0001688554-24-000015.txt : 20240227
0001688554-24-000015.hdr.sgml : 20240227
20240227132849
ACCESSION NUMBER: 0001688554-24-000015
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: 20240630
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIMCO Flexible Credit Income Fund
CENTRAL INDEX KEY: 0001688554
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23211
FILM NUMBER: 24684833
BUSINESS ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
BUSINESS PHONE: (844)337-4626
MAIL ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
NPORT-P
1
primary_doc.xml
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0001688554
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PIMCO Flexible Credit Income Fund
811-23211
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549300R4RJB5MTHXES88
1633 Broadway
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10019
(844) 312-2113
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N/A
2024-06-30
2023-12-31
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CNY
ARS
GBP
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N/A
N/A
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-2284252.000000
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Short
RA
US
N
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Reverse repurchase
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2024-01-02
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PA
USD
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0.0471518
Long
LON
CORP
BM
N
2
2026-08-30
Floating
10.8998
N
N
N
N
N
N
TEAM HEALTH HOLDINGS INC
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TEAM HEALTH HOLDINGS, INC. 2022 TERM LOAN B
87817JAG3
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PA
USD
2170387.420000
0.0775963
Long
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CORP
US
N
2
2027-03-02
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N
N
N
N
N
N
N/A
N/A
ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD
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-718239.570000
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USD
-721417.800000
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RA
US
N
2
Reverse repurchase
N
5.900000
2024-03-05
206457132.650000
USD
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USD
AMBS
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N
AEGIS ASSET BACKED SEC TR 2004-6
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AEGIS ASSET BACKED SECURITIES AABST 2004 6 B1
00764MEA1
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USD
715819.760000
0.0255922
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ABS-MBS
CORP
US
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2035-03-25
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N
N
N
N
N
N
DISH DBS CORPORATION
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25470XBF1
17398000.000000
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USD
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0.497288
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75
N
N
N
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO GBP ZCP
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-8334720.000000
PA
-10658966.150000
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Short
RA
GB
N
2
Reverse repurchase
N
6.716000
2024-03-15
23152000.000000
GBP
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GBP
ABS
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N
N
N/A
N/A
REVERSE REPO GOLDMAN
000000000
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USD
-25166826.410000
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Short
RA
US
N
2
Reverse repurchase
N
6.670000
2024-07-29
45625855.780000
USD
34704053.190000
USD
PLCMO
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N
N
N/A
N/A
3 MONTH SOFR FUT SEP25 XCME 20251216
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NC
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126107.140000
0.0045086
N/A
DIR
US
N
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CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
N/A
90SOFR
2025-12-16
-12837593.750000
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126107.140000
N
N
N
N/A
N/A
REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079
000000000
-1326544.100000
PA
USD
-1338253.060000
-0.0478456
Short
RA
US
N
2
Reverse repurchase
N
6.620000
2024-05-13
2929000.000000
USD
1582698.620000
USD
PLCMO
N
N
N
CAESARS ENTERTAINMENT INC
549300FA4CTCW903Y781
CAESARS ENTERTAINMENT INC COMMON STOCK
12769G100
1.000000
NS
USD
46.880000
0.0000017
Long
EC
CORP
US
N
1
N
N
N
COUNTRYWIDE ASSET BACKED CERTS 2006-25
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 M1
12667TAF2
26956312.750000
PA
USD
21536587.030000
0.769982
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
5.72043
N
N
N
N
N
N
CORONADO CDO LTD 1A
N/A
CORONADO CDO LTD CORON 1A B2 144A
21976RAE6
244092.490000
PA
USD
112730.700000
0.0040304
Long
ABS-CBDO
CORP
KY
N
2
2038-09-04
Fixed
6
N
N
N
N
N
N
EQUINITI (ARMOR HOLDCO INC)
254900X6HLK0YPTHHF09
ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5
04625PAA9
4400000.000000
PA
USD
3995610.300000
0.142852
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
8.5
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-10543080.000000
PA
USD
-10646610.130000
-0.38064
Short
RA
US
N
2
Reverse repurchase
N
6.670000
2024-02-08
26682000.000000
USD
16190930.060000
USD
PLCMO
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 G 144A
46642CAU4
1490332.000000
PA
USD
175114.010000
0.0062607
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
3.5
N
N
N
N
N
N
CORONADO CDO LTD 1A
N/A
CORONADO CDO LTD CORON 1A B1 144A
21976RAB2
1708647.480000
PA
USD
694739.480000
0.0248385
Long
ABS-CBDO
CORP
KY
N
2
2038-09-04
Floating
7.13099
N
N
N
N
N
N
MSSG TRUST 2017-237P
N/A
MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P E 144A
55375KAL0
8006000.000000
PA
USD
5250151.460000
0.187705
Long
ABS-MBS
CORP
US
N
2
2039-09-13
Variable
3.74013
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.75000 12/20/23-5Y CME
000000000
1.000000
NC
USD
540467.400000
0.0193229
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2028-12-20
622401.600000
USD
0.000000
USD
56100000.000000
USD
-81934.200000
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 10/26 15.5
ACI0QD081
47041000.000000
PA
16168.570000
0.0005781
Long
DBT
NUSS
AR
N
2
2026-10-17
Fixed
15.5
N
N
N
N
N
N
BANK OF AMERICA MTGE SECURITIES 2004-E
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E B1
05949AHJ2
138416.470000
PA
USD
113593.660000
0.0040612
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
5.17675
N
N
N
N
N
N
DISH NETWORK CORPORATION
529900U350CWHH15G169
DISH NETWORK CORP SR SECURED 144A 11/27 11.75
25470MAG4
3800000.000000
PA
USD
3969753.600000
0.141928
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
11.75
N
N
N
N
N
N
VOYAGER AVIATION HOLDINGS LLC
549300KHOKL1CX4NIJ92
VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5
92918XAA3
22311000.000000
PA
USD
12131629.230000
0.433733
Long
DBT
CORP
US
N
3
2026-05-09
Fixed
8.5
Y
Y
N
N
N
N
N/A
N/A
BOUGHT TRY SOLD USD 20240425
000000000
1.000000
NC
-332014.010000
-0.0118703
N/A
DFE
TR
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
22070000.000000
USD
713236190.000000
TRY
2024-04-25
-332014.010000
N
N
N
BCAP LLC TRUST 2009-RR4
N/A
BCAP LLC TRUST BCAP 2009 RR4 1A2 144A
05531RAB3
1986404.240000
PA
USD
539611.680000
0.0192923
Long
ABS-MBS
CORP
US
N
2
2037-06-26
Variable
61.4308
N
N
N
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-1349027.130000
PA
-1725197.200000
-0.0616797
Short
RA
GB
N
2
Reverse repurchase
N
6.687800
2024-03-15
3491000.000000
GBP
2374112.500000
GBP
ABS
N
N
N
N/A
N/A
REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079
000000000
-298710.600000
PA
USD
-301602.780000
-0.010783
Short
RA
US
N
2
Reverse repurchase
N
6.600000
2024-05-08
616273.000000
USD
440442.240000
USD
PLCMO
N
N
N
PROFRAC HOLDINGS II LLC
N/A
PROFRAC HLDGS II LLC 01/29 1
74319TAA5
14199000.000000
PA
USD
14057010.000000
0.50257
Long
DBT
CORP
US
N
3
2029-01-23
Floating
12.6204
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LIMITED
549300OLARYHDXP3WK18
SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/26 6
ACI2L7N56
10916.000000
PA
USD
1312.100000
0.0000469
Long
DBT
CORP
KY
N
2
2026-09-30
Fixed
6
N
N
Y
N
N
N
CREDIT SUISSE MRTG CAPITAL CERT 2006-6
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 2A5
22942JAR4
488973.160000
PA
USD
125988.780000
0.0045044
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.5
N
N
N
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR
ACI0ZY1X9
21218000.000000
PA
23483649.100000
0.839594
Long
DBT
CORP
IT
N
2
2028-01-18
Floating
7.677
N
N
N
N
N
N
CGG SA
969500FCVQ5SLAAUJV59
CGG SA SR SECURED 144A 04/27 8.75
12531TAF6
22793000.000000
PA
USD
20784480.840000
0.743092
Long
DBT
CORP
FR
N
2
2027-04-01
Fixed
8.75
N
N
N
N
N
N
COMM MORTGAGE TRUST 2015-CR26
N/A
COMM MORTGAGE TRUST COMM 2015 CR26 XE 144A
12593QAG5
28636000.000000
PA
USD
521347.020000
0.0186393
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
1.21457
N
N
N
N
N
N
CEDAR FUNDING IX CLO LTD 2018-9A
N/A
CEDAR FUNDING LTD CEDF 2018 9A SUB 144A
15033FAC9
12000000.000000
PA
USD
4281393.480000
0.15307
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Variable
0
N
N
N
N
N
N
KEYCORP STUDENT LOAN TRUST 2000-B
N/A
KSLT 2000 B CERT SUB KSLT 2000 B CERT SUB
933FUCII2
100000.000000
PA
USD
7217122.270000
0.258028
Long
ABS-O
CORP
US
N
3
2050-01-01
Fixed
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-1632406.840000
PA
USD
-1672734.090000
-0.059804
Short
RA
US
N
2
Reverse repurchase
N
6.050000
2024-02-08
2246000.000000
USD
2248246.000000
USD
CDS
N
N
N
BALLYROCK CLO LTD 2018-1A
N/A
BALLYROCK LTD BALLY 2018 1A SUB 144A
05875EAE0
29803000.000000
PA
USD
5886426.290000
0.210453
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Variable
0
N
N
N
N
N
N
MKP CBO IV LTD
N/A
MKP CBO LTD MKP 4A A1 144A
553121AA2
1571329.630000
PA
USD
1572552.120000
0.0562223
Long
ABS-CBDO
CORP
KY
N
2
2040-07-12
Floating
8.8
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB R 144A
78449DAF3
12167989.260000
PA
USD
15690036.260000
0.560954
Long
ABS-O
CORP
US
N
3
2054-09-15
Fixed
0
N
N
N
N
N
N
BCP TRUST 2021-330N
N/A
BCP TRUST BCP 2021 330N F 144A
05553BAQ8
5500000.000000
PA
USD
3345476.200000
0.119608
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
10.1105
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-13378501.730000
PA
USD
-13576871.470000
-0.485404
Short
RA
US
N
2
Reverse repurchase
N
6.590000
2024-01-12
19165252.600000
USD
17516367.370000
USD
PLCMO
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5
ACI1DBG64
22387000.000000
PA
27203240.630000
0.972578
Long
DBT
CORP
IT
N
2
2029-07-23
Fixed
10.5
N
N
N
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-2392687.350000
PA
USD
-2456504.360000
-0.0878256
Short
RA
US
N
2
Reverse repurchase
N
6.700000
2024-02-09
6000000.000000
USD
3722481.000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPOS
000000000
-1461445.200000
PA
-1873343.150000
-0.0669763
Short
RA
GB
N
2
Reverse repurchase
N
5.920000
2024-03-28
2000000.000000
GBP
1995545.000000
GBP
ABS
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-3178006.660000
PA
USD
-3226126.090000
-0.115341
Short
RA
US
N
2
Reverse repurchase
N
5.990000
2024-01-02
4800000.000000
USD
3966458.400000
USD
CDS
N
N
N
MRCD 2019-PARK MORTGAGE TRUST
N/A
MRCD MORTGAGE TRUST MRCD 2019 PARK G 144A
55348UAW8
11000000.000000
PA
USD
5863003.300000
0.209616
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Fixed
2.71752
N
N
N
N
N
N
BX TRUST 2019-ATL
N/A
BX TRUST BX 2019 ATL G 144A
056058AS9
2436000.000000
PA
USD
2298584.750000
0.0821796
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
8.96308
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2208810.000000
PA
USD
-2239539.460000
-0.0800686
Short
RA
US
N
2
Reverse repurchase
N
6.590000
2024-01-17
3000000.000000
USD
2165663.100000
USD
PLCMO
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 B4 144A
64830NAK7
22875000.000000
PA
USD
15284153.140000
0.546443
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
4.00835
N
N
N
N
N
N
ACE SECURITIES CORP 2005-HE1
N/A
ACE SECURITIES CORP. ACE 2005 HE1 M6
004421KZ5
14355855.520000
PA
USD
10522302.320000
0.376196
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
6.74543
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2006-2
N/A
FREMONT HOME LOAN TRUST FHLT 2006 2 M1
35729PPZ7
10482049.160000
PA
USD
7053014.490000
0.252161
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.95043
N
N
N
N
N
N
SG MORTGAGE SECURITIES TRUST 2006-FRE1
N/A
SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2B
81879MAV1
4556312.010000
PA
USD
2271854.170000
0.0812239
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.83043
N
N
N
N
N
N
N/A
N/A
INTELSAT EMERGENCE SA CALL EXP17FEB27
000000000
1073.000000
NC
USD
2998.690000
0.0001072
N/A
DE
LU
N
3
LUXEMBOURG STOCK EXCHANGE
22210053OF4F2MYKUV22
Call
Purchased
INTELSAT SA
INTELSAT SA/LUXEMBOURG
N/A
60.150000
USD
2027-02-17
XXXX
-3305.180000
N
N
N
BWAY MORTGAGE TRUST 2021-1450
N/A
BWAY MORTGAGE TRUST BWAY 2021 1450 E 144A
12430YAN0
7654000.000000
PA
USD
4025199.560000
0.14391
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
9.32629
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2006-A4
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 2A2
46628LAG3
7102.930000
PA
USD
5156.880000
0.0001844
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
4.85622
N
N
N
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20240109
000000000
1.000000
NC
-13244.770000
-0.0004735
N/A
DFE
N/A
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
2182000.000000
EUR
2396129.920000
USD
2024-01-09
-13244.770000
N
N
N
N/A
N/A
IRS MXN 8.70100 04/13/22-10Y* CME
000000000
1.000000
NC
-3879.490000
-0.0001387
N/A
DIR
MX
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2032-03-31
0.000000
MXN
0.000000
MXN
4600000.000000
MXN
-3879.490000
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2007-C2
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 E 144A
22545YAQ4
2500000.000000
PA
USD
1038295.000000
0.0371214
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
5.6133
N
N
N
N
N
N
MLCC MORTGAGE INVESTORS INC 2004-C
N/A
MLCC MORTGAGE INVESTORS INC MLCC 2004 C B1
59020UDS1
419670.890000
PA
USD
374141.070000
0.0133764
Long
ABS-MBS
CORP
US
N
3
2029-07-25
Floating
6.20543
N
N
N
N
N
N
N/A
N/A
REVERSE REPO MORGAN STANLEY
000000000
-415800.000000
PA
USD
-417989.530000
-0.0149441
Short
RA
US
N
2
Reverse repurchase
N
6.760000
2024-06-03
7500000.000000
USD
751222.500000
USD
PLCMO
N
N
N
TOPAZ SOLAR FARMS LLC
N/A
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875
89054XAD7
2136287.000000
PA
USD
1972893.090000
0.0705354
Long
DBT
CORP
US
N
2
2039-09-30
Fixed
4.875
N
N
N
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-88312.070000
-0.0031574
N/A
DFE
GB
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
14103661.000000
GBP
17889513.770000
USD
2024-01-09
-88312.070000
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR
74514L3T2
27782113.240000
PA
USD
15175979.360000
0.542576
Long
DBT
MUN
PR
N
2
2043-11-01
Fixed
0
N
N
N
N
N
N
N/A
N/A
ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD
000000000
-5026765.790000
PA
USD
-5039039.480000
-0.180157
Short
RA
US
N
2
Reverse repurchase
N
5.860000
2024-01-17
27724854.650000
USD
5793334.680000
USD
AMBS
N
N
N
OI S.A. - EM RECUPERACAO JUDICIAL
N/A
OI SA TERM LOAN 2
938XAMII8
12932792.980000
PA
USD
646639.650000
0.0231188
Long
LON
CORP
BR
N
2
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 AIOS 144A
36261WAQ0
89339346.410000
PA
USD
607011.720000
0.021702
Long
ABS-O
CORP
US
N
2
2060-12-25
Variable
0.165
N
N
N
N
N
N
JP MORGAN ALTERNATIVE LN TRUST 2006-A7
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A7 2A6
466286AU5
13135204.020000
PA
USD
10234101.120000
0.365892
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
4.5312
N
N
N
N
N
N
MORGAN STANLEY CAPITAL INC 2005-HE7
N/A
MORGAN STANLEY CAPITAL INC MSAC 2005 HE7 M3
61744CWN2
5824216.720000
PA
USD
4943001.080000
0.176724
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
6.17543
N
N
N
N
N
N
BFLD TRUST 2020-EYP
N/A
BFLD TRUST BFLD 2020 EYP F 144A
05493AAQ3
3491000.000000
PA
USD
114923.020000
0.0041088
Long
ABS-MBS
CORP
US
N
2
2035-10-15
Floating
9.67648
N
N
N
N
N
N
N/A
N/A
VERITAS US INC TL TRS BKL BPS
000000000
1.000000
NC
USD
855510.850000
0.0305865
N/A
DIR
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
VERITAS US INC
VERITAS US INC TB B1 TSFR1M
Y
2025-09-01
0.000000
USD
0.000000
USD
28481959.800000
USD
855510.850000
N
N
N
GIP II BLUE HOLDING LP
N/A
GIP II BLUE HOLDING L P TERM LOAN B
31575AAB3
2391.720000
PA
USD
2405.840000
0.000086
Long
LON
CORP
US
N
2
2028-09-29
Floating
9.9704
N
N
N
N
N
N
VERAISON RE LTD
N/A
VERAISON RE LTD UNSECURED 144A 03/31 VAR
92335TAB5
3100000.000000
PA
USD
3268252.500000
0.116847
Long
DBT
CORP
BM
N
2
2031-03-10
Variable
12
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR
74514L4G9
37016962.510000
PA
USD
15176954.630000
0.542611
Long
DBT
MUN
PR
N
2
2051-11-01
Fixed
0
N
N
N
N
N
N
SUNAC SERVICES HOLDINGS LIMITED
549300K4OFRSVPWF2W77
SUNAC SERVICES HOLDINGS LTD COMMON STOCK HKD.01
BLN9QR902
88218.000000
NS
21126.680000
0.0007553
Long
EC
CORP
KY
N
1
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
VENTURE GLOBAL LNG INC SR SECURED 144A 02/29 9.5
92332YAC5
3700000.000000
PA
USD
3917530.400000
0.140061
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
9.5
N
N
N
N
N
N
MARGATE FUNDING LTD
N/A
MARGATE FUNDING LTD MGATE 2004 1A A2 144A
56659NAC9
2209000.000000
PA
USD
38752.490000
0.0013855
Long
ABS-CBDO
CORP
KY
N
2
2044-12-04
Floating
5.78571
N
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2006-3
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M3
07388GAF8
3920087.140000
PA
USD
3441291.220000
0.123034
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
6.44543
N
N
N
N
N
N
N/A
N/A
SOLD PEN BOUGHT USD 20240320
000000000
1.000000
NC
-1489.140000
-0.0000532
N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
368519.970000
PEN
97890.870000
USD
2024-03-20
-1489.140000
N
N
N
N/A
N/A
IRS MXN 8.67500 04/06/22-2Y CME
000000000
1.000000
NC
19067.920000
0.0006817
N/A
DIR
MX
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2024-04-03
0.000000
MXN
0.000000
MXN
36800000.000000
MXN
19067.920000
N
N
N
ACCREDITED MORTGAGE LOAN TRUST 2007-1
N/A
ACCREDITED MORTGAGE LOAN TRUST ACCR 2007 1 M3
00438QAG9
5235000.000000
PA
USD
3809339.360000
0.136192
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.76043
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2006-HYB5
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 3A1A
170256AK7
97627.310000
PA
USD
85460.380000
0.0030554
Long
ABS-MBS
CORP
US
N
2
2036-09-20
Variable
4.97025
N
N
N
N
N
N
GC PASTOR HIPOTECARIO FTA 5
N/A
PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS
997AAZII7
3500249.480000
PA
3381720.890000
0.120904
Long
ABS-MBS
CORP
ES
N
2
2046-06-21
Floating
4.093
N
N
N
N
N
N
N/A
N/A
IRS MXN 7.49750 01/27/22-10Y* CME
000000000
1.000000
NC
26002.860000
0.0009297
N/A
DIR
MX
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2032-01-15
32439.780000
MXN
0.000000
MXN
7900000.000000
MXN
-6436.920000
N
N
N
LUDGATE FUNDING PLC 2006-1X
N/A
LUDGATE FUNDING PLC LGATE 2006 1X RES REGS
ACI20ZV58
375000000.000000
PA
1363907.520000
0.0487628
Long
ABS-MBS
CORP
GB
N
3
2060-12-01
Floating
0
N
N
N
N
N
N
HOSPITALITY MORTGAGE TRUST 2019-HIT
N/A
HOSPITALITY MORTGAGE TRUST HPLY 2019 HIT F 144A
40443RAQ4
13688108.320000
PA
USD
13164558.710000
0.470663
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
8.625
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2003-4
N/A
SEQUOIA MORTGAGE TRUST SEMT 2003 4 2B1
81743PBY1
38902.920000
PA
USD
33891.900000
0.0012117
Long
ABS-MBS
CORP
US
N
3
2033-07-20
Floating
6.4474
N
N
N
N
N
N
PETROLEOS DE VENEZUELA SA (PDVSA)
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/27 5.375
P7807HAC9
440000.000000
PA
USD
49060.000000
0.001754
Long
DBT
CORP
VE
N
2
2027-04-12
Fixed
5.375
N
Y
N
N
N
N
CGG SA
969500FCVQ5SLAAUJV59
CGG SA SR SECURED 144A 04/27 7.75
ACI1WM066
4900000.000000
PA
5006239.750000
0.178984
Long
DBT
CORP
FR
N
2
2027-04-01
Fixed
7.75
N
N
N
N
N
N
KEYCORP STUDENT LOAN TRUST 2000-A
N/A
KSLT 2000 A CERT SUB KSLT 2000 A CERT SUB
934MAWII4
100000.000000
PA
USD
7282082.620000
0.260351
Long
ABS-O
CORP
US
N
3
2050-01-01
Fixed
0
N
N
N
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A2 144A
74143FAB5
1000000.000000
PA
USD
896278.500000
0.032044
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
3.8441
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR5
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR5 B1
92922FM39
427341.170000
PA
USD
305866.070000
0.0109354
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
4.61658
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-5032895.870000
PA
USD
-5085300.900000
-0.181811
Short
RA
US
N
2
Reverse repurchase
N
5.950000
2025-10-30
12000000.000000
USD
9210000.000000
USD
CDS
N
N
N
CONSECO FINANCE SECURITIZATION 2000-2
N/A
CONSECO FINANCE SECURITIZATION CNF 2000 2 A5
20846QCQ9
19043992.390000
PA
USD
3366905.490000
0.120375
Long
ABS-O
CORP
US
N
2
2030-12-01
Fixed
8.85
N
N
N
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-17148685.000000
PA
USD
-17392234.410000
-0.621812
Short
RA
US
N
2
Reverse repurchase
N
6.640000
2024-01-16
59380390.280000
USD
29396660.030000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-11892577.140000
PA
USD
-11927362.930000
-0.42643
Short
RA
US
N
2
Reverse repurchase
N
5.850000
2024-02-13
22000000.000000
USD
15397580.000000
USD
CDS
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL D 144A
95003WAJ5
3700000.000000
PA
USD
2977369.280000
0.106448
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
4.92766
N
N
N
N
N
N
PARK PLACE SECURITIES INC 2004-WHQ2
N/A
PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M6
70069FEN3
6027591.090000
PA
USD
4749219.190000
0.169795
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
7.42043
N
N
N
N
N
N
KNOLLWOOD CDO LTD. 2004-1A
N/A
KNOLLWOOD CDO LTD KNOLL 2004 1A A1 144A
499169AA8
8050899.760000
PA
USD
3318033.420000
0.118627
Long
ABS-CBDO
CORP
KY
N
2
2039-01-10
Floating
6.11835
N
N
N
N
N
N
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
N/A
UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6
91327AAB8
31176000.000000
PA
USD
21819770.640000
0.780106
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6
N
N
N
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES SA 2022 EUR PIK SENIOR TERM LOAN
945BEBII7
75509403.960000
PA
79503282.080000
2.84242
Long
LON
CORP
ES
N
2
2026-12-31
Floating
9.192
N
N
N
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC CLASS B COMMON STOCK
45174J608
132822.000000
NS
USD
319171.270000
0.0114111
Long
EC
CORP
US
N
3
N
N
N
N/A
N/A
ZCS BRL 12.015 03/17/22-01/04/27 CME
000000000
1.000000
NC
1964325.770000
0.0702291
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
269000000.000000
BRL
1964325.770000
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-5506700.030000
PA
USD
-5597874.160000
-0.200137
Short
RA
US
N
2
Reverse repurchase
N
6.050000
2024-03-22
10600000.000000
USD
7038400.000000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-83136.000000
PA
USD
-85179.290000
-0.0030454
Short
RA
US
N
2
Reverse repurchase
N
5.600000
2025-07-27
126000.000000
USD
112091.630000
USD
CDS
N
N
N
BX TRUST 2018-GW 2018-GW
N/A
BX TRUST BX 2018 GW F 144A
12433UAQ8
1400000.000000
PA
USD
1350782.720000
0.0482935
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
8.07901
N
N
N
N
N
N
ACE SECURITIES CORP 2006-OP1
N/A
ACE SECURITIES CORP. ACE 2006 OP1 M1
00442PAG5
7912559.600000
PA
USD
5723770.750000
0.204638
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.89043
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-DNA5
N/A
FREDDIE MAC STACR STACR 2021 DNA5 B2 144A
35564KJB6
14300000.000000
PA
USD
15232351.420000
0.544591
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
10.8374
N
N
N
N
N
N
BANK OF AMERICA MTG SEC 2002-G
N/A
BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1B3
06050HKZ0
19479.380000
PA
USD
17159.870000
0.0006135
Long
ABS-MBS
CORP
US
N
3
2032-07-20
Floating
5.75001
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MOR-2007-LD11
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LD11 AJ
46631BAK1
14832862.910000
PA
USD
3582136.390000
0.12807
Long
ABS-MBS
CORP
US
N
2
2049-06-15
Variable
5.88291
N
N
N
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND COAL CO PIK TERM LOAN
96106JAE9
3501276.400000
PA
USD
2590944.540000
0.0926321
Long
LON
CORP
US
N
2
2029-03-15
Fixed
8
N
N
Y
N
N
N
STATE AGENCY OF ROADS OF UKRAINE
254900FGEO8P5USHG994
STATE AGE ROADS GOVT GUARANT REGS 06/30 6.25
ACI1YPKX6
1200000.000000
PA
USD
309300.000000
0.0110582
Long
DBT
NUSS
UA
N
2
2030-06-24
Fixed
6.25
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST 2018-25
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2018 25 PT 144A
21053JAA8
17332.350000
PA
USD
9965.910000
0.0003563
Long
ABS-O
CORP
US
N
3
2043-12-15
Variable
-5.99634
N
N
N
N
N
N
EATON VANCE CDO LTD 2013-1A
N/A
EATON VANCE CDO LTD EATON 2013 1A SUB2 144A
27830CAL6
14000000.000000
PA
USD
8643816.860000
0.309036
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Floating
0
N
N
N
N
N
N
N/A
N/A
WEST MARINE NEW WARRANT WARRWM911
000000000
6096.000000
NC
USD
0.000000
0
N/A
DE
US
N
3
None
N/A
Call
Purchased
MARINE ONE HOLDCO LLC
WEST MARINE NEW COMMON STOCK
N/A
0.010000
USD
2028-09-11
XXXX
0.000000
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2018-SUN
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2018 SUN F 144A
61691MAQ0
7400000.000000
PA
USD
7121256.060000
0.254601
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
8.20883
N
N
N
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-778215.260000
-0.027823
N/A
DFE
GB
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
62799603.000000
GBP
79271945.150000
USD
2024-01-09
-778215.260000
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-2068636.710000
PA
USD
-2130307.940000
-0.0761633
Short
RA
US
N
2
Reverse repurchase
N
6.750000
2024-04-26
6668719.240000
USD
2626784.500000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS
000000000
-6529154.220000
PA
-8348522.550000
-0.298479
Short
RA
GB
N
2
Reverse repurchase
N
6.381000
2024-03-15
25556000.000000
GBP
18456415.420000
GBP
ABS
N
N
N
PALISADES CDO LTD. 2004-1A
N/A
PALISADES CDO LTD PALIS 2004 1A B2 144A
696399AE4
2000000.000000
PA
USD
493270.000000
0.0176355
Long
ABS-CBDO
CORP
KY
N
2
2039-07-22
Fixed
5.65
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-42484561.440000
PA
USD
-43342548.960000
-1.54959
Short
RA
US
N
2
Reverse repurchase
N
6.670000
2024-03-13
57624967.980000
USD
55032539.270000
USD
PLCMO
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC25 XCME 20260317
000000000
-68.000000
NC
USD
156956.760000
0.0056116
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
N/A
90SOFR
2026-03-17
-16476825.000000
USD
156956.760000
N
N
N
GSAMP TRUST 2006-HE3
N/A
GSAMP TRUST GSAMP 2006 HE3 M1
36244KAF2
27496594.040000
PA
USD
21482349.270000
0.768043
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
5.89043
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A
78471C109
4400000.000000
PA
USD
535233.470000
0.0191358
Long
ABS-O
CORP
US
N
3
2040-09-25
Fixed
0
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 02/35 7.875
37443GAH4
1100000.000000
PA
USD
484400.400000
0.0173184
Long
DBT
NUSS
GH
N
2
2035-02-11
Fixed
7.875
Y
Y
N
N
N
N
BXP TRUST 2021-601L
N/A
BXP TRUST BXP 2021 601L D 144A
05607TAJ1
7000000.000000
PA
USD
4352853.400000
0.155624
Long
ABS-MBS
CORP
US
N
2
2044-01-15
Variable
2.77546
N
N
N
N
N
N
N/A
N/A
REVERSE REPO DEUTSCHE REVERSE REPO
000000000
-1672000.000000
PA
USD
-1680269.460000
-0.0600734
Short
RA
US
N
2
Reverse repurchase
N
7.122021
2024-02-02
16000000.000000
USD
4196864.000000
USD
PLCMO
N
N
N
BRIDGEGATE FUNDING PLC 2023-1A
N/A
BRIDGEGATE FUNDING PLC BRGTE 2023 1A Z 144A
ACI2C6QG1
25556000.000000
PA
23525472.510000
0.841089
Long
ABS-MBS
CORP
GB
N
2
2062-10-16
Variable
0
N
N
N
N
N
N
ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM
N/A
ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM E 144A
04965JAJ2
44935689.000000
PA
USD
38113188.720000
1.36263
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
8.709
N
N
N
N
N
N
CBL & ASSOCIATES PROPERTIES INC
529900EIVFBRS4PUBZ13
CBL + ASSOCIATES PROPERTIES REIT USD.01
124830878
24558.000000
NS
USD
599706.360000
0.0214409
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-4645452.000000
PA
USD
-4672953.080000
-0.167069
Short
RA
US
N
2
Reverse repurchase
N
6.660000
2024-05-31
7628000.000000
USD
6725467.240000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-10950622.590000
PA
USD
-11042480.070000
-0.394794
Short
RA
US
N
2
Reverse repurchase
N
6.600000
2024-05-17
17708831.270000
USD
14981915.050000
USD
PLCMO
N
N
N
N/A
N/A
BARCLAYS REV REPO EUR
000000000
-512255.000000
PA
-572169.730000
-0.0204564
Short
RA
GB
N
2
Reverse repurchase
N
4.250000
2025-09-19
500000.000000
EUR
550358.000000
EUR
CDS
N
N
N
ASSET BACKED FUNDING CERT 2005-HE1
N/A
ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M5
04542BKW1
6398792.250000
PA
USD
5238468.540000
0.187287
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.52043
N
N
N
N
N
N
LIBERTY STREET TRUST 2016-225L
N/A
LIBERTY STREET TRUST LBTY 2016 225L A 144A
902055AA0
3500000.000000
PA
USD
3207141.000000
0.114663
Long
ABS-MBS
CORP
US
N
2
2036-02-10
Fixed
3.597
N
N
N
N
N
N
NOMURA HOME EQUITY LOAN INC 2006-FM1
N/A
NOMURA HOME EQUITY LOAN INC NHELI 2006 FM1 M1
65536HBY3
11396770.580000
PA
USD
8027089.700000
0.286987
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
6.08543
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2020-1A
N/A
MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A
57109J108
11251.000000
PA
USD
366212.110000
0.0130929
Long
ABS-O
CORP
US
N
3
2030-03-15
Fixed
0
N
N
N
N
N
N
CTDL 2020-1
N/A
CTDL 2020 1 TRUST CTDL 2020 1 B1 144A
12657JAB5
894000.000000
PA
USD
776771.930000
0.0277714
Long
ABS-MBS
CORP
US
N
2
2055-05-25
Fixed
4.75
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2
N/A
FREDDIE MAC STACR STACR 2022 DNA2 B2 144A
35564KSQ3
1600000.000000
PA
USD
1722889.600000
0.0615972
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
13.8374
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1762500.000000
PA
USD
-1774273.500000
-0.0634343
Short
RA
US
N
2
Reverse repurchase
N
6.680000
2024-02-26
2500000.000000
USD
2318096.750000
USD
PLCMO
N
N
N
1211 AVENUE OF THE AMERICAS TRUST 2015-1211
N/A
1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 C 144A
90117PAL9
3000000.000000
PA
USD
2764467.300000
0.098836
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Variable
4.1421
N
N
N
N
N
N
NAC HOLDINGS LTD
N/A
NAC AVIATION RSTRCTR EQUITY EQTYNACL7
944RJF908
531558.000000
NS
USD
8859300.180000
0.31674
Long
EC
CORP
US
Y
3
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1
N/A
FREDDIE MAC SCRT SCRT 2018 1 BX
35563PEX3
28123494.150000
PA
USD
10388956.540000
0.371429
Long
ABS-MBS
CORP
US
N
2
2057-05-25
Variable
3.07375
N
N
N
N
N
N
WESCO AIRCRAFT HOLDINGS INC
529900P5VTXZS191P208
WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5
950814AA1
112599840.000000
PA
USD
102465854.400000
3.66339
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
10.5
Y
Y
Y
N
N
N
ASHFORD HOSPITALITY TRUST 2018-KEYS
N/A
ASHFORD HOSPITALITY TRUST AHT1 2018 KEYS D 144A
04410CAL3
7750000.000000
PA
USD
7487630.730000
0.2677
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
8.284
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2
N/A
FREDDIE MAC SCRT SCRT 2020 2 M 144A
35563PRE1
6300000.000000
PA
USD
5634211.590000
0.201436
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
4.25
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-3081600.000000
PA
USD
-3124797.180000
-0.111719
Short
RA
US
N
2
Reverse repurchase
N
6.640000
2024-01-17
5700000.000000
USD
2444083.560000
USD
PLCMO
N
N
N
ENVALIOR FINANCE GMBH
254900GAG6U7Z5TROP43
SCUR ALPHA 1503 GMBH EUR TERM LOAN B1
D7001LAB9
2500000.000000
PA
2535138.730000
0.090637
Long
LON
CORP
DE
N
2
2030-03-29
Floating
9.448
N
N
N
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-9927051.000000
PA
USD
-10325291.180000
-0.369153
Short
RA
US
N
2
Reverse repurchase
N
5.800000
2024-01-23
12015000.000000
USD
12249667.170000
USD
CDS
N
N
N
MERCURY CDO LTD 2004-1A
N/A
MERCURY CDO LTD MRCY 2004 1A A2A 144A
58936RAC1
6052231.350000
PA
USD
5226368.070000
0.186855
Long
ABS-CBDO
CORP
KY
N
2
2040-12-08
Floating
6.5203
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I INC 2014-150E
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2014 150E A 144A
61764BAA1
12000000.000000
PA
USD
9886152.000000
0.353452
Long
ABS-MBS
CORP
US
N
2
2032-09-09
Fixed
3.912
N
N
N
N
N
N
N/A
N/A
REVERSE REPO MORGAN STANLEY
000000000
-18613666.030000
PA
-20597428.830000
-0.736405
Short
RA
LU
N
2
Reverse repurchase
N
4.300000
2024-03-13
21100000.000000
EUR
21929488.000000
EUR
CDS
N
N
N
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJFX 144A
17311QAE0
33546.370000
PA
USD
21644.120000
0.0007738
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.44218
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-NET
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2020 NET E 144A
126438AL4
3580000.000000
PA
USD
3120250.670000
0.111556
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Variable
3.7042
N
N
N
N
N
N
COMM 2019-521F MORTGAGE TRUST
N/A
COMM MORTGAGE TRUST COMM 2019 521F E 144A
20048GAL0
2929000.000000
PA
USD
1582698.620000
0.0565851
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
7.50901
N
N
N
N
N
N
CORESTATE CAPITAL HOLDING SA
529900GNB86RB7HRX793
CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8
ACI0Z2W07
691378.240000
PA
399750.670000
0.014292
Long
DBT
CORP
LU
N
2
2026-12-31
Fixed
8
Y
N
Y
Y
N
CORESTATE CAPITAL HOLDING SA
CORESTATE CAPITAL HOLDING S.
