0001752724-23-107499.txt : 20230519
0001752724-23-107499.hdr.sgml : 20230519
20230519113603
ACCESSION NUMBER: 0001752724-23-107499
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230331
FILED AS OF DATE: 20230519
DATE AS OF CHANGE: 20230519
PERIOD START: 20230331
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: METROPOLITAN WEST FUNDS
CENTRAL INDEX KEY: 0001028621
IRS NUMBER: 000000000
FISCAL YEAR END: 0331
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07989
FILM NUMBER: 23938794
BUSINESS ADDRESS:
STREET 1: METROPOLITAN WEST ASSET MANAGEMENT
STREET 2: 865 S. FIGUEROA STREET, SUITE 1800
CITY: LOS ANGELES
STATE: CA
ZIP: 90017
BUSINESS PHONE: 213-244-0000
MAIL ADDRESS:
STREET 1: METROPOLITAN WEST ASSET MANAGEMENT
STREET 2: 865 S. FIGUEROA STREET, SUITE 1800
CITY: LOS ANGELES
STATE: CA
ZIP: 90017
0001028621
S000001146
METROPOLITAN WEST LOW DURATION BOND FUND
C000003063
CLASS I
MWLIX
C000003064
CLASS M
MWLDX
C000058169
Administrative Class
MWLNX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001028621
XXXXXXXX
S000001146
C000003064
C000003063
C000058169
METROPOLITAN WEST FUNDS
811-07989
0001028621
549300KGDNJW6FXNDC82
865 South Figueroa Street
SUITE 1800
Los Angeles
90017
800-241-4671
Metropolitan West Low Duration Bond Fund
S000001146
549300D28XTSYBVUGU24
2023-03-31
2023-03-31
N
2491807335.45
715278719.99
1776528615.46
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
649623670.86000000
0.00000000
18114249.03000000
USD
N
Preston Ridge Partners Mortgag
N/A
PRPM 2021-7 LLC
69360LAA0
11172923.41000000
PA
USD
10460792.56000000
0.588833327477
Long
ABS-MBS
CORP
US
N
2
2026-08-25
Variable
1.86700000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAF3
5590000.00000000
PA
USD
4798293.16000000
0.270093772666
Long
DBT
CORP
N/A
N
2
2029-02-02
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359QS96
4233.22000000
PA
USD
4162.49000000
0.000234304697
Long
ABS-MBS
USGSE
US
N
2
2027-09-17
Floating
5.15857000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MS45
18104.59000000
PA
USD
18095.72000000
0.001018599973
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
6.00000000
N
N
N
N
N
N
Trans Union LLC
X8NPN6PWJOM1QCTYFV34
Trans Union LLC
89334GAZ7
140512.49000000
PA
USD
139692.60000000
0.007863233881
Long
LON
CORP
US
N
2
2028-12-01
Floating
7.09029000
N
N
N
N
N
N
DELTA AIR LINES 2020-AA
N/A
Delta Air Lines 2020-1 Class AA Pass Through Trust
247361ZV3
1335308.82090000
PA
USD
1176931.86000000
0.066248967213
Long
DBT
CORP
US
N
2
2028-06-10
Fixed
2.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2018-GS9
36255NAR6
825231.68000000
PA
USD
807457.51000000
0.045451421551
Long
ABS-MBS
CORP
US
N
2
2051-03-10
Fixed
3.83900000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2004-7
576434TC8
1562293.36000000
PA
USD
1473405.90000000
0.082937358125
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225DKP8
3644.87000000
PA
USD
3516.45000000
0.000197939395
Long
ABS-MBS
USGA
US
N
2
2035-01-20
Floating
3.12500000
N
N
N
N
N
N
New Century Home Equity Loan T
N/A
New Century Home Equity Loan Trust Series 2005-D
64352VPK1
234417.24000000
PA
USD
234148.81000000
0.013180131632
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.28529000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AH8
2520000.00000000
PA
USD
2536959.60000000
0.142804319498
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.37500000
N
N
N
N
N
N
Vantage Data Centers LLC
N/A
Vantage Data Centers Issuer LLC
92212KAA4
5389691.48000000
PA
USD
5200514.60000000
0.292734637356
Long
ABS-O
CORP
US
N
2
2044-07-15
Fixed
3.18800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B9AC1
5663294.99000000
PA
USD
5587666.50000000
0.314527244389
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Floating
5.34529000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CB54
5750.00000000
PA
USD
5642.41000000
0.000317608731
Long
ABS-MBS
USGA
US
N
2
2027-04-20
Floating
2.87500000
N
N
N
N
N
N
Independence Plaza Trust
N/A
Independence Plaza Trust 2018-INDP
45378YAL8
10000000.00000000
PA
USD
9403901.50000000
0.529341403125
Long
ABS-MBS
CORP
US
N
2
2035-07-10
Fixed
3.91100000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trus
N/A
CFCRE Commercial Mortgage Trust 2016-C4
12531YAL2
1452850.94000000
PA
USD
1399663.52000000
0.078786432586
Long
ABS-MBS
CORP
US
N
2
2058-05-10
Fixed
3.09100000
N
N
N
N
N
N
NCR Corporation
549300YKTY8JX1DV2R67
NCR Corp
62886VAP5
443840.13000000
PA
USD
438660.52000000
0.024692004180
Long
LON
CORP
US
N
2
2026-08-28
Floating
7.33000000
N
N
N
N
N
N
NEW YORK ST DORM AUTH ST PERSO
549300C8XO7EXTX2XU71
New York State Dormitory Authority
649902ZN6
4360000.00000000
PA
USD
4367739.00000000
0.245858071859
Long
DBT
MUN
US
N
2
2024-03-15
Fixed
5.19200000
N
N
N
N
N
N
MASTR Asset Backed Securities
N/A
MASTR Asset Backed Securities Trust 2006-HE1
57643LQV1
5485955.02000000
PA
USD
5250862.10000000
0.295568675579
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.40029000
N
N
N
N
N
N
BLACK HILLS CORP
3MGELCRSTNSAMJ962671
Black Hills Corp
092113AV1
4540000.00000000
PA
USD
4710571.11000000
0.265155937765
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398MDK9
3617594.89000000
PA
USD
397557.76000000
0.022378348231
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
1.38471000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-14
12669FT52
7142.44000000
PA
USD
6241.58000000
0.000351335742
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.91353200
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAJ4
13000000.00000000
PA
USD
12822996.16000000
0.721800710014
Long
DBT
CORP
GB
N
2
2024-11-15
Fixed
4.79600000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2005-WL3
542514PR9
1113648.71000000
PA
USD
1109762.97000000
0.062468060482
Long
ABS-O
CORP
US
N
2
2035-11-25
Floating
5.49029000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AS7
685000.00000000
PA
USD
657819.78000000
0.037028380757
Long
DBT
CORP
CH
N
2
2027-08-05
Fixed
4.70300000
N
N
N
N
N
N
Azalea TopCo Inc
549300HC42NZULO53062
Azalea Topco Inc
29102TAF9
487518.89000000
PA
USD
458267.76000000
0.025795686937
Long
LON
CORP
US
N
2
2026-07-24
Floating
8.46761000
N
N
N
N
N
N
METROPOLITAN EDISON CO
N/A
Metropolitan Edison Co
591894CB4
1467000.00000000
PA
USD
1400943.91000000
0.078858505166
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.00000000
N
N
N
N
N
N
Residential Asset Securities C
N/A
RASC Series 2005-KS11 Trust
76110W7E0
2005272.18000000
PA
USD
1982309.91000000
0.111583336893
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
5.47529000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VKNG
12433YAA5
4719596.00000000
PA
USD
4607655.02000000
0.259362837159
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
5.87157000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F62S5
1558076.84000000
PA
USD
1492232.51000000
0.083997099569
Long
ABS-MBS
USGSE
US
N
2
2026-05-25
Fixed
0.56900000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEC5
4685000.00000000
PA
USD
4160950.61000000
0.234218046013
Long
DBT
CORP
US
N
2
2027-07-20
Fixed
1.51200000
N
N
N
N
N
N
Magnetite CLO Ltd
549300B54XJTQC6DWJ15
Magnetite VII Ltd
55951PBA4
4620192.67000000
PA
USD
4582076.08000000
0.257923010084
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
5.59243000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
3810000.00000000
PA
USD
3577978.28000000
0.201402794689
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-F
63942GAA1
3045572.21000000
PA
USD
2570597.10000000
0.144697759305
Long
ABS-O
CORP
US
N
2
2070-02-18
Fixed
1.11000000
N
N
N
N
N
N
New Century Home Equity Loan T
N/A
New Century Home Equity Loan Trust 2005-3
64352VLM1
689986.88000000
PA
USD
687044.84000000
0.038673446294
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
5.80529000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-39820.87000000
-0.00224149893
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1258000.00000000
EUR
1327929.33000000
USD
2023-04-13
-39820.87000000
N
N
N
Soundview Home Equity Loan Tru
N/A
Soundview Home Loan Trust 2006-OPT4
83611YAE2
3852889.33000000
PA
USD
3677440.31000000
0.207001467806
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.30529000
N
N
N
N
N
N
AthenaHealth Group Inc
254900AA3KZN4Q7A5Z33
AthenaHealth Group Inc
04686RAC7
306951.92000000
PA
USD
288151.11000000
0.016219896909
Long
LON
CORP
US
N
2
2029-02-15
Floating
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAY2
19520000.00000000
PA
USD
19335187.96000000
1.088369069416
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
4.02300000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAH5
1250000.00000000
PA
USD
1191898.86000000
0.067091452939
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397FRW4
190580.26000000
PA
USD
198632.05000000
0.011180909120
Long
ABS-MBS
USGSE
US
N
2
2037-03-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CXQ1
1460.42000000
PA
USD
1461.67000000
0.000082276749
Long
ABS-MBS
USGA
US
N
2
2027-09-20
Fixed
8.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LS8
6987000.00000000
PA
USD
6536521.49000000
0.367937866754
Long
DBT
CORP
US
N
2
2028-10-27
Fixed
3.52000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAB9
5205000.00000000
PA
USD
4887743.69000000
0.275128902932
Long
DBT
CORP
GB
N
2
2026-07-26
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404KNR9
81589.67000000
PA
USD
81466.77000000
0.004585727991
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Floating
2.93700000
N
N
N
N
N
N
BNC Mortgage Loan Trust
N/A
BNC Mortgage Loan Trust 2007-1
05569GAD8
4455061.49000000
PA
USD
4103764.52000000
0.230999066622
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.00529000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2007-A2
16163LAF9
450995.43000000
PA
USD
427906.90000000
0.024086687727
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
4.13687800
N
N
N
N
N
N
Goal Capital Funding Trust
5493009VZI2B6V83UU74
Goal Capital Funding Trust 2006-1
38021BAG5
1332489.43000000
PA
USD
1220814.82000000
0.068719119375
Long
ABS-MBS
CORP
US
N
2
2042-08-25
Floating
5.40786000
N
N
N
N
N
N
Arches Buyer Inc
2549009ADY4208OH2Y47
Arches Buyer Inc
03952HAD6
125661.87000000
PA
USD
118710.88000000
0.006682182260
Long
LON
CORP
US
N
2
2027-12-06
Floating
8.06231500
N
N
N
N
N
N
Student Loan Consolidation Cen
5493008KMDJ3GC7JUA63
Student Loan Consolidation Center Student Loan Trust I
86386MAX2
2900000.00000000
PA
USD
2679179.50000000
0.150809813964
Long
ABS-O
CORP
US
N
2
2042-07-01
Floating
0.01000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-c
63942JAA5
974692.07000000
PA
USD
851714.49000000
0.047942627131
Long
ABS-O
CORP
US
N
2
2069-10-15
Fixed
1.06000000
N
N
N
N
N
N
Elanco Animal Health Inc
549300SHPNDCE059M934
Elanco Animal Health Inc
28414BAF3
610223.11940000
