0001450011-24-000262.txt : 20240227
0001450011-24-000262.hdr.sgml : 20240227
20240227132613
ACCESSION NUMBER: 0001450011-24-000262
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231231
FILED AS OF DATE: 20240227
DATE AS OF CHANGE: 20240227
PERIOD START: 20240630
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIMCO ETF Trust
CENTRAL INDEX KEY: 0001450011
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22250
FILM NUMBER: 24684785
BUSINESS ADDRESS:
STREET 1: 650 NEWPORT CENTER DRIVE
CITY: NEWPORT BEACH
STATE: CA
ZIP: 92660
BUSINESS PHONE: 949.720.6000
MAIL ADDRESS:
STREET 1: 650 NEWPORT CENTER DRIVE
CITY: NEWPORT BEACH
STATE: CA
ZIP: 92660
0001450011
S000033233
PIMCO Active Bond Exchange-Traded Fund
C000102215
PIMCO Active Bond Exchange-Traded Fund
BOND
NPORT-P
1
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92660
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2023-12-31
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2040-12-20
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0.0000499
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ABS-MBS
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N
2
2035-11-01
Floating
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N
N
N
N
N
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USD
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2047-05-01
Fixed
4
N
N
N
N
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CORP
US
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2058-09-10
Fixed
3.778
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N
N
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N
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LEGACY MORTGAGE ASSET TRUST 2021-SL2
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2843528.240000
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Long
ABS-MBS
CORP
US
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2068-10-25
Fixed
1.875
N
N
N
N
N
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FHLMC PASS THRU POOLS
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31281BFU9
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USD
13612.780000
0.0003417
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
4.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G06506 FG 12/40 FIXED 4
3128M8R30
274.910000
PA
USD
268.580000
0.0000067
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4
N
N
N
N
N
N
VENTURE CLO LTD 2013-4A
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92328GBA3
1667143.370000
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USD
1668119.700000
0.0418782
Long
ABS-CBDO
CORP
KY
N
2
2029-08-28
Floating
6.67819
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
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25160PAH0
6500000.000000
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USD
5970195.140000
0.149882
Long
DBT
CORP
DE
N
2
2028-01-07
Floating
2.552
N
N
N
N
N
N
TEXAS ELECTRIC MARKET STABILIZATION FUNDING N LLC
N/A
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88240TAC5
15500000.000000
PA
USD
15128277.300000
0.379796
Long
DBT
CORP
US
N
2
2048-08-01
Fixed
5.057
N
N
N
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
ILLINOIS ST ILS 07/35 FIXED 7.35
452152GS4
5828571.440000
PA
USD
6336968.580000
0.15909
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
7.35
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 888534 FN 08/37 FIXED VAR
31410GEF6
5105.730000
PA
USD
5082.970000
0.0001276
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5
N
N
N
N
N
N
BLUE RIDGE RE LTD
N/A
BLUE RIDGE RE LTD UNSECURED 144A 01/31 VAR
096003AB4
2000000.000000
PA
USD
2001000.000000
0.0502351
Long
DBT
CORP
BM
N
2
2031-01-08
Floating
8
N
N
N
N
N
N
METAL CAYMAN 2017-1 LLC
N/A
METAL CAYMAN METAL 2017 1 A 144A
59111RAA0
2556271.370000
PA
USD
1584888.250000
0.0397887
Long
ABS-O
CORP
KY
N
2
2042-10-15
Fixed
4.581
N
N
N
N
N
N
TURKISH AIRLINES 2015-1 CLASS A PASS THROUGH TRUST
N/A
TURKISH AIRLN 15 1 A PTT PASS THRU CE 144A 09/28 4.2
10010YAA0
2444316.770000
PA
USD
2315288.380000
0.0581254
Long
DBT
CORP
TR
N
2
2028-09-15
Fixed
4.2
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2008-2
N/A
SLM STUDENT LOAN TRUST SLMA 2008 2 A3
784442AC9
505694.650000
PA
USD
502020.220000
0.0126032
Long
ABS-O
CORP
US
N
2
2049-04-25
Floating
6.34564
N
N
N
N
N
N
BEAR STEARNS ABS SEC INC 2004-HE2
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE2 M1
07384YQY5
1962388.990000
PA
USD
1951414.720000
0.0489903
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Floating
6.37043
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256696 FN 03/37 FIXED 5
31371NC94
6271.730000
PA
USD
6193.140000
0.0001555
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5
N
N
N
N
N
N
FANNIE MAE REMICS 2004-59
N/A
FANNIE MAE FNR 2004 59 BG
31394AVD5
3161.200000
PA
USD
2739.030000
0.0000688
Long
ABS-MBS
USGSE
US
N
2
2032-12-25
None
0
N
N
N
N
N
N
ACE SECURITIES CORP 2006-HE4
N/A
ACE SECURITIES CORP. ACE 2006 HE4 A2D
00442BAE1
4520732.570000
PA
USD
1672675.120000
0.0419925
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.97043
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 735329 FN 11/33 FIXED VAR
31402Q4N8
15678.410000
PA
USD
15639.940000
0.0003926
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.5
N
N
N
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25
36143L2G9
7500000.000000
PA
USD
6816171.980000
0.17112
Long
DBT
CORP
US
N
2
2027-01-06
Fixed
2.25
N
N
N
N
N
N
HERTZ VEHICLE FINANCING LLC 2022-1A
N/A
HERTZ VEHICLE FINANCING LLC HERTZ 2022 1A A 144A
42806MAJ8
2300000.000000
PA
USD
2199140.860000
0.0552095
Long
ABS-O
CORP
US
N
2
2026-06-25
Fixed
1.99
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256109 FN 01/36 FIXED 6.5
31371MN29
33323.990000
PA
USD
34339.340000
0.0008621
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6.5
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC SR UNSECURED 07/26 1.653
65535HAW9
3000000.000000
PA
USD
2744251.440000
0.0688945
Long
DBT
CORP
JP
N
2
2026-07-14
Fixed
1.653
N
N
N
N
N
N
MARBLE POINT CLO X LTD 2017-1A
N/A
MARBLE POINT CLO X LTD MP10 2017 1A AR 144A
566061AL1
2915792.320000
PA
USD
2921640.550000
0.0733478
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.69548
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q07046 FG 03/42 FIXED 3.5
3132GSET2
12935.310000
PA
USD
12270.370000
0.000308
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA2054 FN 08/24 FIXED 4
31418BH82
2332.580000
PA
USD
2313.920000
0.0000581
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004709 G2 06/40 FIXED 4.5
36202FGS9
226295.460000
PA
USD
222440.810000
0.0055844
Long
ABS-MBS
USGSE
US
N
2
2040-06-20
Fixed
4.5
N
N
N
N
N
N
OPEN TRUST 2023-AIR
N/A
OPEN TRUST OPEN 2023 AIR A 144A
68373BAA9
7900179.120000
PA
USD
7940383.920000
0.199344
Long
ABS-MBS
CORP
US
N
2
2028-10-15
Floating
8.4509
N
N
N
N
N
N
APL FINANCE 2023-1 DESIGNATED ACTIVITY COMPANY
N/A
APL FINANCE LLC ASHPL 2023 1A A 144A
03790CAA9
9308576.900000
PA
USD
9294308.250000
0.233334
Long
ABS-O
CORP
US
N
3
2031-07-21
Fixed
7
N
N
N
N
N
N
PUGET ENERGY INC
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC SR SECURED 03/32 4.224
745310AN2
3000000.000000
PA
USD
2720315.490000
0.0682936
Long
DBT
CORP
US
Y
2
2032-03-15
Fixed
4.224
N
N
N
N
N
N
FAIRFAX FINANCIAL HOLDINGS LIMITED
GLS7OQD0WOEDI8YAP031
FAIRFAX FINL HLDGS LTD SR UNSECURED 04/28 4.85
303901BB7
300000.000000
PA
USD
295837.330000
0.007427
Long
DBT
CORP
CA
N
2
2028-04-17
Fixed
4.85
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 04/28 VAR
46647PDA1
9500000.000000
PA
USD
9363132.360000
0.235062
Long
DBT
CORP
US
N
2
2028-04-26
Floating
4.323
N
N
N
N
N
N
FLEX LTD (AKA: FLEXTRONICS INTERNATIONAL LTD)
549300EAQH74YHD07T53
FLEX LTD SR UNSECURED 06/29 4.875
33938XAA3
2000000.000000
PA
USD
1967514.680000
0.0493945
Long
DBT
CORP
SG
N
2
2029-06-15
Fixed
4.875
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SR UNSECURED 144A 09/29 VAR
09659W2R4
800000.000000
PA
USD
696580.570000
0.0174877
Long
DBT
CORP
FR
N
2
2029-09-15
Floating
2.159
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC SR UNSECURED 01/30 VAR
02005NBU3
3100000.000000
PA
USD
3187421.430000
0.0800203
Long
DBT
CORP
US
N
2
2030-01-03
Floating
6.848
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1
12668AWH4
3021521.260000
PA
USD
2719886.420000
0.0682828
Long
ABS-MBS
CORP
US
N
2
2035-12-20
Floating
6.1124
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 792400 FN 09/34 FLOATING VAR
31405LKM0
19396.430000
PA
USD
19334.680000
0.0004854
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
6.218
N
N
N
N
N
N
LCCM 2021-FL2 TRUST
N/A
LADDER CAPITAL COMMERCIAL MORT LCCM 2021 FL2 A 144A
50202KAA4
2885557.260000
PA
USD
2792694.170000
0.0701106
Long
ABS-CBDO
CORP
US
N
2
2038-12-13
Floating
6.67629
N
N
N
N
N
N
N/A
N/A
317U4POA5 PIMCO SWAPTION 3.6 CALL USD 20240112
000000000
-2500000.000000
NC
USD
-39386.500000
-0.0009888
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
RFR USD SOFR/3.60000 01/17/24-10Y LCH
000000000
0.000000
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USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.60000 01/17/24-10Y LCH
2034-01-17
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.600000
USD
2024-01-12
XXXX
-27949.000000
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/32 5.9
694308KG1
1500000.000000
PA
USD
1526987.490000
0.0383351
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
5.9
N
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTS 2006-22
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A
12666BAA3
2859920.710000
PA
USD
2503240.260000
0.0628439
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
5.61043
N
N
N
N
N
N
N/A
N/A
VERIZON COMMUNICATIONS INC SNR S* ICE
000000000
1.000000
NC
USD
9592.860000
0.0002408
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
VERIZON COMMUNICATIONS INC
VERIZON COMMUNICATIONS SR UNSEC
Y
Single Leg Swap
2026-06-20
20333.250000
USD
0.000000
USD
900000.000000
USD
-10740.390000
N
N
N
BAT INTERNATIONAL FINANCE PLC
21380041YBGOQDFAC823
BAT INTL FINANCE PLC COMPANY GUAR 02/29 5.931
05530QAQ3
4000000.000000
PA
USD
4158801.400000
0.104407
Long
DBT
CORP
GB
N
2
2029-02-02
Fixed
5.931
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004216 G2 08/38 FIXED 6
36202EVH9
11708.110000
PA
USD
12149.560000
0.000305
Long
ABS-MBS
USGSE
US
N
2
2038-08-20
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q17134 FG 04/43 FIXED 3
3132J8LQ1
2993.880000
PA
USD
2756.870000
0.0000692
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL CB6348 FN 05/53 FIXED 4.5
3140QSBS9
59622424.210000
PA
USD
57836615.150000
1.45199
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE REMICS 2011-17
N/A
FANNIE MAE FNR 2011 17 PG
31397QC97
3143.220000
PA
USD
3098.630000
0.0000778
Long
ABS-MBS
USGSE
US
N
2
2041-03-25
Fixed
4.5
N
N
N
N
N
N
SIGNAL PEAK CLO 6 LTD 2018-5A
N/A
SIGNAL PEAK CLO, LLC SPEAK 2018 5A A 144A
56844YAA5
3191152.410000
PA
USD
3195645.900000
0.0802268
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
6.74983
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-23
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 1A
12666CAA1
2837906.990000
PA
USD
2618835.040000
0.0657459
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.75043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31490 FG 01/38 FIXED 5
31281BUP3
31278.680000
PA
USD
31860.350000
0.0007999
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-9
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A
12670FAA8
7304783.700000
PA
USD
6535147.310000
0.164065
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
5.67043
N
N
N
N
N
N
MKS CLO LTD 2017-1A
N/A
MKS CLO LTD MKS 2017 1A AR 144A
55317AAA7
2378769.690000
PA
USD
2376313.400000
0.0596574
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.67743
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2006-9T1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 9T1 A1
12668BVA8
362396.570000
PA
USD
144433.300000
0.003626
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
5.75
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG
952NPH004
200000.000000
PA
USD
24000.000000
0.0006025
Long
DBT
CORP
US
N
2
2060-12-31
None
0
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BE7191 FN 03/47 FIXED 4
3140FS7D9
1569228.920000
PA
USD
1518514.850000
0.0381223
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4
N
N
N
N
N
N
VERTICAL BRIDGE HOLDINGS LLC 2020-2A
N/A
VB S1 ISSUER LLC VBTOW 2020 2A A 144A
92535VAF9
8000000.000000
PA
USD
7505344.800000
0.188422
Long
ABS-O
CORP
US
N
2
2050-09-15
Fixed
2.636
N
N
N
N
N
N
UNITED AIRLINES 2016-1 CLASS A PASS THROUGH TRUST
N/A
UNITED AIR 2016 1 A PTT PASS THRU CE 01/30 3.45
90931MAA4
2870309.560000
PA
USD
2564519.700000
0.0643823
Long
DBT
CORP
US
N
2
2030-01-07
Fixed
3.45
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2020-IA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1A 144A
63942AAA4
2990016.020000
PA
USD
2684145.450000
0.0673855
Long
ABS-O
CORP
US
N
2
2069-04-15
Fixed
1.33
N
N
N
N
N
N
MORGAN STANLEY CAPITAL INC 2005-HE7
N/A
MORGAN STANLEY CAPITAL INC MSAC 2005 HE7 M2
61744CWM4
4699237.200000
PA
USD
4493849.520000
0.112818
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
6.13043
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SR UNSECURED 11/33 VAR
172967PA3
7000000.000000
PA
USD
7493378.830000
0.188121
Long
DBT
CORP
US
Y
2
2033-11-17
Floating
6.27
N
N
N
N
N
N
STUDENT LOAN MARKETING ASSN 2006-B
N/A
SLM STUDENT LOAN TRUST SLMA 2006 B A5
78443CCU6
2106544.820000
PA
USD
2025088.100000
0.0508399
Long
ABS-O
CORP
US
N
2
2039-12-15
Floating
5.91624
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY SR UNSECURED REGS 04/32 VAR
U6S771NR6
9000000.000000
PA
USD
5470685.820000
0.137342
Long
DBT
CORP
US
Y
2
2032-04-02
Variable
0
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004532 G2 09/39 FIXED 4.5
36202FA97
10537.420000
PA
USD
10437.310000
0.000262
Long
ABS-MBS
USGSE
US
N
2
2039-09-20
Fixed
4.5
N
N
N
N
N
N
RENAISSANCE HOME EQUITY LOAN TR 2006-3
N/A
RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF3
75971EAF3
661991.630000
PA
USD
231144.900000
0.0058029
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
5.586
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA0250 FN 11/39 FIXED 5
31417YH42
30411.200000
PA
USD
30034.330000
0.000754
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 931375 FN 06/39 FIXED 4.5
31412PXC0
13545.650000
PA
USD
13533.470000
0.0003398
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.5
N
N
N
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA GLOBAL FUNDING TRUST SECURED 144A 04/25 3.85
36143L2J3
1000000.000000
PA
USD
980579.020000
0.0246175
Long
DBT
CORP
US
N
2
2025-04-11
Fixed
3.85
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA3795 G2 07/46 FIXED 4.5
36179SGC5
138699.760000
PA
USD
134108.720000
0.0033668
Long
ABS-MBS
USGSE
US
N
2
2046-07-20
Fixed
4.5
N
N
N
N
N
N
WASHING MUTUAL MTGE P/T 2006-8
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 8 A6
93935EAH7
7387169.700000
PA
USD
2591577.220000
0.0650616
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
6.268
N
N
N
N
N
N
COLT 2022-8 MORTGAGE LOAN TRUST
N/A
COLT FUNDING LLC COLT 2022 8 A1 144A
19688MAA8
1730589.130000
PA
USD
1745356.940000
0.0438172
Long
ABS-MBS
CORP
US
N
2
2067-08-25
Variable
6.467
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q30148 FG 12/44 FIXED 4
3132QLEW9
656911.820000
PA
USD
636346.780000
0.0159755
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
4
N
N
N
N
N
N
INFOR INC
549300Q3IIYBYI4RHD64
INFOR INC SR UNSECURED 144A 07/25 1.75
45674CAA1
2600000.000000
PA
USD
2452799.800000
0.0615776
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
1.75
N
N
N
N
N
N
ARES FINANCE CO II LLC
54930012GWL4VKKENG46
ARES FINANCE CO II LLC COMPANY GUAR 144A 06/30 3.25
04015KAB6
3500000.000000
PA
USD
3096506.910000
0.0777379
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
3.25
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91020 FG 03/27 FIXED 5.5
3128P7DZ3
1776.240000
PA
USD
1785.430000
0.0000448
Long
ABS-MBS
USGSE
US
N
2
2027-03-01
Fixed
5.5
N
N
N
N
N
N
CASTLELAKE AIRCRAFT SECURITIZATION TRUST 2018-1
N/A
CASTLELAKE AIRCRAFT STRUCTURED CLAST 2018 1 A 144A
14856CAA7
584809.290000
PA
USD
533719.240000
0.013399
Long
ABS-O
CORP
US
N
2
2043-06-15
Fixed
4.125
N
N
N
N
N
N
HERTZ VEHICLE FINANCING LLC 2022-2A
N/A
HERTZ VEHICLE FINANCING LLC HERTZ 2022 2A A 144A
42806MAN9
4700000.000000
PA
USD
4280762.350000
0.107469
Long
ABS-O
CORP
US
N
2
2028-06-26
Fixed
2.33
N
N
N
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
423616.820000
PA
USD
423616.820000
0.0106349
Long
RA
US
N
2
Repurchase
N
2.600000
2024-01-02
435600.000000
USD
432094.780000
USD
UST
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 993203 FN 06/39 FIXED 4.5
31415YKQ1
23474.670000
PA
USD
23299.050000
0.0005849
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.5
N
N
N
N
N
N
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST
N/A
AERCAP IRELAND CAP/GLOBA COMPANY GUAR 01/28 3.875
00774MAE5
2100000.000000
PA
USD
2003476.360000
0.0502973
Long
DBT
CORP
IE
N
2
2028-01-23
Fixed
3.875
N
N
N
N
N
N
AMERICAN HOME MORTGAGE INVESTMENT TRUST 2006-3
N/A
AMERICAN HOME MORTGAGE INVESTM AHM 2006 3 11A1
026929AA7
2963550.250000
PA
USD
2387504.240000
0.0599383
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
5.83043
N
N
N
N
N
N
SAPPHIRE AVIATION FINANCE I LIMITED 2018-1A
N/A
SAPPHIRE AVIATION FINANCE I LI SAPA 2018 1A A 144A
80306AAA8
1234646.340000
PA
USD
1100741.290000
0.0276341
Long
ABS-O
CORP
KY
N
2
2040-03-15
Fixed
4.25
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE LLC SR SECURED 05/37 6.55
88732JAJ7
600000.000000
PA
USD
591910.340000
0.0148599
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
6.55
N
N
N
N
N
N
ALT-2 STRUCTURED TRUST
N/A
CASTLELAKE LP FIRST LIEN TERM LOAN
937CJTII1
5437909.860000
PA
USD
4894118.870000
0.122867
Long
LON
CORP
US
N
3
2031-05-13
Fixed
2.95
N
N
N
N
N
N
NXP BV / NXP FUNDING LLC / NXP USA INC
N/A
NXP BV/NXP FDG/NXP USA COMPANY GUAR 01/33 5
62954HBB3
900000.000000
PA
USD
901986.160000
0.0226444
Long
DBT
CORP
NL
N
2
2033-01-15
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A94251 FG 10/40 FIXED 4
312942WL5
1222.750000
PA
USD
1194.580000
0.00003
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2004-6
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 M3
126673BE1
86762.650000
PA
USD
84394.330000
0.0021187
Long
ABS-MBS
CORP
US
N
3
2034-09-25
Floating
6.52043
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BD6487 FN 09/46 FIXED 4
3140FEF58
733421.690000
PA
USD
709732.830000
0.0178179
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4
N
N
N
N
N
N
APOLLO AVIATION SECURITIZATION EQUITY TRUST 2017-1A
N/A
AASET 2017 1 TRUST AASET 2017 1A A 144A
000366AA2
213984.320000
PA
USD
195719.240000
0.0049135
Long
ABS-O
CORP
US
N
2
2042-05-16
Fixed
3.967
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D58261 FG 01/25 FIXED 9.5
31356MFA9
2480.570000
PA
USD
2476.820000
0.0000622
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
9.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P00061 FG 08/34 FIXED 4.5
31283NB68
3675.490000
PA
USD
3626.630000
0.000091
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
4.5
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY SR UNSECURED 10/28 VAR
61747YEV3
20000000.000000
PA
USD
20961661.200000
0.526243
Long
DBT
CORP
US
N
2
2028-10-18
Floating
6.296
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL RA6665 FR 02/52 FIXED 3
3133KNMN0
84025160.920000
PA
USD
74341065.350000
1.86633
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3
N
N
N
N
N
N
VIBRANT CLO VII LTD
N/A
VIBRANT CLO LTD VIBR 2017 7A A1R 144A
92558BAJ7
5291143.330000
PA
USD
5280824.490000
0.132575
Long
ABS-CBDO
CORP
KY
N
2
2030-09-15
Floating
6.71743
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 929080 FN 01/38 FIXED 5
31412MFV5
55572.850000
PA
USD
54648.230000
0.0013719
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P51240 FG 01/37 FIXED 6.5
3128C6LV9
15116.570000
PA
USD
15063.780000
0.0003782
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31455 FG 10/37 FIXED 5.5
31281BTL4
1712.790000
PA
USD
1764.030000
0.0000443
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL T65213 FG 04/44 FIXED 4.5
31322YYJ4
52284.980000
PA
USD
49900.310000
0.0012527
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.5
N
N
N
N
N
N
BAYER US FINANCE LLC
54930093Q75GSEM74I71
BAYER US FINANCE LLC COMPANY GUAR 144A 11/30 6.375
07274EAK9
1000000.000000
PA
USD
1029607.840000
0.0258483
Long
DBT
CORP
US
N
2
2030-11-21
Fixed
6.375
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR
404280CH0
7000000.000000
PA
USD
6024988.970000
0.151257
Long
DBT
CORP
GB
N
2
2031-06-04
Floating
2.848
N
N
N
N
N
N
FS KKR CAPITAL CORP
549300TYRSI1T21B1360
FS KKR CAPITAL CORP SR UNSECURED 01/26 3.4
302635AG2
1900000.000000
PA
USD
1798858.500000
0.0451604
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL L10219 FG 01/34 FIXED 5
3128DHG40
14172.950000
PA
USD
14027.420000
0.0003522
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5
N
N
N
N
N
N
WAMU MTGE P/T CERT 2007-HY7
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A2
93364FAH4
2055897.980000
PA
USD
1781389.140000
0.0447218
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
4.10569
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/4.15000 10/12/23-10Y LCH
000000000
1.000000
NC
USD
245843.540000
0.0061719
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2033-10-12
0.000000
USD
-18170.000000
USD
4600000.000000
USD
264013.540000
N
N
N
N/A
N/A
317U4NJA6 PIMCO SWAPTION 4.12 PUT USD 20240104
000000000
-4700000.000000
NC
USD
-0.940000
0
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
RFR USD SOFR/4.12000 01/08/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/4.12000 01/08/24-10Y LCH
2034-01-08
0.000000
USD
0.000000
USD
N/A
USD
N/A
4.120000
USD
2024-01-04
XXXX
22089.060000
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91168 FG 04/28 FIXED 5.5
3128P7JM6
1358.250000
PA
USD
1368.910000
0.0000344
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
5.5
N
N
N
N
N
N
BAT CAPITAL CORPORATION
2138005GYEXN7XRHFA84
BAT CAPITAL CORP COMPANY GUAR 08/37 4.39
05526DBD6
3200000.000000
PA
USD
2683937.890000
0.0673803
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.39
N
N
N
N
N
N
MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECTUAL PROPERTY ASSETS LTD
N/A
MILEAGE PLUS HLDINGS LLC SR SECURED 144A 06/27 6.5
599191AA1
3570000.000000
PA
USD
3582741.330000
0.0899448
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.5
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C27
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 C27 A5
94989DAW9
3500000.000000
PA
USD
3385058.600000
0.084982
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
3.451
N
N
N
N
N
N
CARRINGTON MTGE LOAN TRUST 2007-FRE1
N/A
CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3
144527AC2
4293576.520000
PA
USD
3957541.900000
0.0993542
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.73043
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TR 2004-NCM2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 NCM2 2CB1
17307GHA9
1093435.120000
PA
USD
1065951.080000
0.0267607
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
5.5
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST 2019-GS2
N/A
MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A
59981TAC9
671294.040000
PA
USD
636348.220000
0.0159755
Long
ABS-MBS
CORP
US
N
2
2059-08-25
Fixed
2.75
N
N
N
N
N
N
FANNIE MAE REMICS 2007-55
N/A
FANNIE MAE FNR 2007 55 PO
31396WGB6
2812.170000
PA
USD
2422.670000
0.0000608
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
None
0
N
N
N
N
N
N
ATLAS SENIOR LOAN FUND LTD 2017-8A
N/A
ATLAS SENIOR LOAN FUND LTD ATCLO 2017 8A A 144A
04943AAC3
3366241.240000
PA
USD
3361700.820000
0.0843956
Long
ABS-CBDO
CORP
KY
N
2
2030-01-16
Floating
6.80548
N
N
N
N
N
N
ARES CAPITAL CORPORATION
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP SR UNSECURED 06/28 2.875
04010LBB8
4000000.000000
PA
USD
3547753.080000
0.0890664
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
2.875
N
N
N
N
N
N
US AIRWAYS 2013-1 CLASS A PASS THROUGH TRUST
N/A
US AIRWAYS 2013 1A PTT PASS THRU CE 05/27 3.95
90346WAA1
1592604.270000
PA
USD
1522980.870000
0.0382345
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.95
N
N
N
N
N
N
GSAMP TRUST 2004-FM2
N/A
GSAMP TRUST GSAMP 2004 FM2 M1
36228FN28
872248.460000
PA
USD
835207.990000
0.0209679
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
6.22043
N
N
N
N
N
N
PIMCO FUNDS
549300YFT046RNVJXR73
PIMCO SENIOR LOAN ACTIVE EXCHA PIMCO SENIOR LOAN ACTIVE ETF
72201R627
705400.000000
NS
USD
35608592.000000
0.893954
Long
EC
RF
US
N
1
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH SR SECURED 10/49 4.187
20268JAC7
7300000.000000
PA
USD
6161910.360000
0.154695
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.187
N
N
N
N
N
N
N/A
N/A
VERIZON COMMUNICATIONS INC SNR S* ICE
000000000
1.000000
NC
USD
67576.980000
0.0016965
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
VERIZON COMMUNICATIONS INC
VERIZON COMMUNICATIONS SR UNSEC
Y
Single Leg Swap
2026-12-20
132299.160000
USD
0.000000
USD
5600000.000000
USD
-64722.180000
N
N
N
LOANCORE ISSUER LTD 2021-CRE6
N/A
LOANCORE 2021 CRE6 ISSUER, LTD LNCR 2021 CRE6 A 144A
53948HAA4
3300000.000000
PA
USD
3230108.970000
0.081092
Long
ABS-CBDO
CORP
KY
N
2
2038-11-15
Floating
6.77629
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB FINANCIAL GROUP JR SUBORDINA 12/99 VAR
78486QAG6
2800000.000000
NS
USD
30632.000000
0.000769
Long
EP
CORP
US
N
2
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HLTHCARE INVESTORS COMPANY GUAR 01/28 4.75
681936BK5
3350000.000000
PA
USD
3225205.000000
0.0809688
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 995952 FN 02/38 FIXED VAR
31416CL95
2812.040000
PA
USD
2888.320000
0.0000725
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.5
N
N
N
N
N
N
GOLUB CAPITAL BDC INC
2549005WE0QLGK9APF78
GOLUB CAPITAL BDC SR UNSECURED 02/27 2.05
38173MAC6
1500000.000000
PA
USD
1317984.030000
0.033088
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
2.05
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SR UNSECURED 03/33 VAR
172967NN7
4500000.000000
PA
USD
4048871.040000
0.101647
Long
DBT
CORP
US
Y
2
2033-03-17
Floating
3.785
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 745323 FN 09/34 FIXED VAR
31403DAY5
7191.680000
PA
USD
7224.210000
0.0001814
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.5
N
N
N
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN1 A1 144A
74140QAA6
1271471.850000
PA
USD
1243647.600000
0.0312218
Long
ABS-MBS
CORP
US
N
2
2061-02-25
Variable
1.9917
N
N
N
N
N
N
LEHMAN XS TRUST 2006-18N
N/A
LEHMAN XS TRUST LXS 2006 18N A3
52522GAC8
2308091.470000
PA
USD
2210661.160000
0.0554987
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.83043
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC SR UNSECURED 144A 04/29 4
11135FBR1
2000000.000000
PA
USD
1931914.360000
0.0485008
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4
N
N
N
N
N
N
N/A
N/A
317U4R1A6 PIMCO SWAPTION 3.7225 PUT USD 202401
000000000
-5400000.000000
NC
USD
-8976.420000
-0.0002254
N/A
DIR
US
N
2
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
Put
Written
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
N/A
N/A
RFR USD SOFR/3.72250 01/18/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.72250 01/18/24-10Y LCH
2034-01-18
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.720000
USD
2024-01-16
XXXX
14041.080000
N
N
N
SCCU AUTO RECEIVABLES TRUST 2023-1A
N/A
SPACE COAST CREDIT UNION SCCU 2023 1A A3 144A
805922AE1
1300000.000000
PA
USD
1309298.770000
0.03287
Long
ABS-O
CORP
US
N
2
2028-10-16
Fixed
5.7
N
N
N
N
N
N
MLCC MORTGAGE INVESTORS INC 2004-B
N/A
MLCC MORTGAGE INVESTORS INC MLCC 2004 B A3
59020UBW4
9602.630000
PA
USD
8584.930000
0.0002155
Long
ABS-MBS
CORP
US
N
3
2029-05-25
Floating
6.31295
N
N
N
N
N
N
N/A
N/A
317U4SMA1 PIMCO SWAPTION 3.205 CALL USD 202401
000000000
-2300000.000000
NC
USD
-6189.760000
-0.0001554
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
RFR USD SOFR/3.20500 01/24/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.20500 01/24/24-10Y LCH
2034-01-24
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.210000
USD
2024-01-22
XXXX
3240.240000
N
N
N
SAXON ASSET SECURITIES TRUST 2004-1
N/A
SAXON ASSET SECURITIES TRUST SAST 2004 1 M1
805564PN5
292658.080000
PA
USD
279449.310000
0.0070156
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.26543