EUR
XXXX
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-4087779.000000
PA
USD
-4101084.720000
-0.146623
Short
RA
US
N
2
Reverse repurchase
N
6.510000
2024-04-15
10636000.000000
USD
5553636.340000
USD
PLCMO
N
N
N
JP MORGAN RESECURITIZATION TRUST SERIES 2014-7
N/A
JP MORGAN REREMIC JPMRR 2014 7 1C 144A
46643WAB1
7566495.810000
PA
USD
1628072.310000
0.0582073
Long
ABS-O
CORP
US
N
2
2036-05-26
Variable
0
N
N
N
N
N
N
COMETE HOLDING
N/A
COMEXPOSIUM 2019 EUR TERM LOAN B
964NDFII9
43457838.950000
PA
41594574.710000
1.4871
Long
LON
CORP
FR
N
2
2026-03-28
Fixed
4
N
N
Y
N
N
N
N/A
N/A
REVERSE REPO GOLDMAN
000000000
-2509519.750000
PA
USD
-2541373.920000
-0.0908599
Short
RA
US
N
2
Reverse repurchase
N
6.720000
2024-07-29
3578000.000000
USD
3428461.430000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-23691761.170000
PA
USD
-23807034.750000
-0.851155
Short
RA
US
N
2
Reverse repurchase
N
6.040000
2024-04-04
29498000.000000
USD
28175996.980000
USD
CDS
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2004-1
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 1 CB1
007036AT3
2250899.070000
PA
USD
2034386.890000
0.0727339
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
6.62043
N
N
N
N
N
N
STRUCTURED ASSET SEC CORP 2005-WF1
N/A
STRUCTURED ASSET SECURITIES CO SASC 2005 WF1 M6
86359BW49
414275.610000
PA
USD
405810.880000
0.0145087
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
6.67043
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2005-4
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 4 MV7
126673R53
12458091.760000
PA
USD
9725793.040000
0.347719
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
7.34543
N
N
N
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-26388586.000000
PA
USD
-27152623.530000
-0.970768
Short
RA
US
N
2
Reverse repurchase
N
6.060000
2024-01-10
45493000.000000
USD
34676899.030000
USD
CDS
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ1
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ1 M1
83612JAE4
25391143.720000
PA
USD
22100872.990000
0.790156
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.84543
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2018-BOP
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2018 BOP A 144A
61768FAA8
6330700.540000
PA
USD
5293408.930000
0.189251
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Floating
6.259
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 07/35 VAR
ACI1QL1M9
1209000.000000
PA
USD
420127.500000
0.0150205
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
3.625
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2007-C2
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 C 144A
22545YAL5
5700000.000000
PA
USD
5716062.600000
0.204362
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
5.6133
N
N
N
N
N
N
N/A
N/A
SOLD IDR BOUGHT USD 20240320
000000000
1.000000
NC
-429.040000
-0.0000153
N/A
DFE
ID
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
9376592226.000000
IDR
608514.000000
USD
2024-03-20
-429.040000
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-4596992.400000
PA
USD
-4615589.790000
-0.165018
Short
RA
US
N
2
Reverse repurchase
N
6.620000
2024-04-11
7654000.000000
USD
4025239.370000
USD
PLCMO
N
N
N
AGPS BONDCO PLC
89450071QI2G8XS48K39
AGPS BONDCO PLC COMPANY GUAR REGS 01/29 5
ACI1TZGC1
700000.000000
PA
255012.490000
0.0091173
Long
DBT
CORP
GB
N
2
2029-01-14
Fixed
5
N
N
N
N
N
N
PUTNAM STRUCTURED PRODUCT FUNDING 2003-1A LTD
N/A
PUTNAM STRUCTURED PRODUCT FUND PTNM 2003 1A B 144A
74686PAJ9
2682550.460000
PA
USD
1855104.360000
0.0663242
Long
ABS-CBDO
CORP
KY
N
2
2038-10-15
Floating
1.58363
N
N
N
N
N
N
THE COMPLEAT FOOD GROUP (HOLDINGS) LIMITED
259400QEGOEU126C6775
ADDO AND WINTERBOTHAM GBP TERM LOAN
937ICLII2
7000000.000000
PA
8387197.920000
0.299861
Long
LON
CORP
GB
N
3
2028-01-31
Floating
10.9646
N
N
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1
040114HX1
948754.000000
PA
USD
378794.780000
0.0135428
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1
N
N
N
N
N
N
AEGIS ASSET BACKED SEC TR 2004-3
N/A
AEGIS ASSET BACKED SECURITIES AABST 2004 3 B2
00764MCK1
638439.050000
PA
USD
524968.190000
0.0187688
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
8.62043
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2018-2A
N/A
MARLETTE FUNDING TRUST MFT 2018 2A CERT 144A
57109E109
10196.000000
PA
USD
23769.330000
0.0008498
Long
ABS-O
CORP
US
N
3
2028-07-17
Fixed
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO MIZUHO SECURITIES
000000000
-122087848.280000
PA
USD
-122532112.390000
-4.3808
Short
RA
US
N
2
Reverse repurchase
N
6.550000
2024-06-12
214088239.570000
USD
170997110.010000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-9980088.440000
PA
USD
-10015767.260000
-0.358086
Short
RA
US
N
2
Reverse repurchase
N
5.850000
2025-12-10
15330000.000000
USD
13016336.540000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-1824486.000000
PA
USD
-1886439.460000
-0.0674445
Short
RA
US
N
2
Reverse repurchase
N
6.680000
2024-01-02
2800000.000000
USD
2682977.080000
USD
PLCMO
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-7347.710000
-0.0002627
N/A
DFE
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
486000.000000
GBP
612152.670000
USD
2024-01-09
-7347.710000
N
N
N
N/A
N/A
TRS YJL 01/28/36 MYC
000000000
1.000000
NC
-4000127.800000
-0.143014
N/A
DCR
CN
N
3
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
HUAXI SECURITIES AGILE INTERNATIONAL PLAZA COMMERCIAL PROPERTIES ABS 2018-1
YJL 2018-1 A
Y
2036-01-28
41685.060000
CNY
0.000000
CNY
101100000.000000
CNY
-4041812.860000
N
N
N
CASSINI SAS
9695009FFM30CUZ8FO85
COMEXPOSIUM 2019 EUR 1ST LIEN TLB
945AYZII4
6732047.620000
PA
6443409.630000
0.230367
Long
LON
CORP
FR
N
2
2026-03-28
Fixed
4
N
N
Y
N
N
N
N/A
N/A
ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD
000000000
-1680486.000000
PA
USD
-1719266.010000
-0.0614677
Short
RA
US
N
2
Reverse repurchase
N
6.020000
2024-02-16
19281591.910000
USD
2130081.130000
USD
AMBS
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH H 144A
46654EAQ4
5000000.000000
PA
USD
3391306.000000
0.121247
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
8.86648
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-11369441.160000
PA
USD
-11604213.800000
-0.414877
Short
RA
US
N
2
Reverse repurchase
N
6.820000
2024-03-13
33050019.150000
USD
12985161.720000
USD
PLCMO
N
N
N
GREAT HALL MORTGAGES PLC 2007-2X
N/A
FIAC
936NUVII0
1000000.000000
PA
1.270000
0
Long
ABS-MBS
CORP
GB
N
3
2039-06-25
Fixed
0
N
N
N
N
N
N
EUROSAIL PLC 2007-1X
N/A
EUROSAIL PLC ESAIL 2007 1X D1A REGS
ACI05RDQ9
250000.000000
PA
235816.980000
0.008431
Long
ABS-MBS
CORP
GB
N
2
2045-03-13
Floating
4.798
N
N
N
N
N
N
N/A
N/A
ZCS BRL 12 03/23/22-01/02/25 CME
000000000
1.000000
NC
-244.510000
-0.0000087
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
5900000.000000
BRL
-244.510000
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2015-C
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2015 C R 144A
78448R106
9980.000000
PA
USD
2988058.750000
0.10683
Long
ABS-O
CORP
US
N
3
2046-09-18
Fixed
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-1175744.000000
PA
USD
-1182232.510000
-0.0422675
Short
RA
US
N
2
Reverse repurchase
N
6.020000
2024-03-28
1800000.000000
USD
1487421.900000
USD
PLCMO
N
N
N
BCAP LLC TRUST 2010-RR9
N/A
BCAP LLC TRUST BCAP 2010 RR9 1A5 144A
05533GAE9
11005868.420000
PA
USD
7461712.450000
0.266773
Long
ABS-MBS
CORP
US
N
2
2037-08-28
Variable
3.61537
N
N
N
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-3097884.410000
PA
USD
-3148819.680000
-0.112577
Short
RA
US
N
2
Reverse repurchase
N
6.600000
2024-04-04
4806437.900000
USD
4196262.680000
USD
PLCMO
N
N
N
BAMLL RE-REMIC TRUST 2016-RRLD11
N/A
BANC OF AMERICA MERRILL LYNCH BAMLL 2016 LD11 AJB 144A
05491JAB9
3000000.000000
PA
USD
724500.000000
0.0259025
Long
ABS-MBS
CORP
US
N
2
2050-06-17
Variable
5.88291
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II 2017-SLP
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP F 144A
36255MAQ0
3380000.000000
PA
USD
3043815.400000
0.108823
Long
ABS-MBS
CORP
US
N
2
2032-10-10
Variable
4.5913
N
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR3
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 FR3 M2
81375WEV4
1308204.440000
PA
USD
1122034.910000
0.0401153
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
6.44543
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2007-QS1
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1
74922KAA3
131068.810000
PA
USD
101608.950000
0.0036328
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
6
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-9
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 9 1A5
12669GZS3
2530627.750000
PA
USD
1464211.350000
0.0523489
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
6.17043
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-23210222.800000
PA
USD
-23317892.450000
-0.833668
Short
RA
US
N
2
Reverse repurchase
N
6.680000
2024-04-08
39094526.920000
USD
32709746.410000
USD
PLCMO
N
N
N
UKRAINE GOVT
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT SR UNSECURED 144A 05/31 6.876
90372UAR5
5000000.000000
PA
USD
1164062.500000
0.0416179
Long
DBT
NUSS
UA
N
2
2031-05-21
Fixed
6.876
N
N
N
N
N
N
N/A
N/A
REVERSE REPOS
000000000
-10875282.260000
PA
-13940403.430000
-0.498401
Short
RA
GB
N
2
Reverse repurchase
N
5.920000
2024-05-28
15333000.000000
GBP
14622330.780000
GBP
ABS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-2355384.340000
PA
USD
-2406826.590000
-0.0860495
Short
RA
US
N
2
Reverse repurchase
N
6.290000
2024-02-26
3100000.000000
USD
2826828.000000
USD
CDS
N
N
N
FLOODSMART RE LTD
549300KK1LNVFW95S875
FLOODSMART RE LTD UNSECURED 144A 03/24 VAR
33975CAH8
643000.000000
PA
USD
603616.250000
0.0215807
Long
DBT
CORP
BM
N
2
2024-03-01
Floating
17.33
N
N
N
N
N
N
COLT 2021-1R MORTGAGE LOAN TRUST
N/A
COLT FUNDING LLC COLT 2021 1R B1 144A
19688BAE4
2458000.000000
PA
USD
2032327.740000
0.0726603
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
3.55
N
N
N
N
N
N
BBVA-6 FTPYME FTA 6
N/A
BBVA 6 FTPYME FTA BBVAP 6 C REGS
E22473AC1
585828.750000
PA
378848.770000
0.0135447
Long
ABS-O
CORP
ES
N
2
2046-03-22
Floating
4.566
N
N
N
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-222673.400000
PA
USD
-222948.560000
-0.0079709
Short
RA
US
N
2
Reverse repurchase
N
6.355000
2024-03-25
300000.000000
USD
263673.450000
USD
PLCMO
N
N
N
N/A
N/A
ZCS BRL 11.7 03/24/22-01/04/27 CME
000000000
1.000000
NC
4179.100000
0.0001494
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
800000.000000
BRL
4179.100000
N
N
N
STEENBOK LUX FINCO 1 SARL
N/A
STEENBOK LUX FINCO 2 SARL 2023 EUR PIK ERLY BRD FE SS TL
948FXPII3
169914.960000
PA
190391.310000
0.0068069
Long
LON
CORP
LU
N
2
2026-06-30
Fixed
10
N
N
Y
N
N
N
ENCORE CREDIT RECEIVABLES TRUST 2005-2
N/A
ENCORE CREDIT RECEIVABLES TRUS ECR 2005 2 M5
126673J52
13866111.150000
PA
USD
10735505.160000
0.383819
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
6.44543
N
N
N
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BHP3
N/A
BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BHP3 A 144A
05891HAA1
1000000.000000
PA
USD
996071.300000
0.0356118
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
7.37648
N
N
N
N
N
N
HILTON ORLANDO TRUST 2018-ORL
N/A
HILTON USA TRUST HILT 2018 ORL F 144A
432885AQ4
2207000.000000
PA
USD
2141496.460000
0.0765634
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Floating
9.30881
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/2.00000 12/21/22-2Y CME
000000000
1.000000
NC
USD
-18827993.540000
-0.673144
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2024-12-21
0.000000
USD
-32451766.640000
USD
677400000.000000
USD
13623773.100000
N
N
N
N/A
N/A
REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079
000000000
-8269389.030000
PA
USD
-8349455.080000
-0.298512
Short
RA
US
N
2
Reverse repurchase
N
6.600000
2024-05-08
11615303.460000
USD
11498083.380000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-6094275.000000
PA
USD
-6177568.510000
-0.220862
Short
RA
US
N
2
Reverse repurchase
N
6.390000
2024-01-16
10000000.000000
USD
7738032.000000
USD
PLCMO
N
N
N
CAYENNE AVIATION LLC
N/A
VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5
942UCF900
13205.000000
NS
USD
0.010000
0
Long
EP
CORP
US
N
3
N
N
N
N/A
N/A
REVERSE REPO MORGAN STANLEY
000000000
-5931044.580000
PA
-6575751.250000
-0.235098
Short
RA
LU
N
2
Reverse repurchase
N
4.470000
2024-01-25
8422090.050000
EUR
7065902.790000
EUR
ABS
N
N
N
N/A
N/A
IRS EUR 0.15000 06/17/20-10Y LCH
000000000
1.000000
NC
135872.570000
0.0048578
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2030-06-17
0.000000
EUR
-636.970000
EUR
900000.000000
EUR
136509.540000
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-11922240.000000
PA
USD
-12016469.080000
-0.429616
Short
RA
US
N
2
Reverse repurchase
N
6.617000
2024-02-20
18530000.000000
USD
14807200.030000
USD
PLCMO
N
N
N
FANNIE MAE REMICS 2021-59
N/A
FANNIE MAE FNR 2021 59 KI
3136BGB75
24425752.010000
PA
USD
5313722.200000
0.189978
Long
ABS-MBS
USGSE
US
N
2
2051-09-25
Fixed
4
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 E 144A
46642CAN0
1846228.000000
PA
USD
669257.650000
0.0239275
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
3.5
N
N
N
N
N
N
CORESTATE CAPITAL HOLDING SA
529900GNB86RB7HRX793
CORESTATE CAPITAL HOLDING COMMON STOCK
ACI2J2G58
632951.000000
NS
0.700000
0
Long
EC
CORP
LU
Y
3
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-3851538.720000
PA
USD
-3860732.130000
-0.13803
Short
RA
US
N
2
Reverse repurchase
N
6.610000
2024-05-15
5941290.060000
USD
5079995.500000
USD
PLCMO
N
N
N
MORTGAGE FUNDING 2008-1 PLC
N/A
MORTGAGE FUNDING PLC MFD 2008 1 B1 REGS
ACI1690J6
1700000.000000
PA
2166014.640000
0.0774399
Long
ABS-MBS
CORP
GB
N
2
2046-03-13
Floating
8.51451
N
N
N
N
N
N
COMM 2019-521F MORTGAGE TRUST
N/A
COMM MORTGAGE TRUST COMM 2019 521F C 144A
20048GAG1
1000000.000000
PA
USD
745107.600000
0.0266393
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
6.80901
N
N
N
N
N
N
MCDERMOTT INTERNATIONAL LTD
54930004RAXI4B3L4752
MCDERMOTT INTERNATIONAL LTD COMMON STOCK
G5924V106
57729.000000
NS
USD
5195.610000
0.0001858
Long
EC
CORP
BM
N
1
N
N
N
WASHINGTON MUTUAL 2005-AR6
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 B1
92922FJ74
10995319.610000
PA
USD
8690962.310000
0.310722
Long
ABS-MBS
CORP
US
N
2
2045-04-25
Floating
6.37043
N
N
N
N
N
N
IHEARTMEDIA INC
N/A
IHEARTMEDIA INC CLASS A COMMON STOCK
45174J509
171118.000000
NS
USD
456885.060000
0.0163347
Long
EC
CORP
US
N
1
N
N
N
DBGS MORTGAGE TRUST 2019-1735
N/A
DBGS MORTGAGE TRUST DBGS 2019 1735 E 144A
23307EAL5
16777000.000000
PA
USD
11009812.300000
0.393626
Long
ABS-MBS
CORP
US
N
2
2037-04-10
Variable
4.19455
N
N
N
N
N
N
CORSAIR INTERNATIONAL LIMITED
213800F3PS68ENYG4O41
CORSAIR INTERNATIONAL SECURED REGS 01/29 VAR
ACI2363N1
1300000.000000
PA
1435135.200000
0.0513093
Long
DBT
CORP
JE
N
2
2029-01-28
Floating
9.152
N
N
N
N
N
N
GIBSON BRANDS INC (AKA: GIBSON GUITAR CORP)
549300KU4ACNZQGB7J14
GIBSON BRANDS INC 2021 TERM LOAN
37476YAB8
3459425.130000
PA
USD
3101945.430000
0.110902
Long
LON
CORP
US
N
2
2028-08-11
Floating
10.6644
N
N
N
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX
N/A
BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX E 144A
05493LAN6
24605000.000000
PA
USD
19727799.360000
0.705314
Long
ABS-MBS
CORP
US
N
2
2038-09-15
Floating
9.22648
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST 2020-1
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2020 1 PT 144A
21056BAA2
366625.240000
PA
USD
343656.100000
0.0122865
Long
ABS-O
CORP
US
N
2
2045-02-15
Variable
7.4
N
N
N
N
N
N
N/A
N/A
BOUGHT IDR SOLD USD 20240320
000000000
1.000000
NC
-115.400000
-0.0000041
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
280137.350000
USD
4311818064.000000
IDR
2024-03-20
-115.400000
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-3594687.430000
PA
USD
-3613770.230000
-0.129201
Short
RA
US
N
2
Reverse repurchase
N
6.590000
2024-04-04
6000164.470000
USD
4932961.090000
USD
PLCMO
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC
N/A
BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BOC A 144A
05551JAA8
11620000.000000
PA
USD
9054306.320000
0.323712
Long
ABS-MBS
CORP
US
N
2
2032-01-15
Fixed
2.627
N
N
N
N
N
N
ALBA PLC 2006-2
N/A
ALBA PLC ALBA 2006 2 MERC REGS
B1HMYYII1
100.000000
PA
0.000000
0
Long
ABS-O
CORP
GB
N
3
2038-12-15
Floating
0
N
N
N
N
N
N
BMO 2022-C1 MORTGAGE TRUST
N/A
BMO 2022 C1 MORTGAGE TRUST BMO 2022 C1 111E 144A
05609MCS2
12569000.000000
PA
USD
9577163.220000
0.342405
Long
ABS-MBS
CORP
US
N
2
2055-02-17
Variable
3.26866
N
N
N
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-14651414.380000
PA
-16584125.970000
-0.59292
Short
RA
N/A
N
2
Reverse repurchase
N
4.200000
2025-05-09
15377000.000000
EUR
16234997.130000
EUR
CDS
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-720347.000000
PA
USD
-744001.990000
-0.0265998
Short
RA
US
N
2
Reverse repurchase
N
6.460000
2024-01-02
1000000.000000
USD
745107.600000
USD
PLCMO
N
N
N
COMM 2022-HC MORTGAGE TRUST
N/A
COMM MORTGAGE TRUST COMM 2022 HC A 144A
12659DAA8
1500000.000000
PA
USD
1317740.850000
0.0471122
Long
ABS-MBS
CORP
US
N
2
2039-01-10
Fixed
2.819
N
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2005-FIX1
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 FIX1 M1
22541S5V6
978438.700000
PA
USD
634411.920000
0.0226817
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
5.85
N
N
N
N
N
N
STEENBOK LUX FINCO 2 SARL
N/A
STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL B2 RESTRUCTURE
948FWLII3
12405703.750000
PA
4408167.780000
0.157602
Long
LON
CORP
LU
N
2
2026-06-30
Fixed
10
N
N
Y
N
N
N
LAKESIDE CDO I LTD/LAKESIDE CDO I INC 2004-1A
N/A
LAKESIDE CDO LTD LAKES 2004 1A A2A 144A
51210VAC4
14637134.440000
PA
USD
4234845.010000
0.151405
Long
ABS-CBDO
CORP
KY
N
2
2040-01-03
Floating
5.88507
N
N
N
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES SA 2022 EUR PIK JUNIOR TERM LOAN
945BECII5
6371297.210000
PA
6494328.840000
0.232187
Long
LON
CORP
ES
N
2
2027-06-30
Fixed
6.942
N
N
Y
N
N
N
N/A
N/A
RFR USD SOFR/1.75000 06/15/22-5Y LCH
000000000
1.000000
NC
USD
-20239104.280000
-0.723594
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2027-06-15
0.000000
USD
-5908319.000000
USD
246200000.000000
USD
-14330785.280000
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 NR 144A
46642CAX8
3462597.200000
PA
USD
233725.310000
0.0083562
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
3.5
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 06/29 8.75
71654QDL3
6612000.000000
PA
USD
6432517.920000
0.229977
Long
DBT
CORP
MX
N
2
2029-06-02
Fixed
8.75
N
N
N
N
N
N
STWD 2021-HTS MORTGAGE TRUST 2021-HTS
N/A
STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS E 144A
78486DAJ9
7023500.000000
PA
USD
6755901.140000
0.241539
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
8.47648
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG REG COMMON STOCK CHF.1
ACI09N1W4
5143.000000
NS
159600.860000
0.0057061
Long
EC
CORP
CH
N
1
N
N
N
GSAMP TRUST 2006-HE4
N/A
GSAMP TRUST GSAMP 2006 HE4 M1
362439AF8
7377972.340000
PA
USD
6155381.820000
0.220069
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.92043
N
N
N
N
N
N
MORRISONS (MARKET BIDCO LIMITED)
549300RKU7UEPSC42U63
WM MORRISON EUR TERM LOAN B1
943UASII4
34356949.260000
PA
36120883.470000
1.2914
Long
LON
CORP
GB
N
2
2027-11-04
Floating
8.752
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-11
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 11 2M1
23247LAF5
26399999.930000
PA
USD
19505352.190000
0.697361
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
5.77043
N
N
N
N
N
N
SMRT 2022-MINI
N/A
SMRT SMRT 2022 MINI E 144A
78457JAN2
11350000.000000
PA
USD
10700307.840000
0.38256
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
8.062
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-9328.220000
-0.0003335
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
350200000.000000
HUF
1000000.000000
USD
2024-01-04
-9328.220000
N
N
N
SUNAC CHINA HOLDINGS LIMITED
549300OLARYHDXP3WK18
SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/29 7
ACI2L7QV6
32748.000000
PA
USD
2357.860000
0.0000843
Long
DBT
CORP
KY
N
2
2029-09-30
Fixed
7
N
N
Y
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2018-BOP
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2018 BOP E 144A
61768FAN0
1200000.000000
PA
USD
335191.920000
0.0119839
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
7.359
N
N
N
N
N
N
N/A
N/A
REVERSE REPO DEUTSCHE REVERSE REPO
000000000
-7530372.000000
PA
USD
-7552078.300000
-0.270004
Short
RA
US
N
2
Reverse repurchase
N
6.918000
2024-02-16
37095426.540000
USD
7843531.180000
USD
PLCMO
N
N
N
N/A
N/A
3 MONTH SOFR FUT SEP24 XCME 20241217
000000000
-74.000000
NC
USD
331939.610000
0.0118676
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
N/A
90SOFR
2024-12-17
-17740112.500000
USD
331939.610000
N
N
N
PERU LNG SRL
254900F70J1LOALV5K70
PERU LNG SRL SR UNSECURED REGS 03/30 5.375
P7721BAE1
34272000.000000
PA
USD
28390513.540000
1.01503
Long
DBT
CORP
PE
N
2
2030-03-22
Fixed
5.375
N
N
N
N
N
N
N/A
N/A
ZCS BRL 12.14 03/21/22-01/02/25 CME
000000000
1.000000
NC
3090.260000
0.0001105
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
5000000.000000
BRL
3090.260000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 01/24 0.00000
912796ZY8
15536000.000000
PA
USD
15483713.430000
0.553578
Long
DBT
UST
US
N
2
2024-01-25
None
0
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.00 9/16/23-7Y* CME
000000000
1.000000
NC
USD
-9144279.280000
-0.326929
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2030-12-16
1388857.030000
USD
0.000000
USD
53800000.000000
USD
-10533136.310000
N
N
N
PIMCO FUNDS
LWVQWTQCFH3YG7CVH718
PIMCO PRV SHORT TERM FLT III MUTUAL FUND
000000000
36795609.550000
PA
USD
357910894.060000
12.7961
Long
STIV
RF
US
N
1
N
N
N
CARVANA CO
5493003WEAK2PJ5WS063
CARVANA CO SR SECURED 144A 06/31 14
146869AM4
24445000.000000
PA
USD
20904155.680000
0.747371
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
14
N
N
Y
N
N
N
MULTIPLAN CORPORATION
N/A
MULTIPLAN CORP SR UNSECURED 144A 10/27 6
17144CAB0
10600000.000000
PA
USD
7038400.000000
0.251639
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
6
N
N
Y
Y
N
MULTIPLAN CORPORATION
MULTIPLAN CORP
USD
XXXX
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL C 144A
95003WAG1
7835000.000000
PA
USD
6542410.690000
0.233906
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
4.92766
N
N
N
N
N
N
N/A
N/A
ZCS BRL 11.14 03/29/22-01/02/25 CME
000000000
1.000000
NC
-10677.490000
-0.0003817
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
2600000.000000
BRL
-10677.490000
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP F 144A
12651QAQ2
22329200.000000
PA
USD
19757028.000000
0.706359
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
9.794
N
N
N
N
N
N
MARGATE FUNDING LTD
N/A
MARGATE FUNDING LTD MGATE 2004 1A A1J 144A
56659NAB1
8718000.000000
PA
USD
152565.000000
0.0054545
Long
ABS-CBDO
CORP
KY
N
2
2044-12-04
Floating
5.58571
Y
Y
N
N
N
N
ALTICE FRANCE HOLDING SA
5299000JVHXKJPOE6H40
ALTICE FRANCE HOLDING SA SR SECURED 144A 05/27 10.5
02156TAB0
23800000.000000
PA
USD
15437609.390000
0.551929
Long
DBT
CORP
LU
N
2
2027-05-15
Fixed
10.5
N
N
N
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-1604760.000000
PA
-1776048.040000
-0.0634977
Short
RA
LU
N
2
Reverse repurchase
N
4.352000
2024-03-12
2000000.000000
EUR
1850956.000000
EUR
CDS
N
N
N
CLEAR CHANNEL OUTDOOR HOLDINGS INC
N/A
CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK
18453H106
725704.000000
NS
USD
1320781.280000
0.0472209
Long
EC
CORP
US
N
1
N
N
N
CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3
N/A
CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ
14986DAJ9
244173.230000
PA
USD
218935.560000
0.0078274
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
5.688
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 E 144A
46653DAJ3
5000000.000000
PA
USD
1852712.500000
0.0662387
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
9.32648
N
N
N
N
N
N
GSAMP TRUST 2005-AHL2 2005-AHL2
N/A
GSAMP TRUST GSAMP 2005 AHL2 M1
362341C64
7236248.340000
PA
USD
4734417.510000
0.169266
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
6.13043
N
N
N
N
N
N
AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR
N/A
AUSTIN FAIRMONT HOTEL TRUST AFHT 2019 FAIR E 144A
05223HAN2
2800000.000000
PA
USD
2745275.680000
0.0981498
Long
ABS-MBS
CORP
US
N
2
2032-09-15
Floating
7.659
N
N
N
N
N
N
STUBHUB (PUG LLC)
N/A
PUG LLC 2021 INCREMENTAL TERM LOAN B
74530DAG0
4936868.700000
PA
USD
4912184.360000
0.175622
Long
LON
CORP
US
N
2
2027-02-12
Floating
9.7204
N
N
N
N
N
N
COLT 2021-1R MORTGAGE LOAN TRUST
N/A
COLT FUNDING LLC COLT 2021 1R M1 144A
19688BAD6
1156000.000000
PA
USD
874188.240000
0.0312542
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
2.695
N
N
N
N
N
N
N/A
N/A
IRS EUR 0.50000 06/17/20-30Y LCH
000000000
1.000000
NC
5445193.600000
0.194678
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2050-06-17
0.000000
EUR
-98958.600000
EUR
13500000.000000
EUR
5544152.200000
N
N
N
N/A
N/A
BOUGHT INR SOLD USD 20240320
000000000
1.000000
NC
40.130000
0.0000014
N/A
DFE
IN
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
19770.000000
USD
1654304.180000
INR
2024-03-20
40.130000
N
N
N
WEST MARINE (RISING TIDE HOLDINGS INC)
254900T03WM6VU0KWL83
RISING TIDE HOLDINGS INC 2023 FILO TERM LOAN
948ERGII3
157953.000000
PA
USD
152266.690000
0.0054439
Long
LON
CORP
US
N
3
2026-06-01
Floating
14.356
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
BONOS DE TESORERIA SR UNSECURED 08/32 6.15
ACI0WBN59
478000.000000
PA
126350.260000
0.0045173
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2014-A
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2014 A R 144A
784456105
15318.000000
PA
USD
454889.100000
0.0162633
Long
ABS-O
CORP
US
N
3
2045-09-15
Fixed
0
N
N
N
N
N
N
C-BASS CBO XVI CORP 16A
N/A
C BASS LTD CBCL 16A A 144A
12498YAA7
