0001098605-24-000073.txt : 20240227
0001098605-24-000073.hdr.sgml : 20240227
20240227132340
ACCESSION NUMBER: 0001098605-24-000073
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231231
FILED AS OF DATE: 20240227
DATE AS OF CHANGE: 20240227
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIMCO Managed Accounts Trust
CENTRAL INDEX KEY: 0001098605
ORGANIZATION NAME:
IRS NUMBER: 066484967
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-09721
FILM NUMBER: 24684731
BUSINESS ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
BUSINESS PHONE: 212-739-4000
MAIL ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
FORMER COMPANY:
FORMER CONFORMED NAME: AllianzGI Managed Accounts Trust
DATE OF NAME CHANGE: 20130125
FORMER COMPANY:
FORMER CONFORMED NAME: ALLIANZ GLOBAL INVESTORS MANAGED ACCOUNTS TRUST
DATE OF NAME CHANGE: 20090626
FORMER COMPANY:
FORMER CONFORMED NAME: ALLIANZ GLOBAL INVESTORS
DATE OF NAME CHANGE: 20090626
0001098605
S000043031
Fixed Income SHares: Series LD
C000133198
Series LD
FXIDX
NPORT-P
1
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0001098605
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811-09721
0001098605
549300QOE6UAECNZYE02
1633 Broadway
New York
10019
(800) 927-4648
Fixed Income SHares: Series LD
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2023-12-31
2023-12-31
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AUD
BRL
EUR
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50% ICE BofA 1-3 Year US Treasury Index, 50% Bloomberg US Intermediate Credit Total Return Index
G1O2, LUICTRUU
HALSEYPOINT CLO 2 LTD
N/A
HALSEYPOINT CLO II, LTD. HLSY 2020 2A A1 144A
40638TAA0
801961.400000
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USD
800963.920000
1.08801
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
6.77743
N
N
N
N
N
N
PIMCO FUNDS
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000000000
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USD
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15.2191
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STIV
RF
US
N
1
N
N
N
TD SYNNEX CORPORATION
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TD SYNNEX CORP SR UNSECURED 08/24 1.25
87162WAD2
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USD
1949862.260000
2.64865
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DBT
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US
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2
2024-08-09
Fixed
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N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
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USD
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1.34142
Long
DBT
CORP
GB
N
2
2026-08-11
Floating
4.716
N
N
N
N
N
N
522 FUNDING CLO I LTD 2018-3A
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522 FUNDING CLO LTD MORGN 2018 3A AR 144A
33835NAA9
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USD
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0.812992
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CORP
KY
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2
2031-10-20
Floating
6.71743
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R
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USD
251739.870000
0.341958
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
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N
N
N
N
N
N/A
N/A
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1843.900000
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Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
75143.040000
USD
102000.000000
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2024-01-09
1843.900000
N
N
N
STRATTON MORTGAGE FUNDING 21-2A
N/A
STRATTON MORTGAGE FUNDING PLC STRA 2021 2A A 144A
ACI1W61K9
116249.300000
PA
148155.700000
0.201252
Long
ABS-MBS
CORP
GB
N
2
2060-07-20
Floating
6.116
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-HY2
N/A
TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A
89177HAA0
348628.360000
PA
USD
354725.420000
0.481851
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Floating
6.47043
N
N
N
N
N
N
WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)
06BTX5UWZD0GQ5N5Y745
WESTINGHOUSE AIR BRAKE COMPANY GUAR 09/28 4.7
960386AM2
300000.000000
PA
USD
296891.350000
0.403291
Long
DBT
CORP
US
N
2
2028-09-15
Variable
4.95
N
N
N
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
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PA
USD
-5375670.180000
-7.3022
Short
RA
US
N
2
Reverse repurchase
N
5.570000
2025-07-27
6200000.000000
USD
5973772.580000
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CDS
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N
N/A
N/A
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000000000
1.000000
NC
-2859.670000
-0.0038845
N/A
DFE
BR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
8458967.930000
BRL
1724208.710000
USD
2024-04-02
-2859.670000
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-479.680000
-0.0006516
N/A
DFE
GB
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
105457.000000
GBP
133945.530000
USD
2024-01-09
-479.680000
N
N
N
MFA 2021-RPL1 TRUST
N/A
MFRA TRUST MFRA 2021 RPL1 A1 144A
55283QAA2
541713.770000
PA
USD
480935.710000
0.653293
Long
ABS-MBS
CORP
US
N
2
2060-07-25
Variable
1.1313
N
N
N
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-2517.530000
-0.0034198
N/A
DFE
GB
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
402055.000000
GBP
509978.820000
USD
2024-01-09
-2517.530000
N
N
N
SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY
549300OD7VKRVNWB2J98
SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 04/24 3.55
78448TAE2
300000.000000
PA
USD
298007.860000
0.404807
Long
DBT
CORP
IE
N
2
2024-04-15
Fixed
3.55
N
N
N
N
N
N
WASHINGTON MUTUAL 2002-AR6
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A
929227QB5
2102.320000
PA
USD
1925.700000
0.0026158
Long
ABS-MBS
CORP
US
N
2
2042-06-25
Floating
6.4118
N
N
N
N
N
N
THORNBURG MORTGAGE SECURITIES TR 2003-4
N/A
THORNBURG MORTGAGE SECURITIES TMST 2003 4 A1
885220DW0
2462.170000
PA
USD
2317.810000
0.0031485
Long
ABS-MBS
CORP
US
N
2
2043-09-25
Floating
6.11043
N
N
N
N
N
N
MELLON RESIDENTIAL FUND CORP 2000-TBC2
N/A
MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC2 A1
585525ED6
4388.140000
PA
USD
4200.550000
0.0057059
Long
ABS-MBS
CORP
US
N
2
2030-06-15
Floating
5.95629
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2005-AR6
N/A
GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1
362341RX9
1630.260000
PA
USD
1532.180000
0.0020813
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
4.83576
N
N
N
N
N
N
OBX 2023-NQM6 TRUST
N/A
ONSLOW BAY FINANCIAL LLC OBX 2023 NQM6 A1 144A
67117VAA8
374896.230000
PA
USD
378679.800000
0.51439
Long
ABS-MBS
CORP
US
N
2
2063-07-25
Variable
6.52
N
N
N
N
N
N
AES CORPORATION
2NUNNB7D43COUIRE5295
AES CORP/THE SR UNSECURED 01/26 1.375
00130HCE3
1300000.000000
PA
USD
1203428.430000
1.63471
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.375
N
N
N
N
N
N
OCP EURO CLO 2020-4 DAC 20-4A
N/A
OCP EURO CLO OCPE 2020 4A AR 144A
ACI1ZTQK9
500000.000000
PA
544116.550000
0.739116
Long
ABS-CBDO
CORP
IE
N
2
2034-09-22
Floating
4.882
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-1
N/A
GM FINANCIAL SECURITIZED TERM GMCAR 2023 1 A2B
38013JAC7
419003.030000
PA
USD
419604.380000
0.569982
Long
ABS-O
CORP
US
N
2
2026-03-16
Floating
5.9581
N
N
N
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-1906056.000000
PA
USD
-1952066.070000
-2.65164
Short
RA
US
N
2
Reverse repurchase
N
5.500000
2025-07-27
2100000.000000
USD
2048382.140000
USD
CDS
N
N
N
STRUCTURED ASSEET MTGE INV INC 2002-AR3
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1
86358HNX3
2462.780000
PA
USD
2363.330000
0.0032103
Long
ABS-MBS
CORP
US
N
2
2032-09-19
Floating
6.13023
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI PROPERTIES LP SR UNSECURED 05/25 4.375
925650AA1
300000.000000
PA
USD
295008.870000
0.400734
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.375
N
N
N
N
N
N
MELLON RES FUND CORP 1999-TBC3
N/A
MELLON RESIDENTIAL FUNDING COR MRFC 1999 TBC3 A2
585525DF2
4356.900000
PA
USD
4391.870000
0.0059658
Long
ABS-MBS
CORP
US
N
2
2029-10-20
Floating
6.02011
N
N
N
N
N
N
BEAR STEARNS ARM 2003-1
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 5A1
07384MTM4
8360.060000
PA
USD
8091.080000
0.0109907
Long
ABS-MBS
CORP
US
N
3
2033-04-25
Floating
4.82771
N
N
N
N
N
N
RESIMAC BASTILLE TRUST SERIES 2021-2NCA
N/A
RESIMAC RESI 2021 2NCA A1A 144A
76120BAA8
353123.680000
PA
USD
351706.770000
0.477751
Long
ABS-MBS
CORP
AU
N
2
2053-02-03
Floating
6.1192
N
N
N
N
N
N
PFP III LTD 2021-8
N/A
PFP III PFP 2021 8 A 144A
69357XAA9
392427.360000
PA
USD
391022.160000
0.531156
Long
ABS-MBS
CORP
KY
N
2
2037-08-09
Floating
6.47648
N
N
N
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-17649.360000
-0.0239745
N/A
DFE
GB
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
1798488.000000
GBP
2274869.160000
USD
2024-01-09
-17649.360000
N
N
N
ABN AMRO BANK NV
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ABN AMRO BANK NV 144A 10/26 VAR
00084DBC3
300000.000000
PA
USD
305101.290000
0.414443
Long
DBT
CORP
NL
N
2
2026-10-13
Floating
6.575
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL SR UNSECURED 08/24 4.25
87165BAD5
600000.000000
PA
USD
593663.470000
0.80642
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
4.25
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST-2005-A2
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2005 A2 5A2
466247NV1
8368.370000
PA
USD
8080.420000
0.0109763
Long
ABS-MBS
CORP
US
N
3
2035-04-25
Floating
6.14401
N
N
N
N
N
N
THORNBURG MORTGAGE SEC TRUST 2005-1
N/A
THORNBURG MORTGAGE SECURITIES TMST 2005 1 A3
885220HB2
7362.020000
PA
USD
6862.900000
0.0093224
Long
ABS-MBS
CORP
US
N
3
2045-04-25
Floating
4.21846
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 03/25 VAR
BF4TF2II0
1000000.000000
PA
682465.470000
0.927046
Long
DBT
CORP
GB
N
2
2025-03-07
Floating
5.7503
N
N
N
N
N
N
GCAT 2021-NQM3 TRUST
N/A
GCAT GCAT 2021 NQM3 A3 144A
36167HAD7
509321.490000
PA
USD
418582.200000
0.568593
Long
ABS-MBS
CORP
US
N
2
2066-05-25
Variable
1.503
N
N
N
N
N
N
MORGAN STANLEY MORTGAGE TRUST-2004-10AR
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2004 10AR 2A2
61748HFE6
976.070000
PA
USD
897.470000
0.0012191
Long
ABS-MBS
CORP
US
N
3
2034-11-25
Floating
5.97128
N
N
N
N
N
N
TRINITY SQUARE 2021-1 PLC A
N/A
TRINITY SQUARE TRINI 2021 1A A 144A
ACI1WK7V8
1300801.550000
PA
1657983.980000
2.25217
Long
ABS-MBS
CORP
GB
N
2
2059-07-15
Floating
6.0675
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 10
N/A
SEQUOIA MORTGAGE TRUST SEMT 10 2A1
81743VAB9
2869.900000
PA
USD
2687.280000
0.0036503
Long
ABS-MBS
CORP
US
N
3
2027-10-20
Floating
6.2324
N
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2003-AR15
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR15 2A1
22541QCT7
4934.360000
PA
USD
4479.350000
0.0060847
Long
ABS-MBS
CORP
US
N
3
2033-06-25
Floating
4.63084
N
N
N
N
N
N
BEAR STEARNS ARM TR 2004-8
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 11A2
