0001752724-24-092615.txt : 20240426
0001752724-24-092615.hdr.sgml : 20240426
20240426151159
ACCESSION NUMBER: 0001752724-24-092615
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240229
FILED AS OF DATE: 20240426
DATE AS OF CHANGE: 20240426
PERIOD START: 20240229
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: GMO TRUST
CENTRAL INDEX KEY: 0000772129
ORGANIZATION NAME:
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: 24882756
BUSINESS ADDRESS:
STREET 1: 53 STATE STREET
STREET 2: FLOOR 33
CITY: BOSTON
STATE: MA
ZIP: 02109
BUSINESS PHONE: 6173467646
MAIL ADDRESS:
STREET 1: 53 STATE STREET
STREET 2: FLOOR 33
CITY: BOSTON
STATE: MA
ZIP: 02109
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
53 State Street, 33rd Floor
BOSTON
02109
617-346-7646
GMO Opportunistic Income Fund
S000007516
5493000NQRD0885G4P95
2024-02-29
2024-02-29
N
1607178047.71
175220215.30
1431957832.41
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
3300978.91000000
0.00000000
0.00000000
8065496.88000000
USD
N
JP Morgan ABS Total Index
JXABSTRE
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TCF6
5200511.78000000
PA
USD
4983892.26000000
0.348047417821
Long
ABS-O
CORP
US
N
2
2031-03-15
Variable
7.92000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.8.BBB-)_SGO57V17US01
000000000
1444000.00000000
OU
Notional Amount
USD
156433.33000000
0.010924436911
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.BBB-.8
137BERAH0
Y
buy protection
2057-10-18
216864.04000000
USD
0.00000000
USD
1444000.00000000
USD
-60430.71000000
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-A
64035DAB2
2507572.28000000
PA
USD
2270524.70000000
0.158560863218
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
1.36000000
N
N
N
N
N
N
Whitebox CLO I Ltd
549300C89ZJ5IWOT1F21
Whitebox Clo II Ltd
96466CAL2
1360000.00000000
PA
USD
1360095.20000000
0.094981511970
Long
ABS-CBDO
CORP
KY
N
2
2034-10-24
Floating
6.80000000
N
N
N
N
N
N
Keycorp Student Loan Trust
N/A
KeyCorp Student Loan Trust 2005-A
493268CL8
7837446.05000000
PA
USD
7477486.26000000
0.522186204842
Long
ABS-O
CORP
US
N
2
2038-12-27
Floating
6.91000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/CDS: (CMBX.NA.11.AA)_SMO54X18US01
000000000
4624500.00000000
OU
Notional Amount
USD
73198.33000000
0.005111765747
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
140477.78000000
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2006-AR5
17309FAU2
3627661.40000000
PA
USD
2018718.84000000
0.140976137307
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
4.46000000
N
N
N
N
N
N
Venture CDO Ltd
549300EDZDHKTKE7JV77
Venture XXIV CLO Ltd
92330WBL0
9000000.00000000
PA
USD
8946189.00000000
0.624752265570
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
7.08000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
225458RW0
41634.08000000
PA
USD
41542.54000000
0.002901100790
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
2421565.54000000
PA
USD
2361229.81000000
0.164895205470
Long
ABS-O
CORP
US
N
2
2033-12-26
Floating
5.98000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SDB47F17US01
000000000
7608000.00000000
OU
Notional Amount
USD
335.17000000
0.000023406415
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.AS.7
137BETAB9
Y
buy protection
2047-01-18
0.00000000
USD
-119898.94000000
USD
7608000.00000000
USD
120234.11000000
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-3
07324NAA1
3110834.78000000
PA
USD
2941083.37000000
0.205388964914
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.81000000
N
N
N
N
N
N
National Collegiate Student Loan Trust
635400VHKJCABQGBTP36
National Collegiate Student Loan Trust 2006-4
63543WAD3
3007423.41000000
PA
USD
2914550.27000000
0.203536040240
Long
ABS-O
CORP
US
N
2
2032-05-25
Floating
5.75000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust 2022-1
92258XAA1
1665731.56000000
PA
USD
1450663.13000000
0.101306274330
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
3.38000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
549300DNB16HFXTEDZ43
Bayview Commercial Asset Trust 2008-1
07324AAF8
1421648.97000000
PA
USD
1365210.79000000
0.095338756428
Long
ABS-MBS
CORP
US
N
2
2038-01-25
Floating
6.94000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
674135EB0
3709163.44000000
PA
USD
3567931.85000000
0.249164589155
Long
ABS-O
CORP
US
N
2
2029-01-15
Fixed
7.42000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.9.A)_SCI58U17US0A
000000000
2500000.00000000
OU
Notional Amount
USD
-147118.86000000
-0.01027396594
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
0.00000000
USD
-74373.60000000
USD
2500000.00000000
USD
-72745.26000000
N
N
N
ZAIS CLO 15 LTD
549300BTYXZYFTGVBO58
Zais Clo 15 Ltd
98888DAN2
7200000.00000000
PA
USD
7201555.20000000
0.502916708649
Long
ABS-CBDO
CORP
KY
N
2
2032-07-28
Floating
6.93000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF12
32027GAA4
2307977.97000000
PA
USD
2124331.70000000
0.148351554209
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
5.54000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-OA2
3622NCAA4
11373554.32000000
PA
USD
6646442.42000000
0.464150708182
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Variable
3.48000000
N
N
N
N
N
N
Bombardier Capital Mortgage Securitization Corp.
N/A
BCMSC Trust 1999-A
09774XAX0
3687669.54000000
PA
USD
3431217.20000000
0.239617195586
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
19000000.00000000
PA
USD
16369738.80000000
1.143171846928
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
6872352.80000000
0.479927037267
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
221100.56000000
PA
USD
220911.14000000
0.015427209866
Long
ABS-O
CORP
US
N
2
2041-12-27
Floating
6.09000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.8.BBB-)_SGO57V17US02
000000000
4224000.00000000
OU
Notional Amount
USD
457600.00000000
0.031956248266
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.BBB-.8
137BERAH0
Y
buy protection
2057-10-18
400908.43000000
USD
0.00000000
USD
4224000.00000000
USD
56691.57000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2007-4
126379AF3
3686107.07000000
PA
USD
2012871.01000000
0.140567757265
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
Ocean Trails CLO
6354007VXPN9E9WVUW39
Ocean Trails CLO 8
67514UAL5
10000000.00000000
PA
USD
10005440.00000000
0.698724485703
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
6.80000000
N
N
N
N
N
N
HARVEST COMMERCIAL CAPITAL LOAN TRUST
N/A
Harvest Commercial Capital Loan Trust 2019-1
41753CAF3
3500000.00000000
PA
USD
3068133.95000000
0.214261473386
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Variable
5.73000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VIVA
12433XAG4
8000000.00000000
PA
USD
6710244.80000000
0.468606312848
Long
ABS-MBS
CORP
US
N
2
2044-03-11
Variable
3.55000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.7.A)
000000000
10000000.00000000
OU
Notional Amount
USD
482416.84000000
0.033689318852
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.7
137BEOAG9
Y
buy protection
2047-01-18
593750.00000000
USD
0.00000000
USD
10000000.00000000
USD
-111333.16000000
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C12
90353DAZ8
7933000.00000000
PA
USD
7583346.68000000
0.529578909962
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
4.30000000
N
N
N
N
N
N
Residential Asset Mortgage Products, INC.
