0001752724-23-107502.txt : 20230519
0001752724-23-107502.hdr.sgml : 20230519
20230519113604
ACCESSION NUMBER: 0001752724-23-107502
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: 23938799
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
S000072616
Metropolitan West ESG Securitized Fund
C000228996
Class M
MWERX
C000228997
Class I
MWESX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001028621
XXXXXXXX
S000072616
C000228996
C000228997
METROPOLITAN WEST FUNDS
811-07989
0001028621
549300KGDNJW6FXNDC82
865 South Figueroa Street
SUITE 1800
Los Angeles
90017
800-241-4671
Metropolitan West ESG Securitized Fund
S000072616
5493007B0BK76VC22487
2023-03-31
2023-03-31
N
10551912.27
2177135.72
8374776.55
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
488699.31000000
1498217.79000000
0.00000000
32336.17000000
USD
N
Bloomberg U.S. Mortgage-Backed Securities (MBS) Index
LUMSSTAT
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AT4E8
152427.52000000
PA
USD
131685.17000000
1.572402191435
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KJUF7
369419.17000000
PA
USD
335594.97000000
4.007211034185
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396F4J9
61422.10000000
PA
USD
60854.52000000
0.726640521531
Long
ABS-MBS
USGSE
US
N
2
2035-11-15
Floating
5.03443000
N
N
N
N
N
N
SFO Commerical Mortgage Trust
N/A
SFO Commercial Mortgage Trust 2021-555
78432WAE3
130000.00000000
PA
USD
108573.91000000
1.296439485301
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
6.48400000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2017-BRBK Mortgage Trust
23305JAN2
150000.00000000
PA
USD
127970.37000000
1.528045187068
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Variable
3.53000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AYBJ8
137271.93000000
PA
USD
113669.38000000
1.357282541466
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A2L73
67860.70000000
PA
USD
61647.34000000
0.736107281572
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust 2021-OVA
78449RAA3
100000.00000000
PA
USD
79765.83000000
0.952453232916
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Fixed
2.58540000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396EFY7
14184.97000000
PA
USD
14139.92000000
0.168839370406
Long
ABS-MBS
USGSE
US
N
2
2035-04-15
Floating
4.98443000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA TREASURY BOND
000000000
1.00000000
NC
USD
560.18000000
0.006688894881
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
2023-06-21
140564.82000000
USD
560.18000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2020-CNP
61770YAA3
150000.00000000
PA
USD
119045.96000000
1.421482224501
Long
ABS-MBS
CORP
US
N
2
2042-04-05
Variable
2.42760000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KN2Y8
143437.74000000
PA
USD
123803.31000000
1.478287919216
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Loanpal Solar Loan Ltd.
N/A
Loanpal Solar Loan 2021-1 Ltd
53948PAA6
161525.06000000
PA
USD
121964.26000000
1.456328527356
Long
ABS-O
CORP
US
N
2
2048-01-20
Fixed
2.29000000
N
N
N
N
N
N
KREST Commercial Mortgage Secu
N/A
KREST Commercial Mortgage Securities Trust 2021-CHIP
50085PAN7
200000.00000000
PA
USD
106733.46000000
1.274463376578
Long
ABS-MBS
CORP
US
N
2
2044-11-05
Variable
2.92693000
N
N
N
N
N
N
FRETE 2021-ML12 TRUST
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily ML Certificates
35833TAB1
1087203.98000000
PA
USD
111655.85000000
1.333239750736
Long
DBT
USGSE
US
N
2
2041-07-25
Variable
1.22272600
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AWXG5
24095.08000000
PA
USD
22657.99000000
0.270550382624
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL60
144668.51000000
PA
USD
120816.54000000
1.442624042309
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
GoodLeap Sustainable Home Impr
N/A
GoodLeap Sustainable Home Solutions Trust 2022-1
38237JAA1
93729.31000000
PA
USD
77098.60000000
0.920604860794
Long
ABS-O
CORP
US
N
2
2049-01-20
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMEZ4
236595.62000000
PA
USD
213065.93000000
2.544138685109
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGT2
26000.00000000
PA
USD
26047.73000000
0.311025970000
Long
DBT
UST
US
N
1
2028-03-31
Fixed
3.62500000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-10K
63874UAA2
150000.00000000
PA
USD
130130.16000000
1.553834412453
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Fixed
3.62200000
N
N
N
N
N
N
Shops at Crystals Trust 2016-C
N/A
Shops at Crystals Trust 2016-CSTL
82510WAA8
150000.00000000
PA
USD
132503.24000000
1.582170452058
Long
ABS-MBS
CORP
US
N
2
2036-07-05
Fixed
3.12550000
N
N
N
N
N
N
GoodLeap Sustainable Home Impr
N/A
GoodLeap Sustainable Home Solutions Trust 2023-1
38237VAA4
44447.39000000
PA
USD
43456.56000000
0.518898143019
Long
ABS-O
CORP
US
N
2
