0001752724-23-263413.txt : 20231122
0001752724-23-263413.hdr.sgml : 20231122
20231122125541
ACCESSION NUMBER: 0001752724-23-263413
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230930
FILED AS OF DATE: 20231122
DATE AS OF CHANGE: 20231122
PERIOD START: 20230930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: BERNSTEIN SANFORD C FUND INC
CENTRAL INDEX KEY: 0000832808
IRS NUMBER: 133464161
STATE OF INCORPORATION: MD
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05555
FILM NUMBER: 231432119
BUSINESS ADDRESS:
STREET 1: ALLIANCEBERNSTEIN LP
STREET 2: 1345 AVENUE OF THE AMERICAS
CITY: NEW YORK
STATE: NY
ZIP: 10105
BUSINESS PHONE: 2129691000
MAIL ADDRESS:
STREET 1: ALLIANCEBERNSTEIN LP
STREET 2: 1345 AVENUE OF THE AMERICAS
CITY: NEW YORK
STATE: NY
ZIP: 10153
0000832808
S000011057
Intermediate Duration Portfolio
C000030494
Intermediate Duration Portfolio
SNIDX
C000213292
Advisor Class
IDPYX
C000213293
AB Intermediate Duration Class A
IDPAX
C000213294
AB Intermediate Duration Class Z
IDPZX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000832808
XXXXXXXX
S000011057
C000213292
C000030494
C000213294
C000213293
BERNSTEIN SANFORD C FUND INC
811-05555
0000832808
549300GA5IHQHIM7CU60
ALLIANCEBERNSTEIN LP
1345 AVENUE OF THE AMERICAS
NEW YORK
10105
212-969-1000
Intermediate Duration Portfolio
S000011057
549300MB31JEFJHRDI51
2023-09-30
2023-09-30
N
3594756920.82
320905232.93
3273851687.89
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
10251728.57000000
0.00000000
0.00000000
32332505.47000000
JPY
USD
N
Bloomberg US Aggregate Index
LBUSTRUU:IND
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AFW94
6170000.00000000
PA
USD
6101451.30000000
0.186369203057
Long
DBT
USGSE
US
N
2
2024-02-13
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGCD9
18290401.94000000
PA
USD
14579323.28000000
0.445326321101
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
5124000.00000000
PA
USD
3920064.96000000
0.119738623912
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FDK39
144680.93000000
PA
USD
132076.10000000
0.004034272550
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754BAA9
5268359.36000000
PA
USD
5233937.48000000
0.159870940377
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Floating
6.51500000
N
N
N
N
N
N
Elevation CLO Ltd
N/A
Elevation CLO 2020-11 Ltd
28621YAG0
4500000.00000000
PA
USD
4307746.50000000
0.131580380257
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
9.42000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAS4
211000.00000000
PA
USD
211054.86000000
0.006446683604
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828R36
204404400.00000000
PA
USD
188115924.38000000
5.746012413324
Long
DBT
UST
US
N
2
2026-05-15
Fixed
1.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K3BF8
4402883.50000000
PA
USD
3851575.56000000
0.117646611000
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBQ3
8430000.00000000
PA
USD
6045658.80000000
0.184665017733
Long
DBT
CORP
US
N
2
2036-11-15
Fixed
3.18700000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BK6
2373000.00000000
PA
USD
2347703.82000000
0.071710756742
Long
DBT
CORP
GB
N
2
2025-03-22
Fixed
4.26900000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBC3
1515000.00000000
PA
USD
1179427.50000000
0.036025685108
Long
DBT
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: IS1IFA6 CDS USD R F 3.00000 IS1IFA6 CMBX / Short: IS1IFA6 CDS USD P V 01MEVENT IS1IFB7 CMBX
000000000
19061.27000000
OU
Notional Amount
USD
-2742.91000000
-0.00008378235
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-2801.88000000
USD
19061.27000000
USD
58.97000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SN9
209049800.00000000
PA
USD
98384062.13000000
3.005147193867
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
LB-UBS Commercial Mortgage Trust
N/A
LB-UBS Commercial Mortgage Trust 2006-C6
50179MAH4
817009.68000000
PA
USD
307113.94000000
0.009380814077
Long
ABS-MBS
CORP
US
N
2
2039-09-15
Variable
5.45200000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-B
64034QAC2
2008000.00000000
PA
USD
1579120.32000000
0.048234326736
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
2.68000000
N
N
N
N
N
N
Brex Inc
N/A
Brex Commercial Charge Card Master Trust
05601DAC7
7665000.00000000
PA
USD
7541106.77000000
0.230343567422
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
4.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YS3
11550000.00000000
PA
USD
9826523.44000000
0.300151759358
Long
DBT
UST
US
N
2
2029-11-15
Fixed
1.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286B1
30853200.00000000
PA
USD
27912504.38000000
0.852589153114
Long
DBT
UST
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QLGX8
26651152.44000000
PA
USD
20347016.88000000
0.621500874803
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B93N2
13957696.13000000
PA
USD
11159517.23000000
0.340868136185
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
L Street Securities
N/A
JP Morgan Madison Avenue Securities Trust Series 2014-1
46643HAB4
191504.39000000
PA
USD
194023.84000000
0.005926470057
Long
ABS-MBS
CORP
US
N
2
2024-11-25
Floating
9.67900000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-20CB
12667GQL0
266852.55000000
PA
USD
183226.14000000
0.005596653650
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.50000000
N
N
N
N
N
N
VORNADO REALTY LP
549300BMOJ05INE4YK86
Vornado Realty LP
929043AL1
7733000.00000000
PA
USD
5576962.27000000
0.170348653563
Long
DBT
US
N
2
2031-06-01
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132Y3ZC1
1569345.96000000
PA
USD
1509870.57000000
0.046119088888
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376MJL2
6369452.77000000
PA
USD
574541.84000000
0.017549415635
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Floating
0.66100000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RHD9
3817000.00000000
PA
USD
3748121.85000000
0.114486611102
Long
ABS-O
CORP
US
N
2
2028-04-20
Fixed
6.12000000
N
N
N
N
N
N
Dext ABS
N/A
Dext ABS 2021-1 LLC
23345CAB5
493000.00000000
PA
USD
453999.95000000
0.013867456234
Long
ABS-O
CORP
US
N
2
2028-02-15
Fixed
1.76000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FDQ25
175891.92000000
PA
USD
161752.23000000
0.004940731756
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) DEC23
000000000
-384.00000000
NC
USD
200504.07000000
0.006124409078
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 2 Year U.S. Treasury Notes Futures
TUZ3 Comdty
2023-12-29
-78041504.26000000
USD
200504.07000000
N
N
N
Elmwood CLO VIII Ltd
N/A
Elmwood CLO VIII Ltd
29003EAA3
8832911.00000000
PA
USD
8815315.84000000
0.269264361382
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
6.82800000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2A0
2117000.00000000
PA
USD
1935594.27000000
0.059122845337
Long
DBT
CORP
US
N
2
2028-05-22
Fixed
3.58400000
N
N
N
N
N
N
VOLCAN CIA MINERA SAA-CM
549300XKJ91C4SZLG750
Volcan Cia Minera SAA
92863UAB2
761000.00000000
PA
USD
433222.08000000
0.013232794924
Long
DBT
CORP
PE
N
2
2026-02-11
Fixed
4.37500000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DS1
2490000.00000000
PA
USD
1838865.00000000
0.056168243870
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.12500000
N
N
N
N
N
N
VERISK ANALYTICS INC
549300I1YSWNIRKBWP67
Verisk Analytics Inc
92345YAH9
3088000.00000000
PA
USD
3060393.28000000
0.093479899878
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
5.75000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
Barclays Commercial Mortgage Trust 2019-C3
05550MAY0
3523000.00000000
PA
USD
2911158.48000000
0.088921513786
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Fixed
4.09600000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAL5
1485000.00000000
PA
USD
1294816.05000000
0.039550235424
Long
DBT
CORP
US
N
2
2026-09-20
Fixed
1.95000000
N
N
N
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAN1
2264000.00000000
PA
USD
2069114.88000000
0.063201240534
Long
DBT
CORP
US
N
2
2028-08-09
Fixed
5.97400000
N
N
N
N
N
N
World OMNI Select Auto Trust
N/A
World Omni Select Auto Trust 2023-A
98163UAB6
7446897.24000000
PA
USD
7434963.59000000
0.227101417498
Long
ABS-O
CORP
US
N
2
2027-03-15
Fixed
5.92000000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KBC9
3137000.00000000
PA
USD
2722633.67000000
0.083163011937
Long
DBT
CORP
US
N
2
2028-01-06
Fixed
2.49000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31346YA29
1645477.79000000
PA
USD
1439953.17000000
0.043983457629
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
Balboa Bay Loan Funding Ltd
549300G0EX8VHFWPJW18
Balboa Bay Loan Funding 2021-1 Ltd
05765XAA9
6496150.00000000
PA
USD
6460096.37000000
0.197324038651
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.78800000
N
N
N
N
N
N
LORCA TELECOM BONDCO
9598004HFBAS82YM7X35
Lorca Telecom Bondco SA
000000000
2174000.00000000
PA
2135408.83000000
0.065226193290
Long
DBT
CORP
ES
N
2
2027-09-18
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JXTG3
4575137.03000000
PA
USD
3997971.14000000
0.122118272944
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TA6
67322900.00000000
PA
USD
41866428.44000000
1.278812616798
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
NMEF Funding LLC
N/A
NMEF Funding 2022-B LLC
62890MAB0
2418880.32000000
PA
USD
2408235.31000000
0.073559694805
Long
ABS-O
CORP
US
N
2
2029-06-15
Fixed
6.07000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FEAY0
27996.01000000
PA
USD
25475.46000000
0.000778149483
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISONLNOUKGB71
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KKY4
9778483.00000000
PA
USD
9637966.20000000
0.294392266932
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
6.81500000
N
N
N
N
N
N
VISTRA CORP
549300KP43CPCUJOOG15
Vistra Corp
92840MAC6
2589000.00000000
PA
USD
2381439.87000000
0.072741226452
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
7.00000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AR0
3272000.00000000
PA
USD
2536094.48000000
0.077465160971
Long
DBT
US
N
2
2032-01-15
Fixed
3.25000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEF1
3827000.00000000
PA
USD
3106337.63000000
0.094883272858
Long
DBT
NUSS
DO
N
2
2032-09-23
Fixed
4.87500000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172DB2
8162000.00000000
PA
USD
7716028.32000000
0.235686556863
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
5.37500000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA CA REVENUES
91412HKE2
7960000.00000000
PA
USD
4955287.06000000
0.151359546259
Long
DBT
MUN
US
N
2
2051-05-15
Fixed
3.07100000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBJ1
7300000.00000000
PA
USD
6242449.00000000
0.190675986425
Long
DBT
CORP
US
N
2
2030-05-06
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2023-R02
20755AAB8
3406299.51000000
PA
USD
3451024.22000000
0.105411745827
Long
ABS-MBS
USGSE
US
N
2
2043-01-25
Floating
7.61500000
N
N
N
N
N
N
Prestige Auto Receivables Trust
N/A
Prestige Auto Receivables Trust 2022-1
74113RAC3
1927618.10000000
PA
USD
1925554.78000000
0.058816188501
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
5.90000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2013-C14
46640LAN2
2526699.00000000
PA
USD
1059950.23000000
0.032376244590
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.38500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FNFA7
18510.27000000
PA
USD
16864.18000000
0.000515117409
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BPFZ7
4366913.46000000
PA
USD
346149.95000000
0.010573171389
Long
ABS-MBS
USGSE
US
N
2
2046-05-15
Floating
0.57200000
N
N
N
N
N
N
GSF 2021 1 ISSUER LLC
N/A
GSF 2021 1 ISSUER LLC
36261CAC5
9371000.00000000
PA
USD
8807203.16000000
0.269016559075
Long
ABS-O
CORP
US
N
3
2026-08-15
Variable
3.97200000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAW4
1012000.00000000
PA
USD
999046.40000000
0.030515933378
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
6.35000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE6 Trust
04002VAA9
11542505.45000000
PA
USD
11385355.39000000
0.347766376592
Long
ABS-CBDO
CORP
KY
N
2
2037-01-20
Floating
6.56300000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05367AAH6
1447000.00000000
PA
USD
1388816.13000000
0.042421473615
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
4.87500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHC8
20976900.00000000
PA
USD
19029981.47000000
0.581271947669
Long
DBT
UST
US
N
2
2033-05-15
Fixed
3.37500000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBT6
4741000.00000000
PA
USD
4639163.32000000
0.141703527290
Long
DBT
CORP
US
N
2
2029-06-13
Fixed
6.99200000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754NAB1
7290003.74000000
PA
USD
7472545.43000000
0.228249357099
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Floating
8.06500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128NHRW5
139.92000000
PA
USD
142.59000000
0.000004355420
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
4.59500000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDV5
710000.00000000
PA
USD
636834.50000000
0.019452148744
Long
DBT
CORP
US
N
2
2029-04-06
Fixed
4.30000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
054989AB4
2925000.00000000
PA
USD
2837513.25000000
0.086672015732
Long
DBT
CORP
US
N
2
2033-08-02
Fixed
