0001752724-24-037591.txt : 20240223
0001752724-24-037591.hdr.sgml : 20240223
20240223163452
ACCESSION NUMBER: 0001752724-24-037591
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231229
FILED AS OF DATE: 20240223
DATE AS OF CHANGE: 20240223
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Western Asset Mortgage Opportunity Fund Inc.
CENTRAL INDEX KEY: 0001478102
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: NY
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22369
FILM NUMBER: 24671861
BUSINESS ADDRESS:
STREET 1: 620 EIGHTH AVENUE
STREET 2: 47TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: (888) 777-0102
MAIL ADDRESS:
STREET 1: 620 EIGHTH AVENUE
STREET 2: 47TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
FORMER COMPANY:
FORMER CONFORMED NAME: Western Asset Mortgage Defined Opportunity Fund Inc.
DATE OF NAME CHANGE: 20091204
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001478102
XXXXXXXX
Western Asset Mortgage Opportunity Fund Inc.
811-22369
0001478102
549300COBGR840ANRS47
620 Eighth Avenue
47th Floor
New York
10018
1-888-777-0102
Western Asset Mortgage Opportunity Fund Inc.
549300COBGR840ANRS47
2023-12-31
2023-12-29
N
139812176.97
2488110.13
137324066.84
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
508317.00000000
USD
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GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2007-GG10
36246LAH4
1003990.41000000
PA
USD
216105.72000000
0.157369152380
Long
ABS-MBS
CORP
US
N
2
2045-08-10
Variable
5.62975000
N
N
N
N
N
N
REDWOOD FUNDING TRUST 2019-1
N/A
Redwood Funding Trust 2019-1
75806BAA1
2011027.23000000
PA
USD
2023785.79000000
1.473729868747
Long
ABS-MBS
CORP
US
N
2
2024-09-27
Variable
4.96800000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1051000.00000000
PA
USD
-1051000.00000000
-0.76534290323
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1792159.70000000
USD
1160570.72000000
USD
AMBS
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N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1453000.00000000
PA
USD
-1453000.00000000
-1.05808110219
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1640000.00000000
USD
1727531.56000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1512000.00000000
PA
USD
-1512000.00000000
-1.10104516622
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.38930000
2024-10-04
15289381.65000000
USD
2494556.76000000
USD
AMBS
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2006-D Trust
058933AE2
29521.35000000
PA
USD
25787.41000000
0.018778507361
Long
ABS-MBS
CORP
US
N
2
2036-05-20
Variable
3.49900200
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2008-3
17314TAC5
5339407.96000000
PA
USD
2470740.82000000
1.799204521723
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6.10000000
N
N
N
N
N
N
Banc of America Funding Corpor
54930023UHZHF7UJ8596
Banc of America Funding Corp
05990QAE3
2549075.15000000
PA
USD
2266102.32000000
1.650185850263
Long
ABS-MBS
CORP
US
N
2
2037-02-27
Variable
3.65751700
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1073000.00000000
PA
USD
-1073000.00000000
-0.78136340168
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1434348.73000000
USD
1255243.07000000
USD
AMBS
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N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0LK3
1565172.78000000
PA
USD
1712713.64000000
1.247205737065
Long
ABS-MBS
CORP
US
N
2
2029-03-25
Floating
14.05191000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2004-RS4 Trust
7609853J8
925329.91000000
PA
USD
795903.46000000
0.579580461251
Long
ABS-O
CORP
US
N
2
2034-04-25
Floating
5.50036800
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-11CB
12667GJT1
899994.67000000
PA
USD
46775.51000000
0.034062135703
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.01000000
N
N
N
N
N
N
American Home Mortgage Assets
N/A
American Home Mortgage Assets Trust 2005-2
02660VBH0
608425.12000000
PA
USD
409566.60000000
0.298248230936
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
3.11202100
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XCR3
1929511.28000000
PA
USD
2270284.97000000
1.653231674710
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
17.20191000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1861000.00000000
PA
USD
-1861000.00000000
-1.35518852800
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
3247699.30000000
USD
2568036.06000000
USD
AMBS
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2016-1
35563PAF6
12009583.61000000
PA
USD
1264660.80000000
0.920931653934
Long
ABS-MBS
CORP
US
N
2
2055-09-25
None
0.00000000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YBA3
2089969.75000000
PA
USD
2007725.68000000
1.462034824776
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
10.72648000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust
93934FCK6
96259.71000000
PA
USD
85476.99000000
0.062244726628
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
3.22509000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-55000.00000000
PA
USD
-55000.00000000
-0.04005124612
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.38930000
2024-10-04
57000.00000000
USD
65646.13000000
USD
AMBS
N
N
N
HSI Asset Loan Obligation
N/A
HSI Asset Loan Obligation Trust 2007-AR1
40431LAF5
63057.62000000
PA
USD
49135.27000000
0.035780523495
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
4.48923900
N
N
N
N
N
N
Greenwich Capital Acceptance I
213800OU9AJE7513ME91
RBS Acceptance Inc
396782EG5
2191561.00000000
PA
USD
21.92000000
0.000015962242
Long
ABS-O
CORP
US
N
2
2020-08-10
Fixed
9.00000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-3T1
02149VAU3
18985.41000000
PA
USD
18467.35000000
0.013448006911
Long
ABS-MBS
CORP
US
N
2
2027-03-25
Fixed
6.00000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
549300MNOMKDMDFI8J66
Hertz Vehicle Financing III LLC
42806MBZ1
690000.00000000
PA
USD
703377.38000000
0.512202555739
Long
ABS-O
CORP
US
N
2
2029-09-25
Fixed
9.40000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2000-1
36228FCU8
7083.59000000
PA
USD
7080.49000000
0.005156044503
Long
ABS-MBS
CORP
US
N
2
2023-03-20
Floating
5.82240000
N
N
N
N
N
N
Bank
N/A
BANK 2022-BNK43
06541QAE5
1500000.00000000
PA
USD
737283.30000000
0.536892998413
Long
ABS-MBS
CORP
US
N
2
2055-08-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0KV0
1022100.70000000
PA
USD
1169697.36000000
0.851778851963
Long
ABS-MBS
CORP
US
N
2
2028-12-25
Floating
16.70191000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-4071000.00000000
PA
USD
-4071000.00000000
-2.96452041778
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
6000000.00000000
USD
2187708.23000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-524000.00000000
PA
USD
-524000.00000000
-0.38157914490
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
136217548.35000000
USD
601174.40000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-2006000.00000000
PA
USD
-2006000.00000000
-1.46077817687
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
3694978.64000000
USD
2348933.39000000
USD
AMBS
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust
93935YAA8
240525.93000000
PA
USD
116832.03000000
0.085077607070
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.67043000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2022-2
35563PJ59
1337000.00000000
PA
USD
1109597.69000000
0.808014003323
Long
ABS-MBS
CORP
US
N
2
2062-04-25
Variable
5.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-6
64828GAH3
20244467.55000000
PA
USD
307485.12000000
0.223912040384
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
0.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300L45M7638EL0H21
GS Mortgage Securities Trust 2015-GC30
36250GAX3
750000.00000000
PA
USD
523064.85000000
0.380898164492
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
3.38400000
N
N
N
N
N
N
ChaseFlex Trust
N/A
ChaseFlex Trust Series 2005-2
16165TBD4
5674153.04000000
PA
USD
645356.04000000
0.469951156305
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.02957000
N
N
N
N
N
N
MULTIFAMILY CONNECTICUT AVENUE
5493002KQF9IH3CTQZ40
Multifamily Connecticut Avenue Securities Trust 2020-01
62548QAF8
1500000.00000000
PA
USD
1474444.05000000
1.073696755367
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
12.95191000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-OA8
02148GAA1
675039.47000000
PA
USD
554079.89000000
0.403483455413
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
5.83043000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-511000.00000000
PA
USD
-511000.00000000
-0.37211248673
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
3316096.97000000
USD
1192633.44000000
USD
AMBS
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust 2005-RP1
36242DXL2
33750.16000000
PA
USD
34109.31000000
0.024838552181
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Fixed