07384MZ96
15790.980000
PA
USD
14353.240000
0.0194971
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
6.03519
N
N
N
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-617400.000000
PA
USD
-632574.320000
-0.859275
Short
RA
US
N
2
Reverse repurchase
N
5.600000
2025-07-27
700000.000000
USD
685319.820000
USD
CDS
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE
01F050619
5000000.000000
PA
USD
4947265.650000
6.72026
Long
ABS-MBS
USGSE
US
N
2
2054-01-16
Fixed
5
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2004-A
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2004 A 1A3
06051GAX7
7329.580000
PA
USD
6683.180000
0.0090783
Long
ABS-MBS
CORP
US
N
3
2034-09-20
Floating
6.496
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/25 4.95
694308KE6
500000.000000
PA
USD
497102.520000
0.675253
Long
DBT
CORP
US
N
2
2025-06-08
Fixed
4.95
N
N
N
N
N
N
N/A
N/A
CDX IG41 5Y ICE
000000000
1.000000
NC
USD
-195666.030000
-0.265788
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
N/A
CDX.NA.IG.41
Y
Single Leg Swap
2028-12-20
0.000000
USD
-122405.510000
USD
9900000.000000
USD
-73260.520000
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE FUNDING LLC COMPANY GUAR 144A 08/24 1.55
23371DAJ3
600000.000000
PA
USD
584676.190000
0.794212
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
1.55
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV3
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV3 A11 144A
17329VDF3
876874.880000
PA
USD
811981.840000
1.10298
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Floating
5
N
N
N
N
N
N
APIDOS CLO 2017-27A
N/A
APIDOS CLO LTD APID 2017 27A A1R 144A
03767JAF2
342020.690000
PA
USD
341409.560000
0.463763
Long
ABS-CBDO
CORP
KY
N
2
2030-07-17
Floating
6.59444
N
N
N
N
N
N
ELFI GRADUATE LOAN PROGRAM 2021-A LLC
N/A
ELFI GRADUATE LOAN PROGRAM 202 ELFI 2021 A A 144A
28628BAA6
900338.750000
PA
USD
783192.160000
1.06387
Long
ABS-O
CORP
US
N
2
2046-12-26
Fixed
1.53
N
N
N
N
N
N
FREDDIE MAC REMICS 5115
N/A
FREDDIE MAC FHR 5115 EM
3137H0W53
1368604.790000
PA
USD
1171759.590000
1.59169
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
Fixed
1
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST-2004-A1
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2004 A1 2A1
466247BM4
8008.520000
PA
USD
7732.540000
0.0105037
Long
ABS-MBS
CORP
US
N
3
2034-02-25
Floating
6.48997
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 144A 10/27 VAR
05571AAQ8
400000.000000
PA
USD
411958.630000
0.559596
Long
DBT
CORP
FR
N
2
2027-10-19
Floating
6.612
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2003-9
N/A
GSR MORTGAGE LOAN TRUST GSR 2003 9 A2
36228FWS1
28731.990000
PA
USD
26253.070000
0.0356616
Long
ABS-MBS
CORP
US
N
3
2033-08-25
Floating
7.67832
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST-2005-A1
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1
466247LZ4
882.620000
PA
USD
794.080000
0.0010787
Long
ABS-MBS
CORP
US
N
3
2035-02-25
Floating
4.26319
N
N
N
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240202
000000000
1.000000
NC
-2576.400000
-0.0034997
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
454341.020000
USD
2198056.430000
BRL
2024-02-02
-2576.400000
N
N
N
PENNSYLVANIA HIGHER EDUCATION-2006-2
N/A
PENNSYLVANIA ST HGR EDU ASSIST PASSTD 10/36 FLOATING VAR
709163GH6
357516.960000
PA
USD
355360.880000
0.482715
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.71223
N
N
N
N
N
N
HERA COMMERCIAL MORTGAGE 2021-FL1
N/A
HERA COMMERCIAL MORTGAGE LTD HERA 2021 FL1 A 144A
42704RAA9
668111.490000
PA
USD
650829.820000
0.884073
Long
ABS-CBDO
CORP
KY
N
2
2038-02-18
Floating
6.52273
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-GA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2020 GA A 144A
63941UAA1
440035.310000
PA
USD
394120.530000
0.535365
Long
ABS-O
CORP
US
N
2
2069-09-16
Fixed
1.17
N
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2001-3
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 A2
07384YBM7
15164.240000
PA
USD
14610.480000
0.0198466
Long
ABS-MBS
CORP
US
N
3
2032-10-27
Floating
6.27043
N
N
N
N
N
N
MF1 2020-FL4 LTD
N/A
MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A
58003UAA6
306789.860000
PA
USD
306508.230000
0.416354
Long
ABS-CBDO
CORP
US
N
2
2035-11-15
Floating
7.17629
N
N
N
N
N
N
INTOWN 2022-STAY MORTGAGE TRUST
N/A
INTOWN 2022 STAY TOWN 2022 STAY A 144A
46117NAA0
400000.000000
PA
USD
402011.800000
0.546084
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Floating
7.8506
N
N
N
N
N
N
BLACKROCK EUROPEAN CLO VII DAC 7A
N/A
BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A
ACI1W2WD0
1964048.450000
PA
2134356.050000
2.89926
Long
ABS-CBDO
CORP
IE
N
2
2031-10-15
Floating
4.585
N
N
N
N
N
N
N/A
N/A
SOLD AUD BOUGHT USD 20240109
000000000
1.000000
NC
-1363.370000
-0.001852
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
175000.000000
AUD
117913.640000
USD
2024-01-09
-1363.370000
N
N
N
CARLYLE US CLO LTD 2017-1A
N/A
CARLYLE GLOBAL MARKET STRATEGI CGMS 2017 1A A1R 144A
14314BAL1
1182513.960000
PA
USD
1182757.070000
1.60663
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.67743
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 09/26 VAR
404280BW8
2070000.000000
PA
USD
2089924.620000
2.83891
Long
DBT
CORP
GB
N
2
2026-09-12
Floating
7.00765
N
N
N
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20240109
000000000
1.000000
NC
-31163.360000
-0.0423316
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
6131000.000000
EUR
6738715.760000
USD
2024-01-09
-31163.360000
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A
N/A
CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 2A AR1 144A
ACI1XGH29
698694.080000
PA
760717.740000
1.03334
Long
ABS-CBDO
CORP
IE
N
2
2031-11-15
Floating
4.752
N
N
N
N
N
N
GOVERNMENT NATL MTGE ASSOC 2009-16
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2009 16 NF
38374XPT6
17246.520000
PA
USD
17219.100000
0.0233901
Long
ABS-MBS
USGSE
US
N
2
2037-10-20
Floating
5.9224
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 05/26 VAR
902613AM0
700000.000000
PA
USD
689846.980000
0.937073
Long
DBT
CORP
CH
N
2
2026-05-12
Floating
4.488
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE
01F050627
1000000.000000
PA
USD
989843.760000
1.34458
Long
ABS-MBS
USGSE
US
N
2
2054-02-13
Fixed
5
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H30 FA
38376RKZ8
736.870000
PA
USD
729.660000
0.0009912
Long
ABS-MBS
USGSE
US
N
2
2061-08-20
Floating
6.11719
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
BERRY GLOBAL INC SR SECURED 144A 07/26 4.875
085770AA3
600000.000000
PA
USD
589998.120000
0.801441
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
4.875
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-MFM1
N/A
BX TRUST BX 2021 MFM1 A 144A
05608VAA4
919514.210000
PA
USD
908326.480000
1.23385
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
6.17648
N
N
N
N
N
N
MF1 2021-FL7 LTD
N/A
MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A
55284AAA6
99152.520000
PA
USD
97640.330000
0.132632
Long
ABS-CBDO
CORP
KY
N
2
2036-10-16
Floating
6.55273
N
N
N
N
N
N
N/A
N/A
IRS AUD 4.50000 09/20/23-10Y LCH
000000000
1.000000
NC
61124.820000
0.0830306
N/A
DIR
AU
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
AUD-BBR-BBSW-Bloomberg 6M
N/A
N/A
Y
2033-09-20
0.000000
AUD
-28372.280000
AUD
3300000.000000
AUD
89497.100000
N
N
N
WASHINGTON MUTUAL 2004-AR8
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A2
92922FUN6
9876.540000
PA
USD
9039.390000
0.0122789
Long
ABS-MBS
CORP
US
N
2
2044-06-25
Floating
6.27043
N
N
N
N
N
N
GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD 2017-2A
N/A
GOLDENTREE LOAN MANAGEMENT US GLM 2017 2A AR 144A
38136MAU2
1111963.340000
PA
USD
1111129.370000
1.50933
Long
ABS-CBDO
CORP
KY
N
2
2030-11-20
Floating
6.58743
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2B 144A
78449VAC0
2006097.140000
PA
USD
1980503.550000
2.69027
Long
ABS-O
CORP
US
N
2
2054-09-15
Floating
6.32043
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 08/26 5.304
06738EBZ7
600000.000000
PA
USD
597889.230000
0.81216
Long
DBT
CORP
GB
N
2
2026-08-09
Floating
5.304
N
N
N
N
N
N
ING INVESTMENT MANAGEMENT CLO LTD 2012-4A
N/A
VOYA CLO LTD INGIM 2012 4A A1R3 144A
92916GBE3
1134672.020000
PA
USD
1132372.960000
1.53819
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.65548
N
N
N
N
N
N
GCT COMMERCIAL MORTGAGE TRUST 2021-GCT
N/A
GCT COMMERCIAL MORTGAGE TRUST GCT 2021 GCT A 144A
36167RAA1
200000.000000
PA
USD
150419.860000
0.204327
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
6.27648
N
N
N
N
N
N
TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC 19-GR4X
N/A
TOWD POINT MORTGAGE FUNDING TPMF 2019 GR4X A1 REGS
ACI19VH80
142549.400000
PA
181887.390000
0.247072
Long
ABS-MBS
CORP
GB
N
2
2051-10-20
Floating
6.3603
N
N
N
N
N
N
MFA 2023-NQM4 TRUST
N/A
MFRA TRUST MFRA 2023 NQM4 A1 144A
55286LAA0
200000.000000
PA
USD
201209.960000
0.273319
Long
ABS-MBS
CORP
US
N
2
2068-12-25
Fixed
6.105
N
N
N
N
N
N
LEASEPLAN CORPORATION NV
724500C60L930FVHS484
LEASEPLAN CORPORATION NV SR UNSECURED 144A 10/24 2.875
52206AAD2
2100000.000000
PA
USD
2053299.700000
2.78916
Long
DBT
CORP
NL
N
2
2024-10-24
Fixed
2.875
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240702
000000000
1.000000
NC
-1636.510000
-0.002223
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
4600000.000000
BRL
928711.310000
USD
2024-07-02
-1636.510000
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB A2B 144A
78449DAC0
497026.350000
PA
USD
489853.860000
0.665407
Long
ABS-O
CORP
US
N
2
2054-09-15
Floating
6.32043
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 5
N/A
SEQUOIA MORTGAGE TRUST SEMT 5 A
81743WAA9
20302.790000
PA
USD
19207.950000
0.0260917
Long
ABS-MBS
CORP
US
N
3
2026-10-19
Floating
6.17023
N
N
N
N
N
N
N/A
N/A
BOUGHT GBP SOLD USD 20240109
000000000
1.000000
NC
367.150000
0.0004987
N/A
DFE
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
113080.450000
USD
89000.000000
GBP
2024-01-09
367.150000
N
N
N
AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)
5493006ORUSIL88JOE18
AMERICAN TOWER CORP SR UNSECURED 05/24 3.375
03027XAT7
1200000.000000
PA
USD
1189024.180000
1.61514
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.375
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2018-3
N/A
TOWD POINT MORTGAGE TRUST TPMT 2018 3 A1 144A
89175MAA1
532350.540000
PA
USD
514974.090000
0.69953
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Variable
3.75
N
N
N
N
N
N
N/A
N/A
US 5YR NOTE (CBT) MAR24 XCBT 20240328
000000000
-25.000000
NC
USD
-56571.920000
-0.0768461
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2024-03-28
-2717089.850000
USD
-56571.920000
N
N
N
VENTURE XXVI CLO LTD 2017-26A
N/A
VENTURE CDO LTD VENTR 2017 26A AR 144A
92331MAE8
162778.660000
PA
USD
162848.310000
0.22121
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Floating
6.77743
N
N
N
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240402
000000000
1.000000
NC
-5771.310000
-0.0078396
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1274636.550000
USD
6214745.430000
BRL
2024-04-02
-5771.310000
N
N
N
DELTA FUNDING HOME EQ LN TR 1999-3
N/A
DELTA FUNDING HOME EQUITY LOAN DELHE 1999 3 A1A