PA
USD
597966.79000000
0.033659282760
Long
LON
CORP
US
N
2
2027-08-01
Floating
6.41200000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-MFP2
85236WCE4
3640000.00000000
PA
USD
3499802.85000000
0.197002334752
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
5.50580000
N
N
N
N
N
N
Berry Global Inc
549300AP2Q7ERHX6RI89
Berry Global Inc
08579JBG6
2869456.92790000
PA
USD
2863187.16000000
0.161167522722
Long
LON
CORP
US
N
2
2026-07-01
Floating
6.50971000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGN5
47251000.00000000
PA
USD
47713358.60000000
2.685763583247
Long
DBT
UST
US
N
1
2025-02-28
Fixed
4.62500000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust 2019-4
14315WAG5
3270000.00000000
PA
USD
3192627.22000000
0.179711556133
Long
ABS-O
CORP
US
N
2
2025-09-15
Fixed
2.60000000
N
N
N
N
N
N
Transdigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
89364MBZ6
642699.88000000
PA
USD
641735.83000000
0.036123022416
Long
LON
CORP
US
N
2
2028-08-24
Floating
8.14833000
N
N
N
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank Auto Credit-Linked Notes Series 2022-B
80290CBA1
3795763.10000000
PA
USD
3732882.68000000
0.210122293979
Long
ABS-O
CORP
US
N
2
2032-08-16
Fixed
8.68100000
N
N
N
N
N
N
ENTEGRIS INC
IYX6OWO7BT5DKO3BYG52
Entegris Inc
29362LAM6
151270.74000000
PA
USD
149758.03000000
0.008429812427
Long
LON
CORP
US
N
2
2029-07-06
Floating
7.55340000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAJ0
2350000.00000000
PA
USD
2096990.19000000
0.118038638485
Long
DBT
CORP
KY
N
2
2027-02-15
Fixed
3.25000000
N
N
N
N
N
N
AthenaHealth Group Inc
254900AA3KZN4Q7A5Z33
AthenaHealth Group Inc
04686RAB9
2498638.55000000
PA
USD
2345596.94000000
0.132032601084
Long
LON
CORP
US
N
2
2029-02-15
Floating
8.25918000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B72K6
3036468.43000000
PA
USD
2975634.09000000
0.167497110043
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
5.34529000
N
N
N
N
N
N
FED HOME LN DISCOUNT NT
2549001DPIFGXC1TOL40
Federal Home Loan Bank Discount Notes
313384HD4
25000000.00000000
PA
USD
24744421.00000000
1.392852374268
Long
DBT
USGSE
US
N
2
2023-06-21
None
0.00000000
N
N
N
N
N
N
Banc of America Alternative Lo
N/A
Banc of America Alternative Loan Trust 2003-8
05948XTV3
3242887.89000000
PA
USD
3114103.73000000
0.175291504054
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
5.50000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
549300V5ZF7112UGSH89
Rockford Tower CLO 2017-3 Ltd
77341DAA5
1750000.00000000
PA
USD
1733634.00000000
0.097585481309
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
5.99771000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TLMU9
176676.56000000
PA
USD
179690.70000000
0.010114709013
Long
ABS-MBS
USGSE
US
N
2
2029-07-15
Fixed
6.00000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
3128HXMD4
1120158.72000000
PA
USD
1105959.69000000
0.062253975555
Long
ABS-MBS
USGSE
US
N
2
2042-06-15
Floating
5.18443000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series 2006-F1
590218AB9
785256.30000000
PA
USD
406698.43000000
0.022892872451
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6.00000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR12
45660N5H4
154751.76000000
PA
USD
119488.24000000
0.006725939506
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
5.62529000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398FXF3
1079567.76000000
PA
USD
1079968.93000000
0.060790967316
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
5.74529000
N
N
N
N
N
N
Dryden Senior Loan Fund
549300AS2O1RYPD2ED41
Dryden 30 Senior Loan Fund
26249BAQ4
2120662.67000000
PA
USD
2094366.45000000
0.117890949336
Long
ABS-CBDO
CORP
KY
N
2
2028-11-15
Floating
5.68357000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2020-1
03067DAG0
6065000.00000000
PA
USD
5828465.00000000
0.328081684093
Long
ABS-O
CORP
US
N
2
2025-12-18
Fixed
1.80000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042640
17600000.00000000
PA
USD
17244079.95000000
0.970661536208
Long
ABS-MBS
USGSE
US
N
2
2053-04-15
Fixed
4.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
3132HTWM4
5182931.49000000
PA
USD
5097584.73000000
0.286940761079
Long
ABS-MBS
USGSE
US
N
2
2043-11-15
Floating
5.18443000
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
Santander UK PLC
80283LAA1
1000000.00000000
PA
USD
988818.00000000
0.055660122296
Long
DBT
CORP
GB
N
2
2023-11-07
Fixed
5.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
292480AL4
1150000.00000000
PA
USD
1140261.71000000
0.064184820896
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGT2
22506000.00000000
PA
USD
22547319.67000000
1.269178524555
Long
DBT
UST
US
N
1
2028-03-31
Fixed
3.62500000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2003-9
576434KX1
1743290.64000000
PA
USD
1682181.85000000
0.094689262833
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Fixed
5.25000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AA7
8456667.46000000
PA
USD
8248743.38000000
0.464318069983
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
5.58443000
N
N
N
N
N
N
HUB International Ltd
549300JQT6ATTUNS5E06
HUB International Ltd
44332EAU0
497455.48000000
PA
USD
496923.20000000
0.027971584340
Long
LON
CORP
US
N
2
2025-04-25
Floating
8.00313500
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAG7
9201000.00000000
PA
USD
8152489.92000000
0.458900005834
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.15000000
N
N
N
N
N
N
MIAMI-DADE CNTY FL AVIATION RE
N/A
County of Miami-Dade FL Aviation Revenue
59333P6E3
985000.00000000
PA
USD
862610.86000000
0.048555978918
Long
DBT
MUN
US
N
2
2029-10-01
Fixed
2.28700000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072UAK8
244332.51370000
PA
USD
216616.66000000
0.012193254761
Long
LON
CORP
US
N
2
2027-04-15
Floating
7.18443000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-2
07386HQS3
841660.61000000
PA
USD
834340.27000000
0.046964640070
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
5.59529000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
313921X45
315389.10000000
PA
USD
318813.91000000
0.017945892186
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Floating
5.79529000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202KRU1
3032.79000000
PA
USD
2988.45000000
0.000168218511
Long
ABS-MBS
USGA
US
N
2
2025-02-20
Floating
3.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R3
12566LAB0
7389571.22000000
PA
USD
6484919.22000000
0.365033198090
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
1.95100000
N
N
N
N
N
N
Sunshine Luxembourg VII SARL
254900CHQOBZNYV4DY60
Sunshine Luxembourg VII Sarl
000000000
1551256.31720000
PA
USD
1538776.46000000
0.086617037665
Long
LON
CORP
LU
N
2
2026-10-01
Floating
8.90914000
N
N
N
N
N
N
WESTFIELD GALLERIA AT ROSEVILLE
N/A
WESTFIELD GALLERIA AT ROSEVILLE
000000000
2700000.00000000
PA
USD
2685960.00000000
0.151191485272
Long
DBT
CORP
US
N
3
2025-03-29
Fixed
3.25000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2011-GC5
36191YAE8
2950214.69000000
PA
USD
2912214.45000000
0.163927246916
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
5.15583300
N
N
N
N
N
N
Azz Inc
549300HD1X2NFLWPYC83
AZZ Inc
00247NAG7
524925.32000000
PA
USD
525471.24000000
0.029578540724
Long
LON
CORP
US
N
2
2029-05-11
Floating
9.06231500
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
3128HVR92
1032579.80000000
PA
USD
1021364.58000000
0.057492154706
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Floating
4.98443000
N
N
N
N
N
N
William Morris Endeavor Entertainment LLC
5493008R7J9HEQ30DZ33
William Morris Endeavor Entertainment LLC
96925HAF9
46478.89000000
PA
USD
46169.11000000
0.002598838521
Long
LON
CORP
US
N
2
2025-05-18
Floating
7.60000000
N
N
N
N
N
N
Reese Park CLO, Ltd.
N/A
REESE PARK CLO LTD
758465AY4
1741666.54000000
PA
USD
1718937.79000000
0.096758238231
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
5.69243000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBU8
9385000.00000000
PA
USD
8727020.56000000
0.491240078209
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
2.80000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBL5
3017000.00000000
PA
USD
2955792.52000000
0.166380236956
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
4.50000000
N
N
N
N
N
N
Naked Juice LLC
549300Y5TU1XQ1KVLJ64
Naked Juice LLC
62984CAD5
1238137.56000000
PA
USD
1097299.41000000
0.061766492273
Long
LON
CORP
US
N
2
2029-01-24
Floating
8.24833000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2006-14
23243LAD4
2598607.60000000
PA
USD
2431495.69000000
0.136867803245
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
5.32529000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003 26A
86359AS95
210608.98000000
PA
USD
200623.67000000
0.011293016518
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
5.34015000
N
N
N
N
N
N
SLM Student Loan Trust
N/A
SLM Student Loan Trust 2012-2
78446YAA1
1796223.75000000
PA
USD
1732869.86000000
0.097542468211
Long
ABS-O
CORP
US
N
2
2029-01-25
Floating
5.54529000
N
N
N
N
N
N
Peraton Corp
549300EQPCK07ZW63836
Peraton Corp
71360HAB3
818331.47000000
PA
USD
809808.55000000
0.045583760540
Long
LON
CORP
US
N
2
2028-02-01
Floating
8.48757500
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
19767QAQ8
1100000.00000000
PA
USD
1144215.74000000
0.064407391473
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
7.58000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDD9
2321000.00000000
PA
USD
2296539.86000000
0.129271200025
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.62500000
N
N
N
N
N
N
PREMIER HEALTH PARTNERS
549300KETC002I82TF46
Premier Health Partners
74052BAA5
3500000.00000000
PA
USD
3200187.41000000
0.180137115842
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.91100000
N
N
N
N
N
N
TRINITY ACQUISITION PLC
549300FJZWZN6MJNGB63
Trinity Acquisition PLC
89641UAA9
3410000.00000000
PA
USD
3398720.06000000
0.191312429781
Long
DBT
CORP
GB
N
2
2023-08-15
Fixed
4.62500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE20 Mortgage Trust
12592LBH4
5765052.19000000
PA
USD
5566834.71000000
0.313354632261
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Fixed
3.32600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CRF2
37.25000000
PA
USD
37.14000000
0.000002090593
Long
ABS-MBS
USGA
US
N
2
2026-09-20
Fixed
8.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAS8
2520000.00000000
PA
USD
2562057.67000000
0.144217078616
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
5.95000000
N
N
N
N
N
N
Charter Communications Operating LLC
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBX6
242481.17440000
PA
USD
240624.98000000
0.013544672340
Long
LON
CORP
US
N
2
2027-02-01
Floating
6.36761000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA TREASURY BOND
