0001752724-22-095171.txt : 20220427
0001752724-22-095171.hdr.sgml : 20220427
20220427140641
ACCESSION NUMBER: 0001752724-22-095171
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220228
FILED AS OF DATE: 20220427
PERIOD START: 20220228
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: GMO TRUST
CENTRAL INDEX KEY: 0000772129
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04347
FILM NUMBER: 22858658
BUSINESS ADDRESS:
STREET 1: 40 ROWES WHARF
CITY: BOSTON
STATE: MA
ZIP: 02110
BUSINESS PHONE: 6173467646
MAIL ADDRESS:
STREET 1: 40 ROWES WHARF
CITY: BOSTON
STATE: MA
ZIP: 02110
FORMER COMPANY:
FORMER CONFORMED NAME: GMO CORE TRUST
DATE OF NAME CHANGE: 19900927
0000772129
S000007516
GMO Opportunistic Income Fund
C000020548
Class VI
GMODX
C000137450
Class III
GMOHX
C000213384
Class I
GMOLX
C000213385
Class R6
GAAAX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000772129
XXXXXXXX
S000007516
C000020548
C000137450
C000213384
C000213385
GMO TRUST
811-04347
0000772129
549300Y2Q6TQD4HU5C66
40 ROWES WHARF
BOSTON
02110
617-346-7646
GMO Opportunistic Income Fund
S000007516
5493000NQRD0885G4P95
2022-02-28
2022-02-28
N
1029396188.30
40622832.64
988773355.66
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
7307804.35000000
EUR
USD
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-A
64035DAB2
4028110.36000000
PA
USD
3862975.56000000
0.390683622074
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
1.36000000
N
N
N
N
N
N
Voya CLO Ltd
5493000X4YEVJOIVRG48
Voya CLO 2014-3 Ltd
92912QAB2
531320.61000000
PA
USD
531605.93000000
0.053764184376
Long
ABS-CBDO
CORP
KY
N
2
2026-07-25
Floating
2.16000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2006-AR5
17309FAU2
4005061.43000000
PA
USD
2608318.68000000
0.263793382484
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
2.77000000
N
N
N
N
N
N
Venture CDO Ltd
549300EDZDHKTKE7JV77
Venture XXIV CLO Ltd
92330WBL0
9000000.00000000
PA
USD
8904951.00000000
0.900605881926
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
1.75000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
225458RW0
104757.46000000
PA
USD
104765.27000000
0.010595478670
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Fixed
4.88000000
N
N
N
N
N
N
National Collegiate Student Loan Trust
635400SHIZZEXQWXY390
National Collegiate Student Loan Trust 2004-2
63543PBA3
3809000.00000000
PA
USD
3693894.31000000
0.373583520313
Long
ABS-O
CORP
US
N
2
2033-12-26
Floating
0.73000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-3
07324NAA1
3301068.41000000
PA
USD
3179217.06000000
0.321531424952
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.44000000
N
N
N
N
N
N
National Collegiate Student Loan Trust
635400VHKJCABQGBTP36
National Collegiate Student Loan Trust 2006-4
63543WAD3
5587288.38000000
PA
USD
5411465.35000000
0.547290773868
Long
ABS-O
CORP
US
N
2
2032-05-25
Floating
0.50000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust 2022-1
92258XAA1
1998053.41000000
PA
USD
1984370.34000000
0.200690110493
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
3.38000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
674135EB0
1391252.15000000
PA
USD
1407845.89000000
0.142383073121
Long
ABS-O
CORP
US
N
2
2029-01-15
Fixed
7.42000000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VII Ltd
67108WBE8
10007467.07000000
PA
USD
10003033.76000000
1.011660933492
Long
ABS-CBDO
CORP
KY
N
2
2029-07-17
Floating
1.25000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF12
32027GAA4
3172422.24000000
PA
USD
3014374.07000000
0.304859961359
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
0.29000000
N
N
N
N
N
N
Bombardier Capital Mortgage Securitization Corp.
N/A
BCMSC Trust 1999-A
09774XAX0
4760729.88000000
PA
USD
4507723.75000000
0.455890495450
Long
ABS-O
CORP
US
N
2
2029-03-15
Variable
6.79000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B15 Mortgage Trust
08160KAE4
12000000.00000000
PA
USD
12007849.20000000
1.214418767583
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Fixed
2.93000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VIV4
05608MAA4
8000000.00000000
PA
USD
7730934.40000000
0.781871230221
Long
ABS-MBS
CORP
US
N
2
2044-03-09
Fixed
2.84000000
N
N
N
N
N
N
Keycorp Student Loan Trust
254900QO9Y4JHZFBGC87
KeyCorp Student Loan Trust 2006-A
49327HAH8
6465714.65000000
PA
USD
6426099.22000000
0.649906187622
Long
ABS-O
CORP
US
N
2
2041-12-27
Floating
0.70000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2007-4
126379AF3
4029472.41000000
PA
USD
2968469.61000000
0.300217394917
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AA.12
000000000
6974000.00000000
OU
Notional Amount
USD
-65332.61000000
-0.00660744038
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AA.12
137BEPAL5
Y
buy protection
2061-08-18
0.00000000
USD
-61731.75000000
USD
6974000.00000000
USD
-3600.86000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VIVA
12433XAG4
8000000.00000000
PA
USD
7244427.20000000
0.732668124452
Long
ABS-MBS
CORP
US
N
2
2044-03-11
Variable
3.55000000
N
N
N
N
N
N
Slide 2018-Fun
N/A
SLIDE 2018-FUN
831350AN3
3176493.88000000
PA
USD
3056647.31000000
0.309135282873
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Floating
2.74000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C12
90353DAZ8
15433000.00000000
PA
USD
16659559.28000000
1.684871379738
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
4.30000000
N
N
N
N
N
N
AMER AIRLINE 17-1 AA PTT
N/A
American Airlines 2017-1 Class AA Pass Through Trust
023761AA7
2651250.00000000
PA
USD
2714488.94000000
0.274530955396
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.65000000
N
N
N
N
N
N
Collegiate Funding Services Education Loan Trust
N/A
Collegiate Funding Services Education Loan Trust 2005B
19458LBJ8
3400887.81000000
PA
USD
2984801.43000000
0.301869120250
Long
ABS-O
CORP
US
N
2
2035-03-28
Floating
0.54000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-SP2
07325KAA6
10815957.66000000
PA
USD
10396947.46000000
1.051499557556
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.61000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.AS.8
000000000
3384000.00000000
OU
Notional Amount
USD
-11315.80000000
-0.00114442808
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.AS.8
137BETAC7
Y
buy protection
2057-10-17
140431.93000000
USD
0.00000000
USD
3384000.00000000
USD
-151747.73000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
OGO22H16USDP CDX S37 V1 5Y
000000000
-65535000.00000000
NC
USD
-88794.03000000
-0.00898022074
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
65535000.00000000
OU
Notional Amount
N/A
-88794.03000000
-0.01000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
65535000.00000000
USD
1.00000000
70.00000000
USD
2022-03-16
XXXX
-38594.22000000
N
N
N
American Home Mortgage Assets
N/A
American Home Mortgage Assets Trust 2006-4
02660LAB6
7859926.85000000
PA
USD
4903315.54000000
0.495898833836
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
0.40000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust 2006-S1
64352VQC8
7835608.71000000
PA
USD
329481.86000000
0.033322283424
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
0.53000000
N
N
N
N
N
N
AMER AIRLINE 17-2 AA PTT
N/A
American Airlines 2017-2 Class AA Pass Through Trust
02376AAA7
1507664.20000000
PA
USD
1518756.09000000
0.153600021815
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.35000000
N
N
N
N
N
N
WAMU Commercial Mortgage Securities Trust
N/A
WaMu Commercial Mortgage Securities Trust 2007-SL3
93364LAK4
4873172.61000000
PA
USD
