0001752724-24-115518.txt : 20240523
0001752724-24-115518.hdr.sgml : 20240523
20240523144743
ACCESSION NUMBER: 0001752724-24-115518
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240328
FILED AS OF DATE: 20240523
DATE AS OF CHANGE: 20240523
PERIOD START: 20240331
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: METROPOLITAN WEST FUNDS
CENTRAL INDEX KEY: 0001028621
ORGANIZATION NAME:
IRS NUMBER: 000000000
FISCAL YEAR END: 0331
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07989
FILM NUMBER: 24977553
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
S000034126
METROPOLITAN WEST UNCONSTRAINED BOND FUND
C000105185
Class M
MWCRX
C000105186
Class I
MWCIX
C000218402
Plan Class
MWCPX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001028621
XXXXXXXX
S000034126
C000105185
C000105186
C000218402
METROPOLITAN WEST FUNDS
811-07989
0001028621
549300KGDNJW6FXNDC82
515 South Flower Street
Los Angeles
90071
(213) 244-0000
Metropolitan West Unconstrained Bond Fund
S000034126
549300ZZVSC0UDZL8M80
2024-03-31
2024-03-28
N
3155099124.00
581797359.97
2573301764.03
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
107372845.22000000
436176078.39000000
0.00000000
14571204.64000000
EUR
USD
N
CIM Trust
N/A
CIM Trust 2021-R4
12598HAC9
10243493.00000000
PA
USD
7340523.96000000
0.285257021255
Long
ABS-MBS
CORP
US
N
2
2061-05-01
Variable
2.00000000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAX3
1765000.00000000
PA
USD
1704931.84000000
0.066254640782
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.87500000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUXL 30Y BND
000000000
-26.00000000
NC
-76970.65000000
-0.00299112412
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2024-06-06
-3758261.37000000
USD
-76970.65000000
N
N
N
Caesars Entertainment, Inc.
549300FA4CTCW903Y781
CAESARS ENTERTAIN INC
12768EAH9
1219306.87000000
PA
USD
1221782.06000000
0.047479159929
Long
LON
CORP
US
N
2
2031-02-06
Floating
8.04046000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2007-QA3 Trust
74923XAA4
13382283.61000000
PA
USD
12286385.66000000
0.477456077314
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.64389000
N
N
N
N
N
N
NRPL Trust Series
N/A
NRPL Trust 2019-3
62890JAA9
7710497.06000000
PA
USD
7778802.81000000
0.302288791727
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
7.00000000
N
N
N
N
N
N
WORLDLINE SA/FRANCE
549300CJMQNCA0U4TS33
Worldline SA/France
000000000
28200.00000000
PA
2759197.50000000
0.107224016186
Long
DBT
CORP
FR
N
2
2026-07-30
None
0.00000000
N
N
N
N
N
Worldline SA/France
Worldline SA/France
EUR
XXXX
N
N
N
CAMB Commercial Mortgage Trust
N/A
CAMB Commercial Mortgage Trust 2019-LIFE
12482HAQ7
9700000.00000000
PA
USD
9639472.00000000
0.374595476315
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
8.17300000
N
N
N
N
N
N
Element Materials Technology Group US Holding Inc
213800EGOJGGUKUGEZ30
Element Materials Technology Group US Holdings Inc
000000000
122825.53000000
PA
USD
123081.62000000
0.004783023185
Long
LON
CORP
US
N
2
2029-07-06
Floating
9.65942000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJZ3
8194000.00000000
PA
USD
7245039.34000000
0.281546433507
Long
DBT
CORP
US
N
2
2029-06-14
Fixed
2.08700000
N
N
N
N
N
N
Jazz Financing Lux Sarl
635400WUEO2NSG5OIU34
JAZZ FINANCING LUX SARL
000000000
1113256.82000000
PA
USD
1120214.68000000
0.043532192596
Long
LON
CORP
LU
N
2
2028-05-05
Floating
8.44464000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust Series 2007-FF2
32029GAC8
515225.91000000
PA
USD
251706.41000000
0.009781457173
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
5.64389000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAK4
2975000.00000000
PA
USD
3048158.76000000
0.118453218452
Long
DBT
CORP
US
N
2
2033-07-01
Fixed
6.25000000
N
N
N
N
N
N
Spin Holdco Inc
549300QAS44U2GUXGK45
Spin Holdco Inc
84850XAK8
2166226.76000000
PA
USD
2011720.64000000
0.078176631599
Long
LON
CORP
US
N
2
2028-03-04
Floating
9.58537000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
000000000
1586000.00000000
PA
USD
1322565.40000000
0.051395659012
Long
DBT
CORP
KZ
N
2
2033-04-14
Fixed
3.50000000
N
N
N
N
N
N
Westlake Automobile Receivable
N/A
Westlake Automobile Receivables Trust 2024-1
96043RAG2
6390000.00000000
PA
USD
6416764.52000000
0.249359193301
Long
ABS-O
CORP
US
N
2
2029-10-15
Fixed
6.02000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
000000000
205000.00000000
PA
USD
199772.50000000
0.007763275290
Long
DBT
CORP
KZ
N
2
2027-04-19
Fixed
4.75000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAR1
4002000.00000000
PA
USD
2521260.00000000
0.097977626846
Long
DBT
CORP
N/A
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DR3
1598000.00000000
PA
USD
1325061.60000000
0.051492662793
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
Soundview Home Equity Loan Tru
N/A
Soundview Home Loan Trust 2007-WMC1
83612NAE5
946134.64000000
PA
USD
266177.57000000
0.010343814849
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
5.70389000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2005-7
863579PF9
1789695.62000000
PA
USD
1607911.58000000
0.062484377171
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
5.08393500
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAH1
382000.00000000
PA
USD
324251.96000000
0.012600619349
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.50000000
N
N
N
N
N
N
FIN DEPT GOVT SHARJAH
254900ZNL8O3F1CLJO24
Finance Department Government of Sharjah
38381CAE2
1629000.00000000
PA
USD
1694322.90000000
0.065842371216
Long
DBT
NUSS
AE
N
2
2032-11-23
Fixed
6.50000000
N
N
N
N
N
N
GGAM FINANCE LTD
254900X2QXEN0FVXRF65
GGAM Finance Ltd
36170JAD8
945000.00000000
PA
USD
953809.53000000
0.037065591891
Long
DBT
CORP
KY
N
2
2029-04-15
Fixed
6.87500000
N
N
N
N
N
N
Patriot Container Corp
549300V4U8NYJ3YQD526
Patriot Container Corp
40435YAB2
153610.95000000
PA
USD
149331.35000000
0.005803102927
Long
LON
CORP
US
N
2
2025-03-20
Floating
9.17680000
N
N
N
N
N
N
Nelnet Student Loan Trust
549300ICCIKZ4HWN5R47
Nelnet Student Loan Trust 2006-2
640315AH0
2083625.38000000
PA
USD
1750905.83000000
0.068041216715
Long
ABS-O
CORP
US
N
2
2038-01-25
Floating
5.82250000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BF61
18537514.02000000
PA
USD
36530.40000000
0.001419592544
Long
ABS-MBS
USGA
US
N
2
2053-02-16
Variable
0.10823000
N
N
N
N
N
N
Trans Union LLC
X8NPN6PWJOM1QCTYFV34
TRANS UNION LLC
89334GBE3
600345.70000000
PA
USD
600759.94000000
0.023345879927
Long
LON
CORP
US
N
2
2028-12-01
Floating
7.32734000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAM8
796000.00000000
PA
USD
690224.55000000
0.026822526593
Long
DBT
CORP
N/A
N
2
2031-12-01
Fixed
3.75000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUND
000000000
-196.00000000
NC
-195709.10000000
-0.00760536920
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2024-06-06
-28132248.43000000
USD
-195709.10000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NQJ6
24230.23000000
PA
USD
2336.94000000
0.000090814844
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Floating
1.16513000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCT1
19055000.00000000
PA
USD
18528929.75000000
0.720044963595
Long
DBT
CORP
US
N
2
2025-12-10
Fixed
1.56100000
N
N
N
N
N
N
American Home Mortgage Investm
N/A
American Home Mortgage Investment Trust 2006-1
02660TJB0
2409053.59000000
PA
USD
2055759.35000000
0.079888001428
Long
ABS-MBS
CORP
US
N
2
2046-03-25
Floating
5.84389000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BOBL
000000000
40.00000000
NC
14736.89000000
0.000572684098
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESOBLIGATION
Bundesobligation
2024-06-06
5113458.57000000
USD
14736.89000000
N
N
N
HSI Asset Securitization Corpo
N/A
HSI Asset Securitization Corp Trust 2006-WMC1
40430MAE7
9504598.68000000
PA
USD
4225387.20000000
0.164200998851
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
5.94389000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
C-BASS 2007-CB4 Trust
1248MEAA7
264229.70000000
PA
USD
259954.05000000
0.010101965250
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
3.17323700
N
N
N
N
N
N
RAAC Series
N/A
RAAC Series 2005-SP1 Trust
76112BQY9
27219.96000000
PA
USD
21439.79000000
0.000833162682
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
7.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2020-KF75 Mortgage Trust
30294SAA8
1328890.49000000
PA
USD
1222569.55000000
0.047509762247
Long
ABS-MBS
USGSE
US
N
2
2029-12-25
Floating
7.68446000
N
N
N
N
N
N
First Horizon Mortgage Pass-Th
N/A
First Horizon Mortgage Pass-Through Trust 2005-AR5
32051GXQ3
487334.43000000
PA
USD
388658.27000000
0.015103485935
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
5.75437700
N
N
N
N
N
N
KFC Holding Co
549300G2LG4YUB3MM115
KFC Holding Co
72584DAF1
458187.29000000
PA
USD
458494.28000000
0.017817353814
Long
LON
CORP
US
N
2
2028-03-15
Floating
7.19115000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
000000000
2424000.00000000
PA
USD
2382675.65000000
0.092592158576
Long
DBT
CORP
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2005-QA8 Trust
761118BS6
490889.73000000
PA
USD
273397.26000000
0.010624376193
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
5.19699600
N
N
N
N
N
N
Blackstone Industrial Portfolio - Proj Foxtrot
N/A
Blackstone Industrial Portfolio - Proj Foxtrot
000000000
2654890.11000000
PA
USD
2593827.64000000
0.100797647452
Long
ABS-MBS
CORP
US
N
3
2025-04-09
Floating
2.23000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-RPL1 Trust
12661QAH0
11016768.62000000
PA
USD
9500076.86000000
0.369178500275
Long
ABS-MBS
CORP
US
N
2
2061-04-25
Variable
4.63659900
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
902973BC9
1980000.00000000
PA
USD
1715728.92000000
0.066674221577
Long
DBT
CORP
US
N
2
N/A
Fixed
3.70000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797KL0
50000000.00000000
PA
USD
48763272.50000000
1.894969069761
Long
DBT
UST
US
N
1
2024-09-19
None
0.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BP7A1
109604688.74000000
PA
USD
1805525.71000000
0.070163776951
Long
ABS-MBS
USGSE
US
N
2
2026-03-25
Variable
1.02309000
N
N
N
N
N
N
A10 Securitization
N/A
A10 Bridge Asset Financing 2021-D
04681EAA5
3301536.01000000
PA
USD
3197644.76000000
0.124262331169
Long
ABS-CBDO
CORP
US
N
2
2038-10-01
Floating
6.76864000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAV2
2850000.00000000
PA
USD
2944335.00000000
0.114418566883
Long
DBT
NUSS
MX
N
2
2035-02-09
Fixed
6.35000000
N
N
N
N
N
N
Octagon Credit Partners 46, LT
N/A
Octagon Investment Partners 46 Ltd
67577VAL7
6400000.00000000
PA
USD
6401600.00000000
0.248769891253
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
6.73560000
N
N
N
N
N
N
SLM Student Loan Trust
549300Y3YMECZJOAL893
SLM Student Loan Trust 2004-2
78442GLB0
307780.52000000
PA
USD
289051.58000000
0.011232712153
Long
ABS-O
CORP
US
N
2
2039-07-25
Floating
6.09250000
N
N
N
N
N
N
Open Text Corporation
549300HP7ONDQODZJV16
OTEXCN TL B 1L USD
68371YAJ2
228227.26000000
PA
USD
228727.08000000
0.008888467073
Long
LON
CORP
CA
N
2
2025-05-30
Floating
7.17734000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAF3
2500000.00000000
PA
USD
2575814.50000000
0.100097646378
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
8.42039000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBB3
4443000.00000000
PA
USD
3702280.86000000
0.143872782887
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
Oracle Corporation
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
000000000
1656373.85000000
PA
USD
1658444.32000000
0.064448108775
Long
LON
CORP
US
N
2
2027-08-16
Floating
7.02440000
N
N
N
N
N
N
Specialty Underwriting & Resid
N/A
Specialty Underwriting & Residential Finance Trust Series 2007-BC2
84752EAA1
18839181.89000000
PA
USD
13292244.76000000
0.516544345704
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
5.67389000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
1605000.00000000
PA
USD
1336755.71000000
0.051947102694
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.54500000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBK0
7059000.00000000
PA
USD
5624101.61000000
0.218555852586
Long
DBT
CORP
US
N
2
2049-09-06
Fixed
4.75800000
N
N
N
N
N
N
Securitized Asset Backed Recei
N/A
Securitized Asset Backed Receivables LLC Trust 2007-BR4
81378EAB9
9143772.96000000
PA
USD
5457741.61000000
0.212091006437
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.64389000
N
N
N
N
N
N
KEDRION SPA
81560047FA58E1BEDF67
Kedrion SpA
49272YAB9
3600000.00000000
PA
USD
3284722.80000000
0.127646234340
Long
DBT
CORP
IT
N
2
2029-09-01
Fixed
6.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCB0
10250000.00000000
PA
USD
9507350.19000000
0.369461146100
Long
DBT
CORP
US
N
2
2027-04-22
Fixed
1.57800000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2006-CH1
46629TAG5
184061.16000000
PA
USD
183821.55000000
0.007143412116
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
5.87889000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052649
21450000.00000000
PA
USD
21345706.45000000
0.829506540910
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
5.50000000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2006-QS13 Trust
75115DAM7
2372.02000000
PA
USD
1199.72000000
0.000046621815
Long
ABS-MBS
CORP
US
N
2
2021-09-25
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042640
54050000.00000000
PA
USD
51484738.36000000
2.000726812520
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WAS5
21692.74000000
PA
USD
1100.31000000
0.000042758685
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
0.61513000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BPW47
32000000.00000000
PA
USD
964368.00000000
0.037475900163
Long
ABS-MBS
USGSE
US
N
2
2044-04-25
Variable
1.64500300
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC20
36252WAZ1
2184817.50000000
PA
USD
1178.71000000
0.000045805354
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
0.79307600
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-4
007036KF2
1153596.19000000
PA
USD
917250.63000000
0.035644891820
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.20198600
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2004-7AR
61748HCH2
127358.38000000
PA
USD
122839.68000000
0.004773621256
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
5.39253000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-34A
86359A5B5
13051.11000000
PA
USD
12893.47000000
0.000501047727
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
5.89300000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 7 Ltd
67098WAN1
5000000.00000000
PA
USD
5005095.00000000
0.194500896473
Long
ABS-CBDO
CORP
KY
N
2
2037-02-24
Floating
6.60957000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
856854.00000000
PA
USD
70262.03000000
0.002730423263
Long
DBT
CORP
KY
N
3
2028-09-30
Fixed
6.75000000
N
N
Y
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-32376.50000000
-0.00125816958
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-4733111.09000000
USD
4350000.00000000
EUR
2024-04-12
-32376.50000000
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2006-HE3
17310VAD2
6423266.66000000
PA
USD
4329265.03000000
0.168237751612
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.90389000
N
N
N
N
N
N
Element Materials Technology Group US Holding Inc
213800EGOJGGUKUGEZ30
Element Materials Technology Group US Holdings Inc
000000000
266121.96000000
PA
USD
266676.82000000
0.010363215994
Long
LON
CORP
US
N
2
2029-07-06
Floating
9.65942000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAA4
2852000.00000000
PA
USD
2529231.46000000
0.098287402408
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378AMF5
54514.49000000
PA
USD
9545.32000000
0.000370936674
Long
ABS-MBS
USGA
US
N
2
2041-11-16
Fixed
5.00000000
N
N
N
N
N
N
Pathway Vet Alliance LLC
2549001HRKTHAW7MOH74
Pathway Vet Alliance LLC
70323KAE8
1111044.88640000
PA
USD
978069.48000000
0.038008347628
Long
LON
CORP
US
N
2
2027-03-31
Floating
9.19464000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AS6
650000.00000000
PA
USD
559638.73000000
0.021747885841
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-AR6 Trust
92922FSL3
385.56000000
PA
USD
385.65000000
0.000014986582
Long
ABS-MBS
CORP
US
N
2
2044-05-25
Floating
6.28389000
N
N
N
N
N
N
Pretium Mortgage Credit Partne
N/A
PRET 2022-RN1 LLC
69363JAA2
13705466.54000000
PA
USD
13368447.75000000
0.519505638120
Long
ABS-O
CORP
US
N
2
2051-07-25
Variable
3.72100000
N
N
N
N
N
N
Grifols Worldwide Operations USA Inc
N/A
Grifols Worldwide Operations USA Inc
39843PAG8
1264585.02000000
PA
USD
1227197.56000000
0.047689609401
Long
LON
CORP
US
N
2
2027-11-15
Floating
7.45942000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BN6
196000.00000000
PA
USD
196245.00000000
0.007626194593
Long
DBT
CORP
US
N
2
2029-01-31
Fixed
11.75000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F020646
24400000.00000000
PA
USD
19326854.97000000
0.751052800730
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
2.00000000
N
N
N
N
N
N
Park Avenue Institutional Advi
N/A
Park Avenue Institutional Advisers CLO Ltd 2021-1
70015QAC2
4850000.00000000
PA
USD
4850504.40000000
0.188493416038
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
7.32942000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-2
07386HRA1
683926.99000000
PA
USD
619119.78000000
0.024059353965
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
4.12177600
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DF3
2260000.00000000
PA
USD
2216780.84000000
0.086145389980
Long
DBT
CORP
GB
N
2
2028-06-09
Fixed
4.75500000
N
N
N
N
N
N
SLM Student Loan Trust
549300ACL5XN4G87UX85
SLM Student Loan Trust 2007-8
78444XAF4
3389127.42000000
PA
USD
3258319.30000000
0.126620179006
Long
ABS-O
CORP
US
N
2
2083-04-27
Floating
6.62250000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-2
45254NMY0
1582293.33000000
PA
USD
1490676.96000000
0.057928571799
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
5.96389000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISMYB8CLVZD05
Freddie Mac STACR REMIC Trust 2021-HQA1
35564KBS7
8107202.16000000
PA
USD
8302338.95000000
0.322633709969
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
7.57039000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AL5
320000.00000000
PA
USD
273887.88000000
0.010643441971
Long
DBT
CORP
US
N
2
2048-09-26
Fixed
5.00000000
N
N
N
N
N
N
ASCENDAS REIT
549300ILIBAEMQZK3L20
CapitaLand Ascendas REIT
000000000
525000.00000000
PA
491369.98000000
0.019094922595
Long
DBT
CORP
SG
N
2
2028-06-23
Fixed
0.75000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc
N/A
Oakwood Mortgage Investors Inc
67087TBD2
10211722.66000000
PA
USD
2075594.92000000
0.080658823190
Long
ABS-O
CORP
US
N
2
2029-09-15
Variable
8.16000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJL4
7570000.00000000
PA
USD
6182879.71000000
0.240270293846
Long
DBT
CORP
US
N
2
2031-10-24
Fixed
1.92200000
N
N
N
N
N
N
Soundview Home Equity Loan Tru
N/A
Soundview Home Loan Trust 2007-OPT1
83612TAD4
17466266.77000000
PA
USD
11464805.11000000
0.445528980326
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.65389000
N
N
N
N
N
N
Global SC Finance SRL
N/A
Global SC Finance II SRL
37952UAE3
84328.00000000
PA
USD
83437.56000000
0.003242432005
Long
ABS-O
CORP
BB
N
2
2029-07-17
Fixed
3.09000000
N
N
N
N
N
N
1345 Ave of the Americas & Par
N/A
1345 Avenue of the Americas & Park Avenue Plaza Trust
68275CAC2
7801703.99000000
PA
USD
7439326.54000000
0.289096546856
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Fixed
5.27800000
N
N
N
N
N
N
FARMERS INS EXCH
549300UWG2TLX1GZVT44
Farmers Insurance Exchange
309601AA0
942000.00000000
PA
USD
943019.20000000
0.036646273405
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
8.62500000
N
N
N
N
N
N
Hilton USA Trust
N/A
Hilton USA Trust 2016-HHV
43300LAQ3
7840000.00000000
PA
USD
7246927.13000000
0.281619794122
Long
ABS-MBS
CORP
US
N
2
2038-11-05
Variable
4.19350000
N
N
N
N
N
N
Clover CLO
N/A
Clover CLO 2018-1 LLC
00141UAG8
15800000.00000000
PA
USD
15802528.00000000
0.614095409286
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
7.27942000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2023-R1
12569RAB4
12046986.92000000
PA
USD
11570491.24000000
0.449636004674
Long
ABS-MBS
CORP
US
N
2
2062-04-25
Variable
5.40000000
N
N
N
N
N
N
Banc of America Alternative Lo
N/A
Banc of America Alternative Loan Trust 2003-8
05948XTV3
358238.71000000
PA
USD
346228.15000000
0.013454626847
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BNGU2
51005396.11000000
PA
USD
831262.99000000
0.032303362225
Long
ABS-MBS
USGSE
US
N
2
2026-01-25
Variable
1.14572800
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAG0
250000.00000000
PA
USD
246564.50000000
0.009581639566
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
4.62500000
N
N
N
N
N
N
Residential Asset Securitizati
N/A
Residential Asset Securitization Trust 2006-A9CB
76112HAJ6
4940857.25000000
PA
USD
1543019.10000000
0.059962617737