N/A
RAMP Series 2005-RS1 Trust
76112BJH4
2785104.02000000
PA
USD
2590687.33000000
0.180919247156
Long
ABS-O
CORP
US
N
2
2035-01-25
Floating
6.64000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CDX.NA.HY.33 15-25%)
000000000
5355000.00000000
OU
Notional Amount
USD
-239901.22000000
-0.01675337182
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CDX.NA.HY.S33
2I65BRZB9
Y
buy protection
2024-12-21
121558.84000000
USD
0.00000000
USD
5355000.00000000
USD
-361460.06000000
N
N
N
Collegiate Funding Services Education Loan Trust
N/A
Collegiate Funding Services Education Loan Trust 2005B
19458LBJ8
2701925.88000000
PA
USD
2320668.20000000
0.162062607394
Long
ABS-O
CORP
US
N
2
2035-03-28
Floating
5.93000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SMO47F17US00
000000000
13270000.00000000
OU
Notional Amount
USD
584.61000000
0.000040825922
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.AS.7
137BETAB9
Y
buy protection
2047-01-18
205782.23000000
USD
0.00000000
USD
13270000.00000000
USD
-205197.62000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.7.AA)
000000000
5000000.00000000
OU
Notional Amount
USD
-119420.29000000
-0.00833965130
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.AA.7
137BEPAG6
Y
sell protection
2047-01-18
0.00000000
USD
-125000.00000000
USD
5000000.00000000
USD
5579.71000000
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-SP2
07325KAA6
7496044.81000000
PA
USD
6974373.31000000
0.487051584351
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.86000000
N
N
N
N
N
N
American Home Mortgage Assets
N/A
American Home Mortgage Assets Trust 2006-4
02660LAB6
6961457.56000000
PA
USD
3639120.74000000
0.254136026748
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
5.65000000
N
N
N
N
N
N
Signal Peak CLO, LLC
N/A
Signal Peak CLO 5 Ltd
56844YAA5
8577796.84000000
PA
USD
8582428.85000000
0.599349272426
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
6.70000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust 2006-S1
64352VQC8
7734416.60000000
PA
USD
210954.67000000
0.014731905173
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
5.78000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CDX.NA.HY.33 35-100%)_SCI24Z20US00
000000000
4201343.08000000
OU
Notional Amount
USD
207167.18000000
0.014467407860
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CDX.NA.HY.S33
2I65BRZB9
Y
sell protection
2024-12-21
444571.56000000
USD
0.00000000
USD
4201343.07594000
USD
-237404.38000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.14.BBB-)
000000000
1360000.00000000
OU
Notional Amount
USD
244380.89000000
0.017066207151
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.BBB-.14
137BERAN7
Y
buy protection
2072-12-17
340000.00000000
USD
0.00000000
USD
1360000.00000000
USD
-95619.11000000
N
N
N
SLM Student Loan Trust
549300JQFJDGC1WO7674
SLM Student Loan Trust 2008-6
78445CAD4
4009812.94000000
PA
USD
3975602.02000000
0.277634014774
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
6.72000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912797JM0
40000000.00000000
PA
USD
39770550.00000000
2.777354828463
Long
STIV
UST
US
N
1
2024-04-09
None
0.00000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
68213KAB1
1957164.90000000
PA
USD
1748781.83000000
0.122125232351
Long
ABS-O
CORP
US
N
2
2019-11-15
Fixed
5.05000000
N
N
N
N
N
N
Merrill Lynch First Franklin Mortgage Loan Trust
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-H1
59025TAD5
1218185.98000000
PA
USD
1150119.84000000
0.080317996380
Long
ABS-O
CORP
US
N
2
2037-10-25
Floating
8.44000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAA1
8000000.00000000
PA
USD
7071837.60000000
0.493857950279
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.20000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CDX.NA.HY.33 35-100%)_SCI24Z20US04
000000000
10598035.85000000
OU
Notional Amount
USD
522586.51000000
0.036494546010
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CDX.NA.HY.S33
2I65BRZB9
Y
sell protection
2024-12-21
1827631.42000000
USD
0.00000000
USD
10598035.85000000
USD
-1305044.91000000
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2019-BPR
05492PAA6
5600000.00000000
PA
USD
5173846.16000000
0.361312745591
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
2763000.00000000
PA
USD
2749185.00000000
0.191987846134
Long
ABS-O
CORP
US
N
3
2032-06-15
Variable
8.30000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp Trust 2006-CC1
36228CYQ0
192974.50000000
PA
USD
140871.39000000
0.009837677256
Long
ABS-MBS
CORP
US
N
2
2046-03-21
Variable
5.33000000
N
N
N
N
N
N
Northwoods Capital Ltd
549300VSNJNLNM3KF997
Northwoods Capital XVII Ltd
66860PAA2
5510166.49000000
PA
USD
5512800.35000000
0.384983427949
Long
ABS-CBDO
CORP
KY
N
2
2031-04-22
Floating
6.64000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pass-Through Certifica
N/A
FRESB 2020-SB76 Mortgage Trust
30315EAE6
108129534.36000000
PA
USD
3540117.70000000
0.247222203047
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.17000000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp
20846QJT6
5112848.48000000
PA
USD
4910651.68000000
0.342932701568
Long
ABS-O
CORP
US
N
2
2033-12-01
Variable
9.55000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2004-J11
12667FXJ9
241344.44000000
PA
USD
231672.20000000
0.016178702665
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
5.50000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TDY4
2705277.17000000
PA
USD
2526222.99000000
0.176417414872
Long
ABS-O
CORP
US
N
2
2032-11-15
Variable
6.89000000
N
N
N
N
N
N
National Collegiate Student Loan Trust
635400ZLDAQQL4PJBJ98
National Collegiate Student Loan Trust 2006-1
63543PCD6
7179264.17000000
PA
USD
6909559.32000000
0.482525334448
Long
ABS-O
CORP
US
N
2
2033-03-25
Floating
5.79000000
N
N
N
N
N
N
National Collegiate Student Loan Trust
635400RGALHFSPGKCR23
National Collegiate Student Loan Trust 2007-1
63543XAD1
15278334.77000000
PA
USD
14599119.59000000
1.019521612967
Long
ABS-O
CORP
US
N
2
2033-10-25
Floating
5.74000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN24
000000000
513.00000000
NC
USD
32668.35000000
0.002281376536
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year U.S. Treasury Notes
TYM4 Comdty
2024-06-18
56621769.15000000
USD
32668.35000000
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-8
92538GAA0
5119761.54000000
PA
USD
4368688.94000000
0.305085027025
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
1.82000000
N
N
N
N
N
N
Zais Matrix CDO I
549300PRQCSTFU7VEI08
Zais Clo 18 Ltd
98885NAA1
10000000.00000000
PA
USD
9991790.00000000
0.697771245343
Long
ABS-CBDO
CORP
KY
N
2
2035-01-25
Floating
6.84000000
N
N
N
N
N
N
AMSR Trust
549300164ZV2301BC703
AMSR 2020-SFR5 Trust
03217JAA9
6000000.00000000
PA
USD
5606749.20000000
0.391544295027
Long
ABS-O
CORP
US
N
2
2037-11-17
Fixed
1.38000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-1
07324SDG4
714635.67000000
PA
USD
650512.70000000
0.045428202233
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
6.01000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
BMO3E90V6 GMO
000000000
10060000.00000000
NC
USD
76985.46000000
0.005376237921
N/A
DCR
GB
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
10060000.00000000
OU
Notional Amount
N/A
76985.46000000
0.01000000
DCR
GB
CDX.NA.HY.S41
2I65BRAB1
buy protection
2028-12-20
0.00000000
N/A
0.00000000
N/A
10060000.00000000
USD
1.00000000
1.06000000
USD
2024-04-17
XXXX
-10059.70000000
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAJ2
4895000.00000000
PA
USD
4297843.78000000
0.300137593630
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.86000000
N
N
N
N
N
N
Steele Creek CLO Ltd
5493003PZ3HX9NW9PS65
Steele Creek CLO 2016-1 Ltd
858102AX4
8034396.79000000
PA
USD
8034420.89000000
0.561079433217
Long
ABS-CBDO
CORP
KY
N
2
2031-06-15
Floating
6.77000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust
63942TAB1
2268447.94000000
PA
USD
2288370.13000000
0.159807089161
Long
ABS-O
CORP
US
N
2
2072-03-15
Floating
7.02000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F052631
39620000.00000000
PA
USD
39191025.94000000
2.736884079473
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
Fixed
5.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)_SDB58U17US03
000000000
1184200.00000000
OU
Notional Amount
USD
174916.21000000
0.012215178830
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-18
143659.65000000
USD
0.00000000
USD
1184200.00000000
USD
31256.56000000
N
N
N
South Carolina Student Loan Corporation
N/A
South Carolina Student Loan Corp 2015-A
83715RAH5
1225039.39000000
PA
USD
1225946.90000000
0.085613338064
Long
ABS-O
CORP
US
N
2
2036-01-25
Floating
6.94000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-7CB
12668BXS7
1523943.21000000
PA
USD
645980.63000000
0.045111707578
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
6.00000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pass-Through Certifica
N/A
FRESB 2020-SB77 Mortgage Trust
30316AAJ2
68703464.32000000
PA
USD
1799694.12000000
0.125680664560
Long
ABS-MBS
USGSE
US
N
2
2040-06-25
Variable
0.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Floating Rate Notes
91282CJD4
10300000.00000000
PA
USD
10298635.04000000
0.719199602593
Long
DBT
UST
US
N
1
2025-10-31
Floating
5.50000000
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust 2023-D
98164DAD9
2500000.00000000
PA
USD
2539917.50000000
0.177373763564
Long
ABS-O
CORP
US
N
2
2029-02-15
Fixed
5.79000000
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
28444242.05000000
PA
USD
521510.96000000
0.036419435558
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.70000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579QX9
4427080.28000000
PA
USD
3626817.34000000
0.253276825470
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
6.48000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)
000000000
6000000.00000000
OU
Notional Amount
USD
886250.00000000
0.061890788956
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-18
1110000.00000000
USD
0.00000000
USD
6000000.00000000
USD
-223750.00000000
N
N
N
Zais Clo 7 llc
549300XFDOUEB0QTZS87
Zais Clo 7 Ltd
98887VAA1
2336869.06000000
PA
USD
2337420.56000000
0.163232499386
Long
ABS-CBDO
CORP
KY
N
2
2030-04-15
Floating
6.87000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.15.BBB-)
000000000
5000000.00000000
OU
Notional Amount
USD
782859.13000000
0.054670543523
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.BBB-.15
137BERAO5
Y
buy protection
2064-11-18
787499.99000000
USD
0.00000000
USD
5000000.00000000
USD
-4640.86000000
N
N
N
Venture CDO Ltd
549300UP09C89Q3HWD39
Venture 32 CLO Ltd
92325QAA5
4941982.06000000
PA
USD
4919026.55000000
0.343517556080
Long
ABS-CBDO
CORP
KY
N
2
2031-07-18
Floating
6.66000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MP3S8
4180821.45000000
PA
USD
3850405.86000000
0.268891008719
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300FE2YWO5PJ3Q820
SLM Private Credit Student Loan Trust 2005-B
78443CCB8
10616044.56000000
PA
USD
10394243.54000000
0.725876370430
Long
ABS-O
CORP
US
N
2
2039-06-15
Floating
5.98000000
N
N
N
N
N
N
Residential Funding Mortgage Securities II
N/A
Home Loan Trust 2007-HI1
43718WAD4
8950534.05000000
PA
USD
1442974.67000000
0.100769354888
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
6.43000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B34 Mortgage Trust
08161YBG7
14500000.00000000
PA
USD
12722014.35000000
0.888434984750
Long
ABS-MBS
CORP
US
N
2
2055-04-15
Variable
3.79000000
N
N
N
N
N
N
OFSI Fund LTD
254900VR4BMP1BVIS878
OFSI BSL VIII Ltd
67111CAN8
9800000.00000000
PA
USD
9800009.80000000
0.684378378901
Long
ABS-CBDO
CORP
KY
N
2
2029-08-16
Floating
7.08000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B8 Mortgage Trust
08162UAW0
7760120.00000000
PA
USD
7260463.72000000
0.507030553251
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Fixed
4.23000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2007-4
41164YAB7
6219125.35000000
PA
USD
5651023.18000000
0.394636144451
Long
ABS-MBS
CORP
US
N
2
2047-07-19
Floating
5.65000000
N
N
N
N
N
N
SLM Student Loan Trust
54930054KUX5HFXZUQ43
SLM Private Credit Student Loan Trust 2004-A
78443CBH6
3582198.57000000
PA
USD
3559714.54000000
0.248590737759
Long
ABS-O
CORP
US
N
2
2033-06-15
Floating
6.05000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) JUN24
000000000
35.00000000
NC
USD
30244.34000000
0.002112097110
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT U.S. Long Bond Futures
USM4 Comdty
2024-06-18
4143505.66000000
USD
30244.34000000
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2006-A7CB
76113NAP8
15289342.19000000
PA
USD
4120959.33000000
0.287784963825
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.50000000
N
N
N
N
N
N
Bombardier Capital Mortgage Securitization Corp.