21237597.620000
PA
USD
2123.760000
0.0000759
Long
ABS-CBDO
CORP
KY
N
2
2041-09-06
Floating
8.75
N
N
N
N
N
N
DELTA FUNDING HOME EQ LN TR 1999-3
N/A
DELTA FUNDING HOME EQUITY LOAN DELHE 1999 3 M1
24763LFY1
1514762.800000
PA
USD
1012845.990000
0.0362115
Long
ABS-MBS
CORP
US
N
2
2030-01-15
Variable
8.1
N
N
N
N
N
N
N/A
N/A
3 MONTH SOFR FUT JUN24 XCME 20240917
000000000
-80.000000
NC
USD
423032.120000
0.0151244
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
N/A
90SOFR
2024-09-17
-19095500.000000
USD
423032.120000
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO GBP ZCP
000000000
-2785533.470000
PA
-3577835.480000
-0.127916
Short
RA
GB
N
2
Reverse repurchase
N
5.897000
2024-02-15
5421236.050000
GBP
4221325.680000
GBP
ABS
N
N
N
CORSAIR INTERNATIONAL LIMITED
213800F3PS68ENYG4O41
CORSAIR INTERNATIONAL SECURED REGS 01/27 VAR
ACI2363S0
2300000.000000
PA
2539085.360000
0.0907781
Long
DBT
CORP
JE
N
2
2027-01-28
Floating
8.802
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-4919624.000000
PA
USD
-5033048.660000
-0.179943
Short
RA
US
N
2
Reverse repurchase
N
6.640000
2024-02-26
8440000.000000
USD
6435391.090000
USD
PLCMO
N
N
N
NPC UKRENERGO
8945009LCLS92V4AK321
NPC UKRENERGO GOVT GUARANT REGS 11/28 6.875
ACI21LG55
800000.000000
PA
USD
217200.000000
0.0077654
Long
DBT
CORP
UA
N
2
2028-11-09
Fixed
6.875
N
N
N
N
N
N
WHLN-2018-TOCU4
N/A
WHLN92622 WHLN RTL PFLX
964EJZII9
3641945.690000
PA
USD
3515982.220000
0.125704
Long
LON
CORP
US
Y
3
2049-06-01
Fixed
8
N
N
N
N
N
N
ACE SECURITIES CORP 2006-NC1
N/A
ACE SECURITIES CORP. ACE 2006 NC1 M2
004421UV3
2968769.280000
PA
USD
2332206.660000
0.0833817
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
6.11543
N
N
N
N
N
N
N/A
N/A
SOLD CNH BOUGHT USD 20240326
000000000
1.000000
NC
-47756.520000
-0.0017074
N/A
DFE
CN
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
17420038.370000
CNY
2411031.590000
USD
2024-03-26
-47756.520000
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-320144.000000
PA
-353898.140000
-0.0126527
Short
RA
LU
N
2
Reverse repurchase
N
4.400000
2024-03-22
400000.000000
EUR
370191.200000
EUR
CDS
N
N
N
KEYCORP STUDENT LOAN TRUST 2003-A
N/A
KSLT 2003 A R SUB KSLT 2003 A R SUB
933RCTII9
100000.000000
PA
USD
18122599.200000
0.647924
Long
ABS-O
CORP
US
N
3
2050-01-01
Fixed
0
N
N
N
N
N
N
N/A
N/A
IRS EUR 0.50000 09/21/22-30Y LCH
000000000
1.000000
NC
7242886.280000
0.25895
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2052-09-21
1454644.850000
EUR
0.000000
EUR
16800000.000000
EUR
5788241.430000
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2004-2
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 2 7M2
007036CD6
1502956.770000
PA
USD
1411071.850000
0.050449
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
7.27043
N
N
N
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-3443793.870000
PA
USD
-3490060.000000
-0.124778
Short
RA
US
N
2
Reverse repurchase
N
6.811930
2024-04-22
5191282.400000
USD
4694987.780000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-862445.000000
PA
-964282.550000
-0.0344753
Short
RA
LU
N
2
Reverse repurchase
N
3.850000
2025-08-31
1100000.000000
EUR
1046296.900000
EUR
CDS
N
N
N
MKP CBO IV LTD
N/A
MKP CBO LTD MKP 4A A2 144A
553121AC8
44000000.000000
PA
USD
9884072.000000
0.353378
Long
ABS-CBDO
CORP
KY
N
2
2040-07-12
Floating
9
N
N
N
N
N
N
MRCD 2019-PRKC MORTGAGE TRUST
N/A
MRCD 2019 PRKC MORTGAGE TRUST MRCD 2019 PRKC A 144A
55348UAA6
5500000.000000
PA
USD
1591479.450000
0.056899
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
4.25
N
N
N
N
N
N
BFLD TRUST 2020-EYP
N/A
BFLD TRUST BFLD 2020 EYP D 144A
05493AAL4
950000.000000
PA
USD
240473.120000
0.0085975
Long
ABS-MBS
CORP
US
N
2
2035-10-15
Floating
8.42648
N
N
N
N
N
N
ALBA PLC 2006-2
N/A
ALBA FRN 15DEC38 GBP
B1HMYZII8
100.000000
PA
961592.880000
0.0343791
Long
ABS-MBS
CORP
GB
N
2
2038-12-15
Fixed
0
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/1.75000 12/21/22-30Y CME
000000000
1.000000
NC
USD
12048587.540000
0.430764
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2052-12-21
10115604.080000
USD
0.000000
USD
42000000.000000
USD
1932983.460000
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-13277985.000000
PA
USD
-13400308.440000
-0.479091
Short
RA
US
N
2
Reverse repurchase
N
6.030000
2024-04-08
21393000.000000
USD
18764953.380000
USD
CDS
N
N
N
JPMCC-2019-BKWD
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 BKWD A 144A
46591JAA4
1140308.680000
PA
USD
1054274.440000
0.0376927
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
6.97648
N
N
N
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-1913952.000000
PA
-2117482.300000
-0.0757048
Short
RA
LU
N
2
Reverse repurchase
N
4.343000
2024-03-15
2400000.000000
EUR
2221147.200000
EUR
CDS
N
N
N
N/A
N/A
SOLD CNH BOUGHT USD 20240326
000000000
1.000000
NC
-20811.660000
-0.0007441
N/A
DFE
CN
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
8158825.500000
CNY
1130783.000000
USD
2024-03-26
-20811.660000
N
N
N
MORGAN STANLEY RESECURITIZATION TRUST 2013-R9
N/A
MORGAN STANLEY REREMIC TRUST MSRR 2013 R9 3B2 144A
61763DAV2
8613744.130000
PA
USD
7237585.670000
0.25876
Long
ABS-MBS
CORP
US
N
2
2046-06-26
Variable
3.85501
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-49
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 49 PT 144A
21056YAA2
162423.050000
PA
USD
150094.880000
0.0053662
Long
ABS-O
CORP
US
N
2
2044-12-15
Variable
7.3
N
N
N
N
N
N
BWAY MORTGAGE TRUST 2015-1740
N/A
BWAY MORTGAGE TRUST BWAY 2015 1740 A 144A
05604LAA0
2000000.000000
PA
USD
1281220.000000
0.0458065
Long
ABS-MBS
CORP
US
N
2
2035-01-10
Fixed
2.917
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2022 RRI D 144A
63875JAL2
3952235.050000
PA
USD
3936647.430000
0.140744
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Floating
9.30641
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-38
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 38 PT 144A
21054UAA2
157849.880000
PA
USD
147235.090000
0.005264
Long
ABS-O
CORP
US
N
2
2044-10-17
Variable
20.8586
N
N
N
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-839885.000000
PA
USD
-850483.880000
-0.0304067
Short
RA
US
N
2
Reverse repurchase
N
6.490000
2024-04-24
1000000.000000
USD
996071.300000
USD
PLCMO
N
N
N
ALBA PLC 2006-2
N/A
ALBA PLC ALBA 2006 2 SUB REGS
991ZCLII7
3491000.000000
PA
3026162.830000
0.108192
Long
ABS-MBS
CORP
GB
N
2
2038-12-15
Floating
10.3136
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LIMITED
549300OLARYHDXP3WK18
SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/27 6.25
ACI2L7PT2
10916.000000
PA
USD
1037.020000
0.0000371
Long
DBT
CORP
KY
N
2
2027-09-30
Fixed
6.25
N
N
Y
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-9440534.200000
PA
USD
-9481647.730000
-0.33899
Short
RA
US
N
2
Reverse repurchase
N
6.030000
2024-04-05
12770000.000000
USD
11604710.320000
USD
CDS
N
N
N
N/A
N/A
RFR GBP SONIO/0.75000 09/21/22-10Y LCH
000000000
1.000000
NC
2294339.350000
0.0820278
N/A
DIR
GB
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
SONIA O/N Deposit Rates Swap
N/A
N/A
Y
2032-09-21
873833.010000
GBP
0.000000
GBP
9000000.000000
GBP
1420506.340000
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-5878441.660000
PA
USD
-6017768.890000
-0.215149
Short
RA
US
N
2
Reverse repurchase
N
6.600000
2024-02-23
15339000.000000
USD
8437394.880000
USD
PLCMO
N
N
N
WASHINGTON MUTUAL 2007-OA4
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A1B
93364CAB4
1641481.560000
PA
USD
841262.750000
0.0300771
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
5.7818
N
N
N
N
N
N
BWAY MORTGAGE TRUST 2021-1450
N/A
BWAY MORTGAGE TRUST BWAY 2021 1450 F 144A
12430YAQ3
6611000.000000
PA
USD
2812129.990000
0.10054
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
10.3263
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
IHEARTCOMMUNICATIONS INC 2020 INCREMENTAL TERM LOAN
45174UAG3
5040000.000000
PA
USD
4346496.000000
0.155397
Long
LON
CORP
US
N
2
2026-05-01
Floating
8.7204
N
N
N
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC23 XCME 20240319
000000000
-122.000000
NC
USD
816703.480000
0.029199
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
N/A
90SOFR
2024-03-19
-28865581.250000
USD
816703.480000
N
N
N
PROVINCE OF BUENOS AIRES ARGENTINA
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
ACI11ZNP4
25911000.000000
PA
27518.450000
0.0009838
Long
DBT
NUSS
AR
N
2
2025-04-12
Floating
106.561
N
N
N
N
N
N
STRATTON MORTGAGE FUNDING 21-2X
N/A
STRATTON MORTGAGE FUNDING PLC STRA 2021 2X G REGS
ACI1W8V48
9341000.000000
PA
11879985.210000
0.424736
Long
ABS-MBS
CORP
GB
N
2
2060-07-20
Floating
8.716
N
N
N
N
N
N
ADLER REAL ESTATE AG
529900Y6QFNN3D363B76
ADLER REAL ESTATE AG SR UNSECURED REGS 04/26 3
BD5N5GII7
9400000.000000
PA
7909947.690000
0.282799
Long
DBT
CORP
DE
N
2
2026-04-27
Fixed
3
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR8
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 B1
92922FS74
6483406.830000
PA
USD
5065417.030000
0.1811
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
6.47543
N
N
N
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN 4
938PYRII8
23513426.840000
PA
USD
1175671.340000
0.0420329
Long
LON
CORP
BR
N
2
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
STRUCTURED ASSET INVST LN TR 2006-3
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2006 3 A6
863587AF8
15000000.000000
PA
USD
5268276.000000
0.188353
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.97043
N
N
N
N
N
N
AGPS BONDCO PLC
89450071QI2G8XS48K39
AGPS BONDCO PLC COMPANY GUAR REGS 11/26 5.5
ACI1SQBP8
2400000.000000
PA
933279.460000
0.0333669
Long
DBT
CORP
GB
N
2
2026-11-13
Fixed
5.5
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 F 144A
46653DAL8
400000.000000
PA
USD
52045.760000
0.0018608
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
10.3265
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 F 144A
46654PAQ9
2756000.000000
PA
USD
2624568.150000
0.0938343
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
9.74148
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED REGS 02/27 6.375
ACI1JX307
200000.000000
PA
USD
89810.000000
0.0032109
Long
DBT
NUSS
GH
N
2
2027-02-11
Fixed
6.375
Y
Y
N
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
BONCER BONDS 10/24 4
ACI2LH125
28522175.210000
PA
47347.220000
0.0016928
Long
DBT
NUSS
AR
N
2
2024-10-14
Fixed
4
N
N
N
N
N
N
BRIDGEGATE FUNDING PLC 2023-1A
N/A
BRIDGEGATE FUNDING PLC BRGTE 2023 1A RES
ACI2C6R96
3705000.000000
PA
2366.020000
0.0000846
Long
ABS-MBS
CORP
GB
N
2
2062-10-16
Fixed
0
N
N
N
N
N
N
UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC
N/A
UNITI GROUP/CSL CAPITAL SR SECURED 144A 02/28 10.5
91327TAA9
10215000.000000
PA
USD
10364751.900000
0.370563
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
10.5
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2017 75B D 144A
63874EAL4
7000000.000000
PA
USD
4683340.900000
0.16744
Long
ABS-MBS
CORP
US
N
2
2037-04-10
Variable
4.0579
N
N
N
N
N
N
STEENBOK LUX FINCO 1 SARL
N/A
STEENBOK LUX 1 SARL EUR PIK 1ST LIEN TL
948GDGII3
254207.500000
PA
284841.890000
0.0101837
Long
LON
CORP
LU
N
2
2026-06-30
Fixed
10
N
N
Y
N
N
N
MARGATE FUNDING LTD
N/A
MARGATE FUNDING LTD MGATE 2004 1A SN 144A
56659MAB3
2144000.000000
PA
USD
214.400000
0.0000077
Long
ABS-CBDO
CORP
KY
N
2
2044-12-04
Fixed
0
Y
Y
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/2.50 12/20/17-10Y LCH
000000000
1.000000
NC
USD
-130292.210000
-0.0046582
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2027-12-20
20142.900000
USD
0.000000
USD
2500000.000000
USD
-150435.110000
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2005-11
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 11 5A1
007036UQ7
32527.100000
PA
USD
18756.880000
0.0006706
Long
ABS-MBS
CORP
US
N
3
2036-02-25
Floating
6.01043
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-8787359.880000
PA
USD
-8804973.660000
-0.314798
Short
RA
US
N
2
Reverse repurchase
N
6.560000
2024-04-22
19775228.000000
USD
12464150.950000
USD
PLCMO
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.4* 08/17/23-5Y CME
000000000
1.000000
NC
USD
9657862.460000
0.345291
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2028-08-17
0.000000
USD
-21317.430000
USD
93400000.000000
USD
9679179.890000
N
N
N
N/A
N/A
SOLD CHF BOUGHT USD 20240109
000000000
1.000000
NC
-44734.710000
-0.0015994
N/A
DFE
CH
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
922524.440000
CHF
1052711.720000
USD
2024-01-09
-44734.710000
N
N
N
COUNTRY GARDEN HOLDINGS COMPANY LIMITED
549300MGHLPT1EFHGF84
COUNTRY GARDEN HLDGS SR SECURED REGS 10/30 3.875
ACI1S6R75
300000.000000
PA
USD
23598.000000
0.0008437
Long
DBT
CORP
KY
N
2
2030-10-22
Fixed
3.875
Y
Y
N
N
N
N
CONSECO FINANCE SECURITIZATION 2000-3
N/A
CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A
20846QDJ4
15418913.790000
PA
USD
3715901.170000
0.132852
Long
ABS-O
CORP
US
N
2
2030-12-01
Variable
8.26
N
N
N
N
N
N
N-STAR REL CDO VIII LTD 2006-8A
N/A
N STAR REAL ESTATE CDO LTD NSTAR 2006 8A B 144A
62940FAD1
1094562.280000
PA
USD
610460.370000
0.0218253
Long
ABS-CBDO
CORP
KY
N
2
2041-02-01
Floating
5.88718
N
N
N
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-16892752.500000
PA
USD
-17544108.880000
-0.627242
Short
RA
US
N
2
Reverse repurchase
N
6.610000
2024-03-06
27000000.000000
USD
23410703.700000
USD
PLCMO
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-285M
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 285M F 144A
63874FAN7
5333000.000000
PA
USD
2532062.540000
0.090527
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
3.7904
N
N
N
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN
938VCRII9
428294.210000
PA
USD
21414.710000
0.0007656
Long
LON
CORP
BR
N
2
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
N/A
N/A
SOLD MXN BOUGHT USD 20240131
000000000
1.000000
NC
-3393.590000
-0.0001213
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
2095758.440000
MXN
119475.390000
USD
2024-01-31
-3393.590000
N
N
N
N/A
N/A
JAGUAR LAND ROVER AUTOMOTIVE SNR SE ICE
000000000
1.000000
NC
1418249.940000
0.0507057
N/A
DCR
GB
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
JAGUAR LAND ROVER AUTOMOTIVE PLC (AKA: JAGUAR LAND ROVER PLC)
JAGUAR LAND ROVER AUTOMO SR UNSEC REGS
Y
Single Leg Swap
2026-12-20
873772.940000
EUR
0.000000
EUR
16290000.000000
EUR
544477.000000
N
N
N
HARVEST CLO XV DAC 15A
N/A
HARVEST CLO HARVT 15A SUB 144A
ACI13DPQ7
2000000.000000
PA
679840.100000
0.0243058
Long
ABS-CBDO
CORP
IE
N
2
2029-05-22
Floating
0
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2022-B
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A
83206NAF4
7992.000000
PA
USD
9575548.000000
0.342348
Long
ABS-O
CORP
US
N
3
2055-02-16
Fixed
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO MORGAN STANLEY
000000000
-3601631.280000
PA
USD
-3611550.780000
-0.129121
Short
RA
US
N
2
Reverse repurchase
N
6.610000
2024-06-17
5378000.000000
USD
5012943.090000
USD
PLCMO
N
N
N
HILTON USA TRUST 2016-SFP
N/A
HILTON USA TRUST HILT 2016 SFP F 144A
43289VAS2
500000.000000
PA
USD
15800.850000
0.0005649
Long
ABS-MBS
CORP
US
N
2
2035-11-05
Fixed
6.15522
N
N
N
N
N
N
N/A
N/A
3 MONTH SOFR FUT MAR26 XCME 20260616
000000000
-64.000000
NC
USD
145460.450000
0.0052005
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
N/A
90SOFR
2026-06-16
-15506000.000000
USD
145460.450000
N
N
N
PALISADES CDO LTD. 2004-1A
N/A
PALISADES CDO LTD PALIS 2004 1A B1 144A
696399AD6
21400000.000000
PA
USD
8969467.600000
0.320679
Long
ABS-CBDO
CORP
KY
N
2
2039-07-22
Floating
6.62354
N
N
N
N
N
N
N/A
N/A
CITIGROUP REVERSE REPO
000000000
-2934583.540000
PA
USD
-2973140.460000
-0.106297
Short
RA
US
N
2
Reverse repurchase
N
6.661930
2024-04-22
4299756.100000
USD
3989522.250000
USD
PLCMO
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 A 144A
46653DAA2
1400000.000000
PA
USD
1246015.260000
0.0445479
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
6.77648
N
N
N
N
N
N
AGPS BONDCO PLC
89450071QI2G8XS48K39
AGPS BONDCO PLC BANK GUARANT REGS 01/26 4.625
ACI1TZD42
15900000.000000
PA
6209305.640000
0.221997
Long
DBT
CORP
GB
N
2
2026-01-14
Fixed
4.625
N
N
N
N
N
N
CDC MORTGAGE CAPITAL TRUST 2004-HE1
N/A
CDC MORTGAGE CAPITAL TRUST CDCMC 2004 HE1 B1
12506YCP2
658899.610000
PA
USD
620955.820000
0.0222006
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
8.02043
N
N
N
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-3026236.000000
PA
USD
-3123612.710000
-0.111676
Short
RA
US
N
2
Reverse repurchase
N
6.330000
2024-01-02
4102647.380000
USD
3430424.500000
USD
PLCMO
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-JS2
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 JS2 G 144A
95003GAQ4
7935000.000000
PA
USD
5207769.860000
0.18619
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
3.4539
N
N
N
N
N
N
N/A
N/A
ZCS BRL 11.26 03/25/22-01/04/27 CME
000000000
1.000000
NC
3647.890000
0.0001304
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
1600000.000000
BRL
3647.890000
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-38849576.000000
PA
USD
-39393700.590000
-1.40841
Short
RA
US
N
2
Reverse repurchase
N
6.634390
2024-04-18
72919244.900000
USD
56720998.170000
USD
PLCMO
N
N
N
N/A
N/A
RFR USD SOFR/1.75000 06/15/22-30Y LCH
000000000
1.000000
NC
USD
16822790.680000
0.601453
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2052-06-15
4888806.000000
USD
0.000000
USD
54700000.000000
USD
11933984.680000
N
N
N
ECAF I LTD 2015-1A
N/A
ECAF LTD ECAF 2015 1A A1 144A
26827EAA3
3747557.750000
PA
USD
2379834.080000
0.0850845
Long
ABS-O
CORP
KY
N
2
2040-06-15
Fixed
3.473
N
N
N
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 03/61 8.75
37443GAJ0
400000.000000
PA
USD
173712.000000
0.0062106
Long
DBT
NUSS
GH
N
2
2061-03-11
Fixed
8.75
Y
Y
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2303625.000000
PA
USD
-2357936.160000
-0.0843016
Short
RA
US
N
2
Reverse repurchase
N
6.790000
2024-02-26
4298000.000000
USD
2530380.170000
USD
PLCMO
N
N
N
PROVINCE OF BUENOS AIRES ARGENTINA
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
P1910WRC5
92606000.000000
PA
98351.030000
0.0035163
Long
DBT
NUSS
AR
N
2
2025-04-12
Floating
106.561
N
N
N
N
N
N
N/A
N/A
REVERSE REPO GOLDMAN
000000000
-54813513.540000
PA
USD
-55498926.080000
-1.98421
Short
RA
US
N
2
Reverse repurchase
N
6.620000
2024-07-29
75751025.280000
USD
71752654.830000
USD
PLCMO
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94
P78024AE9
68000.000000
PA
18379.650000
0.0006571
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-DNA6
N/A
FREDDIE MAC STACR STACR 2021 DNA6 B2 144A
35564KLV9
12000000.000000
PA
USD
12640474.800000
0.451926
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
12.8374
N
N
N
N
N
N
280 PARK AVENUE 2017-280P MORTGAGE TRUST
N/A
280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P F 144A
90205FAQ3
7233000.000000
PA
USD
6463717.650000
0.231093
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
8.48499
N
N
N
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-13310167.530000
PA
USD
-13345550.390000
-0.477134
Short
RA
US
N
2
Reverse repurchase
N
6.380000
2024-04-18
17175296.180000
USD
16849065.170000
USD
PLCMO
N
N
N
NOMURA RESECURITIZATION TRUST 2015-1R
N/A
NOMURA RESECURITIZATION TRUST NMRR 2015 1R 2A8 144A
65540TAN6
8443736.990000
PA
USD
6999391.030000
0.250244
Long
ABS-MBS
CORP
US
N
2
2036-10-26
Floating
3.76132
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND 2019-17
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 17 PT 144A
21056GAA1
125996.940000
PA
USD
114630.520000
0.0040983
Long
ABS-O
CORP
US
N
2
2044-06-15
Variable
7.9
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2005-4
N/A
SEQUOIA MORTGAGE TRUST SEMT 2005 4 1B2
81744FHY6
215658.490000
PA
USD
170652.160000
0.0061012
Long
ABS-MBS
CORP
US
N
2
2035-10-20
Floating
6.4174
N
N
N
N
N
N
ACCREDITED MORTGAGE LOAN TRUST 2004-3
N/A
ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 3 1M3
004375BG5
1863045.740000
PA
USD
1539965.850000
0.0550573
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
6
N
N
N
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-11773673.830000
PA
USD
-11949860.320000
-0.427235
Short
RA
US
N
2
Reverse repurchase
N
5.920000
2024-01-02
17303000.000000
USD
14294122.130000
USD
CDS
N
N
N
N/A
N/A
RFRF USD SF+26.161/3.00 9/19/23-6Y* CME
000000000
1.000000
NC
USD
-2353139.250000
-0.0841301
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2029-06-19
3100085.540000
USD
0.000000
USD
59000000.000000
USD
-5453224.790000
N
N
N
PARK PLACE SECURITIES INC 2004-MHQ1
N/A
PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M6
70069FDA2
17099296.820000
PA
USD
12862745.970000
0.459872
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
7.57043
N
N
N
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC24 XCME 20250318
000000000
-63.000000
NC
USD
235523.310000
0.0084205
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
N/A
90SOFR
2025-03-18
-15161343.750000
USD
235523.310000
N
N
N
N/A
N/A
BOUGHT IDR SOLD USD 20240320
000000000
1.000000
NC
-1802.230000
-0.0000644
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
828057.000000
USD
12722789424.000000
IDR
2024-03-20
-1802.230000
N
N
N
EAST LANE RE VII LTD
N/A
EAST LANE RE VII LTD UNSECURED 144A 03/26 VAR
27332EAA9
500000.000000
PA
USD
502477.900000
0.0179647
Long
DBT
CORP
KY
N
2
2026-03-31
Floating
14.6131
N
N
N
N
N
N
RR 7 LTD 2019-7A
N/A
RR LTD RRAM 2019 7A SUB 144A
74980CAC6
5000000.000000
PA
USD
2763673.300000
0.0988076
Long
ABS-CBDO
CORP
KY
N
2
2120-01-15
Variable
0
N
N
N
N
N
N
SEC ASSET BACKED REC LLC 2005-FR1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 FR1 M2
81375WDT0
1743971.830000
PA
USD
1535990.280000
0.0549151
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
6.44543
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2005-3
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV8
126673C34
3488527.720000
PA
USD
2726201.390000
0.0974679
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
7.57043
N
N
N
N
N
N
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ
17311QBN9
464058.010000
PA
USD
299317.420000
0.0107013
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.44218
N
N
N
N
N
N
N/A
N/A
BOUGHT IDR SOLD USD 20240320
000000000
1.000000
NC
-23.500000
-0.0000008
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
835080.000000
USD
12858319667.000000
IDR
2024-03-20
-23.500000
N
N
N
BX TRUST 2017-SLCT
N/A
BX TRUST BX 2017 SLCT F 144A
05607DAQ0
18031050.000000
PA
USD
17817605.640000
0.63702
Long
ABS-MBS
CORP
US
N
2
2034-07-15
Floating
9.944
N
N
N
N
N
N
OI SA (AKA: BRASIL TELECOM S/A)
254900YEMWCRRAGD4978
OI SA COMPANY GUAR 07/25 VAR
P7354PAA2
55638000.000000
PA
USD
2781900.000000
0.0994592
Long
DBT
CORP
BR
N
2
2025-07-27
Fixed
10
Y
Y
Y
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-832829.950000
PA
USD
-834715.620000
-0.029843
Short
RA
US
N
2
Reverse repurchase
N
6.270000
2024-05-15
1185000.000000
USD
1019812.190000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-1565685.000000
PA
USD
-1602326.380000
-0.0572868
Short
RA
US
N
2
Reverse repurchase
N
6.740000
2024-02-26
2200000.000000
USD
2108053.420000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-2832777.070000
PA
-3131903.340000
-0.111973
Short
RA
LU
N
2
Reverse repurchase
N
4.473000
2024-03-22
3700074.560000
EUR
3238170.940000
EUR
ABS
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-16826.530000
-0.0006016
N/A
DFE
GB
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3699323.000000
GBP
4698671.430000
USD
2024-01-09
-16826.530000
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-3075682.500000
PA
USD
-3090771.290000
-0.110502
Short
RA
US
N
2
Reverse repurchase
N
6.090000
2024-04-04
4500000.000000
USD
3863812.500000
USD
CDS
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-12
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A3 144A
17307GY85
3106641.690000
PA
USD
2371854.450000
0.0847992
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
6
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 SA 144A
36261WAH0
94062.690000
PA
USD
89420.390000
0.003197
Long
ABS-MBS
CORP
US
N
2
2060-12-25
Variable
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-1082484.000000
PA
USD
-1092899.620000
-0.0390736
Short
RA
US
N
2
Reverse repurchase
N
6.540000
2024-05-10
2400000.000000
USD
1552473.600000
USD
PLCMO
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2005-12
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 12 M5
126670EP9
2390000.000000
PA
USD
1774172.050000
0.0634307
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
6.43043
N
N
N
N
N
N
LNR CDO LTD 2005-1A
N/A
LNR CDO LTD LNR 2005 1A A 144A
53944PAA0
2058378.770000
PA
USD
21079.860000
0.0007537
Long
ABS-CBDO
CORP
KY
N
2
2043-02-28
Floating
5.75142
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2003-NC8
N/A
MORGAN STANLEY CAPITAL INC MSAC 2003 NC8 B3
61746RDS7
1543439.030000
PA
USD
1424541.590000
0.0509306
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Floating
11.0954
N
N
N
N
N
N
N/A
N/A
IRS MXN 8.73200 04/12/22-10Y* CME
000000000
1.000000
NC
-1800.910000
-0.0000644
N/A
DIR
MX
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2032-03-30
0.000000
MXN
0.000000
MXN
1900000.000000
MXN
-1800.910000
N
N
N
IMPAC CMB TR 2005-7
N/A
IMPAC CMB TRUST IMM 2005 7 A2
45254NQY6
1143711.270000
PA
USD
985124.950000
0.0352205
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
5.75043
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A3
02147CAF0
1216137.050000
PA
USD
1199289.780000
0.0428773
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
5.85043
N
N
N
N
N
N
N/A
N/A
SOLD TRY BOUGHT USD 20240325
000000000
1.000000
NC
5.610000
0.0000002
N/A
DFE
TR
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
48563.440000
TRY
1531.530000
USD
2024-03-25
5.610000
N
N
N
N/A
N/A
GATEWAY CASINOS & ENTERTA TRS BKL BPS
000000000
1.000000
NC
USD
1052457.270000
0.0376277
N/A
DIR
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
GATEWAY CASINOS & ENTERTAINMENT LIMITED
GATEWAY CASINOS PIK TL B TSFR1M
Y
2027-10-22
0.000000
USD
0.000000
USD
39803700.220000
USD