24763LFX3
3662.870000
PA
USD
3389.510000
0.0046042
Long
ABS-MBS
CORP
US
N
3
2029-09-15
Floating
6.29629
N
N
N
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240103
000000000
1.000000
NC
-425.940000
-0.0005786
N/A
DFE
BR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1724208.710000
USD
8373447.180000
BRL
2024-01-03
-425.940000
N
N
N
CHASE FUNDING MORTGAGE LOAN AS 2002-4
N/A
CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 4 2A1
161546DQ6
36483.540000
PA
USD
35651.730000
0.0484285
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Floating
6.21043
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II 2022-GTWY
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2022 GTWY A 144A
36266DAA2
1200000.000000
PA
USD
1209923.520000
1.64353
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Floating
8.762
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC COMPANY GUAR 09/26 3.459
11135FAN1
900000.000000
PA
USD
870679.220000
1.18271
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.459
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR13
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1
92922F4M7
10530.250000
PA
USD
10019.900000
0.0136108
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
6.05043
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01F040628
-16000000.000000
PA
USD
-15148125.120000
-20.5769
Short
ABS-MBS
USGSE
US
N
2
2054-02-13
Fixed
4
N
N
N
N
N
N
DROP MORTGAGE TRUST 2021-FILE
N/A
DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A
26210YAA4
1000000.000000
PA
USD
926032.600000
1.2579
Long
ABS-MBS
CORP
US
N
2
2043-10-15
Floating
6.62648
N
N
N
N
N
N
NYO COMMERCIAL MORTGAGE TRUST 2021-1290
N/A
NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A
62955HAA5
1000000.000000
PA
USD
925368.000000
1.257
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
6.57148
N
N
N
N
N
N
BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1
07384MZS4
3069.330000
PA
USD
2914.260000
0.0039587
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
5.65211
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2004-AR3
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2
86359LBY4
12630.840000
PA
USD
11283.020000
0.0153266
Long
ABS-MBS
CORP
US
N
3
2034-07-19
Floating
6.05023
N
N
N
N
N
N
STRUCTURED ASSET MTGE INV 1999-1
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 1999 1 2A
86358HGW3
2550.580000
PA
USD
2321.050000
0.0031529
Long
ABS-MBS
CORP
US
N
3
2029-06-25
Floating
3.90492
N
N
N
N
N
N
PRIME MORTGAGE TRUST 2004-CL1
N/A
PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2
74160MDL3
2337.200000
PA
USD
2181.000000
0.0029626
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
5.87043
N
N
N
N
N
N
RAAC SERIES 2006-RP4
N/A
RAAC SERIES RAAC 2006 RP4 M1 144A
74919TAB7
374640.020000
PA
USD
370935.390000
0.503871
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
6.02043
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-EA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2020 EA A 144A
63941TAA4
777658.020000
PA
USD
704904.850000
0.957528
Long
ABS-O
CORP
US
N
2
2069-05-15
Fixed
1.69
N
N
N
N
N
N
N/A
N/A
REVERSE REPO TORONTO DOMINIO
000000000
-3850908.130000
PA
USD
-3943700.040000
-5.35704
Short
RA
US
N
2
Reverse repurchase
N
5.490000
2025-07-27
4160000.000000
USD
4091858.320000
USD
CDS
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2
81375WCT1
273000.340000
PA
USD
238775.760000
0.324348
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
6.14543
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95
694308HP5
100000.000000
PA
USD
94783.520000
0.128752
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
2.95
N
N
N
N
N
N
BRAZIL GOVT
254900ZFY40OYEADAP90
LETRA TESOURO NACIONAL BILLS 07/24 0.00000
ACI1VBJN4
6400000.000000
PA
1253773.450000
1.7031
Long
DBT
NUSS
BR
N
2
2024-07-01
None
0
N
N
N
N
N
N
IMPAC CMB TR 2004-10
N/A
IMPAC CMB TRUST IMM 2004 10 1A1
45254NLJ4
118193.400000
PA
USD
104581.720000
0.142062
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.11043
N
N
N
N
N
N
AMORTIZING RESIDENTIAL COLLATERAL TRUST 2004-1
N/A
AMORTIZING RESIDENTIAL COLLATE ARC 2004 1 A5
031733AE8
119510.690000
PA
USD
117692.360000
0.159871
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
6.47043
N
N
N
N
N
N
MLCC MORTGAGE INVESTORS INC 2004-A
N/A
MLCC MORTGAGE INVESTORS INC MLCC 2004 A A1
59020UAR6
1583.920000
PA
USD
1479.300000
0.0020094
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
5.93043
N
N
N
N
N
N
GCAT 2021-NQM3 TRUST
N/A
GCAT GCAT 2021 NQM3 A2 144A
36167HAC9
509321.490000
PA
USD
422423.400000
0.573811
Long
ABS-MBS
CORP
US
N
2
2066-05-25
Variable
1.348
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-HY3
N/A
TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A
89177XAA5
319089.570000
PA
USD
321081.930000
0.436151
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Floating
6.47043
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240103
000000000
1.000000
NC
-50686.870000
-0.068852
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
8400000.000000
BRL
1678562.140000
USD
2024-01-03
-50686.870000
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
BERRY GLOBAL INC SR SECURED 01/26 1.57
08576PAH4
600000.000000
PA
USD
557681.420000
0.757543
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.57
N
N
N
N
N
N
FINANCE AMERICA MTGE LOAN TRUST 2004-2
N/A
FINANCE AMERICA MORTGAGE LOAN FINA 2004 2 M1
317350BD7
87951.650000
PA
USD
82992.030000
0.112735
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
6.29543
N
N
N
N
N
N
N/A
N/A
REVERSE REPO NOMURA
000000000
-1214955.000000