000000000
-244.00000000
NC
USD
-1519394.10000000
-0.08552601330
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
-32915105.90000000
USD
-1519394.10000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-20685.66000000
-0.00116438653
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-793000.00000000
EUR
841497.10000000
USD
2023-04-13
-20685.66000000
N
N
N
CIT Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust 2007-1
12559QAA0
3127054.41000000
PA
USD
3115605.33000000
0.175376028445
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
6.19529000
N
N
N
N
N
N
Clarios Global LP
549300474L1ZLXZY2P98
Clarios Global LP
000000000
507124.74630000
PA
USD
505433.49000000
0.028450624752
Long
LON
CORP
CA
N
2
2026-04-30
Floating
8.09029000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2021-3
80287EAF2
6260000.00000000
PA
USD
5908004.52000000
0.332558928045
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
1.33000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AP4
1750000.00000000
PA
USD
1556152.50000000
0.087595127174
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.00000000
N
N
N
N
N
N
AMCOR FLEXIBLES NORTH AM
PTVU09TE3QPJPL7K4E13
Amcor Flexibles North America Inc
02343JAA8
6125000.00000000
PA
USD
6010998.32000000
0.338356402913
Long
DBT
CORP
US
N
2
2025-05-17
Fixed
4.00000000
N
N
N
N
N
N
Horizon Therapeutics USA Inc
254900IS87RLPXY88S03
Horizon Therapeutics USA Inc
44055UAC9
1000000.00000000
PA
USD
1000190.00000000
0.056300247082
Long
LON
CORP
US
N
2
2026-05-22
Floating
6.81250000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CUP9
8469.30000000
PA
USD
8231.80000000
0.000463364334
Long
ABS-MBS
USGA
US
N
2
2032-03-20
Floating
2.62500000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N2
14686KAE7
5211027.14000000
PA
USD
4949069.07000000
0.278580881103
Long
ABS-O
CORP
US
N
2
2028-03-10
Fixed
1.27000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CVC7
4943.28000000
PA
USD
4885.05000000
0.000274977276
Long
ABS-MBS
USGA
US
N
2
2032-06-20
Floating
2.87500000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XVII Ltd
55818YBN0
10497840.17000000
PA
USD
10395486.23000000
0.585157263414
Long
ABS-CBDO
CORP
KY
N
2
2030-07-21
Floating
5.81529000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGR4
2680000.00000000
PA
USD
2521568.48000000
0.141937960247
Long
DBT
CORP
US
N
2
2028-07-21
Fixed
3.59300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398GE54
863508.60000000
PA
USD
862895.34000000
0.048571992170
Long
ABS-MBS
USGSE
US
N
2
2040-02-25
Floating
5.60529000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2007-CH5
46631KAA3
10974136.92000000
PA
USD
10857836.31000000
0.611182742316
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
5.00529000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAX1
4665000.00000000
PA
USD
4419237.54000000
0.248756901608
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.85000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4
59020ULQ6
486292.97000000
PA
USD
439344.35000000
0.024730496665
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.53320900
N
N
N
N
N
N
Brazos Higher Education Author
N/A
Brazos Higher Education Authority Inc
10620NCL0
4148532.94000000
PA
USD
4094966.79000000
0.230503846341
Long
ABS-MBS
CORP
US
N
2
2036-10-27
Floating
5.81771000
N
N
N
N
N
N
PENNSYLVANIA ELECTRIC CO
O1PLQWO3TX952VMBJ146
Pennsylvania Electric Co
708696BX6
500000.00000000
PA
USD
484383.40000000
0.027265724615
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.15000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR8
45660N2J3
447649.64000000
PA
USD
381873.79000000
0.021495504585
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
5.64529000
N
N
N
N
N
N
Park Place Securities Inc
N/A
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WCW3
70069FLX3
2262863.90000000
PA
USD
2141730.80000000
0.120557067381
Long
ABS-O
CORP
US
N
2
2035-08-25
Floating
5.58029000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJX1
1600000.00000000
PA
USD
1466420.86000000
0.082544173352
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AC2
730000.00000000
PA
USD
641708.60000000
0.036121489652
Long
DBT
CORP
CH
N
2
2027-01-30
Fixed
1.36400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376JDD3
2207995.06000000
PA
USD
103777.98000000
0.005841616008
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
2.03857000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2020-3
36260CAD4
4000000.00000000
PA
USD
3896384.00000000
0.219325710044
Long
ABS-O
CORP
US
N
2
2026-05-15
Fixed
2.27000000
N
N
N
N
N
N
ALLIANT ENERGY FINANCE
54930033ER6EOI5DL570
Alliant Energy Finance LLC
01882YAC0
6540000.00000000
PA
USD
5801840.34000000
0.326582993907
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.40000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan
N/A
GMACM Home Equity Loan Trust 2000-HE2
361856AN7
58460.94000000
PA
USD
54041.01000000
0.003041944246
Long
ABS-MBS
CORP
US
N
2
2030-06-25
Floating
5.05700000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAJ6
3745000.00000000
PA
USD
3772621.85000000
0.212359194057
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
5.70000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2017-2
63939RAA2
2230061.89000000
PA
USD
2166403.08000000
0.121945858971
Long
ABS-O
CORP
US
N
2
2066-12-27
Floating
5.89529000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CD9
2510000.00000000
PA
USD
2335068.03000000
0.131439933456
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.12500000
N
N
N
N
N
N
SLM Student Loan Trust
5493004WA7G168XIR344
SLM Student Loan Trust 2013-4
78448AAA1
2042399.41000000
PA
USD
1975881.40000000
0.111221478945
Long
ABS-O
CORP
US
N
2
2043-06-25
Floating
5.39529000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040651
33300000.00000000
PA
USD
31869145.62000000
1.793899931735
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
4.00000000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
Credit-Based Asset Servicing and Securitization LLC
1248MEAA7
938058.72000000
PA
USD
907738.55000000
0.051096196374
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
3.03220100
N
N
N
N
N
N
SLC Student Loan Trust
N/A
SLC Student Loan Trust 2007-1
784424AD5
1519314.05000000
PA
USD
1501314.74000000
0.084508334227
Long
ABS-O
CORP
US
N
2
2029-05-15
Floating
4.92357000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2003-5
576434FF6
1555646.76000000
PA
USD
1466394.33000000
0.082542679990
Long
ABS-MBS
CORP
US
N
2
2033-07-25
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-NC7
61744CFQ4
731609.41000000
PA
USD
689458.76000000
0.038809324769
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
5.77529000
N
N
N
N
N
N
Vericrest Opportunity Loan Tra
N/A
VOLT XCIV LLC
92873AAA6
7631074.14000000
PA
USD
7176492.58000000
0.403961552746
Long
ABS-MBS
CORP
US
N
2
2051-02-27
Variable
2.23950000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AV3
865000.00000000
PA
USD
900206.39000000
0.050672214461
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.75000000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
C-BASS 2007-CB5 Trust
12464YAA7
1980915.61000000
PA
USD
1372576.13000000
0.077261695536
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
3.39534000
N
N
N
N
N
N
Gainwell Acquisition Corp
N/A
Gainwell Acquisition Corp
59909TAC8
643417.72000000
PA
USD
616072.47000000
0.034678443377
Long
LON
CORP
US
N
2
2027-10-01
Floating
8.86409500
N
N
N
N
N
N
Element Materials Technology Group US Holding Inc
213800EGOJGGUKUGEZ30
Element Materials Technology Group US Holdings Inc
000000000
579096.98000000
PA
USD
573667.95000000
0.032291511941
Long
LON
CORP
US
N
2
2029-06-22
Floating
9.24833000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398CV47
136137.93000000
PA
USD
137666.49000000
0.007749185056
Long
ABS-MBS
USGSE
US
N
2
2039-05-15
Floating
5.58443000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAT0
381000.00000000
PA
USD
372825.87000000
0.020986201221
Long
DBT
CORP
GB
N
2
2026-08-11
Fixed
4.71600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396EFY7
613517.43000000
PA
USD
611569.02000000
0.034424946194
Long
ABS-MBS
USGSE
US
N
2
2035-04-15
Floating
4.98443000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust 2006-FF11
32028PAA3
2549785.43000000
PA
USD
2541228.48000000
0.143044612841
Long
ABS-O
CORP
US
N
2
2036-08-25
Floating
5.10529000
N
N
N
N
N
N
Spin Holdco Inc
549300QAS44U2GUXGK45
Spin Holdco Inc
84850XAK8
168521.26000000
PA
USD
142159.48000000
0.008002093451
Long
LON
CORP
US
N
2
2028-03-04
Floating
8.98571000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
085770AA3
1365000.00000000
PA
USD
1331844.15000000
0.074968910627
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
4.87500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-CIP
12434FAA5
4245000.00000000
PA
USD
4097522.76000000
0.230647720748
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
5.60500000
N
N
N
N
N
N
DENVER CITY & CNTY CO ARPT REV
N/A
City & County of Denver CO Airport System Revenue
249182PK6
895000.00000000
PA
USD
871434.62000000
0.049052664416
Long
DBT
MUN
US
N
2
2023-11-15
Fixed
0.87700000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCM5
2685000.00000000
PA
USD
2489947.66000000
0.140158038453
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
2.63600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050649
4600000.00000000
PA
USD
4606109.40000000
0.259275834901
Long
ABS-MBS
USGA
US
N
2
2053-04-15
Fixed
5.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CFR7
13360363.97000000
PA
USD
13626212.23000000
0.767013382808
Long
DBT
UST
US
N
2
2027-10-15
Fixed
1.62500000
N
N
N
N
N
N
SKYAF 2020-1 A
N/A
SKYAF 2020-1 A
000000000
6007338.89000000
PA
USD
5422796.58000000
0.305246790443
Long
ABS-MBS
CORP
US
N
3
2038-05-10
Floating
3.22900000
N
N
N
N
N
N
Mid-State Trust
N/A
Mid-State Trust
59549RAG9
280101.75000000
PA
USD
270265.81000000
0.015213141384
Long
ABS-O
CORP
US
N
2
2036-02-15
Fixed
5.82000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDC4
13235606.69000000
PA
USD
10937211.82000000
0.615650754219
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Amentum Government Services Holdings LLC
5493008CT6B5L54YSE94
Amentum Government Services Holdings LLC
57776DAB9
155853.64000000
PA
USD
153321.02000000
0.008630371538
Long
LON
CORP
US
N
2
2027-01-29
Floating
8.54833666
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2019-3
02529NAL1
7780000.00000000
PA
USD
7725001.62000000
0.434836880913
Long
ABS-O
CORP
US
N
2
2026-05-12
Fixed
5.42000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2004-3
576433KT2
48865.24000000
PA
USD
44659.79000000
0.002513879574
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
4.01901400
N
N
N
N
N
N
Scientific Games International, Inc.