1052457.270000
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 X 144A
36261WAR8
102592942.090000
PA
USD
2444143.470000
0.0873837
Long
ABS-O
CORP
US
N
2
2060-12-25
Variable
0
N
N
N
N
N
N
N/A
N/A
ZCS BRL 11.22 03/25/22-01/04/27 CME
000000000
1.000000
NC
6428.780000
0.0002298
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
3200000.000000
BRL
6428.780000
N
N
N
CREDIT BASED ASSET SRVC & SEC 2007-MX1
N/A
CREDIT BASED ASSET SERVICING A CBASS 2007 MX1 M1 144A
1248MPAE4
1800000.000000
PA
USD
1744248.960000
0.0623609
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
5.783
N
N
N
N
N
N
FARRINGDON MORTAGES PLC 2
N/A
ROOF 2 D
963FSYII0
1.000000
PA
0.000000
0
Long
ABS-MBS
CORP
GB
N
2
2047-07-15
Variable
0
N
N
N
N
N
N
FREED ABS TRUST 2020-3FP
N/A
FREED ABS TRUST FREED 2020 3FP CERT 144A
35634LAD5
4850.000000
PA
USD
380248.400000
0.0135947
Long
ABS-O
CORP
US
N
3
2027-09-20
Fixed
0
N
N
N
N
N
N
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071
N/A
FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3
3137FCLG7
24637000.000000
PA
USD
1706900.630000
0.0610256
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Variable
2.00988
N
N
N
N
N
N
ASHFORD HOSPITALITY TRUST 2018-ASHF
N/A
ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF E 144A
04410RAN6
15356000.000000
PA
USD
14724499.860000
0.526434
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Floating
8.634
N
N
N
N
N
N
COLT 2021-1R MORTGAGE LOAN TRUST
N/A
COLT FUNDING LLC COLT 2021 1R B2 144A
19688BAF1
1998000.000000
PA
USD
1697346.150000
0.060684
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
4.553
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/1.75000 06/15/22-30Y CME
000000000
1.000000
NC
USD
18988566.320000
0.678884
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2052-06-15
15405282.960000
USD
0.000000
USD
62400000.000000
USD
3583283.360000
N
N
N
JACKSON PARK TRUST 2019-LIC
N/A
JACKSON PARK TRUST JAX 2019 LIC E 144A
46868RAN4
17047000.000000
PA
USD
13040244.140000
0.466218
Long
ABS-MBS
CORP
US
N
2
2039-10-14
Variable
3.2424
N
N
N
N
N
N
MSDB TRUST 2017-712F
N/A
MSDB TRUST MSDB 2017 712F A 144A
55354JAA2
3500000.000000
PA
USD
3085084.450000
0.110299
Long
ABS-MBS
CORP
US
N
2
2039-07-11
Fixed
3.316
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2015-590M
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2015 590M E 144A
36250WAN0
3000000.000000
PA
USD
2371103.400000
0.0847723
Long
ABS-MBS
CORP
US
N
2
2035-10-10
Variable
3.8054
N
N
N
N
N
N
N/A
N/A
SOLD CNH BOUGHT USD 20240326
000000000
1.000000
NC
-33702.730000
-0.0012049
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
13579418.680000
CNY
1882993.000000
USD
2024-03-26
-33702.730000
N
N
N
RUSSIAN GOVT
5493004EHVGF71PDBU58
RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625
78307ADE0
1600000.000000
PA
USD
1075840.000000
0.0384637
Long
DBT
NUSS
RU
N
2
2042-04-04
Fixed
5.625
Y
N
N
N
N
N
BRIDGEGATE FUNDING PLC 2023-1A
N/A
BRIDGEGATE FUNDING PLC BRGTE 2023 1A F 144A
ACI2C6Q06
15333000.000000
PA
18638355.980000
0.666364
Long
ABS-MBS
CORP
GB
N
2
2062-10-16
Floating
11.2175
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 02/24 0.00000
912797GP6
2187000.000000
PA
USD
2168469.020000
0.0775277
Long
DBT
UST
US
N
2
2024-02-29
None
0
N
N
N
N
N
N
GATEWAY CASINOS & ENTERTAINMENT LIMITED
549300JSKBQMMD1B3U44
GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN
943ZHKII3
11660742.430000
PA
8807092.420000
0.314873
Long
LON
CORP
CA
N
2
2027-10-18
Fixed
13.5875
N
N
Y
N
N
N
N/A
N/A
IRS MXN 8.66000 04/07/22-2Y CME
000000000
1.000000
NC
8014.420000
0.0002865
N/A
DIR
MX
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2024-04-04
0.000000
MXN
0.000000
MXN
15400000.000000
MXN
8014.420000
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN 3
938VGUII8
34867940.990000
PA
USD
1743397.050000
0.0623304
Long
LON
CORP
BR
N
2
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-3061800.000000
PA
USD
-3091260.470000
-0.11052
Short
RA
US
N
2
Reverse repurchase
N
6.540000
2024-05-10
7000000.000000
USD
4360304.900000
USD
PLCMO
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA BONDS 07/30 VAR
ACI1QL1T4
969945.000000
PA
USD
375853.690000
0.0134376
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.75
N
N
N
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-16742862.500000
PA
USD
-16784398.760000
-0.60008
Short
RA
US
N
2
Reverse repurchase
N
6.870000
2024-05-15
24500000.000000
USD
25955467.300000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WOOD GUNDY REVERSE REPO
000000000
-15669.550000
PA
USD
-16033.770000
-0.0005732
Short
RA
US
N
2
Reverse repurchase
N
6.020000
2024-02-16
828515.490000
USD
22360.470000
USD
AMBS
N
N
N
FREDDIE MAC REMICS 5069
N/A
FREDDIE MAC FHR 5069 PI
3137F9CZ2
3299102.640000
PA
USD
488620.850000
0.0174693
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
3
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-2
N/A
FREDDIE MAC SCRT SCRT 2022 2 M 144A
35563PJ59
6500000.000000
PA
USD
5394454.000000
0.192864
Long
ABS-MBS
CORP
US
N
2
2062-04-25
Variable
5
N
N
N
N
N
N
LIFEPOINT HEALTH INC
549300G8ZVHRTBBBSZ90
LIFEPOINT HEALTH INC SR SECURED 144A 10/30 11
53219LAW9
3870000.000000
PA
USD
4080535.740000
0.145888
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
11
N
N
N
N
N
N
GSAMP TRUST 2005-WMC3
N/A
GSAMP TRUST GSAMP 2005 WMC3 M1
362341L64
20157677.560000
PA
USD
16286895.500000
0.582294
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
6.14543
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I-2005-HQ7
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2005 HQ7 F
617451BX6
7500000.000000
PA
USD
2235510.000000
0.0799246
Long
ABS-MBS
CORP
US
N
2
2042-11-14
Variable
5.30979
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2020-2A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2020 2A R 144A
30167YAL5
20570.000000
PA
USD
12382942.750000
0.442718
Long
ABS-O
CORP
US
N
3
2032-09-15
Fixed
0
N
N
N
N
N
N
WINDSTREAM SERVICES II LLC
549300KT9GVEBYCD2N29
WINDSTREAM SERVICES LLC 2022 INCREMENTAL TERM LOAN
948CQMII5
29490000.000000
PA
USD
29195100.000000
1.04379
Long
LON
CORP
US
N
2
2027-02-23
Floating
9.4483
N
N
N
N
N
N
HILTON ORLANDO TRUST 2018-ORL
N/A
HILTON USA TRUST HILT 2018 ORL E 144A
432885AN1
14119000.000000
PA
USD
13870156.860000
0.49589
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Floating
8.30881
N
N
N
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2005-7
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 7 7M1
007036NH5
1856154.120000
PA
USD
1771846.110000
0.0633475
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
6.47043
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-7143.280000
-0.0002554
N/A
DFE
HU
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
178458320.000000
HUF
507200.000000
USD
2024-01-04
-7143.280000
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2016-ISQ
N/A
BANC OF AMERICA MERRILL LYNCH BAMLL 2016 ISQ E 144A
05523GAN1
2716000.000000
PA
USD
554796.510000
0.0198352
Long
ABS-MBS
CORP
US
N
2
2034-08-14
Variable
3.6063
N
N
N
N
N
N
WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)
549300L3SXBFJVGRCF66
WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75
97382WAA1
37049000.000000
PA
USD
32489109.110000
1.16156
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
7.75
N
N
N
N
N
N
N/A
N/A
ZCS BRL 11.715 03/24/22-01/04/27 CME
000000000
1.000000
NC
19163.280000
0.0006851
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
3600000.000000
BRL
19163.280000
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO EUR ZCP
000000000
-5323503.730000
PA
-5911089.710000
-0.211335
Short
RA
LU
N
2
Reverse repurchase
N
4.414000
2024-05-15
7308425.250000
EUR
6131568.530000
EUR
ABS
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2017-ASHF
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF D 144A
61691KAL5
2500000.000000
PA
USD
2416368.750000
0.0863907
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
7.859
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2007-AR3
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 1A3
86363NAC3
1797562.670000
PA
USD
1491516.300000
0.0533251
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Floating
5.89043
N
N
N
N
N
N
BWAY MORTGAGE TRUST 2021-1450
N/A
BWAY MORTGAGE TRUST BWAY 2021 1450 G 144A
12430YAS9
3000000.000000
PA
USD
973010.400000
0.0347873
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
11.3263
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.50 9/21/23-4Y* CME
000000000
1.000000
NC
USD
-924586.620000
-0.0330561
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2027-06-21
0.000000
USD
-373030.680000
USD
11500000.000000
USD
-551555.940000
N
N
N
N/A
N/A
SOLD CNH BOUGHT USD 20240326
000000000
1.000000
NC
-25288.170000
-0.0009041
N/A
DFE
CN
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
11491897.690000
CNY
1596760.000000
USD
2024-03-26
-25288.170000
N
N
N
N/A
N/A
RFR USD SOFR/2.35000 01/17/24-1Y CME
000000000
1.000000
NC
USD
1460997.720000
0.052234
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2025-01-17
6906.870000
USD
0.000000
USD
64400000.000000
USD
1454090.850000
N
N
N
COMMERCIAL MTAGE PASSTHRU CERT 2005-C6
N/A
COMM MORTGAGE TRUST COMM 2005 C6 G 144A
126171AS6
1685271.080000
PA
USD
1531176.470000
0.054743
Long
ABS-MBS
CORP
US
N
2
2044-06-10
Variable
5.48977
N
N
N
N
N
N
N/A
N/A
IRS EUR 1.50000 03/15/23-30Y LCH
000000000
1.000000
NC
482693.130000
0.0172574
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2053-03-15
329514.390000
EUR
0.000000
EUR
2500000.000000
EUR
153178.740000
N
N
N
N/A
N/A
BOUGHT INR SOLD USD 20240320
000000000
1.000000
NC
76.950000
0.0000028
N/A
DFE
IN
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
48494.700000
USD
4056120.960000
INR
2024-03-20
76.950000
N
N
N
CORESTATE CAPITAL HOLDING SA
529900GNB86RB7HRX793
CORESTATE CAPITAL HOLD SR SECURED 12/26 10
ACI2J0DM8
300000.000000
PA
331185.050000
0.0118406
Long
DBT
CORP
LU
N
3
2026-12-31
Fixed
10
N
N
Y
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2014-C
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 C B2 144A
17323GAD0
13555000.000000
PA
USD
12293804.850000
0.439531
Long
ABS-MBS
CORP
US
N
2
2054-02-25
Fixed
4.25
N
N
N
N
N
N
HILTON USA TRUST 2016-SFP
N/A
HILTON USA TRUST HILT 2016 SFP E 144A
43289VAQ6
3000000.000000
PA
USD
348326.100000
0.0124534
Long
ABS-MBS
CORP
US
N
2
2035-11-05
Fixed
5.5191
N
N
N
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20240109
000000000
1.000000
NC
-38111.610000
-0.0013626
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
2905000.000000
EUR
3169603.090000
USD
2024-01-09
-38111.610000
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-7372641.670000
PA
USD
-7572194.510000
-0.270723
Short
RA
US
N
2
Reverse repurchase
N
6.720000
2024-02-06
10311000.000000
USD
8538847.290000
USD
PLCMO
N
N
N
APPLEGREEN IRELAND INVESTMENTS FINANCE LIMITED
N/A
APPLEGREEN IRELAND GBP TERM LOAN
948EXPII6
4744181.000000
PA
5918960.500000
0.211616
Long
LON
CORP
GB
N
3
2026-06-29
Floating
8.6863
N
N
N
N
N
N
STWD 2021-HTS MORTGAGE TRUST 2021-HTS
N/A
STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS F 144A
78486DAL4
6612000.000000
PA
USD
6399865.880000
0.22881
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
9.47648
N
N
N
N
N
N
STEARNS HOLDINGS LLC
549300B7MV13XJXKBZ36
STEARNS HOLDING LLC CLASS B STEARNS HOLDING LLC CLASSB
9353MP906
284008.000000
NS
USD
0.280000
0
Long
EC
CORP
US
N
3
N
N
N
SUNAC CHINA HOLDINGS LIMITED
549300OLARYHDXP3WK18
SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/27 6.5
ACI2L7WC1
21832.000000
PA
USD
2087.140000
0.0000746
Long
DBT
CORP
KY
N
2
2027-09-30
Fixed
6.5
N
N
Y
N
N
N
N/A
N/A
REVERSE REPO WARBURG
000000000
-3637050.490000
PA
-4095903.180000
-0.146438
Short
RA
LU
N
2
Reverse repurchase
N
4.230000
2025-07-04
3900000.000000
EUR
4292792.400000
EUR
CDS
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US RENAL CARE INC SR SECURED 144A 06/28 10.625
90355YAA5
21340900.000000
PA
USD
16379140.750000
0.585591
Long
DBT
CORP
US
N
2
2028-06-28
Fixed
10.625
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST 2020-6
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2020 6 PT 144A
21057KAA1
216069.330000
PA
USD
202008.360000
0.0072223
Long
ABS-O
CORP
US
N
2
2045-03-15
Variable
7.4
N
N
N
N
N
N
GSAMP TRUST 2005-SD1
N/A
GSAMP TRUST GSAMP 2005 SD1 M3 144A
36242DWF6
9472147.830000
PA
USD
7423684.090000
0.265414
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
8.09543
N
N
N
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-1513586.350000
PA
USD
-1533525.330000
-0.054827
Short
RA
US
N
2
Reverse repurchase
N
6.080000
2024-01-16
2228053.120000
USD
1862984.390000
USD
PLCMO
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA18 A2
23244GAE2
257753.530000
PA
USD
171164.350000
0.0061195
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
5.95043
N
N
N
N
N
N
N/A
N/A
JPM CHASE REVERSE REPO GBP ZCP
000000000
-910469.130000
PA
-1166151.290000
-0.0416926
Short
RA
GB
N
2
Reverse repurchase
N
6.132000
2024-03-04
1523670.200000
GBP
1163234.130000
GBP
ABS
N
N
N
BCAP LLC TRUST 2014-RR2
N/A
BCAP LLC TRUST BCAP 2014 RR2 11A4 144A
05543DCD4
2264199.890000
PA
USD
1938301.830000
0.0692987
Long
ABS-MBS
CORP
US
N
2
2037-05-26
Variable
3.66678
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTS 2006-2
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 2 M3
126670UY2
2183698.130000
PA
USD
2105761.510000
0.0752858
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
6.13043
N
N
N
N
N
N
WHLN LOAN
N/A
WALGREENS MAGNOLIA WHLN0MAG1
938SYFII8
559677.060000
PA
USD
552277.680000
0.0197452
Long
LON
CORP
US
N
3
2030-03-06
Fixed
6
N
N
N
N
N
N
N/A
N/A
SOLD CAD BOUGHT USD 20240109
000000000
1.000000
NC
-173508.580000
-0.0062033
N/A
DFE
CA
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
9173382.450000
CAD
6750321.480000
USD
2024-01-09
-173508.580000
N
N
N
NEW YORK MORTGAGE TRUST 2021-SP1
N/A
NEW YORK MORTGAGE TRUST NYMT 2021 SP1 A2 144A
62955RAB1
4450000.000000
PA
USD
3830786.950000
0.136959
Long
ABS-MBS
CORP
US
N
2
2061-08-25
Fixed
3.5582
N
N
N
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20240109
000000000
1.000000
NC
-1714741.440000
-0.0613059
N/A
DFE
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
387537001.000000
EUR
426205442.960000
USD
2024-01-09
-1714741.440000
N
N
N
FLAGSHIP CREDIT AUTO TRUST 2021-3
N/A
FLAGSHIP CREDIT AUTO TRUST FCAT 2021 3 R 144A
33846Q101
8473.000000
PA
USD
582479.900000
0.020825
Long
ABS-O
CORP
US
N
3
2028-12-15
Fixed
0
N
N
N
N
N
N
BX TRUST 2017-APPL
N/A
BX TRUST BX 2017 APPL F 144A
12433PAQ9
5105929.030000
PA
USD
5060037.450000
0.180908
Long
ABS-MBS
CORP
US
N
2
2034-07-15
Floating
9.944
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-1894000.000000
PA
USD
-1912223.980000
-0.0683663
Short
RA
US
N
2
Reverse repurchase
N
6.540000
2024-05-10
2500000.000000
USD
2416368.750000
USD
PLCMO
N
N
N
EXTENDED STAY AMERICA TRUST 2021-ESH
N/A
EXTENDED STAY AMERICA TRUST ESA 2021 ESH F 144A
30227FAN0
20559016.200000
PA
USD
20168514.130000
0.72107
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
9.17648
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2019-46
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 46 PT 144A
21056LAA0
179688.770000
PA
USD
168104.060000
0.0060101
Long
ABS-O
CORP
US
N
2
2044-12-15
Variable
19.4977
N
N
N
N
N
N
FAIRFAX INDIA HOLDINGS CORPORATION
549300K2JHXU7AX7CV78
FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5
303897AA0
12400000.000000
PA
USD
11222000.000000
0.401212
Long
DBT
CORP
CA
N
2
2028-02-26
Fixed
5
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 F 144A
46649JAQ1
4367088.610000
PA
USD
4198665.290000
0.150112
Long
ABS-MBS
CORP
US
N
2
2035-02-15
Floating
9.72648
N
N
N
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-3615760.650000
PA
USD
-3717353.480000
-0.132904
Short
RA
US
N
2
Reverse repurchase
N
5.780000
2024-01-04
5296000.000000
USD
4387636.440000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-8558450.300000
PA
USD
-8796945.790000
-0.314511
Short
RA
US
N
2
Reverse repurchase
N
6.080000
2024-01-17
13080000.000000
USD
10888040.950000
USD
CDS
N
N
N
BRIDGEGATE FUNDING PLC 2023-1A
N/A
BRIDGEGATE FUNDING PLC BRGTE 2023 1A R 144A
ACI2C6QT3
13289000.000000
PA
8001698.000000
0.286079
Long
ABS-MBS
CORP
GB
N
2
2062-10-16
Variable
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPOS
000000000
-2377000.290000
PA
-3077273.090000
-0.11002
Short
RA
GB
N
2
Reverse repurchase
N
5.933000
2024-01-25
3000000.000000
GBP
3004848.600000
GBP
ABS
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI SIENA COMMON STOCK
ACI28SXK1
3581000.000000
NS
12041585.800000
0.430514
Long
EC
CORP
IT
N
1
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1584254.000000
PA
USD
-1585583.010000
-0.0566882
Short
RA
US
N
2
Reverse repurchase
N
6.030000
2024-04-10
2300000.000000
USD
2046117.030000
USD
CDS
N
N
N
LONG WALK REINSURANCE LTD
N/A
LONG WALK REINSURANCE UNSECURED 144A 01/31 VAR
54289CAA0
3500000.000000
PA
USD
3501312.500000
0.12518
Long
DBT
CORP
BM
N
2
2031-01-30
Floating
9.75
N
N
N
N
N
N
ARGENT SECURITIES INC 2005-W4
N/A
ARGENT SECURITIES INC. ARSI 2005 W4 A2D
040104PT2
186389.390000
PA
USD
144557.960000
0.0051683
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
6.23043
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2022-AHP
N/A
BX TRUST BX 2022 AHP E 144A
05610FAF4
10250000.000000
PA
USD
9740686.730000
0.348252
Long
ABS-MBS
CORP
US
N
2
2039-01-17
Floating
8.40181
N
N
N
N
N
N
N/A
N/A
RFR GBP SONIO/0.75000 09/21/22-30Y LCH
000000000
1.000000
NC
11286221.410000
0.403508
N/A
DIR
GB
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
SONIA O/N Deposit Rates Swap
N/A
N/A
Y
2052-09-21
1978315.280000
GBP
0.000000
GBP
18100000.000000
GBP
9307906.130000
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2007-C2
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 D 144A
22545YAN1
2870000.000000
PA
USD
2052917.030000
0.0733964
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
5.6133
N
N
N
N
N
N
C-BASS LTD 13A
N/A
C BASS LTD CBCL 13A A 144A
12498FAA8
51642205.880000
PA
USD
5164.220000
0.0001846
Long
ABS-CBDO
CORP
KY
N
2
2040-03-17
Floating
8.77
N
N
N
N
N
N
FLOODSMART RE LTD
549300KK1LNVFW95S875
FLOODSMART RE LTD UNSECURED 144A 03/24 VAR
33975CAG0
2246000.000000
PA
USD
2248246.000000
0.0803799
Long
DBT
CORP
BM
N
2
2024-03-01
Floating
13.58
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-1441650.000000
PA
USD
-1455521.490000
-0.0520382
Short
RA
US
N
2
Reverse repurchase
N
6.540000
2024-05-10
3500000.000000
USD
1422664.950000
USD
PLCMO
N
N
N
LUDGATE FUNDING PLC 2006-1X
N/A
LUDGATE FUNDING PLC LGATE 2006 1X MC REGS
ACI20ZV82
375000000.000000
PA
2389.970000
0.0000854
Long
ABS-MBS
CORP
GB
N
3
2060-12-01
Floating
0
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-285M
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 285M E 144A
63874FAL1
5369500.000000
PA
USD
2925485.090000
0.104593
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Fixed
3.7904
N
N
N
N
N
N
EUROSAIL-UK 2007-4BL PLC 4X
N/A
EUROSAIL PLC ESAIL 2007 4X E1C REGS
G3299TAF0
1525473.360000
PA
1484471.240000
0.0530732
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
8.81451
N
N
N
N
N
N
COREWEAVE COMPUTE ACQUISITION CO II LLC
N/A
COREWEAVE COMPUTE ACQCO II LLC DDTL
948GKAII8
14500000.000000
PA
USD
14579953.290000
0.521266
Long
LON
CORP
US
N
3
2028-06-30
Floating
8.8494
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-901414.000000
PA
USD
-908430.780000
-0.0324785
Short
RA
US
N
2
Reverse repurchase
N
6.517000
2024-02-20
1140308.660000
USD
1054274.420000
USD
PLCMO
N
N
N
SEQUOIA MORTGAGE TRUST 2005-4
N/A
SEQUOIA MORTGAGE TRUST SEMT 2005 4 1B1
81744FHX8
750.910000
PA
USD
606.030000
0.0000217
Long
ABS-MBS
CORP
US
N
3
2035-10-20
Floating
6.1374
N
N
N
N
N
N
NEWFOLD DIGITAL HOLDINGS GROUP INC
549300UTQC2651SB0W88
NEWFOLD DIGITAL HLDGS GR SR UNSECURED 144A 02/29 6
29279XAA8
10419000.000000
PA
USD
7882295.970000
0.28181
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6
N
N
N
N
N
N
FREDDIE MAC REMICS 3907
N/A
FREDDIE MAC FHR 3907 MS
3137AEE68
642874.980000
PA
USD
17354.470000
0.0006205
Long
ABS-MBS
USGSE
US
N
2
2026-08-15
Floating
1.19708
N
N
N
N
N
N
STRUCTURED ADJUSTABLE RT MTG LN 2004-18
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2004 18 M
863579GC6
1999143.040000
PA
USD
1474262.440000
0.0527082
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
6.00043
N
N
N
N
N
N
BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6
N/A
BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 F5TD 144A
05492TBM1
6000000.000000
PA
USD
3718064.400000
0.132929
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Variable
3.68835
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND 2019-14
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 14 PT 144A
21055BAA3
57055.010000
PA
USD
51243.130000
0.0018321
Long
ABS-O
CORP
US
N
2
2044-05-16
Variable
19.645
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-3712668.750000
PA
USD
-3811860.670000
-0.136283
Short
RA
US
N
2
Reverse repurchase
N
6.821400
2024-02-09
5250000.000000
USD
4906657.350000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-31354562.100000
PA
USD
-32719791.990000
-1.16981
Short
RA
US
N
2
Reverse repurchase
N
6.270000
2024-01-22
53503170.070000
USD
42118206.080000
USD
PLCMO
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 H 144A
46654PAU0
21526000.000000
PA
USD
19599677.010000
0.700733
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
11.8665
N
N
N
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-631800.000000
PA
USD
-634685.750000
-0.0226915
Short
RA
US
N
2
Reverse repurchase
N
6.090000
2024-04-04
800000.000000
USD
719949.760000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-6532611.020000
PA
USD
-6665527.880000
-0.238308
Short
RA
US
N
2
Reverse repurchase
N
6.720000
2024-03-13
12302088.600000
USD
9415010.490000
USD
PLCMO
N
N
N
WAIKIKI BEACH HOTEL TRUST 2019-WBM
N/A
WAIKIKI BEACH HOTEL TRUST WBHT 2019 WBM E 144A
93065PAJ0
15000000.000000
PA
USD
14216116.500000
0.508258
Long
ABS-MBS
CORP
US
N
2
2033-12-15
Floating
8.40648
N
N
N
N
N
N
CITY OF DETROIT
549300BQRJP7MKKHOY28
DETROIT MI DET 04/44 ADJUSTABLE VAR
251093S84
7200000.000000
PA
USD
5350735.440000
0.191301
Long
DBT
MUN
US
N
2
2044-04-01
Variable
4
N
N
N
N
N
N
PROJECT QUASAR HOLDCO SLU
N/A
PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1
944ZSGII9
12152488.730000
PA
12998536.660000
0.464727
Long
LON
CORP
ES
N
3
2026-03-15
Floating
7.083
N
N
N
N
N
N
C-BASS LTD 18A
N/A
C BASS LTD CBCL 18A A1 144A
1248MMAA9
54781541.840000
PA
USD
2451747.910000
0.0876555
Long
ABS-CBDO
CORP
KY
N
2
2047-03-13
Floating
5.99078
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER GROUP S.A. COMMON STOCK
ACI2FJ7P1
225086.000000
NS
121292.360000
0.0043365
Long
EC
CORP
LU
N
3
N
N
N
PENNYMAC CORP
EWN0I878407TKQNXZ933
PENNYMAC CORP COMPANY GUAR 03/26 5.5
70932AAF0
18075000.000000
PA
USD
16742872.500000
0.598596
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.5
N
N
N
Y
N
PENNYMAC MORTGAGE INVESTMENT TRUST
PENNYMAC MORTGAGE INVESTMENT
USD
XXXX
N
N
N
ELEVEN MADISON TRUST MORTGAGE TRUST 2015-11MD
N/A
MADISON AVENUE TRUST MAD 2015 11MD A 144A
556227AA4
2575000.000000
PA
USD
2319117.100000
0.0829137
Long
ABS-MBS
CORP
US
N
2
2035-09-10
Variable
3.5548
N
N
N
N
N
N
BEAR STEARNS COMM MTGE SEC 2006-T24
N/A
BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 B 144A
07388NAH9
31723.230000
PA
USD
30170.550000
0.0010787
Long
ABS-MBS
CORP
US
N
2
2041-10-12
Variable
5.657
N
N
N
N
N
N
ROCKFORD TOWER CLO LTD 2020-1A
N/A
ROCKFORD TOWER CLO LTD ROCKT 2020 1A SUB 144A
77341HAC2
8300000.000000
PA
USD
7676814.840000
0.274464
Long
ABS-CBDO
CORP
KY
N
3
2032-01-20
Floating
0
N
N
N
N
N
N
URSA RE LTD
549300O8X4DWGDJZ6W59
URSA RE LTD UNSECURED 144A 12/26 VAR
90323WAN0
4200000.000000
PA
USD
4179945.000000
0.149443
Long
DBT
CORP
BM
N
2
2026-12-07
Floating
9.25
N
N
N
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-720802.930000
PA
USD
-728857.020000
-0.0260583
Short
RA
US
N
2
Reverse repurchase
N
6.488000
2024-02-01
1156000.000000
USD
876156.560000
USD
PLCMO
N
N
N
BSST 2021-1818 MORTGAGE TRUST
N/A
BSST MORTGAGE TRUST BSST 2021 1818 A 144A
07403PAA0
6700000.000000
PA
USD
5851964.920000
0.209221
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
6.52648
N
N
N
N
N
N
COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR
N/A
COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR F 144A
12564NAQ5
12700000.000000
PA
USD
11197356.320000
0.400331
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
8.892
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-18809078.520000
PA
USD
-19194628.050000
-0.686252
Short
RA
US
N
2
Reverse repurchase
N
6.770000
2024-03-13
32886000.000000
USD
26334345.900000
USD
PLCMO
N
N
N
N/A
N/A
IRS EUR 3.25000 03/20/24-5Y LCH
000000000
1.000000
NC
1632665.640000
0.0583715
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2029-03-20
1650480.380000
EUR
0.000000
EUR
35400000.000000
EUR
-17814.740000
N
N
N
CENTURY PLAZA TOWERS 2019-CPT
N/A
CPT MORTGAGE TRUST CPTS 2019 CPT A 144A
12654YAA7
11305000.000000
PA
USD
9550303.470000
0.341445
Long
ABS-MBS
CORP
US
N
2
2039-11-13
Fixed
2.865
N
N
N
N
N
N
GSAMP TRUST 2005-WMC1
N/A
GSAMP TRUST GSAMP 2005 WMC1 M2
362341PV5
4875242.780000
PA
USD
3815854.470000
0.136426
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
6.25043
N
N
N
N
N
N
DOLP TRUST 2021-NYC
N/A
DOLP TRUST DOLP 2021 NYC F 144A
23345LAN9
7450000.000000
PA
USD
3726079.510000
0.133216
Long
ABS-MBS
CORP
US
N
2
2041-05-10
Variable
3.70378
N
N
N
N
N
N
BBCCRE TRUST 2015-GTP
N/A
BBCCRE TRUST BBCCR 2015 GTP F 144A
05490TAL6
3660000.000000
PA
USD
2243392.970000
0.0802064
Long
ABS-MBS
CORP
US
N
2
2033-08-10
Variable
4.5626
N
N
N
N
N
N
OPTION ONE MORTGAGE LOAN TRUST 2005-4
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M4
68389FJL9
6002216.840000
PA
USD
4608973.860000
0.164781
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
6.37043
N
N
N
N
N
N
DIAMOND SPORTS GROUP LLC
5493002K6DHWNZH8YA34
DIAMOND SPORTS GROUP LLC 2022 FIRST PRI TERM LOAN