6.42100000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYU2
3016000.00000000
PA
USD
2470284.96000000
0.075455005159
Long
DBT
CORP
US
N
2
2026-11-10
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FKGG9
445612.96000000
PA
USD
405206.07000000
0.012377044186
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-D
64034YAC5
3096000.00000000
PA
USD
2470671.78000000
0.075466820599
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417EJG7
2248532.62000000
PA
USD
2002266.36000000
0.061159348403
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1060377.19000000
0.032389286109
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
23499407.89000000
EUR
25914207.04000000
USD
2023-10-12
1060377.19000000
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: IS1D6Z3 CDS USD R F 3.00000 IS1D6Z3 CMBX-BBB--413146 / Short: IS1D6Z3 CDS USD P V 00MEVENT IS1D705 CMBX-BBB--413146
000000000
116322.62000000
OU
Notional Amount
USD
-16738.83000000
-0.00051128858
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-14078.61000000
USD
116322.62000000
USD
-2660.22000000
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475AM7
1677000.00000000
PA
USD
1672371.48000000
0.051082689120
Long
DBT
CORP
US
N
2
2023-12-01
Variable
8.71100000
N
N
N
N
N
N
SEAGATE HDD CAYMAN
529900BD50TRWEG1SF63
Seagate HDD Cayman
81180WBH3
3553000.00000000
PA
USD
3643956.80000000
0.111304883281
Long
DBT
CORP
KY
N
2
2029-12-15
Fixed
8.25000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBH4
9487000.00000000
PA
USD
8430243.07000000
0.257502290075
Long
DBT
CORP
FR
N
2
2028-01-19
Fixed
2.79700000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
1202000.00000000
PA
USD
876005.58000000
0.026757644008
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QA9
4254000.00000000
PA
USD
3670404.38000000
0.112112726229
Long
DBT
UST
US
N
2
2039-02-15
Fixed
3.50000000
N
N
N
N
N
N
Santander Bank Auto Credit-Linked Notes
N/A
Santander Bank NA - SBCLN
80290CAE4
1420105.50000000
PA
USD
1384197.71000000
0.042280403694
Long
ABS-O
CORP
US
N
2
2031-12-15
Fixed
1.83300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FPS34
114325.15000000
PA
USD
104654.59000000
0.003196680851
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAM4
0.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
US
N
2
2034-01-26
Fixed
5.12200000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBD9
2370000.00000000
PA
USD
1642291.50000000
0.050163894292
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754QAA6
7375726.23000000
PA
USD
7468712.01000000
0.228132265051
Long
ABS-MBS
USGSE
US
N
2
2043-05-25
Floating
7.61500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TM0
33530000.00000000
PA
USD
29736918.75000000
0.908316001607
Long
DBT
UST
US
N
2
2042-11-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IRUQLXTG4SV18
Freddie Mac STACR REMIC Trust 2022-DNA7
35564KL31
7191564.64000000
PA
USD
7305929.22000000
0.223160054776
Long
ABS-MBS
USGSE
US
N
2
2052-03-25
Floating
7.81500000
N
N
N
N
N
N
ENA MASTER TRUST
549300CBCHB6Q73VG753
ENA Master Trust
29249BAA3
1235000.00000000
PA
USD
884222.95000000
0.027008644077
Long
DBT
CORP
PA
N
2
2048-05-19
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISE4NWBTOSK36
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KNK1
3888403.93000000
PA
USD
3815900.36000000
0.116556909835
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
6.26500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: IS1IYH6 CDS USD R F 3.00000 IS1IYH6 CMBX / Short: IS1IYH6 CDS USD P V 01MEVENT IS1IYI7 CMBX
000000000
72335.06000000
OU
Notional Amount
USD
-10409.01000000
-0.00031794384
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-10025.96000000
USD
72335.06000000
USD
-383.05000000
N
N
N
AMERICAN WATER CAPITAL C
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp
03040WAU9
1654000.00000000
PA
USD
1490419.40000000
0.045524951710
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FPYC7
256608.73000000
PA
USD
232928.70000000
0.007114821384
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-IMC
05608BAL4
1772174.00000000
PA
USD
1744923.81000000
0.053298804477
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
7.34600000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
1024000.00000000
PA
802094.54000000
0.024500026771
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
3.37500000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAC8
8806000.00000000
PA
USD
8964684.12000000
0.273826824628
Long
DBT
CORP
IE
N
2
2026-10-14
Fixed
7.58300000
N
N
N
N
N
N
MetLife Capital Trust IV
N/A
MetLife Capital Trust IV
591560AA5
5200000.00000000
PA
USD
5388032.00000000
0.164577766913
Long
DBT
CORP
US
N
2
2037-12-15
Fixed
7.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FNL85
33066.38000000
PA
USD
30143.15000000
0.000920724359
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RK6
1916000.00000000
PA
USD
1298688.75000000
0.039668527282
Long
DBT
UST
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
MERCEDES-BENZ FIN NA
549300423Z16BB673J12
Mercedes-Benz Finance North America LLC
58769JAF4
5380000.00000000
PA
USD
5285043.00000000
0.161431961611
Long
DBT
CORP
US
N
2
2026-03-30
Fixed
4.80000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YCR8
7918000.00000000
PA
USD
7662882.04000000
0.234063200490
Long
DBT
CORP
JP
N
2
2031-05-27
Fixed
5.73900000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2021-3
91679LAB8
5220000.00000000
PA
USD
5109432.05000000
0.156067914404
Long
ABS-O
CORP
US
N
2
2031-07-20
Fixed
1.66000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBV2
4241000.00000000
PA
USD
3653324.63000000
0.111591024221
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
4.92600000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISA3AUOXQEF68
Freddie Mac STACR REMIC Trust 2022-DNA2
35564KRF8
7072300.00000000
PA
USD
7107870.13000000
0.217110327761
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
7.71500000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2022-1 Ltd
078774AB2
3969121.00000000
PA
USD
3962545.36000000
0.121036190327
Long
ABS-MBS
CORP
BM
N
2
2032-01-26
Floating
7.46500000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re Ltd
07876MAC1
4196775.00000000
PA
USD
4269092.99000000
0.130399706431
Long
ABS-MBS
CORP
BM
N
2
2031-03-25
Floating
8.26500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJEU8
435412.21000000
PA
USD
397248.68000000
0.012133985222
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5LZ4
333062.86000000
PA
USD
303072.25000000
0.009257360408
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAQ4
1542000.00000000
PA
USD
1366042.38000000
0.041725848029
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHRB5
7156.23000000
PA
USD
6542.06000000
0.000199827622
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AX7
2422000.00000000
PA
USD
2366996.38000000
0.072300049167
Long
DBT
CORP
GB
N
2
2029-03-06
Fixed
5.87100000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS1CJM8 CDS USD R F 3.00000 IS1CJM8 CMBX-BBB--410332 / Short: IS1CJM8 CDS USD P V 00MEVENT IS1CJN9 CMBX-BBB--410332
000000000
1620208.10000000
OU
Notional Amount
USD
-233147.95000000
-0.00712151838
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-169126.27000000
USD
1620208.10000000
USD
-64021.68000000
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAS2
831000.00000000
PA
USD
793430.49000000
0.024235382834
Long
DBT
CORP
US
N
2
2025-06-13
Fixed
4.87500000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: IS1PAG8 CDS USD R F 3.00000 IS1PAG8 CMBX / Short: IS1PAG8 CDS USD P V 01MEVENT IS1PAH9 CMBX
000000000
78200.08000000
OU
Notional Amount
USD
-11252.99000000
-0.00034372326
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-9357.13000000
USD
78200.08000000
USD
-1895.86000000
N
N
N
ONEOK Inc
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AW3
4164000.00000000
PA
USD
3831796.08000000
0.117042445574
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.35000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TQ1
12072700.00000000
PA
USD
10497589.92000000
0.320649526025
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.87500000
N
N
N
N
N
N
ALIBABA GROUP HOLDING
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd
01609WAX0
9680000.00000000
PA
USD
7552723.20000000
0.230698391986
Long
DBT
CORP
KY
N
2
2031-02-09
Fixed
2.12500000
N
N
N
N
N
N
LAD Auto Receivables Trust
N/A
LAD Auto Receivables Trust 2021-1
501683AA4
1249862.01000000
PA
USD
1227765.32000000
0.037502166776
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
1.30000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAA9
1314000.00000000
PA
USD
1158080.76000000
0.035373647629
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.50000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AQ2
1790000.00000000
PA
USD
1489978.10000000
0.045511472175
Long
DBT
US
N
2
2031-01-15
Fixed
4.00000000
N
N
N
N
N
N
HP INC
WHKXQACZ14C5XRO8LW03
HP Inc
40434LAN5
7293000.00000000
PA
USD
6836166.48000000
0.208811123157
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
5.50000000
N
N
N
N
N
N
Neighborly Issuer LLC
N/A
Neighborly Issuer LLC
64016NAA5
3183018.59000000
PA
USD
2654701.16000000
0.081088009265
Long
ABS-O
CORP
US
N
2
2051-04-30
Fixed
3.58400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJGA0
5639179.09000000
PA
USD
5148373.14000000
0.157257372380
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RT7
12530000.00000000
PA
USD
7927182.81000000
0.242136283672
Long
DBT
UST
US
N
2
2046-08-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FTV38
16658954.89000000
PA
USD
1496492.24000000
0.045710446980
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Floating
0.67100000
N
N
N
N
N
N
Ford Credit Auto Owner Trust/Ford Credit
N/A
Ford Credit Auto Owner Trust 2021-REV1
345340AD5
5650000.00000000
PA
USD
4955761.34000000
0.151374033171
Long
ABS-O
CORP
US
N
2
2033-10-17
Fixed
2.31000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBF0
863869.89000000
PA
USD
921729.74000000
0.028154291271
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Floating
11.12900000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust Series 2023-P1
96042UAE1
2202000.00000000
PA
USD
2191966.81000000
0.066953760248
Long
ABS-O
CORP
US
N
2
2027-06-15
Fixed
6.44000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AU2
8899000.00000000
PA
USD
7045694.26000000
0.215211162010
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09100000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2021-2 Ltd
078777AA7
7199161.00000000
PA
USD
7122237.24000000
0.217549172014
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Floating
6.31500000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CT5
3042000.00000000
PA
USD
3029041.08000000
0.092522245012
Long
DBT
CORP
GB
N
2
2027-07-06
Fixed
6.18700000
N
N
N
N
N
N
AXIS Equipment Finance Receivables LLC
549300IFG1NMINYRYF89
Amur Equipment Finance Receivables XI LLC
03236XAB3
2169651.10000000
PA
USD
2149027.05000000
0.065642162653
Long
ABS-O
CORP
US
N
2
2028-06-21
Fixed
5.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHUP5
1236446.95000000
PA
USD
1103275.55000000
0.033699619139
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFV8
18170100.00000000
PA
USD
17528468.34000000
0.535408137297
Long
DBT
UST
US
N
2
2032-11-15
Fixed
4.12500000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: IS1S4L0 CDS USD R F 3.00000 IS1S4L0 CMBX / Short: IS1S4L0 CDS USD P V 01MEVENT IS1S4M1 CMBX
000000000
63048.84000000
OU
Notional Amount
USD
-9072.72000000
-0.00027712678
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-6938.37000000
USD
63048.84000000
USD
-2134.35000000
N
N
N
FHF Trust 2021-2
N/A
FHF Trust 2021-2
30322JAA4
1165932.88000000
PA
USD
1117485.45000000
0.034133661403
Long
ABS-O
CORP
US
N
2
2026-12-15
Fixed
0.83000000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AA5
2544564.00000000
PA
USD
2468583.32000000
0.075403028461
Long
DBT
CORP
XX
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ANRT6
6203034.36000000
PA
USD
1008383.25000000
0.030801128033
Long
ABS-MBS
USGSE
US
N
2
2045-05-25
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGT2
28384100.00000000
PA
USD
27217690.89000000
0.831366032574
Long
DBT
UST
US
N
2
2028-03-31
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CUA0
2990701.70000000
PA
USD
2612248.44000000
0.079791288336
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: IS1P7W3 CDS USD R F 3.00000 IS1P7W3 CMBX / Short: IS1P7W3 CDS USD P V 01MEVENT IS1P7X4 CMBX
000000000
109968.89000000
OU
Notional Amount
USD
-15824.53000000
-0.00048336123
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-12732.85000000
USD
109968.89000000
USD
-3091.68000000
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CT7
5900000.00000000
PA
USD
5664649.00000000
0.173027050093
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
7.00000000
N
N
N
N
N
N
Santander Bank Auto Credit-Linked Notes
N/A
Santander Bank Auto Credit-Linked Notes Series 2022-A
80290CAS3
3314433.94000000
PA
USD
3274107.55000000
0.100007815323
Long
ABS-O
CORP
US
N
2
2032-05-15
Fixed
5.28100000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AG4
1270000.00000000
PA
USD
1242199.70000000
0.037943065796
Long
DBT
CORP
US
N
2
2024-06-27
Fixed
7.50000000
N
N
N
N
Y
Lloyds Banking Group PLC
Lloyds Banking Group PLC
USD
XXXX
N
N
N
Elmwood CLO XII Ltd.