4875020.03000000
0.493037155794
Long
ABS-MBS
CORP
US
N
2
2045-03-23
Variable
2.30000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAA1
8000000.00000000
PA
USD
8001263.20000000
0.809211044593
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.20000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2019-BPR
05492PAA6
10000000.00000000
PA
USD
9943918.00000000
1.005682236791
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
3.11000000
N
N
N
N
N
N
SLM Student Loan Trust
N/A
SLM Private Credit Student Loan Trust 2003-A
78443CAJ3
4463000.00000000
PA
USD
4463000.00000000
0.451367340599
Long
ABS-O
CORP
US
N
3
2032-06-15
Variable
3.61000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36228CYQ0
564382.39000000
PA
USD
505223.15000000
0.051095951069
Long
ABS-MBS
CORP
US
N
2
2046-03-21
Variable
5.33000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CMBX.NA.AS.7
000000000
4505000.00000000
OU
Notional Amount
USD
-7432.43000000
-0.00075168186
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CMBX.NA.AS.7
137BETAB9
Y
buy protection
2047-01-17
47351.78000000
USD
0.00000000
USD
4505000.00000000
USD
-54784.21000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS33V3-5Y
000000000
2300650.00000000
OU
Notional Amount
USD
-103.27000000
-0.00001044425
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S33
2I65BRTK6
Y
sell protection
2024-12-21
0.00000000
USD
-78899.64000000
USD
2300650.00000000
USD
78796.37000000
N
N
N
Northwoods Capital Ltd
549300VSNJNLNM3KF997
Northwoods Capital XVII Ltd
66860PAA2
3906000.00000000
PA
USD
3865272.14000000
0.390915887637
Long
ABS-CBDO
CORP
KY
N
2
2031-04-22
Floating
1.32000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pass-Through Certifica
N/A
FRESB 2020-SB76 Mortgage Trust
30315EAE6
94179684.60000000
PA
USD
6209775.18000000
0.628028166864
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.18000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CDE8
65000000.00000000
PA
USD
65117345.80000000
6.585669549776
Long
DBT
UST
US
N
1
2023-10-31
Floating
0.40000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2004-J11
12667FXJ9
456572.66000000
PA
USD
467832.79000000
0.047314461632
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
5.50000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust Series 1998-C1-CTL
589929QP6
1208736.12000000
PA
USD
1218831.24000000
0.123266998753
Long
ABS-MBS
CORP
US
N
2
2026-11-15
Variable
6.25000000
N
N
N
N
N
N
National Collegiate Student Loan Trust
635400ZLDAQQL4PJBJ98
National Collegiate Student Loan Trust 2006-1
63543PCD6
9597146.91000000
PA
USD
9271143.35000000
0.937640895856
Long
ABS-O
CORP
US
N
2
2033-03-25
Floating
0.54000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300KFTBTHU5DFH733
Wells Fargo Commercial Mortgage Trust 2013-BTC
94988MAL4
8733000.00000000
PA
USD
8222742.16000000
0.831610410305
Long
ABS-MBS
CORP
US
N
2
2035-04-16
Variable
3.55000000
N
N
N
N
N
N
National Collegiate Student Loan Trust
635400RGALHFSPGKCR23
National Collegiate Student Loan Trust 2007-1
63543XAD1
18574332.77000000
PA
USD
17661107.13000000
1.786163333478
Long
ABS-O
CORP
US
N
2
2033-10-25
Floating
0.49000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-8
92538GAA0
6724077.80000000
PA
USD
6556330.21000000
0.663077152359
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
1.82000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-1
07324SDG4
994252.51000000
PA
USD
932305.61000000
0.094289111317
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.76000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAJ2
4895000.00000000
PA
USD
4797240.98000000
0.485170939582
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.86000000
N
N
N
N
N
N
LB-UBS Commercial Mortgage Trust
N/A
LB-UBS Commercial Mortgage Trust 2004-C6
52108HL69
637749.04000000
PA
USD
640957.24000000
0.064823474088
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Variable
6.31000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS29V6-5Y 25-35%
000000000
5994100.00000000
OU
Notional Amount
USD
286113.00000000
0.028936155931
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S29
2I65BRTC4
Y
sell protection
2022-12-21
229274.04000000
USD
0.00000000
USD
5994100.00000000
USD
56838.96000000
N
N
N
National Collegiate II Commutation Trust
N/A
National Collegiate II Commutation Trust
63545BAA3
3275000.00000000
PA
USD
912906.25000000
0.092327149065
Long
ABS-O
CORP
US
N
3
2038-03-25
Floating
5.28000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-7CB
12668BXS7
1734760.01000000
PA
USD
795281.64000000
0.080431135754
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
0.89000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS29V1-5Y 15-25%
000000000
3450800.00000000
OU
Notional Amount
USD
-143727.93000000
-0.01453598331
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S29
2I65BROT2
Y
buy protection
2022-12-21
0.00000000
USD
-188413.68000000
USD
3450800.00000000
USD
44685.75000000
N
N
N
FRESB Multifamily Mortgage Pass-Through Certifica
N/A
FRESB 2020-SB77 Mortgage Trust
30316AAJ2
78302152.96000000
PA
USD
4247257.55000000
0.429548139185
Long
ABS-MBS
USGSE
US
N
2
2040-06-25
Variable
0.95000000
N
N
N
N
N
N
IndyMac Seconds Asset Backed Trust
N/A
Home Equity Mortgage Loan Asset-Backed Trust Series INDS- 2006-A
43709UAA5
28597652.03000000
PA
USD
711735.50000000
0.071981662524
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
0.45000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579QX9
5381015.75000000
PA
USD
4471589.65000000
0.452236058385
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
1.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5009.88000000
0.000506676274
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1845528.00000000
EUR
2078341.54000000
USD
2022-04-21
5009.88000000
N
N
N
Zais Clo 7 llc
549300XFDOUEB0QTZS87
Zais Clo 7 Ltd
98887VAA1
4989484.29000000
PA
USD
4972619.83000000
0.502907951709
Long
ABS-CBDO
CORP
KY
N
2
2030-04-15
Floating
1.53000000
N
N
N
N
N
N
Whitehorse Ltd
549300GKZTMG24SVKU49
WhiteHorse VIII Ltd
96524WBA1
4057600.00000000
PA
USD
4051684.02000000
0.409768729791
Long
ABS-CBDO
CORP
KY
N
2
2026-05-01
Floating
3.77000000
N
N
N
N
N
N
Venture CDO Ltd
549300UP09C89Q3HWD39
Venture 32 CLO Ltd
92325QAA5
4993200.00000000
PA
USD
4957553.55000000
0.501384217285
Long
ABS-CBDO
CORP
KY
N
2
2031-07-18
Floating
1.34000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796M89
23750000.00000000
PA
USD
23648503.43000000
2.391701120851
Long
STIV
UST
US
N
1
2022-10-06
None
0.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300FE2YWO5PJ3Q820
SLM Private Credit Student Loan Trust 2005-B
78443CCB8
2775995.78000000
PA
USD
2711362.55000000
0.274214766658
Long
ABS-O
CORP
US
N
2
2039-06-15
Floating
0.53000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.A.7
000000000
2840000.00000000
OU
Notional Amount
USD
141993.67000000
0.014360588216
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.A.7
137BEOAG9
Y
buy protection
2047-01-18
156357.78000000
USD
0.00000000
USD
2840000.00000000
USD
-14364.11000000
N
N
N
Residential Funding Mortgage Securities II
N/A
Home Loan Trust 2007-HI1
43718WAD4
9934796.34000000
PA
USD
2672294.30000000
0.270263583125
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
6.43000000
N
N
N
N
N
N
SLM Student Loan Trust
54930054KUX5HFXZUQ43
SLM Private Credit Student Loan Trust 2004-A
78443CBH6
1286518.24000000
PA
USD
1270481.40000000
0.128490658928
Long
ABS-O
CORP
US
N
2
2033-06-15
Floating
0.60000000
N
N
N
N
N
N
Bombardier Capital Mortgage Securitization Corp.
