0001752724-24-115520.txt : 20240523
0001752724-24-115520.hdr.sgml : 20240523
20240523144744
ACCESSION NUMBER: 0001752724-24-115520
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: 24977554
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
S000001152
METROPOLITAN WEST STRATEGIC INCOME FUND
C000003074
CLASS I
MWSIX
C000003075
CLASS M
MWSTX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001028621
XXXXXXXX
S000001152
C000003074
C000003075
METROPOLITAN WEST FUNDS
811-07989
0001028621
549300KGDNJW6FXNDC82
515 South Flower Street
Los Angeles
90071
(213) 244-0000
Metropolitan West Strategic Income Fund
S000001152
549300W0V7N38CJDT435
2024-03-31
2024-03-28
N
89468570.19
14364988.13
75103582.06
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1715282.62000000
11753216.83000000
0.00000000
308119.94000000
EUR
USD
N
Mid-State Trust
N/A
Mid-State Capital Corp 2005-1 Trust
595481AA0
49153.27000000
PA
USD
48383.50000000
0.064422359989
Long
ABS-O
CORP
US
N
2
2040-01-15
Fixed
5.74500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL4 Trust
12662GAC2
202396.51000000
PA
USD
195588.07000000
0.260424422690
Long
ABS-MBS
CORP
US
N
2
2060-12-27
Variable
1.79561000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
549300E4V6DCTUJSC749
Morgan Stanley Mortgage Loan Trust 2006-7
61749JAS5
887797.12000000
PA
USD
251333.38000000
0.334648991574
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
5.96200000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAN0
25000.00000000
PA
USD
22707.86000000
0.030235388748
Long
DBT
CORP
N/A
N
2
2026-08-15
Fixed
4.12500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CK8
75000.00000000
PA
USD
59463.15000000
0.079174852076
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
5.25000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2023-NR1
12569VAA7
260093.86000000
PA
USD
256520.82000000
0.341556038958
Long
ABS-O
CORP
US
N
2
2062-06-25
Variable
6.00000000
N
N
N
N
N
N
GGAM FINANCE LTD
254900X2QXEN0FVXRF65
GGAM Finance Ltd
36170JAA4
68000.00000000
PA
USD
70975.00000000
0.094502816048
Long
DBT
CORP
KY
N
2
2028-06-15
Fixed
8.00000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BN5
45000.00000000
PA
USD
40144.05000000
0.053451578338
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2007-5
22944BAJ7
427156.17000000
PA
USD
246713.91000000
0.328498193072
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Variable
6.58561000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2021-C
009733AA4
262546.96000000
PA
USD
255340.68000000
0.339984689140
Long
ABS-MBS
CORP
US
N
2
2061-01-25
Variable
2.11500000
N
N
N
N
N
N
HPS Loan Management Ltd
N/A
HPS Loan Management 2023-18 Ltd
442911AJ2
175000.00000000
PA
USD
179604.60000000
0.239142521666
Long
ABS-CBDO
CORP
KY
N
2
2036-07-20
Floating
11.06781000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAT4
56000.00000000
PA
USD
52150.00000000
0.069437433701
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.50000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DF4
25000.00000000
PA
USD
20596.99000000
0.027424777134
Long
DBT
CORP
US
N
2
2052-02-22
Fixed
4.20000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAF8
5000.00000000
PA
USD
4542.17000000
0.006047873983
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.65000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2U6
275000.00000000
PA
USD
238547.51000000
0.317624677088
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AY2
112000.00000000
PA
USD
90559.88000000
0.120579974371
Long
DBT
CORP
US
N
2
2046-04-01
Variable
7.00000000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAW5
10000.00000000
PA
USD
9800.00000000
0.013048645259
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXM1
625000.00000000
PA
USD
580486.81000000
0.772914945037
Long
DBT
CORP
US
N
2
2026-12-09
Fixed
1.09300000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBE2
300000.00000000
PA
USD
249380.41000000
0.332048622928
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
BCRED CLO LLC
N/A
BCRED CLO 2023-1 LLC
055978AA8
250000.00000000
PA
USD
252862.50000000
0.336685006312
Long
ABS-CBDO
CORP
US
N
2
2036-01-20
Floating
7.65751000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAJ7
25000.00000000
PA
USD
22581.60000000
0.030067274263
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
4.25000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-P3
14686MAK9
1750.00000000
PA
USD
224870.22000000
0.299413441852
Long
ABS-O
CORP
US
N
2
2029-09-10
None
0.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17308CC53
20000.00000000
PA
USD
17773.09000000
0.023664770058
Long
DBT
CORP
US
N
2
2030-11-05
Fixed
2.97600000
N
N
N
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAE0
420000.00000000
PA
USD
419125.14000000
0.558062782764
Long
DBT
CORP
US
N
2
2028-03-20
Fixed
5.15200000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust Series 2007-FF1
32028TAE7
716765.92000000
PA
USD
375261.36000000
0.499658404708
Long
ABS-O
CORP
US
N
2
2038-01-25
Floating
5.88389000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2020-SFR3 Trust
74333AAN0
280000.00000000
PA
USD
265990.62000000
0.354165024762
Long
ABS-O
CORP
US
N
2
2027-10-17
Fixed
4.10500000
N
N
N
N
N
N
AXALTA COATING SYSTEMS
549300G80QONCHILSF69
Axalta Coating Systems LLC
05453GAC9
76000.00000000
PA
USD
68146.82000000
0.090737110176
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.37500000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAL5
115000.00000000
PA
USD
115840.75000000
0.154241311562
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
5.50000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR3
74333VAN4
200000.00000000
PA
USD
183307.62000000
0.244073072112
Long
ABS-O
CORP
US
N
2
2026-05-17
Fixed
3.43600000
N
N
N
N
N
N
RAISING CANE'S RESTAURAN
254900V6ADXFWHYOED66
Raising Cane's Restaurants LLC
75103AAA3
35000.00000000
PA
USD
37887.56000000
0.050447074508
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
9.37500000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2007-QS1 Trust
74922KAE5
295733.82000000
PA
USD
210141.62000000
0.279802393222
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.99389000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379KJU3
520045.32000000
PA
USD
6628.08000000
0.008825251496
Long
ABS-MBS
USGA
US
N
2
2056-10-16
Variable
0.36581000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGF0
110000.00000000
PA
USD
105975.44000000
0.141105706403
Long
DBT
CORP
US
N
2
2028-01-20
Fixed
3.82400000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
N/A
Freddie Mac Multifamily PC REMIC Trust 2019-P002
3137FQKX0
535000.00000000
PA
USD
39888.10000000
0.053110782343
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Variable
0.89086700
N
N
N
N
N
N
Banc of California Multifamily
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMUM2
595429.45000000
PA
USD
662.03000000
0.000881489247
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Fixed
0.36200000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
125000.00000000
PA
USD
107150.63000000
0.142670465324
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAN3
3000.00000000
PA
USD
3019.62000000
0.004020607163
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.50000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2007-5
3622ECAP1
679829.92000000
PA
USD
234876.82000000
0.312737173857
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
5.90812000
N
N
N
N
N
N
Dreyfus Government Cash Management
5493000Q69I5Q3QZIA91
Dreyfus Government Cash Management
262006208
439000.00000000
NS
USD
439000.00000000
0.584526047837
Long
STIV
RF
US
N
1
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CP7
50000.00000000
PA
USD
51270.91000000
0.068266930276
Long
DBT
CORP
US
N
2
2034-02-01
Fixed
6.65000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAF0
70000.00000000
PA
USD
71458.51000000
0.095146606912
Long
DBT
CORP
GB
N
2
2027-07-27
Fixed
6.12500000
N
N
N
N
N
N
SLM Student Loan Trust
549300EQOYJZL2D96G46
SLM Student Loan Trust 2008-4
78445AAE6
340000.00000000
PA
USD
342752.78000000
0.456373412024
Long
ABS-O
CORP
US
N
2
2073-04-25
Floating
7.47250000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393USG9
2049.35000000
PA
USD
2052.72000000
0.002733185213
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
9.80000000
N
N
N
N
N
N
1211 Avenue of the Americas Tr
N/A
1211 Avenue of the Americas Trust 2015-1211
90117PAJ4
150000.00000000
PA
USD
143146.28000000
0.190598472234
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Variable
4.09150000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398RAW5
442753.83000000
PA
USD
41071.08000000
0.054685913605
Long
ABS-MBS
USGSE
US
N
2
2040-05-25
Floating
0.98513000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAV1
49000.00000000
PA
USD
45299.27000000
0.060315724972
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
ELO SACA
969500ASEC557H5A4F22
ELO SACA
000000000
100000.00000000
PA
109621.96000000
0.145961027414
Long
DBT
CORP
FR
N
2
2029-03-22
Fixed
6.00000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJL5
100000.00000000
PA
USD
95007.41000000
0.126501835723
Long
DBT
CORP
US
N
2
2034-02-01
Fixed
4.83900000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAW1
129000.00000000
PA
USD
110719.00000000
0.147421730046
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
SCRIPPS ESCROW INC
N/A
Scripps Escrow Inc
81104PAA7
66000.00000000
PA
USD
55440.00000000
0.073818050323
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.87500000
N
N
N
N
N
N
Merrill Lynch First Franklin M
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2
59024QAC4
352298.43000000
PA
USD
247455.65000000
0.329485815739
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.78389000
N
N
N
N
N
N
Indymac Manufactured Housing C
N/A
Indymac Manufactured Housing Contract Pass-Through Certificates Series 1997-1
22540ABD9
9221.85000000
PA
USD
9141.96000000
0.012172468674
Long
ABS-O
CORP
US
N
2
2028-02-25
Fixed
6.75000000
N
N
N
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAD2
44999.99998000
PA
USD
44759.68000000
0.059597263901
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.73800000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
902973BC9
15000.00000000
PA
USD
12997.95000000
0.017306697821
Long
DBT
CORP
US
N
2
N/A
Fixed
3.70000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102CC9
38000.00000000
PA
USD
32482.78000000
0.043250640127
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.37500000
N
N
N
N
N
N
VASA Trust
N/A
VASA Trust 2021-VASA
92230AAC0
300000.00000000
PA
USD
252090.38000000
0.335656932845
Long
ABS-MBS
CORP
US
N
2
2039-07-15
Floating
6.69048000
N
N
N
N
N
N
Rockford Tower CLO Ltd
5493000QG193Z8ZVLY16
Rockford Tower CLO 2021-1 Ltd
77341KAE1
75000.00000000
PA
USD
74965.35000000
0.099815944784
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
7.22942000
N
N
N
N
N
N
Structured Receivables Finance
N/A
Structured Receivables Finance 2010-B LLC
86365LAB7
267209.75000000
PA
USD
273853.33000000
0.364634179207
Long
ABS-O
CORP
US
N
2
2036-08-15
Fixed
7.97000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CM9
25000.00000000
PA
USD
23009.89000000
0.030637540006
Long
DBT
CORP
GB
N
2
2027-05-24
Fixed
1.58900000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R06
20754JAC8
66183.94000000
PA
USD
68882.79000000
0.091717050120
Long
ABS-MBS
CORP
US
N
2
2039-09-25
Floating
9.18487000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2007-11AR
61754VAE1
295876.00000000
PA
USD
157135.01000000
0.209224388091
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
2.85751800
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AQ2
50000.00000000
PA
USD
44724.07000000
0.059549849385
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Q5
180000.00000000
PA
USD
173712.21000000
0.231296837294
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2J1
95000.00000000
PA
USD
81908.36000000
0.109060523817
Long
DBT
CORP
US
N
2
2031-02-11
Fixed
2.57200000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2007-HE1
00443LAA6
570457.43000000
PA
USD
306663.77000000
0.408321096795
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.74389000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYL2
30000.00000000
PA
USD
30020.18000000
0.039971701983
Long
DBT
CORP
US
N
2
2024-10-21
Floating
5.82346100
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAF9
75000.00000000
PA
USD
72855.83000000
0.097007130687
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
2.30000000
N
N
N
N
N
N
ARIZONA PUBLIC SERVICE
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co
040555DE1
245000.00000000
PA
USD
261772.51000000
0.348548634858
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
6.35000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-337.64000000
-0.00044956577
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-191608.91000000
USD
177000.00000000
EUR
