 0.01%

HERTZ VEHICLE 3.43% 12/25 6,500,000.00 6,377,508.80 0.11%

HEXION INC 7.875% 07/27 3,110,000.00 3,117,215.20 0.05%

HILCORP 5.75% 10/25 163,000.00 147,515.00 0.00%

S-586-564-953 01-Oct-2020 01:02:36



HILCORP 6.25% 11/28 292,000.00 265,720.00 0.00%

HILCORP ENERGY 5% 12/24 370,000.00 335,775.00 0.01%

HILL-ROM 5% 02/25 1,093,000.00 1,128,522.50 0.02%

HILL-ROM HOLDINGS INC NOTES 3,560,000.00 3,684,430.90 0.06%

HILLMAN 6.375% 07/22 130,000.00 127,075.00 0.00%

HILTON 4.625% 04/25 1,379,000.00 1,385,895.00 0.02%

HILTON 4.875% 01/30 1,404,000.00 1,446,120.00 0.02%

HILTON 4.875% 04/27 3,059,000.00 3,107,714.58 0.05%

HILTON 5.125% 05/26 4,492,000.00 4,609,915.00 0.08%

HILTON 6.125% 12/24 459,000.00 475,065.00 0.01%

HIN TIMESHARE TRUST 2020-A 2020-A A 1.39% 09/OCT/2039 4,250,000.00 4,254,360.93 0.07%

HIN TIMESHARE TRUST 2020-A 2020-A B 2.23% 09/OCT/2039 3,750,000.00 3,753,352.88 0.06%

HIN TIMESHARE TRUST 2020-A 2020-A C 3.42% 09/OCT/2039 2,000,000.00 2,001,962.60 0.03%

HIN TIMESHARE TRUST 2020-A 2020-A D 5.5% 09/OCT/2039 3,262,000.00 3,184,762.69 0.05%

HOLOGIC INC 4.375% 10/25 4,315,000.00 4,412,087.50 0.07%

HOMEWARD STEP 08/25 7,653,000.00 7,652,974.75 0.13%

HOMEWARD VAR 01/59 2,220,000.00 2,254,614.91 0.04%

HOMEWARD VAR 01/59 2,600,000.00 2,651,070.50 0.04%

HOMEWARD VAR 11/59 5,000,000.00 4,715,640.50 0.08%

HOWMET 5.125% 10/24 4,373,000.00 4,608,048.75 0.08%

HUDBAY 7.25% 01/23 160,000.00 163,008.00 0.00%

HUDBAY 7.625% 01/25 85,000.00 86,487.50 0.00%

HUGHES 5.25% 08/26 2,620,000.00 2,785,479.20 0.05%

HUGHES 6.625% 08/26 1,919,000.00 2,076,741.80 0.03%

HUNTSMAN 5.125% 11/22 200,000.00 215,044.44 0.00%

ICAHN 4.75% 09/24 500,000.00 506,250.00 0.01%

ICAHN 6.25% 02/22 1,575,000.00 1,591,647.75 0.03%

ICAHN 6.25% 05/26 4,191,000.00 4,369,117.50 0.07%

ICAHN 6.75% 02/24 370,000.00 379,536.75 0.01%

IHEART WARRANT 2,083.00 15,622.50 0.00%

IHEARTCOMMUN 6.375% 05/26 3,253,347.00 3,389,255.57 0.06%

IHEARTCOMMUN 8.375% 05/27 1,354,191.00 1,333,878.14 0.02%

S-586-564-953 01-Oct-2020 01:02:36



IHEARTCOMMUNI 5.25% 08/27 3,128,000.00 3,049,800.00 0.05%

IHEARTMEDIA INC COMMON STOCK USD 277.00 2,249.24 0.00%

IHO 4.75% 09/26 2,260,000.00 2,288,250.00 0.04%

ILFC E-CAPITAL FLT 12/65 1,135,000.00 615,737.50 0.01%

ILLINOIS FIN 4% 10/49 25,000.00 26,281.00 0.00%

IMPAC CMB TRUST FLT 04/35 338,514.72 328,048.83 0.01%

INDIANAPOLIS 6.116% 01/40 240,000.00 350,164.80 0.01%

INDYMAC INDX VAR 09/37 16,678,259.40 13,808,062.72 0.23%

INEOS GROUP 5.625% 08/24 2,500,000.00 2,525,525.00 0.04%

INTELSAT 5.5% 08/23 8,602,000.00 5,397,755.00 0.09%

INTELSAT 8.5% 10/24 5,163,000.00 3,330,135.00 0.06%

INTELSAT 8% 02/24 5,129,000.00 5,205,935.00 0.09%

INTELSAT 9.75% 07/25 1,765,000.00 1,156,075.00 0.02%

Intelsat Jackson Holdings S.A.-Tranche B-3 Term Lo 50,000.00 50,173.50 0.00%

INTERNATIONAL 6.25% 01/27 3,085,000.00 3,304,898.80 0.05%

INTERNATIONAL 6.25% 02/22 1,227,000.00 1,253,073.75 0.02%

INTERNATIONAL 6.5% 02/25 1,825,000.00 1,946,727.50 0.03%

IQVIA INC 5% 05/27 3,412,000.00 3,577,720.84 0.06%

IQVIA INC 5% 10/26 2,787,000.00 2,912,415.00 0.05%

IRB HOLDING 6.75% 02/26 858,000.00 858,000.00 0.01%

IRON 4.875% 09/27 3,444,000.00 3,512,062.05 0.06%

IRON 4.875% 09/29 1,325,000.00 1,348,187.50 0.02%

IRON 5.25% 03/28 763,000.00 794,473.75 0.01%

ISHARES IBOXX HIGH YIELD CORPORATE BOND ETF ETP USD 395,000.00 33,140,500.00 0.55%

JACKSON PARK VAR 10/39 3,725,000.00 3,515,033.67 0.06%

JACKSON PARK VAR 10/39 24,015,000.00 20,846,300.00 0.35%

JAMES HARDIE 4.75% 01/25 450,000.00 459,562.50 0.01%

JAMES HARDIE 5% 01/28 500,000.00 521,250.00 0.01%

JB 7.125% 04/26 331,000.00 350,985.78 0.01%

JBS USA LUX 5.75% 06/25 1,228,000.00 1,263,059.40 0.02%

JBS USA LUX 5.875% 07/24 299,000.00 304,890.30 0.01%

JBS USA LUX 6.5% 04/29 757,000.00 840,247.29 0.01%

S-586-564-953 01-Oct-2020 01:02:36



JBS USA LUX 6.75% 02/28 1,253,000.00 1,359,505.00 0.02%

JELD-WEN 4.625% 12/25 440,000.00 442,200.00 0.01%

JELD-WEN 4.875% 12/27 950,000.00 969,047.50 0.02%

JELD-WEN INC 6.25% 05/25 1,015,000.00 1,080,975.00 0.02%

JP MORGAN 6% 04/36 58,893.88 63,848.10 0.00%

JP MORGAN CHASE VAR 01/49 3,250,000.00 2,268,371.95 0.04%

JP MORGAN CHASE VAR 12/46 250,000.00 239,301.00 0.00%

JP MORGAN STEP 08/36 3,205,556.49 3,074,108.16 0.05%

JPMBB VAR 03/49 1,500,000.00 1,456,511.10 0.02%

JPMBB VAR 12/48 1,000,000.00 789,675.70 0.01%

JPMCC RE-REMIC ZERO 08/47 1,500,000.00 1,294,587.60 0.02%

JPMORGAN PRIME VAR 12/49 63,798,996.83 63,843,656.13 1.06%

KABBAGE FUNDING LLC 2019-1 B 4.071% 15/MAR/2024 1,000,000.00 958,500.00 0.02%

KABBAGE FUNDING LLC 2019-1 C 4.611% 15/MAR/2024 1,000,000.00 845,000.00 0.01%

KABBAGE FUNDING LLC 2019-1 D 5.688% 15/MAR/2024 13,579,000.00 7,334,017.90 0.12%

KAISER 4.625% 03/28 3,750,000.00 3,496,875.00 0.06%

KENNEDY-WILS 5.875% 04/24 54,000.00 53,730.00 0.00%

KFC HOLDING 4.75% 06/27 1,440,000.00 1,510,992.00 0.03%

L BRANDS INC 5.25% 02/28 57,000.00 55,147.50 0.00%