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80875AAT8
471477.53000000
PA
USD
468627.45000000
0.026378829247
Long
LON
CORP
US
N
2
2029-04-13
Floating
7.96030000
N
N
N
N
N
N
Voya CLO Ltd
N/A
VOYA CLO 2017-2
92915UAG9
8001584.02000000
PA
USD
7932642.37000000
0.446524885721
Long
ABS-CBDO
CORP
KY
N
2
2030-06-07
Floating
5.77243000
N
N
N
N
N
N
KKR Industrial Portfolio Trust
N/A
KKR Industrial Portfolio Trust 2021-KDIP
48254CAA3
2556337.61000000
PA
USD
2480305.99000000
0.139615313168
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
5.49157000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAF8
2000000.00000000
PA
USD
1752857.08000000
0.098667539872
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.65000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
1160000.00000000
PA
1382732.52000000
0.077833394180
Long
DBT
CORP
CH
N
2
2029-03-01
Fixed
7.75000000
N
N
N
N
N
N
ARTERA SERVICES LLC
549300J2G34D0WX8Z443
Artera Services LLC
73939VAA2
2500000.00000000
PA
USD
2164484.73000000
0.121837875909
Long
DBT
CORP
US
N
2
2025-12-04
Fixed
9.03300000
N
N
N
N
N
N
SLM Student Loan Trust
N/A
SLM Student Loan Trust 2014-1
78448EAC9
3262205.24000000
PA
USD
3137595.20000000
0.176613828378
Long
ABS-O
CORP
US
N
2
2029-02-26
Floating
5.44529000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC6
86362VAD4
1179544.00000000
PA
USD
1154284.42000000
0.064974152960
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.01529000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2021-3
30166AAE4
11395000.00000000
PA
USD
10907296.85000000
0.613966853957
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
0.96000000
N
N
N
N
N
N
Lehman ABS Manufactured Housin
N/A
Lehman ABS Manufactured Housing Contract Trust 2001-B
52519SAK9
52249972.45000000
PA
USD
673716.37000000
0.037923192688
Long
ABS-O
CORP
US
N
3
2040-04-15
Variable
0.55000000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
Securitized Asset Backed Receivables LLC Trust 2006-CB1
81375WHH2
1427289.84000000
PA
USD
1122752.86000000
0.063199255572
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
2.85918900
N
N
N
N
N
N
Chobani LLC
549300ISVDMZ91KNTR38
Chobani LLC
17026YAH2
830344.48000000
PA
USD
825154.83000000
0.046447595767
Long
LON
CORP
US
N
2
2027-10-25
Floating
8.32679500
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394NT81
1245529.75000000
PA
USD
1254636.19000000
0.070622909143
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Floating
5.28443000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAV7
500000.00000000
PA
USD
448949.73000000
0.025271179202
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
Access Group Inc
N/A
Access Group Inc 2015-1
00435TAA9
915885.86000000
PA
USD
887702.02000000
0.049968349075
Long
ABS-MBS
CORP
US
N
2
2056-07-25
Floating
5.54529000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398RCR4
428957.72000000
PA
USD
436913.98000000
0.024593692226
Long
ABS-MBS
USGSE
US
N
2
2040-05-25
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBY1
1000000.00000000
PA
USD
959258.65000000
0.053996239725
Long
DBT
CORP
US
N
2
2025-02-16
Fixed
0.56300000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837BA0
645000.00000000
PA
USD
624173.73000000
0.035134459674
Long
DBT
CORP
NL
N
2
2026-03-28
Fixed
3.86900000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FARM2
1129055.63000000
PA
USD
1122169.69000000
0.063166429194
Long
ABS-MBS
USGSE
US
N
2
2044-05-25
Floating
4.20470000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-N1
14686GAG1
506644.11000000
PA
USD
506178.76000000
0.028492575666
Long
ABS-O
CORP
US
N
2
2028-12-11
Fixed
4.60000000
N
N
N
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust 2018-KEYS
04410CAA7
2575000.00000000
PA
USD
2496963.98000000
0.140552983963
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
5.68500000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21
61764XBK0
32514780.67000000
PA
USD
379263.78000000
0.021348588291
Long
ABS-MBS
CORP
US
N
2
2048-03-15
Variable
0.84811700
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MCCL7
294.69000000
PA
USD
293.83000000
0.000016539559
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CL1
20105000.00000000
PA
USD
17302358.38000000
0.973942002927
Long
DBT
CORP
GB
N
2
2028-09-22
Fixed
2.01300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397JE91
862628.71000000
PA
USD
854977.93000000
0.048126324707
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
Floating
4.98443000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
1720000.00000000
PA
USD
1702549.17000000
0.095835730152
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
MMI CAPITAL TRUST I
N/A
MMI Capital Trust I
553086AC3
2000000.00000000
PA
USD
2131565.26000000
0.119984853688
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
7.62500000
N
N
N
N
N
N
WILLIS NORTH AMERICA INC
5493004KVU1HWZCP0C66
Willis North America Inc
970648AL5
4345000.00000000
PA
USD
4281939.67000000
0.241028466005
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
4.65000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAA4
11067266.01000000
PA
USD
10951548.89000000
0.616457781467
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
5.66400000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468V4
5000000.00000000
PA
USD
4459986.40000000
0.251050636684
Long
DBT
CORP
US
N
2
2026-12-10
Fixed
0.98500000
N
N
N
N
N
N
NEW YORK ST DORM AUTH ST PERSO
549300C8XO7EXTX2XU71
New York State Dormitory Authority
649902S95
4040000.00000000
PA
USD
4037868.90000000
0.227289831689
Long
DBT
MUN
US
N
2
2024-03-15
Fixed
5.00000000
N
N
N
N
N
N
Jazz Financing Lux Sarl
635400WUEO2NSG5OIU34
Jazz Financing Lux Sarl
000000000
471320.50000000
PA
USD
470092.71000000
0.026461308076
Long
LON
CORP
LU
N
2
2028-05-05
Floating
8.34029000
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
549300QD5ZVFK417DY24
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-2
16678RDK0
400137.35000000
PA
USD
337266.25000000
0.018984566140
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
5.02529000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
FFMLT Trust 2005-FF8
362341QS1
1975217.33000000
PA
USD
1953382.88000000
0.109955047332
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
5.62529000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGR6
51850000.00000000
PA
USD
53034853.39000000
2.985308141308
Long
DBT
UST
US
N
1
2026-03-15
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373M4R8
1379849.36000000
PA
USD
1363567.28000000
0.076754591405
Long
ABS-MBS
USGA
US
N
2
2044-03-16
Variable
5.55600000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2021-4
30165JAE6
3110000.00000000
PA
USD
2964270.07000000
0.166857434448
Long
ABS-O
CORP
US
N
2
2027-10-15
Fixed
1.46000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022655
52000000.00000000
PA
USD
45832631.00000000
2.579898269082
Long
ABS-MBS
USGA
US
N
2
2053-05-20
Fixed
2.50000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W2
040104ND9
5295714.57000000
PA
USD
5146384.95000000
0.289687703604
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
5.58029000
N
N
N
N
N
N
AMRESCO Residential Securities
N/A
Amresco Residential Securities Corp Mortgage Loan Trust 1998-1
03215PDM8
593.59000000
PA
USD
590.08000000
0.000033215338
Long
ABS-MBS
CORP
US
N
2
2027-10-25
Variable
7.39714600
N
N
N
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta Issuer LLC
12530MAA3
8303060.10000000
PA
USD
7610479.85000000
0.428390501778
Long
ABS-O
CORP
US
N
2
2060-07-15
Fixed
1.69000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust 2004-FF5
32027NKU4
409610.37000000
PA
USD
381593.02000000
0.021479700168
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
5.84529000
N
N
N
N
N
N
MortgageIT Trust
N/A
MortgageIT Trust 2005-4
61913PAZ5
2394499.14000000
PA
USD
2345022.56000000
0.132000269491
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
5.40529000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B7YX1
7049.89000000
PA
USD
7025.58000000
0.000395466751
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Fixed
2.59200000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
64110LAY2
3207000.00000000
PA
USD
3116803.13000000
0.175443452071
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.62500000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AN9
1197000.00000000
PA
USD
1141638.75000000
0.064262333860
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
3.35000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AT5
5545000.00000000
PA
USD
4713250.00000000
0.265306731283
Long
DBT
CORP
CH
N
2
2027-02-02
Fixed
1.30500000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
2000000.00000000
PA
1990367.27000000
0.112036882078
Long
DBT
CORP
CH
N
2
2026-10-13
Fixed
2.12500000
N
N
N
N
N
N
ILLUMINA INC
SQ95QG8SR5Q56LSNF682
Illumina Inc
452327AP4
2275000.00000000
PA
USD
2332366.31000000
0.131287854848
Long
DBT
CORP
US
N
2
2027-12-13
Fixed
5.75000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CE7
2530000.00000000
PA
USD
2393641.93000000
0.134737032050
Long
DBT
CORP
GB
N
2
2025-11-07
Fixed
2.63300000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2017-SFR2 Trust
89613FAA6
9959246.92000000
PA
USD
9732903.12000000
0.547860756944
Long
ABS-O
CORP
US
N
2
2036-01-17
Fixed
2.92800000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2019-4
33845FAG1
2967000.00000000
PA
USD
2870959.84000000
0.161605043398
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
3.12000000
N
N
N
N
N
N
New Century Home Equity Loan T
N/A
New Century Home Equity Loan Trust Series 2005-D
64352VPQ8
4999999.99000000
PA
USD
4792768.99000000
0.269782819611
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.52029000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GX74
2182000.00000000
PA
USD
1842698.35000000
0.103724664717
Long
DBT
CORP
US
N
2
2036-08-15
Floating
5.34357000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H1LS3
3283741.33000000
PA
USD
3039285.83000000
0.171080037976
Long
ABS-MBS
USGSE
US
N
2
2026-06-25
Fixed
0.68100000
N
N
N
N
N
N
Deerfield Dakota Holding LLC
549300FDREJLOIGXY104
Deerfield Dakota Holding LLC
24440EAB3
441390.81000000
PA
USD
428517.65000000
0.024121066571
Long
LON
CORP
US
N
2
2027-04-09
Floating
8.50797000
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2020-3
025297AD4
1700000.00000000
PA
USD
1660438.79000000
0.093465355725
Long
ABS-O
CORP
US
N
2
2026-06-15
Fixed
2.40000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust
92922F4M7
894021.34000000
PA
USD
820398.33000000
0.046179854512
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
5.42529000
N
N
N
N
N
N
Corporation Service Company
N/A
WMB Holdings Inc
22006VAL3
478750.00000000
PA
USD
478527.38000000
0.026936091872
Long
LON
CORP
US
N
2
2029-11-02
Floating
8.15702000
N
N
N
N
N
N
Organon & Co
549300AMCKY57OK2CO56
Organon & Co
68621XAE3
910474.49000000
PA
USD
911230.18000000
0.051292738662
Long
LON
CORP
US
N
2
2028-06-02
Floating
8.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAF3
1621000.00000000
PA
USD
1534223.20000000
0.086360736700
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.54000000
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VBB5
498750.00000000
PA
USD
461657.96000000
0.025986519776
Long
LON
CORP
US
N
2
2028-08-19
Floating
8.68023000
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
Credit Suisse First Boston Mortgage Securities Corp
22541Q4Y5
266554.71000000
PA
USD
249829.23000000
0.014062775450
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
4.07662200
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2004-10
07386HME8
1543080.49000000
PA
USD
1529873.99000000
0.086115921617
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
5.74529000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Ultra 10-Year US Treasury Note
000000000
-881.00000000
NC
USD
-3061275.64000000
-0.17231783453
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-06-21
-103663619.39000000
USD
-3061275.64000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAA1
7760000.00000000
PA
USD
7756140.56000000
0.436589677897
Long
DBT
CORP
US
N
2
2024-04-05
Fixed
0.73100000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAP8
2175000.00000000
PA
USD
1931663.98000000
0.108732500179
Long
DBT
CORP
GB
N
2
2027-05-11
Fixed
1.62700000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2006-NC1
46626LJR2
4928163.00000000
PA
USD
4701946.03000000
0.264670435876
Long
ABS-O
CORP
US
N
2
2036-04-25
Floating
5.32529000
N
N
N
N
N
N
GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
SWOP 10 YEAR CAP
000000000
300000.00000000
NC
USD
1476.00000000
0.000083083378
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
Call
Purchased
GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2023-12-24
