0001752724-23-041506.txt : 20230227
0001752724-23-041506.hdr.sgml : 20230227
20230227112446
ACCESSION NUMBER: 0001752724-23-041506
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20221231
FILED AS OF DATE: 20230227
DATE AS OF CHANGE: 20230227
PERIOD START: 20221231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: MORGAN STANLEY VARIABLE INSURANCE FUND INC.
CENTRAL INDEX KEY: 0001011378
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07607
FILM NUMBER: 23671483
BUSINESS ADDRESS:
STREET 1: 522 FIFTH AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10036
BUSINESS PHONE: 800-548-7786
MAIL ADDRESS:
STREET 1: 522 FIFTH AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10036
FORMER COMPANY:
FORMER CONFORMED NAME: UNIVERSAL INSTITUTIONAL FUNDS INC
DATE OF NAME CHANGE: 20020322
FORMER COMPANY:
FORMER CONFORMED NAME: MORGAN STANLEY UNIVERSAL FUNDS INC
DATE OF NAME CHANGE: 19960328
0001011378
S000004166
Core Plus Fixed Income Portfolio
C000011738
Class II
MJIIX
C000011739
Class I
MFIPX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001011378
XXXXXXXX
S000004166
C000011738
C000011739
MORGAN STANLEY VARIABLE INSURANCE FUND INC.
811-07607
0001011378
KRX6WCBD0RZHNUHCX346
522 FIFTH AVENUE
NEW YORK
10036
800-548-7786
Core Plus Fixed Income Portfolio
S000004166
Z21J3O1LEZEL6BEMID65
2022-12-31
2022-12-31
N
97119251.54
13691115.46
83428136.08
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
594611.13000000
EUR
JPY
USD
UST
Bloomberg U.S. Aggregate Index
BBG_US_Agg
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DKJ9
8909.64000000
PA
USD
9167.33000000
0.010988295353
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
5.44000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H5DS3
800000.00000000
PA
USD
143174.08000000
0.171613662640
Long
ABS-MBS
USGSE
US
N
2
2049-01-25
Variable
2.88000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2006-A6
76113FAV2
19679.08000000
PA
USD
10949.83000000
0.013124864721
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2015-SFR2 Trust
02666BAE6
490000.00000000
PA
USD
476553.76000000
0.571214679353
Long
ABS-O
CORP
US
N
2
2052-10-17
Fixed
6.07000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384WAH3
1040.49000000
PA
USD
1066.15000000
0.001277926189
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
9.50000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VCB7
100000.00000000
PA
USD
66969.83000000
0.080272475386
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DNN7
24765.89000000
PA
USD
25623.80000000
0.030713619174
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
Life Financial Services Trust
N/A
Life 2022-BMR Mortgage Trust
53218DAG3
175000.00000000
PA
USD
169975.98000000
0.203739395348
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Floating
6.43000000
N
N
N
N
N
N
ENTERGY LOUISIANA LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBE7
125000.00000000
PA
USD
96357.08000000
0.115497102689
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
1.60000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CG2
50000.00000000
PA
USD
39145.37000000
0.046921065049
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AUDE4
97779.52000000
PA
USD
94562.43000000
0.113345969888
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGL7
350000.00000000
PA
USD
324415.05000000
0.388855684956
Long
DBT
CORP
US
N
2
2028-04-24
Fixed
3.71000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2020-3
35563PTN9
581231.67000000
PA
USD
518286.02000000
0.621236484898
Long
ABS-MBS
USGSE
US
N
2
2060-05-25
Fixed
3.00000000
N
N
N
N
N
N
NIAGARA MOHAWK POWER
3T97Y9RR5EN5Y18QHB56
Niagara Mohawk Power Corp
65364UAQ9
300000.00000000
PA
USD
244258.52000000
0.292777151063
Long
DBT
CORP
US
N
2
2032-01-10
Fixed
2.76000000
N
N
N
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55617LAQ5
80000.00000000
PA
USD
69536.00000000
0.083348380135
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.88000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD CNY
000000000
1.00000000
NC
-11903.77000000
-0.01426829192
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
2856036.00000000
CNY
400061.07000000
USD
2023-02-09
-11903.77000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416KAK4
142856.63000000
PA
USD
149581.75000000
0.179294129089
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-1F
3622MPAT5
75638.57000000
PA
USD
48252.98000000
0.057837777837
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
5.75000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED CNY / SOLD USD
000000000
1.00000000
NC
113.29000000
0.000135793516
N/A
DFE
CN
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
135835.12000000
USD
942492.00000000
CNY
2023-02-09
113.29000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DF22
18296.97000000
PA
USD
19035.68000000
0.022816858789
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.62000000
N
N
N
N
N
N
United Wholsale Mortgage LLC
N/A
UWM Mortgage Trust 2021-INV1
90354XAC4
467897.56000000
PA
USD
377936.95000000
0.453008982050
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
2.50000000
N
N
N
N
N
N
NRZ Excess Spread Collateralized Notes
N/A
NRZ Excess Spread-Collateralized Notes
65246QAA7
228661.51000000
PA
USD
202343.23000000
0.242535959098
Long
ABS-O
CORP
US
N
2
2026-11-25
Fixed
3.47000000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAL8
25000.00000000
PA
USD
24923.86000000
0.029874645618
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.05000000
N
N
N
N
N
N
VONTIER CORP
549300VVSQLG4P5K4639
Vontier Corp
928881AD3
250000.00000000
PA
USD
200673.89000000
0.240535027424
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
2.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
549300BI6Y5SI6BYPB26
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
61747C707
347237.50000000
NS
USD
347237.50000000
0.416211504074
Long
STIV
RF
US
N
1
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDV7
75000.00000000
PA
USD
65859.38000000
0.078941449605
Long
DBT
CORP
GB
N
2
2030-03-22
Fixed
4.88000000
N
N
N
N
N
N
GRUPO AVAL LTD
549300J4FW1ELLQ80113
Grupo Aval Ltd
40053FAC2
200000.00000000
PA
USD
162366.15000000
0.194617976175
Long
DBT
CORP
KY
N
2
2030-02-04
Fixed
4.38000000
N
N
N
N
N
N
RINGCENTRAL INC
549300C8EH0H1614VE84
RingCentral Inc
76680RAH0
125000.00000000
PA
USD
98750.00000000
0.118365343683
Long
DBT
CORP
US
N
2
2026-03-15
None
0.00000000
N
N
N
N
Y
RINGCENTRAL INC
RINGCENTRAL INC
USD
XXXX
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
825000.00000000
PA
440894.35000000
0.528472012819
Long
DBT
NUSS
AU
N
2
2032-05-21
Fixed
1.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H7MC4
1300000.00000000
PA
USD
270449.40000000
0.324170492962
Long
ABS-MBS
USGSE
US
N
2
2032-05-25
Variable
3.21000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TA6
5450000.00000000
PA
USD
3732292.00000000
4.473661015776
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
PRET 2022-NPL4 LLC
69381RAA2
278482.43000000
PA
USD
267628.05000000
0.320788720178
Long
ABS-MBS
CORP
US
N
2
2052-08-25
Variable
6.56000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2016-KF21 Mortgage Trust
30289XAA4
41928.14000000
PA
USD
39782.36000000
0.047684584445
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Floating
9.39000000
N
N
N
N
N
N
Imperial Fund LLC
N/A
Imperial Fund Mortgage Trust 2021-NQM4
45276JAA8
482055.63000000
PA
USD
406274.12000000
0.486974945251
Long
ABS-MBS
CORP
US
N
2
2057-01-25
Variable
2.09000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AZ1
250000.00000000
PA
USD
219973.50000000
0.263668242317
Long
DBT
CORP
CH
N
2
2033-08-12
Fixed
6.54000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-1
35563PHZ5
480585.21000000
PA
USD
426809.12000000
0.511588943555
Long
ABS-MBS
USGSE
US
N
2
2058-07-25
Fixed
3.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE18 Mortgage Trust
12632QAY9
2432628.29000000
PA
USD
25741.71000000
0.030854950391
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
0.98000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-4CB
12668BPM9
11213.30000000
PA
USD
6312.45000000
0.007566332290
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6.00000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KCA6
150000.00000000
PA
USD
98609.58000000
0.118197031161
Long
DBT
CORP
US
N
2
2052-01-15
Fixed
3.00000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAQ6
150000.00000000
PA
USD
109624.10000000
0.131399435671
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14000000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAJ9
190000.00000000
PA
USD
160978.71000000
0.192954940100
Long
DBT
CORP
US
N
2
2025-12-15
None
0.00000000
N
N
N
N
Y
Uber Technologies Inc
Uber Technologies Inc
USD
XXXX
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2007-5 Trust
059523AJ9
14435.00000000
PA
USD
11508.93000000
0.013795022327
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
Aimco
N/A
AIMCO CLO Series 2018-B
00900PAL9
625000.00000000
PA
USD
614900.63000000
0.737042272417
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
5.18000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAB9
300000.00000000
PA
USD
293852.40000000
0.352222180438
Long
DBT
CORP
FR
N
2
2024-07-21
Fixed
5.15000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10
225470EA7
752367.73000000
PA
USD
169055.07000000
0.202635559109
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
6.50000000
N
N
N
N
N
N
ELFI Graduate Loan Program LLC
N/A
ELFI Graduate Loan Program 2022-A LLC
28628CAA4
189925.61000000
PA
USD
180069.44000000
0.215837783823
Long
ABS-O
CORP
US
N
2
2047-08-26
Fixed