L BRANDS INC 6.75% 07/36 4,435,000.00 4,346,300.00 0.07%

L BRANDS INC 7.5% 06/29 1,254,000.00 1,310,430.00 0.02%

LABL ESCROW 6.75% 07/26 7,145,000.00 7,537,975.00 0.13%

LADDER 5.25% 10/25 2,190,000.00 2,028,487.50 0.03%

LAMAR MEDIA 3.75% 02/28 710,000.00 706,450.00 0.01%

LAMAR MEDIA 4% 02/30 500,000.00 500,000.00 0.01%

LAMAR MEDIA 5.75% 02/26 1,030,000.00 1,063,475.00 0.02%

LAMB WESTON 4.875% 11/26 4,905,000.00 5,113,462.50 0.09%

LB COMMERCIAL VAR 07/44 18,509.00 18,282.40 0.00%

LB-UBS VAR 09/39 149,147.57 86,357.37 0.00%

LEHMAN 6.5% 08/37 14,718,108.63 10,736,663.02 0.18%

LENDING 4.143% 02/26 4,500,000.00 4,387,270.05 0.07%

LENDINGPOINT 3.725% 11/25 12,000,000.00 12,019,117.20 0.20%

S-586-564-953 01-Oct-2020 01:02:36



LENDMARK 3.72% 04/28 3,040,000.00 2,898,873.17 0.05%

LENDMARK 3.9% 12/27 800,000.00 748,046.24 0.01%

LENDMARK 4.09% 12/26 790,000.00 808,266.93 0.01%

LENDMARK 5.03% 12/26 1,305,000.00 1,341,656.28 0.02%

LENDMARK 5.34% 12/27 3,000,000.00 2,639,606.40 0.04%

LENDMARK 6.78% 04/27 2,500,000.00 2,519,885.25 0.04%

LENNAR CORP 4.75% 05/25 874,000.00 953,868.31 0.02%

LENNAR CORP 5.25% 06/26 4,166,000.00 4,655,505.00 0.08%

LENNAR CORP 5.875% 11/24 117,000.00 130,747.50 0.00%

LENNAR CORP 5% 06/27 1,100,000.00 1,232,000.00 0.02%

LEVEL 3 4.625% 09/27 5,776,000.00 5,934,840.00 0.10%

LEVEL 3 5.25% 03/26 3,416,000.00 3,538,805.20 0.06%

LEVEL 3 5.375% 01/24 375,000.00 378,450.00 0.01%

LEVEL 3 5.375% 05/25 4,436,000.00 4,569,634.50 0.08%

LHOME 3.868% 07/24 12,000,000.00 12,098,722.80 0.20%

LHOME MORTGAGE STEP 03/24 8,580,000.00 8,176,744.29 0.14%



LIBERTY 8.25% 02/30 275,000.00 297,354.75 0.00%

Lightstone Holdco LLC Term Loan B - LX1712600 43,532.82 37,452.16 0.00%

Lightstone Holdco LLC Term Loan C - LX1712610 2,455.32 2,112.36 0.00%

LIVE NATION 4.75% 10/27 1,820,000.00 1,704,539.20 0.03%

LIVE NATION 4.875% 11/24 3,410,000.00 3,299,175.00 0.05%

LIVE NATION 5.625% 03/26 643,000.00 620,495.00 0.01%

LIVE NATION 6.5% 05/27 1,985,000.00 2,142,291.40 0.04%

LL ABS TRUST 2019-1 2019-1A A 2.87% 15/MAR/2027 2,621,320.71 2,632,525.02 0.04%

LL ABS TRUST 2019-1 2019-1A C 5.07% 15/MAR/2027 3,500,000.00 3,368,797.25 0.06%

LL ABS TRUST 2020-1 2020-1A A 2.33% 17/JAN/2028 7,500,000.00 7,514,415.00 0.12%

LONG BEACH FLT 08/33 37,930.87 38,594.75 0.00%

LOS ANGELES 6.75% 08/49 100,000.00 178,628.00 0.00%

LP LMS 4.212% 11/25 6,396,636.85 6,489,938.20 0.11%

LPL HOLDINGS 5.75% 09/25 1,150,000.00 1,191,612.75 0.02%

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LV TOWER 52 7.75% 15/JUL/2019 160,127.18 161,502.67 0.00%

MACY'S INC 8.375% 06/25 3,100,000.00 3,205,183.00 0.05%

MALLINCKRODT 5.5% 04/25 225,000.00 56,250.00 0.00%

MALLINCKRODT 5.625% 10/23 445,000.00 111,250.00 0.00%

MARINER 5.44% 07/32 5,120,000.00 4,789,093.89 0.08%

MARLETTE 4.01% 12/24 78,804.22 78,859.23 0.00%

MARLETTE 5.03% 12/24 4,500,000.00 4,467,495.15 0.07%

MARRIOTT 4.75% 01/28 18,000.00 17,055.00 0.00%

MARRIOTT 6.5% 09/26 3,565,000.00 3,660,256.80 0.06%

MARTIN 10% 02/24 116,041.00 120,392.54 0.00%

MASONITE 5.375% 02/28 2,710,000.00 2,894,822.00 0.05%

MASONITE 5.75% 09/26 3,330,000.00 3,471,525.00 0.06%

MASTR ASSET 5.25% 12/33 54,903.79 56,221.14 0.00%

MASTR VAR 08/33 62,542.63 63,820.51 0.00%

MATADOR 5.875% 09/26 455,000.00 380,357.25 0.01%

MATTEL INC 3.15% 03/23 765,000.00 742,050.00 0.01%

MATTEL INC 5.875% 12/27 2,635,000.00 2,835,918.75 0.05%

MATTEL INC 6.75% 12/25 8,363,000.00 8,822,965.00 0.15%

MAUSER 5.5% 04/24 5,060,000.00 5,077,912.40 0.08%

MAUSER 7.25% 04/25 5,185,000.00 4,880,381.25 0.08%

Maxar Technologies Inc.-Initial Term B Loan LIBOR+ 3,609.67 3,462.29 0.00%

ME FUNDING LLC 2019-1 2019-1 A2 6.448% 30/JUL/2049 26,916,600.00 22,135,673.51 0.37%

MEG ENERGY 6.5% 01/25 3,949,000.00 3,873,653.08 0.06%

MEG ENERGY 7.125% 02/27 2,262,000.00 2,028,629.46 0.03%

MEG ENERGY CORP 7% 03/24 3,481,000.00 3,237,330.00 0.05%

MEREDITH 6.875% 02/26 4,270,000.00 3,565,450.00 0.06%

MERRILL LYNCH VAR 08/33 87,864.75 86,143.35 0.00%

MF1 MULTIFAMILY FLT 04/24 3,475,687.60 3,450,440.90 0.06%

MFA 2017-NPL1 LLC 2017-NPL1 A1 STEP 25/NOV/2047 204,409.59 204,977.97 0.00%

MFA 2018-NPL2 LLC 2018-NPL2 A1 STEP 25/JUL/2048 159,533.91 159,748.40 0.00%

MGM GROWTH 5.625% 05/24 4,022,000.00 4,264,446.16 0.07%

MGM GROWTH 5.75% 02/27 2,400,000.00 2,586,000.00 0.04%

S-586-564-953 01-Oct-2020 01:02:36



MGM RESORTS 4.625% 09/26 4,428,000.00 4,405,860.00 0.07%

MGM RESORTS 5.5% 04/27 4,150,000.00 4,336,750.00 0.07%

MGM RESORTS 5.75% 06/25 4,419,000.00 4,634,647.20 0.08%

MGM RESORTS 6% 03/23 745,000.00 772,866.73 0.01%

MIDCONTINENT 5.375% 08/27 326,000.00 334,965.00 0.01%

MMFL RE-REMIC FLT 01/24 3,914,792.19 3,611,285.40 0.06%

Moran Foods Backstop Equity 45,425.55 45,425.55 0.00%

Moran Foods, LLC-Delayed TL LIBOR+11.5 - LX1873840 363,116.02 363,116.02 0.01%

Moran Foods, LLC-Term Loan (2020) LIBOR+6.0 - LX18 2,141,410.23 2,141,410.23 0.04%