N/A
BCMSC Trust 2000-A
09774XBQ4
2928136.86000000
PA
USD
343635.01000000
0.023997564887
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
8.29000000
N
N
N
N
N
N
Man GLG US CLO 2018-1 Ltd
N/A
Man GLG US CLO
26829CAY3
11518600.01000000
PA
USD
11513220.82000000
0.804019542993
Long
ABS-CBDO
CORP
KY
N
2
2030-04-22
Floating
6.72000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN24
000000000
168.00000000
NC
USD
50090.21000000
0.003498022697
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Ultra 10-Year U.S. Treasury Notes Futures
UXYM4 Comdty
2024-06-18
19130784.79000000
USD
50090.21000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN24
000000000
1149.00000000
NC
USD
233083.84000000
0.016277283780
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year U.S. Treasury Notes
FVM4 Comdty
2024-06-28
122602197.41000000
USD
233083.84000000
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505XH0
2030096.26000000
PA
USD
1994472.33000000
0.139282895407
Long
ABS-O
CORP
US
N
2
2029-01-15
Variable
7.21000000
N
N
N
N
N
N
ELP 2021-ELP
N/A
ELP Commercial Mortgage Trust 2021-ELP
26863LAA2
5563524.19000000
PA
USD
5507888.95000000
0.384640442989
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
6.13000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F060634
27020000.00000000
PA
USD
27132694.48000000
1.894797030044
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
Fixed
6.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2018-TALL Mortgage Trust
05548WAA5
11857600.00000000
PA
USD
11283712.32000000
0.787991941146
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
6.24000000
N
N
N
N
N
N
Asset Backed Funding Certificates
N/A
ABFC 2005-AQ1 Trust
04542BMT6
996373.38000000
PA
USD
946933.33000000
0.066128576454
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
4.27000000
N
N
N
N
N
N
National Collegiate Student Loan Trust
635400WP3MSHUIUNQS85
National Collegiate Student Loan Trust 2005-2
63543PBU9
2616280.30000000
PA
USD
2532392.67000000
0.176848271135
Long
ABS-O
CORP
US
N
2
2033-06-25
Floating
5.81000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.7.A)_SCI47F17US00
000000000
1420000.00000000
OU
Notional Amount
USD
68503.20000000
0.004783883886
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.7
137BEOAG9
Y
buy protection
2047-01-18
89176.60000000
USD
0.00000000
USD
1420000.00000000
USD
-20673.40000000
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2005-A8CB
45660LSU4
2659129.23000000
PA
USD
1519777.18000000
0.106132816595
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.00000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-18CB
12667GFE8
2287646.59000000
PA
USD
2129525.14000000
0.148714235279
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
Halcyon Loan Advisors Funding Ltd
549300U92YP85EMXX728
Halcyon Loan Advisors Funding 2014-2 Ltd
40538BAJ1
33055.94000000
PA
USD
33058.75000000
0.002308639909
Long
ABS-CBDO
CORP
KY
N
2
2025-04-28
Floating
9.08000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2014-RR2
05543DCC6
904929.24000000
PA
USD
868859.30000000
0.060676318836
Long
ABS-MBS
CORP
US
N
2
2037-05-26
Variable
2.71000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2005-2
07324SBN1
2567042.13000000
PA
USD
2387859.25000000
0.166754857996
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
5.90000000
N
N
N
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
2791794.71000000
NS
USD
2791794.71000000
0.194963472164
Long
STIV
RF
US
N
1
N
N
N
National Collegiate Student Loan Trust
6354004HZIMK13WCED04
National Collegiate Student Loan Trust 2007-4
63544EAL4
75000.00000000
PA
USD
57000.00000000
0.003980564141
Long
ABS-O
CORP
US
N
3
2038-03-25
Variable
8.93000000
N
N
N
N
N
N
Telos CLO Ltd
5493001KXOX6VRHBB435
Telos CLO 2014-5 Ltd
87974KAW4
1850676.92000000
PA
USD
1848517.18000000
0.129090196524
Long
ABS-CBDO
CORP
KY
N
2
2028-04-17
Floating
7.06000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TBW0
11752083.86000000
PA
USD
2336710.32000000
0.163182900160
Long
ABS-O
CORP
US
N
2
2030-07-15
Variable
7.40000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-5
89169EAB5
6972000.00000000
PA
USD
7048383.84000000
0.492220069646
Long
ABS-MBS
CORP
US
N
2
2057-02-25
Floating
5.91000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-9
362382AF0
10694712.60000000
PA
USD
2110742.70000000
0.147402573750
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.76000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040632
400000.00000000
PA
USD
372240.05000000
0.025995182370
Long
ABS-MBS
USGA
US
N
2
2054-03-20
Fixed
4.00000000
N
N
N
N
N
N
Fieldstone Mortgage Investment Corp.
549300VDVZHMT2SH4W85
Fieldstone Mortgage Investment Trust Series 2004-4
31659TCE3
4417395.91000000
PA
USD
2763530.83000000
0.192989679406
Long
ABS-O
CORP
US
N
2
2035-10-25
Floating
7.99000000
N
N
N
N
N
N
Mellon Residential Funding Corporation
N/A
Mellon Re-REMIC Pass-Through Trust 2004-TBC1
58552RAA8
145450.70000000
PA
USD
130272.31000000
0.009097496242
Long
ABS-MBS
CORP
US
N
2
2034-02-26
Floating
5.69000000
N
N
N
N
N
N
WAMU Commercial Mortgage Securities Trust
N/A
WaMu Commercial Mortgage Securities Trust 2007-SL3
93364LAM0
11594960.00000000
PA
USD
10013663.70000000
0.699298783341
Long
ABS-MBS
CORP
US
N
2
2045-03-23
Variable
5.84000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-2
07324YAC3
2004522.97000000
PA
USD
1875278.75000000
0.130959076276
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.86000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust Series 2003-B
64352VES6
1028082.38000000
PA
USD
999098.68000000
0.069771515430
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
6.41000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
SWAP/CDSWAP/CDS: (CDX.NA.HY.33 35-100%)_SJP24Z20US04
000000000
10394872.31000000
OU
Notional Amount
USD
512568.56000000
0.035794947895
N/A
DCR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
CDX.NA.HY.S33
2I65BRZB9
Y
sell protection
2024-12-21
1704759.06000000
USD
0.00000000
USD
10394872.31000000
USD
-1192190.50000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B32 Mortgage Trust
08163NBJ3
13880000.00000000
PA
USD
11524655.61000000
0.804818085362
Long
ABS-MBS
CORP
US
N
2
2055-01-15
Variable
3.00000000
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAA5
14600000.00000000
PA
USD
11716992.02000000
0.818249794428
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Fixed
2.69000000
N
N
N
N
N
N
Gracechurch Mortgage Finance Plc
N/A
Grace Trust 2020-GRCE
38406JAA6
2000000.00000000
PA
USD
1608070.80000000
0.112298753748
Long
ABS-MBS
CORP
US
N
2
2040-12-10
Fixed
2.35000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR2
45661EAA2
6991051.81000000
PA
USD
5669422.13000000
0.395921025164
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
5.88000000
N
N
N
N
N
N
Taubman Centers Commercial Mortgage Trust
N/A
Taubman Centers Commercial Mortgage Trust 2022-DPM
87666YAA5
7130000.00000000
PA
USD
7147825.00000000
0.499164489220
Long
ABS-MBS
CORP
US
N
2
2037-05-15
Floating
7.50000000
N
N
N
N
N
N
Carrington Mortgage Loan Trust
N/A
Carrington Mortgage Loan Trust Series 2007-RFC1
144526AC4
476664.93000000
PA
USD
458829.27000000
0.032042093671
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
5.58000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR10 Trust
74333WAA0
1522195.63000000
PA
USD
1339156.17000000
0.093519246146
Long
ABS-O
CORP
US
N
2
2040-12-17
Fixed
2.39000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust
93935EAG9
4071592.58000000
PA
USD
1377204.38000000
0.096176322293
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
4.15000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/CDS: (CMBX.NA.8.BBB-)
000000000
3153000.00000000
OU
Notional Amount
USD
341575.00000000
0.023853705204
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.BBB-.8
137BERAH0
Y
buy protection
2057-10-18
665755.95000000
USD
0.00000000
USD
3153000.00000000
USD
-324180.95000000
N
N
N
IndyMac INDA Mortgage Loan Trust
N/A
IndyMac INDA Mortgage Loan Trust 2006-AR3
45662FAA8
1178906.22000000
PA
USD
905837.82000000
0.063258693761
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
4.26000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VINO
05608KAA8
6114651.77000000
PA
USD
6053744.34000000
0.422759958637
Long
ABS-MBS
CORP
US
N
2
2038-05-01
Floating
6.08000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2004-AC5
073879GM4
1660474.36000000
PA
USD
1519505.23000000
0.106113825114
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
5.75000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2007-3
07325YAA6
2210752.92000000
PA
USD
1986602.91000000
0.138733338722
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.80000000
N
N
N
N
N
N
GM Financial Securitized Term Auto Receivables Tr
N/A
GM Financial Consumer Automobile Receivables Trust 2021-3
380140AD5
7500000.00000000
PA
USD
7047556.50000000
0.492162292805
Long
ABS-O
CORP
US
N
2
2027-08-16
Fixed
0.73000000
N
N
N
N
N
N
Lehman ABS Manufactured Housing Contract
N/A
Lehman ABS Manufactured Housing Contract Trust 2001-B
52519SAM5
3571116.11000000
PA
USD
3076553.31000000
0.214849434834
Long
ABS-O
CORP
US
N
2
2040-04-15
Variable
7.17000000
N
N
N
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CBX8
11807041.17000000
PA
USD
11306007.02000000
0.789548879450
Long
ABS-O
CORP
US
N
2
2032-04-26
Floating
5.96000000
N
N
N
N
N
N
SLM Student Loan Trust
549300IQIXBXDNPLSE92