0.00000000
USD
0.00000000
USD
0.00000000
USD
300000.00000000
USD
313.00000000
USD
2023-12-24
XXXX
-937524.00000000
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust
92922FTX6
813375.31000000
PA
USD
768059.41000000
0.043233720150
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Fixed
5.50000000
N
N
N
N
N
N
NEW YORK CITY NY TRANSITIONAL
N/A
New York City Transitional Finance Authority Future Tax Secured Revenue
64971WMF4
1110000.00000000
PA
USD
1078625.18000000
0.060715328231
Long
DBT
MUN
US
N
2
2025-08-01
Fixed
3.19000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2V4
32200000.00000000
PA
USD
30416381.79000000
1.712124506484
Long
DBT
CORP
US
N
2
2028-03-24
Fixed
3.52600000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
46639YAS6
10073365.83000000
PA
USD
52152.84000000
0.002935660002
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Variable
1.26288900
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AC2
5375000.00000000
PA
USD
4877812.50000000
0.274569880696
Long
DBT
CORP
CH
N
2
2028-01-09
Fixed
4.28200000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBW5
4244000.00000000
PA
USD
3789294.49000000
0.213297689495
Long
DBT
CORP
US
N
2
2027-02-04
Fixed
1.04000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MT5
16523000.00000000
PA
USD
16063542.30000000
0.904209600690
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
0.77600000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
9715000.00000000
PA
USD
9028732.89000000
0.508223330118
Long
DBT
CORP
CH
N
2
2025-09-11
Fixed
2.59300000
N
N
N
N
N
N
American Airlines Inc
N/A
AAdvantage Loyalty IP Ltd
02376CBJ3
113328.14000000
PA
USD
115248.49000000
0.006487285878
Long
LON
CORP
KY
N
2
2028-04-20
Floating
9.55771000
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2019-4
02529RAG3
431830.17000000
PA
USD
428356.73000000
0.024112008456
Long
ABS-O
CORP
US
N
2
2025-12-12
Fixed
2.97000000
N
N
N
N
N
N
Ameriquest Mortgage Securities
N/A
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9
03072SQ32
7911547.04000000
PA
USD
7749725.84000000
0.436228596182
Long
ABS-O
CORP
US
N
2
2035-11-25
Floating
5.55029000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
Americredit Automobile Receivables Trust 2019-1
03066GAG4
4610000.00000000
PA
USD
4555428.66000000
0.256423038748
Long
ABS-O
CORP
US
N
2
2025-03-18
Fixed
3.62000000
N
N
N
N
N
N
Irvine Core Office Trust
N/A
Irvine Core Office Trust 2013-IRV
46361TAA0
296534.23000000
PA
USD
296050.40000000
0.016664544405
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
2.06800000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
000000000
2595268.07000000
PA
USD
2582291.73000000
0.145356044790
Long
LON
CORP
US
N
2
2027-08-16
Floating
0.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B17 Mortgage Trust
08162MAV0
7590000.00000000
PA
USD
6893971.95000000
0.388058593033
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.21080000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2021-2 Ltd
69702DAA5
1111215.08000000
PA
USD
1096247.01000000
0.061707253148
Long
ABS-CBDO
CORP
KY
N
2
2029-05-20
Floating
5.71529000
N
N
N
N
N
N
EDUCATION LOAN ASSET-BACKED TR
5493000CKEJUMJ3IL355
Education Loan Asset-Backed Trust I
28140DAD5
3698357.31000000
PA
USD
3656087.67000000
0.205799537265
Long
ABS-MBS
CORP
US
N
2
2032-04-26
Floating
5.64529000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31298EX91
2801.71000000
PA
USD
2900.65000000
0.000163276289
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
6.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AF5
2605000.00000000
PA
USD
2321383.88000000
0.130669658782
Long
DBT
CORP
CH
N
2
2029-01-12
Fixed
3.86900000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2019-2
80286GAG6
2269561.38000000
PA
USD
2257562.03000000
0.127077155434
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
3.22000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAR9
3425000.00000000
PA
USD
3058807.29000000
0.172178892216
Long
DBT
CORP
AU
N
2
2027-01-12
Fixed
1.34000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H5FY8
12069126.40000000
PA
USD
11095175.06000000
0.624542434242
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Fixed
1.67900000
N
N
N
N
N
N
CAMPBELL CA UNION SCH DIST
N/A
Campbell Union School District
134141ZE3
3995000.00000000
PA
USD
4092185.57000000
0.230347292713
Long
DBT
MUN
US
N
2
2027-08-01
Fixed
5.40600000
N
N
N
N
N
N
One Lincoln Street Commercial
N/A
One Lincoln Street Commercial Mortgage
68241FAA0
4915887.17000000
PA
USD
4903897.32000000
0.276038183529
Long
ABS-MBS
CORP
US
N
2
2030-10-15
Variable
5.72400000
N
N
N
N
N
N
PHH Alternative Mortgage Trust
N/A
PHH Alternative Mortgage Trust Series 2007-3
69337MAC4
4885842.47000000
PA
USD
4554833.48000000
0.256389536332
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.44529000
N
N
N
N
N
N
Ameriquest Mortgage Securities
N/A
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1
03072SYA7
307745.08000000
PA
USD
307493.41000000
0.017308666312
Long
ABS-O
CORP
US
N
2
2035-03-25
Floating
5.64029000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJD2
7263000.00000000
PA
USD
6654344.62000000
0.374570077965
Long
DBT
CORP
US
N
2
2026-06-19
Fixed
1.31900000
N
N
N
N
N
N
Element Materials Technology Group US Holding Inc
213800EGOJGGUKUGEZ30
Element Materials Technology Group US Holdings Inc
000000000
267275.53000000
PA
USD
264769.82000000
0.014903774568
Long
LON
CORP
US
N
2
2029-06-22
Floating
9.24833000
N
N
N
N
N
N
KFC Holding Co
549300G2LG4YUB3MM115
KFC Holding Co
72584DAF1
196759.74000000
PA
USD
196186.19000000
0.011043232757
Long
LON
CORP
US
N
2
2028-03-15
Floating
6.51143000
N
N
N
N
N
N
Bank
N/A
BANK 2018-BNK14
06035RAP1
4387787.31000000
PA
USD
4296381.32000000
0.241841380015
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
4.12800000
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc
01626PAH9
1425000.00000000
PA
USD
1344035.06000000
0.075655131490
Long
DBT
CORP
CA
N
2
2027-07-26
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397GQR4
334501.66000000
PA
USD
331534.91000000
0.018661951578
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
Floating
4.98443000
N
N
N
N
N
N
HOUSTON GALLERIA MALL TRUST
N/A
Houston Galleria Mall Trust 2015-HGLR
44217NAA4
3750000.00000000
PA
USD
3479404.13000000
0.195854099940
Long
ABS-MBS
CORP
US
N
2
2037-03-05
Fixed
3.08656300
N
N
N
N
N
N
Accredited Mortgage Loan Trust
N/A
Accredited Mortgage Loan Trust 2007-1
00438QAD6
1292460.04000000
PA
USD
1280028.51000000
0.072052231462
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.06529000
N
N
N
N
N
N
Naked Juice LLC
549300Y5TU1XQ1KVLJ64
Naked Juice LLC
62984CAB9
38557.61000000
PA
USD
29560.77000000
0.001663962502
Long
LON
CORP
US
N
2
2030-01-24
Floating
10.89833000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2019-70P
36257MAA3
10000000.00000000
PA
USD
9486239.00000000
0.533976144118
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
5.68400000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AH8
6690000.00000000
PA
USD
6307321.97000000
0.355036328439
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EG5M2
544675.71000000
PA
USD
576943.51000000
0.032475891746
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NEQ3
2744915.20000000
PA
USD
327916.35000000
0.018458264457
Long
ABS-MBS
USGSE
US
N
2
2040-09-25
Floating
1.75471000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAQ1
6425000.00000000
PA
USD
6007665.99000000
0.338168827550
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.90000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12
61762XAV9
30762479.22000000
PA
USD
20364.45000000
0.001146305768
Long
ABS-MBS
CORP
US
N
2
2046-10-15
Variable
0.65573000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2005-HE4
362341KE8
1656586.78000000
PA
USD
1608505.01000000
0.090542026511
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
5.62529000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust
939336V91
287934.44000000
PA
USD
257065.85000000
0.014470121548
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
4.09119500
N
N
N
N
N
N
Indymac Manufactured Housing C
N/A
Indymac Manufactured Housing Con Pass Thr Cert Series 1998-1
22540AFG8
186034.82000000
PA
USD
187982.51000000
0.010581451284
Long
ABS-O
CORP
US
N
2
2028-09-25
Fixed
6.49000000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2006-NC2 Trust
75156TAC4
409637.41000000
PA
USD
406990.29000000
0.022909301120
Long
ABS-O
CORP
US
N
2
2036-02-25
Floating
5.42529000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C12
90353DAV7
9002661.24000000
PA
USD
8958749.86000000
0.504284016707
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
4.15190000
N
N
N
N
N
N
DirectV Financing LLC
N/A
Directv Financing LLC
25460HAB8
985137.52000000
PA
USD
950322.76000000
0.053493242480
Long
LON
CORP
US
N
2
2027-08-02
Floating
9.84029000
N
N
N
N
N
N
MIAMI-DADE CNTY FL AVIATION RE
N/A
County of Miami-Dade FL Aviation Revenue
59333P6D5
445000.00000000
PA
USD
394802.79000000
0.022223272204
Long
DBT
MUN
US
N
2
2028-10-01
Fixed
2.13700000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022659
49225000.00000000
PA
USD
42483513.68000000
2.391377955316
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
2.50000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAV6
4835000.00000000
PA
USD
4481216.76000000
0.252245684139
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAP6
1350000.00000000
PA
USD
1127930.28000000
0.063490690224
Long
DBT
CORP
KY
N
2
2028-02-21
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWC27
12746564.84000000
PA
USD
11001755.14000000
0.619283868791
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Nortonlifelock Inc
YF6ZV0M6AU4FY94MK914
Gen Digital Inc
66877AAD0
613021.85000000
PA
USD
607734.54000000
0.034209105032
Long
LON
CORP
US
N
2
2029-09-12
Floating
6.71761000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2007-CH4
46630CAF1
14750000.00000000
PA
USD
14086838.53000000
0.792941830906
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.07529000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAR2
5905000.00000000
PA
USD
5002019.09000000
0.281561414011
Long
DBT
CORP
KY
N
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
Terwin Mortgage Trust
N/A
Terwin Mortgage Trust 2004-7HE
881561FV1
71332.53000000
PA
USD
61799.49000000
0.003478665610
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
5.94529000
N
N
N
N
N
N
AON CORP
LTS3U8DGK38SETRUWX71
Aon Corp
037389BB8
2442000.00000000
PA
USD
2406774.61000000
0.135476264725
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.50000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAZ8
2140000.00000000
PA
USD
2079747.53000000
0.117068056877
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.22200000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AL3
2179000.00000000
PA
USD
2076151.20000000
0.116865621073
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.30000000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2021-1 LLC
693577AA6
4705534.05000000
PA
USD
4446067.61000000
0.250267154230
Long
ABS-MBS
CORP
US
N
2
2026-01-25
Variable
2.11500000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2020-4
80286WAG1
3835000.00000000
PA
USD
3693318.03000000
0.207895217552
Long
ABS-O
CORP
US
N
2
2027-01-15
Fixed
1.48000000
N
N
N
N
N
N
Specialty Underwriting & Resid
N/A
Specialty Underwriting & Residential Finance Trust Series 2005-BC2
84751PFW4
1375180.76000000
PA
USD
1337131.06000000
0.075266508423
Long
ABS-O
CORP
US
N
2
2035-12-25
Floating
5.82029000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURA
Z7LVXXWM8HZPKF5T2355
Nationwide Mutual Insurance Co
638671AJ6
5550000.00000000
PA
USD
5528714.81000000
0.311208880165
Long
DBT
CORP
US
N
2
2024-12-15
Floating
7.15629000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A1
46630GAA3
194916.69000000
PA
USD
187976.07000000
0.010581088779
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.18337000
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DB8
8348000.00000000
PA
USD
8295947.21000000
0.466975152429
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.70000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2006-HE2
362334LJ1
4084797.87000000
PA
USD
3938286.38000000
0.221684376245
Long
ABS-MBS
CORP
US
N
2
2046-03-25
Floating
5.32529000
N
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2004-3
07384MR20
201551.07000000
PA
USD
187145.87000000
0.010534357193
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Variable
3.88255100
N
N
N
N
N
N
Nortonlifelock Inc
YF6ZV0M6AU4FY94MK914
Gen Digital Inc
66877AAC2
599942.80000000
PA
USD
587943.94000000
0.033095101023
Long
LON
CORP
US
N
2
2027-09-10
Floating