8.50000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2006-S8 Trust
74957XAM7
1793776.30000000
PA
USD
121135.87000000
0.088211682618
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
0.01000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1027000.00000000
PA
USD
-1027000.00000000
-0.74786599583
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
12009583.61000000
USD
1264660.80000000
USD
AMBS
N
N
N
Deutsche Mortgage Securities,
N/A
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
25157GAW2
63202.53000000
PA
USD
8312.62000000
0.006053287083
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
4.62343400
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XCH5
2335616.94000000
PA
USD
2765382.14000000
2.013763649471
Long
ABS-MBS
CORP
US
N
2
2028-09-25
Floating
17.70191000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2022-JERI
63875LAS2
3500000.00000000
PA
USD
2785917.75000000
2.028717772570
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
12.81961000
N
N
N
N
N
N
Structured Asset Investment Lo
N/A
Structured Asset Investment Loan Trust 2004-8
86358EMH6
297405.43000000
PA
USD
231332.77000000
0.168457558331
Long
ABS-O
CORP
US
N
2
2034-09-25
Floating
9.22043000
N
N
N
N
N
N
Hawaii Hotel Trust 2019-MAUI
N/A
Hawaii Hotel Trust 2019-MAUI
41975AAL6
1000000.00000000
PA
USD
964618.80000000
0.702439726842
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
8.15882000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR13
45660N7J8
23271.54000000
PA
USD
21446.09000000
0.015617138709
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
3.58238600
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-FAME
63873VAN3
950000.00000000
PA
USD
473457.11000000
0.344773586229
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Variable
4.39750000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2020-3
85573MAF6
1490000.00000000
PA
USD
1164225.80000000
0.847794437486
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
4.75000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2017-RPL1 Trust
22945AAG4
2977486.00000000
PA
USD
1260794.12000000
0.918115920255
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
2.96191000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2023-V3 Mortgage Trust
08163VAL1
1100000.00000000
PA
USD
812824.54000000
0.591902467429
Long
ABS-MBS
CORP
US
N
2
2056-07-15
Fixed
4.00000000
N
N
N
N
N
N
Stonepeak
N/A
Stonepeak 2021-1 ABS
78433XAC4
985132.59000000
PA
USD
843450.62000000
0.614204515937
Long
ABS-O
CORP
US
N
2
2033-02-28
Fixed
3.82100000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust 2006-19
52523YAD6
338445.09000000
PA
USD
314813.74000000
0.229248774263
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
5.81043000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-9
60688CAK2
3789.68000000
PA
USD
3598.87000000
0.002620713238
Long
ABS-MBS
CORP
US
N
2
2049-09-12
Variable
6.22200000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-ADV
12660WAS4
2080000.00000000
PA
USD
1090371.36000000
0.794013303779
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
11.72648000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-HY10
12668BUF8
113609.55000000
PA
USD
92652.89000000
0.067470249120
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.39851700
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2007-15AR
61756XBK0
254331.96000000
PA
USD
216159.07000000
0.157408002088
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Variable
3.71821700
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05565AS20
750000.00000000
PA
USD
803898.75000000
0.585402667208
Long
DBT
CORP
FR
N
2
N/A
Fixed
9.25000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-999000.00000000
PA
USD
-999000.00000000
-0.72747627053
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1200000.00000000
USD
1192775.04000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1062000.00000000
PA
USD
-1062000.00000000
-0.77335315246
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
11048667.98000000
USD
1036418.18000000
USD
AMBS
N
N
N
Deutsche Mortgage Securities,
N/A
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
25157GAT9
66256.83000000
PA
USD
5663.98000000
0.004124535582
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
3.40849500
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust
63875JAN8
1354937.96000000
PA
USD
1346327.33000000
0.980401586539
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Floating
10.55481000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1153000.00000000
PA
USD
-1153000.00000000
-0.83961975969
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1338272.64000000
USD
1298293.20000000
USD
AMBS
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XDY7
3506259.94000000
PA
USD
3985810.06000000
2.902484722247
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
14.70191000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2023-3
92539GAE1
1200000.00000000
PA
USD
1182709.80000000
0.861254569002
Long
ABS-MBS
CORP
US
N
2
2068-03-25
Variable
7.94132800
N
N
N
N
N
N
Thrust Engine Leasing
N/A
Thrust Engine Leasing 2021 DAC
88603UAA7
1514382.16000000
PA
USD
1309009.22000000
0.953226371838
Long
ABS-O
CORP
US
N
2
2040-07-15
Fixed
4.16300000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM6
12662KAF6
1370000.00000000
PA
USD
892490.88000000
0.649915852725
Long
ABS-MBS
CORP
US
N
2
2066-07-25
Variable
4.14000000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust
93934FFE7
39435.14000000
PA
USD
33265.78000000
0.024224289860
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.01000000
N
N
N
N
N
N
mrcd 2019-prkc mortgage trust
N/A
MRCD 2019-PRKC Mortgage Trust
55348UAA6
2048000.00000000
PA
USD
1227681.79000000
0.894003373371
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
4.25000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-581000.00000000
PA
USD
-581000.00000000
-0.42308679998
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
3021974.36000000
USD
554565.27000000
USD
AMBS
N
N
N
Western Asset Premier Institutional Government Reserves
549300WB3XRN9YTWFB76
Western Asset Premier Institutional Government Reserves
52470G494
750800.00000000
NS
USD
750800.00000000
0.546735919840
Long
STIV
RF
US
N
1
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CW5
1792181.84000000
PA
USD
1160570.72000000
0.845132791874
Long
ABS-MBS
CORP
US
N
2
2048-05-25
Variable
3.84227200
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-14
12667GCF8
93217.34000000
PA
USD
69310.58000000
0.050472274521
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
3.53295500
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2022-LP2
05610HAN3
931579.88000000
PA
USD
900076.18000000
0.655439502129
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
9.46761000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1224000.00000000
PA
USD
-1224000.00000000
-0.89132227741
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1690000.00000000
USD
1477702.37000000
USD
AMBS
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AATJ4
1035369.77000000
PA
USD
116259.50000000
0.084660688162
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Floating
0.69809000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2004-UST1
17307GKZ0
5745.20000000
PA
USD
5335.19000000
0.003885109233
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
6.80298300
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2006-FA6
32052FAH9
64098.23000000
PA
USD
20021.96000000
0.014580080870
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Fixed
6.25000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-2586000.00000000
PA
USD
-2586000.00000000
-1.88313677238
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
2609366.10000000
USD
2999573.73000000
USD
AMBS
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2017-RPL1 Trust
22945AAH2
3014351.22000000
PA
USD
554565.27000000
0.403836911301
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
2.96191000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAV5
750000.00000000
PA
USD
753373.50000000
0.548609954056
Long
DBT
CORP
GB
N
2
N/A
Fixed
8.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM4
64828EAF2
1608000.00000000
PA
USD
1352786.60000000
0.985105255858
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
4.85958200
N
N
N
N
N
N
Farmer Mac Agricultural Real E
N/A
FARM 21-1 Mortgage Trust
30768WAC2
1192049.38000000
PA
USD
868059.06000000
0.632124492068
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
3.24013400
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust
93934FGB2
67082.78000000
PA
USD
56670.04000000
0.041267376727
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
5.75000000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
Countrywide Asset-Backed Certificates
23248AAA9
246852.08000000
PA
USD
194337.48000000
0.141517422598
Long
ABS-O
CORP
US
N
2
2047-05-25
Floating