SLM Private Credit Student Loan Trust 2003-C
78443CBE3
5400349.58000000
PA
USD
1552081.53000000
0.108388773389
Long
ABS-O
CORP
US
N
2
2032-09-15
Floating
7.25000000
N
N
N
N
N
N
SLM Student Loan Trust
549300IZGFDRVV7YTH38
SLM Student Loan Trust 2007-7
78444EAD1
7092869.68000000
PA
USD
6938160.72000000
0.484522697733
Long
ABS-O
CORP
US
N
2
2022-01-25
Floating
5.95000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust 2006-2
61748HVW8
1608140.44000000
PA
USD
715946.38000000
0.049997727851
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
6.50000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2007-2
07325XAA8
4722903.65000000
PA
USD
4289273.56000000
0.299539096956
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.84000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2019-C51
95001VAU4
2030000.00000000
PA
USD
1822530.35000000
0.127275420319
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Fixed
3.31000000
N
N
N
N
N
N
SLM Student Loan Trust
549300EQOYJZL2D96G46
SLM Student Loan Trust 2008-4
78445AAD8
13641649.73000000
PA
USD
13652528.95000000
0.953416968083
Long
ABS-O
CORP
US
N
2
2022-07-25
Floating
7.27000000
N
N
N
N
N
N
Lehman Brothers Small Balance Commercial
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2
52521VAG7
1796485.63000000
PA
USD
1772935.86000000
0.123812015959
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.84000000
N
N
N
N
N
N
Bank of America Auto Trust
N/A
Bank of America Auto Trust 2023-2
06054YAC1
5000000.00000000
PA
USD
5058329.50000000
0.353245702178
Long
ABS-O
CORP
US
N
2
2028-06-15
Fixed
5.74000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-ACNT
05609QAA4
6303619.47000000
PA
USD
6262251.97000000
0.437320976097
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
6.28000000
N
N
N
N
N
N
SLM Student Loan Trust
549300SRMXHPGI3BJ386
SLM Student Loan Trust 2008-5
78444YAD7
4945456.30000000
PA
USD
4952859.65000000
0.345880272302
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
7.32000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-HYB6
12669GBA8
916869.14000000
PA
USD
848830.39000000
0.059277610749
Long
ABS-MBS
CORP
US
N
2
2034-11-20
Variable
5.28000000
N
N
N
N
N
N
Mountain View CLO Ltd
N/A
Mountain View CLO 2013-1 Ltd
62431UBD3
4000000.00000000
PA
USD
3999868.00000000
0.279328616350
Long
ABS-CBDO
CORP
KY
N
2
2030-10-12
Floating
7.26000000
N
N
N
N
N
N
Lehman Brothers Small Balance Commercial
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust 2006-1
86359DZP5
60506.97000000
PA
USD
60452.87000000
0.004221693448
Long
ABS-MBS
CORP
US
N
2
2031-04-25
Floating
6.44000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.10.AAA)_SGO59X17US04
000000000
7540000.00000000
OU
Notional Amount
USD
-15258.43000000
-0.00106556419
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.AAA.10
137BENAJ5
Y
sell protection
2059-11-18
68960.05000000
USD
0.00000000
USD
7540000.00000000
USD
-84218.48000000
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2021-A
00971AAA0
2460253.96000000
PA
USD
2143216.29000000
0.149670349328
Long
ABS-MBS
CORP
US
N
2
2065-09-25
Variable
1.07000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SWAP/CDSWAP/ICE: (CDX.NA.HY.39.V1)
000000000
3920000.00000000
OU
Notional Amount
USD
-294167.16000000
-0.02054300436
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S39
2I65BRZH6
Y
buy protection
2027-12-21
0.00000000
USD
-78498.99000000
USD
3920000.00000000
USD
-215668.17000000
N
N
N
OZLM Ltd
549300SDDOLWC85Q9Q65
OZLM XXII Ltd
67111VAE6
2190000.00000000
PA
USD
2191408.17000000
0.153035803178
Long
ABS-CBDO
CORP
KY
N
2
2031-01-17
Floating
7.08000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2014-GC23
17322VAW6
4446000.00000000
PA
USD
4327328.70000000
0.302196657056
Long
ABS-MBS
CORP
US
N
2
2047-07-10
Variable
4.18000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan Trust
N/A
GMACM Home Equity Loan Trust 2007-HE3
36186MAC5
1834367.27000000
PA
USD
1620244.70000000
0.113148911464
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
783623.21000000
PA
USD
91932.01000000
0.006420022148
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.72000000
N
N
N
N
N
N
Bravo Mortgage Asset Trust
N/A
Bravo Mortgage Asset Trust
105667AD1
11205843.60000000
PA
USD
9770010.84000000
0.682283417770
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
6.04000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)_SMO58U17US00
000000000
5116800.00000000
OU
Notional Amount
USD
755794.00000000
0.052780464821
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
171066.91000000
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C9
90291JAW7
5268100.00000000
PA
USD
4915398.60000000
0.343264200156
Long
ABS-MBS
CORP
US
N
2
2051-03-15
Variable
4.12000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36270GAA9
5000000.00000000
PA
USD
4840930.50000000
0.338063760708
Long
ABS-MBS
CORP
US
N
2
2038-09-10
Variable
4.32000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust 2021-4
92258DAK3
1593193.25000000
PA
USD
1220701.80000000
0.085247049345
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
111138.58000000
PA
USD
121776.72000000
0.008504211314
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.76000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/CDS: (CMBX.NA.8.A)
000000000
2000000.00000000
OU
Notional Amount
USD
41581.31000000
0.002903808272
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.A.8
137BEOAH7
Y
buy protection
2057-10-18
107500.00000000
USD
0.00000000
USD
2000000.00000000
USD
-65918.69000000
N
N
N
Whitehorse Ltd
N/A
Whitehorse XII Ltd
96525YAC3
6822566.57000000
PA
USD
6824442.78000000
0.476581266957
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
6.83000000
N
N
N
N
N
N
Zais CLO 8, Limited
549300XI7G6FVIEXZ367
Zais CLO 8 Ltd
98885GAC2
4621562.34000000
PA
USD
4613576.28000000
0.322186601838
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
7.03000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-NQM1
126416AA4
6545977.14000000
PA
USD
5657383.00000000
0.395080279038
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
2.27000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2022-5
924921AA7
5295887.81000000
PA
USD
4904141.99000000
0.342478100891
Long
ABS-MBS
CORP
US
N
2
2067-04-25
Variable
3.80000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
225458RV2
52047.81000000
PA
USD
52029.14000000
0.003633426824
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Floating
5.69000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
BMO3D6CL2 GMODUB
000000000
-122850000.00000000
NC
USD
-22350.10000000
-0.00156080713
N/A
DCR
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
122850000.00000000
OU
Notional Amount
N/A
-22350.10000000
0.00000000
DCR
US
CDX.NA.IG.S41
2I65BYED3
sell protection
2028-12-20
0.00000000
N/A
0.00000000
N/A
122850000.00000000
USD
1.00000000
0.75000000
USD
2024-04-17
XXXX
20647.40000000
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust 2006-2
437084TB2
2222643.92000000
PA
USD
2175681.68000000
0.151937552262
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
6.01000000
N
N
N
N
N
N
SLM Student Loan Trust
549300I2YWZ9E1B0EY33
SLM Private Credit Student Loan Trust 2006-A
78443CCL6
17352885.05000000
PA
USD
16839394.09000000
1.175969969846
Long
ABS-O
CORP
US
N
2
2039-06-15
Floating
5.94000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Floating Rate Notes
91282CFD8
47000000.00000000
PA
USD
46997776.43000000
3.282064273561
Long
DBT
UST
US
N
1
2024-07-31
Floating
5.36000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/CDS: (CMBX.NA.11.AA)_SMO54X18US00
000000000
4624500.00000000
OU
Notional Amount
USD
73198.33000000
0.005111765747
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
134569.74000000
N
N
N
WAMU Commercial Mortgage Securities Trust
N/A
WaMu Commercial Mortgage Securities Trust 2007-SL2
933632AG6
1249738.08000000
PA
USD
1230612.84000000
0.085939181458
Long
ABS-MBS
CORP
US
N
2
2049-12-27
Variable
6.20000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR10 Trust
92922FW46
663061.62000000
PA
USD
588886.97000000
0.041124602741
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.72000000
N
N
N
N
N
N
SMRT
N/A
SMRT 2022-MINI
78457JAA0
15700000.00000000
PA
USD
15543000.00000000
1.085436990406
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
6.32000000
N
N
N
N
N
N
SLM Student Loan Trust
549300ZTEFT8CS12SF95
SLM Private Credit Student Loan Trust 2005-A
78443CBV5
14421279.34000000
PA
USD
14195948.29000000
0.991366363498
Long
ABS-O
CORP
US
N
2
2038-12-15
Floating
5.96000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
BMO3CLPQ5 GMO
000000000
-9828000.00000000
NC
USD
-1655.23000000
-0.00011559209
N/A
DCR
GB
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
9828000.00000000
OU
Notional Amount
N/A
-1655.23000000
0.00000000
DCR
GB
CDX.NA.HY.S41
2I65BRAB1
sell protection
2028-12-20
0.00000000
N/A
0.00000000
N/A
9828000.00000000
USD
1.00000000
1.01000000
USD
2024-03-20
XXXX
8074.49000000
N
N
N
SLM Student Loan Trust
549300IQIXBXDNPLSE92
SLM Private Credit Student Loan Trust 2003-C
78443CBA1
1350000.00000000
PA
USD
1343250.00000000
0.093805136547
Long
ABS-O
CORP
US
N
3
2032-09-15
Variable
8.07000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.6.AA)_SGO62Q17US00
000000000
4703648.34000000
OU
Notional Amount
USD
73271.37000000
0.005116866456
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.AA.6
137BEPAF8
Y
buy protection
2063-05-12