2024-04-12
-337.64000000
N
N
N
Terwin Mortgage Trust
N/A
Terwin Mortgage Trust 2004-7HE
881561FV1
51420.58000000
PA
USD
48627.76000000
0.064747590815
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
6.54389000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR2
12565CAA3
89335.37000000
PA
USD
88511.18000000
0.117852141765
Long
ABS-O
CORP
US
N
2
2059-07-25
Variable
5.56800000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AY2
91000.00000000
PA
USD
93566.20000000
0.124582872658
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
6.87500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBW5
175000.00000000
PA
USD
161945.31000000
0.215629275672
Long
DBT
CORP
US
N
2
2027-02-04
Fixed
1.04000000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-PALM
85237AAE3
230000.00000000
PA
USD
226036.06000000
0.300965751299
Long
ABS-MBS
CORP
US
N
2
2034-10-15
Floating
6.39948000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBD4
70000.00000000
PA
USD
60161.98000000
0.080105340317
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2006-9
54251WAD4
388813.18000000
PA
USD
120507.66000000
0.160455276159
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.76389000
N
N
N
N
N
N
FirstKey Homes 2020-SFR1 Trust
N/A
FirstKey Homes 2020-SFR1 Trust
33767MAN5
162000.00000000
PA
USD
155719.88000000
0.207340150401
Long
ABS-O
CORP
US
N
2
2037-08-17
Fixed
4.28400000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
C-BASS Mortgage Loan Trust 2007-CB3
17311YAC7
799952.83000000
PA
USD
290972.36000000
0.387428072029
Long
ABS-O
CORP
US
N
2
2037-03-25
Variable
3.32200300
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579AN8
69684.75000000
PA
USD
67061.17000000
0.089291573265
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
5.59369000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BV5
54000.00000000
PA
USD
33537.78000000
0.044655366734
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.70000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan
N/A
GMACM Mortgage Loan Trust 2006-AR1
36185MDN9
178565.96000000
PA
USD
139789.75000000
0.186129271288
Long
ABS-MBS
CORP
US
N
2
2036-04-19
Variable
3.64293000
N
N
N
N
N
N
Structured Asset Mortgage Inve
N/A
Structured Asset Mortgage Investments II Trust 2006-AR7
86361HAA2
362772.22000000
PA
USD
286824.91000000
0.381905765521
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.86389000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H052645
375000.00000000
PA
USD
374735.37000000
0.498958051961
Long
ABS-MBS
USGA
US
N
2
2054-04-15
Fixed
5.50000000
N
N
N
N
N
N
GGAM FINANCE LTD
254900X2QXEN0FVXRF65
GGAM Finance Ltd
36170JAC0
35000.00000000
PA
USD
36160.08000000
0.048146944537
Long
DBT
CORP
KY
N
2
2027-02-15
Fixed
8.00000000
N
N
N
N
N
N
BXHPP Trust
N/A
BXHPP Trust 2021-FILM
05609JAL6
120000.00000000
PA
USD
112434.23000000
0.149705549210
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
6.53948000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R03
20754AAF0
150000.00000000
PA
USD
153945.79000000
0.204977959476
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
8.07039000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-K66 Mortgage Trust
35708QAQ6
42283457.00000000
PA
USD
100402.07000000
0.133684795380
Long
ABS-MBS
CORP
US
N
2
2027-06-25
Fixed
0.10000000
N
N
N
N
N
N
BLACKSTONE PP EUR HOLD
213800Y3B5GQFBGVHP79
Blackstone Property Partners Europe Holdings Sarl
000000000
100000.00000000
PA
90130.93000000
0.120008829842
Long
DBT
CORP
LU
N
2
2030-04-20
Fixed
1.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373M8V5
4074773.27000000
PA
USD
61.94000000
0.000082472764
Long
ABS-MBS
USGA
US
N
2
2049-10-16
Variable
0.00384000
N
N
N
N
N
N
Ladder Capital Commercial Mort
N/A
Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust
50184BAE8
1382175.94000000
PA
USD
49602.56000000
0.066045531570
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Variable
1.14785200
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-2 Mortgage Loan Trust
19685WAA9
99505.18000000
PA
USD
80562.57000000
0.107268611949
Long
ABS-MBS
CORP
US
N
2
2066-08-25
Variable
0.92400000
N
N
N
N
N
N
AON CORP/AON GLOBAL HOLD
N/A
Aon Corp / Aon Global Holdings PLC
03740LAE2
55000.00000000
PA
USD
42338.15000000
0.056373010232
Long
DBT
CORP
US
N
2
2052-02-28
Fixed
3.90000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-P4
29429EAF8
1932396.97000000
PA
USD
59271.77000000
0.078920030675
Long
ABS-MBS
CORP
US
N
2
2049-07-10
Variable
1.88434400
N
N
N
N
N
N
NEW YORK CITY NY TRANSITIONAL
N/A
New York City Transitional Finance Authority Future Tax Secured Revenue
64971XQW1
75000.00000000
PA
USD
60143.81000000
0.080081147064
Long
DBT
MUN
US
N
2
2032-08-01
Fixed
1.85000000
N
N
N
N
N
N
MIAMI-DADE CNTY FL AVIATION RE
N/A
County of Miami-Dade FL Aviation Revenue
59333P6L7
15000.00000000
PA
USD
12241.37000000
0.016299315777
Long
DBT
MUN
US
N
2
2035-10-01
Fixed
2.85700000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPJQ9
1822805.02000000
PA
USD
37557.44000000
0.050007521572
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Variable
1.22510000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMCG5
2219979.85000000
PA
USD
34032.74000000
0.045314403210
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
1.25055100
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC24
36253GAG7
2362590.83000000
PA
USD
1483.12000000
0.001974765995
Long
ABS-MBS
CORP
US
N
2
2047-09-10
Variable
0.67085700
N
N
N
N
N
N
QWEST CORP
549300R2L4N683OO1509
Qwest Corp
912920AK1
70000.00000000
PA
USD
69212.50000000
0.092156057143
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
7.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3E1
40000.00000000
PA
USD
40485.79000000
0.053906603239
Long
DBT
CORP
US
N
2
2029-07-25
Fixed
5.57400000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAB2
25000.00000000
PA
USD
21322.89000000
0.028391308929
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
4.65000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C22
46642NBF2
6111484.10000000
PA
USD
17547.29000000
0.023364118619
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
0.77004300
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJL4
585000.00000000
PA
USD
477805.10000000
0.636194821730
Long
DBT
CORP
US
N
2
2031-10-24
Fixed
1.92200000
N
N
N
N
N
N
DIRECTV FIN LLC/COINC
N/A
Directv Financing LLC / Directv Financing Co-Obligor Inc
25461LAA0
30000.00000000
PA
USD
28404.62000000
0.037820592867
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.87500000
N
N
N
N
N
N
COMM Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CCRE12 Mortgage Trust
12591KAF2
178209.85000000
PA
USD
11.60000000
0.000015445335
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Variable
0.56330300
N
N
N
N
N
N
SMITHFIELD FOODS INC
CVTIPZRZJC0JQEZLL598
Smithfield Foods Inc
832248BD9
45000.00000000
PA
USD
35264.80000000
0.046954884218
Long
DBT
CORP
US
N
2
2031-09-13
Fixed
2.62500000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AE1
20000.00000000
PA
USD
15506.69000000
0.020647071117
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
4.37500000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2020-555
17328EAN8
200000.00000000
PA
USD
139299.38000000
0.185476346372
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Variable
3.50300000
N
N
N
N
N
N
DENTSPLY SIRONA INC
9NHEHR1SOZCYXDO8HO28
DENTSPLY SIRONA Inc
24906PAA7
45000.00000000
PA
USD
39903.96000000
0.053131899844
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.25000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505GB4
15000.00000000
PA
USD
14137.42000000
0.018823895761
Long
DBT
CORP
US
N
2
N/A
Fixed
4.37500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCB0
55000.00000000
PA
USD
51015.05000000
0.067926254115
Long
DBT
CORP
US
N
2
2027-04-22
Fixed
1.57800000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAQ2
50000.00000000
PA
USD
49088.90000000
0.065361596149
Long
DBT
CORP
US
N
2
2025-05-14
Fixed
3.60000000
N
N
N
N
N
N
GS Mortgage Securities Trust
54930066YOFVQE068N73
GS Mortgage Securities Trust 2015-GC32
36250PAF2
4360268.79000000
PA
USD
28458.21000000
0.037891947653
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Variable
0.68354500
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BJ3
10000.00000000
PA
USD
10349.79000000
0.013780687573
Long
DBT
CORP
US
N
2
2033-10-28
Fixed
6.03700000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAK4
135000.00000000
PA
USD
138319.81000000
0.184172054389
Long
DBT
CORP
US
N
2
2033-07-01
Fixed
6.25000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYM0
10000.00000000
PA
USD
9198.70000000
0.012248017667
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
1.94800000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2007-5
3622ECBU9
1739354.20000000
PA
USD
329359.94000000
0.438540920374
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
5.72389000
N
N
N
N
N
N
Indymac Manufactured Housing C
N/A
Indymac Manufactured Housing Con Pass Thr Cert Series 1998-1
22540AFG8
20798.68000000
PA
USD
20772.37000000
0.027658294624
Long
ABS-O
CORP
US
N
2
2028-09-25
Fixed
6.49000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAQ6
50000.00000000
PA
USD
40218.31000000
0.053550455113
Long
DBT
CORP
US
N
2
2048-06-25
Fixed
4.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BQJ1
2609829.12000000
PA
USD
5588.69000000
0.007441309517
Long
ABS-MBS
USGA
US
N
2
2053-04-16
Variable
0.22548000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-4
41161PL27
590208.01000000
PA
USD
312050.06000000
0.415492911843
Long
ABS-MBS
CORP
US
N
2
2046-05-19
Floating
5.80080000
N
N
N
N
N
N
METROPOLITAN EDISON CO
N/A
FirstEnergy Pennsylvania Electric Co
591894CB4
75000.00000000
PA
USD
73181.95000000
0.097441357645
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2023-R3
12570GAB5
234085.36000000
PA
USD
216316.55000000
0.288024278026
Long
ABS-MBS
CORP
US
N
2
2063-01-25
Variable
4.50000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-5
41161MAA8
309395.49000000
PA
USD
116991.10000000
0.155772996162
Long
ABS-MBS
CORP
US
N
2
2047-07-19
Floating
5.99905000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19
61764PBV3
2358016.47000000
PA
USD
3647.38000000
0.004856466096
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
0.94998300
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAG2
25000.00000000
PA
USD
20018.24000000
0.026654174742
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397EBL8
5760064.60000000
PA
USD
24932.44000000
0.033197404592
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Floating
0.15000000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG Inc
92332YAD3
35000.00000000
PA
USD
37756.50000000
0.050272568850
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
9.87500000
N
N
N
N
N
N
TRITON WATER HOLDINGS IN
5493005IYCEL7QJFZZ63
Triton Water Holdings Inc
89680EAA7
39000.00000000
PA
USD
35607.78000000
0.047411560172
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
6.25000000
N
N
N
N
N
N
OT MERGER CORP
N/A
OT Merger Corp
688777AA9
123000.00000000
PA
USD
88733.73000000
0.118148465846
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
7.87500000
N
N
N
N
N
N
GoldenTree Loan Management US
549300TS068SCJRDSP12
Goldentree Loan Management US Clo 17 Ltd
38139FAJ9
175000.00000000
PA
USD
177947.00000000
0.236935436525
Long
ABS-CBDO
CORP
JE
N
2
2036-07-20
Floating
10.31781000
N
N
N
N
N
N
Rockford Tower CLO Ltd
549300V5ZF7112UGSH89
Rockford Tower CLO 2017-3 Ltd
77341DAA5
90592.50000000
PA
USD
90815.36000000
0.120920144564
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
6.76942000
N
N
N
N
N
N
ALLIANT HOLD / CO-ISSUER
N/A
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer
01883LAA1
66000.00000000
PA
USD
65175.00000000
0.086780148446
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
6.75000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBC6
40000.00000000
PA
USD
35772.21000000
0.047630497798
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.27900000
N
N
N
N
N
N
OCP CLO Ltd
N/A
OCP CLO 2023-28 Ltd
670891AG5
250000.00000000
PA
USD
254381.50000000
0.338707546328
Long
ABS-CBDO
CORP
JE
N
2
2036-07-16
Floating
10.66399000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052649
425000.00000000
PA
USD
422933.58000000
0.563133699351
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
5.50000000
N
N
N
N
N
N
Fidelity Government Portfolio
549300FQDFZGLUOCWN51
Fidelity Government Portfolio
316175108
25401.96000000
NS
USD
25401.96000000
0.033822567849
Long
STIV
RF
US
N
1
N
N
N
WASH MULTIFAM ACQ INC
549300AS7PRY5PHG6L12
WASH Multifamily Acquisition Inc
93710WAA3
30000.00000000
PA
USD
29336.72000000
0.039061678811
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BKRL6
1676868.00000000
PA
USD
25890.96000000
0.034473668618
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Variable
1.49443700
N
N
N
N
N
N
SMRT
N/A
SMRT 2022-MINI
78457JAN2