4.51000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H8UC3
650000.00000000
PA
USD
174386.45000000
0.209025945195
Long
ABS-MBS
USGSE
US
N
2
2054-08-25
Variable
4.15000000
N
N
N
N
N
N
Rate Mortgage Trust
N/A
Rate Mortgage Trust 2021-J4
75410JAA2
521030.09000000
PA
USD
417597.49000000
0.500547548610
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR23
000000000
28.00000000
NC
USD
-13770.67000000
-0.01650602620
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Ultra 10-Year U.S. Treasury Notes Futures
UXYH3 Comdty
2023-03-22
3325645.67000000
USD
-13770.67000000
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBM4
125000.00000000
PA
USD
83324.20000000
0.099875418432
Long
DBT
CORP
US
N
2
2041-02-04
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-2
35563PFA2
504270.64000000
PA
USD
448794.82000000
0.537941803673
Long
ABS-MBS
USGSE
US
N
2
2057-11-25
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJT7
175000.00000000
PA
USD
140487.35000000
0.168393250288
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31380DW77
804.44000000
PA
USD
825.39000000
0.000989342491
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
6.50000000
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
Nordea Bank Abp
65558RAD1
200000.00000000
PA
USD
201268.91000000
0.241248240050
Long
DBT
CORP
FI
N
2
2027-09-22
Fixed
5.38000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBD2
1000000.00000000
PA
USD
1000000.00000000
1.198636391733
Long
DBT
UST
US
N
2
2022-12-31
Fixed
0.13000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAR2
150000.00000000
PA
USD
131573.29000000
0.157708533574
Long
DBT
US
N
2
2030-07-01
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377TZF1
40852.63000000
PA
USD
8903.36000000
0.010671891304
Long
ABS-MBS
USGA
US
N
2
2041-02-16
Fixed
5.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR1
12565YAA5
321682.19000000
PA
USD
303695.68000000
0.364020694060
Long
ABS-MBS
CORP
US
N
2
2055-07-25
Variable
2.57000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-4399.70000000
-0.00527364053
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
212475.75000000
USD
1106000.00000000
BRL
2023-02-09
-4399.70000000
N
N
N
SUN COMMUNITIES OPER LP
549300PUNBPJCGT6X741
Sun Communities Operating LP
866677AH0
225000.00000000
PA
USD
198781.57000000
0.238266823807
Long
DBT
US
N
2
2032-04-15
Fixed
4.20000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2018-ALXA
63874GAL9
200000.00000000
PA
USD
158937.46000000
0.190508223565
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Variable
4.32000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DDX6
6896.13000000
PA
USD
7084.12000000
0.008491284035
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.41000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBG3
75000.00000000
PA
USD
73136.12000000
0.087663614982
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.75000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED CNY / SOLD USD
000000000
1.00000000
NC
494.58000000
0.000592821586
N/A
DFE
CN
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
91968.72000000
USD
641022.00000000
CNY
2023-02-09
494.58000000
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAN3
100000.00000000
PA
USD
76862.49000000
0.092130177673
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DBX8
9989.82000000
PA
USD
10281.11000000
0.012323312593
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.44000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748AK8
125000.00000000
PA
USD
132169.09000000
0.158422681136
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.88000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
S6XOOCT0IEG5ABCC6L87
Freddie Mac Whole Loan Securities Trust
3137G1BK2
154987.01000000
PA
USD
132936.16000000
0.159342119153
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Fixed
3.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: B95VEAG06 CDS USD R V 03MEVENT II6895320220927 CCPCDX / Short: B95VEAG06 CDS USD P F 5.00000 II8805840220927 CCPCDX
000000000
878000.00000000
OU
Notional Amount
USD
-5406.72000000
-0.00648069135
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S39
2I65BRZH6
Y
buy protection
2027-12-20
41044.80000000
USD
0.00000000
USD
878000.00000000
USD
-46451.52000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042616
4250000.00000000
PA
USD
4097265.41000000
4.911131427017
Long
ABS-MBS
USGSE
US
N
2
2053-01-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335Y6E1
17810.06000000
PA
USD
18350.61000000
0.021995708956
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.46000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
10856.73000000
0.013013271673
N/A
DFE
JP
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
345398.96000000
USD
46540789.00000000
JPY
2023-02-09
10856.73000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796YL7
833000.00000000
PA
USD
826100.26000000
0.990193834856
Long
STIV
UST
US
N
2
2023-03-16
None
0.00000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2017-SC02
3137G1BV8
22247.57000000
PA
USD
19382.34000000
0.023232378080
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJJR2
5341.60000000
PA
USD
5602.97000000
0.006715923743
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617J6UQ5
9750.55000000
PA
USD
9593.28000000
0.011498854524
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
ALIBABA GROUP HOLDING
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd
01609WAX0
200000.00000000
PA
USD
159714.32000000
0.191439396233
Long
DBT
CORP
KY
N
2
2031-02-09
Fixed
2.13000000
N
N
N
N
N
N
UNITED OVERSEAS BANK LTD
IO66REGK3RCBAMA8HR66
United Overseas Bank Ltd
91127KAH5
325000.00000000
PA
USD
299997.66000000
0.359588112710
Long
DBT
CORP
SG
N
2
2032-10-07
Fixed
3.86000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-8 LLC
69360MAA8
204849.13000000
PA
USD
182717.43000000
0.219011761002
Long
ABS-MBS
CORP
US
N
2
2026-09-25
Variable
1.74000000
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB Financial Group
78486QAF8
125000.00000000
PA
USD
91466.75000000
0.109635375183
Long
DBT
CORP
US
N
2
2031-02-02
Fixed
1.80000000
N
N
N
N
N
Jol Air
549300TS4MUGCDXPW498
JOL Air Ltd
46651NAB0
226849.39000000
PA
USD
151111.16000000
0.181127335573
Long
ABS-O
CORP
KY
N
2
2044-04-15
Fixed
4.95000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2007-5 Trust
059523AR1
13204.40000000
PA
USD
12694.33000000
0.015215885906
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
5.25000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AU6
275000.00000000
PA
USD
267089.55000000
0.320143254481
Long
DBT
CORP
US
N
2
2028-11-13
Fixed
4.75000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JAC4
200000.00000000
PA
USD
124180.00000000
0.148846667125
Long
DBT
NUSS
EG
N
2
2061-02-16
Fixed
7.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FXYY8
2949999.80000000
PA
USD
457803.98000000
0.548740510708
Long
ABS-MBS
USGSE
US
N
2
2049-01-25
Variable
2.63000000
N
N
N
N
N
N
VMC Finance LLC
N/A
VMC Finance 2021-HT1 LLC
91835TAA4
261056.26000000
PA
USD
252797.43000000
0.303012199334
Long
ABS-CBDO
CORP
US
N
2
2037-01-18
Floating
5.99000000
N
N
N
N
N
N
SEALED AIR CORP
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAZ3
75000.00000000
PA
USD
64859.31000000
0.077742729308
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
1.57000000
N
N
N
N
N
N
Bank
N/A
BANK 2020-BNK30
06541UBG0
725000.00000000
PA
USD
462035.40000000
0.553812444709
Long
ABS-MBS
CORP
US
N
2
2053-12-15
Variable
2.92000000
N
N
N
N
N
N
Octagon Investment Partners 51 Ltd
N/A
Octagon Investment Partners 51 Ltd
67578JAA7
900000.00000000
PA
USD
877817.70000000
1.052184240527
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
5.39000000
N
N
N
N
N
N
Eurosail Plc
724500VX65TCSYFLOA51
Eurosail-NL 2007-2 BV
000000000
300000.00000000
PA
316165.45000000
0.378967414178
Long
ABS-MBS
CORP
NL
Y
2
2040-10-17
Floating
3.18000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-51526.06000000
-0.06176101063
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
673545.00000000
GBP
763517.14000000
USD
2023-02-09
-51526.06000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2Q5
125000.00000000
PA
USD
89623.36000000
0.107425820845
Long
DBT
CORP
US
N
2
2041-04-30
Fixed
3.07000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEE4
225000.00000000
PA
USD
165863.27000000
0.198809751473
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.88000000
N
N
N
N
N
N
LIFE STORAGE LP
X0MIGH67XZCB7HL1A534
Life Storage LP
53227JAD6
125000.00000000
PA
USD
96468.29000000
0.115630403042
Long
DBT
US
N
2
2031-10-15
Fixed
2.40000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2022-3 LLC
693589AA1
266307.78000000
PA
USD
254628.37000000
0.305206830649
Long
ABS-MBS
CORP
US
N
2
2027-06-25
Variable
5.56000000
N
N
N
N
N
N
Headlands Residential
N/A
Headlands Residential 2021-RPL1 LLC
42210JAA4
350000.00000000
PA
USD
327196.21000000
0.392189284543
Long
ABS-MBS
CORP
US
N
2
2026-09-25
Variable
2.49000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR23
000000000
40.00000000
NC
USD
-25959.40000000
-0.03111588154
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Ultra Long Term U.S. Treasury Bond Futures
WNH3 Comdty
2023-03-22
5398459.40000000
USD
-25959.40000000
N
N
N
DXC TECHNOLOGY CO
549300DOVZ3EDJB7O259
DXC Technology Co
23355LAL0
350000.00000000
PA
USD
305243.65000000
0.365876147235
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
1.80000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2F0
300000.00000000
PA
USD
284200.58000000
0.340653157739
Long
DBT
CORP
FR
N
2
2028-08-14
Fixed