34885.32000000
USD
0.00000000
USD
4703648.34000000
USD
38386.05000000
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2005-9
07387AEG6
447953.25000000
PA
USD
411565.74000000
0.028741470641
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
7.67000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AV6N7
7500000.00000000
PA
USD
7502898.08000000
0.523960825534
Long
DBT
USGSE
US
N
1
2024-09-04
Floating
5.41000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B9 Mortgage Trust
08160JAE7
16000000.00000000
PA
USD
14874412.80000000
1.038746565250
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
4.02000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/CDS: (CMBX.NA.9.A)
000000000
10000000.00000000
OU
Notional Amount
USD
-588475.42000000
-0.04109586236
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
0.00000000
USD
-918750.00000000
USD
10000000.00000000
USD
330274.58000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.11.AA)_
000000000
4000000.00000000
OU
Notional Amount
USD
63313.51000000
0.004421464694
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.AA.11
137BEPAK7
Y
buy protection
2054-11-19
0.00000000
USD
-6040.84000000
USD
4000000.00000000
USD
69354.35000000
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-5
89169EAA7
1405715.50000000
PA
USD
1427348.62000000
0.099678118146
Long
ABS-MBS
CORP
US
N
2
2057-02-25
Floating
5.91000000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp
20846QJZ2
5636247.91000000
PA
USD
5372832.23000000
0.375208830064
Long
ABS-O
CORP
US
N
2
2033-03-01
Variable
9.16000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)
000000000
1752000.00000000
OU
Notional Amount
USD
258785.00000000
0.018072110375
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-18
402960.00000000
USD
0.00000000
USD
1752000.00000000
USD
-144175.00000000
N
N
N
MHC Commercial Mortgage Trust
N/A
MHC Trust 2021-MHC2
55293AAA5
4889023.14000000
PA
USD
4858466.75000000
0.339288395233
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
6.28000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022436
-40000000.00000000
PA
USD
-36286546.40000000
-2.53405132321
Short
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
2.50000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-2
07324YAB5
979961.10000000
PA
USD
914068.03000000
0.063833446021
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.78000000
N
N
N
N
N
N
Nissan Auto Receivables Owner Trust
N/A
Nissan Auto Receivables 2023-B Owner Trust
65480MAD5
14800000.00000000
PA
USD
15022671.92000000
1.049100160632
Long
ABS-O
CORP
US
N
2
2028-03-15
Fixed
5.93000000
N
N
N
N
N
N
Towd Point Asset Trust 2018-SL1
54930022FYEFQVX02P24
Towd Point Asset Trust 2018-SL1
89174UAB2
8300400.00000000
PA
USD
8247380.36000000
0.575951342514
Long
ABS-O
CORP
US
N
2
2046-01-25
Floating
6.49000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.6.A)
000000000
15000000.00000000
OU
Notional Amount
USD
734857.08000000
0.051318346348
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.6
137BEOAF1
Y
buy protection
2063-05-12
750469.81000000
USD
0.00000000
USD
15000000.00000000
USD
-15612.73000000
N
N
N
FRESB Multifamily Mortgage Pass-Through Certifica
N/A
FRESB 2020-SB74 Mortgage Trust
30291SAJ2
49056238.40000000
PA
USD
1557545.38000000
0.108770338395
Long
ABS-MBS
USGSE
US
N
2
2040-03-25
Variable
1.10000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2018-C46
95001QAU5
7599384.00000000
PA
USD
7177100.67000000
0.501208939785
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
4.15000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.14.BBB-)
000000000
3933500.00000000
OU
Notional Amount
USD
706817.80000000
0.049360238409
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.14
137BERAN7
Y
buy protection
2072-12-17
1111213.76000000
USD
0.00000000
USD
3933500.00000000
USD
-404395.96000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B2 Mortgage Trust
08161CAE1
4848114.00000000
PA
USD
4525038.11000000
0.316003586668
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
3.88000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2019-SFR1 Trust
89612LAA4
11170306.48000000
PA
USD
10573049.18000000
0.738363165499
Long
ABS-O
CORP
US
N
2
2038-03-17
Fixed
2.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050631
720000.00000000
PA
USD
703226.70000000
0.049109455885
Long
ABS-MBS
USGA
US
N
2
2054-03-20
Fixed
5.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.11.AA)_SCI54X18US00
000000000
4626000.00000000
OU
Notional Amount
USD
73222.08000000
0.005113424316
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.AA.11
137BEPAK7
Y
buy protection
2054-11-19
0.00000000
USD
-63740.47000000
USD
4626000.00000000
USD
136962.55000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CDX.NA.HY.33 15-25%)
000000000
8140000.00000000
OU
Notional Amount
USD
-364667.77000000
-0.02546637629
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CDX.NA.HY.S33
2I65BRAA2
Y
buy protection
2024-12-21
0.00000000
USD
-196490.37000000
USD
8140000.00000000
USD
-168177.40000000
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust
9393365X7
1916846.44000000
PA
USD
1593701.78000000
0.111295301015
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
5.50000000
N
N
N
N
N
N
UCFC Manufactured Housing Contract
N/A
UCFC Manufactured Housing Contract
90263ABY5
2779337.72000000
PA
USD
2548251.35000000
0.177955753467
Long
ABS-O
CORP
US
N
2
2029-10-15
Fixed
6.73000000
N
N
N
N
N
N
GM Financial Securitized Term Auto Receivables Tr
N/A
GM Financial Consumer Automobile Receivables Trust 2024-1
36268GAD7
6000000.00000000
PA
USD
5979291.00000000
0.417560549945
Long
ABS-O
CORP
US
N
2
2028-12-18
Fixed
4.85000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
68213KAC9
404227.43000000
PA
USD
368781.17000000
0.025753633357
Long
ABS-O
CORP
US
N
2
2031-12-15
Fixed
5.69000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
BMO3AWKK1 GMODUB
000000000
-9852000.00000000
NC
USD
-1659.27000000
-0.00011587422
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
9852000.00000000
OU
Notional Amount
N/A
-1659.27000000
0.00000000
DCR
US
CDX.NA.HY.S41
2I65BRAB1
sell protection
2028-12-20
0.00000000
N/A
0.00000000
N/A
9852000.00000000
USD
1.00000000
1.01000000
USD
2024-03-20
XXXX
14677.81000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050437
-20000000.00000000
PA
USD
-19829363.80000000
-1.38477288584
Short
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SBA47F17US00
000000000
4505000.00000000
OU
Notional Amount
USD
198.47000000
0.000013860045
N/A
DCR
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
CMBX.NA.AS.7
137BETAB9
Y
buy protection
2047-01-18
47351.78000000
USD
0.00000000
USD
4505000.00000000
USD
-47153.31000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B19 Mortgage Trust
08162WBC9
8623000.00000000
PA
USD
6917388.71000000
0.483072095660
Long
ABS-MBS
CORP
US
N
2
2053-09-15
Fixed
1.85000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TCW9
2819480.02000000
PA
USD
1417837.27000000
0.099013898168
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
2585454.74000000
0.180553832067
Long
ABS-O
CORP
US
N
2
2025-08-10
Variable
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B8CS6
5070249.73000000
PA
USD
4265141.73000000
0.297853863672
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Fixed
2.50000000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp
20846QHQ4
5640421.07000000
PA
USD
5328122.80000000
0.372086571224
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
10725.00000000
PA
USD
287282.53000000
0.020062219954
Long
ABS-O
CORP
US
N
3
2035-08-25
Floating
6.35000000
N
N
N
N
N
N
National Collegiate Commutation Trust
N/A
National Collegiate 2007-3 Commutation Trust
63544HAA1
8775000.00000000
PA
USD
1974375.00000000
0.137879409247
Long
ABS-O
CORP
US
N
3
2038-03-31
Variable
8.64000000
N
N
N
N
N
N
SLC Student Loan Trust
N/A
SLC Student Loan Trust 2008-2
78444NAD1
5755805.95000000
PA
USD
5681886.44000000
0.396791463505
Long
ABS-O
CORP
US
N
2
2021-06-15
Floating
6.51000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
BMO3AWKJ4 GMODUB
000000000
9852000.00000000
NC
USD
27818.21000000
0.001942669635
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
9852000.00000000
OU
Notional Amount
N/A
27818.21000000
0.00000000
DCR
US
CDX.NA.HY.S41
2I65BRAB1
buy protection
2028-12-20
0.00000000
N/A
0.00000000
N/A
9852000.00000000
USD
1.00000000
1.05750000
USD
2024-03-20
XXXX
-89223.55000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.12.AA)_SGO61Q17US01
000000000
6974000.00000000
OU
Notional Amount
USD
155668.03000000
0.010870992600
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.AA.12
137BEPAL5
Y
buy protection
2061-08-18
0.00000000
USD
-61731.75000000
USD
6974000.00000000
USD
217399.78000000
N
N
N
SLM Student Loan Trust
549300MJYMBTZU2FTV38
SLM Private Credit Student Loan Trust 2006-B
78443CCY8
1864893.97000000
PA
USD
1798924.46000000
0.125626915771
Long
ABS-O
CORP
US
N
2
2039-12-15
Floating
5.85000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-28CB
02147TAA4
1559822.72000000
PA
USD
637860.02000000
0.044544609175
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
6.14000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050635
1910000.00000000
PA
USD
1852104.10000000
0.129340687140
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
Fixed
5.00000000
N
N
N
N
N
N
Bombardier Capital Mortgage Securitization Corp.