N/A
BCMSC Trust 2000-A
09774XBQ4
2928136.86000000
PA
USD
636386.33000000
0.064361193225
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
8.29000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
OBA22H16USDP1 CDX S37 V1
000000000
104440000.00000000
NC
USD
634205.63000000
0.064140647234
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
104440000.00000000
OU
Notional Amount
N/A
634205.63000000
0.06000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
104440000.00000000
USD
1.00000000
55.00000000
USD
2022-03-16
XXXX
451435.63000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.AA.11
000000000
4624500.00000000
OU
Notional Amount
USD
-56020.51000000
-0.00566565731
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.AA.11
137BEPAK7
Y
buy protection
2054-11-19
0.00000000
USD
-67279.45000000
USD
4624500.00000000
USD
11258.94000000
N
N
N
Man GLG US CLO 2018-1 Ltd
N/A
Man GLG US CLO
26829CAY3
6161000.00000000
PA
USD
6116671.61000000
0.618612099020
Long
ABS-CBDO
CORP
KY
N
2
2030-04-22
Floating
1.39000000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505XH0
3620920.38000000
PA
USD
3579637.90000000
0.362028151295
Long
ABS-O
CORP
US
N
2
2029-01-15
Variable
7.21000000
N
N
N
N
N
N
JFIN CLO Ltd
N/A
JFIN CLO Ltd
03754QAJ3
5718682.00000000
PA
USD
5669850.17000000
0.573422628911
Long
ABS-CBDO
CORP
KY
N
2
2026-10-17
Floating
3.44000000
N
N
N
N
N
N
Asset Backed Funding Certificates
N/A
ABFC 2005-AQ1 Trust
04542BMT6
1509479.57000000
PA
USD
1519068.39000000
0.153631606404
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
4.47000000
N
N
N
N
N
N
National Collegiate Student Loan Trust
635400WP3MSHUIUNQS85
National Collegiate Student Loan Trust 2005-2
63543PBU9
5698791.47000000
PA
USD
5489322.70000000
0.555164908983
Long
ABS-O
CORP
US
N
2
2033-06-25
Floating
0.56000000
N
N
N
N
N
N
Bear Stearns Commercial Mortgage Securities Trust
N/A
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13
07388LAN0
1172130.83000000
PA
USD
1147055.90000000
0.116007970222
Long
ABS-MBS
CORP
US
N
2
2041-09-11
Variable
5.75000000
N
N
N
N
N
N
JFIN CLO Ltd
N/A
JFIN CLO Ltd
03754QAG9
1905000.00000000
PA
USD
1889121.83000000
0.191057113259
Long
ABS-CBDO
CORP
KY
N
2
2026-10-17
Floating
2.14000000
N
N
N
N
N
N
Halcyon Loan Advisors Funding Ltd
549300U92YP85EMXX728
Halcyon Loan Advisors Funding 2014-2 Ltd
40538BAJ1
1582170.46000000
PA
USD
1580748.09000000
0.159869608232
Long
ABS-CBDO
CORP
KY
N
2
2025-04-28
Floating
3.78000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2014-RR2
05543DCC6
1677083.62000000
PA
USD
1633168.18000000
0.165171135594
Long
ABS-MBS
CORP
US
N
2
2037-05-26
Variable
0.27000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2005-2
07324SBN1
3765982.24000000
PA
USD
3607496.15000000
0.364845606867
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
0.65000000
N
N
N
N
N
N
National Collegiate Student Loan Trust
6354004HZIMK13WCED04
National Collegiate Student Loan Trust 2007-4
63544EAL4
75000.00000000
PA
USD
61500.00000000
0.006219827794
Long
ABS-O
CORP
US
N
3
2038-03-25
Variable
3.71000000
N
N
N
N
N
N
Telos CLO Ltd
25490083G97ZZN6SR263
Telos Clo 2013-3 Ltd
87969DAQ0
2000000.00000000
PA
USD
2000872.00000000
0.202359012664
Long
ABS-CBDO
CORP
KY
N
2
2026-07-17
Floating
2.84000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS33V12-5Y 35-100%
000000000
10598035.85000000
OU
Notional Amount
USD
1459038.52000000
0.147560460812
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S33
2I65BRYN4
Y
sell protection
2024-12-21
1827631.42000000
USD
0.00000000
USD
10598035.85000000
USD
-368592.90000000
N
N
N
Telos CLO Ltd
5493001KXOX6VRHBB435
Telos CLO 2014-5 Ltd
87974KAW4
7737500.00000000
PA
USD
7693767.65000000
0.778112355673
Long
ABS-CBDO
CORP
KY
N
2
2028-04-17
Floating
1.72000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TBW0
10266141.72000000
PA
USD
3466508.53000000
0.350586765931
Long
ABS-O
CORP
US
N
2
2030-07-15
Variable
7.40000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-8
000000000
6889000.00000000
OU
Notional Amount
USD
984894.63000000
0.099607723485
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.8
137BERAH0
Y
buy protection
2057-10-18
1034609.67000000
USD
0.00000000
USD
6889000.00000000
USD
-49715.04000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
OBA22H16USDP CDX S37 V1
000000000
104440000.00000000
NC
USD
240780.15000000
0.024351399501
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
104440000.00000000
OU
Notional Amount
N/A
240780.15000000
0.02000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
104440000.00000000
USD
1.00000000
65.00000000
USD
2022-03-16
XXXX
144173.15000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS35V1-5Y 15-25%
000000000
4008000.00000000
OU
Notional Amount
USD
201966.06000000
0.020425920545
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S35
2I65BRYO2
Y
sell protection
2025-12-21
292583.95000000
USD
0.00000000
USD
4008000.00000000
USD
-90617.89000000
N
N
N
Mellon Residential Funding Corporation
N/A
Mellon Re-REMIC Pass-Through Trust 2004-TBC1
58552RAA8
261686.34000000
PA
USD
229322.28000000
0.023192603106
Long
ABS-MBS
CORP
US
N
2
2034-02-26
Floating
0.46000000
N
N
N
N
N
N
WAMU Commercial Mortgage Securities Trust
N/A
WaMu Commercial Mortgage Securities Trust 2007-SL3
93364LAM0
3572960.00000000
PA
USD
3303062.53000000
0.334056587497
Long
ABS-MBS
CORP
US
N
2
2045-03-23
Variable
2.30000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-2
07324YAC3
2844642.06000000
PA
USD
2733240.76000000
0.276427428424
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.61000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.AS.7
000000000
13270000.00000000
OU
Notional Amount
USD
-21893.07000000
-0.00221416463
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.AS.7
137BETAB9
Y
buy protection
2047-01-17
205782.23000000
USD
0.00000000
USD
13270000.00000000
USD
-227675.30000000
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
OBC22H16USDP1 CDX NAHY S37 V1
000000000
-134180000.00000000
NC
USD
-772695.66000000
-0.07814689337
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
134180000.00000000
OU
Notional Amount
N/A
-772695.66000000
-0.08000000
DCR
US
CDX.NA.HY.S37
2I65BRYQ7
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
134180000.00000000
USD
1.00000000
105.00000000
USD
2022-03-16
XXXX
488596.34000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796T41
5765000.00000000
PA
USD
5747667.64000000
0.581292730745
Long
STIV
UST
US
N
1
2022-08-18
None
0.00000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.BBB-.13
000000000
4008000.00000000
OU
Notional Amount
USD
392896.99000000
0.039735798679
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.BBB-.13
137BERAM9
Y
buy protection
2072-12-17
224513.45000000
USD
0.00000000
USD
4008000.00000000
USD
168383.54000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
ODB22H16USDP CDX S37 V1
000000000
-65535000.00000000
NC
USD
-52789.75000000
-0.00533891307
N/A
DCR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
65535000.00000000
OU
Notional Amount
N/A
-52789.75000000
-0.01000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
65535000.00000000
USD
1.00000000
75.00000000
USD
2022-03-16
XXXX
14055.95000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
CMBX.NA.AS.7
000000000
16677794.00000000
OU
Notional Amount
USD
-27515.32000000
-0.00278277320
N/A
DCR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
CMBX.NA.AS.7
137BETAB9
Y
buy protection
2047-01-17
197704.78000000
USD
0.00000000
USD
16677794.00000000
USD
-225220.10000000
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR2
45661EAA2
8445863.56000000
PA
USD
8073949.96000000
0.816562249961
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
0.63000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2019-C7
17328CAD4
6800000.00000000
PA
USD
6885734.40000000
0.696391580596
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Fixed
3.10000000
N
N
N
N
N
N
Carrington Mortgage Loan Trust
N/A
Carrington Mortgage Loan Trust Series 2007-RFC1
144526AC4
759833.41000000
PA
USD
721264.34000000
0.072945365676
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
0.33000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR10 Trust
74333WAA0
1350000.00000000
PA
USD
1314636.08000000
0.132956260651
Long
ABS-O
CORP
US
N
2
2040-12-17
Fixed
2.39000000
N
N
N
N
N
N
IndyMac INDA Mortgage Loan Trust
N/A
IndyMac INDA Mortgage Loan Trust 2006-AR3
45662FAA8
1446128.63000000
PA
USD
1358050.29000000
0.137346974635
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
2.95000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
CMBX.NA.AS.7
000000000
7608000.00000000
OU
Notional Amount
USD
-12551.81000000
-0.00126943246
N/A
DCR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
CMBX.NA.AS.7
137BETAB9
Y
buy protection
2047-01-18
0.00000000
USD
-119898.94000000
USD
7608000.00000000
USD
107347.13000000
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2005-TC2
073879E53
1493127.66000000
PA
USD
1495517.71000000
0.151249798696
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.06000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 0.923 %
000000000
2250000.00000000
OU
Notional Amount
USD
34775.24000000
0.003517008200
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-12-10
0.00000000
USD
0.00000000
USD
2250000.00000000
USD
34775.24000000
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2004-AC5
073879GM4
2343045.88000000
PA
USD
2346337.16000000
0.237297773708
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
5.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AAA.10
000000000
7540000.00000000
OU
Notional Amount
USD
20780.22000000
0.002101616096
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AAA.10
137BENAJ5
Y
sell protection
2059-11-18
68960.05000000
USD
0.00000000
USD
7540000.00000000
USD
-48179.83000000
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2007-3
07325YAA6
3029474.59000000
PA
USD
2877486.15000000
0.291015745269
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.43000000
N
N
N
N
N
N
SLM Student Loan Trust
549300IQIXBXDNPLSE92
SLM Private Credit Student Loan Trust 2003-C
78443CBE3
5400349.58000000
PA
USD
1956444.05000000
0.197865773668
Long
ABS-O
CORP
US
N
2
2032-09-15
Floating
1.80000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BB.14