4.40000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109CD1
175000.00000000
PA
USD
136485.66000000
0.163596679025
Long
DBT
CORP
CA
N
2
2052-03-15
Fixed
4.55000000
N
N
N
N
N
N
MEDLINE BORROWER LP
254900QT3R363TVK6F09
Medline Borrower LP
62482BAA0
150000.00000000
PA
USD
121161.75000000
0.145228882836
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.88000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BU7
150000.00000000
PA
USD
117120.81000000
0.140385265095
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2015-GC33
29425AAK9
4140009.65000000
PA
USD
77886.83000000
0.093357988874
Long
ABS-MBS
CORP
US
N
2
2058-09-10
Variable
0.87000000
N
N
N
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216JAE5
200000.00000000
PA
USD
173804.35000000
0.208328218951
Long
DBT
NUSS
IN
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-3
35563PCF4
450000.00000000
PA
USD
408231.27000000
0.489320856465
Long
ABS-MBS
USGSE
US
N
2
2056-07-25
Variable
4.75000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
448000.00000000
PA
USD
352666.50000000
0.422718901045
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAK6
75000.00000000
PA
USD
73721.76000000
0.088365584398
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040610
350000.00000000
PA
USD
328617.01000000
0.393892307128
Long
ABS-MBS
USGSE
US
N
2
2053-01-15
Fixed
4.00000000
N
N
N
N
N
N
PELOTON INTERACTIVE INC
5493002YS021166W0339
Peloton Interactive Inc
70614WAB6
235000.00000000
PA
USD
167747.36000000
0.201068090313
Long
DBT
CORP
US
N
2
2026-02-15
None
0.00000000
N
N
N
N
Y
Peloton Interactive Inc
Peloton Interactive Inc
USD
XXXX
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2020-555
17328EAN8
300000.00000000
PA
USD
195107.15000000
0.233862530277
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Variable
3.50000000
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DD4
150000.00000000
PA
USD
121525.77000000
0.145665210455
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
2.75000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C21
46642EBA3
2662840.61000000
PA
USD
25351.97000000
0.030387793844
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
0.94000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AH2
125000.00000000
PA
USD
122837.14000000
0.147237066260
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.38000000
N
N
N
N
N
N
GRIFOLS SA
959800HSSNXWRKBK4N60
Grifols SA
000000000
200000.00000000
PA
187508.71000000
0.224754763573
Long
DBT
CORP
ES
N
2
2027-11-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B5SC8
387882.37000000
PA
USD
29822.30000000
0.035746094065
Long
ABS-MBS
USGSE
US
N
2
2043-11-15
Floating
1.68000000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2022-GT1
69354WAF3
300000.00000000
PA
USD
284312.73000000
0.340787584811
Long
ABS-O
CORP
US
N
2
2027-05-25
Floating
8.18000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
PRET 2021-NPL6 LLC
69362GAA9
153580.37000000
PA
USD
142616.21000000
0.170944979357
Long
ABS-O
CORP
US
N
2
2051-07-25
Variable
2.49000000
N
N
N
N
N
N
FMC GMSR Issuer Trust
N/A
FMC GMSR Issuer Trust
30259RAP0
300000.00000000
PA
USD
283173.60000000
0.339422182138
Long
ABS-MBS
CORP
US
N
2
2027-07-25
Fixed
7.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BBHD5
455204.67000000
PA
USD
45626.37000000
0.054689427504
Long
ABS-MBS
USGSE
US
N
2
2044-06-15
Floating
1.68000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MJT0
21638.31000000
PA
USD
23110.78000000
0.027701421949
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
8.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
549300QTQ6MX6ER06N64
Alternative Loan Trust 2007-OA7
126680AA5
70050.62000000
PA
USD
59048.70000000
0.070777920704
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
4.75000000
N
N
N
N
N
N
NOVA CHEMICALS CORP
549300ZOD6N7RI2FJP09
NOVA Chemicals Corp
66977WAS8
165000.00000000
PA
USD
135130.05000000
0.161971795546
Long
DBT
CORP
CA
N
2
2029-05-15
Fixed
4.25000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AXVR9
156298.40000000
PA
USD
151218.76000000
0.181256308848
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C2G8
26385.92000000
PA
USD
25369.72000000
0.030409069640
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DFX4
15456.96000000
PA
USD
15973.40000000
0.019146298539
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
CIM TRUST
N/A
CIM Trust 2021-INV1
12566PAB1
369090.85000000
PA
USD
296743.29000000
0.355687306396
Long
ABS-MBS
CORP
US
N
2
2051-07-01
Variable
2.50000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR4
12566DAA0
231075.08000000
PA
USD
214276.52000000
0.256839634766
Long
ABS-MBS
CORP
US
N
2
2061-10-25
Variable
2.82000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H8C74
900000.00000000
PA
USD
217282.64000000
0.260442879595
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Variable
3.79000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAH4
275000.00000000
PA
USD
254250.94000000
0.304754429316
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.88000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAL7
175000.00000000
PA
USD
144596.82000000
0.173319010580
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.28000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2020-GS4
52474KAA1
314459.27000000
PA
USD
308718.60000000
0.370041348765
Long
ABS-MBS
CORP
US
N
2
2060-02-25
Variable
3.25000000
N
N
N
N
N
N
Sage AR Funding
N/A
Sage AR Funding
000000000
400000.00000000
PA
438546.65000000
0.525657974162
Long
ABS-MBS
CORP
GB
N
2
2051-11-17
Floating
5.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DD66
49237.94000000
PA
USD
43145.68000000
0.051715982194
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.00000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BV1
175000.00000000
PA
USD
122873.52000000
0.147280672652
Long
DBT
CORP
US
N
2
2041-08-12
Fixed
2.80000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-28170.56000000
-0.03376625839
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
677493.00000000
AUD
433764.89000000
USD
2023-02-09
-28170.56000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
594.24000000
0.000712277689
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
39960.16000000
USD
37795.00000000
EUR
2023-02-09
594.24000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKY4
75000.00000000
PA
USD
71425.87000000
0.085613647093
Long
DBT
CORP
US
N
2
2033-07-22
Fixed
5.02000000
N
N
N
N
N
N
Imperial Fund LLC
N/A
Imperial Fund Mortgage Trust 2022-NQM1
452766AA6
273811.84000000
PA
USD
238320.49000000
0.285659612209
Long
ABS-MBS
CORP
US
N
2
2067-02-25
Variable
2.49000000
N
N
N
N
N
N
Brean Asset Backed Securities Trust
N/A
Brean Asset Backed Securities Trust 2021-RM1
10638CAA0
236706.96000000
PA
USD
202705.57000000
0.242970273009
Long
ABS-MBS
CORP
US
N
2
2063-10-25
Variable
1.40000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H5XX0
625000.00000000
PA
USD
116384.00000000
0.139502097815
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Variable
2.98000000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT1
69354WAC0
300000.00000000
PA
USD
300851.58000000
0.360611652298
Long
ABS-MBS
CORP
US
N
2
2023-02-25
Floating
7.24000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DFD8
10071.68000000
PA
USD
10372.79000000
0.012433203577
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.48000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PME6
216074.45000000
PA
USD
190637.50000000
0.228505045129
Long
ABS-MBS
USGSE
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
NORTHERN STATES PWR-MINN
3S1GHB0TEH85KX44SB51
Northern States Power Co/MN
665772CR8
150000.00000000
PA
USD
103312.01000000
0.123833534889
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
2.90000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAA8
263896.56000000
PA
USD
244903.21000000
0.293549899958
Long
DBT
CORP
JE
N
2
2027-09-30
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412TYA5
761.58000000
PA
USD
818.55000000
0.000981143818
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAZ1
125000.00000000
PA
USD
96202.62000000
0.115311961312
Long
DBT
CORP
AU
N
2
2033-01-14
Fixed
2.87000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2022-VAMF
05609TAJ9
390000.00000000
PA
USD
364197.09000000
0.436539885837
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
7.04000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED CNY / SOLD USD
000000000
1.00000000
NC
-36.27000000
-0.00004347454
N/A
DFE
CN
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
92499.57000000
USD
641022.00000000
CNY
2023-02-09
-36.27000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
2387.53000000
0.002861780344
N/A
DFE
MX
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
213531.13000000
USD
4234720.00000000
MXN
2023-02-09
2387.53000000
N
N
N
Allegro CLO Ltd
2549008FHFGEJOVBP855
Allegro CLO XI Ltd
01750HAA0
250000.00000000
PA
USD
246368.75000000
0.295306549535
Long
ABS-CBDO
CORP
KY
N
2
2033-01-19
Floating
5.62000000
N
N
N
N
N
N
Cologix Data Centers Issuer LLC
N/A
Cologix Canadian Issuer LP
19521DAD3
400000.00000000
PA
269979.32000000
0.323607037967
Long
ABS-O
CORP
CA
N
2
2052-01-25
Fixed
4.94000000
N
N
N
N
N
N
AIRBNB INC
549300HMUDNO0RY56D37
Airbnb Inc
009066AB7
130000.00000000
PA
USD
107315.00000000
0.128631664378
Long
DBT
CORP
US
N
2
2026-03-15
None
0.00000000
N
N
N
N
Y
Airbnb Inc
Airbnb Inc
USD
XXXX
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2017-SC02
3137G1BS5
153282.72000000
PA
USD
131336.73000000
0.157424984149
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Fixed
3.00000000
N
N
N
N
N
N
Start Ltd.