2055-02-22
Fixed
5.52000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Ultra 10-Year US Treasury Note
000000000
2.00000000
NC
USD
7678.90000000
0.091690804574
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
2023-06-21
234602.36000000
USD
7678.90000000
N
N
N
1211 Avenue of the Americas Tr
N/A
1211 Avenue of the Americas Trust 2015-1211
90117PAA3
150000.00000000
PA
USD
140676.57000000
1.679765055940
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Fixed
3.90050000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDDA9
381104.62000000
PA
USD
347282.35000000
4.146765563554
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A3PB8
81593.01000000
PA
USD
74122.31000000
0.885066121555
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XADE9
107408.02000000
PA
USD
89202.90000000
1.065137672240
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
9.00000000
NC
USD
19741.01000000
0.235719841384
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
1838337.12000000
USD
19741.01000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCR56
40142.83000000
PA
USD
37971.28000000
0.453400514906
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
MSILF Government Portfolio
549300BI6Y5SI6BYPB26
MSILF Government Portfolio
61747C707
153000.00000000
NS
USD
153000.00000000
1.826914414809
Long
STIV
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGX46
119482.12000000
PA
USD
98743.07000000
1.179053189186
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B4B64
218640.13000000
PA
USD
203457.03000000
2.429402489550
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6FL0
234452.62000000
PA
USD
213425.62000000
2.548433605670
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMW84
142186.84000000
PA
USD
117677.63000000
1.405143519918
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KPLY2
118831.04000000
PA
USD
113670.80000000
1.357299497143
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042657
75000.00000000
PA
USD
73508.12000000
0.877732313944
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
4.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2019-521F Mortgage Trust
20048GAA4
150000.00000000
PA
USD
144087.93000000
1.720498799457
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
5.58400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWD34
95402.71000000
PA
USD
91219.05000000
1.089211747386
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-3723.97000000
-0.04446649982
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-234000.00000000
GBP
285683.18000000
USD
2023-04-13
-3723.97000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGPU7
163381.21000000
PA
USD
135422.88000000
1.617032755339
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
MFT Trust
N/A
MFT 2020-B6 Mortgage Trust
55316TAC3
150000.00000000
PA
USD
98345.67000000
1.174307987954
Long
ABS-MBS
CORP
US
N
2
2040-08-10
Variable
3.28277900
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397BDE8
3835.91000000
PA
USD
3833.92000000
0.045779370674
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
Floating
5.08443000
N
N
N
N
N
N
Helios Issuer, LLC
N/A
Sunnova Helios VII Issuer LLC
86745RAA7
180175.73000000
PA
USD
152580.63000000
1.821906878219
Long
ABS-O
CORP
US
N
2
2048-10-20
Fixed
2.03000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KLLG5
134236.21000000
PA
USD
111468.61000000
1.331003989593
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8ZU4
160750.23000000
PA
USD
133493.29000000
1.593992260008
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERJL5
128608.83000000
PA
USD
117961.25000000
1.408530117737
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7CZ0
342738.17000000
PA
USD
299624.79000000
3.577704888138
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
DOLP Trust
N/A
DOLP Trust 2021-NYC
23345LAA7
150000.00000000
PA
USD
119935.07000000
1.432098746562
Long
ABS-MBS
CORP
US
N
2
2041-05-10
Fixed
2.95600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MRAA5
97099.85000000
PA
USD
92958.19000000
1.109978152193
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D3Y6
195106.52000000
PA
USD
168545.22000000
2.012533934412
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022655
150000.00000000
PA
USD
132209.51000000
1.578663134600
Long
ABS-MBS
USGA
US
N
2
2053-05-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052649
225000.00000000
PA
USD
227289.55000000
2.713977485166
Long
ABS-MBS
USGSE
US
N
2
2053-04-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCR49
203134.18000000
PA
USD
192790.65000000
2.302039330231
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Flexential Issuer, LLC
N/A
Flexential Issuer 2021-1
33938MAA7
150000.00000000
PA
USD
133515.27000000
1.594254714772
Long
ABS-O
CORP
US
N
2
2051-11-27
Fixed
3.25000000
N
N
N
N
N
N
Aligned Data Centers Issuer LL
N/A