PA
USD
-1244282.670000
-1.69021
Short
RA
US
N
2
Reverse repurchase
N
5.500000
2025-07-27
1260000.000000
USD
1272129.140000
USD
CDS
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240103
000000000
1.000000
NC
-1176.290000
-0.0015978
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
906973.390000
USD
4400000.000000
BRL
2024-01-03
-1176.290000
N
N
N
MIDOCEAN CREDIT CLO II 2013-2A
N/A
MIDOCEAN CREDIT CLO MIDO 2013 2A ARR 144A
59863KAS6
424989.660000
PA
USD
425193.000000
0.577573
Long
ABS-CBDO
CORP
KY
N
2
2030-01-29
Floating
6.68159
N
N
N
N
N
N
NOVASTAR HOME EQUITY LOAN 2005-4
N/A
NOVASTAR HOME EQUITY LOAN NHEL 2005 4 M1
66987WDE4
327226.960000
PA
USD
321619.370000
0.436881
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.90656
N
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-11
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A
17307GW79
1931.780000
PA
USD
1879.030000
0.0025524
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
7.78
N
N
N
N
N
N
IMPAC CMB TRUST 2003-9F
N/A
IMPAC CMB TRUST IMM 2003 9F A1
45254NFL6
26155.530000
PA
USD
25414.550000
0.0345226
Long
ABS-MBS
CORP
US
N
3
2033-07-25
Floating
6.47043
N
N
N
N
N
N
N/A
N/A
BOUGHT JPY SOLD USD 20240109
000000000
1.000000
NC
30465.910000
0.0413842
N/A
DFE
JP
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
644800.000000
USD
95152491.000000
JPY
2024-01-09
30465.910000
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A
46651QAA5
317452.290000
PA
USD
259588.130000
0.352619
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Floating
6.85901
N
N
N
N
N
N
MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2021-6
N/A
MORGAN STANLEY RESIDENTIAL MOR MSRM 2021 6 A6 144A
61772QAN0
165243.720000
PA
USD
152901.670000
0.207698
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Floating
5
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240103
000000000
1.000000
NC
8029.450000
0.010907
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
6152670.630000
BRL
1274636.550000
USD
2024-01-03
8029.450000
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-6363219.000000
PA
USD
-6519612.750000
-8.8561
Short
RA
US
N
2
Reverse repurchase
N
5.600000
2025-07-27
6800000.000000
USD
6722680.670000
USD
CDS
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
1904000.000000
PA
USD
1904000.000000
2.58635
Long
RA
US
N
2
Repurchase
N
2.600000
2024-01-02
1915900.000000
USD
1942160.190000
USD
UST
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2003-8
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 5A1
22541NX20
11737.040000
PA
USD
11368.650000
0.0154429
Long
ABS-MBS
CORP
US
N
3
2033-04-25
Fixed
6.5
N
N
N
N
N
N
RENESAS ELECTRONICS CORPORATION
5299000EPC47VJQOFB81
RENESAS ELECTRONICS CORP SR UNSECURED REGS 11/24 1.543
J4881VAA5
1700000.000000
PA
USD
1636555.490000
2.22306
Long
DBT
CORP
JP
N
2
2024-11-26
Fixed
1.543
N
N
N
N
N
N
TCW CLO LTD 2018-1A
N/A
TCW CLO TCW 2018 1A A1R 144A
87240UAR1
1111863.140000
PA
USD
1112554.670000
1.51127
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
6.60983
N
N
N
N
N
N
CBAM 2018-5 LTD 8A
N/A
CBAM CLO MANAGEMENT CBAM 2018 8A A1 144A
12478CAA9
540853.730000
PA
USD
541152.630000
0.73509
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
6.79743
N
N
N
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240109
000000000
1.000000
NC
-9809.860000
-0.0133255
N/A
DFE
JP
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
69400000.000000
JPY
482699.100000
USD
2024-01-09
-9809.860000
N
N
N
FS KKR CAPITAL CORP
549300TYRSI1T21B1360
FS KKR CAPITAL CORP SR UNSECURED 10/24 1.65
302635AJ6
1200000.000000
PA
USD
1158231.540000
1.57332
Long
DBT
CORP
US
N
2
2024-10-12
Fixed
1.65
N
N
N
N
N
N
JFIN CLO LTD 2017-2A
N/A
APEX CREDIT CLO LLC JFIN 2017 2A AR 144A
46593CAA7
261476.870000
PA
USD
261227.620000
0.354846
Long
ABS-CBDO
CORP
KY
N
2
2029-09-20
Floating
6.622
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR2 A9 144A
36262JAJ4
1235287.410000
PA
USD
1143515.930000
1.55333
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Floating
5
N
N
N
N
N
N
GEMGARTO 2021-1 PLC 21 -1A
N/A
GEMGARTO GMG 2021 1A A 144A
ACI1VNV95
644027.460000
PA
818736.340000
1.11215
Long
ABS-MBS
CORP
GB
N
2
2067-12-16
Floating
5.78315
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVS 2005-A2
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A2
59020USJ5
46962.760000
PA
USD
44653.570000
0.0606565
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
4.33976
N
N
N
N
N
N
QUEENSLAND MOTORWAYS (SUN GROUP FINANCE PTY LIMITED)
549300RSN9SFNT54IZ82
TRANSURBAN QLD FINANCE SR SECURED REGS 12/24 VAR
ACI0B83Y8
1500000.000000
PA
1030098.080000
1.39926
Long
DBT
CORP
AU
N
2
2024-12-16
Floating
6.4125
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2021-D
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2021 D A1B 144A
78449MAB2
100920.380000
PA
USD
98934.720000
0.134391
Long
ABS-O
CORP
US
N
2
2053-03-17
Floating
6.07629
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A
N/A
CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A
ACI1YDTG1
793290.520000
PA
867214.600000
1.17801
Long
ABS-CBDO
CORP
IE
N
2
2031-01-15
Floating
4.665
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 RPL1 A1 144A
64829VAA4
511577.820000
PA
USD
489706.690000
0.665207
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
3.5
N
N
N
N
N
N
NEW CENTURY HOME EQUITY LOAN TR 2004-3
N/A
NEW CENTURY HOME EQUITY LOAN T NCHET 2004 3 M1
64352VHV6
509062.230000
PA
USD
498393.560000
0.677007
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
6.40043
N
N
N
N
N
N
JUBILEE CLO 2014-XI BV 14-11A
N/A