100000.00000000
PA
USD
97117.01000000
0.129310756339
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
8.02600000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
80000.00000000
PA
USD
75764.56000000
0.100880088435
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
Trestles CLO LTD
N/A
TRESTLES CLO V LTD
89532UAA1
90000.00000000
PA
USD
90039.42000000
0.119886984788
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
6.74942000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-4 LLC
693583AA4
171429.29000000
PA
USD
167579.43000000
0.223131074981
Long
ABS-O
CORP
US
N
2
2026-04-25
Variable
1.86700000
N
N
N
N
N
N
Park Avenue Institutional Advi
N/A
Park Avenue Institutional Advisers CLO Ltd 2021-1
70015QAC2
40000.00000000
PA
USD
40004.16000000
0.053265315585
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
7.32942000
N
N
N
N
N
N
FARMERS EXCHANGE CAP II
N/A
Farmers Exchange Capital II
30958PAA1
50000.00000000
PA
USD
44658.27000000
0.059462237053
Long
DBT
CORP
US
N
2
2053-11-01
Fixed
6.15100000
N
N
N
N
N
N
SLM Student Loan Trust
549300SRMXHPGI3BJ386
SLM Student Loan Trust 2008-5
78444YAE5
235000.00000000
PA
USD
233891.18000000
0.311424799702
Long
ABS-O
CORP
US
N
2
2073-07-25
Floating
7.47250000
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
0.335145678935
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
5.64389000
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co
202795JY7
130000.00000000
PA
USD
127219.12000000
0.169391547660
Long
DBT
CORP
US
N
2
2053-02-01
Fixed
5.30000000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAT4
100000.00000000
PA
USD
92900.00000000
0.123695831080
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BQ77
1996063.95000000
PA
USD
23788.97000000
0.031674880674
Long
ABS-MBS
USGA
US
N
2
2051-12-16
Variable
0.62054000
N
N
N
N
N
N
MASTR Asset Backed Securities
N/A
Mastr Asset Backed Securities Trust 2007-HE1
576457AC9
119155.18000000
PA
USD
113689.73000000
0.151377240447
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.65389000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F050643
825000.00000000
PA
USD
805051.03000000
1.071920949598
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
5.00000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102CD7
15000.00000000
PA
USD
15655.88000000
0.020845716769
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
9.75000000
N
N
N
N
N
N
CLEARWATER PAPER CORP
549300HCVV19GXN4P292
Clearwater Paper Corp
18538RAJ2
112000.00000000
PA
USD
104275.55000000
0.138842312363
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.75000000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2021-3
31573JAA8
81558.62000000
PA
USD
65286.07000000
0.086928037530
Long
ABS-MBS
CORP
US
N
2
2066-09-25
Variable
1.24100000
N
N
N
N
N
N
JETBLUE AIRWAYS CORP
N/A
JetBlue 2020-1 Class A Pass Through Trust
477164AA5
80368.90650000
PA
USD
74279.89000000
0.098903258623
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.00000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
5493000F7E2NMQ4HIO61
WFRBS Commercial Mortgage Trust 2014-C21
92939FBA6
2809844.96000000
PA
USD
2927.44000000
0.003897870007
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
0.97185400
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-568.99000000
-0.00075760700
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-81616.14000000
USD
75000.00000000
EUR
2024-04-12
-568.99000000
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAR2
185000.00000000
PA
USD
164634.27000000
0.219209610892
Long
DBT
CORP
KY
N
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2006-2
5764342H6
2399670.16000000
PA
USD
256801.18000000
0.341929336732
Long
ABS-MBS
CORP
US
N
3
2036-03-25
Floating
5.84389000
N
N
N
N
N
N
TIF Funding II LLC
N/A
TIF Funding II LLC
872480AE8
400581.25000000
PA
USD
348484.14000000
0.464004685850
Long
ABS-O
CORP
US
N
2
2046-02-20
Fixed
1.65000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2004-7AR
61748HCH2
72776.22000000
PA
USD
70194.11000000
0.093463065375
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
5.39253000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VOLT
05609VAQ8
100000.00000000
PA
USD
99158.96000000
0.132029601358
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
7.83981000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust 2005-A
35729PHP8
286455.08000000
PA
USD
246967.51000000
0.328835860056
Long
ABS-O
CORP
US
N
2
2035-01-25
Floating
6.46389000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUND
000000000
-4.00000000
NC
-3180.30000000
-0.00423455168
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2024-06-06
-575384.46000000
USD
-3180.30000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJD2
100000.00000000
PA
USD
95056.12000000
0.126566692816
Long
DBT
CORP
US
N
2
2026-06-19
Fixed
1.31900000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-5 LLC
69358DAA2
82850.06000000
PA
USD
81182.06000000
0.108093459424
Long
ABS-O
CORP
US
N
2
2026-06-25
Variable
1.79300000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2007-4
3622EBAB4
1016661.19000000
PA
USD
277821.99000000
0.369918427829
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.84389000
N
N
N
N
N
N
JANE STREET GRP/JSG FIN
N/A
Jane Street Group / JSG Finance Inc
47077WAA6
74000.00000000
PA
USD
68657.77000000
0.091417437247
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.50000000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2020-1 Trust
21872UAC8
140000.00000000
PA
USD
127833.15000000
0.170209125175
Long
ABS-O
CORP
US
N
2
2050-03-15
Fixed
2.29600000
N
N
N
N
N
N
GLOBAL PART/GLP FINANCE
N/A
Global Partners LP / GLP Finance Corp
37954FAK0
75000.00000000
PA
USD
77949.53000000
0.103789363785
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
8.25000000
N
N
N
N
N
N
FERTITTA ENTERTAINMENT
N/A
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc
31556TAC3
26000.00000000
PA
USD
23465.00000000
0.031243516429
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCJ3
25000.00000000
PA
USD
22168.63000000
0.029517407015
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
2.06900000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR1
74331FAL5
292000.00000000
PA
USD
265152.18000000
0.353048646585
Long
ABS-O
CORP
US
N
2
2038-04-17
Fixed
2.75700000
N
N
N
N
N
N
SES GLOBAL AMERICAS HLDG
5299000YGN3VJ3R60481
SES GLOBAL Americas Holdings Inc
78413KAB8
200000.00000000
PA
USD
153170.14000000
0.203945185833
Long
DBT
CORP
US
N
2
2044-03-25
Fixed
5.30000000
N
N
N
N
N
N
1375209 BC LTD
N/A
1375209 BC Ltd
68251PAA5
69000.00000000
PA
USD
67695.05000000
0.090135580944
Long
DBT
CORP
CA
N
2
2028-01-30
Fixed
9.00000000
N
N
N
N
N
N
Banc of America Commercial Mor
N/A
Banc of America Commercial Mortgage Trust 2015-UBS7
06054AAA7
1500000.00000000
PA
USD
20569.28000000
0.027387881424
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Variable
1.25000000
N
N
N
N
N
N
FRTKL
N/A
FRTKL 2021-SFR1
30322DAN9
300000.00000000
PA
USD
266887.08000000
0.355358656244
Long
ABS-O
CORP
US
N
2
2038-09-17
Fixed
4.10500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KSP5
620112.51000000
PA
USD
4694.44000000
0.006250620637
Long
ABS-MBS
USGA
US
N
2
2053-12-16
Variable
0.51020000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR1 Trust
00180AAJ8
100000.00000000
PA
USD
99371.17000000
0.132312157788
Long
ABS-O
CORP
US
N
2
2037-04-17
Fixed
8.19300000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2006-3
68389BAN3
179387.66000000
PA
USD
111869.01000000
0.148952961938
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.58389000
N
N
N
N
N
N
Structured Asset Mortgage Inve
N/A
Structured Asset Mortgage Investments II Trust 2005-AR8
86359LRX9
298111.22000000
PA
USD
258670.51000000
0.344418339185
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.61389000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAJ0
15000.00000000
PA
USD
13967.25000000
0.018597315356
Long
DBT
CORP
KY
N
2
2027-02-15
Fixed
3.25000000
N
N
N
N
N
N
CALIFORNIA ST UNIV REVENUE
N/A
California State University
13077DQP0
10000.00000000
PA
USD
7959.66000000
0.010598242829
Long
DBT
MUN
US
N
2
2035-11-01
Fixed
2.37400000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2015-NXS2
94989MAH2
3007479.85000000
PA
USD
16884.89000000
0.022482136719
Long
ABS-MBS
CORP
US
N
2
2058-07-15
Variable
0.58025200
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAQ0
50000.00000000
PA
USD
41156.66000000
0.054799862897
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
2.40000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR4
74333EAG7
320000.00000000
PA
USD
291132.77000000
0.387641657048
Long
ABS-O
CORP
US
N
2
2038-05-17
Fixed
3.40700000
N
N
N
N
N
N
Aimco
N/A
AIMCO CLO Series 2015-A
00900LAQ7
70000.00000000
PA
USD
70037.94000000
0.093255125892
Long
ABS-CBDO
CORP
KY
N
2
2034-10-17
Floating
7.17814000
N
N
N
N
N
N
FIRSTCASH INC
549300V2X3UU7K0DG350
FirstCash Inc
33767DAD7
40000.00000000
PA
USD
40044.80000000
0.053319427518
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
6.87500000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3C3
100000.00000000
PA
USD
86629.71000000
0.115346974969
Long
DBT
CORP
US
N
2
2028-08-19
Fixed
1.98500000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BN6
69000.00000000
PA
USD
69086.25000000
0.091987955973
Long
DBT
CORP
US
N
2
2029-01-31
Fixed
11.75000000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2006-QS5 Trust
75114TAF8
250427.24000000
PA
USD
206017.62000000
0.274311310258
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2020-SFR1
89613GAF3
244000.00000000
PA
USD
236000.90000000
0.314233880098
Long
ABS-O
CORP
US
N
2
2038-07-17
Fixed
4.88200000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YBA3
99522.37000000
PA
USD
99623.60000000
0.132648266923
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
10.68948000
N
N
N
N
N
N
Diamond Infrastructure Funding
N/A
Diamond Infrastructure Funding LLC
25265LAE0
215000.00000000
PA
USD
192817.98000000
0.256736063329
Long
ABS-O
CORP
US
N
2
2049-04-15
Fixed
3.47500000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
75000.00000000
PA
USD
58860.00000000
0.078371761220
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAJ6
286000.00000000
PA
USD
182345.21000000
0.242791628572
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Variable
2.94060000
N
N
N
N
N
N
FirstKey Homes 2020-SFR1 Trust
N/A
FirstKey Homes 2020-SFR1 Trust
33767MAQ8
265000.00000000
PA
USD
254157.71000000
0.338409571193
Long
ABS-O
CORP
US
N
2
2037-08-17
Fixed
4.78100000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
N/A
Golub Capital Partners Clo 42M-R
381742AC9
175000.00000000
PA
USD
176777.13000000
0.235377761154
Long
ABS-CBDO
CORP
US
N
2
2036-01-20
Floating
8.06848000
N
N
N
N
N
N
SOUTHERN CO GAS CAPITAL
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
001192AL7
70000.00000000
PA
USD
68250.00000000
0.090874493769
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022642
800000.00000000
PA
USD
661888.80000000
0.881301240027
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
2.50000000
N
N
N
N
N
N
GreenPoint Mortgage Funding Tr
N/A
GreenPoint MTA Trust 2005-AR1
39538RAB5
58702.16000000
PA
USD
52783.68000000
0.070281175081
Long
ABS-MBS
CORP
US
N
2
2045-06-25
Floating
5.88389000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
133.00000000
NC
USD
19104.93000000
0.025438107578
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
14213973.86000000
USD
19104.93000000
N
N
N
COGENT COMMUNICATIONS GR
549300KFWFYF8Q1U0Y26
Cogent Communications Group Inc
19240CAE3
38000.00000000
PA
USD
37860.25000000
0.050410711395
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
7.00000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513CB9
15000.00000000
PA
USD
14378.40000000
0.019144759285
Long
DBT
CORP
US
N
2
N/A
Fixed
5.00000000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAG9
30000.00000000
PA
USD
26092.80000000
0.034742417451
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.10000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R3
12566LAB0
59273.03000000
PA
USD
52409.21000000
0.069782570368
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
1.95100000
N
N
N
N
N
N
HERTZ CORP/THE
549300PD0C69OJ0NLB27
Hertz Corp/The
428040DB2
89000.00000000
PA
USD
68975.00000000
0.091839827220
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISBDRXIMCHZ70
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KPV5
150000.00000000
PA
USD
151057.17000000
0.201131778081
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
7.17039000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAF4
50000.00000000
PA
USD
46664.00000000
0.062132855344
Long
DBT
CORP
GB
N
2
2028-02-16
Fixed
2.97200000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR1
12565YAA5
150170.20000000
PA
USD
148758.83000000
0.198071551209
Long
ABS-O
CORP
US
N
2
2055-07-25
Variable
5.56900000
N
N
N
N
N
N
Toorak Mortgage Corp.