Aligned Data Centers Issuer LLC
01627AAA6
150000.00000000
PA
USD
132145.22000000
1.577895472327
Long
ABS-O
CORP
US
N
2
2046-08-15
Fixed
1.93700000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CFR7
78774.54000000
PA
USD
80342.02000000
0.959333297077
Long
DBT
UST
US
N
2
2027-10-15
Fixed
1.62500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGU9
5000.00000000
PA
USD
4985.25000000
0.059526961349
Long
DBT
UST
US
N
1
2025-03-31
Fixed
3.87500000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-30HY Mortgage Trust
44421GAA1
150000.00000000
PA
USD
129370.65000000
1.544765394367
Long
ABS-MBS
CORP
US
N
2
2039-07-10
Fixed
3.22800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D3G5
169151.14000000
PA
USD
140360.85000000
1.675995164312
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
Gracechurch Mortgage Finance P
N/A
Grace Trust 2020-GRCE
38406JAE8
150000.00000000
PA
USD
113675.87000000
1.357360036071
Long
ABS-MBS
CORP
US
N
2
2040-12-10
Fixed
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MQCP2
96770.23000000
PA
USD
90043.99000000
1.075180805868
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVKY0
35959.48000000
PA
USD
33965.62000000
0.405570462653
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
Cascade MH Asset Trust
N/A
Cascade MH Asset Trust 2022-MH1
14732KAA9
97044.72000000
PA
USD
86382.03000000
1.031454743708
Long
ABS-MBS
CORP
US
N
2
2054-08-25
Variable
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050649
25000.00000000
PA
USD
25033.20000000
0.298911855743
Long
ABS-MBS
USGA
US
N
2
2053-04-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JWQJ2
302455.51000000
PA
USD
274951.57000000
3.283091415734
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2022-HC Mortgage Trust
12659DAA8
150000.00000000
PA
USD
131624.36000000
1.571676082509
Long
ABS-MBS
CORP
US
N
2
2039-01-10
Fixed
2.81900000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040651
175000.00000000
PA
USD
167480.50000000
1.999820520584
Long
ABS-MBS
USGSE
US
N
2
2053-05-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KKU23
97366.61000000
PA
USD
80857.05000000
0.965483073097
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMJU9
161825.96000000
PA
USD
139959.06000000
1.671197543772
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CGK1
15065.10000000
PA
USD
15039.57000000
0.179581746572
Long
DBT
UST
US
N
2
2033-01-15
Fixed
1.12500000
N
N
N
N
N
N
Fidelity Government Portfolio
549300FQDFZGLUOCWN51
Fidelity Government Portfolio
316175108
20351.71000000
NS
USD
20351.71000000
0.243011976241
Long
STIV
RF
US
N
1
N
N
N
CALI Mortgage Trust 2019-101C
N/A
CALI Mortgage Trust 2019-101C
129890AA7
125000.00000000
PA
USD
109675.18000000
1.309589328684
Long
ABS-MBS
CORP
US
N
2
2039-03-10
Fixed
3.95700000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 YEAR US TREASURY NOTE
000000000
-7.00000000
NC
USD
-5598.20000000
-0.06684596259
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
-760956.47000000
USD
-5598.20000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNHD8
22938.09000000
PA
USD
19772.99000000
0.236101702319
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
CAMB Commercial Mortgage Trust
N/A
CAMB Commercial Mortgage Trust 2021-CX2
12477BAE4
150000.00000000
PA
USD
114721.55000000
1.369846100550
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
2.77120000
N
N
N
N
N
N
Frost CMBS
635400USRLUMX8CQN243
Frost CMBS 2021-1 DAC
000000000
249390.10000000
PA
277161.68000000
3.309481492971
Long
ABS-MBS
CORP
IE
N
2
2033-11-20
Floating
5.74274000
N
N
N
N
N
N
KREST Commercial Mortgage Secu
N/A
KREST Commercial Mortgage Securities Trust 2021-CHIP
50085PAG2
125000.00000000
PA
USD
84857.66000000
1.013252825235
Long
ABS-MBS
CORP
US
N
2
2044-11-05
Variable
2.92693000
N
N
N
N
N
N
DROP Mortgage Trust 2021-FILE
N/A
DROP Mortgage Trust 2021-FILE
26210YAA4
150000.00000000
PA
USD
138655.45000000
1.655631635927
Long
ABS-MBS
CORP
US
N
2
2043-10-15
Floating
5.83000000
N
N
N
N
N
N
One New York Plaza Trust 2020-
N/A
One New York Plaza Trust 2020-1NYP
68249DAC3
150000.00000000
PA
USD
141177.36000000
1.685744797573
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
5.93400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMQG3
203246.11000000
PA
USD
175576.67000000
2.096493786452
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042640
100000.00000000
PA
USD
97977.73000000
1.169914557302
Long
ABS-MBS
USGSE
US
N
2
2053-04-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042646
200000.00000000
PA
USD
197071.65000000
2.353157111994
Long
ABS-MBS
USGA
US
N
2
2053-04-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QPVD6
121745.79000000
PA
USD
119345.49000000
1.425058797538
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
2023-05-18
METROPOLITAN WEST FUNDS
Eric Chan
Eric Chan
Managing Director