N/A
Elmwood CLO XII Ltd
29002YAG7
2100000.00000000
PA
USD
2080688.40000000
0.063554754410
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
8.63800000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N4
14687HAE3
3177000.00000000
PA
USD
3022114.90000000
0.092310684420
Long
ABS-O
CORP
US
N
2
2028-09-11
Fixed
2.30000000
N
N
N
N
N
N
United Auto Credit Securitization Trust
N/A
United Auto Credit Securitization Trust 2022-2
90944KAA3
831664.67000000
PA
USD
830891.14000000
0.025379620679
Long
ABS-O
CORP
US
N
2
2025-04-10
Fixed
4.39000000
N
N
N
N
N
N
ODEBRECHT HOLDCO FIN LTD
N/A
Odebrecht Holdco Finance Ltd
67577TAA6
3418480.00000000
PA
USD
3076.63000000
0.000093975851
Long
DBT
CORP
KY
N
2
2058-09-10
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YDV6
158546.44000000
PA
USD
154927.63000000
0.004732273932
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2023-R01
207932AA2
4630386.97000000
PA
USD
4708547.90000000
0.143822883529
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Floating
7.71500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FLS58
340587.43000000
PA
USD
310329.23000000
0.009479025306
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
LKQ CORP
DS830JTTZQN6GK0I2E41
LKQ Corp
501889AE9
2528000.00000000
PA
USD
2445208.00000000
0.074689027882
Long
DBT
CORP
US
N
2
2033-06-15
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FPWB1
55932.77000000
PA
USD
51032.05000000
0.001558777087
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F8P43
196703.13000000
PA
USD
180061.10000000
0.005499977310
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.50000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837BF9
6267000.00000000
PA
USD
6240239.91000000
0.190608509636
Long
DBT
CORP
NL
N
2
2027-09-11
Fixed
6.08300000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20753XAB0
6435377.00000000
PA
USD
6612349.87000000
0.201974631119
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
8.81500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XJW8
886702.30000000
PA
USD
885669.20000000
0.027052819871
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAB8
4960000.00000000
PA
USD
4823550.40000000
0.147335641924
Long
DBT
CORP
NL
N
2
2027-02-01
Fixed
5.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB71
1156702.31000000
PA
USD
993764.25000000
0.030354589784
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.00000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAY4
3313000.00000000
PA
USD
2831389.19000000
0.086484955945
Long
DBT
CORP
XX
N
2
2030-05-01
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754EAA3
6991265.12000000
PA
USD
6991265.12000000
0.213548620600
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Floating
7.01500000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBF1
3890000.00000000
PA
USD
2989465.00000000
0.091313391228
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ACN5
4320000.00000000
PA
USD
4291185.60000000
0.131074526554
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
6.10000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0BK4
313664.49000000
PA
USD
315989.72000000
0.009651925319
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Floating
9.42900000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XCE8
2388000.00000000
PA
USD
2369445.24000000
0.072374849745
Long
DBT
US
N
2
2028-11-15
Fixed
5.80000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAK7
4547000.00000000
PA
USD
4081114.38000000
0.124657888293
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
1.95000000
N
N
N
N
N
N
Genworth Mortgage Insurance Corporation
N/A
Triangle Re 2021-3 Ltd
89600HAA7
1724562.36000000
PA
USD
1726857.75000000
0.052746975569
Long
ABS-MBS
CORP
BM
N
2
2034-02-25
Floating
7.21500000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
20754KAB7
4241562.00000000
PA
USD
4172698.12000000
0.127455319232
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
7.31500000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0206A2
54968000.00000000
PA
USD
41783952.68000000
1.276293389665
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGXA1
4033700.69000000
PA
USD
3524838.46000000
0.107666406301
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABC4
5462000.00000000
PA
USD
5083701.88000000
0.155281984788
Long
DBT
CORP
DK
N
2
2028-04-01
Fixed
4.29800000
N
N
N
N
N
N
HFX FUNDING ISSUER
N/A
HFX FUNDING ISSUER
40422GAE0
6860000.00000000
PA
USD
6593052.70000000
0.201385197881
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Variable
3.64700000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS NC
N/A
Duke Energy Carolinas NC Storm Funding LLC
26443KAB1
3641000.00000000
PA
USD
2505153.64000000
0.076520071121
Long
DBT
CORP
US
N
2
2041-07-01
Fixed
2.61700000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAH8
2656000.00000000
PA
USD
2512735.36000000
0.076751655222
Long
DBT
CORP
US
N
2
2029-01-25
Fixed
4.70900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132Y3ZL1
4089301.95000000
PA
USD
3821812.12000000
0.116737484906
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
SUMMER BC HOLDCO B SARL
984500NRF59D5DB9B654
Summer BC Holdco B SARL
000000000
2174000.00000000
PA
2108080.12000000
0.064391436172
Long
DBT
CORP
LU
N
2
2026-10-31
Fixed
5.75000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N3
14687GAD7
855984.49000000
PA
USD
787081.33000000
0.024041447354
Long
ABS-O
CORP
US
N
2
2028-06-12
Fixed
1.02000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FLTA6
19038.75000000
PA
USD
17291.35000000
0.000528165343
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
L Street Securities
549300T6W1U156OOG754
Wells Fargo Credit Risk Transfer Securities Trust 2015
949771AC3
918605.13000000
PA
USD
930108.82000000
0.028410230782
Long
ABS-MBS
CORP
US
N
2
2025-11-25
Floating
10.67900000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDK4
14777500.00000000
PA
USD
13260497.27000000
0.405042699980
Long
DBT
UST
US
N
2
2026-11-30
Fixed
1.25000000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-2 Ltd
26982AAB0
2359729.00000000
PA
USD
2360397.51000000
0.072098486279
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
7.36500000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BQ4
5633000.00000000
PA
USD
4875643.15000000
0.148926818158
Long
DBT
CORP
PA
N
2
2028-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISE4NWBTOSK36
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KNS4
6126372.00000000
PA
USD
5919606.95000000
0.180814756266
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
7.66500000
N
N
N
N
N
N
Affirm Inc
N/A
Affirm Asset Securitization Trust 2021-Z1
00834CAA3
574937.77000000
PA
USD
565299.23000000
0.017267099547
Long
ABS-O
CORP
US
N
2
2025-08-15
Fixed
1.07000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371K3A7
402638.27000000
PA
USD
402136.74000000
0.012283291313
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
5.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BS2LOP2 IRS USD R V 00MSOFR IS2LOQ3 CCPOIS / Short: BS2LOP2 IRS USD P F 1.53700 IS2LOP2 CCPOIS
000000000
19060000.00000000
OU
Notional Amount
USD
3216413.15000000
0.098245536347
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2029-12-13
1759211.22000000
USD
0.00000000
USD
19060000.00000000
USD
1457201.93000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AUZQ7
3080791.23000000
PA
USD
258800.02000000
0.007905062436
Long
ABS-MBS
USGSE
US
N
2
2047-01-25
Floating
0.57100000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2021-2 Ltd
07876AAB9
7663972.00000000
PA
USD
7639631.22000000
0.233353002772
Long
ABS-MBS
CORP
BM
N
2
2031-06-25
Floating
6.81500000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AU3
6253000.00000000
PA
USD
5727810.53000000
0.174956322889
Long
DBT
CORP
IT
N
2
2026-09-22
Fixed
2.56900000
N
N
N
N
N
N
ALEXANDER FUND TRUST II
N/A
Alexander Funding Trust II
014916AA8
1615000.00000000
PA
USD
1613659.55000000
0.049289329628
Long
DBT
CORP
US
N
2
2028-07-31
Fixed
7.46700000
N
N
N
N
N
N
FLOWSERVE CORPORATION
6Y0GK87T6V7NJKZJVM41
Flowserve Corp
34355JAB4
4669000.00000000
PA
USD
3568843.53000000
0.109010543855
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.80000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BE2
1081000.00000000
PA
USD
1085594.25000000
0.033159542749
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
6.35000000
N
N
N
N
N
N
LENOVO GROUP LTD
254900VUZRGD5U73RE46
Lenovo Group Ltd
000000000
2626000.00000000
PA
USD
2568438.08000000
0.078453098211
Long
DBT
CORP
HK
N
2
2028-01-27
Fixed
5.83100000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAS4
7481000.00000000
PA
USD
7520275.25000000
0.229707267370
Long
DBT
CORP
GB
N
2
2026-11-21
Fixed
6.83300000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACY9
2403000.00000000
PA
USD
2225562.48000000
0.067979942042
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
5.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380GHH0
4606080.29000000
PA
USD
438280.98000000
0.013387319334
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Floating
0.76100000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-447.15000000
-0.00001365822
N/A
DFE
XX
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
46433.18000000
USD
43480.00000000
EUR
2023-10-12
-447.15000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2T0
2660000.00000000
PA
USD
2370219.60000000
0.072398502619
Long
DBT
CORP
FR
N
2
2028-01-20
Fixed
2.59100000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: IS1P9K5 CDS USD R F 3.00000 IS1P9K5 CMBX / Short: IS1P9K5 CDS USD P V 01MEVENT IS1P9L6 CMBX
000000000
111923.90000000
OU
Notional Amount
USD
-16105.85000000
-0.00049195417
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-13386.01000000
USD
111923.90000000
USD
-2719.84000000
N
N
N
Rad CLO Ltd
N/A
Rad CLO 11 Ltd
48662NAG2
3800000.00000000
PA
USD
3643991.00000000
0.111305927922
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
8.47000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564K2F5
5302743.70000000
PA
USD
5328518.75000000
0.162759931053
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Floating
7.31500000
N
N
N
N
N
N
Voya CLO Ltd
549300KSCKXTOBY0IP86
Voya CLO 2019-1 Ltd
92917NAS7
1850000.00000000
PA
USD
1764818.60000000
0.053906492054
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
8.42000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0526A5
31585000.00000000
PA
USD
30528892.36000000
0.932506883953
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
5.50000000
N
N
N
N
N
N
KLA CORP
549300H0BF5JCG96TJ81
KLA Corp
482480AG5
1349000.00000000
PA
USD
1273267.14000000
0.038892022650
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.10000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912797GQ4
28050100.00000000
PA
USD
27399306.54000000
0.836913493709
Long
STIV
UST
US
N
2
2024-03-07
None
0.00000000
N
N
N
N
N
N
GSF 2021 1 ISSUER LLC
N/A
GSF 2021 1 ISSUER LLC
36261CAE1
249000.00000000
PA
USD
224176.44000000
0.006847483068
Long
ABS-O
CORP
US
N
3
2026-08-15
Variable
3.97900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FQBW6
126982.81000000
PA
USD
114552.27000000
0.003499006091
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNA94
8494527.04000000
PA
USD
6799544.40000000
0.207692499484
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2019-C51
95001VAY6
1269000.00000000
PA
USD
1023530.10000000
0.031263789492
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Variable
3.83600000
N
N
N
N
N
N
ADVANCE AUTO PARTS
529900UCNQ5H9FSL0Y70
Advance Auto Parts Inc
00751YAE6
8625000.00000000
PA
USD
7001085.00000000
0.213848569435
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.90000000
N
N
N
N
N
N
LSTAR Commercial Mortgage Trust
N/A
LSTAR Commercial Mortgage Trust 2016-4
50219QAC8
1227780.75000000
PA
USD
1192317.78000000
0.036419419499
Long
ABS-MBS
CORP
US
N
2
2049-03-10
Fixed
2.57900000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2022-A
12659WAE8
5564000.00000000
PA
USD
5314801.24000000
0.162340928871
Long
ABS-O
CORP
US
N
2
2029-04-16
Fixed
2.17000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967GD7
1058000.00000000
PA
USD
1058994.52000000
0.032347052370
Long
DBT
CORP
US
N
2
2023-10-30
Variable
9.69900000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2017-SCH
054966AA4
10570000.00000000
PA
USD
9487830.82000000
0.289806372570
Long
ABS-MBS
CORP
US
N
2
2033-11-15
Floating
6.38000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
902973AZ9
3485000.00000000
PA
USD
2916038.90000000
0.089070586513
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.30000000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BZ6
3643000.00000000
PA
USD
3523582.46000000
0.107628041704
Long
DBT
CORP
US
N
2
2032-10-11
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FDQS8
182745.79000000
PA
USD
167292.26000000
0.005109952311
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAJ6
4678000.00000000
PA
USD
4628413.20000000
0.141375164217
Long
DBT
CORP
DE
N
2
2026-07-14
Fixed
6.11900000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912797GE1
9632300.00000000
PA
USD
9458966.76000000
0.288924718092
Long
STIV
UST
US
N
2
2024-02-01
None
0.00000000
N
N
N
N
N
N
MAGYAR EXPORT-IMPORT BAN
529900O4UGETQ9Q3AA63
Magyar Export-Import Bank Zrt
55977YAA6
4878000.00000000
PA
USD
4791903.30000000
0.146368979319
Long
DBT
NUSS
HU
N
2
2027-12-04
Fixed
6.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FRG82
944322.40000000
PA
USD
861446.12000000
0.026312924412
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ITF7RKPWPZQ19
Freddie Mac STACR REMIC Trust 2020-DNA5
35566AAH2
1880462.07000000
PA
USD
1898683.75000000
0.057995411246
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Floating
8.11500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746TD3
2664000.00000000
PA
USD
2322794.88000000
0.070949911646
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.90000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
943000.00000000
PA
USD
669633.73000000
0.020454003230
Long
DBT
CORP
FR
N
2
2031-02-25
Fixed
4.62500000
N
N
N
N
Y
BNP Paribas SA
BNP Paribas SA
USD
XXXX
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHA2
16210200.00000000
PA
USD
15455412.56000000
0.472086521731
Long
DBT
UST
US
N
2
2028-04-30
Fixed
3.50000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
JPMorgan Chase Bank NA - CHASE
46591HAC4
675680.59000000
PA
USD
676150.86000000
0.020653069364
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
7.53400000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YER2
4283000.00000000
PA
USD
4024777.93000000
0.122937087983
Long
DBT
CORP
US
N
2
2028-04-20
Fixed
4.21000000
N
N
N
N
N
N
JBS USA LUX SA/FOOD/LUX
N/A
JBS USA LUX SA / JBS USA Food Co / JBS Luxembourg SARL
47214BAA6
4192000.00000000
PA
USD
4079025.60000000
0.124594086381
Long
DBT
CORP
XX
N
2
2034-03-15
Fixed
6.75000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0AD1
369875.70000000
PA
USD
371581.05000000
0.011349965894
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Floating
9.67900000
N
N
N
N
N
N
OEC FINANCE LTD
N/A
OEC Finance Ltd
67614CAF7
781962.00000000
PA
USD
54080.49000000
0.001651891874
Long
DBT
CORP
KY
N
2
2046-12-26
Fixed
7.12500000
N
N
Y
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
12769GAB6
1793000.00000000
PA
USD
1743746.29000000
0.053262837056
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
7.00000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2023-1
23346KAA8
3548718.05000000
PA
USD
3536800.39000000
0.108031784185
Long
ABS-O
CORP
US
N
2
2027-04-15
Fixed
5.48000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B93R3
8148111.86000000
PA
USD
6517159.72000000
0.199067042166
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Lendbuzz Securitization Trust
N/A
Lendbuzz Securitization Trust 2023-2
52608MAB4
4487000.00000000
PA
USD
4475640.26000000
0.136708705423
Long
ABS-O
CORP
US
N
2
2028-10-16