N/A
TRK 2021-INV2 Trust
87267TAA9
241190.40000000
PA
USD
197938.94000000
0.263554592964
Long
ABS-MBS
CORP
US
N
2
2056-11-25
Variable
1.96600000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAM6
10000.00000000
PA
USD
7760.40000000
0.010332929252
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.05000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2007-2
576429AA2
217717.31000000
PA
USD
199480.96000000
0.265607783981
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Floating
5.74389000
N
N
N
N
N
N
Dryden Senior Loan Fund
549300XS2BVK8BZTXN05
Dryden 85 CLO Ltd
26246BAL8
150000.00000000
PA
USD
150062.70000000
0.199807646831
Long
ABS-CBDO
CORP
KY
N
2
2035-10-15
Floating
6.72560000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE
46646GAA5
225000.00000000
PA
USD
210634.25000000
0.280458327316
Long
ABS-MBS
CORP
US
N
2
2038-09-06
Variable
2.85410000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND
000000000
-14.00000000
NC
USD
-17843.84000000
-0.02375897328
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
-1788156.16000000
USD
-17843.84000000
N
N
N
EVERI HOLDINGS INC
5299006DK5S7BG10K532
Everi Holdings Inc
30034TAA1
73000.00000000
PA
USD
72452.50000000
0.096470099045
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.00000000
N
N
N
N
N
N
Intelsat SA/Luxembourg
N/A
Intelsat SA/Luxembourg
000000000
1042.00000000
NS
USD
28003.75000000
0.037286836701
Long
EC
CORP
US
N
3
N
N
N
HEALTHEQUITY INC
529900LRJU1RAFQHM467
HealthEquity Inc
42226AAA5
75000.00000000
PA
USD
69401.61000000
0.092407856052
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
FERRELLGAS LP/FERRELLGAS
N/A
Ferrellgas LP / Ferrellgas Finance Corp
315289AC2
80000.00000000
PA
USD
76324.00000000
0.101624979670
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
5.87500000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAD9
40000.00000000
PA
USD
26700.50000000
0.035551566606
Long
DBT
CORP
US
N
2
2051-07-15
Fixed
3.37500000
N
N
N
N
N
N
TRANSCANADA PIPELINES
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd
89352HAM1
5000.00000000
PA
USD
4728.04000000
0.006295358850
Long
DBT
CORP
CA
N
2
2034-03-01
Fixed
4.62500000
N
N
N
N
N
N
SLM Student Loan Trust
549300IZGFDRVV7YTH38
SLM Student Loan Trust 2007-7
78444EAE9
215000.00000000
PA
USD
199554.81000000
0.265706114843
Long
ABS-O
CORP
US
N
2
2070-10-27
Floating
6.37250000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2005-3
41161PMF7
294577.80000000
PA
USD
163989.28000000
0.218350810310
Long
ABS-MBS
CORP
US
N
2
2035-06-19
Floating
5.96080000
N
N
N
N
N
N
HPS Loan Management Ltd
N/A
HPS Loan Management 2024-19 Ltd
442924AN6
250000.00000000
PA
USD
250669.75000000
0.333765371936
Long
ABS-CBDO
CORP
KY
N
2
2037-04-15
Floating
0.01000000
N
N
N
N
N
N
OPTION CARE HEALTH INC
549300DI3Q5ACSYJRI17
Option Care Health Inc
68404LAA0
72000.00000000
PA
USD
66192.08000000
0.088134384784
Long
DBT
CORP
US
N
2
2029-10-31
Fixed
4.37500000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2022-NR1
12569PAA0
83015.21000000
PA
USD
80813.37000000
0.107602550748
Long
ABS-MBS
CORP
US
N
2
2062-07-25
Variable
5.00000000
N
N
N
N
N
N
Morgan Stanley Home Equity Loa
N/A
Morgan Stanley Home Equity Loan Trust 2007-1
61751QAC9
594898.20000000
PA
USD
290923.54000000
0.387363068471
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.58389000
N
N
N
N
N
N
GEN DIGITAL INC
YF6ZV0M6AU4FY94MK914
Gen Digital Inc
668771AK4
65000.00000000
PA
USD
66029.06000000
0.087917324565
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
6.75000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300CFP9NBBMZH1008
Wells Fargo Commercial Mortgage Trust 2016-NXS6
95000KBE4
3229425.19000000
PA
USD
84837.19000000
0.112960244602
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Variable
1.58763800
N
N
N
N
N
N
JDE PEET'S NV
724500EHG519SE5ZRT89
JDE Peet's NV
47216QAC7
200000.00000000
PA
USD
159366.21000000
0.212195218428
Long
DBT
CORP
NL
N
2
2031-09-24
Fixed
2.25000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKE8
165000.00000000
PA
USD
160393.48000000
0.213563022695
Long
DBT
CORP
US
N
2
2025-12-06
Fixed
1.53000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-6
362334ME1
526828.83000000
PA
USD
150718.88000000
0.200681346835
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
5.73434000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2023-2
379928AJ3
220000.00000000
PA
USD
222086.35000000
0.295706734497
Long
ABS-O
CORP
US
N
2
2029-03-15
Fixed
6.31000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XDR9
844753.86000000
PA
USD
5303.28000000
0.007061287696
Long
ABS-MBS
USGA
US
N
2
2055-05-16
Variable
0.19086000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AC7
10000.00000000
PA
USD
9670.60000000
0.012876349882
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.95000000
N
N
N
N
N
N
BXHPP Trust
N/A
BXHPP Trust 2021-FILM
05609JAN2
100000.00000000
PA
USD
92808.58000000
0.123574105860
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
6.93948000
N
N
N
N
N
N
Residential Asset Securities C
N/A
RASC Series 2005-KS11 Trust
76110W7F7
164736.00000000
PA
USD
160144.19000000
0.213231094453
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
6.10389000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AR0
64000.00000000
PA
USD
54254.72000000
0.072239856624
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.25000000
N
N
N
N
N
N
AGNC Investment Corp
5TRACI5HRMELWV32OF39
AGNC Investment Corp
00123Q104
4500.00000000
NS
USD
44550.00000000
0.059318076153
Long
EC
CORP
US
N
1
N
N
N
Firstkey Homes Trust
N/A
FirstKey Homes 2022-SFR1 Trust
33768NAG7
350000.00000000
PA
USD
339438.82000000
0.451960892795
Long
ABS-O
CORP
US
N
2
2039-05-19
Fixed
5.19700000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GVL9
308334.58000000
PA
USD
276227.42000000
0.367795266781
Long
ABS-O
CORP
US
N
2
2035-08-25
Variable
6.12900000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2015-12R
12651DAG3
88660.19000000
PA
USD
78639.03000000
0.104707429183
Long
ABS-MBS
CORP
US
N
2
2037-11-30
Variable
3.28793000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAA0
170000.00000000
PA
USD
135297.51000000
0.180147878821
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.00000000
N
N
N
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions Inc
14879EAH1
115000.00000000
PA
USD
110000.84000000
0.146465504018
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.12500000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797GZ4
500000.00000000
PA
USD
499562.60000000
0.665164811447
Long
DBT
UST
US
N
1
2024-04-04
None
0.00000000
N
N
N
N
N
N
Stratus CLO
N/A
Stratus CLO 2021-3 Ltd
86315XAG1
250000.00000000
PA
USD
162660.00000000
0.216580881415
Long
ABS-CBDO
CORP
KY
N
2
2029-12-29
Variable
0.01000000
N
N
N
N
N
N
SLC Student Loan Trust
25490083RPF52FIUZ551
SLC Student Loan Trust 2004-1
784423AH8
83734.72000000
PA
USD
71379.52000000
0.095041432168
Long
ABS-O
CORP
US
N
2
2031-08-15
Floating
5.91149000
N
N
N
N
N
N
GRIFOLS SA
959800HSSNXWRKBK4N60
Grifols SA
39843UAA0
124000.00000000
PA
USD
102692.28000000
0.136734197202
Long
DBT
CORP
ES
N
2
2028-10-15
Fixed
4.75000000
N
N
N
N
N
N
USA COM PART/USA COM FIN
N/A
USA Compression Partners LP / USA Compression Finance Corp
91740PAG3
40000.00000000
PA
USD
40473.29000000
0.053889959559
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
7.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWFQ1
933832.29000000
PA
USD
889858.27000000
1.184841315942
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
4.50000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AS0
15000.00000000
PA
USD
10005.02000000
0.013321628244
Long
DBT
CORP
US
N
2
2050-12-01
Fixed
3.46800000
N
N
N
N
N
N
HSI Asset Securitization Corpo
N/A
HSI Asset Securitization Corp Trust 2007-OPT1
40431JAA1
195097.07000000
PA
USD
164418.50000000
0.218922314342
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
5.58389000
N
N
N
N
N
N
Eaton Vance CDO Ltd
5493004NKU3QU5G6QW39
Eaton Vance CLO 2020-1 Ltd
278300AJ7
90000.00000000
PA
USD
90088.20000000
0.119951935086
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
6.74560000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
175000.00000000
PA
USD
135234.63000000
0.180064154452
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
Impact Funding LLC
5493007PF8OVQKUTNC92
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust 2010-1
45257HAA5
27656.99000000
PA
USD
27253.69000000
0.036288136001
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Fixed
5.31400000
N
N
N
N
N
N
PENN ENTERTAINMENT INC
N/A
Penn Entertainment Inc
707569AS8
36000.00000000
PA
USD
34765.03000000
0.046289443254
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
5.62500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCC8
180000.00000000
PA
USD
152132.37000000
0.202563400875
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.58000000
N
N
N
N
N
N
NORTHWEST FIBER LLC/NORT
N/A
Northwest Fiber LLC / Northwest Fiber Finance Sub Inc
667449AC6
15000.00000000
PA
USD
15450.00000000
0.020571588699
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
6.00000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR1 Trust
00180AAH2
200000.00000000
PA
USD
194064.81000000
0.258396210509
Long
ABS-O
CORP
US
N
2
2037-04-17
Fixed
5.30200000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-HY2
89177HAD4
210000.00000000
PA
USD
221169.86000000
0.294486433181
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Floating
7.34389000
N
N
N
N
N
N
Allegro CLO Ltd
254900E0ZQX4DLP7HF87
Allegro CLO XII Ltd
01750TAG1
45000.00000000
PA
USD
45024.89000000
0.059950389535
Long
ABS-CBDO
CORP
KY
N
2
2032-01-21
Floating
7.27942000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAR1
4000.00000000
PA
USD
2520.00000000
0.003355365923
Long
DBT
CORP
N/A
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GFD6
150000.00000000
PA
USD
144691.15000000
0.192655458010
Long
DBT
CORP
US
N
2
2029-08-25
Fixed
4.30000000
N
N
N
N
N
N
TENNET HOLDING BV
724500LTUWK3JQG63903
TenneT Holding BV
000000000
105000.00000000
PA
106362.66000000
0.141621287670
Long
DBT
CORP
NL
N
2
2042-05-17
Fixed
2.75000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LS8
5000.00000000
PA
USD
4716.13000000
0.006279500751
Long
DBT
CORP
US
N
2
2028-10-27
Fixed
3.52000000
N
N
N
N
N
N
PRIME HEALTHCARE SERVICE
N/A
Prime Healthcare Services Inc
74165HAB4
90000.00000000
PA
USD
90225.00000000
0.120134083522
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
7.25000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XAE5
70000.00000000
PA
USD
76141.66000000
0.101382194978
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
6.50000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
549300UFJ8EKD81Y8R30
CSAIL 2015-C1 Commercial Mortgage Trust
126281BB9
1601879.68000000
PA
USD
4213.10000000
0.005609719116
Long
ABS-MBS
CORP
US
N
2
2050-04-15
Variable
0.80343700
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-10
362375AC1
573054.06000000
PA
USD
141311.46000000
0.188155419653
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
5.98458000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-10CB
12667GBD4
302446.68000000
PA
USD
247732.68000000
0.329854679637
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
AGL CLO Ltd.