N
N
N
N
N
N
APOLLO AVIATION SECURITIZATION EQUITY TRUST 2021-2A
N/A
AASET 2021 2 TRUST AASET 2021 2A A 144A
00258BAA2
2433138.470000
PA
USD
2099628.180000
0.0527112
Long
ABS-O
CORP
US
N
2
2047-01-15
Fixed
2.798
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55
694308JM0
5200000.000000
PA
USD
4957222.350000
0.124451
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.55
N
N
N
N
N
N
MLCC MORTGAGE INVESTORS INC 2004-C
N/A
MLCC MORTGAGE INVESTORS INC MLCC 2004 C A1
59020UDN2
37665.660000
PA
USD
35392.340000
0.0008885
Long
ABS-MBS
CORP
US
N
3
2029-07-25
Floating
6.03043
N
N
N
N
N
N
LUNAR AIRCRAFT 2020-1A
N/A
LUNAR AIRCRAFT 2020 1 LIMITED LUNRR 2020 1A A 144A
55037LAA2
1816051.540000
PA
USD
1611037.120000
0.0404451
Long
ABS-O
CORP
US
N
2
2045-02-15
Fixed
3.376
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL BA5051 GN 06/47 FIXED 4
3617AHTG4
4537003.870000
PA
USD
4371565.250000
0.109748
Long
ABS-MBS
USGSE
US
N
2
2047-06-15
Fixed
4
N
N
N
N
N
N
FANNIE MAE-2006-50
N/A
FANNIE MAE FNR 2006 50 JO
31395DUD9
7124.070000
PA
USD
6016.750000
0.0001511
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
None
0
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85
65480CAC9
4500000.000000
PA
USD
4048746.660000
0.101644
Long
DBT
CORP
US
N
2
2026-09-16
Fixed
1.85
N
N
N
N
N
N
STRUCTURED ASSET INVST LN TR 2004-10
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 A11
86358EPB6
3232218.120000
PA
USD
3294947.720000
0.0827197
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
6.97043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL ZA6388 FR 02/49 FIXED 4.5
31329QCZ2
860739.800000
PA
USD
848886.080000
0.0213113
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.5
N
N
N
N
N
N
N/A
N/A
317U4T2A1 PIMCO SWAPTION 3.62 PUT USD 20240129
000000000
-2300000.000000
NC
USD
-11762.200000
-0.0002953
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
RFR USD SOFR/3.62000 01/31/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.62000 01/31/24-10Y LCH
2034-01-31
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.620000
USD
2024-01-29
XXXX
-1814.700000
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20240109
000000000
1.000000
NC
-3752.130000
-0.0000942
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
286000.000000
EUR
312050.420000
USD
2024-01-09
-3752.130000
N
N
N
FS KKR CAPITAL CORP
549300TYRSI1T21B1360
FS KKR CAPITAL CORP SR UNSECURED 10/24 1.65
302635AJ6
1000000.000000
PA
USD
965192.950000
0.0242312
Long
DBT
CORP
US
N
2
2024-10-12
Fixed
1.65
N
N
N
N
N
N
GEORGETOWN UNIVERSITY (THE)
549300GCL3B0KVXSX752
GEORGETOWN UNIVERSITY UNSECURED 12/99 5.215
37310PAB7
6560000.000000
PA
USD
6285510.310000
0.157798
Long
DBT
CORP
US
N
2
2099-12-31
Fixed
5.215
N
N
N
N
N
N
AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)
635400CPI3EOIFF6OC33
PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 02/24 5.5
70014LAB6
699000.000000
PA
USD
697760.960000
0.0175173
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.5
N
N
N
N
N
N
N/A
N/A
317U4RJA7 PIMCO SWAPTION 3.744 PUT USD 2024011
000000000
-2300000.000000
NC
USD
-4094.690000
-0.0001028
N/A
DIR
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
UBS AG
BFM8T61CT2L1QCEMIK50
N/A
N/A
RFR USD SOFR/3.74400 01/22/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.74400 01/22/24-10Y LCH
2034-01-22
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.740000
USD
2024-01-18
XXXX
7117.240000
N
N
N
THEOREM FUNDING TRUST 2022-1A
N/A
THEOREM FUNDING TRUST THRM 2022 1A A 144A
88339XAA2
31462.700000
PA
USD
31407.530000
0.0007885
Long
ABS-O
CORP
US
N
2
2028-02-15
Fixed
1.85
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA0928 G2 04/43 FIXED 4
36179NA57
65383.870000
PA
USD
63373.810000
0.001591
Long
ABS-MBS
USGSE
US
N
2
2043-04-20
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q03759 FG 10/41 FIXED 3.5
3132GJZY8
729.650000
PA
USD
689.420000
0.0000173
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AX6047 FN 10/44 FIXED 4.5
3138Y7WH1
322810.510000
PA
USD
320527.130000
0.0080468
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.5
N
N
N
N
N
N
INDYMAC RESIDENTIAL ASSET BACKED 2007-B
N/A
INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 1A2
43710EAB6
7811348.520000
PA
USD
3150241.090000
0.0790869
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.66043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8342 FR 07/53 FIXED 5.5
3132DWHT3
67096711.500000
PA
USD
67383690.840000
1.69167
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
5.5
N
N
N
N
N
N
OCTANE RECEIVABLES TRUST 2021-2A
N/A
OCTANE RECEIVABLES TRUST OCTL 2021 2A A 144A
67578AAA6
2261004.070000
PA
USD
2201606.810000
0.0552714
Long
ABS-O
CORP
US
N
2
2028-09-20
Fixed
1.21
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004880 G2 12/40 FIXED 4.5
36202FM52
33669.330000
PA
USD
33095.620000
0.0008309
Long
ABS-MBS
USGSE
US
N
2
2040-12-20
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004554 G2 10/39 FIXED 5
36202FBX3
32382.500000
PA
USD
32568.830000
0.0008176
Long
ABS-MBS
USGSE
US
N
2
2039-10-20
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31313 FG 09/36 FIXED 5.5
31281BN63
14143.610000
PA
USD
14598.680000
0.0003665
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
5.5
N
N
N
N
N
N
LOCKWOOD GROVE CLO LTD 2014-1A
N/A
LOCKWOOD GROVE CLO LTD LWCLO 2014 1A A1RR 144A
54008PAW3
2998797.300000
PA
USD
3001920.730000
0.0753633
Long
ABS-CBDO
CORP
KY
N
2
2030-01-25
Floating
6.80983
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A
N/A
CARLYLE GLOBAL MARKET STRATEGI CGMS 2013 1A A1RR 144A
14310BAU5
6806042.530000
PA
USD
6794866.870000
0.170585
Long
ABS-CBDO
CORP
KY
N
2
2030-08-14
Floating
6.58925
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL ZT2086 FR 06/49 FIXED 3.5
3132AEJ72
1791714.940000
PA
USD
1668285.940000
0.0418824
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.5
N
N
N
N
N
N
CIM TRUST 2023-R2
N/A
CIM TRUST CIM 2023 R2 A1 144A
17181KAA8
12981936.630000
PA
USD
13121361.330000
0.329412
Long
ABS-MBS
CORP
US
N
2
2064-08-25
Variable
5.5
N
N
N
N
N
N
QUANTA SERVICES INC
SHVRXXEACT60MMH07S24
QUANTA SERVICES INC SR UNSECURED 10/30 2.9
74762EAF9
2000000.000000
PA
USD
1756070.600000
0.0440862
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.9
N
N
N
N
N
N
FANNIE MAE 2005-120
N/A
FANNIE MAE FNR 2005 120 WS
31394VKJ8
76651.120000
PA
USD
71168.570000
0.0017867
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Floating
3.34129
N
N
N
N
N
N
ASSET BACKED FUNDING CERT 2006-HE1
N/A
ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2C
00075WAC3
1842662.870000
PA
USD
1059187.310000
0.0265909
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.63043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91176 FG 05/28 FIXED 5.5
3128P7JV6
15496.120000
PA
USD
15634.810000
0.0003925
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
5.5
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC COMPANY GUAR 09/28 4.11
11135FAL5
1000000.000000
PA
USD
977103.220000
0.0245302
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.11
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 922855 FN 11/36 FIXED 5.5
31412EH82
39019.800000
PA
USD
40199.720000
0.0010092
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.5
N
N
N
N
N
N
TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5
N/A
TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A
87277JAA9
5000000.000000
PA
USD
4898570.000000
0.122979
Long
ABS-CBDO
CORP
KY
N
2
2039-02-15
Floating
6.98844
N
N
N
N
N
N
N/A
N/A
VALEO SA SNR SE ICE
000000000
1.000000
NC
-110756.200000
-0.0027805
N/A
DCR
FR
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
VALEO
VALEO SA SR UNSEC EMTN
Y
Single Leg Swap
2028-06-20
0.000000
EUR
-105555.180000
EUR
2500000.000000
EUR
-5201.020000
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CO SR UNSECURED 10/27 VAR
14040HDB8
2000000.000000
PA
USD
2077403.400000
0.0521533
Long
DBT
CORP
US
N
2
2027-10-29
Floating
7.149
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31271 FG 01/36 FIXED 4.5
31281BMU1
82322.970000
PA
USD
81353.090000
0.0020424
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
4.5
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2007-6
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 6 A1
12639PAA6
2886913.470000
PA
USD
1767611.790000
0.0443759
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Variable
6.4205
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/4.17000 10/03/23-10Y LCH
000000000
1.000000
NC
USD
410298.940000
0.0103006
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2033-10-03
0.000000
USD
-29062.500000
USD
7500000.000000
USD
439361.440000
N
N
N
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA B 144A
63942TAC9
1600000.000000
PA
USD
1681988.320000
0.0422264
Long
ABS-O
CORP
US
N
2
2072-03-15
Fixed
7.23
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL3
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL3 A1 144A
12656PAC0
4400797.800000
PA
USD
4475226.730000
0.112351
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Variable
4.04638
N
N
N
N
N
N
LPL HOLDINGS INC
549300Z5YF8CCRMYUL26
LPL HOLDINGS INC COMPANY GUAR 11/28 6.75
50212YAH7
5000000.000000
PA
USD
5333225.000000
0.133891
Long
DBT
CORP
US
N
2
2028-11-17
Fixed
6.75
N
N
N
N
N
N
SANTANDER HOLDINGS USA INC
549300SMVCQN2P0O6I58
SANTANDER HOLDINGS USA SR UNSECURED 06/29 VAR
80282KBG0
3000000.000000
PA
USD
3097626.480000
0.077766
Long
DBT
CORP
US
N
2
2029-06-12
Floating
6.565
N
N
N
N
N
N
AMERICAN AIRLINES 2013-1 CLASS A PASS THROUGH TRUST
N/A
AMER AIRLN 13 1 A PASS T AMER AIRLN 13 1 A PASS T
023772AB2
2206434.770000
PA
USD
2115479.790000
0.0531092
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
4
N
N
N
N
N
N
FANNIE MAE REMICS 2013-6
N/A
FANNIE MAE FNR 2013 6 BZ
3136ABM67
159.400000
PA
USD
119.060000
0.000003
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
3
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2023-INV2
N/A
VERUS SECURITIZATION TRUST VERUS 2023 INV2 A1 144A
92540BAA7
4322941.450000
PA
USD
4377560.950000
0.109899
Long
ABS-MBS
CORP
US
N
2
2068-08-25
Fixed
6.443
N
N
N
N
N
N
PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2016-1A
N/A
PARK AVENUE INSTITUTIONAL ADVI PAIA 2016 1A A1R 144A
700162AJ9
4879735.380000
PA
USD
4887257.640000
0.122695
Long
ABS-CBDO
CORP
KY
N
2
2031-08-23
Floating
6.83963
N
N
N
N
N
N
PRPM-2022-1
N/A
PRESTON RIDGE PARTNERS MORTGAG PRPM 2022 1 A1 144A
693582AA6
3648265.240000
PA
USD
3529728.720000
0.0886139
Long
ABS-MBS
CORP
US
N
2
2027-02-25
Fixed
3.72
N
N
N
N
N
N
MFA 2020-NQM2 TRUST
N/A
MFRA TRUST MFRA 2020 NQM2 A1 144A
552751AA7
2917865.550000
PA
USD
2701973.550000
0.0678331
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.381
N
N
N
N
N
N
ALESCO PREFERRED FUNDING LTD 11A
N/A
ALESCO PREFERRED FUNDING LTD ALESC 11A A1A 144A
01450AAA8
913458.640000
PA
USD
840381.950000
0.0210978
Long
ABS-CBDO
CORP
KY
N
2
2036-12-23
Floating
5.94272
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 05/29 VAR
06738EBD6
1000000.000000
PA
USD
982629.990000
0.0246689
Long
DBT
CORP
GB
N
2
2029-05-16
Floating
4.972
N
N
N
N
N
N
LCM XV LP 15A
N/A
LCM LTD PARTNERSHIP LCM 15A AR2 144A
50184NAR3
5820995.390000
PA
USD
5811462.350000
0.145897
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.67743
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR18
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1
933637AA8
2369310.120000
PA
USD
2014479.390000
0.0505735
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
3.27006
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q29869 FG 11/44 FIXED 4.5
3132MAT27
264896.700000
PA
USD
262777.300000
0.006597
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.5
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG
952NPG006
1800000.000000
PA
USD
216000.000000
0.0054227
Long
DBT
CORP
US
N
2
2060-12-31
None
0
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91115 FG 11/27 FIXED 5.5
3128P7GY3
1942.660000
PA
USD
1952.820000
0.000049
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
5.5
N
N
N
N
N
N
CHASEFLEX TRUST 2007-1
N/A
CHASEFLEX TRUST CFLX 2007 1 1A3
16165VAC2
3866001.060000
PA
USD
1350876.260000
0.0339138
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q02265 FG 07/41 FIXED 4.5
3132GFQS9
148694.410000
PA
USD
148680.360000
0.0037326
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.5
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2016-JP4
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP4 A4
46645UAT4
3700000.000000
PA
USD
3482703.440000
0.0874333
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
3.6483
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC JR SUBORDINA 12/99 VAR
639057AD0
200000.000000
PA
USD
150584.940000
0.0037804
Long
DBT
CORP
GB
N
2
2031-06-28
Floating
4.6
N
N
N
N
Y
NATWEST GROUP PLC
NATWEST GROUP PLC
GBP
XXXX
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 01/27 6.49
71654QDB5
311000.000000
PA
USD
292029.780000
0.0073314
Long
DBT
CORP
MX
N
2
2027-01-23
Fixed
6.49
N
N
N
N
N
N
N/A
N/A
317U4PQA3 PIMCO SWAPTION 3.6 CALL USD 20240112
000000000
-2500000.000000
NC
USD
-39386.500000
-0.0009888
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
RFR USD SOFR/3.60000 01/17/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.60000 01/17/24-10Y LCH
2034-01-17
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.600000
USD
2024-01-12
XXXX
-27949.000000
N
N
N
N/A
N/A
317U4P2A9 PIMCO SWAPTION 3.989 PUT USD 2024010
000000000
-5600000.000000
NC
USD
-172.480000
-0.0000043
N/A
DIR
US
N
2
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
Put
Written
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
N/A
N/A
RFR USD SOFR/3.98900 01/10/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.98900 01/10/24-10Y LCH
2034-01-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.990000
USD
2024-01-08
XXXX
25755.520000
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
EVERSOURCE ENERGY SR UNSECURED 02/29 5.95
30040WAW8
4400000.000000
PA
USD
4611599.830000
0.115774
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.95
N
N
N
N
N
N
MASTR ADJUSTABLE RT MTGE TRUST 2005-8
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 8 3A1
576433E77
3218343.240000
PA
USD
3163007.050000
0.0794074
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
7.67832
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL
N/A
NATIXIS COMMERCIAL MORTGAGE SE NCMS 2021 APPL A 144A
63874AAA6
900000.000000
PA
USD
844046.640000
0.0211898
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
6.42648
N
N
N
N
N
N
JP MORGAN ALTERNATIVE LOAN TR 2005-A2
N/A
J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 A2 2A1
46627MBS5
460331.680000
PA
USD
340001.440000
0.0085357
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
5.62299
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB A2B 144A
78449DAC0
2336023.860000
PA
USD
2302313.170000
0.0577996
Long
ABS-O
CORP
US
N
2
2054-09-15
Floating
6.32043
N
N
N
N
N
N
ONE NEW YORK PLAZA TRUST 2020-1NYP
N/A
ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A
68249DAA7
6100000.000000
PA
USD
5815943.740000
0.146009
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
6.42648
N
N
N
N
N
N
THORNBURG MORTGAGE SECURITIES TRUST 2007-2
N/A
THORNBURG MORTGAGE SECURITIES TMST 2007 2 A2A
88522WAB9
219492.560000
PA
USD
189779.330000
0.0047644
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
6.81474
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2
N/A
STARWOOD MORTGAGE RESIDENTIAL STAR 2021 2 A1 144A
85573HAA8
929099.410000
PA
USD
842519.700000
0.0211515
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
0.943
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA5105 FN 08/53 FIXED 4.5
31418EU73
1669568.650000
PA
USD
1619300.910000
0.0406526
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 688058 G2 08/38 FIXED 4.5
36296DMF2
69258.240000
PA
USD
67483.120000
0.0016942
Long
ABS-MBS
USGSE
US
N
2
2038-08-20
Fixed
4.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1K0030 FH 07/36 FLOATING VAR
3128NUA79
2194.560000
PA
USD
2229.850000
0.000056
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Floating
6.105
N
N
N
N
N
N
ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2A
N/A
ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2023 2A A1 144A
68269HAA3
10200000.000000
PA
USD
10419969.120000
0.261593
Long
ABS-O
CORP
US
N
2
2036-09-15
Fixed
5.84
N
N
N
N
N
N
FIRST FRANKLIN MTG LOAN ABS 2005-FF10
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF10 A1
32027NWK3
213469.390000
PA
USD
199655.990000
0.0050124
Long
ABS-MBS
CORP
US
N
3
2035-11-25
Floating
6.07043
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2005-AR7
N/A
GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1
362341XG9
6378.670000
PA
USD
5636.530000
0.0001415
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
4.511
N
N
N
N
N
N
SARANAC CLO LTD 2018-6A
N/A
SARANAC CLO LTD SRANC 2018 6A A1R 144A
80317LAJ2
8089051.240000
PA
USD
8090310.460000
0.203107
Long
ABS-CBDO
CORP
JE
N
2
2031-08-13
Floating
6.78078
N
N
N
N
N
N
PIMCO FUNDS
549300XBG0GWIQBZLV45
PIMCO PREFERRED AND CAPITAL SE PIMCO PREF AND CAP SEC ACT
72201R619
106400.000000
NS
USD
5145504.000000
0.129178
Long
EC
RF
US
N
1
N
N
N
HORIZON AIRCRAFT FINANCE I LTD 2019-1
N/A
HORIZON AIRCRAFT FINANCE II LL HORZN 2019 1 A 144A
44040HAA0
3439882.270000
PA
USD
3068305.840000
0.0770299
Long
ABS-O
CORP
KY
N
2
2039-07-15
Fixed
3.721
N
N
N
N
N
N
MELCO RESORTS FINANCE LIMITED
5493000FQDBWKDBZEF60
MELCO RESORTS FINANCE SR UNSECURED 144A 07/28 5.75
58547DAE9
200000.000000
PA
USD
185404.790000
0.0046546
Long
DBT
CORP
KY
N
2
2028-07-21
Fixed
5.75
N
N
N
N
N
N
N/A
N/A
SOLD CAD BOUGHT USD 20240109
000000000
1.000000
NC
-16690.560000
-0.000419
N/A
DFE
CA
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1054000.000000
CAD
778841.180000
USD
2024-01-09
-16690.560000
N
N
N
N/A
N/A
RFR USD SOFR/4.03000 10/04/23-10Y LCH
000000000
1.000000
NC
USD
446059.510000
0.0111983
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2033-10-04
0.000000
USD
-35902.000000
USD
10400000.000000
USD
481961.510000
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL QF0220 FR 09/52 FIXED 5
3133BMG58
23164078.250000
PA
USD
23098610.310000
0.579891
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL AJ2513 G2 01/45 FIXED 4
36182WYJ6
422963.550000
PA
USD
412116.290000
0.0103462
Long
ABS-MBS
USGSE
US
N
2
2045-01-20
Fixed
4
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2021-GS5
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS5 A1 144A
52475XAA2
1972634.040000
PA
USD
1910656.640000
0.0479671
Long
ABS-MBS
CORP
US
N
2
2067-07-25
Fixed
2.25
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA SR UNSECURED 144A 01/27 VAR
05583JAN2
4000000.000000
PA
USD
4033581.600000
0.101263
Long
DBT
CORP
FR
N
2
2027-01-18
Floating
5.975
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS3308 FN 09/44 FIXED 4.5
3138WCVA8
380890.170000
PA
USD
378195.890000
0.0094946
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
4.5
N
N
N
N
N
N
BENCHMARK 2023-V4 MORTGAGE TRUST
N/A
BENCHMARK MORTGAGE TRUST BMARK 2023 V4 A3
081926AC1
6700000.000000
PA
USD
7173428.700000
0.180089
Long
ABS-MBS
CORP
US
N
2
2056-11-15
Fixed
6.84094
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2004-WMC2
N/A
MORGAN STANLEY CAPITAL INC MSAC 2004 WMC2 M1
61746RHS3
670584.560000
PA
USD
674834.590000
0.0169417
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
6.38543
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TR 2006-WF2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2D
17309BAC1
4198168.050000
PA
USD
1608943.710000
0.0403926
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
6.664
N
N
N
N
N
N
BROOKFIELD FINANCE INC
549300XH8D8K6OYWGD17
BROOKFIELD FINANCE INC COMPANY GUAR 01/34 6.35
11271LAK8
5500000.000000
PA
USD
5857706.970000
0.147058
Long
DBT
CORP
CA
N
2
2034-01-05
Fixed
6.35
N
N
N
N
N
N
REGENTS OF THE UNIVERSITY OF CALIFORNIA MEDICAL CENTER POOLED REVENUE
N/A
UNIV OF CALIFORNIA CA RGTS MED UNVHGR 05/20 FIXED 3.706
913366KD1
2000000.000000
PA
USD
1396006.000000
0.0350468
Long
DBT
MUN
US
N
2
2120-05-15
Fixed
3.706
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/4.15500 10/02/23-10Y LCH
000000000
1.000000
NC
USD
630061.420000
0.0158177
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2033-10-02
0.000000
USD
-45577.500000
USD
11800000.000000
USD
675638.920000
N
N
N
CSMC 2020-RPL5 TRUST
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL5 A1 144A
12597XAC5
3231282.890000
PA
USD
3273875.720000
0.0821907
Long
ABS-MBS
CORP
US
N
2
2060-08-25
Fixed
3.023
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL CB6515 FN 06/53 FIXED 5
3140QSGZ8
19332363.800000
PA
USD
19316624.940000
0.484944
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
5
N
N
N
N
N
N
CHOICE HOTELS INTERNATIONAL INC
5493003CYRY5RFGTIR97
CHOICE HOTELS INTL INC SR UNSECURED 12/29 3.7
169905AF3
6700000.000000
PA
USD
5943385.350000
0.149209
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.7
N
N
N
N
N
N
PENNSYLVANIA ELECTRIC COMPANY
O1PLQWO3TX952VMBJ146
PENNSYLVANIA ELECTRIC CO SR UNSECURED 144A 03/26 5.15
708696CA5
900000.000000
PA
USD
899369.040000
0.0225787
Long
DBT
CORP
US
N
2
2026-03-30
Fixed
5.15
N
N
N
N
N
N
ARES XXXVII CLO LTD 2015-4A
N/A
ARES CLO LTD ARES 2015 4A A1R 144A
04015NAG9
7548798.640000
PA
USD
7556233.300000
0.189699
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.82548
N
N
N
N
N
N
VENTURE XXVII CLO LTD 2017-27A
N/A
VENTURE CDO LTD VENTR 2017 27A AR 144A
92331LBC3
3418717.140000
PA
USD
3416748.920000
0.0857776
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.72743
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL AL6978 G2 03/45 FIXED 3.5
36184DXF5
335085.440000
PA
USD
307869.590000
0.0077291
Long
ABS-MBS
USGSE
US
N
2
2045-03-20
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA0254 FN 10/49 FIXED 4.5
31417YH83
6169.490000
PA
USD
5935.210000
0.000149
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC-3891
N/A
FREDDIE MAC FHR 3891 ZD
3137ADWV5
97380.690000
PA
USD
93839.580000
0.0023558
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL ZT1776 FR 03/49 FIXED 3.5
3132AD6M5
1664569.270000
PA
USD
1550931.910000
0.0389362
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
3.5
N
N
N
N
N
N
N/A
N/A
AMERICAN INTERNATIONAL GROUP SNR S* ICE
000000000
1.000000
NC
USD
23407.560000
0.0005876
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
AMERICAN INTERNATIONAL GROUP INC
AIG INC
Y
Single Leg Swap
2026-12-20
29781.290000
USD
0.000000
USD
1400000.000000
USD
-6373.730000
N
N
N
ASSET BACKED FUNDING CERT 2006-OPT1
N/A
ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT1 A3D
00075QAD4
3913000.000000
PA
USD
3796031.430000
0.0952994
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.95043
N
N
N
N
N
N
N/A
N/A
317U4NNA1 PIMCO SWAPTION 4.044 PUT USD 2024010
000000000
-4700000.000000
NC
USD
-24.910000
-0.0000006
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
RFR USD SOFR/4.04400 01/09/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/4.04400 01/09/24-10Y LCH
2034-01-09
0.000000
USD
0.000000
USD
N/A
USD
N/A
4.040000
USD
2024-01-05
XXXX
23475.090000
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8328 FR 06/53 FIXED 4.5
3132DWHD8
13251940.140000
PA
USD
12852947.810000
0.322674
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
4.5
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP SR UNSECURED 04/34 VAR
06051GLH0
7000000.000000
PA
USD
7019867.050000
0.176234
Long
DBT
CORP
US
N
2
2034-04-25
Floating
5.288
N
N
N
N
N
N
DOCTORS CO/THE
MKYKR1GWDRIJRLI1S211
DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5
256141AB8
7800000.000000
PA
USD
6221102.860000
0.156181
Long
DBT
CORP
US
N
2
2032-01-18
Fixed
4.5
N
N
N
N
N
N
SCCU AUTO RECEIVABLES TRUST 2023-1A
N/A
SPACE COAST CREDIT UNION SCCU 2023 1A A4 144A
805922AG6
600000.000000
PA
USD
606192.360000
0.0152185
Long
ABS-O
CORP
US
N
2
2029-08-15
Fixed
5.7
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2006-QS17
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS17 A4
74922SAD0
1007474.700000
PA
USD
821488.120000
0.0206235
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Fixed
6
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-131
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2011 131 PZ
38377XL59
89216.770000
PA
USD
87745.240000
0.0022028
Long
ABS-MBS
USGSE
US
N
2
2040-12-20
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 763863 FN 08/34 FIXED 5.5
31404BTU6
9597.990000
PA
USD
9574.370000
0.0002404
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
5.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004308 G2 12/38 FIXED 5
36202EYD5
12622.520000
PA
USD
12584.460000
0.0003159
Long
ABS-MBS
USGSE
US
N
2
2038-12-20
Fixed
5
N
N
N
N
N
N
RESIDENTIAL ASSET MTG PROD INC 2002-RS2
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2002 RS2 MII2
760985JT9
863941.390000
PA
USD
741863.620000
0.0186245
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Floating
7.49543
N
N
N
N
N
N
BOWDOIN COLLEGE
549300SIUVRUY51G1940
BOWDOIN COLLEGE SR UNSECURED 07/12 4.693
102291AA9
3400000.000000
PA
USD
2834038.240000
0.0711486
Long
DBT
CORP
US
N
2
2112-07-01
Fixed
4.693
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS COMPANY GUAR 09/55 4
25470DBL2
300000.000000
PA
USD
213831.760000
0.0053683
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
4
N
N
N
N
N
N
RENAISSANCE HOME EQUITY LOAN TRUST 2006-2
N/A
RENAISSANCE HOME EQUITY LOAN T RAMC 2006 2 AF4
759676AG4
8664450.720000
PA
USD
3670244.000000
0.0921416
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
6.115
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004673 G2 04/40 FIXED 4.5
36202FFN1
231149.460000
PA
USD
227211.300000
0.0057041
Long
ABS-MBS
USGSE
US
N
2
2040-04-20
Fixed
4.5
N
N
N
N
N
N
DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1
N/A
DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A1A
251510MD2
129236.390000
PA
USD
113271.460000
0.0028437
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
5.431
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 03/34 VAR
404280DV8
7000000.000000
PA
USD
7443708.860000
0.186875
Long
DBT
CORP
GB
N
2
2034-03-09
Floating
6.254
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS INC 2007-QS9
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS9 A33
75116FBH1
2116631.840000
PA
USD
1655097.300000
0.0415513
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.5
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2018-5
N/A
TOWD POINT MORTGAGE TRUST TPMT 2018 5 A1A 144A
89176VAK8
4041080.490000
PA
USD
3922062.990000
0.0984635
Long
ABS-MBS
CORP
US
N
2
2058-07-25
Variable
3.25
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY 09/31 VAR
251526CD9
600000.000000
PA
USD
526909.630000
0.0132281
Long
DBT
CORP
DE
N
2
2031-09-18
Floating
3.547
N
N
N
N
N
N
FREDDIE MAC 2613
N/A
FREDDIE MAC FHR 2613 LL
31393RFB1
23000.000000
PA
USD
22944.980000
0.000576
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Fixed
5
N
N
N
N
N
N
GOLDEN STATE TOBACCO SECURITIZATION
N/A
GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85
38122ND82
4230000.000000
PA
USD
3920542.930000
0.0984253
Long
DBT
MUN
US
N
2
2050-06-01
Fixed
3.85
N
N
N
N
N
N
MFA 2020-NQM2 TRUST
N/A
MFRA TRUST MFRA 2020 NQM2 A2 144A
552751AB5
1206060.750000
PA
USD
1114714.910000
0.0279849
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.638
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA5163 FN 10/53 FIXED 4.5
31418EWZ9
5732381.690000
PA
USD
5559789.880000
0.139579
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
4.5
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2006-WFH1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH1 M6
17307G2T4
1780000.000000
PA
USD
1721129.350000
0.043209
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
6.37043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31311 FG 08/36 FIXED 5.5
31281BN48
1954.110000
PA
USD
2011.960000
0.0000505
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G00367 FG 04/25 FIXED 10
31283GMQ7
269.410000
PA
USD
269.050000
0.0000068
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
10
N
N
N
N
N
N
FIRST FRANKLIN MTG LN ASSET CERT2004-FF8
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF8 M3
32027NNS6
900841.100000
PA
USD
901320.260000
0.0226277
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
6.89543
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST 2023-DSC1
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC1 A1 144A
46656NAA7
5570742.800000
PA
USD
5261173.840000
0.132082
Long
ABS-MBS
CORP
US
N
2
2063-07-25
Variable
4.625
N
N
N
N
N
N