Moran Foods, LLC-Tranche B (Second Lien) LIBOR+4.5 77,006.94 60,319.54 0.00%

MORGAN 3.25% 12/47 6,500,000.00 3,964,493.65 0.07%

MORGAN 3.389% 10/47 7,157,000.00 4,829,929.36 0.08%

MORGAN STANLEY VAR 03/48 22,213,186.26 660,373.59 0.01%



MORGAN STANLEY VAR 07/53 19,695,391.36 2,941,648.51 0.05%





MPH 7.125% 06/24 1,203,000.00 1,236,082.50 0.02%

MPH Acquisition Holdings LLC - LX1527110 1,285,000.00 1,262,975.10 0.02%

MPT 4.625% 08/29 1,472,000.00 1,531,571.84 0.03%

MSCI INC 5.375% 05/27 2,543,000.00 2,714,652.50 0.05%

MULTIFAMILY FLT 03/50 25,000,000.00 23,328,860.00 0.39%

MULTIFAMILY FLT 10/49 6,616,225.53 6,319,224.49 0.11%

MULTIFAMILY FLT 10/49 26,000,000.00 23,977,813.60 0.40%

MURPHY OIL 5.75% 08/25 2,680,000.00 2,337,965.00 0.04%

MYT HOLDING CO PREFERENCE USD 16,402.00 15,745.92 0.00%

NABORS 5.75% 02/25 414,000.00 139,725.00 0.00%

NABORS 7.25% 01/26 3,575,000.00 1,760,687.50 0.03%

NATIONSTAR 9.125% 07/26 440,000.00 471,900.00 0.01%

S-586-564-953 01-Oct-2020 01:02:36



NATWEST GROUP PLC NOTES FIXED 6% 19/DEC/2023 USD 1000 665,000.00 748,527.15 0.01%

NAVIENT 6.125% 03/24 5,680,000.00 5,736,800.00 0.10%

NCR CORP 5.75% 09/27 3,770,000.00 3,941,497.30 0.07%

NCR CORP 6.125% 09/29 3,491,000.00 3,688,660.42 0.06%

NCR CORP CALLABLE NOTES FIXED 5% 01/OCT/2028 USD 1000 1,204,000.00 1,202,495.00 0.02%

NEIMAN MARCUS 14% 04/24 57,445.00 16,659.05 0.00%

NETFLIX INC 4.875% 04/28 3,845,000.00 4,296,787.50 0.07%

NETFLIX INC 4.875% 06/30 1,855,000.00 2,114,700.00 0.04%

NETFLIX INC 5.375% 11/29 202,000.00 238,087.30 0.00%

NETFLIX INC 5.875% 02/25 50,000.00 56,374.00 0.00%

NETFLIX INC 5.875% 11/28 5,335,000.00 6,365,748.68 0.11%

NEW 5.437% 06/25 23,021,693.12 23,182,345.40 0.39%

NEW 6.625% 06/28 8,000.00 8,640.00 0.00%

NEW 7.45% 08/29 113,000.00 127,690.00 0.00%

NEW ALBERTSONS 8% 05/31 870,000.00 1,009,200.00 0.02%

NEW JERSEY ST 5% 06/42 25,000.00 26,041.00 0.00%

NEW RESIDENTIAL VAR 05/58 40,453,697.98 1,725,969.16 0.03%

NEW RESIDENTIAL VAR 11/59 3,042,000.00 2,812,480.80 0.05%

NEW RESIDENTIAL VAR 12/57 19,092,672.87 514,996.21 0.01%

NEWELL 5.875% 04/36 2,780,000.00 3,197,055.60 0.05%

NEWELL BRANDS 4.7% 04/26 6,000,000.00 6,394,620.00 0.11%

NEXSTAR 4.75% 11/28 2,304,000.00 2,350,080.00 0.04%

NEXSTAR 5.625% 07/27 5,683,000.00 5,961,182.85 0.10%

NEXTERA 4.25% 07/24 213,000.00 222,095.10 0.00%

NEXTERA 4.25% 09/24 52,000.00 54,210.00 0.00%

NEXTERA 4.5% 09/27 201,000.00 216,075.00 0.00%

NIELSEN CO 5.5% 10/21 125,000.00 125,000.00 0.00%

NIELSEN CO 5% 02/25 146,000.00 148,372.50 0.00%

NIELSEN FINANCE 5% 04/22 5,180,000.00 5,192,950.00 0.09%

NORTH TEX 6.718% 01/49 131,000.00 225,638.33 0.00%

NOURYON HOLDING 8% 10/26 2,370,000.00 2,508,597.60 0.04%

NOVA 4.875% 06/24 3,250,000.00 3,226,681.25 0.05%

S-586-564-953 01-Oct-2020 01:02:36



NOVA 5.25% 06/27 3,451,000.00 3,248,253.75 0.05%

NOVA CHEMICALS 5% 05/25 1,272,000.00 1,240,200.00 0.02%

NOVELIS 5.875% 09/26 3,762,000.00 3,865,455.00 0.06%

NOVELIS CORP 4.75% 01/30 1,620,000.00 1,581,071.40 0.03%

NRG ENERGY 5.25% 06/29 294,000.00 319,725.00 0.01%

NRG ENERGY 5.75% 01/28 3,166,000.00 3,415,322.50 0.06%

NRG ENERGY 6.625% 01/27 495,000.00 523,462.50 0.01%

NRG ENERGY 7.25% 05/26 2,315,000.00 2,463,785.05 0.04%

NRZ EXCESS 4.69% 05/23 539,074.62 524,385.81 0.01%

NRZ EXCESS 4.89% 05/23 455,712.58 441,206.43 0.01%

NUANCE 5.625% 12/26 684,000.00 721,620.00 0.01%

NUSTAR 5.625% 04/27 336,000.00 331,862.16 0.01%

NUSTAR 5.75% 10/25 1,074,000.00 1,109,227.20 0.02%

NUSTAR 6.375% 10/30 1,074,000.00 1,114,275.00 0.02%

NUSTAR 6% 06/26 1,579,000.00 1,583,452.78 0.03%

OASIS 6.25% 05/26 1,895,000.00 447,693.75 0.01%

OASIS 6.875% 01/23 2,458,000.00 571,485.00 0.01%

OASIS 6.875% 03/22 3,819,000.00 895,078.13 0.01%

OBX 2020-EXP1 FLT 02/60 4,466,979.87 4,463,853.88 0.07%

OBX 2020-INV1 FLT 12/49 3,400,014.01 3,393,590.36 0.06%

OCCIDENTAL 2.7% 08/22 371,000.00 346,651.27 0.01%

OCCIDENTAL 5.875% 09/25 1,225,000.00 1,122,663.50 0.02%

OCCIDENTAL 6.375% 09/28 1,225,000.00 1,133,982.50 0.02%

OCCIDENTAL 6.625% 09/30 1,225,000.00 1,130,062.50 0.02%

OCCIDENTAL 8.5% 07/27 2,762,000.00 2,783,295.02 0.05%

OCCIDENTAL 8.875% 07/30 3,112,000.00 3,205,360.00 0.05%

OCCIDENTAL 8% 07/25 2,604,000.00 2,620,222.92 0.04%

OCTANE 3.16% 09/23 6,788,718.47 6,772,794.85 0.11%

OCTANE 3.77% 07/24 12,591,000.00 12,467,525.10 0.21%

OI EUROPEAN 4% 03/23 14,000.00 14,210.00 0.00%

OL SP 2018-B, LLC-Term Loan C LIBOR+0.0 - LX173864 966,958.47 943,388.86 0.02%

OLIN CORP 5.625% 08/29 2,620,000.00 2,580,673.80 0.04%

S-586-564-953 01-Oct-2020 01:02:36



ON 3.875% 09/28 1,000,000.00 1,014,075.00 0.02%

ONDECK ASSET 4.52% 04/22 540,000.00 524,417.22 0.01%

ONEMAIN 1.75% 09/35 13,500,000.00 13,598,429.85 0.23%

ONEMAIN 2.21% 09/35 4,000,000.00 4,047,967.60 0.07%

ONEMAIN 2.76% 09/35 2,000,000.00 2,019,062.80 0.03%