6.57043000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-651000.00000000
PA
USD
-651000.00000000
-0.47406111323
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
658000.00000000
USD
754930.48000000
USD
AMBS
N
N
N
GCAT
N/A
GCAT 2019-RPL1 Trust
36167CAF3
2008000.00000000
PA
USD
1521737.30000000
1.108135911655
Long
ABS-MBS
CORP
US
N
2
2068-10-25
Variable
3.75000000
N
N
N
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CBK6
50000.00000000
PA
USD
43476.74000000
0.031659956627
Long
ABS-O
CORP
US
N
2
2039-07-01
Variable
6.96700000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
CAFL 2023-RTL1 Issuer LLC
124762AB1
1770000.00000000
PA
USD
1787367.24000000
1.301568822661
Long
ABS-MBS
CORP
US
N
2
2030-12-28
Variable
9.30000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2017-C42
95001GAU7
1000000.00000000
PA
USD
610410.70000000
0.444503803336
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
2.80000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1370000.00000000
PA
USD
-1370000.00000000
-0.99764013076
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1616889.42000000
USD
1545697.82000000
USD
AMBS
N
N
N
Loanpal Solar Loan 2020-3 Ltd
N/A
Loanpal Solar Loan Ltd
53948NAC7
703325.22000000
PA
USD
427589.45000000
0.311372550958
Long
ABS-O
CORP
US
N
2
2047-12-20
Fixed
3.50000000
N
N
N
N
N
N
PRKCM Trust
N/A
PRKCM 2023-AFC3 Trust
693984AE6
1220000.00000000
PA
USD
1194677.19000000
0.869969275955
Long
ABS-MBS
CORP
US
N
2
2058-09-25
Variable
7.91180600
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1169000.00000000
PA
USD
-1169000.00000000
-0.85127103129
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1500000.00000000
USD
1356350.10000000
USD
AMBS
N
N
N
Banc of America Funding Corpor
549300R847L762RQF071
Banc of America Funding 2015-R4 Trust
05990RAM3
15933419.63000000
PA
USD
5757126.91000000
4.192365579085
Long
ABS-MBS
CORP
US
N
2
2030-01-27
Variable
7.25865500
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1982000.00000000
PA
USD
-1982000.00000000
-1.44330126947
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
3466268.90000000
USD
2478296.29000000
USD
AMBS
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBK4
11004173.50000000
PA
USD
1036418.18000000
0.754724356661
Long
ABS-MBS
CORP
US
N
2
2056-08-25
None
0.00000000
N
N
N
N
N
N
PENNYMAC CORP
EWN0I878407TKQNXZ933
PennyMac Corp
70932AAF0
1550000.00000000
PA
USD
1435765.00000000
1.045530498068
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.50000000
N
N
N
N
Y
PennyMac Mortgage Investment T
PennyMac Mortgage Investment Trust
USD
XXXX
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2004-8
45254NKQ9
69888.61000000
PA
USD
65650.92000000
0.047807293732
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
6.19043000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-521000.00000000
PA
USD
-521000.00000000
-0.37939453148
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
676000.00000000
USD
606152.02000000
USD
AMBS
N
N
N
Multifamily Connecticut Avenue
549300HG8ZEWVWVSN227
Multifamily Connecticut Avenue Securities Trust 2019-01
62547NAD1
2500000.00000000
PA
USD
2402032.00000000
1.749170451526
Long
ABS-MBS
USGA
US
N
2
2049-10-25
Floating
14.20191000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2023-1 Ltd
26982EAG1
1290000.00000000
PA
USD
1294843.69000000
0.942910969501
Long
ABS-MBS
CORP
BM
N
2
2033-09-26
Floating
10.53743000
N
N
N
N
N
N
American Home Mortgage Investm
N/A
American Home Mortgage Investment Trust 2007-2
02660CAH3
12735444.86000000
PA
USD
107696.02000000
0.078424723705
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Floating
6.27043000
N
N
N
N
N
N
Bombardier Capital Mortgage Se
N/A
BCMSC Trust 1998-B
09774XAJ1
133673.98000000
PA
USD
130892.76000000
0.095316693578
Long
ABS-O
CORP
US
N
2
2028-10-15
Variable
6.53000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1879000.00000000
PA
USD
-1879000.00000000
-1.36829620855
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1859122.46000000
USD
2160259.94000000
USD
AMBS
N
N
N
Hertz Vehicle Financing LLC
5493004IHDYOZ9K9WF47
Hertz Vehicle Financing LLC
42806MBG3
1700000.00000000
PA
USD
1639442.43000000
1.193849314053
Long
ABS-O
CORP
US
N
2
2026-09-25
Fixed
6.56000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-2
12669GPR6
39551.68000000
PA
USD
36543.65000000
0.026611249463
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.11043000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBN8
348460307.03000000
PA
USD
1538800.72000000
1.120561570458
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
0.07500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
-55.00000000
NC
USD
-75740.50000000
-0.05515457103
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-12-17
-13111197.00000000
USD
-75740.50000000
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-7
007036MT0
113377.77000000
PA
USD
97690.53000000
0.071138681112
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.94562200
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2021-KF117 Mortgage Trust
30320YAE5
928298.50000000
PA
USD
923841.04000000
0.672745179529
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Floating
11.73074000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-600000.00000000
PA
USD
-600000.00000000
-0.43692268500
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1370000.00000000
USD
892490.88000000
USD
AMBS
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust
92925GAD5
99768.86000000
PA
USD
86647.24000000
0.063096907915
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
4.33901500
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2016-1
35563PAG4
21039375.99000000
PA
USD
2494556.76000000
1.816547395808
Long
ABS-MBS
CORP
US
N
2
2055-09-25
Variable
1.50268500
N
N
N
N
N
N
Wachovia Mortgage Loan Trust,
N/A
Wachovia Mortgage Loan Trust LLC Series 2005-B Trust
92977YBU4
6609.87000000
PA
USD
6384.82000000
0.004649454496
Long
ABS-MBS
CORP
US
N
2
2035-10-20
Variable
6.16106800
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2007-5
52521RAS0
2575735.87000000
PA
USD
412760.64000000
0.300574145157
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.80043000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2021-1
35563PWQ8
1500000.00000000
PA
USD
1356350.10000000
0.987700212505
Long
ABS-MBS
CORP
US
N
2
2060-09-25
Fixed
4.25000000
N
N
N
N
N
N
GS Mortgage Securities Trust
54930066YOFVQE068N73
GS Mortgage Securities Trust 2015-GC32
36250PAM7
700000.00000000
PA
USD
576536.80000000
0.419836677770
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Fixed
3.34500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-IMC
05608BAQ3
2000000.00000000
PA
USD
1960928.80000000
1.427957127343
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
8.30830000
N
N
N
N
N
N
Aegis Asset Backed Securities
N/A
Aegis Asset Backed Securities Trust 2005-3
00764MFT9
3460000.00000000
PA
USD
2989031.72000000
2.176626274462
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
6.20543000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-291000.00000000
PA
USD
-291000.00000000
-0.21190750222
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
4000601.77000000
USD
366111.55000000
USD
AMBS
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities I Trust 2005-CL1
073879U97
19165.96000000
PA
USD
18678.88000000
0.013602044004
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
3.59793800
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10
225470DY6
184184.22000000
PA
USD
104217.95000000
0.075891977566
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAU3
120216.15000000
PA
USD
106437.48000000
0.077508249245
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
9.72273000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89117F8Z5
750000.00000000
PA
USD
782466.75000000
0.569795788899
Long
DBT
CORP
CA
N
2
2082-10-31
Fixed
8.12500000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-919000.00000000
PA
USD
-919000.00000000
-0.66921991253
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1490000.00000000
USD
1164225.80000000
USD
AMBS
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
46632HAL5
21345.03000000
PA
USD
19792.24000000
0.014412797738
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
6.34894100
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2017-RPL1 Trust
22945AAE9
3052442.00000000
PA
USD
1925360.45000000
1.402056095704
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
2.96191000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR15
45660LVM8
35490.26000000
PA
USD
28910.36000000
0.021052653526
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
3.76699000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2007-A1
161630BD9
648383.52000000
PA
USD
603381.17000000
0.439384868133
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
4.11383200
N
N
N
N
N
N
Morgan Stanley Capital I Trust
549300XYOVNMTJWOZ135