000000000
3140000.00000000
OU
Notional Amount
USD
289393.17000000
0.029267897273
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BB.14
137BEMAM0
Y
buy protection
2072-12-17
175273.76000000
USD
0.00000000
USD
3140000.00000000
USD
114119.41000000
N
N
N
Zais CLO 8, Limited
549300XI7G6FVIEXZ367
Zais CLO 8 Ltd
98885GAA6
1348521.52000000
PA
USD
1341885.45000000
0.135712136893
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
1.19000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust 2006-2
61748HVW8
1646074.96000000
PA
USD
1003066.89000000
0.101445582474
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
6.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.9
000000000
1500000.00000000
OU
Notional Amount
USD
164435.59000000
0.016630261025
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-18
175119.25000000
USD
0.00000000
USD
1500000.00000000
USD
-10683.66000000
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2007-2
07325XAA8
6195039.49000000
PA
USD
5939338.62000000
0.600677454140
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.46000000
N
N
N
N
N
N
SLM Student Loan Trust
549300EQOYJZL2D96G46
SLM Student Loan Trust 2008-4
78445AAD8
10114012.71000000
PA
USD
10155269.79000000
1.027057387000
Long
ABS-O
CORP
US
N
2
2022-07-25
Floating
1.91000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-H6
61769JBA8
1982000.00000000
PA
USD
2038737.92000000
0.206188598057
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Fixed
3.42000000
N
N
N
N
N
N
Lehman Brothers Small Balance Commercial
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2
52521VAG7
3501829.79000000
PA
USD
3466387.07000000
0.350574482024
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
0.59000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796T58
5000000.00000000
PA
USD
4984078.20000000
0.504066798672
Long
STIV
UST
US
N
1
2022-08-25
None
0.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300SRMXHPGI3BJ386
SLM Student Loan Trust 2008-5
78444YAD7
7693345.29000000
PA
USD
7715626.76000000
0.780323085754
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
1.96000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.6
000000000
4274000.00000000
OU
Notional Amount
USD
1036088.83000000
0.104785269957
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.6
137BERAF4
Y
buy protection
2063-05-12
1357351.16000000
USD
0.00000000
USD
4274000.00000000
USD
-321262.33000000
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-HYB6
12669GBA8
1131597.34000000
PA
USD
1161183.29000000
0.117436749620
Long
ABS-MBS
CORP
US
N
2
2034-11-20
Variable
2.54000000
N
N
N
N
N
N
Lehman Brothers Small Balance Commercial
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust 2006-1
86359DZP5
2022598.56000000
PA
USD
1992014.85000000
0.201463241156
Long
ABS-MBS
CORP
US
N
2
2031-04-25
Floating
1.19000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
NAVI CDS USD SR 3Y D14
000000000
4050000.00000000
OU
Notional Amount
USD
-162389.17000000
-0.01642329549
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
NAVIENT CORP
NAVIENT CORP
Y
buy protection
2022-12-21
0.00000000
USD
-421121.61000000
USD
4050000.00000000
USD
258732.44000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.8
000000000
4224000.00000000
OU
Notional Amount
USD
603889.52000000
0.061074614980
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.8
137BERAH0
Y
buy protection
2057-10-18
400908.43000000
USD
0.00000000
USD
4224000.00000000
USD
202981.09000000
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2021-A
00971AAA0
3651133.84000000
PA
USD
3518646.97000000
0.355859808504
Long
ABS-MBS
CORP
US
N
2
2065-09-25
Variable
1.07000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.13
000000000
273500.00000000
OU
Notional Amount
USD
26810.71000000
0.002711512182
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.13
137BERAM9
Y
buy protection
2072-12-17
16839.75000000
USD
0.00000000
USD
273500.00000000
USD
9970.96000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.AA.11
000000000
4626000.00000000
OU
Notional Amount
USD
-56038.68000000
-0.00566749495
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.AA.11
137BEPAK7
Y
buy protection
2054-11-19
0.00000000
USD
-63740.47000000
USD
4626000.00000000
USD
7701.79000000
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
OBC22J20USDP1 CDX NAIG S37 V1
000000000
-178460000.00000000
NC
USD
-406285.61000000
-0.04108986226
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
178460000.00000000
OU
Notional Amount
N/A
-406285.61000000
-0.04000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
178460000.00000000
USD
1.00000000
75.00000000
USD
2022-04-20
XXXX
53248.89000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.11
000000000
3064050.00000000
OU
Notional Amount
USD
253395.76000000
0.025627284407
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.11
137BERAK3
Y
buy protection
2054-11-19
116418.46000000
USD
0.00000000
USD
3064050.00000000
USD
136977.30000000
N
N
N
GMAC Mortgage Corporation Loan Trust
N/A
GMACM Home Equity Loan Trust 2007-HE3
36186MAC5
3836103.23000000
PA
USD
3675101.21000000
0.371682872415
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
7.00000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2006-ASL1
00442AAA1
821710.16000000
PA
USD
136617.45000000
0.013816861995
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.47000000
N
N
N
N
N
N
Bravo Mortgage Asset Trust
N/A
Bravo Mortgage Asset Trust
105667AD1
9026544.00000000
PA
USD
8574635.49000000
0.867199286966
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
0.79000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN22
000000000
-5.00000000
NC
USD
-8476.30000000
-0.00085725408
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Ultra 10-Year US Treasury Note Futures
UXYM2 COMDTY
2022-06-21
-698164.33000000
USD
-8476.30000000
N
N
N
Jamestown CLO Ltd
549300J8XCULR2IX5L98
Jamestown CLO V Ltd
470473AE9
1327600.00000000
PA
USD
1327602.66000000
0.134267641052
Long
ABS-CBDO
CORP
KY
N
2
2027-01-17
Floating
3.99000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS33V12-5Y 35-100%
000000000
2800895.38000000
OU
Notional Amount
USD
385601.02000000
0.038997917752
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S33
2I65BRYN4
Y
sell protection
2024-12-21
482034.09000000
USD
0.00000000
USD
2800895.38000000
USD
-96433.07000000
N
N
N
Wells Fargo Commercial Mortgage Trust
549300AGZIS1CJS4RM30
Wells Fargo Commercial Mortgage Trust 2018-C44
95001JAX5
2000000.00000000
PA
USD
2152402.20000000
0.217684081764
Long
ABS-MBS
CORP
US
N
2
2051-05-15
Fixed
4.21000000
N
N
N
N
N
N
Keycorp Student Loan Trust
N/A
KeyCorp Student Loan Trust 2004-A
493268CA2
1223902.94000000
PA
USD
1222373.06000000
0.123625202176
Long
ABS-O
CORP
US
N
2
2042-04-28
Floating
1.07000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AAA.13
000000000
2825000.00000000
OU
Notional Amount
USD
-16976.83000000
-0.00171695868
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AAA.13
137BENAM8
Y
sell protection
2072-12-17
6615.35000000
USD
0.00000000
USD
2825000.00000000
USD
-23592.18000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2021-GSA3
36263UAN9
10000000.00000000
PA
USD
9710878.00000000
0.982113640543
Long
ABS-MBS
CORP
US
N
2
2054-12-15
Fixed
2.62000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C9
90291JAW7
5268100.00000000
PA
USD
5564434.31000000
0.562761352553
Long
ABS-MBS
CORP
US
N
2
2051-03-15
Variable
4.12000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust 2021-4
92258DAK3
1969994.60000000
PA
USD
1888288.88000000
0.190972872518
Long
ABS-MBS
CORP
US
N
2
2051-12-26
Variable
3.81000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust 2007-SL2
07401RAA8
210477.55000000
PA
USD
213098.86000000
0.021551840852
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
0.51000000
N
N
N
N
N
N
Whitehorse Ltd
N/A
Whitehorse XII Ltd
96525YAC3
4453900.00000000
PA
USD
4426201.20000000
0.447645678826
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
1.49000000
N
N
N
N
N
N
Zais CLO 8, Limited
549300XI7G6FVIEXZ367
Zais CLO 8 Ltd
98885GAC2
3474000.00000000
PA
USD
3416168.32000000
0.345495588088
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
1.69000000
N
N
N
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
OBC22J20USDP CDX NAIG S37 V1
000000000
89230000.00000000
NC
USD
293816.54000000
0.029715256617
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
89230000.00000000
OU
Notional Amount
N/A
293816.54000000
0.03000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
89230000.00000000
USD
1.00000000
67.50000000
USD
2022-04-20
XXXX
-18488.46000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-NQM1
126416AA4
7425657.18000000
PA
USD
7313598.82000000
0.739663824690
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
2.27000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS29V1-5Y 15-25%
000000000
870000.00000000
OU
Notional Amount
USD
-36236.04000000
-0.00366474680
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S29
2I65BROT2
Y
buy protection
2022-12-21
0.00000000
USD
-51765.00000000
USD
870000.00000000
USD
15528.96000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ITRAXX-EUROPES34V1-5Y
000000000
20633760.00000000
OU
Notional Amount
-422877.59000000
-0.04276789899
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe S34
2I666VCX1
Y
buy protection
2025-12-21
0.00000000
EUR
-534671.19000000
EUR
20633760.00000000
EUR
225322.16000000
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
225458RV2
132593.00000000
PA
USD
132493.56000000
0.013399790684
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Floating
0.37000000
N
N
N
N
N
N
SLM Student Loan Trust
549300I2YWZ9E1B0EY33
SLM Private Credit Student Loan Trust 2006-A
78443CCL6
3392683.74000000
PA
USD
3292981.59000000
0.333037047484
Long
ABS-O
CORP
US
N
2
2039-06-15
Floating
0.49000000
N
N
N
N
N
N
WAMU Commercial Mortgage Securities Trust
N/A
WaMu Commercial Mortgage Securities Trust 2007-SL2
933632AG6
3176664.00000000
PA
USD
3141534.86000000
0.317720420156
Long
ABS-MBS
CORP
US
N
2
2049-12-27
Variable
2.30000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS33V12-5Y 35-100%
000000000
10394872.31000000
OU
Notional Amount
USD
1431069.14000000
0.144731766062
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S33