ONEMAIN 3.45% 09/35 7,000,000.00 7,117,890.50 0.12%

ONEMAIN 3.79% 02/31 745,000.00 773,722.88 0.01%

ONEMAIN 4.29% 03/33 1,500,000.00 1,518,477.15 0.03%

ONEMAIN 4.52% 09/32 1,100,000.00 1,104,076.05 0.02%

ONEMAIN 5.625% 03/23 272,000.00 282,201.36 0.00%

ONEMAIN 6.125% 05/22 245,000.00 254,187.50 0.00%

ONEMAIN 6.625% 01/28 4,603,000.00 5,108,409.40 0.08%

ONEMAIN 6.875% 03/25 935,000.00 1,037,546.13 0.02%

ONEMAIN 7.125% 03/26 3,197,000.00 3,571,688.40 0.06%

ONEMAIN DIRECT 4.4% 01/28 580,000.00 598,032.43 0.01%

OPEN TEXT 3.875% 02/28 1,235,000.00 1,249,276.60 0.02%

OPEN TEXT 5.875% 06/26 508,000.00 528,320.00 0.01%

ORANGE CNTY 4.06% 08/41 290,000.00 319,385.70 0.01%

ORANGE LAKE 3.74% 11/30 2,655,999.99 2,663,213.69 0.04%

ORANGE LAKE 4.93% 04/38 3,187,546.62 3,139,039.81 0.05%

OUTFRONT MEDIA 5% 08/27 3,463,000.00 3,376,425.00 0.06%

OXFORD 3.101% 02/28 4,000,000.00 4,062,642.40 0.07%

P4SFR2019-STLB9.2511OCT22 7,700,000.00 7,700,000.00 0.13%

PAR 7.5% 04/27 5,830,000.00 6,107,974.40 0.10%

PARK 4.5% 03/23 350,000.00 347,212.96 0.01%

PARK 5.5% 02/24 990,000.00 996,187.50 0.02%

PARSLEY 5.25% 08/25 2,500,000.00 2,475,000.00 0.04%

PARSLEY 5.375% 01/25 1,140,000.00 1,137,150.00 0.02%

PBF 6.875% 05/23 195,000.00 183,300.00 0.00%

PBF HOLDING CO 6% 02/28 3,460,000.00 2,321,833.00 0.04%

PEABODY 6.375% 03/25 236,000.00 94,400.00 0.00%

PEABODY ENERGY 6% 03/22 50,000.00 29,000.00 0.00%

S-586-564-953 01-Oct-2020 01:02:36



PENSKE 5.5% 05/26 3,335,000.00 3,440,319.30 0.06%

PERFORMANCE 5.5% 10/27 4,207,000.00 4,333,210.00 0.07%

PETSMART 5.875% 06/25 8,281,000.00 8,476,431.60 0.14%

PETSMART 7.125% 03/23 5,880,000.00 5,931,450.00 0.10%

PFP 2019-5 LTD 2019-5 D FLOATING 14/APR/2036 3,500,000.00 3,282,695.50 0.05%

PG&E CORP 5% 07/28 4,100,000.00 3,977,000.00 0.07%

PGT 6.75% 08/26 265,000.00 282,225.00 0.00%

PHOTO 8.5% 10/26 2,900,000.00 2,667,275.00 0.04%

PILGRIM'S 5.75% 03/25 2,695,000.00 2,745,531.25 0.05%

PILGRIM'S 5.875% 09/27 397,000.00 409,902.50 0.01%

PLAINS ALL AMERICAN PIPELINE LP CALLABLE BOND VARIABLE 475,000.00 301,340.00 0.01%

PLANTRONICS 5.5% 05/23 2,380,000.00 2,118,200.00 0.04%

PMT CREDIT RISK FLT 03/24 5,766,010.65 5,189,411.31 0.09%

PMT CREDIT RISK FLT 05/23 2,213,171.52 2,079,117.29 0.03%

PNMAC FMSR FLT 04/23 4,626,000.00 4,452,864.55 0.07%

PNMAC GMSR FLT 02/23 4,655,000.00 4,543,344.24 0.08%

PNMAC GMSR FLT 08/25 4,320,000.00 4,168,096.70 0.07%

POLARIS 8.5% 12/22 455,500.00 463,471.25 0.01%

POPULAR ABS STEP 07/35 263,277.13 269,547.05 0.00%

POST 4.625% 04/30 1,095,000.00 1,126,481.25 0.02%

POST 5.625% 01/28 100,000.00 105,906.50 0.00%

POST 5.75% 03/27 342,000.00 359,527.50 0.01%

POST HOLDINGS 5.5% 12/29 4,455,000.00 4,766,850.00 0.08%

POST HOLDINGS 5% 08/26 2,852,000.00 2,923,300.00 0.05%

PRECISION 5.25% 11/24 201,000.00 134,670.00 0.00%

PRECISION 7.125% 01/26 3,376,000.00 2,171,375.68 0.04%

PRECISION 7.75% 12/23 75,000.00 57,000.00 0.00%

PRESTIGE 6.375% 03/24 3,750,000.00 3,843,750.00 0.06%

PRESTIGE AUTO 4.89% 05/24 1,160,000.00 1,192,757.59 0.02%

PRESTIGE AUTO 5.03% 01/26 720,000.00 743,717.23 0.01%

PRETIUM STEP 01/59 4,541,275.55 4,238,934.23 0.07%

PRETIUM STEP 07/59 2,500,000.00 2,454,321.00 0.04%

S-586-564-953 01-Oct-2020 01:02:36



PRETIUM STEP 12/58 3,020,000.00 3,016,613.07 0.05%

PRIME 5.25% 04/24 653,000.00 684,017.50 0.01%

PRIME 5.75% 04/26 4,665,000.00 4,988,657.70 0.08%

PROGRESS 2.796% 10/27 5,000,000.00 5,000,490.00 0.08%

PROGRESS 3.369% 09/36 6,100,000.00 6,227,869.42 0.10%

PROGRESS 4.105% 10/27 3,000,000.00 3,000,339.00 0.05%

PROGRESS 4.142% 05/36 4,000,000.00 4,117,285.20 0.07%

PROGRESS 4.427% 10/35 1,047,000.00 1,078,880.00 0.02%

PROGRESS 4.466% 08/35 2,000,000.00 2,062,834.80 0.03%

PROGRESS 4.873% 10/35 524,000.00 538,719.68 0.01%

PROSPER 3.69% 09/25 2,081,000.00 2,083,836.40 0.03%

PROSPER 5.05% 09/25 7,941,000.00 7,826,186.64 0.13%

PRPM 2019-1 LLC 2019-1A A1 STEP 25/JAN/2024 1,777,861.65 1,791,484.87 0.03%

PRPM 2019-GS1 2019-GS1 A1 VARIABLE 25/OCT/2024 12,127,862.97 12,143,584.32 0.20%

PRPM 2019-GS1 2019-GS1 A2 VARIABLE 25/OCT/2024 4,764,517.58 4,745,524.31 0.08%

PRPM 2020-1 LLC 2020-1A A1 STEP 25/FEB/2025 5,352,407.77 5,332,786.91 0.09%

PRPM 2020-2 LLC 2020-2 A1 STEP 25/AUG/2025 1,933,239.73 1,933,389.94 0.03%

PULTEGROUP INC 5% 01/27 1,460,000.00 1,651,625.00 0.03%

QEP 5.25% 05/23 85,000.00 61,837.50 0.00%

QEP 5.375% 10/22 135,000.00 110,700.00 0.00%

QEP 5.625% 03/26 79,000.00 44,832.50 0.00%

QORVO INC 5.5% 07/26 2,519,000.00 2,671,550.64 0.04%

QUEBECOR 5.75% 01/23 220,000.00 235,950.00 0.00%

QUICKEN 3.625% 03/29 718,000.00 711,717.50 0.01%

QUICKEN 3.875% 03/31 718,000.00 709,025.00 0.01%

QUICKEN 5.25% 01/28 285,000.00 300,293.10 0.00%

QUICKEN 5.75% 05/25 983,000.00 1,011,998.50 0.02%

RAAC SERIES 7% 09/34 109,606.56 113,513.16 0.00%