Fixed
7.09000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QN6A5
13998906.24000000
PA
USD
11196840.37000000
0.342008173779
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IRODEKU3J3Q16
Freddie Mac STACR REMIC Trust 2022-HQA1
35564KTB5
1664330.00000000
PA
USD
1719828.58000000
0.052532269142
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
8.81500000
N
N
N
N
N
N
ORGANON & CO/ORG
N/A
Organon & Co / Organon Foreign Debt Co-Issuer BV
000000000
1420000.00000000
PA
1292299.84000000
0.039473377635
Long
DBT
CORP
US
N
2
2028-04-30
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R08
20755DAA4
5891424.10000000
PA
USD
5999564.72000000
0.183257071240
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Floating
7.86500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20753YCK6
1746986.00000000
PA
USD
1772107.66000000
0.054129136837
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
8.41500000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDS0
7918000.00000000
PA
USD
7718783.12000000
0.235770702397
Long
DBT
CORP
NL
N
2
2029-02-28
Fixed
5.56400000
N
N
N
N
N
N
NATURA &CO LUX HLD SARL
54930074AZRQQPMINM11
Natura &Co Luxembourg Holdings Sarl
63884WAA6
2258000.00000000
PA
USD
2077360.00000000
0.063453088228
Long
DBT
CORP
LU
N
2
2029-04-19
Fixed
6.00000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-24CB
02146TAR8
1969598.26000000
PA
USD
1040976.60000000
0.031796693901
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
5.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHT1
8647200.00000000
PA
USD
8172955.13000000
0.249643414215
Long
DBT
UST
US
N
2
2033-08-15
Fixed
3.87500000
N
N
N
N
N
N
CAJUN GLOBAL LLC
N/A
Cajun Global LLC
12803VAA3
1724511.25000000
PA
USD
1507098.67000000
0.046034421033
Long
ABS-O
CORP
US
N
2
2051-11-20
Fixed
3.93100000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2020-1R
730151AA5
796512.17000000
PA
USD
788443.82000000
0.024083064694
Long
ABS-MBS
CORP
US
N
2
2025-02-27
Floating
8.77900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJEV6
325758.28000000
PA
USD
297205.08000000
0.009078147342
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Pikes Peak CLO
549300NJA5BS4BQQJL72
Pikes Peak CLO 8
72133CAA0
7300000.00000000
PA
USD
7213465.80000000
0.220335753958
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.75800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FKHF0
40979.11000000
PA
USD
36967.60000000
0.001129177602
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0LA5
1030433.65000000
PA
USD
1074171.44000000
0.032810632319
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Floating
9.27900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FG2X6
271083.99000000
PA
USD
248347.77000000
0.007585797820
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAR4
4872000.00000000
PA
USD
3451227.36000000
0.105417950750
Long
DBT
CORP
US
N
2
2031-10-28
Fixed
2.87500000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BM6
1755000.00000000
PA
USD
1590223.05000000
0.048573460303
Long
DBT
CORP
US
N
2
2034-01-24
Fixed
5.06800000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAT4
6204000.00000000
PA
USD
6052808.52000000
0.184883406367
Long
DBT
CORP
IT
N
2
2024-06-26
Fixed
5.01700000
N
N
N
N
N
N
Deutsche Alt-A Securities INC Mortgage Loan Trust
N/A
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4
25150PAB5
3692490.80000000
PA
USD
1206764.70000000
0.036860701554
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.81400000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAQ5
4124000.00000000
PA
USD
3857507.12000000
0.117827790863
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
5.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WENA3
2472579.15000000
PA
USD
2100250.27000000
0.064152272925
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
3.00000000
N
N
N
N
N
N
LKQ CORP
DS830JTTZQN6GK0I2E41
LKQ Corp
501889AC3
4277000.00000000
PA
USD
4178714.54000000
0.127639091149
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132Y1SN9
2229394.10000000
PA
USD
2023348.82000000
0.061803313433
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RM2
23139000.00000000
PA
USD
17159014.69000000
0.524123152966
Long
DBT
UST
US
N
2
2045-05-15
Fixed
3.00000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAB8
3208000.00000000
PA
USD
2727409.52000000
0.083308890567
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.20000000
N
N
N
N
N
N
Kubota Credit Owner Trust
N/A
Kubota Credit Owner Trust 2023-1
50117KAB6
5570000.00000000
PA
USD
5540338.08000000
0.169229965440
Long
ABS-O
CORP
US
N
2
2026-02-17
Fixed
5.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B6UF5
16419754.00000000
PA
USD
13677829.13000000
0.417790127164
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AC5
8330000.00000000
PA
USD
7597459.80000000
0.232064874169
Long
DBT
CORP
JP
N
2
2027-09-17
Fixed
4.34500000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAS0
530000.00000000
PA
USD
501549.60000000
0.015319863201
Long
DBT
CORP
BM
N
2
2026-06-15
Fixed
4.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TK4
19568600.00000000
PA
USD
15844450.81000000
0.483969718866
Long
DBT
UST
US
N
2
2042-08-15
Fixed
3.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XX68
19772522.75000000
PA
USD
19196497.75000000
0.586358197624
Long
ABS-MBS
USGA
US
N
2
2053-04-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FBE48
68054.01000000
PA
USD
62208.65000000
0.001900167018
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.50000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AWN63
27220000.00000000
PA
USD
26429531.20000000
0.807291646648
Long
DBT
USGSE
US
N
2
2028-06-30
Fixed
4.00000000
N
N
N
N
N
N
Palmer Square CLO Ltd
N/A
Palmer Square CLO 2021-4 Ltd
69702EAA3
730000.00000000
PA
USD
726656.60000000
0.022195770281
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
6.74000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJKW7
22873.49000000
PA
USD
20868.93000000
0.000637442742
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-J1
12668BKK8
469483.54000000
PA
USD
321975.19000000
0.009834751867
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B0DZ6
5554151.23000000
PA
USD
487928.30000000
0.014903799759
Long
ABS-MBS
USGSE
US
N
2
2047-12-25
Floating
0.77100000
N
N
N
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
200447AL4
1800000.00000000
PA
USD
1611000.00000000
0.049208093511
Long
DBT
CORP
MX
N
2
2029-05-15
Fixed
4.68800000
N
N
N
N
N
N
LENOVO GROUP LTD
254900VUZRGD5U73RE46
Lenovo Group Ltd
000000000
5309000.00000000
PA
USD
5224002.91000000
0.159567488329
Long
DBT
CORP
HK
N
2
2032-07-27
Fixed
6.53600000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912797HW0
13561000.00000000
PA
USD
13390658.79000000
0.409018491568
Long
STIV
UST
US
N
2
2023-12-26
None
0.00000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAT6
1999000.00000000
PA
USD
1511423.91000000
0.046166535753
Long
DBT
CORP
US
N
2
2047-09-20
Fixed
5.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FPWG0
403663.25000000
PA
USD
368795.95000000
0.011264894844
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300LCOEVXWN75LP18
Neuberger Berman Loan Advisers Clo 43 Ltd
64134AAA0
6910400.00000000
PA
USD
6865592.97000000
0.209709957094
Long
ABS-CBDO
CORP
KY
N
2
2035-07-17
Floating
6.70000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KT58
13048179.52000000
PA
USD
13170442.27000000
0.402291964499
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Floating
7.41500000
N
N
N
N
N
N
Hardee's Funding LLC and Carls' Jr Funding LLC
N/A
Hardee's Funding LLC
411707AH5
2578080.98000000
PA
USD
2169027.18000000
0.066253067847
Long
ABS-O
CORP
US
N
2
2050-12-20
Fixed
3.98100000
N
N
N
N
N
N
Rockford Tower CLO Ltd
N/A
Rockford Tower CLO 2021-3 Ltd
77341NAJ4
3200000.00000000
PA
USD
3063596.80000000
0.093577751592
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
8.83800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402C4G4
192965.14000000
PA
USD
192842.45000000
0.005890384427
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
HOST HOTELS & RESORTS LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts LP
44107TAZ9
1343000.00000000
PA
USD
1118517.55000000
0.034165186961
Long
DBT
US
N
2
2030-09-15
Fixed
3.50000000
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BV4
8375000.00000000
PA
USD
8513857.50000000
0.260056297953
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
6.75000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CY3
2541000.00000000
PA
USD
2497879.23000000
0.076297873823
Long
DBT
CORP
US
N
2
2026-02-13
Fixed
4.87500000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BQ0
2016000.00000000
PA
USD
2012129.28000000
0.061460611897
Long
DBT
CORP
US
N
2
2033-10-06
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FVXJ6
9306445.98000000
PA
USD
1683061.45000000
0.051409214908
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0426A6
8559000.00000000
PA
USD
7859900.02000000
0.240081126737
Long
ABS-MBS
USGSE
US
N
2
2048-10-11
Fixed
4.50000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2022-2 Ltd
07876GAA8
7386757.00000000
PA
USD
7587038.57000000
0.231746557061
Long
ABS-MBS
CORP
US
N
2
2032-09-27
Floating
9.31500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FL6N3
344251.70000000
PA
USD
310552.38000000
0.009485841437
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XBS4
10945621.46000000
PA
USD
9601281.33000000
0.293271725335
Long
ABS-MBS
USGA
US
N
2
2052-07-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QN6B3
10956903.90000000
PA
USD
8760310.92000000
0.267584232737
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
2.50000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AY5
1858000.00000000
PA
USD
1421035.56000000
0.043405618075
Long
DBT
CORP
IT
N
2
2032-06-03
Fixed
3.12700000
N
N
N
N
N
N
BRASKEM NETHERLANDS
2549000TLMHFQ74DS330
Braskem Netherlands Finance BV
10554TAD7
1724000.00000000
PA
USD
1396871.00000000
0.042667510112
Long
DBT
CORP
NL
N
2
2030-01-31
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGC9
75973200.00000000
PA
USD
73658391.56000000
2.249900074351
Long
DBT
UST
US
N
2
2027-12-31
Fixed
3.87500000
N
N
N
N
N
N
BANCO DE CREDITO DEL PER
549300EQYQ8SCQZ4BY14
Banco de Credito del Peru S.A.
05971U2C0
5996000.00000000
PA
USD
5510330.00000000
0.168313366802
Long
DBT
CORP
PE
N
2
2030-07-01
Fixed
3.12500000
N
N
N
N
Y
Banco de Credito del Peru
Banco de Credito del Peru
USD
XXXX
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F6MD6
6797329.51000000
PA
USD
1091361.55000000
0.033335705280
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0406A6
13579513.00000000
PA
USD
12234769.13000000
0.373711771222
Long
ABS-MBS
USGA
US
N
2
2053-10-20
Fixed
4.00000000
N
N
N
N
N
N
OCP CLO Ltd
254900MN6N176YEZLX15
OCP CLO 2020-18 Ltd
671078AN3
8088000.00000000
PA
USD
8068111.61000000
0.246440962485
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
6.67800000
N
N
N
N
N
N
Research-Driven Pagaya Motor Asset Trust I
N/A
Research-Driven Pagaya Motor Asset Trust VII
76088TAA9
4368913.74000000
PA
USD
4298177.97000000
0.131288108923
Long
ABS-O
CORP
US
N
2
2030-11-25
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ANQT7
5238073.80000000
PA
USD
536739.14000000
0.016394729852
Long
ABS-MBS
USGSE
US
N
2
2045-05-25
Floating
1.02100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FLSL3
24975.58000000
PA
USD
22798.92000000
0.000696394405
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAV8
4830000.00000000
PA
USD
2755949.70000000
0.084180652110
Long
DBT
CORP
KY
N
2
2050-06-03
Fixed
3.24000000
N
N
N
N
N
N
Peace Park CLO, Ltd.
549300XHXTUZ93V6SK42
Peace Park CLO Ltd
70470MAL9
400000.00000000
PA
USD
386564.80000000
0.011807645454
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
8.53800000
N
N
N
N
N
N
MT LOGAN RE LTD
N/A
MT LOGAN RE LTD
000000000
1462.68000000
NS
USD
796458.73000000
0.024327880610
Long
EP
CORP
BM
N
3
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJD88
135518.84000000
PA
USD
123724.05000000
0.003779158672
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
CSN RESOURCES SA
222100ZEX458NMOXZP08
CSN Resources SA
12644VAD0
1862000.00000000
PA
USD
1408472.66000000
0.043021883526
Long
DBT
CORP
LU
N
2
2031-06-10
Fixed
4.62500000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: IS1D987 CDS USD R F 3.00000 IS1D987 CMBX-BBB--413312 / Short: IS1D987 CDS USD P V 00MEVENT IS1D998 CMBX-BBB--413312
000000000
121210.14000000
OU
Notional Amount
USD
-17442.14000000
-0.00053277123
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-15018.46000000
USD
121210.14000000
USD
-2423.68000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F6RL3
13787827.13000000
PA
USD
3170514.98000000
0.096843573938
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FDFB7
224542.24000000
PA
USD
205267.80000000
0.006269917502
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-P4
14687KAG1
4063000.00000000
PA
USD
3459494.58000000
0.105670473491
Long
ABS-O
CORP
US
N
2
2028-09-11
Fixed
2.61000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFM8
20691800.00000000
PA
USD
20265031.63000000
0.618996630328
Long
DBT
UST
US
N
2
2027-09-30
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CCM4
117314.26000000
PA
USD
107169.46000000
0.003273497709
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE3 Mortgage Trust
12624PAU9
3938066.00000000
PA
USD
1181419.80000000
0.036086540033
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Variable
4.43800000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 78 CLO Ltd
26253LAE2
4670000.00000000
PA
USD
4615940.08000000
0.140994172004
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
7.52000000
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
Americredit Automobile Receivables Trust 2023-1
03067BAB5
6529757.47000000
PA
USD
6526700.24000000
0.199358457933
Long
ABS-O
CORP
US
N
2
2026-10-19
Fixed
5.84000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FBL32
1110216.43000000
PA
USD
1014927.55000000
0.031001024076
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
2.50000000
N
N
N
N
N
N
WESTINGHOUSE AIR BRAKE
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
960386AQ3
1117000.00000000
PA
USD
1061418.08000000
0.032421080158
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.20000000
N
N
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
Ovintiv Inc
69047QAC6
2216000.00000000
PA
USD
2145265.28000000
0.065527259158
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
6.25000000
N
N
N
N
N
N
NATIONAL GRID PLC
8R95QZMKZLJX5Q2XR704
National Grid PLC
636274AE2
3036000.00000000
PA
USD
2949443.64000000
0.090090936339
Long
DBT
CORP
GB
N
2
2033-06-12
Fixed
5.80900000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SD1
28273800.00000000
PA
USD
20626620.66000000
0.630041389360
Long
DBT
UST
US
N
2
2048-08-15
Fixed
3.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DS5
9225000.00000000
PA
USD
9731544.75000000
0.297250629464
Long
DBT
CORP
GB
N
2
2033-11-03
Fixed
8.11300000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AV3
5635000.00000000
PA
USD
4216107.00000000
0.128781246126
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
2.87500000
N
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
958102AR6
408000.00000000
PA
USD
298423.44000000
0.009115362223
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
3.10000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) DEC23
000000000
181.00000000
NC
USD
-1147132.60000000
-0.03503923541
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT U.S. Long Bond Futures
USZ3 Comdty
2023-12-19
21741538.85000000
USD
-1147132.60000000
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2023-3
80285XAD7
4065000.00000000
PA
USD
4027395.50000000
0.123017041819
Long
ABS-O
CORP
US
N
2
2028-07-17
Fixed
5.61000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MA4G6
10687160.21000000
PA
USD
8544644.29000000
0.260996682336