2I65BRYN4
Y
sell protection
2024-12-21
1704759.06000000
USD
0.00000000
USD
10394872.31000000
USD
-273689.92000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.AS.8
000000000
8892000.00000000
OU
Notional Amount
USD
-29734.07000000
-0.00300716739
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.AS.8
137BETAC7
Y
buy protection
2057-10-18
73094.77000000
USD
0.00000000
USD
8892000.00000000
USD
-102828.84000000
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR10 Trust
92922FW46
837624.42000000
PA
USD
837298.50000000
0.084680528172
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
2.94000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.AA.11
000000000
4624500.00000000
OU
Notional Amount
USD
-56020.51000000
-0.00566565731
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.AA.11
137BEPAK7
Y
buy protection
2054-11-19
0.00000000
USD
-61371.41000000
USD
4624500.00000000
USD
5350.90000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
CMBX.NA.BBB-.9
000000000
4263000.00000000
OU
Notional Amount
USD
467325.93000000
0.047263200138
N/A
DCR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-18
517160.17000000
USD
0.00000000
USD
4263000.00000000
USD
-49834.24000000
N
N
N
SLM Student Loan Trust
549300IQIXBXDNPLSE92
SLM Private Credit Student Loan Trust 2003-C
78443CBA1
2250000.00000000
PA
USD
2250000.00000000
0.227554675408
Long
ABS-O
CORP
US
N
3
2032-09-15
Variable
3.60000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAIGS37V1-5Y
000000000
131070000.00000000
OU
Notional Amount
USD
-2180902.86000000
-0.22056650773
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.IG.S37
2I65BYDZ5
Y
buy protection
2026-12-21
0.00000000
USD
-3176533.60000000
USD
131070000.00000000
USD
995630.74000000
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2005-9
07387AEG6
619027.08000000
PA
USD
631406.38000000
0.063857543934
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.38000000
N
N
N
N
N
N
AID-TUNISIA
N/A
Tunisia Government AID Bonds
899768AC9
1057500.00000000
PA
USD
1049154.80000000
0.106106702207
Long
DBT
NUSS
TN
N
3
2023-07-01
Floating
0.78000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2019-XL
N/A
BX Commercial Mortgage Trust 2019-XL
056054AA7
4719281.44000000
PA
USD
4698580.78000000
0.475192899677
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.11000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
93720.76000000
0.009478487609
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
6854186.00000000
EUR
7793956.59000000
USD
2022-04-21
93720.76000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAX9
29000000.00000000
PA
USD
28826679.76000000
2.915398113732
Long
DBT
UST
US
N
1
2022-11-30
Fixed
0.13000000
N
N
N
N
N
N
Lehman Brothers Small Balance Commercial
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3
52521UAH7
991596.00000000
PA
USD
989074.67000000
0.100030473549
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Variable
4.31000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AS.7
000000000
4400000.00000000
OU
Notional Amount
USD
-7259.20000000
-0.00073416217
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AS.7
137BETAB9
Y
buy protection
2047-01-17
112812.23000000
USD
0.00000000
USD
4400000.00000000
USD
-120071.43000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
NAVI CDS USD SR 5Y D14
000000000
2082800.00000000
OU
Notional Amount
USD
-83512.14000000
-0.00844603462
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
NAVIENT CORP
NAVIENT CORP
Y
buy protection
2022-12-21
0.00000000
USD
-160627.52000000
USD
2082800.00000000
USD
77115.38000000
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-2
07324YAB5
1390674.27000000
PA
USD
1332816.10000000
0.134794904451
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.53000000
N
N
N
N
N
N
Towd Point Asset Trust 2018-SL1
54930022FYEFQVX02P24
Towd Point Asset Trust 2018-SL1
89174UAB2
6989400.00000000
PA
USD
6878345.42000000
0.695644293065
Long
ABS-O
CORP
US
N
2
2046-01-25
Floating
1.24000000
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAN7
2505000.00000000
PA
USD
2135401.53000000
0.215964712011
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Variable
2.94000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pass-Through Certifica
N/A
FRESB 2020-SB74 Mortgage Trust
30291SAJ2
22874299.53000000
PA
USD
1471986.34000000
0.148869943913
Long
ABS-MBS
USGSE
US
N
2
2040-03-25
Variable
1.18000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN22
000000000
221.00000000
NC
USD
155254.71000000
0.015701748950
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year US Treasury Note Future
TUM2 COMDTY
2022-06-30
47409815.49000000
USD
155254.71000000
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2018-C46
95001QAU5
6267600.00000000
PA
USD
6725208.13000000
0.680156690256
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
4.15000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust
9393365X7
2454327.61000000
PA
USD
2096582.12000000
0.212038695015
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.64000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
68213KAC9
579773.99000000
PA
USD
595378.09000000
0.060213808006
Long
ABS-O
CORP
US
N
2
2031-12-15
Fixed
5.69000000
N
N
N
N
N
N
WAMU Commercial Mortgage Securities Trust
N/A
WaMu Commercial Mortgage Securities Trust 2007-SL2
933632AF8
1148485.51000000
PA
USD
1148779.06000000
0.116182242717
Long
ABS-MBS
CORP
US
N
2
2049-12-27
Variable
2.15000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.AAA.13
000000000
7399200.00000000
OU
Notional Amount
USD
-44465.45000000
-0.00449703157
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.AAA.13
137BENAM8
Y
sell protection
2072-12-17
30438.61000000
USD
0.00000000
USD
7399200.00000000
USD
-74904.06000000
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505VZ2
2763465.63000000
PA
USD
2677997.44000000
0.270840372535
Long
ABS-O
CORP
US
N
2
2029-05-15
Variable
6.97000000
N
N
N
N
N
N
Hull Street CDO Ltd
549300W5TZ4WI4ZLP434
Hull Street CLO Ltd
444838AN6
3272471.28000000
PA
USD
3268347.97000000
0.330545716193
Long
ABS-CBDO
CORP
KY
N
2
2026-10-18
Floating
2.94000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BB.13
000000000
1860000.00000000
OU
Notional Amount
USD
238319.90000000
0.024102581105
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BB.13
137BEMAL2
Y
buy protection
2072-12-17
182990.46000000
USD
0.00000000
USD
1860000.00000000
USD
55329.44000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.7
000000000
1420000.00000000
OU
Notional Amount
USD
70996.83000000
0.007180293602
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.7
137BEOAG9
Y
buy protection
2047-01-18
89176.60000000
USD
0.00000000
USD
1420000.00000000
USD
-18179.77000000
N
N
N
JMP Credit Advisors CLO Ltd
54930013XSXE4PJVBQ28
JMP Credit Advisors Clo IV Ltd
46647YAL1
1726346.74000000
PA
USD
1724637.66000000
0.174421939075
Long
ABS-CBDO
CORP
KY
N
2
2029-07-17
Floating
1.52000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TCW9
989924.17000000
PA
USD
707957.04000000
0.071599526418
Long
ABS-O
CORP
US
N
2
2031-09-15
Variable
6.93000000
N
N
N
N
N
N
BankAmerica Manufactured Housing Contract Trust
N/A
BankAmerica Manufactured Housing Contract Trust
066053AD1
13743281.00000000
PA
USD
5192563.39000000
0.525152034111
Long
ABS-O
CORP
US
N
2
2025-08-10
Variable
8.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
NAVI CDS USD SR 5Y D14
000000000
3435200.00000000
OU
Notional Amount
USD
-137738.09000000
-0.01393019838
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
NAVIENT CORP
NAVIENT CORP
Y
buy protection
2022-12-21
0.00000000
USD
-264646.43000000
USD
3435200.00000000
USD
126908.34000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS33V3-5Y 35-100%
000000000
4185324.80769230
OU
Notional Amount
USD
575620.20000000
0.058215585675
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S33
2I65BRTK6
Y
sell protection
2024-12-21
442876.56000000
USD
0.00000000
USD
4185324.80769230
USD
132743.64000000
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp
20846QHQ4
5284242.79000000
PA
USD
5157035.21000000
0.521558877014
Long
ABS-O
CORP
US
N
2
2033-05-01
Variable
7.15000000
N
N
N
N
N
N
Nomura Asset Acceptance Corporation
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-S3
65535VNS3
137766.67000000
PA
USD
453626.26000000
0.045877678378
Long
ABS-O
CORP
US
N
2
2035-08-25
Floating
1.09000000
N
N
N
N
N
N
National Collegiate Commutation Trust
N/A
National Collegiate 2007-3 Commutation Trust
63544HAA1
8775000.00000000
PA
USD
2522812.50000000
0.255145679802
Long
ABS-O
CORP
US
N
3
2038-03-31
Floating
3.60000000
N
N
N
N
N
N
SLC Student Loan Trust
N/A
SLC Student Loan Trust 2008-2
78444NAD1
8744910.04000000
PA
USD
8570303.04000000
0.866761122854
Long
ABS-O
CORP
US
N
2
2021-06-15
Floating
1.10000000
N
N
N
N
N
N
SLM Student Loan Trust
549300MTK92VF84VT259
SLM Student Loan Trust 2008-9
78445JAA5
19342164.65000000
PA
USD
19377108.20000000
1.959711807471
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
1.76000000
N
N
N
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
OBC22H16USDP CDX NAHY S37 V1
000000000
67090000.00000000
NC
USD
290547.33000000
0.029384623719
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
67090000.00000000
OU
Notional Amount
N/A
290547.33000000
0.03000000
DCR
US
CDX.NA.HY.S37
2I65BRYQ7
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
67090000.00000000
USD
1.00000000
104.50000000
USD
2022-03-16
XXXX
-252881.67000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN22
000000000
-292.00000000
NC
USD
-365106.08000000
-0.03692515356
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 10 Year US Treasury Note
TYM2 COMDTY
2022-06-21
-36846643.92000000
USD
-365106.08000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ITRAXX-EUROPES34V1-5Y 12-100%
000000000
36846000.00000000
OU
Notional Amount
1303039.94000000
0.131783480262
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe S34
2I666VCX1
Y
sell protection
2025-12-21
1462845.95000000
EUR
0.00000000
EUR
36846000.00000000
EUR
-470883.12000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-28CB
02147TAA4
1710527.12000000
PA
USD
685297.03000000
0.069307796986
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.89000000
N
N
N
N
N
N
Bombardier Capital Mortgage Securitization Corp.