N/A
BCMSC Trust 1999-B
09774XBE1
8834022.76000000
PA
USD
928305.61000000
0.064827719712
Long
ABS-O
CORP
US
N
2
2029-12-15
Variable
7.30000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B7 Mortgage Trust
08162TBB8
3244000.00000000
PA
USD
3108305.10000000
0.217066803899
Long
ABS-MBS
CORP
US
N
2
2053-05-15
Variable
4.51000000
N
N
N
N
N
N
Wellfleet CLO Ltd
N/A
Wellfleet CLO 2017-2A Ltd
94951MAJ2
3349435.85000000
PA
USD
3352463.74000000
0.234117490342
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
6.64000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust 2006-S1
64352VQM6
13559149.01000000
PA
USD
369981.72000000
0.025837473117
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
5.64000000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VII Ltd
67108XAE7
1083456.00000000
PA
USD
65295.56000000
0.004559880083
Long
ABS-CBDO
CORP
KY
N
2
2026-07-17
None
0.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2020-GC46
17328RAZ2
2000000.00000000
PA
USD
1738491.80000000
0.121406633676
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
2.72000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust 2006-AR1
07401LAA1
5548454.06000000
PA
USD
4846562.41000000
0.338457062094
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.86000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.13.AA)
000000000
3000000.00000000
OU
Notional Amount
USD
97224.82000000
0.006789642669
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.AA.13
137BEPAM3
Y
buy protection
2072-12-17
138947.63000000
USD
0.00000000
USD
3000000.00000000
USD
-41722.81000000
N
N
N
AID-MOROCCO
529900F3MBW9XY5K1X07
Morocco Government AID Bond
617726AD6
987500.00000000
PA
USD
980043.24000000
0.068440789094
Long
DBT
NUSS
MA
N
3
2025-02-01
Floating
5.69000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030633
380000.00000000
PA
USD
333116.82000000
0.023263032783
Long
ABS-MBS
USGA
US
N
2
2054-03-20
Fixed
3.00000000
N
N
N
N
N
N
MASTR Second Lien Trust
N/A
MASTR Second Lien Trust 2006-1
57644DAR4
3567796.41000000
PA
USD
239326.71000000
0.016713251227
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
5.76000000
N
N
N
N
N
N
SLM Student Loan Trust
549300HIOV1ESFZYQ040
SLM Private Credit Student Loan Trust 2004-B
78443CBP8
8413197.54000000
PA
USD
8304054.81000000
0.579909172047
Long
ABS-O
CORP
US
N
2
2033-09-15
Floating
6.08000000
N
N
N
N
N
N
Saranac CLO LTD
5493000LWP4BVD5LGS13
Saranac CLO III Ltd
803169AN1
1130113.47000000
PA
USD
1130415.21000000
0.078941934211
Long
ABS-CBDO
CORP
JE
N
2
2030-06-22
Floating
7.23000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TAU5
6809063.03000000
PA
USD
3688828.96000000
0.257607373381
Long
ABS-O
CORP
US
N
2
2030-03-15
Variable
7.61000000
N
N
N
N
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2023-B
78449HAF4
1000.00000000
PA
USD
888188.01000000
0.062026128835
Long
ABS-O
CORP
US
N
3
2056-10-16
None
0.00000000
N
N
N
N
N
N
Daiwa Capital Markets America, Inc.
M67H5PRC0NQKM73ZAS82
REPO DAIWA
000000000
309951950.00000000
PA
USD
309951950.00000000
21.64532662797
Long
RA
CORP
US
N
2
Repurchase
N
5.30000000
2024-03-01
341000000.00000000
USD
316810312.50000000
USD
UST
N
N
N
SLM Student Loan Trust
549300T563MF7L069881
SLM Private Credit Student Loan Trust 2007-A
78443DAD4
14471026.67000000
PA
USD
14260345.89000000
0.995863535031
Long
ABS-O
CORP
US
N
2
2041-12-16
Floating
5.89000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.8.A)
000000000
5000000.00000000
OU
Notional Amount
USD
103953.28000000
0.007259521031
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.8
137BEOAH7
Y
buy protection
2057-10-18
262500.00000000
USD
0.00000000
USD
5000000.00000000
USD
-158546.72000000
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2005-4
07324SCS9
1309123.80000000
PA
USD
1218241.55000000
0.085075239118
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
6.02000000
N
N
N
N
N
N
Venture CDO Ltd
549300MYRV6PEDBLPL32
Venture 34 CLO Ltd
92332CAA7
5815889.11000000
PA
USD
5823147.34000000
0.406656341981
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
6.81000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2018-CHRS Mortgage Trust
05491VAL0
11037000.00000000
PA
USD
7784434.73000000
0.543621785070
Long
ABS-MBS
CORP
US
N
2
2038-08-05
Variable
4.27000000
N
N
N
N
N
N
Access Group Inc
N/A
Access Group Inc 2005-A
00432CCC3
1099258.11000000
PA
USD
1073874.92000000
0.074993473669
Long
ABS-O
CORP
US
N
2
2034-07-25
Floating
6.39000000
N
N
N
N
N
N
Venture CDO Ltd
549300MWRVTJN0X3KI79
Venture XVIII CLO Ltd
92329FAP2
693959.77000000
PA
USD
694321.32000000
0.048487553493
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
6.80000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2022-A
63942MAA8
3549335.15000000
PA
USD
3112175.61000000
0.217337098869
Long
ABS-O
CORP
US
N
2
2070-07-15
Fixed
2.23000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.15.AAA)
000000000
2825000.00000000
OU
Notional Amount
USD
-43060.10000000
-0.00300707877
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.AAA.15
137BENAO4
Y
sell protection
2064-11-19
0.00000000
USD
-43464.56000000
USD
2825000.00000000
USD
404.46000000
N
N
N
MHC Commercial Mortgage Trust
N/A
MHC Commercial Mortgage Trust 2021-MHC
55316VAA2
3446311.71000000
PA
USD
3423695.29000000
0.239091907073
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
6.23000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CDX.NA.HY.33 35-100%)_SGO24Z20US00
000000000
25937869.22000000
OU
Notional Amount
USD
1278989.87000000
0.089317565158
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CDX.NA.HY.S33
2I65BRZB9
Y
sell protection
2024-12-21
5736853.23000000
USD
0.00000000
USD
25937869.22000000
USD
-4457863.36000000
N
N
N
FirstKey Homes 2021-SFR3 Trust
N/A
FirstKey Homes 2021-SFR3 Trust
33768JAA9
6496562.26000000
PA
USD
5966602.60000000
0.416674462400
Long
ABS-O
CORP
US
N
2
2038-12-17
Fixed
2.14000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SGO47F17US00
000000000
4400000.00000000
OU
Notional Amount
USD
193.84000000
0.000013536711
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.AS.7
137BETAB9
Y
buy protection
2047-01-18
112812.23000000
USD
0.00000000
USD
4400000.00000000
USD
-112618.39000000
N
N
N
Residential Funding Mortgage Securities II
N/A
Home Loan Trust 2006-HI4
43718MAD6
8412791.28000000
PA
USD
2503286.62000000
0.174815665890
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
6.22000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.15.A)
000000000
5000000.00000000
OU
Notional Amount
USD