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
KBC GROUP NV
213800X3Q9LSAKRUWY91
KBC Group NV
48241FAB0
1666000.00000000
PA
USD
1626165.94000000
0.049671338076
Long
DBT
CORP
BE
N
2
2029-01-19
Fixed
5.79600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380GH49
5340715.38000000
PA
USD
511648.54000000
0.015628335941
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Floating
0.76100000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBR5
8570000.00000000
PA
USD
7245249.40000000
0.221306585964
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.25900000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254AA8
300000.00000000
PA
USD
278664.00000000
0.008511808920
Long
DBT
CORP
GB
N
2
2027-01-30
Variable
7.14100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJN53
195947.32000000
PA
USD
178653.83000000
0.005456992161
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
Altice Financing SA
000000000
2174000.00000000
PA
1934959.98000000
0.059103470910
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJRV2
135367.30000000
PA
USD
123419.28000000
0.003769849454
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
GCI Funding I LLC
N/A
GCI Funding I LLC
36166VAE5
2161482.46000000
PA
USD
1826014.55000000
0.055775726089
Long
ABS-O
CORP
US
N
2
2046-06-18
Fixed
2.38000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TR9
27234800.00000000
PA
USD
22519775.25000000
0.687867912077
Long
DBT
UST
US
N
2
2053-05-15
Fixed
3.62500000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AW9
3067000.00000000
PA
USD
3175142.42000000
0.096984919376
Long
DBT
CORP
GB
N
2
2033-11-15
Fixed
7.95300000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAV2
1152000.00000000
PA
USD
1149684.48000000
0.035117182743
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBV1
4713000.00000000
PA
USD
4423291.89000000
0.135109721260
Long
DBT
CORP
US
N
2
2033-09-11
Fixed
4.89300000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
207942AA1
7020741.27000000
PA
USD
7044724.82000000
0.215181550406
Long
ABS-MBS
USGSE
US
N
2
2043-06-25
Floating
7.21500000
N
N
N
N
N
N
Multifamily Structured Credit Risk
N/A
Freddie Mac Multifamily Structured Credit Risk
35563FAA9
728404.17000000
PA
USD
705711.61000000
0.021556004281
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Floating
7.31500000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BL6
1323000.00000000
PA
USD
1300178.25000000
0.039714024151
Long
DBT
CORP
US
N
2
2033-09-01
Fixed
6.05000000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
000000000
5113000.00000000
PA
5307281.57000000
0.162111240091
Long
DBT
CORP
US
N
2
2034-11-02
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WQKW1
671305.59000000
PA
USD
596485.09000000
0.018219673548
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0406A0
29289528.00000000
PA
USD
26085974.16000000
0.796797675853
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.00000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AU2
9632000.00000000
PA
USD
8574310.08000000
0.261902825705
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAW2
5027000.00000000
PA
USD
4710851.97000000
0.143893261488
Long
DBT
CORP
US
N
2
2033-05-01
Fixed
4.90000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) DEC23
000000000
6030.00000000
NC
USD
-6038223.07000000
-0.18443789290
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year U.S. Treasury Notes
FVZ3 Comdty
2023-12-29
641355254.32000000
USD
-6038223.07000000
N
N
N
TRANE TECH FIN LTD
549300A5OEF3CJI2CO89
Trane Technologies Financing Ltd
892938AA9
1849000.00000000
PA
USD
1781363.58000000
0.054411859480
Long
DBT
CORP
IE
N
2
2033-03-03
Fixed
5.25000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBT7
2002000.00000000
PA
USD
1732851.12000000
0.052930043422
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
4.15000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912797HC4
102015000.00000000
PA
USD
101685831.26000000
3.105999933843
Long
STIV
UST
US
N
2
2023-10-24
None
0.00000000
N
N
N
N
N
N
Neighborly Issuer LLC
N/A
Neighborly Issuer 2023-1
64016NAE7
6600830.00000000
PA
USD
6404065.86000000
0.195612583297
Long
ABS-O
CORP
US
N
2
2053-01-30
Fixed
7.30800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FMNS1
290078.87000000
PA
USD
264634.51000000
0.008083277290
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
AB Issuer LLC
N/A
AB Issuer LLC
00091JAA6
8340980.00000000
PA
USD
6945041.93000000
0.212136730435
Long
ABS-O
CORP
US
N
2
2051-07-30
Fixed
3.73400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MA4D3
8778453.79000000
PA
USD
7021330.39000000
0.214466966111
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
INTERPUBLIC GROUP COS
5493008IUOJ5VWTRC333
Interpublic Group of Cos Inc/The
460690BP4
1966000.00000000
PA
USD
1849750.42000000
0.056500739689
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
4.65000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0306A1
9249170.00000000
PA
USD
7646827.14000000
0.233572802588
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMZC1
8357125.61000000
PA
USD
6689559.81000000
0.204333013457
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M43N1
479427.16000000
PA
USD
479843.83000000
0.014656859129
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TH1
11592800.00000000
PA
USD
9230767.00000000
0.281954342468
Long
DBT
UST
US
N
2
2042-05-15
Fixed
3.25000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XEH5
3929000.00000000
PA
USD
3835764.83000000
0.117163671286
Long
DBT
CORP
US
N
2
2028-06-23
Fixed
5.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132Y2M60
1211382.58000000
PA
USD
1165473.36000000
0.035599455048
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IRILHAKSCHN59
Freddie Mac STACR REMIC Trust 2023-DNA1
35564KP37
4131382.48000000
PA
USD
4169325.51000000
0.127352302653
Long
ABS-MBS
USGSE
US
N
2
2043-03-25
Floating
7.41500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YEN3
44483.63000000
PA
USD
43464.04000000
0.001327611759
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
4.50000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BL6
6432000.00000000
PA
USD
6130596.48000000
0.187259444362
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.90000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAF8
1300000.00000000
PA
USD
1288079.00000000
0.039344451819
Long
DBT
CORP
US
N
2
2024-01-30
Fixed
4.37500000
N
N
N
N
N
N
AIB Group PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAB0
1293000.00000000
PA
USD
1274419.59000000
0.038927224306
Long
DBT
CORP
IE
N
2
2025-04-10
Fixed
4.26300000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-IMC
05608BAN0
6595459.00000000
PA
USD
6460249.45000000
0.197328714489
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
7.59600000
N
N
N
N
N
N
MT LOGAN SPECIAL INVESTMENT
N/A
MT LOGAN SPECIAL INVESTMENT
000000000
2135.50000000
NS
USD
1861050.29000000
0.056845894909
Long
EC
CORP
US
N
3
N
N
N
ENTEGRIS ESCROW CORP
IYX6OWO7BT5DKO3BYG52
Entegris Escrow Corp
29365BAA1
5311000.00000000
PA
USD
4770605.75000000
0.145718444352
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
Santander Bank Auto Credit-Linked Notes
N/A
Santander Bank Auto Credit-Linked Notes Series 2022-C
80290CBF0
3632852.71000000
PA
USD
3622560.11000000
0.110651320076
Long
ABS-O
CORP
US
N
2
2032-12-15
Fixed
6.45100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DDX4
183622.13000000
PA
USD
183949.00000000
0.005618733453
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TS7
19717500.00000000
PA
USD
17129578.13000000
0.523224011440
Long
DBT
UST
US
N
2
2043-05-15
Fixed
3.87500000
N
N
N
N
N
N
INTERPUBLIC GROUP COS
5493008IUOJ5VWTRC333
Interpublic Group of Cos Inc/The
460690BU3
3206000.00000000
PA
USD
2992288.04000000
0.091399621157
Long
DBT
CORP
US
N
2
2033-06-15
Fixed
5.37500000
N
N
N
N
N
N
Bankers Healthcare Group Securitization Trust
N/A
BHG Securitization Trust 2022-A
054977AA1
905086.91000000
PA
USD
874540.14000000
0.026712882053
Long
ABS-O
CORP
US
N
2
2035-02-20
Fixed
1.71000000
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CS4
2332000.00000000
PA
USD
2243827.08000000
0.068537835366
Long
DBT
CORP
US
N
2
2033-06-15
Fixed
5.70000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
N/A
Rockford Tower CLO 2021-2 Ltd
77341LAA7
5448735.00000000
PA
USD
5408169.17000000
0.165192858002
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.74800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YGJ0
8542.71000000
PA
USD
8345.42000000
0.000254911364
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
OCHSNER LSU HEALTH SYST
N/A
Ochsner LSU Health System of North Louisiana
67555JAA4
5660000.00000000
PA
USD
3991262.20000000
0.121913347961
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.51000000
N
N
N
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978VAU7
5180000.00000000
PA
USD
5158399.40000000
0.157563625104
Long
DBT
CORP
US
N
2
2025-11-14
Fixed
5.40000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAH4
2808000.00000000
PA
USD
2761499.52000000
0.084350171701
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
5.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AP3
2852000.00000000
PA
USD
2496327.08000000
0.076250463306
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CL4
542000.00000000
PA
USD
471458.70000000
0.014400734820
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.45000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SK5
2885000.00000000
PA
USD
1842793.75000000
0.056288247779
Long
DBT
UST
US
N
2
2049-11-15
Fixed
2.37500000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DB3
3333000.00000000
PA
USD
3140852.55000000
0.095937533200
Long
DBT
CORP
US
N
2
2032-08-19
Fixed
6.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FDEN2
109188.83000000
PA
USD
99749.65000000
0.003046859158
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402C4H2
208995.49000000
PA
USD
208843.42000000
0.006379135034
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDM0
32278700.00000000
PA
USD
32021479.11000000
0.978098037502
Long
DBT
UST
US
N
2
2023-11-30
Fixed
0.50000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2007-8 Trust
94986ABE7
0.00000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
5.75000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CE7
4221000.00000000
PA
USD
3815868.42000000
0.116555934226
Long
DBT
CORP
DE
N
2
2026-11-24
Fixed
2.12900000
N
N
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
Ovintiv Inc
69047QAB8
1555000.00000000
PA
USD
1521054.35000000
0.046460698132
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
5.65000000
N
N
N
N
N
N
Affirm Inc
N/A
Affirm Asset Securitization Trust 2021-Z2
00834TAA6
658992.10000000
PA
USD
637673.24000000
0.019477768109
Long
ABS-O
CORP
US
N
2
2026-11-16
Fixed
1.17000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05565A5R0
1560000.00000000
PA
USD
1530032.40000000
0.046734933218
Long
DBT
CORP
FR
N
2
2028-08-14
Fixed
8.50000000
N
N
N
N
Y
BNP Paribas SA
BNP Paribas SA
USD
XXXX
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DRX3
1949265.98000000
PA
USD
1737051.34000000
0.053058339399
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CJ7
3723000.00000000
PA
USD
3583238.58000000
0.109450241538
Long
DBT
CORP
GB
N
2
2026-03-30
Fixed
3.97100000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738ECG8
3451000.00000000
PA
USD
3270305.64000000
0.099891685750
Long
DBT
CORP
GB
N
2
2034-05-09
Fixed
6.22400000
N
N
N
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
Electricite de France SA
28504KAA5
1420000.00000000
PA
USD
1477879.20000000
0.045141910535
Long
DBT
CORP
FR
N
2
2033-03-15
Fixed
9.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QYV7
1009792.42000000
PA
USD
1009512.51000000
0.030835621348
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RD2
10205000.00000000
PA
USD
8650332.03000000
0.264224920817
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148BAD0
1153000.00000000
PA
USD
1148976.03000000
0.035095543095
Long
DBT
CORP
US
N
2
2023-10-30
Variable
8.50100000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95002YAA1
1827000.00000000
PA
USD
1849453.83000000
0.056491680329
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
7.62500000
N
N
N
N
N
N
College Ave Student Loans
N/A
College Ave Student Loans 2021-C LLC
19424WAC1
2201713.00000000
PA
USD
1893821.93000000
0.057846906657
Long
ABS-O
CORP
US
N
2
2055-07-26
Fixed
2.72000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGM7
24242500.00000000
PA
USD
22250069.53000000
0.679629734367
Long
DBT
UST
US
N
2
2033-02-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WPG65
7049137.65000000
PA
USD
6272803.43000000
0.191603164346
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AF4
8755000.00000000
PA
USD
7472742.70000000
0.228255382723
Long
DBT
CORP
US
N
2
2029-08-08
Fixed
3.90000000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAU5
8390000.00000000
PA
USD
7119754.00000000
0.217473321297
Long
DBT
CORP
BM
N
2
2028-01-26
Fixed
2.85000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
Long: IS17H29 CDS USD R F 3.00000 IS17H29 CMBX-BBB--379858 / Short: IS17H29 CDS USD P V 00MEVENT IS17H30 CMBX-BBB--379858
000000000
672032.00000000
OU
Notional Amount
USD
-96705.40000000
-0.00295387235
N/A
DCR
US
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-49733.75000000
USD
672032.00000000
USD
-46971.65000000
N
N
N
OEC FINANCE LTD
N/A
OEC Finance Ltd
67614CAE0
2634733.00000000
PA
USD
105389.32000000
0.003219123223
Long
DBT
CORP
KY
N
2
2033-12-27
Fixed
5.25000000
N
N
Y
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFH9
14336100.00000000
PA
USD
13531934.39000000
0.413333763409
Long
DBT
UST
US
N
2
2027-08-31
Fixed
3.12500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGP0
13956300.00000000
PA
USD
13598669.81000000
0.415372200894
Long
DBT
UST
US
N
2
2028-02-29
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJKX5
668147.96000000
PA
USD
609599.36000000
0.018620249727
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AT3
2211000.00000000
PA
USD
2205649.38000000
0.067371695185
Long
DBT
CORP
JP
N
2
2023-11-26
Fixed
4.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AY51
4382575.92000000
PA
USD
4060069.61000000
0.124015074507
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISUYHCRLRBE46
Freddie Mac STACR REMIC Trust 2021-DNA3
35564KEL9
3221370.00000000
PA
USD
3226890.46000000
0.098565566422
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Floating
7.41500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FLTR9
236570.99000000
PA
USD
215276.36000000
0.006575629580
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F2B41
7842.41000000
PA
USD
7193.08000000
0.000219713068
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XCL6
976425.65000000
PA
USD
1031243.85000000
0.031499406457
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Floating
10.72900000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAH0
604000.00000000
PA
USD
527237.64000000
0.016104505953
Long
DBT
CORP
DE
N
2
2028-01-07
Fixed
2.55200000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT DEC23
000000000
1022.00000000
NC
USD
-3564940.44000000
-0.10889132373
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Ultra 10-Year U.S. Treasury Notes Futures
UXYZ3 Comdty
2023-12-19
117581815.44000000
USD
-3564940.44000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCE1
1424000.00000000
PA
USD
1168021.76000000
0.035677296082
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
Diamond Infrastructure Funding LLC
N/A
Diamond Infrastructure Funding LLC
25265LAC4
3650820.00000000
PA
USD
3098556.08000000
0.094645584937
Long
ABS-O
CORP
US
N
2
2049-04-15
Fixed
2.35500000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 7 Ltd
48661CAE2
2090000.00000000
PA
USD
2069981.98000000
0.063227726156
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
7.57000000
N
N
N
N
N
N
Eagle Re 2018-1 Ltd.
