0001450011-24-000263.txt : 20240227
0001450011-24-000263.hdr.sgml : 20240227
20240227132618
ACCESSION NUMBER: 0001450011-24-000263
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: 24684788
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
S000037977
PIMCO Enhanced Low Duration Active Exchange-Traded Fund
C000117167
PIMCO Enhanced Low Duration Active Exchange-Traded Fund
LDUR
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001450011
XXXXXXXX
S000037977
C000117167
PIMCO ETF Trust
811-22250
0001450011
5493004M9TBGFQUJ6D27
650 Newport Center Drive
Newport Beach
92660
(888) 400-4383
PIMCO Enhanced Low Duration Active Exchange-Traded Fund
S000037977
549300GQB1D1UUTM2872
2024-06-30
2023-12-31
N
1118839565.610000
157206088.540000
961633477.070000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
3993629.500000
USD
N
50% ICE BofA 1-3 Year US Treasury Index, 50% Bloomberg US Intermediate Credit Total Return Index
G1O2, LUICTRUU
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL J22451 FG 02/28 FIXED 2
31307AWL2
2369.470000
PA
USD
2229.630000
0.0002319
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
2
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL2591 FN 05/38 FIXED VAR
3138EJ2Z0
33030.600000
PA
USD
32980.150000
0.0034296
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 851762 FN 01/36 FIXED 4.25
31408HJF3
80496.960000
PA
USD
79413.790000
0.0082582
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
4.25
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 889154 FN 02/38 FIXED VAR
31410GZT3
2758.320000
PA
USD
2646.290000
0.0002752
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS0070 FN 08/43 FIXED 4
3138W9CG3
65846.800000
PA
USD
64010.870000
0.0066565
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4
N
N
N
N
N
N
WASHINGTON MUTUAL 2004-AR8
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A2
92922FUN6
372246.770000
PA
USD
340694.540000
0.0354287
Long
ABS-MBS
CORP
US
N
2
2044-06-25
Floating
6.27043
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 952320 FN 10/37 FIXED 6.5
31413QPD4
17340.250000
PA
USD
17270.060000
0.0017959
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.5
N
N
N
N
N
N
PFP 2022-9 LTD A
N/A
PFP III PFP 2022 9 A 144A
69291QAA3
6000000.000000
PA
USD
6030828.900000
0.627144
Long
ABS-MBS
CORP
KY
N
2
2035-08-19
Floating
7.63611
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AO3529 FN 06/42 FIXED 4
3138LT4P0
57849.370000
PA
USD
56237.210000
0.0058481
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4
N
N
N
N
N
N
DLLAD 2023-1A LLC
N/A
DLLAD LLC DLLAD 2023 1A A2 144A
233258AB8
5009249.920000
PA
USD
4993781.360000
0.519302
Long
ABS-O
CORP
US
N
2
2026-04-20
Fixed
5.19
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004241 G2 09/38 FIXED 7
36202EWA3
92366.800000
PA
USD
93495.320000
0.0097226
Long
ABS-MBS
USGSE
US
N
2
2038-09-20
Fixed
7
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC SR UNSECURED 09/25 VAR
38141GWQ3
500000.000000
PA
USD
491601.800000
0.0511215
Long
DBT
CORP
US
N
2
2025-09-29
Floating
3.272
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL U30402 FG 06/37 FIXED 5.55
31335YNT9
31563.510000
PA
USD
32598.600000
0.0033899
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.55
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 679071 GN 11/37 FIXED 5.35
36295SMU7
39785.700000
PA
USD
40224.570000
0.0041829
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Fixed
5.35
N
N
N
N
N
N
MF1 2021-FL5 LTD
N/A
MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL5 A 144A
55282XAA8
861459.150000
PA
USD
858008.530000
0.0892241
Long
ABS-MBS
CORP
KY
N
2
2036-07-15
Floating
6.32629
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 758659 G2 03/41 FIXED 4.5
36230TTQ5
104043.880000
PA
USD
102848.590000
0.0106952
Long
ABS-MBS
USGSE
US
N
2
2041-03-20
Fixed