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.00000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2016-CD1 Mortgage Trust
12514MBD6
58628400.96000000
PA
USD
1359939.11000000
0.052848023073
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
1.35705800
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2007-AR1
23333YAC9
1141343.65000000
PA
USD
954956.07000000
0.037110147101
Long
ABS-MBS
CORP
US
N
2
2037-03-19
Floating
5.58080000
N
N
N
N
N
N
Magnetite CLO Ltd
5493007R5RBJT1RFJC86
Magnetite XXI Ltd
55954PAQ7
8000000.00000000
PA
USD
7997136.00000000
0.310773346203
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
6.92942000
N
N
N
N
N
N
Structured Asset Mortgage Inve
N/A
Structured Asset Mortgage Investments II Trust 2006-AR3
86360KAX6
358387.28000000
PA
USD
178861.77000000
0.006950672186
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
4.36894800
N
N
N
N
N
N
PHH Alternative Mortgage Trust
N/A
PHH Alternative Mortgage Trust Series 2007-2
69337HAD3
5388895.70000000
PA
USD
4682683.07000000
0.181971781757
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
6.04389000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102CD7
2065000.00000000
PA
USD
2155292.13000000
0.083755903024
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
9.75000000
N
N
N
N
N
N
New York Mortgage Trust
N/A
New York Mortgage Trust 2005-3
649603AG2
133325.51000000
PA
USD
130704.34000000
0.005079246508
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.92389000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley Capital I Inc Trust 2006-NC2
617451EF2
723162.97000000
PA
USD
717112.61000000
0.027867412210
Long
ABS-O
CORP
US
N
2
2036-02-25
Floating
6.02389000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP
466317AU8
5320723.66000000
PA
USD
3577315.66000000
0.139016562690
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Floating
10.33523000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-R1
12558VAA0
9554790.25000000
PA
USD
8321321.29000000
0.323371374718
Long
ABS-MBS
CORP
US
N
2
2059-10-27
Variable
2.85000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BGK40
58000000.00000000
PA
USD
700593.60000000
0.027225473894
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Variable
1.63355700
N
N
N
N
N
N
MH Sub I LLC
2549005VFKP807SR8N49
MH SUB I LLC
45567YAN5
281535.89000000
PA
USD
280191.56000000
0.010888406634
Long
LON
CORP
US
N
2
2028-05-03
Floating
9.58016000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35908MAE0
1854000.00000000
PA
USD
1894772.82000000
0.073631971441
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
8.62500000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109BU7
710000.00000000
PA
813212.87000000
0.031601924087
Long
DBT
CORP
US
N
2
2030-07-06
Fixed
4.87500000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BU8
2405000.00000000
PA
USD
2635398.54000000
0.102413116752
Long
DBT
CORP
US
N
2
2034-10-20
Fixed
6.87500000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAF4
3234000.00000000
PA
USD
2552261.13000000
0.099182348750
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
4.30000000
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAG2
4970000.00000000
PA
USD
3413348.29000000
0.132644695531
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Variable
2.94060000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAD4
144000.00000000
PA
USD
131872.58000000
0.005124644992
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
4.15000000
N
N
N
N
N
N
SLM Student Loan Trust
549300JQFJDGC1WO7674
SLM Student Loan Trust 2008-6
78445CAD4
6790256.30000000
PA
USD
6742736.80000000
0.262026665284
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
6.72250000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
000000000
1435000.00000000
PA
1269004.14000000
0.049314237363
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
1.00000000
N
N
N
N
N
N
GRIFOLS SA
959800HSSNXWRKBK4N60
Grifols SA
000000000
2940000.00000000
PA
2516766.71000000
0.097803014989
Long
DBT
CORP
ES
N
2
2028-10-15
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022642
50175000.00000000
PA
USD
41512838.18000000
1.613212984200
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BFEB3
160569309.00000000
PA
USD
1518776.92000000
0.059020552553
Long
ABS-MBS
USGSE
US
N
2
2047-11-25
Variable
1.64323500
N
N
N
N
N
N
The Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-1073.86000000
-0.00004173082
N/A
DFE
CORP
US
N
2
The Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
-1272973.77000000
USD
1177000.00000000
EUR
2024-04-12
-1073.86000000
N
N
N
CSMCM Trust Certificates
N/A
CSMCM 2022-RPL1 Trust
12662JAA0
465614.37000000
PA
USD
395635.56000000
0.015374627473
Long
ABS-MBS
CORP
US
N
2
2061-04-25
Fixed
4.23104000
N
N
N
N
N
N
DROP Mortgage Trust 2021-FILE
N/A
DROP Mortgage Trust 2021-FILE
26210YAL0
3145000.00000000
PA
USD
2445043.45000000
0.095015807480
Long
ABS-MBS
CORP
US
N
2
2043-10-15
Floating
8.18948000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N4
14687HAJ2
26800.00000000
PA
USD
1585474.60000000
0.061612463107
Long
ABS-O
CORP
US
N
2
2028-09-12
None
0.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030645
22350000.00000000
PA
USD
19244036.59000000
0.747834430419
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381JMQ7
187003661.13000000
PA
USD
3164176.75000000
0.122961744876
Long
ABS-MBS
USGA
US
N
2
2057-07-16
Variable
0.42291000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EHK9
17900736.03000000
PA
USD
17057793.06000000
0.662875738027
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
CCI Buyer Inc
254900TMV7DAFRQALU04
CCI Buyer Inc
12510EAC1
1469773.28000000
PA
USD
1463078.46000000
0.056856078072
Long
LON
CORP
US
N
2
2027-12-17
Floating
9.30191000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2007-5
68403HAC6
17966821.85000000
PA
USD
9498961.69000000
0.369135164121
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.61389000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2006-AR14 Trust
94984MAM6
242904.83000000
PA
USD
228308.53000000
0.008872201977
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
6.37471500
N
N
N
N
N
N
Central Parent LLC
N/A
CENTRAL PARENT INC
15477BAD9
673250.84000000
PA
USD
676017.90000000
0.026270447929
Long
LON
CORP
US
N
2
2029-07-06
Floating
9.30942000
N
N
N
N
N
N
Securitized Asset Backed Recei
N/A
Securitized Asset Backed Receivables LLC Trust 2007-BR2
81378PAB4
5690422.58000000
PA
USD
2512896.53000000
0.097652617548
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
5.90389000
N
N
N
N
N
N
VONOVIA SE
5299005A2ZEP6AP7KM81
Vonovia SE
000000000
200000.00000000
PA
227283.84000000
0.008832381929
Long
DBT
CORP
DE
N
2
2030-11-23
Fixed
5.00000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust 2006-17
52523KAQ7
11419867.55000000
PA
USD
9914827.22000000
0.385295939970
Long
ABS-O
CORP
US
N
2
2046-08-25
Floating
5.94389000
N
N
N
N
N
N
AMERICAN ASSETS TRUST LP
549300V1TI0SMG9Z6U69
American Assets Trust LP
02401LAA2
4005000.00000000
PA
USD
3274574.39000000
0.127251861238
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396XUR3
441681.88000000
PA
USD
39188.84000000
0.001522901066
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Floating
1.01513000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PED6
3900000.00000000
PA
USD
3558750.00000000
0.138295090367
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
MortgageIT Trust
N/A
MortgageIT Trust 2005-2
61915RAC0
485913.04000000
PA
USD
451200.53000000
0.017533914456
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
7.09007000
N
N
N
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
239908.06000000
PA
USD
3644.20000000
0.000141615726
Long
DBT
CORP
KY
N
2
2031-09-30
Fixed
5.50000000
N
N
Y
N
N
N
Asset Backed Funding Certifica
N/A
ABFC 2007-WMC1 Trust
04545EAC7
2875451.26000000
PA
USD
2383724.68000000
0.092632924491
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
6.44389000
N
N
N
N
N
N
BXHPP Trust
N/A
BXHPP Trust 2021-FILM
05609JAQ5
3917000.00000000
PA
USD
3511225.04000000
0.136448242840
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
7.43948000
N
N
N
N
N
N
Renaissance Holding Corp
549300UKKEC0Y6TXNF09
RENAISSANCE HOLDINGS COR
75972JAJ3
600675.98000000
PA
USD
602553.09000000
0.023415562777
Long
LON
CORP
US
N
2
2030-04-05
Floating
9.57680000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397PSV3
30524.39000000
PA
USD
2064.12000000
0.000080212901
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Floating
0.46188000
N
N
N
N
N
N
NATL GAS TRANSMISSION
FPCHGTHKVH9ZWXS7S453
National Gas Transmission PLC
000000000
970000.00000000
PA
1078727.15000000
0.041919963102
Long
DBT
CORP
GB
N
2
2030-04-05
Fixed
4.25000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CBM Mortgage Trust
20049AAC2
68872261.88000000
PA
USD
221896.10000000
0.008623011226
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
0.60077800
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CF5
1230000.00000000
PA
USD
1220529.00000000
0.047430465290
Long
DBT
NUSS
BR
N
2
2033-10-20
Fixed
6.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-58806.23000000
-0.00228524422
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-11349214.28000000
USD
10448000.00000000
EUR
2024-04-12
-58806.23000000
N
N
N
Banc of America Merrill Lynch
549300UQK6PJ8BF5JQ90
BAMLL Commercial Mortgage Securities Trust 2015-200P
05526QAN6
4000000.00000000
PA
USD
3728784.80000000
0.144902741377
Long
ABS-MBS
CORP
US
N
2
2033-04-14
Variable
3.59580000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300PX4QZK7CUM8D08
Wells Fargo Commercial Mortgage Trust 2014-LC16
94988XAX4
16061634.08000000
PA
USD
11991.62000000
0.000466001312
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Variable
0.96786900
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AQ2
2130000.00000000
PA
USD
1998348.19000000
0.077656970431
Long
DBT
CORP
GB
N
2
2028-11-07
Fixed
3.57400000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2006-OA2
55275NAA9
15460421.42000000
PA
USD
11128167.06000000
0.432447030330
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
5.88905000
N
N
N
N
N
N
MICHAELS COS INC/THE
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
55916AAB0
5775000.00000000
PA
USD
4338141.31000000
0.168582689004
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
7.87500000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35906ABG2
3140000.00000000
PA
USD
2801774.59000000
0.108878586614
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
6.75000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300JPCJUA5JJLRW54
Wells Fargo Commercial Mortgage Trust 2016-C33
95000LBC6
74041085.28000000
PA
USD
1662314.18000000
0.064598493780
Long
ABS-MBS
CORP
US
N
2
2059-03-15
Variable
1.56169400
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
402501.00000000
PA
USD
25961.31000000
0.001008871573
Long
DBT
CORP
KY
N
3
2030-09-30
Fixed
7.25000000
N
N
Y
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AS0
605000.00000000
PA
USD
403535.99000000
0.015681642768
Long
DBT
CORP
US
N
2
2050-12-01
Fixed
3.46800000
N
N
N
N
N
N
TENNET HOLDING BV
724500LTUWK3JQG63903
TenneT Holding BV
000000000
3075000.00000000
PA
3820857.82000000
0.148480752370
Long
DBT
CORP
NL
N
2
2042-10-28
Fixed
4.75000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AU8
827000.00000000
PA
USD
744217.30000000
0.028920716194
Long
DBT
NUSS
ZA
N
2
2028-10-12
Fixed
4.30000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2U6
12925000.00000000
PA
USD
11211733.09000000
0.435694454755
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
549300LT6TIGKPKJS707
Morgan Stanley ABS Capital I Inc Trust 2007-NC3
61755AAD8
19818660.33000000
PA
USD
14810801.96000000
0.575556359810
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.63389000
N
N
N
N
N
N
BW Gas & Convenience Holdings LLC
N/A
BW Gas & Convenience Holdings LLC
05604YAE4
3501000.00000000
PA
USD
3479118.75000000
0.135200573777
Long
LON
CORP
US
N
2
2028-03-31
Floating
8.94464000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR27
45661LAC2
4829124.61000000
PA
USD
1993998.82000000
0.077487951388
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.98389000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAN0
887000.00000000
PA
USD
805674.93000000
0.031308995363
Long
DBT
CORP
N/A
N
2
2026-08-15
Fixed
4.12500000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2004-15
576433VT0
67129.14000000
PA
USD
65029.80000000
0.002527095768
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
6.08789500
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust
86359BLF6
548508.07000000
PA
USD
526222.24000000
0.020449301646
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Variable
5.98368700
N
N
N
N
N
N
Artera Services LLC
549300J2G34D0WX8Z443
POWERTEAM SERVICES LLC
000000000
686826.89000000
PA
USD
690261.02000000
0.026823943839
Long
LON
CORP
US
N
2
2031-02-15
Floating
9.80942000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BM8
1000000.00000000
PA
USD
992278.66000000
0.038560524609
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
11.25000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-A3
46628KAC4
15502.90000000
PA
USD
12995.80000000
0.000505024330
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
4.91293000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
000000000
3232000.00000000
PA
USD
3074924.80000000
0.119493362301
Long
DBT
CORP
CL
N
2
2033-02-02
Fixed
5.12500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-RPL2 Trust
22946BAP1
8839709.68000000
PA
USD
8863680.32000000
0.344447761389
Long
ABS-MBS
CORP
US
N
2
2060-02-25
Variable
3.54022900
N
N
N
N
N
N
HSI Asset Securitization Corpo
N/A
HSI Asset Securitization Corp Trust 2005-OPT1
40430HCA4
815558.45000000
PA
USD
800609.92000000
0.031112166135
Long
ABS-O
CORP
US
N
2
2035-11-25
Floating
6.07389000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
C-BASS 2006-CB9 TRUST
12465MAB0
6885827.15000000
PA
USD
3122044.36000000
0.121324455749
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
5.66389000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AT5H3
9952833.84000000
PA
USD
145987.17000000
0.005673146151
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Variable
3.05300000
N
N
N
N
N
N
Merrill Lynch First Franklin M
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1
59023LAD4
16171124.32000000
PA
USD
6388029.11000000
0.248242518591
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
5.94389000
N
N
N
N
N
N
SFAVE Commercial Mortgage Secu
549300FIGODFFTOAAU64
SFAVE Commercial Mortgage Securities Trust 2015-5AVE
78413MAE8
1840000.00000000
PA
USD
1356204.02000000
0.052702875308
Long
ABS-MBS
CORP
US
N
2
2043-01-05
Variable
4.14400000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-HY3 Trust
933634AA5
1454640.47000000
PA
USD
1144163.13000000
0.044462843262
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
3.91467200
N
N
N
N
N
N
EVERI HOLDINGS INC
5299006DK5S7BG10K532
Everi Holdings Inc
30034TAA1
1296000.00000000
PA
USD
1286280.00000000
0.049985587309
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.00000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-76
12668BDC4
2307339.11000000
PA
USD
2126069.70000000
0.082620302434
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
6.56905000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397JZ64
6020.93000000
PA
USD
7750.66000000
0.000301195145
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Floating
7.51972000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR9
45661EGK4
2561667.37000000
PA
USD
2116835.88000000
0.082261470830
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
3.38764200
N
N
N
N
N
N
HERTZ CORP/THE
549300PD0C69OJ0NLB27
Hertz Corp/The
428040DB2
1650000.00000000
PA
USD
1278750.00000000
0.049692967139
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
5.00000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 22 Ltd
74923VAJ9
3940000.00000000
PA
USD
4018918.20000000
0.156177493684
Long
ABS-CBDO
CORP
KY
N
2
2037-01-20
Floating
10.37238000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CH1
1310000.00000000
PA
USD
1297817.00000000
0.050433921825
Long
DBT
NUSS
BR
N
2
2034-03-15
Fixed
6.12500000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2020-4 Trust
21873AAE7
12500000.00000000
PA
USD
833988.75000000
0.032409286841
Long
ABS-O
CORP
US
N
2
2052-12-15
Variable
2.76316900
N
N
N
N
N
N
Allegro CLO Ltd
254900E0ZQX4DLP7HF87
Allegro CLO XII Ltd
01750TAG1
5270000.00000000
PA
USD
5272914.31000000
0.204908510292
Long
ABS-CBDO
CORP
KY
N
2
2032-01-21
Floating
7.27942000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2019-3 Trust
21872NAC4
3633875.56000000
PA
USD
50561.74000000
0.001964858560
Long
ABS-O
CORP
US
N
2
2052-10-15
Variable
2.01867200
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAC1
147585000.00000000
PA
USD
1609030.70000000
0.062527866824
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Variable
0.20505500
N
N
N
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
000000000
650000.00000000
PA
USD
529100.00000000
0.020561133070
Long
DBT
CORP
MX
N
2
2033-07-26
Fixed
3.87500000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2020-4 Trust
21873AAC1
16488974.01000000
PA
USD
846784.66000000
0.032906543330
Long
ABS-O
CORP
US
N
2
2052-12-15
Variable
3.80963800
N
N
N
N
N
N
FARMERS INS EXCH
549300UWG2TLX1GZVT44
Farmers Insurance Exchange
309601AE2
3800000.00000000
PA
USD
2821159.90000000
0.109631911011
Long
DBT
CORP
US
N
2
2057-11-01
Fixed
4.74700000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2004-AR4
23332UBV5
413571.33000000
PA
USD
330483.69000000
0.012842787993
Long
ABS-MBS
CORP
US
N
2
2045-01-19
Floating
6.16080000
N
N
N
N
N
N
Gracechurch Mortgage Finance P
N/A
Grace Trust 2020-GRCE
38406JAA6
8000000.00000000
PA
USD
6519085.60000000
0.253335449853
Long
ABS-MBS
CORP
US
N
2
2040-12-10
Fixed
2.34700000
N
N
N
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond
000000000
2185000.00000000
PA
USD
2111365.50000000
0.082048888688
Long
DBT
NUSS
PY
N
2
2031-04-28
Fixed
4.95000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A6
466247UG6
13366.90000000
PA
USD
11043.26000000
0.000429147492
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
5.04080000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR REMIC Trust 2020-DNA2
35564KDB2
7991626.23000000
PA
USD
8166275.47000000
0.317346204170
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
7.62039000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2024-PAT
05612FAA3
5236000.00000000
PA
USD
5239105.31000000
0.203594672930
Long
ABS-MBS
CORP
US
N
2
2026-03-15
Floating
7.34000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AR2
130000.00000000
PA
USD
92643.07000000
0.003600163466
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
3.26800000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505GB4
2340000.00000000
PA
USD
2205437.25000000
0.085704571489
Long
DBT
CORP
US
N
2
N/A
Fixed
4.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND
000000000
-480.00000000
NC
USD
-610668.02000000
-0.02373091366
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
2024-06-18
-61309331.98000000
USD
-610668.02000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
600000.00000000
PA
USD
538965.67000000
0.020944518732
Long
DBT
NUSS
DO
N
2
2032-09-23
Fixed
4.87500000
N
N
N
N
N
N
Research Now Group LLC
549300XTHJNIVC5Q8K50
Research Now Group LLC
76100LAH5
536605.28000000
PA
USD
323809.09000000
0.012583409164
Long
LON
CORP
US
N
2
2024-12-20
Floating
11.06804000
N
N
N
N
N
N
1375209 BC LTD
N/A
1375209 BC Ltd
68251PAA5
2506000.00000000
PA
USD
2458605.88000000
0.095542851381
Long
DBT
CORP
CA
N
2
2028-01-30
Fixed
9.00000000
N
N
N
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
654163.16000000
PA
USD
13083.26000000
0.000508423076
Long
DBT
CORP
KY
N
2
2173-03-30
Floating
0.01000000
N
N
N
N
N
N
Banc of America Merrill Lynch
N/A
BAMLL Commercial Mortgage Securities Trust 2018-PARK
05491YAA8
7985000.00000000
PA
USD
7407445.75000000
0.287857640854
Long
ABS-MBS
CORP
US
N
2
2038-08-10
Variable
4.09075000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396XFG4
46585.92000000
PA
USD
3146.85000000
0.000122288417
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Floating
0.43513000
N
N
N
N
N
N
NGL ENRGY OP/FIN CORP
N/A
NGL Energy Operating LLC / NGL Energy Finance Corp
62922LAD0
1080000.00000000
PA
USD
1108402.32000000
0.043073157431
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
8.37500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust Series 2006-1
225470UL5
2564274.88000000
PA
USD
2242611.47000000
0.087149183253
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-4
89173UAE7
8650000.00000000
PA
USD
7353076.96000000
0.285744838121
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
3.65762600
N
N
N
N
N
N
FERRELLGAS LP/FERRELLGAS
N/A
Ferrellgas LP / Ferrellgas Finance Corp
315289AC2
2874000.00000000
PA
USD
2741939.70000000
0.106553368063
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
5.87500000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2007-18N