0.00000000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2005-EFC1 Trust
76112BRQ5
2464958.46000000
PA
USD
2428033.14000000
0.136672897856
Long
ABS-O
CORP
US
N
2
2035-05-25
Floating
4.69422000
N
N
N
N
N
N
Nationstar Home Equity Loan Tr
N/A
Nationstar Home Equity Loan Trust 2007-B
63860LAA8
2917842.30000000
PA
USD
2895997.29000000
0.163014390243
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.06529000
N
N
N
N
N
N
SMRT
N/A
SMRT 2022-MINI
78457JAA0
2885000.00000000
PA
USD
2792950.61000000
0.157213938784
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
5.82800000
N
N
N
N
N
N
DNB BANK ASA
549300GKFG0RYRRQ1414
DNB Bank ASA
25601B2A2
8340000.00000000
PA
USD
7789156.18000000
0.438448112358
Long
DBT
CORP
NO
N
2
2025-09-30
Fixed
0.85600000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust 2005-E
35729PNC0
13152103.35000000
PA
USD
12182568.43000000
0.685751319960
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.50529000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC
466330AA5
4932361.56000000
PA
USD
4790244.49000000
0.269640716637
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
5.48400000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
9265000.00000000
PA
USD
8625160.03000000
0.485506394602
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJS9
1549000.00000000
PA
USD
1389440.73000000
0.078210996316
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
1.73400000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA6
35564KH36
1982548.67000000
PA
USD
1992444.56000000
0.112153811802
Long
ABS-MBS
CORP
US
N
2
2042-09-25
Floating
6.70979000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2021-3 LLC
69357PAA6
10589525.17000000
PA
USD
9879149.11000000
0.556092878213
Long
ABS-MBS
CORP
US
N
2
2026-04-25
Variable
1.86700000
N
N
N
N
N
N
II-VI Incorporated
549300O5C25A0MMHHU33
Coherent Corp
45173JAQ7
143297.24000000
PA
USD
142222.51000000
0.008005641381
Long
LON
CORP
US
N
2
2029-07-02
Floating
7.52818000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2005-QA3 Trust
76110H2H1
901772.04000000
PA
USD
457650.57000000
0.025760945588
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Variable
3.60883600
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A1
46630GAS4
75750.64000000
PA
USD
72443.31000000
0.004077801470
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.99901000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2004-13
576433UF1
319105.73000000
PA
USD
295667.92000000
0.016643014777
Long
ABS-MBS
CORP
US
N
2
2034-11-21
Variable
3.86578800
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F020653
55600000.00000000
PA
USD
46010052.51000000
2.589885246407
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
2.00000000
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
Cox Communications Inc
224044AG2
900000.00000000
PA
USD
939203.99000000
0.052867371897
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
7.62500000
N
N
N
N
N
N
Bausch & Lomb Corporation
549300NY6OZM39SO6475
Bausch + Lomb Corp
000000000
41921.42000000
PA
USD
40815.11000000
0.002297464259
Long
LON
CORP
CA
N
2
2027-05-10
Floating
8.35713000
N
N
N
N
N
N
Stack Infrastructure Issuer LL
N/A
Stack Infrastructure Issuer LLC
85236KAC6
5000000.00000000
PA
USD
4755825.10000000
0.267703264592
Long
ABS-O
CORP
US
N
2
2044-10-25
Fixed
3.08000000
N
N
N
N
N
N
FEDERAL REALTY INVS TRST
549300FHEI1SLVZ0RB48
Federal Realty Investment Trust
313747AF4
1850000.00000000
PA
USD
1954209.06000000
0.110001552634
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
7.48000000
N
N
N
N
N
N
Amentum Government Services Holdings LLC
5493008CT6B5L54YSE94
Amentum Government Services Holdings LLC
57776DAE3
1485000.00000000
PA
USD
1455300.00000000
0.081918185124
Long
LON
CORP
US
N
2
2029-02-15
Floating
8.87453666
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398FDH1
1513252.00000000
PA
USD
1548282.50000000
0.087152128399
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Floating
6.04529000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300PX4QZK7CUM8D08
Wells Fargo Commercial Mortgage Trust 2014-LC16
94988XAT3
6547456.68000000
PA
USD
6404658.29000000
0.360515346291
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
3.54800000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2020-4 LLC
69359XAA7
6313207.90000000
PA
USD
6170460.59000000
0.347332462663
Long
ABS-O
CORP
US
N
2
2025-10-25
Variable
2.95100000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C11
90276XAR6
159495.54000000
PA
USD
158785.59000000
0.008937969735
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Fixed
3.99270000
N
N
N
N
N
N
HOMER CITY HOLDINGS LLC (PLACEHOLDER)
N/A
HOMER CITY HOLDINGS LLC (PLACEHOLDER)
000000000
106501.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
SLM Student Loan Trust
549300EQOYJZL2D96G46
SLM Student Loan Trust 2008-4
78445AAD8
2754206.14000000
PA
USD
2735661.16000000
0.153989141305
Long
ABS-O
CORP
US
N
2
2022-07-25
Floating
6.46771000
N
N
N
N
N
N
RealPage Inc
5493001RSFZX4122A604
RealPage Inc
75605VAD4
608183.21000000
PA
USD
591357.82000000
0.033287266799
Long
LON
CORP
US
N
2
2028-04-24
Floating
7.84029000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072UAM4
240874.62380000
PA
USD
223712.31000000
0.012592665721
Long
LON
CORP
US
N
2
2028-01-17
Floating
9.06250000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBR6
879000.00000000
PA
USD
788066.18000000
0.044359892272
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
2.18200000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030652
43025000.00000000
PA
USD
38633444.70000000
2.174659297001
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
3.00000000
N
N
N
N
N
N
Open Text Corporation
549300HP7ONDQODZJV16
Open Text Corp
000000000
102903.71000000
PA
USD
102764.28000000
0.005784555289
Long
LON
CORP
CA
N
2
2030-01-31
Floating
8.21761000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AR4C7
295883.91000000
PA
USD
295883.91000000
0.016655172757
Long
ABS-MBS
USGSE
US
N
2
2041-02-15
Floating
5.03443000
N
N
N
N
N
N
Higher Education Funding
635400EWI7RHQRLFJW85
Higher Education Funding I
429827AY4
35926.62000000
PA
USD
35904.48000000
0.002021047096
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
6.00786000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR7
362341WZ8
90715.14000000
PA
USD
82266.42000000
0.004630739932
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
3.91219100
N
N
N
N
N
N
Opteum Mortgage Acceptance Cor
N/A
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5
68383NCU5
3008235.24000000
PA
USD
2784128.33000000
0.156717336595
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
5.40529000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
JGWPT XXX LLC
46617LAA9
2846725.76000000
PA
USD
2650962.41000000
0.149221486607
Long
ABS-O
CORP
US
N
2
2073-01-17
Fixed
4.08000000
N
N
N
N
N
N
Madison Park Funding Ltd
254900END3IQSN7CTN87
Madison Park Funding XIX Ltd
55819QAY3
5191686.96000000
PA
USD
5141223.76000000
0.289397182531
Long
ABS-CBDO
CORP
KY
N
2
2028-01-22
Floating
5.73529000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-5
45254NPU5
963998.02000000
PA
USD
859469.69000000
0.048379163866
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
5.48529000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJG5
15840000.00000000
PA
USD
14800865.11000000
0.833134067258
Long
DBT
CORP
US
N
2
2025-09-25
Fixed
0.98100000
N
N
N
N
N
N
SLM Student Loan Trust
549300JQFJDGC1WO7674
SLM Student Loan Trust 2008-6
78445CAD4
1994473.78000000
PA
USD
1942782.30000000
0.109358345432
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
5.91771000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
6159.00000000
NC
USD
13397160.53000000
0.754120165215
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
1258147642.51000000
USD
13397160.53000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-53869.55000000
-0.00303229283
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-8587000.00000000
EUR
9282275.88000000
USD
2023-04-13
-53869.55000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-DC2 Mortgage Trust
12594CBD1
139757.48000000
PA
USD
135383.97000000
0.007620703028
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
3.55000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE15 Mortgage Trust
12591RAY6
1258674.37000000
PA
USD
1250031.72000000
0.070363725589
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Fixed
3.59500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K6NM8
1112.30000000
PA
USD
1124.12000000
0.000063276211
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032658
3975000.00000000
PA
USD
3694924.56000000
0.207985648406
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
3.50000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2014-5
64033NAA4
4441459.84000000
PA
USD
4284192.81000000
0.241155294247
Long
ABS-O
CORP
US
N
2
2046-07-25
Floating
5.39529000
N
N
N
N
N
N
CDK Global Inc
N/A
Central Parent Inc
15477BAB3
346965.34000000
PA
USD
346432.75000000
0.019500544319
Long
LON
CORP
US
N
2
2029-07-06
Floating
8.98928000
N
N
N
N
N
N
Canyon Capital CLO Ltd
N/A
Canyon Capital CLO 2021-2 Ltd
13877EAA0
450000.00000000
PA
USD
449131.50000000
0.025281410954
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
5.59243000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VINO
05608KAA8
5354000.00000000
PA
USD
5143265.86000000
0.289512131425
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
5.33633000
N
N
N
N
N
N
One New York Plaza Trust 2020-
N/A
One New York Plaza Trust 2020-1NYP
68249DAA7
3240000.00000000
PA
USD
3109426.38000000
0.175028218118
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
5.63400000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2007-7
12669VAA6
7873211.50000000
PA
USD
7505106.19000000
0.422459065656
Long
ABS-O
CORP
US
N
2
2047-10-25
Floating
5.04529000
N
N
N
N
N
N
PHYSICIANS REALTY LP
549300P6Q1UMT0X60U20
Physicians Realty LP
71951QAA0
3995000.00000000
PA
USD
3861884.60000000
0.217383754271
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
4.30000000
N
N
N
N
N
N
World Omni Auto Receivables Tr
N/A
World Omni Auto Receivables Trust 2021-D
98163KAE2
5325000.00000000
PA
USD
4804385.93000000
0.270436731960
Long
ABS-O
CORP
US
N
2
2027-11-15
Fixed
1.52000000
N
N
N
N
N
N
Merrill Lynch First Franklin M
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3
59024VAG4
7430565.70000000
PA
USD
6754311.40000000
0.380197163232
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.20529000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAA1
1106000.00000000
PA
USD
1071357.23000000
0.060306218581
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.12500000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2015-2
63939GAC2
3512180.90000000
PA
USD
3401682.98000000
0.191479211221
Long
ABS-O
CORP
US
N
2
2040-11-26
Floating
5.41529000
N
N
N
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAE0
1035000.00000000
PA
USD
1028912.47000000
0.057917022053
Long
DBT
CORP
US
N
2
2028-03-20
Fixed
5.15200000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2020-3
03066PAF6
2587000.00000000
PA
USD
2378278.77000000
0.133872246655
Long
ABS-O
CORP
US
N
2
2026-09-18
Fixed
1.49000000
N
N
N
N
N
N
LHOME Mortgage Trust
N/A
LHOME Mortgage Trust 2021-RTL1
501894AA7
3910000.00000000
PA
USD
3822839.84000000
0.215185942220
Long
ABS-MBS
CORP
US
N
2
2026-02-25
Variable
2.09000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AP6
4215000.00000000
PA
USD
3575582.65000000
0.201267945750
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.83200000
N
N
N
N
N
N
BALTIMORE MD
N/A
City of Baltimore MD
059189NR7
1525000.00000000
PA
USD
1534390.80000000
0.086370170829
Long
DBT
MUN
US
N
2
2025-10-15
Fixed
5.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
6325000.00000000
PA
USD
6083910.48000000
0.342460595740
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2021-10 LLC
69360HAA9
10455877.95000000
PA
USD
9691435.12000000
0.545526541799
Long
ABS-MBS
CORP
US
N
2
2026-10-25
Variable
2.48700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WVQ6
148612.98000000
PA
USD
147385.47000000
0.008296262087
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
5.31529000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300A8L0VCZ9626397
Palmer Square CLO 2018-1 Ltd
69703PAA7
2075000.00000000
PA
USD
2045161.50000000
0.115121224741
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
5.82471000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKJ7
4275000.00000000
PA
USD
3897025.92000000
0.219361843433
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55100000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAG1
2205000.00000000
PA
USD
2136557.24000000
0.120265850006
Long
DBT
CORP
N/A
N
2
2028-02-01
Fixed