N/A
Start II LTD
85573LAA9
122671.98000000
PA
USD
104839.68000000
0.125664655745
Long
ABS-O
CORP
BM
N
2
2044-03-15
Fixed
4.09000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8Z32
172530.99000000
PA
USD
159023.69000000
0.190611581981
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
000000000
200000.00000000
PA
USD
171791.35000000
0.205915363895
Long
DBT
NUSS
PH
N
2
2047-03-29
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MJQ6
20116.81000000
PA
USD
21408.80000000
0.025661366783
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
8.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDM0
200000.00000000
PA
USD
162144.45000000
0.194352238487
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.95000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-1
35563PDY2
545315.13000000
PA
USD
482348.25000000
0.578160165939
Long
ABS-MBS
USGSE
US
N
2
2057-05-25
Fixed
3.00000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DBG5
275000.00000000
PA
USD
169352.78000000
0.202992405149
Long
DBT
CORP
US
N
2
2051-12-15
Fixed
3.45000000
N
N
N
N
N
N
Cologix Data Centers Issuer LLC
N/A
Cologix Data Centers US Issuer LLC
19521UAA1
225000.00000000
PA
USD
197121.65000000
0.236277183288
Long
ABS-O
CORP
US
N
2
2051-12-26
Fixed
3.30000000
N
N
N
N
N
N
NBN CO LTD
2549007CRZ2NT7S96A24
NBN Co Ltd
62878U2B7
225000.00000000
PA
USD
178719.54000000
0.214219744557
Long
DBT
CORP
AU
N
2
2031-05-05
Fixed
2.63000000
N
N
N
N
N
N
Taubman Centers Commercial Mortgage Trust
N/A
Taubman Centers Commercial Mortgage Trust 2022-DPM
87666YAA5
450000.00000000
PA
USD
438066.18000000
0.525082065335
Long
ABS-MBS
CORP
US
N
2
2037-05-15
Floating
6.52000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2016-SC02
3137G1BD8
54801.74000000
PA
USD
48096.68000000
0.057650430969
Long
ABS-MBS
USGSE
US
N
2
2046-10-25
Fixed
3.50000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE MAR23
000000000
-3.00000000
NC
28409.71000000
0.034052912284
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX Euro-BTP Italian Bond Futures
IKH2 Comdty
2023-03-08
-353299.98000000
EUR
28409.71000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR23
000000000
16.00000000
NC
USD
-18250.64000000
-0.02187588127
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year US Treasury Note Future
TYH3 Comdty
2023-03-22
1815000.64000000
USD
-18250.64000000
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB Financial Group
78486QAG6
100000.00000000
PA
USD
57732.13000000
0.069199831990
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
4.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620ARRB9
135535.06000000
PA
USD
126728.05000000
0.151900852583
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
3.50000000
N
N
N
N
N
N
Vita Scientia
635400JHBEHLCY2DZM20
Vita Scientia 2022-1 DAC
000000000
250000.00000000
PA
233437.20000000
0.279806323104
Long
ABS-MBS
CORP
IE
N
2
2025-08-27
Floating
4.41000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
19.88000000
0.000023828891
N/A
DFE
CA
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
2451.10000000
USD
3345.00000000
CAD
2023-02-09
19.88000000
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804GF5
125000.00000000
PA
USD
82716.32000000
0.099146791342
Long
DBT
CORP
US
N
2
2051-11-15
Fixed
2.95000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-0.46000000
-0.00000055137
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
27.00000000
EUR
28.51000000
USD
2023-02-09
-0.46000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617J7FM9
1633.64000000
PA
USD
1642.52000000
0.001968784246
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2015-SC02
3137G1AK3
83978.35000000
PA
USD
72843.60000000
0.087312989864
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Fixed
3.00000000
N
N
N
N
N
N
Sculptor CLO Ltd
N/A
Sculptor CLO XXVI Ltd
81124TAA5
840000.00000000
PA
USD
819162.96000000
0.981878534616
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
5.51000000
N
N
N
N
N
N
CNO Financial Group Inc
11XPYHB76MPM4Y4P2897
CNO Financial Group Inc
12621EAL7
95000.00000000
PA
USD
90711.61000000
0.108730236898
Long
DBT
CORP
US
N
2
2029-05-30
Fixed
5.25000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAB3
375000.00000000
PA
USD
338984.83000000
0.406319553483
Long
DBT
CORP
GB
N
2
2029-03-08
Fixed
4.30000000
N
N
N
N
N
N
SWAP MORGAN STANLEY COC
N/A
SWAP MORGAN STANLEY COC
000000000
75000.00000000
NS
USD
75000.00000000
0.089897729380
Long
STIV
CORP
US
N
2
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032617
2825000.00000000
PA
USD
2569645.00000000
3.080070010836
Long
ABS-MBS
USGSE
US
N
2
2053-01-15
Fixed
3.50000000
N
N
N
N
N
N
Jackson Park Trust
N/A
Jackson Park Trust 2019-LIC
46868RAN4
400000.00000000
PA
USD
289985.84000000
0.347587580911
Long
ABS-MBS
CORP
US
N
2
2039-10-14
Variable
3.24000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDU9
75000.00000000
PA
USD
71812.50000000
0.086077075881
Long
DBT
CORP
GB
N
2
2025-06-22
Fixed
4.38000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC24
36253GAG7
4093831.84000000
PA
USD
37276.59000000
0.044681077333
Long
ABS-MBS
CORP
US
N
2
2047-09-10
Variable
0.71000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-4
35563PGZ6
472770.83000000
PA
USD
418678.47000000
0.501843250577
Long
ABS-MBS
USGSE
US
N
2
2058-03-25
Fixed
3.00000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAQ5
25000.00000000
PA
USD
20407.28000000
0.024460908464
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
2.10000000
N
N
N
N
N
N
Conn Funding II, L.P
N/A
Conn's Receivables Funding 2022-A LLC
20825YAB2
400000.00000000
PA
USD
396946.44000000
0.475794448553
Long
ABS-O
CORP
US
N
2
2026-12-15
Fixed
9.52000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194TQH2
102465.46000000
PA
USD
95239.15000000
0.114157111107
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
Goodgreen Trust
N/A
Goodgreen 2020-1 Trust
38217TAC9
376211.31000000
PA
USD
314158.90000000
0.376562290327
Long
ABS-O
CORP
US
N
2
2055-04-15
Fixed
5.53000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-9 LLC
69360XAA4
222655.07000000
PA
USD
202234.17000000
0.242405235814
Long
ABS-MBS
CORP
US
N
2
2026-10-25
Variable
2.36000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BU9
100000.00000000
PA
USD
60714.46000000
0.072774561260
Long
DBT
CORP
US
N
2
2060-06-03
Fixed
2.70000000
N
N
N
N
N
N
Bayview Opportunity Master Fund
N/A
Bayview MSR Opportunity Master Fund Trust 2021-INV5
07336JAD0
222044.35000000
PA
USD
186413.16000000
0.223441597474
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
3.00000000
N
N
N
N
N
N
DUKE ENERGY INDIANA LLC
6URPHM2EAWGJ2C6ISB97
Duke Energy Indiana LLC
26443TAC0
83000.00000000
PA
USD
52467.78000000
0.062889790501
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKA6
191178.55000000
PA
USD
169816.93000000
0.203548752230
Long
ABS-MBS
USGSE
US
N
2
2058-08-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DC66
11045.08000000
PA
USD
11362.96000000
0.013620057373
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.46000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PMT3
160320.70000000
PA
USD
150603.01000000
0.180518248490
Long
ABS-MBS
USGSE
US
N
2
2059-02-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
S6XOOCT0IEG5ABCC6L87
Freddie Mac Whole Loan Securities Trust
3137G1BL0
81507.88000000
PA
USD
71089.76000000
0.085210773415
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Fixed
3.50000000
N
N
N
N
N
N
Novastar Home Equity Loan
N/A
NovaStar Mortgage Funding Trust Series 2003-3
66987XCT0
175352.63000000
PA
USD
172727.41000000
0.207037359475
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Floating
5.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DPP0
9677.37000000
PA
USD
9962.03000000
0.011940851693
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.46000000
N
N
N
N
N
N
NRZ Excess Spread Collateralized Notes
N/A
New Residential Mortgage LLC 2020-FNT2
64830YAB3
330239.03000000
PA
USD
311611.86000000
0.373509315491
Long
ABS-O
CORP
US
N
2
2025-07-25
Fixed
5.44000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
150000.00000000
PA
USD
135395.30000000
0.162289733849
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGS70
61754.01000000
PA
USD
61216.40000000
0.073376204810
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT 2021-HB7 LLC
12530BAD1
350000.00000000
PA
USD
319744.43000000
0.383257309852
Long
ABS-MBS
CORP
US
N
2
2031-10-27
Variable
3.85000000
N
N
N
N
N
N
OVERSEA-CHINESE BANKING
5493007O3QFXCPOGWK22
Oversea-Chinese Banking Corp Ltd
69033CAD1
200000.00000000
PA
USD
179657.00000000
0.215343418229
Long
DBT
CORP
SG
N
2
2030-09-10
Fixed
1.83000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust 2017-4
35563PDJ5
250000.00000000
PA
USD
232120.25000000
0.278227778908
Long
ABS-MBS
USGSE
US
N
2
2057-06-25
Variable
4.75000000
N
N
N
N
N
N
Highways PLC
635400GGBFFTA8MRIA09
Highways 2021 PLC
000000000
299997.58000000
PA
347761.73000000
0.416839865230
Long
ABS-MBS
CORP
GB
N
2
2031-12-18
Floating
4.78000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2022-2 LLC
69377AAA5
290417.04000000
PA
USD
272101.34000000
0.326150568363
Long
ABS-MBS
CORP
US
N
2
2027-03-25
Variable
5.00000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBR5
275000.00000000
PA
USD
228684.69000000
0.274109791666
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.26000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2013-C13
92937UAJ7
385000.00000000
PA
USD
364972.43000000
0.437469236577
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Variable
4.15000000
N
N
N
N
N
N
SILGAN HOLDINGS INC
KAF673KJXD92C8KSLU49
Silgan Holdings Inc
827048AX7
200000.00000000
PA
USD
176678.42000000
0.211773183846
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
1.40000000
N
N
N
N
N
N
GARDA WORLD SECURITY
549300ZF1NDXLMCHNO20
Garda World Security Corp
36485MAK5
200000.00000000
PA
USD
176940.00000000
0.212086723153
Long
DBT
CORP
CA
N
2
2027-02-15
Fixed
4.63000000
N
N
N
N
N
N
BANK OF IRELAND GROUP
635400C8EK6DRI12LJ39
Bank of Ireland Group PLC
06279JAB5
250000.00000000
PA
USD
211416.48000000
0.253411486740
Long
DBT
CORP
IE
N
2
2027-09-30
Fixed
2.03000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AY9
50000.00000000
PA
USD
43318.07000000
0.051922615121
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