25277BAE8
73750553.800000
PA
USD
55866044.500000
1.99734
Long
LON
CORP
US
N
2
2026-05-25
Floating
15.4201
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST 2013-8
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2013 8 2A2 144A
17321PAG5
517712.730000
PA
USD
367051.750000
0.0131229
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
5.95614
N
N
N
N
N
N
INGENICO TERMINALS (POSEIDON BIDCO)
254900LGX7YG7Y9YM766
POSEIDON BIDCO SASU EUR TERM LOAN B
945BRXII5
4100000.000000
PA
4531853.380000
0.162024
Long
LON
CORP
GB
N
2
2028-09-30
Floating
9.175
N
N
N
N
N
N
GMAC COMMERCIAL MORTGAGE ASSET CORPORATION 2003 BRAG
N/A
GMAC COMMERCIAL MORTGAGE ASSET GMACN 2003 BRAG CERT 144A
36185PAA3
1259475.710000
PA
USD
1214631.700000
0.0434258
Long
ABS-MBS
CORP
US
N
2
2038-08-10
Fixed
5.55
N
N
N
N
N
N
ATRIUM HOTEL PORTFOLIO TRUST 2018-ATRM
N/A
ATRIUM HOTEL PORTFOLIO TRUST AHPT 2018 ATRM E 144A
04965KAQ3
16369000.000000
PA
USD
15298490.320000
0.546956
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
9.059
N
N
N
N
N
N
TOBACCO SETTLEMENT FINANCE AUTHORITY
N/A
TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0
88880LAB9
1200000.000000
PA
USD
106335.960000
0.0038018
Long
DBT
MUN
US
N
2
2047-06-01
None
0
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2019-2
N/A
MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A
57109H102
4409.000000
PA
USD
102157.890000
0.0036524
Long
ABS-O
CORP
US
N
3
2029-07-16
Fixed
0
N
N
N
N
N
N
WHLN LOAN
N/A
WALGREENS AUBURN FIXED TERM LOAN
938XCUII8
532783.290000
PA
USD
527955.530000
0.0188756
Long
LON
CORP
US
N
3
2025-03-01
Fixed
5.89
N
N
N
N
N
N
GCT COMMERCIAL MORTGAGE TRUST 2021-GCT
N/A
GCT COMMERCIAL MORTGAGE TRUST GCT 2021 GCT A 144A
36167RAA1
14530000.000000
PA
USD
10928002.830000
0.390701
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
6.27648
N
N
N
N
N
N
FONTAINEBLEAU MIAMI BEACH TRUST 2019-FBLU
N/A
FONTAINEBLEAU MIAMI BEACH TRUS FMBT 2019 FBLU F 144A
34461LAQ7
9700000.000000
PA
USD
9295118.120000
0.332322
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Variable
3.96287
N
N
N
N
N
N
YOSEMITE RE LTD
N/A
YOSEMITE RE LTD UNSECURED 144A 06/25 VAR
98740RAA7
3730000.000000
PA
USD
3843205.500000
0.137403
Long
DBT
CORP
BM
N
2
2025-06-06
Floating
9.978
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-6000176.250000
PA
USD
-6057909.600000
-0.216584
Short
RA
US
N
2
Reverse repurchase
N
6.540000
2024-05-10
8550000.000000
USD
8060584.320000
USD
PLCMO
N
N
N
MASTR ASSET BACKED SECURIT TR 2003-OPT1
N/A
MASTR ASSET BACKED SECURITIES MABS 2003 OPT1 M4
57643LAN6
442511.150000
PA
USD
306828.160000
0.0109698
Long
ABS-MBS
CORP
US
N
2
2032-12-25
Floating
11.3204
N
N
N
N
N
N
WHLN LOAN
N/A
MONTGOMERY PLAZA APARTMENTS FIXED TERM LOAN
938XCWII4
189188.540000
PA
USD
188063.760000
0.0067237
Long
LON
CORP
US
N
3
2024-11-11
Fixed
5.9
N
N
N
N
N
N
N/A
N/A
REVERSE REPO MIZUHO SECURITIES
000000000
-4672200.000000
PA
USD
-4689590.960000
-0.167663
Short
RA
US
N
2
Reverse repurchase
N
6.700000
2024-06-12
7100000.000000
USD
7384361.030000
USD
PLCMO
N
N
N
LABRADOR AVIATION FINANCE LTD 2016-1A
N/A
LABRADOR AVIATION FINANCE LIMI LAFL 2016 1A A1 144A
50543LAA0
5941290.150000
PA
USD
5079995.580000
0.181621
Long
ABS-O
CORP
US
N
2
2042-01-15
Fixed
4.3
N
N
N
N
N
N
JP MORGAN ALTERNATIVE LN TRUST 2007-A1
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 1A4
466287AD1
2414448.170000
PA
USD
2246385.430000
0.0803134
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.89043
N
N
N
N
N
N
TOLL ROAD INVESTORS PARTNERSHIP II LP
N/A
TOLL ROAD INV PART II INSURED 144A 02/43 0.00000
88948ABM8
96629475.660000
PA
USD
26259881.360000
0.93885
Long
DBT
CORP
US
N
2
2043-02-15
None
0
N
N
N
N
N
N
N/A
N/A
YAHOO (AKA: AP CORE HOLDI TL TRS BKL BPS
000000000
1.000000
NC
USD
119138.710000
0.0042595
N/A
DIR
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
YAHOO (AKA: AP CORE HOLDINGS II LLC)
YAHOO (VERIZON MEDIA) TL B2 1L TSFR1M
Y
2027-09-01
0.000000
USD
0.000000
USD
1397000.000000
USD
119138.710000
N
N
N
SMRT 2022-MINI
N/A
SMRT SMRT 2022 MINI F 144A
78457JAQ5
5442000.000000
PA
USD
5020917.090000
0.179509
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
8.712
N
N
N
N
N
N
HOME EQUITY ASSET TRUST 2006-4
N/A
HOME EQUITY ASSET TRUST HEAT 2006 4 M1
437084VR4
30189730.700000
PA
USD
28701117.340000
1.02613
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.95043
N
N
N
N
N
N
LIBERTY STREET TRUST 2016-225L
N/A
LIBERTY STREET TRUST LBTY 2016 225L E 144A
902055AJ1
7616273.000000
PA
USD
5443219.310000
0.194607
Long
ABS-MBS
CORP
US
N
2
2036-02-10
Variable
4.6485
N
N
N
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-3590721.240000
PA
USD
-3673652.560000
-0.131341
Short
RA
US
N
2
Reverse repurchase
N
6.546900
2024-02-28
15000000.000000
USD
5268276.000000
USD
PLCMO
N
N
N
N/A
N/A
BOUGHT IDR SOLD USD 20240320
000000000
1.000000
NC
-1437.390000
-0.0000514
N/A
DFE
ID
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
501393.000000
USD
7698388122.000000
IDR
2024-03-20
-1437.390000
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2015-A
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A
78448P100
15401.000000
PA
USD
4563635.020000
0.16316
Long
ABS-O
CORP
US
N
3
2048-10-15
Fixed
0
N
N
N
N
N
N
DBGS 2021-W52 MORTGAGE TRUST
N/A
DBGS MORTGAGE TRUST DBGS 2021 W52 F 144A
23308LAQ7
6000000.000000
PA
USD
3475759.200000
0.124266
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
9.62648
N
N
N
N
N
N
N/A
N/A
REVERSE REPO DEUTSCHE REVERSE REPO
000000000
-55458565.000000
PA
USD
-55725152.000000
-1.9923
Short
RA
US
N
2
Reverse repurchase
N
6.922020
2024-02-02
254032123.210000
USD
81686915.200000
USD
PLCMO
N
N
N
PROJECT ANFORA
N/A
PROJECT ANFORA SENIOR TERM LOAN
938BZJII6
32963231.080000
PA
35199818.750000
1.25847
Long
LON
CORP
US
Y
3
2026-10-01
Floating
6.738
N
N
N
N
N
N
NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY
213800F6E89RCASJ7E83
NAC AVIATION 29 DAC 2022 REINSTATD R1 TAKEBCK TLB1
943WDYII4
33203669.980000
PA
USD
31100881.560000
1.11193
Long
LON
CORP
IE
N
2
2026-06-30
Floating
7.3194
N
N
N
N
N
N
WESCO AIRCRAFT HOLDINGS INC
529900P5VTXZS191P208
INCORA PIK DELAYED DRAW TERM LOAN
948FMNII0
27599838.250000
PA
USD
29283954.990000
1.04697
Long
DBT
CORP
US
N
3
2024-03-01
Floating
13.9882
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-2768519.000000
PA
USD
-2841893.310000
-0.101604
Short
RA
US
N
2
Reverse repurchase
N
6.815080
2024-02-12
11491000.000000
USD
1194415.730000
USD
PLCMO
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2007-2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 2 1A2
17310SAB3
4104735.430000
PA
USD
3136242.810000
0.112128
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
5.82043
N
N
N
N
N
N
HESTIA RE LTD
549300QRKQ1ZKOXEMZ38
HESTIA RE LTD UNSECURED 144A 04/25 VAR
42815KAA0
3520000.000000
PA
USD
3322880.000000
0.118801
Long
DBT
CORP
BM
N
2
2025-04-22
Floating
9.37
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 11
N/A
SEQUOIA MORTGAGE TRUST SEMT 11 B1
81744AAB4
157483.010000
PA
USD
117636.450000
0.0042058
Long
ABS-MBS
CORP
US
N
3
2032-12-20
Floating
6.9274
N
N
N
N
N
N
FANNIE MAE REMICS 2022-3
N/A
FANNIE MAE FNR 2022 3 YS
3136BLFH8
205221215.950000
PA
USD
2107026.750000
0.075331
Long
ABS-MBS
USGSE
US
N
2
2052-02-25
Floating
0
N
N
N
N
N
N
ARIMA MORTGAGES PLC 1A
N/A
ARIMA 1A R 07/53 VAR
ACI2KHBB5
1900000.000000
PA
1055060.420000
0.0377208
Long
ABS-MBS
CORP
GB
N
2
2053-07-28
None
0
N
N
N
N
N
N
N/A
N/A
BOUGHT TRY SOLD USD 20240425
000000000
1.000000
NC
-333136.030000
-0.0119104
N/A
DFE
TR
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
22280000.000000
USD
720089600.000000
TRY
2024-04-25
-333136.030000
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2019-3A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2019 3A R 144A
30167EAL9
16100.000000
PA
USD
5213194.820000
0.186384
Long
ABS-O
CORP
US
N
3
2031-08-15
Fixed
0
N
N
N
N
N
N
CSMC SERIES 2015-4R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2015 4R 1A4 144A
12650BAG8
13638653.010000
PA
USD
10387121.760000
0.371363
Long
ABS-MBS
CORP
US
N
2
2036-10-27
Floating
4.18341
N
N
N
N
N
N
N/A
N/A
ZCS BRL 12.145 03/22/22-01/02/25 CME
000000000
1.000000
NC
3126.550000
0.0001118
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
4900000.000000
BRL
3126.550000
N
N
N
WINDSTREAM HOLDINGS II LLC
N/A
WINDSTREAM UNITS EQUITY
952YSX903
1366195.000000
NS
USD
40427695.130000
1.44538
Long
EC
CORP
US
N
3
N
N
N
LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2
N/A
LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 CERT 144A
52607QAB6
2900000.000000
PA
USD
498031.620000
0.0178058
Long
ABS-O
CORP
US
N
3
2028-04-15
Fixed
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO THE BANK OF NOVA REVERSE REPO
000000000
-3854022.490000
PA
USD
-3881712.590000
-0.13878
Short
RA
US
N
2
Reverse repurchase
N
6.050000
2024-05-20
5874000.000000
USD
4953669.630000
USD
CDS
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-12
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13
41162DAD1
2495545.420000
PA
USD
2342629.380000
0.0837543
Long
ABS-MBS
CORP
US
N
2
2036-12-19
Floating
5.95023
N
N
N
N
N
N
N/A
N/A
REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079
000000000
-2193646.030000
PA
USD
-2207707.310000
-0.0789305
Short
RA
US
N
2
Reverse repurchase
N
6.410000
2024-05-22
4029878.000000
USD
3010934.990000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-16151783.260000
PA
USD
-16230110.430000
-0.580263
Short
RA
US
N
2
Reverse repurchase
N
6.020000
2024-02-29
23600000.000000
USD
18924984.520000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO DEUTSCHE REVERSE REPO
000000000
-1071000.000000
PA
USD
-1073707.840000
-0.0383875
Short
RA
US
N
2
Reverse repurchase
N
6.067995
2024-02-16
1400000.000000
USD
1246015.260000
USD
PLCMO
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO GBP ZCP
000000000
-1118301.980000
PA
-1433866.070000
-0.051264
Short
RA
GB
N
2
Reverse repurchase
N
6.028000
2024-02-27
1519229.360000
GBP
1356113.810000
GBP
ABS
N
N
N
SOUTH COAST FUNDING 5A
N/A
SOUTH COAST FUNDING SCF 5A C1 144A
84129VAJ0
36545202.210000
PA
USD
3654.520000
0.0001307
Long
ABS-CBDO
CORP
KY
N
2
2039-08-06
Floating
8.88219
N
N
N
N
N
N
MFA 2020-NQM1 TRUST
N/A
MFRA TRUST MFRA 2020 NQM1 B1 144A
552754AE3
6143000.000000
PA
USD
5410470.590000
0.193437
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
4.978
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2019-2A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2019 2A R 144A
30167LAL3
6900.000000
PA
USD
1681803.330000
0.0601283
Long
ABS-O
CORP
US
N
3
2031-05-15
Fixed
0
N
N
N
N
N
N
WESTMORELAND MINING HOLDINGS LLC
N/A
WESTMORELAND MINING HOLDINGS L COMMON
935ZXN908
89636.740000
NS
USD
358546.960000
0.0128189
Long
EC
CORP
US
Y
3
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-8423927.460000
PA
USD
-8570747.160000
-0.306424
Short
RA
US
N
2
Reverse repurchase
N
6.820000
2024-04-01
18062000.000000
USD
11371073.550000
USD
PLCMO
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A2
12668AWJ0
360142.690000
PA
USD
104707.990000
0.0037435
Long
ABS-MBS
CORP
US
N
2
2035-12-20
Floating
6.2524
N
N
N
N
N
N
WESTMET GROUP HOLDINGS LLC
N/A
EQTYWM927 WESTMORELAND MINING
952XGJII0
90975.210000
NS
USD
318413.240000
0.011384
Long
EC
CORP
US
Y
3
N
N
N
PETROLEOS DE VENEZUELA SA (PDVSA)
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 05/24 6
P7807HAT2
650000.000000
PA
USD
74735.620000
0.002672
Long
DBT
CORP
VE
N
2
2024-05-16
Fixed
6
N
Y
N
N
N
N
MARGATE FUNDING LTD
N/A
MARGATE FUNDING LTD MGATE 2004 1A A1S 144A
56659NAA3
37095427.350000
PA
USD
7843531.350000
0.280424
Long
ABS-CBDO
CORP
KY
N
2
2044-12-04
Floating
5.31571
N
N
N
N
N
N
N/A
N/A
RFR GBP SONIO/5.00000 03/20/24-5Y LCH
000000000
1.000000
NC
8166188.570000
0.29196
N/A
DIR
GB
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
SONIA O/N Deposit Rates Swap
N/A
N/A
Y
2029-03-20
8118376.540000
GBP
0.000000
GBP
82500000.000000
GBP
47812.030000
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S REGS 01/26 1.875
ACI1T7K79
7041000.000000
PA
7393431.650000
0.264332
Long
DBT
CORP
IT
N
2
2026-01-09
Fixed
1.875
N
N
N
N
N
N
COUNTRY GARDEN HOLDINGS COMPANY LIMITED
549300MGHLPT1EFHGF84
COUNTRY GARDEN HLDGS SR SECURED REGS 09/25 6.15
ACI1FGXS4
1000000.000000
PA
USD
83950.000000
0.0030014
Long
DBT
CORP
KY
N
2
2025-09-17
Fixed
6.15
Y
Y
N
N
N
N
CSMC SERIES 2014-2R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2014 2R 28A2 144A
12648ELY6
1026464.990000
PA
USD
778408.230000
0.0278299
Long
ABS-MBS
CORP
US
N
2
2037-06-27
Variable
9.14875
N
N
N
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-22173059.170000
PA
USD
-22948635.780000
-0.820466
Short
RA
US
N
2
Reverse repurchase
N
6.770000
2024-01-04
399666630.520000
USD
32261552.760000
USD
PLCMO
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-TBR
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2018 TBR E 144A
17326MAN2
4000000.000000
PA
USD
3879197.200000
0.13869
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
8.52648
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-2254098.000000
PA
USD
-2266009.650000
-0.081015
Short
RA
US
N
2
Reverse repurchase
N
6.560000
2024-04-04
2870000.000000
USD
2052917.030000
USD
PLCMO
N
N
N
BANC OF AMERICA FUNDING TRUST 2015-R2
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2015 R2 6A2 144A
05990TAV9
2820444.470000
PA
USD
2612457.280000
0.0934013
Long
ABS-MBS
CORP
US
N
2
2037-02-27
Variable
4.18492
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 F 144A
46642CAR1
1490332.000000
PA
USD
324147.210000
0.011589
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
3.5
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST E 144A
46652DAJ4
4240000.000000
PA
USD
501283.750000
0.017922
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
8.22648
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-1744446.500000
PA
USD
-1746208.390000
-0.0624309
Short
RA
US
N
2
Reverse repurchase
N
6.060000
2024-04-26
2300000.000000
USD
2017453.970000
USD
CDS
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-13
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 1M1
126698AG4
9915999.990000
PA
USD
7397006.780000
0.26446
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Floating
6.97043
N
N
N
N
N
N
EUROSAIL PLC 2007-3X
N/A
EUROSAIL PLC ESAIL 2007 3X E1C REGS
G3299SAF2
1780940.530000
PA
1821338.130000
0.065117
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
9.31451
N
N
N
N
N
N
N/A
N/A
SOLD IDR BOUGHT USD 20240320
000000000
1.000000
NC
-2612.480000
-0.0000934
N/A
DFE
ID
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
31876453672.000000
IDR
2067536.690000
USD
2024-03-20
-2612.480000
N
N
N
TITULIZACION DE ACTIVOS 27
N/A
TITULIZACION DE ACTIVOS TDA 27 A3 REGS
E9053PAF3
15730515.300000
PA
14569350.500000
0.520887
Long
ABS-MBS
CORP
ES
N
2
2050-12-28
Floating
4.121
N
N
N
N
N
N
N/A
N/A
REVERSE REPO DEUTSCHE REVERSE REPO
000000000
-11177738.000000
PA
USD
-11233409.510000
-0.40162
Short
RA
US
N
2
Reverse repurchase
N
7.172021
2024-02-02
20570.000000
USD
12382942.750000
USD
PLCMO
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-1661977.340000
PA
-1864261.090000
-0.0666516
Short
RA
LU
N
2
Reverse repurchase
N
4.126000
2024-02-12
2000000.000000
EUR
2201432.000000
EUR
CDS
N
N
N
GHANA GOVT
213800PP4399SNNXZ126
REPUBLIC OF GHANA SR UNSECURED 144A 02/27 6.375
37443GAG6
900000.000000
PA
USD
404145.000000
0.0144491
Long
DBT
NUSS
GH
N
2
2027-02-11
Fixed
6.375
Y
Y
N
N
N
N
GREAT HALL MORTGAGES PLC 2007-2X
N/A
GREAT HALL MORTGAGES PLC 2007 GHM 2007 2X R
936LMVII3
1000000.000000
PA
11529478.580000
0.412205
Long
ABS-MBS
CORP
GB
N
3
2039-06-25
Fixed
0
N
N
N
N
N
N
COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1
N/A
COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM
20173WAH1
1798959.960000
PA
USD
198524.230000
0.0070977
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
6.58904
N
N
N
N
N
N
GSAMP TRUST 2004-AHL
N/A
GSAMP TRUST GSAMP 2004 AHL M2
36242DHR7
667523.400000
PA
USD
595920.170000
0.0213055
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
7.19543
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-NC5
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2FP
61749BAB9
210018.290000
PA
USD
109325.460000
0.0039086
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.54043
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG
952NPK908
200000.000000
PA
USD
24000.000000
0.0008581
Long
DBT
CORP
US
N
2
2060-12-31
None
0
N
N
N
N
N
N
VERITAS US INC / VERITAS BERMUDA LTD
N/A
VERITAS US INC/BERMUDA L SR SECURED 144A 09/25 7.5
92346LAE3
17700000.000000
PA
USD
14626315.350000
0.522924
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
7.5
N
N
N
N
N
N
DROP MORTGAGE TRUST 2021-FILE
N/A
DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE D 144A
26210YAL0
5805878.000000
PA
USD
4191191.920000
0.149845
Long
ABS-MBS
CORP
US
N
2
2043-10-15
Floating
8.22648
N
N
N
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO GBP ZCP
000000000
-3801181.620000
PA
-4872940.240000
-0.174219
Short
RA
GB
N
2
Reverse repurchase
N
5.846000
2024-02-27
4150000.000000
GBP
4145235.800000
GBP
ABS
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6
N/A
STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B2 144A
85573RAK4
600000.000000
PA
USD
391972.080000
0.0140139
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Fixed
3.935
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORP 2007-R1
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2007 R1 A2 144A
05953BAB7
1378765.860000
PA
USD
1132693.930000
0.0404964
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
3.59074
N
N
N
N
N
N
N/A
N/A
IRS MXN 8.73000 04/12/22-5Y* CME
000000000
1.000000
NC
1839.460000
0.0000658
N/A
DIR
MX
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2027-04-06
0.000000
MXN
0.000000
MXN
3900000.000000
MXN
1839.460000
N
N
N
GSMSC RESECURITIZATION TRUST 2015-7R
N/A
GS MORTGAGE SECURITIES CORP. GSMSC 2015 7R B 144A
36254RAB3
39703293.090000
PA
USD
16476600.620000
0.589076
Long
ABS-MBS
CORP
US
N
2
2037-09-26
Variable
3.03119
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR9
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A1B
93363DAC1
7323651.510000
PA
USD
4937625.620000
0.176531
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
6.0598
N
N
N
N
N
N
MFT TRUST 2020-ABC E
N/A
MFT TRUST MOFT 2020 ABC C 144A
55317BAG2
4500000.000000
PA
USD
2518134.750000
0.090029
Long
ABS-MBS
CORP
US
N
2
2042-02-10
Variable
3.4767
N
N
N
N
N
N
MICHIGAN TOBACCO SETTLEMENT FINANCE AUTHORITY
N/A
MICHIGAN ST TOBACCO SETTLEMENT MISGEN 06/46 ZEROCPNOID 0
594751AL3
43500000.000000
PA
USD
5577026.250000
0.199391
Long
DBT
MUN
US
N
2
2046-06-01
None
0
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/2.30000 01/17/24-2Y LCH
000000000
1.000000
NC
USD
338347.790000
0.0120967
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2026-01-17
4708.270000
USD
0.000000
USD
10300000.000000
USD
333639.520000
N
N
N
SUMMER STREET LTD 2005-1A
N/A
SUMMER STREET LTD SMSTR 2005 1A A1 144A
86565MAA5
33245575.610000
PA
USD
8444874.890000
0.301923
Long
ABS-CBDO
CORP
KY
N
2
2045-12-06
Floating
5.87458
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-41
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 41 PT 144A
21054YAA4
171362.360000
PA
USD
157150.290000
0.0056185
Long
ABS-O
CORP
US
N
2
2044-11-17
Variable
20.8563
N
N
N
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-3786632.550000
PA
USD
-3794932.640000
-0.135677
Short
RA
US
N
2
Reverse repurchase
N
6.070000
2024-04-16
5235000.000000
USD
4403342.250000
USD
PLCMO
N
N
N
MORGAN STANLEY HOME EQUITY LN 2005-2
N/A
MORGAN STANLEY HOME EQUITY LOA MSHEL 2005 2 M6
61744CQQ2
5589650.280000
PA
USD
4946540.890000
0.17685
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
6.53543
N
N
N
N
N
N
DEUTSCHE MORTGAGE SECURITIES INC RE-REMIC TRUST CERTIFICATES SERIES 2007-RS8
N/A
DEUTSCHE MORTGAGE SECURITIES, DMSI 2007 RS8 3A1 144A
25156WAG3
3540467.830000
PA
USD
2662178.660000
0.0951789
Long
ABS-MBS
CORP
US
N
2
2036-09-28
Variable
4.12745
N
N
N
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-3477315.340000
PA
USD
-3567864.630000
-0.127559
Short
RA
US
N
2
Reverse repurchase
N
6.510000
2024-02-07
4181958.640000
USD
4165465.000000
USD
PLCMO
N
N
N
SIERRA MADRE FUNDING LTD 2004-1A
N/A
SIERRA MADRE FUNDING LTD MADRE 2004 1A A1A 144A
82639RAB3
9630228.150000
PA
USD
6779526.530000
0.242384
Long
ABS-CBDO
CORP
KY
N
2
2039-09-07
Floating
5.85409
N
N
N
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-642215.000000
PA
USD
-644061.370000
-0.0230267
Short
RA
US
N
2
Reverse repurchase
N
5.750000
2024-02-02
2178945.000000
USD
795981.190000
USD
N
N
N
UKRAINE GOVT
6354001WLTJXOMEXPY07
UKRAINE GOVERNMENT SR UNSECURED 144A 01/32 4.375
ACI1J9SD5
3304000.000000
PA
758669.870000
0.0271242
Long
DBT
NUSS
UA
N
2
2032-01-27
Fixed
4.375
N
N
N
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7
71643VAB1
8424000.000000
PA
USD
7000002.830000
0.250266
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.7
N
N
N
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-5232654.570000
PA
-5810790.680000
-0.207749
Short
RA
LU
N
2
Reverse repurchase
N
4.400000
2024-03-14
5941000.000000
EUR
5650954.440000
EUR
CDS
N
N
N
GSAMP TRUST 2004-SEA2
N/A
GSAMP TRUST GSAMP 2004 SEA2 M2
36228F6A9
2555532.950000
PA
USD
2103084.530000
0.07519
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Floating
7.34543
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A2A
126680AD9
2861523.200000
PA
USD
1767871.350000
0.0632054
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
5.89043
N
N
N
N
N
N
FUTBOL CLUB BARCELONA SL
95980020140005871781
ESPAI BRCA FNDO DE TITULZACION EUR TERM LOAN
948FVAII8
14939833.330000
PA
17193776.650000
0.614717
Long
LON
CORP
ES
N
3
2028-05-31
Fixed
11.3528
N
N
Y
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-12866593.000000
PA
-14278192.680000
-0.510478
Short
RA
LU
N
2
Reverse repurchase
N
4.414000
2024-01-22
21700000.000000
EUR
13650618.800000
EUR
CDS
N
N
N
CSMC SERIES 2011-5R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2011 5R 6A7 144A
12645LCB3
3860974.110000
PA
USD
3582399.040000
0.128079
Long
ABS-MBS
CORP
US
N
2
2037-11-27
Variable
4.29441
N
N
N
N
N
N
KIWI VFS SUB I SARL
N/A
KIWI VFS SUB I SARL EUR TERM LOAN
943VLLII5
8200000.000000
PA
9233439.090000
0.330116
Long
LON
CORP
GB
N
3
2029-05-16
Floating
10.325
N
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2007-CH1
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MF1
46630LAH7
600000.000000
PA
USD
609096.480000
0.0217766
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
6.291
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-2117187.500000
PA
USD
-2126024.410000
-0.0760102
Short
RA
US
N
2
Reverse repurchase
N
6.830000
2024-04-11
5000000.000000
USD
3391306.000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-30712177.480000
PA
USD
-31562717.090000
-1.12844
Short
RA
US
N
2
Reverse repurchase
N
6.310000
2025-07-27
101472373.000000
USD
50047432.540000
USD
CDS
N
N
N
N/A
N/A
IRS MXN 8.75000 04/08/22-2Y CME
000000000
1.000000
NC
4678.310000
0.0001673
N/A
DIR
MX
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2024-04-05
0.000000
MXN
0.000000
MXN
9300000.000000
MXN
4678.310000
N
N
N
N/A
N/A
ZCS BRL 11.35 03/28/22-01/02/25 CME
000000000
1.000000
NC
-6836.550000
-0.0002444
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
2200000.000000
BRL
-6836.550000
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-1422505.770000
PA
-1818632.970000
-0.0650203
Short
RA
GB
N
2
Reverse repurchase
N
5.770000
2024-03-18
1700000.000000
GBP
1699301.300000
GBP
ABS
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN 5
945BALII9
17370471.560000
PA
USD
868523.580000
0.0310517
Long
LON
CORP
BR
N
2
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
510 LOAN ACQUISITION TRUST 2020-1
N/A
510 LOAN ACQUISITION TRUST FTLA 2020 1 A 144A
33831HAA6
5291643.220000
PA
USD
5298748.310000
0.189442
Long
ABS-MBS
CORP
US
N
2
2060-09-25
Fixed
8.107
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-8996192.000000
PA
USD
-9118255.020000
-0.325998
Short
RA
US
N
2
Reverse repurchase
N
6.540000
2024-01-12
11600000.000000
USD
11289759.080000
USD
PLCMO
N
N
N
N/A
N/A
IRS MXN 8.41000 04/06/22-5Y* CME
000000000
1.000000
NC
4620.250000
0.0001652
N/A
DIR
MX
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2027-03-31
0.000000
MXN
0.000000
MXN
4400000.000000
MXN
4620.250000
N
N
N
MFA 2020-NQM1 TRUST
N/A
MFRA TRUST MFRA 2020 NQM1 M1 144A
552754AD5
1185000.000000
PA
USD
1017942.850000
0.0363938
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
3.071
N
N
N
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-15801141.300000
PA
USD
-16433186.950000
-0.587524
Short
RA
US
N
2
Reverse repurchase
N
5.760000
2024-01-22
20000000.000000
USD
19103666.000000
USD
CDS
N
N
N
BANC OF AMERICA FUNDING CORP 2006-4
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 4 A11
05950FAL9
533957.450000
PA
USD
371268.680000
0.0132737
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6
N
N
N
N
N
N
N/A
N/A
PARIBAS REVERSE REPO EUR ZCP
000000000
-2937388.540000
PA
-3266250.810000
-0.116776
Short
RA
LU
N
2
Reverse repurchase
N
4.349000
2025-11-01
3587000.000000
EUR
3618386.250000
EUR
CDS
N
N
N
MORRISONS (MARKET BIDCO FINCO PLC)
549300UGYX6EBVHRVG53
MARKET BIDCO FINCO PLC SR SECURED 144A 11/27 4.75
ACI261ZG9
3700000.000000
PA
3673462.250000
0.131335
Long
DBT
CORP
GB
N
2
2027-11-04
Fixed
4.75
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2
N/A
FREDDIE MAC STACR STACR 2022 DNA2 B1 144A
35564KSJ9
3700000.000000
PA
USD
3836942.920000
0.137179
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
10.0874
N
N
N
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-19523368.150000
PA
USD
-19638078.780000
-0.702106
Short
RA
US
N
2
Reverse repurchase
N
6.610000
2024-05-31
31418981.000000
USD
27727948.090000
USD
PLCMO
N
N
N
N/A
N/A
3 MONTH SOFR FUT JUN25 XCME 20250916
000000000
-64.000000
NC
USD
167981.440000
0.0060057
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
N/A
90SOFR
2025-09-16