Morgan Stanley Capital I Trust 2007-IQ16
61756UAH4
84073.23000000
PA
USD
41648.20000000
0.030328405616
Long
ABS-MBS
CORP
US
N
2
2049-12-12
Variable
6.07918000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAH5
31016.76000000
PA
USD
4917.74000000
0.003581120274
Long
ABS-MBS
CORP
US
N
2
2048-08-12
Variable
5.45000000
N
N
N
N
N
N
Deutsche Mortgage Securities,
N/A
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
25157GCA8
163480.36000000
PA
USD
21566.25000000
0.015704639759
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
2.66322800
N
N
N
N
N
N
BANK 2021-BN35
N/A
BANK 2021-BNK35
06540CCJ4
4703147.00000000
PA
USD
1093278.97000000
0.796130638392
Long
ABS-MBS
CORP
US
N
2
2064-06-15
Variable
1.66040000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-2352000.00000000
PA
USD
-2352000.00000000
-1.71273692523
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
3460000.00000000
USD
2989031.72000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1168000.00000000
PA
USD
-1168000.00000000
-0.85054282681
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
2008000.00000000
USD
1521737.30000000
USD
AMBS
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-18
126694EP9
9687.66000000
PA
USD
7058.47000000
0.005140009440
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
4.48131800
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-663000.00000000
PA
USD
-663000.00000000
-0.48279956693
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
700000.00000000
USD
767363.52000000
USD
AMBS
N
N
N
APOLLO CMMRL REAL EST FIN IN
549300E0AN7M2AQHSY29
Apollo Commercial Real Estate Finance Inc
03768DAB3
498697.92000000
PA
USD
493710.94000000
0.359522515871
Long
LON
CORP
US
N
2
2026-05-15
Floating
8.10580000
N
N
N
N
N
N
BankAmerica Manufactured Housi
N/A
BankAmerica Manufactured Housing Contract Trust
065910AH4
7866000.00000000
PA
USD
204498.69000000
0.148916861192
Long
ABS-O
CORP
US
N
2
2026-10-10
Fixed
7.87500000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR7
45661EDE1
109557.45000000
PA
USD
98413.91000000
0.071665449665
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.63552000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA6
32051GQA6
202068.91000000
PA
USD
180280.59000000
0.131281132396
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.59428400
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2004-C Trust
05946XLZ4
182527.16000000
PA
USD
164733.66000000
0.119959788397
Long
ABS-MBS
CORP
US
N
2
2034-12-20
Variable
4.86016800
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKR9
681000.00000000
PA
USD
612274.77000000
0.445861227452
Long
ABS-MBS
CORP
US
N
2
2058-08-25
Variable
4.75000000
N
N
N
N
N
N
Renaissance Home Equity Loan T
N/A
Renaissance Home Equity Loan Trust 2007-2
75970QAE0
445054.35000000
PA
USD
117770.02000000
0.085760655586
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
5.67500000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1932000.00000000
PA
USD
-1932000.00000000
-1.40689104572
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
2000000.00000000
USD
2251709.20000000
USD
AMBS
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2006-QO2 Trust
761118VY1
165246.43000000
PA
USD
32936.98000000
0.023984856229
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
5.91043000
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
5493002S53YJRKTJK143
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2
16678WAA4
47262.26000000
PA
USD
43765.40000000
0.031870160130
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
5.60043000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-722000.00000000
PA
USD
-722000.00000000
-0.52576363096
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1690698.00000000
USD
855306.03000000
USD
AMBS
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHMZ
46650BAA9
3000000.00000000
PA
USD
34437.00000000
0.025077177506
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
13.98413000
N
N
N
N
N
N
Rialto Real Estate Fund LP
N/A
RIAL 2022-FL8 Issuer Ltd
76243NAL0
1500000.00000000
PA
USD
1375771.50000000
1.001842962896
Long
ABS-CBDO
CORP
BM
N
2
2037-01-19
Floating
10.85825000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-LUAU
36256AAS1
2500000.00000000
PA
USD
2418011.25000000
1.760806612884
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
10.10881000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-XL2
05609KAQ2
1954825.40000000
PA
USD
1866157.45000000
1.358944206170
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
9.36648000
N
N
N
N
N
N
Banc of America Funding Corpor
549300LENCFK8RITKD65
Banc of America Funding 2014-R5 Trust
05990PAB1
3387718.94000000
PA
USD
2478296.29000000
1.804706448788
Long
ABS-MBS
CORP
US
N
2
2045-09-26
Floating
3.87629900
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2005-4
863579MP0
93106.51000000
PA
USD
77374.46000000
0.056344428023
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Variable
4.79670400
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-9
07386HYF2
144043.18000000
PA
USD
100682.75000000
0.073317629106
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
4.58931900
N
N
N
N
N
N
Loanpal Solar Loan Ltd.
N/A
Loanpal Solar Loan 2021-1 Ltd
53948PAC2
764495.93000000
PA
USD
480801.28000000
0.350121643688
Long
ABS-O
CORP
US
N
2
2048-01-20
Fixed
3.50000000
N
N
N
N
N
N
River Haus 2021 A-2
N/A
River Haus 2021 A-2
000000000
1500000.00000000
PA
USD
1499949.50000000
1.092269938194
Long
DBT
CORP
US
N
3
2024-08-15
Floating
6.95000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-4000.00000000
PA
USD
-4000.00000000
-0.00291281790
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.38930000
2024-10-04
5000.00000000
USD
6122.75000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1088000.00000000
PA
USD
-1088000.00000000
-0.79228646881
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
4033360.18000000
USD
1389216.49000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1282000.00000000
PA
USD
-1282000.00000000
-0.93355813696
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1500928.48000000
USD
1458507.31000000
USD
AMBS
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-3
35563PGW3
3311694.09000000
PA
USD
1192633.44000000
0.868481008059
Long
ABS-MBS
CORP
US
N
2
2057-08-25
Variable
1.42511100
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR18
45660LVZ9
1551869.30000000
PA
USD
658419.04000000
0.479463691362
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
6.09043000
N
N
N
N
N
N
CUSHMAN & WAKEFIELD US
549300870CMN3WI5IF97
Cushman & Wakefield US Borrower LLC
23166MAC7
150000.00000000
PA
USD
159078.75000000
0.115841857629
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
8.87500000
N
N
N
N
N
N
Multifamily Structured Credit
N/A
Freddie Mac Multifamily Structured Credit Risk
35563FAC5
950000.00000000
PA
USD
919034.18000000
0.669244802566
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
13.08743000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1082000.00000000
PA
USD
-1082000.00000000
-0.78791724196
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1608000.00000000
USD
1352786.60000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-977000.00000000
PA
USD
-977000.00000000
-0.71145577208
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1170000.00000000
USD
1167364.93000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-850000.00000000
PA
USD
-850000.00000000
-0.61897380376
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1325677.45000000
USD
1107994.66000000
USD
AMBS
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-J10
12667G4G5
417357.14000000
PA
USD
253154.94000000
0.184348560179
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
5.50000000
N
N
N
N
N
N
American Home Mortgage Investm
N/A
American Home Mortgage Investment Trust 2007-A
026933AA9
1736138.49000000
PA
USD
449676.01000000
0.327456082788
Long
ABS-O
CORP
US
N
2
2046-07-25
Floating
6.37043000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-525000.00000000
PA
USD
-525000.00000000
-0.38230734938
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
707666.04000000
USD
613613.92000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-493000.00000000
PA
USD
-493000.00000000
-0.35900480618
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
714464.73000000
USD
554079.89000000
USD
AMBS
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0PS2
1759002.43000000
PA
USD
2066446.50000000
1.504795588676
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
16.70191000
N
N
N
N
N
N
Bayview Financial Asset Trust
N/A
Bayview Financial Asset Trust 2007-SSR1
07325QAD7
715545.05000000
PA
USD
705385.38000000
0.513664790325
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
6.62043000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAF5
1000000.00000000
PA
USD
1028763.80000000
0.749150402892
Long
ABS-O
CORP
US
N
2
2053-03-05
Fixed
7.82400000