354057.93000000
0.024725443863
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.15
137BEOAO2
Y
buy protection
2064-11-19
600000.01000000
USD
0.00000000
USD
5000000.00000000
USD
-245942.08000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN24
000000000
5.00000000
NC
USD
5366.81000000
0.000374788270
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term U.S. Treasury Bond Futures
WNM4 Comdty
2024-06-18
634008.19000000
USD
5366.81000000
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRUST
5493000F7E2NMQ4HIO61
WFRBS Commercial Mortgage Trust 2014-C21
92939FAX7
4667000.00000000
PA
USD
4387198.88000000
0.306377658664
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
4.21000000
N
N
N
N
N
N
JP Morgan ReRemic
N/A
JP Morgan Resecuritization Trust Series 2009-10
46634ACN2
120819.87000000
PA
USD
100724.70000000
0.007034054894
Long
ABS-MBS
CORP
US
N
2
2037-02-26
Variable
5.83000000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2021-1 Trust
21873LAA1
827917.49000000
PA
USD
762692.33000000
0.053262205962
Long
ABS-O
CORP
US
N
2
2053-04-15
Fixed
1.57000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032639
600000.00000000
PA
USD
542643.28000000
0.037895199685
Long
ABS-MBS
USGA
US
N
2
2054-03-20
Fixed
3.50000000
N
N
N
N
N
N
Sound Point CLO LTD
549300HOEGQTNS4MTZ12
Sounds Point CLO IV-R LTD
83609YAC0
1398883.29000000
PA
USD
1398844.12000000
0.097687521820
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
6.71000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2014-GC23
17322VAX4
9352535.00000000
PA
USD
8851482.29000000
0.618138473749
Long
ABS-MBS
CORP
US
N
2
2047-07-10
Variable
4.42000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/CDS: (CMBX.NA.8.BBB-)
000000000
2366000.00000000
OU
Notional Amount
USD
256316.67000000
0.017899735885
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.BBB-.8
137BERAH0
Y
buy protection
2057-10-18
458412.50000000
USD
0.00000000
USD
2366000.00000000
USD
-202095.83000000
N
N
N
Keycorp Student Loan Trust
N/A
KeyCorp Student Loan Trust 2004-A
493268CB0
4743658.77000000
PA
USD
4416276.58000000
0.308408284102
Long
ABS-O
CORP
US
N
2
2042-07-28
Floating
6.83000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.6.BBB-)_SCI63K11US02
000000000
4274000.00000000
OU
Notional Amount
USD
246784.57000000
0.017234066842
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.6
137BERAF4
Y
buy protection
2063-05-12
1357351.16000000
USD
0.00000000
USD
4274000.00000000
USD
-1110566.59000000
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust 2021-4
92258DAA5
5666082.62000000
PA
USD
4743958.84000000
0.331291797330
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
1354385.87000000
PA
USD
1250604.56000000
0.087335292401
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.77000000
N
N
N
N
N
N
Arcap Reit Inc
N/A
ARCap 2005-1 Resecuritization Trust
03927NAB9
8586000.00000000
PA
USD
654253.20000000
0.045689418025
Long
ABS-O
US
N
2
2042-12-21
Fixed
5.55000000
N
N
N
N
N
N
SLM Student Loan Trust
549300YULY9L7IV1S531
SLM Private Credit Student Loan Trust 2006-C
78443JAG4
2672290.95000000
PA
USD
2470880.11000000
0.172552574808
Long
ABS-O
CORP
US
N
2
2039-12-15
Floating
6.04000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2007-15N
52524VAG4
706534.90000000
PA
USD
644699.11000000
0.045022213322
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
5.94000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
TRSWAP: IBOXIG INDEX
000000000
22883000.00000000
OU
Notional Amount
USD
-92159.90000000
-0.00643593672
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Markit iBoxx USD Liquid Investment Grade Index
IBOXIG INDEX
Y
equity-performance leg
2024-03-20
0.00000000
USD
-71436.15000000
USD
22883000.00000000
USD
366307.95000000
N
N
N
Signal Peak CLO, LLC
549300SC4HK60KIV1S28
Signal Peak CLO 2 LLC
56844XBJ7
1262000.00000000
PA
USD
1263816.02000000
0.088257907558
Long
ABS-CBDO
CORP
US
N
2
2029-04-20
Floating
7.08000000
N
N
N
N
N
N
American Home Mortgage Investment Trust
N/A
American Home Mortgage Investment Trust 2006-2
02660YAB8
17663707.09000000
PA
USD
391205.19000000
0.027319602654
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.80000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2007-1
07386XAA4
1869143.11000000
PA
USD
1490724.43000000
0.104103933527
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
5.76000000
N
N
N
N
N
N
National Collegiate Student Loan Trust
635400VQIBXGEB9ZUC59
National Collegiate Student Loan Trust 2007-2
63543LAD7
5160071.31000000
PA
USD
4898537.22000000
0.342086694812
Long
ABS-O
CORP
US
N
2
2033-01-25
Floating
5.73000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAN3
9000000.00000000
PA
USD
7619123.70000000
0.532077378785
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Variable
3.94000000
N
N
N
N
N
N
IndyMac INDA Mortgage Loan Trust
N/A
IndyMac INDA Mortgage Loan Trust 2007-AR1
45669AAA2
814800.22000000
PA
USD
589335.63000000
0.041155934669
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
3.72000000
N
N
N
N
N
N
OZLM Ltd
5493002SZMQH8ZTTHX49
OZLM XVIII Ltd
67112GAA6
10708861.34000000
PA
USD
10720073.52000000
0.748630530688
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.60000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust
93934FGN6
1986052.39000000
PA
USD
1603733.13000000
0.111995834912
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
5.75000000
N
N
N
N
N
N
Residential Funding Mortgage Securities II
N/A
Home Equity Loan Trust 2005-HS1
76110VRX8
4328989.11000000
PA
USD
83655.12000000
0.005842010016
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
5.53000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042638
760000.00000000
PA
USD
725714.26000000
0.050679862463
Long
ABS-MBS
USGA
US
N
2
2054-03-20
Fixed
4.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.11.BBB-)
000000000
5752000.00000000
OU
Notional Amount
USD
781241.43000000
0.054557572319
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.11
137BERAK3
Y
buy protection
2054-11-19
1213312.50000000
USD
0.00000000
USD
5752000.00000000
USD
-432071.07000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B11 Mortgage Trust
08162BBE1
6240722.00000000
PA
USD
5602138.25000000
0.391222291830
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Fixed
3.54000000
N
N
N
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CBZ3
4255893.65000000
PA
USD
3847950.50000000
0.268719539982
Long
ABS-O
CORP
US
N
2
2043-01-25
Floating
6.32000000
N
N
N
N
N
N
Crestline Denali CLO XVI, Ltd.
