0001752724-23-260958.txt : 20231121
0001752724-23-260958.hdr.sgml : 20231121
20231121131811
ACCESSION NUMBER: 0001752724-23-260958
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230929
FILED AS OF DATE: 20231121
DATE AS OF CHANGE: 20231121
PERIOD START: 20240331
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: 231426439
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
2024-03-31
2023-09-29
N
1867943626.29
474126196.07
1393817430.22
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
10739534.46000000
336904299.51000000
0.00000000
64778970.03000000
USD
N
Lehman ABS Manufactured Housin
N/A
Lehman ABS Manufactured Housing Contract Trust 2001-B
52519SAK9
47154984.50000000
PA
USD
568561.79000000
0.040791697511
Long
ABS-O
CORP
US
N
3
2040-04-15
Variable
0.55000000
N
N
N
N
N
N
Vantage Data Centers LLC
N/A
Vantage Data Centers Issuer LLC
92212KAA4
3836666.51000000
PA
USD
3729380.31000000
0.267565911369
Long
ABS-O
CORP
US
N
2
2044-07-15
Fixed
3.18800000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2006-2
80556XAG2
11000000.00000000
PA
USD
10186880.11000000
0.730861868214
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
5.86920000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
FFMLT Trust 2005-FF8
362341QS1
1615726.16000000
PA
USD
1589237.78000000
0.114020512697
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
6.21420000
N
N
N
N
N
N
Independence Plaza Trust
N/A
Independence Plaza Trust 2018-INDP
45378YAA2
3294364.00000000
PA
USD
3089300.78000000
0.221643144433
Long
ABS-MBS
CORP
US
N
2
2035-07-10
Fixed
3.76300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398CKM9
207277.03000000
PA
USD
206853.52000000
0.014840790157
Long
ABS-MBS
USGSE
US
N
2
2038-06-15
Floating
6.36776000
N
N
N
N
N
N
Opteum Mortgage Acceptance Cor
N/A
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5
68383NCU5
2810363.45000000
PA
USD
2613964.85000000
0.187539974269
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
5.99420000
N
N
N
N
N
N
WILLIS NORTH AMERICA INC
5493004KVU1HWZCP0C66
Willis North America Inc
970648AL5
4345000.00000000
PA
USD
4161476.28000000
0.298566812967
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
4.65000000
N
N
N
N
N
N
SMRT
N/A
SMRT 2022-MINI
78457JAA0
2885000.00000000
PA
USD
2814684.27000000
0.201940670920
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
6.33300000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
085770AA3
1365000.00000000
PA
USD
1308004.56000000
0.093843320627
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
4.87500000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2021-3
30166AAE4
4395000.00000000
PA
USD
4276589.03000000
0.306825624165
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
0.96000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31392KC38
2449.84000000
PA
USD
2465.79000000
0.000176909109
Long
ABS-MBS
USGSE
US
N
2
2031-06-15
Floating
6.42776000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H1LS3
2304215.05000000
PA
USD
2140066.23000000
0.153539924498
Long
ABS-MBS
USGSE
US
N
2
2026-06-25
Fixed
0.68100000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR7
362341WZ8
81627.90000000
PA
USD
73767.69000000
0.005292493005
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
4.48134300
N
N
N
N
N
N
PENNSYLVANIA ELECTRIC CO
O1PLQWO3TX952VMBJ146
Pennsylvania Electric Co
708696BX6
500000.00000000
PA
USD
482071.03000000
0.034586382660
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.15000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
2000000.00000000
PA
USD
1754584.98000000
0.125883414998
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39300000
N
N
N
N
N
N
Spin Holdco Inc
549300QAS44U2GUXGK45
Spin Holdco Inc
84850XAK8
167663.64000000
PA
USD
145566.41000000
0.010443721454
Long
LON
CORP
US
N
2
2028-03-04
Floating
9.66391000
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
2033813.23000000
0.145916759677
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.30000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CH0
2510000.00000000
PA
USD
2281508.70000000
0.163687772195
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397JE91
802882.47000000
PA
USD
783375.12000000
0.056203567484
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
Floating
5.72776000
N
N
N
N
N
N
Jazz Financing Lux Sarl
635400WUEO2NSG5OIU34
Jazz Financing Lux Sarl
000000000
468659.86000000
PA
USD
468823.89000000
0.033635961198
Long
LON
CORP
LU
N
2
2028-05-05
Floating
8.93056000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VKNG
12433YAA5
4719596.00000000
PA
USD
4673380.96000000
0.335293623015
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
6.37668000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AM0
4570000.00000000
PA
USD
4398873.20000000
0.315598951815
Long
DBT
CORP
CH
N
2
2025-09-11
Fixed
2.59300000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAQ3
4290000.00000000
PA
USD
4218914.70000000
0.302687755837
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
8.57748000
N
N
N
N
N
N
ALLIANT ENERGY FINANCE
54930033ER6EOI5DL570
Alliant Energy Finance LLC
01882YAC0
6540000.00000000
PA
USD
5808385.77000000
0.416725006020
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.40000000
N
N
N
N
N
N
Organon & Co
549300AMCKY57OK2CO56
Organon & Co
68621XAE3
910474.49000000
PA
USD
910246.87000000
0.065306032932
Long
LON
CORP
US
N
2
2028-06-02
Floating
8.44210000
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DC6
1868000.00000000
PA
USD
1801265.68000000
0.129232540858
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.30000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJK7
5365000.00000000
PA
USD
5021676.64000000
0.360282238629
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.65300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396EFY7
427819.11000000
PA
USD
426407.91000000
0.030592809413
Long
ABS-MBS
USGSE
US
N
2
2035-04-15
Floating
5.72776000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2021-2 Ltd
69702DAA5
881577.64000000
PA
USD
878656.09000000
0.063039539537
Long
ABS-CBDO
CORP
KY
N
2
2029-05-20
Floating
6.44137000
N
N
N
N
N
N
Goldentree Loan Opportunities
549300IOBSI2NBFBJX90
GoldenTree Loan Opportunities IX Ltd
38123HAN4
1947295.20000000
PA
USD
1945581.58000000
0.139586543963
Long
ABS-CBDO
CORP
KY
N
2
2029-10-29
Floating
6.74073000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2021-7 LLC
69360LAA0
10093898.45000000
PA
USD
9316402.80000000
0.668409118583
Long
ABS-O
CORP
US
N
2
2026-08-25
Variable
1.86700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38384EEE1
7579478.69000000
PA
USD
7523877.15000000
0.539803634742
Long
ABS-MBS
USGA
US
N
2
2053-08-20
Floating
6.46426000
N
N
N
N
N
N
Specialty Underwriting & Resid
N/A
Specialty Underwriting & Residential Finance Trust Series 2005-BC2
84751PFW4
1118818.39000000
PA
USD
1106568.39000000
0.079391200454
Long
ABS-O
CORP
US
N
2
2035-12-25
Floating
6.40920000
N
N
N
N
N
N
CREDIT SUISSE SECURITIES (USA) LLC
1V8Y6QCX6YMJ2OELII46
CDS W BERRY
000000000
1.00000000
NC
USD
31044.43000000
0.002227295291
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
22792.02000000
USD
0.00000000
USD
3425000.00000000
USD
8252.41000000
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
549300QD5ZVFK417DY24
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-2
16678RDK0
336111.94000000
PA
USD
300003.90000000
0.021523902162
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
5.61420000
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
3093185.82000000
0.221921878212
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
6.39748000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAD7
385000.00000000
PA
USD
351493.45000000
0.025218040926
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398MDK9
3206327.11000000
PA
USD
247351.78000000
0.017746354338
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
0.80057000
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
448257.67000000
0.032160429356
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BE6
2800000.00000000
PA
USD
2723570.50000000
0.195403676331
Long
DBT
CORP
US
N
2
2054-09-15
Fixed
4.37500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
19767QAQ8
1100000.00000000
PA
USD
1131000.43000000
0.081144087129
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
7.58000000
N
N
N
N
N
N
Perrigo Investments, LLC
549300POZGC78VHAAJ73
Perrigo Investments LLC
000000000
493750.00000000
PA
USD
492668.69000000
0.035346716099
Long
LON
CORP
US
N
2
2029-04-20
Floating
7.66608000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2003-6
576433GH3
1960.50000000
PA
USD
1874.37000000
0.000134477440
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Variable
3.81133400
N
N
N
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank Auto Credit-Linked Notes Series 2022-B
80290CBA1
2465660.53000000
PA
USD
2430084.38000000
0.174347394953
Long
ABS-O
CORP
US
N
2
2032-08-16
Fixed
8.68100000
N
N
N
N
N
N
NCR Corporation
549300YKTY8JX1DV2R67
NCR Corp
62886VAP5
442161.47000000
PA
USD
442603.63000000
0.031754777950
Long
LON
CORP
US
N
2
2026-08-28
Floating
7.93056000
N
N
N
N
N
N
Arches Buyer Inc
2549009ADY4208OH2Y47
Arches Buyer Inc
03952HAD6
124376.34000000
PA
USD
122025.01000000
0.008754734110
Long
LON
CORP
US
N
2
2027-12-06
Floating
8.67357000
N
N
N
N
N
N
PRA Health Sciences Inc
549300R1HR1VWWHIAK47
PRA Health Sciences Inc
000000000
56889.79000000
PA
USD
56938.15000000
0.004085050793
Long
LON
CORP
US
N
2
2028-07-03
Floating
7.82758500
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CGW5
12480186.76000000
PA
USD
11865927.57000000
0.851325813031
Long
DBT
UST
US
N
2
2028-04-15
Fixed
1.25000000
N
N
N
N
N
N
PREMIER HEALTH PARTNERS
549300KETC002I82TF46
Premier Health Partners
74052BAA5
3500000.00000000
PA
USD
3131482.27000000
0.224669472637
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.91100000
N
N
N
N
N
N
Pre Paid Legal Services Inc
549300DKH5WJ2J8QU878
Pre-Paid Legal Services Inc
74006LAS1
82139.58000000
PA
USD
81472.20000000
0.005845256217
Long
LON
CORP
US
N
2
2028-12-15
Floating
8.81608000
N
N
N
N
N
N
ENTEGRIS INC
IYX6OWO7BT5DKO3BYG52
Entegris Inc
29362LAM6
38853.61000000
PA
USD
38853.61000000
0.002787568095
Long
LON
CORP
US
N
2
2029-07-06
Floating
8.06900000
N
N
N
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta Issuer LLC
12530MAA3
8274958.42000000
PA
USD
7523362.98000000
0.539766745405
Long
ABS-O
CORP
US
N
2
2060-07-15
Fixed
1.69000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2020-3
03066PAF6
2587000.00000000
PA
USD
2413165.50000000
0.173133543007
Long
ABS-O
CORP
US
N
2
2026-09-18
Fixed
1.49000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2022-I1