54930005OE1IFBESDA27
AGL CLO 12 Ltd
00120BAE0
125000.00000000
PA
USD
125066.75000000
0.166525679028
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
7.17942000
N
N
N
N
N
N
Banc of America Funding Corpor
54930023UHZHF7UJ8596
Banc of America Funding Corp
05990QAB9
379537.18000000
PA
USD
298693.37000000
0.397708553716
Long
ABS-MBS
CORP
US
N
2
2036-03-27
Variable
1.28582700
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 7 Ltd
67098WAN1
150000.00000000
PA
USD
150152.85000000
0.199927681052
Long
ABS-CBDO
CORP
KY
N
2
2037-02-24
Floating
6.60957000
N
N
N
N
N
N
SFAVE Commercial Mortgage Secu
549300FIGODFFTOAAU64
SFAVE Commercial Mortgage Securities Trust 2015-5AVE
78413MAA6
220000.00000000
PA
USD
166401.44000000
0.221562587876
Long
ABS-MBS
CORP
US
N
2
2043-01-05
Variable
3.87200000
N
N
N
N
N
N
Banc of America Merrill Lynch
N/A
BAMLL Commercial Mortgage Securities Trust 2019-BPR
05492PAQ1
100000.00000000
PA
USD
96913.65000000
0.129039983635
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
3.28700000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-R6
12560YAA0
302984.79000000
PA
USD
259344.86000000
0.345316232443
Long
ABS-MBS
CORP
US
N
2
2060-12-25
Variable
2.25000000
N
N
N
N
N
N
HPS Loan Management Ltd
2549009NI8GVCM3ROT27
HPS Loan Management 10-2016 Ltd
40436TAS5
85000.00000000
PA
USD
85022.10000000
0.113206451234
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
6.71942000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2021-STAR
36264LAJ7
150000.00000000
PA
USD
148812.77000000
0.198143372018
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
6.84448000
N
N
N
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust
933631AE3
518376.55000000
PA
USD
224366.72000000
0.298743034414
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
5.67389000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust Series 2006-FF18
32029AAC1
265714.83000000
PA
USD
236813.80000000
0.315316251907
Long
ABS-O
CORP
US
N
2
2037-12-25
Floating
5.66389000
N
N
N
N
N
N
GLOBAL PART/GLP FINANCE
N/A
Global Partners LP / GLP Finance Corp
37954FAJ3
41000.00000000
PA
USD
40707.87000000
0.054202301519
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2020-4 LLC
69359XAA7
64350.50000000
PA
USD
64269.59000000
0.085574600088
Long
ABS-MBS
CORP
US
N
2
2025-10-25
Variable
5.61000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300GADFYEKC4OLM57
WFRBS Commercial Mortgage Trust 2013-C14
92890PAL8
77678.08000000
PA
USD
154.61000000
0.000205862351
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
0.34881900
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AP4
10000.00000000
PA
USD
9166.90000000
0.012205676145
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON
46650RAJ5
72000.00000000
PA
USD
68595.45000000
0.091334458515
Long
ABS-MBS
CORP
US
N
2
2034-01-05
Fixed
4.53640000
N
N
N
N
N
N
MSILF Government Portfolio
549300BI6Y5SI6BYPB26
MSILF Government Portfolio
61747C707
3451000.00000000
NS
USD
3451000.00000000
4.594987223436
Long
STIV
RF
US
N
1
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042640
1575000.00000000
PA
USD
1500249.08000000
1.997573269942
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
4.50000000
N
N
N
N
N
N
Octagon Credit Partners 46, LT
N/A
Octagon Investment Partners 46 Ltd
67577VAN3
125000.00000000
PA
USD
124881.25000000
0.166278686814
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
7.22560000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BEVK7
1100000.00000000
PA
USD
9575.91000000
0.012750270675
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Variable
2.02605600
N
N
N
N
N
N
FRESENIUS MED CARE III
5299006ZHLMXOOUVTU44
Fresenius Medical Care US Finance III Inc
35805BAC2
30000.00000000
PA
USD
27160.27000000
0.036163747793
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
1.87500000
N
N
N
N
N
N
SIMMONS FOOD INC/SIMMONS
N/A
Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed
82873MAA1
85000.00000000
PA
USD
75278.36000000
0.100232715850
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.62500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NE7
185000.00000000
PA
USD
152003.46000000
0.202391757930
Long
DBT
CORP
US
N
2
2032-11-03
Fixed
2.52000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797HG5
1000000.00000000
PA
USD
996498.75000000
1.326832519391
Long
DBT
UST
US
N
1
2024-04-25
None
0.00000000
N
N
N
N
N
N
WORLDLINE SA/FRANCE
549300CJMQNCA0U4TS33
Worldline SA/France
000000000
400.00000000
PA
39137.55000000
0.052111429210
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
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAV7
75000.00000000
PA
USD
69701.79000000
0.092807544045
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2007-HE1
46630KAF3
586944.30000000
PA
USD
379309.82000000
0.505048906584
Long
ABS-O
CORP
US
N
2
2047-03-25
Variable
4.28573700
N
N
N
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LXP Industrial Trust
529043AE1
35000.00000000
PA
USD
29294.82000000
0.039005889195
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
2.70000000
N
N
N
N
N
N
Cedar Funding Ltd
254900Q56WTD2BRLBE32
Cedar Funding II CLO Ltd
15032TBG0
75000.00000000
PA
USD
74025.68000000
0.098564779428
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
6.92942000
N
N
N
N
N
N
NCR VOYIX CORP
549300YKTY8JX1DV2R67
NCR Voyix Corp
62886EBA5
42000.00000000
PA
USD
38987.01000000
0.051910986041
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.12500000
N
N
N
N
N
N
H-FOOD HOLDNG/HEARTHSIDE
N/A
H-Food Holdings LLC / Hearthside Finance Co Inc
577088AA5
66000.00000000
PA
USD
4950.00000000
0.006590897350
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
8.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030645
1000000.00000000
PA
USD
861030.72000000
1.146457594142
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
3.00000000
N
N
N
N
N
N
B&G FOODS INC
549300TRW1LZMDJZAQ78
B&G Foods Inc
05508RAE6
11000.00000000
PA
USD
11000.00000000
0.014646438556
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBS3
25000.00000000
PA
USD
21059.28000000
0.028040313687
Long
DBT
CORP
US
N
2
2031-03-25
Fixed
2.72600000
N
N
N
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LXP Industrial Trust
529537AA0
55000.00000000
PA
USD
44073.70000000
0.058683885363
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
2.37500000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAA4
10000.00000000
PA
USD
8868.27000000
0.011808051968
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.95000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BQ1
12000.00000000
PA
USD
11952.72000000
0.015914979914
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MX6
305000.00000000
PA
USD
303671.04000000
0.404336293517
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.98100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396PDC2
393687.96000000
PA
USD
35101.90000000
0.046737983778
Long
ABS-MBS
USGSE
US
N
2
2037-01-25
Floating
1.76513000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCA1
68000.00000000
PA
USD
51922.20000000
0.069134119273
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
000000000
100000.00000000
PA
107227.27000000
0.142772511055
Long
DBT
CORP
US
N
2
2034-06-15
Fixed
3.85000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AR2
5000.00000000
PA
USD
3563.20000000
0.004744380896
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
3.26800000
N
N
N
N
N
N
OPEN TEXT CORP
549300HP7ONDQODZJV16
Open Text Corp
683715AF3
178000.00000000
PA
USD
183767.20000000
0.244685000314
Long
DBT
CORP
CA
N
2
2027-12-01
Fixed
6.90000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAC0
105000.00000000
PA
USD
81038.06000000
0.107901724228
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
Carrington Mortgage Loan Trust
N/A
Carrington Mortgage Loan Trust Series 2007-RFC1
144526AC4
94051.34000000
PA
USD
90940.70000000
0.121087034074
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
5.58389000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BZ9
67000.00000000
PA
USD
62310.00000000
0.082965416949
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.25000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Trust
362334NC4
680154.19000000
PA
USD
258669.98000000
0.344417633493
Long
ABS-MBS
CORP
US
N
2
2046-03-25
Variable
6.72000000
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DC6
100000.00000000
PA
USD
97780.04000000
0.130193577081
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.30000000
N
N
N
N
N
N
GREYSTAR REAL ESTATE PAR
254900HGC806SXAS4M46
Greystar Real Estate Partners LLC
39807UAD8
35000.00000000
PA
USD
36400.00000000
0.048466396677
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
7.75000000
N
N
N
N
N
N
Luminent Mortgage Trust
N/A
Luminent Mortgage Trust 2006-5
55027XAA8
255860.29000000
PA
USD
163279.98000000
0.217406381322
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.82389000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR25
45660LR35
206819.46000000
PA
USD
167945.30000000
0.223618228842
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
3.68035900
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
085770AA3
50000.00000000
PA
USD
49036.69000000
0.065292078826
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
4.87500000
N
N
N
N
N
N
PRESTIGE BRANDS INC
549300JBVP4J6D42I235
Prestige Brands Inc
74112BAM7
116000.00000000
PA
USD
101100.09000000
0.134614205111
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.75000000
N
N
N
N
N
N
BRAVO Residential Funding Trus
N/A
BRAVO Residential Funding Trust 2021-A
105693AA3
261430.01000000
PA
USD
257980.81000000
0.343500007488
Long
ABS-O
CORP
US
N
2
2059-10-25
Variable
4.99100000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R1
12563RAC8
338627.55000000
PA
USD
297197.28000000
0.395716518238
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
2.40000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
549300PFVBG5704L7K74
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9
61762DAE1
8987355.18000000
PA
USD
5377.58000000
0.007160217731
Long
ABS-MBS
CORP
US
N
2
2046-05-15
Variable
0.09859900
N
N
N
N
N
N
Banc of America Funding Corpor
549300LENCFK8RITKD65
Banc of America Funding 2014-R5 Trust
05990PAB1
244554.72000000
PA
USD
176291.70000000
0.234731413821
Long
ABS-MBS
CORP
US
N
2
2045-09-26
Floating
3.99247500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XLU3
497098.44000000
PA
USD
10488.66000000
0.013965592202
Long
ABS-MBS
USGA
US
N
2
2054-11-16
Variable
0.90084000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR7 Trust
74333PAN7
220000.00000000
PA
USD
190253.49000000
0.253321459218
Long
ABS-O
CORP
US
N
2
2040-08-17
Fixed
3.83400000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CKE0
2440000.00000000
PA
USD
2429229.69000000
3.234505763066
Long
DBT
UST
US
N
1
2027-03-15
Fixed
4.25000000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAH7
25000.00000000
PA
USD
19895.27000000
0.026490440874
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
58.00000000
NC
USD
-9121.86000000
-0.01214570563
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
11869215.68000000
USD
-9121.86000000
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAX4
10000.00000000
PA
USD
9907.08000000
0.013191221681
Long
DBT
CORP
N/A
N
2
2052-12-01
Fixed
6.50000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR3
74333VAJ3
225000.00000000
PA
USD
206448.23000000
0.274884665068
Long
ABS-O
CORP
US
N
2
2026-05-17
Fixed
2.53800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BN62
6329207.31000000
PA
USD
28159.40000000
0.037494083807
Long
ABS-MBS
USGA
US
N
2
2053-02-16
Variable
0.17215000
N
N
N
N
N
N
Residential Asset Securitizati
N/A
Residential Asset Securitization Trust 2005-A5
45660LKE8
362679.80000000
PA
USD
261054.93000000
0.347593181096
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
Mid-State Trust
N/A
Mid-State Trust XI
59549WAD5
2993.20000000
PA
USD
3001.74000000
0.003996800042
Long
ABS-O
CORP
US
N
2
2038-07-15
Fixed
8.22100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042646
1050000.00000000
PA
USD
1009177.26000000
1.343713884637
Long
ABS-MBS
USGA
US
N
2
2054-04-15
Fixed
4.50000000
N
N
N
N
N
N
HERTZ CORP/THE
549300PD0C69OJ0NLB27
Hertz Corp/The
428040DA4
3000.00000000
PA
USD
2731.95000000
0.003637576164
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
4.62500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
14000.00000000
PA
USD
14166.21000000
0.018862229485
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.62500000
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DB8
55000.00000000
PA
USD
55000.00000000
0.073232192781
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.70000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-59
12668AEV3
314129.23000000
PA
USD
285772.12000000
0.380503981516
Long
ABS-MBS
CORP
US
N
2
2035-11-20
Floating
6.10323000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BOBL
000000000
-2.00000000
NC
-1147.22000000
-0.00152751702
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESOBLIGATION
Bundesobligation
2024-06-06
-255767.81000000
USD
-1147.22000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL7 Trust