N
N
N
N
N
N
Countrywide Home Equity Loan T
N/A
CWABS Revolving Home Equity Loan Trust Series 2004-L
126673KQ4
16724.47000000
PA
USD
15999.22000000
0.011650703600
Long
ABS-O
CORP
US
N
2
2034-02-15
Floating
5.75629000
N
N
N
N
N
N
Deutsche Mortgage Securities,
N/A
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
25157GBJ0
45756.37000000
PA
USD
6553.62000000
0.004772375411
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
1.71021800
N
N
N
N
N
N
Bayview Opportunity Master Fun
N/A
Bayview Financing INV Trust 2021-6F
07290CAA5
1678419.70000000
PA
USD
1547930.12000000
1.127209640392
Long
ABS-MBS
CORP
US
N
2
2027-12-30
Fixed
2.75000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND
000000000
-30.00000000
NC
USD
-160942.66000000
-0.11719916523
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
2024-03-19
-3379526.24000000
USD
-160942.66000000
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2022-JS2
95003GAQ4
2200000.00000000
PA
USD
1443868.14000000
1.051431240878
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
3.45390000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-508000.00000000
PA
USD
-508000.00000000
-0.36992787330
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1493524.43000000
USD
631756.89000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1790000.00000000
PA
USD
-1790000.00000000
-1.30348601027
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1763552.86000000
USD
2066446.50000000
USD
AMBS
N
N
N
Residential Asset Securitizati
N/A
Residential Asset Securitization Trust 2007-A2
761120AA2
175335.29000000
PA
USD
94536.62000000
0.068841989736
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6.00000000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2019-2R
69345WAA6
1456201.71000000
PA
USD
1458507.31000000
1.062091549982
Long
ABS-MBS
CORP
US
N
2
2025-05-30
Floating
9.22142000
N
N
N
N
N
N
SOHO Trust 2021-SOHO
N/A
Soho Trust 2021-SOHO
83410JAJ7
1500000.00000000
PA
USD
824579.85000000
0.600462736776
Long
ABS-MBS
CORP
US
N
2
2038-08-10
Variable
2.69658900
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR4
74333EAG7
835000.00000000
PA
USD
746981.31000000
0.543955132693
Long
ABS-O
CORP
US
N
2
2038-05-17
Fixed
3.40700000
N
N
N
N
N
N
Home Partners of America Trust
N/A
Home Partners of America 2021-2 Trust
43732VAL0
1433736.37000000
PA
USD
1255243.07000000
0.914073620804
Long
ABS-O
CORP
US
N
2
2026-12-17
Fixed
3.79900000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISU5NYXNHD479
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJB6
1200000.00000000
PA
USD
1278239.28000000
0.930819563834
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
10.83743000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-5504000.00000000
PA
USD
-5504000.00000000
-4.00803743047
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
5439943.64000000
USD
6379062.52000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1683000.00000000
PA
USD
-1683000.00000000
-1.22556813144
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
3052442.00000000
USD
1925360.45000000
USD
AMBS
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0GZ6
1472428.24000000
PA
USD
1614761.40000000
1.175876477559
Long
ABS-MBS
CORP
US
N
2
2028-04-25
Floating
14.80191000
N
N
N
N
N
N
Hawaii Hotel Trust 2019-MAUI
N/A
Hawaii Hotel Trust 2019-MAUI
41975AAN2
1697000.00000000
PA
USD
1633798.97000000
1.189739721227
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
8.55882000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-57.00000000
NC
USD
-210391.23000000
-0.15320783518
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2024-03-19
-6224374.68000000
USD
-210391.23000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DT3
750000.00000000
PA
USD
773841.00000000
0.563514479149
Long
DBT
CORP
GB
N
2
N/A
Fixed
8.00000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-HY10
126694VH8
13098.52000000
PA
USD
10847.63000000
0.007899292709
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Variable
4.94863200
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-36
12667GA29
117081.56000000
PA
USD
106059.46000000
0.077232973389
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
3.95537900
N
N
N
N
N
N
PRKCM Trust
N/A
PRKCM 2023-AFC1 Trust
693981AD4
1480000.00000000
PA
USD
1434960.79000000
1.044944868747
Long
ABS-MBS
CORP
US
N
2
2058-02-25
Variable
7.63429000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AJ4
750000.00000000
PA
USD
766696.50000000
0.558311822277
Long
DBT
CORP
FR
N
2
N/A
Fixed
8.12500000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series 2006-A1
59020U5W1
366961.58000000
PA
USD
199097.98000000
0.144984040002
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
3.85289600
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISONLNOUKGB71
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KLV9
1640000.00000000
PA
USD
1727531.56000000
1.257996212719
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
12.83743000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-CHOP
12651QAQ2
1620000.00000000
PA
USD
1433387.02000000
1.043798842390
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
9.79400000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Notes Trust 2006-SD2
23244AAA3
125011.37000000
PA
USD
123167.91000000
0.089691423240
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
6.13043000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-981000.00000000
PA
USD
-981000.00000000
-0.71436858998
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1550000.00000000
USD
1426515.07000000
USD
AMBS
N
N
N
Renaissance Home Equity Loan T
N/A
Renaissance Home Equity Loan Trust 2006-1
759950GX0
516957.78000000
PA
USD
270495.63000000
0.196976128237
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
6.16600000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2023-R08
20755CAF5
1250000.00000000
PA
USD
1270296.75000000
0.925035777945
Long
ABS-MBS
CORP
US
N
2
2043-10-25
Floating
8.88743000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2006-8AR
61749LAB7
189637.57000000
PA
USD
38429.88000000
0.027984810590
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.61043000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-34.00000000
NC
USD
-327043.62000000
-0.23815462760
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
2024-03-19
-3920831.38000000
USD
-327043.62000000
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-2086000.00000000
PA
USD
-2086000.00000000
-1.51903453487
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
3052473.97000000
USD
2460115.44000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1119000.00000000
PA
USD
-1119000.00000000
-0.81486080754
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
2977486.00000000
USD
1260794.12000000
USD
AMBS
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-56.00000000
NC
USD
-86217.60000000
-0.06278404214
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
-13391582.40000000
USD
-86217.60000000
N
N
N
SMR 2022-IND Mortgage Trust
N/A
SMR 2022-IND Mortgage Trust
78458MAN4
1855449.52000000
PA
USD
1386369.06000000
1.009560153512
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
12.86181000
N
N
N
N
N
N
TWO HARBORS INV CORP
549300ZUIBT6KH4HU823
Two Harbors Investment Corp
90187BAB7
1835000.00000000
PA
USD
1697375.00000000
1.236036070776
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.25000000
N
N
N
N
N
Two Harbors Investment Corp
Two Harbors Investment Corp
USD
XXXX
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2022-NQM1
36264EBG8
1579417.62000000
PA
USD
1196486.40000000
0.871286750773
Long
ABS-MBS
CORP
US
N
2
2062-05-25
Variable
4.10318000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1370000.00000000
PA
USD
-1370000.00000000
-0.99764013076
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1570307.39000000
USD
1712713.64000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-138000.00000000
PA
USD
-138000.00000000
-0.10049221755
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
377871.92000000
USD
658419.04000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-9000.00000000
PA
USD
-9000.00000000
-0.00655384027
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.38930000
2024-10-04
12071.56000000
USD
18408.42000000
USD
AMBS
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564ACC3
3530000.00000000
PA
USD
4217181.22000000
3.070970236348
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
15.95191000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2023-1 Ltd
43731BAC5
1000000.00000000
PA
USD
1014779.20000000
0.738966754591
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
11.32064000
N
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAS6
1600000.00000000
PA
USD
7428.80000000
0.005409685403
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
8.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBM0
17835319.92000000
PA
USD