549300BLEDGL5R7YKU33
Eagle RE 2018-1 Ltd
269826AB9
617200.00000000
PA
USD
618680.23000000
0.018897625457
Long
ABS-MBS
CORP
US
N
2
2028-11-25
Floating
8.42900000
N
N
N
N
N
N
Homebanc Mortgage Trust
N/A
HomeBanc Mortgage Trust 2005-1
43739EAP2
575617.51000000
PA
USD
463994.28000000
0.014172733655
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
5.93400000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QBC1
4119000.00000000
PA
USD
4044116.58000000
0.123527788230
Long
DBT
CORP
XX
N
2
2028-12-01
Fixed
5.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417BRN9
5906.10000000
PA
USD
5600.85000000
0.000171078305
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Fixed
2.50000000
N
N
N
N
N
N
GPS BLUE FINANCING DAC
635400J1S8CE6RWLCE97
GPS Blue Financing DAC
38403FAA7
4889000.00000000
PA
USD
4650221.24000000
0.142041292133
Long
DBT
CORP
IE
N
2
2041-11-09
Fixed
5.64500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810PT9
4156000.00000000
PA
USD
4222236.25000000
0.128968464442
Long
DBT
UST
US
N
2
2037-02-15
Fixed
4.75000000
N
N
N
N
N
N
PMT Credit Risk Transfer Trust
N/A
PMT Credit Risk Transfer Trust 2019-3R
69349MAA4
189446.17000000
PA
USD
188489.33000000
0.005757418110
Long
ABS-MBS
CORP
US
N
2
2031-11-27
Floating
9.12900000
N
N
N
N
N
N
Kings Park CLO Ltd
N/A
Kings Park CLO Ltd
496094AA1
8477180.00000000
PA
USD
8422112.24000000
0.257253933376
Long
ABS-CBDO
CORP
KY
N
2
2035-01-21
Floating
6.72500000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513BD6
1529000.00000000
PA
USD
1472702.22000000
0.044983779364
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.37500000
N
N
N
N
N
N
INFOR INC
549300Q3IIYBYI4RHD64
Infor Inc
45674CAA1
2719000.00000000
PA
USD
2502105.37000000
0.076426961528
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
1.75000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AG6
3900000.00000000
PA
USD
3322839.00000000
0.101496320443
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754AAB9
3513424.00000000
PA
USD
3441030.95000000
0.105106500784
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
6.96500000
N
N
N
N
N
N
LIMA METRO LINE 2 FIN LT
5493009BVQNQT1UKQ352
Lima Metro Line 2 Finance Ltd
532522AB5
418288.59000000
PA
USD
361781.98000000
0.011050652701
Long
DBT
CORP
KY
N
2
2036-04-05
Fixed
4.35000000
N
N
N
N
N
N
L Street Securities
549300T6W1U156OOG754
Wells Fargo Credit Risk Transfer Securities Trust 2015
949771AG4
228155.74000000
PA
USD
235150.56000000
0.007182688234
Long
ABS-MBS
CORP
US
N
2
2025-11-25
Floating
10.92900000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2013-WBRK
05525BAL4
2805000.00000000
PA
USD
2224513.38000000
0.067947897219
Long
ABS-MBS
CORP
US
N
2
2037-03-10
Variable
3.65200000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAV6
303000.00000000
PA
USD
278350.95000000
0.008502246788
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBP4
5587000.00000000
PA
USD
3406338.03000000
0.104046803421
Long
DBT
CORP
US
N
2
2051-06-04
Fixed
2.93900000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3
46590RAK5
3000000.00000000
PA
USD
2408382.30000000
0.073564184624
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
3.39700000
N
N
N
N
N
N
Regatta XIX Funding Ltd
N/A
Regatta XIX Funding Ltd
75888EAA6
5153055.00000000
PA
USD
5099720.88000000
0.155771286123
Long
ABS-CBDO
CORP
KY
N
2
2035-04-20
Floating
6.64600000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41284VAC6
1242000.00000000
PA
USD
1227592.80000000
0.037496897142
Long
DBT
CORP
US
N
2
2028-03-10
Fixed
6.50000000
N
N
N
N
N
N
APCOA PARKING HOLDINGS G
529900H8FIYAOV5FUW68
APCOA Parking Holdings GmbH
000000000
2174000.00000000
PA
2088037.53000000
0.063779234035
Long
DBT
CORP
DE
N
2
2027-01-15
Fixed
4.62500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHX2
13426700.00000000
PA
USD
13296628.84000000
0.406146340995
Long
DBT
UST
US
N
2
2028-08-31
Fixed
4.37500000
N
N
N
N
N
N
LAD Auto Receivables Trust
N/A
LAD Auto Receivables Trust 2022-1
501687AA5
3447522.80000000
PA
USD
3421275.09000000
0.104503056832
Long
ABS-O
CORP
US
N
2
2027-06-15
Fixed
5.21000000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VII Ltd
67389JAA6
5285582.07000000
PA
USD
5285603.74000000
0.161449089448
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
6.91500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2011-GC5
36191YAL2
333393.00000000
PA
USD
98496.73000000
0.003008588640
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
5.29900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FEX74
146046.38000000
PA
USD
133332.31000000
0.004072643562
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513BK0
7570000.00000000
PA
USD
6324962.10000000
0.193196354110
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
SWISS RE FINANCE LUX
549300CLQZ6TM98LW631
Swiss Re Finance Luxembourg SA
000000000
5000000.00000000
PA
USD
4691600.00000000
0.143305208887
Long
DBT
CORP
LU
N
2
2049-04-02
Fixed
5.00000000
N
N
N
N
N
N
REGAL REXNORD CORP
QH78R09VCJGQKPBPYU33
Regal Rexnord Corp
758750AC7
6295000.00000000
PA
USD
6214298.10000000
0.189816115463
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
6.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FARA2
89741.43000000
PA
USD
81824.41000000
0.002499331606
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS19B23 CDS USD R F 3.00000 IS19B23 CMBX-BBB--394944 / Short: IS19B23 CDS USD P V 00MEVENT IS19B34 CMBX-BBB--394944
000000000
2241410.02000000
OU
Notional Amount
USD
-322538.91000000
-0.00985197072
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-146747.33000000
USD
2241410.02000000
USD
-175791.58000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FDL61
90310.71000000
PA
USD
82221.09000000
0.002511448221
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBN4
3799000.00000000
PA
USD
3484062.90000000
0.106420914328
Long
DBT
CORP
US
N
2
2030-04-02
Fixed
4.90600000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCX1
1883000.00000000
PA
USD
1789527.88000000
0.054661238522
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.46800000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-C
64035GAC3
3421156.00000000
PA
USD
2671351.85000000
0.081596605609
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
2.53000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAQ8
3200000.00000000
PA
USD
2953472.00000000
0.090213982842
Long
DBT
CORP
ES
N
2
2028-03-24
Fixed
4.17500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFB2
20566400.00000000
PA
USD
19158887.00000000
0.585209374965
Long
DBT
UST
US
N
2
2027-07-31
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5YX5
223061.21000000
PA
USD
203240.95000000
0.006208007245
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
First Help Financial LLC
N/A
FHF Trust 2023-1
30331GAC5
3519045.01000000
PA
USD
3482114.39000000
0.106361396971
Long
ABS-O
CORP
US
N
2
2028-06-15
Fixed
6.57000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833ER7
5020000.00000000
PA
USD
3863392.00000000
0.118007544883
Long
DBT
CORP
US
N
2
2062-08-08
Fixed
4.10000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAV5
4131000.00000000
PA
USD
3686958.81000000
0.112618382306
Long
DBT
CORP
GB
N
2
2029-09-27
Fixed
8.00000000
N
N
N
N
Y
Lloyds Banking Group PLC
Lloyds Banking Group PLC
USD
XXXX
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05366DAA6
1599000.00000000
PA
USD
1547416.26000000
0.047265924284
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
6.37500000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISOMSKCX2AW62
Freddie Mac STACR REMIC Trust 2021-DNA7
35564KMH9
9563499.00000000
PA
USD
9339330.58000000
0.285270423658
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
7.11500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BFLM1
6533927.01000000
PA
USD
508691.70000000
0.015538019082
Long
ABS-MBS
USGSE
US
N
2
2044-12-15
Floating
0.67200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BYRV4
2761902.31000000
PA
USD
232275.71000000
0.007094875765
Long
ABS-MBS
USGSE
US
N
2
2047-06-15
Floating
0.72200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128NHWD1
339.76000000
PA
USD
342.77000000
0.000010469930
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Floating
4.60000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063BFR8
8520000.00000000
PA
USD
9987178.93000000
0.305058991124
Long
DBT
MUN
US
N
2
2040-03-01
Fixed
7.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9T37
2397633.49000000
PA
USD
2238524.61000000
0.068375871096
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
744320AN2
1970000.00000000
PA
USD
1935328.00000000
0.059114712103
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
5.20000000
N
N
N
N
N
N
Neighborly Issuer LLC
N/A
Neighborly Issuer 2022-1
64016NAC1
5440155.00000000
PA
USD
4432714.46000000
0.135397534237
Long
ABS-O
CORP
US
N
2
2052-01-30
Fixed
3.69500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LTJ8
901.70000000
PA
USD
927.35000000
0.000028325962
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.50000000
N
N
N
N
N
N
LIMA METRO LINE 2 FIN LT
5493009BVQNQT1UKQ352
Lima Metro Line 2 Finance Ltd
000000000
1008455.10000000
PA
USD
960553.48000000
0.029340164783
Long
DBT
CORP
KY
N
2
2034-07-05
Fixed
5.87500000
N
N
N
N
N
N
Aircastle Ltd
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAQ4
1481000.00000000
PA
USD
1456756.03000000
0.044496702015
Long
DBT
CORP
BM
N
2
2024-05-01
Fixed
4.12500000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AT6
4800000.00000000
PA
USD
4805280.00000000
0.146777571439
Long
DBT
CORP
CO
N
2
2029-01-19
Fixed
8.62500000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CU1
4607000.00000000
PA
USD
4551117.09000000
0.139014149811
Long
DBT
CORP
US
N
2
2025-11-17
Fixed
5.00000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AU3
1016000.00000000
PA
USD
949838.08000000
0.029012862235
Long
DBT
CORP
GB
N
2
2025-09-27
Fixed
7.50000000
N
N
N
N
Y
Lloyds Banking Group PLC
Lloyds Banking Group PLC
USD
XXXX
N
N
N
Sixth Street CLO LTD.
N/A
Sixth Street CLO XX Ltd
83012QAG9
1900000.00000000
PA
USD
1852399.30000000
0.056581649891
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
8.63800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0526A1
13531000.00000000
PA
USD
13131882.86000000
0.401114164962
Long
ABS-MBS
USGA
US
N
2
2053-10-20
Fixed
5.50000000
N
N
N
N
N
N
ZF NA CAPITAL
529900JYGMS9CW9IQX78
ZF North America Capital Inc
98877DAE5
1617000.00000000
PA
USD
1585630.20000000
0.048433171419
Long
DBT
CORP
US
N
2
2030-04-14
Fixed
7.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QB4P0
5895023.96000000
PA
USD
5151350.77000000
0.157348324270
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
KYNDRYL HOLDINGS INC
549300LQ4LWX2R8ZV130
Kyndryl Holdings Inc
50155QAJ9
9627000.00000000
PA
USD
8390026.77000000
0.256273880733
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.05000000
N
N
N
N
N
N
WESTINGHOUSE AIR BRAKE
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
960386AN0
4344000.00000000
PA
USD
4301646.00000000
0.131394040112
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9T45
3290826.08000000
PA
USD
3072444.23000000
0.093847996882
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAL2
6561000.00000000
PA
USD
6442049.07000000
0.196772782769
Long
DBT
CORP
US
N
2
2034-05-15
Fixed
6.87500000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAG3
1724000.00000000
PA
USD
1527895.00000000
0.046669646204
Long
DBT
CORP
NL
N
2
2027-01-19
Fixed
3.25700000
N
N
N
N
N
N
BELLEMEADE RE LT
254900SCWI9IDKK5LV64
Bellemeade Re 2019-3 Ltd
07877GAC3
343061.98000000
PA
USD
344061.66000000
0.010509384443
Long
ABS-MBS
CORP
BM
N
2
2029-07-25
Floating
7.38400000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAH9
2862000.00000000
PA
USD
2468475.00000000
0.075399719820
Long
DBT
CORP
KY
N
2
2028-08-26
Fixed
5.62500000
N
N
N
N
N
N
Regatta XX Funding Ltd
N/A
Regatta XX Funding Ltd
75884YAA6
11083780.00000000
PA
USD
11036496.59000000
0.337110463214
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
6.73000000
N
N
N
N
N
N
TSMC ARIZONA CORP
2549005GOBWLCSY63Q97
TSMC Arizona Corp
872898AF8
2710000.00000000
PA
USD
2575638.20000000
0.078673026317
Long
DBT
CORP
US
N
2
2027-04-22
Fixed
3.87500000
N
N
N
N
N
N
ENGIE ENERGIA CHILE SA
5493000FIKCC3ZDWTO77
Engie Energia Chile SA
000000000
3834000.00000000
PA
USD
3158564.22000000
0.096478537243
Long
DBT
CORP
CL
N
2
2030-01-28
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403NCL9
81.07000000
PA
USD
81.03000000
0.000002475066
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
09857LAW8
3033000.00000000
PA
3247395.92000000
0.099191906952
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296L3C3
499.39000000
PA
USD
493.21000000
0.000015065129
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
Countrywide Home Loans
5493008WNOU8I3M5WW38
CHL Mortgage Pass-Through Trust 2006-13
12543TAU9
592901.97000000
PA
USD
251500.12000000
0.007682086544
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.25000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAB8
1039000.00000000
PA
USD
792995.97000000
0.024222110394
Long
DBT
CORP
US
N
2
2030-06-05
Fixed
1.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FGS75
41331.33000000
PA
USD
37658.28000000
0.001150274465
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
VZ VENDOR FINANCING
724500DRKUUR3GFOSK76
VZ Vendor Financing II BV
000000000
2093000.00000000
PA
1709517.52000000
0.052217317184
Long
DBT
CORP
NL
N
2
2029-01-15
Fixed
2.87500000
N
N
N
N
N
N
FREEPORT INDONESIA PT
549300T4HTQHRKLNE619
Freeport Indonesia PT
69377FAA4
904000.00000000
PA
USD
857579.60000000
0.026194821322
Long
DBT
CORP
ID
N
2
2027-04-14
Fixed
4.76300000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AT8
3738000.00000000
PA
USD
3508524.18000000
0.107168085621
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912797HJ9
58965000.00000000
PA
USD
58653369.98000000
1.791570772645
Long
STIV
UST
US
N
2
2023-11-07
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HBFG8
1224823.01000000
PA
USD
1073274.68000000
0.032783240730
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
000000000
3196000.00000000
PA
2993363.09000000
0.091432458625
Long
DBT
CORP
US
N
2
2027-10-29
Fixed
0.40600000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CB3
1336000.00000000
PA
USD
1289373.60000000
0.039383995456
Long
DBT
CORP
DE
N
2
2025-11-26
Fixed
3.96100000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0EW5
644094.58000000
PA
USD
651833.51000000
0.019910294422
Long
ABS-MBS
USGSE
US
N
2
2027-10-25
Floating
8.72900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179YAS3
10094799.83000000
PA
USD
9800712.06000000
0.299363349178
Long
ABS-MBS
USGA
US
N
2
2053-07-20
Fixed
5.50000000
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8N5
3350000.00000000
PA
USD
3211779.00000000
0.098103985952
Long
DBT
CORP
US
N
2
2033-05-15
Fixed
4.95000000
N
N
N
N
N
N
Affirm Inc
N/A
Affirm Asset Securitization Trust 2022-A
00834WAB7
750000.00000000
PA
USD
726119.63000000
0.022179368499
Long
ABS-O
CORP
US
N
2
2027-05-17
Fixed
4.64000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS1C4Z6 CDS USD R F 3.00000 IS1C4Z6 CMBX-BBB--409304 / Short: IS1C4Z6 CDS USD P V 00MEVENT IS1C508 CMBX-BBB--409304
000000000
168618.91000000
OU
Notional Amount
USD
-24264.26000000
-0.00074115330
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-18037.95000000
USD
168618.91000000
USD
-6226.31000000
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAD3
35000.00000000
PA
USD
33295.85000000
0.001017023774
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.12500000
N
N
N
N
N
N
Golub Capital Partners CLO, LTD
N/A
Golub Capital Partners 48 LP
38177DAA6
644000.00000000
PA
USD
641946.93000000
0.019608308231
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
6.88000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610AK1
4790000.00000000
PA
USD
4502600.00000000
0.137532192330
Long
DBT
CORP
US
N
2
2025-12-03
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EBTE1
11584.63000000
PA
USD
10638.60000000
0.000324956687
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QD3
47210000.00000000
PA
USD
44871629.69000000
1.370606672745
Long
DBT
UST
US
N
2
2039-11-15
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20753ACJ1
9492238.25000000
PA
USD
9601656.23000000
0.293283176678
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Floating
7.81500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TC2
9057400.00000000
PA
USD
5868912.16000000
0.179266280806
Long
DBT
UST
US
N
2
2041-11-15
Fixed
2.00000000
N
N
N
N
N
N
TTX CO
549300I8CNSYS1OGX775
TTX Co
87305QCQ2
8329000.00000000
PA
USD
8311259.23000000
0.253867921407
Long
DBT
CORP
US
N
2
2026-09-25
Fixed
5.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300ZJL46M82UL2Z22
Wells Fargo Commercial Mortgage Trust 2015-SG1
94989QAX8
2906250.00000000
PA
USD
2718899.47000000
0.083048950569
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Fixed
4.04700000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AW9
271000.00000000
PA
USD
239379.72000000
0.007311868185
Long
DBT
CORP
IT
N
2
2027-06-03
Fixed
1.98200000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810PW2
14232200.00000000
PA
USD
13778548.63000000
0.420866610450
Long
DBT
UST
US