-15485200.000000
USD
167981.440000
N
N
N
RESIDENTIAL ASSET MORTGAGE PROD 2006-NC3
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC3 M2
76112B4Q0
15705958.310000
PA
USD
12424221.880000
0.444194
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
6.01043
N
N
N
N
N
N
N/A
N/A
ZCS BRL 11.87 03/22/22-01/04/27 CME
000000000
1.000000
NC
53947.700000
0.0019288
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
8500000.000000
BRL
53947.700000
N
N
N
COMM 2021-2400 MORTGAGE TRUST
N/A
COMM MORTGAGE TRUST COMM 2021 2400 G 144A
20048FAS7
5260000.000000
PA
USD
3679394.720000
0.131547
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
11.4765
N
N
N
N
N
N
MFT TRUST 2020-ABC E
N/A
MFT TRUST MOFT 2020 ABC D 144A
55317BAJ6
7886000.000000
PA
USD
3308147.030000
0.118274
Long
ABS-MBS
CORP
US
N
2
2042-02-10
Variable
3.4767
N
N
N
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-4345032.330000
PA
USD
-4385727.190000
-0.1568
Short
RA
US
N
2
Reverse repurchase
N
6.050000
2024-03-06
6100000.000000
USD
5040707.550000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-11965565.000000
PA
USD
-12133153.920000
-0.433788
Short
RA
US
N
2
Reverse repurchase
N
6.634390
2024-04-18
21892000.000000
USD
15979443.670000
USD
PLCMO
N
N
N
KEYCORP STUDENT LOAN TRUST 1999-A
N/A
KEYCORP STUDENT LN TR SER 2004 A CL 1A1
000000000
100000.000000
PA
USD
7738066.070000
0.276653
Long
ABS-O
CORP
US
N
3
2050-01-01
Fixed
0
N
N
N
N
N
N
TERWIN MTGE TRUST 2006-5
N/A
TERWIN MORTGAGE TRUST TMTS 2006 5 1M1 144A
8815612H6
11097068.580000
PA
USD
9647831.370000
0.344932
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
6.01043
N
N
N
N
N
N
HOUT BAY 2006-1
N/A
HOUT BAY HOUT 2006 1A A1 144A
442451AA8
13376921.730000
PA
USD
2573224.790000
0.0919986
Long
ABS-CBDO
CORP
KY
N
2
2041-07-05
Floating
4.42229
N
N
N
N
N
N
N/A
N/A
MORRISON (MARKET BIDCO LI TL TRS BKL BPS
000000000
1.000000
NC
2844166.060000
0.101685
N/A
DIR
GB
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
MORRISONS (MARKET BIDCO LIMITED)
MORRISONS TL A 1L SONIA
Y
2027-11-04
0.000000
GBP
0.000000
GBP
19338000.000000
GBP
2844166.060000
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-228810.000000
PA
USD
-234943.760000
-0.0083998
Short
RA
US
N
2
Reverse repurchase
N
6.610000
2024-02-09
400000.000000
USD
320712.040000
USD
PLCMO
N
N
N
NATIONAL COLLEGIATE II COMMUTATION TRUST 2005 AR16
N/A
NATIONAL COLLEGIATE II COMMUTA NCMCT 2005 AR16 AR16
63545AAA5
22875000.000000
PA
USD
1731495.680000
0.0619049
Long
ABS-O
CORP
US
N
2
2045-06-01
Fixed
3.748
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN
90290PAS3
73455333.010000
PA
USD
56009691.420000
2.00247
Long
LON
CORP
US
N
2
2028-06-20
Floating
10.4704
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2004-A
N/A
FREMONT HOME LOAN TRUST FHLT 2004 A M3
35729PCM0
1883436.980000
PA
USD
1567656.730000
0.0560473
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
7.57043
N
N
N
N
N
N
TEXGEN POWER LLC
5493003XDLS9LCQ3SY55
TEXGEN POWER LLC
933KFF900
273307.000000
NS
USD
9770725.250000
0.349326
Long
EC
CORP
US
Y
3
N
N
N
N/A
N/A
REVERSE REPO DEUTSCHE REVERSE REPO
000000000
-36275532.610000
PA
USD
-36451167.190000
-1.30321
Short
RA
US
N
2
Reverse repurchase
N
6.972021
2024-02-02
169630743.250000
USD
56532224.810000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO NATEXIS BANQUE REVERSE REPO
000000000
-630000.000000
PA
USD
-646268.000000
-0.0231055
Short
RA
US
N
2
Reverse repurchase
N
6.640000
2024-02-09
2500000.000000
USD
250407.500000
USD
PLCMO
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR
ACI1J42S1
6887000.000000
PA
7669430.130000
0.274199
Long
DBT
CORP
IT
N
2
2030-01-22
Floating
8
N
N
N
N
N
N
STRUCTURED ASSET INVST LN TR 2005-8
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2005 8 M2
86358EXR2
19208971.220000
PA
USD
14806048.350000
0.52935
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
6.22043
N
N
N
N
N
N
IVANTI SOFTWARE INC
254900GHAXAYKWDX9F60
IVANTI SOFTWARE, INC. 2021 TERM LOAN B
46583DAG4
13908257.790000
PA
USD
13240105.090000
0.473364
Long
LON
CORP
US
N
2
2027-12-01
Floating
9.9071
N
N
N
N
N
N
NPC UKRENERGO
8945009LCLS92V4AK321
NPC UKRENERGO GOVT GUARANT 144A 11/28 6.875
63718LAA2
1000000.000000
PA
USD
271500.000000
0.0097067
Long
DBT
CORP
UA
N
2
2028-11-09
Fixed
6.875
N
N
N
N
N
N
N/A
N/A
REVERSE REPOS
000000000
-5344527.530000
PA
-6867439.210000
-0.245527
Short
RA
GB
N
2
Reverse repurchase
N
5.965000
2024-05-13
7341000.000000
GBP
7324647.920000
GBP
ABS
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-12154239.890000
PA
USD
-12573095.250000
-0.449517
Short
RA
US
N
2
Reverse repurchase
N
6.670000
2024-01-04
20156285.060000
USD
16285770.390000
USD
PLCMO
N
N
N
SOUTH COAST FUNDING 5A
N/A
SOUTH COAST FUNDING SCF 5A B 144A
84129VAG6
23324731.270000
PA
USD
7710456.420000
0.275666
Long
ABS-CBDO
CORP
KY
N
2
2039-08-06
Floating
6.68219
N
N
N
N
N
N
AMBULATORY TOPCO LLC
N/A
AMSURG EQUITY EQTYAS910
902RDL901
2562021.000000
NS
USD
131408967.550000
4.69817
Long
EC
CORP
US
Y
3
N
N
N
BCP TRUST 2021-330N
N/A
BCP TRUST BCP 2021 330N A 144A
05553BAA3
800000.000000
PA
USD
719949.760000
0.0257398
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
6.27548
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/2.00000 12/21/22-7Y CME
000000000
1.000000
NC
USD
-19730829.940000
-0.705422
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2029-12-21
0.000000
USD
-25130549.740000
USD
244600000.000000
USD
5399719.800000
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-2332244.700000
PA
USD
-2354685.390000
-0.0841853
Short
RA
US
N
2
Reverse repurchase
N
6.540000
2024-05-10
3580000.000000
USD
3120609.390000
USD
PLCMO
N
N
N
N/A
N/A
ZCS BRL 11.245 03/25/22-01/04/27 CME
000000000
1.000000
NC
3485.440000
0.0001246
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2027-01-04
0.000000
BRL
0.000000
BRL
1600000.000000
BRL
3485.440000
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
BONOS DE TESORERIA SR UNSECURED 08/40 5.35
ACI1H2BH1
400000.000000
PA
92806.750000
0.0033181
Long
DBT
NUSS
PE
N
2
2040-08-12
Fixed
5.35
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 E 144A
46649JAN8
20962025.330000
PA
USD
19997162.170000
0.714944
Long
ABS-MBS
CORP
US
N
2
2035-02-15
Floating
8.72648
N
N
N
N
N
N
N/A
N/A
JAGUAR LAND ROVER AUTOMOTIVE SNR SE ICE
000000000
1.000000
NC
133310.830000
0.0047662
N/A
DCR
GB
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
JAGUAR LAND ROVER AUTOMOTIVE PLC (AKA: JAGUAR LAND ROVER PLC)
JAGUAR LAND ROVER AUTOMO
Y
Single Leg Swap
2026-06-20
101514.730000
EUR
0.000000
EUR
1600000.000000
EUR
31796.100000
N
N
N
N/A
N/A
REVERSE REPO MORGAN STANLEY
000000000
-40597024.000000
PA
USD
-40806064.030000
-1.45891
Short
RA
US
N
2
Reverse repurchase
N
6.610000
2024-06-03
61593000.000000
USD
56730275.700000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-10820801.930000
PA
USD
-10938409.060000
-0.391073
Short
RA
US
N
2
Reverse repurchase
N
6.550000
2024-05-03
16231000.000000
USD
13766678.110000
USD
PLCMO
N
N
N
CREDIT-BASED ASSET SERV & SEC 2004-CB4
N/A
CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 M2
12489WJS4
1468278.240000
PA
USD
1106697.840000
0.039567
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
6.767
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST 2018-3
N/A
FLAGSHIP CREDIT AUTO TRUST FCAT 2018 3 R 144A
33844P105
33000.000000
PA
USD
1941321.590000
0.0694066
Long
ABS-O
CORP
US
N
3
2025-12-15
Fixed
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-17799305.780000
PA
USD
-18001256.710000
-0.643586
Short
RA
US
N
2
Reverse repurchase
N
6.588000
2024-02-01
52459221.510000
USD
26347974.520000
USD
PLCMO
N
N
N
CIT MTGE LOAN TRUST 2007-1
N/A
CIT MORTGAGE LOAN TRUST CITM 2007 1 1M2 144A
12559QAH5
27232500.000000
PA
USD
23612295.870000
0.844193
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
7.22043
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 AIOS 144A
36260AAP1
39958999.750000
PA
USD
141093.230000
0.0050444
Long
ABS-O
CORP
US
N
2
2059-07-25
Fixed
0
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2019 JWDR E 144A
95002NAN7
11000000.000000
PA
USD
10145118.500000
0.362711
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
3.8603
N
N
N
N
N
N
RUSSIAN GOVT
5493004EHVGF71PDBU58
RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625
X74344DS2
4600000.000000
PA
USD
3093040.000000
0.110583
Long
DBT
NUSS
RU
N
2
2042-04-04
Fixed
5.625
Y
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-53
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 53 PT 144A
21056QAA9
317056.850000
PA
USD
302955.780000
0.0108314
Long
ABS-O
CORP
US
N
2
2045-01-16
Variable
7.6
N
N
N
N
N
N
PROJECT QUASAR INVESTMENTS 2017 SLU
N/A
NEPTUNE QUASAR PPN
936TNJII2
1.000000
PA
0.000000
0
Long
LON
CORP
LU
N
3
2028-03-15
None
0
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.2* 9/16/23-28Y* CME
000000000
1.000000
NC
USD
31261913.060000
1.11768
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2051-06-16
13418941.800000
USD
0.000000
USD
74500000.000000
USD
17842971.260000
N
N
N
BBCMS TRUST 2018-CBM
N/A
BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM E 144A
05549RAJ6
16000000.000000
PA
USD
14660060.800000
0.52413
Long
ABS-MBS
CORP
US
N
2
2037-07-15
Floating
9.20901
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2017-ASHF
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF E 144A
61691KAN1
21060000.000000
PA
USD
20179820.470000
0.721474
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
8.809
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-333.560000
-0.0000119
N/A
DFE
HU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
8218024.000000
HUF
23352.000000
USD
2024-01-04
-333.560000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-7852.580000
-0.0002807
N/A
DFE
HU
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
237496682.000000
HUF
676648.000000
USD
2024-01-04
-7852.580000
N
N
N
TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL
N/A
TELEMAR NORTE LESTE SA TERM LOAN 2
938VGTII1
36289545.170000
PA
USD
1814477.260000
0.0648717
Long
LON
CORP
BR
N
2
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-13918557.100000
PA
USD
-13979180.150000
-0.499787
Short
RA
US
N
2
Reverse repurchase
N
5.600000
2025-12-04
18936000.000000
USD
16826471.120000
USD
CDS
N
N
N
N/A
N/A
IRS EUR 0.83000 12/09/42-10Y LCH
000000000
1.000000
NC
3366188.000000
0.120349
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2052-12-09
316435.850000
EUR
0.000000
EUR
52500000.000000
EUR
3049752.150000
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A
N/A
CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A
14311CAA6
2900000.000000
PA
USD
489303.230000
0.0174937
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Variable
0
N
N
N
N
N
N
FREDDIE MAC REMICS 5069
N/A
FREDDIE MAC FHR 5069 IL
3137F9C66
4411485.150000
PA
USD
740861.730000
0.0264875
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
3
N
N
N
N
N
N
TDA FTA 28
N/A
TITULIZACION DE ACTIVOS TDA 28 A REGS
B241Q4II4
26159459.600000
PA
15287313.050000
0.546556
Long
ABS-MBS
CORP
ES
N
2
2050-10-28
Floating
4.152
N
N
N
N
N
N
HSI ASSET LOAN OBLIGATION 2007-1
N/A
HSI ASSET LOAN OBLIGATION HALO 2007 1 2A12
40431TAP6
6670397.410000
PA
USD
2623641.400000
0.0938011
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.5
N
N
N
N
N
N
N/A
N/A
REVERSE REPOS
000000000
-6137217.250000
PA
-7867619.520000
-0.281285
Short
RA
GB
N
2
Reverse repurchase
N
6.010000
2024-05-28
7667000.000000
GBP
7393912.960000
GBP
ABS
N
N
N
FREDDIE MAC REMICS 5140
N/A
FREDDIE MAC FHR 5140 JI
3137H24K7
3741945.830000
PA
USD
828587.300000
0.0296239
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Fixed
4.5
N
N
N
N
N
N
N/A
N/A
NOMURA REVERSE REPO EUR ZCP
000000000
-4000207.750000
PA
-4455818.910000
-0.159306
Short
RA
LU
N
2
Reverse repurchase
N
4.250000
2025-10-15
5018000.000000
EUR
5030861.130000
EUR
CDS
N
N
N
CITIGROUP MORTGAGE LOAN TR 2005-WF1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF1 M2
17307GPH5
4129815.730000
PA
USD
3437014.780000
0.122881
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Variable
6.03
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2019-1A
N/A
MARLETTE FUNDING TRUST MFT 2019 1A CERT 144A
57109X107
16695.000000
PA
USD
156804.590000
0.0056061
Long
ABS-O
CORP
US
N
3
2029-04-16
Fixed
0
N
N
N
N
N
N
CSMC 2021-ADV TRUST
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A
12660WAA3
6010000.000000
PA
USD
5319430.570000
0.190182
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
6.87648
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2019-PLND
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2019 PLND C 144A
61691XAJ2
4500000.000000
PA
USD
3694370.400000
0.132082
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
6.97648
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-115500.000000
PA
USD
-117143.440000
-0.0041881
Short
RA
US
N
2
Reverse repurchase
N
6.740000
2024-01-17
500000.000000
USD
144730.950000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-15433513.860000
PA
USD
-15504572.330000
-0.554324
Short
RA
US
N
2
Reverse repurchase
N
6.630000
2024-04-08
53472200.000000
USD
20737578.930000
USD
PLCMO
N
N
N
ADJUSTABLE RATE MORTAGE TRUST 2005-8
N/A
ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 7M1
007036QX7
1539571.640000
PA
USD
1581053.240000
0.0565262
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
6.49043
N
N
N
N
N
N
AGPS BONDCO PLC
89450071QI2G8XS48K39
AGPS BONDCO PLC COMPANY GUAR REGS 04/27 5
ACI1X8QD3
7800000.000000
PA
2901843.380000
0.103748
Long
DBT
CORP
GB
N
2
2027-04-27
Fixed
5
N
N
N
N
N
N
FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1
N/A
FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A
35563CAB4
62396133.980000
PA
USD
3730586.860000
0.133377
Long
ABS-MBS
USGSE
US
N
2
2055-11-25
Variable
0.7
N
N
N
N
N
N
START IRELAND 2019-1
N/A
START LTD. STARR 2019 1 A 144A
85573LAA9
2020476.090000
PA
USD
1837335.290000
0.0656889
Long
ABS-O
CORP
BM
N
2
2044-03-15
Fixed
4.089
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-460763.330000
PA
USD
-463216.770000
-0.0165611
Short
RA
US
N
2
Reverse repurchase
N
6.610000
2024-04-04
757242.830000
USD
666936.020000
USD
PLCMO
N
N
N
SUNSEEKER ISSUER LLC
N/A
SUNSEEKER TERM LOAN
943ZJCII9
31800000.000000
PA
USD
30437606.590000
1.08821
Long
DBT
CORP
US
N
3
2028-10-31
Fixed
5.55
N
N
N
N
N
N
SIERRA MADRE FUNDING LTD 2004-1A
N/A
SIERRA MADRE FUNDING LTD MADRE 2004 1A A2 144A
82639RAC1
16000000.000000
PA
USD
4196864.000000
0.150047
Long
ABS-CBDO
CORP
KY
N
2
2039-09-07
Floating
6.11409
N
N
N
N
N
N
BANCA MONTE DEI PASCHI DI SIENA SPA
J4CP7MHCXR8DAQMKIL78
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR
ACI1R35P7
1500000.000000
PA
1669089.840000
0.0596737
Long
DBT
CORP
IT
N
2
2030-09-10
Floating
8.5
N
N
N
N
N
N
CSWF 2021-SOP2
N/A
CREDIT SUISSE COMMERCIAL MORTG CSWF 2021 SOP2 A 144A
12657VAA0
4572971.340000
PA
USD
4232753.700000
0.151331
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
6.44317
N
N
N
N
N
N
ADLER FINANCING SARL
213800BAQB59IVKP7S93
ADLER FINANCING SARL SR SECURED 06/25 12.5
ACI2FK9S0
20024000.000000
PA
23337879.400000
0.834382
Long
DBT
CORP
LU
N
2
2025-06-30
Fixed
12.5
N
N
Y
N
N
N
STRUCTURED ASSET SECURITIES CO-2007-BC1
N/A
STRUCTURED ASSET SECURITIES CO SASC 2007 BC1 M1
86362PAG0
17030333.160000
PA
USD
13592261.420000
0.485954
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.70043
N
N
N
N
N
N
NOMURA RESECURITIZATION TRUST 2014-3R
N/A
NOMURA RESECURITIZATION TRUST NMRR 2014 3R 2A8 144A
65540LAX1
256006.970000
PA
USD
221351.920000
0.0079138
Long
ABS-MBS
CORP
US
N
2
2035-07-26
Variable
3.57643
N
N
N
N
N
N
N/A
N/A
BOUGHT CNY SOLD USD 20240216
000000000
1.000000
NC
187.300000
0.0000067
N/A
DFE
CN
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
63672.000000
USD
452007.530000
CNY
2024-02-16
187.300000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 02/24 0.00000
912796Z28
3042000.000000
PA
USD
3019407.980000
0.107951
Long
DBT
UST
US
N
2
2024-02-22
None
0
N
N
N
N
N
N
STRATTON MORTGAGE FUNDING 2020-1 PLC 20-1
N/A
STRATTON MORTGAGE FUNDING PLC STRA 2020 1 E REGS
ACI1XPW89
3000000.000000
PA
3830130.690000
0.136936
Long
ABS-MBS
CORP
GB
N
2
2052-03-12
Floating
8.19563
N
N
N
N
N
N
IMPAC CMB TR 2005-7
N/A
IMPAC CMB TRUST IMM 2005 7 A1
45254NQX8
10270060.420000
PA
USD
9020243.360000
0.322494
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
5.99043
N
N
N
N
N
N
N/A
N/A
REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079
000000000
-3835837.500000
PA
USD
-3859849.840000
-0.137998
Short
RA
US
N
2
Reverse repurchase
N
6.260000
2024-05-22
5000000.000000
USD
4830729.500000
USD
PLCMO
N
N
N
HOUT BAY 2006-1
N/A
HOUT BAY HOUT 2006 1A B 144A
442451AC4
3290000.000000
PA
USD
329.000000
0.0000118
Long
ABS-CBDO
CORP
KY
N
2
2041-07-05
Floating
4.75229
N
N
N
N
N
N
LIFEPOINT HEALTH INC
549300G8ZVHRTBBBSZ90
LIFEPOINT HEALTH, INC. 2023 TERM LOAN B
75915TAG7
27310000.000000
PA
USD
27279276.250000
0.975296
Long
LON
CORP
US
N
2
2028-11-16
Floating
11.1678
N
N
N
N
N
N
HOUT BAY 2006-1
N/A
HOUT BAY HOUT 2006 1A A2 144A
442451AB6
8111157.650000
PA
USD
811.120000
0.000029
Long
ABS-CBDO
CORP
KY
N
2
2041-07-05
Floating
4.62229
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LIMITED
549300OLARYHDXP3WK18
SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/30 7.25
ACI2L7QQ7
15388.000000
PA
USD
884.810000
0.0000316
Long
DBT
CORP
KY
N
2
2030-09-30
Fixed
7.25
N
N
Y
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA R 144A
78449VAF3
9101022.630000
PA
USD
11590579.520000
0.41439
Long
ABS-O
CORP
US
N
3
2054-09-15
Fixed
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO MORGAN STANLEY
000000000
-16360774.000000
PA
USD
-16444381.750000
-0.587924
Short
RA
US
N
2
Reverse repurchase
N
6.560000
2024-06-04
29124971.200000
USD
22203055.120000
USD
PLCMO
N
N
N
DISH NETWORK CORPORATION
529900U350CWHH15G169
DISH NETWORK CORP SR UNSECURED 08/26 3.375
25470MAB5
3300000.000000
PA
USD
1765500.000000
0.0631206
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.375
N
N
N
Y
N
DISH NETWORK CORPORATION
DISH NETWORK CORP-A
USD
XXXX
N
N
N
VERUS SECURITIZATION TRUST 2022-7
N/A
VERUS SECURITIZATION TRUST VERUS 2022 7 M1 144A
92539NAD8
8341000.000000
PA
USD
7796345.210000
0.278737
Long
ABS-MBS
CORP
US
N
2
2067-07-25
Fixed
5.36505
N
N
N
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-1667717.000000
PA
USD
-1716002.970000
-0.061351
Short
RA
US
N
2
Reverse repurchase
N
6.060000
2024-01-10
2000000.000000
USD
2095508.000000
USD
CDS
N
N
N
N/A
N/A
RFR GBP SONIO/2.00000 03/15/23-10Y LCH
000000000
1.000000
NC
719514.150000
0.0257243
N/A
DIR
GB
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
SONIA O/N Deposit Rates Swap
N/A
N/A
Y
2033-03-15
512148.120000
GBP
0.000000
GBP
4600000.000000
GBP
207366.030000
N
N
N
LEALAND FINANCE COMPANY BV
N/A
LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL
N5200EAB7
2471150.700000
PA
USD
1033768.830000
0.0369596
Long
LON
CORP
US
N
2
2025-06-30
Fixed
6.4704
N
N
Y
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 C R1 144A
83405D108
28500.000000
PA
USD
300489.150000
0.0107432
Long
ABS-O
CORP
US
N
3
2040-07-25
Fixed
0
N
N
N
N
N
N
VALE SA
254900SMTWBX7RU2SR20
VALE SA SUBORDINATED 12/49 VAR
B011X9II2
313730000.000000
PA
23105423.970000
0.826071
Long
DBT
CORP
BR
N
2
2049-12-29
Variable
1.37804
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4A
N/A
EXETER AUTOMOBILE RECEIVABLES EART 2021 4A R 144A
30165JAN6
16642.000000
PA
USD
3136758.510000
0.112146
Long
ABS-O
CORP
US
N
3
2033-12-15
Fixed
0
N
N
N
N
N
N
HSI ASSET SEC CORP TRUST 2006-OPT2
N/A
HSI ASSET SECURITIZATION CORPO HASC 2006 OPT2 M5
40430HEE4
24675000.010000
PA
USD
17746262.470000
0.634469
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
6.28043
N
N
N
N
N
N
ARIMA MORTGAGES PLC 1A
N/A
ARIMA MORTGAGES PLC ARIMA 1A Y 144A
ACI2KGWM0
9500000.000000
PA
169116.760000
0.0060463
Long
ABS-O
CORP
GB
N
2
2053-07-28
Fixed
0
N
N
N
N
N
N
MRCD 2019-PARK MORTGAGE TRUST
N/A
MRCD MORTGAGE TRUST MRCD 2019 PARK J 144A
55348UBA5
12000000.000000
PA
USD
6000003.600000
0.214514
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Fixed
4.25
N
N
N
N
N
N
DISH DBS CORPORATION
N/A
DISH DBS CORP SR SECURED 144A 12/26 5.25
25470XBE4
18948000.000000
PA
USD
16269226.500000
0.581662
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25
N
N
N
N
N
N
APPLEGREEN IRELAND INVESTMENTS FINANCE LIMITED
N/A
APPLEGREEN IRELAND EUR TERM LOAN A
948ETTII3
17007689.670000
PA
18372888.350000
0.656872
Long
LON
CORP
GB
N
3
2026-06-29
Floating
7.425
N
N
N
N
N
N
BANC OF AMERICA FUNDING TRUST 2015-R4
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2015 R4 5A2 144A
05990RAQ4
17782532.210000
PA
USD
6288075.880000
0.224813
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.945242
N
N
N
N
N
N
STUBHUB (PUG LLC)
N/A
PUG LLC EUR TERM LOAN B
74530DAE5
5000000.000000
PA
5348969.680000
0.191238
Long
LON
CORP
US
N
2
2027-02-12
Floating
7.343
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2020-8
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2020 8 PT 144A
21056UAA0
303643.420000
PA
USD
284003.730000
0.0101538
Long
ABS-O
CORP
US
N
2
2045-04-17
Variable
19.3249
N
N
N
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20240109
000000000
1.000000
NC
-3579.670000
-0.000128
N/A
DFE
N/A
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2987000.000000
EUR
3294679.820000
USD
2024-01-09
-3579.670000
N
N
N
N/A
N/A
REVERSE REPO DEUTSCHE REVERSE REPO
000000000
-8667681.880000
PA
USD
-8710249.960000
-0.311411
Short
RA
US
N
2
Reverse repurchase
N
7.072021
2024-02-02
12382402.680000
USD
15966512.040000
USD
PLCMO
N
N
N
WELLS FARGO HOME EQUITY TRUST 2005-3
N/A
WELLS FARGO HOME EQUITY TRUST WFHET 2005 3 M9 144A
9497ENAJ2
250000.000000
PA
USD
231621.530000
0.008281
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
8.02043
N
N
N
N
N
N
N/A
N/A
BOUGHT CNY SOLD USD 20240216
000000000
1.000000
NC
52.620000
0.0000019
N/A
DFE
CN
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
19477.620000
USD
138238.510000
CNY
2024-02-16
52.620000
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 X 144A
36260AAQ9
44634379.670000
PA
USD
506243.130000
0.0180993
Long
ABS-O
CORP
US
N
2
2059-07-25
Variable
0
N
N
N
N
N
N
CLAVEAU RE LTD
N/A
CLAVEAU RE LTD UNSECURED 144A 07/28 VAR
182896AA8
2823521.840000
PA
USD
2258817.470000
0.0807578
Long
DBT
CORP
BM
N
2
2028-07-08
Floating
17.25
N
N
N
N
N
N
N/A
N/A
ZCS BRL 12.08 03/21/22-01/02/25 CME
000000000
1.000000
NC
3344.240000
0.0001196
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
9900000.000000
BRL
3344.240000
N
N
N
GSAMP TRUST 2006-SD1
N/A
GSAMP TRUST GSAMP 2006 SD1 M2 144A
362341X79
1282706.400000
PA
USD
1097102.630000
0.0392239
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
6.82043
N
N
N
N
N
N
CIRCOR
N/A
CIRCOR INTERNATIONAL INC 2023 REVOLVER
948FVPII5
734482.760000
PA
USD
732669.990000
0.0261946
Long
LON
CORP
US
N
3
2029-06-20
Floating
0.5
N
N
N
N
N
N
N/A
N/A
BOUGHT EUR SOLD USD 20240109
000000000
1.000000
NC
-14980.000000
-0.0005356
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
2010277.920000
USD
1807000.000000
EUR
2024-01-09
-14980.000000
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-2672569.200000
PA
USD
-2679006.380000
-0.0957806
Short
RA
US
N
2
Reverse repurchase
N
6.670000
2024-04-16
3700000.000000
USD
3836942.920000
USD
PLCMO
N
N
N
KIWI VFS SUB I SARL
N/A
KIWI VFS SUB I SARL GBP TERM LOAN B
943VLWII1
6550860.380000
PA
8517056.210000
0.304504
Long
LON
CORP
GB
N
3
2029-05-16
Floating
12.0863
N
N
N
N
N
N
522 FIFTH AVENUE TRUST
N/A
522 FIFTH AVENUE TRUST FIXED TERM LOAN
945BERII2
454854.350000
PA
USD
450805.100000
0.0161173
Long
LON
CORP
US
N
3
2025-08-27
Fixed
10.9763
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2005-WMC3
N/A
MORGAN STANLEY CAPITAL INC MSAC 2005 WMC3 M6
61744CQC3
8556343.540000
PA
USD
6923956.620000
0.247547
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.53543
N
N
N
N
N
N
NOVASTAR HOME EQUITY LOAN 2005-3
N/A
NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M4
66987XHA6
4377710.720000
PA
USD
3581525.960000
0.128048
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
6.35543
N
N
N
N
N
N
N/A
N/A
ZCS BRL 11.05 10/18/23-01/02/25 CME
000000000
1.000000
NC
-1011822.200000
-0.0361749
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
83000.000000
BRL
0.000000
BRL
712200000.000000
BRL
-1094822.200000
N
N
N
CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-AR28
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR28 CB1
22541QU91
530475.620000
PA
USD
481763.260000
0.0172241
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Variable
4.88919
N
N
N
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BHP3
N/A
BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BHP3 E 144A
05891HAJ2
4600000.000000
PA
USD
4432711.340000
0.15848
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
7.87089
N
N
N
N
N
N
PARK PLACE SEC INC 2005-WHQ4
N/A
PARK PLACE SECURITIES INC PPSI 2005 WHQ4 M4
70069FMV6
18219082.520000
PA
USD
13123219.710000
0.469185
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
6.38543
N
N
N
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-1583337.870000
PA
USD
-1587117.210000
-0.056743
Short
RA
US
N
2
Reverse repurchase
N
6.610000
2024-04-16
2756000.000000
USD
2108530.440000
USD
PLCMO
N
N
N
LONG BEACH MORTGAGE LOAN TR 2005-2
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M7
542514KX1
4360436.560000
PA
USD
3132471.350000
0.111993
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
7.34543
N
N
N
N
N
N
MASTR ASSET BACKED SEC TR 2006-NC1
N/A
MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M2
57643LNH5
9036805.010000
PA
USD
7891378.230000
0.282135
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
6.08543
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-13489282.000000
PA
USD
-13715793.290000
-0.490371
Short
RA
US
N
2
Reverse repurchase
N
6.600000
2024-01-02
18075000.000000
USD
16742872.500000
USD
CDS
N
N
N
PARK PLACE SECURITIES INC 2005-WCH1
N/A
PARK PLACE SECURITIES INC PPSI 2005 WCH1 M6
70069FFN2
1730000.000000
PA
USD
1331550.380000
0.0476059