Rackspace Technology Global, Inc. - 75008QAL0 144,762.21 141,849.59 0.00%

RAIN CII 7.25% 04/25 150,000.00 146,250.00 0.00%

RAMP SERIES VAR 03/32 90,753.46 94,279.86 0.00%

RANGE RESOURCES 5% 03/23 4,832,000.00 4,590,400.00 0.08%

S-586-564-953 01-Oct-2020 01:02:36



RBS GLOBAL 4.875% 12/25 2,525,000.00 2,559,718.75 0.04%

READYCAP FLT 12/44 14,746,979.78 13,741,971.63 0.23%

REFINITIV US 6.25% 05/26 2,967,000.00 3,167,272.50 0.05%

REFINITIV US 8.25% 11/26 201,000.00 220,346.25 0.00%

REGIONAL 2.34% 10/30 6,000,000.00 5,999,679.60 0.10%

REGIONAL 4.11% 11/28 5,110,000.00 5,021,544.37 0.08%

REGIONAL 6.77% 10/30 2,410,000.00 2,409,914.93 0.04%

Remainco, LLC 1,536.00 1,850.67 0.00%

REMINGTON OUTDOOR CO INC COMMON STOCK USD 4,916.00 0.00 0.00%

RENAISSANCE STEP 03/34 139,117.38 140,108.41 0.00%

RENAISSANCE STEP 08/35 574,174.12 619,090.10 0.01%

RENEW 2017-1 2017-1A B 5.75% 20/SEP/2052 214,434.82 221,247.16 0.00%

REPO BUYER 2019-PC 3,999,000.00 3,999,000.00 0.07%

REPUBLIC 3.43% 11/27 4,185,000.00 4,254,298.58 0.07%

REVLON 6.25% 08/24 173,000.00 24,886.92 0.00%

RHP HOTEL 4.75% 10/27 5,575,000.00 5,136,916.50 0.09%

RHP HOTEL 5% 04/23 875,000.00 856,861.25 0.01%

RITE AID CORP 3,876,000.00 3,871,155.00 0.06%

RITE AID CORP 7.5% 07/25 2,814,000.00 2,771,790.00 0.05%

ROYAL 10.875% 06/23 1,180,000.00 1,320,030.20 0.02%

ROYAL 11.5% 06/25 3,418,000.00 3,972,565.99 0.07%

RSFR 2020-1 2020-1 PT STEP 17/FEB/2025 19,803,959.62 19,376,946.64 0.32%

SABRE GLBL 5.25% 11/23 875,000.00 855,312.50 0.01%

SANTANDER 0.96% 11/24 1,500,000.00 1,504,821.15 0.03%

SANTANDER 1.46% 09/25 2,500,000.00 2,530,334.75 0.04%

SANTANDER 2.22% 09/26 2,350,000.00 2,399,234.38 0.04%

SANTANDER 2.51% 01/32 11,500,000.00 12,179,815.60 0.20%

SANTANDER 3.45% 01/32 8,085,000.00 8,425,139.18 0.14%

SANTANDER 3.65% 04/25 1,410,000.00 1,465,740.54 0.02%

SANTANDER 3% 01/32 4,120,000.00 4,319,353.20 0.07%

SANTANDER 4.97% 01/25 5,770,000.00 5,990,772.89 0.10%

SANTANDER 5.02% 09/25 5,584,000.00 5,842,066.79 0.10%

S-586-564-953 01-Oct-2020 01:02:36



SANTANDER 5.04% 09/25 1,184,476.42 1,194,483.11 0.02%

SANTANDER 6.8% 09/25 2,410,409.62 2,439,671.99 0.04%

SART 2017-1 424,354.46 426,476.23 0.01%

SART 4.65 15JUL26 1,888,318.06 1,831,978.49 0.03%

SART 5.81 15APR26 1,525,672.08 1,483,394.26 0.02%

SART CMO 4.757 %CPN 15/JUN/2025 1,028,610.30 1,044,039.45 0.02%

SBA 4.875% 09/24 1,225,000.00 1,255,502.50 0.02%

SBALR 2.53% 02/53 4,000,000.00 4,094,940.40 0.07%

SBALR 3.477% 02/53 11,440,000.00 11,775,681.63 0.20%

SBALR VAR 02/53 4,750,000.00 3,538,165.28 0.06%

SBALR VAR 02/53 4,750,000.00 4,754,356.23 0.08%

SBALR VAR 02/53 95,049,674.64 8,640,281.56 0.14%

SCIENTIFIC 5% 10/25 4,321,000.00 4,348,006.25 0.07%

Scientific Games International, Inc.-Initial Term 98,734.19 92,672.90 0.00%

SCOTTS 4.5% 10/29 2,975,000.00 3,151,640.63 0.05%

SCOTTS 5.25% 12/26 1,775,000.00 1,892,593.75 0.03%

SEALED AIR 5.125% 12/24 1,995,000.00 2,160,834.38 0.04%

SEALED AIR 5.5% 09/25 250,000.00 277,500.00 0.00%

SEASONED CREDIT VAR 07/56 28,105,830.68 25,407.67 0.00%

SECURITY VAR 11/34 81,934.74 81,767.35 0.00%

SENSATA 4.375% 02/30 2,770,000.00 2,908,500.00 0.05%

SENSATA 4.875% 10/23 255,000.00 269,025.00 0.00%

SENSATA 5.625% 11/24 200,000.00 217,000.00 0.00%

SENSATA 5% 10/25 517,000.00 555,775.00 0.01%

SENSATA 6.25% 02/26 5,275,000.00 5,525,562.50 0.09%

SERVICE 3.375% 08/30 1,426,000.00 1,427,782.50 0.02%

SERVICE 4.625% 12/27 2,455,000.00 2,600,311.45 0.04%

SERVICE 5.125% 06/29 3,309,000.00 3,666,802.17 0.06%

SERVICE CORP 7.5% 04/27 535,000.00 636,650.00 0.01%

SHELF 8.25% 02/25 660,000.00 260,700.00 0.00%

SIERRA 4.18% 08/36 4,636,713.09 4,501,149.97 0.07%

SIERRA 4.54% 05/36 2,001,935.38 1,971,578.23 0.03%

S-586-564-953 01-Oct-2020 01:02:36



SIERRA 4.75% 01/36 706,598.87 709,231.02 0.01%

SIERRA 6.59% 07/37 4,373,536.66 4,421,478.06 0.07%

SINCLAIR 5.125% 02/27 3,210,000.00 2,977,917.00 0.05%

SINCLAIR 5.625% 08/24 890,000.00 885,550.00 0.01%

SINCLAIR 5.875% 03/26 184,000.00 181,240.00 0.00%

SIRIUS XM 4.625% 07/24 202,000.00 208,943.75 0.00%

SIRIUS XM 5.375% 07/26 1,264,000.00 1,315,444.80 0.02%

SIRIUS XM 5.5% 07/29 1,664,000.00 1,789,132.80 0.03%

SIRIUS XM RADIO 5% 08/27 10,277,000.00 10,735,045.89 0.18%

SIX FLAGS 4.875% 07/24 3,291,000.00 3,095,843.70 0.05%

SIX FLAGS 5.5% 04/27 1,740,000.00 1,650,042.00 0.03%

SM ENERGY 6.125% 11/22 3,580,000.00 2,785,132.60 0.05%

SM ENERGY 6.625% 01/27 2,778,000.00 1,233,959.82 0.02%

SM ENERGY CO 5% 01/24 38,000.00 20,330.00 0.00%

SM ENERGY CO 6.75% 09/26 179,000.00 79,655.00 0.00%

SMALL 5.01% 12/26 3,250,000.00 2,281,239.35 0.04%

SOCIETE GENERALE SA CALLABLE NOTES VARIABLE USD 1000 739,000.00 757,475.00 0.01%

SOFI CONSUMER 3.52% 11/26 100,000.00 102,515.63 0.00%

SOFI CONSUMER 3.65% 02/27 450,000.00 462,557.61 0.01%

SOFI CONSUMER 3.97% 02/27 450,000.00 456,147.72 0.01%