N
2
2038-02-15
Fixed
4.37500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS1C694 CDS USD R F 3.00000 IS1C694 CMBX-BBB--409423 / Short: IS1C694 CDS USD P V 00MEVENT IS1C6A5 CMBX-BBB--409423
000000000
60605.05000000
OU
Notional Amount
USD
-8721.06000000
-0.00026638531
N/A
DCR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-6928.00000000
USD
60605.05000000
USD
-1793.06000000
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAG8
294000.00000000
PA
USD
272049.96000000
0.008309782663
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
6.12500000
N
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
71568PAE9
2363000.00000000
PA
USD
2302578.09000000
0.070332388559
Long
DBT
CORP
ID
N
2
2028-05-21
Fixed
5.45000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
Long: IS1PDS1 CDS USD R F 3.00000 IS1PDS1 CMBX / Short: IS1PDS1 CDS USD P V 01MEVENT IS1PDT2 CMBX
000000000
488.74000000
OU
Notional Amount
USD
-70.33000000
-0.00000214823
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-55.70000000
USD
488.74000000
USD
-14.63000000
N
N
N
Home Re Ltd
N/A
Home RE 2021-2 Ltd
43730VAB4
2366971.03000000
PA
USD
2366968.90000000
0.072299209788
Long
ABS-MBS
CORP
BM
N
2
2034-01-25
Floating
6.91500000
N
N
N
N
N
N
SK HYNIX INC
988400XAIK6XISWQV045
SK Hynix Inc
78392BAC1
1818000.00000000
PA
USD
1366281.54000000
0.041733153186
Long
DBT
CORP
KR
N
2
2031-01-19
Fixed
2.37500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912797GX9
34255000.00000000
PA
USD
33426371.55000000
1.021010562990
Long
STIV
UST
US
N
2
2024-03-14
None
0.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810FT0
4047600.00000000
PA
USD
4032421.50000000
0.123170561296
Long
DBT
UST
US
N
2
2036-02-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS4CDPWRMWB65
Freddie Mac STACR REMIC Trust 2022-DNA4
35564KWT2
5584684.00000000
PA
USD
5788305.49000000
0.176804145142
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Floating
8.66500000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KBG0
196000.00000000
PA
USD
191035.32000000
0.005835185531
Long
DBT
CORP
US
N
2
2029-06-12
Fixed
6.56500000
N
N
N
N
N
N
FannieMae Grantor Trust
N/A
Fannie Mae Grantor Trust 2004-T5
31394AXY7
1290755.12000000
PA
USD
1205170.05000000
0.036811992872
Long
ABS-MBS
USGSE
US
N
2
2035-05-28
Variable
4.26300000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HDA0
5768000.00000000
PA
USD
5435301.76000000
0.166021624623
Long
DBT
CORP
US
N
2
2034-06-08
Fixed
6.37700000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBU0
819000.00000000
PA
USD
827910.72000000
0.025288583568
Long
DBT
CORP
IT
N
2
2025-11-21
Fixed
7.00000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2023-2
959926AB2
7698320.18000000
PA
USD
7689504.06000000
0.234876371719
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
5.87000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SF6
26971300.00000000
PA
USD
19680620.47000000
0.601145755710
Long
DBT
UST
US
N
2
2049-02-15
Fixed
3.00000000
N
N
N
N
N
N
Diamond Issuer LLC
N/A
Diamond Issuer
25267TAN1
7710557.00000000
PA
USD
6563091.18000000
0.200470021420
Long
ABS-O
CORP
US
N
2
2051-11-20
Fixed
2.30500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNWY5
25482028.00000000
PA
USD
19494255.96000000
0.595453240356
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FRPN9
54960.26000000
PA
USD
50070.97000000
0.001529420840
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
000000000
408000.00000000
PA
USD
396041.52000000
0.012097112446
Long
DBT
CORP
CH
N
2
2025-02-19
Fixed
7.00000000
N
N
N
N
Y
UBS Group AG
UBS Group AG
USD
XXXX
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FGZ44
58532.99000000
PA
USD
53296.20000000
0.001627935688
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2019-2R
69345WAA6
2509920.37000000
PA
USD
2506867.30000000
0.076572414971
Long
ABS-MBS
CORP
US
N
2
2025-05-29
Floating
9.18200000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAD6
1569000.00000000
PA
USD
1562959.35000000
0.047740688919
Long
DBT
CORP
IE
N
2
2029-09-13
Fixed
6.60800000
N
N
N
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAM5
861000.00000000
PA
USD
756620.97000000
0.023111033795
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.95000000
N
N
N
N
N
N
Elmwood CLO IX Ltd
N/A
Elmwood CLO IX Ltd
29003UAA7
5900000.00000000
PA
USD
5876087.30000000
0.179485445896
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.71800000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XAM7
1114000.00000000
PA
USD
987750.38000000
0.030170895757
Long
DBT
CORP
US
N
2
2040-07-15
Fixed
5.37500000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISBDRXIMCHZ70
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KPU7
3178013.55000000
PA
USD
3148361.41000000
0.096166891788
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Floating
6.31500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F4MJ2
202178.08000000
PA
USD
185049.71000000
0.005652354707
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.50000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 14 Ltd
75009RAA1
828654.00000000
PA
USD
821662.65000000
0.025097735888
Long
ABS-CBDO
CORP
KY
N
2
2035-01-15
Floating
6.74000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E6KU5
4423834.56000000
PA
USD
3752149.60000000
0.114609638972
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGSG4
5724154.65000000
PA
USD
5009192.28000000
0.153006084500
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FLCM8
109509.15000000
PA
USD
99970.72000000
0.003053611755
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31346YAV5
2129941.82000000
PA
USD
1862575.12000000
0.056892470935
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.50000000
N
N
N
N
N
N
CAIXABANK SA
7CUNS533WID6K7DGFI87
CaixaBank SA
12803RAB0
5127000.00000000
PA
USD
5127410.16000000
0.156617056874
Long
DBT
CORP
ES
N
2
2027-09-13
Fixed
6.68400000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAV7
3200000.00000000
PA
USD
3061344.00000000
0.093508939678
Long
DBT
CORP
ES
N
2
2033-08-08
Fixed
6.92100000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS4M3TZMRB410
Freddie Mac STACR REMIC Trust 2022-DNA3
35564KUX5
2957334.00000000
PA
USD
3020826.19000000
0.092271320694
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Floating
8.21500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FKHG8
73351.14000000
PA
USD
66170.69000000
0.002021187772
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419LZY2
1938318.78000000
PA
USD
1795366.99000000
0.054839594494
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW 2021-2 LLC
55400KAB1
2418566.97000000
PA
USD
2171939.41000000
0.066342022090
Long
ABS-O
CORP
US
N
2
2039-05-20
Fixed
1.83000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LW9
5373000.00000000
PA
USD
4941494.37000000
0.150938247700
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.07500000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBM3
3754000.00000000
PA
USD
3221645.26000000
0.098405351467
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
3.55000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738ECD5
2899000.00000000
PA
USD
2972808.54000000
0.090804618639
Long
DBT
CORP
GB
N
2
2028-11-02
Fixed
7.38500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KGP3
2525.74000000
PA
USD
2569.03000000
0.000078471178
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
71644EAJ1
5543000.00000000
PA
USD
5607409.66000000
0.171278670953
Long
DBT
CORP
CA
N
2
2038-05-15
Fixed
6.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0506A5
48025000.00000000
PA
USD
45522287.58000000
1.390481057782
Long
ABS-MBS
USGA
US
N
2
2053-10-20
Fixed
5.00000000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AB3
3940000.00000000
PA
USD
3747412.80000000
0.114464953127
Long
DBT
CORP
XX
N
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
GoldenTree Loan Management US CLO1, LTD
549300DO8S88M0JNL340
Goldentree Loan Management US Clo 7 Ltd
38138LAL2
6462538.00000000
PA
USD
6409674.44000000
0.195783897716
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
6.65800000
N
N
N
N
N
N
Hardee's Funding
N/A
Hardee's Funding LLC
411707AF9
3182979.75000000
PA
USD
2842862.45000000
0.086835407374
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
5.71000000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2021-C
12598CAG1
5050000.00000000
PA
USD
4755212.82000000
0.145248266364
Long
ABS-O
CORP
US
N
2
2027-06-15
Fixed
1.69000000
N
N
N
N
N
N
MDC Holdings Inc
5299005FV4VNV75R8R35
MDC Holdings Inc
552676AQ1
3776000.00000000
PA
USD
3163683.84000000
0.096634916349
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
6.00000000
N
N
N
N
N
N
AGL CLO Ltd.
549300AEMLN0HO8ST474
AGL CLO 10 Ltd
00119YAA1
3426521.00000000
PA
USD
3396717.12000000
0.103752932136
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
6.70000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAD0
1993000.00000000
PA
USD
1136209.30000000
0.034705582546
Long
DBT
CORP
NL
N
2
2050-08-03
Fixed
4.02700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FSSB0
108281.78000000
PA
USD
97681.91000000
0.002983699914
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FDF84
90372.86000000
PA
USD
82394.22000000
0.002516736488
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJEA2
241068.46000000
PA
USD
220085.57000000
0.006722527193
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAV4
3217000.00000000
PA
USD
3083044.12000000
0.094171771171
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.60000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MU2
3243000.00000000
PA
USD
2839895.10000000
0.086744769486
Long
DBT
CORP
US
N
2
2025-12-10
Fixed
4.00000000
N
N
N
N
N
N
BANK OF IRELAND GROUP
635400C8EK6DRI12LJ39
Bank of Ireland Group PLC
06279JAC3
2285000.00000000
PA
USD
2269279.20000000
0.069315271928
Long
DBT
CORP
IE
N
2
2026-09-16
Fixed
6.25300000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397C35
1450000.00000000
PA
USD
1479203.00000000
0.045182346087
Long
DBT
CORP
US
N
2
2027-11-04
Fixed
7.35000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAQ2
1958000.00000000
PA
USD
1919544.88000000
0.058632615738
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
5.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X6P58
6093780.49000000
PA
USD
5562938.47000000
0.169920295735
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0426A2
58866000.00000000
PA
USD
54372405.02000000
1.660808436164
Long
ABS-MBS
USGA
US
N
2
2053-10-20
Fixed
4.50000000
N
N
N
N
N
N
GSF 2021 1 ISSUER LLC
N/A
GSF 2021 1 ISSUER LLC
36261CAA9
3571661.65000000
PA
USD
3358162.00000000
0.102575263638
Long
ABS-O
CORP
US
N
3
2026-08-15
Variable
1.43300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FMMP8
59654.47000000
PA
USD
54681.06000000
0.001670236321
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAL7
4914000.00000000
PA
USD
4335179.94000000
0.132418336360
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FPMM8
130601.52000000
PA
USD
117816.74000000
0.003598719527
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISHRHX47NOH65
Freddie Mac STACR REMIC Trust 2021-HQA3
35564KJG5
2644967.45000000
PA
USD
2586275.62000000
0.078997946961
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Floating
6.16500000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RGU2
4800000.00000000
PA
USD
4712851.68000000
0.143954342752
Long
ABS-O
CORP
US
N
2
2028-02-22
Fixed
5.44000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FPWS4
61598.16000000
PA
USD
56236.06000000
0.001717733891
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FR3C3
1975348.51000000
PA
USD
167861.56000000
0.005127341614
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Floating
0.62100000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CT4
2559000.00000000
PA
USD
1981689.60000000
0.060530830010
Long
DBT
CORP
GB
N
2
2032-05-24
Fixed
2.80400000
N
N
N
N
N
N
COLONY MORTGAGE CAPITAL LTD
N/A
CLNY Trust 2019-IKPR
12564NAL6
5360000.00000000
PA
USD
4944028.09000000
0.151015640332
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
7.46800000
N
N
N
N
N
N
Dominos Pizza Master Issuer LLC
N/A
Domino's Pizza Master Issuer LLC
25755TAN0
4331302.50000000
PA
USD
3651448.27000000
0.111533710690
Long
ABS-O
CORP
US
N
2
2051-04-25
Fixed
2.66200000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AT5
4928000.00000000
PA
USD
4399767.68000000
0.134391172827
Long
DBT
CORP
CH
N
2
2033-08-05
Fixed
4.98800000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
25160PAN7
1492000.00000000
PA
USD
1500758.04000000
0.045840746101
Long
DBT
CORP
DE
N
2
2027-07-13
Fixed
7.14600000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754MBZ9
7458827.29000000
PA
USD
7654621.51000000
0.233810882096
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Floating
8.26500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5LN1
156372.73000000
PA
USD
142015.41000000
0.004337869382
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFZ9
159618100.00000000
PA
USD
154779676.34000000
4.727754678458
Long
DBT
UST
US
N
2
2027-11-30
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R7H6
1242430.58000000
PA
USD
1067416.47000000
0.032604301347
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FSLD3
136100.51000000
PA
USD
122777.43000000
0.003750244107
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397D26
243000.00000000
PA
USD
242696.25000000
0.007413171796
Long
DBT
CORP
US
N
2
2026-06-10
Fixed
6.95000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RS9
23956000.00000000
PA
USD
16013088.75000000
0.489120775056
Long
DBT
UST
US
N
2
2046-05-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DP79
735522.41000000
PA
USD
735514.17000000
0.022466325298
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBV1
3517000.00000000
PA
USD
3260962.40000000
0.099606295913
Long
DBT
US
N
2
2027-03-15
Fixed
3.65000000
N
N
N
N
N
N
AES PANAMA GENERATION HL
N/A
AES Panama Generation Holdings SRL
00109AAB3
1655049.21000000
PA
USD
1405947.75000000
0.042944759996
Long
DBT
CORP
PA
N
2
2030-05-31
Fixed
4.37500000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2023-2
33843EAC5
6310000.00000000
PA
USD
6281733.09000000
0.191875921356
Long
ABS-O
CORP
US
N
2
2027-04-15
Fixed
5.76000000
N
N
N
N
N
N
ZF NA CAPITAL
529900JYGMS9CW9IQX78
ZF North America Capital Inc
98877DAD7
1988000.00000000
PA
USD
1946351.40000000
0.059451422530
Long
DBT
CORP
US
N
2
2028-04-14
Fixed
6.87500000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IRHY5YZIPQD14
Freddie Mac STACR REMIC Trust 2023-HQA1
35564KX79
5385636.43000000
PA
USD
5419125.39000000
0.165527516412
Long
ABS-MBS
USGSE
US
N
2
2043-05-25
Floating
7.31500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754DAB3
5000855.00000000
PA
USD
5071016.50000000
0.154894509081
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Floating
8.31500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
3060000.00000000
PA
USD
2997392.40000000
0.091555534146
Long
DBT
CORP
FR
N
2
2025-08-19
Fixed
7.37500000
N
N
N
N
Y
BNP Paribas SA
BNP Paribas SA
USD
XXXX
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A1B92
4703492.71000000
PA
USD
4116013.77000000
0.125723892295
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJD96
7478.28000000
PA
USD
6827.37000000
0.000208542434
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AXSW6
3834069.39000000
PA
USD
349472.74000000
0.010674666213
Long
ABS-MBS
USGSE
US
N
2
2047-08-25
Floating
0.72100000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2020-BID Mortgage Trust
05493BAA6
7708000.00000000
PA
USD
7339651.64000000
0.224190108157
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
7.58700000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAK1
4396000.00000000
PA
USD
3664109.96000000
0.111920462785
Long
DBT
CORP
US
N
2
2049-01-25
Fixed
5.57600000
N
N
N
N
N
N
VAR ENERGI ASA
549300LIVN3FFOJN2K47
Var Energi ASA
92212WAE0
4495000.00000000
PA
USD
4703163.45000000
0.143658415174
Long
DBT
CORP
NO
N
2
2032-11-15
Fixed
8.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BK3
3861000.00000000
PA
USD
3763664.19000000
0.114961352828
Long
DBT
CORP
US
N
2
2028-05-08
Fixed
5.40000000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: IS1P8K8 CDS USD R F 3.00000 IS1P8K8 CMBX / Short: IS1P8K8 CDS USD P V 01MEVENT IS1P8L9 CMBX
000000000
94817.60000000
OU
Notional Amount
USD
-13644.25000000
-0.00041676445
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-10978.56000000
USD
94817.60000000
USD
-2665.69000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCQ4
1041000.00000000
PA
USD
832862.46000000
0.025439834769
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
Flatiron CLO Ltd
N/A
Flatiron CLO 21 Ltd
33883PAC1
4290000.00000000
PA
USD
4262102.13000000
0.130186170184
Long
ABS-CBDO
CORP
KY
N
2
2034-07-19
Floating
6.69200000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISU5NYXNHD479
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KHE2
1925370.24000000
PA
USD
1923567.52000000
0.058755487523
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
6.96500000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust 2023-3
02530EAC8
8592000.00000000
PA
USD
8577895.37000000
0.262012338608
Long
ABS-O
CORP
US
N
2
2027-11-12
Fixed
6.09000000
N
N
N
N
N
N
Sixth Street CLO LTD.