3.40000000
N
N
N
N
N
N
Real Estate Asset Liquidity Trust
N/A
Real Estate Asset Liquidity Trust
75585RSK2
3437435.22000000
PA
114217.29000000
0.136905000359
Long
ABS-MBS
CORP
CA
N
2
2031-02-12
Variable
1.14000000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT 2022-HB8 LLC
12526WAC3
300000.00000000
PA
USD
259005.00000000
0.310452818640
Long
ABS-MBS
CORP
US
N
2
2025-04-25
Variable
3.75000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BB8
125000.00000000
PA
USD
105024.60000000
0.125886307587
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
3.10000000
N
N
N
N
N
N
Mauser Packaging Solut
549300DNGHXL0OMHW304
Mauser Packaging Solutions Holding Co
12429TAE4
120000.00000000
PA
USD
111213.21000000
0.133304200747
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.25000000
N
N
N
N
N
JBS USA/FOOD/FINANCE
P77IMDGVZE8EFBTF2M92
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAR7
225000.00000000
PA
USD
197124.75000000
0.236280899061
Long
DBT
CORP
XX
N
2
2027-01-15
Fixed
2.50000000
N
N
N
N
N
N
McLaren Health Care Corp
549300OY1YHQK68ZQX37
McLaren Health Care Corp
581760AV7
150000.00000000
PA
USD
125573.09000000
0.150516475496
Long
DBT
CORP
US
N
2
2048-05-15
Fixed
4.39000000
N
N
N
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAT0
300000.00000000
PA
USD
285080.11000000
0.341707394405
Long
DBT
CORP
ES
N
2
2027-03-08
Fixed
4.10000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS2 Trust
74923CAA0
6069.98000000
PA
USD
4899.56000000
0.005872790919
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
6.00000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-3
61946TAB1
186716.55000000
PA
USD
141440.68000000
0.169535946319
Long
ABS-O
CORP
US
N
2
2052-06-20
Fixed
1.92000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2021-W10X
55284DAN2
475000.00000000
PA
USD
453665.04000000
0.543779426601
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Floating
7.16000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2022-DKLX
05530SAL0
350000.00000000
PA
USD
329141.26000000
0.394520692257
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
7.34000000
N
N
N
N
N
N
Brean Asset Backed Securities Trust
N/A
Brean Asset Backed Securities Trust 2021-RM2
10638MAA8
242579.90000000
PA
USD
213014.33000000
0.255326727898
Long
ABS-MBS
CORP
US
N
2
2061-10-25
Variable
1.75000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2015-GC35
17324KAV0
2270126.39000000
PA
USD
37140.29000000
0.044517703193
Long
ABS-MBS
CORP
US
N
2
2048-11-10
Variable
0.72000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AA9
275000.00000000
PA
USD
269513.43000000
0.323048605258
Long
DBT
CORP
JP
N
2
2023-09-15
Fixed
3.04000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBX3
125000.00000000
PA
USD
95903.93000000
0.114953940608
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
1.95000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR23
000000000
42.00000000
NC
USD
-29352.90000000
-0.03518345414
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year US Treasury Note Future
FVH3 Comdty
2023-03-31
4562399.80000000
USD
-29352.90000000
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06368DH72
150000.00000000
PA
USD
113770.61000000
0.136369593455
Long
DBT
CORP
CA
N
2
2037-01-10
Fixed
3.09000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2016-SC01
3137G1AW7
43274.58000000
PA
USD
37992.90000000
0.045539672567
Long
ABS-MBS
USGSE
US
N
2
2046-07-25
Fixed
3.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAP8
250000.00000000
PA
USD
235656.33000000
0.282466253080
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NE7
475000.00000000
PA
USD
370568.39000000
0.444176757880
Long
DBT
CORP
US
N
2
2032-11-03
Fixed
2.52000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-LC17 Mortgage Trust
12592MBL3
2202794.35000000
PA
USD
19646.06000000
0.023548482470
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Variable
0.66000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKL2
50000.00000000
PA
USD
41531.52000000
0.049781191276
Long
DBT
CORP
US
N
2
2037-03-08
Fixed
3.85000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR23
000000000
6.00000000
NC
USD
-17393.32000000
-0.02084826632
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT U.S. Long Bond Futures
USH3 Comdty
2023-03-22
769455.82000000
USD
-17393.32000000
N
N
N
FELLS POINT FUNDING TR
N/A
Fells Point Funding Trust
314382AA0
250000.00000000
PA
USD
227879.12000000
0.273144206148
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
3.05000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-3
35563PCE7
165371.24000000
PA
USD
162672.25000000
0.194984878775
Long
ABS-MBS
USGSE
US
N
2
2056-07-25
Variable
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335Y5S1
6764.03000000
PA
USD
6950.13000000
0.008330678745
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.44000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAA1
350000.00000000
PA
USD
334802.91000000
0.401306951984
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.13000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050619
1025000.00000000
PA
USD
1010906.71000000
1.211709571253
Long
ABS-MBS
USGSE
US
N
2
2053-01-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CX66
55032.24000000
PA
USD
52912.78000000
0.063423183695
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp Reverse Mortgage Loan Trust 2007-RM1
86363BAF2
889638.62000000
PA
USD
791122.89000000
0.948268686287
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
6.24000000
N
Y
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAM6
250000.00000000
PA
USD
246982.71000000
0.296042464335
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.17000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-15CB
02151CAR7
37354.60000000
PA
USD
23858.54000000
0.028597714297
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DD74
39239.34000000
PA
USD
35535.82000000
0.042594527062
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
225000.00000000
PA
USD
173574.07000000
0.208052196963
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAN7
200000.00000000
PA
USD
107825.44000000
0.129243496338
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Variable
2.94000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
621204.00000000
PA
627353.00000000
0.751968136263
Long
DBT
NUSS
IT
Y
2
2027-10-28
Fixed
0.65000000
N
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust 2006-7
059469AF3
252565.43000000
PA
USD
76651.69000000
0.091877505121
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
6.36000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EP4
75000.00000000
PA
USD
55900.46000000
0.067004325670
Long
DBT
CORP
AU
N
2
2035-11-15
Fixed
2.67000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E7GS3
44526.70000000
PA
USD
42899.04000000
0.051420350514
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2021-APPL
63874AAJ7
325000.00000000
PA
USD
307988.10000000
0.369165744880
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
6.02000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAW5
150000.00000000
PA
USD
125937.82000000
0.150953654147
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
AMERICAN AIRLINES/AADVAN
N/A
American Airlines Inc/AAdvantage Loyalty IP Ltd
00253XAB7
160000.00000000
PA
USD
146521.73000000
0.175626277757
Long
DBT
CORP
XX
N
2
2029-04-20
Fixed
5.75000000
N
N
N
N
N
N
GLOBAL PART/GLP FINANCE
N/A
Global Partners LP / GLP Finance Corp
37954FAG9
80000.00000000
PA
USD
76096.56000000
0.091212106101
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
7.00000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2019-MILE
63875FAG1
500000.00000000
PA
USD
455999.05000000
0.546577055925
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Floating
6.52000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZL1
799999.77000000
PA
USD
229955.45000000
0.275632970847
Long
ABS-MBS
USGSE
US
N
2
2038-10-25
Variable
3.46000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2007-8
52521YAC0
623278.97000000
PA
USD
227842.06000000
0.273099784683
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-1855.09000000
-0.00222357838
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
550864.00000000
CAD
405072.38000000
USD
2023-02-09
-1855.09000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CE2
300000.00000000
PA
USD
193210.29000000
0.231588884851
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WP71
26448.56000000
PA
USD
26216.81000000
0.031424422541
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20
46642CBL3
4224984.34000000
PA
USD
25468.42000000
0.030527375051
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
0.81000000
N
N
N
N
N
N
CHILDREN'S HEATH SYS TX
254900FK4IY1J5YO2L69
Children's Health System of Texas
16876HAB5
175000.00000000
PA
USD
105254.49000000
0.126161862107
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.51000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H9MB2
1050000.00000000
PA
USD
293683.22000000
0.352019395133
Long
ABS-MBS
USGSE
US
N
2
2055-11-25
Variable
4.33000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-3
35563PGA1
346774.40000000
PA
USD
307405.97000000
0.368467982678
Long
ABS-MBS
USGSE
US
N
2
2057-08-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DBZ3
9526.30000000
PA
USD
9871.62000000
0.011832482977
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.62000000
N
N
N
N
N
N
Matador Resources Co
549300CI3Q2UUK5R4G79
Matador Resources Co
576485AE6
205000.00000000
PA
USD
197398.40000000
0.236608905910
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.88000000
N
N
N
N
N
N
DICK'S SPORTING GOODS
529900SSBV5I4LWSK313
Dick's Sporting Goods Inc
253393AG7
250000.00000000
PA
USD
162099.02000000
0.194297784436
Long
DBT
CORP
US
N
2
2052-01-15
Fixed
4.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393DKH3
6105.19000000
PA
USD
976.46000000
0.001170420491
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Fixed
6.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-35.56000000
-0.00004262351
N/A
DFE
MX
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
206433.80000000
USD
4048000.00000000
MXN
2023-02-09
-35.56000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7SU1
14808.05000000
PA
USD
15745.75000000
0.018873428965
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