1999965.38000000
1.456383739588
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
1.40413200
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
Credit-Based Asset Servicing and Securitization LLC
14983AAC3
3450901.79000000
PA
USD
187226.61000000
0.136339255243
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
5.91043000
N
N
N
N
N
N
J.P. Morgan Alternative Loan T
N/A
JP Morgan Alternative Loan Trust 2007-A1
466287AR0
169194.15000000
PA
USD
153617.51000000
0.111864958222
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
4.12705400
N
N
N
N
N
N
NewRez Warehouse Securitizatio
N/A
NewRez Warehouse Securitization Trust 2021-1
65246PAF8
2132000.00000000
PA
USD
2136280.63000000
1.555649114651
Long
ABS-MBS
CORP
US
N
2
2055-05-25
Floating
10.72043000
N
N
N
N
N
N
BSREP Commercial Mortgage Trus
N/A
BSREP Commercial Mortgage Trust 2021-DC
05591UAQ0
3351088.79000000
PA
USD
1700894.71000000
1.238599139349
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
10.97648000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1901000.00000000
PA
USD
-1901000.00000000
-1.38431670700
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1929586.85000000
USD
2270284.97000000
USD
AMBS
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-9
60688CAJ5
16264.33000000
PA
USD
15811.53000000
0.011514026902
Long
ABS-MBS
CORP
US
N
2
2049-09-12
Variable
6.19300000
N
N
N
N
N
N
IndyMac INDA Mortgage Loan Tru
N/A
IndyMac INDA Mortgage Loan Trust 2005-AR2
45660LY60
58679.64000000
PA
USD
45123.01000000
0.032858777808
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
3.70322700
N
N
N
N
N
N
CUSHMAN & WAKEFIELD US
549300870CMN3WI5IF97
CUSHMAN & WAKEFIELD US BORROWER LLC
23340DAR3
500000.00000000
PA
USD
500625.00000000
0.364557365303
Long
LON
CORP
US
N
3
2030-01-31
Floating
9.45540000
N
N
N
N
N
N
Bayview Financial Asset Trust
N/A
Bayview Financial Asset Trust 2007-SSR1
07325QAC9
1579346.91000000
PA
USD
1545697.82000000
1.125584069543
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
6.37043000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
81761LAC6
900000.00000000
PA
USD
943436.70000000
0.687014826832
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
8.62500000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2006-QA1 Trust
761118SZ2
246081.34000000
PA
USD
192075.34000000
0.139870122127
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
5.04170300
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-FAME
63873VAL7
1900000.00000000
PA
USD
1136878.11000000
0.827879727247
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Variable
4.39750000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-S2
46630WBC3
7403.81000000
PA
USD
7212.00000000
0.005251810673
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-23CB
02151EAS1
373538.39000000
PA
USD
342524.66000000
0.249427990214
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
6.51828000
N
N
N
N
N
N
Deutsche Mortgage Securities,
N/A
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
25157GAE2
11834.32000000
PA
USD
6148.94000000
0.004477685624
Long
ABS-MBS
CORP
US
N
2
2036-04-15
None
0.00000000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2005-QA3 Trust
76110H2N8
805742.63000000
PA
USD
393364.20000000
0.286449570750
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Variable
3.64056700
N
N
N
N
N
N
Freddie Mac - STACR
549300EUJICRX5L38Y52
Freddie Mac Stacr Trust 2019-HQA3
35564XBE0
700000.00000000
PA
USD
767363.52000000
0.558797549226
Long
ABS-MBS
CORP
US
N
2
2049-09-25
Floating
12.95191000
N
N
N
N
N
N
BANK 2021-BN35
N/A
BANK 2021-BNK35
06540CAQ0
1860000.00000000
PA
USD
596738.78000000
0.434547850010
Long
ABS-MBS
CORP
US
N
2
2064-06-15
Variable
1.66040000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2021-3
35563P6W4
1684848.70000000
PA
USD
855306.03000000
0.622837678552
Long
ABS-MBS
CORP
US
N
2
2061-03-25
Variable
7.76366600
N
N
N
N
N
N
KNDR Trust 2021-KIND
N/A
KIND Trust 2021-KIND
482606AS9
1797012.38000000
PA
USD
1631955.71000000
1.188397451046
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
9.42648000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1015000.00000000
PA
USD
-1015000.00000000
-0.73912754213
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1220000.00000000
USD
1194677.19000000
USD
AMBS
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2014-11R
12649FCL0
2762500.28000000
PA
USD
2093671.61000000
1.524621035611
Long
ABS-MBS
CORP
US
N
2
2036-10-27
Floating
5.73737000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1262000.00000000
PA
USD
-1262000.00000000
-0.91899404746
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1480000.00000000
USD
1434960.79000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-611000.00000000
PA
USD
-611000.00000000
-0.44493293423
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
747409.94000000
USD
495892.29000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-671000.00000000
PA
USD
-671000.00000000
-0.48862520273
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
925329.91000000
USD
795903.46000000
USD
AMBS
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2022-INV2
924923AD7
1430000.00000000
PA
USD
1405930.38000000
1.023804794274
Long
ABS-MBS
CORP
US
N
2
2067-10-25
Variable
6.79549100
N
N
N
N
N
N
Freddie Mac - STACR
549300MHCI0CUXMJQS62
Freddie Mac Stacr Trust 2019-FTR1
35564PAC2
715000.00000000
PA
USD
820576.61000000
0.597547559493
Long
ABS-MBS
CORP
US
N
2
2048-01-25
Floating
13.80191000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2016-1
35563PAH2
135186507.48000000
PA
USD
601174.40000000
0.437777888343
Long
ABS-MBS
CORP
US
N
2
2055-09-25
Variable
0.07500000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CG0
747409.94000000
PA
USD
495892.29000000
0.361110984702
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Variable
4.11649300
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAF6
1500000.00000000
PA
USD
1519520.40000000
1.106521555154
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
8.70191000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-3421000.00000000
PA
USD
-3421000.00000000
-2.49118750902
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
3505577.78000000
USD
3985810.06000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1202000.00000000
PA
USD
-1202000.00000000
-0.87530177896
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1430000.00000000
USD
1405930.38000000
USD
AMBS
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0JZ3
492658.43000000
PA
USD
552947.80000000
0.402659062409
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
15.95191000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Resecuritization Trust 2006-1R
12638FAB7
163914.97000000
PA
USD
153492.60000000
0.111773998201
Long
ABS-MBS
CORP
US
N
2
2036-07-27
Floating
4.48294000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-636000.00000000
PA
USD
-636000.00000000
-0.46313804610
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
835000.00000000
USD
746981.31000000
USD
AMBS
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2020-1
31574PAF2
1550000.00000000
PA
USD
1426515.07000000
1.038794657648
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
5.10395500
N
N
N
N
N
N
Renaissance Home Equity Loan T
N/A
Renaissance Home Equity Loan Trust 2007-3
75971FAF0
1482404.09000000
PA
USD
631756.89000000
0.460048194418
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
7.23800000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2023-INV1
92539FAC7
1293023.10000000
PA
USD
1298293.20000000
0.945422918120
Long
ABS-MBS
CORP
US
N
2
2068-02-25
Variable
6.75800000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2015-2R
12649QBE3
3247699.31000000
PA
USD
2568036.06000000
1.870055350889
Long
ABS-MBS
CORP
US
N
2
2036-08-27
Variable
4.91780000
N
N
N
N
N
N
Provident Bank Home Equity Loa
N/A
Provident Home Equity Loan Trust 2000-2
743844DA7
533014.27000000
PA
USD
488487.27000000
0.355718616001
Long
ABS-MBS
CORP
US
N
2
2031-08-25
Floating
6.01043000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2019-SMP
36259NAN1
1500000.00000000
PA
USD
1423732.35000000
1.036768268492
Long
ABS-MBS
CORP
US
N
2
2032-08-15
Floating
9.97648000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GXX1
74119.90000000
PA
USD
59224.74000000
0.043127720699
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
3.22438200
N
N
N
N
N
N
MASTR Reperforming Loan Trust
N/A
MASTR Reperforming Loan Trust 2005-1
576436AU3
42559.27000000
PA
USD
32698.05000000
0.023810866334
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
7.50000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1319000.00000000
PA
USD
-1319000.00000000
-0.96050170254
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1921454.31000000
USD
1647652.07000000
USD
AMBS
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust
92922F4V7
75533.05000000
PA
USD
70390.62000000
0.051258764483