2549008AB2W065F6TK51
Crestline Denali CLO XVI Ltd
22615EAA8
4558375.24000000
PA
USD
4558872.10000000
0.318366365043
Long
ABS-CBDO
CORP
KY
N
2
2030-01-20
Floating
6.70000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.9.A)_SGO58U17US0A
000000000
4158800.00000000
OU
Notional Amount
USD
-244735.16000000
-0.01709094740
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
54549.58000000
USD
0.00000000
USD
4158800.00000000
USD
-299284.74000000
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2006-1
07324SDF6
1777798.71000000
PA
USD
1625990.70000000
0.113550180263
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.98000000
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
8360700.00000000
PA
USD
7227759.10000000
0.504746643819
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300MJYMBTZU2FTV38
SLM Private Credit Student Loan Trust 2006-B
78443CCU6
8263674.21000000
PA
USD
8051617.59000000
0.562280355452
Long
ABS-O
CORP
US
N
2
2039-12-15
Floating
5.92000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SDB47M10US00
000000000
16677794.00000000
OU
Notional Amount
USD
734.74000000
0.000051310170
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.AS.7
137BETAB9
Y
buy protection
2047-01-18
197704.78000000
USD
0.00000000
USD
16677794.00000000
USD
-196970.04000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SWAP/CDSWAP/ICE: (CDX.NA.IG.41.V1)
000000000
126451000.00000000
OU
Notional Amount
USD
-2854504.87000000
-0.19934280223
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.IG.S41
2I65BYED3
Y
buy protection
2028-12-21
0.00000000
USD
-2079563.69000000
USD
126451000.00000000
USD
-774941.18000000
N
N
N
Sound Point CLO LTD
5493001QI7ZD0IPL4A34
SOUND POINT CLO XIX Ltd
83610JAA4
2843443.76000000
PA
USD
2842044.79000000
0.198472659297
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.58000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2020-SFR2 Trust
89613JAA8
5800633.02000000
PA
USD
5092738.85000000
0.355648660507
Long
ABS-O
CORP
US
N
2
2039-11-17
Fixed
1.48000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/CDS: (CMBX.NA.15.A)
000000000
3000000.00000000
OU
Notional Amount
USD
212434.76000000
0.014835266457
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.A.15
137BEOAO2
Y
buy protection
2064-11-19
287104.37000000
USD
0.00000000
USD
3000000.00000000
USD
-74669.61000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
SWAP/CDSWAP/CDS: (CDX.NA.HY.33 35-100%)_SMO24Z20US02
000000000
2769437.00000000
OU
Notional Amount
USD
136560.25000000
0.009536611128
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CDX.NA.HY.S33
2I65BRZB9
Y
sell protection
2024-12-21
476620.10000000
USD
0.00000000
USD
2769437.00000000
USD
-340059.85000000
N
N
N
National Collegiate Student Loan Trust
635400MZY2WMKATC8Y90
National Collegiate Student Loan Trust 2007-3
63544DAH5
25000.00000000
PA
USD
19000.00000000
0.001326854713
Long
ABS-O
CORP
US
N
3
2038-03-25
Variable
8.94000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan Trust
N/A
GMACM Home Equity Loan Trust 2004-HE3
361856DL8
488652.77000000
PA
USD
470801.06000000
0.032878137145
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
5.94000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H052637
610000.00000000
PA
USD
605925.39000000
0.042314471577
Long
ABS-MBS
USGA
US
N
2
2054-03-20
Fixed
5.50000000
N
N
N
N
N
N
Lehman Brothers Small Balance Commercial
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3
52521UAJ3
7993431.73000000
PA
USD
7805168.83000000
0.545069739718
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Variable
5.08000000
N
N
N
N
N
N
National Collegiate II Commutation Trust
N/A
National Collegiate II Commutation Trust
63543CAA3
7625000.00000000
PA
USD
1715625.00000000
0.119809743078
Long
ABS-O
CORP
US
N
3
2038-03-25
Floating
8.07000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.15.AAA)
000000000
10000000.00000000
OU
Notional Amount
USD
-152425.15000000
-0.01064452783
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.AAA.15
137BENAO4
Y
sell protection
2064-11-19
0.00000000
USD
-373107.58000000
USD
10000000.00000000
USD
220682.43000000
N
N
N
Shackleton CLO LTD
549300OM5GJJFIKCOZ48
Shackleton 2014-V-R CLO Ltd
81881JAC6
3512839.00000000
PA
USD
3516819.05000000
0.245595154438
Long
ABS-CBDO
CORP
KY
N
2
2031-05-07
Floating
6.68000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.7.A)_SGO47F17US06
000000000
2840000.00000000
OU
Notional Amount
USD
137006.38000000
0.009567766375
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.A.7
137BEOAG9
Y
buy protection
2047-01-18
156357.78000000
USD
0.00000000
USD
2840000.00000000
USD
-19351.40000000
N
N
N
ILPT Commercial Mortgage Trust
N/A
ILPT Commercial Mortgage Trust 2022-LPFX
449653AA2
5500000.00000000
PA
USD
4632148.40000000
0.323483575784
Long
ABS-MBS
CORP
US
N
2
2032-03-15
Fixed
3.38000000
N
N
N
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.14.A)
000000000
2682000.00000000
OU
Notional Amount
USD
184754.06000000
0.012902199758
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.A.14
137BEOAN4
Y
buy protection
2072-12-17
349769.07000000
USD
0.00000000
USD
2682000.00000000
USD
-165015.01000000
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
BMO3CLPR3 GMODUB
000000000
9828000.00000000
NC
USD
27750.44000000
0.001937936954
N/A
DCR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
9828000.00000000
OU
Notional Amount
N/A
27750.44000000
0.00000000
DCR
US
CDX.NA.HY.S41
2I65BRAB1
buy protection
2028-12-20
0.00000000
N/A
0.00000000
N/A
9828000.00000000
USD
1.00000000
1.05750000
USD
2024-03-20
XXXX
-58746.77000000
N
N
N
WAMU Commercial Mortgage Securities Trust
N/A
WaMu Commercial Mortgage Securities Trust 2006-SL1
933633AG4
4550000.00000000
PA
USD
4498854.82000000
0.314175090786
Long
ABS-MBS
CORP
US
N
2
2043-11-23
Variable
5.01000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Floating Rate Notes
91282CJU6
5000000.00000000
PA
USD
5004430.40000000
0.349481687709
Long
DBT
UST
US
N
1
2026-01-31
Floating
5.57000000
N
N
N
N
N
N
Bank of America Auto Trust
N/A
Bank of America Auto Trust 2023-1
06428AAC2
5000000.00000000
PA
USD
5031721.00000000
0.351387511986
Long
ABS-O
CORP
US
N
2
2028-02-15
Fixed
5.53000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust
933638AD0
882801.91000000
PA
USD
767239.17000000
0.053579732072
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
6.33000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust 2006-S1
64352VQN4
20620806.05000000
PA
USD
562325.26000000
0.039269680103
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
5.84000000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXVIII Ltd
83615CAA4
3595000.00000000
PA
USD
3597599.19000000
0.251236391782
Long
ABS-CBDO
CORP
KY
N
2
2032-01-25
Floating
6.87000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN24
000000000
1329.00000000
NC
USD
169026.57000000
0.011803879009
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUM4 Comdty
2024-06-28
271943723.43000000
USD
169026.57000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
BMO3D6CK4 GMO
000000000
81900000.00000000
NC
USD
86454.46000000
0.006037500409
N/A
DCR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
81900000.00000000
OU
Notional Amount
N/A
86454.46000000
0.01000000
DCR
GB
CDX.NA.IG.S41
2I65BYED3
buy protection
2028-12-20
0.00000000
N/A
0.00000000
N/A
81900000.00000000
USD
1.00000000
0.55000000
USD
2024-04-17
XXXX
-49909.04000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-PC1 Mortgage Trust
12593GAJ1
3031837.00000000
PA
USD
2852406.82000000
0.199196286052
Long
ABS-MBS
CORP
US
N
2
2050-07-10
Variable
4.28000000
N
N
N
N
N
N
Telos CLO Ltd
5493001KXOX6VRHBB435
Telos CLO 2014-5 Ltd
87974KAY0
4335500.00000000
PA
USD
4306348.10000000
0.300731488213
Long
ABS-CBDO
CORP
KY
N
2
2028-04-17
Floating
7.73000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2004-11
07386HMR9
858321.51000000
PA
USD
837010.16000000
0.058452151387
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
6.34000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
BMO3E90W4 GMODUB
000000000
-10060000.00000000
NC
USD
-8796.46000000
-0.00061429602
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
10060000.00000000
OU
Notional Amount
N/A
-8796.46000000
0.00000000
DCR
US
CDX.NA.HY.S41
2I65BRAB1
sell protection
2028-12-20
0.00000000
N/A
0.00000000
N/A
10060000.00000000
USD
1.00000000
1.02000000
USD
2024-04-17
XXXX
2158.88000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
SWAP/CDSWAP/CDS: (CMBX.NA.8.A)
000000000
8892000.00000000
OU
Notional Amount
USD
184870.52000000
0.012910332679
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
CMBX.NA.A.8
137BEOAH7
Y
buy protection
2057-10-18
150184.77000000
USD
0.00000000
USD
8892000.00000000
USD
34685.75000000
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505K35
1608054.38000000
PA
USD
1531595.41000000
0.106958136289
Long
ABS-O
CORP
US
N
2
2030-06-01
Variable
6.63000000
N
N
N
N
N
N
Terwin Mortgage Trust
N/A
Terwin Mortgage Trust 2006-7
88156PAZ4
8004269.36000000
PA
USD
3392487.90000000
0.236912555887
Long
ABS-O
CORP
US
N
2
2037-08-25
Floating
5.98000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2020-SFR1
89613GAA4
9341233.93000000
PA
USD
8554265.80000000
0.597382521076
Long
ABS-O
CORP
US
N
2
2038-07-17
Fixed
1.50000000
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAL1
3000000.00000000
PA
USD
1625008.80000000
0.113481609808
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Variable
2.94000000
N
N
N
N
N
N
Lehman Brothers Small Balance Commercial
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1
52521GAE5
2801473.73000000
PA
USD
2587072.18000000
0.180666785113
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.94000000
N
N
N
N
N
N
Hayfin Kingsland VIII Ltd
549300ROX4COSD406L14
Hayfin US XII Ltd
42086PAC7
8752875.74000000
PA
USD
8753961.10000000
0.611328134241
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.70000000
N
N
N
N
N
N
GMO US Treasury Fund
0NIBQB0NDRTFX04R2J69
GMO US Treasury Fund
362013369
2323242.20000000
NS
USD
11616210.99000000
0.811211805758
Long
EC
RF
US
N
1
N
N
N
COMM Mortgage Trust
N/A
COMM 2018-COR3 Mortgage Trust
12595VAD9
15270667.00000000
PA
USD
14338779.13000000
1.001340877885
Long
ABS-MBS
CORP
US
N
2
2051-05-10
Fixed
4.23000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
674135DG0
1177774.92000000
PA
USD
1132339.43000000
0.079076311073
Long
ABS-O
CORP
US
N
2
2028-05-15
Variable
7.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/CDS: (CMBX.NA.13.AA)
000000000
2000000.00000000
OU
Notional Amount
USD
64816.55000000
0.004526428679
N/A
DCR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
CMBX.NA.AA.13
137BEPAM3
Y
buy protection
2072-12-17
147237.07000000
USD
0.00000000
USD
2000000.00000000
USD
-82420.52000000
N
N
N
AID-MOROCCO
529900F3MBW9XY5K1X07
Morocco Government AID Bond
617726AE4
2250000.00000000
PA
USD
2219987.12000000
0.155031598679
Long
DBT
NUSS
MA
N
3
2026-10-29
Floating
5.85000000
N
N
N
N
N
N
2024-04-22
GMO TRUST
Betty Maganzini
Betty Maganzini
Treasurer