52525DAA6
2622574.77000000
PA
USD
2379520.05000000
0.092469530129
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
7.14389000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR1
74331FAL5
4237000.00000000
PA
USD
3847430.73000000
0.149513391075
Long
ABS-O
CORP
US
N
2
2038-04-17
Fixed
2.75700000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1
00442JAA2
27610824.62000000
PA
USD
12408945.16000000
0.482218810613
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.76389000
N
N
N
N
N
N
Merrill Lynch Alternative Note
N/A
Merrill Lynch Alternative Note Asset Trust Series 2007-A3
59024HAE0
883580.69000000
PA
USD
41078.37000000
0.001596329298
Long
ABS-MBS
CORP
US
N
3
2037-04-25
Floating
6.10389000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAJ9
3251000.00000000
PA
USD
3048307.30000000
0.118458990803
Long
DBT
CORP
US
N
2
N/A
Fixed
6.62500000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
Securitized Asset Backed Receivables LLC Trust 2006-CB1
81375WHK5
3457769.42000000
PA
USD
2806465.01000000
0.109060859057
Long
ABS-O
CORP
US
N
2
2036-01-25
Variable
2.83912900
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
Credit Suisse First Boston Mortgage Securities Corp
22541QZR6
304946.95000000
PA
USD
291316.43000000
0.011320725539
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
6.46987000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEG6
2382000.00000000
PA
USD
2320082.67000000
0.090159759046
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
1.16400000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
321 Henderson Receivables VI LLC
88576XAB2
133636.09000000
PA
USD
138055.78000000
0.005364927733
Long
ABS-O
CORP
US
N
2
2061-07-15
Fixed
9.31000000
N
N
N
N
N
N
Banc of America Merrill Lynch
N/A
BAMLL Commercial Mortgage Securities Trust 2020-BOC
05551JAC4
98610000.00000000
PA
USD
1060866.10000000
0.041225872333
Long
ABS-MBS
CORP
US
N
2
2032-01-15
Variable
0.46777100
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA12
32051GQ81
866543.56000000
PA
USD
575619.76000000
0.022368917942
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
5.72065100
N
N
N
N
N
N
MIAMI-DADE CNTY FL AVIATION RE
N/A
County of Miami-Dade FL Aviation Revenue
59333P6K9
1000000.00000000
PA
USD
828265.46000000
0.032186876470
Long
DBT
MUN
US
N
2
2034-10-01
Fixed
2.80700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378W5D1
1287234.85000000
PA
USD
116194.83000000
0.004515398529
Long
ABS-MBS
USGA
US
N
2
2043-09-16
Floating
0.75885000
N
N
N
N
N
N
MIAMI-DADE CNTY FL AVIATION RE
N/A
County of Miami-Dade FL Aviation Revenue
59333P6L7
1750000.00000000
PA
USD
1428160.06000000
0.055499128783
Long
DBT
MUN
US
N
2
2035-10-01
Fixed
2.85700000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-GP2
525227AH7
3315720.53000000
PA
USD
3024945.43000000
0.117551134976
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
5.86389000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2005-QA4 Trust
76110H4L0
1369.50000000
PA
USD
1359.51000000
0.000052831347
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
4.40603800
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2023-P3
14688GAK0
16200.00000000
PA
USD
3463856.65000000
0.134607479714
Long
ABS-O
CORP
US
N
2
2030-08-12
None
0.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F050643
32825000.00000000
PA
USD
32031272.79000000
1.244753850393
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
5.00000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2006-NC3
00442EAG0
51518363.38000000
PA
USD
13741044.85000000
0.533984977668
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.76389000
N
N
N
N
N
N
Merrill Lynch First Franklin M
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-4
59025CAE0
406888.54000000
PA
USD
361697.50000000
0.014055774765
Long
ABS-O
CORP
US
N
2
2037-07-25
Floating
5.94389000
N
N
N
N
N
N
GSCG Trust
N/A
GSCG Trust 2019-600C
36260TAQ8
9212000.00000000
PA
USD
185283.26000000
0.007200215015
Long
ABS-MBS
CORP
US
N
2
2034-09-06
Variable
3.98510000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
2549007JA1TZWEDGPD41
Golub Capital Partners CLO 54M L.P
381743AA1
9600000.00000000
PA
USD
9595180.80000000
0.372874294578
Long
ABS-CBDO
CORP
KY
N
2
2033-08-05
Floating
7.06419000
N
N
N
N
N
N
QAZAQGAZ NC JSC
635400YGLXBBSVHONW39
QazaqGaz NC JSC
000000000
650000.00000000
PA
USD
613015.00000000
0.023822118671
Long
DBT
CORP
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
TDC NET AS
549300SH2G3R15Y3FX20
TDC Net A/S
000000000
500000.00000000
PA
583217.07000000
0.022664153817
Long
DBT
CORP
DK
N
2
2031-06-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377WLC6
322086.80000000
PA
USD
1122.63000000
0.000043626053
Long
ABS-MBS
USGA
US
N
2
2037-06-16
Floating
0.60000000
N
N
N
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAD1
3153000.00000000
PA
USD
2876920.26000000
0.111798790962
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
2.86600000
N
N
N
N
N
N
Carestream Dental Equipment Inc
N/A
Carestream Dental Inc
14173MAF0
637042.26000000
PA
USD
556083.74000000
0.021609736866
Long
LON
CORP
US
N
2
2024-09-01
Floating
0.00000000
N
N
N
N
N
N
VZ SECURED FINANCING BV
549300MG611MYCOWY949
VZ Secured Financing BV
91845AAA3
2495000.00000000
PA
USD
2144087.56000000
0.083320486931
Long
DBT
CORP
NL
N
2
2032-01-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Home Equity Loa
N/A
Morgan Stanley Home Equity Loan Trust 2006-3
61749GAD4
11285488.20000000
PA
USD
7744978.77000000
0.300974369903
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.96389000
N
N
N
N
N
N
GLOBAL SWITCH FINANCE
635400GVJAKOJNEUMF33
Global Switch Finance BV
000000000
4505000.00000000
PA
4509495.99000000
0.175241631317
Long
DBT
CORP
NL
N
2
2030-10-07
Fixed
1.37500000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2006-2
61748HVE8
34541.23000000
PA
USD
33354.44000000
0.001296172896
Long
ABS-MBS
CORP
US
N
2
2021-02-25
Fixed
5.25000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAQ6
1915000.00000000
PA
USD
1540361.22000000
0.059859330978
Long
DBT
CORP
US
N
2
2048-06-25
Fixed
4.87500000
N
N
N
N
N
N
COSTA RICA GOVERNMENT
549300S1EK2VN6XVJP58
Costa Rica Government International Bond
000000000
650000.00000000
PA
USD
673530.00000000
0.026173766692
Long
DBT
NUSS
CR
N
2
2034-04-03
Fixed
6.55000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032641
2625000.00000000
PA
USD
2350759.69000000
0.091351885847
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
3.50000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513CB9
2020000.00000000
PA
USD
1936291.20000000
0.075245399784
Long
DBT
CORP
US
N
2
N/A
Fixed
5.00000000
N
N
N
N
N
N
Organon & Co
549300AMCKY57OK2CO56
Organon & Co
68621XAE3
393479.52000000
PA
USD
395366.25000000
0.015364161931
Long
LON
CORP
US
N
2
2028-06-02
Floating
8.43318000
N
N
N
N
N
N
LEG IMMOBILIEN SE
391200SO40AKONBO0Z96
LEG Immobilien SE
000000000
400000.00000000
PA
330295.89000000
0.012835489976
Long
DBT
CORP
DE
N
2
2033-03-30
Fixed
0.87500000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR4
362341FQ7
339569.23000000
PA
USD
316789.43000000
0.012310621102
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.96824400
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAD2
1698880.00000000
PA
USD
1464435.12000000
0.056908798667
Long
DBT
CORP
JE
N
2
2034-03-31
Fixed
2.16000000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA3
32051GLU7
828698.17000000
PA
USD
747864.30000000
0.029062440730
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
6.73868800
N
N
N
N
N
N
SLM Student Loan Trust
549300SRMXHPGI3BJ386
SLM Student Loan Trust 2008-5
78444YAE5
7315000.00000000
PA
USD
7280484.90000000
0.282923868539
Long
ABS-O
CORP
US
N
2
2073-07-25
Floating
7.47250000
N
N
N
N
N
N
BECLE SA DE CV
529900JY55CZKMJLCE09
Becle SAB de CV
07586PAA9
4450000.00000000
PA
USD
3545114.75000000
0.137765216639
Long
DBT
CORP
MX
N
2
2031-10-14
Fixed
2.50000000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579AN8
254887.31000000
PA
USD
245290.98000000
0.009532149840
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
5.59369000
N
N
N
N
N
N
ALLIANT ENERGY FINANCE
54930033ER6EOI5DL570
Alliant Energy Finance LLC
01882YAD8
8130000.00000000
PA
USD
7204500.80000000
0.279971082315
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.60000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAP6
2300000.00000000
PA
USD
2290105.12000000
0.088994814056
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
5.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397LX87
61358.93000000
PA
USD
3456.58000000
0.000134324704
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Floating
0.76513000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2023-3
301989AF6
6120000.00000000
PA
USD
6187471.59000000
0.240448736968
Long
ABS-O
CORP
US
N
2
2029-04-16
Fixed
6.68000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR4
12566DAA0
10558575.59000000
PA
USD
10249745.70000000
0.398311066477
Long
ABS-O
CORP
US
N
2
2061-10-25
Variable
2.81600000
N
N
N
N
N
N
NEW YORK CITY NY TRANSITIONAL
N/A
New York City Transitional Finance Authority Future Tax Secured Revenue
64971XGH5
1000000.00000000
PA
USD
940345.80000000
0.036542383530
Long
DBT
MUN
US
N
2
2032-08-01
Fixed
3.95000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BN3
1000000.00000000
PA
USD
716452.33000000
0.027841753346
Long
DBT
NUSS
PA
N
2
2032-09-29
Fixed
2.25200000
N
N
N
N
N
N
Trugreen Limited Partnership
549300QNRP2MNHR3QM19
TruGreen LP
89787RAH5
169937.12000000
PA
USD
165742.22000000
0.006440838859
Long
LON
CORP
US
N
2
2027-11-02
Floating
9.43016000
N
N
N
N
N
N
Acrisure LLC
549300R0Z1Q47XRTGO22
Acrisure LLC
00488PAL9
1112342.51920000
PA
USD
1113037.73000000
0.043253292154
Long
LON
CORP
US
N
2
2027-02-15
Floating
8.94464000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397TAZ5
23154.87000000
PA
USD
1315.55000000
0.000051123036
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Floating
0.46688000
N
N
N
N
N
N
CAMB Commercial Mortgage Trust
N/A
CAMB Commercial Mortgage Trust 2019-LIFE
12482HAS3
8503000.00000000
PA
USD
8337822.85000000
0.324012634917
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
8.87300000
N
N
N
N
N
N
SLM Student Loan Trust
54930067BGNOZYMNWK87
SLM Student Loan Trust 2008-7
78445FAE5
820000.00000000
PA
USD
769586.36000000
0.029906572589
Long
ABS-O
CORP
US
N
2
2083-07-26
Floating
7.47250000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
571235.00000000
PA
USD
52553.62000000
0.002042264173
Long
DBT
CORP
KY
N
3
2027-09-30
Fixed
6.50000000
N
N
Y
N
N
N
ANNINGTON FUNDING PLC
549300KK63W8VZIONZ83
Annington Funding PLC
000000000
1800000.00000000
PA
1788797.89000000
0.069513724157
Long
DBT
CORP
GB
N
2
2032-10-06
Fixed
2.30800000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797FH5
25000000.00000000
PA
USD
24826000.00000000
0.964752768098
Long
DBT
UST
US
N
1
2024-05-16
None
0.00000000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2004-AA3
32051D6D9
137581.60000000
PA
USD
135401.66000000
0.005261787089
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
5.81982000
N
N
N
N
N
N
BLACKSTONE PP EUR HOLD
213800Y3B5GQFBGVHP79
Blackstone Property Partners Europe Holdings Sarl
000000000
1225000.00000000
PA
1153993.36000000
0.044844851704
Long
DBT
CORP
LU
N
2
2029-03-12
Fixed
1.75000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102CC9
721000.00000000
PA
USD
616318.01000000
0.023950475556
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.37500000
N
N
N
N
N
N
CSMCM Trust Certificates
N/A
CSMCM Trust
12652YAA9
12193596.85000000
PA
USD
10366898.49000000
0.402863691888
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.53247000
N
N
N
N
N
N
First Horizon Mortgage Pass-Th
N/A
First Horizon Mortgage Pass-Through Trust 2005-AR4
32051GTX3
37845.00000000
PA
USD
35059.88000000
0.001362447284
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
4.93516700
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE4 Mortgage Trust
12624QAS2
8525699.03000000
PA
USD
886.67000000
0.000034456510
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Variable
1.14370600
N
N
N
N
N
N
MASTR Asset Backed Securities
N/A
Mastr Asset Backed Securities Trust 2007-HE1
576457AD7
3150000.00000000
PA
USD
2481992.42000000
0.096451665898
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.72389000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Trust 2006-W3
040104SR3
37910462.12000000
PA
USD
11415013.77000000
0.443594059956
Long
ABS-O
CORP
US
N
2
2036-04-25
Floating
5.80389000
N
N
N
N
N
N
SOUTHWESTERN ELEC POWER
R64UBJHEC74EB3HGQ410
Southwestern Electric Power Co
845437BR2
2190000.00000000
PA
USD
2101195.96000000
0.081653694462
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380HJF0
238219.67000000
PA
USD
49779.91000000
0.001934476193
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
5.00000000
N
N
N
N
N
N
Life Financial Services Trust
N/A
Life 2021-BMR Mortgage Trust
53218CAN0
7095078.54000000
PA
USD
6860080.24000000
0.266586699464
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
8.38948000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UBY4
2515000.00000000
PA
USD
2511954.59000000
0.097616013213
Long
DBT
CORP
US
N
2
2054-10-01
Fixed
5.75000000
N
N
N
N
N
N
LAD Auto Receivables Trust
N/A
LAD Auto Receivables Trust 2023-3
50168BAF5
4000000.00000000
PA
USD
4070104.00000000
0.158166603578
Long
ABS-O
CORP
US
N
2
2030-12-16
Fixed
6.92000000
N
N
N
N
N
N
CLECO POWER LLC
TM1ZH54SJKLNHFCBFK92
Cleco Power LLC
185508AG3
825000.00000000
PA
USD
831314.58000000
0.032305367043
Long
DBT
CORP
US
N
2
2040-12-01
Fixed
6.00000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities I Trust 2006-AC2
07387UGR6
6530.49000000
PA
USD
6452.65000000
0.000250753723
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ES35
2151928.22000000
PA
USD
2048723.57000000
0.079614586934
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF GUATEMALA
529900QKDFFU9UWW5315
Guatemala Government Bond
000000000
3050000.00000000
PA
USD
2959044.00000000
0.114990167160
Long
DBT
NUSS
GT
N
2
2029-08-10
Fixed
5.25000000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2018-ALXA
63874GAL9
1095000.00000000
PA
USD
592383.48000000
0.023020365830
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Variable
4.31590200
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR4
45661EAY0
9680932.27000000
PA
USD
9321196.57000000
0.362227108390
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
5.94389000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2005-AR6
23332UFV1
3266634.49000000
PA
USD
2902883.86000000
0.112807751526
Long
ABS-MBS
CORP
US
N
2
2045-10-19
Floating
6.02080000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2006-AR2
36297TAB8
158762.74000000
PA
USD
106282.87000000
0.004130214010
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
4.36555300
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2007-FLX4
456687AC6
11314531.60000000
PA
USD
10381588.50000000
0.403434554202
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.80389000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R5
12592SAB3
8382898.74000000
PA
USD
6977649.95000000
0.271155526628
Long
ABS-MBS
CORP
US
N
2
2061-08-25
Variable
2.00000000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2020-1 Trust
21872UAC8
5197000.00000000
PA
USD
4745349.00000000
0.184407016166
Long
ABS-O
CORP
US
N
2
2050-03-15
Fixed
2.29600000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-MP
61691DAA5
2500000.00000000
PA
USD
2235605.63000000
0.086876932245
Long
ABS-MBS
CORP
US
N
2
2040-07-11
Variable
4.27600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38384JMH4
1048179.28000000
PA
USD
1048394.45000000
0.040741216776
Long
ABS-MBS
USGA
US
N
2
2054-02-20
Floating
6.50000000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA7
32051GSQ9
1123741.07000000
PA
USD
980356.43000000
0.038097219832
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
6.08262000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG Inc
92332YAC5
1311000.00000000
PA
USD
1414274.89000000
0.054959543018
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
9.50000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2005-1
07324SBE1
378831.04000000
PA
USD
361921.95000000
0.014064497023
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
5.89389000
N
N
N
N
N
N
SLM Student Loan Trust
54930060UIG70QCSNY68
SLM Student Loan Trust 2004-10
78442GND4
6165666.66000000
PA
USD
5756041.96000000
0.223683131160
Long
ABS-O
CORP
US
N
2
2040-01-25
Floating
5.99250000
N
N
N
N
N
N
Frontier Communications Corporation
N/A
Frontier Communications Holdings LLC
35906EAQ3
510863.75000000
PA
USD
510386.09000000
0.019833899666
Long
LON
CORP
US
N
2
2027-10-08
Floating
9.19464000
N
N
N
N
N
N
C&W SENIOR FINANCE LTD
N/A
C&W Senior Finance Ltd
12674TAA4
300000.00000000
PA
USD
283860.00000000
0.011030964341
Long
DBT
CORP
KY
N
2
2027-09-15
Fixed
6.87500000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2007-1
007037AA2
1042517.80000000
PA
USD
859748.79000000
0.033410336946
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
5.34860800
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2023-FUN
36267CAC9
5160000.00000000
PA
USD
5186239.12000000
0.201540262105
Long
ABS-MBS
CORP
US
N
2
2028-03-15
Floating
8.11559000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GX74
10370000.00000000
PA
USD
9631748.81000000
0.374295348669
Long
DBT
CORP
US
N
2
2036-08-15
Floating
6.04860000
N
N
N
N
N
N
SLM Student Loan Trust
N/A
SLM Student Loan Trust 2012-1
78446WAC1
497443.13000000
PA
USD
481574.82000000
0.018714276993
Long
ABS-O
CORP
US
N
2
2028-09-25
Floating
6.38487000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325EF8
200000.00000000
PA
USD
211720.00000000
0.008227562074
Long
DBT
NUSS
CO
N
2
2033-04-20
Fixed
8.00000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2003-7
576433HK5
71141.26000000
PA
USD
68514.33000000
0.002662506626
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
5.81089600
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
N/A
Freddie Mac Multifamily PC REMIC Trust 2019-P002
3137FQKX0
14520699.00000000
PA
USD
1082622.66000000
0.042071344882
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Variable
0.89086700
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109BV5
1505000.00000000
PA
1775915.18000000
0.069013094570
Long
DBT
CORP
US
N
2
2034-07-06
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040644
30350000.00000000
PA
USD
28114057.84000000
1.092528604028
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
4.00000000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAH7
175000.00000000
PA
USD
139266.92000000
0.005411993336
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.00000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-SCHATZ
000000000
-14.00000000
NC
73.64000000
0.000002861693
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUONI POLIENNALI DEL TES
Italy Buoni Poliennali Del Tesoro
2024-06-06
-1609981.28000000
USD
73.64000000
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DS1
2027000.00000000
PA
USD
1623424.30000000
0.063087210473
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.12500000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJL5
4320000.00000000
PA
USD
4104320.11000000
0.159496261471
Long
DBT
CORP
US
N
2
2034-02-01
Fixed
4.83900000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2005-4XS
86359B4Y4
724793.52000000
PA
USD
693699.81000000
0.026957577214
Long
ABS-O
CORP
US
N
2
2035-03-25
Floating
7.19007000
N
N
N
N
N
N
RRE Loan Management
N/A
RRE 15 Loan Management DAC
000000000
5000000.00000000
PA
5418306.00000000
0.210558515745
Long
ABS-CBDO
CORP
IE
N
2
2035-10-15
Floating
5.69200000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2007-SA2 Trust
74958XAA2
187465.22000000
PA
USD
97653.00000000
0.003794852254
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
4.74299200
N
N
N
N
N
N
DIGITAL DUTCH FINCO BV
549300ONZ5IS6B6IMJ70
Digital Dutch Finco BV
000000000
2600000.00000000
PA
2232161.08000000
0.086743075033
Long
DBT
CORP
NL
N
2
2032-01-15
Fixed
1.00000000
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAX8
1323043.22000000
PA
USD
1299413.67000000
0.050495969348
Long
LON
CORP
US
N
2
2026-12-23
Floating
8.69182000
N
N
N
N
N
N
CAB
9695008EGX5O9K1MS743
CAB SELAS
000000000
1080000.00000000
PA
1057983.12000000
0.041113838057
Long
DBT
CORP
FR
N
2
2028-02-01
Fixed
3.37500000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJN1
900000.00000000
PA
USD
918295.31000000
0.035685488691
Long
DBT
CORP
US
N
2
2034-06-12
Fixed
5.83600000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
2690000.00000000
PA
USD
2547583.41000000
0.099000569836
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797HS9
50000000.00000000
PA
USD
49547270.00000000
1.925435667615
Long
DBT
UST
US
N
1
2024-05-30
None
0.00000000
N
N
N
N
N
N
MODIVCARE ESCROW ISSUER
N/A
ModivCare Escrow Issuer Inc
60783XAA2
5122000.00000000
PA
USD
3720433.13000000
0.144578190634
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Frankin Mortgage Loan Trust 2006-FF4
362334FT6
1371838.44000000