TEXAS PRIVATE ACTIVITY SURFACE TRANSPORTATION CORP
N/A
TEXAS ST PRIV ACTIVITY BOND SU TXSTRN 12/49 FIXED 3.922
882667AZ1
4200000.000000
PA
USD
3414412.680000
0.0857189
Long
DBT
MUN
US
N
2
2049-12-31
Fixed
3.922
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL L10157 FG 01/35 FIXED 5.5
3128DHE67
480271.370000
PA
USD
480283.890000
0.0120575
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 257180 FN 04/38 FIXED 5
31371NUD5
4879.810000
PA
USD
4804.220000
0.0001206
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA2217 G2 09/44 FIXED 4.5
36179QPA3
104950.140000
PA
USD
103160.890000
0.0025899
Long
ABS-MBS
USGSE
US
N
2
2044-09-20
Fixed
4.5
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG
952NPKII9
6200000.000000
PA
USD
744000.000000
0.0186781
Long
DBT
CORP
US
N
2
2060-12-31
None
0
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
BANCO SANTANDER SA SR UNSECURED 05/30 3.49
05971KAF6
1400000.000000
PA
USD
1259727.530000
0.0316255
Long
DBT
CORP
ES
N
2
2030-05-28
Fixed
3.49
N
N
N
N
N
N
INDYMAC RESIDENTIAL ASSET BACKED 2006-D
N/A
INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A4
43709LAD9
6128774.870000
PA
USD
4736982.190000
0.118922
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
5.71043
N
N
N
N
N
N
UNIVERSITY OF CALIFORNIA
N/A
UNIV OF CALIFORNIA CA REVENUES UNVHGR 12/99 FIXED 4.767
91412GC86
2100000.000000
PA
USD
1947555.750000
0.0488934
Long
DBT
MUN
US
N
2
2099-12-31
Fixed
4.767
N
N
N
N
N
N
FANNIE MAE REMICS 2010-9
N/A
FANNIE MAE FNR 2010 9 GO
31398MBW5
31761.340000
PA
USD
26549.720000
0.0006665
Long
ABS-MBS
USGSE
US
N
2
2040-02-25
None
0
N
N
N
N
N
N
MOUNTAIN VIEW CLO LLC 2017-1A
N/A
MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A
62432HAJ9
1506586.370000
PA
USD
1507022.260000
0.0378338
Long
ABS-CBDO
CORP
KY
N
2
2029-10-16
Floating
6.74548
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N30959 FG 03/33 FIXED 5
31281BB41
43.130000
PA
USD
43.930000
0.0000011
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
5
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/40 3.3
694308JH1
2200000.000000
PA
USD
1613760.590000
0.0405135
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.3
N
N
N
N
N
N
VENTURE CDO LTD 2016-25A
N/A
VENTURE CDO LTD VENTR 2016 25A ARR 144A
92329VAS1
2008834.980000
PA
USD
2010457.840000
0.0504726
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
6.69743
N
N
N
N
N
N
VENTURE XXIV CLO LTD 2016-24A
N/A
VENTURE CDO LTD VENTR 2016 24A ARR 144A
92330WBJ5
2779661.590000
PA
USD
2777478.440000
0.0697287
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
6.57743
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004674 G2 04/40 FIXED 5
36202FFP6
8191.570000
PA
USD
8226.640000
0.0002065
Long
ABS-MBS
USGSE
US
N
2
2040-04-20
Fixed
5
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
AIR CANADA 2021 TERM LOAN B
C0102MAP0
2567500.000000
PA
USD
2578527.410000
0.064734
Long
LON
CORP
CA
N
2
2028-08-11
Floating
9.1393
N
N
N
N
N
N
VENTURE CLO LTD 2014-17A
N/A
VENTURE CDO LTD VENTR 2014 17A ARR 144A
92329YAL0
2511062.250000
PA
USD
2510738.270000
0.0630321
Long
ABS-CBDO
CORP
KY
N
2
2027-04-15
Floating
6.53548
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 11/27 VAR
404280CX5
4000000.000000
PA
USD
3672816.480000
0.0922061
Long
DBT
CORP
GB
N
2
2027-11-22
Floating
2.251
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 10/30 VAR
95000U2G7
1000000.000000
PA
USD
889661.190000
0.022335
Long
DBT
CORP
US
N
2
2030-10-30
Floating
2.879
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004593 G2 12/39 FIXED 5
36202FC61
29916.020000
PA
USD
29918.090000
0.0007511
Long
ABS-MBS
USGSE
US
N
2
2039-12-20
Fixed
5
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
UNITED AIRLINES, INC. 2021 TERM LOAN B
90932RAJ3
1555350.100000
PA
USD
1563126.850000
0.0392423
Long
LON
CORP
US
N
2
2028-04-21
Floating
9.2198
N
N
N
N
N
N
BGC GROUP INC
2549001IGRCG4F0RLD36
BGC GROUP INC SR UNSECURED 10/24 3.75
088929AA2
3300000.000000
PA
USD
3226755.870000
0.0810078
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
3.75
N
N
N
N
N
N
NEW YORK LIFE INSURANCE COMPANY
TAE73CY392TBWJ3O3305
NEW YORK LIFE INSURANCE SUBORDINATED 144A 05/69 4.45
64952GAQ1
3700000.000000
PA
USD
3177818.590000
0.0797792
Long
DBT
CORP
US
N
2
2069-05-15
Fixed
4.45
N
N
N
N
N
N
FREDDIE MAC 2577
N/A
FREDDIE MAC FHR 2577 LO
31393LCP6
279080.440000
PA
USD
252827.400000
0.0063472
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
None
0
N
N
N
N
N
N
STRUCTURED ASSET INVESTMENT LN TR 2004-2
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4
86358EGW0
1940327.740000
PA
USD
1901426.890000
0.0477354
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Floating
6.17543
N
N
N
N
N
N
N/A
N/A
317U4P1A0 PIMCO SWAPTION 3.494 CALL USD 202401
000000000
-1600000.000000
NC
USD
-11873.120000
-0.0002981
N/A
DIR
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
N/A
N/A
RFR USD SOFR/3.49400 01/10/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.49400 01/10/24-10Y LCH
2034-01-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.490000
USD
2024-01-08
XXXX
-4533.120000
N
N
N
ANTARES HOLDINGS LP
5493008EAIGV4283RM42
ANTARES HOLDINGS SR UNSECURED 144A 07/26 3.95
03666HAC5
1000000.000000
PA
USD
930802.170000
0.0233678
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
3.95
N
N
N
N
N
N
MFA 2023-INV2 TRUST
N/A
MFRA TRUST MFRA 2023 INV2 A1 144A
59319BAA5
1186172.440000
PA
USD
1200650.620000
0.0301424
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
6.775
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB3085 FN 06/51 FIXED 4.5
31416YNB0
162270.970000
PA
USD
156102.620000
0.003919
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC REMICS 4165
N/A
FREDDIE MAC FHR 4165 KZ
3137AYRT0
218.820000
PA
USD
148.610000
0.0000037
Long
ABS-MBS
USGSE
US
N
2
2043-02-15
Fixed
3
N
N
N
N
N
N
FANNIE MAE 2001-14
N/A
FANNIE MAE FNR 2001 14 Z
31359SWU0
7235.010000
PA
USD
7235.430000
0.0001816
Long
ABS-MBS
USGSE
US
N
2
2031-05-25
Fixed
6
N
N
N
N
N
N
WESLEYAN UNIVERSITY
MR0KVN5WYB7MX4TE2T37
WESLEYAN UNIVERSITY UNSECURED 07/16 4.781
95101VAA7
3248000.000000
PA
USD
2777735.790000
0.0697351
Long
DBT
CORP
US
N
2
2116-07-01
Fixed
4.781
N
N
N
N
N
N
AVOLON TLB BORROWER 1 (US) LLC
635400O84AGITYFZQB55
AVOLON TLB BORROWER 1 (US) LLC 2021 TERM LOAN B5
05400KAH3
1270603.030000
PA
USD
1273379.300000
0.0319682
Long
LON
CORP
US
N
2
2027-12-01
Floating
7.7079
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2021-SL1
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2021 SL1 A 144A
52475PAA9
344017.380000
PA
USD
342457.090000
0.0085974
Long
ABS-MBS
CORP
US
N
2
2060-09-25
Variable
1.991
N
N
N
N
N
N
RESIDENTIAL ACCREDIT LOANS 2006-QS6
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A8
74922EAH2
1243578.230000
PA
USD
957447.170000
0.0240367
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6
N
N
N
N
N
N
HOME EQUITY ASSET TRUST 2007-3
N/A
HOME EQUITY ASSET TRUST HEAT 2007 3 2A3
43710TAD9
442186.010000
PA
USD
438218.360000
0.0110015
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
5.95043
N
N
N
N
N
N
WELLFLEET CLO LTD 2015-1
N/A
WELLFLEET CLO LTD WELF 2015 1A AR4 144A
949496BJ1
252655.710000
PA
USD
252578.590000
0.006341
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
6.56743
N
N
N
N
N
N
MKS CLO LTD 2017-2A
N/A
MKS CLO LTD MKS 2017 2A A 144A
12662CAA5
2267595.410000
PA
USD
2269911.490000
0.0569862
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
6.86743
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2004-D
N/A
FREMONT HOME LOAN TRUST FHLT 2004 D M1
35729PGC8
5756296.290000
PA
USD
5068865.570000
0.127254
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
6.34043
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL3453 FN 09/37 FIXED VAR
3138EKZT5
381718.630000
PA
USD
387534.010000
0.009729
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 2A4
83613DAE6
3671675.920000
PA
USD
2817127.130000
0.070724
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.72043
N
N
N
N
N
N
ARES CAPITAL CORPORATION
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP SR UNSECURED 07/25 3.25
04010LAY9
1800000.000000
PA
USD
1724694.070000
0.0432985
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.25
N
N
N
N
N
N
WASHINGTON MUTUAL MTGE P/T 2006-AR3
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR3 A1A
93934FQP0
373373.060000
PA
USD
268240.760000
0.0067342
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
5.9818
N
N
N
N
N
N
FANNIE MAE REMICS 2007-72
N/A
FANNIE MAE FNR 2007 72 B
31396WQN9
30105.490000
PA
USD
31074.780000
0.0007801
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31417 FG 07/37 FIXED 5.5
31281BSE1
2707.640000
PA
USD
2787.750000
0.00007
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.5
N
N
N
N
N
N
NOMURA HOME EQUITY LOAN INC 2005-FM1
N/A
NOMURA HOME EQUITY LOAN INC NHELI 2005 FM1 M3
65536HAH1
1009835.140000
PA
USD
991275.380000
0.024886
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
6.23543
N
N
N
N
N
N
SOUND POINT CLO IX LTD 2015-2A
N/A
SOUND POINT CLO LTD SNDPT 2015 2A ARRR 144A
83609GBN4
13000000.000000
PA
USD
12847377.010000
0.322534
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
6.88743
N
N
N
N
N
N
ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1
N/A
ARBOR MULTIFAMILY MORTGAGE SEC AMMST 2020 MF1 A5 144A
03881BAE3
4600000.000000
PA
USD
4068729.440000
0.102146
Long
ABS-MBS
CORP
US
N
2
2053-05-15
Fixed
2.7563
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
AIR CANADA SR SECURED 144A 08/26 3.875
008911BK4
1000000.000000
PA
USD
956019.800000
0.0240009
Long
DBT
CORP
CA
N
2
2026-08-15
Fixed
3.875
N
N
N
N
N
N
THE TRUSTEES OF THE UNIVERSITY OF PENNSYLVANIA
549300FG60YK9HZ7DS75
UNIVERSITY OF PENNSYLVAN SR UNSECURED 09/12 4.674
91481CAA8
1180000.000000
PA
USD
1103231.540000
0.0276967
Long
DBT
CORP
US
N
2
2112-09-01
Fixed
4.674
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 04/31 2.8
161175BU7
2100000.000000
PA
USD
1772770.780000
0.0445054
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.8
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2005-A
N/A
SLM STUDENT LOAN TRUST SLMA 2005 A A4
78443CBV5
336889.600000
PA
USD
327017.490000
0.0082098
Long
ABS-O
CORP
US
N
2
2038-12-15
Floating
5.95624
N
N
N
N
N
N
TENNESSEE GAS PIPELINE COMPANY LLC
N/A
TENNESSEE GAS PIPELINE COMPANY GUAR 144A 03/30 2.9
880451AZ2
8000000.000000
PA
USD
7049933.040000
0.176989
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.9
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST 2019-GS1
N/A
MILL CITY MORTGAGE TRUST MCMLT 2019 GS1 A1 144A
59981BAC8
2437385.140000
PA
USD
2329888.900000
0.0584919
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Fixed
2.75
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INT LLC / EMC CORP SR UNSECURED 10/29 5.3
24703TAG1
7400000.000000
PA
USD
7626152.810000
0.191455
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31497 FG 05/38 FIXED 5
31281BUW8
1987.610000
PA
USD
2024.560000
0.0000508
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5
N
N
N
N
N
N
UNITED AIRLINES 2019-1 CLASS A PASS THROUGH TRUST
N/A
UNITED AIR 2019 1 A PTT PASS THRU CE 08/31 4.55
90931EAA2
1965518.990000
PA
USD
1747456.450000
0.0438699
Long
DBT
CORP
US
N
2
2031-08-25
Fixed
4.55
N
N
N
N
N
N
PREFERRED TERM SECURITIES XXIV LTD/PREFERRED TERM SECURITIES XXIV INC
N/A
PREFERRED TERM XXIV SR SECURED 144A 03/37 VAR
74043CAA5
1754484.900000
PA
USD
1596581.260000
0.0400822
Long
DBT
CORP
KY
N
2
2037-03-22
Floating
5.94624
N
N
N
N
N
N
N/A
N/A
317U4PNA6 PIMCO SWAPTION 4.05 PUT USD 20240112
000000000
-2500000.000000
NC
USD
-454.500000
-0.0000114
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
RFR USD SOFR/4.05000 01/17/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/4.05000 01/17/24-10Y LCH
2034-01-17
0.000000
USD
0.000000
USD
N/A
USD
N/A
4.050000
USD
2024-01-12
XXXX
10983.000000
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A94576 FG 10/40 FIXED 4
312943CM3
195.800000
PA
USD
191.170000
0.0000048
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4
N
N
N
N
N
N
VB-S1 ISSUER LLC - VBTEL 2022-1A
N/A
VB S1 ISSUER LLC VBTEL 2022 1A C2II 144A
91823AAW1
2400000.000000
PA
USD
1983640.320000
0.0497993
Long
ABS-O
CORP
US
N
2
2057-02-15
Fixed
3.706
N
N
N
N
N
N
SAXON ASSET SECURITIES TR 2004-3
N/A
SAXON ASSET SECURITIES TRUST SAST 2004 3 M5
805564QZ7
1772861.650000
PA
USD
1346649.750000
0.0338077
Long
ABS-MBS
CORP
US
N
2
2034-12-26
Floating
7.19543
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004384 G2 03/39 FIXED 4.5
36202E2R9
15431.260000
PA
USD
15161.880000
0.0003806
Long
ABS-MBS
USGSE
US
N
2
2039-03-20
Fixed
4.5
N
N
N
N
N
N
STRUCTURED ASSET INVST LN TR 2006-4
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A1
86360WAA0
4721713.010000
PA
USD
2825810.200000
0.070942
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.64293
N
N
N
N
N
N
AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)
5493006ORUSIL88JOE18
AMERICAN TOWER CORP SR UNSECURED 11/28 5.8
03027XCE8
1600000.000000
PA
USD
1663722.910000
0.0417678
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.8
N
N
N
N
N
N
RAPTOR AIRCRAFT FINANCE LLC 2019-1
N/A
RAPTOR AIRCRAFT FINANCE LLC RPTOR 2019 1 A 144A
75383HAA9
1932063.150000
PA
USD
1556893.970000
0.0390859
Long
ABS-O
CORP
KY
N
2
2044-08-23
Fixed
4.213
N
N
N
N
N
N
STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2
N/A
STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A
78486BAA2
10081862.990000
PA
USD
9842560.390000
0.247098
Long
ABS-CBDO
CORP
KY
N
2
2038-04-18
Floating
6.67273
N
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2006-HE2
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE2 M1
46625SAF3
1510000.000000
PA
USD
1373652.130000
0.0344856
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.92043
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 06/28 VAR
404280DF3
2500000.000000
PA
USD
2464784.480000
0.0618785
Long
DBT
CORP
GB
N
2
2028-06-09
Floating
4.755
N
N
N
N
N
N
REPERFORMING LOAN REMIC TRUST 2006-R1
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 R1 AF1 144A
12669UCN8
1057020.740000
PA
USD
979543.450000
0.0245915
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.81043
N
N
N
N
N
N
KKR GROUP FINANCE CO X LLC
N/A
KKR GROUP FIN CO X LLC COMPANY GUAR 144A 12/51 3.25
48255BAA4
1000000.000000
PA
USD
691038.450000
0.0173485
Long
DBT
CORP
US
N
2
2051-12-15
Fixed
3.25
N
N
N
N
N
N
N/A
N/A
SOLD GBP BOUGHT USD 20240109
000000000
1.000000
NC
-4057.460000
-0.0001019
N/A
DFE
GB
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
454000.000000
GBP
574652.770000
USD
2024-01-09
-4057.460000
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 944066 FN 07/37 FIXED 6.5
31413FJK9
1613.140000
PA
USD
1612.660000
0.0000405
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.5
N
N
N
N
N
N
AIRCASTLE LIMITED
549300PNK8AKY3OIKP58
AIRCASTLE LTD SR UNSECURED 06/26 4.25
00928QAS0
3800000.000000
PA
USD
3674202.630000
0.0922409
Long
DBT
CORP
BM
N
2
2026-06-15
Fixed
4.25
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY SR UNSECURED 04/34 VAR
61747YFE0
2400000.000000
PA
USD
2400882.910000
0.0602742
Long
DBT
CORP
US
N
2
2034-04-21
Floating
5.25
N
N
N
N
N
N
N/A
N/A
US 10YR ULTRA FUT MAR24 XCBT 20240319
000000000
429.000000
NC
USD
-136401.410000
-0.0034244
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2024-03-19
50524804.900000
USD
-136401.410000
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-6
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3
12669LAD2
1623606.600000
PA
USD
1654988.320000
0.0415485
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
5.69043
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.81000 01/02/24-10Y LCH
000000000
1.000000
NC
USD
-69629.760000
-0.0017481
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2034-01-02
0.000000
USD
0.000000
USD
2400000.000000
USD
-69629.760000
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP SR UNSECURED 12/27 4.25
55336VBN9
2000000.000000
PA
USD
1958280.360000
0.0491627
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.25
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6
N/A
SANTANDER DRIVE AUTO RECEIVABL SDART 2023 6 A3
80287DAC1
1700000.000000
PA
USD
1732110.790000
0.0434847
Long
ABS-O
CORP
US
N
2
2028-07-17
Fixed
5.93
N
N
N
N
N
N
N/A
N/A
317U4RIA8 PIMCO SWAPTION 3.35 CALL USD 2024011
000000000
-2300000.000000
NC
USD
-11975.870000
-0.0003007
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
RFR USD SOFR/3.35000 01/22/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.35000 01/22/24-10Y LCH
2034-01-22
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.350000
USD
2024-01-18
XXXX
-590.870000
N
N
N
MMCAPS FUNDING XVIII LTD
549300ZF6EZYDGUCIW80
MMCAPS FUND XVIII LTD SR SECURED 144A 12/39 VAR
60688HAA3
560764.190000
PA
USD
524314.520000
0.0131629
Long
DBT
CORP
KY
N
2
2039-12-26
Floating
5.91174
N
N
N
N
N
N
GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-2
N/A
GM FINANCIAL REVOLVING RECEIVA GMREV 2023 2 A 144A
36268DAA0
3600000.000000
PA
USD
3757254.480000
0.094326
Long
ABS-O
CORP
US
N
2
2036-08-11
Fixed
5.77
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SR UNSECURED 144A 01/34 VAR
83368RBS0
2500000.000000
PA
USD
2642724.380000
0.0663457
Long
DBT
CORP
FR
N
2
2034-01-10
Floating
6.691
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
EXTRA SPACE STORAGE LP COMPANY GUAR 01/31 5.9
30225VAR8
2100000.000000
PA
USD
2193219.190000
0.0550608
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.9
N
N
N
N
N
N
N/A
N/A
BOEING CO/THE SNR S* ICE
000000000
1.000000
NC
USD
84531.140000
0.0021222
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
BOEING CO/THE
BOEING CO SR UNSEC
Y
Single Leg Swap
2026-12-20
0.000000
USD
-22465.540000
USD
5300000.000000
USD
106996.680000
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2022-LP2
N/A
BX TRUST BX 2022 LP2 A 144A
05610HAA1
6399548.720000
PA
USD
6290580.400000
0.157925
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
6.37471
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 257280 FN 05/48 FIXED 4.5
31371NXH3
214834.110000
PA
USD
206838.160000
0.0051927
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC-2614
N/A
FREDDIE MAC FHR 2614 SJ
31393QNV0
23513.160000
PA
USD
25175.510000
0.000632
Long
ABS-MBS
USGSE
US
N
2
2033-05-15
Floating
4.66697
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
EXPEDIA GROUP INC COMPANY GUAR 02/30 3.25
30212PAR6
2200000.000000
PA
USD
2018143.030000
0.0506655
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.25
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8366 FR 10/53 FIXED 5
3132DWJK0
180915942.530000
PA
USD
179024115.370000
4.4944
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
5
N
N
N
N
N
N
BSPRT 2022-FL9 ISSUER LTD
N/A
BSPRT ISSUER, LTD. BSPRT 2022 FL9 A 144A
055984AA6
4000000.000000
PA
USD
3970800.000000
0.099687
Long
ABS-CBDO
CORP
US
N
2
2039-07-15
Floating
7.65781
N
N
N
N
N
N
VMWARE LLC
549300BUDHS3LRWBE814
VMWARE LLC SR UNSECURED 08/31 2.2
928563AL9
2000000.000000
PA
USD
1658337.920000
0.0416326
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.2
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256849 FN 08/37 FIXED 6
31371NH24
4422.000000
PA
USD
4519.890000
0.0001135
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A92791 FG 07/40 FIXED 4.5
312941C47
37867.680000
PA
USD
37864.030000
0.0009506
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.5
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2021-GS3
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A
52474XAA3
1179300.620000
PA
USD
1138241.500000
0.0285756
Long
ABS-MBS
CORP
US
N
2
2061-07-25
Fixed
1.75
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL BA5040 GN 06/47 FIXED 4
3617AHS59
2290264.240000
PA
USD
2206747.210000
0.0554004
Long
ABS-MBS
USGSE
US
N
2
2047-06-15
Fixed
4
N
N
N
N
N
N
BLACKSTONE HOLDINGS FINANCE CO LLC
549300D2L6J4NC1QVZ22
BLACKSTONE HOLDINGS FINA COMPANY GUAR 144A 08/28 1.625
09261BAC4
3000000.000000
PA
USD
2612268.420000
0.0655811
Long
DBT
CORP
US
N
2
2028-08-05
Fixed
1.625
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
UNITED AIRLINES INC SR SECURED 144A 04/26 4.375
90932LAG2
3400000.000000
PA
USD
3315647.020000
0.0832394
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.375
N
N
N
N
N
N
MEXICO GOVT
254900EGTWEU67VP6075
UNITED MEXICAN STATES SR UNSECURED 12/99 5.75
91086QAZ1
4000000.000000
PA
USD
3594702.240000
0.0902451
Long
DBT
NUSS
MX
N
2
2099-12-31
Fixed
5.75
N
N
N
N
N
N
FIRST FRANKLIN MTG LOAN ABS 2005-FF1
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF1 M3
32027NQN4
1475270.880000
PA
USD
1437035.250000
0.0360768
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
6.65543
N
N
N
N
N
N
N/A
N/A
FORD MOTOR CREDIT COMPANY LLC SNR S* ICE
000000000
1.000000
NC
USD
34248.970000
0.0008598
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
FORD MOTOR CREDIT COMPANY LLC
FORD MOTOR CREDIT CO LLC
Y
Single Leg Swap
2027-06-20
15870.210000
USD
0.000000
USD
300000.000000
USD
18378.760000
N
N
N
DAIMLER TRUCKS RETAIL TRUST 2022-1
N/A
DAIMLER TRUCKS RETAIL TRUST DTRT 2022 1 A4
233869AD8
2500000.000000
PA
USD
2500104.500000
0.0627652
Long
ABS-O
CORP
US
N
2
2030-01-15
Fixed
5.39
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C90913 FG 08/25 FIXED 5.5
3128P7AN3
4426.910000
PA
USD
4449.180000
0.0001117
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
5.5
N
N
N
N
N
N
ARCH CAPITAL GROUP LTD
549300AYR4P8AFKDCE43
ARCH CAPITAL GROUP LTD SR UNSECURED 06/50 3.635
03939AAA5
6900000.000000
PA
USD
5276189.050000
0.132459
Long
DBT
CORP
BM
N
2
2050-06-30
Fixed
3.635
N
N
N
N
N
N
N/A
N/A
317U4NIA7 PIMCO SWAPTION 3.6475 CALL USD 20240
000000000
-4700000.000000
NC
USD
-76076.080000
-0.0019099
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
RFR USD SOFR/3.64750 01/08/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.64750 01/08/24-10Y LCH
2034-01-08
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.650000
USD
2024-01-04
XXXX
-54691.080000
N
N
N
N/A
N/A
317U4SPA8 PIMCO SWAPTION 3.685 PUT USD 2024012
000000000
-4700000.000000
NC
USD
-13658.200000
-0.0003429
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
N/A
N/A
RFR USD SOFR/3.68500 01/24/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.68500 01/24/24-10Y LCH
2034-01-24
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.690000
USD
2024-01-22
XXXX
5611.800000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 08/33 VAR
404280DH9
4200000.000000
PA
USD
4220545.980000
0.105957
Long
DBT
CORP
GB
N
2
2033-08-11
Floating
5.402
N
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTS 2006-20
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 2A4
12667HAE1
6625593.720000
PA
USD
6007352.280000
0.150815
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
5.93043
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AD8319 FN 07/40 FIXED 4.5
31418WG53
241654.040000
PA
USD
241138.350000
0.0060538
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.5
N
N
N
N
N
N
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT
N/A
BANC OF AMERICA MERRILL LYNCH BAMLL 2019 AHT A 144A
05525DAA4
5385000.000000
PA
USD
5344130.000000
0.134164
Long
ABS-MBS
CORP
US
N
2
2034-03-15
Floating
6.60901
N
N
N
N
N
N
N/A
N/A
317U4R2A5 PIMCO SWAPTION 3.2725 CALL USD 20240
000000000
-5400000.000000
NC
USD
-15296.580000
-0.000384
N/A
DIR
US
N
2
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
Call
Written
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
N/A
N/A
RFR USD SOFR/3.27250 01/18/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.27250 01/18/24-10Y LCH
2034-01-18
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.270000
USD
2024-01-16
XXXX
7720.920000
N
N
N
N/A
N/A
DEUTSCHE BANK REPO REPO
000000000
31400000.000000
PA
USD
31400000.000000
0.788298
Long
RA
US
N
2
Repurchase
N
5.420000
2024-01-02
44067000.000000
USD
32020011.570000
USD
UST
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3692 FN 07/49 FIXED 3.5
31418DC67
1208443.500000
PA
USD
1122258.510000
0.0281743
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.5
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T MOBILE USA INC COMPANY GUAR 03/32 2.7
87264ACQ6
2500000.000000
PA
USD
2132012.600000
0.0535242
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.7
N
N
N
N
N
N
WSTN TRUST 2023-MAUI
N/A
WSTN TRUST WSTN 2023 MAUI A 144A
92943AAA2
3500000.000000
PA
USD
3569809.600000
0.0896201
Long
ABS-MBS
CORP
US
N
2
2037-07-05
Fixed
6.57652
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-NC1
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2D
617505AE2
2803837.010000
PA
USD
1307629.950000
0.0328281
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
5.69043
N
N
N
N
N
N
FREDDIE MAC REMICS 4158
N/A
FREDDIE MAC FHR 4158 KZ
3137AXUV3
41.880000
PA
USD
28.710000
0.0000007
Long
ABS-MBS
USGSE
US
N
2
2043-01-15
Fixed
3
N
N
N
N
N
N
522 FUNDING CLO I LTD 2018-3A
N/A
522 FUNDING CLO LTD MORGN 2018 3A AR 144A
33835NAA9
4400000.000000
PA
USD
4389011.750000
0.110186
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
6.71743
N
N
N
N
N
N
NGPL PIPECO LLC
549300K3NT1HSQFEM073
NGPL PIPECO LLC SR UNSECURED 144A 08/27 4.875
62912XAF1
3200000.000000
PA
USD
3144645.920000
0.0789464
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.875
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1
N/A
STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A2 144A
85573EAB3
544280.360000
PA
USD
493862.690000
0.0123984
Long
ABS-MBS
CORP
US
N
2
2055-11-25
Fixed
1.439
N
N
N
N
N
N
TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4
N/A
TPG REAL ESTATE FINANCE TRTX 2021 FL4 A 144A
87276WAA1
6088335.880000
PA
USD
5944977.370000
0.149249
Long
ABS-CBDO
CORP
KY
N
2
2038-03-15
Floating
6.67629
N
N
N
N
N
N
ARES MANAGEMENT CORPORATION
529900JUV61FH7B8VW38
ARES MANAGEMENT CORP COMPANY GUAR 11/28 6.375
03990BAA9
4000000.000000
PA
USD
4196570.960000
0.105355
Long
DBT
CORP
US
N
2
2028-11-10
Fixed
6.375
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H10170 FG 07/37 FIXED 5.5
3128N0FK1
14255.790000
PA
USD
14040.870000
0.0003525
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.5
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.84200 12/26/23-10Y LCH
000000000
1.000000
NC
USD
-71684.250000
-0.0017996
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2033-12-26
0.000000
USD
0.000000
USD
2300000.000000
USD
-71684.250000
N
N
N
RBSGC MORTGAGE PASS THROUGH CERTIFICATES 2005-RP1
N/A
RBSGC MORTGAGE PASS THROUGH CE RBSGC 2005 RP1 1F 144A
74927UAA6
1286119.190000
PA
USD
1143561.880000
0.0287091
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
5.85043
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
01F030637
34000000.000000
PA
USD
30149765.880000
0.756911
Long
ABS-MBS
USGSE
US
N
2
2054-03-13
Fixed
3
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA4253 G2 02/47 FIXED 4.5
36179SWN3
24464.790000
PA
USD
23852.320000
0.0005988
Long
ABS-MBS
USGSE
US
N
2
2047-02-20
Fixed
4.5
N
N
N
N
N
N
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2002-HE2
N/A
ASSET BACKED SECURITIES CORP H ABSHE 2002 HE2 B
045413CW9
330476.470000
PA
USD
315709.230000
0.0079259
Long
ABS-MBS
CORP
US
N
2
2032-08-15
Floating
8.70129
N
N
N
N
N
N
N/A
N/A
317U4NQA8 PIMCO SWAPTION 3.56 CALL USD 2024010
000000000
-4700000.000000
NC
USD
-49518.260000
-0.0012432
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
RFR USD SOFR/3.56000 01/09/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.56000 01/09/24-10Y LCH
2034-01-09
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.560000
USD
2024-01-05
XXXX
-25430.760000
N
N
N
FERGUSON FINANCE PLC
2138003A7ZEU931DZL61
FERGUSON FINANCE PLC COMPANY GUAR 144A 06/30 3.25
314890AB0
2000000.000000
PA
USD
1790824.080000
0.0449587
Long
DBT
CORP
GB
N
2
2030-06-02
Fixed
3.25
N
N
N
N
N
N
PAGAYA AI DEBT TRUST 2023-3
N/A
PAGAYA AI DEBT SELECTION TRUST PAID 2023 3 A 144A
69548BAA7
2855847.240000
PA
USD
2872415.440000
0.072112
Long
ABS-O
CORP
US
N
2
2030-12-16
Fixed
7.6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 005123 G2 07/41 FIXED 4.5
36202FVQ6
46836.940000
PA
USD
46025.800000
0.0011555
Long
ABS-MBS
USGSE
US
N
2
2041-07-20
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE REMICS 2012-102
N/A
FANNIE MAE FNR 2012 102 HS
3136A8RK8
20564118.260000
PA
USD
2892191.060000
0.0726085
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Floating
0.54809
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 889885 FN 04/38 FIXED VAR
31410KUJ1
5074.540000
PA
USD
4968.810000
0.0001247
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.5
N
N
N
N
N
N
LAD AUTO RECEIVABLES TRUST 2023-4
N/A
LAD AUTO RECEIVABLES TRUST LADAR 2023 4A A4 144A
50571AAD3
5000000.000000
PA
USD