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
6.45043000
N
N
N
N
N
N
FULL HOUSE RESORTS INC
5493009DKIWW0H901Y82
Full House Resorts Inc
359678AC3
1050000.00000000
PA
USD
987966.00000000
0.719441262361
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
8.25000000
N
N
N
N
N
N
Wells Fargo Alternative Loan T
N/A
Wells Fargo Alternative Loan 2007-PA1 Trust
94984TAM1
1093881.84000000
PA
USD
52695.46000000
0.038373069784
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBQ6
1858532.41000000
PA
USD
2160259.94000000
1.573110955501
Long
ABS-MBS
CORP
US
N
2
2028-08-25
Floating
17.20191000
N
N
N
N
N
N
Freddie Mac - STACR
549300D2VO9JVX6KU482
STACR Trust 2018-HRP1
3137G0VB2
5422001.23000000
PA
USD
6379062.52000000
4.645261873457
Long
ABS-MBS
CORP
US
N
2
2043-05-25
Floating
17.20191000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust 2021-TY
05592AAQ3
1000000.00000000
PA
USD
940342.60000000
0.684761689366
Long
ABS-MBS
CORP
US
N
2
2038-09-15
Floating
9.67648000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2006-S3
16162XAH0
123628.82000000
PA
USD
38030.25000000
0.027693798235
Long
ABS-MBS
CORP
US
N
2
2021-11-25
Fixed
5.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-J8
23245LAE0
71594.98000000
PA
USD
31516.09000000
0.022950157772
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAS8
2720000.00000000
PA
USD
1061177.26000000
0.772754029515
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37330000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1038000.00000000
PA
USD
-1038000.00000000
-0.75587624506
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1024414.19000000
USD
1169697.36000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-2137000.00000000
PA
USD
-2137000.00000000
-1.55617296310
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
3501991.00000000
USD
1967199.67000000
USD
AMBS
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2006-AR5
17309FAS7
171802.41000000
PA
USD
104166.22000000
0.075854307549
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
3.38385500
N
N
N
N
N
N
Bayview Financial Asset Trust
N/A
Bayview Financial Asset Trust 2007-SSR1
07325QAB1
1297247.15000000
PA
USD
1271030.69000000
0.925570236338
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
6.27043000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYMZ
46654GAA4
1250000.00000000
PA
USD
967883.75000000
0.704817278043
Long
ABS-MBS
CORP
US
N
2
2026-06-15
Floating
12.72648000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XDB7
2609373.72000000
PA
USD
2999573.73000000
2.184303013320
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Floating
15.70191000
N
N
N
N
N
N
SOLRR Aircraft 2021-1 Limited
N/A
Lunar 2021-1 Structured Aircraft Portfolio Notes
83438LAC5
1617923.60000000
PA
USD
1362696.15000000
0.992321434514
Long
ABS-O
CORP
IE
N
2
2046-10-15
Fixed
5.68200000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pas
N/A
FRESB 2018-SB48 Mortgage Trust
30296RAJ9
3069328.07000000
PA
USD
2406008.52000000
1.752066171185
Long
ABS-MBS
USGSE
US
N
2
2038-02-25
Variable
4.17684100
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-3546000.00000000
PA
USD
-3546000.00000000
-2.58221306839
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
3530000.00000000
USD
4217181.22000000
USD
AMBS
N
N
N
280 Park Avenue Mortgage Trust
N/A
280 Park Avenue 2017-280P Mortgage Trust
90205FAQ3
320000.00000000
PA
USD
285965.66000000
0.208241473312
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
8.48499000
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
Nordea Bank Abp
65559D2A6
750000.00000000
PA
USD
745300.50000000
0.542731159330
Long
DBT
CORP
FI
N
2
N/A
Fixed
6.62500000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-11
12669GUP4
181836.65000000
PA
USD
125339.58000000
0.091272843052
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
3.69503900
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-2407000.00000000
PA
USD
-2407000.00000000
-1.75278817135
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
2336455.45000000
USD
2765382.14000000
USD
AMBS
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2004-12
576433UC8
7819.04000000
PA
USD
7379.16000000
0.005373537333
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
5.72384400
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TBE6
2980370.75000000
PA
USD
2460115.44000000
1.791467072458
Long
ABS-MBS
CORP
US
N
2
2036-03-27
Variable
4.73282800
N
N
N
N
N
N
280 Park Avenue Mortgage Trust
N/A
280 Park Avenue 2017-280P Mortgage Trust
90205FAN0
1180000.00000000
PA
USD
1066208.71000000
0.776417953920
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
7.77689000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-2
35563PFX2
3429242.66000000
PA
USD
1091694.94000000
0.794977140658
Long
ABS-MBS
CORP
US
N
2
2057-11-25
Variable
2.84645800
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR9
45661EGK4
205945.03000000
PA
USD
171322.35000000
0.124757701939
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
3.35471800
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2021-GS3
52474XAB1
1640000.00000000
PA
USD
1535760.45000000
1.118347632239
Long
ABS-MBS
CORP
US
N
2
2061-07-25
Variable
3.25000000
N
N
N
N
N
N
NCMF Trust
N/A
NCMF Trust 2022-MFP
628870AN7
2200000.00000000
PA
USD
2114011.46000000
1.539432605402
Long
ABS-MBS
CORP
US
N
2
2039-03-15
Floating
10.48981000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA TREASURY BOND
000000000
-6.00000000
NC
USD
-77541.60000000
-0.05646614011
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
2024-03-19
-724020.90000000
USD
-77541.60000000
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-3
52520CAK1
3954444.30000000
PA
USD
366111.55000000
0.266604069064
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.01000000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2006-QA4 Trust
748939AA3
120939.64000000
PA
USD
108402.15000000
0.078938930731
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
5.83043000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-491000.00000000
PA
USD
-491000.00000000
-0.35754839723
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
493518.19000000
USD
552947.80000000
USD
AMBS
N
N
N
ALLIANZ SE
529900K9B0N5BT694847
Allianz SE
018820AB6
800000.00000000
PA
USD
633438.32000000
0.461272619269
Long
DBT
CORP
DE
N
2
N/A
Fixed
3.20000000
N
N
N
N
N
N
Verus Securitization Trust
984500BADC7CFE3B0756
Verus Securitization Trust 2023-5
924934AE2
1200000.00000000
PA
USD
1192775.04000000
0.868584121812
Long
ABS-MBS
CORP
US
N
2
2068-06-25
Variable
8.11078500
N
N
N
N
N
N
Cascade MH Asset Trust
N/A
Cascade MH Asset Trust 2019-MH1
14732FAC6
1150000.00000000
PA
USD
1102447.16000000
0.802806955378
Long
ABS-O
CORP
US
N
2
2044-11-25
Variable
5.98500000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust 2006-RP1
3623413E7
234893.73000000
PA
USD
205447.99000000
0.149608145700
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
7.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MU2
750000.00000000
PA
USD
692184.00000000
0.504051486333
Long
DBT
CORP
US
N
2
N/A
Fixed
4.00000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2023-SFR2 Trust
00178YAE1
1690000.00000000
PA
USD
1477702.37000000
1.076069478572
Long
ABS-O
CORP
US
N
2
2040-06-17
Fixed
3.95000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1013000.00000000
PA
USD
-1013000.00000000
-0.73767113318
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1200000.00000000
USD
1278239.28000000
USD
AMBS
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-12
2254W0MM4
186174.03000000
PA
USD
49724.94000000
0.036209923827
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
5.97043000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BZ3
1000000.00000000
PA
USD
1017438.00000000
0.740902904649
Long
DBT
CORP
CA
N
2
2029-02-01
Fixed
7.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
46652DAN5
988000.00000000
PA
USD
56336.95000000
0.041024819098
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
10.22648000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-431000.00000000
PA
USD
-431000.00000000
-0.31385612873
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.38930000
2024-10-04
1179851.67000000
USD
658419.04000000
USD
AMBS
N
N
N
Helios Issuer, LLC
N/A
SUNNOVA HELIOS II ISSUER LLC 2018-1
86745JAB3
924028.15000000
PA
USD
828650.15000000
0.603426747450
Long
ABS-O
CORP
US
N
2
2048-07-20
Fixed
7.71000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-D
64034YAE1
1200000.00000000
PA
USD
937810.08000000
0.682917496969
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
4.38000000
N
N
N
N
N
N
National Collegiate Commutatio
N/A
National Collegiate VI 2007-4 Class A-3L Commutation Trust
63546VAA8
5942187.39000000
PA
USD
1004568.37000000
0.731531182491
Long
ABS-O
CORP
US
N
2
2038-03-29
Floating
6.30737000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1062000.00000000
PA