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
6.94043
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-HQA3
N/A
FREDDIE MAC STACR STACR 2021 HQA3 B2 144A
35564KKL2
3700000.000000
PA
USD
3744112.510000
0.13386
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Floating
11.5874
N
N
N
N
N
N
BRIDGEGATE FUNDING PLC 2023-1A
N/A
BRIDGEGATE FUNDING PLC BRGTE 2023 1A X 144A
ACI2C6PW7
7667000.000000
PA
9424652.190000
0.336953
Long
ABS-MBS
CORP
GB
N
2
2062-10-16
Floating
14.2175
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-AQ1
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2007 AQ1 A2
07389VAB3
6550435.330000
PA
USD
6149576.850000
0.219861
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
5.67043
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2005-1
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 1 2A1B
41161PLE1
1507288.140000
PA
USD
1259061.750000
0.0450143
Long
ABS-MBS
CORP
US
N
2
2035-03-19
Floating
6.13023
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LIMITED
549300OLARYHDXP3WK18
SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/32 1
ACI2L7W15
32867.000000
PA
USD
2629.360000
0.000094
Long
DBT
CORP
KY
N
2
2032-09-30
Fixed
1
N
N
Y
Y
N
SUNAC CHINA HOLDINGS LIMITED
SUNAC CHINA HOLDINGS LTD
HKD
XXXX
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-9237572.060000
PA
USD
-9385942.890000
-0.335569
Short
RA
US
N
2
Reverse repurchase
N
6.600000
2024-04-05
13953559.160000
USD
13275240.260000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-4271808.960000
PA
USD
-4292662.510000
-0.153472
Short
RA
US
N
2
Reverse repurchase
N
6.060000
2024-02-29
6010000.000000
USD
5319430.570000
USD
PLCMO
N
N
N
NMG PARENT
N/A
NEIMAN MARCUS USD COMMON STOCK EQUITY
967DUC905
178186.000000
NS
USD
26704890.490000
0.95476
Long
EC
CORP
US
Y
3
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-39766800.040000
PA
USD
-40149433.980000
-1.43543
Short
RA
US
N
2
Reverse repurchase
N
6.540000
2024-05-10
64329108.700000
USD
54990607.420000
USD
PLCMO
N
N
N
N/A
N/A
INTELSAT EMERGENCE SA CALL EXP 17FEB27
000000000
328.000000
NC
USD
522.130000
0.0000187
N/A
DE
LU
N
3
LUXEMBOURG STOCK EXCHANGE
22210053OF4F2MYKUV22
Call
Purchased
INTELSAT SA
INTELSAT SA/LUXEMBOURG
N/A
77.220000
USD
2027-02-17
XXXX
-11790711.720000
N
N
N
N/A
N/A
BOUGHT IDR SOLD USD 20240320
000000000
1.000000
NC
366.610000
0.0000131
N/A
DFE
ID
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
372454.420000
USD
5740751712.000000
IDR
2024-03-20
366.610000
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-21
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 21 PT 144A
21054XAA6
178911.100000
PA
USD
163421.590000
0.0058427
Long
ABS-O
CORP
US
N
2
2044-07-15
Variable
20.1318
N
N
N
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-2856937.500000
PA
USD
-2888732.040000
-0.103279
Short
RA
US
N
2
Reverse repurchase
N
6.260000
2024-01-29
4500000.000000
USD
3694370.400000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-3839850.000000
PA
USD
-3947717.180000
-0.14114
Short
RA
US
N
2
Reverse repurchase
N
6.833070
2024-01-30
6900000.000000
USD
4463361.600000
USD
PLCMO
N
N
N
SOLSTICE ABS CBO LTD 2003-3A
N/A
SOLSTICE ABS CBO LTD SOLST 2003 3A B 144A
83436YAC9
8661986.600000
PA
USD
4258518.460000
0.152252
Long
ABS-CBDO
CORP
KY
N
2
2039-03-15
Floating
10.05
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6
N/A
STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B1 144A
85573RAH1
200000.000000
PA
USD
136139.480000
0.0048673
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Fixed
3.935
N
N
N
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240202
000000000
1.000000
NC
-159.760000
-0.0000057
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
16404.570000
BRL
3211.860000
USD
2024-02-02
-159.760000
N
N
N
CARVANA CO
5493003WEAK2PJ5WS063
CARVANA CO SR SECURED 144A 12/28 12
146869AL6
600000.000000
PA
USD
509820.000000
0.0182272
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
12
N
N
Y
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-5970375.000000
PA
USD
-6131634.830000
-0.21922
Short
RA
US
N
2
Reverse repurchase
N
6.660000
2024-02-09
10000000.000000
USD
8481719.000000
USD
PLCMO
N
N
N
WINDSTREAM SERVICES II LLC
549300KT9GVEBYCD2N29
WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B
97381JAE3
6882152.940000
PA
USD
6529442.600000
0.233442
Long
LON
CORP
US
N
2
2027-09-21
Floating
11.706
N
N
N
N
N
N
N/A
N/A
BOUGHT INR SOLD USD 20240320
000000000
1.000000
NC
34.380000
0.0000012
N/A
DFE
IN
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
20205.000000
USD
1690150.270000
INR
2024-03-20
34.380000
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2020-4
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2020 4 PT 144A
21056PAA1
253176.510000
PA
USD
239050.650000
0.0085466
Long
ABS-O
CORP
US
N
2
2045-03-15
Variable
20.1747
N
N
N
N
N
N
TEXGEN POWER LLC
5493003XDLS9LCQ3SY55
EXGEN TEXAS POWER LLC 2021 2ND LIEN TERM LOAN
30204NAE0
25503774.670000
PA
USD
25631293.540000
0.916377
Long
LON
CORP
US
N
3
2026-10-08
Floating
12.2724
N
N
N
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-748705.000000
PA
USD
-770382.500000
-0.0275429
Short
RA
US
N
2
Reverse repurchase
N
6.060000
2024-01-10
1378268.000000
USD
980293.120000
USD
CDS
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 01/30 6.84
71654QDC3
3900000.000000
PA
USD
3385550.220000
0.121041
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
6.84
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2020-DUNE
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE F 144A
36258BAU2
6440000.000000
PA
USD
6142150.640000
0.219596
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
8.88448
N
N
N
N
N
N
N/A
N/A
BOUGHT CNY SOLD USD 20240216
000000000
1.000000
NC
16.010000
0.0000006
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
48811.000000
USD
345606.290000
CNY
2024-02-16
16.010000
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-5939323.140000
PA
USD
-6099635.370000
-0.218076
Short
RA
US
N
2
Reverse repurchase
N
6.150000
2024-01-26
8300000.000000
USD
7568604.000000
USD
CDS
N
N
N
SFO COMMERCIAL MORTGAGE TRUST 2021-555
N/A
SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 E 144A
78432WAJ2
10000000.000000
PA
USD
7738032.000000
0.276652
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
8.37648
N
N
N
N
N
N
EXELA INTERMEDIATE LLC / EXELA FINANCE INC
N/A
EXELA INTERMED/EXELA FIN SR SECURED 144A 04/26 11.5
30162RAD3
8460.000000
PA
USD
1522.800000
0.0000544
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
11.5
N
N
Y
N
N
N
MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 FM1 M2
59020UC37
4464000.000000
PA
USD
3731720.530000
0.133417
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
6.34043
N
N
N
N
N
N
STRUCTURED ASSET INVST LN TR 2005-5
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M5
86358ETK2
7832682.790000
PA
USD
6614453.100000
0.236482
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
6.44543
N
N
N
N
N
N
GLACIER FUNDING CDO LTD 2004-2A
N/A
GLACIER FUNDING CDO GLCR 2004 2A B 144A
37638VAC7
33250000.000000
PA
USD
5642026.250000
0.201715
Long
ABS-CBDO
CORP
KY
N
2
2042-11-12
Floating
9.4
N
N
N
N
N
N
N/A
N/A
BOUGHT HUF SOLD USD 20240104
000000000
1.000000
NC
-16.550000
-0.0000006
N/A
DFE
HU
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
2722.210000
USD
938765.000000
HUF
2024-01-04
-16.550000
N
N
N
MANSARD MORTGAGES PLC 2006-1X
N/A
MANSARD MORTGAGES PLC MANSD 2006 1X B2 REGS
B1GJ7MII5
2088940.400000
PA
2376784.680000
0.0849754
Long
ABS-MBS
CORP
GB
N
2
2048-10-15
Floating
8.8368
N
N
N
N
N
N
GCT COMMERCIAL MORTGAGE TRUST 2021-GCT
N/A
GCT COMMERCIAL MORTGAGE TRUST GCT 2021 GCT E 144A
36167RAJ2
12000000.000000
PA
USD
679357.200000
0.0242886
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
8.82648
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-9
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 9 1A2
12669GYZ8
2913806.150000
PA
USD
1641183.540000
0.058676
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
6.17043
N
N
N
N
N
N
STEENBOK LUX FINCO 2 SARL
N/A
STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL A2 RESTRUCTURE
948FWKII5
83022786.470000
PA
39668342.690000
1.41823
Long
LON
CORP
LU
N
2
2026-06-30
Fixed
10
N
N
Y
N
N
N
CIRCOR
N/A
CIRCOR INTERNATIONAL INC 2023 TERM LOAN
948FVNII0
6365517.240000
PA
USD
6356671.140000
0.227265
Long
LON
CORP
US
N
3
2030-06-20
Floating
11.3681
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TREASURY BILL 02/24 0.00000
912797GN1
42754000.000000
PA
USD
42480393.210000
1.51877
Long
DBT
UST
US
N
2
2024-02-15
None
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO GOLDMAN
000000000
-6454194.260000
PA
USD
-6459865.390000
-0.230955
Short
RA
US
N
2
Reverse repurchase
N
6.326440
2024-09-27
11111052.560000
USD
9017391.520000
USD
PLCMO
N
N
N
N/A
N/A
FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD
000000000
-3783614.380000
PA
USD
-3887982.830000
-0.139004
Short
RA
US
N
2
Reverse repurchase
N
6.533130
2024-02-05
6782713.200000
USD
5299261.930000
USD
PLCMO
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE1
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 M1
617451DS5
8698000.000000
PA
USD
6948748.700000
0.248434
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
6.02543
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL X 144A
95003WAC0
355000000.000000
PA
USD
3339396.250000
0.119391
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
0.391767
N
N
N
N
N
N
COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR
N/A
COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR E 144A
12564NAN2
8250000.000000
PA
USD
7419416.400000
0.265261
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
8.196
N
N
N
N
N
N
AMSURG LLC
N/A
ENVISION HEALTHCARE CORPORTION 2023 1ST LIEN FIRST OUT TL
949ABEII2
6123109.990000
PA
USD
6123109.990000
0.218915
Long
LON
CORP
US
N
3
2026-11-03
Floating
10.1101
N
N
N
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-1407324.040000
PA
USD
-1425924.170000
-0.05098
Short
RA
US
N
2
Reverse repurchase
N
6.100000
2024-04-15
1826811.000000
USD
1683789.970000
USD
CDS
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP E 144A
12651QAN9
10000000.000000
PA
USD
9061964.000000
0.323986
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
8.744
N
N
N
N
N
N
ISCHUS CDO I LTD 2004-1A
N/A
ISCHUS CDO LTD ICM 2004 1A A2 144A
464266AC9
3112992.020000
PA
USD
2453759.930000
0.0877275
Long
ABS-CBDO
CORP
KY
N
2
2040-01-05
Floating
6.01035
N
N
N
N
N
N
SYNIVERSE HOLDINGS LLC
549300CYZBHMZC8VLL59
SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN
87168TAB7
60993040.150000
PA
USD
53940719.880000
1.9285
Long
LON
CORP
US
N
2
2027-05-13
Floating
12.3481
N
N
N
N
N
N
WELLS FARGO MORTGAGE BACKED SECURITIES 2005-AR14
N/A
WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 AR14 B1
94982DAH9
1000522.270000
PA
USD
756567.130000
0.027049
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
5.95056
N
N
N
N
N
N
ACACIA CDO LTD 5A
N/A
ACACIA CDO LTD ACCDO 5A B 144A
00388EAB7
27881649.050000
PA
USD
7882727.700000
0.281825
Long
ABS-CBDO
CORP
KY
N
2
2039-11-08
Floating
6.47967
N
N
N
N
N
N
CALI MORTGAGE TRUST 2019-101C
N/A
CALI MORTGAGE TRUST 2019 101C CALI 2019 101C A 144A
129890AA7
5235000.000000
PA
USD
4403236.500000
0.157426
Long
ABS-MBS
CORP
US
N
2
2039-03-10
Fixed
3.957
N
N
N
N
N
N
SYNIVERSE CORPORATION
N/A
SYNIVERSE PFD PIK PFDJJZ917
936UVD902
37593510.700000
NS
USD
32910900.600000
1.17664
Long
EP
CORP
US
Y
3
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2022 RRI E 144A
63875JAN8
7944391.660000
PA
USD
7893905.050000
0.282225
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Floating
10.5548
N
N
N
N
N
N
TERWIN MORTGAGE TRUST 2005-12AL
N/A
TERWIN MORTGAGE TRUST TMTS 2005 12AL M1
881561WE0
454911.910000
PA
USD
336964.670000
0.0120473
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
5.869
N
N
N
N
N
N
PERU GOVT
254900STKLK2DBJJZ530
REPUBLIC OF PERU SR UNSECURED REGS 08/32 6.15
P78024AF6
1740000.000000
PA
459936.100000
0.0164438
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-684593.910000
PA
USD
-694513.680000
-0.0248304
Short
RA
US
N
2
Reverse repurchase
N
6.440000
2024-01-12
894000.000000
USD
777763.100000
USD
PLCMO
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-3849.920000
-0.0001376
N/A
DFE
HU
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
122771948.000000
HUF
349997.000000
USD
2024-01-04
-3849.920000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
PROSUS NV SR UNSECURED REGS 08/32 2.031
ACI1PP9R2
500000.000000
PA
423413.650000
0.015138
Long
DBT
CORP
NL
N
2
2032-08-03
Fixed
2.031
N
N
N
N
N
N
BBCCRE TRUST 2015-GTP
N/A
BBCCRE TRUST BBCCR 2015 GTP E 144A
05490TAJ1
12300000.000000
PA
USD
8086024.920000
0.289094
Long
ABS-MBS
CORP
US
N
2
2033-08-10
Variable
4.5626
N
N
N
N
N
N
DBGS MORTGAGE TRUST 2019-1735
N/A
DBGS MORTGAGE TRUST DBGS 2019 1735 F 144A
23307EAN1
5000000.000000
PA
USD
2654501.000000
0.0949044
Long
ABS-MBS
CORP
US
N
2
2037-04-10
Variable
4.19455
N
N
N
N
N
N
EUROSAIL PLC 2007-3X
N/A
EUROSAIL PLC ESAIL 2007 3X D1A REGS
ACI01VU93
5421236.050000
PA
5380713.370000
0.192373
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
6.66451
N
N
N
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-7777503.000000
PA
USD
-7894478.810000
-0.282245
Short
RA
US
N
2
Reverse repurchase
N
5.950000
2024-01-02
12000000.000000
USD
10860000.000000
USD
CDS
N
N
N
BENCHMARK MORTGAGE TRUST 2019-B14
N/A
BENCHMARK MORTGAGE TRUST BMARK 2019 B14 225C 144A
08162YBK7
1300000.000000
PA
USD
150150.000000
0.0053682
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
3.2943
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2
N/A
FREDDIE MAC SCRT SCRT 2020 2 BXS 144A
35563PRM3
10210360.920000
PA
USD
3866913.830000
0.138251
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.89644
N
N
N
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-20947617.680000
PA
USD
-21049033.250000
-0.752551
Short
RA
US
N
2
Reverse repurchase
N
6.010000
2024-02-29
27768134.420000
USD
24496183.040000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-7893083.390000
PA
USD
-7911224.330000
-0.282844
Short
RA
US
N
2
Reverse repurchase
N
5.910000
2024-03-19
10592000.000000
USD
9249494.660000
USD
CDS
N
N
N
KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP
N/A
KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP E 144A
50085PAL1
22339000.000000
PA
USD
12268529.650000
0.438628
Long
ABS-MBS
CORP
US
N
2
2044-11-05
Fixed
2.92693
N
N
N
N
N
N
BX TRUST 2019-ATL
N/A
BX TRUST BX 2019 ATL F 144A
056058AQ3
3738500.000000
PA
USD
3490814.650000
0.124805
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
8.21308
N
N
N
N
N
N
N/A
N/A
DEUTSCHE REVERSE REPO GBP ZCP
000000000
-3335654.040000
PA
-4347274.640000
-0.155425
Short
RA
GB
N
2
Reverse repurchase
N
5.827000
2024-02-12
4300000.000000
GBP
4183622.650000
GBP
ABS
N
N
N
WORLDWIDE PLAZA TRUST 2017-WWP
N/A
WORLDWIDE PLAZA TRUST WPT 2017 WWP F 144A
98162JAQ9
2465000.000000
PA
USD
144863.120000
0.0051792
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.59554
N
N
N
N
N
N
BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2
N/A
THE BANCORP COMMERCIAL MORTGAG BANC 2017 CRE2 D 144A
05972AAJ9
338283.450000
PA
USD
334678.800000
0.0119655
Long
ABS-MBS
CORP
US
N
2
2032-08-15
Floating
9.19329
N
N
N
N
N
N
FANNIE MAE REMICS 2021-5
N/A
FANNIE MAE FNR 2021 5 JI
3136BDZW1
10509948.300000
PA
USD
502659.300000
0.0179712
Long
ABS-MBS
USGSE
US
N
2
2036-02-25
Fixed
1.5
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 B 144A
36260AAU0
6871000.000000
PA
USD
4394537.000000
0.157115
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Floating
3.55843
N
N
N
N
N
N
N/A
N/A
ZCS BRL 11.16 03/29/22-01/02/25 CME
000000000
1.000000
NC
-7219.910000
-0.0002581
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
1800000.000000
BRL
-7219.910000
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-VINO
N/A
BX TRUST BX 2021 VINO E 144A
05608KAJ9
3703559.180000
PA
USD
3534553.550000
0.126368
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
7.42881
N
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2007-CH1
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MF2
46630LAJ3
1653052.560000
PA
USD
1948071.200000
0.069648
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
6.34
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-10K
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 10K E 144A
63874UAL8
2850000.000000
PA
USD
2281379.120000
0.0815645
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Variable
4.1346
N
N
N
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES A COMMON STOCK EUR.1
BXC8GV902
2330820.000000
NS
746201.640000
0.0266784
Long
EC
CORP
ES
N
1
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
ALTICE FINANCING SA SR SECURED 144A 08/29 5.75
02154CAH6
2426000.000000
PA
USD
2156091.490000
0.0770852
Long
DBT
CORP
LU
N
2
2029-08-15
Fixed
5.75
N
N
N
N
N
N
N/A
N/A
REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079
000000000
-2097536.000000
PA
USD
-2103269.270000
-0.0751966
Short
RA
US
N
2
Reverse repurchase
N
6.560000
2024-06-17
2800000.000000
USD
2639723.520000
USD
PLCMO
N
N
N
CARVANA AUTO RECEIVABLES TRUST 2021-N4
N/A
CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N4 R 144A
14687HAJ2
12000.000000
PA
USD
1571696.020000
0.0561917
Long
ABS-O
CORP
US
N
3
2028-09-12
Fixed
0
N
N
N
N
N
N
NGD HOLDINGS BV
984500ED2ABF0UF46690
NGD HOLDINGS BV SR SECURED 12/26 6.75
ACI1XVPP6
1378268.000000
PA
USD
980293.120000
0.0350477
Long
DBT
CORP
NL
N
2
2026-12-31
Fixed
6.75
N
N
N
N
N
N
NOMURA HOME EQUITY LOAN INC 2005-HE1
N/A
NOMURA HOME EQUITY LOAN INC NHELI 2005 HE1 M6
65536HBH0
3000000.000000
PA
USD
2530189.800000
0.09046
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
6.55043
N
N
N
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-207195.830000
PA
USD
-212576.750000
-0.0076001
Short
RA
US
N
2
Reverse repurchase
N
6.070000
2024-01-29
1000000.000000
USD
83990.000000
USD
CDS
N
N
N
CARVANA CO
5493003WEAK2PJ5WS063
CARVANA CO SR SECURED 144A 06/30 13
146869AN2
31185000.000000
PA
USD
26263695.150000
0.938987
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
13
N
N
Y
N
N
N
BCP TRUST 2021-330N
N/A
BCP TRUST BCP 2021 330N E 144A
05553BAN5
4900000.000000
PA
USD
3293252.760000
0.117741
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
9.11448
N
N
N
N
N
N
GREENE KING FINANCE PLC
213800QIJMYMW6TSBG41
GREENE KING FINANCE PLC SECURED REGS 03/36 VAR
B14551II6
200000.000000
PA
201479.740000
0.0072034
Long
DBT
CORP
GB
N
2
2036-03-15
Floating
7.3865
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.50000 12/20/23-10Y LCH
000000000
1.000000
NC
USD
92804.670000
0.003318
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2033-12-20
316069.780000
USD
0.000000
USD
44600000.000000
USD
-223265.110000
N
N
N
NATIONAL COLLEGIATE STUDENT LOAN TRUST
N/A
NATL COLL STUDENT LOAN ASSET BACKED 144A 06/45 VAR
63543NAR2
50000.000000
PA
USD
40973.260000
0.0014649
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
8.931
N
N
N
N
N
N
DBGS MORTGAGE TRUST 2018-5BP
N/A
DBGS MORTGAGE TRUST DBGS 2018 5BP E 144A
33830CAJ9
9300000.000000
PA
USD
6015835.200000
0.21508
Long
ABS-MBS
CORP
US
N
2
2033-06-15
Floating
7.50901
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-54
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 54 PT 144A
21055NAA7
267917.250000
PA
USD
247270.900000
0.0088405
Long
ABS-O
CORP
US
N
2
2045-02-15
Variable
19.1722
N
N
N
N
N
N
N/A
N/A
STUBHUB (PUG LLC) TL TRS BKL BPS
000000000
1.000000
NC
USD
1355574.170000
0.0484649
N/A
DIR
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
STUBHUB (PUG LLC)
STUBHUB TL B 1L TSFR1M
Y
2027-02-12
0.000000
USD
0.000000
USD
13111411.890000
USD
1355574.170000
N
N
N
TBW MTGE BACKED PASS THRU CERT 2006-4
N/A
TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A5
872224AF7
4660466.230000
PA
USD
1948270.620000
0.0696551
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
6.83
N
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-4
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 4 B1
17307GWF1
2843332.450000
PA
USD
2615870.400000
0.0935233
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
5.89119
N
N
N
N
N
N
N/A
N/A
MSC 2005-HQ7 F BP GST
000000000
1.000000
NC
USD
5262890.000000
0.18816
N/A
DCR
US
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
MORGAN STANLEY CAPITAL I-2005-HQ7
MSC 2005-HQ7 F WM15 WC5.2459 VAR
Y
Single Leg Swap
2042-11-14
1350000.000000
USD
0.000000
USD
7500000.000000
USD
3912890.000000
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST 2021-R01
N/A
FANNIE MAE CAS CAS 2021 R01 1B2 144A
20754RAJ5
18950000.000000
PA
USD
19451686.090000
0.695442
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
11.3374
N
N
N
N
N
N
PETROLEOS DE VENEZUELA SA (PDVSA)
549300YWR8TN1OFD4P06
PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 11/26 6
P7807HAR6
430000.000000
PA
USD
49987.500000
0.0017872
Long
DBT
CORP
VE
N
2
2026-11-15
Fixed
6
N
Y
N
N
N
N
HARBOUR 1
N/A
HARBOUR PLC HARBR 1 E REGS
ACI227L75
4300000.000000
PA
5332655.200000
0.190655
Long
ABS-MBS
CORP
GB
N
2
2054-01-28
Floating
7.21225
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST 2020-3
N/A
FLAGSHIP CREDIT AUTO TRUST FCAT 2020 3 R 144A
33844T107
20000.000000
PA
USD
1545001.200000
0.0552373
Long
ABS-O
CORP
US
N
3
2027-12-15
Fixed
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-10535448.000000
PA
USD
-10649953.670000
-0.38076
Short
RA
US
N
2
Reverse repurchase
N
6.550000
2024-05-03
26400000.000000
USD
19505352.240000
USD
PLCMO
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-J1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J1 M
12667FV44
202329.830000
PA
USD
116100.660000
0.0041509
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
7.08392
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/0.50 9/16/23-3Y* CME
000000000
1.000000
NC
USD
-28316713.030000
-1.01239
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2026-06-16
0.000000
USD
-4388395.790000
USD
323700000.000000
USD
-23928317.240000
N
N
N
N/A
N/A
REVERSE REPO BARCLAYS REVERSE REPO
000000000
-26099026.570000
PA
USD
-26840644.900000
-0.959614
Short
RA
US
N
2
Reverse repurchase
N
6.730000
2024-01-31
46882413.150000
USD
36141410.280000
USD
PLCMO
N
N
N
LUXE TRUST 2021-TRIP
N/A
LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP F 144A
55066WAL8
26640000.000000
PA
USD
25757366.180000
0.920884
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
8.73448
N
N
N
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-21709921.000000
PA
USD
-22015928.450000
-0.787119
Short
RA
US
N
2
Reverse repurchase
N
6.070000
2024-04-10
37406000.000000
USD
28111810.520000
USD
CDS
N
N
N
KEYCORP STUDENT LOAN TRUST 1999-B
N/A
KEYCORP STUDENT LOAN TRUST 199 KSLT 1999 B
934GPPII6
100000.000000
PA
USD
10316394.040000
0.368835
Long
ABS-O
CORP
US
N
3
2050-01-01
Fixed
0
N
N
N
N
N
N
STEENBOK LUX FINCO 1 SARL
N/A
STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TERM LOAN RESTRUC
948FWJII8
46682266.320000
PA
11509545.800000
0.411492
Long
LON
CORP
LU
N
2
2026-06-30
Fixed
0.063975
N
N
Y
N
N
N
STRATTON MORTGAGE FUNDING 21-2X
N/A
STRATTON MORTGAGE FUNDING PLC STRA 2021 2X E REGS
ACI1W7DF5
1000000.000000
PA
1273735.200000
0.0455389
Long
ABS-MBS
CORP
GB
N
2
2060-07-20
Floating
8.216
N
N
N
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2016-ISQ
N/A
BANC OF AMERICA MERRILL LYNCH BAMLL 2016 ISQ C 144A
05523GAJ0
3500000.000000
PA
USD
1422664.950000
0.0508635
Long
ABS-MBS
CORP
US
N
2
2034-08-14
Variable
3.6063
N
N
N
N
N
N
CHASE MORTGAGE FINANCE CORP 2007-A1
N/A
CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 11M1
161630BD9
41083.550000
PA
USD
38232.060000
0.0013669
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
4.11383
N
N
N
N
N
N
BCAP LLC TRUST 2009-RR5
N/A
BCAP LLC TRUST BCAP 2009 RR5 5A2 144A
05531UAK6
6820304.740000
PA
USD
5242329.030000
0.187425
Long
ABS-MBS
CORP
US
N
2
2037-05-26
Variable
6
N
N
N
N
N
N
ORIENT POINT CDO LTD
N/A
ORIENT POINT CDO LTD ORPT 2005 1A A1VF 144A
68619MAL5
54671639.360000
PA
USD
17399686.600000
0.622078
Long
ABS-CBDO
CORP
KY
N
2
2045-10-03
Floating
5.86301
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-27
N/A
CONSUMER LOAN UNDERLYING BOND CLUBC 2019 27 PT 144A
21051MAA3
175786.530000
PA
USD
155314.170000
0.0055528
Long
ABS-O
CORP
US
N
3
2044-08-15
Variable
21.049
N
N
N
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-100133700.000000
PA
USD
-100371267.200000
-3.5885
Short
RA
US
N
2
Reverse repurchase
N
6.570000
2024-04-16
177866471.130000
USD
136062412.430000
USD
PLCMO
N
N
N
RBSSP RESECURITIZATION TRUST 2009-7
N/A
RBSSP RESECURITIZATION TRUST RBSSP 2009 7 12A4 144A
75524MCB4
2364496.900000
PA
USD
1226332.130000
0.0438442
Long
ABS-MBS
CORP
US
N
2
2037-10-26
Floating
6.15737
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/2.2* 9/20/23-5Y* CME
000000000
1.000000
NC
USD
-3848497.430000
-0.137593
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2028-06-20
0.000000
USD
-1904026.860000
USD
58100000.000000
USD
-1944470.570000
N
N
N
ANTHRACITE LTD 2004-HY1A
N/A
ANTHRACITE LTD SER 2004 HY1 CL D 144A
000000000
6135413.430000
PA
USD
61.350000
0.0000022
Long
ABS-MBS
CORP
US
N
2
2041-06-20
Fixed
5.678
N
N
N
N
N
N
CS FIRST BOSTON MTG SEC CORP 2002-29
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 29 1B2
22541NPU7
601918.310000
PA
USD
394232.300000
0.0140947
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Fixed
7.5
N
N
N
N
N
N
DBGS MORTGAGE TRUST 2018-5BP
N/A
DBGS MORTGAGE TRUST DBGS 2018 5BP F 144A
33830CAL4
5701000.000000
PA
USD
3217439.160000
0.115031
Long
ABS-MBS
CORP
US
N
2
2033-06-15
Floating
8.05901
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT3 M1
83611MPK8
10049109.700000
PA
USD
8371514.340000
0.299301
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.93543
N
N
N
N
N
N
RUSSIAN GOVT
5493004EHVGF71PDBU58
RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1
X5424XCG1
800000.000000
PA
USD
324000.000000
0.0115837
Long
DBT
NUSS
RU
N
2
2035-03-28
Fixed
5.1
Y
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II 2017-SLP