JUBILEE CDO BV JUBIL 2014 11A ARR 144A
ACI1W2T93
1133414.660000
PA
1243861.400000
1.68963
Long
ABS-CBDO
CORP
IE
N
2
2030-04-15
Floating
4.575
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240702
000000000
1.000000
NC
-1715.720000
-0.0023306
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1800000.000000
BRL
362333.430000
USD
2024-07-02
-1715.720000
N
N
N
HARVEST CLO XXI DAC 21A
N/A
HARVEST CLO HARVT 21A A2R 144A
ACI1WSV36
400000.000000
PA
418278.630000
0.568181
Long
ABS-CBDO
CORP
IE
N
2
2031-07-15
Fixed
1.04
N
N
N
N
N
N
N/A
N/A
BOUGHT JPY SOLD USD 20240109
000000000
1.000000
NC
29222.590000
0.0396953
N/A
DFE
JP
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
651348.140000
USD
95900000.000000
JPY
2024-01-09
29222.590000
N
N
N
N/A
N/A
US 10YR ULTRA FUT MAR24 XCBT 20240319
000000000
-83.000000
NC
USD
-390918.370000
-0.531015
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2024-03-19
-9775195.350000
USD
-390918.370000
N
N
N
PALMER SQUARE EUROPEAN LOAN FUNDING 2021-1 DAC 21-1A
N/A
PALMER SQUARE EUROPEAN LOAN FU PSTET 2021 1A A 144A
ACI1ZMCH6
220376.270000
PA
239894.320000
0.325867
Long
ABS-CBDO
CORP
IE
N
2
2031-04-15
Floating
4.745
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2005-16
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 16 MV2
126670PJ1
227499.130000
PA
USD
224243.620000
0.304608
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
6.19043
N
N
N
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO SR UNSECURED 02/24 1.433
097023DE2
200000.000000
PA
USD
199161.930000
0.270537
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
1.433
N
N
N
N
N
N
WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)
06BTX5UWZD0GQ5N5Y745
WESTINGHOUSE AIR BRAKE COMPANY GUAR 03/24 4.15
960386AN0
800000.000000
PA
USD
796738.190000
1.08227
Long
DBT
CORP
US
N
2
2024-03-15
Variable
4.4
N
N
N
N
N
N
TOWD POINT ASSET TRUST 2021-SL1
N/A
TOWD POINT ASSET TRUST TPAT 2021 SL1 A2 144A
89179XAL9
237758.660000
PA
USD
232853.910000
0.316304
Long
ABS-O
CORP
US
N
2
2061-11-20
Floating
6.1724
N
N
N
N
N
N
N/A
N/A
US ULTRA BOND CBT MAR24 XCBT 20240319
000000000
-22.000000
NC
USD
-131722.670000
-0.178929
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2024-03-19
-2927718.750000
USD
-131722.670000
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A9 144A
36263KAJ0
413585.020000
PA
USD
382830.670000
0.520029
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Floating
5
N
N
N
N
N
N
N/A
N/A
AUST 10Y BOND FUT MAR24 XSFE 20240315
000000000
41.000000
NC
72059.990000
0.0978847
N/A
DIR
AU
N
1
ASX - SYDNEY FUTURES EXCHANGE LIMITED
549300ZD7BBOVZFVHK49
Long
N/A
AUSTRALIA GOVT
2024-03-15
3259576.260000
AUD
72059.990000
N
N
N
BEAR STEARNS ASSETBACKED SEC 2005-A
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2005 AQ1 M3
073879UQ9
357637.810000
PA
USD
354067.370000
0.480957
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.59543
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2008-2
N/A
SLM STUDENT LOAN TRUST SLMA 2008 2 A3
784442AC9
102505.680000
PA
USD
101760.860000
0.13823
Long
ABS-O
CORP
US
N
2
2049-04-25
Floating
6.34564
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR19
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1
92925CBA9
69802.210000
PA
USD
67963.430000
0.0923201
Long
ABS-MBS
CORP
US
N
2
2045-12-25
Floating
6.01043
N
N
N
N
N
N
BWAY MORTGAGE TRUST 2021-1450
N/A
BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A
12430YAA8
1000000.000000
PA
USD
934160.500000
1.26894
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
6.72629
N
N
N
N
N
N
MLCC MORTGAGE INVESTORS INC. 2003-F
N/A
MLCC MORTGAGE INVESTORS INC MLCC 2003 F A1
5899292M9
966.210000
PA
USD
884.380000
0.0012013
Long
ABS-MBS
CORP
US
N
3
2028-10-25
Floating
6.11043
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 03/24 0.00000
912797GY7
283000.000000
PA
USD
279490.090000
0.379653
Long
DBT
UST
US
N
2
2024-03-28
None
0
N
N
N
N
N
N
GSAMP TRUST 2006-HE4
N/A
GSAMP TRUST GSAMP 2006 HE4 A2D
362439AE1
427920.600000
PA
USD
409372.000000
0.556082
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.99043
N
N
N
N
N
N
WASHINGTON MUTUAL 2004-AR13
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A
92922FB72
27922.860000
PA
USD
26174.810000
0.0355553
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
6.21043
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP SR UNSECURED 04/25 VAR
06051GJR1
2200000.000000
PA
USD
2165180.290000
2.94113
Long
DBT
CORP
US
N
2
2025-04-22
Floating
0.976
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 01/24 0.00000
912797GD3
587000.000000
PA
USD
585623.450000
0.795498
Long
DBT
UST
US
N
2
2024-01-18
None
0
N
N
N
N
N
N
N/A
N/A
BOUGHT AUD SOLD USD 20240109
000000000
1.000000
NC
1438.970000
0.0019547
N/A
DFE
AU
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
104206.380000
USD
155000.000000
AUD
2024-01-09
1438.970000
N
N
N
EXTENDED STAY AMERICA TRUST 2021-ESH
N/A
EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A
30227FAA8
1213472.020000
PA
USD
1203176.920000
1.63437
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
6.55648
N
N
N
N
N
N
MFA 2020-NQM2 TRUST
N/A
MFRA TRUST MFRA 2020 NQM2 A1 144A
552751AA7
116714.620000
PA
USD
108078.940000
0.146812
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.381
N
N
N
N
N
N
INTERNATIONAL FLAVORS & FRAGRANCES INC
BZLRL03D3GPGMOGFO832
INTL FLAVOR + FRAGRANCES SR UNSECURED 144A 10/25 1.23
459506AN1
1000000.000000
PA
USD
926268.200000
1.25822
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
1.23
N
N
N
N
N
N
BXMT 2020-FL3 LTD
N/A
BXMT LTD BXMT 2020 FL3 A 144A
05608XAA0