12568TAC9
5351709.22000000
PA
USD
5101073.16000000
0.365978574338
Long
ABS-MBS
CORP
US
N
2
2067-02-25
Variable
4.35000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAB9
3855000.00000000
PA
USD
3432636.64000000
0.246275915738
Long
DBT
CORP
US
N
2
2027-05-04
Fixed
1.59300000
N
N
N
N
N
N
Babson CLO Ltd
5493000D71NBEM2WZE67
Barings CLO Ltd 2018-III
06760PAC5
1448259.78000000
PA
USD
1448117.85000000
0.103895805763
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
6.53775000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2017-SFR2 Trust
89613FAB4
9017000.00000000
PA
USD
8923477.48000000
0.640218531245
Long
ABS-O
CORP
US
N
2
2036-01-17
Fixed
3.27500000
N
N
N
N
N
N
Open Text Corporation
549300HP7ONDQODZJV16
OPEN TEXT CORP
68371YAP8
239615.82000000
PA
USD
239929.72000000
0.017213855616
Long
LON
CORP
CA
N
2
2030-01-31
Floating
8.18106000
N
N
N
N
N
N
Stack Infrastructure Issuer LL
N/A
Stack Infrastructure Issuer LLC
85236KAC6
5000000.00000000
PA
USD
4806062.90000000
0.344812942914
Long
ABS-O
CORP
US
N
2
2044-10-25
Fixed
3.08000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225DCE2
124507.19000000
PA
USD
120859.31000000
0.008671100488
Long
ABS-MBS
USGA
US
N
2
2034-07-20
Floating
2.62500000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAA4
285000.00000000
PA
USD
225223.36000000
0.016158741820
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.95000000
N
N
N
N
N
N
Amentum Government Services Holdings LLC
5493008CT6B5L54YSE94
Amentum Government Services Holdings LLC
57776DAB9
155052.34000000
PA
USD
154277.08000000
0.011068672026
Long
LON
CORP
US
N
2
2027-01-29
Floating
9.44054666
N
N
N
N
N
N
Trugreen Limited Partnership
549300QNRP2MNHR3QM19
TruGreen LP
89787RAH5
168673.15000000
PA
USD
160745.51000000
0.011532752175
Long
LON
CORP
US
N
2
2027-11-02
Floating
9.41608000
N
N
N
N
N
N
Voya CLO Ltd
N/A
VOYA CLO 2017-2
92915UAG9
6863617.82000000
PA
USD
6846129.32000000
0.491178340259
Long
ABS-CBDO
CORP
KY
N
2
2030-06-07
Floating
6.54957000
N
N
N
N
N
N
William Morris Endeavor Entertainment LLC
5493008R7J9HEQ30DZ33
William Morris Endeavor Entertainment LLC
96925HAF9
307436.54000000
PA
USD
307436.54000000
0.022057159950
Long
LON
CORP
US
N
2
2025-05-18
Floating
8.18430500
N
N
N
N
N
N
Whatabrands LLC
254900HMMX4HTWIP0085
Whatabrands LLC
96244UAF4
982500.00000000
PA
USD
980043.75000000
0.070313638554
Long
LON
CORP
US
N
2
2028-08-03
Floating
8.43056000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397GQR4
311333.90000000
PA
USD
303769.53000000
0.021794068822
Long
ABS-MBS
USGSE
US
N
2
2035-08-15
Floating
5.72776000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398CV47
110655.69000000
PA
USD
109443.78000000
0.007852088632
Long
ABS-MBS
USGSE
US
N
2
2039-05-15
Floating
6.32776000
N
N
N
N
N
N
Chase Funding Mortgage Loan As
N/A
Chase Funding Trust Series 2002-2
161551FX9
1227912.71000000
PA
USD
1207602.79000000
0.086639954689
Long
ABS-O
CORP
US
N
2
2032-05-25
Floating
5.93420000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AQ4
745000.00000000
PA
USD
561058.21000000
0.040253350104
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
2.30000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
3128HXMD4
1056588.95000000
PA
USD
1030916.36000000
0.073963514707
Long
ABS-MBS
USGSE
US
N
2
2042-06-15
Floating
5.92776000
N
N
N
N
N
N
SS&C Technologies Holdings, Inc.
549300KY09TR3J12JU49
SS&C Technologies Inc
78466DBF0
193351.98000000
PA
USD
193528.90000000
0.013884809861
Long
LON
CORP
US
N
2
2025-04-16
Floating
7.18056000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B17 Mortgage Trust
08162MAV0
7590000.00000000
PA
USD
6950869.63000000
0.498692976518
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.21080000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2006-HE2
362334LJ1
3534726.05000000
PA
USD
3411465.20000000
0.244756962141
Long
ABS-O
CORP
US
N
2
2046-03-25
Floating
5.91420000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
64110LAY2
3207000.00000000
PA
USD
3097464.92000000
0.222228883987
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.62500000
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VBB5
495000.00000000
PA
USD
480922.20000000
0.034503959383
Long
LON
CORP
US
N
2
2028-08-19
Floating
9.41608000
N
N
N
N
N
N
Osmosis Buyer Limited
5493005QMH1D47U26R45
AI Aqua Merger Sub Inc
00132UAG9
376557.40000000
PA
USD
373351.01000000
0.026786220483
Long
LON
CORP
US
N
2
2028-07-31
Floating
9.08356000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R03
20753XAA2
4458049.23000000
PA
USD
4498826.83000000
0.322770165766
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
7.41495000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2022-3 LLC
693589AA1
9945808.55000000
PA
USD
9759570.30000000
0.700204351617
Long
ABS-O
CORP
US
N
2
2027-06-25
Variable
5.56000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CXQ1
1281.61000000
PA
USD
1280.91000000
0.000091899410
Long
ABS-MBS
USGA
US
N
2
2027-09-20
Fixed
8.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
000000000
1160000.00000000
PA
1359444.70000000
0.097533914451
Long
DBT
CORP
CH
N
2
2029-03-01
Fixed
7.75000000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2005-QA3 Trust
76110H2H1
886495.56000000
PA
USD
467414.18000000
0.033534820979
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Variable
3.61644700
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35908MAE0
12000.00000000
PA
USD
11278.82000000
0.000809203540
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
8.62500000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2006-AMC1
17309PAS5
5943181.85000000
PA
USD
5569621.97000000
0.399594799809
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.72420000
N
N
N
N
N
N
DELTA AIR LINES 2020-AA
N/A
Delta Air Lines 2020-1 Class AA Pass Through Trust
247361ZV3
1288370.58520000
PA
USD
1129834.20000000
0.081060415482
Long
DBT
CORP
US
N
2
2028-06-10
Fixed
2.00000000
N
N
N
N
N
N
MH Sub I LLC
N/A
MH SUB I LLC
45567YAN5
174163.15000000
PA
USD
168788.48000000
0.012109798338
Long
LON
CORP
US
N
2
2028-05-03
Floating
9.68056000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225DKP8
3522.21000000
PA
USD
3388.91000000
0.000243138730
Long
ABS-MBS
USGA
US
N
2
2035-01-20
Floating
4.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AR4C7
50121.66000000
PA
USD
50121.66000000
0.003595998938
Long
ABS-MBS
USGSE
US
N
2
2041-02-15
Floating
5.77776000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
46639YAS6
1557158.54000000
PA
USD
7242.66000000
0.000519627595
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Variable
1.04536200
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CL1
17265000.00000000
PA
USD
14658088.94000000
1.051650569306
Long
DBT
CORP
GB
N
2
2028-09-22
Fixed
2.01300000
N
N
N
N
N
N
MASTR Asset Backed Securities
N/A
MASTR Asset Backed Securities Trust 2006-HE1
57643LQV1
5156310.22000000
PA
USD
4924831.08000000
0.353334014428
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.98920000
N
N
N
N
N
N
Fidelity Government Portfolio
549300FQDFZGLUOCWN51
Fidelity Government Portfolio
316175108
575361.77000000
NS
USD
575361.77000000
0.041279564850
Long
STIV
RF
US
N
1
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2004-13
576433UF1
299902.14000000
PA
USD
281011.99000000
0.020161319833
Long
ABS-MBS
CORP
US
N
2
2034-11-21
Variable
5.38733400
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DB8
5348000.00000000
PA
USD
5299866.07000000
0.380241052744
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.70000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAQ1
5425000.00000000
PA
USD
4953707.63000000
0.355405774285
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.90000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC20
36252WBB3
4940000.00000000
PA
USD
4854539.48000000
0.348290914918
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Fixed
4.25800000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAG7
7201000.00000000
PA
USD
6353569.76000000
0.455839453736
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.15000000
N
N
N
N
N
N
ITC HOLDINGS CORP
549300HTO5U9D3SLE207
ITC Holdings Corp
465685AR6
4960000.00000000
PA
USD
4830085.05000000
0.346536421863
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
4.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376JDD3
2045372.28000000
PA
USD
77312.82000000
0.005546839802
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
1.36068000
N
N
N
N
N
N
Star Parent Inc
254900GRGCJYRMDRWT73
STAR PARENT INC
000000000
96699.52000000
PA
USD
94691.55000000
0.006793683874
Long
LON
CORP
US
N
2
2030-09-19
Floating
0.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTQW0
1870715.31000000
PA
USD
1821853.16000000
0.130709598007
Long
ABS-MBS
USGSE
US
N
2
2026-01-25
Fixed
0.73500000
N
N
N
N
N
N
H-Food Holdings LLC
549300JY2LK0EQ95YT44
H-Food Holdings LLC
40422KAB7
45471.06000000
PA
USD
39856.75000000
0.002859538784
Long
LON
CORP
US
N
2
2025-05-23
Floating
9.26850000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837BA0
645000.00000000
PA
USD
622563.00000000
0.044666036347
Long
DBT
CORP
NL
N
2
2026-03-28
Fixed
3.86900000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2005-AR2
23332UDC5
235401.75000000
PA
USD
223866.50000000
0.016061393346
Long
ABS-MBS
CORP
US
N
2
2045-03-19
Floating
5.86156000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0506A9
72600000.00000000
PA
USD
68485079.92000000
4.913489990521
Long
ABS-MBS
USGSE
US
N
2
2053-10-15
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-3279.00000000
NC
USD
3043272.69000000
0.218340840343
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
2023-12-29
-348516679.71000000
USD
3043272.69000000
N
N
N
Dryden Senior Loan Fund
549300AS2O1RYPD2ED41
Dryden 30 Senior Loan Fund
26249BAQ4
1786114.50000000
PA
USD
1779845.24000000
0.127695722654
Long
ABS-CBDO
CORP
KY
N
2
2028-11-15
Floating
6.44618000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CB54
4748.40000000
PA
USD
4638.65000000
0.000332801836
Long
ABS-MBS
USGA
US
N
2
2027-04-20
Floating
3.87500000
N
N
N
N
N
N
Acrisure LLC
549300R0Z1Q47XRTGO22
Acrisure LLC
00488PAL9
457085.53000000
PA
USD
451616.50000000
0.032401409984
Long
LON
CORP
US
N
2
2027-02-15
Floating
8.93056000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MCCL7
49.36000000
PA
USD
49.48000000
0.000003549962
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.00000000
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
2125131.77000000
PA
USD
2032207.20000000
0.145801534400
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.92346300
N
N
N
N
N
N
Scientific Games International, Inc.
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80875AAT8
469102.33000000
PA
USD
469688.71000000
0.033698008061
Long
LON
CORP
US
N
2
2029-04-13
Floating
8.43356000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AH8
2520000.00000000
PA
USD
2472644.66000000
0.177400899600
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.37500000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-NC7
61744CFQ4
715142.62000000
PA
USD
694257.52000000
0.049809788925
Long
ABS-O
CORP
US
N
2
2034-07-25
Floating
6.36420000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-MFP2
85236WCE4
3640000.00000000
PA
USD
3579047.47000000
0.256780220450
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
6.26828000
N
N
N
N
N
N
Rockford Tower CLO Ltd
549300KPFGDIQ0PMP224
Rockford Tower CLO 2018-1 Ltd
77342JAA1
1257953.13000000
PA
USD
1254842.21000000
0.090029166144
Long
ABS-CBDO
CORP
KY
N
2
2031-05-20
Floating
6.74137000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2004-3
576433KT2
40247.53000000
PA
USD
36847.64000000
0.002643648960
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
4.49208700
N
N
N
N
N
N
ANNINGTON FUNDING PLC
549300KK63W8VZIONZ83
Annington Funding PLC
000000000
3400000.00000000
PA
3881956.68000000
0.278512565263
Long
DBT
CORP
GB
N
2
2025-07-12
Fixed
2.64600000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJD2
7263000.00000000
PA
USD
6664097.01000000
0.478118357936
Long
DBT
CORP
US
N
2
2026-06-19
Fixed
1.31900000
N
N
N
N
N
N
SLM Student Loan Trust
549300EQOYJZL2D96G46
SLM Student Loan Trust 2008-4
78445AAD8
2457949.93000000
PA
USD
2463572.64000000
0.176750023825
Long
ABS-O
CORP
US
N
2
2022-07-25
Floating
6.96614000
N
N
N
N
N
N
AON CORP
LTS3U8DGK38SETRUWX71
Aon Corp
037389BB8
2442000.00000000
PA
USD
2322099.83000000
0.166599999372
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.50000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2019-4
33845FAG1
2967000.00000000
PA
USD
2888817.18000000
0.207259366784
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
3.12000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBW5
5865000.00000000
PA
USD
5219459.86000000
0.374472276414
Long
DBT
CORP
US
N
2
2027-02-04
Fixed
1.04000000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAA8
9584000.00000000
PA
USD
9541219.32000000
0.684538671502
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
6.48048000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2015-2
63939GAC2
3254885.78000000
PA
USD
3175828.77000000
0.227851130366
Long
ABS-O
CORP
US
N
2
2040-11-26
Floating
5.99943000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300PX4QZK7CUM8D08
Wells Fargo Commercial Mortgage Trust 2014-LC16
94988XAT3
6547456.68000000
PA
USD
6471481.96000000
0.464299112616
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
3.54800000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKJ7
4275000.00000000
PA
USD
3811746.29000000
0.273475292197
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55100000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
3128HVR92
942768.40000000
PA
USD
921315.81000000
0.066100178547
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Floating
5.72776000
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
4880466.21000000
0.350151038736
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
6.24648000
N
N
N
N
N
N
Sophia LP
549300RP8NIJ7FY7OS79
Sophia LP
83578BAN3
581533.36000000
PA
USD
580928.57000000
0.041678957186
Long
LON
CORP
US
N
2
2027-10-07
Floating
8.97697000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NEQ3
2579688.00000000
PA
USD
224570.35000000
0.016111891351
Long
ABS-MBS
USGSE
US
N
2
2040-09-25
Floating
1.17057000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0226A8
17500000.00000000
PA
USD
13885830.00000000
0.996244536690
Long
ABS-MBS
USGSE
US
N
2
2053-10-15
Fixed
2.50000000
N
N
N
N
N
N
SLC Student Loan Trust
N/A
SLC Student Loan Trust 2007-1
784424AD5
1200657.19000000
PA
USD
1195259.88000000
0.085754407577
Long
ABS-O
CORP
US
N
2
2029-05-15
Floating
5.45106000
N
N
N
N
N
N
Banc of America Alternative Lo
N/A
Banc of America Alternative Loan Trust 2003-8
05948XTV3
2934242.00000000
PA
USD
2752013.83000000
0.197444354643
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJB8
94690000.00000000
PA
USD
94596352.54000000
6.786853894133
Long
DBT
UST
US
N
1
2025-09-30
Fixed
5.00000000
N
N
N
N
N
N
JDE PEET'S NV
724500EHG519SE5ZRT89
JDE Peet's NV
47216QAA1
935000.00000000
PA
USD
887704.20000000
0.063688699879
Long
DBT
CORP
NL
N
2
2024-09-24
Fixed
0.80000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-F
63942GAA1
2816528.79000000
PA
USD
2354141.65000000
0.168898852816
Long
ABS-O
CORP
US
N
2
2070-02-18
Fixed
1.11000000
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
Cox Communications Inc
224044AG2
900000.00000000
PA
USD
910886.71000000
0.065351938514
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
7.62500000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2021-3 LLC
69357PAA6
8668780.60000000
PA
USD
8248599.60000000
0.591799142495
Long
ABS-O
CORP
US
N
2
2026-04-25
Variable
1.86700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0226A4
33825000.00000000
PA
USD
27650558.79000000
1.983800617677
Long
ABS-MBS
USGA
US
N
2
2053-10-15
Fixed
2.50000000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
C-BASS 2007-CB5 Trust
12464YAA7
1930784.86000000
PA
USD
1131125.21000000
0.081153039521
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
3.06357000
N
N
N
N
N
N
BALTIMORE MD
N/A
City of Baltimore MD
059189NR7
1525000.00000000
PA
USD
1515888.58000000
0.108758044427
Long
DBT
MUN
US
N
2
2025-10-15
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20
46642CAD2
586551.88000000
PA
USD
584780.26000000
0.041955298256
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
3.53820000
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
Santander UK PLC
80283LAA1
1000000.00000000
PA
USD
997991.00000000
0.071601271325
Long
DBT
CORP
GB
N
2
2023-11-07
Fixed
5.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-c
63942JAA5
892130.73000000
PA
USD
758692.33000000
0.054432690648
Long
ABS-O
CORP
US
N
2
2069-10-15
Fixed
1.06000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300B54XJTQC6DWJ15
Magnetite VII Ltd
55951PBA4
3845519.25000000
PA
USD
3832352.19000000
0.274953670897
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
6.36957000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2003-1
576434BZ6
805224.94000000
PA
USD
788063.26000000
0.056539920000
Long
ABS-MBS
CORP
US
N
2
2032-12-25
Fixed
6.25000000
N
N
N
N
N
N
MMI CAPITAL TRUST I
N/A
MMI Capital Trust I
553086AC3
2000000.00000000
PA
USD
2069880.50000000
0.148504420673
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
7.62500000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2006-NC2 Trust
75156TAC4
101041.59000000
PA
USD
100726.61000000
0.007226671715
Long
ABS-O
CORP
US
N
2
2036-02-25
Floating
6.01420000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAV6
4835000.00000000
PA
USD
4443485.15000000
0.318799654363
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
IQVIA Inc
549300PLWY28YB00C717
IQVIA Inc
44969CBJ8
287857.46000000
PA
USD
288987.30000000
0.020733511702
Long
LON
CORP
US
N
2
2025-06-11
Floating
7.34477500
N
N
N
N
N
N
Patriot Container Corp
549300V4U8NYJ3YQD526
Patriot Container Corp
40435YAB2
39166.20000000
PA
USD
37330.28000000
0.002678276163
Long
LON
CORP
US
N
2
2025-03-20
Floating
9.11608000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
4515000.00000000
PA
USD
4218001.67000000
0.302622250127
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS30HKV5IAS29
Freddie Mac STACR REMIC Trust 2022-DNA6
35564KH36
1675597.12000000
PA
USD
1695626.87000000
0.121653441350
Long
ABS-MBS
CORP
US
N
2
2042-09-25
Floating
7.46495000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJG5
4891000.00000000
PA
USD
4635095.84000000
0.332546841466
Long
DBT
CORP
US
N
2
2025-09-25
Fixed
0.98100000
N
N
N
N
N
N
SOUTHERN CO GAS CAPITAL
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
001192AL7
1950000.00000000
PA
USD
1878592.21000000
0.134780364290
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.87500000
N
N
N
N
N
N
Residential Asset Securities C
N/A
RASC Series 2005-KS11 Trust
76110W7E0
1426472.71000000
PA
USD
1414593.40000000
0.101490580425
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
6.06420000
N
N
N
N
N
N
CAMPBELL CA UNION SCH DIST
N/A
Campbell Union School District
134141ZE3
3295000.00000000
PA
USD
3319260.10000000
0.238141669635
Long
DBT
MUN
US
N
2
2027-08-01
Fixed
5.40600000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM XXIV Ltd
50188YAE4
3494219.54000000
PA
USD
3486413.45000000
0.250134154905
Long
ABS-CBDO
CORP
KY
N
2
2030-03-20
Floating
6.56775000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CRF2
30.09000000
PA
USD
30.03000000
0.000002154514
Long
ABS-MBS
USGA
US
N
2
2026-09-20
Fixed
8.50000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797LL9
9000000.00000000
PA
USD
8772783.75000000
0.629406948126
Long
DBT
UST
US
N
1
2024-03-21
None
0.00000000
N
N
N
N
N
N
ILLUMINA INC
SQ95QG8SR5Q56LSNF682
Illumina Inc
452327AP4
2275000.00000000
PA
USD
2236886.52000000
0.160486335692
Long
DBT
CORP
US
N
2
2027-12-13
Fixed
5.75000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072UAK8
243073.07370000
PA
USD
220892.66000000
0.015848033982
Long
LON
CORP
US
N
2
2027-04-15
Floating
7.94668000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XCC2
4445000.00000000
PA
USD
4298803.42000000
0.308419404636
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.25000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12
61762XAV9
8043556.01000000
PA
USD
314.18000000
0.000022540972
Long
ABS-MBS
CORP
US
N
2
2046-10-15
Variable
0.67864200
N
N
N
N
N
N
Genesee & Wyoming Inc
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc
55316HAB1
191710.70000000
PA
USD
191720.29000000
0.013755050399
Long
LON
CORP
US
N
2
2026-12-30
Floating
7.49008000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398RCR4
386710.72000000
PA
USD
375810.12000000
0.026962650333
Long
ABS-MBS
USGSE
US
N
2
2040-05-25
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CUP9
8086.42000000
PA
USD
7698.64000000
0.000552342066
Long
ABS-MBS
USGA
US
N
2
2032-03-20
Floating
3.62500000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAZ9
2205000.00000000
PA
USD
2098845.70000000
0.150582540761
Long
DBT
CORP
N/A
N
2
2028-02-01
Fixed
5.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CVC7
4214.18000000
PA
USD
4122.30000000
0.000295756094
Long
ABS-MBS
USGA
US
N
2
2032-06-20
Floating
3.87500000
N
N
N
N
N
N
KFC Holding Co
549300G2LG4YUB3MM115
KFC Holding Co
72584DAF1
195755.86000000
PA
USD
195965.32000000
0.014059611807
Long
LON
CORP
US
N
2
2028-03-15
Floating
7.19505000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RQN2
4590.12000000
PA
USD
4621.41000000
0.000331564945
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.50000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2005-1
07324SBE1
88289.23000000
PA
USD
82893.83000000
0.005947251641
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
5.88420000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A63Z3
8255.14000000
PA
USD
8251.37000000
0.000591997905
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Floating
5.82776000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DP2
8405000.00000000
PA
USD
8269741.28000000
0.593315960950
Long
DBT
CORP
US
N
2
2028-03-02
Fixed
5.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398FXF3
888966.10000000
PA
USD
886444.99000000
0.063598357344
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
6.32943000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2019-70P
36257MAA3
10000000.00000000
PA
USD
9581910.00000000
0.687458040934
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
6.44748000
N
N
N
N
N
N
Grifols Worldwide Operations USA Inc
N/A
Grifols Worldwide Operations USA Inc
39843PAG8
1556388.94990000
PA
USD
1532264.92000000
0.109932971620
Long
LON
CORP
US
N
2
2027-11-15
Floating
7.41608000
N
N
N
N
N
N
Filtration Group Corporation
549300ZA0D9WN5ECE978
FILTRATION GROUP CORP
31732FAT3
79566.08000000
PA
USD
79776.13000000
0.005723570983
Long
LON
CORP
US
N
2
2028-10-21
Floating
9.68805000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBU8
7385000.00000000
PA
USD
6706987.95000000
0.481195585919
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
2.80000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2020-FL4 Ltd
58003UAA6
6048169.60000000
PA
USD
6053548.84000000
0.434314330467
Long
ABS-CBDO
CORP
US
N
2
2035-11-15
Floating
7.14668000
N
N
N
N
N
N
OCP CLO Ltd
25490025Q5WQX513IQ05
OCP CLO 2017-14 Ltd
67097QAA3
1923944.70000000
PA
USD
1922982.73000000
0.137965180252
Long
ABS-CBDO
CORP
KY
N
2
2030-11-20
Floating
6.79137000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MS45
6167.57000000
PA
USD
6148.25000000
0.000441108703
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A1
46630GAS4
70166.98000000
PA
USD
68284.18000000
0.004899076343
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.18961000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AVSY9
19100000.00000000
PA
USD
19045643.12000000
1.366437433415
Long
DBT
USGSE
US
N
2
2024-05-21
Fixed
5.37000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38384CLD9
8652372.20000000
PA
USD
8622100.92000000
0.618596147031
Long
ABS-MBS
USGA
US
N
2
2053-08-20
Floating
6.51426000
N
N
N
N
N
N
8th Avenue Food & Provisions Inc
549300PBCACU45IZ2V05
8th Avenue Food & Provisions Inc
28253PAC3
24273.16000000
PA
USD
23423.60000000
0.001680535735
Long
LON
CORP
US
N
2
2025-10-01
Floating
4.18056000
N
N
N
N
N
N
United AirLines Inc
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932RAJ3
101599.15300000
PA
USD
101916.65000000
0.007312051620
Long
LON
CORP
US
N
2
2028-04-21
Floating
9.18199000
N
N
N
N
N
N
Chemours Company (The)
549300M1BOLNXL8DOV14
CHEMOURS CO/THE
16384YAJ6
444531.80000000
PA
USD
440086.48000000
0.031574183997
Long
LON
CORP
US
N
2
2028-08-18
Floating
8.81608000
N
N
N
N
N
N
Independence Plaza Trust
N/A
Independence Plaza Trust 2018-INDP
45378YAL8
10000000.00000000
PA
USD
9306144.00000000
0.667673096793
Long
ABS-MBS
CORP
US
N
2
2035-07-10
Fixed
3.91100000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAD8
1245000.00000000
PA
USD
1039785.67000000
0.074599846971
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
5.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CG56
83.88000000
PA
USD
83.85000000
0.000006015852
Long
ABS-MBS
USGA
US
N
2
2025-06-20
Fixed
8.50000000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2021-1 LLC
693577AA6
4248571.59000000
PA
USD
4020878.32000000
0.288479554984
Long
ABS-O
CORP
US
N
2
2026-01-25
Variable
2.11500000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3J8
2935000.00000000
PA
USD
2883215.30000000
0.206857457618
Long
DBT
CORP
US
N
2
2024-03-08
Fixed
2.51400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398GE54
830866.20000000
PA
USD
826640.58000000
0.059307665557
Long
ABS-MBS
USGSE
US
N
2
2040-02-25
Floating
6.18943000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2007-A2
16163LAF9
435620.58000000
PA
USD
423124.11000000
0.030357211843
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
4.92102700
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H5FY8
11021173.06000000
PA
USD
9891554.62000000
0.709673620485
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Fixed
1.67900000
N
N
N
N
N
N
Sunshine Luxembourg VII SARL
254900CHQOBZNYV4DY60
Sunshine Luxembourg VII Sarl
000000000
1543341.74720000
PA
USD
1542701.26000000
0.110681731089
Long
LON
CORP
LU
N
2
2026-10-01
Floating
9.24008000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468V4
5000000.00000000
PA
USD
4460889.50000000
0.320048336552
Long
DBT
CORP
US
N
2
2026-12-10
Fixed
0.98500000
N
N
N
N
N
N
LHOME Mortgage Trust
N/A
LHOME Mortgage Trust 2021-RTL1
501894AA7
907137.22000000
PA
USD
903463.04000000
0.064819324282
Long
ABS-MBS
CORP
US
N
2
2026-02-25
Variable
2.09000000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2005-EFC1 Trust
76112BRQ5
1908276.94000000
PA
USD
1874524.86000000
0.134488550606
Long
ABS-O
CORP
US
N
2
2035-05-25
Floating
6.40920000
N
N
N
N
N
N
Nyack Park CLO, Ltd.
N/A
NYACK Park CLO Ltd
67080PAA4
1088169.64000000
PA
USD
1078104.07000000
0.077349016207
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
6.23775000
N
N
N
N
N
N
AMCOR FLEXIBLES NORTH AM
PTVU09TE3QPJPL7K4E13
Amcor Flexibles North America Inc
02343JAA8
4125000.00000000
PA
USD
3990933.91000000
0.286331181076
Long
DBT
CORP
US
N
2
2025-05-17
Fixed
4.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-DC2 Mortgage Trust
12594CBD1
114763.51000000
PA
USD
111728.20000000
0.008015985277
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B9AC1
5262102.13000000
PA
USD
5094453.66000000
0.365503655611
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Floating
5.92943000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust 2019-4
14315WAG5
3270000.00000000
PA
USD
3246401.39000000
0.232914391771
Long
ABS-O
CORP
US
N
2
2025-09-15
Fixed
2.60000000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURA
Z7LVXXWM8HZPKF5T2355
Nationwide Mutual Insurance Co
638671AJ6
5550000.00000000
PA
USD
5550789.27000000
0.398243640067
Long
DBT
CORP
US
N
2
2024-12-15
Floating
7.96104000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAF8
2000000.00000000
PA
USD
1721199.36000000
0.123488150074
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TLMU9
149597.60000000
PA
USD
148397.63000000
0.010646848488
Long
ABS-MBS
USGSE
US
N
2
2029-07-15
Fixed
6.00000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBA0
8400000.00000000
PA
USD
7757334.98000000
0.556553161971
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AQ2
175000.00000000
PA
USD
156426.14000000
0.011222857212
Long
DBT
CORP
GB
N
2
2028-11-07
Fixed
3.57400000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N2
14686KAE7
2410646.98000000
PA
USD
2302279.36000000
0.165177971668
Long
ABS-O
CORP
US
N
2
2028-03-10
Fixed
1.27000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-14
12669FT52
6929.69000000
PA
USD
6167.11000000
0.000442461822
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
5.36693000
N
N
N
N
N
N
Trans Union LLC
X8NPN6PWJOM1QCTYFV34
Trans Union LLC
89334GAZ7
130767.15000000
PA
USD
130865.88000000
0.009389025934
Long
LON
CORP
US
N
2
2028-12-01
Floating
7.68805000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2004-AA3
32051D6B3
1138.22000000
PA
USD
1068.76000000
0.000076678622
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
6.06141400
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
1488550.00000000
0.106796626855
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A1
46630GAA3
179177.45000000
PA
USD
179168.68000000
0.012854530020
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
5.67769000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/EUR FORWARD
000000000
1.00000000
NC
USD
346920.37000000
0.024889943437
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-10638000.00000000
EUR
11616600.26000000
USD
2023-10-13
346920.37000000
N
N
N
Horizon Therapeutics USA Inc
254900IS87RLPXY88S03
Horizon Therapeutics USA Inc
44055UAD7
328609.40000000
PA
USD
328721.13000000
0.023584231540
Long
LON
CORP
US
N
2
2028-03-15
Floating
7.18420000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2007-CH4
46630CAF1
7750000.00000000
PA
USD
7308745.23000000
0.524368907400
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.66420000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Corp 2005-FRE1
46626LCC2
3598087.56000000
PA
USD
3489690.49000000
0.250369267476
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.93056500
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
SWOP 10 YEAR CAP
000000000
-300000.00000000
NC
USD
-3.00000000
-0.00000021523
N/A
DIR
CORP
US
N
2
THE 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
JPMorgan US Government Money Market Fund
549300NQ5E5B7ZV4T516
JPMorgan US Government Money Market Fund
4812C2684
21904000.00000000
NS
USD
21904000.00000000
1.571511413553
Long
STIV
RF
US
N
1
N
N
N
FEDERAL REALTY OP LP
549300LI6XZ51GOCJ427
Federal Realty OP LP
313747AF4
1850000.00000000
PA
USD
1894968.14000000
0.135955262067
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
7.48000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJA0
28455000.00000000
PA
USD
28473895.54000000
2.042871248604
Long
DBT
UST
US
N
1
2028-09-30
Fixed
4.62500000
N
N
N
N
N
N
Nationstar Home Equity Loan Tr
N/A
Nationstar Home Equity Loan Trust 2007-B
63860LAA8
2063529.50000000
PA
USD
2043283.18000000
0.146596185102
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.65420000
N
N
N
N
N
N
Formula One Management Limited
549300BBG8Z3D6QSYP53
Delta 2 Lux Sarl
000000000
29788.43000000
PA
USD
29821.94000000
0.002139587248
Long
LON
CORP
LU
N
2
2030-01-15
Floating
8.31608000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2020-4 LLC
69359XAA7
5861471.40000000
PA
USD
5745743.09000000
0.412230681395
Long
ABS-MBS
CORP
US
N
2
2025-10-25
Variable
2.95100000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust
92922FTX6
679100.29000000
PA
USD
632633.74000000
0.045388565696
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Fixed
5.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2018-GS9
36255NAR6
269433.66000000
PA
USD
265427.69000000
0.019043217873
Long
ABS-MBS
CORP
US
N
2
2051-03-10
Fixed
3.83900000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-5
45254NPU5
920584.91000000
PA
USD
828172.55000000
0.059417577370
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
6.07420000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWC27
12296656.07000000
PA
USD
9779598.82000000
0.701641305953
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Gainwell Acquisition Corp
N/A
Gainwell Acquisition Corp
59909TAC8
640126.58000000
PA
USD
626123.81000000
0.044921508113
Long
LON
CORP
US
N
2
2027-10-01
Floating
9.49008000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAA4
11067266.01000000
PA
USD
11041472.09000000
0.792174918364
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
6.36001000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B72K6
2891256.60000000
PA
USD
2799976.16000000
0.200885431570
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
5.92943000
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
3719236.49000000
0.266838138866
Long
DBT
MUN
US
N
2
2026-11-01
Fixed
2.31000000
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
4934227.50000000
0.354008164413
Long
ABS-CBDO
CORP
KY
N
2
2034-08-15
Floating
6.51668000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHY0
51815000.00000000
PA
USD
51564008.14000000
3.699480794400
Long
DBT
UST
US
N
1
2026-09-15
Fixed
4.62500000
N
N
N
N
N
N
SLM Student Loan Trust
N/A
SLM Student Loan Trust 2012-2
78446YAA1
1664078.12000000
PA
USD
1605871.91000000
0.115213935138
Long
ABS-O
CORP
US
N
2
2029-01-25
Floating
6.12943000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDC4
12864887.11000000
PA
USD
9784259.31000000
0.701975674709
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2021-3
80287EAF2
6260000.00000000
PA
USD
5883556.59000000
0.422118167159
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
1.33000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WVQ6
144054.92000000
PA
USD
142527.91000000
0.010225723033
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
5.89943000
N
N
N
N
N
N
Reese Park CLO, Ltd.
N/A
REESE PARK CLO LTD
758465AY4
1424999.62000000
PA
USD
1419470.62000000
0.101840498563
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
6.46957000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419ACV7
433328.41000000
PA
USD
440649.88000000
0.031614605359
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
6.00000000
N
N
N
N
N
N
II-VI Incorporated
549300O5C25A0MMHHU33
Coherent Corp
45173JAQ7
136707.85000000
PA
USD
136515.78000000
0.009794380314
Long
LON
CORP
US
N
2
2029-07-02
Floating
8.18056000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AVT93
19280000.00000000
PA
USD
19255942.99000000
1.381525483359
Long
DBT
USGSE
US
N
2
2024-05-22
Fixed
5.30000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AA7
8456667.46000000
PA
USD
8377825.95000000
0.601070539681
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
6.34668000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust 2006-FF11
32028PAA3
689723.76000000
PA
USD
688044.87000000
0.049364059817
Long
ABS-O
CORP
US
N
2
2036-08-25
Floating
5.69420000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0426A6
56250000.00000000
PA
USD
51648926.06000000
3.705573265205
Long
ABS-MBS
USGSE
US
N
2
2053-10-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404KNR9
78757.54000000
PA
USD
77924.43000000
0.005590720011
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Floating
4.93700000
N
N
N
N
N
N
City Brewing Company LLC
N/A
City Brewing Co LLC
17776EAB1
147881.05000000
PA
USD
97847.71000000
0.007020123861
Long
LON
CORP
US
N
2
2028-04-05
Floating
9.06957000
N
N
N
N
N
N
Student Loan Consolidation Cen
5493008KMDJ3GC7JUA63
Student Loan Consolidation Center Student Loan Trust I
86386MAX2
2800000.00000000
PA
USD
2587404.40000000
0.185634383951
Long
ABS-O
CORP
US
N
2
2042-07-01
Floating
0.01000000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
JGWPT XXX LLC
46617LAA9
2718011.34000000
PA
USD
2370977.83000000
0.170106771417
Long
ABS-O
CORP
US
N
2
2073-01-17
Fixed
4.08000000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2007-7
12669VAA6
7225017.43000000
PA
USD
6571448.49000000
0.471471252082
Long
ABS-O
CORP
US
N
2
2047-10-25
Floating
5.63420000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EG5M2
509506.44000000
PA
USD
526617.09000000
0.037782357902
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
6.00000000
N
N
N
N
N
N
CIT Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust 2007-1
12559QAA0
874914.68000000
PA
USD
874580.29000000
0.062747119603
Long
ABS-O
CORP
US
N
2
2037-10-25
Floating
6.78420000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
3274000.00000000
PA
USD
2433318.32000000
0.174579415298
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
SLM Student Loan Trust
N/A
SLM Student Loan Trust 2014-1
78448EAC9
2997149.18000000
PA
USD
2873611.49000000
0.206168428353
Long
ABS-O
CORP
US
N
2
2029-02-26
Floating
6.02943000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2006-14
23243LAD4
2332902.06000000
PA
USD
2167968.22000000
0.155541764150
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
5.91420000
N
N
N
N
N
N
Elanco Animal Health Inc
549300SHPNDCE059M934
Elanco Animal Health Inc
28414BAF3
507129.69940000
PA
USD
498077.43000000
0.035734768356
Long
LON
CORP
US
N
2
2027-08-01
Floating
7.17968000
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
830432.51000000
0.059579719122
Long
DBT
MUN
US
N
2
2029-10-01
Fixed
2.28700000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust
92922F4M7
821725.00000000
PA
USD
765094.01000000
0.054891981791
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
6.01420000
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
889832.61000000
0.063841403522
Long
DBT
MUN
US
N
2
2023-11-15
Fixed
0.87700000
N
N
N
N
N
N
METROPOLITAN EDISON CO
N/A
Metropolitan Edison Co
591894CB4
1467000.00000000
PA
USD
1407259.23000000
0.100964387407
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.00000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage T
N/A
ReadyCap Commercial Mortgage Trust 2019-6
75575QAA7
2171759.87000000
PA
USD
2048459.94000000
0.146967593860
Long
ABS-MBS
CORP
US
N
2
2052-10-25
Fixed
2.83340000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE15 Mortgage Trust
12591RAY6
241834.07000000
PA
USD
240961.82000000
0.017287904052
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Fixed
3.59500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2017-SMP
95001CAA0
6300000.00000000
PA
USD
5771557.26000000
0.414082729550
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Floating
6.25400000
N
N
N
N
N
N
Oracle Corporation
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
000000000
913971.86000000
PA
USD
912829.40000000
0.065491317600
Long
LON
CORP
US
N
2
2027-08-16
Floating
7.01530000
N
N
N
N
N
N
Open Text Corporation
549300HP7ONDQODZJV16
OTEXCN TL B 1L USD
68371YAJ2
135128.49000000
PA
USD
135377.13000000
0.009712687405
Long
LON
CORP
CA
N
2
2025-05-30
Floating
7.17357000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4
59020ULQ6
440845.12000000
PA
USD
400549.10000000
0.028737558543
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.76476600
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
2440000.00000000
PA
USD
2230559.96000000
0.160032434064
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
Bausch & Lomb Corporation
549300NY6OZM39SO6475
Bausch + Lomb Corp
000000000
41710.22000000
PA
USD
40621.17000000
0.002914382409
Long
LON
CORP
CA
N
2
2027-05-10
Floating
8.75525000
N
N
N
N
N
N
MortgageIT Trust
N/A
MortgageIT Trust 2005-4
61913PAZ5
2189733.69000000
PA
USD
2157417.38000000
0.154784789831
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
5.99420000
N
N
N
N
N
N
Peraton Corp
549300EQPCK07ZW63836
Peraton Corp
71360HAB3
240501.04000000
PA
USD
240301.42000000
0.017240523384
Long
LON
CORP
US
N
2
2028-02-01
Floating
9.16608000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AP6
4960000.00000000
PA
USD
4117840.36000000
0.295436136090
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.83200000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAK0
3255000.00000000
PA
USD
2903129.29000000
0.208286194953
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.62500000
N
N
N
N
N
N
GTCR W Merger Sub LLC
N/A
GTCR W MERGER SUB
92943EAB2
296440.20000000
PA
USD
296548.40000000
0.021275985905
Long
LON
CORP
US
N
2
2030-09-20
Floating
0.00000000
N
N
N
N
N
N
Soundview Home Equity Loan Tru
N/A
Soundview Home Loan Trust 2006-OPT4
83611YAE2
3555234.96000000
PA
USD
3364934.96000000
0.241418631094
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.89420000
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
384487.51000000
0.027585213218
Long
DBT
MUN
US
N
2
2028-10-01
Fixed
2.13700000
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2020-3
025297AD4
1638924.84000000
PA
USD
1620992.71000000
0.116298783101
Long
ABS-O
CORP
US
N
2
2026-06-15
Fixed
2.40000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
292480AL4
1150000.00000000
PA
USD
1100313.97000000
0.078942474541
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
N
N
N
N
N
N
New Century Home Equity Loan T
N/A
New Century Home Equity Loan Trust 2005-3
64352VLM1
40282.28000000
PA
USD
40411.08000000
0.002899309416
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
6.39420000
N
N
N
N
N
N
AmWINS Group Inc
549300SJE7MUB8NMRG61
AmWINS Group Inc
03234TAW8
193073.97050000
PA
USD
192153.01000000
0.013786096072
Long
LON
CORP
US
N
2
2028-02-19
Floating
7.68056000
N
N
N
N
N
N
Charter Communications Operating LLC
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBX6
240601.46440000
PA
USD
240617.10000000
0.017263171975
Long
LON
CORP
US
N
2
2027-02-01
Floating
7.09832500
N
N
N
N
N
N
Bausch & Lomb Corporation
549300NY6OZM39SO6475
BAUSCH + LOMB CORP
000000000
266288.51000000
PA
USD
263292.76000000
0.018890046450
Long
LON
CORP
CA
N
2
2028-09-14
Floating
0.00000000
N
N
N
N
N
N
Hostess Brands LLC
549300SW7FLS4O41LD19
HOSTESS BRANDS LLC
000000000
144355.27000000
PA
USD
144851.13000000
0.010392403399
Long
LON
CORP
US
N
2
2030-06-21
Floating
7.89008000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797HN0
13000000.00000000
PA
USD
12877245.29000000
0.923883215319
Long
DBT
UST
US
N
1
2023-12-05
None
0.00000000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAM9
6745000.00000000
PA
USD
6187139.53000000
0.443898849006
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K6NM8
981.98000000
PA
USD
977.37000000
0.000070121809
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
7.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAP6
1350000.00000000
PA
USD
1145192.81000000
0.082162325220
Long
DBT
CORP
KY
N
2
2028-02-21
Fixed
2.75000000
N
N
N
N
N
N
New Century Home Equity Loan T
N/A
New Century Home Equity Loan Trust Series 2005-D
64352VPQ8
4615179.33000000
PA
USD
4387900.67000000
0.314811723175
Long
ABS-O
CORP
US
N
2
2036-02-25
Floating
6.10920000
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
931500.00000000
PA
USD
915394.77000000
0.065675371117
Long
DBT
CORP
US
N
2
2028-03-20
Fixed
5.15200000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AK7
4880000.00000000
PA
USD
4789463.90000000
0.343622040889
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
2.03100000
N
N
N
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust 2018-KEYS
04410CAA7
1828266.62000000
PA
USD
1803009.41000000
0.129357645478
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
6.50500000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2003-5
576434FF6
1445552.72000000
PA
USD
1330984.57000000
0.095492030817
Long
ABS-MBS
CORP
US
N
2
2033-07-25
Fixed
5.50000000
N
N
N
N
N
N
Setanta Aircraft Leasing DAC
N/A
Setanta Aircraft Leasing DAC
000000000
515000.00000000
PA
USD
515404.28000000
0.036977890276
Long
LON
CORP
IE
N
2
2028-11-05
Floating
7.65169000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394NT81
1133413.28000000
PA
USD
1120729.76000000
0.080407213721
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Floating
6.02776000
N
N
N
N
N
N
Zayo Group Holdings Inc
529900Z6OTS7RT0V0I47
Zayo Group Holdings Inc
98919XAB7
1462631.58000000
PA
USD
1198699.71000000
0.086001199583
Long
LON
CORP
US
N
2
2027-03-09
Floating
8.43056000
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
1681879.12000000
0.120667103419
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAX1
4665000.00000000
PA
USD
4417018.16000000
0.316900769371
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.85000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XVII Ltd
55818YBN0
10358909.61000000
PA
USD
10321617.54000000
0.740528660082
Long
ABS-CBDO
CORP
KY
N
2
2030-07-21
Floating
6.59513000
N
N
N
N
N
N
Frontier Communications Corporation
N/A
Frontier Communications Holdings LLC
35906EAQ3
109880.76000000
PA
USD
107104.62000000
0.007684264644
Long
LON
CORP
US
N
2
2027-10-08
Floating
9.18056000
N
N
N
N
N
N
Horizon Therapeutics USA Inc
254900IS87RLPXY88S03
Horizon Therapeutics USA Inc
44055UAC9
1000000.00000000
PA
USD
1000780.00000000
0.071801369268
Long
LON
CORP
US
N
2
2026-05-22
Floating
7.43420000
N
N
N
N
N
N
1011778 BC Unlimited Liability Company
549300RHSHNRWI5LLA86
1011778 BC ULC
000000000
189005.99000000
PA
USD
188514.57000000
0.013525054710
Long
LON
CORP
CA
N
2
2030-09-13
Floating
7.56608000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GW75
4235000.00000000
PA
USD
4230269.55000000
0.303502414181
Long
DBT
CORP
US
N
2
2026-05-05
Floating
6.01146000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2020-SFR3 Trust
74333AAL4
6980000.00000000
PA
USD
6360617.83000000
0.456345120393
Long
ABS-O
CORP
US
N
2
2027-10-17
Fixed
2.79600000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust 2005-E
35729PNC0
5809898.32000000
PA
USD
5461577.49000000
0.391843104526
Long
ABS-O
CORP
US
N
2
2036-01-25
Floating
6.09420000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0406A0
33300000.00000000
PA
USD
29650007.65000000
2.127251891613
Long
ABS-MBS
USGSE
US
N
2
2053-10-15
Fixed
4.00000000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
Securitized Asset Backed Receivables LLC Trust 2006-CB1
81375WHH2
1400472.11000000
PA
USD
1125349.36000000
0.080738648807
Long
ABS-O
CORP
US
N
2
2036-01-25
Variable
2.84825100
N
N
N
N
N
N
Dreyfus Government Cash Management
5493000Q69I5Q3QZIA91
Dreyfus Government Cash Management
262006208
50000000.00000000
NS
USD
50000000.00000000
3.587270392515
Long
STIV
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NTE4
494572.24000000
PA
USD
484561.75000000
0.034765080382
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Floating
5.82943000
N
N
N
N
N
N
ARTERA SERVICES LLC
549300J2G34D0WX8Z443
Artera Services LLC
73939VAA2
2500000.00000000
PA
USD
2310363.35000000
0.165757960828
Long
DBT
CORP
US
N
2
2025-12-04
Fixed
9.03300000
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2019-4
02529RAG3
65278.05000000
PA
USD
65196.59000000
0.004677555939
Long
ABS-O
CORP
US
N
2
2025-12-12
Fixed
2.97000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AC2
5375000.00000000
PA
USD
4952735.16000000
0.355336004028
Long
DBT
CORP
CH
N
2
2028-01-09
Fixed
4.28200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
313921X45
278874.27000000
PA
USD
281351.68000000
0.020185691030
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Floating
6.37943000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2011-GC5
36191YAE8
2565274.22000000
PA
USD
2449839.73000000
0.175764750596
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
5.20900000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-PC1 Mortgage Trust
12593GAE2
2621647.04000000
PA
USD
2539185.07000000
0.182174868454
Long
ABS-MBS
CORP
US
N
2
2050-07-10
Fixed
3.62000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAP8
2175000.00000000
PA
USD
1929378.95000000
0.138424079665
Long
DBT
CORP
GB
N
2
2027-05-11
Fixed
1.62700000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300A8L0VCZ9626397
Palmer Square CLO 2018-1 Ltd
69703PAA7
1960496.23000000
PA
USD
1959031.74000000
0.140551531177
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
6.60150000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
Credit-Based Asset Servicing and Securitization LLC
1248MEAA7
679051.03000000
PA
USD
661993.64000000
0.047495003696
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
2.82198600
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2003-9
576434KX1
1662299.84000000
PA
USD
1571727.27000000
0.112764214015
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Fixed
5.25000000
N
N
N
N
N
N
Nortonlifelock Inc
YF6ZV0M6AU4FY94MK914
Gen Digital Inc
66877AAC2
578590.99000000
PA
USD
575700.93000000
0.041303898022
Long
LON
CORP
US
N
2
2027-09-10
Floating
6.91608000
N
N
N
N
N
N
Goal Capital Funding Trust
5493009VZI2B6V83UU74
Goal Capital Funding Trust 2006-1
38021BAG5
1229274.51000000
PA
USD
1116330.73000000
0.080091603519
Long
ABS-MBS
USGA
US
N
2
2042-08-25
Floating
6.10266000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
5241.00000000
NC
USD
-3559765.28000000
-0.25539681186
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
2023-12-29
1065967791.35000000
USD
-3559765.28000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10yr Ultra
000000000
-652.00000000
NC
USD
2082220.68000000
0.149389771920
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
2023-12-19
-74820970.68000000
USD
2082220.68000000
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust
939336V91
272285.12000000
PA
USD
246742.35000000
0.017702630534
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
4.18917100
N
N
N
N
N
N
Element Materials Technology Group US Holding Inc
213800EGOJGGUKUGEZ30
Element Materials Technology Group US Holdings Inc
000000000
265270.96000000
PA
USD
262839.75000000
0.018857545063
Long
LON
CORP
US
N
2
2029-06-22
Floating
9.74008000
N
N
N
N
N
N
Berry Global Inc
549300AP2Q7ERHX6RI89
Berry Global Inc
08579JBG6
2615550.77790000
PA
USD
2618440.96000000
0.187861114607
Long
LON
CORP
US
N
2
2026-07-01
Floating
7.29251000
N
N
N
N
N
N
Merrill Lynch First Franklin M
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3
59024VAG4
7157582.62000000
PA
USD
6609533.68000000
0.474203689571
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
5.79420000
N
N
N
N
N
N
Mid-State Trust
N/A
Mid-State Trust
59549RAG9
245377.96000000
PA
USD
235255.87000000
0.016878528342
Long
ABS-O
CORP
US
N
2
2036-02-15
Fixed
5.82000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGL7
8050000.00000000
PA
USD
7418385.73000000
0.532235109789
Long
DBT
CORP
US
N
2
2028-04-24
Fixed
3.70500000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2020-1
03067DAG0
6065000.00000000
PA
USD
5882240.32000000
0.422023730831
Long
ABS-O
CORP
US
N
2
2025-12-18
Fixed
1.80000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VINO
05608KAA8
4046705.27000000
PA
USD
3972722.27000000
0.285024579537
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
6.09881000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2007-CH5
46631KAA3
9199499.83000000
PA
USD
9052580.14000000
0.649481054241
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
5.59420000
N
N
N
N
N
N
Naked Juice LLC
549300Y5TU1XQ1KVLJ64
Naked Juice LLC
62984CAB9
136413.76000000
PA
USD
112008.66000000
0.008036106994
Long
LON
CORP
US
N
2
2030-01-24
Floating
11.49008000
N
N
N
N
N
N
Mid-State Trust
N/A
Mid-State Capital Corp 2006-1 Trust
59548PAA7
2439104.86000000
PA
USD
2353791.31000000
0.168873717530
Long
ABS-O
CORP
US
N
2
2040-10-15
Fixed
5.78700000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AF5
2605000.00000000
PA
USD
2359663.47000000
0.169295018044
Long
DBT
CORP
CH
N
2
2029-01-12
Fixed
3.86900000
N
N
N
N
N
N
Ameriquest Mortgage Securities
N/A
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9
03072SQ32
6817100.12000000
PA
USD
6575061.03000000
0.471730435238
Long
ABS-O
CORP
US
N
2
2035-11-25
Floating
6.13920000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAD6
1451000.00000000
PA
USD
1346960.33000000
0.096638218234
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
3.50000000
N
N
N
N
N
N
Vericrest Opportunity Loan Tra
N/A
VOLT XCIV LLC
92873AAA6
6153155.88000000
PA
USD
5825934.13000000
0.417984020265
Long
ABS-O
CORP
US
N
2
2051-02-27
Variable
2.23950000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0306A1
40425000.00000000
PA
USD
33431158.88000000
2.398532128753
Long
ABS-MBS
USGSE
US
N
2
2053-10-15
Fixed
3.00000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAN5
7000000.00000000
PA
USD
6807297.42000000
0.488392329756
Long
DBT
CORP
GB
N
2
2025-03-15
Fixed
1.08900000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BR5
830000.00000000
PA
USD
805878.76000000
0.057818100314
Long
DBT
CORP
US
N
2
2029-06-12
Fixed
5.58200000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
000000000
2000000.00000000
PA
2011387.95000000
0.144307848817
Long
DBT
CORP
CH
N
2
2026-10-13
Fixed
2.12500000
N
N
N
N
N
N
NEW YORK ST DORM AUTH ST PERSO
549300C8XO7EXTX2XU71
New York State Dormitory Authority
649902S95
4040000.00000000
PA
USD
4025922.62000000
0.288841460345
Long
DBT
MUN
US
N
2
2024-03-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0326A7
3975000.00000000
PA
USD
3419120.50000000
0.245306194761
Long
ABS-MBS
USGSE
US
N
2
2053-10-15
Fixed
3.50000000
N
N
N
N
N
N
Medline Borrower LP
254900QT3R363TVK6F09
Medline Borrower LP
58503UAC7
355227.83000000
PA
USD
354682.56000000
0.025446844924
Long
LON
CORP
US
N
2
2028-10-23
Floating
8.68056000
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
2008203.58000000
PA
USD
1912371.02000000
0.137203838791
Long
ABS-O
CORP
US
N
2
2035-08-25
Floating
6.16920000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2007-A1
161630AW8
2400933.24000000
PA
USD
2301373.98000000
0.165113014811
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
5.34395400
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2023-R01
207932AA2
2950445.96000000
PA
USD
3002756.19000000
0.215433967526
Long
ABS-MBS
CORP
US
N
2
2042-12-25
Floating
7.71495000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAR2
5905000.00000000
PA
USD
4989178.79000000
0.357950667126
Long
DBT
CORP
KY
N
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
Fertitta Entertainment LLC
984500A0805D8V551D35
Fertitta Entertainment LLC/NV
31556PAB3
452405.43000000
PA
USD
448612.01000000
0.032185851623
Long
LON
CORP
US
N
2
2029-01-26
Floating
9.31608000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
SWOP 10 YEAR CAP
000000000
300000.00000000
NC
USD
3.00000000
0.000000215236
N/A
DIR
CORP
US
N
2
THE 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
-938997.00000000
N
N
N
BNC Mortgage Loan Trust
N/A
BNC Mortgage Loan Trust 2007-1
05569GAD8
4113580.63000000
PA
USD
3787557.77000000
0.271739876965
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.59420000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BW6
750000.00000000
PA
USD
722900.58000000
0.051864796947
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
4.75000000
N
N
N
N
N
N
Element Materials Technology Group US Holding Inc
213800EGOJGGUKUGEZ30
Element Materials Technology Group US Holdings Inc
000000000
574753.77000000
PA
USD
569486.15000000
0.040858016096
Long
LON
CORP
US
N
2
2029-06-22
Floating
9.74008000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2006-4
126670WV6
3301009.22000000
PA
USD
3217645.86000000
0.230851314543
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
5.95920000
N
N
N
N
N
N
Jane Street Group LLC
5493002N1IVX6KHGYO08
Jane Street Group LLC
47077DAG5
734886.64000000
PA
USD
734015.80000000
0.052662262939
Long
LON
CORP
US
N
2
2028-01-26
Floating
8.18805000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0206A2
22875000.00000000
PA
USD
17395591.13000000
1.248053780419
Long
ABS-MBS
USGSE
US
N
2
2053-10-15
Fixed
2.00000000
N
N
N
N
N
N
Renaissance Holding Corp
549300UKKEC0Y6TXNF09
RENAISSANCE HOLDINGS COR
75972JAB0
80181.96000000
PA
USD
79680.82000000
0.005716732928
Long
LON
CORP
US
N
2
2030-04-07
Floating
10.02897500
N
N
N
N
N
N
MortgageIT Trust
N/A
MortgageIT Trust 2005-3
61915RAK2
86958.93000000
PA
USD
82274.67000000
0.005902829754
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
6.03420000
N
N
N
N
N
N
American Money Management Corp
549300R4YQWFRASHVE93
AMMC CLO XIII Ltd
00176DAQ2
1884036.93000000
PA
USD
1881681.88000000
0.135002033925
Long
ABS-CBDO
CORP
KY
N
2
2029-07-24
Floating
6.65718000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0506A5
4600000.00000000
PA
USD
4359218.80000000
0.312753930714
Long
ABS-MBS
USGA
US
N
2
2053-10-15
Fixed
5.00000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2013-1
64033CAA8
1211668.11000000
PA
USD
1188840.40000000
0.085293839366
Long
ABS-O
CORP
US
N
2
2041-06-25
Floating
6.02943000
N
N
N
N
N
N
DirectV Financing LLC
N/A
Directv Financing LLC
25460HAB8
374243.68000000
PA
USD
366603.50000000
0.026302117626
Long
LON
CORP
US
N
2
2027-08-02
Floating
10.43056000
N
N
N
N
N
N
PHH Alternative Mortgage Trust
N/A
PHH Alternative Mortgage Trust Series 2007-3
69337MAC4
4394002.23000000
PA
USD
4139239.74000000
0.296971443336
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
6.03420000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2020-3
36260CAD4
3588305.13000000
PA
USD
3527122.37000000
0.253054832973
Long
ABS-O
CORP
US
N
2
2026-05-15
Fixed
2.27000000
N
N
N
N
N
N
DIGITAL EURO FINCO
635400OUEAPTXSW3SC91
Digital Euro Finco LLC
000000000
7715000.00000000
PA
8052099.32000000
0.577701149764
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
2.62500000
N
N
N
N
N
N
NMLT Trust
N/A
NLT 2021-INV2 Trust
62917JAA8
5969331.76000000
PA
USD
4858773.40000000
0.348594679235
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
1.16200000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust 2004-FF5
32027NKU4
342434.06000000
PA
USD
317461.51000000
0.022776405511
Long
ABS-O
CORP
US
N
2
2034-08-25
Floating
6.43420000
N
N
N
N
N
N
AthenaHealth Group Inc
254900AA3KZN4Q7A5Z33
AthenaHealth Group Inc
04686RAB9
243558.48700000
PA
USD
239677.38000000
0.017195751380
Long
LON
CORP
US
N
2
2029-02-15
Floating
8.56843000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2005-WL3
542514PR9
641103.08000000
PA
USD
636778.07000000
0.045685902342
Long
ABS-O
CORP
US
N
2
2035-11-25
Floating
6.07920000
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
1065366.57000000
0.076435159074
Long
DBT
MUN
US
N
2
2025-08-01
Fixed
3.19000000
N
N
N
N
N
N
Terwin Mortgage Trust
N/A
Terwin Mortgage Trust 2004-7HE
881561FV1
61926.95000000
PA
USD
57333.71000000
0.004113430407
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
6.53420000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trus
N/A
CFCRE Commercial Mortgage Trust 2016-C4
12531YAL2
1197682.75000000
PA
USD
1150440.75000000
0.082538840816
Long
ABS-MBS
CORP
US
N
2
2058-05-10
Fixed
3.09100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359QS96
3500.54000000
PA
USD
3445.31000000
0.000247185171
Long
ABS-MBS
USGSE
US
N
2
2027-09-17
Floating
5.87776000
N
N
N
N
N
N
Corporation Service Company
N/A
WMB Holdings Inc
22006VAL3
476250.00000000
PA
USD
476785.78000000
0.034207190243
Long
LON
CORP
US
N
2
2029-11-02
Floating
8.66608000
N
N
N
N
N
N
MASTR Seasoned Securitization
N/A
MASTR Seasoned Securitization Trust 2004-1
55265WBD4
82243.67000000
PA
USD
79068.75000000
0.005672819716
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Variable
5.73143200
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003 26A
86359AS95
196126.89000000
PA
USD
188398.12000000
0.013516699957
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
6.46102100
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GX74
2182000.00000000
PA
USD
1944245.90000000
0.139490715056
Long
DBT
CORP
US
N
2
2036-08-15
Floating
6.10618000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378MVN2
316370.36000000
PA
USD
302804.24000000
0.021724813697
Long
ABS-MBS
USGA
US
N
2
2026-12-20
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FRTX9
4780436.31000000
PA
USD
4623030.41000000
0.331681202269
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Floating
5.87943000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21
61764XBK0
31707491.64000000
PA
USD
243882.93000000
0.017497480280
Long
ABS-MBS
CORP
US
N
2
2048-03-15
Variable
0.97925600
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-BIOD Mortgage Trust
23306GAA5
9082801.15000000
PA
USD
9043551.64000000
0.648833300827
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
6.43102000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AT5
5545000.00000000
PA
USD
4915565.42000000
0.352669245872
Long
DBT
CORP
CH
N
2
2027-02-02
Fixed
1.30500000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust
92922FD47
110688.88000000
PA
USD
107205.40000000
0.007691495146
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
6.09420000
N
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2004-3
07384MR20
191882.78000000
PA
USD
176883.65000000
0.012690589611
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Variable
5.10740000
N
N
N
N
N
N
CDK Global Inc
N/A
Central Parent Inc
15477BAB3
145728.68000000
PA
USD
145936.34000000
0.010470262233
Long
LON
CORP
US
N
2
2029-07-06
Floating
9.64008000
N
N
N
N
N
N
Madison Park Funding Ltd
254900END3IQSN7CTN87
Madison Park Funding XIX Ltd
55819QAY3
5110687.29000000
PA
USD
5091777.75000000
0.365311671356
Long
ABS-CBDO
CORP
KY
N
2
2028-01-22
Floating
6.52718000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F62S5
989227.18000000
PA
USD
962713.72000000
0.069070288484
Long
ABS-MBS
USGSE
US
N
2
2026-05-25
Fixed
0.56900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31298EX91
2442.83000000
PA
USD
2462.01000000
0.000176637911
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
6.50000000
N
N
N
N
N
N
Hilton Worldwide Finance LLC
549300406TN7EY0NPH20
Hilton Worldwide Finance LLC
43289DAH6
67921.78000000
PA
USD
67976.12000000
0.004876974453
Long
LON
CORP
US
N
2
2026-06-22
Floating
7.16972000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC6
86362VAD4
1001556.03000000
PA
USD
980416.99000000
0.070340416810
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
5.60420000
N
N
N
N
N
N
Bank
N/A
BANK 2018-BNK14
06035RAP1
3852710.47000000
PA
USD
3697840.18000000
0.265303051879
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
4.12800000
N
N
N
N
N
N
Accredited Mortgage Loan Trust
N/A
Accredited Mortgage Loan Trust 2007-1
00438QAD6
551281.54000000
PA
USD
547126.75000000
0.039253831824
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.65420000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/GBP FORWARD
000000000
1.00000000
NC
USD
197988.37000000
0.014204756355
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-3125000.00000000
GBP
4012546.88000000
USD
2023-10-13
197988.37000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LS8
4987000.00000000
PA
USD
4514168.47000000
0.323870857985
Long
DBT
CORP
US
N
2
2028-10-27
Fixed
3.52000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBR6
879000.00000000
PA
USD
770589.80000000
0.055286279486
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
2.18200000
N
N
N
N
N
N
MASSACHUSETTS ST SPL OBLG REVE
5493001N1YCXNI1O7K10
Commonwealth of Massachusetts
576004HG3
3943965.39700000
PA
USD
3712060.67000000
0.266323306734
Long
DBT
MUN
US
N
2
2031-07-15
Fixed
4.11000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0426A2
10400000.00000000
PA
USD
9608218.67000000
0.689345567194
Long
ABS-MBS
USGA
US
N
2
2053-10-15
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHX2
6880000.00000000
PA
USD
6811829.86000000
0.488717511512
Long
DBT
UST
US
N
1
2028-08-31
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202KRU1
1888.01000000
PA
USD
1850.43000000
0.000132759855
Long
ABS-MBS
USGA
US
N
2
2025-02-20
Floating
4.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCM5
2685000.00000000
PA
USD
2533016.03000000
0.181732268163
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
2.63600000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAB2
1845000.00000000
PA
USD
1390770.39000000
0.099781388856
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
4.65000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2V4
22232000.00000000
PA
USD
20416780.54000000
1.464810246832
Long
DBT
CORP
US
N
2
2028-03-24
Fixed
3.52600000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2006-NC1
46626LJR2
4420734.03000000
PA
USD
4252897.33000000
0.305125853486
Long
ABS-O
CORP
US
N
2
2036-04-25
Floating
5.91420000
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
4855100.70000000
0.348331179875
Long
ABS-O
CORP
US
N
2
2027-11-15
Fixed
1.52000000
N
N
N
N
N
N
HOUSTON GALLERIA MALL TRUST
N/A
Houston Galleria Mall Trust 2015-HGLR
44217NAA4
3750000.00000000
PA
USD
3517269.00000000
0.252347898924
Long
ABS-MBS
CORP
US
N
2
2037-03-05
Fixed
3.08656300
N
N
N
N
N
N
ICON Luxembourg Sarl
635400PUWMHSPI2DDA35
ICON Luxembourg Sarl
000000000
228334.93000000
PA
USD
228529.01000000
0.016395907028
Long
LON
CORP
LU
N
2
2028-07-03
Floating
7.82758500
N
N
N
N
N
N
Mativ Holdings Inc
549300Z1FU4IDULG1R21
MATIV HOLDINGS INC
000000000
89119.55000000
PA
USD
86891.56000000
0.006234070410
Long
LON
CORP
US
N
2
2027-05-06
Floating
0.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCK0
16520000.00000000
PA
USD
15857886.99000000
1.137730569741
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
0.96900000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R3
12566LAB0
6735089.53000000
PA
USD
5783541.26000000
0.414942526517
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
1.95100000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FARM2
1100733.25000000
PA
USD
1093700.28000000
0.078467972654
Long
ABS-MBS
USGSE
US
N
2
2044-05-25
Floating
5.54002000
N
N
N
N
N
N
MSILF Government Portfolio
549300BI6Y5SI6BYPB26
MSILF Government Portfolio
61747C707
69867000.00000000
NS
USD
69867000.00000000
5.012636410277
Long
STIV
RF
US
N
1
N
N
N
Prime Security Services Borrower, LLC (aka Protection 1 Security Solutions)
549300O6QPZVWXV2DC15
Prime Security Services Borrower LLC
03765VAK6
248058.40000000
PA
USD
247974.06000000
0.017791000070
Long
LON
CORP
US
N
2
2026-09-23
Floating
8.19189000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136BDUA4
1931534.16000000
PA
USD
1709411.02000000
0.122642390813
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Fixed
0.87000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT
000000000
-149.00000000
NC
USD
1338489.14000000
0.096030449252
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
2023-12-19
-19022926.64000000
USD
1338489.14000000
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAG0
1440000.00000000
PA
USD
1392132.14000000
0.099879088165
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
4.62500000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2021-3
80287EAE5
1361052.72000000
PA
USD
1340681.25000000
0.096187723078
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
0.95000000
N
N
N
N
N
N
NEW YORK ST DORM AUTH ST PERSO
549300C8XO7EXTX2XU71
New York State Dormitory Authority
649902ZN6
4360000.00000000
PA
USD
4349042.45000000
0.312023824333
Long
DBT
MUN
US
N
2
2024-03-15
Fixed
5.19200000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0526A5
54950000.00000000
PA
USD
53106169.24000000
3.810123771491
Long
ABS-MBS
USGSE
US
N
2
2053-10-15
Fixed
5.50000000
N
N
N
N
N
N
Deerfield Dakota Holding LLC
549300FDREJLOIGXY104
Deerfield Dakota Holding LLC
24440EAB3
437995.53000000
PA
USD
428050.84000000
0.030710682096
Long
LON
CORP
US
N
2
2027-04-09
Floating
9.06597500
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MT5
11523000.00000000
PA
USD
11469346.84000000
0.822872966812
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
0.77600000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-CIP
12434FAA5
4245000.00000000
PA
USD
4159733.23000000
0.298441757134
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
6.36748000
N
N
N
N
N
N
Access Group Inc
N/A
Access Group Inc 2015-1
00435TAA9
865400.81000000
PA
USD
849077.91000000
0.060917440949
Long
ABS-MBS
USGA
US
N
2
2056-07-25
Floating
6.13420000
N
N
N
N
N
N
RealPage Inc
5493001RSFZX4122A604
RealPage Inc
75605VAD4
603564.10000000
PA
USD
597401.71000000
0.042860829334
Long
LON
CORP
US
N
2
2028-04-24
Floating
8.43057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398FDH1
1450770.00000000
PA
USD
1445816.56000000
0.103730698773
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Floating
6.62943000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373M4R8
1197739.35000000
PA
USD
1173147.96000000
0.084167978858
Long
ABS-MBS
USGA
US
N
2
2044-03-16
Variable
5.55600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38384CUA5
7753317.29000000
PA
USD
7631794.12000000
0.547546181768
Long
ABS-MBS
USGA
US
N
2
2053-08-20
Floating
6.50000000
N
N
N
N
N
N
EagleView Technology Corportion
549300HLIL8HO4PPLG50
EagleView Technology Corp
27004GAJ2
14946.55000000
PA
USD
14223.51000000
0.001020471526
Long
LON
CORP
US
N
2
2025-08-14
Floating
0.00000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W2
040104ND9
4377500.81000000
PA
USD
4242313.52000000
0.304366513721
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
6.16920000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2004-10
07386HME8
1071597.22000000
PA
USD
1072871.06000000
0.076973571770
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
6.33420000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
3132HTWM4
4792666.30000000
PA
USD
4636349.56000000
0.332636790118
Long
ABS-MBS
USGSE
US
N
2
2043-11-15
Floating
5.92776000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C12
90353DAV7
1254827.27000000
PA
USD
1215733.35000000
0.087223285032
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
4.15190000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2005-HE4
362341KE8
1387747.51000000
PA
USD
1339333.16000000
0.096091003811
Long
ABS-O
CORP
US
N
2
2045-07-25
Floating
6.21420000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397FRW4
149240.42000000
PA
USD
148362.36000000
0.010644318027
Long
ABS-MBS
USGSE
US
N
2
2037-03-15
Fixed
5.50000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBS3
3295000.00000000
PA
USD
3122939.25000000
0.224056550182
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.30000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2004-7
576434TC8
1466393.40000000
PA
USD
1351049.83000000
0.096931621079
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Fixed
5.50000000
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
Credit Suisse First Boston Mortgage Securities Corp
22541Q4Y5
94935.84000000
PA
USD
92058.05000000
0.006604742343
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
4.73249600
N
N
N
N
N
N
SLM Student Loan Trust
549300JQFJDGC1WO7674
SLM Student Loan Trust 2008-6
78445CAD4
1808686.53000000
PA
USD
1787388.45000000
0.128236913332
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
6.41614000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAJ4
2590000.00000000
PA
USD
2510043.26000000
0.180084077410
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.75000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAB9
5205000.00000000
PA
USD
4875688.50000000
0.349808259983
Long
DBT
CORP
GB
N
2
2026-07-26
Fixed
3.50000000
N
N
N
N
N
N
WESTFIELD GALLERIA AT ROSEVILLE
N/A
WESTFIELD GALLERIA AT ROSEVILLE
000000000
2700000.00000000
PA
USD
2648970.00000000
0.190051433033
Long
DBT
CORP
US
N
3
2025-03-29
Floating
3.25000000
N
N
N
N
N
N
Naked Juice LLC
549300Y5TU1XQ1KVLJ64
Naked Juice LLC
62984CAD5
1231900.10000000
PA
USD
1174499.71000000
0.084264960714
Long
LON
CORP
US
N
2
2029-01-24
Floating
8.74008000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAL9
245000.00000000
PA
USD
211968.70000000
0.015207780832
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.87500000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2021-10 LLC
69360HAA9
5259138.22000000
PA
USD
4902313.58000000
0.351718487207
Long
ABS-O
CORP
US
N
2
2026-10-25
Variable
2.48700000
N
N
N
N
N
N
PHYSICIANS REALTY LP
549300P6Q1UMT0X60U20
Physicians Realty LP
71951QAA0
3995000.00000000
PA
USD
3754340.92000000
0.269356720514
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
4.30000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
549300V5ZF7112UGSH89
Rockford Tower CLO 2017-3 Ltd
77341DAA5
1647460.94000000
PA
USD
1643655.31000000
0.117924720581
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
6.77775000
N
N
N
N
N
N
FARMERS INS EXCH
549300UWG2TLX1GZVT44
Farmers Insurance Exchange
309601AA0
5000000.00000000
PA
USD
5025580.40000000
0.360562315482
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
8.62500000
N
N
N
N
N
N
SKYAF 2020-1 A
N/A
SKYAF 2020-1 A
000000000
5842315.87000000
PA
USD
5107690.22000000
0.366453318006
Long
ABS-MBS
CORP
US
N
3
2038-05-10
Floating
3.22900000
N
N
N
N
N
N
JPMorgan Chase Bank, NA - CACL
N/A
JPMorgan Chase Bank NA - CACLN
46591HBS8
375883.40000000
PA
USD
366715.08000000
0.026310122979
Long
ABS-O
CORP
US
N
2
2028-09-25
Fixed
1.02400000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-PALM
85237AAJ2
2500000.00000000
PA
USD
2342500.00000000
0.168063617889
Long
ABS-MBS
CORP
US
N
2
2034-10-15
Floating
7.35648000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCH7
185000.00000000
PA
USD
178246.99000000
0.012788402995
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.82400000
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
Indymac Manufactured Housing C
N/A
Indymac Manufactured Housing Con Pass Thr Cert Series 1998-1
22540AFG8
146129.64000000
PA
USD
145352.55000000
0.010428377981
Long
ABS-O
CORP
US
N
2
2028-09-25
Fixed
6.49000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BS7
1980000.00000000
PA
USD
1971282.85000000
0.141430492061
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.87500000
N
N
N
N
N
N
Transdigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
89364MBZ6
455736.62000000
PA
USD
456484.03000000
0.032750632909
Long
LON
CORP
US
N
2
2028-08-24
Floating
8.56597500
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A2X8
5005000.00000000
PA
USD
4981423.60000000
0.357394267857
Long
DBT
CORP
US
N
2
2024-05-24
Floating
6.01803600
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2006-OP1
00442PAF7
6331229.50000000
PA
USD
5301306.24000000
0.380344378328
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.91420000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AC2
730000.00000000
PA
USD
648876.91000000
0.046553938552
Long
DBT
CORP
CH
N
2
2027-01-30
Fixed
1.36400000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAN6
5590000.00000000
PA
USD
4701528.47000000
0.337313077599
Long
DBT
CORP
N/A
N
2
2029-02-02
Fixed
3.00000000
N
N
N
N
N
N
QWEST CORP
549300R2L4N683OO1509
Qwest Corp
912920AK1
4665000.00000000
PA
USD
4536712.50000000
0.325488288612
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
7.25000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2014-5
64033NAA4
3973777.94000000
PA
USD
3917277.93000000
0.281046702750
Long
ABS-O
CORP
US
N
2
2046-07-25
Floating
5.97943000
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CH8
1199000.00000000
PA
USD
1168264.08000000
0.083817582896
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.15000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR8
45660N2J3
421453.16000000
PA
USD
369972.83000000
0.026543851581
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
6.23420000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2017-SFR2 Trust
89613FAA6
8749699.58000000
PA
USD
8653761.75000000
0.620867666193
Long
ABS-O
CORP
US
N
2
2036-01-17
Fixed
2.92800000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan
N/A
GMACM Home Equity Loan Trust 2000-HE2
361856AN7
54318.94000000
PA
USD
49659.20000000
0.003562819557
Long
ABS-O
CORP
US
N
2
2030-06-25
Floating
4.03845000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE20 Mortgage Trust
12592LBH4
5765052.19000000
PA
USD
5640427.33000000
0.404674759240
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Fixed
3.32600000
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
1168990.20000000
0.083869678672
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
3.35000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-RPL3 Trust
12659QAC5
7653380.72000000
PA
USD
7456101.82000000
0.534941066049
Long
ABS-MBS
CORP
US
N
2
2061-03-25
Variable
3.72125700
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AC7
40000.00000000
PA
USD
36907.20000000
0.002647922116
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.95000000
N
N
N
N
N
N
2023-11-20
METROPOLITAN WEST FUNDS
Eric Chan
Eric Chan
Managing Director