5.12500000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2022-I1
12568TAC9
5590862.36000000
PA
USD
5467435.69000000
0.307759505949
Long
DBT
CORP
US
N
2
2067-02-25
Variable
4.35000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378MVN2
445835.59000000
PA
USD
427912.46000000
0.024087000697
Long
ABS-MBS
USGA
US
N
2
2026-12-20
Fixed
1.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, NA - CACL
N/A
JPMorgan Chase Bank NA - CACLN
46591HBS8
662161.94000000
PA
USD
641172.20000000
0.036091295936
Long
ABS-O
CORP
US
N
2
2028-09-25
Fixed
1.02400000
N
N
N
N
N
N
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
CDS W BERRY
000000000
1.00000000
NC
USD
84631.63000000
0.004763876543
N/A
DCR
CORP
US
N
2
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
BERRY GLOBAL INC
Berry Global Inc
Y
Default Event
2023-12-20
75877.24000000
USD
0.00000000
USD
3425000.00000000
USD
8754.39000000
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2022-3 LLC
693589AA1
10499906.89000000
PA
USD
10358661.09000000
0.583084392778
Long
ABS-MBS
CORP
US
N
2
2027-06-25
Variable
5.56000000
N
N
N
N
N
N
Intelsat Jackson Holdings SA
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
000000000
719578.91000000
PA
USD
713581.22000000
0.040167167237
Long
LON
CORP
LU
N
2
2029-02-01
Floating
9.08165000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R03
20753XAA2
5018826.69000000
PA
USD
5009289.61000000
0.281970668325
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
6.65979000
N
N
N
N
N
N
Acrisure LLC
549300R0Z1Q47XRTGO22
Acrisure LLC
00488PAL9
459453.85000000
PA
USD
445860.91000000
0.025097310908
Long
LON
CORP
US
N
2
2027-02-15
Floating
8.23757500
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAG8
14400000.00000000
PA
USD
13571793.65000000
0.763950185316
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2005-1
07324SBE1
93478.98000000
PA
USD
88868.36000000
0.005002360177
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
5.29529000
N
N
N
N
N
N
Grifols Worldwide Operations USA Inc
N/A
Grifols Worldwide Operations USA Inc
39843PAG8
231388.94990000
PA
USD
227099.00000000
0.012783300985
Long
LON
CORP
US
N
2
2027-11-15
Floating
6.73757500
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2006-AMC1
17309PAS5
6698864.52000000
PA
USD
6408449.99000000
0.360728779386
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.13529000
N
N
N
N
N
N
MortgageIT Trust
N/A
MortgageIT Trust 2005-3
61915RAK2
98259.94000000
PA
USD
90453.01000000
0.005091559416
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
5.44529000
N
N
N
N
N
N
American Money Management Corp
549300R4YQWFRASHVE93
AMMC CLO XIII Ltd
00176DAQ2
3824253.90000000
PA
USD
3797675.34000000
0.213769443787
Long
ABS-CBDO
CORP
KY
N
2
2029-07-24
Floating
5.86557000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2013-1
64033CAA8
1343396.96000000
PA
USD
1309896.27000000
0.073733474293
Long
ABS-O
CORP
US
N
2
2041-06-25
Floating
5.44529000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BW1
6020000.00000000
PA
USD
6055646.59000000
0.340869634032
Long
DBT
CORP
US
N
2
2026-03-13
Fixed
5.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398CKM9
211696.50000000
PA
USD
214418.06000000
0.012069496552
Long
ABS-MBS
USGSE
US
N
2
2038-06-15
Floating
5.62443000
N
N
N
N
N
N
Perrigo Investments, LLC
549300POZGC78VHAAJ73
Perrigo Investments LLC
000000000
496250.00000000
PA
USD
493768.75000000
0.027794021762
Long
LON
CORP
IE
N
2
2029-04-20
Floating
7.06231500
N
N
N
N
N
N
Setanta Aircraft Leasing DAC
N/A
Setanta Aircraft Leasing DAC
000000000
515000.00000000
PA
USD
515579.38000000
0.029021732355
Long
LON
CORP
IE
N
2
2028-11-05
Floating
7.15914000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-BIOD Mortgage Trust
23306GAA5
9082801.15000000
PA
USD
8931092.03000000
0.502727169845
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
5.48701000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Corp 2005-FRE1
46626LCC2
4216179.03000000
PA
USD
4084979.97000000
0.229941692717
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
3.20354000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAL9
285000.00000000
PA
USD
253691.33000000
0.014280171329
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.87500000
N
N
N
N
N
N
Sophia LP
549300RP8NIJ7FY7OS79
Sophia LP
83578BAN3
584500.36000000
PA
USD
578658.28000000
0.032572415381
Long
LON
CORP
US
N
2
2027-10-07
Floating
8.65914000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGP0
4389000.00000000
PA
USD
4469236.41000000
0.251571315604
Long
DBT
UST
US
N
1
2028-02-29
Fixed
4.00000000
N
N
N
N
N
N
LIFE STORAGE LP
X0MIGH67XZCB7HL1A534
Life Storage LP
53227JAA2
6745000.00000000
PA
USD
6387715.39000000
0.359561638040
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.87500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2018-GS10
36250SAA7
361077.28000000
PA
USD
359963.50000000
0.020262184175
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Fixed
3.19900000
N
N
N
N
N
N
FARMERS INS EXCH
549300UWG2TLX1GZVT44
Farmers Insurance Exchange
309601AA0
5000000.00000000
PA
USD
5121608.45000000
0.288293045517
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
8.62500000
N
N
N
N
N
N
Genesee & Wyoming Inc
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc
55316HAB1
160828.47000000
PA
USD
160024.33000000
0.009007697855
Long
LON
CORP
US
N
2
2026-12-30
Floating
6.86409500
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAG0
4640000.00000000
PA
USD
4488621.95000000
0.252662518967
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
4.62500000
N
N
N
N
N
N
MASTR Seasoned Securitization
N/A
MASTR Seasoned Securitization Trust 2004-1
55265WBD4
86315.44000000
PA
USD
81733.24000000
0.004600727468
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Variable
4.21966200
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225DCE2
134819.20000000
PA
USD
132921.54000000
0.007482093946
Long
ABS-MBS
USGA
US
N
2
2034-07-20
Floating
2.62500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052649
39875000.00000000
PA
USD
40280758.83000000
2.267385871494
Long
ABS-MBS
USGSE
US
N
2
2053-04-15
Fixed
5.50000000
N
N
N
N
N
N
Nyack Park CLO, Ltd.
N/A
NYACK Park CLO Ltd
67080PAA4
1562500.00000000
PA
USD
1544635.94000000
0.086946865170
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
5.45771000
N
N
N
N
N
N
SOUTHERN CO GAS CAPITAL
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
001192AL7
1950000.00000000
PA
USD
1899003.19000000
0.106894038940
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.87500000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35908MAE0
12000.00000000
PA
USD
11759.87000000
0.000661957814
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
8.62500000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2020-SFR3 Trust
74333AAL4
6980000.00000000
PA
USD
6277285.71000000
0.353345600817
Long
ABS-O
CORP
US
N
2
2027-10-17
Fixed
2.79600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CG56
113.94000000
PA
USD
114.06000000
0.000006420386
Long
ABS-MBS
USGA
US
N
2
2025-06-20
Fixed
8.50000000
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
03880KAA2
5000000.00000000
PA
USD
4904034.50000000
0.276045905330
Long
ABS-CBDO
CORP
KY
N
2
2034-08-15
Floating
5.75443000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust
92922FD47
118587.55000000
PA
USD
112934.49000000
0.006357031855
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
5.50529000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2006-OP1
00442PAF7
6535074.58000000
PA
USD
5785270.51000000
0.325650285599
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.32529000
N
N
N
N
N
N
Safe Fleet Holdings LLC
549300ZCMGQ2DH2RZB13
Safe Fleet Holdings LLC
000000000
230238.47000000
PA
USD
226112.60000000
0.012727776970
Long
LON
CORP
US
N
2
2029-02-23
Floating
8.60918000
N
N
N
N
N
N
QWEST CORP
549300R2L4N683OO1509
Qwest Corp
912920AK1
4665000.00000000
PA
USD
4338450.00000000
0.244209407168
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
7.25000000
N
N
N
N
N
N
J&J Ventures Gaming LLC
549300BYPH8FLKS5ZS70
J&J Ventures Gaming LLC
46604BAB4
55601.84000000
PA
USD
54014.96000000
0.003040477903
Long
LON
CORP
US
N
2
2028-04-26
Floating
9.15914000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419ACV7
459200.21000000
PA
USD
479416.94000000
0.026986164806
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
6.00000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JBA5
5880000.00000000
PA
USD
5482772.07000000
0.308622783910
Long
DBT
CORP
AU
N
2
2025-10-14
Fixed
1.20100000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3J8
2935000.00000000
PA
USD
2850234.41000000
0.160438418227
Long
DBT
CORP
US
N
2
2024-03-08
Fixed
2.51400000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHD4
5370000.00000000
PA
USD
4996511.40000000
0.281251388608
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
SES SA
5493008JPA4HYMH1HX51
SES SA
78413HAA7
4820000.00000000
PA
USD
4820000.00000000
0.271315640967
Long
DBT
CORP
LU
N
2
2023-04-04
Fixed
3.60000000
N
N
N
N
N
N
Mid-State Trust
N/A
Mid-State Capital Corp 2006-1 Trust
59548PAA7
2682142.81000000
PA
USD
2618272.14000000
0.147381365952
Long
ABS-O
CORP
US
N
2
2040-10-15
Fixed
5.78700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31392KC38
2815.55000000
PA
USD
2844.15000000
0.000160095929
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Floating
5.68443000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2007-A1
161630AW8
2695207.06000000
PA
USD
2535539.22000000
0.142724366944
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
4.12137500
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
CDS W BCULC
000000000
1.00000000
NC
USD
67603.21000000
0.003805354409
N/A
DCR
CORP
US
N
3
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
Y
Default Event
2023-06-20
48324.56000000
USD
0.00000000
USD
6695000.00000000
USD
19278.65000000
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2005-AR2
23332UDC5
249927.12000000
PA
USD
233149.84000000
0.013123900058
Long
ABS-MBS
CORP
US
N
2
2045-03-19
Floating
5.18143000
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CH8
1199000.00000000
PA
USD
1168666.65000000
0.065783722245
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.15000000
N
N
N
N
N
N
Pennsylvania Higher Education
N/A
PHEAA Student Loan Trust 2016-1
69343FAA5
4262612.32000000
PA
USD
4199617.13000000
0.236394567104
Long
ABS-MBS
CORP
US
N
2
2065-09-25
Floating
5.99529000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAA8
9584000.00000000
PA
USD
9370732.33000000
0.527474325403
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
5.97548000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20
46642CAD2
3036825.26000000
PA
USD
2928817.78000000
0.164861840924
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
3.53820000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAD8
1530000.00000000
PA
USD
1183931.24000000
0.066642959178
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
5.95000000
N
N
N
N
N
N
Frontier Communications Corporation
N/A
Frontier Communications Holdings LLC
35906EAQ3
110444.26000000
PA
USD
105198.16000000
0.005921557304
Long
LON
CORP
US
N
2
2028-05-01
Floating
8.62500000
N
N
N
N
N
N
Prime Security Services Borrower, LLC (aka Protection 1 Security Solutions)
549300O6QPZVWXV2DC15
Prime Security Services Borrower LLC
03765VAK6
248692.82000000
PA
USD
248240.20000000
0.013973329663
Long
LON
CORP
US
N
2
2026-09-23
Floating
7.51729000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BE6
2800000.00000000
PA
USD
2729211.80000000
0.153626109720
Long
DBT
CORP
US
N
2
2054-09-15
Fixed
4.37500000
N
N
N
N
N
N
Trugreen Limited Partnership
549300QNRP2MNHR3QM19
TruGreen LP
89787RAH5
169540.36000000
PA
USD
156984.20000000
0.008836570299
Long
LON
CORP
US
N
2
2027-11-02
Floating
8.84029000
N
N
N
N
N
N
NMLT Trust
N/A
NLT 2021-INV2 Trust
62917JAA8
6375998.04000000
PA
USD
5310178.56000000
0.298907572542
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
1.16200000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZN7
722410.33000000
PA
USD
715732.59000000
0.040288266891
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
0.52600000
N
N
N
N
N
N
Crown Finance US Inc
N/A
Crown Finance US Inc
22834KAL5
43577.45000000
PA
USD
44265.76000000
0.002491699802
Long
LON
CORP
US
N
2
2023-09-07
Floating
14.73117500
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GW75
7235000.00000000
PA
USD
7146796.09000000
0.402289950626
Long
DBT
CORP
US
N
2
2026-05-05
Floating
5.18614000
N
N
N
N
N
N
Alpha Topco Limited - Delta 2 (Lux) Sarl
549300BBG8Z3D6QSYP53
Delta 2 Lux Sarl
000000000
29788.43000000
PA
USD
29838.18000000
0.001679577786
Long
LON
CORP
LU
N
2
2030-01-15
Floating
8.05702000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTQW0