5081969.500000
0.127583
Long
ABS-O
CORP
US
N
2
2028-06-15
Fixed
6.24
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SR UNSECURED 11/30 VAR
17308CC53
4700000.000000
PA
USD
4188385.070000
0.10515
Long
DBT
CORP
US
N
2
2030-11-05
Floating
2.976
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL K00042 FG 07/37 FIXED 6.5
31301ABK3
2900.000000
PA
USD
3061.720000
0.0000769
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 889388 FN 03/38 FIXED VAR
31410KCZ5
19916.260000
PA
USD
20580.880000
0.0005167
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
7
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q31067 FG 02/45 FIXED 4
3132QMFH9
643874.500000
PA
USD
623427.530000
0.0156512
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2006-AR6
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR6 2A2
17309RAH5
514111.880000
PA
USD
466579.000000
0.0117135
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.79043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL J39776 FG 10/33 FIXED 3.5
31307W2H6
104961.450000
PA
USD
103223.500000
0.0025914
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
3.5
N
N
N
N
N
N
BLUE OWL CAPITAL CORPORATION
2549000BD79OOCPF2L94
BLUE OWL CAPITAL CORP SR UNSECURED 03/25 4
69121KAB0
1700000.000000
PA
USD
1652916.610000
0.0414965
Long
DBT
CORP
US
N
2
2025-03-30
Fixed
4
N
N
N
N
N
N
WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)
06BTX5UWZD0GQ5N5Y745
WESTINGHOUSE AIR BRAKE COMPANY GUAR 09/28 4.7
960386AM2
6130000.000000
PA
USD
6066479.840000
0.152299
Long
DBT
CORP
US
N
2
2028-09-15
Variable
4.95
N
N
N
N
N
N
FANNIE MAE INTEREST STRIP 314
N/A
FANNIEMAE STRIP FNS 314 1
3136FABE9
10100.300000
PA
USD
9121.450000
0.000229
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
None
0
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2008-7
N/A
SLM STUDENT LOAN TRUST SLMA 2008 7 A4
78445FAD7
2902434.160000
PA
USD
2855810.330000
0.0716952
Long
ABS-O
CORP
US
N
2
2049-07-25
Floating
6.49564
N
N
N
N
N
N
LONG BEACH MORTGAGE LOAD TR 2005-WL1
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M4
542514LL6
3979489.110000
PA
USD
3839512.170000
0.096391
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
6.52043
N
N
N
N
N
N
N/A
N/A
GENERAL MOTORS COMPANY SNR S* ICE
000000000
1.000000
NC
USD
245215.960000
0.0061562
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
GENERAL MOTORS COMPANY
GENERAL MOTORS CO SRUNSEC
Y
Single Leg Swap
2026-12-20
417076.320000
USD
0.000000
USD
2130000.000000
USD
-171860.360000
N
N
N
LCCM 2021-FL3 TRUST
N/A
LADDER CAPITAL COMMERCIAL MORT LCCM 2021 FL3 A 144A
50190FAA9
3000000.000000
PA
USD
2979859.140000
0.0748094
Long
ABS-CBDO
CORP
US
N
2
2038-11-15
Floating
6.92629
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 930897 FN 04/39 FIXED 5.5
31412PGE5
271790.310000
PA
USD
272258.960000
0.0068351
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
5.5
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2005-1
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 1 2A1A
41161PLD3
784743.950000
PA
USD
769282.850000
0.0193129
Long
ABS-MBS
CORP
US
N
2
2035-03-19
Floating
6.01023
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 07/26 VAR
225401AY4
1600000.000000
PA
USD
1619135.380000
0.0406484
Long
DBT
CORP
CH
N
2
2026-07-15
Floating
6.373
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 11/33 VAR
06738ECE3
5000000.000000
PA
USD
5602323.850000
0.140647
Long
DBT
CORP
GB
N
2
2033-11-02
Floating
7.437
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AK6081 FN 02/42 FIXED 4
3138EAXK8
95396.030000
PA
USD
92960.530000
0.0023338
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4
N
N
N
N
N
N
KKR GROUP FINANCE CO VI LLC
549300TUJWGHJM3FSJ07
KKR GRP FIN CO VI LLC COMPANY GUAR 144A 07/29 3.75
48252AAA9
1250000.000000
PA
USD
1173780.310000
0.0294678
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.75
N
N
N
N
N
N
N/A
N/A
317U4QEA4 PIMCO SWAPTION 4.0 PUT USD 20240116
000000000
-5500000.000000
NC
USD
-1409.100000
-0.0000354
N/A
DIR
US
N
2
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
Put
Written
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
N/A
N/A
RFR USD SOFR/4.00000 01/18/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/4.00000 01/18/24-10Y LCH
2034-01-18
0.000000
USD
0.000000
USD
N/A
USD
N/A
4.000000
USD
2024-01-16
XXXX
22584.650000
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3664 FN 05/49 FIXED 4
31418DCA8
857336.880000
PA
USD
822634.010000
0.0206522
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4
N
N
N
N
N
N
BLUE OWL CAPITAL CORPORATION
2549000BD79OOCPF2L94
BLUE OWL CAPITAL CORP SR UNSECURED 06/28 2.875
69121KAG9
4300000.000000
PA
USD
3778785.260000
0.0948665
Long
DBT
CORP
US
N
2
2028-06-11
Fixed
2.875
N
N
N
N
N
N
VERIZON MASTER TRUST 2023-6
N/A
VERIZON MASTER TRUST VZMT 2023 6 A 144A
92348VAA7
7000000.000000
PA
USD
7243858.300000
0.181857
Long
ABS-O
CORP
US
N
2
2031-09-22
Fixed
5.35
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 870799 FN 10/36 FIXED 5
31409GNQ5
14936.880000
PA
USD
14682.350000
0.0003686
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
5
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS LP
5493005UEC8AZ34LDV29
CHENIERE ENERGY PARTNERS COMPANY GUAR 01/32 3.25
16411QAN1
2000000.000000
PA
USD
1706513.600000
0.0428421
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
3.25
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91033 FG 06/27 FIXED 5.5
3128P7EE9
5868.520000
PA
USD
5899.080000
0.0001481
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
5.5
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
EXTRA SPACE STORAGE LP COMPANY GUAR 12/27 3.875
30225VAM9
2100000.000000
PA
USD
2007080.080000
0.0503878
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.875
N
N
N
N
N
N
N/A
N/A
317U4PBA9 PIMCO SWAPTION 3.955 PUT USD 2024010
000000000
-4000000.000000
NC
USD
-182.000000
-0.0000046
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
RFR USD SOFR/3.95500 01/10/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.95500 01/10/24-10Y LCH
2034-01-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.960000
USD
2024-01-08
XXXX
19218.000000
N
N
N
CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2
N/A
CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A
16159RAC9
4039224.830000
PA
USD
3570699.790000
0.0896425
Long
ABS-MBS
CORP
US
N
2
2063-03-25
Fixed
3.25
N
N
N
N
N
N
FREDDIE MAC REMICS 3852
N/A
FREDDIE MAC FHR 3852 SG
3137ABAR2
733915.300000
PA
USD
610128.520000
0.0153173
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
0
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/29 3.875
45262BAC7
3000000.000000
PA
USD
2801378.010000
0.0703287
Long
DBT
CORP
GB
N
2
2029-07-26
Fixed
3.875
N
N
N
N
N
N
MELCO RESORTS FINANCE LIMITED
5493000FQDBWKDBZEF60
MELCO RESORTS FINANCE SR UNSECURED REGS 07/28 5.75
G5975LAF3
200000.000000
PA
USD
185404.790000
0.0046546
Long
DBT
CORP
KY
N
2
2028-07-21
Fixed
5.75
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY SUBORDINATED 01/33 VAR
25160PAG2
900000.000000
PA
USD
739355.890000
0.0185615
Long
DBT
CORP
DE
N
2
2033-01-07
Floating
3.742
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A55007 FG 11/36 FIXED 6
3128KHR40
20953.960000
PA
USD
21795.570000
0.0005472
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6
N
N
N
N
N
N
CSMC 2021-ADV TRUST
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A
12660WAA3
1000000.000000
PA
USD
885096.600000
0.0222204
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
6.87648
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-7
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 7 1A1
12669GNL1
62674.370000
PA
USD
57188.280000
0.0014357
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.01043
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING 2021-4
N/A
PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 4A A1 144A
69702HAA6
3829193.790000
PA
USD
3805039.310000
0.0955256
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
6.45548
N
N
N
N
N
N
APIDOS CDO 2013-12A
N/A
APIDOS CLO LTD APID 2013 12A AR 144A
03764DAH4
3480676.890000
PA
USD
3479707.280000
0.0873581
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.73548
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6
N/A
SANTANDER DRIVE AUTO RECEIVABL SDART 2023 6 B
80287DAD9
1700000.000000
PA
USD
1732169.270000
0.0434861
Long
ABS-O
CORP
US
N
2
2029-04-16
Fixed
5.98
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB1465 FN 09/40 FIXED 4.5
31416WTX0
7681.970000
PA
USD
7675.060000
0.0001927
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AV8867 FN 11/44 FIXED 4.5
3138XLZ96
201808.650000
PA
USD
200381.020000
0.0050306
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 745632 FN 03/36 FIXED VAR
31403DLM9
3767.130000
PA
USD
3698.560000
0.0000929
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL U60610 FG 05/41 FIXED 5
3132GBDP8
121271.220000
PA
USD
123642.110000
0.003104
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A7
02146TAG2
320750.470000
PA
USD
190556.570000
0.0047839
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
6.25
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 879922 FN 11/35 FIXED 5
31409VSK0
2109.290000
PA
USD
2093.450000
0.0000526
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS JR SUBORDINA 144A 12/99 VAR
05565ASK0
2000000.000000
PA
USD
1615953.800000
0.0405686
Long
DBT
CORP
FR
N
2
2031-02-25
Floating
4.625
N
N
N
N
N
N
N/A
N/A
BRITISH TELECOMMUNICATIONS PL SNR SE ICE
000000000
1.000000
NC
123145.000000
0.0030916
N/A
DCR
GB
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
BRITISH TELECOMMUNICATIONS PLC
BRITISH TELECOM PLC WURO SR UNSEC
Y
Single Leg Swap
2028-06-20
0.000000
EUR
-50464.710000
EUR
8200000.000000
EUR
173609.710000
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2020-NNN
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 NNN AFX 144A
46652BAY5
100000.000000
PA
USD
84651.570000
0.0021252
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Fixed
2.8123
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP SR UNSECURED 12/43 5.3
126650CD0
2000000.000000
PA
USD
1938915.400000
0.0486765
Long
DBT
CORP
US
N
2
2043-12-05
Fixed
5.3
N
N
N
N
N
N
DISCOVER FINANCIAL SERVICES
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS SR UNSECURED 11/34 VAR
254709AT5
2000000.000000
PA
USD
2225752.400000
0.0558776
Long
DBT
CORP
US
N
2
2034-11-02
Floating
7.964
N
N
N
N
N
N
LONG BEACH MTGE LOAN TRUST 2004-5
N/A
LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 5 M2
542514HE7
705182.020000
PA
USD
707037.280000
0.0177502
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
6.62043
N
N
N
N
N
N
GREAT HALL MORTGAGES PLC 2007-2X
N/A
GREAT HALL MORTGAGES PLC GHM 2007 2X AC REGS
B1Z97QII7
545513.000000
PA
USD
541710.230000
0.0135996
Long
ABS-MBS
CORP
GB
N
2
2039-06-18
Floating
5.73085
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AW9120 FN 10/44 FIXED 4.5
3138XZD24
99239.180000
PA
USD
98090.430000
0.0024626
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
01F030629
119365910.000000
PA
USD
105718097.670000
2.65406
Long
ABS-MBS
USGSE
US
N
2
2054-02-13
Fixed
3
N
N
N
N
N
N
AGL CLO 6 LTD 2020-6A
N/A
AGL CLO 6 LTD AGL 2020 6A AR 144A
00119VAN9
4500000.000000
PA
USD
4499078.360000
0.112949
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.87743
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV JR SUBORDINA 12/99 VAR
456837AY9
600000.000000
PA
USD
488249.820000
0.0122575
Long
DBT
CORP
NL
N
2
2027-05-16
Floating
3.875
N
N
N
N
Y
ING GROEP NV
ING GROEP NV
EUR
XXXX
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
EQUITABLE HOLDINGS INC SR UNSECURED 01/33 5.594
29452EAC5
1000000.000000
PA
USD
1027702.490000
0.0258005
Long
DBT
CORP
US
N
2
2033-01-11
Fixed
5.594
N
N
N
N
N
N
MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP SR UNSECURED 09/28 VAR
606822CN2
2500000.000000
PA
USD
2536187.500000
0.063671
Long
DBT
CORP
JP
N
2
2028-09-13
Floating
5.354
N
N
N
N
N
N
BRANDYWINE OPERATING PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERS COMPANY GUAR 11/27 3.95
105340AQ6
200000.000000
PA
USD
178897.170000
0.0044912
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.95
N
N
N
N
N
N
CITIGROUP MTGE LOAN TR INC 2006-NC2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B
17309TAC2
1104606.770000
PA
USD
802279.100000
0.0201412
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.79043
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 02/33 VAR
38141GZM9
10000000.000000
PA
USD
8587144.600000
0.21558
Long
DBT
CORP
US
N
2
2033-02-24
Floating
3.102
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8285 FR 01/53 FIXED 3.5
3132DWF24
12943656.150000
PA
USD
11878854.820000
0.298219
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
3.5
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PART SR UNSECURED 07/30 4.05
11120VAJ2
2000000.000000
PA
USD
1870541.300000
0.04696
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.05
N
N
N
N
N
N
OBX 2023-NQM9 TRUST
N/A
ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A
673921AA0
3700258.270000
PA
USD
3797302.350000
0.0953314
Long
ABS-MBS
CORP
US
N
2
2063-10-25
Fixed
7.159
N
N
N
N
N
N
MFA 2020-NQM3 TRUST
N/A
MFRA TRUST MFRA 2020 NQM3 A1 144A
552757AA4
1749862.610000
PA
USD
1575274.970000
0.0395473
Long
ABS-MBS
CORP
US
N
2
2065-01-26
Variable
1.014
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP SR UNSECURED 144A 10/28 6.75
05369AAP6
5000000.000000
PA
USD
5225903.450000
0.131196
Long
DBT
CORP
US
N
2
2028-10-25
Fixed
6.75
N
N
N
N
N
N
CENTENE CORPORATION
549300Z7JJ4TQSQGT333
CENTENE CORP SR UNSECURED 10/30 3
15135BAW1
1500000.000000
PA
USD
1300955.220000
0.0326605
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3
N
N
N
N
N
N
STONEPEAK 2021-1 ABS
N/A
STONEPEAK SALTT 2021 1A AA 144A
78433XAA8
612160.600000
PA
USD
563102.170000
0.0141367
Long
ABS-O
CORP
US
N
2
2033-02-28
Fixed
2.301
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY (TVA)
549300HE1ISW43LNKM54
TENN VALLEY AUTHORITY SR UNSECURED 09/65 4.25
880591ES7
10000000.000000
PA
USD
9213497.400000
0.231305
Long
DBT
USGA
US
N
2
2065-09-15
Fixed
4.25
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BC1904 FN 02/46 FIXED 4
3140EWDJ1
18275.920000
PA
USD
17614.720000
0.0004422
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 845233 FN 12/35 FIXED 5
31408ABA7
1600.380000
PA
USD
1588.430000
0.0000399
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/26 3.5
45262BAB9
5000000.000000
PA
USD
4772813.050000
0.119822
Long
DBT
CORP
GB
N
2
2026-07-26
Fixed
3.5
N
N
N
N
N
N
FANNIE MAE REMICS 2007-93
N/A
FANNIE MAE FNR 2007 93 ZB
31396XWJ9
107879.560000
PA
USD
103616.530000
0.0026013
Long
ABS-MBS
USGSE
US
N
2
2037-09-25
Fixed
4.5
N
N
N
N
N
N
LEHMAN XS TRUST 2006-8
N/A
LEHMAN XS TRUST LXS 2006 8 3A4
52522HAM4
1927408.510000
PA
USD
1815438.800000
0.0455766
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
6.9
N
N
N
N
N
N
SPIRIT REALTY LP
549300GTBVIBJRX5BW73
SPIRIT REALTY LP COMPANY GUAR 09/26 4.45
84861TAC2
700000.000000
PA
USD
686873.390000
0.017244
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
4.45
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1
N/A
STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A3 144A
85573EAC1
703028.800000
PA
USD
639031.100000
0.0160429
Long
ABS-MBS
CORP
US
N
2
2055-11-25
Fixed
1.593
N
N
N
N
N
N
ANTARES HOLDINGS LP
5493008EAIGV4283RM42
ANTARES HOLDINGS SR UNSECURED 144A 07/27 3.75
03666HAE1
3700000.000000
PA
USD
3336482.550000
0.0837625
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
3.75
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q04911 FG 12/41 FIXED 3.5
3132GLDQ4
1327.850000
PA
USD
1260.140000
0.0000316
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
3.5
N
N
N
N
N
N
MORGAN STANLEY MORTGAGE LN TR-2006-8AR
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A3
61749LAN1
2296661.800000
PA
USD
2264813.760000
0.0568582
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
7.03521
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA0316 FN 12/49 FIXED 4.5
31417YK63
38772.040000
PA
USD
37298.470000
0.0009364
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
4.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q45705 FG 01/47 FIXED 4
3132WKKT4
1011452.550000
PA
USD
980290.260000
0.0246102
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004691 G2 05/40 FIXED 4.5
36202FF84
1056.810000
PA
USD
1046.760000
0.0000263
Long
ABS-MBS
USGSE
US
N
2
2040-05-20
Fixed
4.5
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2003-4
N/A
SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1
81743PBW5
14058.730000
PA
USD
12820.560000
0.0003219
Long
ABS-MBS
CORP
US
N
2
2033-07-20
Floating
6.1724
N
N
N
N
N
N
BACARDI LIMITED
549300R32WTQNHNN5055
BACARDI LTD COMPANY GUAR 144A 05/38 5.15
067316AG4
1200000.000000
PA
USD
1145003.420000
0.0287453
Long
DBT
CORP
BM
N
2
2038-05-15
Fixed
5.15
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C56
N/A
WELLS FARGO COMMERCIAL MORTGAG WFCM 2020 C56 A5
95002RAX6
13900000.000000
PA
USD
11807025.570000
0.296416
Long
ABS-MBS
CORP
US
N
2
2053-06-15
Fixed
2.448
N
N
N
N
N
N
READY CAPITAL MORTGAGE FINANCING 2022-FL10 LLC
N/A
READYCAP COMMERCIAL MORTGAGE T RCMT 2022 FL10 A 144A
755931AA0
5367762.600000
PA
USD
5413089.600000
0.135896
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
7.90795
N
N
N
N
N
N
N/A
N/A
HESS CORPORATION SNR S* ICE
000000000
1.000000
NC
USD
53805.040000
0.0013508
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
HESS CORPORATION
HESS CORP
Y
Single Leg Swap
2026-06-20
0.000000
USD
-86149.370000
USD
3600000.000000
USD
139954.410000
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8340 FR 07/53 FIXED 4.5
3132DWHR7
60272757.020000
PA
USD
58458051.590000
1.46759
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
4.5
N
N
N
N
N
N
FANNIE MAE 2005-120
N/A
FANNIE MAE FNR 2005 120 PB
31394VJR2
14210.270000
PA
USD
14784.650000
0.0003712
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256260 FN 04/36 FIXED 5.5
31371MTR8
14587.210000
PA
USD
14584.380000
0.0003661
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 746364 FN 09/33 FIXED 4
31403EFD4
17728.870000
PA
USD
16886.550000
0.0004239
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-HE6
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A2
61755CAB8
110566.920000
PA
USD
93792.200000
0.0023547
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.61043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D97896 FG 12/27 FIXED 5.5
3128E4XZ0
4598.720000
PA
USD
4622.600000
0.0001161
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
5.5
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2004-26
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2004 26 ED
38374F3T9
18558.150000
PA
USD
18767.430000
0.0004712
Long
ABS-MBS
USGSE
US
N
2
2034-04-16
Fixed
5.5
N
N
N
N
N
N
ASSET BACKED SEC CORP HOME EQ 2005-HE8
N/A
ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M3
04541GUQ3
1899581.300000
PA
USD
1861286.880000
0.0467276
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
6.17543
N
N
N
N
N
N
ARGENT SECURITIES INC 2006-W1
N/A
ARGENT SECURITIES INC. ARSI 2006 W1 A2C
040104RF0
3304581.020000
PA
USD
2945726.320000
0.0739525
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
5.85043
N
N
N
N
N
N
CDW LLC / CDW FINANCE CORP
N/A
CDW LLC/CDW FINANCE COMPANY GUAR 12/26 2.67
12513GBG3
3000000.000000
PA
USD
2809620.000000
0.0705356
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
2.67
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 08/33 VAR
53944YAU7
8500000.000000
PA
USD
8284892.540000
0.207992
Long
DBT
CORP
GB
N
2
2033-08-11
Floating
4.976
N
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2006 WM1 A2C
81375WKD7
1416839.620000
PA
USD
1365293.580000
0.0342757
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
6.05043
N
N
N
N
N
N
OBX 2023-NQM5 TRUST
N/A
ONSLOW BAY FINANCIAL LLC OBX 2023 NQM5 A1A 144A
673919AL0
3617546.910000
PA
USD
3656030.370000
0.0917847
Long
ABS-MBS
CORP
US
N
2
2063-06-25
Fixed
6.567
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2023-6
N/A
VERUS SECURITIZATION TRUST VERUS 2023 6 A1 144A
92539XAA2
6829128.770000
PA
USD
6927419.050000
0.173913
Long
ABS-MBS
CORP
US
N
2
2068-09-25
Fixed
6.665
N
N
N
N
N
N
N/A
N/A
317U4PCA8 PIMCO SWAPTION 3.455 CALL USD 202401
000000000
-4000000.000000
NC
USD
-22636.800000
-0.0005683
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
RFR USD SOFR/3.45500 01/10/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.45500 01/10/24-10Y LCH
2034-01-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.460000
USD
2024-01-08
XXXX
-3236.800000
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL T65234 FG 08/44 FIXED 4.5
31322YY70
22916.920000
PA
USD
22046.640000
0.0005535
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.5
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE8
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2FP
61750SAB8
70567.290000
PA
USD
30437.470000
0.0007641
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.54043
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST 2023-AA
N/A
NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A
64032PAB8
4323797.250000
PA
USD
4388649.020000
0.110177
Long
ABS-O
CORP
US
N
2
2041-02-20
Fixed
6.64
N
N
N
N
N
N
MUNICIPAL ELECTRIC AUTHORITY OF GEORGIA
JA0WNILDDF2KUPS83B16
MUNI ELEC AUTH OF GEORGIA MELPWR 04/57 FIXED 6.637
626207YF5
1074000.000000
PA
USD
1228468.910000
0.0308407
Long
DBT
MUN
US
N
2
2057-04-01
Fixed
6.637
N
N
N
N
N
N
CATHEDRAL LAKE CLO LTD 2018-5A
N/A
CATHEDRAL LAKE LTD CATLK 2018 5A AFR 144A
14919BAQ9
6355703.600000
PA
USD
6077569.110000
0.152578
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Fixed
1.929
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 65CB 2A3
12668AZ32
692188.330000
PA
USD
484314.760000
0.0121587
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.5
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 07/34 VAR
95000U3F8
7000000.000000
PA
USD
7130413.080000
0.179009
Long
DBT
CORP
US
N
2
2034-07-25
Floating
5.557
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 255966 FN 10/35 FIXED 5.5
31371MJK4
412.440000
PA
USD
409.900000
0.0000103
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.5
N
N
N
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL2
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 NPL2 A1 144A
693971AA1
4789735.100000
PA
USD
4705637.890000
0.118135
Long
ABS-MBS
CORP
US
N
2
2052-04-25
Fixed
5.24
N
N
N
N
N
N
PAGAYA AI DEBT TRUST 2023-7
N/A
PAGAYA AI DEBT SELECTION TRUST PAID 2023 7 A 144A
69548RAA2
500000.000000
PA
USD
501672.900000
0.0125945
Long
ABS-O
CORP
US
N
2
2031-07-15
Fixed
7.228
N
N
N
N
N
N
CITIGROUP MTGE LOAN TRUST INC 2005-12
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A
17307GY69
257140.720000
PA
USD
247660.510000
0.0062175
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
6.27043
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
UNITED AIRLINES INC SR SECURED 144A 04/29 4.625
90932LAH0
2500000.000000
PA
USD
2340701.000000
0.0587633
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.625
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 884050 FN 05/26 FIXED 5
31410BEX8
2036.090000
PA
USD
2013.660000
0.0000506
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
5
N
N
N
N
N
N
FREDDIE MAC 3545
N/A
FREDDIE MAC FHR 3545 AO
31398E3C6
9647.940000
PA
USD
8543.510000
0.0002145
Long
ABS-MBS
USGSE
US
N
2
2039-06-15
None
0
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2020-INV1
N/A
VERUS SECURITIZATION TRUST VERUS 2020 INV1 A3 144A
92537TAE5
300000.000000
PA
USD
290911.050000
0.0073033
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Fixed
3.889
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q02208 FG 07/41 FIXED 4.5
3132GFNZ6
58845.420000
PA
USD
58527.350000
0.0014693
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.5
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-AL1
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 AL1 A1
02150NAA1
502173.210000
PA
USD
401520.980000
0.0100802
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.72043
N
N
N
N
N
N
N/A
N/A
317U4P0A1 PIMCO SWAPTION 3.994 PUT USD 2024010
000000000
-1600000.000000
NC
USD
-46.400000
-0.0000012
N/A
DIR
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
N/A
N/A
RFR USD SOFR/3.99400 01/10/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.99400 01/10/24-10Y LCH
2034-01-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.990000
USD
2024-01-08
XXXX
7293.600000
N
N
N
FREDDIE MAC REMICS 4304
N/A
FREDDIE MAC FHR 4304 TI
3137B7SE0
394674.120000
PA
USD
9981.190000
0.0002506
Long
ABS-MBS
USGSE
US
N
2
2028-12-15
Fixed
3.5
N
N
N
N
N
N
RESIDENTIAL FUNDING MTG SEC I 2006-S5
N/A
RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S5 A10
74957EAK3
436502.060000
PA
USD
363618.960000
0.0091287
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6
N
N
N
N
N
N
FREDDIE MAC REMICS 2601
N/A
FREDDIE MAC FHR 2601 LL
31393PV68
21000.000000
PA
USD
21136.130000
0.0005306
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
5.25
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91026 FG 04/27 FIXED 5.5
3128P7D75
3815.270000
PA
USD
3835.050000
0.0000963
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Fixed
5.5
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS SR UNSECURED 11/28 VAR
80281LAG0
5000000.000000
PA
USD
4702714.450000
0.118062
Long
DBT
CORP
GB
N
2
2028-11-03
Floating
3.823
N
N
N
N
N
N
MFA 2020-NQM3 TRUST
N/A
MFRA TRUST MFRA 2020 NQM3 A3 144A
552757AC0
915627.340000
PA
USD
832249.220000
0.0208936
Long
ABS-MBS
CORP
US
N
2
2065-01-26
Variable
1.632
N
N
N
N
N
N
RESIDENTIAL ASSET MORTGAGE PROD 2006-NC3
N/A
RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC3 M1
76112B4P2
1276145.740000
PA
USD
1237248.820000
0.0310612
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
5.98043
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 773557 FN 05/34 FIXED 5
31404NME3
8915.300000
PA
USD
8748.520000
0.0002196
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA0853 FN 09/41 FIXED 4.5
31417Y5P8
111102.360000
PA
USD
106732.610000
0.0026795
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AY5622 FN 06/45 FIXED 3.5
3138YKG80
26292522.000000
PA
USD
24646794.170000
0.618758
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.5
N
N
N
N
N
N
AEGIS ASSET BACKED SECURITIES TR 2005-3
N/A
AEGIS ASSET BACKED SECURITIES AABST 2005 3 M2
00764MFS1
136815.610000
PA
USD
132511.470000
0.0033267
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
6.19043
N
N
N
N
N
N
FANNIE MAE REMICS 2013-6
N/A
FANNIE MAE FNR 2013 6 JZ
3136ABN58
45.520000
PA
USD
33.660000
0.0000008
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
3
N
N
N
N
N
N
STRUCTURED ASSET SECUR CORP 2005-WF4
N/A
STRUCTURED ASSET SECURITIES CO SASC 2005 WF3 M3
86359DLN5
2256104.670000
PA
USD
2278003.780000
0.0571893
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
6.34043
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL9 A1 144A
12658XAC1
1693902.140000
PA
USD
1631434.080000
0.0409572
Long
ABS-MBS
CORP
US
N
2
2061-02-25
Fixed
2.43639
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q00387 FG 04/41 FIXED 4.5
3132GDNC2
73311.480000
PA
USD
73349.730000
0.0018414
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004512 G2 08/39 FIXED 4.5
36202FAM8
70034.950000
PA
USD
68840.880000
0.0017283
Long
ABS-MBS
USGSE
US
N
2
2039-08-20
Fixed
4.5
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE LLC SR SECURED 07/38 7.3
88732JAN8
2500000.000000
PA
USD
2581285.800000
0.0648032
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
7.3
N
N
N
N
N
N
CARRINGTON MORTGAGE LN TR 2005-OPT2
N/A
CARRINGTON MORTGAGE LOAN TRUST CARR 2005 OPT2 M5
144531CN8
4147742.450000
PA
USD
3993721.430000
0.100263
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
6.52043
N
N
N
N
N
N
LIBERTY LENDING ABS TRUST 2021-1A
N/A
REACH FINANCIAL LLC REACH 2021 1A A 144A
53934QAA0
134189.140000
PA
USD
133018.130000
0.0033394
Long
ABS-O
CORP
US
N
2
2029-05-15
Fixed
1.07
N
N
N
N
N
N
ATLAS SENIOR LOAN FUND LTD 2018-12A
N/A
ATLAS SENIOR LOAN FUND LTD ATCLO 2018 12A A1 144A
04942UAC0
4473570.800000
PA
USD
4470329.470000
0.112228
Long
ABS-CBDO
CORP
KY
N
2
2031-10-24
Floating
6.84008
N
N
N
N
N
N
NEUBERGER BERMAN LOAN ADVISERS CLO 31 LTD
N/A
NEUBERGER BERMAN CLO LTD NEUB 2019 31A AR 144A
64132JAN5
3200000.000000
PA
USD
3197687.460000
0.080278
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.71743
N
N
N
N
N
N
NOMURA ASSET ACCEPTANCE CORP 2007-2
N/A
NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 2 A3
655378AD9
5569281.090000
PA
USD
4459284.940000
0.11195