N/A
BCMSC Trust 1999-B
09774XBE1
8834022.76000000
PA
USD
1691792.21000000
0.171100100980
Long
ABS-O
CORP
US
N
2
2029-12-15
Variable
7.30000000
N
N
N
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CDP3
2805353.10000000
PA
USD
2796012.68000000
0.282775892371
Long
ABS-O
CORP
US
N
2
2023-01-25
Floating
0.32000000
N
N
N
N
N
N
Wellfleet CLO Ltd
N/A
Wellfleet CLO 2017-2A Ltd
94951MAJ2
14331096.31000000
PA
USD
14300943.68000000
1.446331820951
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
1.31000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2005-SA4 Trust
76111XYJ6
180133.87000000
PA
USD
172658.10000000
0.017461847956
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
3.26000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust 2006-S1
64352VQM6
13736548.12000000
PA
USD
577772.95000000
0.058433304932
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
0.39000000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VII Ltd
67108XAE7
1083456.00000000
PA
USD
110682.61000000
0.011193931285
Long
ABS-CBDO
CORP
KY
N
2
2026-07-17
None
0.00000000
N
N
N
N
N
N
AID-MOROCCO
529900F3MBW9XY5K1X07
Morocco Government AID Bond
617726AD6
2959178.64000000
PA
USD
2912162.41000000
0.294522743086
Long
DBT
NUSS
MA
N
3
2025-02-01
Floating
0.77000000
N
N
N
N
N
N
MASTR Second Lien Trust
N/A
MASTR Second Lien Trust 2006-1
57644DAR4
3750760.74000000
PA
USD
398705.87000000
0.040323282147
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
0.51000000
N
N
N
N
N
N
SLM Student Loan Trust
549300HIOV1ESFZYQ040
SLM Private Credit Student Loan Trust 2004-B
78443CBP8
9080000.00000000
PA
USD
8840464.15000000
0.894083977829
Long
ABS-O
CORP
US
N
2
2033-09-15
Floating
0.63000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN22
000000000
-22.00000000
NC
USD
-18547.25000000
-0.00187578375
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 5 Year US Treasury Note
FVM2 COMDTY
2022-06-30
-2583640.25000000
USD
-18547.25000000
N
N
N
Saranac CLO LTD
5493000LWP4BVD5LGS13
Saranac CLO III Ltd
803169AN1
1991024.78000000
PA
USD
1990955.09000000
0.201356061892
Long
ABS-CBDO
CORP
JE
N
2
2030-06-22
Floating
1.81000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TAU5
3948298.83000000
PA
USD
2929538.63000000
0.296280094243
Long
ABS-O
CORP
US
N
2
2030-03-15
Variable
7.61000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300VHRKFNCWVN9Y77
Wells Fargo Commercial Mortgage Trust 2018-C47
95002DBG3
1395022.00000000
PA
USD
1520216.58000000
0.153747729072
Long
ABS-MBS
CORP
US
N
2
2061-09-15
Fixed
4.44000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CCQ2
46800000.00000000
PA
USD
46873312.67000000
4.740551755534
Long
DBT
UST
US
N
1
2023-07-31
Floating
0.39000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.9
000000000
3425200.00000000
OU
Notional Amount
USD
375483.18000000
0.037974645842
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-18
955104.63000000
USD
0.00000000
USD
3425200.00000000
USD
-579621.45000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BB.13
000000000
3000000.00000000
OU
Notional Amount
USD
384386.93000000
0.038875130261
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BB.13
137BEMAL2
Y
buy protection
2072-12-17
295145.87000000
USD
0.00000000
USD
3000000.00000000
USD
89241.06000000
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2005-4
07324SCS9
1821376.46000000
PA
USD
1749835.52000000
0.176970335009
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.77000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS35V1-5Y 15-25%
000000000
4810000.00000000
OU
Notional Amount
USD
242379.43000000
0.024513143341
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S35
2I65BRYO2
Y
sell protection
2025-12-21
353535.00000000
USD
0.00000000
USD
4810000.00000000
USD
-111155.57000000
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2018-CHRS Mortgage Trust
05491VAL0
8448000.00000000
PA
USD
7014496.90000000
0.709414028993
Long
ABS-MBS
CORP
US
N
2
2038-08-05
Variable
4.27000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AA.7
000000000
5000000.00000000
OU
Notional Amount
USD
72533.15000000
0.007335669957
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AA.7
137BEPAG6
Y
buy protection
2047-01-18
7975.03000000
USD
0.00000000
USD
5000000.00000000
USD
64558.12000000
N
N
N
Access Group Inc
N/A
Access Group Inc 2005-A
00432CCC3
2367184.96000000
PA
USD
2304399.88000000
0.233056429646
Long
ABS-O
CORP
US
N
2
2034-07-25
Floating
1.06000000
N
N
N
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CBW0
2467397.30000000
PA
USD
2450581.74000000
0.247840592181
Long
ABS-O
CORP
US
N
2
2024-10-25
Floating
0.45000000
N
N
N
N
N
N
Venture CDO Ltd
549300MWRVTJN0X3KI79
Venture XVIII CLO Ltd
92329FAP2
3352500.00000000
PA
USD
3340940.58000000
0.337887399662
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
1.46000000
N
N
N
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
OBC22H16USDP2 CDX NAHY S37 V1
000000000
67090000.00000000
NC
USD
514102.62000000
0.051993979920
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
67090000.00000000
OU
Notional Amount
N/A
514102.62000000
0.05000000
DCR
US
CDX.NA.HY.S37
2I65BRYQ7
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
67090000.00000000
USD
1.00000000
105.50000000
USD
2022-03-16
XXXX
-224893.73000000
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2022-A
63942MAA8
4000000.00000000
PA
USD
3965112.40000000
0.401013273396
Long
ABS-O
CORP
US
N
2
2070-07-15
Fixed
2.23000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
OBA22H16USDP2 CDX S37 V1
000000000
-208870000.00000000
NC
USD
-811612.43000000
-0.08208275691
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
208870000.00000000
OU
Notional Amount
N/A
-811612.43000000
-0.08000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
208870000.00000000
USD
1.00000000
60.00000000
USD
2022-03-16
XXXX
-550524.93000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS29V1-5Y 25-35%
000000000
5115600.00000000
OU
Notional Amount
USD
244180.05000000
0.024695249786
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S29
2I65BROT2
Y
sell protection
2022-12-21
742273.56000000
USD
0.00000000
USD
5115600.00000000
USD
-498093.51000000
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAN0
8600000.00000000
PA
USD
8255083.24000000
0.834881238733
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.92000000
N
N
N
N
N
N
FirstKey Homes 2021-SFR3 Trust
N/A
FirstKey Homes 2021-SFR3 Trust
33768JAA9
8000000.00000000
PA
USD
7848654.40000000
0.793776890838
Long
ABS-O
CORP
US
N
2
2038-12-17
Fixed
2.14000000
N
N
N
N
N
N
Residential Funding Mortgage Securities II
N/A
Home Loan Trust 2006-HI4
43718MAD6
9760741.73000000
PA
USD
4680911.08000000
0.473405867300
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
5.72000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300REQJRID6TODX95
Wells Fargo Commercial Mortgage Trust 2018-C48
95001RAX7
7788283.00000000
PA
USD
8447004.29000000
0.854291253060
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Fixed
4.30000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.AAA.13
000000000
7399200.00000000
OU