N/A
Sixth Street CLO XVII Ltd
83012FAA6
1088663.00000000
PA
USD
1084926.71000000
0.033139152699
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
6.82800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JYGR1
1930943.46000000
PA
USD
1688556.57000000
0.051577063684
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
TK ELEVATOR MIDCO GMBH
254900K869UN2ZWVB351
TK Elevator Midco GmbH
000000000
1444000.00000000
PA
1382459.97000000
0.042227324319
Long
DBT
CORP
DE
N
2
2027-07-15
Fixed
4.37500000
N
N
N
N
N
N
State Board of Administration Finance Corp
549300S34SOJ0RULXM35
FLORIDA ST BRD OF ADMIN FIN CORP REVENUE
341271AE4
6821000.00000000
PA
USD
5952491.62000000
0.181819220522
Long
DBT
MUN
US
N
2
2027-07-01
Fixed
1.70500000
N
N
N
N
N
N
VAR ENERGI ASA
549300LIVN3FFOJN2K47
Var Energi ASA
92212WAD2
5044000.00000000
PA
USD
5178321.72000000
0.158172153587
Long
DBT
CORP
NO
N
2
2028-01-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0306A7
4174759.00000000
PA
USD
3537881.98000000
0.108064821417
Long
ABS-MBS
USGA
US
N
2
2053-10-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EVAP2
33585.14000000
PA
USD
30782.43000000
0.000940251206
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912797HD2
13508700.00000000
PA
USD
13451243.04000000
0.410869041189
Long
STIV
UST
US
N
2
2023-10-31
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SSP3
333826.87000000
PA
USD
286698.26000000
0.008757215883
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
3.00000000
N
N
N
N
N
N
Atalaya Equipment Leasing Fund I LP
N/A
Atalaya Equipment Leasing Trust 21-1
046497AC7
1762000.00000000
PA
USD
1678113.12000000
0.051258067865
Long
ABS-O
CORP
US
N
2
2027-02-15
Fixed
2.08000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FQBR7
187321.04000000
PA
USD
169335.13000000
0.005172351900
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISBDRXIMCHZ70
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KPV5
4940131.00000000
PA
USD
4872240.26000000
0.148822876675
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Floating
7.16500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HAXF2
2171564.93000000
PA
USD
1900330.61000000
0.058045714686
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
TICP CLO Ltd
N/A
TICP CLO XV Ltd
87250RAA2
250000.00000000
PA
USD
249197.25000000
0.007611745239
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
6.86800000
N
N
N
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2023-A
12664LAA3
2149452.14000000
PA
USD
2144235.20000000
0.065495795302
Long
ABS-O
CORP
US
N
2
2026-03-16
Fixed
5.54000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FDP26
140417.90000000
PA
USD
128461.67000000
0.003923869565
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.50000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BN2
1998000.00000000
PA
USD
1969548.48000000
0.060159978757
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
5.55000000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LBA2
7064000.00000000
PA
USD
6300099.04000000
0.192436910422
Long
DBT
CORP
US
N
2
2027-02-14
Fixed
3.05000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C21
46642EBD7
1857314.00000000
PA
USD
1716239.11000000
0.052422628561
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
4.34100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335A6X1
3069035.64000000
PA
USD
2840334.48000000
0.086758190375
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
OLEODUCTO CENTRAL SA
254900W4CPYCQFVH5E92
Oleoducto Central SA
680617AC1
319000.00000000
PA
USD
284229.00000000
0.008681792185
Long
DBT
CORP
CO
N
2
2027-07-14
Fixed
4.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0226A8
44513000.00000000
PA
USD
35306086.88000000
1.078426582688
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
2.50000000
N
N
N
N
N
N
GLOBO COMMUNICACOES PART
52990054HEKS017PVR75
Globo Comunicacao e Participacoes SA
37959DAB0
825000.00000000
PA
USD
682563.75000000
0.020848951481
Long
DBT
CORP
BR
N
2
2030-01-22
Fixed
4.87500000
N
N
N
N
N
N
BFLD Trust
N/A
BFLD Trust
05554BAA2
11683000.00000000
PA
USD
11166856.74000000
0.341092321967
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
7.04700000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
22535WAJ6
1811000.00000000
PA
USD
1811108.66000000
0.055320424767
Long
DBT
CORP
FR
N
2
2029-10-03
Fixed
6.31600000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C27
46644ABK7
3415358.00000000
PA
USD
3209220.99000000
0.098025851380
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
3.63400000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: IS1AAR4 CDS USD R F 3.00000 IS1AAR4 CMBX-BBB--398690 / Short: IS1AAR4 CDS USD P V 00MEVENT IS1AAS5 CMBX-BBB--398690
000000000
976034.85000000
OU
Notional Amount
USD
-140451.41000000
-0.00429009690
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-62810.12000000
USD
976034.85000000
USD
-77641.29000000
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2019-MILE
63875FAA4
2334775.15000000
PA
USD
2129539.54000000
0.065046915468
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Floating
6.91200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371J7F5
905.62000000
PA
USD
923.07000000
0.000028195229
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
Affirm Inc
N/A
Affirm Asset Securitization Trust 2022-X1
00834HAA2
813266.39000000
PA
USD
799592.86000000
0.024423612803
Long
ABS-O
CORP
US
N
2
2027-02-15
Fixed
1.75000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
3533000.00000000
PA
USD
3127305.61000000
0.095523741089
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BS0
4339000.00000000
PA
USD
4493858.91000000
0.137265195201
Long
DBT
CORP
LR
N
2
2029-01-15
Fixed
8.25000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAP3
5695000.00000000
PA
USD
5189967.40000000
0.158527871595
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
3.77200000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAF4
5154000.00000000
PA
USD
4609686.06000000
0.140803142581
Long
DBT
CORP
GB
N
2
2028-02-16
Fixed
2.97200000
N
N
N
N
N
N
Lobel Automobile Receivables Trust
N/A
Lobel Automobile Receivables Trust 2023-1
53946XAA1
1585367.43000000
PA
USD
1585450.19000000
0.048427673002
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
6.97000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F3K9
356370.39000000
PA
USD
356266.58000000
0.010882184471
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0506A9
8405000.00000000
PA
USD
7931238.73000000
0.242260171996
Long
ABS-MBS
USGSE
US
N
2
2048-10-11
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FLS33
142326.13000000
PA
USD
130208.67000000
0.003977231787
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132Y3BL7
3707613.32000000
PA
USD
3466249.18000000
0.105876793161
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FLTB4
135479.29000000
PA
USD
123946.25000000
0.003785945785
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
958102AQ8
1351000.00000000
PA
USD
1082785.97000000
0.033073763665
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
2.85000000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
744320AV4
615000.00000000
PA
USD
597165.00000000
0.018240441441
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
5.37500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TF5
11433100.00000000
PA
USD
7892411.84000000
0.241074202267
Long
DBT
UST
US
N
2
2042-02-15
Fixed
2.37500000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
1157.61000000
0.000035359268
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
4443635.00000000
JPY
30968.75000000
USD
2023-10-19
1157.61000000
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBG3
857000.00000000
PA
USD
654936.54000000
0.020005076663
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
5.30000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS349P4O9HR58
Freddie Mac STACR REMIC Trust 2022-DNA5
35564KYP8
9988744.00000000
PA
USD
10720385.54000000
0.327454831862
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Floating
9.81500000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT DEC23
000000000
113.00000000
NC
USD
-412148.42000000
-0.01258909869
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term U.S. Treasury Bond Futures
WNZ3 Comdty
2023-12-19
13823835.92000000
USD
-412148.42000000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AY4
6080000.00000000
PA
USD
6060118.40000000
0.185106687099
Long
DBT
CORP
CH
N
2
2026-07-15
Fixed
6.37300000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
JPN 10Y BOND(OSE) DEC23
000000000
-106.00000000
NC
790555.43000000
0.024147563951
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Short
TSE Japanese 10 Year Bond Futures
JBZ3 Comdty
2023-12-13
-15483900604.00000000
JPY
790555.43000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754LAB5
9352358.00000000
PA
USD
9177001.29000000
0.280312065569
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
7.21500000
N
N
N
N
N
N
TERRAFORM GLOBAL OPERATI
549300LC7QMVR79H5O86
Terraform Global Operating LP
88104UAC7
565000.00000000
PA
USD
554281.95000000
0.016930576056
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
6.12500000
N
N
N
N
N
N
Lendbuzz Securitization Trust
N/A
Lendbuzz Securitization Trust 2023-1
52608LAB6
7575241.02000000
PA
USD
7543735.59000000
0.230423864889
Long
ABS-O
CORP
US
N
2
2028-08-15
Fixed
6.92000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CW7
829000.00000000
PA
USD
818969.10000000
0.025015461238
Long
DBT
CORP
US
N
2
2029-11-17
Fixed
5.62500000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAX2
2451000.00000000
PA
USD
2398131.93000000
0.073251086445
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
6.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FLT81
5343.72000000
PA
USD
4878.70000000
0.000149020189
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CH0
7601000.00000000
PA
USD
6084372.47000000
0.185847529150
Long
DBT
CORP
GB
N
2
2031-06-04
Fixed
2.84800000
N
N
N
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296AC7
7988000.00000000
PA
USD
7674471.00000000
0.234417185982
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
4.70000000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAT8
3730000.00000000
PA
USD
3632385.90000000
0.110951449432
Long
DBT
CORP
BM
N
2
2025-08-11
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M2LW0
25213765.64000000
PA
USD
21003334.04000000
0.641548122588
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KBF2
2560000.00000000
PA
USD
2497843.20000000
0.076296773285
Long
DBT
CORP
US
N
2
2029-03-09
Fixed
6.49900000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RG5
5709500.00000000
PA
USD
4548865.70000000
0.138945380965
Long
DBT
UST
US
N
2
2044-05-15
Fixed
3.37500000
N
N
N
N
N
N
SWEDBANK AB
M312WZV08Y7LYUC71685
Swedbank AB
000000000
400000.00000000
PA
USD
382956.00000000
0.011697414437
Long
DBT
CORP
SE
N
2
2024-09-17
Fixed
5.62500000
N
N
N
N
Y
Swedbank AB
Swedbank AB
USD
XXXX
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAG8
869000.00000000
PA
USD
824150.91000000
0.025173739942
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.50000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBX2
838000.00000000
PA
USD
885137.50000000
0.027036579062
Long
DBT
CORP
US
N
2
2032-10-19
Fixed
7.75000000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: IS1U5X5 CDS USD R F 3.00000 IS1U5X5 CMBX / Short: IS1U5X5 CDS USD P V 01MEVENT IS1U5Y6 CMBX
000000000
67447.57000000
OU
Notional Amount
USD
-9705.70000000
-0.00029646119
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-6260.48000000
USD
67447.57000000
USD
-3445.22000000
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XCB8
236284.88000000
PA
USD
248099.12000000
0.007578202791
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Floating
11.42900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M2QB1
19591506.16000000
PA
USD
16319932.30000000
0.498493330054
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Home Equity Trust
N/A
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates Series 2004-1
86359BMW8
2350.65000000
PA
USD
2237.81000000
0.000068354043
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
6.03400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MFS99
11269559.45000000
PA
USD
10052341.10000000
0.307049373592
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
2023-10-26
BERNSTEIN SANFORD C FUND INC
Joseph Mantineo
Joseph Mantineo
Treasurer and Chief Financial Officer