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.97043
N
N
N
N
N
N
RENAISSANCE HOME EQUITY LN TR 2005-3
N/A
RENAISSANCE HOME EQUITY LOAN T RAMC 2005 3 AV3
75970NBA4
825157.910000
PA
USD
727270.580000
0.0182581
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
5.85043
N
N
N
N
N
N
DELTA AIR LINES INC / SKYMILES IP LTD
N/A
DELTA AIR LINES/SKYMILES SR SECURED 144A 10/28 4.75
830867AB3
5000000.000000
PA
USD
4920271.250000
0.123523
Long
DBT
CORP
US
N
2
2028-10-20
Fixed
4.75
N
N
N
N
N
N
FREDDIE MAC REMICS 3772
N/A
FREDDIE MAC FHR 3772 ES
3137A4HD2
1067445.230000
PA
USD
52686.320000
0.0013227
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Floating
0
N
N
N
N
N
N
CHASE MORTGAGE FINANCE CORP 2006-S1
N/A
CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S1 A4
16162WRA9
3451436.220000
PA
USD
1545407.830000
0.0387975
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS3096 FN 07/44 FIXED 4
3138WCNN9
238991.370000
PA
USD
227809.040000
0.0057192
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL RJ0048 FR 10/53 FIXED 4.5
3142GQBS0
1496623.740000
PA
USD
1451563.060000
0.0364415
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
4.5
N
N
N
N
N
N
NATIONAL FUEL GAS COMPANY
8JB38FFW1Y3C1HM8E841
NATIONAL FUEL GAS CO SR UNSECURED 03/31 2.95
636180BR1
3900000.000000
PA
USD
3270579.660000
0.082108
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
2.95
N
N
N
N
N
N
NASSAU LTD 2017-IIA
N/A
NASSAU 2017 II LTD NCC 2017 IIA AL 144A
631709AA0
2797066.360000
PA
USD
2800947.210000
0.0703178
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
6.90548
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G30463 FG 12/28 FIXED 5.5
3128CUQQ2
284.400000
PA
USD
285.920000
0.0000072
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q26755 FG 06/44 FIXED 4.5
3132M7E46
692686.370000
PA
USD
685520.290000
0.01721
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.5
N
N
N
N
N
N
FIRST FRANKLIN MTG LOAN 2006-FF18
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A1
32029AAA5
2416337.880000
PA
USD
2281948.420000
0.0572884
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Floating
5.69043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H10235 FG 10/37 FIXED 4.5
3128N0HL7
133121.000000
PA
USD
131511.030000
0.0033016
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004689 G2 05/40 FIXED 4.5
36202FF68
67160.450000
PA
USD
66022.410000
0.0016575
Long
ABS-MBS
USGSE
US
N
2
2040-05-20
Fixed
4.5
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.83000 10/12/23-30Y LCH
000000000
1.000000
NC
USD
129765.670000
0.0032578
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2053-10-12
0.000000
USD
-7980.000000
USD
1400000.000000
USD
137745.670000
N
N
N
VERUS SECURITIZATION TRUST 2023-INV3
N/A
VERUS SECURITIZATION TRUST VERUS 2023 INV3 A1 144A
92540CAA5
2887530.380000
PA
USD
2944635.340000
0.0739251
Long
ABS-MBS
CORP
US
N
2
2068-11-25
Variable
6.876
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG JR SUBORDINA REGS 12/49 VAR
ACI0BSPY0
200000.000000
PA
USD
199234.000000
0.0050018
Long
DBT
CORP
CH
N
2
2025-02-19
Floating
7
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8365 FR 10/53 FIXED 4.5
3132DWJJ3
4933671.850000
PA
USD
4785127.770000
0.120131
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004767 G2 08/40 FIXED 4.5
36202FJL1
19775.200000
PA
USD
19438.280000
0.000488
Long
ABS-MBS
USGSE
US
N
2
2040-08-20
Fixed
4.5
N
N
N
N
N
N
CANTOR FITZGERALD LP
549300RLUEEVQEMX0450
CANTOR FITZGERALD LP SR UNSECURED 144A 12/28 7.2
138616AM9
6500000.000000
PA
USD
6668440.550000
0.167411
Long
DBT
CORP
US
N
2
2028-12-12
Fixed
7.2
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2005-HY10
N/A
COUNTRYWIDE HOME LOANS CWHL 2005 HY10 3A1A
126694VM7
492027.550000
PA
USD
434776.950000
0.0109151
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Floating
4.54058
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31421 FG 07/37 FIXED 5
31281BSJ0
1930.320000
PA
USD
1966.160000
0.0000494
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA0388 G2 09/42 FIXED 4
36179MND8
135910.290000
PA
USD
131746.490000
0.0033075
Long
ABS-MBS
USGSE
US
N
2
2042-09-20
Fixed
4
N
N
N
N
N
N
SYMPHONY CLO 30 LTD 2023-39A
N/A
SYMPHONY CLO LTD SYMP 2023 39A A 144A
87169TAA8
9500000.000000
PA
USD
9511703.050000
0.238791
Long
ABS-CBDO
CORP
BM
N
2
2034-04-25
Floating
7.00193
N
N
N
N
N
N
LAD AUTO RECEIVABLES TRUST 2023-4
N/A
LAD AUTO RECEIVABLES TRUST LADAR 2023 4A A3 144A
50571AAC5
5000000.000000
PA
USD
5054506.000000
0.126893
Long
ABS-O
CORP
US
N
2
2027-12-15
Fixed
6.1
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2004-3
N/A
BEAR STEARNS ALT A TRUST BALTA 2004 3 A1
07386HGG0
8542.310000
PA
USD
7929.700000
0.0001991
Long
ABS-MBS
CORP
US
N
3
2034-04-25
Floating
6.11043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q31068 FG 02/45 FIXED 4
3132QMFJ5
95157.630000
PA
USD
91936.120000
0.0023081
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-12
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A
41162DAA7
2131033.160000
PA
USD
1702611.750000
0.0427441
Long
ABS-MBS
CORP
US
N
2
2036-12-19
Floating
5.88023
N
N
N
N
N
N
DELTA AIR LINES 2020-1 CLASS AA PASS THROUGH TRUST
N/A
DELTA AIR LINES 2020 AA PASS THRU CE 12/29 2
247361ZV3
395360.620000
PA
USD
351001.370000
0.0088119
Long
DBT
CORP
US
N
2
2029-12-10
Fixed
2
N
N
N
N
N
N
MASTR ADJUSTABLE RT MTGE TRUST 2005-2
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 2 5A1
576433XY7
26127.300000
PA
USD
24858.550000
0.0006241
Long
ABS-MBS
CORP
US
N
3
2035-03-25
Floating
4.4543
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-HE7
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 HE7 A2C
61756YAD5
6420000.000000
PA
USD
5409419.450000
0.135804
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
6.72043
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 02/43 3.875
912810TQ1
318300000.000000
PA
USD
303603490.600000
7.62197
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.875
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.88000 10/16/23-30Y LCH
000000000
1.000000
NC
USD
143254.240000
0.0035964
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2053-10-16
0.000000
USD
-7420.000000
USD
1400000.000000
USD
150674.240000
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004239 G2 09/38 FIXED 6
36202EV89
7743.800000
PA
USD
7913.840000
0.0001987
Long
ABS-MBS
USGSE
US
N
2
2038-09-20
Fixed
6
N
N
N
N
N
N
510 ASSET BACKED 2021-NPL1 TRUST
N/A
510 ASSETS BACKED TRUST FTAB 2021 NPL1 A1 144A
33835CAA3
1735923.340000
PA
USD
1655394.030000
0.0415587
Long
ABS-MBS
CORP
US
N
2
2061-06-25
Fixed
2.2395
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AX3123 FN 10/44 FIXED 4
3138Y4PH6
238358.680000
PA
USD
229250.250000
0.0057553
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB3804 FN 10/26 FIXED 4
31417AGN3
37483.350000
PA
USD
37059.480000
0.0009304
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
4
N
N
N
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN4
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN4 A1 144A
69359QAA2
1039445.140000
PA
USD
1021633.000000
0.0256481
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.4871
N
N
N
N
N
N
AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD
N/A
AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/26 5.5
00253XAA9
3250000.020000
PA
USD
3228944.890000
0.0810627
Long
DBT
CORP
US
N
2
2026-04-20
Fixed
5.5
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG JR SUBORDINA REGS 12/99 VAR
ACI1PGJL4
800000.000000
PA
USD
758484.000000
0.0190418
Long
DBT
CORP
CH
N
2
2026-07-29
Floating
5.125
N
N
N
N
N
N
N/A
N/A
317U4NOA0 PIMCO SWAPTION 3.594 CALL USD 202401
000000000
-4700000.000000
NC
USD
-60002.550000
-0.0015064
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
RFR USD SOFR/3.59400 01/09/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.59400 01/09/24-10Y LCH
2034-01-09
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.590000
USD
2024-01-05
XXXX
-36502.550000
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256937 FN 10/37 FIXED 6.5
31371NLS2
851.360000
PA
USD
877.190000
0.000022
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.5
N
N
N
N
N
N
VENTURE XXIX CLO LTD 2017-29A
N/A
VENTURE CDO LTD VENTR 2017 29A AR 144A
92331EAF3
8915869.540000
PA
USD
8899009.900000
0.22341
Long
ABS-CBDO
CORP
KY
N
2
2030-09-07
Floating
6.63133
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 06/34 VAR
46647PDR4
14000000.000000
PA
USD
14207625.040000
0.356683
Long
DBT
CORP
US
N
2
2034-06-01
Floating
5.35
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TR 2006-12
N/A
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A2A
41162DAF6
2857678.620000
PA
USD
2503751.120000
0.0628567
Long
ABS-MBS
CORP
US
N
2
2038-01-19
Floating
5.85023
N
N
N
N
N
N
DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1
N/A
DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A1C
251510MF7
1199690.110000
PA
USD
1051396.060000
0.0263953
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
5.665
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR
80281LAT2
5000000.000000
PA
USD
5179270.850000
0.130026
Long
DBT
CORP
GB
N
2
2029-01-10
Floating
6.534
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2007-A1
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3
46630GAJ4
12759.390000
PA
USD
12060.070000
0.0003028
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
4.53816
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC SR UNSECURED 01/29 2.71
65535HBB4
950000.000000
PA
USD
841968.410000
0.0211376
Long
DBT
CORP
JP
N
2
2029-01-22
Fixed
2.71
N
N
N
N
N
N
SANTANDER REVOLVING AUTO LOAN TRUST 2019-A
N/A
SANTANDER REVOLVING AUTO LOAN SREV 2019 A A 144A
80286JAA3
3500000.000000
PA
USD
3399039.000000
0.0853329
Long
ABS-O
CORP
US
N
2
2032-01-26
Fixed
2.51
N
N
N
N
N
N
OCTANE RECEIVABLES TRUST 2023-3A
N/A
OCTANE RECEIVABLES TRUST OCTL 2023 3A A2 144A
67571CAB7
2000000.000000
PA
USD
2022117.200000
0.0507653
Long
ABS-O
CORP
US
N
2
2029-03-20
Fixed
6.44
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 07/28 4.125
91282CHQ7
141200000.000000
PA
USD
142675429.860000
3.58187
Long
DBT
UST
US
N
2
2028-07-31
Fixed
4.125
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP SR UNSECURED 09/34 VAR
06051GLU1
15000000.000000
PA
USD
15710788.200000
0.39442
Long
DBT
CORP
US
N
2
2034-09-15
Floating
5.872
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 08/28 VAR
38141GZU1
10000000.000000
PA
USD
9827864.400000
0.246729
Long
DBT
CORP
US
N
2
2028-08-23
Floating
4.482
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004796 G2 09/40 FIXED 4.5
36202FKH8
19226.840000
PA
USD
18899.250000
0.0004745
Long
ABS-MBS
USGSE
US
N
2
2040-09-20
Fixed
4.5
N
N
N
N
N
N
FREMONT HOME LOAN TRUST 2004-3
N/A
FREMONT HOME LOAN TRUST FHLT 2004 3 M2
35729PFM7
400206.880000
PA
USD
369789.920000
0.0092836
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
6.52043
N
N
N
N
N
N
INDYMAC INDX MORTGAGE LOAN TR 2006-AR25
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR25 3A1
45661HAE7
1496346.510000
PA
USD
1011060.240000
0.0253827
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
3.92728
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2006-4F
N/A
GSR MORTGAGE LOAN TRUST GSR 2006 4F 6A1
362650BB8
604443.430000
PA
USD
213297.810000
0.0053548
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.5
N
N
N
N
N
N
FANNIE MAE-2005-97
N/A
FANNIE MAE FNR 2005 97 DZ
31394UMM1
29217.330000
PA
USD
28756.360000
0.0007219
Long
ABS-MBS
USGSE
US
N
2
2035-11-25
Fixed
4.5
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY 11/25 VAR
251526CB3
5300000.000000
PA
USD
5214279.600000
0.130905
Long
DBT
CORP
DE
N
2
2025-11-26
Floating
3.961
N
N
N
N
N
N
N/A
N/A
DEVON ENERGY CORPORATION SNR S* ICE
000000000
1.000000
NC
USD
8669.570000
0.0002176
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
DEVON ENERGY CORPORATION
DEVON ENERGY CORPORATION SR UNSEC
Y
Single Leg Swap
2027-06-20
0.000000
USD
-26271.900000
USD
1000000.000000
USD
34941.470000
N
N
N
MAPLE GROVE FUNDING TRUST I
N/A
MAPLE GROVE FUNDING TR I SR UNSECURED 144A 08/51 4.161
565130AA9
5500000.000000
PA
USD
3875280.200000
0.097289
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
4.161
N
N
N
N
N
N
VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)
213800MRR46ECNGZ7L69
VMED O2 UK FINAN SR SECURED 144A 07/31 4.75
92858RAB6
3900000.000000
PA
USD
3486135.900000
0.0875195
Long
DBT
CORP
GB
N
2
2031-07-15
Fixed
4.75
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A90710 FG 01/40 FIXED 4.5
312938YF4
246216.630000
PA
USD
246344.950000
0.0061845
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.5
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2021-8
N/A
VERUS SECURITIZATION TRUST VERUS 2021 8 A1 144A
92538GAA0
2912635.190000
PA
USD
2531543.090000
0.0635544
Long
ABS-MBS
CORP
US
N
2
2066-11-25
Variable
1.824
N
N
N
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI INC COMPANY GUAR 144A 02/31 3.875
55354GAL4
100000.000000
PA
USD
91489.570000
0.0022968
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.875
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP SR UNSECURED 02/28 5.55
29273VAP5
2500000.000000
PA
USD
2551812.500000
0.0640633
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
5.55
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC3 A1 144A
17312EAA4
222330.020000
PA
USD
192047.070000
0.0048213
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.73043
N
N
N
N
N
N
N/A
N/A
VERIZON COMMUNICATIONS INC SNR S* ICE
000000000
1.000000
NC
USD
15070.400000
0.0003783
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
VERIZON COMMUNICATIONS INC
VERIZON COMMUNICATIONS SR UNSEC
Y
Single Leg Swap
2028-06-20
0.000000
USD
-2535.810000
USD
1200000.000000
USD
17606.210000
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AC5864 FN 05/40 FIXED 4
31417SQS2
8473.480000
PA
USD
8483.640000
0.000213
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4
N
N
N
N
N
N
WELLFLEET CLO LTD 2017-1A
N/A
WELLFLEET CLO LTD WELF 2017 1A A1RR 144A
94950GAL1
262334.770000
PA
USD
262563.050000
0.0065917
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
6.56743
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A
64831HAM5
8688654.010000
PA
USD
8826348.320000
0.221586
Long
ABS-MBS
CORP
US
N
2
2063-10-25
Fixed
6.864
N
N
N
N
N
N
NISSAN MOTOR CO LTD
353800DRBDH1LUTNAY26
NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345
654744AC5
2500000.000000
PA
USD
2393512.580000
0.0600892
Long
DBT
CORP
JP
N
2
2027-09-17
Fixed
4.345
N
N
N
N
N
N
F&G GLOBAL FUNDING
6354009CCUKJIZ7KFX73
F+G GLOBAL FUNDING SR SECURED 144A 09/28 2
30321L2C5
800000.000000
PA
USD
679644.260000
0.0170625
Long
DBT
CORP
US
N
2
2028-09-20
Fixed
2
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5
694308JG3
2400000.000000
PA
USD
1982079.120000
0.0497601
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.5
N
N
N
N
N
N
ZEPHYRUS CAPITAL AVIATION PARTNERS LTD 2018-1
N/A
ZEPHYRUS CAPITAL AVIATION PART TERM LOAN
933QMTII0
1260275.360000
PA
USD
1121271.780000
0.0281496
Long
ABS-O
CORP
US
N
2
2038-10-15
Fixed
4.605
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8347 FR 08/53 FIXED 4.5
3132DWHY2
30962301.300000
PA
USD
30030081.520000
0.753906
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
4.5
N
N
N
N
N
N
SOUND POINT CLO XV LTD 2017-1A
N/A
SOUND POINT CLO LTD SNDPT 2017 1A ARR 144A
83609RAL5
1516466.710000
PA
USD
1517544.750000
0.038098
Long
ABS-CBDO
CORP
KY
N
2
2029-01-23
Floating
6.57354
N
N
N
N
N
N
LOW INCOME INVESTMENT FUND
N/A
LOW INCOME INVESTMENT UNSECURED 07/29 3.711
54750AAB2
2500000.000000
PA
USD
2242842.430000
0.0563066
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.711
N
N
N
N
N
N
N/A
N/A
TELEFONICA EMISIONES SAU SNR SE ICE
000000000
1.000000
NC
5492.620000
0.0001379
N/A
DCR
ES
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
TELEFONICA EMISIONES SAU
TELEFONICA EMISIONES SAU CO GTD SR UNSEC
Y
Single Leg Swap
2028-06-20
248.610000
EUR
0.000000
EUR
300000.000000
EUR
5244.010000
N
N
N
FARMERS INSURANCE EXCHANGE
549300UWG2TLX1GZVT44
FARMERS INS EXCH SUBORDINATED 144A 11/57 VAR
309601AE2
2000000.000000
PA
USD
1542606.460000
0.0387272
Long
DBT
CORP
US
N
2
2057-11-01
Floating
4.747
N
N
N
N
N
N
FIRST FRANKLIN MTG LN ABS CERT 2004-FF3
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF3 M1
36228FU61
1407781.770000
PA
USD
1358469.290000
0.0341044
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
6.29543
N
N
N
N
N
N
TOBACCO SETTLEMENT FINANCE AUTHORITY
N/A
TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/49 FIXED 4.875
88880LAW3
4890000.000000
PA
USD
4619329.700000
0.115968
Long
DBT
MUN
US
N
2
2049-06-01
Fixed
4.875
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA0415 FN 05/40 FIXED 4.5
31417YN94
39221.580000
PA
USD
37865.570000
0.0009506
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.5
N
N
N
N
N
N
N/A
N/A
317U4RKA5 PIMCO SWAPTION 3.344 CALL USD 202401
000000000
-2300000.000000
NC
USD
-11592.460000
-0.000291
N/A
DIR
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
UBS AG
BFM8T61CT2L1QCEMIK50
N/A
N/A
RFR USD SOFR/3.34400 01/22/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.34400 01/22/24-10Y LCH
2034-01-22
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.340000
USD
2024-01-18
XXXX
-380.530000
N
N
N
WASHINGTON MUTUAL 2006-AR13
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A
93363RAB2
1002606.960000
PA
USD
897818.790000
0.0225398
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
6.5118
N
N
N
N
N
N
GOLUB CAPITAL BDC INC
2549005WE0QLGK9APF78
GOLUB CAPITAL BDC SR UNSECURED 08/26 2.5
38173MAB8
3000000.000000
PA
USD
2720789.220000
0.0683055
Long
DBT
CORP
US
N
2
2026-08-24
Fixed
2.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91030 FG 05/27 FIXED 5.5
3128P7EB5
2228.210000
PA
USD
2239.810000
0.0000562
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL5540 FN 07/44 FIXED VAR
3138ENEN5
201947.750000
PA
USD
200519.390000
0.005034
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.5
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SR UNSECURED 144A 01/29 VAR
83368RBR2
6300000.000000
PA
USD
6522576.350000
0.163749
Long
DBT
CORP
FR
N
2
2029-01-10
Floating
6.446
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/50 3.5
694308JJ7
500000.000000
PA
USD
346250.760000
0.0086926
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.5
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2004-11
N/A
GSR MORTGAGE LOAN TRUST GSR 2004 11 1A1
36242DFP3
97071.580000
PA
USD
96513.730000
0.002423
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
5.976
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8361 FR 09/53 FIXED 5
3132DWJE4
39645757.730000
PA
USD
39231184.420000
0.9849
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5
N
N
N
N
N
N
COUNTRYWIDE HOME LOANS 2007-HY7
N/A
COUNTRYWIDE HOME LOANS CWHL 2007 HY7 A1
12544HAY6
2219916.430000
PA
USD
2040112.080000
0.0512171
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Variable
4.41812
N
N
N
N
N
N
FANNIE MAE 2006-22
N/A
FANNIE MAE FNR 2006 22 AO
31395BA52
15589.980000
PA
USD
13462.510000
0.000338
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
None
0
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A
126680AA5
140110.940000
PA
USD
119160.940000
0.0029915
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
5.83043
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA1753 G2 03/44 FIXED 4.5
36179N5N4
14472.890000
PA
USD
14226.100000
0.0003571
Long
ABS-MBS
USGSE
US
N
2
2044-03-20
Fixed
4.5
N
N
N
N
N
N
N/A
N/A
AT&T INC SNR S* ICE
000000000
1.000000
NC
USD
4800.450000
0.0001205
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
AT&T INC
AT&T INC
Y
Single Leg Swap
2024-06-20
0.000000
USD
-258.750000
USD
1500000.000000
USD
5059.200000
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q22511 FG 10/43 FIXED 4.5
3132JPYG1
284360.600000
PA
USD
283572.750000
0.0071191
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.5
N
N
N
N
N
N
ASSET BACKED SEC HOME EQTY LN 2004-HE2
N/A
ASSET BACKED SECURITIES CORP H ABSHE 2004 HE2 M1
04541GHW5
693275.450000
PA
USD
675812.120000
0.0169663
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
6.29543
N
N
N
N
N
N
AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)
5493006ORUSIL88JOE18
AMERICAN TOWER CORP SR UNSECURED 03/27 3.65
03027XBV1
3000000.000000
PA
USD
2887485.990000
0.0724904
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.65
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL RJ0046 FR 10/53 FIXED 4
3142GQBQ4
586338.670000
PA
USD
554504.990000
0.0139209
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
4
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY (TVA)
549300HE1ISW43LNKM54
TVA PRIN STRIP BONDS 06/38 0.00000
88059FBR1
2500000.000000
PA
USD
1252649.530000
0.0314478
Long
DBT
USGA
US
N
2
2038-06-15
None
0
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/4.45000 11/01/23-10Y LCH
000000000
1.000000
NC
USD
382907.580000
0.0096129
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2033-11-01
0.000000
USD
-20154.000000
USD
4800000.000000
USD
403061.580000
N
N
N
FREDDIE MAC REMICS 4473
N/A
FREDDIE MAC FHR 4473 BI
3137BJAU7
7022056.370000
PA
USD
379650.990000
0.0095311
Long
ABS-MBS
USGSE
US
N
2
2040-06-15
Floating
0
N
N
N
N
N
N
FLEX INTERMEDIATE HOLDCO LLC
549300290TQIGM30A243
FLEX INTERMEDIATE HOLDCO SR SECURED 144A 06/31 3.363
33939HAA7
2700000.000000
PA
USD
2212025.600000
0.0555329
Long
DBT
CORP
US
N
2
2031-06-30
Fixed
3.363
N
N
N
N
N
N
FANNIE MAE REMICS 2010-9
N/A
FANNIE MAE FNR 2010 9 KD
31398MCL8
4473.420000
PA
USD
4390.540000
0.0001102
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Fixed
4.5
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 03/32 VAR
06738EBR5
800000.000000
PA
USD
660340.610000
0.0165779
Long
DBT
CORP
GB
N
2
2032-03-10
Floating
2.667
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB3272 FN 07/41 FIXED 4.5
31416YT65
1753447.490000
PA
USD
1751873.510000
0.0439808
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.5
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PART SR UNSECURED 05/29 4.125
11120VAH6
3000000.000000
PA
USD
2858507.490000
0.0717629
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.125
N
N
N
N
N
N
JP MORGAN MORTGAGE ACQI CORP 2006-CH1
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH1 M4
46629TAJ9
1100000.000000
PA
USD
1058691.590000
0.0265785
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
6.04043
N
N
N
N
N
N
GOVERNEMENT NATIONAL MTG ASSOC 2007-41
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2007 41 PC
38375KXH0
5059.740000
PA
USD
5174.990000
0.0001299
Long
ABS-MBS
USGSE
US
N
2
2037-07-20
Fixed
5.5
N
N
N
N
N
N
EQUS 2021-EQAZ MORTGAGE TRUST
N/A
EQUS 2021 EQAZ MORTGAGE TRUST EQUS 2021 EQAZ A 144A
29478JAA8
4699905.790000
PA
USD
4610601.940000
0.115749
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
6.23128
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2023-A
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2023 A A1A 144A
78450QAA1
651591.900000
PA
USD
652919.320000
0.0163916
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
5.38
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256576 FN 01/37 FIXED 5.5
31371M6M4
9223.640000
PA
USD
9355.220000
0.0002349
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.5
N
N
N
N
N
N
CROWN CASTLE INTERNATIONAL CORP (CCI)
54930012H97VSM0I2R19
CROWN CASTLE INC SR UNSECURED 11/29 3.1
22822VAN1
2200000.000000
PA
USD
1970590.340000
0.0494717
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.1
N
N
N
N
N
N
SANTANDER HOLDINGS USA INC
549300SMVCQN2P0O6I58
SANTANDER HOLDINGS USA SR UNSECURED 03/29 VAR
80282KBF2
1700000.000000
PA
USD
1757905.300000
0.0441322
Long
DBT
CORP
US
N
2
2029-03-09
Floating
6.499
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91128 FG 12/27 FIXED 5.5
3128P7HD8
8276.730000
PA
USD
8332.980000
0.0002092
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
5.5
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 01/33 VAR
46647PCU8
5500000.000000
PA
USD
4715051.990000
0.118372
Long
DBT
CORP
US
N
2
2033-01-25
Floating
2.963
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE TRUST 2008-2R
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2008 2R 1A1 144A
225492AA5
343035.870000
PA
USD
288970.430000
0.0072546
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31485 FG 02/38 FIXED 4.5
31281BUJ7
39737.840000
PA
USD
39346.580000
0.0009878
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
4.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004488 G2 07/39 FIXED 4.5
36202E6Z7
18883.300000
PA
USD
18707.190000
0.0004696
Long
ABS-MBS
USGSE
US
N
2
2039-07-20
Fixed
4.5
N
N
N
N
N
N
MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP SR UNSECURED 07/29 3.195
606822BM5
1500000.000000
PA
USD
1379451.920000
0.0346312
Long
DBT
CORP
JP
N
2
2029-07-18
Fixed
3.195
N
N
N
N
N
N
FREDDIE MAC REMICS 3549
N/A
FREDDIE MAC FHR 3549 PO
31398EPR9
21869.400000
PA
USD
19370.190000
0.0004863
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
None
0
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA1618 FN 10/43 FIXED 4
31418AYQ5
87777.210000
PA
USD
82457.020000
0.0020701
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4
N
N
N
N
N
N
RGA GLOBAL FUNDING
549300Y22K5FOEBMSK42
RGA GLOBAL FUNDING SR SECURED 144A 01/29 2.7
76209PAB9
2900000.000000
PA
USD
2576108.370000
0.0646733
Long
DBT
CORP
US
N
2
2029-01-18
Fixed
2.7
N
N
N
N
N
N
ANTARES HOLDINGS LP
5493008EAIGV4283RM42
ANTARES HOLDINGS SR UNSECURED 144A 01/27 2.75
03666HAD3
4050000.000000
PA
USD
3591036.670000
0.0901531
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.75
N
N
N
N
N
N
JONES LANG LASALLE INCORPORATED
6SYKCME112RT8TQUO411
JONES LANG LASALLE INC SR UNSECURED 12/28 6.875
48020QAB3
3600000.000000
PA
USD
3814868.560000
0.0957724
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
6.875
N
N
N
N
N
N
LEHMAN XS TRUST 2006-16N
N/A
LEHMAN XS TRUST LXS 2006 16N A4A
52522DAM3
2694564.370000
PA
USD
2321187.210000
0.0582735
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
5.85043
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256786 FN 06/37 FIXED 6
31371NF34
28294.900000
PA
USD
28316.550000
0.0007109
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6
N
N
N
N
N
N
CONSTELLATION INSURANCE INC
549300K609B872PZT291
CONSTELLATION INSURC INC SR UNSECURED 144A 01/30 6.8
67740QAH9
3300000.000000
PA
USD
3131232.650000
0.0786097
Long
DBT
CORP
US
N
2
2030-01-24
Variable
6.8
N
N
N
N
N
N
EMCM MORTGAGE LOAN TRUST 2003-A
N/A
EMC MORTGAGE LOAN TRUST EMCM 2003 A A1 144A
268668BS8
938600.090000
PA
USD
916908.290000
0.023019
Long
ABS-MBS
CORP
US
N
2
2040-08-25
Floating
6.57043
N
N
N
N
N
N
SUMITOMO MITSUI FINANCIAL GROUP INC
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP SR UNSECURED 01/33 5.766
86562MCS7
3000000.000000
PA
USD
3171958.200000
0.0796321
Long
DBT
CORP
JP
N
2
2033-01-13
Fixed
5.766
N
N
N
N
N
N
CAPITAL FARM CREDIT ACA
254900S6K5I3OISPS518
CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR
14019TAA4
3300000.000000
NS
USD
3009996.000000
0.075566
Long
EP
CORP
US
N
2
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31019 FG 09/33 FIXED 4
31281BDY3
88350.700000
PA
USD
87023.350000
0.0021847
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4
N
N
N
N
N
N
BANC OF AMERICA FUNDING TRUST 2015-R2
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2015 R2 1A2 144A
05990TAB3
7181256.840000
PA
USD
6702101.120000
0.168256
Long
ABS-MBS
CORP
US
N
2
2036-08-27
Floating
4.39134
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004311 G2 12/38 FIXED 6.5
36202EYG8
24402.300000
PA
USD
24289.440000
0.0006098
Long
ABS-MBS
USGSE
US
N
2
2038-12-20
Fixed
6.5
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2008-5
N/A
SLM STUDENT LOAN TRUST SLMA 2008 5 A4
78444YAD7
1167730.070000
PA
USD
1168217.250000
0.0293281
Long
ABS-O
CORP
US
N
2
2024-10-25
Floating
7.29564
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004284 G2 11/38 FIXED 5.5
36202EXM6
6448.230000
PA
USD
6523.460000
0.0001638
Long
ABS-MBS
USGSE
US
N
2
2038-11-20
Fixed
5.5
N
N
N
N
N
N
RENAISSANCE HOME EQUITY LOAN TR 2006-1
N/A
RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF3
759950GV4
13820050.580000
PA
USD
6593007.150000
0.165518
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
5.608
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA0528 G2 11/42 FIXED 3.5
36179MSR2
165009.300000
PA
USD
152570.620000
0.0038303
Long
ABS-MBS
USGSE
US
N
2
2042-11-20
Fixed
3.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A92415 FG 06/40 FIXED 4.5
312940VG1
82808.020000
PA
USD
82851.210000
0.00208
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 357175 FN 12/31 FIXED 5.5