Notional Amount
USD
-44465.45000000
-0.00449703157
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.AAA.13
137BENAM8
Y
sell protection
2072-12-17
30438.61000000
USD
0.00000000
USD
7399200.00000000
USD
-74904.06000000
N
N
N
JP Morgan ReRemic
N/A
JP Morgan Resecuritization Trust Series 2009-10
46634ACN2
305118.32000000
PA
USD
306099.67000000
0.030957516022
Long
ABS-MBS
CORP
US
N
2
2037-02-26
Variable
4.90000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 0.923 %
000000000
7450000.00000000
OU
Notional Amount
USD
115144.70000000
0.011645206592
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-12-10
0.00000000
USD
0.00000000
USD
7450000.00000000
USD
115144.70000000
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2021-1 Trust
21873LAA1
1060968.52000000
PA
USD
1012719.28000000
0.102421780906
Long
ABS-O
CORP
US
N
2
2053-04-15
Fixed
1.57000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ITRAXX-XOVERS34V2-5Y 35-100%
000000000
33204267.69000000
OU
Notional Amount
6594675.69000000
0.666955238250
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S34
2I667KJJ8
Y
sell protection
2025-12-21
6619449.64000000
EUR
0.00000000
EUR
33204267.69000000
EUR
-1220852.10000000
N
N
N
Keycorp Student Loan Trust
N/A
KeyCorp Student Loan Trust 2004-A
493268CB0
5622500.00000000
PA
USD
5353192.37000000
0.541397312069
Long
ABS-O
CORP
US
N
2
2042-07-28
Floating
1.52000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CBY6
30000000.00000000
PA
USD
30010012.80000000
3.035074987429
Long
DBT
UST
US
N
1
2023-04-30
Floating
0.39000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust 2021-4
92258DAA5
7696929.97000000
PA
USD
7506455.58000000
0.759168472434
Long
ABS-MBS
CORP
US
N
2
2051-12-26
Variable
2.52000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2007-1
07325MAA2
1885020.96000000
PA
USD
1808675.16000000
0.182921106201
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.41000000
N
N
N
N
N
N
Arcap Reit Inc
N/A
ARCap 2005-1 Resecuritization Trust
03927NAB9
8586000.00000000
PA
USD
2187798.66000000
0.221263917304
Long
ABS-CBDO
CORP
US
N
2
2042-12-21
Fixed
5.55000000
N
N
N
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
OBC22J20USDP2 CDX NAIG S37 V1
000000000
89230000.00000000
NC
USD
144502.63000000
0.014614332917
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
89230000.00000000
OU
Notional Amount
N/A
144502.63000000
0.01000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
89230000.00000000
USD
1.00000000
82.50000000
USD
2022-04-20
XXXX
-29495.87000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.BBB-.9
000000000
2585000.00000000
OU
Notional Amount
USD
283377.32000000
0.028659481809
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-18
63489.61000000
USD
0.00000000
USD
2585000.00000000
USD
219887.71000000
N
N
N
SLM Student Loan Trust
549300YULY9L7IV1S531
SLM Private Credit Student Loan Trust 2006-C
78443JAG4
2672290.95000000
PA
USD
2388934.85000000
0.241605908606
Long
ABS-O
CORP
US
N
2
2039-12-15
Floating
0.59000000
N
N
N
N
N
N
Halcyon Loan Advisors Funding Ltd
549300NL4H585I318G08
Halcyon Loan Advisors Funding 2014-3 Ltd
40538FAS2
127509.41000000
PA
USD
127538.61000000
0.012898669778
Long
ABS-CBDO
CORP
KY
N
2
2025-10-22
Floating
1.96000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2007-15N
52524VAG4
1132467.18000000
PA
USD
1107743.95000000
0.112032139990
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
0.44000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.13
000000000
1800000.00000000
OU
Notional Amount
USD
176450.74000000
0.017845418162
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.13
137BERAM9
Y
buy protection
2072-12-17
66662.45000000
USD
0.00000000
USD
1800000.00000000
USD
109788.29000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS29V1-5Y 25-35%
000000000
4264000.00000000
OU
Notional Amount
USD
203531.11000000
0.020584202520
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S29
2I65BROT2
Y
sell protection
2022-12-21
644716.80000000
USD
0.00000000
USD
4264000.00000000
USD
-441185.69000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AAA.10
000000000
1700000.00000000
OU
Notional Amount
USD
4685.19000000
0.000473838617
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AAA.10
137BENAJ5
Y
sell protection
2059-11-18
15499.65000000
USD
0.00000000
USD
1700000.00000000
USD
-10814.46000000
N
N
N
Lehman Brothers Small Balance Commercial
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust 2006-1
86359DZM2
1269805.07000000
PA
USD
1266579.51000000
0.128096039678
Long
ABS-MBS
CORP
US
N
2
2031-04-25
Floating
0.72000000
N
N
N
N
N
N
American Home Mortgage Investment Trust
N/A
American Home Mortgage Investment Trust 2006-2
02660YAB8
17720614.09000000
PA
USD
575866.80000000
0.058240525667
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.55000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ITRAXX-EUROPES32V1-5Y
000000000
29470000.00000000
OU
Notional Amount
-535439.82000000
-0.05415192641
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe S32
2I666VCV5
Y
buy protection
2024-12-21
0.00000000
EUR
-779432.43000000
EUR
29470000.00000000
EUR
323807.39000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.7325 %
000000000
2100000.00000000
OU
Notional Amount
USD
-14336.13000000
-0.00144989040
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-02-16
0.00000000
USD
0.00000000
USD
2100000.00000000
USD
-14336.13000000
N
N
N
National Collegiate Student Loan Trust
635400VQIBXGEB9ZUC59
National Collegiate Student Loan Trust 2007-2
63543LAD7
3906729.79000000
PA
USD
3714170.20000000
0.375634130788
Long
ABS-O
CORP
US
N
2
2033-01-25
Floating
0.48000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAN3
9000000.00000000
PA
USD
8080794.90000000
0.817254515783
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Variable
4.08000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAIGS28V1-5Y
000000000
17200000.00000000
OU
Notional Amount
USD
-528841.98000000
-0.05348465115
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.IG.S28
2I65BYDN2
Y
sell protection
2022-06-21
0.00000000
USD
-300981.50000000
USD
17200000.00000000
USD
-227860.48000000
N
N
N
IndyMac INDA Mortgage Loan Trust
N/A
IndyMac INDA Mortgage Loan Trust 2007-AR1
45669AAA2
1146827.61000000
PA
USD
1063789.26000000
0.107586764338
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
3.01000000
N
N
N
N
N
N
Residential Funding Mortgage Securities II
N/A
Home Equity Loan Trust 2005-HS1
76110VRX8
4332782.29000000
PA
USD
687915.84000000
0.069572651413
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
5.61000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS31V14-5Y 15-25%
000000000
3941000.00000000
OU
Notional Amount
USD
-89889.98000000
-0.00909106009
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S31
2I65BRYE4
Y
buy protection
2023-12-21
0.00000000
USD
-15369.94000000
USD
3941000.00000000
USD
-74520.04000000
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CBZ3
6454704.47000000
PA
USD
6121943.80000000
0.619145304124
Long
ABS-O
CORP
US
N
2
2043-01-25
Floating
0.96000000
N
N
N
N
N
N
Crestline Denali CLO XVI, Ltd.