USD
-1062000.00000000
-0.77335315246
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
2609881.38000000
USD
1724909.02000000
USD
AMBS
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2004-18
863579FR4
131722.24000000
PA
USD
114939.21000000
0.083699247076
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
5.27842800
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2006-OA1
576433G42
94010.98000000
PA
USD
82585.74000000
0.060139305440
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
5.68043000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1311000.00000000
PA
USD
-1311000.00000000
-0.95467606674
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1500000.00000000
USD
1519520.40000000
USD
AMBS
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-HYB9
126670JP4
70276.55000000
PA
USD
61833.57000000
0.045027482380
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Floating
7.87301000
N
N
N
N
N
N
Morgan Stanley ReRemic Trust
N/A
Morgan Stanley Resecuritization Trust 2015-R2
61690HAE9
718257.92000000
PA
USD
613613.92000000
0.446836402474
Long
ABS-MBS
CORP
US
N
2
2046-12-27
Floating
4.33800900
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579PF9
34453.78000000
PA
USD
31293.64000000
0.022788168687
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
5.12066800
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B12 Mortgage Trust
08162FAU7
1300000.00000000
PA
USD
1007423.30000000
0.733610155293
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Variable
4.24625000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-CHOP
12651QAU3
1509000.00000000
PA
USD
1272243.48000000
0.926453395443
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
12.79400000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1540000.00000000
PA
USD
-1540000.00000000
-1.12143489152
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
2440000.00000000
USD
2175458.23000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1711000.00000000
PA
USD
-1711000.00000000
-1.24595785674
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
2809692.40000000
USD
2093671.61000000
USD
AMBS
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2017-RPL1 Trust
22945AAF6
3501991.00000000
PA
USD
1967199.67000000
1.432523602939
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
2.96191000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300XC4C7GRVLU6076
SMB Private Education Loan Trust 2014-A
784456105
6875.00000000
PA
USD
472483.02000000
0.344064249532
Long
ABS-O
CORP
US
N
2
2045-09-15
None
0.00000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-361000.00000000
PA
USD
-361000.00000000
-0.26288181548
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
5674219.02000000
USD
645356.04000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-310000.00000000
PA
USD
-310000.00000000
-0.22574338725
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
374571.66000000
USD
342524.66000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1529000.00000000
PA
USD
-1529000.00000000
-1.11342464229
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
5306168.02000000
USD
2470740.82000000
USD
AMBS
N
N
N
Freddie Mac - STACR
5493005LAQ76UDHPEE03
Freddie Mac Stacr Remic Trust 2019-Hqa4
35565CBE5
1420000.00000000
PA
USD
1527134.31000000
1.112066038489
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Floating
12.05191000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2006-F Trust
05950HAA9
60407.89000000
PA
USD
56675.21000000
0.041271141544
Long
ABS-MBS
CORP
US
N
2
2036-07-20
Variable
5.47751300
N
N
N
N
N
N
Social Professional Loan Progr
N/A
SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC
83401B106
34000.00000000
PA
USD
356431.96000000
0.259555348309
Long
ABS-O
CORP
US
N
2
2041-01-25
None
0.00000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1051000.00000000
PA
USD
-1051000.00000000
-0.76534290323
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
352829789.68000000
USD
1538800.72000000
USD
AMBS
N
N
N
LSTAR Securities Investment Lt
N/A
LSTAR Securities Investment Ltd 2023-1
50221KAA1
1319757.70000000
PA
USD
1330764.88000000
0.969068940807
Long
ABS-MBS
CORP
US
N
2
2028-01-01
Floating
8.83000000
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-929000.00000000
PA
USD
-929000.00000000
-0.67650195728
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1337000.00000000
USD
1109597.69000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1270000.00000000
PA
USD
-1270000.00000000
-0.92481968326
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1458095.99000000
USD
1382274.84000000
USD
AMBS
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-995000.00000000
PA
USD
-995000.00000000
-0.72456345263
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1200000.00000000
USD
1182709.80000000
USD
AMBS
N
N
N
Hospitality Investors Trust
N/A
HIT Trust 2022-HI32
40442AAN9
1938278.06000000
PA
USD
1923531.64000000
1.400724348078
Long
ABS-MBS
CORP
US
N
2
2024-07-15
Floating
12.58931000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust
92922FD96
1280588.39000000
PA
USD
1107994.66000000
0.806846669703
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
6.26543000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-5
007036LG9
83079.47000000
PA
USD
69843.68000000
0.050860480327
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
3.49233300
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1220000.00000000
PA
USD
-1220000.00000000
-0.88840945951
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1640000.00000000
USD
1535760.45000000
USD
AMBS
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2007-5AX
61751GAD9
1330904.67000000
PA
USD
285750.16000000
0.208084545247
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.93043000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1DQ7
3694978.64000000
PA
USD
2348933.39000000
1.710503806107
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
4.51088200
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1403000.00000000
PA
USD
-1403000.00000000
-1.02167087844
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
1474246.43000000
USD
1614761.40000000
USD
AMBS
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2020-1
35563PPP8
4026148.48000000
PA
USD
1389216.49000000
1.011633664781
Long
ABS-MBS
CORP
US
N
2
2059-08-25
Variable
4.69822800
N
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAQ0
1000000.00000000
PA
USD
40000.00000000
0.029128179000
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
8.50000000
N
N
N
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WBE3
2000000.00000000
PA
USD
2251709.20000000
1.639704715870
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Floating
13.20191000
N
N
N
N
N
N
GREYSTONE SELECT FINANCI
N/A
Greystone Select Financial LLC
39808KAB3
993670.88000000
PA
USD
988702.53000000
0.719977606803
Long
LON
CORP
US
N
2
2028-06-17
Floating
10.36400000
N
N
N
N
N
N
Popular ABS Mortgage Pass-Thro
N/A
Popular ABS Mortgage Pass-Through Trust 2005-5
73316PGW4
1852318.23000000
PA
USD
1647652.07000000
1.199827610639
Long
ABS-O
CORP
US
N
2
2035-11-25
Floating
3.57516700
N
N
N
N
N
N
PRKCM Trust
N/A
PRKCM 2023-AFC1 Trust
693981AC6
1383700.61000000
PA
USD
1382274.84000000
1.006578724187
Long
ABS-MBS
CORP
US
N
2
2058-02-25
Variable
7.30400000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR11
45661KAA8
209749.30000000
PA
USD
164801.07000000
0.120008876661
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
3.90554900
N
N
N
N
N
N
National Collegiate Student Lo
635400CI2B1FTO6YXF12
National Collegiate Student Loan Trust 2006-3
63543VAG8
1710000.00000000
PA
USD
1322728.09000000
0.963216514364
Long
ABS-O
CORP
US
N
2
2032-01-26
Floating
5.83043000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-S2
46630WBB5
27168.50000000
PA
USD
26031.18000000
0.018956021765
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
Citicorp Mortgage Securities,
N/A
Citicorp Mortgage Securities Trust Series 2007-8
17312DAL2
2593272.95000000
PA
USD
1724909.02000000
1.256086467355
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
5.98320400
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
46652DAQ8
1033000.00000000
PA
USD
37385.92000000
0.027224594246
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
12.72648000
N
N
N
N
N
N
Verus Securitization Trust
2138008DC17PCNG48R87
Verus Securitization Trust 2023-4
92539TAE3
1170000.00000000
PA
USD
1167364.93000000
0.850080366000
Long
ABS-MBS
CORP
US
N
2
2068-05-25
Variable
8.20594500
N
N
N
N
N
N
Nomura Securities International, Inc.
OXTKY6Q8X53C9ILVV871
Nomura Securities Inc
000000000
-1750000.00000000
PA
USD
-1750000.00000000
-1.27435783127
Short
RA
CORP
US
N
2
Reverse repurchase
N
7.40550000
2024-10-04
18079516.08000000
USD
1999965.38000000
USD
AMBS
N
N
N
2024-02-21
Western Asset Mortgage Opportunity Fund Inc.
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer