0001752724-24-047957.txt : 20240229
0001752724-24-047957.hdr.sgml : 20240229
20240229110618
ACCESSION NUMBER: 0001752724-24-047957
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231231
FILED AS OF DATE: 20240229
DATE AS OF CHANGE: 20240229
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Brighthouse Funds Trust I
CENTRAL INDEX KEY: 0001126087
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-10183
FILM NUMBER: 24700313
BUSINESS ADDRESS:
STREET 1: BRIGHTHOUSE INVESTMENT ADVISERS, LLC
STREET 2: 11225 NORTH COMMUNITY HOUSE RD
CITY: CHARLOTTE
STATE: NC
ZIP: 28277
BUSINESS PHONE: 9809495121
MAIL ADDRESS:
STREET 1: BRIGHTHOUSE INVESTMENT ADVISERS, LLC
STREET 2: 11225 NORTH COMMUNITY HOUSE RD
CITY: CHARLOTTE
STATE: NC
ZIP: 28277
FORMER COMPANY:
FORMER CONFORMED NAME: MET INVESTORS SERIES TRUST
DATE OF NAME CHANGE: 20001010
0001126087
S000011100
PIMCO Total Return Portfolio
C000030635
Class A
C000030636
Class B
C000030638
Class E
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001126087
XXXXXXXX
S000011100
C000030635
C000030638
C000030636
Brighthouse Funds Trust I
811-10183
0001126087
549300LQX1AREJYGF247
Brighthouse Investment Advisers, LLC
11225 North Community House Road
Charlotte
28277
980-949-5089
PIMCO Total Return Portfolio
S000011100
TY07AK2IOS83GROMUB16
2023-12-31
2023-12-31
N
8102660288.01
4158922658.61
3943737629.40
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2583821728.77000000
0.00000000
0.00000000
7767450.65000000
CAD
EUR
GBP
JPY
MXN
NZD
USD
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Bloomberg US Aggregate
LBUSTRUU
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31349ULF3
15638.71000000
PA
USD
15933.34000000
0.000404016227
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
4.48500000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2006-WMC1
61744CXM3
882869.07000000
PA
USD
850281.49000000
0.021560295585
Long
ABS-O
CORP
US
N
2
2035-12-25
Floating
6.09000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2020-FL4 Ltd
58003UAA6
6647113.70000000
PA
USD
6647577.67000000
0.168560342869
Long
ABS-CBDO
CORP
US
N
2
2035-11-15
Floating
7.17600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417JA26
97.81000000
PA
USD
96.90000000
0.000002457060
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
4.00000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR6
362341RX9
6521.05000000
PA
USD
6099.03000000
0.000154651008
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.83600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QSPN5
5369717.10000000
PA
USD
5327520.09000000
0.135088096385
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KRB29
6473045.61000000
PA
USD
6403840.27000000
0.162379977366
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CLK0
1464.00000000
PA
USD
1435.43000000
0.000036397705
Long
ABS-MBS
USGA
US
N
2
2029-10-20
Floating
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJNM6
2.66000000
PA
USD
2.65000000
0.000000067195
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR24
000000000
158.00000000
NC
USD
339328.77000000
0.008604243027
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUH4 Comdty
2024-03-28
32195093.03000000
USD
339328.77000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCB0
13300000.00000000
PA
USD
12273559.47000000
0.311216430284
Long
DBT
CORP
US
N
2
2027-04-22
Fixed
1.57800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GDY6
4617.71000000
PA
USD
4599.66000000
0.000116631998
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
4.45700000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAR1
13000000.00000000
PA
USD
11476834.20000000
0.291014141367
Long
DBT
US
N
2
2028-01-15
Fixed
2.32800000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBQ3
10800000.00000000
PA
USD
8751825.68000000
0.221917036639
Long
DBT
CORP
US
N
2
2036-11-15
Fixed
3.18700000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2006-3
07386HQ87
962845.08000000
PA
USD
465697.16000000
0.011808522872
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.97100000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939UAD8
4525000.00000000
PA
USD
3999544.33000000
0.101415071331
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.37500000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2021-HP1
36262RAB3
11609145.33000000
PA
USD
9506798.77000000
0.241060629873
Long
ABS-MBS
CORP
US
N
2
2052-01-25
Variable
2.50000000
N
N
N
N
N
N
Park Place Securities Inc
N/A
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ
70069FCY1
3825116.81000000
PA
USD
3711853.57000000
0.094120195581
Long
ABS-O
CORP
US
N
2
2034-12-25
Floating
7.27000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JM6N2
4104.73000000
PA
USD
4094.34000000
0.000103818772
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
4.05600000
N
N
N
N
N
N
FEDERAL REALTY OP LP
549300LI6XZ51GOCJ427
Federal Realty OP LP
313747BA4
4900000.00000000
PA
USD
4438212.88000000
0.112538239027
Long
DBT
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CEG7
811.34000000
PA
USD
793.23000000
0.000020113660
Long
ABS-MBS
USGA
US
N
2
2027-11-20
Floating
2.75000000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Accept Corp Asset Back Certs Ser 2003 5
68400XBS8
6987.77000000
PA
USD
6849.23000000
0.000173673571
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
6.11000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2006-A5CB
76112FAF8
2843102.26000000
PA
USD
1190510.12000000
0.030187356053
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QA4X5
59453.29000000
PA
USD
60456.70000000
0.001532979768
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RN0
3100000.00000000
PA
USD
2499617.17000000
0.063381933710
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XDUV5
207739.87000000
PA
USD
203948.30000000
0.005171446966
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
3.50000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DBC3
7500000.00000000
PA
USD
7622744.85000000
0.193287321985
Long
DBT
CORP
NL
N
2
2026-10-13
Fixed
6.57500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810TE8
2210500.00000000
PA
USD
1353506.10000000
0.034320389112
Long
DBT
UST
US
N
2
2052-02-15
Fixed
0.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LANZ9
34112.54000000
PA
USD
35004.75000000
0.000887603418
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7T48
272025.75000000
PA
USD
280528.68000000
0.007113269349
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGL7
5700000.00000000
PA
USD
5442955.37000000
0.138015149117
Long
DBT
CORP
US
N
2
2028-04-24
Fixed
3.70500000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2004-FF8
32027NNS6
1535007.22000000
PA
USD
1534288.68000000
0.038904430876
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
6.89500000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities Trust 2001-3
07384YBM7
6065.70000000
PA
USD
5986.34000000
0.000151793566
Long
ABS-MBS
CORP
US
N
2
2032-10-27
Floating
6.27000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
5113.80000000
0.000129668869
N/A
DFE
MY
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
307963.36000000
USD
1437265.00000000
MYR
2024-01-17
5113.80000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AKXW4
1667.50000000
PA
USD
1633.92000000
0.000041430748
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QR5B5
4926253.26000000
PA
USD
4776777.93000000
0.121123116669
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
4.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 6
81743XAA7
97293.20000000
PA
USD
93571.99000000
0.002372672799
Long
ABS-MBS
CORP
US
N
2
2027-04-19
Floating
6.11000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2005-11
17307GW79
450104.40000000
PA
USD
436512.28000000
0.011068491898
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
7.78000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312931ST6
34152.31000000
PA
USD
35221.67000000
0.000893103784
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
5.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CJ6
5200000.00000000
PA
USD
4797866.63000000
0.121657855589
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DA66
3048.13000000
PA
USD
3163.91000000
0.000080226178
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
6.00000000
N
N
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2006-WMC3
55291KAD9
3011731.40000000
PA
USD
1091152.09000000
0.027667968626
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.79000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2007-7
12544TAB0
915439.92000000
PA
USD
452755.44000000
0.011480364125
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
5.75000000
N
N
N
N
N
N
Louisiana Local Government Environmental Facilities & Community Development Auth
5493004WIZ1HV87IVF85
LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH
54627RAS9
5900000.00000000
PA
USD
6035041.56000000
0.153028475195
Long
DBT
MUN
US
N
2
2034-12-01
Fixed
5.04800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CGG5
1145.18000000
PA
USD
1139.58000000
0.000028895938
Long
ABS-MBS
USGA
US
N
2
2028-05-20
Floating
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418WMN7
190245.65000000
PA
USD
189252.46000000
0.004798809601
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406RFE0
192223.17000000
PA
USD
189775.78000000
0.004812079246
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
4.69100000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2023-NQM1 Trust
670855AA3
6975763.40000000
PA
USD
7011063.55000000
0.177777129435
Long
ABS-MBS
CORP
US
N
2
2062-11-25
Variable
6.12000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040628
299000000.00000000
PA
USD
283033869.43000000
7.176792576666
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
4.00000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2007-6
12669LAD2
2017208.20000000
PA
USD
2053285.77000000
0.052064461760
Long
ABS-O
CORP
US
N
2
2037-09-25
Floating
5.69000000
N
N
N
N
N
N
Texas Natural Gas Securitization Finance Corp
N/A
TEXAS NATURAL GAS SECURITIZTN FIN CORP REVENUE
88258MAB1
5900000.00000000
PA
USD
6096990.97000000
0.154599305099
Long
DBT
MUN
US
N
2
2041-04-01
Fixed
5.16900000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG Inc
92332YAD3
3800000.00000000
PA
USD
3958228.20000000
0.100367432419
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
9.87500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
317U4OMA0 PIMCO SWAPTION 2.44 CALL EUR 2024010
000000000
-3800000.00000000
NC
-15069.41000000
-0.00038210985
N/A
DIR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Written
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
IRS Swap
N/A
3800000.00000000
OU
Notional Amount
N/A
-15069.41000000
0.00000000
DIR
US
N/A
N/A
2029-01-10
0.00000000
N/A
0.00000000
N/A
3800000.00000000
EUR
1.00000000
2.44000000
EUR
2024-01-08
XXXX
-6377.89000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HMB6
204007.57000000
PA
USD
210085.42000000
0.005327063809
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FXA8
19436.32000000
PA
USD
20015.89000000
0.000507536045
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418SSA8
2639.49000000
PA
USD
2624.84000000
0.000066557165
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.50000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300NPGT86ACOLIL14
Anchorage Capital Clo 11 Ltd
03330NAJ3
12000000.00000000
PA
USD
11984892.00000000
0.303896788433
Long
ABS-CBDO
CORP
KY
N
2
2032-07-22
Floating
6.81400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405TTX0
1656.85000000
PA
USD
1688.88000000
0.000042824349
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
TSTAT 2022-1 Ltd
N/A
TSTAT 2022-1 Ltd
872899AN9
1530798.00000000
PA
USD
1532129.79000000
0.038849688645
Long
ABS-CBDO
CORP
BM
N
2
2031-07-20
Floating
6.96300000
N
N
N
N
N
N
NATIONAL FUEL GAS CO
8JB38FFW1Y3C1HM8E841
National Fuel Gas Co
636180BS9
6400000.00000000
PA
USD
6409491.33000000
0.162523269352
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SM1
11129682.00000000
PA
USD
7247671.96000000
0.183776727588
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-34755.62000000
-0.00088128631
N/A
DFE
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
8601016.29000000
PEN
2284709.21000000
USD
2024-03-20
-34755.62000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KVW5
18833.22000000
PA
USD
19024.26000000
0.000482391624
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YRP4
25202.50000000
PA
USD
24730.47000000
0.000627082030
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4T94
1348.69000000
PA
USD
1390.84000000
0.000035267051
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407YPX1
201271.55000000
PA
USD
207265.64000000
0.005255563616
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust 2006-BNC3
86361KAC1
650554.54000000
PA
USD
631591.85000000
0.016015057525
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
5.62000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2003-2F
36228FNB8
46.69000000
PA
USD
45.57000000
0.000001155502
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Fixed
6.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01XO99 IRS CAD R V 06MCORRA SWUV1XO91 CCPOIS / Short: BWU01XO99 IRS CAD P F 3.75000 SWU01XO99 CCPOIS
000000000
10900000.00000000
OU
Notional Amount
-468994.08000000
-0.01189212174
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-12-20
0.00000000
CAD
-55775.05000000
CAD
10900000.00000000
CAD
-428038.76000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296UUE8
49175.13000000
PA
USD
49673.46000000
0.001259552857
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405R7C4
197049.25000000
PA
USD
202912.09000000
0.005145172145
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
5.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HW0
1600000.00000000
PA
USD
1493309.23000000
0.037865329043
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.30000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
251.82000000
0.000006385313
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
185043.83000000
BRL
38345.49000000
USD
2024-01-03
251.82000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CCM1
17104455.00000000
PA
USD
15203963.10000000
0.385521668243
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.12500000
N
N
N
N
N
N
BGC GROUP INC
2549001IGRCG4F0RLD36
BGC Group Inc
088929AA2
1100000.00000000
PA
USD
1075136.54000000
0.027261867827
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410REW5
906.29000000
PA
USD
932.67000000
0.000023649392
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
Carlyle Global Market Strategies
549300R4G5ROMXQ5CG20
Carlyle Global Market Strategies CLO 2012-4 Ltd
14309YBQ6
13500000.00000000
PA
USD
13496098.50000000
0.342215932403
Long
ABS-CBDO
CORP
KY
N
2
2032-04-22
Floating
6.75400000
N
N
N
N
N
N
SPRINT LLC
549300ZTTY7CXOLJ6539
Sprint LLC
85207UAH8
1000000.00000000
PA
USD
1004337.00000000
0.025466628218
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U4MMA4 PIMCO SWAPTION 3.684 CALL USD 202312
000000000
-1600000.00000000
NC
USD
-29915.20000000
-0.00075854944
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
1600000.00000000
OU
Notional Amount
N/A
-29915.20000000
0.00000000
DIR
US
N/A
N/A
2034-01-03
0.00000000
N/A
0.00000000
N/A
1600000.00000000
USD
1.00000000
3.68400000
USD
2023-12-29
XXXX
-22595.20000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406TLC3
19781.90000000
PA
USD
20280.17000000
0.000514237302
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Floating
4.53600000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CL2
8100000.00000000
PA
USD
8253987.48000000
0.209293524459
Long
DBT
CORP
GB
N
2
2025-11-16
Fixed
7.77600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EDD9
70264993.70000000
PA
USD
62142140.50000000
1.575716904611
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citibank NA
17325FBC1
7400000.00000000
PA
USD
7533182.91000000
0.191016330646
Long
DBT
CORP
US
N
2
2026-12-04
Fixed
5.48800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31382D4Z4
4427.31000000
PA
USD
4568.84000000
0.000115850506
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BH21
46488.78000000
PA
USD
46150.51000000
0.001170222624
Long
ABS-MBS
USGA
US
N
2
2062-12-20
Floating
5.77700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415VGJ8
6915.10000000
PA
USD
7182.67000000
0.000182128495
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133CEV25
11799504.86000000
PA
USD
11998399.08000000
0.304239282820
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
6.00000000
N
N
N
N
N
N
United Wholesale Mortgage LLC
N/A
UWM Mortgage Trust 2021-INV4
918307AC3
11675361.39000000
PA
USD
9561023.49000000
0.242435587467
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QE1
12800000.00000000
PA
USD
13706000.00000000
0.347538332616
Long
DBT
UST
US
N
2
2040-02-15
Fixed
4.62500000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AZ1
10650000.00000000
PA
USD
11365219.49000000
0.288183965517
Long
DBT
CORP
CH
N
2
2033-08-12
Fixed
6.53700000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2004-20
863579HD3
167162.52000000
PA
USD
164514.33000000
0.004171533338
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
4.35100000
N
N
N
N
N
N
Toyota Auto Loan Extended Note Trust
5493000KI9FC40RVHF71
Toyota Auto Loan Extended Note Trust 2023-1
89231WAA1
3900000.00000000
PA
USD
3934707.66000000
0.099771030168
Long
ABS-O
CORP
US
N
2
2036-06-25
Fixed
4.93000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CD9
13000000.00000000
PA
USD
11406966.87000000
0.289242539487
Long
DBT
CORP
DE
N
2
2031-09-18
Fixed
3.54700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7ZZ2
25730.93000000
PA
USD
26535.70000000
0.000672856627
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
5.50000000
N
N
N
N
N
N
WALGREENS BOOTS ALLIANCE
549300RPTUOIXG4LIH86
Walgreens Boots Alliance Inc
931427AQ1
1500000.00000000
PA
USD
1426190.13000000
0.036163413087
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.45000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-13077.70000000
-0.00033160674
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
3893000.00000000
MXN
215158.98000000
USD
2024-01-31
-13077.70000000
N
N
N
MEXICAN UDIBONOS
254900EGTWEU67VP6075
Mexican Udibonos
000000000
171604443.00000000
PA
8899965.00000000
0.225673354476
Long
DBT
NUSS
MX
N
2
2031-11-27
Fixed
2.75000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAY1
3800000.00000000
PA
USD
4045002.45000000
0.102567737261
Long
DBT
CORP
ES
N
2
2028-11-07
Fixed
6.60700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AM95
3112.70000000
PA
USD
3095.43000000
0.000078489754
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.50000000
N
N
N
N
N
N
Catamaran CLO Ltd
549300C8Q7ISEHHDRH76
Catamaran CLO 2014-1 Ltd
14889DAJ7
10802145.97000000
PA
USD
10797609.07000000
0.273791263128
Long
ABS-CBDO
CORP
KY
N
2
2030-04-22
Floating
6.77400000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFB0
2130000.00000000
PA
USD
2128257.72000000
0.053965499736
Long
DBT
CORP
US
N
2
2024-01-22
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406A2U5
12101.08000000
PA
USD
12296.81000000
0.000311805985
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418PLN3
8458.21000000
PA
USD
8411.27000000
0.000213281683
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P7PU1
93671.98000000
PA
USD
92022.43000000
0.002333381138
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AQV2
0.80000000
PA
USD
0.81000000
0.000000020538
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHNG8
457055.66000000
PA
USD
436944.64000000
0.011079455102
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140A4XN6
11859446.26000000
PA
USD
12042288.32000000
0.305352167198
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416B2P2
15295.95000000
PA
USD
15752.74000000
0.000399436815
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
US AIRWAYS 2013-1A PTT
N/A
US Airways 2013-1 Class A Pass Through Trust
90346WAA1
26164.21000000
PA
USD
24996.92000000
0.000633838311
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.95000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE6 Trust
04002VAA9
11622972.18000000
PA
USD
11399683.26000000
0.289057851491
Long
ABS-CBDO
CORP
KY
N
2
2037-01-20
Floating
6.58800000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GA46
5600000.00000000
PA
USD
5941865.89000000
0.150665851746
Long
DBT
CORP
US
N
2
2029-10-24
Fixed
6.48400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404RSK4
638.57000000
PA
USD
648.87000000
0.000016453173
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7KW5
22978.18000000
PA
USD
23696.64000000
0.000600867558
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
5.50000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAQ2
700000.00000000
PA
USD
687323.88000000
0.017428235460
Long
DBT
CORP
US
N
2
2025-05-14
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F5BX6
3863772.50000000
PA
USD
3764162.51000000
0.095446575399
Long
ABS-MBS
USGSE
US
N
2
2043-10-15
Floating
5.64300000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-8854.46000000
-0.00022451949
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
595604.00000000
USD
19232648.76000000
TRY
2024-04-24
-8854.46000000
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCG3
9800000.00000000
PA
USD
8577403.35000000
0.217494269549
Long
DBT
CORP
JP
N
2
2028-09-17
Fixed
1.90200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A3DC1
1489509.13000000
PA
USD
1465017.77000000
0.037147952213
Long
ABS-MBS
USGA
US
N
2
2048-03-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
317U4NKA4 PIMCO SWAPTION 3.67 CALL USD 2024010
000000000
-3500000.00000000
NC
USD
-58666.30000000
-0.00148758121
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
3500000.00000000
OU
Notional Amount
N/A
-58666.30000000
0.00000000
DIR
US
N/A
N/A
2034-01-08
0.00000000
N/A
0.00000000
N/A
3500000.00000000
USD
1.00000000
3.67000000
USD
2024-01-04
XXXX
-42216.30000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
0020A2CK6
10000000.00000000
PA
USD
9874045.00000000
0.250372766342
Long
STIV
CORP
US
N
2
2024-03-19
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407GUK2
4380.49000000
PA
USD
4510.69000000
0.000114376016
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AWTT0
76473.10000000
PA
USD
74907.80000000
0.001899411346
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU01H5V6 IRS USD R V 12MSOFR BWU01H5V6 CCPOIS / Short: BWU01H5V6 IRS USD P F 1.75000 BWU01H5V6 CCPOIS
000000000
57000000.00000000
OU
Notional Amount
USD
7060084.41000000
0.179020134538
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-06-15
7434750.77000000
USD
0.00000000
USD
57000000.00000000
USD
-374666.36000000
N
N
N
FHLMC Structured Pass Through Securities
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
31395A3J2
1380455.61000000
PA
USD
1283869.96000000
0.032554649437
Long
ABS-MBS
USGSE
US
N
2
2044-07-25
Floating
6.41200000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
11008.33000000
0.000279134441
N/A
DFE
BR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2956000.00000000
USD
14412539.64000000
BRL
2024-01-03
11008.33000000
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-A Trust
058927AA2
382267.21000000
PA
USD
354586.25000000
0.008991121705
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Variable
5.49000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
317U4SMA1 PIMCO SWAPTION 3.205 CALL USD 202401
000000000
-1800000.00000000
NC
USD
-4399.42000000
-0.00011155458
N/A
DIR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
1800000.00000000
OU
Notional Amount
N/A
-4399.42000000
0.00000000
DIR
US
N/A
N/A
2034-01-24
0.00000000
N/A
0.00000000
N/A
1800000.00000000
USD
1.00000000
3.20500000
USD
2024-01-22
XXXX
2980.58000000
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YBH1
12400000.00000000
PA
USD
10320821.20000000
0.261701516933
Long
DBT
CORP
JP
N
2
2031-07-10
Fixed
2.20100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6GG7
17645.65000000
PA
USD
18197.48000000
0.000461427247
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.50000000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAQ0
13500000.00000000
PA
USD
11137041.27000000
0.282398128794
Long
DBT
US
N
2
2031-10-15
Fixed
2.40000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
317U4PLA8 PIMCO SWAPTION 2.49 CALL EUR 2024011
000000000
-2400000.00000000
NC
-18276.46000000
-0.00046342991
N/A
DIR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
2400000.00000000
OU
Notional Amount
N/A
-18276.46000000
0.00000000
DIR
US
N/A
N/A
2034-01-16
0.00000000
N/A
0.00000000
N/A
2400000.00000000
EUR
1.00000000
2.49000000
EUR
2024-01-12
XXXX
-8721.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415QB96
3929.75000000
PA
USD
4089.81000000
0.000103703906
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.00000000
N
N
N
N
N
N
IndyMac ARM Trust
N/A
IndyMac ARM Trust 2001-H2
45660UAT6
4905.57000000
PA
USD
4600.38000000
0.000116650254
Long
ABS-MBS
CORP
US
N
2
2032-01-25
Variable
5.54500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312930TR1
615.63000000
PA
USD
634.92000000
0.000016099448
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
OMEGA HLTHCARE INVESTORS
549300OJ7ENK42CZ8E73
Omega Healthcare Investors Inc
681936BK5
8900000.00000000
PA
USD
8555426.53000000
0.216937010875
Long
DBT
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
Accredited Mortgage Loan Trust
N/A
Accredited Mortgage Loan Trust 2004-2
004375AW1
3061844.23000000
PA
USD
2968771.51000000
0.075278119108
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
6.05000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CS7
5500000.00000000
PA
USD
5641891.70000000
0.143059509282
Long
DBT
CORP
GB
N
2
2029-01-09
Fixed
6.30100000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2007-6
17312VAE8
474770.54000000
PA
USD
421036.30000000
0.010676072790
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Variable
3.77200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CA30
1781.05000000
PA
USD
1741.84000000
0.000044167238
Long
ABS-MBS
USGA
US
N
2
2026-11-20
Floating
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KNN2
60855.86000000
PA
USD
62668.30000000
0.001589058550
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.50000000
N
N
N
N
N
N
Society of Lloyd's
213800O2FTUPFGPH3J11
Society of Lloyd's
000000000
1600000.00000000
PA
2017883.34000000
0.051166774507
Long
DBT
CORP
GB
Y
2
2024-10-30
Fixed
4.75000000
N
N
N
N
N
N
IXIS Real Estate Capital Trust
N/A
IXIS Real Estate Capital Trust 2004-HE4
45071KAE4
1568394.59000000
PA
USD
1559251.95000000
0.039537415937
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
6.41500000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
8769000.00000000
PA
USD
7199207.21000000
0.182547823575
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A9TL1
77369.59000000
PA
USD
75266.91000000
0.001908517175
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ADS48
719.71000000
PA
USD
716.56000000
0.000018169565
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6XR7
74851.10000000
PA
USD
73484.80000000
0.001863328824
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DPP8
2574.09000000
PA
USD
2650.77000000
0.000067214664
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
5.50000000
N
N
N
N
N
N
BAYER US FINANCE LLC
54930093Q75GSEM74I71
Bayer US Finance LLC
07274EAH6
3500000.00000000
PA
USD
3558378.99000000
0.090228593390
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
6.12500000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 Multifamily Housing Mortgage Loan Trust
55282XAA8
2707443.04000000
PA
USD
2667191.48000000
0.067631057911
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
6.32600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2UF4
31241.86000000
PA
USD
31201.54000000
0.000791166728
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410CME9
1155.89000000
PA
USD
1199.28000000
0.000030409730
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CXW9
185430.96000000
PA
USD
182957.96000000
0.004639202127
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
3.50000000
N
N
N
N
N
N
IndyMac Residential Asset Backed Trust
N/A
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A
43710BAA4
2052485.60000000
PA
USD
1542319.57000000
0.039108067395
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
5.69000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BWPC0JKD6 CDS USD R V 03MEVENT 2 CCPCDX / Short: BWPC0JKD6 CDS USD P F 5.00000 1 CCPCDX
000000000
3977000.00000000
OU
Notional Amount
USD
-228224.12000000
-0.00578700059
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S35
2I65BRYO2
Y
buy protection
2025-12-20
0.00000000
USD
-24856.00000000
USD
3977000.00000000
USD
-203368.12000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SW9
16900000.00000000
PA
USD
12150175.74000000
0.308087831437
Long
DBT
UST
US
N
2
2041-02-15
Fixed
1.87500000
N
N
N
N
N
N
LEASEPLAN CORPORATION NV
724500C60L930FVHS484
LeasePlan Corp NV
52206AAD2
13100000.00000000
PA
USD
12801499.08000000
0.324603213575
Long
DBT
CORP
NL
N
2
2024-10-24
Fixed
2.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383KKU5
15487176.00000000
PA
USD
15464800.13000000
0.392135623189
Long
ABS-MBS
USGA
US
N
2
2073-12-20
Floating
6.22000000
N
N
N
N
N
N
Sales Tax Securitization Corp
N/A
SALES TAX SECURITIZATION CORP IL
79467BDH5
2000000.00000000
PA
USD
1706722.20000000
0.043276768395
Long
DBT
MUN
US
N
2
2034-01-01
Fixed
3.05700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407MZ40
379.54000000
PA
USD
390.86000000
0.000009910902
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UWB4
114107.79000000
PA
USD
114957.96000000
0.002914949492
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADP69
333225.84000000
PA
USD
327143.25000000
0.008295258983
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
3.50000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U4ROA1 PIMCO SWAPTION 3.735 PUT USD 2024011
000000000
-1700000.00000000
NC
USD
-3231.31000000
-0.00008193521
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
1700000.00000000
OU
Notional Amount
N/A
-3231.31000000
0.00000000
DIR
US
N/A
N/A
2034-01-23
0.00000000
N/A
0.00000000
N/A
1700000.00000000
USD
1.00000000
3.73500000
USD
2024-01-19
XXXX
3866.19000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7CQ7
188574.73000000
PA
USD
194469.79000000
0.004931103645
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
01N040611
3050000.00000000
PA
USD
2916570.13000000
0.073954466652
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Long: SWU01ZXM5 TRS USD R V 12MFEDL SWUV1ZXM7 EQUITYTRS / Short: SWU01ZXM5 TRS USD P E SWU01ZXM5 EQUITYTRS
000000000
131700000.00000000
OU
Notional Amount
USD
-1092000.00000000
-0.02768946878
N/A
DCR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
iShares iBoxx $ Investment Grade Corporate Bond ETF
iShares iBoxx $ Investment Grade Corporate Bond ETF
Y
equity-performance leg
2024-06-28
0.00000000
USD
0.00000000
USD
131700000.00000000
USD
-1092000.00000000
N
N
N
HUNTINGTON INGALLS INDUS
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries Inc
446413AZ9
13800000.00000000
PA
USD
12130798.78000000
0.307596496520
Long
DBT
CORP
US
N
2
2028-08-16
Fixed
2.04300000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2007-1
23245CAA8
5652726.68000000
PA
USD
5116256.92000000
0.129731168773
Long
ABS-O
CORP
US
N
2
2037-07-25
Floating
5.61000000
N
N
N
N
N
N
NYO Commercial Mortgage Trust
N/A
NYO Commercial Mortgage Trust 2021-1290
62955HAA5
14000000.00000000
PA
USD
12912412.80000000
0.327415614663
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
6.57100000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust 2023-A
88167PAB4
3900000.00000000
PA
USD
3907257.12000000
0.099074976257
Long
ABS-O
CORP
US
N
2
2025-08-20
Fixed
5.86000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2016-GS3
36251PAZ7
13346000.00000000
PA
USD
11817271.75000000
0.299646499348
Long
ABS-MBS
CORP
US
N
2
2049-10-10
Variable
3.60200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NYJ3
2182.38000000
PA
USD
2170.27000000
0.000055030790
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust
63875JAA6
9581175.87000000
PA
USD
9491484.57000000
0.240672312966
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Floating
7.18500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U4NOA0 PIMCO SWAPTION 3.594 CALL USD 202401
000000000
-3300000.00000000
NC
USD
-38204.69000000
-0.00096874319
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
3300000.00000000
OU
Notional Amount
N/A
-38204.69000000
0.00000000
DIR
US
N/A
N/A
2034-01-09
0.00000000
N/A
0.00000000
N/A
3300000.00000000
USD
1.00000000
3.59400000
USD
2024-01-05
XXXX
-21704.69000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622ABJW3
2041286.93000000
PA
USD
2141894.88000000
0.054311292516
Long
ABS-MBS
USGA
US
N
2
2049-01-15
Fixed
5.00000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2005-10
07387AET8
486679.77000000
PA
USD
463284.54000000
0.011747346896
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
5.56600000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2006-17
12666VAC5
454215.07000000
PA
USD
441294.01000000
0.011189740582
Long
ABS-O
CORP
US
N
2
2047-03-25
Floating
5.77000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816DL0
5000000.00000000
PA
USD
5097771.90000000
0.129262450473
Long
DBT
CORP
US
N
2
2026-10-30
Fixed
6.33800000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2007-WMC1
83612NAC9
2032013.34000000
PA
USD
548563.54000000
0.013909737197
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
5.58000000
N
N
N
N
N
N
LCM Ltd Partnership
549300WD241FFLNM0E69
LCM XIII LP
50184KBL1
2345890.79000000
PA
USD
2345585.82000000
0.059476213694
Long
ABS-CBDO
CORP
KY
N
2
2027-07-19
Floating
6.52800000
N
N
N
N
N
N
MortgageIT Trust
N/A
MortgageIT Mortgage Loan Trust 2006-1
61915RBY1
1319452.01000000
PA
USD
1225225.98000000
0.031067634187
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DAZ5
126291.69000000
PA
USD
123510.84000000
0.003131821931
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L1WN6
2661.57000000
PA
USD
2744.92000000
0.000069601993
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
5.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401BE7
5800000.00000000
PA
USD
6050270.75000000
0.153414636534
Long
DBT
CORP
CH
N
2
2029-09-22
Fixed
6.24600000
N
N
N
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust 2005-9
86358EYF7
3971610.46000000
PA
USD
3803313.47000000
0.096439312839
Long
ABS-O
CORP
US
N
2
2035-11-25
Floating
6.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403NZ83
87772.25000000
PA
USD
90386.07000000
0.002291888520
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
Nomura Asset Acceptance Corporation
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP2
65535VLL0
587641.20000000
PA
USD
306334.54000000
0.007767619674
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
5.47600000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2005-2
41161PLR2
307894.49000000
PA
USD
277911.48000000
0.007046905907
Long
ABS-MBS
CORP
US
N
2
2035-05-19
Floating
5.91000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
31750MNE4 PIMCO FXVAN PUT GBP USD 1.20000000
000000000
10100000.00000000
OU
Notional Amount
109557.45000000
0.002778010615
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
FX Contract
N/A
1.00000000
NC
USD
109557.45000000
0.00000000
DFE
GB
12120000.00000000
USD
10100000.00000000
GBP
2024-09-26
1.00000000
1.20000000
GBP
2024-09-26
XXXX
-223646.25000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6AX6
9799.85000000
PA
USD
10106.21000000
0.000256259694
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YLN5
2757.81000000
PA
USD
2742.51000000
0.000069540883
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-59866.11000000
-0.00151800438
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
365000000.00000000
JPY
2530418.75000000
USD
2024-01-09
-59866.11000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01W5F8 IRS USD R V 12MSOFR SWUV1W5F0 CCPOIS / Short: BWU01W5F8 IRS USD P F 5.15000 SWU01W5F8 CCPOIS
000000000
1000000.00000000
OU
Notional Amount
USD
-437.30000000
-0.00001108846
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-09-13
909.56000000
USD
0.00000000
USD
1000000.00000000
USD
-1346.86000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617JV7F0
287312.50000000
PA
USD
299378.80000000
0.007591245365
Long
ABS-MBS
USGA
US
N
2
2049-05-15
Fixed
5.00000000
N
N
N
N
N
N
Towd Point Mortgage Funding
635400655NWVVZHH1395
Towd Point Mortgage Funding 2019 - Granite4 PLC
000000000
9123161.70000000
PA
11642142.74000000
0.295205813216
Long
ABS-MBS
CORP
GB
N
2
2051-10-20
Floating
6.36500000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAF4
10200000.00000000
PA
USD
9960542.56000000
0.252566055250
Long
DBT
CORP
CH
N
2
2026-04-15
Fixed
4.12500000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Citibank NA
17325FBA5
5500000.00000000
PA
USD
5590885.52000000
0.141766163101
Long
DBT
CORP
US
N
2
2025-09-29
Fixed
5.86400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TE60
8184.65000000
PA
USD
8070.39000000
0.000204638106
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404R3C9
746.70000000
PA
USD
768.93000000
0.000019497493
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297BXM8
15960.91000000
PA
USD
16121.55000000
0.000408788603
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K2F61
11433.29000000
PA
USD
11790.39000000
0.000298964868
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJJT8
47580.93000000
PA
USD
49071.32000000
0.001244284600
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406MYP5
9574.98000000
PA
USD
9498.92000000
0.000240860850
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Floating
4.06500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407DTL9
2537.09000000
PA
USD
2586.42000000
0.000065582963
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131YBXS2
364966.79000000
PA
USD
357403.67000000
0.009062562056
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
3.50000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BA9
13300000.00000000
PA
USD
13036141.03000000
0.330552948878
Long
DBT
CORP
US
N
2
2024-09-26
Fixed
2.85000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-343604.37000000
-0.00871265794
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
155610494.29000000
ZAR
8151883.78000000
USD
2024-01-19
-343604.37000000
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCT5
2900000.00000000
PA
USD
2928419.57000000
0.074254928831
Long
DBT
CORP
JP
N
2
2026-01-13
Fixed
5.46400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01ZJ82 IRS EUR R V 06MEURIB SWUV1ZJ84 CCPVANILLA / Short: BWU01ZJ82 IRS EUR P F 3.12800 SWU01ZJ82 CCPVANILLA
000000000
1600000.00000000
OU
Notional Amount
-97193.01000000
-0.00246448975
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-12-04
0.00000000
EUR
0.00000000
EUR
1600000.00000000
EUR
-97193.01000000
N
N
N
Legacy Mortgage Asset Trust 2020-GSL
N/A
Legacy Mortgage Asset Trust 2020-GS1
52474PAA0
9269755.40000000
PA
USD
9259876.62000000
0.234799509758
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
5.88200000
N
N
N
N
N
N
ReadyCap Commercial Mortgage Trust
N/A
Ready Capital Mortgage Financing 2022-FL10 LLC
755931AA0
9244480.03000000
PA
USD
9289679.99000000
0.235555223571
Long
ABS-CBDO
CORP
US
N
2
2039-10-25
Floating
7.90800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371FB50
79.47000000
PA
USD
79.80000000
0.000002023461
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
8.00000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2007-4N
52524HAF7
9643200.64000000
PA
USD
8186364.71000000
0.207578837115
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Floating
5.87000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376R6V3
5023138.84000000
PA
USD
5056841.09000000
0.128224581987
Long
ABS-MBS
USGA
US
N
2
2067-09-20
Floating
5.65900000
N
N
N
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638BE1
3600000.00000000
PA
1004321.32000000
0.025466230626
Long
DBT
NUSS
PE
Y
2
2031-08-12
Fixed
6.95000000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939UAE6
5000000.00000000
PA
USD
4076625.60000000
0.103369594610
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
1.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407PFB9
57955.24000000
PA
USD
59680.63000000
0.001513301228
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U4SRA6 PIMCO SWAPTION 3.665 PUT USD 2024012
000000000
-3300000.00000000
NC
USD
-11445.75000000
-0.00029022594
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
3300000.00000000
OU
Notional Amount
N/A
-11445.75000000
0.00000000
DIR
US
N/A
N/A
2034-01-24
0.00000000
N/A
0.00000000
N/A
3300000.00000000
USD
1.00000000
3.66500000
USD
2024-01-22
XXXX
1919.25000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312929LV2
2347.50000000
PA
USD
2415.00000000
0.000061236325
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
5.50000000
N
N
N
N
N
N
Elevation CLO Ltd
N/A
Elevation CLO 2020-11 Ltd
28621YAA3
7400000.00000000
PA
USD
7396100.20000000
0.187540371470
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
6.97500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415VYQ2
17899.09000000
PA
USD
18433.17000000
0.000467403558
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-INV1
465973AC9
11373347.95000000
PA
USD
9700669.67000000
0.245976547670
Long
ABS-MBS
CORP
US
N
2
2052-03-25
Variable
3.00000000
N
N
N
N
N
N
AMER AIRLN 15-2 AA PTT
N/A
American Airlines 2015-2 Class AA Pass Through Trust
02377BAB2
967059.39000000
PA
USD
904609.69000000
0.022937877085
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
3.60000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
25866258.00000000
PA
28537526.71000000
0.723616259288
Long
DBT
NUSS
IT
Y
2
2028-05-15
Fixed
1.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MMU55
6491687.26000000
PA
USD
5740242.72000000
0.145553362302
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VBJ8
10645.16000000
PA
USD
10516.58000000
0.000266665305
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L16J4
1921.15000000
PA
USD
1965.69000000
0.000049843325
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
5.50000000
N
N
N
N
N
N
EPR PROPERTIES
549300YSSXFHMPOWZ492
EPR Properties
26884UAF6
2500000.00000000
PA
USD
2198460.05000000
0.055745596096
Long
DBT
US
N
2
2029-08-15
Fixed
3.75000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BZ6
10500000.00000000
PA
USD
9559696.65000000
0.242401943241
Long
DBT
CORP
JP
N
2
2027-10-13
Fixed
1.64000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DR7
5900000.00000000
PA
USD
6322069.48000000
0.160306543540
Long
DBT
CORP
GB
N
2
2028-11-03
Fixed
7.39000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M44E0
4128.91000000
PA
USD
4257.97000000
0.000107967882
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384WFN5
80976.81000000
PA
USD
80097.96000000
0.002031016450
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Floating
6.02500000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCA6
6500000.00000000
PA
USD
6150828.78000000
0.155964451948
Long
DBT
CORP
JP
N
2
2025-07-08
Fixed
1.47400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5PM6
14969.65000000
PA
USD
15437.79000000
0.000391450736
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
Nomura Holdings Inc
65535HBG3
5100000.00000000
PA
USD
5146461.15000000
0.130497047055
Long
DBT
CORP
JP
N
2
2026-01-09
Fixed
5.70900000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2005-AR5
86359LPD5
29669.26000000
PA
USD
26509.41000000
0.000672190000
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
5.97000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
39716.11000000
0.001007067754
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
3334000.00000000
USD
105329395.00000000
TRY
2024-03-05
39716.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410K2B9
11471.47000000
PA
USD
11814.01000000
0.000299563792
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-4923.42000000
-0.00012484146
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
517879.00000000
USD
16387245.20000000
TRY
2024-03-29
-4923.42000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGRS5
104.31000000
PA
USD
103.73000000
0.000002630245
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36206GNM8
387.49000000
PA
USD
387.53000000
0.000009826465
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
7.50000000
N
N
N
N
N
N
Fidelity National Information Services Inc
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31621YA58
7550000.00000000
PA
USD
7542028.48000000
0.191240624725
Long
STIV
CORP
US
N
2
2024-01-05
None
0.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-5575.54000000
-0.00014137705
N/A
DFE
TR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
643572.00000000
USD
20227467.96000000
TRY
2024-03-21
-5575.54000000
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YG2
13300000.00000000
PA
USD
13293963.00000000
0.337090451983
Long
DBT
CORP
US
N
2
2024-01-09
Fixed
3.81000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01PFI6 IRS EUR R F 2.54700 SWU01PFI6 CCPVANILLA / Short: SWU01PFI6 IRS EUR P V 06MEURIB SWUV1PFI8 CCPVANILLA
000000000
7100000.00000000
OU
Notional Amount
47522.07000000
0.001205000800
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-09
0.00000000
EUR
0.00000000
EUR
7100000.00000000
EUR
47522.07000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410MQS2
2637.73000000
PA
USD
2730.47000000
0.000069235589
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-50804.39000000
-0.00128822946
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
4262000.00000000
EUR
4655316.11000000
USD
2024-01-09
-50804.39000000
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp
89236TKY0
5800000.00000000
PA
USD
5805467.20000000
0.147207237031
Long
DBT
CORP
US
N
2
2024-08-22
Floating
5.92000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust Series 2005-A1
16162WPB9
242595.03000000
PA
USD
223136.51000000
0.005657995814
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
4.77000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415PZX9
9215.39000000
PA
USD
9466.59000000
0.000240041069
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Deutsche Bank Securities, Inc.
9J6MBOOO7BECTDTUZW19
Deutsche Bank Securities, Inc.
000000000
-12850500.00000000
PA
USD
-12850500.00000000
-0.32584571306
Short
RA
CORP
US
N
2
Reverse repurchase
N
5.49000000
2024-01-11
15600000.00000000
USD
12920625.00000000
USD
UST
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P7N33
20107.48000000
PA
USD
19757.15000000
0.000500975263
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
3 MONTH SOFR FUT JUN24
000000000
1667.00000000
NC
USD
2685737.04000000
0.068101311303
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME Three-Month SOFR Futures
SFRM4 Comdty
2024-09-17
395248000.46000000
USD
2685737.04000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413Y7J4
13080.35000000
PA
USD
13624.17000000
0.000345463397
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-10977.53000000
-0.00027835345
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
12121000.00000000
MXN
699645.83000000
USD
2024-01-31
-10977.53000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CTR7
3401.40000000
PA
USD
3307.33000000
0.000083862830
Long
ABS-MBS
USGA
US
N
2
2031-10-20
Floating
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KFH2
511208.74000000
PA
USD
526474.50000000
0.013349632999
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BKP0
9209.75000000
PA
USD
9104.78000000
0.000230866778
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
3.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-5998.03000000
-0.00015208998
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
449868.00000000
USD
14577972.54000000
TRY
2024-04-26
-5998.03000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
317U4P4A7 PIMCO SWAPTION 3.975 PUT USD 2024010
000000000
-1700000.00000000
NC
USD
-38.91000000
-0.00000098662
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
1700000.00000000
OU
Notional Amount
N/A
-38.91000000
0.00000000
DIR
US
N/A
N/A
2034-01-10
0.00000000
N/A
0.00000000
N/A
1700000.00000000
USD
1.00000000
3.97500000
USD
2024-01-08
XXXX
7951.09000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QX9
39000000.00000000
PA
USD
31631132.91000000
0.802059768738
Long
DBT
UST
US
N
2
2042-08-15
Fixed
2.75000000
N
N
N
N
N
N
L3Harris Technologies Inc
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
50248BAG7
7500000.00000000
PA
USD
7479333.75000000
0.189650895998
Long
STIV
CORP
US
N
2
2024-01-16
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
317U4ONA9 PIMCO SWAPTION 2.86 PUT EUR 20240108
000000000
-3800000.00000000
NC
-119.05000000
-0.00000301870
N/A
DIR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Put
Written
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
IRS Swap
N/A
3800000.00000000
OU
Notional Amount
N/A
-119.05000000
0.00000000
DIR
US
N/A
N/A
2029-01-10
0.00000000
N/A
0.00000000
N/A
3800000.00000000
EUR
1.00000000
2.86000000
EUR
2024-01-08
XXXX
8572.47000000
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAS0
6300000.00000000
PA
USD
6423572.74000000
0.162880326827
Long
DBT
CORP
KY
N
2
2028-05-04
Fixed
6.37500000
N
N
N
N
N
N
Regatta Funding
254900TUAAER6MTE4E64
Regatta XI Funding Ltd
75887XAA5
10722141.74000000
PA
USD
10715150.90000000
0.271700399644
Long
ABS-CBDO
CORP
KY
N
2
2031-07-17
Floating
6.73400000
N
N
N
N
N
N
JPN BANK FOR INT'L COOP
549300TJ3QFYVCTSCJ29
Japan Bank for International Cooperation
471048BM9
11200000.00000000
PA
USD
10656888.82000000
0.270223068100
Long
DBT
NUSS
JP
N
2
2027-07-21
Fixed
2.87500000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Bank of America NA
06428CAB0
7100000.00000000
PA
USD
7128130.56000000
0.180745557383
Long
DBT
CORP
US
N
2
2026-08-18
Floating
6.42200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B92J2
1997772.46000000
PA
USD
1831744.56000000
0.046446917420
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CNP7
3169.33000000
PA
USD
3128.15000000
0.000079319424
Long
ABS-MBS
USGA
US
N
2
2030-04-20
Floating
4.00000000
N
N
N
N
N
N
Castlelake LP
N/A
Castlelake LP First Lien Term Loan
000000000
6758545.04000000
PA
USD
6082690.54000000
0.154236694009
Long
LON
CORP
US
N
3
2031-05-13
Floating
2.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382YQ30
7293634.57000000
PA
USD
7216055.10000000
0.182975029733
Long
ABS-MBS
USGA
US
N
2
2073-01-20
Floating
6.13800000
N
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust 2006-8
06050AAH6
313488.66000000
PA
USD
297720.12000000
0.007549186786
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
6.51800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CLA2
3161.93000000
PA
USD
3083.91000000
0.000078197646
Long
ABS-MBS
USGA
US
N
2
2029-09-20
Floating
3.62500000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2002-11
07384MSJ2
1930.14000000
PA
USD
1439.76000000
0.000036507499
Long
ABS-MBS
CORP
US
N
2
2033-02-25
Variable
3.25000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
17613.30000000
0.000446614396
N/A
DFE
AU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1299886.44000000
USD
1933000.00000000
AUD
2024-01-09
17613.30000000
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2004-FFH3
32027NLS8
3866835.22000000
PA
USD
3787404.24000000
0.096035907961
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
6.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411CKM2
32927.35000000
PA
USD
34298.41000000
0.000869692997
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
317U4P5A6 PIMCO SWAPTION 3.475 CALL USD 202401
000000000
-1700000.00000000
NC
USD
-10440.50000000
-0.00026473617
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
1700000.00000000
OU
Notional Amount
N/A
-10440.50000000
0.00000000
DIR
US
N/A
N/A
2034-01-10
0.00000000
N/A
0.00000000
N/A
1700000.00000000
USD
1.00000000
3.47500000
USD
2024-01-08
XXXX
-2450.50000000
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
2880.81000000
0.000073047709
N/A
DFE
BR
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
1891058.58000000
USD
9200000.00000000
BRL
2024-01-03
2880.81000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWGY3
96497.00000000
PA
USD
95465.32000000
0.002420681317
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388JK53
11788.86000000
PA
USD
11703.65000000
0.000296765431
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Floating
6.10800000
N
N
N
N
N
N
VIRGIN MONEY UK PLC
213800ZK9VGCYYR6O495
Virgin Money UK PLC
000000000
500000.00000000
PA
603939.43000000
0.015313884612
Long
DBT
CORP
GB
Y
2
2027-09-03
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
317U4QPA2 PIMCO SWAPTION 2.33 CALL EUR 2024011
000000000
-2400000.00000000
NC
-6642.00000000
-0.00016841891
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
2400000.00000000
OU
Notional Amount
N/A
-6642.00000000
0.00000000
DIR
US
N/A
N/A
2034-01-17
0.00000000
N/A
0.00000000
N/A
2400000.00000000
EUR
1.00000000
2.33000000
EUR
2024-01-15
XXXX
3514.60000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YN52
3719.34000000
PA
USD
3645.45000000
0.000092436423
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
4.00000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2006-4
54251MAD6
27364907.00000000
PA
USD
7982488.41000000
0.202409215828
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
5.79000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404BR61
13491.03000000
PA
USD
13739.73000000
0.000348393612
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.00000000
N
N
N
N
N
N
Renaissance Home Equity Loan Trust
N/A
Renaissance Home Equity Loan Trust 2003-2
759950AW8
63590.68000000
PA
USD
57723.01000000
0.001463662530
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
4.15600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418A7E2
863.52000000
PA
USD
860.07000000
0.000021808499
Long
ABS-MBS
USGSE
US
N
2
2024-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L9WD1
7956.32000000
PA
USD
8205.39000000
0.000208061254
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
37354.79000000
0.000947192574
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
28623577.82000000
BRL
5929889.75000000
USD
2024-01-03
37354.79000000
N
N
N
CHEVY CHASE MORTGAGE FUNDING CORP.
549300TC8R2SGZ2KM445
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3
16678RBU0
8119.62000000
PA
USD
7555.87000000
0.000191591599
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
5.72000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8GS7
826.15000000
PA
USD
851.98000000
0.000021603364
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01LN13 IRS NZD R F 4.25000 SWU01LN13 CCPVANILLA / Short: SWU01LN13 IRS NZD P V 03MNZDBB SWUV1LN15 CCPVANILLA
000000000
2900000.00000000
OU
Notional Amount
5051.30000000
0.000128084078
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-12-21
2626.39000000
NZD
0.00000000
NZD
2900000.00000000
NZD
3498.13000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404KFX5
42372.38000000
PA
USD
43055.75000000
0.001091749858
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGHE7
0.94000000
PA
USD
0.95000000
0.000000024088
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
5.50000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AF4
7000000.00000000
PA
USD
7310870.00000000
0.185379218574
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385WSM2
17320.10000000
PA
USD
17220.28000000
0.000436648723
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Floating
6.13500000
N
N
N
N
N
N
Fixed Income Clearing Corp
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
20327757.37000000
PA
USD
20327757.37000000
0.515443959011
Long
RA
CORP
US
N
2
Repurchase
N
2.50000000
2024-01-02
20277700.00000000
USD
20734374.92000000
USD
UST
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A9VH7
236078.67000000
PA
USD
231769.59000000
0.005876901857
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QLPH8
62461.56000000
PA
USD
63633.25000000
0.001613526455
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
5.12200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385W2N8
2582.36000000
PA
USD
2673.89000000
0.000067800909
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XCE8
1200000.00000000
PA
USD
1246580.36000000
0.031609109863
Long
DBT
US
N
2
2028-11-15
Fixed
5.80000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AD3
14700000.00000000
PA
USD
13743129.23000000
0.348479805744
Long
DBT
CORP
JP
N
2
2030-09-17
Fixed
4.81000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M66J2
11319.21000000
PA
USD
11673.16000000
0.000295992307
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
COOPERAT RABOBANK UA/NY
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA/NY
21688AAW2
8400000.00000000
PA
USD
8488743.06000000
0.215246141039
Long
DBT
CORP
NL
N
2
2025-07-18
Fixed
5.50000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
891160TD5
1100000.00000000
PA
USD
1100080.77000000
0.027894370097
Long
DBT
CORP
CA
N
2
2026-06-05
Fixed
4.70100000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AY5
3500000.00000000
PA
USD
3561421.68000000
0.090305745834
Long
DBT
CORP
GB
N
2
2027-08-07
Fixed
5.98500000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2005-FR1
073879G69
3683268.13000000
PA
USD
3592948.87000000
0.091105169958
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
5.40100000
N
N
N
N
N
N
Venture CDO Ltd
549300SNYYGJ2M6QEK53
Venture XVII CLO Ltd
92329YAL0
4324606.89000000
PA
USD
4319417.36000000
0.109525981845
Long
ABS-CBDO
CORP
KY
N
2
2027-04-15
Floating
6.53500000
N
N
N
N
N
N
Bank of America Merrill Lynch International Limited
EYKN6V0ZCB8VD9IULB80
Long: SWU01B8C8 IRS JPY R F .00000 SWU01B8C8 CCPOIS / Short: SWU01B8C8 IRS JPY P V 12MTONA SWUV1B8C0 CCPOIS
000000000
10670000000.00000000
OU
Notional Amount
1959.95000000
0.000049697778
N/A
DIR
US
N
2
Bank of America Merrill Lynch International Limited
EYKN6V0ZCB8VD9IULB80
N/A
N/A
Y
2024-03-17
1348983.00000000
JPY
0.00000000
JPY
10670000000.00000000
JPY
-32032.14000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR24
000000000
-1144.00000000
NC
USD
-2798059.15000000
-0.07094942445
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 5 Year U.S. Treasury Notes
FVH4 Comdty
2024-03-28
-121638753.92000000
USD
-2798059.15000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617AYBE1
17668.55000000
PA
USD
17429.97000000
0.000441965760
Long
ABS-MBS
USGA
US
N
2
2047-09-15
Fixed
5.00000000
N
N
N
N
N
N
Ares European CLO
635400SFL7VSI4HNPI68
Ares European CLO X DAC
000000000
10857181.81000000
PA
11863532.51000000
0.300819517544
Long
ABS-CBDO
CORP
IE
N
2
2031-10-15
Floating
4.74500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416JPK1
30060.26000000
PA
USD
31047.84000000
0.000787269410
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CZC1
117235.25000000
PA
USD
115095.72000000
0.002918442625
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406BB90
11010.31000000
PA
USD
11189.75000000
0.000283734645
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
3.94000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABC4
12000000.00000000
PA
USD
11628885.24000000
0.294869647344
Long
DBT
CORP
DK
N
2
2028-04-01
Fixed
4.29800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M53F5
29186.25000000
PA
USD
30098.64000000
0.000763200872
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BNS1
60976.31000000
PA
USD
60134.79000000
0.001524817207
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KQB96
372.81000000
PA
USD
384.46000000
0.000009748620
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31349UCW6
9896.99000000
PA
USD
10071.19000000
0.000255371704
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Floating
6.20800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4AH6
72026.27000000
PA
USD
74276.82000000
0.001883411803
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCG8
5000000.00000000
PA
USD
4200200.25000000
0.106503034549
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.45000000
N
N
N
N
N
N
IndyMac ARM Trust
N/A
IndyMac ARM Trust 2001-H2
45660UAQ2
214.06000000
PA
USD
203.94000000
0.000005171236
Long
ABS-MBS
CORP
US
N
2
2032-01-25
Variable
5.68600000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W4
040104PT2
3642091.61000000
PA
USD
2802093.08000000
0.071051711430
Long
ABS-O
CORP
US
N
2
2036-02-25
Floating
6.23000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0M7M4 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0M7M4 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
5700000.00000000
OU
Notional Amount
USD
30044.70000000
0.000761833134
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Verizon Communications, Inc.
Verizon Communications, Inc.
Y
sell protection
2024-12-20
15040.86000000
USD
0.00000000
USD
5700000.00000000
USD
15003.84000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405U2C2
59795.12000000
PA
USD
59210.76000000
0.001501386896
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Floating
5.58500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GFA0
2251.54000000
PA
USD
2351.89000000
0.000059636066
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JMZG5
8843.59000000
PA
USD
8871.76000000
0.000224958169
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
6.14100000
N
N
N
N
N
N
Park Place Securities Inc
N/A
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2
70069FAZ0
2701149.67000000
PA
USD
2644957.65000000
0.067067282323
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
6.52000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
229345.88000000
0.005815444675
N/A
DFE
TW
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
5845939.27000000
USD
184749219.00000000
TWD
2024-03-20
229345.88000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MLB1
42711.96000000
PA
USD
43985.37000000
0.001115321913
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YBQ9
10140.40000000
PA
USD
9947.96000000
0.000252247003
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X9NM7
183149.33000000
PA
USD
178022.72000000
0.004514060942
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01IVA1 IRS EUR R F 1.00000 SWU01IVA1 CCPVANILLA / Short: SWU01IVA1 IRS EUR P V 06MEURIB SWUV1IVA3 CCPVANILLA
000000000
9200000.00000000
OU
Notional Amount
-498243.70000000
-0.01263379430
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-05-18
0.00000000
EUR
-285793.41000000
EUR
9200000.00000000
EUR
-201737.21000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AEG67
351871.91000000
PA
USD
344582.30000000
0.008737454982
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
3.50000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2021-CRE5 Trust
04002PAA2
8969497.34000000
PA
USD
8762987.22000000
0.222200055974
Long
ABS-CBDO
CORP
KY
N
2
2038-11-17
Floating
6.55300000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CKL9
2152.76000000
PA
USD
2116.25000000
0.000053661024
Long
ABS-MBS
USGA
US
N
2
2029-07-20
Floating
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6WA5
2630028.50000000
PA
USD
2548942.04000000
0.064632647491
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
3.50000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
317U4R9A8 PIMCO SWAPTION 2.31 CALL EUR 2024011
000000000
-1500000.00000000
NC
-4390.11000000
-0.00011131851
N/A
DIR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank NA
E57ODZWZ7FF32TWEFA76
Citibank NA
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
1500000.00000000
OU
Notional Amount
N/A
-4390.11000000
0.00000000
DIR
US
N/A
N/A
2034-01-22
0.00000000
N/A
0.00000000
N/A
1500000.00000000
EUR
1.00000000
2.31000000
EUR
2024-01-18
XXXX
1514.61000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407MZ99
5809.47000000
PA
USD
5982.44000000
0.000151694675
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-29021.27000000
-0.00073588237
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1227000.00000000
EUR
1325837.92000000
USD
2024-01-09
-29021.27000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F052623
179000000.00000000
PA
USD
179797110.27000000
4.559053546808
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
5.50000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2005-WL2
542514ND2
7442072.65000000
PA
USD
7256510.52000000
0.184000843917
Long
ABS-O
CORP
US
N
2
2035-08-25
Floating
6.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01OT78 IRS CAD R F 3.75000 SWU01OT78 CCPOIS / Short: SWU01OT78 IRS CAD P V 06MCORRA SWUV1OT70 CCPOIS
000000000
175000000.00000000
OU
Notional Amount
-548435.91000000
-0.01390650092
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-20
0.00000000
CAD
-3010513.24000000
CAD
175000000.00000000
CAD
1701811.32000000
N
N
N
Hyundai Auto Receivables Trust
N/A
Hyundai Auto Receivables Trust 2023-B
44933XAA5
1295182.41000000
PA
USD
1295256.88000000
0.032843383655
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
5.58100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WFJ6
2422.44000000
PA
USD
2409.00000000
0.000061084185
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402YEW0
599.47000000
PA
USD
609.15000000
0.000015446007
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
LOGICOR FINANCING SARL
254900IS16Q1A2TQFN22
Logicor Financing Sarl
000000000
4500000.00000000
PA
4559374.86000000
0.115610501723
Long
DBT
CORP
LU
Y
2
2027-07-15
Fixed
1.62500000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBX2
10600000.00000000
PA
USD
7851490.28000000
0.199087541257
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.60000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2006-FM1
00441VAA6
7764007.60000000
PA
USD
2505453.79000000
0.063529930878
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.77000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CW26
86628.61000000
PA
USD
85260.76000000
0.002161927795
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VB37
8093.16000000
PA
USD
8224.04000000
0.000208534156
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136BBAR3
20747857.11000000
PA
USD
1642763.46000000
0.041654988601
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
2.24200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HJD5
2907.68000000
PA
USD
2901.04000000
0.000073560674
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
5.62400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410G2H5
377677.45000000
PA
USD
388957.50000000
0.009862661681
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030629
312250000.00000000
PA
USD
276475420.70000000
7.010492245704
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
3.00000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE7 LLC
00217VAA8
11500000.00000000
PA
USD
11497297.50000000
0.291533022234
Long
ABS-CBDO
CORP
US
N
2
2039-06-17
Floating
7.60000000
N
N
N
N
N
N
Merrill Lynch First Franklin Mortgage Loan Trust
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-5
59025RAV9
9085498.67000000
PA
USD
7468569.73000000
0.189377956442
Long
ABS-O
CORP
US
N
2
2037-10-25
Floating
6.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TZ83
55.24000000
PA
USD
54.93000000
0.000001392841
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D54A7
31739.72000000
PA
USD
31081.77000000
0.000788129762
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418VVZ2
49707.14000000
PA
USD
50933.81000000
0.001291511119
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01PC24 IRS USD R V 12MSOFR SWUV1PC26 CCPOIS / Short: BWU01PC24 IRS USD P F 3.50000 SWU01PC24 CCPOIS
000000000
111800000.00000000
OU
Notional Amount
USD
1383044.26000000
0.035069378086
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-20
1990821.50000000
USD
0.00000000
USD
111800000.00000000
USD
-607777.24000000
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ACG0
2000000.00000000
PA
USD
2013269.60000000
0.051049785487
Long
DBT
CORP
US
N
2
2026-06-26
Fixed
5.65000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2006-HYB5
170256AD3
1136619.42000000
PA
USD
978099.20000000
0.024801325339
Long
ABS-MBS
CORP
US
N
2
2036-09-20
Variable
4.12600000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U4SSA5 PIMCO SWAPTION 3.215 CALL USD 202401
000000000
-3300000.00000000
NC
USD
-8562.21000000
-0.00021710901
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
3300000.00000000
OU
Notional Amount
N/A
-8562.21000000
0.00000000
DIR
US
N/A
N/A
2034-01-24
0.00000000
N/A
0.00000000
N/A
3300000.00000000
USD
1.00000000
3.21500000
USD
2024-01-22
XXXX
4802.79000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XHR1
5118.84000000
PA
USD
5295.99000000
0.000134288598
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
6.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SH2
6300000.00000000
PA
USD
5006039.09000000
0.126936413129
Long
DBT
UST
US
N
2
2049-05-15
Fixed
2.87500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01GJD3 IRS JPY R V 12MTONAR SWUV1GJD5 CCPOIS / Short: BWU01GJD3 IRS JPY P F .50000 SWU01GJD3 CCPOIS
000000000
3296900000.00000000
OU
Notional Amount
2943362.42000000
0.074633829544
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2042-03-15
104907175.00000000
JPY
0.00000000
JPY
3296900000.00000000
JPY
2112270.78000000
N
N
N
KREF 2022-Fl3 Ltd
549300DG0FGL1EU1CT79
KREF 2022-FL3 Ltd
48275EAA4
12500000.00000000
PA
USD
12315500.00000000
0.312279901892
Long
ABS-CBDO
CORP
KY
N
2
2039-02-17
Floating
6.80600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01XJV6 IRS AUD R F 4.50000 SWU01XJV6 CCPVANILLA / Short: SWU01XJV6 IRS AUD P V 06MBBSW SWUV1XJV8 CCPVANILLA
000000000
11800000.00000000
OU
Notional Amount
209138.03000000
0.005303041166
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-03-20
0.00000000
AUD
-515344.52000000
AUD
11800000.00000000
AUD
540437.58000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
62550.60000000
0.001586074071
N/A
DFE
BR
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
7696000.00000000
USD
37687935.38000000
BRL
2024-01-03
62550.60000000
N
N
N
SUN COMMUNITIES OPER LP
549300PUNBPJCGT6X741
Sun Communities Operating LP
866677AE7
13200000.00000000
PA
USD
10998940.26000000
0.278896348935
Long
DBT
US
N
2
2031-07-15
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CC61
26.56000000
PA
USD
26.41000000
0.000000669669
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31349UJM1
33079.79000000
PA
USD
33850.72000000
0.000858341075
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
4.39400000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: SWPC0KR20 CDS USD R F 1.00000 FIX SOVEREIGN / Short: SWPC0KR20 CDS USD P V 03MEVENT FLO SOVEREIGN
000000000
3200000.00000000
OU
Notional Amount
USD
1080.13000000
0.000027388485
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
REPUBLIC OF COLOMBIA
REPUBLIC OF COLOMBIA
Y
sell protection
2027-06-20
0.00000000
USD
-78369.04000000
USD
3200000.00000000
USD
79449.17000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T3WY0
14.68000000
PA
USD
14.64000000
0.000000371221
Long
ABS-MBS
USGSE
US
N
2
2024-01-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312929FV9
1086349.81000000
PA
USD
1120377.41000000
0.028409025023
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402BEZ3
9032.33000000
PA
USD
9178.15000000
0.000232727195
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
MASTR Asset Securitization Trust
N/A
MASTR Asset Securitization Trust 2006-2
55274QAP0
156319.93000000
PA
USD
90548.12000000
0.002295997566
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418U2L7
1344.13000000
PA
USD
1336.94000000
0.000033900328
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DQRQ1
7756994.40000000
PA
USD
7776452.59000000
0.197184836334
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
23387782.00000000
PA
USD
18271864.19000000
0.463313382051
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D53V2
75158.70000000
PA
USD
73600.92000000
0.001866273239
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
3.50000000
N
N
N
N
N
N
BAYER US FINANCE LLC
54930093Q75GSEM74I71
Bayer US Finance LLC
07274EAK9
6900000.00000000
PA
USD
7099127.93000000
0.180010147659
Long
DBT
CORP
US
N
2
2030-11-21
Fixed
6.37500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DY2
6700000.00000000
PA
USD
6733490.55000000
0.170738806248
Long
DBT
CORP
GB
N
2
2027-08-14
Floating
6.96500000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-J8
23245LAD2
7429666.16000000
PA
USD
3227351.88000000
0.081834852702
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31336R7E4
28135.41000000
PA
USD
28012.29000000
0.000710298012
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Floating
6.21100000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579PM4
1281997.60000000
PA
USD
1162956.30000000
0.029488683307
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
6.06400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CHF6
243.55000000
PA
USD
235.98000000
0.000005983663
Long
ABS-MBS
USGA
US
N
2
2028-10-20
Floating
2.75000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 80 CLO Ltd
26245JAQ1
1400000.00000000
PA
USD
1393785.40000000
0.035341737482
Long
ABS-CBDO
CORP
KY
N
2
2033-01-17
Floating
6.65300000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-3952.64000000
-0.00010022573
N/A
DFE
TR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
413991.00000000
USD
12987725.65000000
TRY
2024-03-20
-3952.64000000
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAP6
1900000.00000000
PA
USD
1983468.03000000
0.050294117316
Long
DBT
CORP
US
N
2
2028-10-25
Fixed
6.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
000000000
2600000.00000000
PA
2608191.75000000
0.066135022029
Long
DBT
CORP
US
Y
2
2030-05-04
Fixed
1.74100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A8HB5
5460.11000000
PA
USD
5484.20000000
0.000139060975
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
414600000.00000000
PA
23712150.88000000
0.601260862366
Long
DBT
NUSS
ZA
N
2
2026-12-21
Fixed
10.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6NG9
488628.20000000
PA
USD
503876.01000000
0.012776610853
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2023-CCDC
465981AA6
5800000.00000000
PA
USD
5938598.54000000
0.150583002675
Long
ABS-MBS
CORP
US
N
2
2040-10-05
Fixed
7.23500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
5400000.00000000
PA
USD
4945993.76000000
0.125413864328
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39300000
N
N
N
N
N
N
CVS Pass-Through Trust
N/A
CVS Pass-Through Trust
126650BQ2
483106.10000000
PA
USD
493535.81000000
0.012514417955
Long
DBT
CORP
US
N
2
2030-01-10
Fixed
6.94300000
N
N
N
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787AV9
4000000.00000000
PA
USD
4029153.12000000
0.102165851246
Long
DBT
CORP
US
N
2
2026-03-29
Fixed
5.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GUV3
493.86000000
PA
USD
508.57000000
0.000012895634
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
5.50000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AH6
1100000.00000000
PA
USD
1064228.22000000
0.026985269305
Long
DBT
CORP
NL
N
2
2027-03-29
Fixed
3.95000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Home Lending Mortgage Trust 2023-RPL3
161927AC2
7214432.74000000
PA
USD
6314890.37000000
0.160124505315
Long
ABS-MBS
CORP
US
N
2
2063-09-25
Variable
3.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADRY6
166010.28000000
PA
USD
162980.37000000
0.004132637242
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KPE0
6063.82000000
PA
USD
6316.08000000
0.000160154670
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2019-GS2
59981TAH8
8400000.00000000
PA
USD
7199431.68000000
0.182553515384
Long
ABS-MBS
CORP
US
N
2
2059-08-25
Variable
3.25000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JM0
5000000.00000000
PA
USD
4761890.40000000
0.120745618686
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.55000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
1662.95000000
0.000042166851
N/A
DFE
BR
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
435000.00000000
USD
2121133.95000000
BRL
2024-01-03
1662.95000000
N
N
N
Lloyds Bank PLC
H7FNTJ4851HG0EXQ1Z70
Lloyds Bank PLC
000000000
13000000.00000000
PA
USD
8356892.83000000
0.211902860060
Long
DBT
CORP
GB
Y
2
2032-04-02
Variable
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AGKX5
3488.72000000
PA
USD
3429.50000000
0.000086960653
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
STARWOOD PROPERTY TRUST
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571BAY1
13300000.00000000
PA
USD
12534319.00000000
0.317828420089
Long
DBT
US
N
2
2027-01-15
Fixed
4.37500000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
40908.62000000
0.001037305821
N/A
DFE
MX
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
7595434.41000000
USD
130252000.00000000
MXN
2024-01-31
40908.62000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417BEN3
19450.85000000
PA
USD
19353.73000000
0.000490745881
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
4.50000000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AY7
1700000.00000000
PA
USD
1722892.80000000
0.043686800743
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.20000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01W402 IRS CAD R F 4.75000 SWU01W402 CCPOIS / Short: SWU01W402 IRS CAD P V 06MCORRA SWUV1W404 CCPOIS
000000000
58100000.00000000
OU
Notional Amount
411582.41000000
0.010436353750
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-14
0.00000000
CAD
0.00000000
CAD
58100000.00000000
CAD
411582.41000000
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAA8
13068160.14000000
PA
USD
12945218.81000000
0.328247465386
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
6.55600000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B33 Mortgage Trust
08163PBG4
13000000.00000000
PA
USD
11539580.00000000
0.292605165059
Long
ABS-MBS
CORP
US
N
2
2055-03-15
Fixed
3.45800000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FR4
12731628.00000000
PA
USD
12631647.16000000
0.320296336800
Long
DBT
UST
US
N
2
2025-01-15
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DRS5
71913.22000000
PA
USD
74053.85000000
0.001877758029
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
Starwood Commercial Mortgage Trust
N/A
STWD 2019-FL1 Ltd
78485WAA7
4874844.67000000
PA
USD
4768261.07000000
0.120907157576
Long
ABS-CBDO
CORP
KY
N
2
2038-07-15
Floating
6.55600000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2011-RR4-I Trust
05533XAC6
1878167.61000000
PA
USD
798597.24000000
0.020249755816
Long
ABS-MBS
CORP
US
N
2
2036-02-26
Variable
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407UMR5
388672.94000000
PA
USD
399411.34000000
0.010127736110
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
6.02100000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0LX54 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0LX54 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
21100000.00000000
OU
Notional Amount
USD
219672.10000000
0.005570149960
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
AT&T, Inc.
AT&T, Inc.
Y
sell protection
2028-06-20
0.00000000
USD
-110378.85000000
USD
21100000.00000000
USD
330050.95000000
N
N
N
UDR Inc
P3CH2EG5X6Z1XWU1OO74
UDR Inc
90265EAM2
1000000.00000000
PA
USD
951286.45000000
0.024121443650
Long
DBT
US
N
2
2027-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKMD9
2529365.46000000
PA
USD
2320876.52000000
0.058849668464
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408EXX5
293.27000000
PA
USD
302.01000000
0.000007657963
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YU54
9512.11000000
PA
USD
9459.32000000
0.000239856727
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128NCBW3
5537.92000000
PA
USD
5526.49000000
0.000140133308
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
4.03200000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2006-AR1
3623414A4
1185498.50000000
PA
USD
1083003.50000000
0.027461347629
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
4.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411YCM3
17600.72000000
PA
USD
18261.17000000
0.000463042213
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-1641.14000000
-0.00004161382
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
172626.00000000
USD
5462404.52000000
TRY
2024-03-29
-1641.14000000
N
N
N
First Horizon Mortgage Pass-Through Trust
N/A
First Horizon Mortgage Pass-Through Trust 2005-AR3
32051GQL2
55797.32000000
PA
USD
38952.37000000
0.000987701862
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
5.46400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BN53
315610.84000000
PA
USD
325015.20000000
0.008241298751
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M46E8
3313.50000000
PA
USD
3417.09000000
0.000086645977
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERM72
3859733.48000000
PA
USD
3715842.42000000
0.094221339480
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KKS6
688.10000000
PA
USD
692.48000000
0.000017558977
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
5.00000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAC7
5500000.00000000
PA
USD
5326076.75000000
0.135051498109
Long
DBT
US
N
2
2026-06-15
Fixed
4.12500000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2020-CNP
61770YAA3
7500000.00000000
PA
USD
5768202.00000000
0.146262316159
Long
ABS-MBS
CORP
US
N
2
2042-04-05
Variable
2.42800000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLS6
9700000.00000000
PA
USD
10013056.44000000
0.253897631661
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
5.81900000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YER2
5400000.00000000
PA
USD
5278055.74000000
0.133833845858
Long
DBT
CORP
US
N
2
2028-04-20
Fixed
4.21000000
N
N
N
N
N
N
Arbor Multifamily Mortgage Securities Trust
N/A
Arbor Multifamily Mortgage Securities Trust 2020-MF1
03881BAE3
7500000.00000000
PA
USD
6623399.25000000
0.167947258981
Long
ABS-MBS
CORP
US
N
2
2053-05-15
Fixed
2.75600000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WEP2
2200000.00000000
PA
USD
2201980.00000000
0.055834850259
Long
DBT
CORP
US
N
2
2025-01-10
Floating
6.03600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381BDB2
3170.90000000
PA
USD
3229.10000000
0.000081879179
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291GAK2
2713.82000000
PA
USD
2731.27000000
0.000069255874
Long
ABS-MBS
USGA
US
N
2
2034-05-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MFY8
118836.84000000
PA
USD
122415.78000000
0.003104054871
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133CHD77
1140358.80000000
PA
USD
1157878.95000000
0.029359938687
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
6.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SV1
23044515.00000000
PA
USD
14248893.04000000
0.361304284894
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.12500000
N
N
N
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KS9
5200000.00000000
PA
USD
5239748.49000000
0.132862502082
Long
DBT
CORP
US
N
2
2028-05-16
Fixed
4.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312928XM1
17607.28000000
PA
USD
18158.63000000
0.000460442141
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RQ33
1140238.76000000
PA
USD
1137977.21000000
0.028855297104
Long
ABS-MBS
USGA
US
N
2
2066-06-20
Floating
6.08700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ASRC8
151398.99000000
PA
USD
149640.24000000
0.003794376149
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412YBH4
8542.50000000
PA
USD
8920.36000000
0.000226190503
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U4MJA8 PIMCO SWAPTION 3.195 CALL USD 202405
000000000
-24900000.00000000
NC
USD
-90889.98000000
-0.00230466599
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
24900000.00000000
OU
Notional Amount
N/A
-90889.98000000
0.00000000
DIR
US
N/A
N/A
2026-05-31
0.00000000
N/A
0.00000000
N/A
24900000.00000000
USD
1.00000000
3.19500000
USD
2024-05-29
XXXX
-36109.98000000
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
31750MND6 PIMCO FXVAN PUT GBP USD 1.10000000
000000000
-20200000.00000000
OU
Notional Amount
-46114.55000000
-0.00116931079
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
FX Contract
N/A
1.00000000
NC
USD
-46114.55000000
0.00000000
DFE
US
-20200000.00000000
GBP
-22220000.00000000
USD
2024-09-26
1.00000000
1.10000000
GBP
2024-09-26
XXXX
160926.79000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M06E5
90735.87000000
PA
USD
89181.00000000
0.002261331974
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CFZ5
9859.01000000
PA
USD
10140.71000000
0.000257134499
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413D2T3
8496.20000000
PA
USD
8872.03000000
0.000224965016
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
UNITED AIR 2016-1 A PTT
N/A
United Airlines 2016-1 Class A Pass Through Trust
90931MAA4
1981880.41000000
PA
USD
1766949.84000000
0.044803939968
Long
DBT
CORP
US
N
2
2028-07-07
Fixed
3.45000000
N
N
N
N
N
N
CANTOR FITZGERALD LP
549300RLUEEVQEMX0450
Cantor Fitzgerald LP
138616AM9
3300000.00000000
PA
USD
3382561.12000000
0.085770440071
Long
DBT
CORP
US
N
2
2028-12-12
Fixed
7.20000000
N
N
N
N
N
N
MASSMUTUAL GLOBAL FUNDIN
549300K1IE3K7YU6VG29
MassMutual Global Funding II
57629TBQ9
3800000.00000000
PA
USD
3821920.07000000
0.096911114002
Long
DBT
CORP
US
N
2
2026-07-10
Floating
6.34600000
N
N
N
N
N
N
ReadyCap Commercial Mortgage Trust
N/A
Ready Capital Mortgage Financing 2021-FL7 LLC
75575WAA4
6778632.91000000
PA
USD
6672725.58000000
0.169198009782
Long
ABS-CBDO
CORP
US
N
2
2036-11-25
Floating
6.67000000
N
N
N
N
N
N
PACIFIC LIFE GF II
6354003EUPCHXTWUU869
Pacific Life Global Funding II
6944PL2U2
5500000.00000000
PA
USD
5621722.70000000
0.142548090879
Long
DBT
CORP
US
N
2
2028-07-18
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296QY37
756936.43000000
PA
USD
763586.28000000
0.019361994933
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
5.00000000
N
N
N
N
N
N
MEXICAN UDIBONOS
254900EGTWEU67VP6075
Mexican Udibonos
000000000
50363908.62000000
PA
2752056.46000000
0.069782950049
Long
DBT
NUSS
MX
N
2
2026-12-03
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400QJ87
1261.39000000
PA
USD
1255.55000000
0.000031836549
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Floating
4.31800000
N
N
N
N
N
N
Metlife Securitization Trust
N/A
METLIFE SECURITIZATION TRUST 2018-1
59166DAA5
3313653.08000000
PA
USD
3152456.78000000
0.079935763385
Long
ABS-MBS
CORP
US
N
2
2057-03-25
Variable
3.75000000
N
N
N
N
N
N
WEYERHAEUSER CO
08IRJODWFYBI7QWRGS31
Weyerhaeuser Co
962166CC6
12000000.00000000
PA
USD
11942228.76000000
0.302814991316
Long
DBT
US
N
2
2026-05-15
Fixed
4.75000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-247.62000000
-0.00000627881
N/A
DFE
ID
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
2662228.00000000
USD
41022271252.00000000
IDR
2024-03-20
-247.62000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2H5
6400000.00000000
PA
USD
6225693.89000000
0.157862780819
Long
DBT
CORP
US
N
2
2025-10-30
Fixed
2.40600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CJ56
2142.58000000
PA
USD
2124.74000000
0.000053876302
Long
ABS-MBS
USGA
US
N
2
2029-05-20
Floating
3.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CMN3
4431.19000000
PA
USD
4384.65000000
0.000111180063
Long
ABS-MBS
USGA
US
N
2
2030-01-20
Floating
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4K69
182.15000000
PA
USD
187.84000000
0.000004762994
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AECH7
555221.37000000
PA
USD
543719.02000000
0.013786896368
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QESP8
347349.20000000
PA
USD
332561.24000000
0.008432641094
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
3.50000000
N
N
N
N
N
N
Saranac CLO LTD
5493000RC2FP2JRHW627
Saranac Clo VII Ltd
80317EAA7
1513223.29000000
PA
USD
1513513.83000000
0.038377650143
Long
ABS-CBDO
CORP
JE
N
2
2029-11-20
Floating
6.85900000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-58035.53000000
-0.00147158699
N/A
DFE
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
36563000.00000000
MXN
2085560.04000000
USD
2024-01-31
-58035.53000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CY83
15399.03000000
PA
USD
15201.26000000
0.000385453126
Long
ABS-MBS
USGA
US
N
2
2033-09-20
Floating
3.62500000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-5CB
02150EBP7
2561960.01000000
PA
USD
1159165.21000000
0.029392553940
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJNP4
1632781.19000000
PA
USD
1558088.00000000
0.039507902056
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406PD71
74682.36000000
PA
USD
76703.25000000
0.001944937955
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Floating
5.27900000
N
N
N
N
N
N
Morgan Stanley ReRemic Trust
N/A
Morgan Stanley Re-REMIC Trust 2010-R5
61759HAZ0
1213394.49000000
PA
USD
1165834.28000000
0.029561659257
Long
ABS-MBS
CORP
US
N
2
2037-03-26
Variable
3.10900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409HAJ3
20874.64000000
PA
USD
21804.97000000
0.000552901132
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.00000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBU3
7000000.00000000
PA
USD
7191754.92000000
0.182358858418
Long
DBT
CORP
US
N
2
2030-01-03
Fixed
6.84800000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-74.36000000
-0.00000188552
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
168882.45000000
USD
5041495.79000000
TRY
2024-01-17
-74.36000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4V42
49908.64000000
PA
USD
51468.64000000
0.001305072619
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CLT1
22807.22000000
PA
USD
23824.61000000
0.000604112449
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6E87
47681.88000000
PA
USD
49175.58000000
0.001246928285
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KCH5
42010.54000000
PA
USD
43350.94000000
0.001099234890
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0IMN4 CDS EUR R F 1.00000 1 CCPCORPORATE / Short: SWPC0IMN4 CDS EUR P V 03MEVENT 2 CCPCORPORATE
000000000
5000000.00000000
OU
Notional Amount
33742.24000000
0.000855590385
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ROLLS-ROYCE PLC
ROLLS-ROYCE PLC
Y
sell protection
2024-12-20
0.00000000
EUR
-85376.28000000
EUR
5000000.00000000
EUR
159941.03000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KNKP7
2506.72000000
PA
USD
2585.13000000
0.000065550253
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-153568.15000000
-0.00389397481
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
14979129.00000000
GBP
18940209.87000000
USD
2024-01-09
-153568.15000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NYE4
15107.71000000
PA
USD
14946.55000000
0.000378994532
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0M7B8 CDS USD R F 5.00000 1 CCPCORPORATE / Short: SWPC0M7B8 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
3800000.00000000
OU
Notional Amount
USD
635512.00000000
0.016114459422
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
AES Corp.
AES Corp.
Y
sell protection
2028-12-20
451815.29000000
USD
0.00000000
USD
3800000.00000000
USD
183696.71000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01W2C8 IRS CAD R F 4.82000 SWU01W2C8 CCPOIS / Short: SWU01W2C8 IRS CAD P V 06MCORRA SWUV1W2C0 CCPOIS
000000000
23300000.00000000
OU
Notional Amount
183217.26000000
0.004645777108
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-13
0.00000000
CAD
0.00000000
CAD
23300000.00000000
CAD
183217.26000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFH3
4900000.00000000
PA
USD
5192944.20000000
0.131675701783
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
6.40700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HMV2
508888.99000000
PA
USD
531576.47000000
0.013479001900
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-HY6 Trust
92927XAA2
2973883.63000000
PA
USD
2532178.34000000
0.064207576110
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
3.81400000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032617
79080000.00000000
PA
USD
72543543.75000000
1.839461712898
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GD83
1178.71000000
PA
USD
1204.67000000
0.000030546403
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Floating
5.62200000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJG5
4800000.00000000
PA
USD
4632639.79000000
0.117468255379
Long
DBT
CORP
US
N
2
2025-09-25
Fixed
0.98100000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AC5
5600000.00000000
PA
USD
5356854.83000000
0.135831927308
Long
DBT
CORP
JP
N
2
2027-09-17
Fixed
4.34500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407YDU0
2391.06000000
PA
USD
2462.25000000
0.000062434427
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2005-AR5
86359LPE3
25039.68000000
PA
USD
23852.65000000
0.000604823450
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
5.97000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405UTZ2
1763.95000000
PA
USD
1748.86000000
0.000044345242
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
5.60000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PBH7
2561000.00000000
PA
USD
2253931.95000000
0.057152178004
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AU62
28141.45000000
PA
USD
29395.90000000
0.000745381735
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292DP48
1286.23000000
PA
USD
1294.51000000
0.000032824445
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CEW2
13772.62000000
PA
USD
13666.92000000
0.000346547394
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JMY68
6265.53000000
PA
USD
6293.52000000
0.000159582624
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
6.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402GP80
25403.69000000
PA
USD
25571.22000000
0.000648400639
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296SRY4
824.70000000
PA
USD
850.46000000
0.000021564822
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6SS8
64514.04000000
PA
USD
66531.62000000
0.001687019428
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A8SR8
2155.29000000
PA
USD
2125.97000000
0.000053907490
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU020C77 IRS EUR R V 06MEURIB SWUV20C79 CCPVANILLA / Short: BWU020C77 IRS EUR P F 2.89000 SWU020C77 CCPVANILLA
000000000
3100000.00000000
OU
Notional Amount
-118352.88000000
-0.00300103331
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-12-22
0.00000000
EUR
0.00000000
EUR
3100000.00000000
EUR
-118352.88000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FSD8
604.16000000
PA
USD
622.17000000
0.000015776150
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2006-FR2
81376VAC1
13664406.78000000
PA
USD
8263324.54000000
0.209530281081
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
5.97000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D54W9
124764.85000000
PA
USD
120642.08000000
0.003059079769
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7C95
90113.16000000
PA
USD
92930.85000000
0.002356415632
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0KBE1 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0KBE1 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
USD
9659.50000000
0.000244932622
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
GENERAL ELECTRIC CO
GENERAL ELECTRIC CO
Y
sell protection
2026-12-20
3288.21000000
USD
0.00000000
USD
500000.00000000
USD
6371.29000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407UEQ6
986.49000000
PA
USD
1010.77000000
0.000025629747
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWQ3
4900000.00000000
PA
USD
4817126.01000000
0.122146209070
Long
DBT
CORP
US
N
2
2025-09-29
Fixed
3.27200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KMNX9
4968.21000000
PA
USD
5123.72000000
0.000129920407
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RGB6
1647853.25000000
PA
USD
1633500.61000000
0.041420113696
Long
ABS-MBS
USGA
US
N
2
2065-08-20
Floating
6.03700000
N
Y
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCS2
11500000.00000000
PA
USD
11302027.85000000
0.286581636814
Long
DBT
CORP
US
N
2
2028-05-10
Fixed
4.92700000
N
N
N
N
N
N
Asset Backed Securities Corp Home Equity Ln Trst
N/A
Asset Backed Securities Corp Home Equity Loan Trust Series AMQ 2007-HE2
04544TAB7
17455.89000000
PA
USD
11862.23000000
0.000300786490
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.55000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
317U4NBA4 PIMCO SWAPTION 3.03 PUT EUR 20240104
000000000
-3200000.00000000
NC
-1.03000000
-0.00000002611
N/A
DIR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
3200000.00000000
OU
Notional Amount
N/A
-1.03000000
0.00000000
DIR
US
N/A
N/A
2034-01-08
0.00000000
N/A
0.00000000
N/A
3200000.00000000
EUR
1.00000000
3.03000000
EUR
2024-01-04
XXXX
11661.79000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-14T2
02150BAA7
3791525.94000000
PA
USD
1851286.85000000
0.046942444553
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
Palmer Square European Loan Funding
549300GCCYFLLIG4W475
Palmer Square European Loan Funding 2021-1 DAC
000000000
8447757.00000000
PA
9182349.03000000
0.232833669297
Long
ABS-CBDO
CORP
IE
N
2
2031-04-15
Floating
4.74500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C2X1
93418.25000000
PA
USD
91713.00000000
0.002325535028
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBA3
3200000.00000000
PA
USD
3125840.10000000
0.079260853376
Long
DBT
CORP
US
N
2
2027-01-29
Fixed
3.96000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-5486.12000000
-0.00013910965
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
449868.00000000
USD
14350789.20000000
TRY
2024-04-09
-5486.12000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395CEC1
2911.72000000
PA
USD
2896.58000000
0.000073447583
Long
ABS-MBS
USGSE
US
N
2
2034-07-15
Floating
5.70300000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10
225470FG3
757991.64000000
PA
USD
564296.81000000
0.014308680318
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
6.00000000
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
Nomura Holdings Inc
65535HBH1
4700000.00000000
PA
USD
4800245.41000000
0.121718173496
Long
DBT
CORP
JP
N
2
2028-01-18
Fixed
5.84200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CDH6
5318.24000000
PA
USD
5228.62000000
0.000132580320
Long
ABS-MBS
USGA
US
N
2
2027-08-20
Floating
3.62500000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2023-NQM1
64831HAM5
7337085.60000000
PA
USD
7444330.31000000
0.188763325797
Long
ABS-MBS
CORP
US
N
2
2063-10-25
Variable
6.86400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406PQ85
10482.31000000
PA
USD
10794.28000000
0.000273706849
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AD4R6
85371.83000000
PA
USD
84232.84000000
0.002135863181
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
3.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
510.92000000
0.000012955222
N/A
DFE
ID
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
2746576.60000000
USD
42333809109.00000000
IDR
2024-03-20
510.92000000
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-3074.03000000
-0.00007794712
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
162523935.00000000
KRW
124325.06000000
USD
2024-06-20
-3074.03000000
N
N
N
Countrywide Home Loans
N/A
Reperforming Loan REMIC Trust 2005-R2
12669GN64
503023.16000000
PA
USD
470084.75000000
0.011919777484
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
5.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XZBR1
23020.71000000
PA
USD
22216.92000000
0.000563346806
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31295MNX4
35779.28000000
PA
USD
35530.34000000
0.000900930623
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Floating
6.50900000
N
N
N
N
N
N
Bayview Opportunity Master Fund
N/A
Bayview MSR Opportunity Master Fund Trust 2021-INV5
07336JAD0
11622211.73000000
PA
USD
9912933.05000000
0.251358837263
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CUV6
1609.10000000
PA
USD
1603.37000000
0.000040656102
Long
ABS-MBS
USGA
US
N
2
2032-04-20
Floating
3.87500000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822DC5
800000.00000000
PA
USD
828516.91000000
0.021008418608
Long
DBT
CORP
JP
N
2
2034-04-19
Fixed
5.40600000
N
N
N
N
N
N
J.P. Morgan Alternative Loan Trust
N/A
JP Morgan Alternative Loan Trust
46628GAA7
837632.03000000
PA
USD
653183.11000000
0.016562539686
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
5.83000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DLN0
33418.88000000
PA
USD
32725.85000000
0.000829818133
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
3.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2006-OA5
126694M62
1172560.95000000
PA
USD
1005761.34000000
0.025502744718
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
5.87000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2D58
146070.12000000
PA
USD
147101.73000000
0.003730008023
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412LGJ3
5996.38000000
PA
USD
6279.77000000
0.000159233970
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
TESCO PROPERTY FIN 6 PLC
213800FORYFOB97FHO66
Tesco Property Finance 6 PLC
000000000
537166.63000000
PA
663248.56000000
0.016817765843
Long
DBT
CORP
GB
Y
2
2044-07-13
Fixed
5.41100000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050627
145000000.00000000
PA
USD
143516016.35000000
3.639086314467
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
5.00000000
N
N
N
N
N
N
Ripon Mortgages PLC
213800MQYZ3GZ4HK1I88
Ripon Mortgages PLC
000000000
13223000.00000000
PA
16458613.38000000
0.417335404295
Long
ABS-MBS
CORP
GB
N
2
2056-08-28
Floating
6.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JGYY5
490151.12000000
PA
USD
481204.89000000
0.012201747053
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.50000000
N
N
N
N
N
N
TAPESTRY INC
549300LJNVY5SW3VTN33
Tapestry Inc
876030AE7
500000.00000000
PA
USD
526352.10000000
0.013346529345
Long
DBT
CORP
US
N
2
2030-11-27
Fixed
7.70000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
5493005XH7EPFP4PGZ13
Morgan Stanley ABS Capital I Inc Trust 2007-HE6
61755CAA0
92475.91000000
PA
USD
77764.44000000
0.001971846185
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.53000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YTV9
36275.12000000
PA
USD
35585.44000000
0.000902327774
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042426
100000.00000000
PA
USD
99562.50000000
0.002524572102
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
American Homes 4 Rent
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAA5
1900000.00000000
PA
USD
1843867.22000000
0.046754307544
Long
DBT
US
N
2
2028-02-15
Fixed
4.25000000
N
N
N
N
N
N
EVERGY INC
549300PGTHDQY6PSUI61
Evergy Inc
30034WAA4
13500000.00000000
PA
USD
13193218.44000000
0.334535906791
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
2.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400ED49
3501.52000000
PA
USD
3628.43000000
0.000092004852
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CD86
26277.36000000
PA
USD
25769.99000000
0.000653440781
Long
ABS-MBS
USGA
US
N
2
2027-09-20
Floating
3.62500000
N
N
N
N
N
N
JYSKE REALKREDIT A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
1.92000000
PA
0.23000000
0.000000005832
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Corp Trust 2022-PJ2
36267EAD3
11318280.89000000
PA
USD
9258987.59000000
0.234776966930
Long
ABS-MBS
CORP
US
N
2
2052-06-25
Variable
2.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-62117.82000000
-0.00157510021
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
3663000.00000000
NZD
2253460.75000000
USD
2024-01-09
-62117.82000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDW3
7500000.00000000
PA
USD
7715341.05000000
0.195635252012
Long
DBT
CORP
US
N
2
2027-10-22
Fixed
6.07000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BZ6
13300000.00000000
PA
USD
9400536.03000000
0.238366162087
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392CRD8
1052.65000000
PA
USD
1059.09000000
0.000026854981
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Floating
6.35200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AK89
2171.47000000
PA
USD
2159.42000000
0.000054755670
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AXL6
141081.23000000
PA
USD
147215.13000000
0.003732883468
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
6.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-8310.74000000
-0.00021073257
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
4442000.00000000
MXN
252112.41000000
USD
2024-01-31
-8310.74000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
1079641.44000000
0.027376097029
N/A
DFE
AU
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
39540214.86000000
USD
59596355.00000000
AUD
2024-01-09
1079641.44000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407M2K0
611217.66000000
PA
USD
629406.33000000
0.015959640045
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MMG9
7717.35000000
PA
USD
7947.40000000
0.000201519491
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
N
N
N
N
N
N
Voya CLO Ltd
549300KSCKXTOBY0IP86
Voya CLO 2019-1 Ltd
92917NAJ7
8413709.66000000
PA
USD
8408274.40000000
0.213205724876
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.71500000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAM7
4000000.00000000
PA
USD
3923562.28000000
0.099488420597
Long
DBT
CORP
IE
N
2
2024-08-14
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406AV25
243418.38000000
PA
USD
241488.48000000
0.006123340411
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Floating
4.31200000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12
46651QAA5
3951328.70000000
PA
USD
3212257.56000000
0.081452111216
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Floating
6.85900000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR24
000000000
-154.00000000
NC
-704858.75000000
-0.01787286113
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 10 Year Euro BUND Futures
RXH4 Comdty
2024-03-07
-20493392.16000000
EUR
-704858.75000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RA8
1605876.00000000
PA
USD
1253580.98000000
0.031786622179
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LET5
5806.13000000
PA
USD
5978.96000000
0.000151606434
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-160076.90000000
-0.00405901495
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
245371059.50000000
ZAR
13235850.79000000
USD
2024-01-19
-160076.90000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418QTK9
1014.53000000
PA
USD
1008.90000000
0.000025582330
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Novastar Home Equity Loan
N/A
NovaStar Mortgage Funding Trust Series 2007-2
66989EAA3
2728084.44000000
PA
USD
2628903.84000000
0.066660211379
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
5.67000000
N
N
N
N
N
N
Starwood Commercial Mortgage Trust
N/A
STWD 2022-FL3 Ltd
78485KAA3
13000000.00000000
PA
USD
12502661.60000000
0.317025694275
Long
ABS-CBDO
CORP
KY
N
2
2038-11-15
Floating
6.68800000
N
N
N
N
N
N
MASSMUTUAL GLOBAL FUNDIN
549300K1IE3K7YU6VG29
MassMutual Global Funding II
57629WDL1
7900000.00000000
PA
USD
7991535.48000000
0.202638619273
Long
DBT
CORP
US
N
2
2027-12-07
Fixed
5.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417QNC4
6038.39000000
PA
USD
6136.28000000
0.000155595543
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411AR80
885.93000000
PA
USD
912.23000000
0.000023131102
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXQD5
10085.50000000
PA
USD
10400.57000000
0.000263723679
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXK5
52369.79000000
PA
USD
53933.65000000
0.001367577031
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410X6R2
19241.59000000
PA
USD
19963.70000000
0.000506212681
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust
929227QB5
22705.03000000
PA
USD
20691.98000000
0.000524679427
Long
ABS-MBS
CORP
US
N
2
2042-06-25
Floating
6.41200000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2006-6
073868BE0
1293354.95000000
PA
USD
666763.67000000
0.016906897280
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
4.49200000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U4NQA8 PIMCO SWAPTION 3.56 CALL USD 2024010
000000000
-3300000.00000000
NC
USD
-31165.10000000
-0.00079024273
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
3300000.00000000
OU
Notional Amount
N/A
-31165.10000000
0.00000000
DIR
US
N/A
N/A
2034-01-09
0.00000000
N/A
0.00000000
N/A
3300000.00000000
USD
1.00000000
3.56000000
USD
2024-01-05
XXXX
-14252.60000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3E1
7900000.00000000
PA
USD
8066439.49000000
0.204537934518
Long
DBT
CORP
US
N
2
2029-07-25
Fixed
5.57400000
N
N
N
N
N
N
L3Harris Technologies Inc
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
50248BBL5
1050000.00000000
PA
USD
1041295.93000000
0.026403783107
Long
STIV
CORP
US
N
2
2024-02-20
None
0.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DE2
12300000.00000000
PA
USD
12247659.44000000
0.310559692122
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
1.43300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312935LP2
16895.66000000
PA
USD
17337.56000000
0.000439622551
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QSMW8
4368014.06000000
PA
USD
4333519.72000000
0.109883570542
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
5.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAS8
1800000.00000000
PA
USD
1819081.42000000
0.046125822530
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
5.95000000
N
N
N
N
N
N
Asset Backed Funding Certificates
N/A
ABFC 2005-OPT1 Trust
04542BQB1
5569268.17000000
PA
USD
5112577.60000000
0.129637873520
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
6.29500000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AV0
7000000.00000000
PA
USD
7269487.40000000
0.184329894205
Long
DBT
CORP
CH
N
2
2028-08-11
Fixed
6.44200000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
1947765.00000000
PA
USD
1592112.27000000
0.040370643780
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CC54
17808.50000000
PA
USD
18099.07000000
0.000458931899
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01I4K9 IRS JPY R V 12MTONAR SWUV1I4K1 CCPOIS / Short: BWU01I4K9 IRS JPY P F .66200 SWU01I4K9 CCPOIS
000000000
285000000.00000000
OU
Notional Amount
202048.63000000
0.005123277686
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2042-04-19
0.00000000
JPY
0.00000000
JPY
285000000.00000000
JPY
202048.63000000
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400HS5
3000000.00000000
PA
USD
3132647.85000000
0.079433475154
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402HGD7
25154.39000000
PA
USD
25560.16000000
0.000648120194
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406XZH8
435.62000000
PA
USD
447.45000000
0.000011345835
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-20793.32000000
-0.00052724907
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1759825.15000000
USD
57002496.43000000
TRY
2024-04-24
-20793.32000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31382F2C2
25.33000000
PA
USD
26.13000000
0.000000662569
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
6.00000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
29571.10000000
0.000749824222
N/A
DFE
IN
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
14741127.00000000
USD
1231488490.71000000
INR
2024-02-29
29571.10000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KQRY4
21062.11000000
PA
USD
21504.02000000
0.000545270046
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-189735.53000000
-0.00481105864
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
10811788.68000000
CAD
7970720.87000000
USD
2024-01-09
-189735.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401AME4
16817.23000000
PA
USD
17219.60000000
0.000436631480
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMT6
400000.00000000
PA
USD
412530.06000000
0.010460382986
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
5.40000000
N
N
N
N
N
N
WELLTOWER OP LLC
T6IZ0MBEG5ACZDTR7D06
Welltower OP LLC
95040QAC8
1102000.00000000
PA
USD
1084974.70000000
0.027511330670
Long
DBT
US
N
2
2026-04-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408JB83
5873.58000000
PA
USD
6044.81000000
0.000153276170
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A2XZ4
229692.52000000
PA
USD
231033.97000000
0.005858248993
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
5.00000000
N
N
N
N
N
N
Capital Four US CLO
N/A
Capital Four US CLO II Ltd
14016CAN6
8200000.00000000
PA
USD
8200000.00000000
0.207924582479
Long
ABS-CBDO
CORP
JE
N
2
2037-01-20
Floating
7.49400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406DG67
15461.69000000
PA
USD
15826.94000000
0.000401318279
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
5.92000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01ZE79 IRS EUR R V 06MEURIB SWUV1ZE71 CCPVANILLA / Short: BWU01ZE79 IRS EUR P F 3.30500 SWU01ZE79 CCPVANILLA
000000000
2500000.00000000
OU
Notional Amount
-194123.56000000
-0.00492232441
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-11-27
0.00000000
EUR
0.00000000
EUR
2500000.00000000
EUR
-194123.56000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407FPF1
1434.91000000
PA
USD
1477.63000000
0.000037467756
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR24
000000000
109.00000000
NC
USD
1400821.11000000
0.035520139563
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term U.S. Treasury Bond Futures
WNH4 Comdty
2024-03-19
13160897.64000000
USD
1400821.11000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05565ASK0
12500000.00000000
PA
USD
10068461.25000000
0.255302512391
Long
DBT
CORP
FR
N
2
2031-02-25
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2VH9
1864.65000000
PA
USD
1827.83000000
0.000046347657
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
4.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B35 Mortgage Trust
08163RBQ8
11000000.00000000
PA
USD
10153583.00000000
0.257460915358
Long
ABS-MBS
CORP
US
N
2
2055-05-15
Variable
4.44400000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SWPC0KDQ2 CDS USD R F 1.00000 FIX SOVEREIGN / Short: SWPC0KDQ2 CDS USD P V 03MEVENT FLO SOVEREIGN
000000000
2400000.00000000
OU
Notional Amount
USD
15491.38000000
0.000392809599
N/A
DCR
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Republic of Colombia
Republic of Colombia
Y
sell protection
2026-12-20
0.00000000
USD
-67324.05000000
USD
2400000.00000000
USD
82815.43000000
N
N
N
JACKSON NATL LIFE GLOBAL
635400PQXLYXWJI5QD78
Jackson National Life Global Funding
46849CJL6
6300000.00000000
PA
USD
6312543.30000000
0.160064991467
Long
DBT
CORP
US
N
2
2024-06-28
Floating
6.58600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202KYM1
1234.54000000
PA
USD
1210.16000000
0.000030685611
Long
ABS-MBS
USGA
US
N
2
2026-02-20
Floating
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404HTN9
401.95000000
PA
USD
412.89000000
0.000010469509
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9YS1
1592216.45000000
PA
USD
1564703.59000000
0.039675651299
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Floating
5.83200000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SJ8
8900000.00000000
PA
USD
6214007.77000000
0.157566459890
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LAFY1
16017.56000000
PA
USD
16476.95000000
0.000417800359
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
LCM Ltd Partnership
549300FY8UGGJMQNCO13
LCM XXV Ltd
50189PAY8
8113274.51000000
PA
USD
8095839.08000000
0.205283409820
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.51600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FNHA5
46173.88000000
PA
USD
44541.16000000
0.001129414889
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X7XA6
123924.94000000
PA
USD
118223.26000000
0.002997746582
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
3.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACB9
8900000.00000000
PA
USD
7665697.27000000
0.194376451740
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAW8
5700000.00000000
PA
USD
5969350.02000000
0.151362757387
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.95000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CU1
8600000.00000000
PA
USD
9054462.36000000
0.229590890948
Long
DBT
CORP
DE
N
2
2029-11-20
Fixed
6.81900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31380YAM2
6690.39000000
PA
USD
6882.39000000
0.000174514398
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145GAM2
4900000.00000000
PA
USD
4947336.35000000
0.125447907921
Long
DBT
CORP
US
N
2
2026-08-10
Fixed
5.79800000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BN2
7500000.00000000
PA
USD
8393530.20000000
0.212831861263
Long
DBT
CORP
US
N
2
2053-09-01
Fixed
6.62500000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032625
339000000.00000000
PA
USD
311297343.75000000
7.893459783666
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-S3
466247ZP1
184119.47000000
PA
USD
84720.62000000
0.002148231651
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
5.75000000
N
N
N
N
N
N
DC Office Trust
N/A
DC Office Trust 2019-MTC
23312BAA8
1000000.00000000
PA
USD
833723.30000000
0.021140435250
Long
ABS-MBS
CORP
US
N
2
2045-09-15
Fixed
2.96500000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2006-2
12667HAA9
1615425.81000000
PA
USD
1543867.78000000
0.039147324824
Long
ABS-O
CORP
US
N
2
2047-04-25
Floating
5.75000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
317U4SPA8 PIMCO SWAPTION 3.685 PUT USD 2024012
000000000
-3400000.00000000
NC
USD
-10505.90000000
-0.00026639449
N/A
DIR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank NA
E57ODZWZ7FF32TWEFA76
Citibank NA
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
3400000.00000000
OU
Notional Amount
N/A
-10505.90000000
0.00000000
DIR
US
N/A
N/A
2034-01-24
0.00000000
N/A
0.00000000
N/A
3400000.00000000
USD
1.00000000
3.68500000
USD
2024-01-22
XXXX
3434.10000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292HS88
397.02000000
PA
USD
409.40000000
0.000010381015
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
18972.01000000
0.000481066738
N/A
DFE
BR
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
4399048.70000000
USD
21638920.56000000
BRL
2024-04-02
18972.01000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YUM7
10779.73000000
PA
USD
10570.42000000
0.000268030507
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
4.00000000
N
N
N
N
N
N
BMW Vehicle Owner Trust
N/A
BMW Vehicle Owner Trust 2023-A
05592XAA8
1247719.86000000
PA
USD
1247827.29000000
0.031640727838
Long
ABS-O
CORP
US
N
2
2024-07-25
Fixed
5.59300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M54E7
14144.40000000
PA
USD
14586.65000000
0.000369868672
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
317U48AA8 PIMCO SWAPTION 3.636 CALL USD 202410
000000000
35700000.00000000
NC
USD
1608057.59000000
0.040774963780
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
35700000.00000000
OU
Notional Amount
N/A
1608057.59000000
0.04000000
DIR
US
N/A
N/A
2034-10-09
0.00000000
N/A
0.00000000
N/A
35700000.00000000
USD
1.00000000
3.63600000
USD
2024-10-07
XXXX
965457.59000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L8VF9
7173.43000000
PA
USD
7360.92000000
0.000186648319
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
American Home Mortgage Investment Trust
N/A
American Home Mortgage Investment Trust 2006-3
026929AA7
9443710.17000000
PA
USD
7560083.79000000
0.191698447017
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
5.83000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412RB71
90.86000000
PA
USD
90.36000000
0.000002291227
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-4044.35000000
-0.00010255119
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
299912.00000000
USD
9717148.80000000
TRY
2024-04-26
-4044.35000000
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBW4
6400000.00000000
PA
USD
5103388.29000000
0.129404863344
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.60000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2007-AMC1
17311BAS2
5444096.20000000
PA
USD
2996100.64000000
0.075971094467
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.79000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-7435.43000000
-0.00018853764
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
20900000.00000000
BRL
4219579.66000000
USD
2024-07-02
-7435.43000000
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2003-I Trust
949802AA0
62284.22000000
PA
USD
60150.11000000
0.001525205671
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Variable
6.07300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JJMK2
172948.86000000
PA
USD
169791.04000000
0.004305333061
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
3.50000000
N
N
N
N
N
N
Tobacco Settlement Finance Authority
N/A
TOBACCO SETTLEMENT FIN AUTH WV ASSET BACKED
88880LAH6
2250000.00000000
PA
USD
2079854.78000000
0.052738163018
Long
DBT
MUN
US
N
2
2026-06-01
Fixed
1.82000000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2007-3
80557BAD6
1697470.26000000
PA
USD
1542813.24000000
0.039120585215
Long
ABS-O
CORP
US
N
2
2047-09-25
Floating
5.87000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414L2H0
81029.42000000
PA
USD
83443.81000000
0.002115856018
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
000000000
1760000.00000000
PA
2062638.13000000
0.052301606339
Long
DBT
CORP
US
N
2
2034-11-02
Fixed
4.12500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0LTK6 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0LTK6 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
4900000.00000000
OU
Notional Amount
USD
60784.50000000
0.001541291680
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Verizon Communications, Inc.
Verizon Communications, Inc.
Y
sell protection
2028-06-20
3373.43000000
USD
0.00000000
USD
4900000.00000000
USD
57411.07000000
N
N
N
PROLOGIS LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XCB5
6200000.00000000
PA
USD
5170047.13000000
0.131095108646
Long
DBT
US
N
2
2032-01-15
Fixed
2.25000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020620
-19300000.00000000
PA
USD
-15789812.50000000
-0.40037685018
Short
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CQT6
663.10000000
PA
USD
651.97000000
0.000016531779
Long
ABS-MBS
USGA
US
N
2
2030-10-20
Floating
3.50000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC Trust 2007-AA2
05530NAA5
3744927.64000000
PA
USD
3525825.03000000
0.089403133811
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
5.89000000
N
N
N
N
N
N
GreenPoint Mortgage Funding Trust
N/A
GreenPoint MTA Trust 2005-AR1
39538RAB5
18430.40000000
PA
USD
17313.21000000
0.000439005117
Long
ABS-MBS
CORP
US
N
2
2045-06-25
Floating
5.91000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CXJ0
1093.82000000
PA
USD
1099.26000000
0.000027873558
Long
ABS-MBS
USGA
US
N
2
2033-03-20
Floating
3.62500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U4NIA7 PIMCO SWAPTION 3.6475 CALL USD 20240
000000000
-3300000.00000000
NC
USD
-49695.49000000
-0.00126011146
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
3300000.00000000
OU
Notional Amount
N/A
-49695.49000000
0.00000000
DIR
US
N/A
N/A
2034-01-08
0.00000000
N/A
0.00000000
N/A
3300000.00000000
USD
1.00000000
3.64750000
USD
2024-01-04
XXXX
-34680.49000000
N
N
N
TCI-Symphony CLO
5493005WLG3H3B8NI222
TCI-Symphony CLO 2016-1 Ltd
87229WAQ4
13000000.00000000
PA
USD
12977081.00000000
0.329055383990
Long
ABS-CBDO
CORP
KY
N
2
2032-10-13
Floating
6.67500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408B5A2
4826.19000000
PA
USD
4771.24000000
0.000120982693
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Floating
5.66300000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CH0
7300000.00000000
PA
USD
6919920.46000000
0.175466045418
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.12500000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
80000000.00000000
PA
4608350.51000000
0.116852360452
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GXP8
282690.59000000
PA
USD
281774.62000000
0.007144862221
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
7.19800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXE9
208843.45000000
PA
USD
215072.93000000
0.005453530386
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6NC8
35367.43000000
PA
USD
36473.48000000
0.000924845500
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QLPD7
148636.44000000
PA
USD
151492.57000000
0.003841345044
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Floating
5.50300000
N
N
N
N
N
N
Marathon Static CLO Ltd
N/A
Marathon Static CLO 2022-18 Ltd
56586PAN8
3737145.37000000
PA
USD
3737982.49000000
0.094782737627
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
7.16600000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2006-2
5764342H6
610826.32000000
PA
USD
64593.84000000
0.001637883806
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
5.87000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-15003.99000000
-0.00038045101
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1417328.91000000
USD
45241138.81000000
TRY
2024-04-08
-15003.99000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CFQ4
2636.61000000
PA
USD
2588.69000000
0.000065640522
Long
ABS-MBS
USGA
US
N
2
2028-03-20
Floating
3.62500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01XDO8 IRS EUR R F 3.00000 SWU01XDO8 CCPVANILLA / Short: SWU01XDO8 IRS EUR P V 06MEURIB SWUV1XDO0 CCPVANILLA
000000000
23100000.00000000
OU
Notional Amount
1219548.76000000
0.030923678870
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2034-03-20
0.00000000
EUR
-219198.01000000
EUR
23100000.00000000
EUR
1446748.74000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B9 Mortgage Trust
08160JAE7
13000000.00000000
PA
USD
12135722.30000000
0.307721340525
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
4.01600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407UK97
42481.38000000
PA
USD
42405.35000000
0.001075257889
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Floating
6.14300000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
317U4P1A0 PIMCO SWAPTION 3.494 CALL USD 202401
000000000
-1700000.00000000
NC
USD
-11852.35000000
-0.00030053596
N/A
DIR
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Call
Written
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
IRS Swap
N/A
1700000.00000000
OU
Notional Amount
N/A
-11852.35000000
0.00000000
DIR
US
N/A
N/A
2034-01-10
0.00000000
N/A
0.00000000
N/A
1700000.00000000
USD
1.00000000
3.49400000
USD
2024-01-08
XXXX
-4053.60000000
N
N
N
MP Clo VII, LTD
5493005EOEZ6JX072G15
ACAS CLO 2015-1 Ltd
55320RAQ0
17223874.04000000
PA
USD
17202533.66000000
0.436198735224
Long
ABS-CBDO
CORP
KY
N
2
2028-10-18
Floating
6.54700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MPJH5
209763.68000000
PA
USD
192365.05000000
0.004877734476
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
SG Commercial Mortgage Securities Trust
N/A
SG Commercial Mortgage Securities Trust 2020-COVE
78397FAA1
7100000.00000000
PA
USD
6368496.23000000
0.161483770688
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Fixed
2.63200000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE MAR24
000000000
165.00000000
NC
352305.38000000
0.008933286468
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
EUX Euro-Bobl Futures
OEH4 Comdty
2024-03-07
19362068.40000000
EUR
352305.38000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-125.01000000
-0.00000316983
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
196630.18000000
THB
5674.06000000
USD
2024-03-20
-125.01000000
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2022-FL10 LLC
55285BAA3
10700000.00000000
PA
USD
10706783.80000000
0.271488237964
Long
ABS-CBDO
CORP
US
N
2
2037-09-17
Floating
7.99100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CQZ2
3292.29000000
PA
USD
3184.81000000
0.000080756132
Long
ABS-MBS
USGA
US
N
2
2030-11-20
Floating
2.75000000
N
N
N
N
N
N
Wind River CLO Ltd
549300QKM4OHZM4I5C40
THL Credit Wind River 2019-3 Clo Ltd
97314JAA3
4000000.00000000
PA
USD
3972352.00000000
0.100725564763
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
6.73500000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-1CB
12667F2Y0
6700901.25000000
PA
USD
5331835.42000000
0.135197518725
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Fixed
6.00000000
N
N
N
N
N
N
ALLIANT ENERGY FINANCE
54930033ER6EOI5DL570
Alliant Energy Finance LLC
01882YAE6
3800000.00000000
PA
USD
3950746.53000000
0.100177722284
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.95000000
N
N
N
N
N
N
FLORIDA POWER & LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081GR2
6900000.00000000
PA
USD
6905942.83000000
0.175111619457
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FBM9
44909.05000000
PA
USD
45635.03000000
0.001157151775
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382YJ20
4991006.82000000
PA
USD
4996277.82000000
0.126688899960
Long
ABS-MBS
USGA
US
N
2
2072-12-20
Floating
6.35800000
N
Y
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2006-15
12666UAG8
600282.23000000
PA
USD
589850.95000000
0.014956647866
Long
ABS-O
CORP
US
N
2
2046-10-25
Variable
4.34700000
N
N
N
N
N
N
BRITISH AIR 18-1 A PTT
N/A
British Airways 2018-1 Class A Pass Through Trust
11043HAA6
1226217.68000000
PA
USD
1114961.97000000
0.028271707572
Long
DBT
CORP
US
N
2
2031-09-20
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CZ49
17076.44000000
PA
USD
16764.77000000
0.000425098512
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QYY1
108772.60000000
PA
USD
112013.66000000
0.002840291888
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M43N1
572.29000000
PA
USD
590.13000000
0.000014963723
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5GF1
3276.94000000
PA
USD
3379.37000000
0.000085689523
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
GoodLeap Sustainable Home Improvement Loan Trust
N/A
GoodLeap Sustainable Home Solutions Trust 2022-2
38237KAA8
10132814.15000000
PA
USD
8888501.53000000
0.225382679206
Long
ABS-O
CORP
US
N
2
2049-04-20
Fixed
4.00000000
N
N
N
N
N
N
Sunrun Demeter Issuer LLC
N/A
Sunrun Demeter Issuer 2021-2 LLC
86772HAA5
12102370.23000000
PA
USD
10233011.50000000
0.259474956541
Long
ABS-O
CORP
US
N
2
2057-01-30
Fixed
2.27000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TH1
38000000.00000000
PA
USD
33339062.50000000
0.845367152506
Long
DBT
UST
US
N
2
2042-05-15
Fixed
3.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01PDU1 IRS AUD R F 4.50000 SWU01PDU1 CCPVANILLA / Short: SWU01PDU1 IRS AUD P V 06MBBSW SWUV1PDU3 CCPVANILLA
000000000
22600000.00000000
OU
Notional Amount
412982.46000000
0.010471854337
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-09-20
0.00000000
AUD
-423760.68000000
AUD
22600000.00000000
AUD
683425.40000000
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAA1
9326000.00000000
PA
USD
9170970.64000000
0.232545151371
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.12500000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SWU01ZKD9 IRS MXN R F 8.86500 SWU01ZKD9 CCPVANILLA / Short: SWU01ZKD9 IRS MXN P V 01MTIIE SWUV1ZKD1 CCPVANILLA
000000000
39300000.00000000
OU
Notional Amount
27398.64000000
0.000694737900
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-11-24
0.00000000
MXN
0.00000000
MXN
39300000.00000000
MXN
27398.64000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JL2
3600000.00000000
PA
USD
3484052.14000000
0.088343912993
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.45000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust Series 2007-A1
161630BK3
484826.01000000
PA
USD
456272.23000000
0.011569538160
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
4.11400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406AWU2
2071.21000000
PA
USD
2132.81000000
0.000054080930
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2006-AR2
36297TAB8
870500.82000000
PA
USD
579299.93000000
0.014689109277
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
3.96700000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-1692.95000000
-0.00004292755
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
421483.18000000
USD
12843899.09000000
TRY
2024-02-12
-1692.95000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-97714.98000000
-0.00247772517
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
15605330.00000000
GBP
19794276.53000000
USD
2024-01-09
-97714.98000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050619
58600000.00000000
PA
USD
57972797.17000000
1.469996298380
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBP36
988525.48000000
PA
USD
1022922.66000000
0.025937898413
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HJE3
12029.64000000
PA
USD
11902.24000000
0.000301801010
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
5.00300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411XMB8
11718.71000000
PA
USD
12114.66000000
0.000307187271
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31288JQP4
70.85000000
PA
USD
72.88000000
0.000001847993
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412EAP1
4414.13000000
PA
USD
4567.06000000
0.000115805371
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RH77
66478.09000000
PA
USD
64128.01000000
0.001626071915
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Floating
6.12900000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-21184.36000000
-0.00053716453
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
3490000.00000000
EUR
3832490.10000000
USD
2024-01-09
-21184.36000000
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-2
12669GPR6
211822.55000000
PA
USD
194734.32000000
0.004937811241
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.11000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAR1
3800000.00000000
PA
USD
3906723.00000000
0.099061432760
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
6.05000000
N
N
N
N
N
N
Southern California Edison Co
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
8424C0A83
9000000.00000000
PA
USD
8985922.20000000
0.227852941661
Long
STIV
CORP
US
N
2
2024-01-08
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382YN82
5535465.80000000
PA
USD
5504052.03000000
0.139564356131
Long
ABS-MBS
USGA
US
N
2
2073-01-20
Floating
6.23800000
N
Y
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152FA4
5280000.01000000
PA
USD
5561747.15000000
0.141027311465
Long
DBT
MUN
US
N
2
2035-04-01
Fixed
6.72500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286Z8
38200000.00000000
PA
USD
37562835.84000000
0.952467921800
Long
DBT
UST
US
N
2
2024-06-30
Fixed
1.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01HIX8 IRS JPY R V 12MTONAR SWUV1HIX0 CCPOIS / Short: BWU01HIX8 IRS JPY P F .80000 SWU01HIX8 CCPOIS
000000000
5040000000.00000000
OU
Notional Amount
5378727.32000000
0.136386540521
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2052-06-15
4447740.00000000
JPY
0.00000000
JPY
5040000000.00000000
JPY
5346990.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XK48
3204.14000000
PA
USD
3221.29000000
0.000081681143
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Floating
5.13200000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U4NPA9 PIMCO SWAPTION 4.01 PUT USD 20240105
000000000
-3300000.00000000
NC
USD
-5.35000000
-0.00000013565
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
3300000.00000000
OU
Notional Amount
N/A
-5.35000000
0.00000000
DIR
US
N/A
N/A
2034-01-09
0.00000000
N/A
0.00000000
N/A
3300000.00000000
USD
1.00000000
4.01000000
USD
2024-01-05
XXXX
16907.15000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LJY3
116298.88000000
PA
USD
119481.93000000
0.003029662245
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
LETRA TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Letras do Tesouro Nacional
000000000
30100000.00000000
PA
5896708.72000000
0.149520816903
Long
DBT
NUSS
BR
N
2
2024-07-01
None
0.00000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
Long: SWPC0KA36 CDS USD R F 1.00000 FIX SOVEREIGN / Short: SWPC0KA36 CDS USD P V 03MEVENT FLO SOVEREIGN
000000000
1700000.00000000
OU
Notional Amount
USD
10973.06000000
0.000278240112
N/A
DCR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
REPUBLIC OF COLOMBIA
REPUBLIC OF COLOMBIA
Y
sell protection
2026-12-20
0.00000000
USD
-50773.78000000
USD
1700000.00000000
USD
61746.84000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617YFGP6
6839052.19000000
PA
USD
6722916.33000000
0.170470679384
Long
ABS-MBS
USGA
US
N
2
2052-04-15
Fixed
5.00000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR15
456610AA2
1947373.62000000
PA
USD
1905871.00000000
0.048326516089
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.71000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
3391.02000000
0.000085984928
N/A
DFE
ZA
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1188185.17000000
USD
21822239.96000000
ZAR
2024-01-17
3391.02000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJE38
607.41000000
PA
USD
604.04000000
0.000015316434
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419L3Z4
3768.64000000
PA
USD
3699.04000000
0.000093795286
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
4.00000000
N
N
N
N
N
N
VMWARE LLC
549300BUDHS3LRWBE814
VMware LLC
928563AJ4
13500000.00000000
PA
USD
12348223.34000000
0.313109656381
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128NCBF0
4708.18000000
PA
USD
4699.37000000
0.000119160310
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
3.92700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407FUW8
58483.14000000
PA
USD
59290.05000000
0.001503397425
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
6.22300000
N
N
N
N
N
N
Hyatt Hotels Corp
T27JQIMTYSH41TCD5186
Hyatt Hotels Corp
448579AF9
2700000.00000000
PA
USD
2678466.29000000
0.067916949394
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
4.85000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-4
52520RAB8
2839194.54000000
PA
USD
2012129.79000000
0.051020883717
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
6.00000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDP4
3000000.00000000
PA
USD
3012156.00000000
0.076378204714
Long
DBT
CORP
MX
N
2
2033-02-07
Fixed
10.00000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAB2
2400000.00000000
PA
USD
1946796.53000000
0.049364250691
Long
DBT
US
N
2
2029-04-01
Fixed
4.65000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
382922.97000000
0.009709646177
N/A
DFE
TH
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
18726682.27000000
USD
647952569.88000000
THB
2024-03-20
382922.97000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402JYY7
648.96000000
PA
USD
659.43000000
0.000016720939
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RHU6
45674.31000000
PA
USD
44141.94000000
0.001119292005
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Floating
6.12900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AEPK3
5929.92000000
PA
USD
5847.95000000
0.000148284458
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WEW8
8634.08000000
PA
USD
8622.95000000
0.000218649180
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
HSI Asset Securitization Corporation Trust
N/A
HSI Asset Securitization Corp Trust 2006-HE2
44328BAE8
8460331.52000000
PA
USD
2168978.58000000
0.054998044591
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.81000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032617
-37780000.00000000
PA
USD
-34657246.88000000
-0.87879190090
Short
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QBP3
5524.64000000
PA
USD
5632.63000000
0.000142824663
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MYZ9
122197.63000000
PA
USD
127458.55000000
0.003231922657
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
6.00000000
N
N
N
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932AH0
1300000.00000000
PA
USD
1250345.85000000
0.031704590099
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.15000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
317U4QOA3 PIMCO SWAPTION 2.74 PUT EUR 20240115
000000000
-2400000.00000000
NC
-3316.46000000
-0.00008409433
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
2400000.00000000
OU
Notional Amount
N/A
-3316.46000000
0.00000000
DIR
US
N/A
N/A
2034-01-17
0.00000000
N/A
0.00000000
N/A
2400000.00000000
EUR
1.00000000
2.74000000
EUR
2024-01-15
XXXX
6840.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ES43
16371776.49000000
PA
USD
16196740.75000000
0.410695189995
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297VKR8
3990.39000000
PA
USD
4094.59000000
0.000103825111
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BPF52
392113.16000000
PA
USD
390700.27000000
0.009906852501
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0L936 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0L936 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
USD
6371.00000000
0.000161547257
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Verizon Communications, Inc.
Verizon Communications, Inc.
Y
sell protection
2027-12-20
0.00000000
USD
-6844.03000000
USD
500000.00000000
USD
13215.03000000
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CJ7
6000000.00000000
PA
USD
5849935.38000000
0.148334801392
Long
DBT
CORP
GB
N
2
2026-03-30
Fixed
3.97100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YPE1
8224.70000000
PA
USD
8179.06000000
0.000207393614
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Social Professional Loan Program LLC
N/A
Sofi Professional Loan Program 2016-F LLC
78471AAB9
1200275.17000000
PA
USD
1144614.45000000
0.029023595318
Long
ABS-O
CORP
US
N
2
2040-02-25
Fixed
3.02000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YBL2
9800000.00000000
PA
USD
7990339.84000000
0.202608301841
Long
DBT
CORP
JP
N
2
2031-09-08
Fixed
1.97900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LVF0
7666.23000000
PA
USD
7738.54000000
0.000196223499
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
5.00000000
N
N
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2006-WMC3
55291KAB3
4651602.43000000
PA
USD
1664173.10000000
0.042197865486
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.57000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
95053.79000000
0.002410246292
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
6397995.27000000
USD
110751000.00000000
MXN
2024-01-31
95053.79000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410UF72
7575.63000000
PA
USD
7801.82000000
0.000197828069
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
63743HFG2
3600000.00000000
PA
USD
3641031.72000000
0.092324390265
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.80000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31
61766RAW6
5087911.88000000
PA
USD
4932188.71000000
0.125063814418
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
2.95200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CMP8
679.73000000
PA
USD
667.05000000
0.000016914157
Long
ABS-MBS
USGA
US
N
2
2030-01-20
Floating
3.62500000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
5493006MX7HG5PC85C29
CSAIL 2016-C7 Commercial Mortgage Trust
12637UAX7
1301171.46000000
PA
USD
1272027.82000000
0.032254372362
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
3.31400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409WA76
1117.56000000
PA
USD
1160.75000000
0.000029432738
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
6.00000000
N
N
N
N
N
N
Banc of America Mortgage Securities
N/A
Banc of America Mortgage 2007-2 Trust
05952FAN3
4388975.76000000
PA
USD
3288252.68000000
0.083379093362
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KPN0
391.48000000
PA
USD
403.71000000
0.000010236735
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
6.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-5266.56000000
-0.00013354235
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
4060767.22000000
USD
19700000.00000000
BRL
2024-01-03
-5266.56000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KLY8
2937.35000000
PA
USD
3039.17000000
0.000077063189
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
6.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01E1O3 IRS JPY R V 06MTONA SWUV1E1O5 CCPOIS / Short: BWU01E1O3 IRS JPY P F .80000 SWU01E1O3 CCPOIS
000000000
570000000.00000000
OU
Notional Amount
204380.17000000
0.005182397745
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2038-10-22
0.00000000
JPY
-43354464.00000000
JPY
570000000.00000000
JPY
597472.62000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WH3F7
35272.05000000
PA
USD
34402.26000000
0.000872326286
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BWX9
3995.05000000
PA
USD
3921.10000000
0.000099425985
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412PRP8
14950.95000000
PA
USD
14836.20000000
0.000376196425
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.00000000
N
N
N
N
N
N
BSPDF 2021-FL1 Issuer Ltd
N/A
BSPDF 2021-FL1 Issuer Ltd
055731AA1
11872143.23000000
PA
USD
11595485.49000000
0.294022741359
Long
ABS-CBDO
CORP
KY
N
2
2036-10-15
Floating
6.67600000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
93786.64000000
0.002378115605
N/A
DFE
AU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
3046963.71000000
USD
4608024.00000000
AUD
2024-01-09
93786.64000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-76
12668BDC4
377638.28000000
PA
USD
344434.36000000
0.008733703718
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
6.49200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JNAL9
9549.03000000
PA
USD
9711.44000000
0.000246249647
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
4.21600000
N
N
N
N
N
N
BOSTON PROPERTIES LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RBF0
1811000.00000000
PA
USD
1378128.82000000
0.034944738963
Long
DBT
US
N
2
2033-10-01
Fixed
2.45000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300Z5ZNFT7IECFZ07
Neuberger Berman CLO XIV Ltd
64129JBE9
11021389.19000000
PA
USD
11015437.64000000
0.279314667331
Long
ABS-CBDO
CORP
KY
N
2
2030-01-28
Floating
6.68200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291AGX1
2242.74000000
PA
USD
2257.16000000
0.000057234030
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417MXZ1
1558.67000000
PA
USD
1567.02000000
0.000039734387
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M55D8
7607.47000000
PA
USD
7845.35000000
0.000198931844
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2006-OP1
00442PAA8
1785699.08000000
PA
USD
1715400.39000000
0.043496818277
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.77000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAT1
5000000.00000000
PA
USD
5066518.00000000
0.128469956069
Long
DBT
CORP
US
N
2
2025-11-30
Fixed
5.80000000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
JPN 10Y BOND(OSE) MAR24
000000000
-85.00000000
NC
-718393.44000000
-0.01821605561
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Short
TSE Japanese 10 Year Bond Futures
JBH4 Comdty
2024-03-13
-12369056525.00000000
JPY
-718393.44000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406H3D7
29435.34000000
PA
USD
29811.60000000
0.000755922497
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
7.21300000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FBA4
5900000.00000000
PA
USD
6023430.89000000
0.152734067426
Long
DBT
CORP
FR
N
2
2026-07-13
Fixed
5.89600000
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J6G7
7300000.00000000
PA
USD
7341756.00000000
0.186162384263
Long
DBT
CORP
US
N
2
2026-12-11
Floating
6.48800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWJ53
21491262.43000000
PA
USD
21821448.17000000
0.553318963394
Long
ABS-MBS
USGSE
US
N
2
2053-12-01
Fixed
6.00000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-6149.49000000
-0.00015593050
N/A
DFE
TR
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
1877700.99000000
USD
57314945.02000000
TRY
2024-02-13
-6149.49000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406BJF8
12222.91000000
PA
USD
12455.70000000
0.000315834905
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
3.93000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-8671.85000000
-0.00021988912
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
826610.00000000
USD
25957207.22000000
TRY
2024-03-22
-8671.85000000
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust 2023-3
14319BAB8
5900000.00000000
PA
USD
5912659.63000000
0.149925278647
Long
ABS-O
CORP
US
N
2
2026-11-16
Fixed
5.72000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L3H58
29750.02000000
PA
USD
30681.79000000
0.000777987606
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LN77
60288.32000000
PA
USD
60900.04000000
0.001544221389
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617NR7A5
395146.01000000
PA
USD
389534.00000000
0.009877279794
Long
ABS-MBS
USGA
US
N
2
2050-06-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LJB3
8995.35000000
PA
USD
9036.06000000
0.000229124268
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
5.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HK6
4500000.00000000
PA
USD
4424843.43000000
0.112199234477
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.40000000
N
N
N
N
N
N
SOUTHERN CALIF GAS CO
XY0N0J73VHV5F4CUJV89
Southern California Gas Co
842434CW0
12500000.00000000
PA
USD
11855605.50000000
0.300618515076
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390NF56
11691.70000000
PA
USD
11656.96000000
0.000295581529
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Floating
5.90300000
N
N
N
N
N
N
Venture CDO Ltd
549300KIDQKDB48YU144
Venture XIX CLO Ltd
92330EAP2
2300000.00000000
PA
USD
2299185.80000000
0.058299664330
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
6.91500000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2022-1
89170VAA6
5686486.98000000
PA
USD
5307214.79000000
0.134573221870
Long
ABS-MBS
CORP
US
N
2
2062-07-25
Variable
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DB43
131732.58000000
PA
USD
129003.36000000
0.003271093873
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FDB8
3791.27000000
PA
USD
3897.88000000
0.000098837203
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Long: SWPC0LER7 CDS USD R F 1.00000 FIX SOVEREIGN / Short: SWPC0LER7 CDS USD P V 03MEVENT FLO SOVEREIGN
000000000
500000.00000000
OU
Notional Amount
USD
-2809.63000000
-0.00007124282
N/A
DCR
FR
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Colombia Government International Bond
Colombia Government International Bond
Y
sell protection
2027-12-20
0.00000000
USD
-34002.22000000
USD
500000.00000000
USD
31192.59000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Long: SWPC0KSS2 CDS USD R F 1.00000 FIX SOVEREIGN / Short: SWPC0KSS2 CDS USD P V 03MEVENT FLO SOVEREIGN
000000000
2400000.00000000
OU
Notional Amount
USD
810.10000000
0.000020541427
N/A
DCR
FR
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
REPUBLIC OF COLOMBIA
REPUBLIC OF COLOMBIA
Y
sell protection
2027-06-20
0.00000000
USD
-76156.80000000
USD
2400000.00000000
USD
76966.90000000
N
N
N
JP MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank NA
48125LRV6
7700000.00000000
PA
USD
7729029.00000000
0.195982332657
Long
DBT
CORP
US
N
2
2026-12-08
Floating
6.41700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPYV4
2463131.48000000
PA
USD
2330312.56000000
0.059088934888
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404LAU4
196447.28000000
PA
USD
194192.20000000
0.004924064890
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Floating
5.41000000
N
N
N
N
N
N
OSD CLO 2021-23 Ltd
2549004IE8HHQL34D058
OSD CLO 2021-23 Ltd
671026AA0
11951010.35000000
PA
USD
11910508.38000000
0.302010668539
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
6.53400000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A4
466247RN5
40654.79000000
PA
USD
40435.38000000
0.001025306037
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
5.52800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RC53
5995153.87000000
PA
USD
6103166.76000000
0.154755902484
Long
ABS-MBS
USGA
US
N
2
2066-09-20
Variable
6.11400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419FWM4
55208.47000000
PA
USD
54136.82000000
0.001372728743
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
4.00000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF14
32027LAF2
16312000.00000000
PA
USD
12824949.50000000
0.325197837817
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.78000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022618
20600000.00000000
PA
USD
17522875.00000000
0.444321520513
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
2.50000000
N
N
N
N
N
N
Ripon Mortgages PLC
213800MQYZ3GZ4HK1I88
Ripon Mortgages PLC
000000000
5777000.00000000
PA
7242175.66000000
0.183637359798
Long
ABS-MBS
CORP
GB
N
2
2056-08-28
Floating
6.37000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TU2
24000000.00000000
PA
USD
24498750.00000000
0.621206385976
Long
DBT
UST
US
N
2
2043-08-15
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416MSW5
21.54000000
PA
USD
21.42000000
0.000000543139
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297DK89
351.29000000
PA
USD
349.62000000
0.000008865194
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
5.00000000
N
N
N
N
N
N
Symphony CLO Ltd
N/A
Symphony CLO 39 Ltd
87169TAA8
7700000.00000000
PA
USD
7695695.70000000
0.195137111622
Long
ABS-CBDO
CORP
BM
N
2
2034-04-25
Floating
7.00200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312930QW3
4915.65000000
PA
USD
5069.44000000
0.000128544048
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405UMM8
4389.36000000
PA
USD
4373.53000000
0.000110898097
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Floating
5.82400000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXV Ltd
55819MAN6
7300000.00000000
PA
USD
7296196.70000000
0.185007152747
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
6.66700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DLD4
114059.96000000
PA
USD
118068.95000000
0.002993833796
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405JC36
79356.55000000
PA
USD
81721.21000000
0.002072176642
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
5.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-5181.92000000
-0.00013139616
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
517638.00000000
USD
16340278.75000000
TRY
2024-03-27
-5181.92000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED CNY / SOLD USD
000000000
1.00000000
NC
397.27000000
0.000010073438
N/A
DFE
CN
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
75094.00000000
USD
533092.31000000
CNY
2024-02-16
397.27000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406GCS6
14779.71000000
PA
USD
15018.38000000
0.000380815901
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402GW58
698.11000000
PA
USD
709.48000000
0.000017990040
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U4NNA1 PIMCO SWAPTION 4.044 PUT USD 2024010
000000000
-3300000.00000000
NC
USD
-2.57000000
-0.00000006516
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
3300000.00000000
OU
Notional Amount
N/A
-2.57000000
0.00000000
DIR
US
N/A
N/A
2034-01-09
0.00000000
N/A
0.00000000
N/A
3300000.00000000
USD
1.00000000
4.04400000
USD
2024-01-05
XXXX
16497.43000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01ZSW9 IRS EUR R V 06MEURIB SWUV1ZSW1 CCPVANILLA / Short: BWU01ZSW9 IRS EUR P F 2.92000 SWU01ZSW9 CCPVANILLA
000000000
4600000.00000000
OU
Notional Amount
-111689.29000000
-0.00283206695
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-12-13
0.00000000
EUR
0.00000000
EUR
4600000.00000000
EUR
-111689.29000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371HHR2
676.30000000
PA
USD
699.53000000
0.000017737741
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HKL30
54855.68000000
PA
USD
53854.88000000
0.001365579687
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DFK3
295238.56000000
PA
USD
289120.20000000
0.007331121569
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YTF4
779.66000000
PA
USD
775.70000000
0.000019669158
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.50000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TBE8
6000000.00000000
PA
USD
5647908.00000000
0.143212062534
Long
DBT
NUSS
SA
N
2
2053-01-18
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M66H6
18185.19000000
PA
USD
18753.78000000
0.000475533155
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241K4C9
20796.06000000
PA
USD
21007.12000000
0.000532670323
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A8NL3
11694.40000000
PA
USD
11712.23000000
0.000296982991
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AJ8
5000000.00000000
PA
USD
4982458.00000000
0.126338475532
Long
DBT
US
N
2
2025-06-01
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417MUQ4
6247.81000000
PA
USD
6213.14000000
0.000157544456
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BMS4
21718.15000000
PA
USD
22667.90000000
0.000574782151
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
AMEREN CORP
XRZQ5S7HYJFPHJ78L959
Ameren Corp
023608AQ5
7200000.00000000
PA
USD
7232262.55000000
0.183385996474
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
Towd Point Mortgage Funding
6354008RRKZLZQWJ8D70
Towd Point Mortgage Funding 2020-Auburn 14 PLC
000000000
18959268.82000000
PA
24180644.53000000
0.613140294875
Long
ABS-MBS
CORP
GB
Y
2
2045-05-20
Floating
6.57000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5R93
27701.25000000
PA
USD
28568.99000000
0.000724414063
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J6D4
4700000.00000000
PA
USD
4776577.34000000
0.121118030377
Long
DBT
CORP
US
N
2
2026-08-07
Fixed
5.45000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-23CB
02147RAJ9
1655332.31000000
PA
USD
1498630.28000000
0.038000253080
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
6.00000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-J3
12667GDJ9
371849.10000000
PA
USD
20102.94000000
0.000509743342
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
0.00000000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2007-WF2
86364LAC6
66711.45000000
PA
USD
65881.89000000
0.001670544447
Long
ABS-O
CORP
US
N
2
2037-08-25
Floating
6.37000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01J0R6 IRS EUR R F 1.58000 SWU01J0R6 CCPVANILLA / Short: SWU01J0R6 IRS EUR P V 06MEURIB SWUV1J0R8 CCPVANILLA
000000000
265900000.00000000
OU
Notional Amount
-2980814.16000000
-0.07558348044
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-05-24
0.00000000
EUR
-89970.83000000
EUR
265900000.00000000
EUR
-2880017.24000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406EYN8
1992.98000000
PA
USD
2027.33000000
0.000051406310
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
5.50000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Co LLC
65480CAC9
13500000.00000000
PA
USD
12138033.87000000
0.307779954211
Long
DBT
CORP
US
N
2
2026-09-16
Fixed
1.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296LQL8
486.20000000
PA
USD
501.37000000
0.000012713066
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KNH3
76476.71000000
PA
USD
78760.33000000
0.001997098625
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U388O2 PIMCO FPPSWAPTION 2.697 PUT USD
000000000
-34500000.00000000
NC
USD
-547001.64000000
-0.01387013263
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
34500000.00000000
OU
Notional Amount
N/A
-547001.64000000
-0.01000000
DIR
US
N/A
N/A
2025-04-04
0.00000000
N/A
0.00000000
N/A
34500000.00000000
USD
1.00000000
2.69700000
USD
2024-04-02
XXXX
-276392.26000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406BZG8
2580.83000000
PA
USD
2664.31000000
0.000067557993
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407HPR1
74481.74000000
PA
USD
76699.09000000
0.001944832471
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
317U4NCA3 PIMCO SWAPTION 2.65 CALL EUR 2024010
000000000
-3200000.00000000
NC
-51798.61000000
-0.00131343955
N/A
DIR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
3200000.00000000
OU
Notional Amount
N/A
-51798.61000000
0.00000000
DIR
US
N/A
N/A
2034-01-08
0.00000000
N/A
0.00000000
N/A
3200000.00000000
EUR
1.00000000
2.65000000
EUR
2024-01-04
XXXX
-40135.79000000
N
N
N
Venture CDO Ltd
54930010DKR017G3JK24
Venture XXVIII CLO Ltd
92331AAU8
10128494.45000000
PA
USD
10101937.54000000
0.256151359174
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.66700000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFF7
7900000.00000000
PA
USD
8049717.96000000
0.204113932427
Long
DBT
CORP
US
N
2
2029-07-20
Fixed
5.44900000
N
N
N
N
N
N
TAPESTRY INC
549300LJNVY5SW3VTN33
Tapestry Inc
876030AC1
1900000.00000000
PA
USD
1969696.33000000
0.049944913051
Long
DBT
CORP
US
N
2
2026-11-27
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CN36
6782.29000000
PA
USD
6691.97000000
0.000169685983
Long
ABS-MBS
USGA
US
N
2
2030-05-20
Floating
4.00000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF16
320275AD2
4502934.29000000
PA
USD
1803330.62000000
0.045726434906
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LDQQ0
6121.97000000
PA
USD
6250.37000000
0.000158488484
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-4170.43000000
-0.00010574816
N/A
DFE
ID
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1138832.00000000
USD
17485626528.00000000
IDR
2024-03-20
-4170.43000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5NL0
18424.81000000
PA
USD
19000.65000000
0.000481792953
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411ENM5
1176.43000000
PA
USD
1199.36000000
0.000030411759
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
COREBRIDGE GLOB FUNDING
54930057MDZ7KOVOTV71
Corebridge Global Funding
00138CAU2
2600000.00000000
PA
USD
2633023.43000000
0.066764670407
Long
DBT
CORP
US
N
2
2026-07-02
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CLS1
272062.78000000
PA
USD
264640.89000000
0.006710408117
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
3.50000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
4900000.00000000
PA
4837045.92000000
0.122651311383
Long
DBT
NUSS
CI
N
2
2031-10-17
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411FE42
29607.99000000
PA
USD
30917.69000000
0.000783969242
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.00000000
N
N
N
N
N
N
UNITED AIR 2020-1 A PTT
N/A
United Airlines 2020-1 Class A Pass Through Trust
90931GAA7
8281386.66000000
PA
USD
8384320.98000000
0.212598346236
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MFY56
6616309.41000000
PA
USD
5854577.21000000
0.148452502680
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412PG70
12132.91000000
PA
USD
12108.52000000
0.000307031581
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F060618
-1000000.00000000
PA
USD
-1015312.50000000
-0.02574493020
Short
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
6.00000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2005-D Trust
06051GDM8
204995.62000000
PA
USD
188938.17000000
0.004790840257
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
4.77200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGVH4
93571.86000000
PA
USD
96366.08000000
0.002443521579
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KVV7
176535.04000000
PA
USD
178326.31000000
0.004521758969
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QSK6
19138.64000000
PA
USD
18736.14000000
0.000475085864
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-130191.76000000
-0.00330122772
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
6883226.01000000
CAD
5065087.89000000
USD
2024-01-09
-130191.76000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CUH7
116.90000000
PA
USD
116.10000000
0.000002943907
Long
ABS-MBS
USGA
US
N
2
2032-03-20
Floating
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406AZX3
706.73000000
PA
USD
727.72000000
0.000018452545
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
Flex Ltd
549300EAQH74YHD07T53
Flex Ltd
33938XAA3
8160000.00000000
PA
USD
8020714.92000000
0.203378512307
Long
DBT
CORP
SG
N
2
2029-06-15
Fixed
4.87500000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAY5
1300000.00000000
PA
USD
1259936.16000000
0.031947768294
Long
DBT
CORP
US
N
2
2026-05-14
Fixed
3.20000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RW0
4970862.00000000
PA
USD
3914116.54000000
0.099248908213
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411DS67
425.32000000
PA
USD
437.99000000
0.000011105961
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR24
000000000
-531.00000000
NC
USD
-1884144.65000000
-0.04777560849
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 10 Year U.S. Treasury Notes
TYH4 Comdty
2024-03-19
-58060777.23000000
USD
-1884144.65000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-36247.11000000
-0.00091910551
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
16942281.81000000
MXN
957035.72000000
USD
2024-01-31
-36247.11000000
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
Nomura Holdings Inc
65535HBK4
3900000.00000000
PA
USD
4178136.73000000
0.105943577454
Long
DBT
CORP
JP
N
2
2033-01-18
Fixed
6.18100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AKPF2
7742990.00000000
PA
USD
7091224.59000000
0.179809745383
Long
ABS-MBS
USGSE
US
N
2
2042-01-15
Fixed
3.50000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AB7
8100000.00000000
PA
USD
7797406.03000000
0.197716145513
Long
DBT
CORP
JP
N
2
2025-09-17
Fixed
3.52200000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-98874.22000000
-0.00250711962
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
20015363.25000000
SGD
15120770.00000000
USD
2024-03-20
-98874.22000000
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006 J Trust
05951EAM9
53454.01000000
PA
USD
45567.48000000
0.001155438933
Long
ABS-MBS
CORP
US
N
2
2047-01-20
Variable
5.06100000
N
N
N
N
N
N
Harvest CLO
635400EXPHDZLGQCVU09
Harvest Clo XX DAC
000000000
10724573.11000000
PA
11653870.84000000
0.295503198618
Long
ABS-CBDO
CORP
IE
N
2
2031-10-20
Floating
4.67300000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828G38
110600000.00000000
PA
USD
108124461.21000000
2.741674811324
Long
DBT
UST
US
N
2
2024-11-15
Fixed
2.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
3 MONTH SOFR FUT SEP24
000000000
-1667.00000000
NC
USD
-3193412.96000000
-0.08097427516
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME Three-Month SOFR Futures
SFRU4 Comdty
2024-12-17
-396490674.54000000
USD
-3193412.96000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410RH93
306.14000000
PA
USD
316.87000000
0.000008034763
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LXP6
40960.19000000
PA
USD
41095.93000000
0.001042055376
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
5.00000000
N
N
N
N
N
N
Manhattan West
N/A
Manhattan West 2020-1MW Mortgage Trust
563136AA8
12300000.00000000
PA
USD
10865524.80000000
0.275513378958
Long
ABS-MBS
CORP
US
N
2
2039-09-10
Fixed
2.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KR32
43989.95000000
PA
USD
45299.27000000
0.001148638024
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CS23
607.94000000
PA
USD
598.81000000
0.000015183819
Long
ABS-MBS
USGA
US
N
2
2031-08-20
Floating
3.62500000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AS6
3800000.00000000
PA
USD
3356666.54000000
0.085113840103
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust Series 2006-HE4
59023EAE8
8643528.62000000
PA
USD
2009159.70000000
0.050945572165
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.97000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2007-4
12668WAC1
1284996.01000000
PA
USD
1274264.49000000
0.032311086835
Long
ABS-O
CORP
US
N
2
2032-10-25
Variable
4.43400000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-10323.85000000
-0.00026177831
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
21418968.12000000
BRL
4399048.70000000
USD
2024-01-03
-10323.85000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CR40
2628.33000000
PA
USD
2605.97000000
0.000066078685
Long
ABS-MBS
USGA
US
N
2
2031-04-20
Floating
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414UZ68
3896.11000000
PA
USD
4058.40000000
0.000102907454
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407DZ40
25312.94000000
PA
USD
26067.97000000
0.000660996558
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.50000000
N
N
N
N
N
N
Deutsche Bank Securities, Inc.
9J6MBOOO7BECTDTUZW19
Deutsche Bank Securities, Inc.
000000000
-22312625.00000000
PA
USD
-22312625.00000000
-0.56577356550
Short
RA
CORP
US
N
2
Reverse repurchase
N
5.49000000
2024-01-04
23900674.00000000
USD
23378829.00000000
USD
UST
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394VL73
192414.16000000
PA
USD
195274.34000000
0.004951504343
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
5.26000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2006-11
12666TAG1
395078.86000000
PA
USD
390982.48000000
0.009914008403
Long
ABS-O
CORP
US
N
2
2046-09-25
Floating
5.77000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CFH4
1933.42000000
PA
USD
1887.41000000
0.000047858406
Long
ABS-MBS
USGA
US
N
2
2028-02-20
Floating
3.62500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QB7
9600000.00000000
PA
USD
9888749.95000000
0.250745634706
Long
DBT
UST
US
N
2
2039-05-15
Fixed
4.25000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U4RPA0 PIMCO SWAPTION 3.285 CALL USD 202401
000000000
-1700000.00000000
NC
USD
-5705.69000000
-0.00014467722
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
1700000.00000000
OU
Notional Amount
N/A
-5705.69000000
0.00000000
DIR
US
N/A
N/A
2034-01-23
0.00000000
N/A
0.00000000
N/A
1700000.00000000
USD
1.00000000
3.28500000
USD
2024-01-19
XXXX
1391.81000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403JR81
129.45000000
PA
USD
131.54000000
0.000003335414
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KRVH4
1571.72000000
PA
USD
1609.47000000
0.000040810777
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
5.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
3 MONTH SOFR FUT DEC23
000000000
1268.00000000
NC
USD
-6344959.80000000
-0.16088696551
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME Three-Month SOFR Futures
SFRZ3 Comdty
2024-03-19
306361684.80000000
USD
-6344959.80000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YPM3
25447.04000000
PA
USD
24941.77000000
0.000632439891
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
4.00000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-4
07386HSY8
348864.90000000
PA
USD
328608.86000000
0.008332421952
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
4.48800000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2005-17
863579VM7
39421.93000000
PA
USD
33645.73000000
0.000853143214
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.67200000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2006-HE1
3623414T3
297859.55000000
PA
USD
304067.42000000
0.007710133091
Long
ABS-O
CORP
US
N
2
2036-01-25
Floating
6.05500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375UYN4
5458815.45000000
PA
USD
5446249.80000000
0.138098684846
Long
ABS-MBS
USGA
US
N
2
2067-01-20
Floating
6.43700000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-787S Mortgage Trust
12635WAA5
11600000.00000000
PA
USD
10819224.88000000
0.274339367795
Long
ABS-MBS
CORP
US
N
2
2036-02-10
Fixed
3.54500000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KBB1
4800000.00000000
PA
USD
4662484.27000000
0.118225011604
Long
DBT
CORP
US
N
2
2025-06-02
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413TJC7
2380.99000000
PA
USD
2470.10000000
0.000062633476
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5ED8
50081.17000000
PA
USD
51646.67000000
0.001309586865
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GDF7
5511.89000000
PA
USD
5526.72000000
0.000140139140
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Floating
5.04700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132CWJA3
249655.90000000
PA
USD
246492.75000000
0.006250231966
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
4.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-29255.10000000
-0.00074181151
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
7294000.00000000
MXN
398373.54000000
USD
2024-01-31
-29255.10000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417SAP5
844.74000000
PA
USD
840.05000000
0.000021300859
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YBD0
5900000.00000000
PA
USD
5638248.92000000
0.142967140561
Long
DBT
CORP
JP
N
2
2026-05-25
Fixed
2.22600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01LBR9 IRS USD R F 3.05000 SWU01LBR9 CCPOIS / Short: SWU01LBR9 IRS USD P V 12MSOFR SWUV1LBR1 CCPOIS
000000000
7300000.00000000
OU
Notional Amount
USD
-170183.44000000
-0.00431528301
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-09-08
0.00000000
USD
0.00000000
USD
7300000.00000000
USD
-170183.44000000
N
N
N
Citicorp Mortgage Securities, Inc.
N/A
Citicorp Mortgage Securities Trust Series 2007-4
17312XAQ7
689915.94000000
PA
USD
606072.11000000
0.015367962246
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01JM92 IRS USD R F 2.15000 SWU01JM92 CCPOIS / Short: SWU01JM92 IRS USD P V 12MSOFR SWUV1JM94 CCPOIS
000000000
50200000.00000000
OU
Notional Amount
USD
-2476125.04000000
-0.06278625184
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-06-15
0.00000000
USD
0.00000000
USD
50200000.00000000
USD
-2476125.04000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XMX5
24062.54000000
PA
USD
23421.23000000
0.000593884081
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297HXT0
246676.49000000
PA
USD
247507.72000000
0.006275968212
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A9TG6
3649.35000000
PA
USD
3670.77000000
0.000093078453
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAW1
3900000.00000000
PA
USD
3377569.57000000
0.085643871053
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-636.61000000
-0.00001614230
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1242141.35000000
USD
36904143.72000000
TRY
2024-01-12
-636.61000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296NVD6
1356.77000000
PA
USD
1399.01000000
0.000035474215
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05571AAQ8
1900000.00000000
PA
USD
1955153.41000000
0.049576153226
Long
DBT
CORP
FR
N
2
2027-10-19
Fixed
6.61200000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2023-5
80286PAB7
7500000.00000000
PA
USD
7527721.50000000
0.190877847549
Long
ABS-O
CORP
US
N
2
2027-07-15
Fixed
6.31000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202KZ40
1551.84000000
PA
USD
1534.20000000
0.000038902182
Long
ABS-MBS
USGA
US
N
2
2026-05-20
Floating
3.87500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01HY44 IRS EUR R F .65000 SWU01HY44 CCPVANILLA / Short: SWU01HY44 IRS EUR P V 06MEURIB SWUV1HY46 CCPVANILLA
000000000
27000000.00000000
OU
Notional Amount
-1748664.00000000
-0.04434027220
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-04-12
0.00000000
EUR
0.00000000
EUR
27000000.00000000
EUR
-1748664.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FYT6
137226.91000000
PA
USD
143346.12000000
0.003634778311
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U4MIA9 PIMCO SWAPTION 4.975 PUT USD 2024052
000000000
49800000.00000000
NC
USD
15964.39000000
0.000404803551
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
49800000.00000000
OU
Notional Amount
N/A
15964.39000000
0.00000000
DIR
US
N/A
N/A
2025-05-31
0.00000000
N/A
0.00000000
N/A
49800000.00000000
USD
1.00000000
4.97500000
USD
2024-05-29
XXXX
-38815.61000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312944HJ3
140579.63000000
PA
USD
137285.73000000
0.003481107084
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412RB63
3556.96000000
PA
USD
3537.22000000
0.000089692072
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296TBZ5
305.46000000
PA
USD
304.13000000
0.000007711719
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
5.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F060618
1000000.00000000
PA
USD
1015312.50000000
0.025744930201
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
6.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CGW5
23900208.00000000
PA
USD
23275937.44000000
0.590199948051
Long
DBT
UST
US
N
2
2028-04-15
Fixed
1.25000000
N
N
N
N
N
N
Symphony CLO Ltd
549300X84MR2MGY6OR68
Symphony CLO XVII Ltd
87165UAN1
179085.77000000
PA
USD
178986.38000000
0.004538496137
Long
ABS-CBDO
CORP
KY
N
2
2028-04-15
Floating
6.53500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384USH8
35841.53000000
PA
USD
35650.29000000
0.000903972154
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Floating
5.11500000
N
N
N
N
N
N
JYSKE REALKREDIT A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
2.34000000
PA
0.27000000
0.000000006846
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust Series 2008-R1
46632GAA1
4662278.57000000
PA
USD
3952789.80000000
0.100229532779
Long
ABS-MBS
CORP
US
N
2
2037-12-26
Variable
4.11400000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: SWPC0KL67 CDS USD R F 1.00000 FIX CORPORATE / Short: SWPC0KL67 CDS USD P V 03MEVENT FLO CORPORATE
000000000
36100000.00000000
OU
Notional Amount
USD
-239718.80000000
-0.00607846724
N/A
DCR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
sell protection
2026-12-20
0.00000000
USD
-1040037.55000000
USD
36100000.00000000
USD
800318.75000000
N
N
N
United Wholesale Mortgage LLC
N/A
UWM Mortgage Trust 2021-INV3
90355RAE2
5386409.13000000
PA
USD
4665417.80000000
0.118299396116
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.50000000
N
N
N
N
N
N
Bear Stearns Structured Products Inc.
N/A
Bear Stearns Structured Products Inc Trust 2007-R6
07402FAC9
303107.09000000
PA
USD
221507.36000000
0.005616686017
Long
ABS-MBS
CORP
US
N
2
2046-12-26
Variable
3.99300000
N
N
N
N
N
N
Wells Fargo Home Equity Trust
N/A
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust
9497EMAH8
234808.82000000
PA
USD
234550.81000000
0.005947424297
Long
ABS-O
CORP
US
N
2
2035-12-25
Floating
6.19000000
N
N
N
N
N
N
CADILLAC FAIRVIEW PRP TR
N/A
Ontario Teachers' Cadillac Fairview Properties Trust
68327LAB2
1700000.00000000
PA
USD
1613334.20000000
0.040908760967
Long
DBT
CORP
CA
N
2
2027-03-20
Fixed
3.87500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0I305 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0I305 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
2900000.00000000
OU
Notional Amount
USD
11785.60000000
0.000298843409
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
GENERAL ELECTRIC CO
GENERAL ELECTRIC CO
Y
sell protection
2024-06-20
5436.15000000
USD
0.00000000
USD
2900000.00000000
USD
6349.45000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312928SS4
800.64000000
PA
USD
825.69000000
0.000020936737
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
GM Financial Securitized Term Auto Receivables Tr
N/A
GM Financial Consumer Automobile Receivables Trust 2023-3
36267KAA5
678006.63000000
PA
USD
678045.48000000
0.017192966259
Long
ABS-O
CORP
US
N
2
2024-07-16
Fixed
5.56000000
N
N
N
N
N
N
Sales Tax Securitization Corp
N/A
SALES TAX SECURITIZATION CORP IL
79467BDG7
10100000.00000000
PA
USD
8733163.97000000
0.221443838071
Long
DBT
MUN
US
N
2
2033-01-01
Fixed
3.00700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU020F66 IRS USD R V 12MSOFR SWUV20F68 CCPOIS / Short: BWU020F66 IRS USD P F 3.85400 SWU020F66 CCPOIS
000000000
3300000.00000000
OU
Notional Amount
USD
-107237.13000000
-0.00271917505
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-12-29
0.00000000
USD
0.00000000
USD
3300000.00000000
USD
-107237.13000000
N
N
N
Ripon Mortgages PLC
213800MQYZ3GZ4HK1I88
Ripon Mortgages PLC
000000000
13198549.97000000
PA
16802436.86000000
0.426053618139
Long
ABS-MBS
CORP
GB
N
2
2056-08-28
Floating
5.92000000
N
N
N
N
N
N
Ameriquest Mortgage Securities Inc.
N/A
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004 R3
03072SQC2
364399.15000000
PA
USD
361882.17000000
0.009176121841
Long
ABS-O
CORP
US
N
2
2034-05-25
Floating
6.25000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
317U4SQA7 PIMCO SWAPTION 3.235 CALL USD 202401
000000000
-3400000.00000000
NC
USD
-9924.77000000
-0.00025165898
N/A
DIR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank NA
E57ODZWZ7FF32TWEFA76
Citibank NA
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
3400000.00000000
OU
Notional Amount
N/A
-9924.77000000
0.00000000
DIR
US
N/A
N/A
2034-01-24
0.00000000
N/A
0.00000000
N/A
3400000.00000000
USD
1.00000000
3.23500000
USD
2024-01-22
XXXX
4015.23000000
N
N
N
Marathon CLO LTD
5493008SBRQGMZFP2M89
Marathon CLO IX Ltd
56577PAL3
3396885.58000000
PA
USD
3396939.93000000
0.086135038616
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
6.80500000
N
N
N
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAT7
12000000.00000000
PA
USD
11887003.08000000
0.301414652723
Long
DBT
US
N
2
2024-05-15
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YYC5
8252.82000000
PA
USD
8207.25000000
0.000208108418
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
4.50000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-42365.71000000
-0.00107425275
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
417800000.00000000
JPY
2922623.37000000
USD
2024-01-09
-42365.71000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128282N9
24800000.00000000
PA
USD
24381500.00000000
0.618233318013
Long
DBT
UST
US
N
2
2024-07-31
Fixed
2.12500000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2003-4
81743PBW5
52720.23000000
PA
USD
47831.09000000
0.001212836514
Long
ABS-MBS
CORP
US
N
2
2033-07-20
Floating
6.17200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01ZA24 IRS USD R V 12MSOFR SWUV1ZA26 CCPOIS / Short: BWU01ZA24 IRS USD P F 4.25000 SWU01ZA24 CCPOIS
000000000
3300000.00000000
OU
Notional Amount
USD
-214886.76000000
-0.00544880973
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-11-22
0.00000000
USD
0.00000000
USD
3300000.00000000
USD
-214886.76000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31295MZJ2
4335.98000000
PA
USD
4292.50000000
0.000108843447
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Floating
6.33800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DBG3
6161.38000000
PA
USD
6345.12000000
0.000160891027
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.50000000
N
N
N
N
N
N
Asset Backed Funding Certificates
N/A
ABFC 2004-OPT5 Trust
04542BJY9
1057397.01000000
PA
USD
1033871.30000000
0.026215519315
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
6.17000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BWPC0K0K9 CDS USD R V 03MEVENT 2 CCPCDX / Short: BWPC0K0K9 CDS USD P F 5.00000 1 CCPCDX
000000000
7566000.00000000
OU
Notional Amount
USD
-480312.38000000
-0.01217911598
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S36
2I65BRYP9
Y
buy protection
2026-06-20
0.00000000
USD
-120738.77000000
USD
7566000.00000000
USD
-359573.61000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L4R55
4573.55000000
PA
USD
4716.80000000
0.000119602276
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.50000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2005-1
576434D92
2227016.54000000
PA
USD
2250981.69000000
0.057077369275
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403VKB4
319.75000000
PA
USD
332.81000000
0.000008438948
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.00000000
N
N
N
N
N
N
UNITED AIR 2016-2 AA PTT
N/A
United Airlines 2016-2 Class AA Pass Through Trust
90932EAA1
3439250.80000000
PA
USD
3072902.49000000
0.077918532589
Long
DBT
CORP
US
N
2
2028-10-07
Fixed
2.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241L6G6
8132.48000000
PA
USD
8184.07000000
0.000207520650
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
5.00000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2007-HE3
073852AC9
4457266.82000000
PA
USD
6610806.43000000
0.167627947171
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.72000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DY1
12500000.00000000
PA
USD
11160520.63000000
0.282993486858
Long
DBT
NUSS
CL
N
2
2042-03-07
Fixed
4.34000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
317U391O7 PIMCO FPPSWAPTION 2.697 CALL USD
000000000
-34500000.00000000
NC
USD
-8809.58000000
-0.00022338149
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
34500000.00000000
OU
Notional Amount
N/A
-8809.58000000
0.00000000
DIR
US
N/A
N/A
2025-04-04
0.00000000
N/A
0.00000000
N/A
34500000.00000000
USD
1.00000000
2.69700000
USD
2024-04-02
XXXX
261799.80000000
N
N
N
Spirit AeroSystems Inc
ZD2NBKV6GCC3UMGBM518
Spirit AeroSystems Inc
85205TAK6
1600000.00000000
PA
USD
1415173.28000000
0.035884062607
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MGQD0
35868.23000000
PA
USD
36434.96000000
0.000923868761
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
5.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-2214.52000000
-0.00005615282
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
3525610.32000000
DKK
520044.00000000
USD
2024-01-09
-2214.52000000
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBD6
2000000.00000000
PA
USD
1963339.08000000
0.049783714448
Long
DBT
CORP
GB
N
2
2029-05-16
Fixed
4.97200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132FCAZ8
5975.39000000
PA
USD
6162.04000000
0.000156248731
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407YHH5
57951.96000000
PA
USD
56847.32000000
0.001441457960
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
6.70500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JMW45
2375.38000000
PA
USD
2371.37000000
0.000060130014
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
6.15000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-146268.29000000
-0.00370887477
N/A
DFE
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
34911141.58000000
MXN
1900483.03000000
USD
2024-01-31
-146268.29000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-4792.72000000
-0.00012152735
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
39916901501.00000000
IDR
2585459.00000000
USD
2024-03-20
-4792.72000000
N
N
N
LETRA TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Letras do Tesouro Nacional
000000000
7100000.00000000
PA
1461627.14000000
0.037061977173
Long
DBT
NUSS
BR
N
2
2024-01-01
None
0.00000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-126026.54000000
-0.00319561167
N/A
DFE
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
66072080.43000000
MXN
3747611.26000000
USD
2024-01-31
-126026.54000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RLJ3
2402414.03000000
PA
USD
2394758.26000000
0.060723062359
Long
ABS-MBS
USGA
US
N
2
2065-10-20
Floating
6.03700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01O3A9 IRS USD R V 12MSOFR SWUV1O3A1 CCPOIS / Short: BWU01O3A9 IRS USD P F 3.75000 SWU01O3A9 CCPOIS
000000000
177900000.00000000
OU
Notional Amount
USD
1695458.16000000
0.042991150003
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-21
2334959.00000000
USD
0.00000000
USD
177900000.00000000
USD
-639500.84000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402YJD7
73494.57000000
PA
USD
75683.77000000
0.001919087350
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9ZZ8
45430.16000000
PA
USD
45436.05000000
0.001152106308
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371HNM6
770.65000000
PA
USD
797.13000000
0.000020212551
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DA0
12000000.00000000
PA
USD
11485645.68000000
0.291237571038
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407JHM7
5682.97000000
PA
USD
5891.70000000
0.000149393812
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.00000000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
05530QAQ3
8300000.00000000
PA
USD
8623833.30000000
0.218671577838
Long
DBT
CORP
GB
N
2
2029-02-02
Fixed
5.93100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDH9
230377.08000000
PA
USD
239112.79000000
0.006063100856
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AQ0
2900000.00000000
PA
USD
2846993.80000000
0.072190243559
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.55000000
N
N
N
N
N
N
Apex Credit CLO LLC
N/A
JFIN CLO 2017-II Ltd
46593CAA7
5665331.92000000
PA
USD
5661473.83000000
0.143556046624
Long
ABS-CBDO
CORP
KY
N
2
2029-09-20
Floating
6.62200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292KZ75
3673.60000000
PA
USD
3788.69000000
0.000096068510
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
5.50000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAD3
10500000.00000000
PA
USD
10191195.74000000
0.258414648683
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GDV2
89539.74000000
PA
USD
91656.12000000
0.002324092741
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
6.10300000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
6864832.00000000
PA
USD
6131854.19000000
0.155483319790
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01IQW9 IRS EUR R F 1.00000 SWU01IQW9 CCPVANILLA / Short: SWU01IQW9 IRS EUR P V 06MEURIB SWUV1IQW1 CCPVANILLA
000000000
23700000.00000000
OU
Notional Amount
-1276999.13000000
-0.03238042816
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-05-13
0.00000000
EUR
0.00000000
EUR
23700000.00000000
EUR
-1275668.37000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QD3
57100000.00000000
PA
USD
59479910.30000000
1.508211648173
Long
DBT
UST
US
N
2
2039-11-15
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RMG8
11944935.47000000
PA
USD
11921612.98000000
0.302292244066
Long
ABS-MBS
USGA
US
N
2
2065-12-20
Floating
6.43700000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: SWPC0LEP1 CDS USD R F 1.00000 FIX SOVEREIGN / Short: SWPC0LEP1 CDS USD P V 03MEVENT FLO SOVEREIGN
000000000
1400000.00000000
OU
Notional Amount
USD
-7866.98000000
-0.00019948030
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Colombia Government International Bond
Colombia Government International Bond
Y
sell protection
2027-12-20
0.00000000
USD
-95184.79000000
USD
1400000.00000000
USD
87317.81000000
N
N
N
GCT Commercial Mortgage Trust
N/A
GCT Commercial Mortgage Trust 2021-GCT
36167RAA1
4000000.00000000
PA
USD
2986467.60000000
0.075726832782
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
6.27600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CA55
555.04000000
PA
USD
541.43000000
0.000013728854
Long
ABS-MBS
USGA
US
N
2
2027-01-20
Floating
3.62500000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WEU1
3000000.00000000
PA
USD
3004782.27000000
0.076191231576
Long
DBT
CORP
US
N
2
2024-11-22
Floating
6.10600000
N
N
N
N
N
N
FHLMC Structured Pass Through Securities
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
31395HHV5
290682.05000000
PA
USD
263944.62000000
0.006692753037
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Floating
6.21200000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01XDS9 IRS EUR R V 06MEURIB SWUV1XDS1 CCPVANILLA / Short: BWU01XDS9 IRS EUR P F 2.75000 SWU01XDS9 CCPVANILLA
000000000
29900000.00000000
OU
Notional Amount
-3108584.93000000
-0.07882331995
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2054-03-20
1077624.49000000
EUR
0.00000000
EUR
29900000.00000000
EUR
-4249309.66000000
N
N
N
LSI OPEN POSITION NET ASSET
N/A
LSI OPEN POSITION NET ASSET
000000000
1000611.91000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
US
N
3
2060-12-31
None
0.00000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-J1
12668BJZ7
1377850.33000000
PA
USD
960464.19000000
0.024354160450
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Long: SWPC0KE57 CDS USD R F 1.00000 FIX SOVEREIGN / Short: SWPC0KE57 CDS USD P V 03MEVENT FLO SOVEREIGN
000000000
3200000.00000000
OU
Notional Amount
USD
20655.17000000
0.000523746048
N/A
DCR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
REPUBLIC OF COLOMBIA
REPUBLIC OF COLOMBIA
Y
sell protection
2026-12-20
0.00000000
USD
-49318.58000000
USD
3200000.00000000
USD
69973.75000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BJS6
21158.13000000
PA
USD
20943.31000000
0.000531052315
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LKT49
38596146.18000000
PA
USD
38347241.95000000
0.972357838009
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Floating
5.86500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145GAN0
4900000.00000000
PA
USD
4899491.28000000
0.124234716921
Long
DBT
CORP
US
N
2
2026-08-10
Floating
6.46000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391LV69
39496.80000000
PA
USD
39346.73000000
0.000997701513
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Floating
5.48200000
N
N
N
N
N
N
BGC GROUP INC
2549001IGRCG4F0RLD36
BGC Group Inc
088929AC8
4000000.00000000
PA
USD
4175455.00000000
0.105875577748
Long
DBT
CORP
US
N
2
2028-05-25
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411UWK3
14778.16000000
PA
USD
15393.48000000
0.000390327183
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MXQ0
1473.10000000
PA
USD
1464.93000000
0.000037145726
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410RHZ5
185.04000000
PA
USD
190.84000000
0.000004839064
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DJ6
3900000.00000000
PA
USD
3668740.41000000
0.093026989996
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418RFS5
10223.43000000
PA
USD
10167.57000000
0.000257815578
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
4.50000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAM1
1100000.00000000
PA
USD
1113508.00000000
0.028234839754
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.87500000
N
N
N
N
N
N
Adagio CLO
6354009XYAVGD2ZFCM19
Adagio V CLO DAC
000000000
11000000.00000000
PA
11972994.07000000
0.303595096710
Long
ABS-CBDO
CORP
IE
N
2
2031-10-15
Floating
4.68500000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-648796.59000000
-0.01645131220
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
72595541.00000000
GBP
91888169.00000000
USD
2024-01-09
-648796.59000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MAF4
39919.05000000
PA
USD
41108.69000000
0.001042378927
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CKZ8
2294.00000000
PA
USD
2254.51000000
0.000057166835
Long
ABS-MBS
USGA
US
N
2
2029-08-20
Floating
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GDL4
18121.55000000
PA
USD
18522.92000000
0.000469679317
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
4.85700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415VQA6
269564.97000000
PA
USD
280551.40000000
0.007113845452
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NG2
8100000.00000000
PA
USD
7632445.89000000
0.193533307923
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
3.07000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P7PY3
5221.80000000
PA
USD
5129.84000000
0.000130075590
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
4.00000000
N
N
N
N
N
N
Gemgarto
635400KLHB2FIID9TE45
Gemgarto 2021-1 PLC
000000000
3434813.11000000
PA
4370151.05000000
0.110812418590
Long
ABS-MBS
CORP
GB
N
2
2067-12-16
Floating
5.81000000
N
N
N
N
N
N
CHOICE HOTELS INTL INC
5493003CYRY5RFGTIR97
Choice Hotels International Inc
169905AF3
2500000.00000000
PA
USD
2215419.13000000
0.056175621661
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404NBP0
7145.08000000
PA
USD
7295.15000000
0.000184980611
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
3.96900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312928T46
97251.93000000
PA
USD
100296.30000000
0.002543178817
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0JYY5 CDS USD R F 1.00000 FIX CORPORATE / Short: SWPC0JYY5 CDS USD P V 03MEVENT FLO CORPORATE
000000000
4700000.00000000
OU
Notional Amount
USD
80111.50000000
0.002031359779
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
GENERAL ELECTRIC CO
GENERAL ELECTRIC CO
Y
sell protection
2026-06-20
24329.51000000
USD
0.00000000
USD
4700000.00000000
USD
55781.99000000
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TBC2
6000000.00000000
PA
USD
6055704.00000000
0.153552405587
Long
DBT
NUSS
SA
N
2
2028-01-18
Fixed
4.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01E170 IRS JPY R V 06MTONA SWUV1E172 CCPOIS / Short: BWU01E170 IRS JPY P F .78500 SWU01E170 CCPOIS
000000000
870000000.00000000
OU
Notional Amount
328457.71000000
0.008328589294
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2038-11-12
0.00000000
JPY
-64908226.00000000
JPY
870000000.00000000
JPY
916926.86000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-L3
61691UBE8
800000.00000000
PA
USD
708620.72000000
0.017968252114
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.12700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KLJU2
6161.32000000
PA
USD
6354.02000000
0.000161116701
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JM7E1
12334.99000000
PA
USD
12506.53000000
0.000317123783
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
4.05200000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2006-WMC2
61749KAA1
2670016.62000000
PA
USD
2330274.09000000
0.059087959417
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
5.72000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2023-NQM2 Trust
74390KAK4
5696000.69000000
PA
USD
5709616.41000000
0.144776781483
Long
ABS-MBS
CORP
US
N
2
2068-08-25
Variable
6.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291KBJ5
469.34000000
PA
USD
465.76000000
0.000011810116
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SF6
11000000.00000000
PA
USD
8950820.34000000
0.226962875858
Long
DBT
UST
US
N
2
2049-02-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392CRC0
8947.53000000
PA
USD
9002.30000000
0.000228268227
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Floating
6.35200000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-11679.95000000
-0.00029616447
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
971334.00000000
USD
30990896.94000000
TRY
2024-04-09
-11679.95000000
N
N
N
DLLAD LLC
N/A
DLLAD 2023-1 LLC
233258AB8
5426687.37000000
PA
USD
5408284.39000000
0.137136008990
Long
ABS-O
CORP
US
N
2
2026-04-20
Fixed
5.19000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DJS0
1337.35000000
PA
USD
1377.18000000
0.000034920680
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
CK HUTCHISON INTL 23
2549003AJI1YI8883K46
CK Hutchison International 23 Ltd
12570FAA9
2700000.00000000
PA
USD
2704285.04000000
0.068571626566
Long
DBT
CORP
KY
N
2
2028-04-21
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283H6F7
9876.75000000
PA
USD
10185.35000000
0.000258266420
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31288H7A2
434.26000000
PA
USD
443.34000000
0.000011241620
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2014-7R
12648WAW2
8275145.15000000
PA
USD
7199245.53000000
0.182548795242
Long
ABS-MBS
CORP
US
N
2
2036-10-27
Variable
5.60700000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
317U4RAA6 PIMCO SWAPTION 2.7 PUT EUR 20240118
000000000
-1500000.00000000
NC
-3515.79000000
-0.00008914867
N/A
DIR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank NA
E57ODZWZ7FF32TWEFA76
Citibank NA
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
1500000.00000000
OU
Notional Amount
N/A
-3515.79000000
0.00000000
DIR
US
N/A
N/A
2034-01-22
0.00000000
N/A
0.00000000
N/A
1500000.00000000
EUR
1.00000000
2.70000000
EUR
2024-01-18
XXXX
2388.93000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UUM2
55085.37000000
PA
USD
55325.94000000
0.001402880850
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
5.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0M2L1 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0M2L1 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
1200000.00000000
OU
Notional Amount
USD
13988.40000000
0.000354699052
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Verizon Communications, Inc.
Verizon Communications, Inc.
Y
sell protection
2028-12-20
0.00000000
USD
-2822.06000000
USD
1200000.00000000
USD
16810.46000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JRN0
1174.35000000
PA
USD
1216.46000000
0.000030845358
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382YN90
7066362.17000000
PA
USD
7031267.79000000
0.178289441406
Long
ABS-MBS
USGA
US
N
2
2073-01-20
Floating
6.23800000
N
Y
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU01JI06 IRS USD R V 12MSOFR SWUV1JI08 CCPOIS / Short: BWU01JI06 IRS USD P F 1.75000 SWU01JI06 CCPOIS
000000000
62900000.00000000
OU
Notional Amount
USD
18002939.85000000
0.456494359964
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2052-12-21
11342190.78000000
USD
0.00000000
USD
62900000.00000000
USD
6660749.07000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M75R3
97503.82000000
PA
USD
100552.22000000
0.002549668092
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EE48
2227635.12000000
PA
USD
2044015.10000000
0.051829388566
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KDK95
11708.23000000
PA
USD
12016.96000000
0.000304709925
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
5.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBV1
1500000.00000000
PA
USD
1469391.05000000
0.037258843971
Long
DBT
CORP
US
N
2
2033-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DKG6
44816.16000000
PA
USD
43885.67000000
0.001112793855
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622AADC5
1563443.16000000
PA
USD
1537368.71000000
0.038982530139
Long
ABS-MBS
USGA
US
N
2
2048-04-15
Fixed
5.00000000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAD6
6700000.00000000
PA
USD
7058128.87000000
0.178970548582
Long
DBT
CORP
IE
N
2
2029-09-13
Fixed
6.60800000
N
N
N
N
N
N
WRKCo Inc
549300JEB576INN13W07
WRKCo Inc
92940PAB0
14700000.00000000
PA
USD
14598616.75000000
0.370172108843
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
4.65000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-2535.88000000
-0.00006430143
N/A
DFE
CA
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1128658.61000000
USD
1492000.00000000
CAD
2024-01-09
-2535.88000000
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAJ6
7500000.00000000
PA
USD
7762758.53000000
0.196837600760
Long
DBT
CORP
GB
N
2
2027-10-18
Fixed
6.55700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EQ86
16328915.62000000
PA
USD
16154338.12000000
0.409620001076
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-560822.12000000
-0.01422057379
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
346343492.58000000
MXN
19744414.77000000
USD
2024-01-31
-560822.12000000
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ACA3
13500000.00000000
PA
USD
11800462.46000000
0.299220271957
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
2.10000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CSE4
370509.31000000
PA
USD
373415.99000000
0.009468580952
Long
ABS-O
USGA
US
N
2
2028-12-01
Fixed
6.22000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7B88
15396.08000000
PA
USD
15877.58000000
0.000402602340
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
5.50000000
N
N
N
N
N
N
CAIXABANK SA
7CUNS533WID6K7DGFI87
CaixaBank SA
12803RAB0
6300000.00000000
PA
USD
6457975.08000000
0.163752655142
Long
DBT
CORP
ES
N
2
2027-09-13
Fixed
6.68400000
N
N
N
N
N
N
Toro European CLO
635400B4VLIGNRNR9O61
Toro European CLO 7 DAC
000000000
15000000.00000000
PA
16258784.68000000
0.412268416610
Long
ABS-CBDO
CORP
IE
N
2
2034-02-15
Floating
4.81200000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
1500000.00000000
PA
USD
1517100.00000000
0.038468583424
Long
DBT
NUSS
QA
Y
2
2048-04-23
Fixed
5.10300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128NHK36
43731.95000000
PA
USD
44146.49000000
0.001119407378
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
5.58500000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
317U4NMA2 PIMCO SWAPTION 2.59 CALL EUR 2024010
000000000
-2400000.00000000
NC
-27721.70000000
-0.00070292962
N/A
DIR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank NA
E57ODZWZ7FF32TWEFA76
Citibank NA
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
2400000.00000000
OU
Notional Amount
N/A
-27721.70000000
0.00000000
DIR
US
N/A
N/A
2034-01-09
0.00000000
N/A
0.00000000
N/A
2400000.00000000
EUR
1.00000000
2.59000000
EUR
2024-01-05
XXXX
-18855.15000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01KR29 IRS EUR R F .55000 SWU01KR29 CCPVANILLA / Short: SWU01KR29 IRS EUR P V 06MEURIB SWUV1KR21 CCPVANILLA
000000000
5000000.00000000
OU
Notional Amount
-108269.36000000
-0.00274534896
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-08-10
0.00000000
EUR
0.00000000
EUR
5000000.00000000
EUR
-108269.36000000
N
N
N
BMW Vehicle Lease Trust
N/A
BMW Vehicle Lease Trust 2023-2
055979AB4
7500000.00000000
PA
USD
7521249.75000000
0.190713745608
Long
ABS-O
CORP
US
N
2
2025-08-25
Fixed
5.95000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F052615
124000000.00000000
PA
USD
124523125.00000000
3.157490094465
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWEG4
6551705.12000000
PA
USD
5793473.01000000
0.146903104476
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
3.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HM2
2700000.00000000
PA
USD
2615594.09000000
0.066322720621
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406ABY7
36618.04000000
PA
USD
37707.54000000
0.000956137135
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWD67
6588140.35000000
PA
USD
5828606.36000000
0.147793968760
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
3.00000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2006-6
073868AV3
1481425.45000000
PA
USD
810626.23000000
0.020554770782
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
4.22800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410UK68
13860.17000000
PA
USD
13881.98000000
0.000352000597
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Floating
7.23000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
313920ZH6
26599.00000000
PA
USD
26607.71000000
0.000674682560
Long
ABS-MBS
USGSE
US
N
2
2031-09-18
Floating
5.85300000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01ZG51 IRS CAD R V 06MCORRA SWUV1ZG53 CCPOIS / Short: BWU01ZG51 IRS CAD P F 3.50000 SWU01ZG51 CCPOIS
000000000
31900000.00000000
OU
Notional Amount
-870572.32000000
-0.02207480318
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-06-01
0.00000000
CAD
-166165.68000000
CAD
31900000.00000000
CAD
-746211.22000000
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust
92922FH84
3643881.81000000
PA
USD
3494751.21000000
0.088615205635
Long
ABS-MBS
CORP
US
N
2
2045-02-25
Floating
5.97000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RH3
116300000.00000000
PA
USD
98477933.30000000
2.497071117659
Long
DBT
UST
US
N
2
2044-08-15
Fixed
3.12500000
N
N
N
N
N
N
MidOcean Credit CLO
549300EKSLXKVD2RWW61
MidOcean Credit CLO II
59863KAS6
3739909.04000000
PA
USD
3737545.42000000
0.094771654993
Long
ABS-CBDO
CORP
KY
N
2
2030-01-29
Floating
6.68200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBRJ9
278339.72000000
PA
USD
272573.55000000
0.006911553851
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410QD40
3646.48000000
PA
USD
3787.57000000
0.000096040111
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.00000000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2005-AR5
86359LPF0
137292.48000000
PA
USD
123726.54000000
0.003137291362
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
5.97000000
N
N
N
N
N
N
Towd Point Mortgage Funding
N/A
Towd Point Mortgage Funding
000000000
7179864.00000000
PA
9156756.64000000
0.232184731857
Long
ABS-MBS
CORP
GB
N
2
2045-07-20
Floating
6.57100000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAE6
1675000.00000000
PA
USD
1640474.78000000
0.041596955329
Long
DBT
CORP
US
N
2
2025-05-22
Fixed
3.75000000
N
N
N
N
N
N
KOREA DEVELOPMENT BANK
549300ML2LNRZUCS7149
Korea Development Bank/The
500630DY1
1700000.00000000
PA
USD
1701326.00000000
0.043139938806
Long
DBT
NUSS
KR
N
2
2026-10-23
Floating
6.07200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5ZZ6
2559.11000000
PA
USD
2639.11000000
0.000066919005
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAC7
12800000.00000000
PA
USD
11941581.82000000
0.302798587080
Long
DBT
CORP
GB
N
2
2029-07-26
Fixed
3.87500000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
420338.68000000
0.010658383480
N/A
DFE
AU
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
12686853.49000000
USD
19230518.00000000
AUD
2024-01-09
420338.68000000
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AQ4
7000000.00000000
PA
USD
5788134.17000000
0.146767729345
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402YGE8
5538.06000000
PA
USD
5627.43000000
0.000142692808
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01J5I1 IRS NZD R F 4.00000 SWU01J5I1 CCPVANILLA / Short: SWU01J5I1 IRS NZD P V 03MNZDBB SWUV1J5I3 CCPVANILLA
000000000
112100000.00000000
OU
Notional Amount
-501667.63000000
-0.01272061372
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-06-14
0.00000000
NZD
-145371.91000000
NZD
112100000.00000000
NZD
-402519.44000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416PFG7
369.65000000
PA
USD
367.60000000
0.000009321106
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0I0F5 CDS EUR R F 1.00000 1 CCPCORPORATE / Short: SWPC0I0F5 CDS EUR P V 03MEVENT 2 CCPCORPORATE
000000000
6200000.00000000
OU
Notional Amount
25742.13000000
0.000652734345
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ROLLS-ROYCE PLC
ROLLS-ROYCE PLC
Y
sell protection
2024-06-20
0.00000000
EUR
-47540.68000000
EUR
6200000.00000000
EUR
110336.10000000
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAH6
3000000.00000000
PA
USD
2799066.72000000
0.070974973059
Long
DBT
CORP
GB
N
2
2025-09-02
Fixed
1.20000000
N
N
N
N
N
N
Galaxy CLO Ltd
549300BW4412X0TZDD77
Galaxy XXI CLO Ltd
36320WAL0
3211746.62000000
PA
USD
3211386.90000000
0.081430034190
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.69700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01X8F3 IRS USD R V 12MSOFR SWUV1X8F5 CCPOIS / Short: BWU01X8F3 IRS USD P F 5.38800 SWU01X8F3 CCPOIS
000000000
69500000.00000000
OU
Notional Amount
USD
-219265.55000000
-0.00555984121
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-10-18
0.00000000
USD
0.00000000
USD
69500000.00000000
USD
-219265.55000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382Y3J0
8038498.47000000
PA
USD
7987147.74000000
0.202527360858
Long
ABS-MBS
USGA
US
N
2
2073-03-20
Floating
6.21800000
N
Y
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBW4
2700000.00000000
PA
USD
2772119.75000000
0.070291688000
Long
DBT
CORP
CA
N
2
2026-11-15
Fixed
5.90000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2006-14
23243LAA0
2167256.53000000
PA
USD
2023694.64000000
0.051314129644
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
5.75000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-26849.43000000
-0.00068081177
N/A
DFE
BR
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
5929889.75000000
USD
28912363.45000000
BRL
2024-04-02
-26849.43000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01ZW79 IRS USD R V 12MSOFR SWUV1ZW71 CCPOIS / Short: BWU01ZW79 IRS USD P F 3.95000 SWU01ZW79 CCPOIS
000000000
3500000.00000000
OU
Notional Amount
USD
-141563.80000000
-0.00358958463
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-12-19
0.00000000
USD
0.00000000
USD
3500000.00000000
USD
-141563.80000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCK0
4500000.00000000
PA
USD
4394777.27000000
0.111436857189
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
0.96900000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Long: SWPC0KVK5 CDS USD R F 1.00000 FIX SOVEREIGN / Short: SWPC0KVK5 CDS USD P V 03MEVENT FLO SOVEREIGN
000000000
1300000.00000000
OU
Notional Amount
USD
438.80000000
0.000011126500
N/A
DCR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
REPUBLIC OF COLOMBIA
REPUBLIC OF COLOMBIA
Y
sell protection
2027-06-20
0.00000000
USD
-33289.27000000
USD
1300000.00000000
USD
33728.07000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AKJ7
2830.32000000
PA
USD
2762.71000000
0.000070053088
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
4.00000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
4400000.00000000
PA
5601674.38000000
0.142039732517
Long
DBT
CORP
GB
Y
2
2024-01-17
Fixed
3.12500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-2902.68000000
-0.00007360225
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
4670728.69000000
DKK
688985.43000000
USD
2024-01-09
-2902.68000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A8WX0
10269.17000000
PA
USD
10131.51000000
0.000256901217
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
4.00000000
N
N
N
N
N
N
Home Equity Loan Trust
N/A
Home Equity Loan Trust
43710XAD0
5196020.45000000
PA
USD
5007307.74000000
0.126968581851
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
5.70000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SWU01ZGB8 IRS MXN R F 8.94500 SWU01ZGB8 CCPVANILLA / Short: SWU01ZGB8 IRS MXN P V 01MTIIE SWUV1ZGB0 CCPVANILLA
000000000
109000000.00000000
OU
Notional Amount
96253.53000000
0.002440667687
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-11-22
0.00000000
MXN
0.00000000
MXN
109000000.00000000
MXN
96253.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390STH4
92163.74000000
PA
USD
89336.43000000
0.002265273159
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Floating
6.12900000
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J6B8
3100000.00000000
PA
USD
3131357.74000000
0.079400762278
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
5.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XDR85
160147.55000000
PA
USD
154496.92000000
0.003917525315
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QU5
15800000.00000000
PA
USD
13693539.10000000
0.347222365857
Long
DBT
UST
US
N
2
2042-02-15
Fixed
3.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414AWK4
2584.34000000
PA
USD
2661.48000000
0.000067486233
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.50000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
22540VK43
20649.71000000
PA
USD
19118.99000000
0.000484793660
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Variable
6.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407JEZ1
5837.37000000
PA
USD
6097.15000000
0.000154603337
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418SSR1
9904.15000000
PA
USD
10055.69000000
0.000254978676
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
CONSUMERS 23 SECURE FUND
N/A
Consumers 2023 Securitization Funding LLC
21071BAB1
7700000.00000000
PA
USD
7874942.61000000
0.199682213930
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
5.21000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31349UEJ3
17093.52000000
PA
USD
17477.46000000
0.000443169947
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
6.37500000
N
N
N
N
N
N
New York State Urban Development Corp
54930039Y2EMGXN6LM88
NEW YORK ST URBAN DEV CORP REVENUE
650036AU0
8100000.00000000
PA
USD
7531461.81000000
0.190972689305
Long
DBT
MUN
US
N
2
2026-03-15
Fixed
1.34600000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2004-AR3
23332UBF0
154706.28000000
PA
USD
141211.03000000
0.003580639567
Long
ABS-MBS
CORP
US
N
2
2044-07-19
Variable
6.04600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5NM8
19586.46000000
PA
USD
20198.80000000
0.000512174031
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.50000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust 2022-2
33844XAE8
11000000.00000000
PA
USD
10896974.00000000
0.276310825516
Long
ABS-O
CORP
US
N
2
2026-12-15
Fixed
4.03000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YMK0
18416.82000000
PA
USD
18040.27000000
0.000457440927
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01E1J4 IRS JPY R F .38000 SWU01E1J4 CCPOIS / Short: SWU01E1J4 IRS JPY P V 06MTONA SWUV1E1J6 CCPOIS
000000000
8640000000.00000000
OU
Notional Amount
-280058.55000000
-0.00710134842
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-06-18
163411623.00000000
JPY
0.00000000
JPY
8640000000.00000000
JPY
-1837046.78000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
317U4NJA6 PIMCO SWAPTION 4.12 PUT USD 20240104
000000000
-3500000.00000000
NC
USD
-0.11000000
-0.00000000278
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
3500000.00000000
OU
Notional Amount
N/A
-0.11000000
0.00000000
DIR
US
N/A
N/A
2034-01-08
0.00000000
N/A
0.00000000
N/A
3500000.00000000
USD
1.00000000
4.12000000
USD
2024-01-04
XXXX
16449.89000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
33062.33000000
0.000838350141
N/A
DFE
JP
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1626848.98000000
USD
233900000.00000000
JPY
2024-01-09
33062.33000000
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBQ4
5000000.00000000
PA
USD
5087127.70000000
0.128992549151
Long
DBT
CORP
FR
N
2
2027-01-12
Fixed
6.44700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XAS6
5067.06000000
PA
USD
5242.49000000
0.000132932017
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8Y24
26148.91000000
PA
USD
26966.70000000
0.000683785346
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412RBR7
130430.40000000
PA
USD
134323.80000000
0.003406002442
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Strip Coupon
912834LB2
21300000.00000000
PA
USD
9626609.55000000
0.244098630655
Long
DBT
UST
US
N
2
2042-02-15
None
0.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01Z959 IRS USD R F 3.65000 SWU01Z959 CCPOIS / Short: SWU01Z959 IRS USD P V 12MSOFR SWUV1Z951 CCPOIS
000000000
15600000.00000000
OU
Notional Amount
USD
-167600.16000000
-0.00424977966
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-22
0.00000000
USD
0.00000000
USD
15600000.00000000
USD
-167600.16000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617LC4N5
1905158.69000000
PA
USD
1700361.83000000
0.043115490678
Long
ABS-MBS
USGA
US
N
2
2049-11-15
Fixed
3.00000000
N
N
N
N
N
N
Venture CDO Ltd
549300JZGSLL2771YV05
Venture XXVII CLO Ltd
92331LBC3
12055476.17000000
PA
USD
12029098.79000000
0.305017724818
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.72700000
N
N
N
N
N
N
Realty Income Corp
549300CUWDAUZSH43859
Realty Income Corp
756109AV6
10700000.00000000
PA
USD
10520627.88000000
0.266767946264
Long
DBT
US
N
2
2025-04-15
Fixed
3.87500000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759BB5
3800000.00000000
PA
USD
3870868.37000000
0.098152279227
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
4.87500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01OT37 IRS CAD R F 4.00000 SWU01OT37 CCPOIS / Short: SWU01OT37 IRS CAD P V 06MCORRA SWUV1OT39 CCPOIS
000000000
270000000.00000000
OU
Notional Amount
-444433.80000000
-0.01126935515
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-21
0.00000000
CAD
-3013552.75000000
CAD
270000000.00000000
CAD
1850232.33000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397C35
1200000.00000000
PA
USD
1265458.58000000
0.032087798401
Long
DBT
CORP
US
N
2
2027-11-04
Fixed
7.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417VY64
4022.26000000
PA
USD
4016.25000000
0.000101838671
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
PRKCM Trust
N/A
PRKCM 2022-AFC2 Trust
69377TAA4
6809883.98000000
PA
USD
6705778.56000000
0.170036122839
Long
ABS-MBS
CORP
US
N
2
2057-08-25
Variable
5.33500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401V5J6
3894.84000000
PA
USD
4010.76000000
0.000101699463
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
TCW CLO
N/A
TCW CLO 2018-1 Ltd
87240UAR1
11118631.43000000
PA
USD
11107490.56000000
0.281648821594
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
6.61000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5B33
22717.52000000
PA
USD
23428.60000000
0.000594070960
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RHT9
53442.50000000
PA
USD
51783.46000000
0.001313055402
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Floating
6.12900000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-305387.98000000
-0.00774361807
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
36000000.00000000
BRL
7105679.21000000
USD
2024-01-03
-305387.98000000
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
Nomura Holdings Inc
65535HAY5
500000.00000000
PA
USD
439244.69000000
0.011137776679
Long
DBT
CORP
JP
N
2
2028-07-14
Fixed
2.17200000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2006-HE1
07387UBT7
711694.39000000
PA
USD
706868.46000000
0.017923820660
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
4.86400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406BQQ6
15890.42000000
PA
USD
16149.81000000
0.000409505183
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Floating
3.87800000
N
N
N
N
N
N
COLUMBIA PIPELINES OPCO
N/A
Columbia Pipelines Operating Co LLC
19828TAA4
3000000.00000000
PA
USD
3102043.89000000
0.078657461056
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
5.92700000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06368D8Z0
8950000.00000000
PA
USD
9001451.40000000
0.228246710250
Long
DBT
CORP
CA
N
2
2028-06-28
Fixed
4.68900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6NA2
5003.04000000
PA
USD
5159.43000000
0.000130825893
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SP4
39500000.00000000
PA
USD
22010449.12000000
0.558111395543
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05571AAR6
7500000.00000000
PA
USD
7896780.45000000
0.200235948535
Long
DBT
CORP
FR
N
2
2029-10-19
Fixed
6.71400000
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
Nomura Holdings Inc
65535HAS8
9600000.00000000
PA
USD
8181352.80000000
0.207451751835
Long
DBT
CORP
JP
N
2
2030-07-16
Fixed
2.67900000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
Long: SWPC0KXJ6 CDS USD R F 1.00000 FIX SOVEREIGN / Short: SWPC0KXJ6 CDS USD P V 03MEVENT FLO SOVEREIGN
000000000
400000.00000000
OU
Notional Amount
USD
135.02000000
0.000003423655
N/A
DCR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
REPUBLIC OF COLOMBIA
REPUBLIC OF COLOMBIA
Y
sell protection
2027-06-20
0.00000000
USD
-9593.56000000
USD
400000.00000000
USD
9728.58000000
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
317U4PMA7 PIMCO SWAPTION 2.89 PUT EUR 20240112
000000000
-2400000.00000000
NC
-542.59000000
-0.00001375826
N/A
DIR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
2400000.00000000
OU
Notional Amount
N/A
-542.59000000
0.00000000
DIR
US
N/A
N/A
2034-01-16
0.00000000
N/A
0.00000000
N/A
2400000.00000000
EUR
1.00000000
2.89000000
EUR
2024-01-12
XXXX
9012.76000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6RH3
21029.61000000
PA
USD
21687.28000000
0.000549916907
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
5.50000000
N
N
N
N
N
N
7-ELEVEN INC
549300K23JPL0SS3LB18
7-Eleven Inc
817826AE0
9600000.00000000
PA
USD
7802229.98000000
0.197838464755
Long
DBT
CORP
US
N
2
2031-02-10
Fixed
1.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371L5Q8
307.58000000
PA
USD
303.39000000
0.000007692955
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F060626
31900000.00000000
PA
USD
32389714.76000000
0.821294868059
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297D6G8
12831.62000000
PA
USD
13231.84000000
0.000335515220
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
174883.07000000
0.004434449916
N/A
DFE
TW
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
5036004.00000000
USD
158462902.00000000
TWD
2024-03-20
174883.07000000
N
N
N
Deutsche Bank Securities, Inc.
9J6MBOOO7BECTDTUZW19
REVERSE REPO DEUTSCHE
000000000
-117492375.00000000
PA
USD
-117492375.00000000
-2.97921378248
Short
RA
CORP
US
N
2
Reverse repurchase
N
5.50000000
2024-01-11
124300000.00000000
USD
117235190.00000000
USD
UST
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CE28
1224.05000000
PA
USD
1217.42000000
0.000030869700
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.50000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
22535WAH0
4000000.00000000
PA
USD
3682678.76000000
0.093380419948
Long
DBT
CORP
FR
N
2
2027-01-26
Fixed
1.24700000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CT4
1400000.00000000
PA
USD
1168736.09000000
0.029635239456
Long
DBT
CORP
GB
N
2
2032-05-24
Fixed
2.80400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410G4B6
127032.85000000
PA
USD
132635.74000000
0.003363198885
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A7VK4
14365.74000000
PA
USD
14090.62000000
0.000357291009
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CKU7
160838.67000000
PA
USD
156470.66000000
0.003967572762
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
3.50000000
N
N
N
N
N
N
Elmwood CLO VII Ltd.
N/A
Elmwood CLO VII Ltd
29002QAJ8
5000000.00000000
PA
USD
5000745.00000000
0.126802172708
Long
ABS-CBDO
CORP
KY
N
2
2034-01-17
Floating
7.05400000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
780082AQ6
1300000.00000000
PA
USD
1309598.93000000
0.033207050089
Long
DBT
CORP
CA
N
2
2026-12-14
Fixed
4.85100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5VU1
518.16000000
PA
USD
534.36000000
0.000013549582
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EK2C8
266.36000000
PA
USD
264.88000000
0.000006716471
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
4.50000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2005-4
36242DZQ9
45084.44000000
PA
USD
44637.63000000
0.001131861046
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.13000000
N
N
N
N
N
N
Banco Espirito Santo SA
635400JV7IJL16OWIT96
Banco Espirito Santo SA
000000000
1700000.00000000
PA
487945.97000000
0.012372678302
Long
DBT
CORP
PT
Y
2
2017-05-08
None
0.00000000
Y
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CEZ0
18108045.00000000
PA
USD
16540285.59000000
0.419406338461
Long
DBT
UST
US
N
2
2032-07-15
Fixed
0.62500000
N
N
N
N
N
N
1211 Avenue of the Americas Trust
N/A
1211 Avenue of the Americas Trust 2015-1211
90117PAA3
12100000.00000000
PA
USD
11604866.79000000
0.294260619760
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Fixed
3.90100000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
243641.10000000
0.006177923657
N/A
DFE
CA
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
9104988.99000000
USD
12386000.00000000
CAD
2024-01-09
243641.10000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2017-GPTX
36257CAA5
8623773.15000000
PA
USD
6043540.22000000
0.153243972797
Long
ABS-MBS
CORP
US
N
2
2034-05-10
Fixed
2.85600000
N
N
N
N
N
N
Liberty Street Trust
N/A
225 Liberty Street Trust 2016-225L
902055AA0
11600000.00000000
PA
USD
10609986.40000000
0.269033779552
Long
ABS-MBS
CORP
US
N
2
2036-02-10
Fixed
3.59700000
N
N
N
N
N
N
Park Place Securities Inc
N/A
Park Place Securities Inc Series 2005-WCW1
70069FKG1
4101369.43000000
PA
USD
3999269.12000000
0.101408092926
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
6.20500000
N
N
N
N
N
N
Ally Auto Receivables Trust
N/A
Ally Auto Receivables Trust 2023-1
02007WAB4
7800000.00000000
PA
USD
7810162.62000000
0.198039609982
Long
ABS-O
CORP
US
N
2
2026-11-15
Fixed
5.76000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAZ4
12500000.00000000
PA
USD
11689369.63000000
0.296403329239
Long
DBT
US
N
2
2027-03-15
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406XDV1
14.62000000
PA
USD
14.86000000
0.000000376799
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CEE2
1981.73000000
PA
USD
1933.33000000
0.000049022784
Long
ABS-MBS
USGA
US
N
2
2027-11-20
Floating
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QSYM7
399999.95000000
PA
USD
401802.42000000
0.010188365904
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417SX39
1292.84000000
PA
USD
1285.67000000
0.000032600292
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
4.50000000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-8
007036QH2
121433.23000000
PA
USD
84396.81000000
0.002140020912
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
4.51500000
N
N
N
N
N
N
ReadyCap Commercial Mortgage Trust
N/A
Ready Capital Mortgage Financing 2023-FL11 LLC
75575RAA5
1355782.28000000
PA
USD
1356837.08000000
0.034404851628
Long
ABS-CBDO
CORP
US
N
2
2039-10-25
Floating
7.73000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KTH9
2199.65000000
PA
USD
2297.33000000
0.000058252607
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
6.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SG4
2689940.00000000
PA
USD
2163309.25000000
0.054854289338
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CMM5
2546.17000000
PA
USD
2490.86000000
0.000063159881
Long
ABS-MBS
USGA
US
N
2
2030-01-20
Floating
3.62500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
74.66000000
0.000001893127
N/A
DFE
TR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
40748.25000000
USD
1203000.00000000
TRY
2024-01-02
74.66000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CPA8
2403.72000000
PA
USD
2364.73000000
0.000059961646
Long
ABS-MBS
USGA
US
N
2
2030-06-20
Floating
3.87500000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
45685NAA4
6800000.00000000
PA
USD
6752973.44000000
0.171232827195
Long
DBT
CORP
NL
N
2
2026-01-06
Fixed
4.62500000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GXQ6
53445.52000000
PA
USD
52688.43000000
0.001336002415
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
5.97200000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-7
07386HVS7
365663.21000000
PA
USD
214709.79000000
0.005444322370
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.73000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01W3R4 IRS USD R V 12MSOFR SWUV1W3R6 CCPOIS / Short: BWU01W3R4 IRS USD P F 4.60000 SWU01W3R4 CCPOIS
000000000
25500000.00000000
OU
Notional Amount
USD
-84907.35000000
-0.00215296649
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-17
0.00000000
USD
-2586.72000000
USD
25500000.00000000
USD
-82320.63000000
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2019-1735 Mortgage Trust
23307EAA9
12550000.00000000
PA
USD
10716982.14000000
0.271746833767
Long
ABS-MBS
CORP
US
N
2
2037-04-10
Fixed
3.84300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DPM8
4011673.81000000
PA
USD
3840060.02000000
0.097371082482
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DP79
98969.68000000
PA
USD
101917.26000000
0.002584280943
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MWY4
1572.75000000
PA
USD
1595.22000000
0.000040449445
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417KN94
48771.85000000
PA
USD
47927.57000000
0.001215282924
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F2H7
317.73000000
PA
USD
327.20000000
0.000008296697
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
5304.59000000
0.000134506665
N/A
DFE
BR
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
654000.00000000
USD
3202638.00000000
BRL
2024-01-03
5304.59000000
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR4
45661EAV6
3075933.47000000
PA
USD
2681644.94000000
0.067997549330
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
5.89000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042624
102000000.00000000
PA
USD
98936015.88000000
2.508686560242
Long
ABS-MBS
USGSE
US
N
2
2054-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406BEZ9
8148.60000000
PA
USD
8157.91000000
0.000206857320
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Floating
4.69500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RB6
83700000.00000000
PA
USD
68709199.43000000
1.742235561457
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.87500000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-128.10000000
-0.00000324818
N/A
DFE
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
74611.18000000
MXN
4246.16000000
USD
2024-01-31
-128.10000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AN52
10035.31000000
PA
USD
10022.37000000
0.000254133792
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
317U4PCA8 PIMCO SWAPTION 3.455 CALL USD 202401
000000000
-3500000.00000000
NC
USD
-18688.39000000
-0.00047387508
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
3500000.00000000
OU
Notional Amount
N/A
-18688.39000000
0.00000000
DIR
US
N/A
N/A
2034-01-10
0.00000000
N/A
0.00000000
N/A
3500000.00000000
USD
1.00000000
3.45500000
USD
2024-01-08
XXXX
-1713.39000000
N
N
N
DOLP Trust
N/A
DOLP Trust 2021-NYC
23345LAA7
13200000.00000000
PA
USD
10867252.44000000
0.275557186131
Long
ABS-MBS
CORP
US
N
2
2041-05-10
Fixed
2.95600000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
317U4P0A1 PIMCO SWAPTION 3.994 PUT USD 2024010
000000000
-1700000.00000000
NC
USD
-29.21000000
-0.00000074066
N/A
DIR
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Put
Written
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
IRS Swap
N/A
1700000.00000000
OU
Notional Amount
N/A
-29.21000000
0.00000000
DIR
US
N/A
N/A
2034-01-10
0.00000000
N/A
0.00000000
N/A
1700000.00000000
USD
1.00000000
3.99400000
USD
2024-01-08
XXXX
7769.54000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QLPS4
33386.94000000
PA
USD
33730.09000000
0.000855282302
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
6.26900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292JBM1
5758.32000000
PA
USD
5780.28000000
0.000146568573
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405DH59
5809.12000000
PA
USD
5981.87000000
0.000151680222
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit AS
000000000
1.91000000
PA
0.22000000
0.000000005578
Long
DBT
CORP
DK
Y
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
FRESENIUS MED CARE III
5299006ZHLMXOOUVTU44
Fresenius Medical Care US Finance III Inc
35805BAC2
12100000.00000000
PA
USD
10930724.24000000
0.277166618755
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
1.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CCW4
955.06000000
PA
USD
948.60000000
0.000024053324
Long
ABS-MBS
USGA
US
N
2
2027-06-20
Floating
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QPXK8
6591686.74000000
PA
USD
5832791.58000000
0.147900091946
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418UC69
3526.15000000
PA
USD
3506.58000000
0.000088915144
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
10 RENEW POWER SUBSIDIAR
N/A
ReNew Wind Energy AP2 / ReNew Power Pvt Ltd other 9 Subsidiaries
75973PAA7
13100000.00000000
PA
USD
11642630.90000000
0.295218191322
Long
DBT
CORP
IN
N
2
2028-07-14
Fixed
4.50000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust Series 2006-A1
16163CAN2
843015.24000000
PA
USD
686507.18000000
0.017407526679
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
4.37100000
N
N
N
N
N
N
GOODMAN US FIN THREE
N/A
Goodman US Finance Three LLC
38239JAA9
10800000.00000000
PA
USD
10046739.31000000
0.254751716622
Long
DBT
US
N
2
2028-03-15
Fixed
3.70000000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT MAR24
000000000
348.00000000
NC
1040444.81000000
0.026382201550
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Montreal Exchange 10 Year Canadian Bond Futures
CNH4 Comdty
2024-03-19
41835998.60000000
CAD
1040444.81000000
N
N
N
VOLKSWAGEN BANK GMBH
529900GJD3OQLRZCKW37
Volkswagen Bank GmbH
000000000
2000000.00000000
PA
2150216.71000000
0.054522306300
Long
DBT
CORP
DE
Y
2
2026-07-31
Fixed
2.50000000
N
N
N
N
N
N
Deutsche Bank Securities, Inc.
9J6MBOOO7BECTDTUZW19
Deutsche Bank Securities, Inc.
000000000
-22351875.00000000
PA
USD
-22351875.00000000
-0.56676881426
Short
RA
CORP
US
N
2
Reverse repurchase
N
5.50000000
2024-01-04
24000000.00000000
USD
24996685.00000000
USD
UST
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
168000000.00000000
PA
9627673.28000000
0.244125603291
Long
DBT
NUSS
MX
N
2
2029-03-01
Fixed
8.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B7VG0
1607783.76000000
PA
USD
1473959.06000000
0.037374673431
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382YNR0
3959782.95000000
PA
USD
3828002.96000000
0.097065355754
Long
ABS-MBS
USGA
US
N
2
2072-01-20
Floating
5.83800000
N
Y
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CU38
3712.93000000
PA
USD
3664.80000000
0.000092927074
Long
ABS-MBS
USGA
US
N
2
2032-05-20
Floating
3.87500000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAG0
3000000.00000000
PA
USD
2943455.31000000
0.074636184924
Long
DBT
CORP
IE
N
2
2025-10-01
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JPME2
5027529.70000000
PA
USD
4923383.17000000
0.124840535366
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
3.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MBD6
4900000.00000000
PA
USD
5004556.05000000
0.126898808193
Long
DBT
CORP
IE
N
2
2027-01-15
Fixed
6.10000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAS0
12400000.00000000
PA
USD
11896113.85000000
0.301645671388
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RZX7
4269028.92000000
PA
USD
4249116.03000000
0.107743375175
Long
ABS-MBS
USGA
US
N
2
2066-09-20
Floating
6.28700000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
317U4PBA9 PIMCO SWAPTION 3.955 PUT USD 2024010
000000000
-3500000.00000000
NC
USD
-107.87000000
-0.00000273522
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
3500000.00000000
OU
Notional Amount
N/A
-107.87000000
0.00000000
DIR
US
N/A
N/A
2034-01-10
0.00000000
N/A
0.00000000
N/A
3500000.00000000
USD
1.00000000
3.95500000
USD
2024-01-08
XXXX
16867.13000000
N
N
N
Citimortgage Alternative Loan Trust
N/A
CitiMortgage Alternative Loan Trust Series 2006-A5
18974BAE9
3669712.95000000
PA
USD
3032093.72000000
0.076883758630
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GPF4
68501.07000000
PA
USD
70543.80000000
0.001788754897
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DDA7
249189.59000000
PA
USD
244026.30000000
0.006187691041
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297USC5
8271.15000000
PA
USD
8529.60000000
0.000216282136
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412PPU9
23192.08000000
PA
USD
23154.98000000
0.000587132871
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WEN7
11700000.00000000
PA
USD
11707423.07000000
0.296861104114
Long
DBT
CORP
US
N
2
2024-06-07
Floating
5.97100000
N
N
N
N
N
N
Bear Stearns Structured Products Inc.
N/A
Bear Stearns Structured Products Inc Trust 2007-R6
07402FAA3
294860.35000000
PA
USD
210866.58000000
0.005346871415
Long
ABS-MBS
CORP
US
N
2
2036-01-26
Variable
4.80500000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAG0
9000000.00000000
PA
USD
9043700.22000000
0.229317999062
Long
DBT
CORP
US
N
2
2027-06-30
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31349ULB2
14068.20000000
PA
USD
14383.22000000
0.000364710367
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
4.63700000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CDX6
18313845.00000000
PA
USD
16082152.63000000
0.407789618409
Long
DBT
UST
US
N
2
2032-01-15
Fixed
0.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414LB98
3684.49000000
PA
USD
3794.41000000
0.000096213550
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHY8
5900000.00000000
PA
USD
5669405.58000000
0.143757169283
Long
DBT
CORP
US
N
2
2026-02-13
Fixed
2.01500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU01Z9R1 IRS EUR R V 06MEURIB SWUV1Z9R3 CCPVANILLA / Short: BWU01Z9R1 IRS EUR P F 3.25500 SWU01Z9R1 CCPVANILLA
000000000
1800000.00000000
OU
Notional Amount
-72827.99000000
-0.00184667431
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-11-22
0.00000000
EUR
0.00000000
EUR
1800000.00000000
EUR
-72827.99000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01I7B6 IRS USD R F 1.78250 SWU01I7B6 CCPOIS / Short: SWU01I7B6 IRS USD P V 12MSOFR SWUV1I7B8 CCPOIS
000000000
22900000.00000000
OU
Notional Amount
USD
-1360060.77000000
-0.03448659362
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-04-22
0.00000000
USD
0.00000000
USD
22900000.00000000
USD
-1360060.77000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01I841 IRS NZD R F 3.75000 SWU01I841 CCPVANILLA / Short: SWU01I841 IRS NZD P V 03MNZDBB SWUV1I843 CCPVANILLA
000000000
41800000.00000000
OU
Notional Amount
-417217.06000000
-0.01057922963
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-06-15
0.00000000
NZD
-644529.96000000
NZD
41800000.00000000
NZD
-4689.49000000
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2018-1 Trust
67112FAD2
4924844.88000000
PA
USD
4687447.16000000
0.118857987028
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Floating
6.12000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
Long: SWPC0KL26 CDS USD R F 1.00000 FIX CORPORATE / Short: SWPC0KL26 CDS USD P V 03MEVENT FLO CORPORATE
000000000
3100000.00000000
OU
Notional Amount
USD
-20585.27000000
-0.00052197361
N/A
DCR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
sell protection
2026-12-20
0.00000000
USD
-90550.59000000
USD
3100000.00000000
USD
69965.32000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617YD2W1
6664921.57000000
PA
USD
6388311.46000000
0.161986218666
Long
ABS-MBS
USGA
US
N
2
2052-03-15
Fixed
4.00000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
317U4NLA3 PIMCO SWAPTION 2.96 PUT EUR 20240105
000000000
-2400000.00000000
NC
-10.28000000
-0.00000026066
N/A
DIR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank NA
E57ODZWZ7FF32TWEFA76
Citibank NA
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
2400000.00000000
OU
Notional Amount
N/A
-10.28000000
0.00000000
DIR
US
N/A
N/A
2034-01-09
0.00000000
N/A
0.00000000
N/A
2400000.00000000
EUR
1.00000000
2.96000000
EUR
2024-01-05
XXXX
8856.27000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LBU97
857.57000000
PA
USD
882.22000000
0.000022370149
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
AMER AIRLN 14-1 A PTT
N/A
American Airlines 2014-1 Class A Pass Through Trust
02377AAA6
2482291.64000000
PA
USD
2308967.61000000
0.058547698325
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RH69
25234.33000000
PA
USD
24052.11000000
0.000609881088
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Floating
6.12900000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QC5
15100000.00000000
PA
USD
15978867.11000000
0.405170642967
Long
DBT
UST
US
N
2
2039-08-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QWA5
86525.33000000
PA
USD
89103.12000000
0.002259357197
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828H45
14938615.00000000
PA
USD
14499901.94000000
0.367669031324
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDU7
7900000.00000000
PA
USD
8016216.90000000
0.203264457560
Long
DBT
CORP
US
N
2
2029-07-24
Fixed
5.29900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406VHE9
13703.99000000
PA
USD
14002.76000000
0.000355063173
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Floating
4.58500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418PKB0
405.26000000
PA
USD
403.01000000
0.000010218986
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GVX9
7500000.00000000
PA
USD
7636200.15000000
0.193628503404
Long
DBT
CORP
US
N
2
2027-10-28
Floating
7.40200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXA42
19191.21000000
PA
USD
19269.45000000
0.000488608822
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
4.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JP3
10900000.00000000
PA
USD
10454988.97000000
0.265103562976
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YSY4
753.79000000
PA
USD
739.39000000
0.000018748458
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810ST6
62400000.00000000
PA
USD
41400937.34000000
1.049789342763
Long
DBT
UST
US
N
2
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A9VC8
5603.18000000
PA
USD
5500.91000000
0.000139484684
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
3.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
317U4LPA3 PIMCO SWAPTION 5.05 PUT USD 20240528
000000000
49800000.00000000
NC
USD
12749.30000000
0.000323279619
N/A
DIR
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Put
Purchased
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
IRS Swap
N/A
49800000.00000000
OU
Notional Amount
N/A
12749.30000000
0.00000000
DIR
US
N/A
N/A
2025-05-30
0.00000000
N/A
0.00000000
N/A
49800000.00000000
USD
1.00000000
5.05000000
USD
2024-05-28
XXXX
-44520.70000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4AZ6
220.95000000
PA
USD
227.85000000
0.000005777514
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2022-GR2
36267BAB3
13615760.71000000
PA
USD
11596271.08000000
0.294042661295
Long
ABS-MBS
CORP
US
N
2
2052-08-26
Variable
3.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: SWPC0HXN4 CDS USD R F 1.00000 FIX CORPORATE / Short: SWPC0HXN4 CDS USD P V 03MEVENT FLO CORPORATE
000000000
14280000.00000000
OU
Notional Amount
USD
46477.40000000
0.001178511462
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
sell protection
2024-06-20
0.00000000
USD
-53271.55000000
USD
14280000.00000000
USD
99748.95000000
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2023-A
64032PAB8
3529630.41000000
PA
USD
3575305.24000000
0.090657786495
Long
ABS-O
CORP
US
N
2
2041-02-20
Fixed
6.64000000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBK1
2900000.00000000
PA
USD
2705283.04000000
0.068596932509
Long
DBT
US
N
2
2025-09-15
Fixed
1.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-15180.69000000
-0.00038493154
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1088859.00000000
USD
35262698.72000000
TRY
2024-04-26
-15180.69000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HNQ2
675478.24000000
PA
USD
695647.09000000
0.017639284236
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
5.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DV8
7500000.00000000
PA
USD
7971797.63000000
0.202138133393
Long
DBT
CORP
GB
N
2
2034-03-09
Fixed
6.25400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADYF9
53578.59000000
PA
USD
52600.42000000
0.001333770776
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
3.50000000
N
N
N
N
N
N
Residential Asset Securities Corporation
N/A
RASC Series 2003-KS4 Trust
76110WRS7
472919.66000000
PA
USD
440287.45000000
0.011164217586
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Floating
6.05000000
N
N
N
N
N
N
Marble Point CLO Ltd.
254900N4UCG37B1HFL93
Marble Point CLO XIV Ltd
56608KAN3
7400000.00000000
PA
USD
7386243.40000000
0.187290435979
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
6.95700000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2006-9
86361PAJ5
5358207.12000000
PA
USD
2725649.23000000
0.069113350991
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
5.22000000
N
N
N
N
N
N
FHLMC Structured Pass Through Securities
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
31395M2F5
26361.70000000
PA
USD
24599.65000000
0.000623764872
Long
ABS-MBS
USGSE
US
N
2
2045-02-25
Floating
6.21200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M55N6
12554.23000000
PA
USD
12946.74000000
0.000328286037
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
BLUE OWL FINANCE LLC
254900OF2NO2GYFV5T41
Blue Owl Finance LLC
09581JAA4
13000000.00000000
PA
USD
10715158.48000000
0.271700591847
Long
DBT
CORP
US
N
2
2031-06-10
Fixed
3.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JVPM8
2285514.23000000
PA
USD
2048224.81000000
0.051936132736
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128282Y5
7900000.00000000
PA
USD
7737988.30000000
0.196209510549
Long
DBT
UST
US
N
2
2024-09-30
Fixed
2.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140NLQZ5
892744.80000000
PA
USD
889873.48000000
0.022564216071
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
5.00000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
549300WJBLP6N8ETXD40
Alternative Loan Trust 2006-OC5
02147HAF9
4333493.86000000
PA
USD
3625335.53000000
0.091926387368
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
5.99000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020618
8600000.00000000
PA
USD
7280773.42000000
0.184616069936
Long
ABS-MBS
USGA
US
N
2
2054-01-20
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BN61
37253.18000000
PA
USD
38362.76000000
0.000972751323
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B9Z56
5800736.67000000
PA
USD
5129433.54000000
0.130065283799
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KZ35
15878.73000000
PA
USD
16013.90000000
0.000406058959
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2006-NC4
61748LAD4
155212.07000000
PA
USD
127450.17000000
0.003231710168
Long
ABS-O
CORP
US
N
2
2036-06-25
Floating
5.77000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6ND6
16130.88000000
PA
USD
16635.34000000
0.000421816600
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-1466.95000000
-0.00003719694
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
48632766038.00000000
IDR
3154366.83000000
USD
2024-03-20
-1466.95000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B32 Mortgage Trust
08163NBK0
12646000.00000000
PA
USD
11386742.94000000
0.288729728243
Long
ABS-MBS
CORP
US
N
2
2055-01-15
Variable
2.95500000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
317U4SLA2 PIMCO SWAPTION 3.655 PUT USD 2024012
000000000
-1800000.00000000
NC
USD
-6608.27000000
-0.00016756363
N/A
DIR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
1800000.00000000
OU
Notional Amount
N/A
-6608.27000000
0.00000000
DIR
US
N/A
N/A
2034-01-24
0.00000000
N/A
0.00000000
N/A
1800000.00000000
USD
1.00000000
3.65500000
USD
2024-01-22
XXXX
771.73000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YNW3
5920.98000000
PA
USD
5796.96000000
0.000146991522
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419EZC6
21165.70000000
PA
USD
20769.67000000
0.000526649385
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
4.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-8722.03000000
-0.00022116151
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
794146.00000000
USD
25044188.26000000
TRY
2024-03-27
-8722.03000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297VZW1
20731.14000000
PA
USD
21193.65000000
0.000537400100
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9J78
784991.83000000
PA
USD
809539.61000000
0.020527217732
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.50000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738ECE3
9300000.00000000
PA
USD
10413431.71000000
0.264049809814
Long
DBT
CORP
GB
N
2
2033-11-02
Fixed
7.43700000
N
N
N
N
N
N
Dewolf Park clo, ltd
N/A
Dewolf Park CLO Ltd
25211AAE9
1618095.97000000
PA
USD
1616833.86000000
0.040997500643
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.57500000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED CNY / SOLD USD
000000000
1.00000000
NC
404.75000000
0.000010263106
N/A
DFE
CN
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
80156.30000000
USD
568893.31000000
CNY
2024-02-16
404.75000000
N
N
N
OZLM Ltd
54930042UBEHLEPQ4B17
OZLM XVI Ltd
67111KAJ9
7356561.22000000
PA
USD
7347431.73000000
0.186306301799
Long
ABS-CBDO
CORP
KY
N
2
2030-05-16
Floating
6.68200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4XA6
10568.33000000
PA
USD
10899.22000000
0.000276367776
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571900BB4
2600000.00000000
PA
USD
2586894.57000000
0.065594996754
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.60000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-178147.04000000
-0.00451721328
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
247320915.00000000
TWD
7954743.00000000
USD
2024-03-20
-178147.04000000
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AT9
10900000.00000000
PA
USD
10771410.74000000
0.273126961076
Long
DBT
CORP
US
N
2
2025-11-13
Fixed
4.62500000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2007-FM1
3622MAAD3
2295886.10000000
PA
USD
1063847.27000000
0.026975609687
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
5.64000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QR4E0
293927.61000000
PA
USD
285140.26000000
0.007230203598
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
4.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-58017.02000000
-0.00147111764
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
47960930.00000000
TWD
1515449.00000000
USD
2024-02-29
-58017.02000000
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2006-FR3
813765AC8
6502227.19000000
PA
USD
3353721.99000000
0.085039176161
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
5.97000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405RDJ2
199642.50000000
PA
USD
201283.17000000
0.005103868180
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
6.06000000
N
N
N
N
N
N
KILROY REALTY LP
5493008CT3N3JR7P1552
Kilroy Realty LP
49427RAR3
13100000.00000000
PA
USD
9932959.59000000
0.251866643357
Long
DBT
US
N
2
2033-11-15
Fixed
2.65000000
N
N
N
N
N
N
MEXICAN UDIBONOS
254900EGTWEU67VP6075
Mexican Udibonos
000000000
94741615.74000000
PA
5447880.02000000
0.138140021774
Long
DBT
NUSS
MX
N
2
2028-11-30
Fixed
4.00000000
N
N
N
N
N
N
Specialty Underwriting & Residential Finance
N/A
Specialty Underwriting & Residential Finance Trust Series 2007-BC2
84752EAD5
2427606.28000000
PA
USD
1661678.53000000
0.042134611532
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
5.74000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414SXK4
1065.59000000
PA
USD
1097.38000000
0.000027825887
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
FLORIDA POWER & LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081GN1
4400000.00000000
PA
USD
4407033.71000000
0.111747639527
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.40000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ACK1
5000000.00000000
PA
USD
5038081.15000000
0.127748892635
Long
DBT
CORP
US
N
2
2025-07-11
Fixed
6.00000000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAL8
12600000.00000000
PA
USD
10397556.79000000
0.263647274922
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.00000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2005-HE1
36242DRX3
3858732.91000000
PA
USD
3257543.87000000
0.082600420619
Long
ABS-O
CORP
US
N
2
2034-12-25
Floating
6.79000000
N
N
N
N
N
N
United Wholesale Mortgage LLC
N/A
UWM Mortgage Trust 2021-INV3
90355RAC6
15948696.91000000
PA
USD
13040547.72000000
0.330664687802
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.50000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Long: SWPC0LNE6 CDS USD R F 1.00000 FIX CORPORATE / Short: SWPC0LNE6 CDS USD P V 03MEVENT FLO CORPORATE
000000000
4000000.00000000
OU
Notional Amount
USD
-28675.96000000
-0.00072712646
N/A
DCR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Banco do Brasil SA
Banco do Brasil SA
Y
sell protection
2024-12-20
0.00000000
USD
-47712.77000000
USD
4000000.00000000
USD
19036.81000000
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
9555.97000000
0.000242307447
N/A
DFE
MX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
444455.03000000
USD
7744000.00000000
MXN
2024-01-31
9555.97000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391XDM8
236903.84000000
PA
USD
231011.70000000
0.005857684301
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Floating
6.17900000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
317U4LQA2 PIMCO SWAPTION 3.35 CALL USD 2024052
000000000
-24900000.00000000
NC
USD
-111870.97000000
-0.00283667374
N/A
DIR
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Call
Written
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
IRS Swap
N/A
24900000.00000000
OU
Notional Amount
N/A
-111870.97000000
0.00000000
DIR
US
N/A
N/A
2026-05-30
0.00000000
N/A
0.00000000
N/A
24900000.00000000
USD
1.00000000
3.35000000
USD
2024-05-28
XXXX
-54600.97000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6WG9
2258112.16000000
PA
USD
2328731.00000000
0.059048831814
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QY7
2800000.00000000
PA
USD
2264171.87000000
0.057411828137
Long
DBT
UST
US
N
2
2042-11-15
Fixed
2.75000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2016-GS4
36251XAS6
1345578.56000000
PA
USD
1311691.91000000
0.033260121064
Long
ABS-MBS
CORP
US
N
2
2049-11-10
Variable
3.27800000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-71519.48000000
-0.00181349488
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
48231098.00000000
TWD
1510810.00000000
USD
2024-02-29
-71519.48000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KF3
5000000.00000000
PA
USD
5040283.60000000
0.127804739403
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C4C5
34628.85000000
PA
USD
34188.06000000
0.000866894890
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225CUU8
335.54000000
PA
USD
332.90000000
0.000008441230
Long
ABS-MBS
USGA
US
N
2
2032-04-20
Floating
3.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296XX41
5519.00000000
PA
USD
5547.83000000
0.000140674419
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
5.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0LY04 CDS USD R F 5.00000 1 CCPCORPORATE / Short: SWPC0LY04 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
7000000.00000000
OU
Notional Amount
USD
1263731.00000000
0.032043992748
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
T-Mobile USA, Inc.
T-Mobile USA, Inc.
Y
sell protection
2028-06-20
1078818.49000000
USD
0.00000000
USD
7000000.00000000
USD
184912.51000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030637
169000000.00000000
PA
USD
149796055.11000000
3.798327099482
Long
ABS-MBS
USGSE
US
N
2
2054-03-01
Fixed
3.00000000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2007-1
68400DAA2
4093710.52000000
PA
USD
2524463.55000000
0.064011954831
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.61000000
N
N
N
N
N
N
RBSSP Resecuritization Trust
N/A
RBSSP Resecuritization Trust 2011-4
74930PAL8
2787691.28000000
PA
USD
2746939.14000000
0.069653191924
Long
ABS-MBS
CORP
US
N
2
2036-06-27
Floating
4.85800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DSK6
42927.66000000
PA
USD
44841.42000000
0.001137028479
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-149426.41000000
-0.00378895413
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
540848025.00000000
JPY
3688794.00000000
USD
2024-01-09
-149426.41000000
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2023-A
64032PAA0
3353148.89000000
PA
USD
3353109.99000000
0.085023657887
Long
ABS-O
CORP
US
N
2
2041-02-20
Floating
7.53800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YCJ4
27635.48000000
PA
USD
27116.20000000
0.000687576166
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388FNB5
48320.21000000
PA
USD
46918.52000000
0.001189696790
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Floating
6.12900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417ACL1
27388.21000000
PA
USD
26836.03000000
0.000680471991
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385W2D0
2388.97000000
PA
USD
2473.65000000
0.000062723493
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ACB1
5900000.00000000
PA
USD
5930617.76000000
0.150380636779
Long
DBT
CORP
US
N
2
2026-03-30
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RG5
18000000.00000000
PA
USD
15870234.42000000
0.402416081173
Long
DBT
UST
US
N
2
2044-05-15
Fixed
3.37500000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-498168.55000000
-0.01263188875
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
117472724.00000000
EUR
129215767.38000000
USD
2024-01-09
-498168.55000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR24
000000000
-2219.00000000
NC
USD
-10019175.47000000
-0.25405278980
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Ultra 10-Year U.S. Treasury Notes Futures
UXYH4 Comdty
2024-03-19
-251857496.41000000
USD
-10019175.47000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGSJ4
1118404.60000000
PA
USD
1151804.31000000
0.029205906128
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.50000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2005-3
542514NT7
457035.89000000
PA
USD
441836.16000000
0.011203487694
Long
ABS-O
CORP
US
N
2
2045-08-25
Floating
5.99000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GRN5
282958.57000000
PA
USD
291397.14000000
0.007388857154
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406QVM6
1986.07000000
PA
USD
2040.04000000
0.000051728593
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LCUJ3
3911.69000000
PA
USD
4034.24000000
0.000102294837
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SS8
29100000.00000000
PA
USD
17337234.38000000
0.439614295097
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418RR45
2181.10000000
PA
USD
2169.00000000
0.000054998587
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-8769.23000000
-0.00022235835
N/A
DFE
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
9200000.00000000
BRL
1851926.41000000
USD
2024-07-02
-8769.23000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2X0
1700000.00000000
PA
USD
1666266.20000000
0.042250939504
Long
DBT
CORP
US
N
2
2026-04-25
Fixed
3.90800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133CCNP7
787274.44000000
PA
USD
782915.08000000
0.019852108673
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWKH5
3509456.00000000
PA
USD
3563374.30000000
0.090355257749
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
6.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AU2
4000000.00000000
PA
USD
4021912.12000000
0.101982243697
Long
DBT
CORP
CH
N
2
2027-01-12
Fixed
5.71100000
N
N
N
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit AS
000000000
1.94000000
PA
0.23000000
0.000000005832
Long
DBT
CORP
DK
Y
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133C5ZJ3
498905.05000000
PA
USD
493571.10000000
0.012515312791
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
5.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0LEV8 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0LEV8 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
3400000.00000000
OU
Notional Amount
USD
60346.60000000
0.001530188001
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Boeing Co.
Boeing Co.
Y
sell protection
2027-12-20
0.00000000
USD
-114628.42000000
USD
3400000.00000000
USD
174975.02000000
N
N
N
PIEDMONT OPERATING PARTN
549300WKGDPAS39FBD10
Piedmont Operating Partnership LP
720198AE0
12900000.00000000
PA
USD
9764326.57000000
0.247590673811
Long
DBT
US
N
2
2030-08-15
Fixed
3.15000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-16297.86000000
-0.00041325923
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1700405.80000000
USD
53088369.48000000
TRY
2024-03-15
-16297.86000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWG80
16424600.04000000
PA
USD
16248999.55000000
0.412020298431
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.00000000
N
N
N
N
N
N
2024-02-29
Brighthouse Funds Trust I
Alan Otis
Alan Otis
Treasurer