7.50000000
N
N
N
N
N
N
Illinois State Toll Highway Authority
549300ISBFGI8MJJKM98
ILLINOIS ST TOLL HIGHWAY AUTH
452252FH7
705000.00000000
PA
USD
758020.23000000
0.908590633348
Long
DBT
MUN
US
N
2
2034-01-01
Fixed
6.18000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
143000.00000000
PA
143511.42000000
0.172018010641
Long
DBT
NUSS
GR
Y
2
2027-04-22
Fixed
2.00000000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust 2022-SSP
05602HAA1
350000.00000000
PA
USD
347360.93000000
0.416359451764
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Floating
7.34000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022618
1350000.00000000
PA
USD
1144757.81000000
1.372148370787
Long
ABS-MBS
USGSE
US
N
2
2053-01-15
Fixed
2.50000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EN3
75000.00000000
PA
USD
72239.60000000
0.086589013484
Long
DBT
CORP
US
N
2
2062-09-15
Fixed
5.80000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLB3
76326.55000000
PA
USD
67864.39000000
0.081344727556
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
0.50000000
0.000000599318
N/A
DFE
AU
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
3515.02000000
USD
5156.00000000
AUD
2023-02-09
0.50000000
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
2714.18000000
0.003253314921
N/A
DFE
JP
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
86349.76000000
USD
11635200.00000000
JPY
2023-02-09
2714.18000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
1966.62000000
0.002357262300
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1500000.00000000
SEK
146006.01000000
USD
2023-02-09
1966.62000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411NJG3
17398.84000000
PA
USD
18084.38000000
0.021676595989
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.62000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2015-SC01
3137G1AC1
7409.38000000
PA
USD
6513.41000000
0.007807210260
Long
ABS-MBS
USGSE
US
N
2
2045-05-25
Fixed
4.00000000
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust 2021-OVA
78449RAC9
3650000.00000000
PA
USD
58683.79000000
0.070340526298
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Variable
0.26000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-RPL1 Trust
12598PAA5
154052.94000000
PA
USD
135051.40000000
0.161877522794
Long
ABS-MBS
CORP
US
N
2
2061-09-25
Variable
1.67000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133JL4R7
53545.65000000
PA
USD
41814.82000000
0.050120764965
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLQ0
74072.61000000
PA
USD
69693.27000000
0.083536889680
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DE40
70980.44000000
PA
USD
66134.35000000
0.079271038653
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
J.P. Morgan Alternative Loan Trust
N/A
JP Morgan Alternative Loan Trust
46627MAU1
31946.26000000
PA
USD
26948.35000000
0.032301273007
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7S56
13617.01000000
PA
USD
14544.69000000
0.017433794740
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
8.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-WEHO
12657CAA2
513578.61000000
PA
USD
501799.22000000
0.601474806435
Long
ABS-MBS
CORP
US
N
2
2023-04-15
Floating
8.29000000
N
N
N
N
N
N
PMC PLS ESR Issuer LLC
N/A
PMC PLS ESR Issuer LLC
69375JAB6
264521.56000000
PA
USD
249332.39000000
0.298858876291
Long
ABS-MBS
CORP
US
N
2
2027-02-25
Variable
5.11000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-8INV
33852HAB8
371216.63000000
PA
USD
298568.38000000
0.357874925688
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
2.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAF2
325000.00000000
PA
USD
322764.05000000
0.386876736273
Long
DBT
CORP
IE
N
2
2023-07-03
Fixed
4.13000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F84K6
714999.80000000
PA
USD
107961.14000000
0.129406151297
Long
ABS-MBS
USGSE
US
N
2
2049-01-25
Variable
2.63000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H7ZE6
775000.00000000
PA
USD
178878.22000000
0.214409944180
Long
ABS-MBS
USGSE
US
N
2
2054-06-25
Variable
3.56000000
N
N
N
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69370RAL1
450000.00000000
PA
USD
364791.11000000
0.437251899826
Long
DBT
CORP
ID
Y
2
2031-02-09
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31382XP95
197.44000000
PA
USD
203.28000000
0.000243658805
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E5ZK3
10277.85000000
PA
USD
10323.41000000
0.012374014912
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Floating
3.84000000
N
N
N
N
N
N
ROCKETMTGE CO-ISSUER INC
N/A
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc
74841CAB7
170000.00000000
PA
USD
130160.57000000
0.156015195970
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.88000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H4RJ1
475000.00000000
PA
USD
128685.08000000
0.154246619961
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Variable
3.07000000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PMT Issuer Trust - FMSR
69346MAE9
300000.00000000
PA
USD
288692.43000000
0.346037252616
Long
ABS-O
CORP
US
N
2
2027-06-25
Floating
8.13000000
N
N
N
N
N
N
WAYFAIR INC
54930027N9ZAVYFDHK53
Wayfair Inc
94419LAM3
285000.00000000
PA
USD
187102.50000000
0.224267865484
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
0.63000000
N
N
N
N
N
Wayfair Inc
Wayfair Inc
USD
XXXX
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAQ8
200000.00000000
PA
USD
185796.40000000
0.222702326493
Long
DBT
CORP
ES
N
2
2028-03-24
Fixed
4.18000000
N
N
N
N
N
N
MFT Trust
N/A
MFT Trust 2020-ABC
55317BAJ6
200000.00000000
PA
USD
124337.02000000
0.149034877011
Long
ABS-MBS
CORP
US
N
2
2042-02-10
Variable
3.48000000
N
N
N
N
N
N
DELTA AIR LINES 2019-1AA
N/A
Delta Air Lines 2019-1 Class AA Pass Through Trust
24737BAA3
150000.00000000
PA
USD
146292.17000000
0.175351118787
Long
DBT
CORP
US
N
2
2024-04-25
Fixed
3.20000000
N
N
N
N
N
N
PIEDMONT NATURAL GAS CO
VXB4M3BDPKF3I2AZ3G89
Piedmont Natural Gas Co Inc
720186AN5
125000.00000000
PA
USD
102296.99000000
0.122616894978
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR23
000000000
-15.00000000
NC
USD
-1382.81000000
-0.00165748638
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 2 Year U.S. Treasury Notes Futures
TUH3 Comdty
2023-03-31
-3074789.08000000
USD
-1382.81000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2G7
200000.00000000
PA
USD
170308.30000000
0.204137726194
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.88000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
000000000
125000.00000000
PA
114986.75000000
0.137827303117
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.25000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CS9
160000.00000000
PA
USD
120476.00000000
0.144406917930
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.88000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FCRA6
5902.18000000
PA
USD
1069.79000000
0.001282289225
Long
ABS-MBS
USGSE
US
N
2
2035-06-25
Variable
8.00000000
N
N
N
N
N
N
AUST & NZ BANKING GROUP
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd
052528AM8
200000.00000000
PA
USD
147163.05000000
0.176394987248
Long
DBT
CORP
AU
N
2
2035-11-25
Fixed
2.57000000
N
N
N
N
N
N
SOLRR Aircraft 2021-1 Limited
N/A
Lunar 2021-1 Structured Aircraft Portfolio Notes
83438LAA9
305979.59000000
PA
USD
245971.12000000
0.294829935747
Long
ABS-O
CORP
IE
N
2
2046-10-15
Fixed
2.64000000
N
N
N
N
N
N
SG Commercial Mortgage Securities Trust
N/A
SG Commercial Mortgage Securities Trust 2020-COVE
78397FAJ2
450000.00000000
PA
USD
393588.97000000
0.471770062826
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Variable
3.73000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M7C55
148753.62000000
PA
USD
143750.64000000
0.172304748439
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.00000000
N
N
N
N
N
N
Falcon Aerospace Ltd
N/A
Falcon 2019-1 Aerospace Ltd
30610GAA1
176079.50000000
PA
USD
142896.17000000
0.171280549601
Long
ABS-O
CORP
KY
N
2
2039-09-15
Fixed
3.60000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-86CB
12668BFL2
2427.88000000
PA
USD
1511.98000000
0.001812314251
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.50000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HN86
218.29000000
PA
USD
10.51000000
0.000012597668
Long
ABS-MBS
USGSE
US
N
2
2026-11-25
Fixed
9.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DKA8
4760.67000000
PA
USD
4934.15000000
0.005914251752
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
5.52000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403MRY7
2757.82000000
PA
USD
2897.05000000
0.003472509558
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKL2
99775.73000000
PA
USD
93800.78000000
0.112433028481
Long
ABS-MBS
USGSE
US
N
2
2058-08-25
Fixed
4.00000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT CV LLC
91835GAA2
162696.54000000
PA
USD
143673.65000000
0.172212465423
Long
ABS-MBS
CORP
US
N
2
2051-11-27
Variable
2.49000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1353.25000000
0.001622054697
N/A
DFE
XX
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
91848.37000000
USD
86860.00000000
EUR
2023-02-09
1353.25000000
N
N
N
Morgan Stanley & Co. LLC
549300BI6Y5SI6BYPB26
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
61747C707
9870744.03000000
NS
USD
9870744.03000000
11.83143300784
Long
STIV
RF
US
N
1
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAG9
300000.00000000
PA
USD
290820.41000000
0.348587926884
Long
DBT
CORP
NL
N
2
2025-04-24
Fixed
4.89000000
N
N
N
N
N
N
BANK HAPOALIM
B6ARUI4946ST4S7WOU88
Bank Hapoalim BM
000000000
225000.00000000
PA
USD
194566.50000000
0.233214487512
Long
DBT
CORP
IL
Y
2
2032-01-21
Fixed
3.26000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K8XM8
195516.00000000
PA
USD
168743.94000000
0.202262627368
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
2.50000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK21
06540BBE8
3502743.56000000
PA
USD
145882.79000000
0.174860421021
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Variable
0.85000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-3
35563PBS7
324675.52000000
PA
USD
284750.56000000
0.341312383782
Long
ABS-MBS
USGSE
US
N
2
2056-07-25
Fixed
3.00000000
N
N
N
N
N