12598JAC5
331429.56000000
PA
USD
318462.01000000
0.424030387452
Long
ABS-MBS
CORP
US
N
2
2061-07-27
Variable
1.92598000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2022-1 LLC
693582AA6
169313.81000000
PA
USD
164898.24000000
0.219561085472
Long
ABS-O
CORP
US
N
2
2027-02-25
Variable
3.72000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AH2
25000.00000000
PA
USD
24798.87000000
0.033019556883
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NER0
3462968.98000000
PA
USD
15525.53000000
0.020672156472
Long
ABS-MBS
USGA
US
N
2
2055-06-16
Variable
0.24001000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAA1
25000.00000000
PA
USD
24786.31000000
0.033002833313
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.12500000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAE5
12000.00000000
PA
USD
10917.60000000
0.014536723416
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.12500000
N
N
N
N
N
N
Merrill Lynch Alternative Note
N/A
Merrill Lynch Alternative Note Asset Trust Series 2007-A3
59024HAE0
1696106.76000000
PA
USD
78853.36000000
0.104992808381
Long
ABS-MBS
CORP
US
N
3
2037-04-25
Floating
6.10389000
N
N
N
N
N
N
HARVEST COMMERCIAL CAPITAL LOA
N/A
Harvest Commercial Capital Loan Trust 2019-1
41753CAA4
13968.03000000
PA
USD
13604.95000000
0.018114914930
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Variable
3.29000000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AD5
96000.00000000
PA
USD
91978.42000000
0.122468752457
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
5.12500000
N
N
N
N
N
N
Structured Receivables Finance
N/A
Structured Receivables Finance 2010-A LLC
86365FAC8
233228.52000000
PA
USD
233228.52000000
0.310542471614
Long
ABS-O
CORP
US
N
2
2046-01-16
Fixed
7.61400000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2022-4 LLC
693588AB1
170000.00000000
PA
USD
162455.26000000
0.216308271248
Long
ABS-O
CORP
US
N
2
2027-08-25
Variable
5.00000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2007-NC1
3622MGAD0
246789.74000000
PA
USD
120790.25000000
0.160831543165
Long
ABS-O
CORP
US
N
2
2046-12-25
Floating
5.59389000
N
N
N
N
N
N
AMERICAN ASSETS TRUST LP
549300V1TI0SMG9Z6U69
American Assets Trust LP
02401LAA2
30000.00000000
PA
USD
24528.65000000
0.032659760463
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
3.37500000
N
N
N
N
N
N
ENTERGY TEXAS INC
LWXX58X12AJXISQ28573
Entergy Texas Inc
29365TAF1
150000.00000000
PA
USD
141102.12000000
0.187876684613
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.45000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2020-UPTN
36258PAC1
940000.00000000
PA
USD
1822.14000000
0.002426169231
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
0.35158300
N
N
N
N
N
N
Frost CMBS
635400USRLUMX8CQN243
Frost CMBS 2021-1 DAC
000000000
98345.73000000
PA
102666.60000000
0.136700004425
Long
ABS-MBS
CORP
IE
N
2
2033-11-20
Floating
5.08300000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
EUR/USD FORWARD
000000000
1.00000000
NC
USD
16297.78000000
0.021700403034
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-814000.00000000
EUR
895929.49000000
USD
2024-04-12
16297.78000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAR4
65000.00000000
PA
USD
57068.53000000
0.075986428922
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
Indymac Manufactured Housing C
N/A
Indymac Manufactured Housing Contract Pass-Through Certificates Series 1997-1
22540ABC1
21906.28000000
PA
USD
21712.30000000
0.028909806169
Long
ABS-O
CORP
US
N
2
2028-02-25
Fixed
6.61000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35908MAE0
111000.00000000
PA
USD
113441.09000000
0.151046177676
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
8.62500000
N
N
N
N
N
N
Deutsche Alt-A Securities INC
N/A
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR3
25150VAM8
289019.45000000
PA
USD
248821.30000000
0.331304171086
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.84389000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAK7
160000.00000000
PA
USD
151683.34000000
0.201965519938
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
MICHAELS COS INC/THE
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
55916AAB0
93000.00000000
PA
USD
69860.98000000
0.093019504641
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
7.87500000
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
52000.00000000
PA
USD
45090.05000000
0.060037149711
Long
DBT
CORP
N/A
N
2
2031-12-01
Fixed
3.75000000
N
N
N
N
N
N
SKYAF 2020-1 A
N/A
SKYAF 2020-1 A
000000000
61847.72000000
PA
USD
55240.16000000
0.073551964480
Long
ABS-MBS
CORP
US
N
3
2038-05-10
Floating
3.22900000
N
N
N
N
N
N
FARMERS INS EXCH
549300UWG2TLX1GZVT44
Farmers Insurance Exchange
309601AE2
25000.00000000
PA
USD
18560.26000000
0.024712882516
Long
DBT
CORP
US
N
2
2057-11-01
Fixed
4.74700000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABR5
66000.00000000
PA
USD
62468.18000000
0.083176032735
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
CALIFORNIA ST HLTH FACS FING A
5493007RI8BUDOGHZ546
California Health Facilities Financing Authority
13032UB31
20000.00000000
PA
USD
15997.85000000
0.021301047914
Long
DBT
MUN
US
N
2
2051-08-15
Fixed
3.00000000
N
N
N
N
N
N
OCP CLO Ltd
2549000M7NBNQ7XU2038
OCP CLO 2021-21 Ltd
671000AE7
50000.00000000
PA
USD
50003.50000000
0.066579380940
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
7.27942000
N
N
N
N
N
N
KGS-Alpha SBA COOF Trust
N/A
KGS-Alpha SBA COOF Trust 2015-1
49374FAA9
726591.66000000
PA
USD
25452.40000000
0.033889728428
Long
ABS-MBS
USGA
US
N
2
2035-10-25
Variable
1.56596200
N
N
N
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TBC8
28000.00000000
PA
USD
26110.73000000
0.034766291145
Long
DBT
CORP
LU
N
2
2030-03-15
Fixed
6.50000000
N
N
N
N
N
N
APS RESECURITIZATION TRUST
N/A
APS Resecuritization Trust 2016-3
00214WAF8
391281.46000000
PA
USD
209978.08000000
0.279584640626
Long
ABS-MBS
CORP
US
N
2
2046-09-27
Variable
1.12372000
N
N
N
N
N
N
ALLIANT ENERGY FINANCE
54930033ER6EOI5DL570
Alliant Energy Finance LLC
01882YAD8
55000.00000000
PA
USD
48738.94000000
0.064895626364
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.60000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US ULTRA TREASURY BOND
000000000
-20.00000000
NC
USD
-14483.68000000
-0.01928493901
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
-2277703.92000000
USD
-14483.68000000
N
N
N
TRANSMONTAIGE PARTNERS
N/A
TransMontaigne Partners LP / TLP Finance Corp
89376VAA8
73000.00000000
PA
USD
69806.25000000
0.092946631951
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
6.12500000
N
N
N
N
N
N
DIGITAL INTREPID HOLDING
5493003H2CB2KXPP7461
Digital Intrepid Holding BV
000000000
100000.00000000
PA
84688.20000000
0.112761865249
Long
DBT
CORP
NL
N
2
2031-07-15
Fixed
0.62500000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISM9M3KNO6J64
Freddie Mac STACR REMIC Trust 2021-HQA2
35564KFV6
119302.96000000
PA
USD
120972.00000000
0.161073542275
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Floating
7.37039000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R04
20753TAC7
166981.27000000
PA
USD
177257.76000000
0.236017717315
Long
ABS-MBS
CORP
US
N
2
2039-06-25
Floating
10.68487000
N
N
N
N
N
N
American Home Mortgage Assets
N/A
American Home Mortgage Assets Trust 2007-1
02660BAA0
702308.25000000
PA
USD
272895.92000000
0.363359393140
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
5.78905000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35906ABG2
50000.00000000
PA
USD
44614.25000000
0.059403624669
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
6.75000000
N
N
N
N
N
N
CIT Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust 2007-1
12559QAH5
240000.00000000
PA
USD
221305.39000000
0.294666890619
Long
ABS-O
CORP
US
N
2
2037-10-25
Floating
7.19389000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AX9
60000.00000000
PA
USD
61031.88000000
0.081263607308
Long
DBT
CORP
US
N
2
2033-03-01
Fixed
5.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376GXY1
1347598.66000000
PA
USD
13622.47000000
0.018138242712
Long
ABS-MBS
USGA
US
N
2
2050-09-16
Variable
0.29650000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F020646
1425000.00000000
PA
USD
1128720.01000000
1.502884388521
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
2.00000000
N
N
N
N
N
N
Cedar Funding Ltd
N/A
Cedar Funding XII CLO Ltd
15033TAN5
180000.00000000
PA
USD
180099.00000000
0.239800812504
Long
ABS-CBDO
CORP
KY
N
2
2034-10-25
Floating
6.71628000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
000000000
100000.00000000
PA
88432.34000000
0.117747166745
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
313920B41
181.98000000
PA
USD
179.54000000
0.000239056507
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Floating
8.50000000
N
N
N
N
N
N
WORLDLINE SA/FRANCE
549300CJMQNCA0U4TS33
Worldline SA/France
000000000
300.00000000
PA
35857.02000000
0.047743421840
Long
DBT
CORP
FR
N
2
2025-07-30
None
0.00000000
N
N
N
N
N
Worldline SA/France
Worldline SA/France
EUR
XXXX
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAQ8
50000.00000000
PA
USD
45771.75000000
0.060944829453
Long
DBT
CORP
GB
N
2
2027-06-14
Fixed
1.67300000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
50000.00000000
PA
USD
37043.40000000
0.049323080183
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AZ0
97000.00000000
PA
USD
82271.10000000
0.109543510100
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
6.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJQ3
80000.00000000
PA
USD
74578.78000000
0.099301228988
Long
DBT
CORP
US
N
2
2027-03-11
Fixed
1.65800000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHD4
35000.00000000
PA
USD
32863.49000000
0.043757553366
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2014-GC25
17322YAJ9
3843861.93000000
PA
USD
10000.11000000
0.013315090606
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Variable
0.93630800
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-15CB
02151CAR7
462322.18000000
PA
USD
279965.63000000
0.372772672515
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
SG Mortgage Securities Trust
N/A
SG Mortgage Securities Trust 2006-OPT2
78420MAF6
250000.00000000
PA
USD
187221.77000000
0.249284740973
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.65389000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KPD5
3529333.68000000
PA
USD
68054.38000000
0.090614026832
Long
ABS-MBS
USGA
US
N
2
2051-09-16
Variable
0.77514000
N
N
N
N
N
N
Vericrest Opportunity Loan Tra
N/A
VOLT XCIV LLC
92873AAA6
63655.42000000
PA
USD
62333.91000000
0.082997252980
Long
ABS-O
CORP
US
N
2
2051-02-27
Variable
5.23950000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
EUR/USD FORWARD
000000000
1.00000000
NC
USD
1735.42000000
0.002310702036
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-79000.00000000
EUR
87105.08000000
USD
2024-04-12
1735.42000000
N
N
N
Carrington Mortgage Loan Trust
N/A
Carrington Mortgage Loan Trust Series 2006-NC4
14453MAD6
175000.00000000
PA
USD
156778.34000000
0.208749483979
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.68389000
N
N
N
N
N
N
TUCSON ELECTRIC POWER CO
YLF139GXSRKPBBTNZL03
Tucson Electric Power Co
898813AV2
65000.00000000
PA
USD
64710.84000000
0.086162121998
Long
DBT
CORP
US
N
2
2053-04-15
Fixed
5.50000000
N
N
N
N
N
N
FORTREA HOLDINGS INC
5493000FIVFABOVCDU97
Fortrea Holdings Inc
34965KAA5
35000.00000000
PA
USD
36185.85000000
0.048181257148
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
7.50000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAP5
86000.00000000
PA
USD
54272.45000000
0.072263464020
Long
DBT
CORP
N/A
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YED3
90000.00000000
PA
USD
73494.24000000
0.097857170036
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.23900000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GX74
325000.00000000
PA
USD
301862.91000000
0.401928778521
Long
DBT
CORP
US
N
2
2036-08-15
Floating
6.04860000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2018-ALXA
63874GAL9
180000.00000000
PA
USD
97378.11000000
0.129658409531
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Variable
4.31590200
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2020-SFR1
89613GAD8
133000.00000000
PA
USD
123639.42000000
0.164625197106
Long
ABS-O
CORP
US
N
2
2038-07-17
Fixed
2.54800000
N
N
N
N
N
N
Flatiron CLO Ltd
5493000CIUZPG6SZO932
Flatiron RR CLO 22 LLC
33883QAE5
250000.00000000
PA
USD
250221.00000000
0.333167863817
Long
ABS-CBDO
CORP
US
N
2
2034-10-15
Floating
7.17560000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-K726 Mortgage Trust
35708TAQ0
25000000.00000000
PA
USD
320.00000000
0.000426078212
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Fixed
0.10000000
N
N
N
N
N
N
LCM INVESTMENTS HOLDINGS
549300P5V78NNQTG4428
LCM Investments Holdings II LLC
50190EAC8
35000.00000000
PA
USD
36575.00000000
0.048699408199
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
8.25000000
N
N
N
N
N
N
MODIVCARE ESCROW ISSUER
N/A
ModivCare Escrow Issuer Inc
60783XAA2
149000.00000000
PA
USD
108228.14000000
0.144105163870
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468X0
135000.00000000
PA
USD
108387.54000000
0.144317404079
Long
DBT
CORP
US
N
2
2032-04-28
Fixed
1.92800000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAX1
20000.00000000
PA
USD
19327.46000000
0.025734405030
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.85000000
N
N
N
N
N
N
PENN ENTERTAINMENT INC
N/A
Penn Entertainment Inc
707569AV1
79000.00000000
PA
USD
68532.50000000
0.091250640941
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
4.12500000
N
N
N
N
N
N
CIM Trust
N/A
CIM TRUST 2023-NR2
171936AA5
294387.48000000
PA
USD
289335.88000000
0.385249108050
Long
ABS-O
CORP
US
N
2
2062-06-25
Variable
6.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEG6
65000.00000000
PA
USD
63310.40000000
0.084297443961
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
1.16400000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
330000.00000000
PA
USD
316592.10000000
0.421540612732
Long
DBT
CORP
GB
N
2
2026-06-04
Fixed
2.09900000
N
N
N
N
N
N
VZ SECURED FINANCING BV
549300MG611MYCOWY949
VZ Secured Financing BV
91845AAA3
175000.00000000
PA
USD
150386.90000000
0.200239317320
Long
DBT
CORP
NL
N
2
2032-01-15
Fixed
5.00000000
N
N
N
N
N
N
HSI Asset Loan Obligation
N/A
HSI Asset Loan Obligation Trust 2007-2
40432BAR0
211566.70000000
PA
USD
160180.70000000
0.213279707314
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C26
46643TBC5
2366926.45000000
PA
USD
5025.22000000
0.006691052360
Long
ABS-MBS
CORP
US
N
2
2048-01-15
Variable
0.91363400
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAE9
9783816.76000000
PA
USD
46598.85000000
0.062046108483
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Variable
0.54013900
N
N
N
N
N
N
Textainer Marine Containers Li
549300X48KLHDDGPK024
Textainer Marine Containers VII Ltd
88315LAQ1
191666.67000000
PA
USD
172027.56000000
0.229053735230
Long
ABS-O
CORP
BM
N
2
2046-04-20
Fixed
2.23000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397FPJ5
455308.50000000
PA
USD
26348.34000000
0.035082667533
Long
ABS-MBS
USGSE
US
N
2
2037-03-15
Floating
0.68688000
N
N
N
N
N
N
KEDRION SPA
81560047FA58E1BEDF67
Kedrion SpA
49272YAB9
105000.00000000
PA
USD
95804.42000000
0.127563050086
Long
DBT
CORP
IT
N
2
2029-09-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NEU3
1139988.76000000
PA
USD
13385.45000000
0.017822651906
Long
ABS-MBS
USGA
US
N
2
2046-02-16
Variable
1.01018000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397LXH7
444116.88000000
PA
USD
30547.38000000
0.040673665838
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
0.61513000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAL0
25000.00000000
PA
USD
24653.52000000
0.032826024170
Long
DBT
CORP
N/A
N
2
2030-01-15
Fixed
5.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
45000.00000000
PA
USD
41200.85000000
0.054858701635
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39300000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
C-BASS Mortgage Loan Trust 2007-CB2
1248MBAJ4
218853.77000000
PA
USD
131513.37000000
0.175109317548
Long
ABS-O
CORP
US
N
2
2037-02-25
Variable
3.56946700
N
N
N
N
N
N
SLM Student Loan Trust
549300MHMWVKFEDI8G73
SLM Student Loan Trust 2008-2
784442AD7
340000.00000000
PA
USD
326661.12000000
0.434947456619
Long
ABS-O
CORP
US
N
2
2083-01-25
Floating
6.82250000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CA0
60000.00000000
PA
USD
38326.20000000
0.051031121217
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWES8
593846.98000000
PA
USD
565710.51000000
0.753240384124
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-4
89173UAB3
350000.00000000
PA
USD
318576.62000000
0.424182990027
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
3.00000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCL4
5000.00000000
PA
USD
3194.32000000
0.004253219237
Long
DBT
CORP
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAF4
15000.00000000
PA
USD
12493.61000000
0.016635171928
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.55000000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAF9
40000.00000000
PA
USD
39866.98000000
0.053082661181
Long
DBT
CORP
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300LCOEVXWN75LP18
Neuberger Berman Loan Advisers Clo 43 Ltd
64134AAA0
85000.00000000
PA
USD
85082.96000000
0.113287485984
Long
ABS-CBDO
CORP
KY
N
2
2035-07-17
Floating
6.70814000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050649
850000.00000000
PA
USD
835529.12000000
1.112502356189
Long
ABS-MBS
USGA
US
N
2
2054-04-15
Fixed
5.00000000
N
N
N
N
N
N
UNIVERSAL HEALTH SVCS
549300YGMGQDO0NMJD09
Universal Health Services Inc
913903AZ3
15000.00000000
PA
USD
13675.82000000
0.018209277939
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
1.65000000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAF0
40000.00000000
PA
USD
34738.09000000
0.046253572795
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.78200000
N
N
N
N
N
N
CABLE ONE INC
549300648QS85T0XSH18
Cable One Inc
12685JAC9
115000.00000000
PA
USD
89987.50000000
0.119817853598
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.00000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAK1
9000.00000000
PA
USD
8645.34000000
0.011511221918
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.50000000
N
N
N
N
N
N
VT TOPCO INC
5493007T812R37X02Y38
VT Topco Inc
91838PAA9
70000.00000000
PA
USD
73941.94000000
0.098453280085
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
8.50000000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAH1
36000.00000000
PA
USD
30557.78000000
0.040687513380
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.50000000
N
N
N
N
N
N
ADTALEM GLOBAL EDUCATION
549300Z467EZLMODV621
Adtalem Global Education Inc
00737WAA7
76000.00000000
PA
USD
72856.08000000
0.097007463561
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.50000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3L3
25000.00000000
PA
USD
23375.59000000
0.031124467513
Long
DBT
CORP
US
N
2
2027-03-08
Fixed
3.20500000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C25
46643PBG4
4341904.43000000
PA
USD
8207.28000000
0.010927947475
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
0.79384900
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2007-AR5
45669EAC0
196622.02000000
PA
USD
152836.75000000
0.203501278910
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
3.36557700
N
N
N
N
N
N
EDGEWELL PERSONAL CARE
549300CY8QZDL4Z3RU59
Edgewell Personal Care Co
28035QAA0
32000.00000000
PA
USD
31448.00000000
0.041872836338
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.50000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BU8
140000.00000000
PA
USD
153411.97000000
0.204267181127
Long
DBT
CORP
US
N
2
2034-10-20
Fixed
6.87500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CBM Mortgage Trust
20049AAC2
1667987.25000000
PA
USD
5374.00000000
0.007155450981
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
0.60077800
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R5
12592SAC1
115000.00000000
PA
USD
75002.31000000
0.099865156817
Long
ABS-MBS
CORP
US
N
2
2061-08-25
Variable
2.00000000
N
N
N
N
N
N
Indymac Manufactured Housing C
N/A
Indymac Manufactured Housing Con Pass Thr Cert Series 1998-1
22540AFH6
50131.79000000
PA
USD
49842.89000000
0.066365529623
Long
ABS-O
CORP
US
N
2
2028-09-25
Variable
6.96000000
N
N
N
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAD1
39000.00000000
PA
USD
35585.12000000
0.047381388508
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
2.86600000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAX3
35000.00000000
PA
USD
33808.85000000
0.045016294925
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.87500000
N
N
N
N
N
N
DROP Mortgage Trust 2021-FILE
N/A
DROP Mortgage Trust 2021-FILE
26210YAL0
150000.00000000
PA
USD
116615.75000000
0.155273219733
Long
ABS-MBS
CORP
US
N
2
2043-10-15
Floating
8.18948000
N
N
N
N
N
N
SFAVE Commercial Mortgage Secu
549300FIGODFFTOAAU64
SFAVE Commercial Mortgage Securities Trust 2015-5AVE
78413MAQ1
200000.00000000
PA
USD
94602.14000000
0.125962220982
Long
ABS-MBS
CORP
US
N
2
2043-01-05
Variable
4.38801000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAN3
156000.00000000
PA
USD
129959.62000000
0.173040508102
Long
DBT
CORP
US
N
2
2038-06-25
Fixed
4.62500000
N
N
N
N
N
N
Firstkey Homes Trust
N/A
FirstKey Homes 2021-SFR2 Trust
33767TAE0
250000.00000000
PA
USD
225665.20000000
0.300471953281
Long
ABS-O
CORP
US
N
2
2038-09-17
Fixed
1.70700000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2021-6
85573RAA6
193847.48000000
PA
USD
162806.33000000
0.216775718992
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
1.92000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1
00442JAE4
365587.14000000
PA
USD
143021.33000000
0.190432102007
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
6.20389000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109BU7
100000.00000000
PA
114537.02000000
0.152505402350
Long
DBT
CORP
US
N
2
2030-07-06
Fixed
4.87500000
N
N
N
N
N
N
UNIFRAX ESCROW ISS CORP
549300RRU6BWJLD0YT71
ASP Unifrax Holdings Inc
90473LAA0
30000.00000000
PA
USD
19394.46000000
0.025823615156
Long
DBT
CORP
US
N
2
2028-09-30
Fixed
5.25000000
N
N
N
N
N
N
Crystal River
5493002U1CTJPBWAAZ92
Crystal River Cdo 2005-1 Ltd
229395AA6
419900.13000000
PA
USD
42831.24000000
0.057029556813
Long
ABS-CBDO
CORP
KY
N
3
2046-03-02
Floating
5.95513000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31358SZW4
10745.34000000
PA
USD
436.40000000
0.000581064162
Long
ABS-MBS
USGSE
US
N
2
2030-12-18
Floating
2.51688000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust
74333HAQ8
250000.00000000
PA
USD
225069.35000000
0.299678582334
Long
ABS-O
CORP
US
N
2
2038-07-17
Fixed
4.00300000
N
N
N
N
N
N
SLM Student Loan Trust
549300OORAXMFXOHG132
SLM Student Loan Trust 2008-3
78444GAD6
340000.00000000
PA
USD
324382.24000000
0.431913140628
Long
ABS-O
CORP
US
N
2
2083-04-26
Floating
6.82250000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
3935053P5
70481.60000000
PA
USD
23478.17000000
0.031261052210
Long
ABS-O
CORP
US
N
2
2030-03-01
Variable
7.86000000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2005-QA3 Trust
76110H2H1
110453.15000000
PA
USD
58830.24000000
0.078332135946
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Variable
3.62702300
N
N
N
N
N
N
Pretium Mortgage Credit Partne
N/A
PRET 2022-RN2 LLC
69377NAB5
197000.00000000
PA
USD
186712.70000000
0.248606917111
Long
ABS-O
CORP
US
N
2
2052-06-25
Variable
6.50000000
N
N
N
N
N
N
GoldenTree Loan Management US
N/A
GoldentTree Loan Management US CLO 1 Ltd
38138JAE3
325000.00000000
PA
USD
324522.25000000
0.432099563161
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
7.07942000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AP6
110000.00000000
PA
USD
97632.79000000
0.129997514528
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.83200000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
2549004WBNSFGOX1MY52
Golub Capital Partners CLO 69M
38179UAD0
250000.00000000
PA
USD
252735.00000000
0.336515240775
Long
ABS-CBDO
CORP
US
N
2
2036-11-09
Floating
8.65812000
N
N
N
N
N
N
REXFORD INDUSTRIAL REALT
549300028US163ELJN70
Rexford Industrial Realty LP
76169XAB0
5000.00000000
PA
USD
4014.51000000
0.005345297640
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
2.15000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A2X8
30000.00000000
PA
USD
30034.37000000
0.039990595889
Long
DBT
CORP
US
N
2
2024-05-24
Floating
6.02386100
N
N
N
N
N
N
BAYER US FINANCE LLC
54930093Q75GSEM74I71
Bayer US Finance LLC
07274EAM5
70000.00000000
PA
USD
71946.37000000
0.095796189777
Long
DBT
CORP
US
N
2
2053-11-21
Fixed
6.87500000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2022-NQM1 Trust
67114VAA1
233713.90000000
PA
USD
201037.14000000
0.267679828958
Long
ABS-MBS
CORP
US
N
2
2061-11-25
Variable
2.30500000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BR7
97000.00000000
PA
USD
98497.22000000
0.131148498245
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
6.75000000
N
N
N
N
N
N
Nomura Resecuritization Trust
N/A
Nomura Resecuritization Trust 2015-4R
65540WBJ7
326746.08000000
PA
USD
283450.72000000
0.377413050383
Long
ABS-MBS
CORP
US
N
2
2036-10-26
Floating
3.44250600
N
N
N
N
N
N
WASTE PRO USA INC
549300BY1QXU5BI3UF28
Waste Pro USA Inc
94107JAA1
17000.00000000
PA
USD
16757.55000000
0.022312584220
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
CANO HEALTH LLC
254900OGI2T8V1NXN639
Cano Health LLC
13782CAA8
26000.00000000
PA
USD
22.62000000
0.000030118403
Long
DBT
CORP
US
N
3
2028-10-01
Fixed
6.25000000
Y
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AL5
15000.00000000
PA
USD
12838.49000000
0.017094377721
Long
DBT
CORP
US
N
2
2048-09-26
Fixed
5.00000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBM9
55000.00000000
PA
USD
45897.16000000
0.061111812168
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
3.87500000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A2Z3
30000.00000000
PA
USD
27539.92000000
0.036669249647
Long
DBT
CORP