902213.020000
PA
USD
873709.270000
1.18683
Long
ABS-MBS
CORP
KY
N
2
2037-11-15
Floating
6.87629
N
N
N
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240103
000000000
1.000000
NC
563.640000
0.0007656
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
369989.720000
USD
1800000.000000
BRL
2024-01-03
563.640000
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN1 A1 144A
74140QAA6
305153.240000
PA
USD
298475.420000
0.405443
Long
ABS-MBS
CORP
US
N
2
2061-02-25
Variable
1.9917
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 08/25 4.134
345397XL2
400000.000000
PA
USD
389025.110000
0.528443
Long
DBT
CORP
US
N
2
2025-08-04
Fixed
4.134
N
N
N
N
N
N
TRANS-ALLEGHENY INTERSTATE LINE COMPANY
N/A
TRANS ALLEGHENY INTERSTA SR UNSECURED 144A 06/25 3.85
893045AE4
100000.000000
PA
USD
98017.710000
0.133145
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.85
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 03/26 5.5
44891ACB1
800000.000000
PA
USD
804488.130000
1.0928
Long
DBT
CORP
US
N
2
2026-03-30
Fixed
5.5
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM 2016-F LLC
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 F A2 144A
78471AAB9
51736.010000
PA
USD
49370.210000
0.0670634
Long
ABS-O
CORP
US
N
2
2040-02-25
Fixed
3.02
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-SD1
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2005 SD1 2M2
073877AM4
40712.590000
PA
USD
40549.190000
0.0550811
Long
ABS-MBS
CORP
US
N
3
2045-01-25
Floating
6.67043
N
N
N
N
N
N
FIRST FRANKLIN MTG LOAN 2006-FF5
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A3
32027EAE1
896620.000000
PA
USD
863153.480000
1.17249
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.79043
N
N
N
N
N
N
N/A
N/A
SOLD AUD BOUGHT USD 20240109
000000000
1.000000
NC
-49577.090000
-0.0673445
N/A
DFE
AU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2457000.000000
AUD
1625072.090000
USD
2024-01-09
-49577.090000
N
N
N
N/A
N/A
US 2YR NOTE (CBT) MAR24 XCBT 20240328
000000000
431.000000
NC
USD
844366.770000
1.14697
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2024-03-28
88737175.460000
USD
844366.770000
N
N
N
PRET 2021-NPL6 LLC
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL6 A1 144A
69362GAA9
450715.650000
PA
USD
445065.300000
0.604567
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Fixed
2.4871
N
N
N
N
N
N
N/A
N/A
SOLD CAD BOUGHT USD 20240109
000000000
1.000000
NC
-804.510000
-0.0010928
N/A
DFE
CA
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
108000.000000
CAD
80711.080000
USD
2024-01-09
-804.510000
N
N
N
N/A
N/A
US 10YR NOTE (CBT)MAR24 XCBT 20240319
000000000
-27.000000
NC
USD
-91374.260000
-0.124121
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2024-03-19
-3043617.170000
USD
-91374.260000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED REGS 06/24 VAR
ACI1CR5G0
500000.000000
PA
342581.990000
0.465356
Long
DBT
CORP
GB
N
2
2024-06-26
Floating
6.5151
N
N
N
N
N
N
VENTURE CDO LTD 2016-25A
N/A
VENTURE CDO LTD VENTR 2016 25A ARR 144A
92329VAS1
111601.940000
PA
USD
111692.100000
0.15172
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
6.69743
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST-2004-A4
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2004 A4 2A2
466247EH2
4508.620000
PA
USD
3954.820000
0.0053721
Long
ABS-MBS
CORP
US
N
3
2034-09-25
Floating
5.28057
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SR UNSECURED 144A 01/25 VAR
09659W2G8
1600000.000000
PA
USD
1599882.130000
2.17325
Long
DBT
CORP
FR
N
2
2025-01-10
Floating
4.705
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
BANCO SANTANDER SA SR UNSECURED 05/24 3.892
05971KAM1
1000000.000000
PA
USD
993249.820000
1.34921
Long
DBT
CORP
ES
N
2
2024-05-24
Fixed
3.892
N
N
N
N
N
N
TORO EUROPEAN CLO 6 DAC 6A
N/A
TORO EUROPEAN CLO TCLO 6A AR 144A
ACI1ZW9V7
500000.000000
PA
547617.680000
0.743872
Long
ABS-CBDO
CORP
IE
N
2
2032-01-12
Floating
4.908
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2020-1
N/A
TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A
89178WAU2
277628.540000
PA
USD
261176.080000
0.354776
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.71
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC COMPANY GUAR 03/25 3.638
55903VAZ6
700000.000000
PA
USD
685174.480000
0.930726
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.638
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB FINANCE LTD COMPANY GUAR 03/24 VAR
ACI23SGL3
600000.000000
PA
USD
600864.000000
0.816201
Long
DBT
CORP
KY
N
2
2024-03-21
Floating
6.88623
N
N
N
N
N
N
MF1 2021-FL5 LTD
N/A
MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL5 A 144A
55282XAA8
225620.260000
PA
USD
224716.530000
0.30525
Long
ABS-MBS
CORP
KY
N
2
2036-07-15
Floating
6.32629
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/24 3.125
45262BAA1
650000.000000
PA
USD
639446.630000
0.868611
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.125
N
N
N
N
N
N
LCM 30 LTD
N/A
LCM LTD PARTNERSHIP LCM 30A AR 144A
50200YAQ1
250000.000000
PA
USD
249322.030000
0.338674
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.75743
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2008-5
N/A
SLM STUDENT LOAN TRUST SLMA 2008 5 A4
78444YAD7
166818.610000
PA
USD
166888.210000
0.226697
Long
ABS-O
CORP
US
N
2
2024-10-25
Floating
7.29564
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 02/24 VAR
161175BP8
1400000.000000
PA
USD
1400000.000000
1.90173
Long
DBT
CORP
US
N
2
2024-02-01
Floating
7.28873
N
N
N
N
N
N
2024-02-21
PIMCO Managed Accounts Trust
/s/ Bijal Parikh
Bijal Parikh
Treasurer