N
LIONS GATE CAPITAL HOLD
549300MWJHNLR35C0837
Lions Gate Capital Holdings LLC
53627NAE1
145000.00000000
PA
USD
84259.06000000
0.100995975649
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2020-3
35563PTU3
600000.00000000
PA
USD
515416.98000000
0.617797549145
Long
ABS-MBS
USGSE
US
N
2
2060-05-25
Variable
4.25000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BP7
175000.00000000
PA
USD
148178.70000000
0.177612382299
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DDA6
14259.22000000
PA
USD
14664.61000000
0.017577535216
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.44000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MJP8
26275.90000000
PA
USD
27904.93000000
0.033447864606
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
7.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLJ9
150000.00000000
PA
USD
100761.05000000
0.120775861399
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AU0
150000.00000000
PA
USD
120261.29000000
0.144149558710
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
2.45000000
N
N
N
N
N
N
BANQUE OUEST AFRICAINE D
529900LIZJABE4JJS826
Banque Ouest Africaine de Developpement
06675QAC7
350000.00000000
PA
USD
299862.50000000
0.359426105016
Long
DBT
NUSS
XX
N
2
2031-10-22
Fixed
4.70000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
62425.00000000
PA
USD
25708.57000000
0.030815227581
Long
DBT
NUSS
EC
N
2
2040-07-31
Variable
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FCXV5
161196.79000000
PA
USD
150163.62000000
0.179991579646
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
COMM Mortgage Trust
549300C72XVZH4MIKU63
COMM 2013-CCRE9 Mortgage Trust
12625UBC6
5781291.62000000
PA
USD
229.81000000
0.000275458629
Long
ABS-MBS
CORP
US
N
2
2045-07-10
Variable
0.03000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
46639YAT4
5999999.65000000
PA
USD
8612.40000000
0.010323136060
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Variable
0.58000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M9WH3
64693.97000000
PA
USD
62477.71000000
0.074888056878
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BGT3
2205260.42000000
PA
USD
22583.45000000
0.027069345020
Long
ABS-MBS
USGA
US
N
2
2058-08-20
Variable
0.66000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393EJT7
15715.63000000
PA
USD
16394.84000000
0.019651451860
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Fixed
7.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFT6
250000.00000000
PA
USD
169668.13000000
0.203370395135
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
GS Mortgage Securities Trust
54930070360RBP384M53
GS Mortgage Securities Trust 2015-GC34
36250VAF9
4478574.10000000
PA
USD
120294.72000000
0.144189629125
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
1.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CQQ8
829.54000000
PA
USD
861.49000000
0.001032613265
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F9ZB0
1635497.80000000
PA
USD
249796.20000000
0.299414815836
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Variable
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418W5E6
44243.31000000
PA
USD
44767.75000000
0.053660254326
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01
5493002KQF9IH3CTQZ40
Multifamily Connecticut Avenue Securities Trust 2020-01
62548QAB7
14569.10000000
PA
USD
14463.36000000
0.017336309642
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
6.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NNJ0
1950.99000000
PA
USD
1987.34000000
0.002382098046
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GLB37
102433.28000000
PA
USD
99228.22000000
0.118938555578
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DND9
3436.46000000
PA
USD
3457.30000000
0.004144045597
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.41000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2016-SC01
3137G1AV9
25429.84000000
PA
USD
21962.76000000
0.026325363398
Long
ABS-MBS
USGSE
US
N
2
2046-07-25
Fixed
3.00000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-150038.50000000
-0.17984160626
N/A
DFE
US
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
1886288.00000000
EUR
1873966.77000000
USD
2023-02-09
-150038.50000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F052615
2600000.00000000
PA
USD
2608126.17000000
3.126194941595
Long
ABS-MBS
USGSE
US
N
2
2053-01-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8HY4
253440.63000000
PA
USD
233598.99000000
0.280000250486
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1710.94000000
0.002050794948
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
121835.39000000
USD
115140.00000000
EUR
2023-02-09
1710.94000000
N
N
N
Blackbird Capital Aircraft
N/A
Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
09228YAC6
346915.02000000
PA
USD
229530.91000000
0.275124101753
Long
ABS-O
CORP
KY
N
2
2041-12-16
Variable
5.68000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAY6
175000.00000000
PA
USD
167390.78000000
0.200640680548
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
5.40000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31282YCV9
1521.60000000
PA
USD
260.11000000
0.000311777311
Long
ABS-MBS
USGSE
US
N
2
2029-12-15
Fixed
7.50000000
N
N
N
N
N
N
VTR FINANCE BV
213800F4XI4RJB82XM19
VTR Finance NV
918374AA7
200000.00000000
PA
USD
77559.16000000
0.092965231688
Long
DBT
CORP
NL
N
2
2028-07-15
Fixed
6.38000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7S49
9618.63000000
PA
USD
10194.01000000
0.012218911363
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
8.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AN0
73000.00000000
PA
USD
63806.68000000
0.076481008683
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393BKD6
88368.36000000
PA
USD
18505.95000000
0.022181905133
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A4
46631JAE8
26182.86000000
PA
USD
21116.01000000
0.025310418034
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
3.46000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2015-SC01
3137G1AA5
30967.09000000
PA
USD
26720.33000000
0.032027959937
Long
ABS-MBS
USGSE
US
N
2
2045-05-25
Fixed
3.50000000
N
N
N
N
N
N
NEWDAY FUNDING
N/A
Newday Funding Master Issuer PLC - Series 2022-1
65120LAK7
500000.00000000
PA
USD
488522.00000000
0.585560247362
Long
ABS-O
CORP
GB
N
2
2030-04-15
Floating
5.70000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
150000.00000000
PA
USD
114525.06000000
0.137273904681
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-44944.56000000
-0.05387218522
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
10290079.00000000
ZAR
558787.89000000
USD
2023-02-09
-44944.56000000
N
N
N
Hundred Acre Wood Trust
N/A
Hundred Acre Wood Trust 2021-INV2
44555PAC5
396164.52000000
PA
USD
318262.49000000
0.381481002637
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-86CB
12668BFD0
4763.63000000
PA
USD
2966.59000000
0.003555862733
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.50000000
N
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust 2006-6
059487AA6
89312.77000000
PA
USD
71645.00000000
0.085876304285
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
5.04000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAL4
75000.00000000
PA
USD
72246.49000000
0.086597272089
Long
DBT
CORP
US
N
2
2046-04-01
Fixed
6.75000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-159.29000000
-0.00019093079
N/A
DFE
GB
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
9900.43000000
USD
8050.00000000
GBP
2023-02-09
-159.29000000
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
12298000.00000000
PA
617351.82000000
0.739980357955
Long
DBT
NUSS
ZA
N
2
2032-03-31
Fixed
8.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31383EAP6
3250.21000000
PA
USD
3386.87000000
0.004059625636
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
7.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
150000.00000000
PA
USD
151074.21000000
0.181083045958
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PMK2
257316.44000000
PA
USD
226961.13000000
0.272043869927
Long
ABS-MBS
USGSE
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
125000.00000000
PA
106120.35000000
0.127199713413
Long
DBT
NUSS
CI
N
2
2032-01-30
Fixed
4.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DB83
16942.95000000
PA
USD
17549.11000000
0.021035001888
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.62000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS4 Trust
749228AD4
15617.13000000
PA
USD
12213.02000000
0.014638970224
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-34.22000000
-0.00004101733
N/A
DFE
CA
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
3726.28000000
USD
4998.00000000
CAD
2023-02-09
-34.22000000
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2015-SC02
3137G1AL1
72385.59000000
PA
USD
63491.61000000
0.076103354315
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335ABF4
275761.32000000
PA
USD
258211.28000000
0.309501436964
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAV4
225000.00000000
PA
USD
211703.62000000
0.253755663193
Long
DBT
CORP
FR
N
2
2025-01-22
Fixed
2.63000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BZ1
450000.00000000
PA
USD
437665.08000000
0.524601292279
Long
DBT
CORP
GB
N
2
2025-03-11
Fixed
3.80000000
N
N
N
N
N
N
TLWND 2019-1
N/A
GAIA Aviation Ltd
87404LAC6
349980.33000000
PA
USD
198665.21000000
0.238127350477
Long
ABS-O
CORP
KY
N
2
2044-12-15
Variable
7.00000000
N
Y
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZD5
450000.00000000
PA
USD
446576.26000000
0.535282556920
Long
DBT
UST
US
N
2
2023-03-15
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371HQX9
2724.40000000
PA
USD
2813.14000000
0.003371931979
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
6.50000000
N
N
N
N
N
N
University of Michigan
N/A
UNIV OF MICHIGAN MI
914455UJ7
170000.00000000
PA
USD
138327.76000000
0.165804687123
Long
DBT
MUN
US
N
2
2122-04-01
Fixed
4.45000000
N
N
N
N
N
N
City of New York NY
549300ABYZD2SFD5JB29
NEW YORK NY
64966HYM6
245000.00000000
PA
USD
262416.98000000
0.314542542036
Long
DBT
MUN
US
N
2
2036-03-01
Fixed
5.97000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2015-SC01
3137G1AF4
1312.33000000
PA
USD
1310.67000000
0.001571016759
Long
ABS-MBS
USGSE