31376JXC8
33411.600000
PA
USD
33329.590000
0.0008367
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q28306 FG 09/44 FIXED 4
3132M83P9
471980.610000
PA
USD
454343.780000
0.0114063
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD3890 FR 08/52 FIXED 3
3132E0KB7
106579014.820000
PA
USD
94318410.090000
2.36787
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A94185 FG 10/40 FIXED 4
312942UJ2
3486.140000
PA
USD
3388.350000
0.0000851
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4
N
N
N
N
N
N
WELLS FARGO HOME EQUITY TRUST 2005-1
N/A
WELLS FARGO HOME EQUITY TRUST WFHET 2005 1 M9
9497ERAJ3
130907.420000
PA
USD
134064.830000
0.0033657
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
8.02043
N
N
N
N
N
N
BLUE OWL FINANCE LLC
254900OF2NO2GYFV5T41
BLUE OWL FINANCE LLC COMPANY GUAR 144A 06/31 3.125
09581JAA4
4300000.000000
PA
USD
3547798.550000
0.0890676
Long
DBT
CORP
US
N
2
2031-06-10
Fixed
3.125
N
N
N
N
N
N
THORNBURG MORTGAGE SECURITIES TR 2006-5
N/A
THORNBURG MORTGAGE SECURITIES TMST 2006 5 A1
88522RAA2
805053.160000
PA
USD
750722.700000
0.0188469
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
5.07981
N
N
N
N
N
N
FIBRA UNO (TRUST F/1401)
N/A
TRUST FIBRAUNO SR UNSECURED REGS 01/44 6.95
P9406GAB4
300000.000000
PA
USD
259140.330000
0.0065057
Long
DBT
CORP
MX
N
2
2044-01-30
Fixed
6.95
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC COMPANY GUAR 03/32 3.625
404119CK3
3000000.000000
PA
USD
2683739.220000
0.0673753
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.625
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-NC5
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C
61749BAE3
283300.680000
PA
USD
148015.990000
0.0037159
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.62043
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC SR UNSECURED 08/32 5.4
37940XAQ5
5100000.000000
PA
USD
5152926.880000
0.129364
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
5.4
N
N
N
N
N
N
OPTION ONE MORTGAGE LOAN TRUST 2006-2
N/A
OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 2 2A3
68402CAD6
1991950.870000
PA
USD
1120124.170000
0.0281207
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.75043
N
N
N
N
N
N
AMERICAN AGCREDIT CORPORATION
N/A
AMER AGCREDIT ACA JR SUBORDINA 144A VAR
02369GAA3
4000000.000000
NS
USD
3673167.600000
0.0922149
Long
EP
CORP
US
N
2
N
N
N
CHL MORTGAGE PASS-THROUGH TRUST 2006-HYB1 2006-HYB1
N/A
COUNTRYWIDE HOME LOANS CWHL 2006 HYB1 1A1
126694WE4
513789.940000
PA
USD
460624.450000
0.011564
Long
ABS-MBS
CORP
US
N
2
2036-03-20
Variable
4.27101
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
TARGA RESOURCES CORP COMPANY GUAR 03/33 6.125
87612GAC5
3000000.000000
PA
USD
3160398.360000
0.0793419
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
6.125
N
N
N
N
N
N
FIRST AMERICAN FINANCIAL CORPORATION
549300B6VEZK3N0A1P55
FIRST AMERICAN FINANCIAL SR UNSECURED 05/30 4
31847RAG7
4000000.000000
PA
USD
3602578.680000
0.0904428
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4
N
N
N
N
N
N
AADVANTAGE LOYALTY IP LTD
N/A
AMERICAN AIRLINES, INC. 2021 TERM LOAN
02376CBJ3
3330000.000000
PA
USD
3426003.900000
0.0860099
Long
LON
CORP
KY
N
2
2028-04-20
Floating
10.4274
N
N
N
N
N
N
AMFAM HOLDINGS INC
N/A
AMFAM HOLDINGS INC SR UNSECURED 144A 03/31 2.805
03115AAA1
700000.000000
PA
USD
537128.240000
0.0134846
Long
DBT
CORP
US
N
2
2031-03-11
Fixed
2.805
N
N
N
N
N
N
N/A
N/A
317U4SQA7 PIMCO SWAPTION 3.235 CALL USD 202401
000000000
-4700000.000000
NC
USD
-14902.760000
-0.0003741
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
N/A
N/A
RFR USD SOFR/3.23500 01/24/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.23500 01/24/24-10Y LCH
2034-01-24
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.230000
USD
2024-01-22
XXXX
4367.240000
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1G2603 FH 10/36 FLOATING VAR
3128QS3L8
471.080000
PA
USD
473.670000
0.0000119
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Floating
5.592
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AV5397 FN 12/28 FIXED 4
3138XG7K3
159982.810000
PA
USD
157019.400000
0.003942
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
4
N
N
N
N
N
N
N/A
N/A
AES CORPORATION SNR S* ICE
000000000
1.000000
NC
USD
350594.460000
0.0088017
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
AES CORPORATION
AES CORP/THE SR UNSEC
Y
Single Leg Swap
2026-06-20
695065.260000
USD
0.000000
USD
3400000.000000
USD
-344470.800000
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 03/29 VAR
539439AX7
5000000.000000
PA
USD
5126262.400000
0.128695
Long
DBT
CORP
GB
N
2
2029-03-06
Floating
5.871
N
N
N
N
N
N
DRYDEN 36 SENIOR LOAN FUND 2014-36A
N/A
DRYDEN SENIOR LOAN FUND DRSLF 2014 36A AR3 144A
26249KAZ4
5905287.910000
PA
USD
5899911.910000
0.148117
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
6.67548
N
N
N
N
N
N
CIT MTGE LOAN TRUST 2007-1
N/A
CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A
12559QAF9
4963451.070000
PA
USD
4912107.150000
0.123319
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Floating
6.97043
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2015-BA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A
63939KAC3
954052.460000
PA
USD
957896.910000
0.024048
Long
ABS-O
CORP
US
N
2
2040-07-16
Floating
6.92629
N
N
N
N
N
N
FREDDIE MAC 3117
N/A
FREDDIE MAC FHR 3117 EO
31396HUN7
6183.310000
PA
USD
5334.040000
0.0001339
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
0
N
N
N
N
N
N
FARM CREDIT BANK OF TEXAS
V1EBJIOLRNYDHDF63Z33
FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR
30767EAD1
4250000.000000
NS
USD
4032187.500000
0.101228
Long
EP
USGSE
US
N
2
N
N
N
PETROLEOS MEXICANOS (PEMEX)
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7
71643VAB1
4600000.000000
PA
USD
3822413.700000
0.0959618
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.7
N
N
N
N
N
N
N/A
N/A
317U4P3A8 PIMCO SWAPTION 3.489 CALL USD 202401
000000000
-5600000.000000
NC
USD
-40194.000000
-0.0010091
N/A
DIR
US
N
2
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
Call
Written
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
N/A
N/A
RFR USD SOFR/3.48900 01/10/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.48900 01/10/24-10Y LCH
2034-01-10
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.490000
USD
2024-01-08
XXXX
-14266.000000
N
N
N
FREDDIE MAC REMICS 5051
N/A
FREDDIE MAC FHR 5051 SX
3137F83L5
18549967.040000
PA
USD
754710.970000
0.018947
Long
ABS-MBS
USGSE
US
N
2
2048-11-15
Floating
0
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-HA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2020 HA A 144A
63935BAA1
994912.720000
PA
USD
911243.940000
0.0228768
Long
ABS-O
CORP
US
N
2
2069-01-15
Fixed
1.31
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004364 G2 02/39 FIXED 6
36202EZ51
32646.460000
PA
USD
33038.560000
0.0008294
Long
ABS-MBS
USGSE
US
N
2
2039-02-20
Fixed
6
N
N
N
N
N
N
MFA 2020-NQM3 TRUST
N/A
MFRA TRUST MFRA 2020 NQM3 A2 144A
552757AB2
476533.160000
PA
USD
430991.890000
0.0108201
Long
ABS-MBS
CORP
US
N
2
2065-01-26
Variable
1.324
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
DELTA AIR LINES INC SR UNSECURED 10/29 3.75
247361ZT8
3400000.000000
PA
USD
3115614.280000
0.0782176
Long
DBT
CORP
US
N
2
2029-10-28
Fixed
3.75
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2021-GS1
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS1 A1 144A
52474JAA4
1494087.590000
PA
USD
1467129.470000
0.0368323
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Fixed
1.892
N
N
N
N
N
N
INVITATION HOMES OPERATING PARTNERSHIP LP
549300147YMUQB3GW319
INVITATION HOMES OP COMPANY GUAR 08/30 5.45
46188BAE2
5000000.000000
PA
USD
5044440.450000
0.126641
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
5.45
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG
952NPHII6
500000.000000
PA
USD
60000.000000
0.0015063
Long
DBT
CORP
US
N
2
2060-12-31
None
0
N
N
N
N
N
N
CARRINGTON MTGE LOAN TRUST 2006-FRE2
N/A
CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A3
14454AAC3
2398473.290000
PA
USD
1859618.130000
0.0466858
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.63043
N
N
N
N
N
N
MAGNETITE XVIII LTD 2016-18A
N/A
MAGNETITE CLO LTD MAGNE 2016 18A AR2 144A
55953TAS6
1843893.080000
PA
USD
1844731.960000
0.046312
Long
ABS-CBDO
CORP
KY
N
2
2028-11-15
Floating
6.52133
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA3996 G2 10/46 FIXED 4.5
36179SNM5
153650.080000
PA
USD
152220.680000
0.0038215
Long
ABS-MBS
USGSE
US
N
2
2046-10-20
Fixed
4.5
N
N
N
N
N
N
AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST
N/A
AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7
02377AAA6
1637256.190000
PA
USD
1525120.350000
0.0382882
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.7
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2007-12
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 2A3
126697AE1
186717.960000
PA
USD
185516.750000
0.0046574
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
6.27043
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/33 6.15
694308KJ5
2200000.000000
PA
USD
2282825.950000
0.0573104
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
6.15
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 745410 FN 01/36 FIXED VAR
31403DDP1
8598.860000
PA
USD
8596.820000
0.0002158
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91195 FG 07/28 FIXED 5.5
3128P7KG7
27999.950000
PA
USD
28282.370000
0.00071
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
5.5
N
N
N
N
N
N
N/A
N/A
ENERGY TRANSFER LP SNR S* ICE
000000000
1.000000
NC
USD
11960.870000
0.0003003
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
ENERGY TRANSFER LP
ENERGY TRANSFER OPERATNG SR UNSEC
Y
Single Leg Swap
2025-12-20
0.000000
USD
-13933.760000
USD
1100000.000000
USD
25894.630000
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BE0961 FN 11/46 FIXED 4
3140FLB72
644171.430000
PA
USD
617755.650000
0.0155088
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4
N
N
N
N
N
N
MARATHON CLO IX LTD 2017-9A
N/A
MARATHON CLO LTD MCLO 2017 9A A1AR 144A
56577PAL3
918077.190000
PA
USD
919073.860000
0.0230734
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
6.80548
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 04/26 4.25
05401AAL5
1800000.000000
PA
USD
1739783.210000
0.0436773
Long
DBT
CORP
KY
N
2
2026-04-15
Fixed
4.25
N
N
N
N
N
N
REALTY INCOME CORPORATION
549300CUWDAUZSH43859
REALTY INCOME CORP SR UNSECURED 01/31 3.25
756109AX2
2100000.000000
PA
USD
1909065.630000
0.0479271
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.25
N
N
N
N
N
N
AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD
N/A
AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/29 5.75
00253XAB7
1400000.000000
PA
USD
1366270.360000
0.0343002
Long
DBT
CORP
US
N
2
2029-04-20
Fixed
5.75
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256860 FN 08/37 FIXED 6.5
31371NJD8
1123.320000
PA
USD
1165.690000
0.0000293
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.5
N
N
N
N
N
N
NLT 2023-1 TRUST
N/A
NMLT TRUST NLT 2023 1 A1 144A
62917MAA1
3300000.000000
PA
USD
2943926.370000
0.0739073
Long
ABS-MBS
CORP
US
N
2
2062-10-25
Variable
3.2
N
N
N
N
N
N
AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST
N/A
AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375
023770AA8
7794806.580000
PA
USD
7150186.990000
0.179506
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.375
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL RA9796 FR 09/53 FIXED 4.5
3133KR3D4
953594.550000
PA
USD
924883.520000
0.0232192
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
4.5
N
N
N
N
N
N
SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3
N/A
SPECIALTY UNDERWRITING + RESID SURF 2006 AB3 A2B
84751XAC6
6302412.300000
PA
USD
4332466.030000
0.108767
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
5.77043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91223 FG 12/28 FIXED 5.5
3128P7LC5
310.070000
PA
USD
311.910000
0.0000078
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8214 FR 05/52 FIXED 3.5
3132DWDT7
74863133.750000
PA
USD
68716590.480000
1.72513
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.5
N
N
N
N
N
N
FS KKR CAPITAL CORP
549300TYRSI1T21B1360
FS KKR CAPITAL CORP SR UNSECURED 01/27 2.625
302635AH0
4000000.000000
PA
USD
3594854.840000
0.0902489
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.625
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BM5485 FN 02/49 FIXED VAR
3140JACX4
892763.040000
PA
USD
830384.620000
0.0208468
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
3.5
N
N
N
N
N
N
WORLDWIDE PLAZA TRUST 2017-WWP
N/A
WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A
98162JAA4
8900000.000000
PA
USD
6790508.650000
0.170476
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
3.5263
N
N
N
N
N
N
BFLD 2019-DPLO
N/A
BFLD TRUST BFLD 2019 DPLO A 144A
054970AA6
2320000.000000
PA
USD
2311899.020000
0.0580403
Long
ABS-MBS
CORP
US
N
2
2034-10-15
Floating
6.56648
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 784067 G2 10/45 FIXED 4
3622A2QU9
5353223.470000
PA
USD
5216922.690000
0.130971
Long
ABS-MBS
USGSE
US
N
2
2045-10-20
Fixed
4
N
N
N
N
N
N
N/A
N/A
VALEO SA SNR SE ICE
000000000
1.000000
NC
-5456.280000
-0.000137
N/A
DCR
FR
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
VALEO
VALEO SA SR UNSEC EMTN
Y
Single Leg Swap
2026-06-20
0.000000
EUR
-25321.620000
EUR
1800000.000000
EUR
19865.340000
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3638 FN 04/49 FIXED 4
31418DBG6
1291098.900000
PA
USD
1240394.210000
0.0311401
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4
N
N
N
N
N
N
CS FIRST BOSTON MORTGAGE SEC 2001-28
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 28 1A1
22540VKM3
25830.100000
PA
USD
14758.650000
0.0003705
Long
ABS-MBS
CORP
US
N
3
2031-11-25
Floating
6.12043
N
N
N
N
N
N
PACIFIC LIFE INSURANCE COMPANY
8WC3XYHE06SQFW7CQK10
PACIFIC LIFE INSURANCE C SUBORDINATED 144A 06/39 9.25
694475AA2
5000000.000000
PA
USD
6529383.150000
0.16392
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
9.25
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45
694308GZ4
2000000.000000
PA
USD
1618740.280000
0.0406385
Long
DBT
CORP
US
N
2
2042-04-15
Fixed
4.45
N
N
N
N
N
N
WELLS FARGO HOME EQUITY ABS SER 2004-1
N/A
WELLS FARGO HOME EQUITY TRUST WFHET 2004 1 1A
86359BMW8
64017.680000
PA
USD
62118.620000
0.0015595
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
6.07043
N
N
N
N
N
N
WHITEHORSE XII LTD 12A
N/A
WHITEHORSE LTD WITEH 2018 12A A 144A
96525YAC3
8400000.000000
PA
USD
8412587.150000
0.211198
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
6.90548
N
N
N
N
N
N
ELMWOOD CLO VII LTD 2020-4A
N/A
ELMWOOD CLO VII LTD. ELMW7 2020 4A AR 144A
29002QAJ8
3300000.000000
PA
USD
3305754.610000
0.082991
Long
ABS-CBDO
CORP
KY
N
2
2034-01-17
Floating
7.05371
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A
466317AA2
976279.570000
PA
USD
900426.550000
0.0226052
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Floating
5.95831
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 10/32 VAR
38141GYN8
2600000.000000
PA
USD
2167521.770000
0.0544157
Long
DBT
CORP
US
N
2
2032-10-21
Floating
2.65
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 889404 FN 06/37 FIXED VAR
31410KDH4
8696.900000
PA
USD
8545.740000
0.0002145
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31493 FG 02/38 FIXED 5
31281BUS7
13916.400000
PA
USD
14174.980000
0.0003559
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 12/51 VAR
53079EBM5
4000000.000000
PA
USD
3359420.800000
0.0843383
Long
DBT
CORP
US
N
2
2051-12-15
Floating
4.125
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6
N/A
SANTANDER DRIVE AUTO RECEIVABL SDART 2023 6 C
80287DAE7
1700000.000000
PA
USD
1747750.450000
0.0438773
Long
ABS-O
CORP
US
N
2
2031-03-17
Fixed
6.4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AZ5730 FN 09/45 FIXED 3.5
3138YXLL7
1620706.400000
PA
USD
1529941.330000
0.0384092
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.5
N
N
N
N
N
N
CUTWATER 2015-I LTD
N/A
CUTWATER LTD CTWTR 2015 1A AR 144A
23222LAN7
2480479.250000
PA
USD
2483619.710000
0.0623513
Long
ABS-CBDO
CORP
KY
N
2
2029-01-15
Floating
6.87548
N
N
N
N
N
N
GSMPS MORTGAGE LOAN TRUST 2006-RP1
N/A
GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1AF1 144A
3623413C1
1861426.660000
PA
USD
1500488.960000
0.0376698
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.82043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C03449 FG 03/40 FIXED 4
31292KZN0
153.340000
PA
USD
149.810000
0.0000038
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
4
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP SR UNSECURED 08/26 3.5
517834AE7
1100000.000000
PA
USD
1049247.870000
0.0263414
Long
DBT
CORP
US
N
2
2026-08-18
Fixed
3.5
N
N
N
N
N
N
N/A
N/A
317U4RHA9 PIMCO SWAPTION 3.75 PUT USD 20240118
000000000
-2300000.000000
NC
USD
-3951.400000
-0.0000992
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
RFR USD SOFR/3.75000 01/22/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.75000 01/22/24-10Y LCH
2034-01-22
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.750000
USD
2024-01-18
XXXX
7433.600000
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G08882 FG 06/49 FIXED 4
3128MJ6U9
933347.030000
PA
USD
897727.950000
0.0225375
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
01F022618
45478000.000000
PA
USD
38695382.880000
0.971448
Long
ABS-MBS
USGSE
US
N
2
2054-01-16
Fixed
2.5
N
N
N
N
N
N
N/A
N/A
317U4NPA9 PIMCO SWAPTION 4.01 PUT USD 20240105
000000000
-4700000.000000
NC
USD
-39.950000
-0.000001
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
RFR USD SOFR/4.01000 01/09/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/4.01000 01/09/24-10Y LCH
2034-01-09
0.000000
USD
0.000000
USD
N/A
USD
N/A
4.010000
USD
2024-01-05
XXXX
24047.550000
N
N
N
FANNIE MAE-2006-58
N/A
FANNIE MAE FNR 2006 58 PO
31395ND20
5340.670000
PA
USD
4552.440000
0.0001143
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
None
0
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3467 FN 09/48 FIXED 4
31418CZ98
1355222.020000
PA
USD
1303580.810000
0.0327264
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256370 FN 06/36 FIXED 5.5
31371MW78
24464.700000
PA
USD
24227.790000
0.0006082
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.5
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY 11/27 VAR
251526CP2
4500000.000000
PA
USD
4117184.640000
0.103362
Long
DBT
CORP
DE
N
2
2027-11-16
Floating
2.311
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL QE2230 FR 05/52 FIXED 3
3133BBPP8
1765863.980000
PA
USD
1562738.250000
0.0392326
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8349 FR 08/53 FIXED 5.5
3132DWH22
47252635.500000
PA
USD
47454739.750000
1.19135
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL ZN2806 FR 01/49 FIXED 4.5
3131Y9DK6
1137717.200000
PA
USD
1121696.690000
0.0281602
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.5
N
N
N
N
N
N
RUTGERS THE STATE UNIVERSITY
549300BOYDHNW8J60112
RUTGERS NJ ST UNIV RUTHGR 05/19 FIXED 3.915
783186TP4
5400000.000000
PA
USD
4010537.880000
0.100685
Long
DBT
MUN
US
N
2
2119-05-01
Fixed
3.915
N
N
N
N
N
N
N/A
N/A
317U4RQA9 PIMCO SWAPTION 3.738 PUT USD 2024011
000000000
-1400000.000000
NC
USD
-2821.280000
-0.0000708
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
RFR USD SOFR/3.73800 01/23/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.73800 01/23/24-10Y LCH
2034-01-23
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.740000
USD
2024-01-19
XXXX
3023.720000
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 784295 G2 03/47 FIXED 3.5
3622A2XY3
7564425.110000
PA
USD
7118372.140000
0.178707
Long
ABS-MBS
USGSE
US
N
2
2047-03-20
Fixed
3.5
N
N
N
N
N
N
N/A
N/A
317U4RRA8 PIMCO SWAPTION 3.288 CALL USD 202401
000000000
-1400000.000000
NC
USD
-5539.100000
-0.0001391
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
N/A
N/A
RFR USD SOFR/3.28800 01/23/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.28800 01/23/24-10Y LCH
2034-01-23
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.290000
USD
2024-01-19
XXXX
305.900000
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 928692 FN 08/37 FIXED 5.5
31412LXV7
18700.960000
PA
USD
18655.130000
0.0004683
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.5
N
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2005-A
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2005 AQ1 M3
073879UQ9
286110.250000
PA
USD
283253.900000
0.0071111
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.59543
N
N
N
N
N
N
CBAM 2018-5 LTD 5A
N/A
CBAM CLO MANAGEMENT CBAM 2018 5A A 144A
12481QAC9
3142456.350000
PA
USD
3137624.480000
0.0787701
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
6.68444
N
N
N
N
N
N
CEDAR FUNDING VII CLO LTD 2018-7A
N/A
CEDAR FUNDING LTD CEDF 2018 7A A1 144A
15032FAA4
1131558.030000
PA
USD
1130524.520000
0.0283818
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
6.67743
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2005-S3
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A1
466247ZN6
4925200.810000
PA
USD
2614913.720000
0.0656475
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
6.5
N
N
N
N
N
N
RENAISSANCE HOME EQUITY LOAN TR 2006-3
N/A
RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF4
75971EAG1
12194899.670000
PA
USD
4427051.010000
0.111141
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
5.812
N
N
N
N
N
N
CSMC 2021-RPL7 TRUST
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL7 A1 144A
12598JAC5
3140349.400000
PA
USD
3015813.190000
0.0757121
Long
ABS-MBS
CORP
US
N
2
2061-07-27
Fixed
1.92598
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AE5917 FN 10/25 FIXED 4
31419GSF2
8826.600000
PA
USD
8685.820000
0.0002181
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
4
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SR UNSECURED 144A 01/28 VAR
09659W2T0
7500000.000000
PA
USD
6942793.650000
0.174299
Long
DBT
CORP
FR
N
2
2028-01-20
Floating
2.591
N
N
N
N
N
N
GLP CAPITAL LP / GLP FINANCING II INC
N/A
GLP CAPITAL LP / FIN II COMPANY GUAR 06/28 5.75
361841AK5
3000000.000000
PA
USD
3029340.000000
0.0760516
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.75
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS SR UNSECURED 11/26 VAR
80281LAS4
3000000.000000
PA
USD
3057391.800000
0.0767559
Long
DBT
CORP
GB
N
2
2026-11-21
Floating
6.833
N
N
N
N
N
N
FANNIE MAE REMICS 2012-55
N/A
FANNIE MAE FNR 2012 55 GS
3136A53W4
133672.380000
PA
USD
101363.200000
0.0025447
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Floating
0
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-8A LLC
N/A
AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 8A A 144A
05377RHM9
7500000.000000
PA
USD
7740546.000000
0.194327
Long
ABS-O
CORP
US
N
2
2030-02-20
Fixed
6.02
N
N
N
N
N
N
FIBRA UNO (TRUST F/1401)
N/A
TRUST FIBRAUNO SR UNSECURED 144A 01/30 4.869
898339AA4
4900000.000000
PA
USD
4441702.510000
0.111509
Long
DBT
CORP
MX
N
2
2030-01-15
Fixed
4.869
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8286 FR 01/53 FIXED 4
3132DWF32
1915001.460000
PA
USD
1811812.560000
0.0454856
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 931733 FN 08/49 FIXED 4.5
31412QEE5
32171.250000
PA
USD
30976.620000
0.0007777
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.5
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2005-WMC1
N/A
MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M3
61744CLW4
95432.850000
PA
USD
93129.610000
0.002338
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
6.25043
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-21M
N/A
BX TRUST BX 2021 21M A 144A
05609CAA5
1484812.090000
PA
USD
1457440.920000
0.0365891
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
6.20648
N
N
N
N
N
N
VENTURE CLO LTD 2018-33A
N/A
VENTURE CDO LTD VENTR 2018 33A A1LR 144A
92330YAN3
4628326.490000
PA
USD
4628786.780000
0.116206
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
6.71548
N
N
N
N
N
N
RESIDENTIAL ASSET SEC TRUST 2003-A9
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2003 A9 A3
45660NSY2
19318.840000
PA
USD
16523.950000
0.0004148
Long
ABS-MBS
CORP
US
N
3
2033-08-25
Floating
6.02043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P51310 FG 08/37 FIXED 6
3128C6N39
10655.220000
PA
USD
10749.100000
0.0002699
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6
N
N
N
N
N
N
ARES CAPITAL CORPORATION
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP SR UNSECURED 06/27 2.875
04010LBD4
6000000.000000
PA
USD
5486650.800000
0.137742
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
2.875
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91206 FG 08/28 FIXED 5.5
3128P7KT9
11579.190000
PA
USD
11702.610000
0.0002938
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AK9126 FN 02/42 FIXED 4
3138EED89
105215.000000
PA
USD
102356.660000
0.0025697
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004489 G2 07/39 FIXED 5
36202E7A1
21454.440000
PA
USD
21422.890000
0.0005378
Long
ABS-MBS
USGSE
US
N
2
2039-07-20
Fixed
5
N
N
N
N
N
N
PACIFIC NATIONAL FINANCE PTY LTD
213800SSTRDXLWWVF948
PACIFIC NATIONAL FINANCE COMPANY GUAR REGS 03/28 4.75
BYVTPZII5
4300000.000000
PA
USD
4032421.920000
0.101234
Long
DBT
CORP
AU
N
2
2028-03-22
Fixed
4.75
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 255958 FN 10/35 FIXED 5
31371MJB4
4909.120000
PA
USD
4871.940000
0.0001223
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 838615 FN 10/35 FIXED 4.5
31407RVG6
41526.760000
PA
USD
40448.130000
0.0010155
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
4.5
N
N
N
N
N
N
NEW YORK MORTGAGE TRUST 2021-SP1
N/A
NEW YORK MORTGAGE TRUST NYMT 2021 SP1 A1 144A
62955RAA3
3093637.000000
PA
USD
2941828.210000
0.0738547
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Fixed
1.6696
N
N
N
N
N
N
DIAMOND ISSUER 2021-1A
N/A
DIAMOND ISSUER LLC SHINE 2021 1A A 144A
25267TAN1
1800000.000000
PA
USD
1588572.000000
0.0398811
Long
ABS-O
CORP
US
N
2
2051-11-20
Fixed
2.305
N
N
N
N
N
N
AMERICAN HOMES 4 RENT LP
549300N4PXZ37U8QKI55
AMERICAN HOMES 4 RENT SR UNSECURED 02/28 4.25
02666TAA5
2900000.000000
PA
USD
2817934.610000
0.0707443
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.25
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
BANCO SANTANDER SA SR UNSECURED 03/31 2.958
05964HAM7
2200000.000000
PA
USD
1891405.080000
0.0474838
Long
DBT
CORP
ES
N
2
2031-03-25
Fixed
2.958
N
N
N
N
N
N
N/A
N/A
DEVON ENERGY CORPORATION SNR S* ICE
000000000
1.000000
NC
USD
20532.930000
0.0005155
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
DEVON ENERGY CORPORATION
DEVON ENERGY CORPORATION SR UNSEC
Y
Single Leg Swap
2026-12-20
0.000000
USD
-15748.530000
USD
2000000.000000
USD
36281.460000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC COMPANY GUAR 144A 02/31 2.45
11135FBH3
10000000.000000
PA
USD
8556754.100000
0.214817
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.45
N
N
N
N
N
N
NEW YORK & PRESBYTERIAN HOSPITAL
19EOSPKL8HML7MY3UE63
NY + PRESBYTERIAN HOSPIT UNSECURED 08/16 4.763
649322AE4
3000000.000000
PA
USD
2652180.810000
0.0665831
Long
DBT
CORP
US
N
2
2116-08-01
Fixed
4.763
N
N
N
N
N
N
PENNSYLVANIA ELECTRIC COMPANY
O1PLQWO3TX952VMBJ146
PENNSYLVANIA ELECTRIC CO SR UNSECURED 144A 03/28 3.25
708696BY4
1100000.000000
PA
USD
1026192.220000
0.0257626
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.25
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2020-INV1
N/A
VERUS SECURITIZATION TRUST VERUS 2020 INV1 A2 144A
92537TAD7
100000.000000
PA
USD
97388.100000
0.0024449
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Fixed
3.035
N
N
N
N
N
N
N/A
N/A
BOEING CO/THE SNR S* ICE
000000000
1.000000
NC
USD
21356.310000
0.0005362
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
BOEING CO/THE
BOEING CO SR UNSEC
Y
Single Leg Swap
2026-06-20
0.000000
USD
-10725.690000
USD
1500000.000000
USD
32082.000000
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL T65247 FG 10/44 FIXED 4.5
31322YZL8
73308.690000
PA
USD
70055.570000
0.0017587
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.5
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC SR UNSECURED 01/28 5.842
65535HBH1
1500000.000000
PA
USD
1532997.140000
0.0384859
Long
DBT
CORP
JP
N
2
2028-01-18
Fixed
5.842
N
N
N
N
N
N
FANNIE MAE REMICS 2013-18
N/A
FANNIE MAE FNR 2013 18 MZ
3136ACXR7
743.900000
PA
USD
651.940000
0.0000164
Long
ABS-MBS
USGSE
US
N
2
2033-03-25
Fixed
3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91148 FG 01/28 FIXED 5.5
3128P7HZ9
2950.970000
PA
USD
2967.970000
0.0000745
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA5037 FN 06/53 FIXED 4.5
31418ES35
74314693.290000
PA
USD
72077210.160000
1.8095
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
4.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q03745 FG 10/41 FIXED 4.5
3132GJZJ1
252285.910000
PA
USD
251202.420000
0.0063064
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.5
N
N
N
N
N
N
CREDIT SUISSE AG/NEW YORK BRANCH
549300D0YARF5HYP1809
CREDIT SUISSE NEW YORK SR UNSECURED 07/27 5
22550L2K6
3500000.000000
PA
USD
3502739.030000
0.0879363
Long
DBT
CORP
CH
N
2
2027-07-09
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256986 FN 11/37 FIXED 7
31371NNB7
12390.850000
PA
USD
12566.740000
0.0003155
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
7
N
N
N
N
N
N
GOLDEN STATE TOBACCO SECURITIZATION
N/A
GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/36 FIXED 3.487
38122ND41
3300000.000000
PA
USD
2691520.920000
0.0675707
Long
DBT
MUN
US
N
2
2036-06-01
Fixed
3.487
N
N
N
N
N
N
N/A
N/A
VERIZON COMMUNICATIONS INC SNR S* ICE
000000000
1.000000
NC
USD
24195.410000
0.0006074
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
VERIZON COMMUNICATIONS INC
VERIZON COMMUNICATIONS SR UNSEC
Y
Single Leg Swap
2024-12-20
13473.170000
USD
0.000000
USD
4300000.000000
USD
10722.240000
N
N
N
RENAISSANCE HOME EQUITY LOAN TR 2007-2
N/A
RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF1
75970QAD2
2721989.920000
PA
USD
748703.470000
0.0187962
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
5.893
N
N
N
N
N
N
CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3
N/A
CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A
161927AC2
2964835.370000
PA
USD
2610593.280000
0.065539
Long
ABS-MBS
CORP
US
N
2
2063-09-25
Variable
3.25
N
N
N
N
N
N
N/A
N/A
317U4QFA3 PIMCO SWAPTION 3.55 CALL USD 2024011
000000000
-5500000.000000
NC
USD
-70595.800000
-0.0017723
N/A
DIR
US
N
2
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
Call
Written
Wells Fargo Bank, National Association
KB1H1DSPRFMYMCUFXT09
N/A
N/A
RFR USD SOFR/3.55000 01/18/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.55000 01/18/24-10Y LCH
2034-01-18
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.550000
USD
2024-01-16
XXXX
-46602.050000
N
N
N
STRUCTURED ASSET SECUR CORP 2005-WF4
N/A
STRUCTURED ASSET SECURITIES CO SASC 2005 WF3 M5
86359DLQ8
2915423.030000
PA
USD
2871854.070000
0.072098
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
6.50543
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY SR UNSECURED 10/32 VAR
61747YEH4
4700000.000000
PA
USD
3893558.490000
0.0977479
Long
DBT
CORP
US
N
2
2032-10-20
Floating
2.511
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 07/33 VAR
95000U3B7
10000000.000000
PA
USD
9747420.600000
0.244709
Long
DBT
CORP
US
N
2
2033-07-25
Floating
4.897
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q14520 FG 01/43 FIXED 3
3132HRAV2
406.970000
PA
USD
383.170000
0.0000096
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR
539439AU3
5000000.000000
PA
USD
4908952.500000
0.123239
Long
DBT
CORP
GB
N
2
2025-09-27
Floating
7.5
N
N
N
N
Y
LLOYDS BANKING GROUP PLC
LLOYDS BANKING GROUP PLC
GBP
XXXX
N
N
N
MASTR ADJUSTABLE RT MTGE TRUST 2004-3
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 3 1A1
576433KM7
154210.950000
PA
USD
127038.490000
0.0031893
Long
ABS-MBS
CORP
US
N
3
2034-04-25
Floating
4.15572
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP SR UNSECURED 11/28 VAR
06051GLC1
1800000.000000
PA
USD
1878774.930000
0.0471667
Long
DBT
CORP
US
N
2
2028-11-10
Floating
6.204
N
N
N
N
N
N
MASSACHUSETTS INSTITUTE OF TECHNOLOGY
DLZO3A31IADZ27B62557
MASS INSTITUTE OF TECH UNSECURED 12/99 4.678
575718AB7
1360000.000000
PA
USD
1293819.230000
0.0324814
Long
DBT
CORP
US
N
2
2099-12-31
Fixed
4.678
N
N
N
N
N
N
CI FINANCIAL CORP
549300M9W7JJQSVCEM78
CI FINANCIAL CORP SR UNSECURED 12/30 3.2
125491AN0
4000000.000000
PA
USD
3162926.880000
0.0794053
Long
DBT
CORP
CA
N
2
2030-12-17
Fixed
3.2
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5
694308JQ1
1700000.000000
PA
USD
1440401.990000
0.0361613
Long
DBT
CORP
US
N
2
2040-07-01
Fixed
4.5
N
N
N
N
N
N
N/A
N/A
GENERAL MOTORS COMPANY SNR S* ICE
000000000
1.000000
NC
USD
831273.360000
0.0208691
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
GENERAL MOTORS COMPANY
GENERAL MOTORS CO SR UNSEC
Y
Single Leg Swap
2028-06-20
707204.900000
USD
0.000000
USD
5605000.000000
USD
124068.460000
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC COMPANY GUAR 08/45 5.85
761713BB1
710000.000000
PA
USD
665892.800000
0.0167173
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85
N
N
N
N
N
N
HEALTHCARE REALTY HOLDINGS LP
549300IYGAS4GE6VDL07
HEALTHCARE RLTY HLDGS LP COMPANY GUAR 07/27 3.75
42225UAF1
4600000.000000
PA
USD
4354886.520000
0.10933
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.75
N
N
N
N
N
N
NOMURA RESECURITIZATION TRUST 2010-5RA
N/A
NOMURA RESECURITIZATION TRUST NMRR 2010 5RA 1A7 144A
65539GBU0
1779738.460000
PA
USD
771321.030000
0.019364
Long
ABS-MBS
CORP
US
N
2
2037-10-26
Fixed
6.5
N
N
N
N
N
N
ENEL FINANCE INTERNATIONAL NV
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTL NV COMPANY GUAR 144A 10/32 7.5
29278GBA5
2000000.000000
PA
USD
2284772.220000
0.0573593
Long
DBT
CORP
NL
N
2
2032-10-14
Fixed
7.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q31130 FG 02/45 FIXED 4
3132QMHG9
849032.530000
PA
USD
809368.860000
0.0203192
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BE7182 FN 03/47 FIXED 3.5
3140FS6U2
1746295.820000
PA
USD
1644388.250000
0.0412824
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.5
N
N
N
N
N
N
FAIRFAX FINANCIAL HOLDINGS LIMITED
GLS7OQD0WOEDI8YAP031
FAIRFAX FINL HLDGS LTD SR UNSECURED 08/32 5.625
303901BL5
2000000.000000
PA
USD
2000362.980000
0.0502192
Long
DBT
CORP
CA
N
2
2032-08-16
Fixed
5.625
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q02904 FG 08/41 FIXED 4.5
3132GGGM1
72147.650000
PA
USD
71971.520000
0.0018068
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.5
N
N
N
N
N
N
SMRT 2022-MINI
N/A
SMRT SMRT 2022 MINI A 144A
78457JAA0
2350000.000000
PA
USD
2302681.110000
0.0578089
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
6.362
N
N
N
N
N
N
N/A
N/A
317U4MMA4 PIMCO SWAPTION 3.684 CALL USD 202312
000000000
-2400000.000000
NC
USD
-44358.240000
-0.0011136
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
RFR USD SOFR/3.68400 01/03/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.68400 01/03/24-10Y LCH
2034-01-03
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.680000
USD
2023-12-29
XXXX
-33378.240000
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 929863 FN 08/38 FIXED 5.5
31412NB88
14535.790000
PA
USD
14500.210000
0.000364
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.5
N
N
N
N
N
N
N/A
N/A
317U4PPA4 PIMCO SWAPTION 4.05 PUT USD 20240112
000000000
-2500000.000000
NC
USD
-454.500000
-0.0000114
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
RFR USD SOFR/4.05000 01/17/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/4.05000 01/17/24-10Y LCH
2034-01-17
0.000000
USD
0.000000
USD
N/A
USD
N/A
4.050000
USD
2024-01-12
XXXX
10983.000000
N
N
N
FANNIE MAE REMICS 2012-58
N/A
FANNIE MAE FNR 2012 58 KB
3136A6KA1
479679.550000
PA
USD
452377.050000
0.0113569
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 918828 FN 04/37 FIXED 5.5
31411YYZ0
55135.290000
PA
USD
54929.930000
0.001379
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA3443 FN 08/48 FIXED 4
31418CZH0
1418078.170000
PA
USD
1364446.840000
0.0342545
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL L10224 FG 12/34 FIXED 6
3128DHG99
49458.530000
PA
USD
49956.900000
0.0012542
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
6
N
N
N
N
N
N
WELLS FARGO MTGE BK SEC TR 2006-AR11
N/A
WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR11 A1
94984CAA4
257325.520000
PA
USD
236412.400000
0.0059351
Long
ABS-MBS
CORP
US
N
3
2036-08-25
Floating
5.74166
N
N
N
N
N
N
FLEX INTERMEDIATE HOLDCO LLC
549300290TQIGM30A243
FLEX INTERMEDIATE HOLDCO SR SECURED 144A 12/39 4.317
33939HAB5
2700000.000000
PA
USD
1974979.580000
0.0495819
Long
DBT
CORP
US
N
2
2039-12-30
Fixed
4.317
N
N
N
N
N
N
WAVE TRUST 2019-1
N/A
WAVE USA WAAV 2019 1 A 144A
94354KAA8
3543139.500000
PA
USD
2976308.040000
0.0747203
Long
ABS-O
CORP
US
N
2
2044-09-15
Fixed
3.597
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 789262 FH 12/31 FLOATING VAR
31295NJF6
39459.000000
PA
USD
39465.160000
0.0009908
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Floating
5.851
N
N
N
N
N
N
CEDAR FUNDING IX CLO LTD 2018-9A
N/A
CEDAR FUNDING LTD CEDF 2018 9A A1 144A
15033EAA6
7175572.240000
PA
USD
7177724.910000
0.180197
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.65743
N
N
N
N
N
N
UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST
N/A
UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875
90931GAA7
1811553.330000
PA
USD
1836181.040000
0.0460974
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.875
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 03/28 VAR
38141GZS6
3000000.000000
PA
USD
3027760.020000
0.076012
Long
DBT
CORP
US
N
2
2028-03-15
Floating
7.19879
N
N
N
N
N
N
BXMT 2020-FL3 LTD
N/A
BXMT LTD BXMT 2020 FL3 A 144A
05608XAA0
6151452.390000
PA
USD
5957108.630000
0.149553
Long
ABS-MBS
CORP
KY
N
2
2037-11-15
Floating
6.87629
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 03/29 5.05
161175BR4
2000000.000000
PA
USD
1980327.300000
0.0497162
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.05
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAP CERT 2007-2
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2007 2 3A9
126384AV8
733445.080000
PA
USD
372267.820000
0.0093458
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
5.5
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC SR UNSECURED 04/28 5.375
595112CA9
1900000.000000
PA
USD
1934599.870000
0.0485682
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
5.375
N
N
N
N
N
N
KDAC AIRCRAFT FINANCE LTD 2017-1A
N/A
KDAC AVIATION FINANCE LIMITED KDAC 2017 1A A 144A
48244XAA0
2287865.110000
PA
USD
1927775.500000
0.0483968
Long
ABS-O
CORP
KY
N
2
2042-12-15
Fixed
4.212
N
N
N
N
N
N
GOLDEN STATE TOBACCO SECURITIZATION
N/A
GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/29 FIXED 2.587
38122NC83
2515000.000000
PA
USD
2223878.940000
0.0558305
Long
DBT
MUN
US
N
2
2029-06-01
Fixed
2.587
N
N
N
N
N
N
OBX 2023-NQM1 TRUST
N/A
ONSLOW BAY FINANCIAL LLC OBX 2023 NQM1 A1 144A
670855AA3
5739552.170000
PA
USD
5774336.150000
0.144965
Long
ABS-MBS
CORP
US
N
2
2062-11-25
Variable
6.12
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31456 FG 10/37 FIXED 5.5
31281BTM2
951.070000
PA
USD
974.830000
0.0000245
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G00722 FG 12/25 FIXED 9
31283GYT8
18.810000
PA
USD
18.790000
0.0000005
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
9
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 932584 FN 12/35 FIXED 5
31412RCV7
733125.610000
PA
USD
735835.780000
0.0184732
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5
N
N
N
N
N
N
DEUTSCHE ALT-A SECURITIES INC 2007-AR1
N/A
DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A5
25151RAG9
3676397.980000
PA
USD
3116465.660000
0.0782389
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
5.95043
N
N
N
N
N
N
STRUCTURED ASSET INVST LN TR 2005-9
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2005 9 M1
86358EYF7
2114753.650000
PA
USD
2033246.390000
0.0510447
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
6.10043
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2010-C
N/A
SLM STUDENT LOAN TRUST SLMA 2010 C A5 144A
78445QAE1
2979196.290000
PA
USD
3136611.060000
0.0787447
Long
ABS-O
CORP
US
N
2
2041-10-15
Floating
10.2263
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G08421 FG 10/40 FIXED 4
3128MJPF1
584.600000
PA
USD
571.140000
0.0000143
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4
N
N
N
N
N
N
N/A
N/A
317U4NKA4 PIMCO SWAPTION 3.67 CALL USD 2024010
000000000
-4700000.000000
NC
USD
-84309.070000
-0.0021166
N/A
DIR
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
RFR USD SOFR/3.67000 01/08/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.67000 01/08/24-10Y LCH
2034-01-08
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.670000
USD
2024-01-04
XXXX
-62219.070000
N
N
N
BLUE RIDGE RE LTD
N/A
BLUE RIDGE RE LTD UNSECURED 144A 01/31 VAR
096003AA6
2000000.000000
PA
USD
2001100.000000
0.0502377
Long
DBT
CORP
BM
N
2
2031-01-08
Floating
2.5
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A
465981AA6
2000000.000000
PA
USD
2053426.800000
0.0515513
Long
ABS-MBS
CORP
US
N
2
2040-10-05
Fixed
7.23547
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA0456 G2 10/42 FIXED 3.5
36179MQH6
141579.460000
PA
USD
130908.570000
0.0032865
Long
ABS-MBS
USGSE
US
N
2
2042-10-20
Fixed
3.5
N
N
N
N
N
N
COMM 2021-2400 MORTGAGE TRUST
N/A
COMM MORTGAGE TRUST COMM 2021 2400 A 144A
20048FAA6
5261298.270000
PA
USD
4823663.480000
0.121098
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
6.77648
N
N
N
N
N
N
BCAP LLC TRUST 2007-AA3
N/A
BCAP LLC TRUST BCAP 2007 AA3 2A1B
05530VAP4
1496312.910000
PA
USD
1383989.490000
0.0347451
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
5.77043
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-20CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 20CB 1A3
12667GPV9
387044.950000
PA
USD
312127.290000
0.007836
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.5
N
N
N
N
N
N
N/A
N/A
317U4SRA6 PIMCO SWAPTION 3.665 PUT USD 2024012
000000000
-4700000.000000
NC
USD
-15202.150000
-0.0003817
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
RFR USD SOFR/3.66500 01/24/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.66500 01/24/24-10Y LCH
2034-01-24
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.670000
USD
2024-01-22
XXXX
3832.850000
N
N
N
LUX 2023-LION
N/A
LUX 2023 LION LUX 2023 LION A 144A
55067LAA5
3200000.000000
PA
USD
3238774.720000
0.0813095
Long
ABS-MBS
CORP
US
N
2
2040-08-15
Floating
8.05178
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 880115 FN 04/36 FIXED 5
31409VYL1
4629.560000
PA
USD
4552.540000
0.0001143
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5
N
N
N
N
N
N
THL CREDIT WIND RIVER 2019-3 CLO LTD
N/A
WIND RIVER CLO LTD WINDR 2019 3A AR 144A
97314JAA3
9000000.000000
PA
USD
8972982.540000
0.225267
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
6.73548
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP II 2022-GTWY
N/A
GS MORTGAGE SECURITIES TRUST GSMS 2022 GTWY A 144A
36266DAA2
2300000.000000
PA
USD
2319020.080000
0.058219
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Floating
8.762
N
N
N
N
N
N
APOLLO AVIATION SECURITIZATION EQUITY TRUST 2018-1A
N/A
AASET 2018 1 TRUST AASET 2018 1A A 144A
000367AA0
1367724.430000
PA
USD
923221.650000
0.0231775
Long
ABS-O
CORP
US
N
2
2038-01-16
Fixed
3.844
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8384 FR 12/53 FIXED 6
3132DWJ53
24999999.560000
PA
USD
25389951.800000
0.637415
Long
ABS-MBS
USGSE
US
N
2
2053-12-01
Fixed
6
N
N
N
N
N
N
CLNC 2019-FL1 LTD
N/A
CLNC 2019 FL1, LTD CLNC 2019 FL1 A 144A
12565DAA1
3058.160000
PA
USD
3053.790000
0.0000767
Long
ABS-CBDO
CORP
KY
N
2
2035-08-20
Floating
6.72023
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-HE5
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D
61749NAE7
13222674.920000
PA
USD
6861039.740000
0.172247
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.97043
N
N
N
N
N
N
N/A
N/A
GENERAL ELECTRIC COMPANY SNR S* ICE
000000000
1.000000
NC
USD
13765.900000
0.0003456
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
GENERAL ELECTRIC COMPANY
GENERAL ELECTRIC CO SR UNSEC
Y
Single Leg Swap
2026-12-20
7968.290000
USD
0.000000
USD
700000.000000
USD
5797.610000
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 881858 FN 04/36 FLOATING VAR
31409XWT2
3783.150000
PA
USD
3913.860000
0.0000983
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Floating
5.195
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV JR SUBORDINA 12/99 VAR
456837AZ6
600000.000000
PA
USD
437918.110000
0.0109939
Long
DBT
CORP
NL
N
2
2031-05-16
Floating
4.25
N
N
N
N
Y
ING GROEP NV
ING GROEP NV
EUR
XXXX
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA5188 FN 11/53 FIXED 4.5
31418EXS4
50008745.980000
PA
USD
48503071.650000
1.21767
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
4.5
N
N
N
N
N
N
JFIN CLO LTD 2017-2A
N/A
APEX CREDIT CLO LLC JFIN 2017 2A AR 144A
46593CAA7
1307384.300000
PA
USD
1306138.060000
0.0327906
Long
ABS-CBDO
CORP
KY
N
2
2029-09-20
Floating
6.622
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
NORDEA BANK ABP JR SUBORDINA 144A 12/99 VAR
65559CAA9
5600000.000000
PA
USD
5564910.400000
0.139707
Long
DBT
CORP
FI
N
2
2026-03-26
Floating
6.625
N
N
N
N
Y
NORDEA BANK ABP
NORDEA BANK ABP
EUR
XXXX
N
N
N
N/A
N/A
RFR USD SOFR/3.85400 12/29/23-10Y LCH
000000000
1.000000
NC
USD
-151924.310000
-0.0038141
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2033-12-29
0.000000
USD
0.000000
USD
4700000.000000
USD
-151924.310000
N
N
N
GSAA HOME EQUITY TRUST 2007-3
N/A
GSAA HOME EQUITY TRUST GSAA 2007 3 A4A
3622EAAE0
2869676.660000
PA
USD
1007605.460000
0.025296
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Floating
5.91043
N
N
N
N
N
N
CMLTI 2005-HE4
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M2
17307GP77
413660.800000
PA
USD
401483.990000
0.0100793
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
6.14543
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 02/61 4.3
53079EBL7
4800000.000000
PA
USD
3162670.080000
0.0793989
Long
DBT
CORP
US
N
2
2061-02-01
Fixed
4.3
N
N
N
N
N
N
TOLEDO EDISON CO
N/A
TOLEDO EDISON COMPANY 1ST MORTGAGE 144A 05/28 2.65
889175BF1
2918000.000000
PA
USD
2632186.950000
0.0660811
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
2.65
N
N
N
N
N
N
ALESCO PREFERRED FUNDING XVII LTD 17A
N/A
ALESCO PREFERRED FUNDING LTD ALESC 17A A1 144A
01450NAA0
2232550.910000
PA
USD
2031621.330000
0.0510039
Long
ABS-CBDO
CORP
KY
N
2
2038-09-23
Floating
6.36272
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP SR UNSECURED 144A 11/27 3.5
05369AAA9
500000.000000
PA
USD
461161.850000
0.0115775
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256009 FN 08/35 FIXED 4
31371MKW6
166857.700000
PA
USD
162917.560000
0.00409
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
4
N
N
N
N
N
N
UNIVERSITY OF CALIFORNIA
N/A
UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/12 FIXED 4.858
91412GHA6
10501000.000000
PA
USD
9923604.620000
0.249132
Long
DBT
MUN
US
N
2
2112-05-15
Fixed
4.858
N
N
N
N
N
N
GENERAL ELECTRIC COMPANY
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO SR UNSECURED 05/40 4.25
369604BX0
6000000.000000
PA
USD
5148347.340000
0.129249
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
4.25
N
N
N
N
N
N
N/A
N/A
317U4SSA5 PIMCO SWAPTION 3.215 CALL USD 202401
000000000
-4700000.000000
NC
USD
-13362.570000
-0.0003355
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
RFR USD SOFR/3.21500 01/24/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.21500 01/24/24-10Y LCH
2034-01-24
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.210000
USD
2024-01-22
XXXX
5672.430000
N
N
N
N/A
N/A
317U4ROA1 PIMCO SWAPTION 3.735 PUT USD 2024011
000000000
-2300000.000000
NC
USD
-4714.770000
-0.0001184
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
RFR USD SOFR/3.73500 01/23/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.73500 01/23/24-10Y LCH
2034-01-23
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.730000
USD
2024-01-19
XXXX
4887.730000
N
N
N
FIDELITY NATIONAL FINANCIAL INC
549300CAZYIH39SYQ287
FIDELITY NATL FINANCIAL SR UNSECURED 06/30 3.4
31620RAJ4
1800000.000000
PA
USD
1605520.930000
0.0403066
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
3.4
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SR UNSECURED 04/29 VAR
172967LW9
3000000.000000
PA
USD
2889918.810000
0.0725515
Long
DBT
CORP
US
N
2
2029-04-23
Floating
4.075
N
N
N
N
N
N
FANNIE MAE REMICS 2006-34
N/A
FANNIE MAE FNR 2006 34 SK
31395DPJ2
691741.940000
PA
USD
66040.810000
0.001658
Long
ABS-MBS
USGSE
US
N
2
2036-05-25
Floating
1.74809
N
N
N
N
N
N
UNIVERSITY OF VIRGINIA
N/A
UNIV OF VIRGINIA VA UNIV REVEN UNIHGR 12/99 FIXED 3.227
915217XA6
6500000.000000
PA
USD
4307624.100000
0.108143
Long
DBT
MUN
US
N
2
2099-12-31
Fixed
3.227
N
N
N
N
N
N
BALLYROCK CLO 16 LTD 2021-16A
N/A
BALLYROCK LTD BALLY 2021 16A A1 144A
05876KAA3
6000000.000000
PA
USD
5994300.000000
0.150487
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.80743
N
N
N
N
N
N
CSMC TRUST 2021-RPL4
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL4 A1 144A
12662GAC2
2072082.910000
PA
USD
2019283.750000
0.0506942
Long
ABS-MBS
CORP
US
N
2
2060-12-27
Fixed
1.79561
N
N
N
N
N
N
KKR FINANCIAL HOLDINGS LLC
549300U5WMP5TYFNKW68
KKR FINANCIAL HOLDINGS SR UNSECURED 144A 05/33 5.4
48248AAG3
6000000.000000
PA
USD
5800056.300000
0.145611
Long
DBT
CORP
US
N
2
2033-05-23
Fixed
5.4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8369 FR 10/53 FIXED 6.5
3132DWJN4
25000000.040000
PA
USD
25629118.790000
0.64342
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
6.5
N
N
N
N
N
N
GSAMP TRUST 2004-AR2
N/A
GSAMP TRUST GSAMP 2004 AR2 M5
36242DDT7
4885392.810000
PA
USD
4368509.460000
0.109672
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
7.34543
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004462 G2 06/39 FIXED 5
36202E5X3
31152.580000
PA
USD
31154.680000
0.0007821
Long
ABS-MBS
USGSE
US
N
2
2039-06-20
Fixed
5
N
N
N
N
N
N
ARGENT SECURITIES INC 2005-W5
N/A
ARGENT SECURITIES INC. ARSI 2005 W5 A2C
040104QN4
4970235.240000
PA
USD
4567150.160000
0.114658
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.93043
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 06/30 VAR
46647PDF0
12000000.000000
PA
USD
11751277.440000
0.295016
Long
DBT
CORP
US
N
2
2030-06-14
Floating
4.565
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-20CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 20CB 2A7
12667GQD8
642049.070000
PA
USD
433575.800000
0.0108849
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BE0214 FN 01/47 FIXED 3.5
3140FKGY0
577651.880000
PA
USD
544233.590000
0.013663
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.5
N
N
N
N
N
N
GOODMAN US FINANCE THREE LLC
N/A
GOODMAN US FIN THREE COMPANY GUAR 144A 03/28 3.7
38239JAA9
5000000.000000
PA
USD
4658578.400000
0.116954
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.7
N
N
N
N
N
N
PAGAYA AI DEBT TRUST 2022-3
N/A
PAGAYA AI DEBT SELECTION TRUST PAID 2022 3 A 144A
69547MAA4
4935548.390000
PA
USD
4926089.410000
0.12367
Long
ABS-O
CORP
US
N
2
2030-03-15
Fixed
6.06
N
N
N
N
N
N
WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2007-AR9
N/A
WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR9 A1
94986GAA3
1360607.820000
PA
USD
1199374.840000
0.0301103
Long
ABS-MBS
CORP
US
N
2
2037-12-28
Floating
6.03502
N
N
N
N
N
N
N/A
N/A
317U4SLA2 PIMCO SWAPTION 3.655 PUT USD 2024012
000000000
-2300000.000000
NC
USD
-7845.530000
-0.000197
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
RFR USD SOFR/3.65500 01/24/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.65500 01/24/24-10Y LCH
2034-01-24
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.650000
USD
2024-01-22
XXXX
1584.470000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG
952NPG907
200000.000000
PA
USD
24000.000000
0.0006025
Long
DBT
CORP
US
N
2
2060-12-31
None
0
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA0206 FN 09/24 FIXED 4.5
31417YGQ4
2993.900000
PA
USD
2959.390000
0.0000743
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
4.5
N
N
N
N
N
N
MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
R6ZXK5P01NP6HXSY1S07
MASS MUTUAL LIFE INS CO SUBORDINATED 144A 02/69 VAR
575767AM0
3250000.000000
PA
USD
2971490.930000
0.0745993
Long
DBT
CORP
US
N
2
2069-02-15
Floating
5.077
N
N
N
N
N
N
GLP CAPITAL LP / GLP FINANCING II INC
N/A
GLP CAPITAL LP / FIN II COMPANY GUAR 01/30 4
361841AP4
5100000.000000
PA
USD
4658903.550000
0.116962
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4
N
N
N
N
N
N
JP MORGAN MTGE ACQUIS CORP 2006-FRE1
N/A
JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M1
46626LFN5
1944290.530000
PA
USD
1909182.480000
0.0479301
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
6.05543
N
N
N
N
N
N
PHYSICIANS REALTY LP
549300P6Q1UMT0X60U20
PHYSICIANS REALTY LP COMPANY GUAR 03/27 4.3
71951QAA0
2000000.000000
PA
USD
1947280.440000
0.0488865
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
4.3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BE3009 FN 12/46 FIXED 4
3140FNKX1
615628.900000
PA
USD
595733.970000
0.0149559
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
4
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS JR SUBORDINA 144A 12/99 VAR
05565ALQ4
200000.000000
PA
USD
159705.240000
0.0040094
Long
DBT
CORP
FR
N
2
2030-02-25
Floating
4.5
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SR UNSECURED 144A 09/28 VAR
09659W2M5
3200000.000000
PA
USD
2845339.620000
0.0714323
Long
DBT
CORP
FR
N
2
2028-09-30
Floating
1.904
N
N
N
N
N
N
FIRST FRANKLIN MTG LOAN ABS 2006-FF13
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF13 A2C
30247DAD3
3171949.980000
PA
USD
2043963.330000
0.0513137
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.79043
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2006-WMC2
N/A
MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2D
61749KAF0
1478694.950000
PA
USD
557506.890000
0.0139962
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.97043
N
N
N
N
N
N
VENTURE XXVIII CLO LTD 2017-28A
N/A
VENTURE CDO LTD VENTR 2017 28A A1R 144A
92331AAU8
4365730.370000
PA
USD
4357457.530000
0.109394
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.66743
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC SR UNSECURED 04/29 3.85
21871XAF6
2000000.000000
PA
USD
1886588.740000
0.0473628
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.85
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT AFL 144A
46645WAA1
1901729.650000
PA
USD
1762555.940000
0.044249
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Floating
6.78487
N
N
N
N
N
N
N/A
N/A
VERIZON COMMUNICATIONS INC SNR S* ICE
000000000
1.000000
NC
USD
3605.090000
0.0000905
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
VERIZON COMMUNICATIONS INC
VERIZON COMMUNICATIONS SR UNSEC
Y
Single Leg Swap
2028-12-20
0.000000
USD
-745.940000
USD
300000.000000
USD
4351.030000
N
N
N
WELLS FARGO HOME EQUITY TRUST 2005-4
N/A
WELLS FARGO HOME EQUITY TRUST WFHET 2005 4 M3
9497EMAJ4
3100000.000000
PA
USD
3053297.260000
0.0766531
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
6.22043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL D97897 FG 12/27 FIXED 5.5
3128E4X23
6300.570000
PA
USD
6333.330000
0.000159
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
5.5
N
N
N
N
N
N
FREDDIE MAC 3117
N/A
FREDDIE MAC FHR 3117 OK
31396HVU0
4961.380000
PA
USD
4234.520000
0.0001063
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
None
0
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 916462 FN 05/37 FIXED 4.5
31411WFB8
36135.230000
PA
USD
34932.350000
0.000877
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
4.5
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIZATION TRUST 2004-A4
N/A
RESIDENTIAL ASSET SECURITIZATI RAST 2004 A4 A11
45660NK46
1316774.310000
PA
USD
1198152.960000
0.0300797
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
5.5
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE9 1A3
07389MAC1
3200000.000000
PA
USD
2999340.160000
0.0752985
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
5.93043
N
N
N
N
N
N
N/A
N/A
BRITISH TELECOMMUNICATIONS PL SNR SE ICE
000000000
1.000000
NC
3447.780000
0.0000866
N/A
DCR
GB
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
BRITISH TELECOMMUNICATIONS PLC
BRITISH TELECOM PLC WURO SR UNSEC
Y
Single Leg Swap
2027-12-20
0.000000
EUR
-1035.020000
EUR
200000.000000
EUR
4482.800000
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II TBA 30 YR 3.5 JUMBOS
21H032613
102800000.000000
PA
USD
95748562.500000
2.40377
Long
ABS-MBS
USGSE
US
N
2
2054-01-22
Fixed
3.5
N
N
N
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL3 A1 144A
74143EAA0
3378342.020000
PA
USD
3265911.470000
0.0819908
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Fixed
1.8677
N
N
N
N
N
N
BBCMS MORTGAGE TRUST 2018-C2
N/A
BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 C2 A5
05491UBD9
1000000.000000
PA
USD
967576.500000
0.024291
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Fixed