US
N
2
2026-06-29
Fixed
1.60800000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-8 LLC
69360MAA8
69005.17000000
PA
USD
66509.00000000
0.088556361994
Long
ABS-O
CORP
US
N
2
2026-09-25
Variable
1.74300000
N
N
N
N
N
N
ADVANCED DRAINAGE SYSTEM
6QQTOZ5MF5DHM7K92I60
Advanced Drainage Systems Inc
00790RAB0
14000.00000000
PA
USD
14085.47000000
0.018754724626
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
6.37500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYG3
235000.00000000
PA
USD
214757.95000000
0.285949010832
Long
DBT
CORP
US
N
2
2027-09-10
Fixed
1.54200000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797HF7
10000000.00000000
PA
USD
9985461.10000000
13.29558567795
Long
DBT
UST
US
N
1
2024-04-11
None
0.00000000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
64110LAL0
50000.00000000
PA
USD
50203.42000000
0.066845573304
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.87500000
N
N
N
N
N
N
ACRISURE LLC / FIN INC
N/A
Acrisure LLC / Acrisure Finance Inc
00489LAH6
77000.00000000
PA
USD
70840.00000000
0.094323064302
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
6.00000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2004-6
45254NKD8
59188.24000000
PA
USD
58599.94000000
0.078025492783
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
6.22389000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAF4
50000.00000000
PA
USD
39459.82000000
0.052540529915
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
4.30000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2K8
240000.00000000
PA
USD
232869.24000000
0.310064092301
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
2.16400000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAZ0
9000.00000000
PA
USD
8249.50000000
0.010984163170
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCT1
505000.00000000
PA
USD
491057.97000000
0.653840944107
Long
DBT
CORP
US
N
2
2025-12-10
Fixed
1.56100000
N
N
N
N
N
N
CENTRAL GARDEN & PET CO
5493004DVZLD37DJ0H83
Central Garden & Pet Co
153527AN6
40000.00000000
PA
USD
35920.86000000
0.047828424443
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.12500000
N
N
N
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
Encompass Health Corp
29261AAA8
20000.00000000
PA
USD
19144.60000000
0.025490927962
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.50000000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
2549007JA1TZWEDGPD41
Golub Capital Partners CLO 54M L.P
381743AA1
90000.00000000
PA
USD
89954.82000000
0.119774340361
Long
ABS-CBDO
CORP
KY
N
2
2033-08-05
Floating
7.06419000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AY3
48000.00000000
PA
USD
32395.01000000
0.043133774863
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
7.50000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2007-1
576431AA8
431219.66000000
PA
USD
181501.26000000
0.241667913861
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
5.83389000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AK5
25000.00000000
PA
USD
25038.23000000
0.033338263386
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.75000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AQ4
201000.00000000
PA
USD
167062.52000000
0.222442812203
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
2.30000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/EUR FORWARD
000000000
1.00000000
NC
USD
1283.21000000
0.001708586947
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-172000.00000000
EUR
187151.34000000
USD
2024-04-12
1283.21000000
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBK9
30000.00000000
PA
USD
29676.83000000
0.039514533376
Long
DBT
CORP
US
N
2
2053-01-15
Fixed
5.35000000
N
N
N
N
N
N
NORTHWEST FIBER LLC/NORT
N/A
Northwest Fiber LLC / Northwest Fiber Finance Sub Inc
667449AD4
39000.00000000
PA
USD
39975.00000000
0.053226489208
Long
DBT
CORP
US
N
2
2027-04-30
Fixed
4.75000000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURA
Z7LVXXWM8HZPKF5T2355
Nationwide Mutual Insurance Co
638671AJ6
75000.00000000
PA
USD
75006.96000000
0.099871348266
Long
DBT
CORP
US
N
2
2024-12-15
Floating
7.88088000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CK3
50000.00000000
PA
USD
41688.68000000
0.055508244555
Long
DBT
CORP
GB
N
2
2031-08-18
Fixed
2.35700000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2006-15XS
61750YAE9
418861.59000000
PA
USD
95775.51000000
0.127524556583
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
6.69950000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBV6
125000.00000000
PA
USD
113197.33000000
0.150721612598
Long
DBT
CORP
US
N
2
2052-03-16
Fixed
5.65000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CT0
10000.00000000
PA
USD
9890.59000000
0.013169265338
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.87500000
N
N
N
N
N
N
UNITED AIR 2023-1 A PTT
N/A
United Airlines 2023-1 Class A Pass Through Trust
90932LAJ6
135000.00000000
PA
USD
137054.00000000
0.182486635445
Long
DBT
CORP
US
N
2
2036-01-15
Fixed
5.80000000
N
N
N
N
N
N
Golub Capital Partners CLO, LT
N/A
Golub Capital Partners CLO 66B Ltd
38179MAA4
250000.00000000
PA
USD
251512.50000000
0.334887488853
Long
ABS-CBDO
CORP
JE
N
2
2036-04-25
Floating
7.27467000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEA9
120000.00000000
PA
USD
118892.86000000
0.158305178979
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
0.79000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2006-HE4
61748BAC8
597911.74000000
PA
USD
313860.43000000
0.417903409386
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.74389000
N
N
N
N
N
N
PRP Advisors, LLC
N/A
PRPM 2021-9 LLC
69360XAA4
112286.66000000
PA
USD
109686.20000000
0.146046562615
Long
ABS-O
CORP
US
N
2
2026-10-25
Variable
2.36300000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAY4
10000.00000000
PA
USD
8739.30000000
0.011636329134
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
5.87500000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-HX1 Mortgage Loan Trust
19688KAA2
315116.97000000
PA
USD
260435.65000000
0.346768613235
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Variable
1.11000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394F3P8
24887.24000000
PA
USD
67.25000000
0.000089542999
Long
ABS-MBS
USGSE
US
N
2
2025-10-25
Floating
0.66513000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAA1
60000.00000000
PA
USD
54098.68000000
0.072032090236
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISBDRXIMCHZ70
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KQC6
200000.00000000
PA
USD
204187.85000000
0.271874981724
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
7.82039000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BF3
65000.00000000
PA
USD
54031.40000000
0.071942507291
Long
DBT
CORP
US
N
2
2047-05-15
Fixed
4.27000000
N
N
N
N
N
N
Global SC Finance SRL
N/A
Global SC Finance II SRL
37952UAE3
10126.00000000
PA
USD
10019.08000000
0.013340349055
Long
ABS-O
CORP
BB
N
2
2029-07-17
Fixed
3.09000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAP6
20000.00000000
PA
USD
19913.96000000
0.026515326504
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
5.65000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBB3
154000.00000000
PA
USD
128325.74000000
0.170865006009
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
EMBECTA CORP
549300RPG8GXVDHNXZ62
Embecta Corp
29082KAA3
28000.00000000
PA
USD
22879.35000000
0.030463726725
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
5.00000000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
203372AX5
44000.00000000
PA
USD
31680.00000000
0.042181743042
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
4.75000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2022-NQM2
64831MAB8
250000.00000000
PA
USD
193223.63000000
0.257276184038
Long
ABS-MBS
CORP
US
N
2
2062-03-27
Variable
3.69900000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2006-7 Trust
05951KAZ6
214762.20000000
PA
USD
182209.02000000
0.242610292348
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
5.69480000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797KN6
3000000.00000000
PA
USD
2955914.40000000
3.935783512480
Long
DBT
UST
US
N
1
2024-07-09
None
0.00000000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAK0
70000.00000000
PA
USD
64739.66000000
0.086200495667
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.62500000
N
N
N
N
N
N
RINGCENTRAL INC
549300C8EH0H1614VE84
RingCentral Inc
76680RAJ6
35000.00000000
PA
USD
36420.44000000
0.048493612423
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
8.50000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2004-4
45254NHT7
33223.47000000
PA
USD
33180.79000000
0.044180036544
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
6.06389000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJN1
40000.00000000
PA
USD
40813.12000000
0.054342441306
Long
DBT
CORP
US
N
2
2034-06-12
Fixed
5.83600000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series 2006-RM2
590216AA5
434656.36000000
PA
USD
117910.14000000
0.156996692788
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.81389000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AT5H3
244933.02000000
PA
USD
3592.65000000
0.004783593407
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Variable
3.05300000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2018-C8
46591AAC9
1157000.00000000
PA
USD
69515.63000000
0.092559673045
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Variable
1.76068200
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CS6
10000.00000000
PA
USD
9924.01000000
0.013213763881
Long
DBT
CORP
GB
N
2
2025-05-24
Fixed
0.97600000
N
N
N
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAA4
30000.00000000
PA
USD
29605.88000000
0.039420063847
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
5.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
1830.71000000
0.002437580139
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2053-12-20
0.00000000
USD
0.00000000
USD
157000.00000000
USD
1830.71000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040644
2900000.00000000
PA
USD
2686351.49000000
3.576862003537
Long
ABS-MBS
USGSE
US
N
2
2054-04-15
Fixed
4.00000000
N
N
N
N
N
N
KEYSPAN GAS EAST CORP
K8TS3HOE1568DUBUJL44
KeySpan Gas East Corp
49338CAD5
65000.00000000
PA
USD
66004.71000000
0.087884902676
Long
DBT
CORP
US
N
2
2033-03-06
Fixed
5.99400000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-1
362341Z44
677563.33000000
PA
USD
286359.00000000
0.381285408958
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
6.10389000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378MKU8
1156108.79000000
PA
USD
117021.71000000
0.155813753206
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Floating
0.75677000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 22 Ltd
74923VAJ9
100000.00000000
PA
USD
102003.00000000
0.135816424732
Long
ABS-CBDO
CORP
KY
N
2
2037-01-20
Floating
10.37238000
N
N
N
N
N
N
EMBECTA CORP
549300RPG8GXVDHNXZ62
Embecta Corp
29082KAB1
53000.00000000
PA
USD
46370.26000000
0.061741742175
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
6.75000000
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
135000.00000000
PA
USD
141980.21000000
0.189045856543
Long
DBT
CORP
N/A
N
2
2034-03-15
Fixed
6.75000000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG Inc
92332YAC5
35000.00000000
PA
USD
37757.15000000
0.050273434321
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
9.50000000
N
N
N
N
N
N
MASTR Asset Backed Securities
N/A
Mastr Asset Backed Securities Trust 2007-HE1
576457AD7
300000.00000000
PA
USD
236380.23000000
0.314738955874
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.72389000
N
N
N
N
N
N
COBALT CMBS Commercial Mortgag
N/A
COBALT CMBS Commercial Mortgage Trust 2007-C2
19075CBE2
1007857.21000000
PA
USD
4510.16000000
0.006005252847
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Variable
0.44808300
N
N
N
N
N
N
ATI INC
ZW1LRE7C3H17O2ZN9B45
ATI Inc
01741RAN2
35000.00000000
PA
USD
36323.00000000
0.048363871607
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
7.25000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CH0
15000.00000000
PA
USD
13921.88000000
0.018536905455
Long
DBT
CORP
US
N
2
N/A
Fixed
3.55000000
N
N
N
N
N
N
NGL ENRGY OP/FIN CORP
N/A
NGL Energy Operating LLC / NGL Energy Finance Corp
62922LAD0
30000.00000000
PA
USD
30788.95000000
0.040995314944
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
8.37500000
N
N
N
N
N
N
ARTERA SERVICES LLC
549300J2G34D0WX8Z443
Artera Services LLC
04302XAA2
45000.00000000
PA
USD
46168.79000000
0.061473485995
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
8.50000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJJ0
35000.00000000
PA
USD
35766.90000000
0.047623427563
Long
DBT
CORP
US
N
2
2033-10-21
Fixed
5.85000000
N
N
N
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
Valvoline Inc
92047WAG6
80000.00000000
PA
USD
69030.37000000
0.091913552065
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.62500000
N
N
N
N
N
N
2024-05-23
METROPOLITAN WEST FUNDS
Eric Chan
Eric Chan
Managing Director