US
N
2
2045-05-25
Variable
3.85000000
N
N
N
N
N
N
LUNAR AIRCRAFT 2020-1 LIMITED
N/A
LUNAR AIRCRAFT 2020-1 LTD
55037LAA2
105173.08000000
PA
USD
86472.45000000
0.103649025452
Long
ABS-O
CORP
US
N
2
2045-02-15
Fixed
3.38000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND MAR23
000000000
-1.00000000
NC
26070.43000000
0.031248966146
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 30 Year Euro BUXL Futures
UBH2 Comdty
2023-03-08
-159594.66000000
EUR
26070.43000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JBXA9
292636.19000000
PA
USD
231268.64000000
0.277207008170
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
PMT ISSUER TRUST - FMSR
N/A
PMT Issuer Trust - FMSR
69346MAD1
650000.00000000
PA
USD
631870.72000000
0.757383239862
Long
ABS-O
CORP
US
N
2
2026-03-25
Floating
7.39000000
N
N
N
N
N
N
VAR ENERGI ASA
549300LIVN3FFOJN2K47
Var Energi ASA
92212WAD2
200000.00000000
PA
USD
204112.84000000
0.244657078044
Long
DBT
CORP
NO
N
2
2028-01-15
Fixed
7.50000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
562.52000000
0.000674256943
N/A
DFE
US
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
170000.00000000
CAD
126142.83000000
USD
2023-02-09
562.52000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X0PH5
196823.17000000
PA
USD
190766.22000000
0.228659333605
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
NEWCASTLE COAL INFRASTRU
549300YAJ8XYYGW2TZ32
Newcastle Coal Infrastructure Group Pty Ltd
65106WAA3
275000.00000000
PA
USD
237257.35000000
0.284385293916
Long
DBT
CORP
AU
N
2
2027-09-29
Fixed
4.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KVBR5
3524.66000000
PA
USD
3680.24000000
0.004411269594
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
ChaseFlex Trust
N/A
ChaseFlex Trust Series 2007-1
16165VAL2
307037.76000000
PA
USD
125838.97000000
0.150835168940
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2022-C18
054975AG2
2570000.00000000
PA
USD
102939.94000000
0.123387558246
Long
ABS-MBS
CORP
US
N
2
2055-12-15
Variable
0.46000000
N
N
N
N
N
N
SPLUNK INC
549300XGDSGBP6UEI867
Splunk Inc
848637AF1
200000.00000000
PA
USD
169760.00000000
0.203480513860
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
1.13000000
N
N
N
N
Y
Splunk Inc
Splunk Inc
USD
XXXX
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYB4
525000.00000000
PA
USD
419942.26000000
0.503358075262
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.62000000
N
N
N
N
N
N
JOHNS HOPKINS UNIVERSITY
549300Z1XKWYKTIOM958
Johns Hopkins University
478115AF5
145000.00000000
PA
USD
91240.34000000
0.109363991918
Long
DBT
CORP
US
N
2
2060-01-01
Fixed
2.81000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAX6
225000.00000000
PA
USD
203259.36000000
0.243634065856
Long
DBT
CORP
NL
N
2
2032-06-15
Fixed
5.00000000
N
N
N
N
N
N
COINBASE GLOBAL INC
5493004G3J2SC154DU06
Coinbase Global Inc
19260QAC1
110000.00000000
PA
USD
58289.00000000
0.069867316637
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
3.38000000
N
N
N
N
N
N
Mississippi Power Co
LNZ0J6YZ5SC6ILIRU850
Mississippi Power Co
605417CB8
275000.00000000
PA
USD
258381.52000000
0.309705492823
Long
DBT
CORP
US
N
2
2028-03-30
Fixed
3.95000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-11 LLC
69362QAA7
313109.21000000
PA
USD
283937.83000000
0.340338216027
Long
ABS-MBS
CORP
US
N
2
2026-11-25
Variable
2.49000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED CNY / SOLD USD
000000000
1.00000000
NC
-76.50000000
-0.00009169568
N/A
DFE
CN
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
91166.32000000
USD
631500.00000000
CNY
2023-02-09
-76.50000000
N
N
N
Osaka Exchange
3538001249AILNPRUX57
JPN 10Y BOND(OSE) MAR23
000000000
-1.00000000
NC
20268.21000000
0.024294214101
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Short
OSE Japanese 10 Year Bond Futures
JBH2 Comdty
2023-03-13
-148120000.00000000
JPY
20268.21000000
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT 2022-HB9 LLC
12530GAD0
230000.00000000
PA
USD
179729.50000000
0.215430319368
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
3.25000000
N
N
N
N
N
N
Chicago O'Hare International Airport
N/A
CHICAGO IL O'HARE INTERNATIONAL ARPT REVENUE
167593AN2
115000.00000000
PA
USD
128808.40000000
0.154394435800
Long
DBT
MUN
US
N
2
2040-01-01
Fixed
6.40000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
200000.00000000
PA
149503.69000000
0.179200563532
Long
DBT
NUSS
EG
N
2
2031-04-11
Fixed
6.38000000
N
N
N
N
N
N
SPOTIFY USA INC
N/A
Spotify USA Inc
84921RAB6
140000.00000000
PA
USD
113400.00000000
0.135925366822
Long
DBT
CORP
US
N
2
2026-03-15
None
0.00000000
N
N
N
N
Y
Spotify Technology SA
Spotify Technology SA
USD
XXXX
N
N
N
GCAT
N/A
GCAT 2022-NQM3 Trust
36168MAA1
500897.14000000
PA
USD
485833.31000000
0.582337485682
Long
ABS-MBS
CORP
US
N
2
2067-04-25
Variable
4.35000000
N
N
N
N
N
N
NRZ Excess Spread Collateralized Notes
549300FB4YR8GY21CA08
New Residential Mortgage LLC
64830YAA5
325215.15000000
PA
USD
306301.12000000
0.367143669260
Long
ABS-O
CORP
US
N
2
2025-06-25
Fixed
5.44000000
N
N
N
N
N
N
Hundred Acre Wood Trust
N/A
Hundred Acre Wood Trust 2021-INV3
44555QAC3
486157.35000000
PA
USD
390559.08000000
0.468138326410
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BZ1
125000.00000000
PA
USD
107051.61000000
0.128315955539
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
5.25000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-KF27 Mortgage Trust
30301BAC2
39468.44000000
PA
USD
37624.56000000
0.045098166838
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Floating
8.49000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABT3
250000.00000000
PA
USD
205423.27000000
0.246227807130
Long
DBT
CORP
US
N
2
2028-01-10
Fixed
1.80000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust 2017-4
35563PCS6
575719.24000000
PA
USD
567288.87000000
0.679973084207
Long
ABS-MBS
USGSE
US
N
2
2057-06-25
Fixed
4.50000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HS65
2.59000000
PA
USD
0.01000000
0.000000011986
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Fixed
8.00000000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAS6
100000.00000000
PA
USD
94587.00000000
0.113375420384
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.60000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300ITVQSU1IHX4H03
GS Mortgage Securities Trust 2013-GCJ14
36198FAV4
500000.00000000
PA
USD
403917.78000000
0.484150550376
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Variable
4.72000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
24287.81000000
0.029112252941
N/A
DFE
JP
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
209264.68000000
USD
30511000.00000000
JPY
2023-02-09
24287.81000000
N
N
N
BANC CREDITO INVERSIONES
549300E9E5Y3PKW24142
Banco de Credito e Inversiones SA
05890MAB9
225000.00000000
PA
USD
187493.92000000
0.224737035740
Long
DBT
CORP
CL
N
2
2031-10-14
Fixed
2.88000000
N
N
N
N
N
N
Stanwich Mortgage Loan Trust
N/A
Stanwich Mortgage Loan Co 2021-NPL-B-1 LLC
85501YAA8
249358.06000000
PA
USD
220807.46000000
0.264667857122
Long
ABS-MBS
CORP
US
N
2
2026-10-16
Variable
2.74000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4
46645UAV9
2514868.27000000
PA
USD
43396.19000000
0.052016252596
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
0.59000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2016-SC02
3137G1BC0
79991.98000000
PA
USD
68880.61000000
0.082562805830
Long
ABS-MBS
USGSE
US
N
2
2046-10-25
Fixed
3.00000000
N
N
N
N
N
N
United Wholesale Mortgage LLC
N/A
UWM Mortgage Trust 2021-INV3
90355RAC6
342563.95000000
PA
USD
276272.48000000
0.331150248562
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.50000000
N
N
N
N
N
N
TVC Mortgage Trust 2020-RTL1
N/A
TVC Mortgage Trust 2020-RTL1
90114YAA7
58556.73000000
PA
USD
58417.17000000
0.070020945864
Long
ABS-MBS
CORP
US
N
2
2024-09-25
Fixed
3.47000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-S2
46630WAW0
4099.80000000
PA
USD
5787.98000000
0.006937683462
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
GEORGIA-PACIFIC LLC
L2EVHWFHVAQK72TMH265
Georgia-Pacific LLC
37331NAK7
175000.00000000
PA
USD
145690.17000000
0.174629539679
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
2.30000000
N
N
N
N
N
N
FMC GMSR Issuer Trust
N/A
FMC GMSR Issuer Trust
30259RAK1
300000.00000000
PA
USD
241435.20000000
0.289393016965
Long
ABS-MBS
CORP
US
N
2
2026-10-25
Variable
3.85000000
N
N
N
N
N
N
Benefit Street Partners CLO Ltd
N/A
Benefit Street Partners CLO XX Ltd
08182FAN9
390000.00000000
PA
USD
380932.11000000
0.456599089825
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
5.25000000
N
N
N
N
N
N
Last Mile Logistics Pan Euro Finance DAC
635400NOPX1IKIAX7N90
Last Mile Logistics Pan Euro Finance DAC
000000000
99553.88000000
PA
95720.28000000
0.114733811034
Long
ABS-MBS
CORP
IE
N
2
2033-08-17
Floating
3.70000000
N
N
N
N
N
N
BELROSE FUNDING TRUST
N/A
Belrose Funding Trust
080807AA8
100000.00000000
PA
USD
75944.46000000
0.091029793506
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.33000000
N
N
N
N
N
N
BANCO SANTANDER CHILE
3YJP8HORPAEXJ80D6368
Banco Santander Chile
05970FAC5
150000.00000000
PA
USD
142549.05000000
0.170864478937
Long
DBT
CORP
CL
N
2
2025-01-10
Fixed
2.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181CNU8
83822.37000000
PA
USD
80351.42000000
0.096312136139
Long
ABS-MBS
USGA
US
N
2
2044-07-15
Fixed
4.00000000
N
N
N
N
N
N
Conn Funding II, L.P
N/A
Conn's Receivables Funding 2021-A LLC
20825GAB1
125000.00000000
PA
USD
122808.45000000
0.147202677382
Long
ABS-O
CORP
US
N
2
2026-05-15
Fixed
2.87000000
N
N
N
N
N
N
RESORTS WORLD/RWLV CAP
N/A
Resorts World Las Vegas LLC / RWLV Capital Inc
76120HAA5
200000.00000000
PA
USD
142146.32000000
0.170381752103
Long
DBT
CORP
US
N
2
2029-04-16
Fixed
4.63000000
N
N
N
N
N
N
DEXCOM INC
549300YSK3QDSFR5EU59
Dexcom Inc
252131AK3
200000.00000000
PA
USD
218500.00000000
0.261902051593
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.25000000
N
N
N
N
Y
Dexcom Inc
Dexcom Inc
USD
XXXX
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89117F8Z5
200000.00000000
PA
USD
208500.00000000
0.249915687676
Long
DBT
CORP
CA
N
2
2082-10-31
Fixed
8.13000000
N
N
N
N
N
N
2023-01-19
MORGAN STANLEY VARIABLE INSURANCE FUND INC.
Francis Smith
Francis Smith
Principal Financial Officer