4.314
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H00790 FG 05/37 FIXED 5.5
3128MS2X7
22405.180000
PA
USD
22297.790000
0.0005598
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.5
N
N
N
N
N
N
N/A
N/A
WILLIAMS COS INC SNR S* ICE
000000000
1.000000
NC
USD
42175.450000
0.0010588
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
WILLIAMS COS INC
WILLIAMS COMPANIES INC SMR
Y
Single Leg Swap
2026-12-20
18593.840000
USD
0.000000
USD
2600000.000000
USD
23581.610000
N
N
N
AIR CANADA 2020-2 CLASS A PASS THROUGH TRUST
N/A
AIR CANADA 2020 2A PTT PASS THRU CE 144A 10/30 5.25
00909DAA1
1619514.730000
PA
USD
1589612.170000
0.0399072
Long
DBT
CORP
CA
N
2
2030-10-01
Fixed
5.25
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AC3943 FN 01/40 FIXED 4
31417NLZ2
13236.040000
PA
USD
12616.760000
0.0003167
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4
N
N
N
N
N
N
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2016-667M
N/A
COMM MORTGAGE TRUST COMM 2016 667M A 144A
12636GAA9
1840000.000000
PA
USD
1617986.890000
0.0406196
Long
ABS-MBS
CORP
US
N
2
2036-10-10
Fixed
3.14
N
N
N
N
N
N
SUMITOMO MITSUI FINANCIAL GROUP INC
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP SR UNSECURED 01/28 5.52
86562MCR9
4000000.000000
PA
USD
4096429.600000
0.102841
Long
DBT
CORP
JP
N
2
2028-01-13
Fixed
5.52
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP JR SUBORDINA 12/99 VAR
29273VAL4
3000000.000000
NS
USD
2884710.000000
0.0724207
Long
EP
CORP
US
N
2
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL A14706 FG 10/33 FIXED 4
31296PGP1
11015.670000
PA
USD
10844.070000
0.0002722
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 627130 G2 03/34 FIXED 5
36291FVX3
145859.420000
PA
USD
143896.700000
0.0036125
Long
ABS-MBS
USGSE
US
N
2
2034-03-20
Fixed
5
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC SR UNSECURED 08/29 3.2
37940XAB8
600000.000000
PA
USD
544303.690000
0.0136648
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.2
N
N
N
N
N
N
METROPOLITAN EDISON COMPANY
N/A
METROPOLITAN EDISON CO SR UNSECURED 144A 01/29 4.3
591894CC2
600000.000000
PA
USD
581363.840000
0.0145952
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.3
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q35222 FG 08/45 FIXED 4
3132QRYU8
1862453.540000
PA
USD
1804153.680000
0.0452933
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
4
N
N
N
N
N
N
CS FIRST BOSTON MTGE SEC CORP 2004-AR7
N/A
CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR7 2A1
22541SRP5
18585.790000
PA
USD
17431.170000
0.0004376
Long
ABS-MBS
CORP
US
N
3
2034-11-25
Floating
4.79279
N
N
N
N
N
N
IMPAC SECURED ASSETS CORP 2006-3
N/A
IMPAC SECURED ASSETS CORP. IMSA 2006 3 A6
45255RAX5
105824.590000
PA
USD
103197.900000
0.0025908
Long
ABS-MBS
CORP
US
N
3
2036-11-25
Floating
5.87043
N
N
N
N
N
N
WASHINGTON MUTUAL MTGE P/T 2005-AR1
N/A
WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 AR1 A1A
93934FHC9
6503651.910000
PA
USD
5412140.110000
0.135872
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
5.99043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8367 FR 10/53 FIXED 5.5
3132DWJL8
83689582.900000
PA
USD
84062620.010000
2.11039
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
5.5
N
N
N
N
N
N
NEW CENTURY HOME EQUITY LOAN TR 2004-2
N/A
NEW CENTURY HOME EQUITY LOAN T NCHET 2004 2 M1
64352VGA3
678688.850000
PA
USD
669309.980000
0.016803
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
6.35543
N
N
N
N
N
N
MAGNETITE CLO LTD 2023-39A
N/A
MAGNETITE CLO LTD MAGNE 2023 39A A 144A
559924AA3
8400000.000000
PA
USD
8411305.060000
0.211166
Long
ABS-CBDO
CORP
KY
N
2
2033-10-25
Floating
6.93481
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL QE1435 FR 05/52 FIXED 3
3133BASY8
851703.860000
PA
USD
753981.980000
0.0189287
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004553 G2 10/39 FIXED 4.5
36202FBW5
114618.400000
PA
USD
112664.900000
0.0028285
Long
ABS-MBS
USGSE
US
N
2
2039-10-20
Fixed
4.5
N
N
N
N
N
N
FREDDIE MAC REMICS 3785
N/A
FREDDIE MAC FHR 3785 LS
3137A5L77
3431336.600000
PA
USD
3083368.190000
0.077408
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Floating
0
N
N
N
N
N
N
SKYMILES IP LTD
2549008L7P4I8VB90936
SKYMILES IP LTD. 2020 SKYMILES TERM LOAN B
24736CBS2
3920000.000000
PA
USD
4020038.400000
0.100923
Long
LON
CORP
US
N
2
2027-10-20
Floating
9.1658
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G30399 FG 06/28 FIXED 5.5
3128CUNQ5
1494.920000
PA
USD
1502.780000
0.0000377
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
5.5
N
N
N
N
N
N
FREDDIE MAC REMICS 4061
N/A
FREDDIE MAC FHR 4061 SL
3137ARCX2
49568.520000
PA
USD
25629.130000
0.0006434
Long
ABS-MBS
USGSE
US
N
2
2042-06-15
Floating
0
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
01F022626
103200000.000000
PA
USD
87921563.020000
2.20727
Long
ABS-MBS
USGSE
US
N
2
2054-02-13
Fixed
2.5
N
N
N
N
N
N
N/A
N/A
BRITISH TELECOMMUNICATIONS PL SNR SE ICE
000000000
1.000000
NC
10277.180000
0.000258
N/A
DCR
GB
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
BRITISH TELECOMMUNICATIONS PLC
BRITISH TELECOM PLC WURO SR UNSEC
Y
Single Leg Swap
2028-12-20
0.000000
EUR
-9782.450000
EUR
800000.000000
EUR
20059.630000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 11/28 VAR
06738ECD5
7000000.000000
PA
USD
7485121.560000
0.187914
Long
DBT
CORP
GB
N
2
2028-11-02
Floating
7.385
N
N
N
N
N
N
FS KKR CAPITAL CORP
549300TYRSI1T21B1360
FS KKR CAPITAL CORP SR UNSECURED 10/28 3.125
302635AK3
1200000.000000
PA
USD
1046966.240000
0.0262841
Long
DBT
CORP
US
N
2
2028-10-12
Fixed
3.125
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP SR UNSECURED 07/28 VAR
06051GKW8
4000000.000000
PA
USD
4001268.280000
0.100452
Long
DBT
CORP
US
N
2
2028-07-22
Floating
4.948
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 889528 FN 05/38 FIXED VAR
31410KHD9
1850.520000
PA
USD
1900.380000
0.0000477
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.5
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 02/31 VAR
95000U2J1
9500000.000000
PA
USD
8213664.280000
0.206204
Long
DBT
CORP
US
N
2
2031-02-11
Floating
2.572
N
N
N
N
N
N
SOUND POINT CLO XVI LTD 2017-2A
N/A
SOUND POINT CLO LTD SNDPT 2017 2A AR 144A
83610KAJ2
6938080.590000
PA
USD
6929911.280000
0.173976
Long
ABS-CBDO
CORP
KY
N
2
2030-07-25
Floating
6.61983
N
N
N
N
N
N
NEW YORK CITY INDUSTRIAL DEVELOPMENT AGENCY
549300XR20ZR5DHL9534
NEW YORK CITY NY INDL DEV AGY NYCDEV 01/46 FIXED 6.027
64971PEC5
600000.000000
PA
USD
620998.980000
0.0155902
Long
DBT
MUN
US
N
2
2046-01-01
Fixed
6.027
N
N
N
N
N
N
SPIRIT AIRLINES PASS THROUGH TRUST 2015-1A
N/A
SPIRIT AIR 2015 1 PTT A PASS THRU CE 10/29 4.1
84858DAA6
506910.300000
PA
USD
466143.100000
0.0117025
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.1
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 C1 A4
17290YAR9
7800000.000000
PA
USD
7382774.100000
0.185345
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Fixed
3.209
N
N
N
N
N
N
ECMC GROUP STUDENT LOAN TRUST 2020-3A
N/A
ECMC GROUP STUDENT LOAN TRUST ECMC 2020 3A A1B 144A
26833BAB9
3203149.910000
PA
USD
3180199.660000
0.079839
Long
ABS-O
CORP
US
N
2
2070-01-27
Floating
6.45191
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA5191 FN 11/53 FIXED 6
31418EXV7
34746293.120000
PA
USD
35288268.930000
0.885913
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
6
N
N
N
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP SR UNSECURED 02/33 4.9
68389XCP8
1000000.000000
PA
USD
996000.270000
0.0250046
Long
DBT
CORP
US
N
2
2033-02-06
Fixed
4.9
N
N
N
N
N
N
PALMER SQUARE CLO 2023-4A LTD
N/A
PALMER SQUARE CLO LTD PLMRS 2023 4A A 144A
696924AA7
8000000.000000
PA
USD
8008343.120000
0.20105
Long
ABS-CBDO
CORP
KY
N
2
2033-10-20
Floating
6.96251
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 888738 FN 10/37 FIXED VAR
31410GLT8
57640.090000
PA
USD
60743.320000
0.001525
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
7.5
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC SR UNSECURED 07/28 6.07
65535HBM0
3100000.000000
PA
USD
3202963.370000
0.0804105
Long
DBT
CORP
JP
N
2
2028-07-12
Fixed
6.07
N
N
N
N
N
N
SAXON ASSET SECURITIES TRUST 2007-4
N/A
SAXON ASSET SECURITIES TRUST SAST 2007 4 A1 144A
80557CAA0
516869.620000
PA
USD
485661.240000
0.0121925
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Floating
7.22043
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-85CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 85CB 2A1
12668BEF6
1356057.660000
PA
USD
1066329.160000
0.0267702
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.5
N
N
N
N
N
N
GALAXY XV CLO LTD 2013-15A
N/A
GALAXY CLO LTD GALXY 2013 15A ARR 144A
36318WAK6
609215.230000
PA
USD
608551.820000
0.0152777
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.62548
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 462402 FN 12/28 FLOATING VAR
31381JU34
125868.570000
PA
USD
125557.070000
0.0031521
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Floating
6.662
N
N
N
N
N
N
MF1 2022-FL8 LTD
N/A
MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A
55284JAA7
7300000.000000
PA
USD
7182719.080000
0.180322
Long
ABS-CBDO
CORP
KY
N
2
2037-02-19
Floating
6.70575
N
N
N
N
N
N
AJAX MORTGAGE LOAN TRUST 2020-B
N/A
AJAX MORTGAGE LOAN TRUST AJAXM 2020 B A1 144A
00969YAA2
951906.950000
PA
USD
867673.080000
0.021783
Long
ABS-MBS
CORP
US
N
2
2059-05-25
Fixed
1.698
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004795 G2 09/40 FIXED 4
36202FKG0
41483.910000
PA
USD
39842.530000
0.0010002
Long
ABS-MBS
USGSE
US
N
2
2040-09-20
Fixed
4
N
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-NC1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2004 NC1 M1
81375WAK2
2179889.330000
PA
USD
2150670.750000
0.0539926
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
6.25043
N
N
N
N
N
N
KEY COMMERCIAL MORTGAGE SECURITIES TRUST 2020-S3
N/A
KEY COMMERCIAL MORTGAGE TRUST KCM 2020 S3 A3 144A
49308VAM9
10000000.000000
PA
USD
8463818.000000
0.212484
Long
ABS-MBS
CORP
US
N
2
2052-09-16
Fixed
2.2325
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/3.75000 01/02/24-10Y LCH
000000000
1.000000
NC
USD
-57539.760000
-0.0014445
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2034-01-02
0.000000
USD
0.000000
USD
2400000.000000
USD
-57539.760000
N
N
N
CARLYLE FINANCE SUBSIDIARY LLC
N/A
CARLYLE FINANCE SUB LLC COMPANY GUAR 144A 09/29 3.5
14314DAA1
4500000.000000
PA
USD
4212776.520000
0.105762
Long
DBT
CORP
US
N
2
2029-09-19
Fixed
3.5
N
N
N
N
N
N
WILLIS NORTH AMERICA INC
5493004KVU1HWZCP0C66
WILLIS NORTH AMERICA INC COMPANY GUAR 09/29 2.95
970648AJ0
1300000.000000
PA
USD
1164183.760000
0.0292269
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95
N
N
N
N
N
N
ICG US CLO 2018-3 LTD
N/A
ICG US CLO LTD ICG 2018 3A AR 144A
44932BAQ9
3000000.000000
PA
USD
2996842.290000
0.0752358
Long
ABS-CBDO
CORP
KY
N
2
2032-01-24
Floating
6.80008
N
N
N
N
N
N
GOVERNMENT NATIONAL MTGE ASSOC 2005-3
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2005 3 LZ
38374KSP9
49033.310000
PA
USD
48855.790000
0.0012265
Long
ABS-MBS
USGSE
US
N
2
2035-01-20
Fixed
4.75
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C91187 FG 06/28 FIXED 5.5
3128P7J87
3713.900000
PA
USD
3749.150000
0.0000941
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 888412 FN 04/37 FIXED VAR
31410GAM5
7154.410000
PA
USD
7205.340000
0.0001809
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
7
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I 2007-HE2
N/A
MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C
61753EAC4
1727425.200000
PA
USD
767387.050000
0.0192653
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.60043
N
N
N
N
N
N
UNIVERSITY OF MICHIGAN
N/A
UNIV OF MICHIGAN MI UNVHGR 12/99 FIXED 4.454
914455UJ7
2000000.000000
PA
USD
1799752.800000
0.0451828
Long
DBT
MUN
US
N
2
2099-12-31
Fixed
4.454
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL RA9795 FR 09/53 FIXED 4
3133KR3C6
414364.280000
PA
USD
391867.490000
0.0098378
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
4
N
N
N
N
N
N
N/A
N/A
317U4QCA6 PIMCO SWAPTION 3.545 CALL USD 202401
000000000
-4600000.000000
NC
USD
-57761.740000
-0.0014501
N/A
DIR
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
N/A
N/A
RFR USD SOFR/3.54500 01/18/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.54500 01/18/24-10Y LCH
2034-01-18
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.540000
USD
2024-01-16
XXXX
-37119.240000
N
N
N
SAXON ASSET SECURITIES TRUST 2005-1
N/A
SAXON ASSET SECURITIES TRUST SAST 2005 1 M3
805564RP8
594588.200000
PA
USD
430598.040000
0.0108102
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
6.25043
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2006-AR1
N/A
GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A4
3623414D8
936197.900000
PA
USD
852915.610000
0.0214125
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
4.62985
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL Q01045 FG 05/41 FIXED 4.5
3132GEES5
500391.320000
PA
USD
499169.740000
0.0125317
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 968312 FN 02/38 FIXED 4.5
31414KGV6
6379.950000
PA
USD
6238.360000
0.0001566
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
4.5
N
N
N
N
N
N
N/A
N/A
317U4RPA0 PIMCO SWAPTION 3.285 CALL USD 202401
000000000
-2300000.000000
NC
USD
-8952.060000
-0.0002247
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
RFR USD SOFR/3.28500 01/23/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.28500 01/23/24-10Y LCH
2034-01-23
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.290000
USD
2024-01-19
XXXX
650.440000
N
N
N
AMERICAN ASSETS TRUST LP
549300V1TI0SMG9Z6U69
AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375
02401LAA2
2800000.000000
PA
USD
2285519.150000
0.057378
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
3.375
N
N
N
N
N
N
GLP CAPITAL LP / GLP FINANCING II INC
N/A
GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3
361841AL3
400000.000000
PA
USD
397937.080000
0.0099902
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.3
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AZ9228 FN 10/45 FIXED 4
3140E2HE4
1601054.000000
PA
USD
1547990.940000
0.0388623
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4
N
N
N
N
N
N
KILROY REALTY LP
5493008CT3N3JR7P1552
KILROY REALTY LP COMPANY GUAR 02/30 3.05
49427RAP7
2000000.000000
PA
USD
1702896.040000
0.0427512
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.05
N
N
N
N
N
N
PENNSYLVANIA ELECTRIC COMPANY
O1PLQWO3TX952VMBJ146
PENNSYLVANIA ELECTRIC CO SR UNSECURED 144A 06/29 3.6
708696BZ1
2000000.000000
PA
USD
1857175.660000
0.0466244
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
3.6
N
N
N
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A1 144A
74143FAA7
1138493.180000
PA
USD
1099271.290000
0.0275972
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
1.7436
N
N
N
N
N
N
COBANK ACB (AKA: COBANK AB)
P0J8I7M2E0A77CKF1705
COBANK ACB JR SUBORDINA 12/99 VAR
19075QAD4
1700000.000000
NS
USD
1359099.000000
0.0341202
Long
EP
CORP
US
N
2
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BE8245 FN 03/47 FIXED 4
3140FUET1
961203.770000
PA
USD
930150.400000
0.0233514
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A35
02148FBX2
2816002.790000
PA
USD
2371692.460000
0.0595414
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2007-S3
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A8
46631NAH2
788141.610000
PA
USD
385353.010000
0.0096743
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL BC5341 FN 02/46 FIXED 3.5
3140F05B6
1005346.790000
PA
USD
938640.560000
0.0235646
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
3.5
N
N
N
N
N
N
KKR CLO 9 LTD
N/A
KKR FINANCIAL CLO LTD KKR 9 AR2 144A
48250LAW9
6784738.860000
PA
USD
6775106.290000
0.170089
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
6.60548
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 28CB 1A4
12667GWT6
298032.630000
PA
USD
255076.560000
0.0064037
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.5
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/4.17500 10/10/23-10Y LCH
000000000
1.000000
NC
USD
255209.070000
0.006407
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2033-10-10
0.000000
USD
-16502.500000
USD
4600000.000000
USD
271711.570000
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY 01/29 VAR
251526CS6
2500000.000000
PA
USD
2619483.530000
0.0657622
Long
DBT
CORP
DE
N
2
2029-01-18
Floating
6.72
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AD0070 FN 12/37 FIXED VAR
31418MCG5
2670.110000
PA
USD
2740.060000
0.0000688
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.5
N
N
N
N
N
N
MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 1A1
61752JAA8
2718798.790000
PA
USD
905455.970000
0.0227315
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Variable
6.465
N
N
N
N
N
N
GSAMP TRUST 2005-HE4
N/A
GSAMP TRUST GSAMP 2005 HE4 M3
362341KE8
1989737.150000
PA
USD
1931587.680000
0.0484925
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
6.25043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5
3132DWJ61
34767553.800000
PA
USD
35640483.290000
0.894755
Long
ABS-MBS
USGSE
US
N
2
2053-12-01
Fixed
6.5
N
N
N
N
N
N
RESIDENTIAL ASSET SEC CORP 2007-KS2
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2007 KS2 AI4
74924WAD9
4196427.590000
PA
USD
4024185.220000
0.101027
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.69043
N
N
N
N
N
N
ING INVESTMENT MANAGEMENT CLO LTD 2012-4A
N/A
VOYA CLO LTD INGIM 2012 4A A1R3 144A
92916GBE3
2431440.040000
PA
USD
2426513.480000
0.0609177
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.65548
N
N
N
N
N
N
ACREC 2021-FL1 LTD
N/A
ACREC 2021 FL1 LTD. ACREC 2021 FL1 A 144A
00500RAA3
1876178.530000
PA
USD
1836147.780000
0.0460965
Long
ABS-CBDO
CORP
KY
N
2
2036-10-16
Floating
6.62273
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP SR UNSECURED 04/29 VAR
06051GLG2
8400000.000000
PA
USD
8457347.300000
0.212322
Long
DBT
CORP
US
N
2
2029-04-25
Floating
5.202
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY SR UNSECURED 04/29 VAR
61747YFD2
2000000.000000
PA
USD
2012614.880000
0.0505267
Long
DBT
CORP
US
N
2
2029-04-20
Floating
5.164
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G08877 FG 05/49 FIXED 4
3128MJ6P0
326964.770000
PA
USD
314554.440000
0.0078969
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4
N
N
N
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LXP INDUSTRIAL TRUST COMPANY GUAR 10/31 2.375
529537AA0
3500000.000000
PA
USD
2814604.310000
0.0706607
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
2.375
N
N
N
N
N
N
N/A
N/A
317U4T3A0 PIMCO SWAPTION 3.17 CALL USD 2024012
000000000
-2300000.000000
NC
USD
-7207.740000
-0.000181
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
RFR USD SOFR/3.17000 01/31/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.17000 01/31/24-10Y LCH
2034-01-31
0.000000
USD
0.000000
USD
N/A
USD
N/A
3.170000
USD
2024-01-29
XXXX
2739.760000
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL C03598 FG 11/40 FIXED 4
31292K7K7
444.360000
PA
USD
433.750000
0.0000109
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4
N
N
N
N
N
N
CLAREMONT MCKENNA COLLEGE (CMC)
N/A
CLAREMONT MCKENNA UNSECURED 01/22 3.775
18013RAB3
3000000.000000
PA
USD
2048876.160000
0.0514371
Long
DBT
CORP
US
N
2
2122-01-01
Fixed
3.775
N
N
N
N
N
N
GLOBAL ATLANTIC (FIN) COMPANY
N/A
GLOBAL ATLANTIC FIN CO COMPANY GUAR 144A 10/29 4.4
37959GAA5
6000000.000000
PA
USD
5530495.860000
0.138843
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA0594 FN 10/40 FIXED 4.5
31417YUU9
86382.010000
PA
USD
84893.420000
0.0021313
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.5
N
N
N
N
N
N
LEHMAN XS TRUST 2005-6
N/A
LEHMAN XS TRUST LXS 2005 6 3A3A
525221DJ3
3195625.270000
PA
USD
1419664.200000
0.0356407
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
6.26
N
N
N
N
N
N
FREDDIE MAC 2665
N/A
FREDDIE MAC FHR 2665 LL
31394GYZ0
19000.000000
PA
USD
19203.800000
0.0004821
Long
ABS-MBS
USGSE
US
N
2
2033-08-15
Fixed
5.5
N
N
N
N
N
N
APIDOS CLO XX 2015-20A
N/A
APIDOS CLO LTD APID 2015 20A A1RA 144A
03765LAP7
4171196.810000
PA
USD
4173634.330000
0.104779
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Floating
6.75548
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/4.22000 10/20/23-10Y LCH
000000000
1.000000
NC
USD
268905.120000
0.0067509
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2033-10-20
0.000000
USD
-15423.750000
USD
4500000.000000
USD
284328.870000
N
N
N
N/A
N/A
317U4QDA5 PIMCO SWAPTION 3.995 PUT USD 2024011
000000000
-4600000.000000
NC
USD
-1220.380000
-0.0000306
N/A
DIR
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
N/A
N/A
RFR USD SOFR/3.99500 01/18/24-10Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/3.99500 01/18/24-10Y LCH
2034-01-18
0.000000
USD
0.000000
USD
N/A
USD
N/A
4.000000
USD
2024-01-16
XXXX
19422.120000
N
N
N
BWAY MORTGAGE TRUST 2021-1450
N/A
BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A
12430YAA8
5000000.000000
PA
USD
4670802.500000
0.117261
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
6.72629
N
N
N
N
N
N
FANNIE MAE 2010-35
N/A
FANNIE MAE FNR 2010 35 SB
31398PKD0
32073.110000
PA
USD
2359.600000
0.0000592
Long
ABS-MBS
USGSE
US
N
2
2040-04-25
Floating
0.96809
N
N
N
N
N
N
BEAR STEARNS ABS INC 2004-HE10
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE10 M1
073879MR6
1698164.240000
PA
USD
1708344.230000
0.042888
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
6.44543
N
N
N
N
N
N
CAPITAL AUTOMOTIVE REIT 2023-1A
N/A
CAPITAL AUTOMOTIVE REIT CAUTO 2023 1A A1 144A
12510HAS9
4950000.000000
PA
USD
4981934.430000
0.125072
Long
ABS-O
CORP
US
N
2
2053-09-15
Fixed
5.75
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31476 FG 12/37 FIXED 5
31281BT91
6868.360000
PA
USD
6995.760000
0.0001756
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
5
N
N
N
N
N
N
CALIFORNIA INSTITUTE OF TECHNOLOGY
549300CITPNHOTVPHC04
CALIFORNIA INSTITUTE OF UNSECURED 09/16 4.283
13034VAC8
3000000.000000
PA
USD
2379786.300000
0.0597446
Long
DBT
CORP
US
N
2
2116-09-01
Fixed
4.283
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO SR UNSECURED 10/26 VAR
025816DL0
1400000.000000
PA
USD
1428168.590000
0.0358542
Long
DBT
CORP
US
N
2
2026-10-30
Floating
6.338
N
N
N
N
N
N
FIDELITY NATIONAL FINANCIAL INC
549300CAZYIH39SYQ287
FIDELITY NATL FINANCIAL COMPANY GUAR 03/31 2.45
31620RAK1
1050000.000000
PA
USD
870645.180000
0.0218576
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.45
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC SR UNSECURED 144A 04/34 3.469
11135FBL4
500000.000000
PA
USD
435223.270000
0.0109263
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
3.469
N
N
N
N
N
N
DIAMOND INFRASTRUCTURE FUNDING LLC 2021 1A
N/A
DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A A 144A
25265LAA8
600000.000000
PA
USD
533304.720000
0.0133886
Long
ABS-O
CORP
US
N
2
2049-04-15
Fixed
1.76
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
NORDEA BANK ABP JR SUBORDINA 144A 12/49 VAR
65557CAN3
550000.000000
PA
USD
545140.040000
0.0136858
Long
DBT
CORP
FI
N
2
2024-09-23
Floating
6.125
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2006-A1
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A4
466247E90
707468.500000
PA
USD
516536.480000
0.0129677
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
4.65846
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95
694308JN8
1700000.000000
PA
USD
1455810.080000
0.0365481
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.95
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2006-3F
N/A
GSR MORTGAGE LOAN TRUST GSR 2006 3F 3A1
362334HG2
4131038.110000
PA
USD
1527422.420000
0.038346
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
6
N
N
N
N
N
N
SHACKLETON CLO LTD 2017-10A
N/A
SHACKLETON CLO LTD SHACK 2017 10A AR2 144A
81883DAS2
1276631.890000
PA
USD
1274299.370000
0.0319913
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
6.56743
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 03/26 6.95
345397C43
1500000.000000
PA
USD
1537235.460000
0.0385923
Long
DBT
CORP
US
N
2
2026-03-06
Fixed
6.95
N
N
N
N
N
N
ASSET BACKED FUNDING CERT 2006-OPT2
N/A
ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A2
00075XAB3
1151094.800000
PA
USD
1064690.170000
0.0267291
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.61043
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 02/25 2.875
05401AAH4
3900000.000000
PA
USD
3764716.180000
0.0945133
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.875
N
N
N
N
N
N
LEHMAN XS TRUST 2005-5N
N/A
LEHMAN XS TRUST LXS 2005 5N 3A1B
86359DUS4
9084.700000
PA
USD
8723.780000
0.000219
Long
ABS-MBS
CORP
US
N
3
2035-11-25
Floating
6.0118
N
N
N
N
N
N
MHC COMMERCIAL MORTGAGE TRUST 2021-MHC
N/A
MHC COMMERCIAL MORTGAGE TRUST MHC 2021 MHC A 144A
55316VAA2
5419634.350000
PA
USD
5366943.040000
0.134737
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
6.27744
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31025 FG 09/33 FIXED 4
31281BD64
4797.980000
PA
USD
4725.810000
0.0001186
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2005-1
N/A
SEQUOIA MORTGAGE TRUST SEMT 2005 1 A2
81744FGN1
321811.940000
PA
USD
291774.300000
0.007325
Long
ABS-MBS
CORP
US
N
3
2035-02-20
Floating
6.3287
N
N
N
N
N
N
UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST
N/A
UNITED AIR 2016 1 AA PTT PASS THRU CE 01/30 3.1
90931LAA6
956766.010000
PA
USD
873856.020000
0.0219382
Long
DBT
CORP
US
N
2
2030-01-07
Fixed
3.1
N
N
N
N
N
N
MF1 2020-FL4 LTD
N/A
MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A
58003UAA6
3783741.650000
PA
USD
3780268.180000
0.0949037
Long
ABS-CBDO
CORP
US
N
2
2035-11-15
Floating
7.17629
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 878045 FN 03/36 FIXED 5
31409TP69
4555.290000
PA
USD
4477.690000
0.0001124
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 939484 FN 06/37 FIXED 5
31413AFZ1
5747.050000
PA
USD
5651.390000
0.0001419
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL SD8362 FR 09/53 FIXED 5.5
3132DWJF1
34876894.490000
PA
USD
35026067.850000
0.87933
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.5
N
N
N
N
N
N
ASSET BACKED SEC HOME EQTY LN 2004-HE3
N/A
ASSET BACKED SECURITIES CORP H ABSHE 2004 HE3 M1
04541GJT0
2419618.790000
PA
USD
2372556.720000
0.0595631
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
6.28043
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC COMPANY GUAR 11/30 6.2
29250NBY0
2150000.000000
PA
USD
2301632.380000
0.0577825
Long
DBT
CORP
CA
N
2
2030-11-15
Fixed
6.2
N
N
N
N
N
N
BOEING CO/THE
RVHJWBXLJ1RFUBSY1F30
BOEING CO SR UNSECURED 05/30 5.15
097023CY9
2000000.000000
PA
USD
2037150.700000
0.0511427
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15
N
N
N
N
N
N
WAMU ASSET-BACKED CERTIFICATES 2007-HE3
N/A
WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A
93364EAA2
1874705.270000
PA
USD
1737722.810000
0.0436256
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.69543
N
N
N
N
N
N
RENAISSANCE HOME EQUITY LOAN TR 2006-3
N/A
RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF5
75971EAH9
1165959.440000
PA
USD
445381.930000
0.0111813
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
6.12
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVESTOR 2006-RM1
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM1 A2B
59020U5D3
12136388.790000
PA
USD
1593739.650000
0.0400109
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
5.95
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
NORDEA BANK ABP JR SUBORDINA 144A 12/99 VAR
65559CAD3
5000000.000000
PA
USD
3962237.500000
0.0994721
Long
DBT
CORP
FI
N
2
2029-03-01
Floating
3.75
N
N
N
N
Y
NORDEA BANK ABP
NORDEA BANK ABP
EUR
XXXX
N
N
N
N/A
N/A
RFR USD SOFR/3.87000 10/17/23-30Y LCH
000000000
1.000000
NC
USD
140702.030000
0.0035323
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2053-10-17
0.000000
USD
-7350.000000
USD
1400000.000000
USD
148052.030000
N
N
N
AMERIQUEST MTGE SEC 2003-AR3
N/A
AMERIQUEST MORTGAGE SECURITIES AMSI 2003 AR3 M4
03072SHJ7
3706754.260000
PA
USD
3412685.210000
0.0856755
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Floating
11.3204
N
N
N
N
N
N
ASHTEAD CAPITAL INC
213800J1134IW58IC398
ASHTEAD CAPITAL INC COMPANY GUAR 144A 11/29 4.25
045054AL7
5000000.000000
PA
USD
4674447.200000
0.117352
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
4.25
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA4732 FN 09/52 FIXED 4
31418EHJ2
239893089.400000
PA
USD
226999354.010000
5.69882
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4
N
N
N
N
N
N
2024-02-21
PIMCO ETF Trust
/s/ Bijal Parikh
Bijal Parikh
Treasurer