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP G 144A
36255MAS6
2440000.000000
PA
USD
2150847.070000
0.0768977
Long
ABS-MBS
CORP
US
N
2
2032-10-10
Variable
4.5913
N
N
N
N
N
N
RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A
N/A
RESIDENTIAL MORTGAGE SECURITIE RMS 32A E 144A
ACI1PKHR4
4150000.000000
PA
5283725.390000
0.188905
Long
ABS-MBS
CORP
GB
N
2
2070-06-20
Floating
9.49221
N
N
N
N
N
N
N/A
N/A
REVERSE REPO CREDIT AGRICOLE 03/14 VAR
000000000
-4845764.200000
PA
USD
-4850642.270000
-0.173422
Short
RA
US
N
2
Reverse repurchase
N
6.040000
2024-02-27
6700000.000000
USD
5851964.920000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-1599434.100000
PA
USD
-1654140.070000
-0.0591393
Short
RA
US
N
2
Reverse repurchase
N
6.620000
2024-01-04
3240000.000000
USD
383056.450000
USD
PLCMO
N
N
N
VENEZUELAN GOVT
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25
922646AS3
65000.000000
PA
USD
12438.400000
0.0004447
Long
DBT
NUSS
VE
N
2
2027-09-15
Fixed
9.25
Y
Y
N
N
N
N
SIERRA MADRE FUNDING LTD 2004-1A
N/A
SIERRA MADRE FUNDING LTD MADRE 2004 1A B 144A
82639RAD9
10400000.000000
PA
USD
2686413.600000
0.0960454
Long
ABS-CBDO
CORP
KY
N
2
2039-09-07
Floating
6.35409
N
N
N
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-301661.000000
PA
USD
-302528.280000
-0.0108161
Short
RA
US
N
2
Reverse repurchase
N
5.750000
2024-02-02
948754.000000
USD
378794.780000
USD
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.50 9/15/23-5Y* CME
000000000
1.000000
NC
USD
-2708625.810000
-0.0968395
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2028-12-15
0.000000
USD
-75368.740000
USD
25600000.000000
USD
-2633257.070000
N
N
N
VOYAGER AVIATION HOLDINGS LLC
549300KHOKL1CX4NIJ92
VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9
942UCF009
2200.830000
NS
USD
0.000000
0
Long
EC
CORP
US
N
3
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-8372341.860000
PA
USD
-8438492.650000
-0.301695
Short
RA
US
N
2
Reverse repurchase
N
6.650000
2024-05-20
16013123.290000
USD
13412270.230000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO JPM CHASE
000000000
-23336018.340000
PA
USD
-23485327.370000
-0.839654
Short
RA
US
N
2
Reverse repurchase
N
7.198000
2024-05-29
96629475.660000
USD
26264326.320000
USD
CDS
N
N
N
N/A
N/A
REVERSE REPO GOLDMAN
000000000
-7128119.110000
PA
USD
-7134332.890000
-0.255069
Short
RA
US
N
2
Reverse repurchase
N
6.276440
2024-09-27
13334959.080000
USD
8532952.990000
USD
PLCMO
N
N
N
AMSURG LLC
N/A
ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN
949ABFII9
61532487.190000
PA
USD
61532487.190000
2.19993
Long
LON
CORP
US
N
3
2028-09-15
Fixed
13.2304
N
N
Y
N
N
N
WORLDWIDE PLAZA TRUST 2017-WWP
N/A
WORLDWIDE PLAZA TRUST WPT 2017 WWP E 144A
98162JAN6
16000000.000000
PA
USD
1602608.000000
0.0572969
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.59554
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-KEYS
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2021 KEYS F 144A
17291GAL0
13140000.000000
PA
USD
12574777.640000
0.449577
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
9.17648
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-1511737.500000
PA
USD
-1526283.350000
-0.0545681
Short
RA
US
N
2
Reverse repurchase
N
6.540000
2024-05-10
3900000.000000
USD
2201019.600000
USD
PLCMO
N
N
N
PROMOTORA DE INFORMACIONES SA (PRISA)
959800U3NGPXSCQHQW54
PROMOTORA DE INFORMACIONES SA 2022 EUR TERM LOAN
943TQNII1
8200000.000000
PA
9038868.980000
0.32316
Long
LON
CORP
ES
N
3
2026-06-30
Floating
8.942
N
N
N
N
N
N
OI SA (AKA: BRASIL TELECOM S/A)
254900YEMWCRRAGD4978
OI S A 2023 DIP TERM LOAN 144A
948EYNII0
26287084.380000
PA
USD
26287084.380000
0.939823
Long
DBT
CORP
BR
N
2
2024-09-07
Fixed
10.3916
N
N
Y
N
N
N
VENEZUELAN GOVT
529900XM8PJTJK5OJI77
REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25
P97475AP5
650000.000000
PA
USD
102196.030000
0.0036537
Long
DBT
NUSS
VE
N
2
2024-10-13
Fixed
8.25
Y
Y
N
N
N
N
KEYCORP STUDENT LOAN TRUST 2002-A
N/A
KSLT 2002 A R SUB KSLT 2002 A R SUB
933UTWII7
100000.000000
PA
USD
11127740.860000
0.397842
Long
ABS-O
CORP
US
N
3
2050-01-01
Fixed
0
N
N
N
N
N
N
SANDERS RE III LTD
N/A
SANDERS RE III LTD UNSECURED 144A 04/29 VAR
80000XAC3
6399000.000000
PA
USD
5040492.300000
0.180209
Long
DBT
CORP
BM
N
2
2029-04-09
Floating
11.76
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.75000 06/20/24-5Y LCH
000000000
1.000000
NC
USD
-450710.120000
-0.0161139
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2029-06-20
0.000000
USD
-435528.320000
USD
23800000.000000
USD
-15181.800000
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-5157017.480000
PA
USD
-5170430.020000
-0.184855
Short
RA
US
N
2
Reverse repurchase
N
6.740000
2024-01-02
9340900.000000
USD
7169140.750000
USD
CDS
N
N
N
MEDIAPRODUCCION SL
9598000FFEJYX6LX9380
MEDIAPRO EUR TERM LOAN
943XCPII2
18909000.000000
PA
20874593.470000
0.746314
Long
LON
CORP
ES
N
3
2027-07-26
Floating
11.425
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUND CORP 2005-1A
N/A
CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A B1 144A
16678RCV7
3822419.580000
PA
USD
2760185.230000
0.0986829
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.84043
N
N
N
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-492311.000000
PA
USD
-505877.860000
-0.0180863
Short
RA
US
N
2
Reverse repurchase
N
6.570000
2024-02-06
1509000.000000
USD
151145.970000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO GOLDMAN
000000000
-13434792.000000
PA
USD
-13610399.660000
-0.486603
Short
RA
US
N
2
Reverse repurchase
N
6.920000
2024-07-29
18950000.000000
USD
19451686.090000
USD
PLCMO
N
N
N
INTELSAT JACKSON HOLDINGS SA
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5
45824TBC8
49498000.000000
PA
USD
47275722.940000
1.69021
Long
DBT
CORP
LU
N
2
2030-03-15
Fixed
6.5
N
N
N
N
N
N
RESIDENTIAL ASSET SEC TRUST 2007-A1
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A9
761136AJ9
1784244.830000
PA
USD
569841.590000
0.0203731
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
5.75
N
N
N
N
N
N
INTELSAT SA
549300YV2L21F4K80V46
INTELSAT EMERGENCE SA COMMON STOCK
000000000
670263.000000
NS
USD
19095359.880000
0.682702
Long
EC
CORP
LU
Y
3
N
N
N
N/A
N/A
ZCS BRL 12.16 03/21/22-01/02/25 CME
000000000
1.000000
NC
7042.270000
0.0002518
N/A
DIR
BR
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
Brazil Cetip DI Interbank Deposit Rate
Y
2025-01-02
0.000000
BRL
0.000000
BRL
9900000.000000
BRL
7042.270000
N
N
N
BFLD TRUST 2020-EYP
N/A
BFLD TRUST BFLD 2020 EYP E 144A
05493AAN0
7000000.000000
PA
USD
744583.700000
0.0266206
Long
ABS-MBS
CORP
US
N
2
2035-10-15
Floating
9.17648
N
N
N
N
N
N
N/A
N/A
IRS MXN 7.49500 01/26/22-10Y* CME
000000000
1.000000
NC
6281.020000
0.0002246
N/A
DIR
MX
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
MEXICO INTERBANK TIIE 28 DAY
N/A
N/A
Y
2032-01-14
7795.990000
MXN
0.000000
MXN
1900000.000000
MXN
-1514.970000
N
N
N
NAVIENT CORPORATION
54930067J0ZNOEBRW338
NAVIENT CORP SR UNSECURED 01/25 5.625
78442FDJ4
139000.000000
PA
USD
130735.370000
0.0046741
Long
DBT
CORP
US
N
2
2025-01-25
Fixed
5.625
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-8401.280000
-0.0003004
N/A
DFE
HU
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
173898525.000000
HUF
492800.000000
USD
2024-01-04
-8401.280000
N
N
N
WHLN LOAN
N/A
FOREST PARK II WHLN0ERP1
938SYJII0
173869.320000
PA
USD
172654.720000
0.0061728
Long
LON
CORP
US
N
3
2024-12-11
Fixed
5.78
N
N
N
N
N
N
N/A
N/A
GUARANTEED RATE INC WTS 7214419C9
000000000
1361.000000
NC
USD
0.000000
0
N/A
DE
US
N
3
None
N/A
Call
Purchased
GUARANTEED RATE INC
GUARANTEED RATE INC
N/A
0.010000
USD
2060-12-31
XXXX
-178690.450000
N
N
N
COUNTRYWIDE ASSET-BACKED CERTS 2005-BC5
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC5 M6
126670NK0
3569969.840000
PA
USD
3005775.020000
0.107463
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
6.73043
N
N
N
N
N
N
N/A
N/A
3 MONTH SOFR FUT MAR25 XCME 20250617
000000000
-58.000000
NC
USD
180474.770000
0.0064524
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
N/A
90SOFR
2025-06-17
-14002287.500000
USD
180474.770000
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-2223734.030000
PA
USD
-2245130.670000
-0.0802685
Short
RA
US
N
2
Reverse repurchase
N
6.540000
2024-05-10
3431000.000000
USD
3206617.400000
USD
PLCMO
N
N
N
DOLP TRUST 2021-NYC
N/A
DOLP TRUST DOLP 2021 NYC G 144A
23345LAQ2
8000000.000000
PA
USD
3507564.800000
0.125403
Long
ABS-MBS
CORP
US
N
2
2041-05-10
Variable
3.70378
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 B 144A
36261WAP2
20530968.250000
PA
USD
12246186.700000
0.437829
Long
ABS-MBS
CORP
US
N
2
2060-12-25
Variable
3.92081
N
N
N
N
N
N
MORTGAGE EQUITY CONVER ASSET TR 2010-1A
N/A
MORTGAGE EQUITY CONVERSION ASS MECA 2010 1A A 144A
61911BAA3
28342.510000
PA
USD
25864.950000
0.0009247
Long
ABS-MBS
CORP
US
N
2
2060-07-25
Fixed
4
N
N
N
N
N
N
CITY OF BUENOS AIRES
5299007MC8RF52X0ON96
CITY OF BUENOS AIRES UNSECURED 03/24 VAR
BD8QV0II3
328937000.000000
PA
332376.850000
0.0118832
Long
DBT
MUN
AR
N
2
2024-03-29
Floating
127.599
N
N
N
N
N
N
CONSECO FINANCE SEC CORP 2001-3
N/A
CONSECO FINANCE SECURITIZATION CNF 2001 3 M1
20846QHQ4
1906698.730000
PA
USD
1827084.720000
0.0653224
Long
ABS-O
CORP
US
N
2
2033-05-01
Variable
7.15
N
N
N
N
N
N
LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST1
N/A
LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST1 CERT 144A
52607NAB3
2300000.000000
PA
USD
429838.100000
0.0153677
Long
ABS-O
CORP
US
N
3
2028-03-15
Fixed
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO MORGAN STANLEY
000000000
-15229073.000000
PA
USD
-15308081.970000
-0.547299
Short
RA
US
N
2
Reverse repurchase
N
6.660000
2024-06-03
31185000.000000
USD
21685640.180000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-2522333.800000
PA
USD
-2543652.420000
-0.0909413
Short
RA
US
N
2
Reverse repurchase
N
6.650000
2024-05-15
7000000.000000
USD
3850431.200000
USD
PLCMO
N
N
N
OGF (OBOL FRANCE 3)
969500HSJVVYGU57VS68
OBOL FRANCE 3 SAS 2021 EUR TERM LOAN B2
941DDXII0
9065435.360000
PA
9303040.280000
0.332605
Long
LON
CORP
FR
N
2
2025-12-31
Floating
8.864
N
N
N
N
N
N
N/A
N/A
REVERSE REPOS
000000000
-801936.130000
PA
-1038162.410000
-0.0371167
Short
RA
GB
N
2
Reverse repurchase
N
5.923000
2024-01-25
1000000.000000
GBP
999282.200000
GBP
ABS
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2005-C3
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 C3 D
225458VX3
30215.280000
PA
USD
26458.520000
0.000946
Long
ABS-MBS
CORP
US
N
2
2037-07-15
Variable
4.981
N
N
N
N
N
N
ACE SECURITIES CORP 2005-HE5
N/A
ACE SECURITIES CORP. ACE 2005 HE5 M5
004421RJ4
3563502.240000
PA
USD
2477709.880000
0.0885837
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
6.43043
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER GROUP SA COMMON STOCK
BYNXBZ909
498404.000000
NS
291612.980000
0.0104258
Long
EC
CORP
LU
N
1
N
N
N
ARGENTINA GOVT
549300KPBYGYF7HCHO27
BONCER BONDS 05/24 3.75
ACI2KW5L7
170060509.940000
PA
180709.700000
0.0064608
Long
DBT
NUSS
AR
N
2
2024-05-20
Fixed
3.75
N
N
N
N
N
N
N/A
N/A
SOLD CNH BOUGHT USD 20240326
000000000
1.000000
NC
-32434.540000
-0.0011596
N/A
DFE
CN
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
13029480.470000
CNY
1806639.000000
USD
2024-03-26
-32434.540000
N
N
N
N/A
N/A
IRS EUR -0.15000 03/18/20-10Y LCH
000000000
1.000000
NC
779703.940000
0.0278762
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2030-03-18
80525.240000
EUR
0.000000
EUR
4400000.000000
EUR
699178.700000
N
N
N
N/A
N/A
REVERSE REPO WARBURG REVERSE REPO
000000000
-3846668.900000
PA
USD
-3977093.410000
-0.14219
Short
RA
US
N
2
Reverse repurchase
N
6.670000
2024-01-05
7379700.520000
USD
4975414.020000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPOS
000000000
-1516690.600000
PA
-1943868.510000
-0.0694977
Short
RA
GB
N
2
Reverse repurchase
N
5.763000
2024-02-28
1792096.310000
GBP
1713237.800000
GBP
ABS
N
N
N
ORIENT POINT CDO LTD
N/A
ORIENT POINT CDO LTD ORPT 2005 1A A1VB 144A
68619MAQ4
54846869.010000
PA
USD
17455454.840000
0.624072
Long
ABS-CBDO
CORP
KY
N
2
2045-10-03
Floating
5.86301
N
N
N
N
N
N
N/A
N/A
REVERSE REPO BANK OF AMERICA REVERSE REPO
000000000
-2974950.000000
PA
USD
-2989195.050000
-0.10687
Short
RA
US
N
2
Reverse repurchase
N
6.630000
2024-04-04
6611000.000000
USD
2812170.650000
USD
PLCMO
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-37882.660000
-0.0013544
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
1617000.000000
GBP
2023294.530000
USD
2024-01-09
-37882.660000
N
N
N
N/A
N/A
RFR USD SOFR/2.00000 12/21/22-5Y CME
000000000
1.000000
NC
USD
-21072319.160000
-0.753383
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2027-12-21
0.000000
USD
-29753428.430000
USD
351500000.000000
USD
8681109.270000
N
N
N
N/A
N/A
REVERSE REPO BANK OF NEW YORK
000000000
-6721500.000000
PA
USD
-6748651.120000
-0.24128
Short
RA
US
N
2
Reverse repurchase
N
6.610000
2024-04-11
10000000.000000
USD
9061964.000000
USD
PLCMO
N
N
N
AIM AVIATION FINANCE LIMITED 2015-1A
N/A
DCAL AVIATION FINANCE LIMITED DCAL 2015 1A A1 144A
001406AA5
6116962.830000
PA
USD
4113841.010000
0.147079
Long
ABS-O
CORP
KY
N
2
2040-02-15
Variable
6.213
N
N
N
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-21760961.980000
PA
USD
-21980203.670000
-0.785842
Short
RA
US
N
2
Reverse repurchase
N
5.850000
2025-10-31
36300000.000000
USD
30787260.290000
USD
CDS
N
N
N
LEALAND FINANCE COMPANY BV
N/A
LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL
N5200EAC5
170648.620000
PA
USD
118600.790000
0.0042402
Long
LON
CORP
US
N
2
2024-06-28
Floating
8.4704
N
N
N
N
N
N
BELLE HAVEN ABS CDO LTD 2006-1A
N/A
BELLE HAVEN ABS CDO LTD BLHV 2006 1A A1 144A
078452AA7
96560571.750000
PA
USD
9656.060000
0.0003452
Long
ABS-CBDO
CORP
KY
N
2
2046-07-05
Floating
5.9259
N
N
N
N
N
N
GREENPOINT MANUFACTURED HOUSING 1999-5
N/A
GREENPOINT MANUFACTURED HOUSIN GPMH 1999 5 M2
395383AG7
133004.550000
PA
USD
127710.820000
0.004566
Long
ABS-O
CORP
US
N
2
2029-12-15
Fixed
9.23
N
N
N
N
N
N
STRUCTURED ARM LOAN TRUST 2005-19XS
N/A
STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS M1II
863579ZA9
4630235.240000
PA
USD
4406925.010000
0.157558
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
6.12043
N
N
N
N
N
N
PUERTO RICO GOVT
549300X44HXPLJU48U63
PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR
74514L4C8
28354147.550000
PA
USD
15488453.100000
0.553747
Long
DBT
MUN
PR
N
2
2051-11-01
Fixed
0
N
N
N
N
N
N
AGPS BONDCO PLC
89450071QI2G8XS48K39
AGPS BONDCO PLC COMPANY GUAR REGS 08/25 6
ACI1PQN37
10100000.000000
PA
4119886.780000
0.147295
Long
DBT
CORP
GB
N
2
2025-08-05
Fixed
3.25
N
N
N
N
N
N
N/A
N/A
PETROLEOS MEXICANOS (PEMEX) LA SP GST
000000000
1.000000
NC
USD
-633935.380000
-0.0226646
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
PETROLEOS MEXICANOS (PEMEX)
PEMEX SR UNSEC
Y
Single Leg Swap
2028-12-20
0.000000
USD
-735260.480000
USD
3800000.000000
USD
101325.100000
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2013 375P E 144A
17320QAN9
8200000.000000
PA
USD
7082855.780000
0.253228
Long
ABS-MBS
CORP
US
N
2
2035-05-10
Fixed
3.51758
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/2.00000 12/21/22-10Y CME
000000000
1.000000
NC
USD
9512555.090000
0.340095
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2032-12-21
10215209.110000
USD
0.000000
USD
84400000.000000
USD
-702654.020000
N
N
N
BANCO DE CREDITO DEL PERU SA
549300EQYQ8SCQZ4BY14
BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65
05971U2B2
1300000.000000
PA
341314.570000
0.0122028
Long
DBT
CORP
PE
N
2
2024-09-17
Fixed
4.65
N
N
N
N
N
N
BX TRUST 2018-GW 2018-GW
N/A
BX TRUST BX 2018 GW G 144A
12433UAS4
5345000.000000
PA
USD
5140942.870000
0.1838
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
8.57901
N
N
N
N
N
N
N/A
N/A
REVERSE REPO ROYAL BANK OF CAN
000000000
-9055927.070000
PA
-10060879.780000
-0.359699
Short
RA
N/A
N
2
Reverse repurchase
N
4.819000
2024-05-15
26159459.600000
EUR
13847829.080000
EUR
ABS
N
N
N
C-BASS LTD 18A
N/A
C BASS LTD CBCL 18A A2 144A
1248MMAB7
31296933.030000
PA
USD
3880569.320000
0.138739
Long
ABS-CBDO
CORP
KY
N
2
2047-03-13
Fixed
5.538
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2006-SHL1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 SHL1 M3 144A
17309UAD7
2756000.000000
PA
USD
2108530.440000
0.0753847
Long
ABS-MBS
CORP
US
N
2
2045-11-25
Floating
6.82043
N
N
N
N
N
N
HUNGARY GOVT
5299003F3UFKGCCMAP43
NATIONAL BK HUNGARY BILL BILLS 01/24 0.00000
ACI2M7S84
1197000000.000000
PA
3448220.060000
0.123282
Long
DBT
MUN
HU
N
2
2024-01-04
None
0
N
N
N
N
N
N
GLG EURO CLO 1A
N/A
MAN GLG EURO CLO GLGE 1A SUBR 144A
ACI11ZRZ8
1762000.000000
PA
129351.590000
0.0046246
Long
ABS-CBDO
CORP
IE
N
2
2030-10-15
Fixed
0
N
N
N
N
N
N
MASTR ADJUSTABLE RATE MORTGAGES TRUST 2005-3 2005-3
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 3 B1
576433YZ3
732825.270000
PA
USD
492883.250000
0.0176217
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
4.13339
N
N
N
N
N
N
STEINHOFF TOPCO BV
N/A
STEINHOFF CVR
948ECV905
233504653.710000
NS
257.770000
0.0000092
Long
EC
CORP
NL
Y
3
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5
N/A
JP MORGAN CHASE COMMERCIAL 11/38 VAR
46654PAN6
12000000.000000
PA
USD
11672841.600000
0.417331
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
8.99148
N
N
N
N
N
N
N/A
N/A
BOUGHT PLN SOLD USD 20240122
000000000
1.000000
NC
77500.610000
0.0027708
N/A
DFE
PL
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
698256.080000
USD
3053124.710000
PLN
2024-01-22
77500.610000
N
N
N
ENVALIOR FINANCE GMBH
254900GAG6U7Z5TROP43
SCURALPHA 1503 GMBH USD TERM LOAN B1
D7001LAC7
16078803.490000
PA
USD
14839449.320000
0.530544
Long
LON
CORP
DE
N
2
2030-03-29
Floating
10.8832
N
N
N
N
N
N
CORESTATE CAPITAL HOLDING SA
529900GNB86RB7HRX793
CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/26 8
ACI11QWM1
1166700.780000
PA
674579.260000
0.0241177
Long
DBT
CORP
LU
N
2
2026-12-31
Fixed
8
Y
N
Y
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.1* 9/20/23-27Y CME
000000000
1.000000
NC
USD
10421702.970000
0.372599
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2050-09-20
44992.130000
USD
0.000000
USD
24300000.000000
USD
10376710.840000
N
N
N
GATEWAY CASINOS & ENTERTAINMENT LIMITED
549300JSKBQMMD1B3U44
GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN
943ZERII1
13643989.240000
PA
USD
13654631.550000
0.488184
Long
LON
CORP
CA
N
2
2027-10-15
Fixed
13.5485
N
N
Y
N
N
N
N/A
N/A
REVERSE REPO PARIBAS
000000000
-44194088.790000
PA
USD
-44298939.260000
-1.58379
Short
RA
US
N
2
Reverse repurchase
N
6.570000
2024-05-15
82769577.860000
USD
61558356.140000
USD
PLCMO
N
N
N
ARGENT SECURITIES INC 2005-W2
N/A
ARGENT SECURITIES INC. ARSI 2005 W2 M3
040104NF4
38196527.090000
PA
USD
29542553.850000
1.05621
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
6.26543
N
N
N
N
N
N
BOMBARDIER CAPITAL MTG SEC-1999-B
N/A
BOMBARDIER CAPITAL MORTGAGE SE BCM 1999 B A6
09774XBG6
4066205.830000
PA
USD
499653.750000
0.0178638
Long
ABS-O
CORP
US
N
2
2029-12-15
Fixed
7.85
N
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2005-C
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 M1
073879V47
5278647.050000
PA
USD
3919399.660000
0.140127
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
6.41543
N
N
N
N
N
N
N/A
N/A
3 MONTH SOFR FUT MAR24 XCME 20240618
000000000
-106.000000
NC
USD
648932.970000
0.0232008
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
N/A
90SOFR
2024-06-18
-25176987.500000
USD
648932.970000
N
N
N
N/A
N/A
BOUGHT CNY SOLD USD 20240216
000000000
1.000000
NC
-70.650000
-0.0000025
N/A
DFE
CN
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
46830.000000
USD
330971.030000
CNY
2024-02-16
-70.650000
N
N
N
ARIMA MORTGAGES PLC 1A
N/A
ARIMA MORTGAGES PLC ARIMA 1A Z 144A
ACI2KGTY8
23152000.000000
PA
27269450.920000
0.974945
Long
ABS-MBS
CORP
GB
N
2
2053-07-28
None
0
N
N
N
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240202
000000000
1.000000
NC
102345.230000
0.0036591
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1886857.090000
USD
9678444.760000
BRL
2024-02-02
102345.230000
N
N
N
SAXON ASSET SECURITIES TRUST 2007-3
N/A
SAXON ASSET SECURITIES TRUST SAST 2007 3 2M1
80557BAG9
21892000.000000
PA
USD
15979443.670000
0.571301
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Floating
6.27043
N
N
N
N
N
N
N/A
N/A
IRS EUR 0.25000 03/18/20-30Y LCH
000000000
1.000000
NC
2050957.450000
0.0733264
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2050-03-18
244354.590000
EUR
0.000000
EUR
4400000.000000
EUR
1806602.860000
N
N
N
N/A
N/A
RFR USD SOFR/2.45000 12/20/23-1Y LCH
000000000
1.000000
NC
USD
2999825.360000
0.107251
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2024-12-20
0.000000
USD
-9045.970000
USD
128500000.000000
USD
3008871.330000
N
N
N
N/A
N/A
SOLD CNH BOUGHT USD 20240326
000000000
1.000000
NC
-57847.640000
-0.0020682
N/A
DFE
CN
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
16974259.000000
CNY
2338020.000000
USD
2024-03-26
-57847.640000
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2017-ASHF
N/A
MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF F 144A
61691KAQ4
6258000.000000
PA
USD
5802659.780000
0.207458
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
10.009
N
N
N
N
N
N
BSST 2021-1818 MORTGAGE TRUST
N/A
BSST MORTGAGE TRUST BSST 2021 1818 F 144A
07403PAQ5
3125000.000000
PA
USD
1783191.560000
0.0637531
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
9.92648
N
N
N
N
N
N
UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)
549300V3NU625PJUVA84
UNITI GROUP INC REIT USD.0001
91325V108
403446.000000
NS
USD
2331917.880000
0.0833714
Long
EC
CORP
US
N
1
N
N
N
OI S.A. - EM RECUPERACAO JUDICIAL
N/A
OI SA TERM LOAN 1
938VGYII0
25093963.700000
PA
USD
1254698.190000
0.0448583
Long
LON
CORP
BR
N
2
2035-02-26
Fixed
1.75
N
N
Y
N
N
N
SVF II FINCO (CAYMAN) LP
N/A
SOFTBANK VISION FUND II FIXED TERM LOAN
944YFGII6
26105482.500000
PA
USD
24932188.300000
0.891382
Long
LON
CORP
GB
N
3
2025-12-21
Variable
5
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.75000 06/20/24-5Y CME
000000000
1.000000
NC
USD
-1261850.950000
-0.045114
N/A
DIR
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
N/A
USD-SOFR-COMPOUND
Y
2029-06-20
0.000000
USD
-1239421.820000
USD
65500000.000000
USD
-22429.130000
N
N
N
MARINE ONE HOLDCO LLC
N/A
WEST MARINE NEW COMMON STOCK EQTYWM9A9
902LVFII8
3579.000000
NS
USD
37580.010000
0.0013436
Long
EC
CORP
US
Y
3
N
N
N
EUROSAIL PLC 2007-3X
N/A
EUROSAIL PLC ESAIL 2007 3X B1C REGS
ACI00RTY0
1792096.310000
PA
2183778.800000
0.078075
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
5.61451
N
N
N
N
N
N
FARRINGDON MORTAGES PLC 2
N/A
FARRINGDON MORTGAGES NO.2 07/47 1
B0LNR9II9
5675000.000000
PA
1479930.310000
0.0529109
Long
ABS-MBS
CORP
GB
N
2
2047-07-15
Floating
9.3066
N
N
N
N
N
N
LONG BEACH MORTGAGE LOAD TR 2005-WL1
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M5
542514LM4
15025278.390000
PA
USD
12793515.190000
0.457397
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
6.59543
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-3315.340000
-0.0001185
N/A
DFE
HU
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
122588551.000000
HUF
350003.000000
USD
2024-01-04
-3315.340000
N
N
N
N/A
N/A
REVERSE REPO SOCIETE GENERALE REVERSE REPO
000000000
-1100110.000000
PA
USD
-1124780.270000
-0.0402134
Short
RA
US
N
2
Reverse repurchase
N
6.070000
2024-02-22
1500000.000000
USD
1287937.500000
USD
CDS
N
N
N
N/A
N/A
BOUGHT TRY SOLD USD 20240319
000000000
1.000000
NC
-122806.540000
-0.0043906
N/A
DFE
TR
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
12138000.000000
USD
380210712.000000
TRY
2024-03-19
-122806.540000
N
N
N
SEAZEN GROUP LIMITED
5493006M8GRAQRCSCD67
SEAZEN GROUP LTD SR SECURED REGS 07/25 4.45
ACI1TYCZ7
200000.000000
PA
USD
59000.000000
0.0021094
Long
DBT
CORP
KY
N
2
2025-07-13
Fixed
4.45
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-3
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 3 M3
126670WE4
4081534.340000
PA
USD
3602066.300000
0.128782
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
6.10043
N
N
N
N
N
N
LAKESIDE CDO I LTD/LAKESIDE CDO I INC 2004-1A
N/A
LAKESIDE CDO LTD LAKES 2004 1A A2B 144A
51210VAL4
19584228.850000
PA
USD
5666148.260000
0.202578
Long
ABS-CBDO
CORP
KY
N
2
2040-01-04
Floating
5.88507
N
N
N
N
N
N
HOSPITALITY MORTGAGE TRUST 2019-HIT
N/A
HOSPITALITY MORTGAGE TRUST HPLY 2019 HIT G 144A
40443RAS0
3982315.340000
PA
USD
3812730.830000
0.136314
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
9.375
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LIMITED
549300OLARYHDXP3WK18
SUNAC CHINA HOLDINGS LTD SR SECURED 144A 09/28 6.75
ACI2L7Q61
32748.000000
PA
USD
2046.750000
0.0000732
Long
DBT
CORP
KY
N
2
2028-09-30
Fixed
6.75
N
N
Y
N
N
N
AVOCA CLO XIII 13X
N/A
AVOCA CLO AVOCA 13X SUB REGS
ACI0B8BB9
2250000.000000
PA
1470980.500000
0.0525909
Long
ABS-CBDO
CORP
IE
N
2
2034-04-15
Variable
0
N
N
N
N
N
N
N/A
N/A
REVERSE REPO MORGAN STANLEY
000000000
-23806088.890000
PA
-26509450.190000
-0.947773
Short
RA
LU
N
2
Reverse repurchase
N
4.500000
2024-02-23
44624000.000000
EUR
27716425.400000
EUR
CDS
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 SA 144A
36260AAH9
9008.080000
PA
USD
8954.740000
0.0003202
Long
ABS-MBS
CORP
US
N
2
2059-07-25
None
0
N
N
N
N
N
N
280 PARK AVENUE 2017-280P MORTGAGE TRUST
N/A
280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P E 144A
90205FAN0
9645000.000000
PA
USD
8714900.820000
0.311578
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
7.77689
N
N
N
N
N
N
DEUTSCHE MORTGAGE AND ASSET RECEIVING CORP 2014-RS2
N/A
DEUTSCHE MORTGAGE AND ASSET RE DMARC 2014 RS2 1A2 144A
25160GAB3
1634023.000000
PA
USD
1038799.080000
0.0371394
Long
ABS-MBS
CORP
US
N
2
2035-12-26
Fixed
0
N
N
N
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-3014.280000
-0.0001078
N/A
DFE
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
289413.000000
GBP
365898.200000
USD
2024-01-09
-3014.280000
N
N
N
2024-02-21
PIMCO Flexible Credit Income Fund
/s/ Bijal Parikh
Bijal Parikh
Treasurer