PA
USD
1360694.86000000
0.052877391956
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
5.02043300
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BS6G3
98211639.35000000
PA
USD
833973.96000000
0.032408712093
Long
ABS-MBS
USGSE
US
N
2
2025-09-25
Variable
0.60888300
N
N
N
N
N
N
SLM Student Loan Trust
549300IZGFDRVV7YTH38
SLM Student Loan Trust 2007-7
78444EAE9
2195000.00000000
PA
USD
2037315.37000000
0.079171257661
Long
ABS-O
CORP
US
N
2
2070-10-27
Floating
6.37250000
N
N
N
N
N
N
METROPOLITAN EDISON CO
N/A
FirstEnergy Pennsylvania Electric Co
591894CB4
2625000.00000000
PA
USD
2561368.22000000
0.099536255553
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.00000000
N
N
N
N
N
N
SLM Student Loan Trust
N/A
SLM Student Loan Trust 2012-7
78447KAD4
2200000.00000000
PA
USD
2025550.56000000
0.078714070316
Long
ABS-O
CORP
US
N
2
2043-09-25
Floating
7.23487000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-3
12669GTQ4
2270742.43000000
PA
USD
2143019.07000000
0.083278964789
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
6.02389000
N
N
N
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust
933631AC7
5009048.57000000
PA
USD
2343741.34000000
0.091079148693
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
5.55389000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAE5
113000.00000000
PA
USD
102807.40000000
0.003995155229
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.12500000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
000000000
900000.00000000
PA
974770.20000000
0.037880135692
Long
DBT
CORP
LU
N
2
2034-10-15
Fixed
3.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XDR9
13904165.74000000
PA
USD
87288.96000000
0.003392099644
Long
ABS-MBS
USGA
US
N
2
2055-05-16
Variable
0.19086000
N
N
N
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69370PAH4
4079000.00000000
PA
USD
3611954.50000000
0.140362648115
Long
DBT
CORP
ID
N
2
2030-08-27
Fixed
3.10000000
N
N
N
N
N
N
Carrington Mortgage Loan Trust
N/A
Carrington Mortgage Loan Trust Series 2006-NC4
14453MAD6
14364300.00000000
PA
USD
12868634.50000000
0.500082605152
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.68389000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBL2
1000000.00000000
PA
USD
911446.55000000
0.035419341903
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
5.30000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust 2006-FF13
30247DAD3
11537569.78000000
PA
USD
7421549.84000000
0.288405733977
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.76389000
N
N
N
N
N
N
ADD HERO HOLDINGS
254900WMSDP48LFA7478
Add Hero Holdings Ltd
000000000
316586.01800000
PA
USD
7914.65000000
0.000307567892
Long
DBT
CORP
VG
N
2
2030-09-30
Fixed
9.00000000
N
N
Y
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR19
45660LXA2
1693044.40000000
PA
USD
1343313.06000000
0.052201925121
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.70895900
N
N
N
N
N
N
Deerfield Dakota Holding LLC
549300FDREJLOIGXY104
Deerfield Dakota Holding LLC
24440EAB3
198140.13900000
PA
USD
197410.98000000
0.007671505252
Long
LON
CORP
US
N
2
2027-04-09
Floating
9.05942000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
000000000
1670000.00000000
PA
1822796.85000000
0.070834943475
Long
DBT
CORP
US
N
2
2036-03-01
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISM9M3KNO6J64
Freddie Mac STACR REMIC Trust 2021-HQA2
35564KFV6
4970956.82000000
PA
USD
5040500.26000000
0.195876765424
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Floating
7.37039000
N
N
N
N
N
N
SLM Student Loan Trust
5493000ZPP19J8RRD157
SLM Student Loan Trust 2005-3
78442GPD2
2026455.90000000
PA
USD
1913045.50000000
0.074342058391
Long
ABS-O
CORP
US
N
2
2040-04-25
Floating
5.77250000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BZ9
1448000.00000000
PA
USD
1346640.00000000
0.052331211940
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.25000000
N
N
N
N
N
N
Popular ABS Mortgage Pass-Thro
N/A
Popular ABS Mortgage Pass-Through Trust 2007-A
73316NAC9
4423608.10000000
PA
USD
4013826.28000000
0.155979618718
Long
ABS-O
CORP
US
N
2
2047-06-25
Floating
5.75389000
N
N
N
N
N
N
Merrill Lynch Mortgage Backed
N/A
Merrill Lynch Mortgage Backed Securities Trust Series 2007-2
59025GAA9
554776.66000000
PA
USD
480124.69000000
0.018657924100
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
7.40000000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAX4
6468953.97000000
PA
USD
6471875.35000000
0.251500832139
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
9.43948000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA10
32051GA54
665391.32000000
PA
USD
551361.95000000
0.021426245367
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
6.19447900
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MX6
5930000.00000000
PA
USD
5904161.63000000
0.229439147500
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.98100000
N
N
N
N
N
N
Banc of America Merrill Lynch
549300UQK6PJ8BF5JQ90
BAMLL Commercial Mortgage Securities Trust 2015-200P
05526QAJ5
3407500.00000000
PA
USD
3225237.94000000
0.125334618157
Long
ABS-MBS
CORP
US
N
2
2033-04-14
Variable
3.59580000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AC7
450000.00000000
PA
USD
435177.00000000
0.016911230780
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.95000000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2004-AA3
32051D6B3
89473.00000000
PA
USD
88055.33000000
0.003421881227
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
5.81982000
N
N
N
N
N
N
Genesee & Wyoming Inc
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc
55316HAB1
814208.55200000
PA
USD
815657.84000000
0.031696937040
Long
LON
CORP
US
N
2
2026-12-30
Floating
7.40191000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2023-R3
12570GAC3
11444000.00000000
PA
USD
8972807.82000000
0.348688519373
Long
ABS-MBS
CORP
US
N
2
2063-01-25
Variable
4.50000000
N
N
N
N
N
N
VONOVIA SE
5299005A2ZEP6AP7KM81
Vonovia SE
000000000
300000.00000000
PA
294287.26000000
0.011436173717
Long
DBT
CORP
DE
N
2
2030-04-07
Fixed
2.25000000
N
N
N
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
445545AM8
4200000.00000000
PA
USD
3340680.00000000
0.129820763607
Long
DBT
NUSS
HU
N
2
2031-09-22
Fixed
2.12500000
N
N
N
N
N
N
MASTR Asset Backed Securities
N/A
Mastr Asset Backed Securities Trust 2007-WMC1
55275TAB4
15896399.25000000
PA
USD
4303112.04000000
0.167221431242
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.54389000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XNWD2
25336615.88000000
PA
USD
21827499.14000000
0.848229284458
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AZ0
2353000.00000000
PA
USD
1995710.36000000
0.077554462826
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
6.50000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2006-WMC4
46630BAE6
8576048.33000000
PA
USD
4441719.39000000
0.172607793306
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.59389000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGX46
15950991.84000000
PA
USD
12632007.72000000
0.490887151152
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.00000000
N
N
N
N
N
N
RINGCENTRAL INC
549300C8EH0H1614VE84
RingCentral Inc
76680RAJ6
1195000.00000000
PA
USD
1243497.88000000
0.048323049297
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
8.50000000
N
N
N
N
N
N
Hanesbrands Inc
GX5LWVWZLL5S4W1L2F20
HANESBRANDS INC
410346AU4
739076.87000000
PA
USD
728914.56000000
0.028326042836
Long
LON
CORP
US
N
2
2026-11-19
Floating
7.93016000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
000000000
3840000.00000000
PA
4117527.16000000
0.160009495099
Long
DBT
CORP
US
N
2
2034-06-15
Fixed
3.85000000
N
N
N
N
N
N
THAMES WATER UTIL FIN
213800ESMPQ4RQ7G8351
Thames Water Utilities Finance PLC
000000000
1695000.00000000
PA
1707107.38000000
0.066339183529
Long
DBT
CORP
GB
N
2
2031-01-18
Fixed
4.37500000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1
00442JAE4
2193522.81000000
PA
USD
858127.95000000
0.033347350162
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
6.20389000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
C-BASS 2007-CB1 TRUST
1248MGAK0
2421563.88000000
PA
USD
720554.06000000
0.028001148954
Long
ABS-O
CORP
US
N
2
2037-01-25
Variable
3.19430400
N
N
N
N
N
N
AthenaHealth Group Inc
254900AA3KZN4Q7A5Z33
AthenaHealth Group Inc
04686RAB9
438583.16000000
PA
USD
435535.01000000
0.016925143257
Long
LON
CORP
US
N
2
2029-02-15
Floating
8.58016000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
C-BASS 2007-CB5 Trust
12464YAA7
1234117.49000000
PA
USD
756467.00000000
0.029396746645
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
3.39145000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2005-9
17307GK31
36897.00000000
PA
USD
30302.76000000
0.001177582840
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
5.70389000
N
N
N
N
N
N
SES GLOBAL AMERICAS HLDG
5299000YGN3VJ3R60481
SES GLOBAL Americas Holdings Inc
78413KAB8
7494000.00000000
PA
USD
5739285.22000000
0.223031954519
Long
DBT
CORP
US
N
2
2044-03-25
Fixed
5.30000000
N
N
N
N
N
N
Carrington Mortgage Loan Trust
N/A
Carrington Mortgage Loan Trust Series 2006-OPT1
144531FN5
652783.06000000
PA
USD
643092.23000000
0.024990937284
Long
ABS-O
CORP
US
N
2
2036-02-25
Floating
5.96889000
N
N
N
N
N
N
Medline Borrower LP
254900QT3R363TVK6F09
Medline Borrower LP
58503UAC7
404792.31000000
PA
USD
406126.10000000
0.015782295946
Long
LON
CORP
US
N
2
2028-10-23
Floating
8.44070000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-XL2
05609KAQ2
8914003.83000000
PA
USD
8597726.51000000
0.334112641983
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
9.32948000
N
N
N
N
N
N
NORTHWEST FIBER LLC/NORT
N/A
Northwest Fiber LLC / Northwest Fiber Finance Sub Inc
667449AC6
444000.00000000
PA
USD
457320.00000000
0.017771720611
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
6.00000000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAG2
2750000.00000000
PA
USD
2202006.24000000
0.085571240449
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35000000
N
N
N
N
N
N
GRIFOLS SA
959800HSSNXWRKBK4N60
Grifols SA
000000000
1025000.00000000
PA
1022653.24000000
0.039740898416
Long
DBT
CORP
ES
N
2
2025-05-01
Fixed
3.20000000
N
N
N
N
N
N
Rent-A-Center Inc
529900QUHE15UQNCCJ63
Upbound Group Inc
76009WAW0
2247044.05860000
PA
USD
2250313.51000000
0.087448488997
Long
LON
CORP
US
N
2
2028-02-17
Floating
9.11889000
N
N
N
N
N
N
Blackrock Rainier CLO Ltd
549300HF4E86WXQDUX86
Blackrock Rainier CLO VI Ltd
09261MAA4
10000000.00000000
PA
USD
9996920.00000000
0.388486113045
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
7.27942000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BA1
1283000.00000000
PA
USD
1153037.23000000
0.044807695938
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
4.85000000
N
N
N
N
N
N
One New York Plaza Trust 2020-
N/A
One New York Plaza Trust 2020-1NYP
68249DAC3
2630000.00000000
PA
USD
2505875.57000000
0.097379778968
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
6.69048000
N
N
N
N
N
N
SLC Student Loan Trust
25490083RPF52FIUZ551
SLC Student Loan Trust 2004-1
784423AH8
260146.69000000
PA
USD
221761.60000000
0.008617784478
Long
ABS-O
CORP
US
N
2
2031-08-15
Floating
5.91149000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2022-SFR3 Trust
66981YAE9
10000000.00000000
PA
USD
9099312.00000000
0.353604545226
Long
ABS-O
CORP
US
N
2
2039-10-17
Fixed
4.00000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2005-9
07387AEG6
830158.76000000
PA
USD
773682.23000000
0.030065740474
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
7.67000000
N
N
N
N
N
N
Banc of America Merrill Lynch
N/A
BAMLL Commercial Mortgage Securities Trust 2020-BHP3
05891HAA1
5000000.00000000
PA
USD
5005789.75000000
0.194527894861
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
7.34048000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-7
41161VAA8
7990122.06000000
PA
USD
6804300.05000000
0.264419048908
Long
ABS-MBS
CORP
US
N
2
2046-09-19
Floating
5.86080000
N
N
N
N
N
N
Structured Receivables Finance
N/A
Structured Receivables Finance 2010-A LLC
86365FAC8
1275468.45000000
PA
USD
1275468.45000000
0.049565444202
Long
ABS-O
CORP
US
N
2
2046-01-16
Fixed
7.61400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AKWF6
4570880.50000000
PA
USD
4244013.04000000
0.164924809803
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Floating
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR/USD FORWARD
000000000
1.00000000
NC
USD
595.54000000
0.000023143030
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-118000.00000000
EUR
128109.72000000
USD
2024-04-12
595.54000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
1598000.00000000
PA
USD
1059474.00000000
0.041171774519
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2005-5N
86359DUR6
506387.64000000
PA
USD
497834.30000000
0.019346129822
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
5.74389000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC Trust 2007-AA1
05530PAP7
2329556.51000000
PA
USD
2064431.55000000
0.080225008153
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.80389000
N
N
N
N
N
N
Entegris Inc
IYX6OWO7BT5DKO3BYG52
ENTEGRIS INC
29362LAM6
47909.41000000
PA
USD
48032.30000000
0.001866563054
Long
LON
CORP
US
N
2
2029-07-06
Floating
7.05942000
N
N
N
N
N
N
Merrill Lynch Alternative Note
N/A
Merrill Lynch Alternative Note Asset Trust Series 2007-OAR2
59024BAB9
6677217.71000000
PA
USD
5381965.81000000
0.209146314871
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.86389000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
453140AF2
1880000.00000000
PA
USD
1847195.24000000
0.071783079070
Long
DBT
CORP
GB
N
2
2025-07-21
Fixed
4.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
GBP/USD FORWARD
000000000
1.00000000
NC
USD
25165.51000000
0.000977946323
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1922000.00000000
GBP
2453327.29000000
USD
2024-04-12
25165.51000000
N
N
N
SLM Student Loan Trust
5493008U32QWNGB0TW72
SLM Student Loan Trust 2006-8
78443HAJ2
2100740.60000000
PA
USD
1959866.62000000
0.076161554287
Long
ABS-O
CORP
US
N
2
2041-01-25
Floating
5.85250000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2007-FM2
3622MHAA4
16816785.25000000
PA
USD
9612116.25000000
0.373532415994
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
5.58389000
N
N
N
N
N
N
Gainwell Acquisition Corp
N/A
Gainwell Acquisition Corp
59909TAC8
2192030.07920000
PA
USD
2100786.83000000
0.081637795433
Long
LON
CORP
US
N
2
2027-10-01
Floating
9.40942000
N
N
N
N
N
N
Structured Asset Mortgage Inve
N/A
Structured Asset Mortgage Investments II Trust 2006-AR7
86361HAB0
5743124.58000000
PA
USD
4885444.63000000
0.189851213654
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.56389000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BM6
2945000.00000000
PA
USD
2853451.85000000
0.110886794929
Long
DBT
CORP
US
N
2
2034-01-24
Fixed
5.06800000
N
N
N
N
N
N
Pre Paid Legal Services Inc
549300DKH5WJ2J8QU878
Pre-Paid Legal Services Inc
74006LAS1
534918.68200000
PA
USD
533054.49000000
0.020714806846
Long
LON
CORP
US
N
2
2028-12-15
Floating
9.19070000
N
N
N
N
N
N
SLM Student Loan Trust
549300OORAXMFXOHG132
SLM Student Loan Trust 2008-3
78444GAD6
710000.00000000
PA
USD
677386.43000000
0.026323629799
Long
ABS-O
CORP
US
N
2
2083-04-26
Floating
6.82250000
N
N
N
N
N
N
SFAVE Commercial Mortgage Secu
549300FIGODFFTOAAU64
SFAVE Commercial Mortgage Securities Trust 2015-5AVE
78413MAQ1
13330000.00000000
PA
USD
6305232.50000000
0.245024994275
Long
ABS-MBS
CORP
US
N
2
2043-01-05
Variable
4.38801000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/EUR FORWARD
000000000
1.00000000
NC
USD
25195.07000000
0.000979095042
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-3371000.00000000
EUR
3667994.22000000
USD
2024-04-12
25195.07000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US ULTRA TREASURY BOND
000000000
-2186.00000000
NC
USD
-1612955.41000000
-0.06268038333
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
2024-06-18
-248923149.27000000
USD
-1612955.41000000
N
N
N
GGAM FINANCE LTD
254900X2QXEN0FVXRF65
GGAM Finance Ltd
36170JAA4
644000.00000000
PA
USD
672175.00000000
0.026121110605
Long
DBT
CORP
KY
N
2
2028-06-15
Fixed
8.00000000
N
N
N
N
N
N
Buzz Merger Sub Ltd
254900OZZ8FOKG7P0L30
BUZZ FINCO LLC
000000000
350818.07000000
PA
USD
352024.88000000
0.013679891139
Long
LON
CORP
US
N
2
2027-01-29
Floating
8.17626000
N
N
N
N
N
N
William Morris Endeavor Entertainment LLC
5493008R7J9HEQ30DZ33
William Morris Endeavor Entertainment LLC
96925HAF9
586068.54000000
PA
USD
586382.09000000
0.022787148332
Long
LON
CORP
US
N
2
2025-05-18
Floating
8.19464000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2006-WMC4
46630BAA4
6790024.72000000
PA
USD
4157444.54000000
0.161560707652
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.57389000
N
N
N
N
N
N
TENNET HOLDING BV
724500LTUWK3JQG63903
TenneT Holding BV
000000000
1670000.00000000
PA
1691672.82000000
0.065739387569
Long
DBT
CORP
NL
N
2
2042-05-17
Fixed
2.75000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAL7
3059000.00000000
PA
USD
2880793.00000000
0.111949287886
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.37500000
N
N
N
N
N
N
HSI Asset Securitization Corpo
N/A
HSI Asset Securitization Corp Trust 2006-HE2
44328BAB4
26072369.01000000
PA
USD
10375856.44000000
0.403211803024
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.70389000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300XC3G26BPOECZ28
BlueMountain Fuji US Clo I Ltd
09629CAQ8
5500000.00000000
PA
USD
5497305.00000000
0.213628462733
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
7.07942000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
085770AA3
1195000.00000000
PA
USD
1171976.89000000
0.045543702117
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FU6Z2
1705828.78000000
PA
USD
1521081.72000000
0.059110118419
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
None
0.00000000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2006-AR2
23332QAC7
5207186.55000000
PA
USD
3323810.55000000
0.129165206990
Long
ABS-MBS
CORP
US
N
2
2036-10-19
Floating
5.64080000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-55HY Mortgage Trust
44421MAA8
6555000.00000000
PA
USD
5753187.81000000
0.223572217235
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Variable
2.94280000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2006-QS16 Trust
74922LAF0
308662.69000000
PA
USD
234220.85000000
0.009101958164
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Fixed
6.00000000
N
N
N
N
N
N
Fidelity Government Portfolio
549300FQDFZGLUOCWN51
Fidelity Government Portfolio
316175108
729438.17000000
NS
USD
729438.17000000
0.028346390625
Long
STIV
RF
US
N
1
N
N
N
H-FOOD HOLDNG/HEARTHSIDE
N/A
H-Food Holdings LLC / Hearthside Finance Co Inc
577088AA5
3012000.00000000
PA
USD
225900.00000000
0.008778605104
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
8.50000000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAF9
525000.00000000
PA
USD
523254.10000000
0.020333958003
Long
DBT
CORP
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2006-HE3
00441TAD5
4467103.00000000
PA
USD
3245164.94000000
0.126108992942
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.74389000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BC7
1064000.00000000
PA
USD
960323.84000000
0.037318741759
Long
DBT
NUSS
ZA
N
2
2032-04-20
Fixed
5.87500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KF71 Mortgage Trust
30314GAA0
686032.60000000
PA
USD
634819.31000000
0.024669446812
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
7.73446000
N
N
N
N
N
N
FRESENIUS FIN IRELAND PL
549300GFSOR556BX2290
Fresenius Finance Ireland PLC
000000000
1000000.00000000
PA
878970.70000000
0.034157311524
Long
DBT
CORP
IE
N
2
2031-10-01
Fixed
0.87500000
N
N
N
N
N
N
NRTH PARK Mortgage Trust
N/A
NRTH 2024-PARK Mortgage Trust
67021HAA4
5335000.00000000
PA
USD
5354004.60000000
0.208059726023
Long
ABS-MBS
CORP
US
N
2
2041-03-15
Floating
6.94130000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376G6L9
4536131.54000000
PA
USD
79.16000000
0.000003076203
Long
ABS-MBS
USGA
US
N
2
2051-08-16
Variable
0.00077000
N
N
N
N
N
N
American Home Mortgage Investm
N/A
American Home Mortgage Investment Trust 2006-1
02660THY2
7771140.63000000
PA
USD
6628379.09000000
0.257582658305
Long
ABS-MBS
CORP
US
N
2
2046-03-25
Floating
5.72389000
N
N
N
N
N
N
Westlake Automobile Receivable
N/A
Westlake Automobile Receivables Trust 2023-3
96041CAN2
9640000.00000000
PA
USD
9754914.58000000
0.379081641972
Long
ABS-O
CORP
US
N
2
2029-03-15
Fixed
6.47000000
N
N
N
N
N
N
First Horizon Mortgage Pass-Th
N/A
First Horizon Mortgage Pass-Through Trust 2007-AR2
32055GAB7
52118.56000000
PA
USD
17900.47000000
0.000695622652
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Variable
5.80608900
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-P2
14686JAM2
54850.00000000
PA
USD
7670758.18000000
0.298090114701
Long
ABS-O
CORP
US
N
2
2029-05-10
None
0.00000000
N
N
N
N
N
N
GBX Leasing 2022-1 LLC.
N/A
GBX Leasing 2022-1 LLC
361528AA0
9260768.69000000
PA
USD
8283073.78000000
0.321885054282
Long
ABS-O
CORP
US
N
2
2052-02-20
Fixed
2.87000000
N
N
N
N
N
N
GoldenTree Loan Management US
N/A
GoldentTree Loan Management US CLO 1 Ltd
38138JAE3
3905000.00000000
PA
USD
3899259.65000000
0.151527492986
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
7.07942000
N
N
N
N
N
N
Michaels Companies Inc (The)
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
59408UAB3
3403750.00000000
PA
USD
3062609.16000000
0.119014769383
Long
LON
CORP
US
N
2
2028-04-15
Floating
9.82103000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-8 LLC
69360MAA8
7687058.59000000
PA
USD
7408990.01000000
0.287917651694
Long
ABS-O
CORP
US
N
2
2026-09-25
Variable
1.74300000
N
N
N
N
N
N
IndyMac Residential Asset Back
N/A
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-D
456606JN3
818202.15000000
PA
USD
807891.49000000
0.031395132171
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
6.14389000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2020-FL4 Ltd
58003UAE8
6000000.00000000
PA
USD
6004440.60000000
0.233336046472
Long
ABS-CBDO
CORP
US
N
2
2035-11-15
Floating
8.18981000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPJQ9
81251533.77000000
PA
USD
1674122.85000000
0.065057385550
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Variable
1.22510000
N
N
N
N
N
N
Clean Harbors Inc
5493000SJVZVZJKHJF48
CLEAN HARBORS INC
18449EAG5
1161700.86000000
PA
USD
1165331.18000000
0.045285445970
Long
LON
CORP
US
N
2
2028-10-08
Floating
0.00000000
N
N
N
N
N
N
Regatta XII Funding Ltd.
2549001ZYXDVCT6R4I31
Regatta XII Funding Ltd
75888HAN1
3890000.00000000
PA
USD
3892516.83000000
0.151265463087
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Floating
7.17560000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAG1
5700817.07000000
PA
USD
5697815.13000000
0.221420402754
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
6.97301000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3L3
2225000.00000000
PA
USD
2080427.93000000
0.080846636763
Long
DBT
CORP
US
N
2
2027-03-08
Fixed
3.20500000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R3
12566LAC8
18287000.00000000
PA
USD
13617932.07000000
0.529200743587
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
1.95100000
N
N
N
N
N
N
Bausch & Lomb Corporation
549300NY6OZM39SO6475
Bausch + Lomb Corp
000000000
309165.22000000
PA
USD
306305.44000000
0.011903207166
Long
LON
CORP
CA
N
2
2027-05-10
Floating
8.67667000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AE1
150000.00000000
PA
USD
116300.17000000
0.004519492102
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
4.37500000
N
N
N
N
N
N
ADD HERO HOLDINGS
254900WMSDP48LFA7478
Add Hero Holdings Ltd
000000000
411560.52000000
PA
USD
9309.50000000
0.000361772572
Long
DBT
CORP
VG
N
2
2031-09-30
Fixed
9.80000000
N
N
Y
N
N
N
Rad CLO Ltd
N/A
Rad CLO 7 Ltd
74936GAC2
7280000.00000000
PA
USD
7319333.84000000
0.284433560894
Long
ABS-CBDO
CORP
KY
N
2
2036-04-17
Floating
7.22957000
N
N
N
N
N
N
First Horizon Mortgage Pass-Th
N/A
First Horizon Mortgage Pass-Through Trust 2005-AR4
32051GTV7
1194671.97000000
PA
USD
761272.82000000
0.029583503599
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
3.85774800
N
N
N
N
N
N
Avolon TLB Borrower 1 (US) LLC
635400O84AGITYFZQB55
AVOLON TLB BORROWER 1 US
05400KAJ9
455953.98000000
PA
USD
456596.88000000
0.017743619748
Long
LON
CORP
US
N
2
2028-06-22
Floating
0.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2015-GC27
17323CAG2
56212858.02000000
PA
USD
283245.35000000
0.011007078686
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Variable
1.30112200
N
N
N
N
N
N
SLM Student Loan Trust
GX18J72G8XB30P3MQA62
SLM Student Loan Trust 2003-12
78442GKD7
2459731.13000000
PA
USD
2361364.96000000
0.091764012795
Long
ABS-O
CORP
US
N
2
2068-12-15
Floating
6.20506000
N
N
N
N
N
N
Structured Receivables Finance
N/A
Structured Receivables Finance 2010-B LLC
86365LAB7
961955.10000000
PA
USD
985872.00000000
0.038311558083
Long
ABS-O
CORP
US
N
2
2036-08-15
Fixed
7.97000000
N
N
N
N
N
N
SFAVE Commercial Mortgage Secu
549300FIGODFFTOAAU64
SFAVE Commercial Mortgage Securities Trust 2015-5AVE
78413MAN8
10000000.00000000
PA
USD
5804369.20000000
0.225561155754
Long
ABS-MBS
CORP
US
N
2
2043-01-05
Variable
4.38801000
N
N
N
N
N
N
Flexential Issuer, LLC
N/A
Flexential Issuer 2021-1
33938MAC3
9755000.00000000
PA
USD
8741915.94000000
0.339715926915
Long
ABS-O
CORP
US
N
2
2051-11-27
Fixed
6.93000000
N
N
N
N
N
N
HSI Asset Securitization Corpo
N/A
HSI Asset Securitization Corp Trust 2006-WMC1
40430MAB3
9820309.93000000
PA
USD
4252313.03000000
0.165247352232
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
5.54389000
N
N
N
N
N
N
SLM Student Loan Trust
549300EQOYJZL2D96G46
SLM Student Loan Trust 2008-4
78445AAE6
710000.00000000
PA
USD
715748.44000000
0.027814399772
Long
ABS-O
CORP
US
N
2
2073-04-25
Floating
7.47250000
N
N
N
N
N
N
Nortonlifelock Inc
YF6ZV0M6AU4FY94MK914
Gen Digital Inc
66877AAC2
1343842.80000000
PA
USD
1342021.89000000
0.052151749505
Long
LON
CORP
US
N
2
2027-09-10
Floating
7.17680000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 8 Ltd
67707GAE9
6650000.00000000
PA
USD
6647739.00000000
0.258334995643
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
7.05952000
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAJ6
7500000.00000000
PA
USD
4781779.88000000
0.185822741306
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Variable
2.94060000
N
N
N
N
N
N
BAYER US FINANCE LLC
54930093Q75GSEM74I71
Bayer US Finance LLC
07274EAM5
3643000.00000000
PA
USD
3744294.89000000
0.145505472476
Long
DBT
CORP
US
N
2
2053-11-21
Fixed
6.87500000
N
N
N
N
N
N
SLM Student Loan Trust
549300IWUQEXD0TZWG69
SLM Student Loan Trust 2003-7
78442GHK5
1727838.66000000
PA
USD
1578350.81000000
0.061335628493
Long
ABS-O
CORP
US
N
2
2039-09-15
Floating
6.18506000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CP7
800000.00000000
PA
USD
820334.54000000
0.031878676316
Long
DBT
CORP
US
N
2
2034-02-01
Fixed
6.65000000
N
N
N
N
N
N
Aoyuan New Shares
N/A
Aoyuan New Shares
000000000
408855.30000000
NS
8253.95000000
0.000320753287
Long
EC
CORP
HK
N
1
N
N
N
Suntrust Adjustable Rate Mortg
N/A
STARM Mortgage Loan Trust 2007-4
78473WAF0
629767.68000000
PA
USD
559176.83000000
0.021729936139
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Variable
4.42284900
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CKG5
11785000.00000000
PA
USD
11738150.85000000
0.456151354422
Long
DBT
UST
US
N
1
2029-03-31
Fixed
4.12500000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
C-BASS Mortgage Loan Trust 2007-CB3
17311YAC7
5253023.60000000
PA
USD
1910718.52000000
0.074251630598
Long
ABS-O
CORP
US
N
2
2037-03-25
Variable
3.32200300
N
N
N
N
N
N
Indymac Manufactured Housing C
N/A
Indymac Manufactured Housing Con Pass Thr Cert Series 1998-1
22540AFG8
13368.48000000
PA
USD
13351.57000000
0.000518849758
Long
ABS-O
CORP
US
N
2
2028-09-25
Fixed
6.49000000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAM6
391000.00000000
PA
USD
303431.75000000
0.011791533905
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.05000000
N
N
N
N
N
N
Structured Asset Investment Lo
N/A
Structured Asset Investment Loan Trust 2004-6
86358EJS6
6901599.61000000
PA
USD
6897118.06000000
0.268026010645
Long
ABS-O
CORP
US
N
2
2034-07-25
Floating
6.24389000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-R7
12563GAB4
7198756.17000000
PA
USD
6283158.61000000
0.244167190098
Long
ABS-MBS
CORP
US
N
2
2061-12-27
Variable
2.25000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AQ5K2
5282796.26000000
PA
USD
46979.91000000
0.001825666568
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
Variable
2.03891000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CKE0
9260000.00000000
PA
USD
9219125.80000000
0.358260579029
Long
DBT
UST
US
N
1
2027-03-15
Fixed
4.25000000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2005-QA13 Trust
761118PE2
1253659.73000000
PA
USD
1074329.85000000
0.041749081472
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
5.27566800
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2006-HE4
61748BAD6
9367469.48000000
PA
USD
4949652.84000000
0.192346381959
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.92389000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG Inc
92332YAD3
1300000.00000000
PA
USD
1402384.33000000
0.054497468956
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
9.87500000
N
N
N
N
N
N
ADD HERO HOLDINGS
254900WMSDP48LFA7478
Add Hero Holdings Ltd
000000000
411560.52000000
PA
USD
11560.74000000
0.000449257065
Long
DBT
CORP
VG
N
2
2029-09-30
Fixed
8.50000000
N
N
Y
N
N
N
LEG IMMOBILIEN SE
391200SO40AKONBO0Z96
LEG Immobilien SE
000000000
100000.00000000
PA
85492.10000000
0.003322272622
Long
DBT
CORP
DE
N
2
2034-01-17
Fixed
1.50000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAY9
2000000.00000000
PA
USD
1985212.40000000
0.077146506008
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.50000000
N
N
N
N
N
N
US AIRWAYS 2012-1A PTT
N/A
US Airways 2012-1 Class A Pass Through Trust
90345WAA2
42482.84245000
PA
USD
42482.84000000
0.001650907817
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.90000000
N
N
N
N
N
N
REPUBLIC OF POLAND
259400R9L8QEP0TPXS31
Republic of Poland Government International Bond
731011AV4
2670000.00000000
PA
USD
2633154.00000000
0.102325892625
Long
DBT
NUSS
PL
N
2
2033-10-04
Fixed
4.87500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJS9
611000.00000000
PA
USD
563670.91000000
0.021904578696
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
1.73400000
N
N
N
N
N
N
Wells Fargo Alternative Loan T
N/A
Wells Fargo Alternative Loan 2007-PA5 Trust
949922AA6
1153266.35000000
PA
USD
984876.55000000
0.038272874319
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Fixed
6.25000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BK9
3321000.00000000
PA
USD
2767845.94000000
0.107560099584
Long
DBT
NUSS
PA
N
2
2030-01-23
Fixed
3.16000000
N
N
N
N
N
N
Babson CLO Ltd
549300Q89L7I93JSRH83
Barings CLO Ltd 2020-IV
06762BAE0
8300000.00000000
PA
USD
8300083.00000000
0.322546042443
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
7.12942000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AK5
6241000.00000000
PA
USD
6250542.49000000
0.242899708746
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376LWH8
369947.01000000
PA
USD
3072.85000000
0.000119412734
Long
ABS-MBS
USGA
US
N
2
2035-07-20
Floating
0.62000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2006-2
542514TQ7
5706833.38000000
PA
USD
4478663.49000000
0.174043462473
Long
ABS-O
CORP
US
N
2
2046-03-25
Floating
5.80389000
N
N
N
N
N
N
Aveanna Healthcare LLC
5493006D6JRLPIY8YV18
Aveanna Healthcare LLC
05549DAJ7
2933077.84790000
PA
USD
2827795.02000000
0.109889755625
Long
LON
CORP
US
N
2
2028-07-17
Floating
9.19316000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2014-C23
92939HBE4
70999256.28000000
PA
USD
26376.22000000
0.001024995216
Long
ABS-MBS
CORP
US
N
2
2057-10-15
Variable
0.54266200
N
N
N
N
N
N
Naked Juice LLC
549300Y5TU1XQ1KVLJ64
Naked Juice LLC
62984CAB9
1110195.09000000
PA
USD
910010.26000000
0.035363526840
Long
LON
CORP
US
N
2
2030-01-24
Floating
11.40191000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR16 Trust
92922F6Y9
790154.16000000
PA
USD
706889.22000000
0.027470125341
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
4.86457400
N
N
N
N
N
N
Coherent Corp (f/k/a II-VI Incorporated)
549300O5C25A0MMHHU33
Coherent Corp
45173JAQ7
397680.25000000
PA
USD
398972.71000000
0.015504311059
Long
LON
CORP
US
N
2
2029-07-02
Floating
8.19464000
N
N
N
N
N
N
Securitized Asset Backed Recei
N/A
Securitized Asset Backed Receivables LLC Trust 2006-WM4
81377XAA0
8318331.53000000
PA
USD
3852140.31000000
0.149696408087
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
5.82389000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURA
Z7LVXXWM8HZPKF5T2355
Nationwide Mutual Insurance Co
638671AJ6
3825000.00000000
PA
USD
3825354.73000000
0.148655504903
Long
DBT
CORP
US
N
2
2024-12-15
Floating
7.88088000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VIVA
12433XAG4
5000000.00000000
PA
USD
4309891.50000000
0.167484884992
Long
ABS-MBS
CORP
US
N
2
2044-03-11
Variable
3.54875000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396YXH0
32233.38000000
PA
USD
3314.34000000
0.000128797175
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
1.56513000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAF4
3835000.00000000
PA
USD
3579128.53000000
0.139087011870
Long
DBT
CORP
GB
N
2
2028-02-16
Fixed
2.97200000
N
N
N
N
N
N
TRANSMONTAIGE PARTNERS
N/A
TransMontaigne Partners LP / TLP Finance Corp
89376VAA8
3846000.00000000
PA
USD
3677737.50000000
0.142919013673
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
6.12500000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2007-QS1 Trust
74922KAY1
1339576.44000000
PA
USD
6674.17000000
0.000259362119
Long
ABS-MBS
CORP
US
N
3
2037-01-25
Variable
0.17071400
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BN3
2347000.00000000
PA
USD
1977915.61000000
0.076862948514
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
AMER AIRLN 15-2 AA PTT
N/A
American Airlines 2015-2 Class AA Pass Through Trust
02377BAB2
1761185.42218400
PA
USD
1668098.32000000
0.064823268818
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
3.60000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL7 Trust
12598JAC5
7218662.91000000
PA
USD
6936224.78000000
0.269545720480
Long
ABS-MBS
CORP
US
N
2
2061-07-27
Variable
1.92598000
N
N
N
N
N
N
SLM Student Loan Trust
549300JQFJDGC1WO7674
SLM Student Loan Trust 2008-6
78445CAE2
710000.00000000
PA
USD
675310.25000000
0.026242948240
Long
ABS-O
CORP
US
N
2
2083-07-26
Floating
7.47250000
N
N
N
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LXP Industrial Trust
529043AE1
2000000.00000000
PA
USD
1673989.78000000
0.065052214372
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
2.70000000
N
N
N
N
N
N
TCI-Flatiron CLO Ltd
N/A
TCI-Flatiron Clo 2017-1 Ltd
87231BAE3
5090000.00000000
PA
USD
5090865.30000000
0.197833980109
Long
ABS-CBDO
CORP
KY
N
2
2030-11-18
Floating
7.14070000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BOBL
000000000
-167.00000000
NC
-95792.80000000
-0.00372256380
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESOBLIGATION
Bundesobligation
2024-06-06
-21356612.18000000
USD
-95792.80000000
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3G4
1535000.00000000
PA
USD
1355715.53000000
0.052683892303
Long
DBT
CORP
US
N
2
2029-01-07
Fixed
2.71700000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAQ8
2620000.00000000
PA
USD
2398439.94000000
0.093204768034
Long
DBT
CORP
GB
N
2
2027-06-14
Fixed
1.67300000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAJ7
2000000.00000000
PA
USD
1806527.74000000
0.070202716418
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
4.25000000
N
N
N
N
N
N
Textainer Marine Containers Li
549300X48KLHDDGPK024
Textainer Marine Containers VII Ltd
88315LAJ7
5929050.00000000
PA
USD
5394734.09000000
0.209642497642
Long
ABS-O
CORP
BM
N
2
2045-09-20
Fixed
2.11000000
N
N
N
N
N
N
EPHIOS SUBCO SARL
213800E4EG6VFUFVEH64
Ephios Subco 3 Sarl
000000000
360000.00000000
PA
409192.56000000
0.015901460361
Long
DBT
CORP
LU
N
2
2031-01-31
Fixed
7.87500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BS5P4
63998421.24000000
PA
USD
937493.67000000
0.036431548103
Long
ABS-MBS
USGSE
US
N
2
2026-08-25
Variable
1.01636200
N
N
N
N
N
N
Banc of America Funding Corpor
54930023UHZHF7UJ8596
Banc of America Funding Corp
05990QAT0
8613319.16000000
PA
USD
8054811.74000000
0.313014658933
Long
ABS-MBS
CORP
US
N
2
2036-05-27
Variable
5.26278800
N
N
N
N
N
N
Gracechurch Mortgage Finance P
N/A
Grace Trust 2020-GRCE
38406JAJ7
2950000.00000000
PA
USD
2249203.90000000
0.087405368909
Long
ABS-MBS
CORP
US
N
2
2040-12-10
Variable
2.67990000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAW5
10100000.00000000
PA
USD
9144019.65000000
0.355341910452
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
CANO HEALTH LLC
254900OGI2T8V1NXN639
Cano Health LLC
13782CAA8
1076000.00000000
PA
USD
936.12000000
0.000036378166
Long
DBT
CORP
US
N
3
2028-10-01
Fixed
6.25000000
Y
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
5040.00000000
NC
USD
380702.31000000
0.014794312712
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
2024-06-28
538978072.89000000
USD
380702.31000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-7F
362341MV8
9539.95000000
PA
USD
366.90000000
0.000014257946
Long
ABS-MBS
CORP
US
N
3
2035-09-25
Floating
0.05611000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAH4
3555000.00000000
PA
USD
3460963.28000000
0.134495041676
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.87500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-1373.88000000
-0.00005338977
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1567204.78000000
USD
1449000.00000000
EUR
2024-04-12
-1373.88000000
N
N
N
UNIVERSAL HEALTH SVCS
549300YGMGQDO0NMJD09
Universal Health Services Inc
913903BA7
590000.00000000
PA
USD
483040.32000000
0.018771227174
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAL9
1120000.00000000
PA
USD
1031753.41000000
0.040094536304
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.87500000
N
N
N
N
N
N
VMC Finance LLC
N/A
VMC Finance 2021-HT1 LLC
91835TAC0
1600000.00000000
PA
USD
1526110.96000000
0.059305557604
Long
ABS-CBDO
CORP
US
N
2
2037-01-18
Floating
9.94115000
N
N
N
N
N
N
UNIFRAX ESCROW ISS CORP
549300RRU6BWJLD0YT71
ASP Unifrax Holdings Inc
90473LAA0
2460000.00000000
PA
USD
1590345.97000000
0.061801767372
Long
DBT
CORP
US
N
2
2028-09-30
Fixed
5.25000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAQ3
450000.00000000
PA
USD
464625.00000000
0.018055597151
Long
DBT
NUSS
RO
N
2
2028-02-17
Fixed
6.62500000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2020-SFR1 Trust
74331CAH1
7100000.00000000
PA
USD
6929565.21000000
0.269286925725
Long
ABS-O
CORP
US
N
2
2037-04-17
Fixed
5.26800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWFE8
27433880.05000000
PA
USD
25415569.49000000
0.987663780644
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300MHMWVKFEDI8G73
SLM Student Loan Trust 2008-2
784442AD7
1000000.00000000
PA
USD
960768.00000000
0.037336002074
Long
ABS-O
CORP
US
N
2
2083-01-25
Floating
6.82250000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24
61765LAV2
99514609.06000000
PA
USD
606737.59000000
0.023578174875
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
0.67859400
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust
92922F4F2
10050.99000000
PA
USD
8950.32000000
0.000347814629
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
4.71971600
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2006-HE3
17310VAC4
6010342.37000000
PA
USD
4049180.88000000
0.157353518992
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.76389000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCL4
652000.00000000
PA
USD
416539.20000000
0.016186955056
Long
DBT
CORP
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CM9
495000.00000000
PA
372078.93000000
0.014459203160
Long
DBT
CORP
US
N
2
2039-08-01
Fixed
1.45000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042646
39975000.00000000
PA
USD
38420819.97000000
1.493055362066
Long
ABS-MBS
USGA
US
N
2
2054-04-15
Fixed
4.50000000
N
N
N
N
N
N
NORTHWEST FIBER LLC/NORT
N/A
Northwest Fiber LLC / Northwest Fiber Finance Sub Inc
667449AD4
1396000.00000000
PA
USD
1430900.00000000
0.055605604441
Long
DBT
CORP
US
N
2
2027-04-30
Fixed
4.75000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797HF7
25000000.00000000
PA
USD
24963652.75000000
0.970102033851
Long
DBT
UST
US
N
1
2024-04-11
None
0.00000000
N
N
N
N
N
N
Jane Street Group LLC
5493002N1IVX6KHGYO08
JANE STREET GROUP LLC
47077DAH3
965016.86000000
PA
USD
966585.01000000
0.037562054459
Long
LON
CORP
US
N
2
2028-01-26
Floating
7.94182000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2005-QA7 Trust
76110H7B9
415913.06000000
PA
USD
388410.06000000
0.015093840350
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
5.08968000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBX3
1415000.00000000
PA
USD
1153376.80000000
0.044820891825
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
1.95300000
N
N
N
N
N
N
Chemours Company (The)
549300M1BOLNXL8DOV14
CHEMOURS CO/THE
16384YAJ6
512474.54000000
PA
USD
511705.83000000
0.019885185529
Long
LON
CORP
US
N
2
2028-08-18
Floating
8.83016000
N
N
N
N
N
N
City Brewing Company LLC
N/A
City Brewing Co LLC
17776EAB1
1601516.95000000
PA
USD
1257623.22000000
0.048871968207
Long
LON
CORP
US
N
2
2028-04-05
Floating
9.07814000
N
N
N
N
N
N
PROLOGIS EURO FINANCE
549300MI5D1784PRQH06
Prologis Euro Finance LLC
000000000
610000.00000000
PA
665109.66000000
0.025846547392
Long
DBT
CORP
US
N
2
2043-01-31
Fixed
4.25000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797KN6
25000000.00000000
PA
USD
24632620.00000000
0.957237909067
Long
DBT
UST
US
N
1
2024-07-09
None
0.00000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBD4
7970000.00000000
PA
USD
6849870.70000000
0.266189950815
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
DIGITAL INTREPID HOLDING
5493003H2CB2KXPP7461
Digital Intrepid Holding BV
000000000
1000000.00000000
PA
876248.23000000
0.034051514760
Long
DBT
CORP
NL
N
2
2032-07-18
Fixed
1.37500000
N
N
N
N
N
N
Greystar Real Estate Partners, LLC
254900HGC806SXAS4M46
GREYSTAR REAL ESTATE PARTNERS LLC
39806LAC1
1303334.38000000
PA
USD
1306592.72000000
0.050774951397
Long
LON
CORP
US
N
2
2030-08-21
Floating
8.57574000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
247333.22000000
0.009611512472
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2053-12-20
0.00000000
USD
0.00000000
USD
21211000.00000000
USD
247333.22000000
N
N
N
1011778 BC Unlimited Liability Company
549300RHSHNRWI5LLA86
1011778 BC ULC
000000000
410173.79000000
PA
USD
410430.15000000
0.015949553827
Long
LON
CORP
CA
N
2
2030-09-20
Floating
7.58016000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISBDRXIMCHZ70
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KPV5
3485000.00000000
PA
USD
3509561.58000000
0.136383599819
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
7.17039000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities I Trust 2005-AC6
073879L55
247684.97000000
PA
USD
239309.23000000
0.009299695564
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
5.50000000
N
N
N
N
N
N
Carestream Dental Equipment Inc
549300E3FODU7LS3DY31
CARDEN TL 1L USD
14173MAC7
2538231.41000000
PA
USD
2216726.33000000
0.086143271690
Long
LON
CORP
US
N
2
2024-09-01
Floating
5.57103000
N
N
N
N
N
N
SLM Student Loan Trust
549300QFNKDN6MY4H751
SLM Student Loan EDC Repackaging Trust 2013-M1
78447T103
6250.00000000
PA
USD
2452375.63000000
0.095300740250
Long
ABS-O
USGA
US
N
2
2029-10-28
None
0.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJD2
4222000.00000000
PA
USD
4013269.18000000
0.155957969488
Long
DBT
CORP
US
N
2
2026-06-19
Fixed
1.31900000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQK93
81633682.95000000
PA
USD
894545.98000000
0.034762575944
Long
ABS-MBS
USGSE
US
N
2
2026-09-25
Variable
0.71593400
N
N
N
N
N
N
Schweitzer-Mauduit International Inc
549300Z1FU4IDULG1R21
Mativ Holdings Inc
80854EAH1
1567867.63000000
PA
USD
1570485.97000000
0.061029996246
Long
LON
CORP
US
N
2
2028-04-20
Floating
9.19464000
N
N
N
N
N
N
ARTERA SERVICES LLC
549300J2G34D0WX8Z443
Artera Services LLC
04302XAA2
875000.00000000
PA
USD
897726.38000000
0.034886168134
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
8.50000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B7HP9
117375779.00000000
PA
USD
3086214.18000000
0.119932074160
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Variable
0.70000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CH0
2350000.00000000
PA
USD
2181093.75000000
0.084758568951
Long
DBT
CORP
US
N
2
N/A
Fixed
3.55000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AY0
875000.00000000
PA
USD
812700.00000000
0.031581993661
Long
DBT
NUSS
ZA
N
2
2030-06-22
Fixed
5.87500000
N
N
N
N
N
N
Triton Container Finance LLC
N/A
Triton Container Finance VIII LLC
89680HAF9
2283425.00000000
PA
USD
1953078.94000000
0.075897781103
Long
ABS-O
CORP
US
N
2
2046-03-20
Fixed
2.58000000
N
N
N
N
N
N
BLACKSTONE PP EUR HOLD
213800Y3B5GQFBGVHP79
Blackstone Property Partners Europe Holdings Sarl
000000000
1355000.00000000
PA
1221274.12000000
0.047459421085
Long
DBT
CORP
LU
N
2
2030-04-20
Fixed
1.62500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BN6J8
78150000.00000000
PA
USD
2283718.84000000
0.088746639508
Long
ABS-MBS
USGSE
US
N
2
2044-03-25
Variable
1.64254000
N
N
N
N
N
N
UNIVERSAL HEALTH SVCS
549300YGMGQDO0NMJD09
Universal Health Services Inc
913903AZ3
1500000.00000000
PA
USD
1367581.88000000
0.053145025551
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
1.65000000
N
N
N
N
N
N
Nomura Asset Acceptance Corpor
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AR4
65535VMY1
1998580.44000000
PA
USD
1533943.26000000
0.059609925327
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
5.21633000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-BPNY
12659XAA4
12734000.00000000
PA
USD
11455767.45000000
0.445177771613
Long
ABS-MBS
CORP
US
N
2
2026-08-15
Floating
9.15488000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2006-AR4 Trust
94983PAA6
65350.38000000
PA
USD
60499.06000000
0.002351028583
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
6.09355400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABG64
124529.07000000
PA
USD
120319.99000000
0.004675704640
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Floating
5.00000000
N
N
N
N
N
N
FARMERS EXCHANGE CAPITAL
N/A
Farmers Exchange Capital
309588AE1
150000.00000000
PA
USD
138601.93000000
0.005386151439
Long
DBT
CORP
US
N
2
2048-07-15
Fixed
7.20000000
N
N
N
N
N
N
Fontainebleau Miami Beach Trus
N/A
Fontainebleau Miami Beach Trust 2019-FBLU
34461LAQ7
2410000.00000000
PA
USD
2337340.31000000
0.090830400953
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Variable
3.96287300
N
N
N
N
N
N
PRIME HEALTHCARE SERVICE
N/A
Prime Healthcare Services Inc
74165HAB4
1551000.00000000
PA
USD
1554877.50000000
0.060423442043
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
7.25000000
N
N
N
N
N
N
Open Text Corporation
549300HP7ONDQODZJV16
OPEN TEXT CORP
68371YAP8
417185.18000000
PA
USD
418372.07000000
0.016258181447
Long
LON
CORP
CA
N
2
2030-01-31
Floating
8.17680000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2006-AR3
17306SAC7
56372.62000000
PA
USD
51045.49000000
0.001983657366
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
4.27529600
N
N
N
N
N
N
ACRISURE LLC / FIN INC
N/A
Acrisure LLC / Acrisure Finance Inc
00489LAH6
2272000.00000000
PA
USD
2090240.00000000
0.081227939498
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
6.00000000
N
N
N
N
N
N
HOMER CITY HOLDINGS LLC (PLACEHOLDER)
N/A
HOMER CITY HOLDINGS LLC (PLACEHOLDER)
000000000
112222.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394VZ29
408446.51000000
PA
USD
34939.37000000
0.001357764195
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Floating
1.16513000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-R6
12560YAB8
4584266.18000000
PA
USD
3998476.73000000
0.155383126296
Long
ABS-MBS
CORP
US
N
2
2060-12-25
Variable
2.25000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AY3
2522000.00000000
PA
USD
1702087.96000000
0.066144125954
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWE58
18534981.51000000
PA
USD
17166960.68000000
0.667118055098
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.00000000
N
N
N
N
N
N
Park Avenue Trust
N/A
245 Park Avenue Trust 2017-245P
90187LAA7
5000000.00000000
PA
USD
4595347.50000000
0.178577870820
Long
ABS-MBS
CORP
US
N
2
2037-06-05
Fixed
3.50800000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust Series 2007-FF1
32028TAE7
3772452.23000000
PA
USD
1975059.82000000
0.076751970857
Long
ABS-O
CORP
US
N
2
2038-01-25
Floating
5.88389000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137APLC2
56323.03000000
PA
USD
5436.00000000
0.000211246114
Long
ABS-MBS
USGSE
US
N
2
2042-04-15
Floating
1.17688000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR4 Trust
93934FPN6
1243877.92000000
PA
USD
1122678.45000000
0.043627936128
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
4.48782500
N
N
N
N
N
N
TENNET HOLDING BV
724500LTUWK3JQG63903
TenneT Holding BV
000000000
645000.00000000
PA
765953.50000000
0.029765397541
Long
DBT
CORP
NL
N
2
2034-10-28
Fixed
4.50000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR3
74333VAQ7
15752000.00000000
PA
USD
14315204.95000000
0.556297172375
Long
ABS-O
CORP
US
N
2
2026-05-17
Fixed
4.25400000
N
N
N
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions Inc
14879EAK4
2981000.00000000
PA
USD
2841696.98000000
0.110429993859
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.50000000
N
N
N
N
N
N
NEW YORK ST DORM AUTH ST PERSO
549300C8XO7EXTX2XU71
New York State Dormitory Authority
6499022E2
3100000.00000000
PA
USD
3121295.45000000
0.121295352672
Long
DBT
MUN
US
N
2
2033-03-15
Fixed
5.28900000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
7245000.00000000
PA
USD
6746487.92000000
0.262172435984
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AQ4
7835000.00000000
PA
USD
6512113.76000000
0.253064520105
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
2.30000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2006-8
22942MAC0
20142.80000000
PA
USD
5624.22000000
0.000218560453
Long
ABS-MBS
CORP
US
N
2
2021-10-25
Fixed
6.00000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXVII Ltd
55820YAC1
2530000.00000000
PA
USD
2524702.18000000
0.098111391959
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
6.92942000
N
N
N
N
N
N
H-Food Holdings LLC
549300JY2LK0EQ95YT44
H-Food Holdings LLC
40422KAB7
546004.72000000
PA
USD
399609.93000000
0.015529073798
Long
LON
CORP
US
N
2
2025-05-23
Floating
9.29227000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2020-KF88 Mortgage Trust
30316MAJ6
3625274.29000000
PA
USD
3664831.11000000
0.142417463867
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Floating
14.43446000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2007-4
68403FAC0
12369562.23000000
PA
USD
7067058.70000000
0.274630002543
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.62389000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE16 Mortgage Trust
12591VAF8
32202439.70000000
PA
USD
94283.91000000
0.003663927461
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
0.79876800
N
N
N
N
N
N
CoreVest American Finance Trus
N/A
CoreVest American Finance 2021-3 Trust
21873NAC3
66179471.62000000
PA
USD
3208288.13000000
0.124675938704
Long
ABS-O
CORP
US
N
2
2054-10-15
Variable
2.38405800
N
N
N
N
N
N
Filtration Group Corporation
549300ZA0D9WN5ECE978
FILTRATION GROUP CORP
31732FAT3
325931.26000000
PA
USD
327337.65000000
0.012720531053
Long
LON
CORP
US
N
2
2028-10-21
Floating
9.69464000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 Trust
93936FAA8
4123329.74000000
PA
USD
3836662.25000000
0.149094921692
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
5.92389000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
C-BASS Mortgage Loan Trust 2007-CB2
1248MBAJ4
946542.55000000
PA
USD
568795.33000000
0.022103716631
Long
ABS-O
CORP
US
N
2
2037-02-25
Variable
3.56946700
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust 2006-FF9
320276AF5
10218000.00000000
PA
USD
8954978.57000000
0.347995664370
Long
ABS-O
CORP
US
N
2
2036-06-25
Floating
5.94389000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2006-9
54251WAC6
47869045.63000000
PA
USD
15001464.80000000
0.582965628426
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.66389000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR3
74333VAN4
3700000.00000000
PA
USD
3391190.97000000
0.131783649216
Long
ABS-O
CORP
US
N
2
2026-05-17
Fixed
3.43600000
N
N
N
N
N
N
CIFC Funding Ltd
54930034H2IEPBE5Q044
CIFC Funding 2014 Ltd
12549JBC4
8525000.00000000
PA
USD
8516406.80000000
0.330952510857
Long
ABS-CBDO
CORP
KY
N
2
2031-01-18
Floating
6.95952000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR3
12564UAA4
2438032.01000000
PA
USD
2408752.46000000
0.093605518547
Long
ABS-O
CORP
US
N
2
2057-06-25
Variable
2.56600000
N
N
N
N
N
N
ProAmpac PG Borrower LLC
549300ZI6LTXYFEY1578
PROAMPAC PG BORROWER LLC
74274NAJ2
1349484.04000000
PA
USD
1353532.49000000
0.052599058101
Long
LON
CORP
US
N
2
2028-09-15
Floating
9.81024500
N
N
N
N
N
N
Banc of America Mortgage Secur
N/A
Banc of America Mortgage 2005-K Trust
05949CMS2
538750.81000000
PA
USD
476730.68000000
0.018526030901
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
5.12066600
N
N
N
N
N
N
Ontario Gaming Gta Ltd Partnership
894500EC9KLZLOC3V025
ONTARIO GAMING GTA LP
000000000
614917.38000000
PA
USD
617773.67000000
0.024007043349
Long
LON
CORP
CA
N
2
2030-08-01
Floating
0.00000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
285617.00000000
PA
USD
29846.98000000
0.001159870964
Long
DBT
CORP
KY
N
3
2026-09-30
Fixed
6.25000000
N
N
Y
N
N
N
AmWINS Group Inc
549300SJE7MUB8NMRG61
AmWINS Group Inc
03234TAW8
2714363.21370000
PA
USD
2717756.17000000
0.105613582052
Long
LON
CORP
US
N
2
2028-02-19
Floating
7.69464000
N
N
N
N
N
N
CT Technologies Intermediate Holdings Inc
N/A
CT Technologies Intermediate Holdings Inc
12650JAR7
921500.00000000
PA
USD
920924.06000000
0.035787643442
Long
LON
CORP
US
N
2
2025-12-16
Floating
9.69464000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAP5
439000.00000000
PA
USD
277041.93000000
0.010766010184
Long
DBT
CORP
N/A
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
FARMERS EXCHANGE CAP II
N/A
Farmers Exchange Capital II
30958PAA1
2500000.00000000
PA
USD
2232913.25000000
0.086772304795
Long
DBT
CORP
US
N
2
2053-11-01
Fixed
6.15100000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAL7
4000000.00000000
PA
USD
3979313.04000000
0.154638414181
Long
DBT
CORP
GB
N
2
2025-07-09
Fixed
3.87000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAA1
7060000.00000000
PA
USD
6288963.00000000
0.244392752063
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.20200000
N
N
N
N
N
N
FRTKL
N/A
FRTKL 2021-SFR1
30322DAN9
9435000.00000000
PA
USD
8393598.67000000
0.326180115652
Long
ABS-O
CORP
US
N
2
2038-09-17
Fixed
4.10500000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-R3
12559NAB5
5710241.02000000
PA
USD
5375363.94000000
0.208889762372
Long
ABS-MBS
CORP
US
N
2
2060-01-26
Variable
4.00000000
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VBB5
987500.00000000
PA
USD
953554.69000000
0.037055688661
Long
LON
CORP
US
N
2
2028-08-19
Floating
9.42734000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust
92922FD47
291452.30000000
PA
USD
284738.04000000
0.011065085485
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
6.10389000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DF6
3860000.00000000
PA
USD
3318828.00000000
0.128971582205
Long
DBT
NUSS
PE
N
2
2031-01-23
Fixed
2.78300000
N
N
N
N
N
N
Student Loan Consolidation Cen
5493008KMDJ3GC7JUA63
Student Loan Consolidation Center Student Loan Trust I
86386MAX2
150000.00000000
PA
USD
138622.05000000
0.005386933314
Long
ABS-O
CORP
US
N
2
2042-07-01
Floating
1.60700000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAM2
4731000.00000000
PA
USD
3958475.01000000
0.153828636242
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
Zayo Group Holdings Inc
529900Z6OTS7RT0V0I47
Zayo Group Holdings Inc
98919XAB7
563486.84000000
PA
USD
496029.01000000
0.019275975205
Long
LON
CORP
US
N
2
2027-03-09
Floating
8.44464000
N
N
N
N
N
N
TELE COLUMBUS AG
3912004GMFDLY04RUQ19
Tele Columbus AG
000000000
2240000.00000000
PA
1688601.60000000
0.065620038178
Long
DBT
CORP
DE
N
2
2029-03-19
Fixed
10.00000000
N
N
Y
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17327CAQ6
2543000.00000000
PA
USD
2161794.59000000
0.084008592393
Long
DBT
CORP
US
N
2
2033-01-25
Fixed
3.05700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWHY2
10762455.90000000
PA
USD
10251612.16000000
0.398383598196
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
4.50000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072UAK8
901494.93560000
PA
USD
817462.09000000
0.031767051242
Long
LON
CORP
US
N
2
2027-04-15
Floating
7.93981000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AL3
2280000.00000000
PA
USD
2252617.20000000
0.087538011728
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.30000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3C3
3980000.00000000
PA
USD
3447862.62000000
0.133985942425
Long
DBT
CORP
US
N
2
2028-08-19
Fixed
1.98500000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAB2
85000.00000000
PA
USD
72497.83000000
0.002817307748
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
4.65000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAR2
5278000.00000000
PA
USD
4696971.26000000
0.182527029113
Long
DBT
CORP
KY
N
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
MNET 2023-3 Proxy
N/A
MNET 2023-3 Proxy
000000000
2650000.00000000
PA
USD
2665216.57000000
0.103571862703
Long
DBT
CORP
US
N
3
2053-04-20
Fixed
7.95000000
N
N
N
N
N
N
TIF Funding II LLC
N/A
TIF Funding II LLC
872480AF5
2957562.58000000
PA
USD
2515167.41000000
0.097740865263
Long
ABS-O
CORP
US
N
2
2046-02-20
Fixed
2.54000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAP1
2940000.00000000
PA
USD
2390224.56000000
0.092885513600
Long
DBT
CORP
N/A
N
2
2032-05-15
Fixed
3.00000000
N
N
N
N
N
N
ADTALEM GLOBAL EDUCATION
549300Z467EZLMODV621
Adtalem Global Education Inc
00737WAA7
1325000.00000000
PA
USD
1270188.29000000
0.049360254120
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust
92922FB49
93846.83000000
PA
USD
91580.78000000
0.003558882260
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
6.16389000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-8
07386HWR8
4739586.37000000
PA
USD
4305586.71000000
0.167317598354
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
5.98389000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAC6
3325000.00000000
PA
USD
2636258.50000000
0.102446535297
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
2.70000000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2007-QH6 Trust
74922AAA5
6905725.78000000
PA
USD
6456751.40000000
0.250913106665
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.82389000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-R3
12559PAA2
5532917.71000000
PA
USD
4997982.78000000
0.194224511476
Long
ABS-MBS
CORP
US
N
2
2058-06-25
Variable
2.63000000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2007-2
80556YAD7
12270675.65000000
PA
USD
8578953.18000000
0.333383099484
Long
ABS-O
CORP
US
N
2
2047-05-25
Floating
5.68389000
N
N
N
N
N
N
SLM Student Loan Trust
N/A
SLM Student Loan Trust 2014-1
78448EAC9
659533.05000000
PA
USD
635273.84000000
0.024687110111
Long
ABS-O
CORP
US
N
2
2029-02-26
Floating
6.03487000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N3
14687GAH8
19250.00000000
PA
USD
2032664.10000000
0.078990506609
Long
ABS-O
CORP
US
N
2
2028-06-12
None
0.00000000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAL2
360000.00000000
PA
USD
384302.39000000
0.014934213910
Long
DBT
CORP
US
N
2
2034-05-15
Fixed
6.87500000
N
N
N
N
N
N
Intelsat SA/Luxembourg
N/A
Intelsat SA/Luxembourg
000000000
141371.00000000
NS
USD
3799345.63000000
0.147644776182
Long
EC
CORP
US
N
3
N
N
N
BLACKSTONE PP EUR HOLD
213800Y3B5GQFBGVHP79
Blackstone Property Partners Europe Holdings Sarl
000000000
1340000.00000000
PA
1251984.27000000
0.048652835337
Long
DBT
CORP
LU
N
2
2028-05-04
Fixed
1.00000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2017-RPL1
52472WAA7
718743.01000000
PA
USD
720651.56000000
0.028004937861
Long
ABS-MBS
CORP
US
N
2
2070-01-28
Floating
7.19464000
N
N
N
N
N
N
Arches Buyer Inc
2549009ADY4208OH2Y47
Arches Buyer Inc
03952HAD6
585233.07000000
PA
USD
568205.71000000
0.022080803656
Long
LON
CORP
US
N
2
2027-12-06
Floating
8.68016000
N
N
N
N
N
N
WESTFIELD GALLERIA AT ROSEVILLE
N/A
WESTFIELD GALLERIA AT ROSEVILLE
000000000
4300000.00000000
PA
USD
4295700.00000000
0.166933395066
Long
DBT
CORP
US
N
3
2025-03-29
Floating
3.25000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CK8
1000000.00000000
PA
USD
792842.06000000
0.030810302588
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
5.25000000
N
N
N
N
N
N
VONOVIA SE
5299005A2ZEP6AP7KM81
Vonovia SE
000000000
300000.00000000
PA
245107.77000000
0.009525030193
Long
DBT
CORP
DE
N
2
2033-06-16
Fixed
1.00000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2004-3
576433KT2
23229.94000000
PA
USD
21270.28000000
0.000826575425
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
5.19177800
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA8
32051GWF8
1453002.15000000
PA
USD
903772.28000000
0.035121115317
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
5.87279100
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEA9
1395000.00000000
PA
USD
1382129.48000000
0.053710353729
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
0.79000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R06
20754JAC8
5559451.28000000
PA
USD
5786155.03000000
0.224853342537
Long
ABS-MBS
CORP
US
N
2
2039-09-25
Floating
9.18487000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
4765000.00000000
PA
USD
3530235.92000000
0.137187016670
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BM7E0
44865280.00000000
PA
USD
1066429.76000000
0.041442079390
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
Variable
1.61259800
N
N
N
N
N
N
GreenPoint Mortgage Funding Tr
N/A
GreenPoint Mortgage Funding Trust Series 2007-AR1
39539KAD5
8180855.78000000
PA
USD
7270135.10000000
0.282521669305
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Floating
5.84389000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-N1
14686GAH9
71000.00000000
PA
USD
5151170.70000000
0.200177482952
Long
ABS-O
CORP
US
N
2
2028-12-11
None
0.00000000
N
N
N
N
N
N
SKYAF 2020-1 A
N/A
SKYAF 2020-1 A
000000000
8493753.55000000
PA
USD
7586314.90000000
0.294808599832
Long
ABS-MBS
CORP
US
N
3
2038-05-10
Floating
3.22900000
N
N
N
N
N
N
HSI Asset Securitization Corpo
N/A
HSI Asset Securitization Corp Trust 2006-HE1
44328AAA8
10769411.07000000
PA
USD
3497594.56000000
0.135918554476
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.72389000
N
N
N
N
N
N
DataBank Issuer LLC
N/A
DataBank Issuer
23802WAA9
6047860.00000000
PA
USD
5524067.12000000
0.214668454248
Long
ABS-O
CORP
US
N
2
2051-02-27
Fixed
2.06000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R4
12598HAB1
9507815.22000000
PA
USD
8327085.29000000
0.323595367103
Long
ABS-MBS
CORP
US
N
2
2061-05-01
Variable
2.00000000
N
N
N
N
N
N
GACI FIRST INVESTMENT
558600TU1PWGNLZ3XM88
Gaci First Investment Co
000000000
650000.00000000
PA
USD
657433.40000000
0.025548243474
Long
DBT
CORP
KY
N
2
2032-10-13
Fixed
5.25000000
N
N
N
N
N
N
Herens Holdco Sarl
549300Y0CIXN5D40L888
Herens US Holdco Corp
000000000
1685142.32000000
PA
USD
1590732.22000000
0.061816777271
Long
LON
CORP
US
N
2
2028-07-03
Floating
9.33442000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-9
12669GYY1
55307.98000000
PA
USD
46553.62000000
0.001809100691
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
6.04389000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJR2
630000.00000000
PA
USD
636672.33000000
0.024741456245
Long
DBT
CORP
US
N
2
2035-01-23
Fixed
5.67800000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136ARP44
19406863.35000000
PA
USD
105208.49000000
0.004088462980
Long
ABS-MBS
USGSE
US
N
2
2039-01-25
Variable
2.67712600
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
2640000.00000000
PA
USD
2656896.00000000
0.103248520524
Long
DBT
NUSS
OM
N
2
2028-01-17
Fixed
5.62500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
5901886X1
4400000.00000000
PA
USD
4286922.64000000
0.166592301762
Long
DBT
CORP
US
N
2
2026-12-01
Floating
6.25286000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAS1
1255000.00000000
PA
1431071.48000000
0.055612268254
Long
DBT
CORP
US
N
2
2031-03-17
Fixed
4.87500000
N
N
N
N
N
N
Penn National Gaming Inc
N/A
Penn Entertainment Inc
70757DAZ2
604703.70000000
PA
USD
606028.00000000
0.023550599796
Long
LON
CORP
US
N
2
2029-05-03
Floating
8.17680000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR3 Trust
001807AJ5
6000000.00000000
PA
USD
5851821.60000000
0.227405183558
Long
ABS-O
CORP
US
N
2
2037-09-17
Fixed
6.50000000
N
N
N
N
N
N
Wells Fargo Home Equity Trust
N/A
Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust
9497EVAC9
4690000.00000000
PA
USD
4219337.86000000
0.163965917988
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
6.08389000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BD8
500000.00000000
PA
USD
253750.00000000
0.009860872267
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.62500000
N
N
N
N
N
N
FED HOME LN DISCOUNT NT
2549001DPIFGXC1TOL40
Federal Home Loan Bank Discount Notes
313384WW5
20000000.00000000
PA
USD
19862387.00000000
0.771863886219
Long
DBT
USGSE
US
N
2
2024-05-15
None
0.00000000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AD5
2441000.00000000
PA
USD
2338742.87000000
0.090884905248
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
5.12500000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2005-12
863579SU3
184361.32000000
PA
USD
158891.56000000
0.006174618236
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
5.69497300
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2020-FL4 Ltd
58003UAJ7
4481000.00000000
PA
USD
4402036.04000000
0.171065675294
Long
ABS-CBDO
CORP
US
N
2
2035-11-15
Floating
9.53981000
N
N
N
N
N
N
Cascade MH Asset Trust
N/A
Cascade MH Asset Trust 2022-MH1
14732KAA9
6526000.64000000
PA
USD
5936290.34000000
0.230687687817
Long
ABS-O
CORP
US
N
2
2054-08-25
Variable
4.25000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAN3
2775000.00000000
PA
USD
2311781.74000000
0.089837180089
Long
DBT
CORP
US
N
2
2038-06-25
Fixed
4.62500000
N
N
N
N
N
N
Zayo Group Holdings Inc
529900Z6OTS7RT0V0I47
Zayo Group Holdings Inc
98919XAE1
1037091.10800000
PA
USD
932873.82000000
0.036252018050
Long
LON
CORP
US
N
2
2027-03-09
Floating
9.65516000
N
N
N
N
N
N
China Aoyuan Group Ltd
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
163541.05600000
NS
3301.56000000
0.000128300537
Long
EC
CORP
CN
N
1
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJQ3
11114000.00000000
PA
USD
10360856.46000000
0.402628895096
Long
DBT
CORP
US
N
2
2027-03-11
Fixed
1.65800000
N
N
N
N
N
N
TIMES CHINA HLDG LTD
2549000KTINB9ZPZP710
Times China Holdings Ltd
000000000
1040000.00000000
PA
USD
29969.43000000
0.001164629442
Long
DBT
CORP
KY
N
3
2025-07-08
Fixed
6.75000000
Y
N
N
N
N
N
ELO SACA
969500ASEC557H5A4F22
ELO SACA
000000000
3500000.00000000
PA
3836768.49000000
0.149099050240
Long
DBT
CORP
FR
N
2
2029-03-22
Fixed
6.00000000
N
N
N
N
N
N
DOLP Trust
N/A
DOLP Trust 2021-NYC
23345LAJ8
4740000.00000000
PA
USD
3500509.43000000
0.136031828016
Long
ABS-MBS
CORP
US
N
2
2041-05-10
Variable
3.70378000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust
92925CDA7
2921459.28000000
PA
USD
2558762.74000000
0.099435005088
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
6.08905000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BYPS3
13971318.30000000
PA
USD
1122.60000000
0.000043624887
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Variable
0.94199200
N
N
N
N
N
N
OT MERGER CORP
N/A
OT Merger Corp
688777AA9
5555000.00000000
PA
USD
4007446.05000000
0.155731679277
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
7.87500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2017-PANW Mortgage Trust
12595HAG3
4440000.00000000
PA
USD
3956796.58000000
0.153763411478
Long
ABS-MBS
CORP
US
N
2
2029-10-10
Variable
3.93465800
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
C-BASS Mortgage Loan Trust 2007-CB2
1248MBAH8
3954775.38000000
PA
USD
2396928.85000000
0.093146046200
Long
ABS-O
CORP
US
N
2
2037-02-25
Variable
3.56946700
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAK0
625000.00000000
PA
USD
578032.69000000
0.022462685802
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.62500000
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VBA7
300000.00000000
PA
USD
269836.50000000
0.010486002993
Long
LON
CORP
US
N
2
2029-01-20
Floating
0.00000000
N
N
N
N
N
N
TIF Funding II LLC
N/A
TIF Funding II LLC
872480AA6
2607550.00000000
PA
USD
2365280.96000000
0.091916190827
Long
ABS-O
CORP
US
N
2
2045-08-20
Fixed
2.09000000
N
N
N
N
N
N
INDO ASAHAN/MINERAL IND
N/A
Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT
000000000
3600000.00000000
PA
USD
3562560.00000000
0.138443149178
Long
DBT
CORP
ID
N
2
2030-05-15
Fixed
5.45000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
353062.00000000
PA
USD
22949.03000000
0.000891812624
Long
DBT
CORP
KY
N
3
2032-09-30
Fixed
1.00000000
N
N
Y
N
N
N
CHINA SCE GRP HLDGS LTD
549300Q8UEI2ERAP6P49
China SCE Group Holdings Ltd
000000000
1070000.00000000
PA
USD
61525.00000000
0.002390897206
Long
DBT
CORP
KY
N
3
2025-05-02
Fixed
7.00000000
Y
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWFQ1
33986826.19000000
PA
USD
32386391.64000000
1.258553975002
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
4.50000000
N
N
N
N
N
N
HSI Asset Securitization Corpo
N/A
HSI Asset Securitization Corp Trust 2006-WMC1
40430MAC1
10869190.90000000
PA
USD
4739085.71000000
0.184163621081
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
5.64389000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA9
32051GXE0
814328.13000000
PA
USD
694389.24000000
0.026984368864
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
6.16334500
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2019-C16 Commercial Mortgage Trust
12596WAE4
89919396.94000000
PA
USD
5238883.90000000
0.203586068809
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Variable
1.54057000
N
N
N
N
N
N
SOUTHERN CO GAS CAPITAL
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
001192AL7
2410000.00000000
PA
USD
2349749.98000000
0.091312647931
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.87500000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2005-10
41161PTN3
870320.03000000
PA
USD
600457.90000000
0.023334142477
Long
ABS-MBS
CORP
US
N
2
2035-11-19
Floating
6.06080000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust
939336V91
293015.90000000
PA
USD
278160.51000000
0.010809478852
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
5.30780300
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR1 Trust
00180AAG4
10503000.00000000
PA
USD
10153490.62000000
0.394570538206
Long
ABS-O
CORP
US
N
2
2037-04-17
Fixed
4.31100000
N
N
N
N
N
N
Amentum Government Services Holdings LLC
5493008CT6B5L54YSE94
Amentum Government Services Holdings LLC
57776DAB9
1291246.78260000
PA
USD
1296088.96000000
0.050366769188
Long
LON
CORP
US
N
2
2027-01-29
Floating
9.44464000
N
N
N
N
N
N
MONG DUONG FIN HLDGS BV
549300995KGQFMWSV879
Mong Duong Finance Holdings BV
000000000
322801.62600000
PA
USD
308848.56000000
0.012002034285
Long
DBT
CORP
NL
N
2
2029-05-07
Fixed
5.12500000
N
N
N
N
N
N
Securitized Asset Backed Recei
N/A
Securitized Asset Backed Receivables LLC Trust 2007-NC1
81378AAC5
5362747.03000000
PA
USD
2596333.75000000
0.100895036341
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
5.74389000
N
N
N
N
N
N
SLM Student Loan Trust
549300JLVVUXV7DNSJ85
SLM Student Loan Trust 2003-4
78442GGG5
1197090.11000000
PA
USD
1169418.25000000
0.045444271882
Long
ABS-O
CORP
US
N
2
2033-03-15
Floating
6.36506000
N
N
N
N
N
N
EagleView Technology Corportion
549300HLIL8HO4PPLG50
EagleView Technology Corp
27004GAJ2
5065050.97680000
PA
USD
4931637.53000000
0.191646296557
Long
LON
CORP
US
N
2
2025-08-14
Floating
9.11075000
N
N
N
N
N
N
Washington Mutual Asset-Backed
N/A
Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE2 Trust
93934TAC6
27797532.17000000
PA
USD
8316844.00000000
0.323197384630
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
5.66389000
N
N
N
N
N
N
OWNIT Mortgage Loan Asset-Back
N/A
Ownit Mortgage Loan Trust Series 2006-2
69121PDC4
3151283.84000000
PA
USD
3036678.26000000
0.118007079560
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
5.86389000
N
N
N
N
N
N
SLM Student Loan Trust
549300EQOYJZL2D96G46
SLM Student Loan Trust 2008-4
78445AAD8
564016.52000000
PA
USD
570053.48000000
0.022152609070
Long
ABS-O
CORP
US
N
2
2022-07-25
Floating
7.27250000
N
N
N
N
N
N
MIAMI-DADE CNTY FL AVIATION RE
N/A
County of Miami-Dade FL Aviation Revenue
59333P2M9
2000000.00000000
PA
USD
1872837.20000000
0.072779540517
Long
DBT
MUN
US
N
2
2029-10-01
Fixed
3.35400000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-1
89177BAE5
7087000.00000000
PA
USD
5658365.69000000
0.219887374620
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
3.79124700
N
N
N
N
N
N
Pretium Mortgage Credit Partne
N/A
PRET 2022-RN2 LLC
69377NAB5
16833000.00000000
PA
USD
15953984.11000000
0.619981081620
Long
ABS-O
CORP
US
N
2
2052-06-25
Variable
6.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
3250000.00000000
PA
3375979.60000000
0.131192526550
Long
DBT
CORP
US
N
2
2032-05-07
Fixed
2.95000000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2007-A1
161630AW8
347703.12000000
PA
USD
334213.07000000
0.012987713865
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
5.80756700
N
N
N
N
N
N
ILPT Commercial Mortgage Trust
N/A
ILPT Commercial Mortgage Trust 2022-LPFX
449653AA2
11770000.00000000
PA
USD
10080862.82000000
0.391748179747
Long
ABS-MBS
CORP
US
N
2
2032-03-15
Fixed
3.38450000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CV9
5275000.00000000
PA
USD
4625870.53000000
0.179764013481
Long
DBT
CORP
GB
N
2
2029-08-17
Fixed
2.20600000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAD6
2257000.00000000
PA
USD
2153996.50000000
0.083705554090
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
3.50000000
N
N
N
N
N
N
Transdigm Inc
88Q84GB3X55CF5OC7582
TRANSDIGM INC
000000000
1478897.27000000
PA
USD
1485604.07000000
0.057731436350
Long
LON
CORP
US
N
2
2028-08-24
Floating
0.00000000
N
N
N
N
N
N
TRITON WATER HOLDINGS IN
5493005IYCEL7QJFZZ63
Triton Water Holdings Inc
89680EAA7
117000.00000000
PA
USD
106823.34000000
0.004151216988
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
6.25000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300GADFYEKC4OLM57
WFRBS Commercial Mortgage Trust 2013-C14
92890PAL8
1933417.41000000
PA
USD
3848.37000000
0.000149549891
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
0.34881900
N
N
N
N
N
N
VZ SECURED FINANCING BV
549300MG611MYCOWY949
VZ Secured Financing BV
000000000
2800000.00000000
PA
2658776.40000000
0.103321593960
Long
DBT
CORP
NL
N
2
2032-01-15
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22
61690FAN3
64889826.73000000
PA
USD
329750.63000000
0.012814300856
Long
ABS-MBS
CORP
US
N
2
2048-04-15
Variable
0.98867100
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2K8
4550000.00000000
PA
USD
4414812.58000000
0.171562179053
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
2.16400000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17308CC53
2380000.00000000
PA
USD
2114997.92000000
0.082190046638
Long
DBT
CORP
US
N
2
2030-11-05
Fixed
2.97600000
N
N
N
N
N
N
VONOVIA SE
5299005A2ZEP6AP7KM81
Vonovia SE
000000000
1100000.00000000
PA
902493.61000000
0.035071425458
Long
DBT
CORP
DE
N
2
2032-09-01
Fixed
0.75000000
N
N
N
N
N
N
GLOBAL PART/GLP FINANCE
N/A
Global Partners LP / GLP Finance Corp
37954FAJ3
800000.00000000
PA
USD
794299.84000000
0.030866952764
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR14
45660LRU5
7731070.38000000
PA
USD
5544500.25000000
0.215462497539
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
6.00389000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
4400000.00000000
PA
USD
3699960.00000000
0.143782592920
Long
DBT
NUSS
RO
N
2
2031-02-14
Fixed
3.00000000
N
N
N
N
N
N
The Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
USD/EUR FORWARD
000000000
1.00000000
NC
USD
2621.15000000
0.000101859410
N/A
DFE
CORP
US
N
2
The Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
-644000.00000000
EUR
698546.00000000
USD
2024-04-12
2621.15000000
N
N
N
Structured Asset Mortgage Inve
N/A
Structured Asset Mortgage Investments II Trust 2006-AR5
86360JAA9
174178.68000000
PA
USD
112038.73000000
0.004353890070
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
5.86389000
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
Credit Suisse First Boston Mortgage Securities Corp
2254W0NE1
512894.71000000
PA
USD
250181.27000000
0.009722189348
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
6.50000000
N
N
N
N
N
N
BACARDI LTD
549300R32WTQNHNN5055
Bacardi Ltd
067316AG4
1500000.00000000
PA
USD
1433550.84000000
0.055708617622
Long
DBT
CORP
BM
N
2
2038-05-15
Fixed
5.15000000
N
N
N
N
N
N
JBS USA LUX SA/FOOD/LUX
N/A
JBS USA LUX SA / JBS USA Food Co / JBS Luxembourg SARL
47214BAA6
3955000.00000000
PA
USD
4159494.42000000
0.161640367178
Long
DBT
CORP
N/A
N
2
2034-03-15
Fixed
6.75000000
N
N
N
N
N
N
Berry Global Inc
549300AP2Q7ERHX6RI89
BERRY GLOBAL INC
08579JBH4
1771974.16000000
PA
USD
1773249.98000000
0.068909523351
Long
LON
CORP
US
N
2
2029-07-01
Floating
7.18219000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BL7
3050000.00000000
PA
USD
2466039.92000000
0.095831742490
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.37500000
N
N
N
N
N
N
Asset Backed Funding Certifica
N/A
ABFC 2007-WMC1 Trust
04545EAA1
15743110.20000000
PA
USD
11366210.54000000
0.441697538115
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
6.69389000
N
N
N
N
N
N
Greenpoint Manufactured Housin
N/A
Greenpoint Manufactured Housing
395383AN2
4103596.75000000
PA
USD
2728308.72000000
0.106023660269
Long
ABS-O
CORP
US
N
2
2030-03-20
Variable
8.14000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-74T1
12668AL37
5166241.97000000
PA
USD
2936051.77000000
0.114096675758
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
6.00000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
856854.00000000
PA
USD
62121.92000000
0.002414093864
Long
DBT
CORP
KY
N
3
2029-09-30
Fixed
7.00000000
N
N
Y
N
N
N
CIT EDUCATION LOAN TRUST
N/A
CIT Education Loan Trust 2007-1
17284LAB0
1971351.87000000
PA
USD
1731835.34000000
0.067300126405
Long
ABS-MBS
CORP
US
N
2
2042-06-25
Floating
5.91461000
N
N
N
N
N
N
AGNC Investment Corp
5TRACI5HRMELWV32OF39
AGNC Investment Corp
00123Q104
582000.00000000
NS
USD
5761800.00000000
0.223906891937
Long
EC
CORP
US
N
1
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AS8
780000.00000000
PA
USD
825518.46000000
0.032080126456
Long
DBT
CORP
CO
N
2
2033-01-13
Fixed
8.87500000
N
N
N
N
N
N
Xerox Corporation
4KF48RN45X1OO8UBLY20
XEROX CORP
98415LAY2
1222706.87000000
PA
USD
1229969.75000000
0.047797338314
Long
LON
CORP
US
N
2
2029-11-15
Floating
9.32821000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWER0
23357225.30000000
PA
USD
21633286.66000000
0.840682074772
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.00000000
N
N
N
N
N
N
SLM Student Loan Trust
N/A
SLM Student Loan Trust 2012-2
78446YAA1
756641.61000000
PA
USD
738233.96000000
0.028688200129
Long
ABS-O
CORP
US
N
2
2029-01-25
Floating
6.13487000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust
93363CAB5
2600219.93000000
PA
USD
2244394.91000000
0.087218488766
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
6.06905000
N
N
N
N
N
N
Asset Backed Securities Corp H
N/A
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2006-HE5
04544PAE9
9655264.02000000
PA
USD
9317146.33000000
0.362069713713
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
3.23979100
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAF8
105000.00000000
PA
USD
95385.64000000
0.003706741328
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.65000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan
N/A
GMACM Mortgage Loan Trust 2005-AR5
76112BYB0
896990.83000000
PA
USD
702855.19000000
0.027313360594
Long
ABS-MBS
CORP
US
N
2
2035-09-19
Variable
4.26567000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCJ3
510000.00000000
PA
USD
452240.13000000
0.017574313915
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
2.06900000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS
86359B2J9
25887.47000000
PA
USD
26319.94000000
0.001022808143
Long
ABS-O
CORP
US
N
2
2035-02-25
Floating
6.94007000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300E610NX15ZSSH14
Neuberger Berman Loan Advisers CLO 24 Ltd
64130HAN1
750000.00000000
PA
USD
749700.00000000
0.029133777098
Long
ABS-CBDO
CORP
KY
N
2
2030-04-19
Floating
7.07118000
N
N
N
N
N
N
Plaze Inc
54930069WJQSNERFIV02
Plaze Inc
72819QAN2
3394999.99950000
PA
USD
3352562.50000000
0.130282524454
Long
LON
CORP
US
N
2
2026-08-03
Floating
9.19128000
N
N
N
N
N
N
Merrill Lynch First Franklin M
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-5
59025RAW7
21854560.90000000
PA
USD
12773077.11000000
0.496369189519
Long
ABS-O
CORP
US
N
2
2037-10-25
Floating
6.29389000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust Series 2006-FF18
32029AAE7
673556.17000000
PA
USD
600595.35000000
0.023339483864
Long
ABS-O
CORP
US
N
2
2037-12-25
Floating
5.86389000
N
N
N
N
N
N
ZHENRO PROPERTIES GROUP
549300I66TVJEL841P38
Zhenro Properties Group Ltd
000000000
1810000.00000000
PA
USD
29267.70000000
0.001137359807
Long
DBT
CORP
KY
N
3
2026-01-07
Fixed
6.63000000
Y
N
N
N
N
N
Triton Water Holdings Inc
5493005IYCEL7QJFZZ63
Triton Water Holdings Inc
89678QAB2
1204870.42360000
PA
USD
1193731.40000000
0.046389095001
Long
LON
CORP
US
N
2
2028-03-31
Floating
8.85975000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan
N/A
GMACM Mortgage Loan Trust 2006-AR1
36185MDN9
2618231.41000000
PA
USD
2049673.56000000
0.079651504096
Long
ABS-MBS
CORP
US
N
2
2036-04-19
Variable
3.64293000
N
N
N
N
N
N
Bear Stearns Mortgage Funding
N/A
Bear Stearns Mortgage Funding Trust 2007-AR4
07401YAA3
4199954.33000000
PA
USD
3853632.82000000
0.149754407892
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Floating
5.84389000
N
N
N
N
N
N
Plaze Inc
54930069WJQSNERFIV02
Plaze Inc
72819QAM4
1680825.90840000
PA
USD
1659815.58000000
0.064501396734
Long
LON
CORP
US
N
2
2026-08-03
Floating
8.94128000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXM1
16885000.00000000
PA
USD
15682431.56000000
0.609428391928
Long
DBT
CORP
US
N
2
2026-12-09
Fixed
1.09300000
N
N
N
N
N
N
MSILF Government Portfolio
549300BI6Y5SI6BYPB26
MSILF Government Portfolio
61747C707
99306148.00000000
NS
USD
99306148.00000000
3.859094544919
Long
STIV
RF
US
N
1
N
N
N
Freddie Mac - STACR
5493000ISUYHCRLRBE46
Freddie Mac STACR REMIC Trust 2021-DNA3
35564KEL9
4245000.00000000
PA
USD
4327680.84000000
0.168176189069
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
7.42039000
N
N
N
N
N
N
OPEN TEXT CORP
549300HP7ONDQODZJV16
Open Text Corp
683715AF3
5545000.00000000
PA
USD
5724658.00000000
0.222463532261
Long
DBT
CORP
CA
N
2
2027-12-01
Fixed
6.90000000
N
N
N
N
N
N
CABLE ONE INC
549300648QS85T0XSH18
Cable One Inc
12685JAC9
1592000.00000000
PA
USD
1245740.00000000
0.048410179381
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.00000000
N
N
N
N
N
N
ANNINGTON FUNDING PLC
549300KK63W8VZIONZ83
Annington Funding PLC
000000000
595000.00000000
PA
674926.39000000
0.026228031217
Long
DBT
CORP
GB
N
2
2029-07-12
Fixed
3.18400000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE A
549300M8ZYFG0OCMTT87
GINNIE MAE
21H052652
20225000.00000000
PA
USD
20199685.18000000
0.784971489249
Long
ABS-MBS
USGA
US
N
2
2053-05-15
Fixed
5.50000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding
N/A
Bear Stearns Mortgage Funding Trust 2007-AR4
07401YAQ8
3257458.62000000
PA
USD
3013409.17000000
0.117102829218
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.65389000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2J1
1406000.00000000
PA
USD
1212243.71000000
0.047108494112
Long
DBT
CORP
US
N
2
2031-02-11
Fixed
2.57200000
N
N
N
N
N
N
8th Avenue Food & Provisions Inc
549300PBCACU45IZ2V05
8th Avenue Food & Provisions Inc
28253PAC3
140428.84000000
PA
USD
138302.75000000
0.005374525130
Long
LON
CORP
US
N
2
2025-10-01
Floating
9.19128000
N
N
N
N
N
N
WASH MULTIFAM ACQ INC
549300AS7PRY5PHG6L12
WASH Multifamily Acquisition Inc
93710WAA3
605000.00000000
PA
USD
591623.76000000
0.022990842670
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ABTX9
8589.81000000
PA
USD
7222.31000000
0.000280663158
Long
ABS-MBS
USGSE
US
N
2
2033-11-15
None
0.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEF8
2505000.00000000
PA
USD
1980881.66000000
0.076978210938
Long
DBT
CORP
US
N
2
2036-09-16
Fixed
2.48400000
N
N
N
N
N
N
NGL Energy Operating LLC
5493008CQD36WWZJ3O79
NGL ENERGY OPERATING LLC
62922KAF7
720064.25000000
PA
USD
722764.49000000
0.028087047547
Long
LON
CORP
US
N
2
2031-02-03
Floating
9.83016000
N
N
N
N
N
N
Vericrest Opportunity Loan Tra
N/A
VOLT XCIV LLC
92873AAA6
7628383.05000000
PA
USD
7470014.77000000
0.290289109284
Long
ABS-O
CORP
US
N
2
2051-02-27
Variable
5.23950000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAJ3
1695000.00000000
PA
USD
1658005.78000000
0.064431066856
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
3.87500000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBM1
3045000.00000000
PA
USD
2579397.42000000
0.100236880728
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.70000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2020-UPTN
36258PAC1
40999000.00000000
PA
USD
79474.51000000
0.003088425582
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
0.35158300
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-9 LLC
69360XAA4
13419438.35000000
PA
USD
13108656.24000000
0.509409989268
Long
ABS-O
CORP
US
N
2
2026-10-25
Variable
2.36300000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2007-6
41165BAA8
8796640.05000000
PA
USD
7569814.89000000
0.294167399867
Long
ABS-MBS
CORP
US
N
2
2037-08-19
Floating
5.64080000
N
N
N
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
58465.20400000
PA
USD
1169.30000000
0.000045439676
Long
DBT
CORP
KY
N
2
2028-09-30
None
0.00000000
N
N
N
Y
N
China Aoyuan Group Ltd
China Aoyuan Group Ltd
HKD
XXXX
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAA1
1500000.00000000
PA
USD
1487178.56000000
0.057792621945
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.12500000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR2 Trust
74333DAQ7
7956000.00000000
PA
USD
7255265.36000000
0.281943822579
Long
ABS-O
CORP
US
N
2
2038-04-19
Fixed
4.25400000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-55HY Mortgage Trust
44421MAN0
6891000.00000000
PA
USD
5060794.50000000
0.196665411369
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Variable
2.94280000
N
N
N
N
N
N
Star Parent Inc
254900GRGCJYRMDRWT73
STAR PARENT INC
87169DAB1
409689.00000000
PA
USD
407667.18000000
0.015842183209
Long
LON
CORP
US
N
2
2030-09-27
Floating
9.30942000
N
N
N
N
N
N
Suntrust Adjustable Rate Mortg
N/A
STARM Mortgage Loan Trust 2007-S1
855541AE8
29751.85000000
PA
USD
28043.15000000
0.001089773084
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
5.36918300
N
N
N
N
N
N
U.S. Renal Care Inc
54930058SS5MF69JGN89
US RENAL CARE INC
90290PAS3
207737.35000000
PA
USD
181077.38000000
0.007036772077
Long
LON
CORP
US
N
2
2028-06-20
Floating
10.44182000
N
N
N
N
N
N
DTI Holdco, Inc.
549300QQVMUL3P8XVJ27
DTI Holdco Inc
23358EAF6
241918.83000000
PA
USD
242221.23000000
0.009412857574
Long
LON
CORP
US
N
2
2029-04-26
Floating
10.06266000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-HY12
02146PAF2
1933986.19000000
PA
USD
1764767.23000000
0.068579878763
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
4.14378100
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XLU3
8395164.10000000
PA
USD
177136.03000000
0.006883608929
Long
ABS-MBS
USGA
US
N
2
2054-11-16
Variable
0.90084000
N
N
N
N
N
N
WASTE PRO USA INC
549300BY1QXU5BI3UF28
Waste Pro USA Inc
94107JAA1
605000.00000000
PA
USD
596371.67000000
0.023175349208
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
3709.00000000
NC
USD
-577382.37000000
-0.02243741398
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
2024-06-28
759009932.96000000
USD
-577382.37000000
N
N
N
Credit-Based Asset Servicing a
N/A
Credit-Based Asset Servicing and Securitization LLC
12498NAC7
623946.04000000
PA
USD
539022.49000000
0.020946726790
Long
ABS-O
CORP
US
N
2
2036-12-25
Variable
3.05298000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYM0
4295000.00000000
PA
USD
3950841.86000000
0.153532007603
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
1.94800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EB90
25609000.04000000
PA
USD
21203536.77000000
0.823981744635
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BE6
6470000.00000000
PA
USD
6367069.74000000
0.247428025309
Long
DBT
CORP
US
N
2
2054-09-15
Fixed
4.37500000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2006-D Trust
058933AG7
562489.36000000
PA
USD
522277.50000000
0.020296006760
Long
ABS-MBS
CORP
US
N
2
2036-05-20
Variable
4.42217100
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-P4
14687KAK2
14200.00000000
PA
USD
3494513.68000000
0.135798829692
Long
ABS-O
CORP
US
N
2
2028-09-11
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDC4
40656178.45000000
PA
USD
32196691.28000000
1.251182108917
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2014-RR3 Trust
05544EAJ0
30378.39000000
PA
USD
30378.39000000
0.001180521865
Long
ABS-MBS
CORP
US
N
2
2036-03-26
Variable
3.62193900
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
285617.00000000
PA
USD
33560.00000000
0.001304161076
Long
DBT
CORP
KY
N
3
2025-09-30
Fixed
6.00000000
N
N
Y
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBE2
8287000.00000000
PA
USD
6888718.16000000
0.267699585656
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
SOUTHERN GAS CORRIDOR
213800DG58KG59XY6318
Southern Gas Corridor CJSC
000000000
2776000.00000000
PA
USD
2809312.00000000
0.109171494741
Long
DBT
CORP
AZ
N
2
2026-03-24
Fixed
6.87500000
N
N
N
N
N
N
Goal Capital Funding Trust
5493009VZI2B6V83UU74
Goal Capital Funding Trust 2006-1
38021BAG5
200801.45000000
PA
USD
189134.95000000
0.007349893923
Long
ABS-MBS
USGA
US
N
2
2042-08-25
Floating
6.03544000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAX4
1555000.00000000
PA
USD
1540551.66000000
0.059866731587
Long
DBT
CORP
N/A
N
2
2052-12-01
Fixed
6.50000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust 2006-FF5
32027EAH4
3860000.00000000
PA
USD
2923870.10000000
0.113623288992
Long
ABS-O
CORP
US
N
2
2036-04-25
Floating
5.84889000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050649
32600000.00000000
PA
USD
32044999.02000000
1.245287259657
Long
ABS-MBS
USGA
US
N
2
2054-04-15
Fixed
5.00000000
N
N
N
N
N
N
First Brands Group LLC(f/k/a TRICO GROUP LLC)
N/A
First Brands Group LLC
31935HAD9
343269.55000000
PA
USD
344213.54000000
0.013376337933
Long
LON
CORP
US
N
2
2027-03-30
Floating
10.57427000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BRQL2
117241969.43000000
PA
USD
2340630.40000000
0.090958255759
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Variable
1.16012000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2006-HE4
61748BAC8
8781117.71000000
PA
USD
4609451.92000000
0.179125976767
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.74389000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series 2003-A6
5899294H8
62617.91000000
PA
USD
62208.52000000
0.002417459190
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Variable
6.29863600
N
N
N
N
N
N
Asset Backed Securities Corp H
N/A
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE9
04541GNA6
1021117.21000000
PA
USD
923505.35000000
0.035887953869
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
6.41889000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAC0
1655000.00000000
PA
USD
1277314.11000000
0.049637167620
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
ADMI Corp
5493008U1LYGMQWO7N12
ADMI Corp
00709LAH0
560044.76000000
PA
USD
541143.25000000
0.021029140754
Long
LON
CORP
US
N
2
2027-12-23
Floating
8.81964000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
203372AX5
1430000.00000000
PA
USD
1029600.00000000
0.040010853542
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
4.75000000
N
N
N
N
N
N
Cedar Funding Ltd
N/A
Cedar Funding XII CLO Ltd
15033TAN5
1000000.00000000
PA
USD
1000550.00000000
0.038881953682
Long
ABS-CBDO
CORP
KY
N
2
2034-10-25
Floating
6.71628000
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR5
22541SJH2
27790.84000000
PA
USD
25915.36000000
0.001007085929
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
3.70213500
N
N
N
N
N
N
ASP Blade Holdings Inc
N/A
ASP Blade Holdings Inc
00217HAB7
515059.40000000
PA
USD
467158.88000000
0.018154065198
Long
LON
CORP
US
N
2
2028-10-13
Floating
9.56352000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BQYV3
53250116.25000000
PA
USD
1160849.87000000
0.045111299662
Long
ABS-MBS
USGSE
US
N
2
2026-05-25
Variable
1.23623900
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/EUR FORWARD
000000000
1.00000000
NC
USD
1354519.59000000
0.052637417380
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-69989000.00000000
EUR
76986637.59000000
USD
2024-04-12
1354519.59000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BWE5
28339077.91000000
PA
USD
15726.77000000
0.000611151409
Long
ABS-MBS
USGA
US
N
2
2052-06-16
Variable
0.07544000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2023-NR1
12569VAA7
11766499.62000000
PA
USD
11604857.33000000
0.450971490876
Long
ABS-O
CORP
US
N
2
2062-06-25
Variable
6.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BAM1
1500000.00000000
PA
USD
1473753.90000000
0.057270931866
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
7.44048000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDS9
10096032.41000000
PA
USD
8697008.24000000
0.337970787630
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394V7G9
10068.43000000
PA
USD
10865.31000000
0.000422232252
Long
ABS-MBS
USGSE
US
N
2
2036-03-25
Floating
4.63881400
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCC8
175000.00000000
PA
USD
147906.47000000
0.005747731263
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.58000000
N
N
N
N
N
N
MASTR Asset Backed Securities
N/A
Mastr Asset Backed Securities Trust 2006-WMC1
57643LRK4
15810103.28000000
PA
USD
5433255.82000000
0.211139474427
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.80389000
N
N
N
N
N
N
Magnite Inc
54930018FR2YX1HHSB02
MAGNIT 01/30/31
000000000
276381.58000000
PA
USD
277188.61000000
0.010771710254
Long
LON
CORP
US
N
2
2031-02-06
Floating
9.73594000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
2480000.00000000
PA
USD
2379237.58000000
0.092458553180
Long
DBT
CORP
GB
N
2
2026-06-04
Fixed
2.09900000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYL2
5565000.00000000
PA
USD
5568743.19000000
0.216404592257
Long
DBT
CORP
US
N
2
2024-10-21
Floating
5.82346100
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FNAP5
49531000.00000000
PA
USD
1576739.64000000
0.061273017492
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Variable
1.22245300
N
N
N
N
N
N
Sabey Data Center Issuer LLC
N/A
Sabey Data Center Issuer LLC
78520EAA4
7905000.00000000
PA
USD
7715202.21000000
0.299817235500
Long
ABS-O
CORP
US
N
2
2045-04-20
Fixed
3.81200000
N
N
N
N
N
N
SMITHFIELD FOODS INC
CVTIPZRZJC0JQEZLL598
Smithfield Foods Inc
832248BD9
4690000.00000000
PA
USD
3675375.44000000
0.142827222651
Long
DBT
CORP
US
N
2
2031-09-13
Fixed
2.62500000
N
N
N
N
N
N
Patriot Container Corp
549300V4U8NYJ3YQD526
PATRIOT CONTAINER CORP
40435YAE6
637131.71000000
PA
USD
554304.59000000
0.021540598065
Long
LON
CORP
US
N
2
2026-03-20
Floating
0.00000000
N
N
N
N
N
N
2024-05-23
METROPOLITAN WEST FUNDS
Eric Chan
Eric Chan
Managing Director