2549008AB2W065F6TK51
Crestline Denali CLO XVI Ltd
22615EAA8
6093000.00000000
PA
USD
6049697.05000000
0.611838599348
Long
ABS-CBDO
CORP
KY
N
2
2030-01-20
Floating
1.37000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.9
000000000
2500000.00000000
OU
Notional Amount
USD
-24156.84000000
-0.00244311194
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
0.00000000
USD
-74373.60000000
USD
2500000.00000000
USD
50216.76000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ITRAXX-EUROPES32V1-5Y 12-100%
000000000
58940000.00000000
OU
Notional Amount
1689125.14000000
0.170830365758
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe S32
2I666VCV5
Y
sell protection
2024-12-21
2405383.48000000
EUR
0.00000000
EUR
58940000.00000000
EUR
-977163.44000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-25234.84000000
-0.00255213592
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2098566.50000000
USD
1845528.00000000
EUR
2022-04-21
-25234.84000000
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-1
07324SDF6
2255015.44000000
PA
USD
2140936.91000000
0.216524534944
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.73000000
N
N
N
N
N
N
Whitehorse Ltd
549300UT33WDDDZEYN84
WhiteHorse X Ltd
96525WAR4
4042250.00000000
PA
USD
4043503.10000000
0.408941349082
Long
ABS-CBDO
CORP
KY
N
2
2027-04-17
Floating
3.24000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust
93936PAF5
10267998.61000000
PA
USD
10383008.41000000
1.050089826001
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
4404441.24000000
NS
USD
4404441.24000000
0.445444976322
Long
STIV
RF
US
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS29V1-5Y 15-25%
000000000
6425250.00000000
OU
Notional Amount
USD
-267615.59000000
-0.02706541276
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S29
2I65BROT2
Y
buy protection
2022-12-21
0.00000000
USD
-282711.00000000
USD
6425250.00000000
USD
15095.41000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.12
000000000
2949240.00000000
OU
Notional Amount
USD
273264.08000000
0.027636675122
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.12
137BERAL1
Y
buy protection
2061-08-18
116574.69000000
USD
0.00000000
USD
2949240.00000000
USD
156689.39000000
N
N
N
Wells Fargo Commercial Mortgage Trust
549300KFTBTHU5DFH733
Wells Fargo Commercial Mortgage Trust 2013-BTC
94988MAG5
4317000.00000000
PA
USD
4177214.68000000
0.422464324719
Long
ABS-MBS
CORP
US
N
2
2035-04-16
Variable
3.55000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS31V14-5Y 25-35%
000000000
2866000.00000000
OU
Notional Amount
USD
235678.27000000
0.023835418769
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S31
2I65BRYE4
Y
sell protection
2023-12-21
293765.13000000
USD
0.00000000
USD
2866000.00000000
USD
-58086.86000000
N
N
N
National Collegiate Student Loan Trust
635400MZY2WMKATC8Y90
National Collegiate Student Loan Trust 2007-3
63544DAH5
25000.00000000
PA
USD
20750.00000000
0.002098559784
Long
ABS-O
CORP
US
N
3
2038-03-25
Variable
3.68000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan Trust
N/A
GMACM Home Equity Loan Trust 2004-HE3
361856DL8
834644.81000000
PA
USD
801858.04000000
0.081096242673
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
0.69000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
549300P1YQ48837ZOI22
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10
61762MBW0
3710000.00000000
PA
USD
3767103.58000000
0.380987569945
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
4.07000000
N
N
N
N
N
N
Lehman Brothers Small Balance Commercial
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3
52521UAJ3
3300000.00000000
PA
USD
3322112.31000000
0.335983194832
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Variable
4.31000000
N
N
N
N
N
N
National Collegiate II Commutation Trust
N/A
National Collegiate II Commutation Trust
63543CAA3
7625000.00000000
PA
USD
2125468.75000000
0.214960156221
Long
ABS-O
CORP
US
N
3
2038-03-25
Floating
0.56000000
N
N
N
N
N
N
L2L Education Loan Trust
N/A
L2L Education Loan Trust 2006-1
50246NAD0
556482.17000000
PA
USD
555244.72000000
0.056154903125
Long
ABS-O
CORP
US
N
2
2028-10-15
Floating
0.69000000
N
N
N
N
N
N
RBSSP Resecuritization Trust
N/A
RBSSP Resecuritization Trust 2009-6
74928XGD7
2888258.29000000
PA
USD
2836675.44000000
0.286888337328
Long
ABS-MBS
CORP
US
N
2
2035-05-26
Variable
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796S59
235000.00000000
PA
USD
234445.60000000
0.023710752181
Long
STIV
UST
US
N
1
2022-07-28
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
NAVI CDS USD SR 5Y D14
000000000
2700000.00000000
OU
Notional Amount
USD
-108259.45000000
-0.01094886400
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
NAVIENT CORP
NAVIENT CORP
Y
buy protection
2022-12-21
0.00000000
USD
-277471.44000000
USD
2700000.00000000
USD
169211.99000000
N
N
N
WAMU Commercial Mortgage Securities Trust
N/A
WaMu Commercial Mortgage Securities Trust 2006-SL1
933633AG4
2550000.00000000
PA
USD
2511927.48000000
0.254044818827
Long
ABS-MBS
CORP
US
N
2
2043-11-23
Variable
1.74000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS31V14-5Y 25-35%
000000000
4657000.00000000
OU
Notional Amount
USD
382956.63000000
0.038730476282
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S31
2I65BRYE4
Y
sell protection
2023-12-21
492477.83000000
USD
0.00000000
USD
4657000.00000000
USD
-109521.20000000
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust
933638AD0
1096838.52000000
PA
USD
1089148.59000000
0.110151490608
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
1.47000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust 2006-S1
64352VQN4
20890595.36000000
PA
USD
878330.46000000
0.088830312323
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
0.59000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
DHI CDS USD SR 5Y D14
000000000
17200000.00000000
OU
Notional Amount
USD
-79579.10000000
-0.00804826500
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
D.R. HORTON INC
D.R. HORTON INC
Y
buy protection
2022-06-21
0.00000000
USD
-165249.93000000
USD
17200000.00000000
USD
85670.83000000
N
N
N
LB Commercial Conduit Mortgage Trust
N/A
LB Commercial Conduit Mortgage Trust
501773BL8
232768.64000000
PA
USD
232317.42000000
0.023495517822
Long
ABS-MBS
CORP
US
N
2
2030-02-18
Fixed
6.30000000
N
N
N
N
N
N
Telos CLO Ltd
5493001KXOX6VRHBB435
Telos CLO 2014-5 Ltd
87974KAY0
4335500.00000000
PA
USD
4299996.59000000
0.434881923687
Long
ABS-CBDO
CORP
KY
N
2
2028-04-17
Floating
2.39000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2004-11
07386HMR9
1652789.47000000
PA
USD
1657892.79000000
0.167671669195
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
1.09000000
N
N
N
N
N
N
JFIN CLO Ltd
2549009ITDOWQA202P03
JFIN CLO 2012 Ltd
46616AAU0
4320000.00000000
PA
USD
4285889.28000000
0.433455175088
Long
ABS-CBDO
CORP
KY
N
2
2028-07-20
Floating
2.60000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.A.9
000000000
6822400.00000000
OU
Notional Amount
USD
-65923.05000000
-0.00666715477
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
89487.13000000
USD
0.00000000
USD
6822400.00000000
USD
-155410.18000000
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505K35
2604548.37000000
PA
USD
2596049.47000000
0.262552530884
Long
ABS-O
CORP
US
N
2
2030-06-01
Variable
6.63000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS33V1-5Y 35-100%
000000000
25938065.93307700
OU
Notional Amount
USD
3567339.55000000
0.360784352610
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S33
2I65BRSB7
Y
sell protection
2024-12-21
5736851.92000000
USD
0.00000000
USD
25938065.93307700
USD
-2169512.37000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.9
000000000
2500000.00000000
OU
Notional Amount
USD
274059.31000000
0.027717101035
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-18
290109.65000000
USD
0.00000000
USD
2500000.00000000
USD
-16050.34000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ITRAXX-XOVERS34V2-5Y
000000000
10451689.38000000
OU
Notional Amount
-1001608.54000000
-0.10129809164
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S34
2I667KJJ8
Y
buy protection
2025-12-21
0.00000000
EUR
-1306705.06000000
EUR
10451689.38000000
EUR
540760.23000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AA.6
000000000
5000000.00000000
OU
Notional Amount
USD
77190.74000000
0.007806717237
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AA.6
137BEPAF8
Y
buy protection
2063-05-12
35144.63000000
USD
0.00000000
USD
5000000.00000000
USD
42046.11000000
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAL1
4213000.00000000
PA
USD
3708676.94000000
0.375078567678
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Variable
2.94000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796S42
24000000.00000000
PA
USD
23948974.56000000
2.422089392165
Long
STIV
UST
US
N
1
2022-07-21
None
0.00000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.AA.8
000000000
8892000.00000000
OU
Notional Amount
USD
-33173.18000000
-0.00335498320
N/A
DCR
US
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.AA.8
137BEPAH4
Y
buy protection
2057-10-18
247717.22000000
USD
0.00000000
USD
8892000.00000000
USD
-280890.40000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BB.14
000000000
1360000.00000000
OU
Notional Amount
USD
125342.27000000
0.012676542028
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BB.14
137BEMAM0
Y
buy protection
2072-12-17
75914.75000000
USD
0.00000000
USD
1360000.00000000
USD
49427.52000000
N
N
N
GMO US Treasury Fund
0NIBQB0NDRTFX04R2J69
GMO US Treasury Fund
362013369
2183242.19800000
NS
USD
10938043.41000000
1.106223519008
Long
STIV
RF
US
N
1
N
N
N
COMM Mortgage Trust
N/A
COMM 2018-COR3 Mortgage Trust
12595VAD9
4186852.00000000
PA
USD
4492264.01000000
0.454326968287
Long
ABS-MBS
CORP
US
N
2
2051-05-10
Fixed
4.23000000
N
N
N
N
N
N
Gallatin Funding Ltd
N/A
Gallatin CLO IX 2018-1 Ltd
36361WAC0
8161387.43000000
PA
USD
8160440.71000000
0.825309527536
Long
ABS-CBDO
CORP
KY
N
2
2028-01-21
Floating
1.31000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
674135DG0
1312943.79000000
PA
USD
1302553.28000000
0.131734261703
Long
ABS-O
CORP
US
N
2
2028-05-15
Variable
7.50000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.BBB-.9
000000000
5116800.00000000
OU
Notional Amount
USD
560922.67000000
0.056729144933
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-18
584727.09000000
USD
0.00000000
USD
5116800.00000000
USD
-23804.42000000
N
N
N
AID-MOROCCO
529900F3MBW9XY5K1X07
Morocco Government AID Bond
617726AE4
3750000.00000000
PA
USD
3679120.31000000
0.372089345747
Long
DBT
NUSS
MA
N
3
2026-10-29
Floating
0.93000000
N
N
N
N
N
N
2022-03-30
GMO TRUST
Betty Maganzini
Betty Maganzini
Treasurer