SOFI CONSUMER 4.02% 11/26 100,000.00 101,507.79 0.00%

SOFI CONSUMER 4.25% 04/27 5,000,000.00 5,087,721.00 0.08%

SOLERA LLC / 10.5% 03/24 201,000.00 210,045.00 0.00%

SONIC CAPITAL LLC 2020-1A A2II 4.336% 20/JAN/2050 1,491,250.01 1,611,191.25 0.03%

SOUTHWESTERN 6.45% 01/25 2,165,000.00 2,100,656.20 0.03%

SOUTHWESTERN 7.5% 04/26 4,275,000.00 4,178,812.50 0.07%

SOUTHWESTERN 7.75% 10/27 160,000.00 155,200.00 0.00%

SPDR BLACKSTONE / GSO SENIOR LOAN ETF ETP USD 975,000.00 43,602,000.00 0.72%

SPECTRUM 5.75% 07/25 4,325,000.00 4,459,075.00 0.07%

SPECTRUM 6.125% 12/24 673,000.00 691,507.50 0.01%

SPECTRUM BRANDS 5% 10/29 2,578,000.00 2,674,675.00 0.04%

SPRINGLEAF 3.8% 05/28 900,000.00 905,998.68 0.02%

S-586-564-953 01-Oct-2020 01:02:36



SPRINT 6.875% 11/28 148,000.00 184,309.58 0.00%

SPRINT 8.75% 03/32 12,816,000.00 18,760,188.96 0.31%

SPRINT CORP 7.125% 06/24 7,672,000.00 8,827,479.92 0.15%

SPRINT CORP 7.25% 09/21 115,000.00 120,318.75 0.00%

SPRINT CORP 7.625% 02/25 6,859,000.00 8,025,030.00 0.13%

SPRINT CORP 7.625% 03/26 19,132,000.00 23,118,821.82 0.38%

SPRINT CORP 7.875% 09/23 1,582,000.00 1,812,576.50 0.03%

SPX FLOW 5.875% 08/26 295,000.00 306,800.00 0.01%

SRTCR-SRS 2.51 15OCT24 2,003,974.06 1,944,738.59 0.03%

SS&C 5.5% 09/27 4,174,000.00 4,435,793.28 0.07%

STACR TRUST FLT 02/47 14,145,000.00 13,494,788.30 0.22%

STACR TRUST FLT 04/43 2,830,000.00 2,657,462.54 0.04%

STACR TRUST FLT 09/48 2,300,000.00 2,130,736.10 0.04%

STANDARD 3.375% 01/31 1,064,000.00 1,050,162.68 0.02%

STANDARD 4.75% 01/28 7,193,000.00 7,462,737.50 0.12%

STANDARD 5% 02/27 340,000.00 353,600.00 0.01%

STANWICH STEP 11/24 4,620,548.00 4,583,985.14 0.08%

STAPLES INC 10.75% 04/27 3,080,000.00 2,469,775.00 0.04%

STAPLES INC 7.5% 04/26 8,935,000.00 8,233,245.10 0.14%

STARS GROUP 7% 07/26 3,716,000.00 3,948,250.00 0.07%

STARWOOD VAR 03/48 1,000,000.00 1,048,101.60 0.02%

STARWOOD VAR 06/49 3,500,000.00 3,530,736.65 0.06%

STATION 4.5% 02/28 760,000.00 703,000.00 0.01%

STATION CASINOS 5% 10/25 3,136,000.00 3,084,412.80 0.05%

STEEL 4.125% 09/25 399,000.00 408,064.75 0.01%

STEEL DYNAMICS 5% 12/26 28,000.00 29,918.91 0.00%

STRUCTURED FLT 05/47 17,221,198.16 13,153,211.90 0.22%

STRUCTURED FLT 09/34 177,690.04 175,768.41 0.00%

STRUCTURED FLT 10/37 2,561,115.98 2,392,093.08 0.04%

SUMMIT 5.125% 06/25 260,000.00 263,575.00 0.00%

SUMMIT 5.75% 04/25 431,000.00 246,025.58 0.00%

SUMMIT 6.5% 03/27 1,145,000.00 1,219,425.00 0.02%

S-586-564-953 01-Oct-2020 01:02:36



SUNOCO LP / 4.875% 01/23 63,000.00 63,315.00 0.00%

SUNOCO LP / 5.5% 02/26 218,000.00 217,727.50 0.00%

SUNOCO LP / 5.875% 03/28 19,000.00 19,427.50 0.00%

SUNOCO LP / 6% 04/27 623,000.00 640,132.50 0.01%

T-MOBILE 3.875% 04/30 1,995,000.00 2,268,374.85 0.04%

T-MOBILE 5.125% 04/25 75,000.00 76,640.25 0.00%

T-MOBILE USA 3.5% 04/25 1,990,000.00 2,183,467.80 0.04%

T-MOBILE USA 3.75% 04/27 1,995,000.00 2,233,482.30 0.04%

T-MOBILE USA 4.5% 02/26 3,656,000.00 3,767,142.40 0.06%

T-MOBILE USA 4.75% 02/28 7,101,000.00 7,596,223.74 0.13%

T-MOBILE USA 6% 03/23 200,000.00 200,520.00 0.00%

T-MOBILE USA INC 6.5% 01/15/2026 10,415,000.00 10,883,675.00 0.18%

TALLGRASS 5.5% 01/28 54,000.00 48,600.00 0.00%

TALLGRASS 5.5% 09/24 224,000.00 210,560.00 0.00%

TALLGRASS 6% 03/27 400,000.00 366,000.00 0.01%

TALLGRASS 7.5% 10/25 3,165,000.00 3,177,818.25 0.05%

TARGA 4.25% 11/23 175,000.00 173,250.00 0.00%

TARGA 4.875% 02/31 2,025,000.00 1,961,060.63 0.03%

TARGA 5.125% 02/25 170,000.00 169,575.00 0.00%

TARGA 5.25% 05/23 43,000.00 42,901.10 0.00%

TARGA 5.375% 02/27 75,000.00 75,421.50 0.00%

TARGA 5.875% 04/26 7,125,000.00 7,315,237.50 0.12%

TARGA 6.5% 07/27 3,016,000.00 3,144,180.00 0.05%

TARGA 6.875% 01/29 2,240,000.00 2,401,728.00 0.04%

TARGA RESOURCES 5% 01/28 2,230,000.00 2,174,250.00 0.04%

TEAM HEALTH 6.375% 02/25 1,018,000.00 697,330.00 0.01%

TEGNA BOND FIXED 5.125% 11/SEP/2029 USD 2,090,000.00 2,063,875.00 0.03%

TEGNA INC 4.625% 03/28 1,360,000.00 1,329,808.00 0.02%

TELECOM 5.303% 05/24 500,000.00 542,950.00 0.01%

TELECOM 6.375% 11/33 6,765,000.00 8,019,028.05 0.13%

TELECOM 7.721% 06/38 750,000.00 997,140.00 0.02%

TELECOM ITALIA 6% 09/34 2,211,000.00 2,567,391.09 0.04%

S-586-564-953 01-Oct-2020 01:02:36



TELEFLEX 4.875% 06/26 386,000.00 398,545.00 0.01%

TEMPUR 5.625% 10/23 1,162,000.00 1,173,864.02 0.02%

TEMPUR SEALY 5.5% 06/26 6,754,000.00 7,010,314.30 0.12%

TENET 4.625% 07/24 1,712,000.00 1,716,280.00 0.03%

TENET 4.625% 09/24 86,000.00 86,698.32 0.00%

TENET 4.875% 01/26 9,842,000.00 9,989,630.00 0.17%

TENET 5.125% 05/25 3,302,000.00 3,305,302.00 0.05%

TENET 5.125% 11/27 2,291,000.00 2,356,522.60 0.04%

TENET 6.25% 02/27 10,278,000.00 10,609,054.38 0.18%

TENET 6.75% 06/23 1,765,000.00 1,853,250.00 0.03%

TENNANT CO 5.625% 05/25 679,000.00 704,666.20 0.01%

TENNECO INC 5.375% 12/24 540,000.00 413,839.80 0.01%

TENNECO INC 5% 07/26 1,335,000.00 987,900.00 0.02%

TERRAFORM 4.25% 01/23 255,000.00 261,344.40 0.00%

TERRAFORM POWER 5% 01/28 172,000.00 188,284.10 0.00%

TESLA AUTO 2.33% 02/24 2,000,000.00 2,029,731.20 0.03%

TESLA AUTO 3.37% 01/23 2,700,000.00 2,788,474.95 0.05%

TESLA AUTO 4.64% 08/24 2,500,000.00 2,593,343.00 0.04%

TIF FUNDING II LLC 2020-1A A 2.09% 20/AUG/2045 4,968,750.00 4,964,842.58 0.08%

TOLL BROTHERS 3.8% 11/29 595,000.00 629,956.25 0.01%

TOORAK STEP 08/21 858,514.77 863,336.10 0.01%

TRANSDIGM 6.25% 03/26 5,712,000.00 5,989,317.60 0.10%

TRANSOCEAN 11.5% 01/27 966,000.00 386,400.00 0.01%

TRANSOCEAN 6.125% 08/25 4,650,360.00 4,162,072.20 0.07%

TRANSOCEAN 6.25% 12/24 312,650.00 277,086.06 0.00%

TRANSOCEAN 6.875% 02/27 259,000.00 207,200.00 0.00%

TRICOLOR AUTO 7.3% 02/21 2,700,000.00 2,749,188.60 0.05%

TRICOLOR AUTO 8.25% 11/26 6,349,000.00 6,349,000.00 0.11%

TRINSEO 5.375% 09/25 2,026,000.00 2,015,870.00 0.03%

TRIUMPH 5.25% 06/22 50,000.00 41,000.00 0.00%

TRIUMPH 7.75% 08/25 2,540,000.00 1,628,775.00 0.03%

TRIUMPH GROUP INC/NC BOND FIXED 09/SEP/2024 USD 2,566,000.00 2,183,768.64 0.04%

S-586-564-953 01-Oct-2020 01:02:36



TRIVIUM 5.5% 08/26 3,575,000.00 3,701,823.13 0.06%

TRIVIUM 8.5% 08/27 1,545,000.00 1,665,857.63 0.03%

TRONOX INC 6.5% 04/26 1,804,000.00 1,804,000.00 0.03%

TVC MORTGAGE STEP 09/24 5,500,000.00 5,160,818.85 0.09%

UNITED AIRLINES HOLDINGS INC CALLABLE NOTES FIXED 4.875 388,000.00 333,680.00 0.01%

UNITED AIRLINES HOLDINGS INC CALLABLE NOTES FIXED 5% 01 266,000.00 232,750.00 0.00%

UNITED AUTO CREDIT SECURITIZATION TRUST 2018-1 2018-1 D 9,856.01 9,863.99 0.00%

United Natural Foods, Inc. - LX1762600 251,683.41 244,802.39 0.00%

UNITED RENTALS NORTH AMERICA INC CALLABLE NOTES FIXED 3 885,000.00 911,550.00 0.02%

UNITED RENTALS NORTH AMERICA INC CALLABLE NOTES FIXED 3 2,067,000.00 2,098,005.00 0.03%

UNITED RENTALS NORTH AMERICA INC CALLABLE NOTES FIXED 4 905,000.00 925,362.50 0.02%




UNITED STATES CELLULAR CORP CALLABLE NOTES FIXED 6.7% 1 790,000.00 1,018,274.45 0.02%

UNITI GROUP 7.125% 12/24 65,000.00 62,863.13 0.00%

UNITI GROUP 8.25% 10/23 99,000.00 97,515.00 0.00%

UNITI GROUP LP 6% 04/23 4,795,000.00 4,821,971.88 0.08%

UNIV CALIF 6.583% 05/49 255,000.00 412,898.55 0.01%

UNIVERSITY 4.131% 05/45 100,000.00 124,039.00 0.00%

UNIVERSITY 5.77% 05/43 140,000.00 203,488.60 0.00%

US AUTO 5.34% 03/23 7,000,000.00 7,143,335.50 0.12%

US AUTO FUNDING 2018-1 LLC 2018-1A B 7.5% 15/JUL/2023 1,844,938.92 1,923,451.40 0.03%

VALVOLINE 4.375% 08/25 15,000.00 15,431.25 0.00%

VCAT 2020-NPL1 LLC 2020-NPL1 A1 STEP 25/AUG/2050 5,887,915.16 5,885,880.30 0.10%

VELOCITY VAR 03/49 1,869,909.59 1,906,598.71 0.03%

VELOCITY VAR 03/49 3,897,985.19 4,031,455.32 0.07%

VELOCITY VAR 10/48 235,184.92 230,561.02 0.00%

VELOCITY VAR 10/48 427,055.42 408,709.97 0.01%

VELOCITY VAR 10/48 3,683,080.98 3,740,034.30 0.06%

VELOCITY VAR 10/49 4,382,602.64 4,483,604.10 0.07%

VERICREST STEP 02/50 12,000,000.00 11,835,291.60 0.20%

S-586-564-953 01-Oct-2020 01:02:36



VERICREST STEP 04/50 8,043,132.07 8,085,310.25 0.13%

VERICREST STEP 08/49 3,910,000.00 3,835,553.21 0.06%

VERICREST STEP 08/49 7,850,000.00 7,775,560.81 0.13%

VERICREST STEP 09/49 9,495,000.00 9,404,904.79 0.16%

VERICREST STEP 10/49 9,000,000.00 8,911,438.20 0.15%

VERICREST STEP 11/49 15,000,000.00 14,783,233.50 0.25%

VERISIGN INC 4.75% 07/27 5,000.00 5,300.00 0.00%

VEROS 5.74% 08/25 2,500,000.00 2,519,602.00 0.04%

VERTICAL US 5.25% 07/27 2,085,000.00 2,166,867.53 0.04%

VERUS 4.991% 12/59 750,000.00 701,983.28 0.01%

VERUS FLT 10/58 4,076,941.31 4,074,447.45 0.07%

VERUS STEP 01/60 4,483,058.88 4,571,241.99 0.08%

VERUS STEP 01/60 6,306,676.06 6,434,407.06 0.11%

VERUS VAR 01/60 1,150,000.00 1,004,554.67 0.02%

VERUS VAR 01/60 1,990,000.00 1,980,085.42 0.03%

VERUS VAR 05/60 924,520.84 933,148.75 0.02%

VERUS VAR 06/58 349,891.54 354,765.67 0.01%

VERUS VAR 11/59 2,200,000.00 2,071,217.50 0.03%

VERUS VAR 11/59 5,200,000.00 5,293,915.12 0.09%

VERUS VAR 11/59 7,606,000.00 6,977,430.27 0.12%

VERUS VAR 12/59 1,190,000.00 1,207,106.25 0.02%

VIACOMCBS INC VAR 02/57 509,000.00 558,627.50 0.01%

VIACOMCBS INC VAR 02/57 530,000.00 539,317.40 0.01%

VICI 3.5% 02/25 590,000.00 584,102.95 0.01%

VICI 3.75% 02/27 1,945,000.00 1,912,479.60 0.03%

VICI 4.125% 08/30 2,240,000.00 2,206,400.00 0.04%

VICI 4.25% 12/26 3,443,000.00 3,459,009.95 0.06%

VICI 4.625% 12/29 1,532,000.00 1,564,838.42 0.03%

VIDEOTRON 5.125% 04/27 7,040,000.00 7,406,080.00 0.12%

VIDEOTRON 5.375% 06/24 190,000.00 207,100.00 0.00%

VIRGIN MEDIA 5.5% 05/29 3,265,000.00 3,504,814.25 0.06%

VIRGIN MEDIA 5.5% 08/26 2,560,000.00 2,668,800.00 0.04%

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VISIO 2019-2 TRUST 2019-2 B1 VARIABLE 25/NOV/2054 820,000.00 783,707.95 0.01%

Viskase Companies, Inc.-Initial Term Loan LIBOR+3. 96,134.05 86,304.34 0.00%

VISTA 5.875% 10/23 350,000.00 350,875.00 0.01%

VISTRA 5.5% 09/26 501,000.00 522,918.75 0.01%

VISTRA 5.625% 02/27 1,370,000.00 1,445,624.00 0.02%

VISTRA 5% 07/27 3,380,000.00 3,549,845.00 0.06%

VM DEBT 2019-1 9.5% 05/24 10,000,000.00 9,457,534.00 0.16%

VMD-WL1 FRN 31JAN21 6,847,746.38 6,807,344.68 0.11%

VOLT FRN 27JUL23 19,687,000.00 18,850,912.80 0.31%

VOLT LXXX LLC 2019-NPL6 A1B STEP 25/OCT/2049 17,435,000.00 17,193,513.05 0.29%

VOLT LXXXIII LLC 2019-NPL9 A1B STEP 26/NOV/2049 12,130,000.00 12,011,983.59 0.20%

VOLT LXXXIV LLC 2019-NP10 A1B STEP 27/DEC/2049 14,250,000.00 14,070,653.78 0.23%

VOLT LXXXV LLC 2020-NPL1 A1B STEP 25/JAN/2050 25,000,000.00 24,617,997.50 0.41%

VOYA CLO 2016-3 LTD 2016-3A CR FLOATING 18/OCT/2031 535,000.00 487,548.71 0.01%

W&T OFFSHORE 9.75% 11/23 471,000.00 324,358.86 0.01%

WABASH 5.5% 10/25 660,000.00 660,000.00 0.01%

WAMU MORTGAGE 5.5% 06/33 134,135.17 139,072.08 0.00%

WAMU MORTGAGE 5.5% 06/34 146,558.72 151,455.23 0.00%

WAMU MORTGAGE VAR 08/33 152,307.77 154,089.56 0.00%

WAMU MORTGAGE VAR 08/35 97,920.48 98,982.34 0.00%

WELBILT INC 9.5% 02/24 295,000.00 302,375.00 0.01%

WELK RESORTS 2019-A LLC 2019-AA C 3.34% 15/JUN/2038 4,089,420.89 3,993,193.14 0.07%

WELK RESORTS 2019-A LLC 2019-AA D 4.03% 15/JUN/2038 1,612,125.77 1,504,150.74 0.03%

WELLS FARGO 2.5% 02/53 4,500,000.00 3,602,338.20 0.06%

WELLS FARGO 2.5% 02/53 6,850,000.00 4,470,473.72 0.07%

WELLS FARGO 3% 07/50 1,000,000.00 786,269.30 0.01%

WELLS FARGO VAR 05/48 3,230,000.00 2,014,509.98 0.03%

WELLS FARGO VAR 08/52 16,716,174.64 1,820,266.05 0.03%

WELLS FARGO VAR 08/53 13,830,000.00 13,720,882.68 0.23%

WELLS FARGO VAR 11/43 100,267.14 100,052.58 0.00%

WELLS FARGO VAR 12/47 4,000,000.00 3,362,050.80 0.06%

WELLS FARGO ZERO 05/45 8,000,000.00 7,394,430.40 0.12%

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WESCO 5.375% 06/24 245,000.00 251,431.25 0.00%

WESCO 7.125% 06/25 3,250,000.00 3,540,225.00 0.06%

WESCO 7.25% 06/28 500,000.00 547,837.50 0.01%

WESTERN 4.75% 02/26 3,068,000.00 3,313,440.00 0.06%

WESTGATE 6.213% 03/34 11,542,442.27 12,018,989.31 0.20%

WESTLAKE 2.01% 07/25 1,000,000.00 1,014,348.90 0.02%

WESTLAKE 2.49% 10/24 1,630,000.00 1,665,775.40 0.03%

WESTLAKE 2.72% 11/24 6,310,000.00 6,458,062.26 0.11%

WESTLAKE 2.76% 01/26 2,000,000.00 2,051,668.80 0.03%

WESTLAKE 3.2% 11/24 1,013,000.00 1,044,399.45 0.02%

WESTLAKE 3.59% 03/25 600,000.00 597,349.08 0.01%

WESTLAKE 4.02% 04/25 4,815,000.00 4,895,241.01 0.08%

WESTLAKE 4.49% 07/24 950,000.00 987,754.24 0.02%

WESTLAKE 4.72% 04/26 1,400,000.00 1,358,717.22 0.02%

WESTLAKE 4.86% 01/24 450,000.00 469,290.02 0.01%

WESTLAKE 4.9% 12/23 670,000.00 693,302.06 0.01%

WESTLAKE 5.6% 07/24 3,500,000.00 3,511,592.00 0.06%

WESTLAKE 5.67% 02/26 3,009,000.00 3,040,115.17 0.05%

WESTLAKE 5% 03/26 1,880,000.00 1,843,571.80 0.03%

WESTLAKE 6.02% 02/25 3,690,000.00 3,763,309.97 0.06%

WESTLAKE 6.04% 01/25 1,320,000.00 1,354,221.53 0.02%

WFRBS VAR 09/57 6,540,000.00 5,279,237.77 0.09%

WHITING 1.25% 04/21 149,000.00 0.00 0.00%

WHITING PETROLEUM CORP COMMON STOCK USD 112,955.00 1,952,991.95 0.03%

WILLIAM 5.625% 03/27 3,510,000.00 3,663,562.50 0.06%

WINDSTREAM 8.625% 10/25 477,000.00 286,212.14 0.00%

WMG 5.5% 04/26 525,000.00 544,687.50 0.01%

WOLVERINE 8.5% 11/24 2,565,000.00 2,103,300.00 0.03%

WOLVERINE 9% 11/26 5,895,000.00 4,863,375.00 0.08%

WPX ENERGY 5.75% 06/26 2,977,000.00 3,081,195.00 0.05%

WPX ENERGY 5.875% 06/28 1,000,000.00 1,045,000.00 0.02%

WPX ENERGY 8.25% 08/23 1,521,000.00 1,718,730.00 0.03%

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WYNDHAM 4.25% 03/22 8,000.00 7,952.00 0.00%

WYNDHAM 5.75% 04/27 1,508,000.00 1,546,642.50 0.03%

WYNDHAM 6.35% 10/25 143,000.00 149,822.53 0.00%

WYNN 5.125% 10/29 4,453,000.00 4,319,410.00 0.07%

WYNN LAS 5.5% 03/25 5,189,000.00 4,981,440.00 0.08%

XPO 6.125% 09/23 3,005,000.00 3,067,128.38 0.05%

XPO 6.75% 08/24 3,998,000.00 4,234,681.60 0.07%

YUM BRANDS 3.625% 03/31 1,968,000.00 1,968,000.00 0.03%

YUM BRANDS 4.75% 01/30 3,563,000.00 3,839,132.50 0.06%

ZIGGO BV 5.5% 01/27 2,363,000.00 2,475,242.50 0.04%

Total Long PositionsBlank Row 6,014,411,728.10

CDI CDX.NA 1 USD0625 (59,500,000.00) 0.00

CDI CDX.NA 1 USD0625 (40,409,000.00) 0.00

CDI CDX.NA 1 USD0625 (40,390,000.00) 0.00

CDI CDX.NA 1 USD0625 (16,150,000.00) 0.00

CDI CDX.NA 1 USD0625 (10,630,000.00) 0.00

CDI CDX.NA 1 USD0625 (9,950,000.00) 0.00

CDI CDX.NA 1 USD1224 (99,045,000.00) 0.00

CDI CDX.NA 1 USD1224 (12,381,000.00) 0.00

CDI CDX.NA 5 USD1225 (129,115,000.00) 0.00

CDI CDX.NA 5 USD1225 (129,115,000.00) 0.00

CDS CMBX.N 3 USD0861 (12,500,000.00) 0.00

CDS CMBX.N 3 USD0861 (12,500,000.00) 0.00

CDS CMBX.N 3 USD0861 (12,500,000.00) 0.00

CDS CMBX.N 3 USD0861 (8,017,000.00) 0.00

CDS CMBX.N 3 USD0861 (7,500,000.00) 0.00

CDS CMBX.N 3 USD0861 (5,500,000.00) 0.00

CDS CMBX.N 3 USD0861 (5,000,000.00) 0.00

CDS CMBX.N 3 USD0861 (5,000,000.00) 0.00

CDS CMBX.N 3 USD0861 (5,000,000.00) 0.00

CDS CMBX.N 3 USD0861 (5,000,000.00) 0.00

CDS CMBX.N 3 USD0861 (2,500,000.00) 0.00

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Asset Name Shares Value (USD) %Total Short PositionsBlank Row 0.00

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Holdings and allocations shown above are un-audited, and may not be representative of current or future investments. The above holdings list has been created from the books and records of the Fund without examination by independent auditors. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. The above holdings are shown for informational purposes only and not intended as an offer or solicitation with respect to the purchase or sale of any security. The uncertified holdings do not include all derivatives.

Must be preceded or accompanied by a prospectus.

JPMorgan Distribution Services, Inc., member FINRA.

JPMorgan Chase & Co. 2020.

S-586-564-953 01-Oct-2020 01:02:36

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