2466403.23000000
PA
USD
2368420.18000000
0.133317311040
Long
ABS-MBS
USGSE
US
N
2
2026-01-25
Fixed
0.73500000
N
N
N
N
N
N
Whatabrands LLC
254900HMMX4HTWIP0085
Whatabrands LLC
96244UAF4
987500.00000000
PA
USD
978587.81000000
0.055084269483
Long
LON
CORP
US
N
2
2028-08-03
Floating
8.09029000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCH7
2535000.00000000
PA
USD
2404279.81000000
0.135335833550
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.82400000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
6259000.00000000
PA
USD
4986935.86000000
0.280712385750
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM XXIV Ltd
50188YAE4
4272353.16000000
PA
USD
4222857.95000000
0.237702782451
Long
ABS-CBDO
CORP
KY
N
2
2030-03-20
Floating
5.78771000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AK7
6880000.00000000
PA
USD
6673753.70000000
0.375662606384
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
2.03100000
N
N
N
N
N
N
GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
SWOP 10 YEAR CAP
000000000
-300000.00000000
NC
USD
-3.00000000
-0.00000016886
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
Call
Written
GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2023-12-24
0.00000000
USD
0.00000000
USD
0.00000000
USD
-300000.00000000
USD
180.00000000
USD
2023-12-24
XXXX
539997.00000000
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DP2
8405000.00000000
PA
USD
8588198.83000000
0.483425865210
Long
DBT
CORP
US
N
2
2028-03-02
Fixed
5.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FRTX9
4965115.99000000
PA
USD
4849849.23000000
0.272995840753
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Floating
5.29529000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2004-AA3
32051D6B3
1339.04000000
PA
USD
1184.17000000
0.000066656398
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
5.09613400
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BR9
2345000.00000000
PA
USD
2346195.36000000
0.132066285878
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.37500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-PC1 Mortgage Trust
12593GAE2
4323875.11000000
PA
USD
4166193.29000000
0.234513154122
Long
ABS-MBS
CORP
US
N
2
2050-07-10
Fixed
3.62000000
N
N
N
N
N
N
Osmosis Buyer Limited
5493005QMH1D47U26R45
AI Aqua Merger Sub Inc
00132UAG9
2233119.15000000
PA
USD
2161949.64000000
0.121695176828
Long
LON
CORP
US
N
2
2028-07-31
Floating
8.48354000
N
N
N
N
N
N
Chase Funding Mortgage Loan As
N/A
Chase Funding Trust Series 2002-2
161551FX9
1359252.18000000
PA
USD
1328219.64000000
0.074764888583
Long
ABS-MBS
CORP
US
N
2
2032-05-25
Floating
5.34529000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042657
38650000.00000000
PA
USD
37881186.57000000
2.132315023824
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
4.50000000
N
N
N
N
N
N
Fidelity Government Portfolio
549300FQDFZGLUOCWN51
Fidelity Government Portfolio
316175108
1377180.24000000
NS
USD
1377180.24000000
0.077520858826
Long
STIV
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RQN2
4942.07000000
PA
USD
5040.90000000
0.000283750003
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.50000000
N
N
N
N
N
N
Asset Backed Securities Corp H
N/A
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2006-HE3
04541GXC1
2392071.23000000
PA
USD
2280171.33000000
0.128349822803
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.92840900
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2003-6
576433GH3
2008.63000000
PA
USD
1879.27000000
0.000105783266
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Variable
3.81456100
N
N
N
N
N
N
OCP CLO Ltd
25490025Q5WQX513IQ05
OCP CLO 2017-14 Ltd
67097QAA3
2000000.00000000
PA
USD
1980100.00000000
0.111458942049
Long
ABS-CBDO
CORP
KY
N
2
2030-11-20
Floating
6.06529000
N
N
N
N
N
N
United AirLines Inc
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932RAJ3
128303.15300000
PA
USD
127677.68000000
0.007186919416
Long
LON
CORP
US
N
2
2028-04-21
Floating
8.56771000
N
N
N
N
N
N
Fertitta Entertainment LLC
984500A0805D8V551D35
Fertitta Entertainment LLC/NV
31556PAB3
454701.91000000
PA
USD
448708.94000000
0.025257625241
Long
LON
CORP
US
N
2
2029-01-26
Floating
8.80702000
N
N
N
N
N
N
MSILF Government Portfolio
549300BI6Y5SI6BYPB26
MSILF Government Portfolio
61747C707
88482000.00000000
NS
USD
88482000.00000000
4.980612146069
Long
STIV
RF
US
N
1
N
N
N
Goldentree Loan Opportunities
549300IOBSI2NBFBJX90
GoldenTree Loan Opportunities IX Ltd
38123HAN4
3231022.41000000
PA
USD
3207855.98000000
0.180568776212
Long
ABS-CBDO
CORP
KY
N
2
2029-10-29
Floating
5.91243000
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DC6
1868000.00000000
PA
USD
1834874.61000000
0.103284269897
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.30000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2022-SHIP
36269CAA1
3448000.00000000
PA
USD
3407132.55000000
0.191785965075
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
5.55809000
N
N
N
N
N
N
Renaissance Holding Corp
549300UKKEC0Y6TXNF09
Renaissance Holdings Corp
75972JAB0
159944.12000000
PA
USD
155832.76000000
0.008771756257
Long
LON
CORP
US
N
2
2025-05-30
Floating
0.00000000
N
N
N
N
N
N
BAE SYSTEMS HOLDINGS INC
MF62XBVMNYTYMC18DL76
BAE Systems Holdings Inc
05523UAP5
2910000.00000000
PA
USD
2824035.75000000
0.158963707391
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NTE4
543064.11000000
PA
USD
539480.92000000
0.030367139335
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Floating
5.24529000
N
N
N
N
N
N
Babson CLO Ltd
5493000D71NBEM2WZE67
Barings CLO Ltd 2018-III
06760PAC5
1925938.04000000
PA
USD
1913130.55000000
0.107689261706
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
5.75771000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2017-SMP
95001CAA0
6300000.00000000
PA
USD
5939486.28000000
0.334331022214
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Floating
5.55900000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
-3693.00000000
NC
USD
-6412488.27000000
-0.36095609235
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-06-30
-397999854.06000000
USD
-6412488.27000000
N
N
N
AmWINS Group Inc
549300SJE7MUB8NMRG61
AmWINS Group Inc
03234TAW8
294066.05050000
PA
USD
291023.94000000
0.016381607223
Long
LON
CORP
US
N
2
2028-02-19
Floating
6.98757500
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABR5
3766000.00000000
PA
USD
3514934.90000000
0.197854111068
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
Brazos Higher Education Author
N/A
Brazos Higher Education Authority Inc
10620NCG1
674.21000000
PA
USD
673.66000000
0.000037920019
Long
ABS-MBS
CORP
US
N
2
2030-02-25
Floating
5.75786000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2020-FL4 Ltd
58003UAA6
7661372.66000000
PA
USD
7672074.07000000
0.431857612831
Long
ABS-CBDO
CORP
US
N
2
2035-11-15
Floating
6.47399000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2021-3
80287EAE5
2010000.00000000
PA
USD
1952337.18000000
0.109896185347
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
0.95000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A2X8
5005000.00000000
PA
USD
4959802.85000000
0.279185080771
Long
DBT
CORP
US
N
2
2024-05-24
Floating
5.31228000
N
N
N
N
N
N
ITC HOLDINGS CORP
549300HTO5U9D3SLE207
ITC Holdings Corp
465685AR6
5460000.00000000
PA
USD
5501204.00000000
0.309660308993
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
4.95000000
N
N
N
N
N
N
MASSACHUSETTS ST SPL OBLG REVE
5493001N1YCXNI1O7K10
Commonwealth of Massachusetts
576004HG3
5235000.00000000
PA
USD
5116333.54000000
0.287996123196
Long
DBT
MUN
US
N
2
2031-07-15
Fixed
4.11000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LP4
5365000.00000000
PA
USD
5090906.98000000
0.286564873523
Long
DBT
CORP
US
N
2
2028-07-24
Fixed
3.66800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A63Z3
27824.24000000
PA
USD
27800.12000000
0.001564856302
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Floating
5.08443000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAJ4
2590000.00000000
PA
USD
2552479.37000000
0.143677920399
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.75000000
N
N
N
N
N
N
Zayo Group Holdings Inc
529900Z6OTS7RT0V0I47
Zayo Group Holdings Inc
98919XAB7
1462631.58000000
PA
USD
1196366.81000000
0.067342951843
Long
LON
CORP
US
N
2
2027-03-09
Floating
7.84029000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797FY8
25000000.00000000
PA
USD
24657524.25000000
1.387960995135
Long
DBT
UST
US
N
1
2023-07-18
None
0.00000000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2006-4
126670WV6
3948709.94000000
PA
USD
3866180.32000000
0.217625558426
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
5.37029000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
2000000.00000000
PA
USD
1802255.18000000
0.101448136794
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39300000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 2 LTD
67707EAS3
328125.00000000
PA
USD
327947.81000000
0.018460035326
Long
ABS-CBDO
CORP
KY
N
2
2034-04-21
Floating
5.61529000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGU9
101405000.00000000
PA
USD
101105934.35000000
5.691207755965
Long
DBT
UST
US
N
1
2025-03-31
Fixed
3.87500000
N
N
N
N
N
N
Independence Plaza Trust
N/A
Independence Plaza Trust 2018-INDP
45378YAA2
3294364.00000000
PA
USD
3109640.28000000
0.175040258453
Long
ABS-MBS
CORP
US
N
2
2035-07-10
Fixed
3.76300000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2017-SFR2 Trust
89613FAB4
9017000.00000000
PA
USD
8825020.86000000
0.496756471199
Long
ABS-O
CORP
US
N
2
2036-01-17
Fixed
3.27500000
N
N
N
N
N
N
Pre Paid Legal Services Inc
549300DKH5WJ2J8QU878
Pre-Paid Legal Services Inc
74006LAS1
543714.14000000
PA
USD
535955.34000000
0.030168686016
Long
LON
CORP
US
N
2
2028-12-15
Floating
8.59029000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BS7
3980000.00000000
PA
USD
4042884.00000000
0.227572129422
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.87500000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBS3
3295000.00000000
PA
USD
3235419.18000000
0.182120296394
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.30000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage T
N/A
ReadyCap Commercial Mortgage Trust 2019-6
75575QAA7
3451603.22000000
PA
USD
3226629.45000000
0.181625526429
Long
ABS-MBS
CORP
US
N
2
2052-10-25
Fixed
2.83340000
N
N
N
N
N
N
Medline Borrower LP
254900QT3R363TVK6F09
Medline Borrower LP
58503UAC7
732980.38000000
PA
USD
715630.73000000
0.040282533237
Long
LON
CORP
US
N
2
2028-10-23
Floating
8.09029000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042646
10400000.00000000
PA
USD
10247725.59000000
0.576839883175
Long
ABS-MBS
USGA
US
N
2
2053-04-15
Fixed
4.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225433AT8
1170000.00000000
PA
USD
1150003.51000000
0.064733182454
Long
DBT
CORP
CH
N
2
2023-06-09
Fixed
3.80000000
N
N
N
N
N
N
Jane Street Group LLC
5493002N1IVX6KHGYO08
Jane Street Group LLC
47077DAG5
738664.98000000
PA
USD
728323.67000000
0.040997013144
Long
LON
CORP
US
N
2
2028-01-26
Floating
7.59029000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2021-2
262104AE2
5745000.00000000
PA
USD
5545871.41000000
0.312174617494
Long
ABS-O
CORP
US
N
2
2027-10-15
Fixed
0.87000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136BDUA4
2060458.15000000
PA
USD
1848682.20000000
0.104061492953
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Fixed
0.87000000
N
N
N
N
N
N
Dreyfus Government Cash Management
5493000Q69I5Q3QZIA91
Dreyfus Government Cash Management
262006208
63684000.00000000
NS
USD
63684000.00000000
3.584743833890
Long
STIV
RF
US
N
1
N
N
N
DIGITAL EURO FINCO
635400OUEAPTXSW3SC91
Digital Euro Finco LLC
000000000
7715000.00000000
PA
8192592.36000000
0.461157354219
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
2.62500000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2003-1
576434BZ6
872791.79000000
PA
USD
852520.42000000
0.047987992570
Long
ABS-MBS
CORP
US
N
2
2032-12-25
Fixed
6.25000000
N
N
N
N
N
N
NEW YORK CITY NY TRANSITIONAL
N/A
New York City Transitional Finance Authority Future Tax Secured Revenue
64971XMF2
4060000.00000000
PA
USD
3777182.84000000
0.212615930142
Long
DBT
MUN
US
N
2
2026-11-01
Fixed
2.31000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-RPL3 Trust
12659QAC5
8138834.35000000
PA
USD
8199875.61000000
0.461567325099
Long
ABS-MBS
CORP
US
N
2
2061-03-25
Variable
3.67863300
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2006-2
80556XAG2
11000000.00000000
PA
USD
10065750.75000000
0.566596600944
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.28029000
N
N
N
N
N
N
2023-05-18
METROPOLITAN WEST FUNDS
Eric Chan
Eric Chan
Managing Director