4.5
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2021-1
N/A
TOWD POINT MORTGAGE TRUST TPMT 2021 1 A1 144A
89179YAR4
747305.910000
PA
USD
688095.740000
0.0715549
Long
ABS-MBS
CORP
US
N
2
2061-11-25
Fixed
2.25
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA2953 FN 03/47 FIXED 4
31418CH72
47936.790000
PA
USD
46243.410000
0.0048088
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4
N
N
N
N
N
N
N/A
N/A
US 10YR NOTE (CBT)MAR24 XCBT 20240319
000000000
-84.000000
NC
USD
-282962.990000
-0.0294252
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2024-03-19
-9469031.210000
USD
-282962.990000
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 679165 GN 11/37 FIXED 5.35
36295SQS8
40398.570000
PA
USD
40798.000000
0.0042426
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Fixed
5.35
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA5042 G2 10/38 FIXED 7
36179TS71
367666.270000
PA
USD
374614.560000
0.0389561
Long
ABS-MBS
USGSE
US
N
2
2038-10-20
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA1084 G2 06/43 FIXED 4
36179NFZ6
50102.720000
PA
USD
48119.670000
0.005004
Long
ABS-MBS
USGSE
US
N
2
2043-06-20
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 672041 GN 08/37 FIXED 5.35
36295JS64
53966.950000
PA
USD
54521.720000
0.0056697
Long
ABS-MBS
USGSE
US
N
2
2037-08-15
Fixed
5.35
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE CORPORATION
7D6DIU2QXTUJRFNNJA49
NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/24 1.05
654740BQ1
1200000.000000
PA
USD
1188829.740000
0.123626
Long
DBT
CORP
US
N
2
2024-03-08
Fixed
1.05
N
N
N
N
N
N
OBX 2023-NQM6 TRUST
N/A
ONSLOW BAY FINANCIAL LLC OBX 2023 NQM6 A1 144A
67117VAA8
2577411.570000
PA
USD
2603423.580000
0.270729
Long
ABS-MBS
CORP
US
N
2
2063-07-25
Variable
6.52
N
N
N
N
N
N
BEAR STEARNS ABS INC 2004-HE7
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE7 M1
073879EU8
437628.180000
PA
USD
422808.690000
0.0439678
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
6.37043
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004670 G2 04/40 FIXED 4
36202FFK7
253130.500000
PA
USD
239270.570000
0.0248817
Long
ABS-MBS
USGSE
US
N
2
2040-04-20
Fixed
4
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP SR UNSECURED 03/25 VAR
06051GHR3
2000000.000000
PA
USD
1990757.900000
0.207018
Long
DBT
CORP
US
N
2
2025-03-15
Floating
3.458
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
390519.420000
PA
USD
374421.190000
0.038936
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
4
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31453 FG 10/37 FIXED 5
31281BTJ9
7337.670000
PA
USD
7333.520000
0.0007626
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
5
N
N
N
N
N
N
ATSTC 2022-1A
N/A
ATLAS STATIC SENIOR LOAN FUND ATSTC 2022 1A AR 144A
04942PAJ6
5499456.000000
PA
USD
5500241.710000
0.571969
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
7.10094
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
132041.170000
PA
USD
131208.260000
0.0136443
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
6.45548
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST 2020-4
N/A
ANGEL OAK MORTGAGE TRUST AOMT 2020 4 A1 144A
03464LAA4
483602.460000
PA
USD
451724.160000
0.0469747
Long
ABS-MBS
CORP
US
N
2
2065-06-25
Variable
1.469
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2023-C
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A
83207DAA6
4707612.200000
PA
USD
4736581.430000
0.492556
Long
ABS-O
CORP
US
N
2
2052-11-15
Fixed
5.67
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 944530 FN 07/47 FIXED 6
31413FY30
114804.310000
PA
USD
114297.290000
0.0118857
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
6
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 05/26 VAR
06738EBL8
800000.000000
PA
USD
771653.450000
0.080244
Long
DBT
CORP
GB
N
2
2026-05-07
Floating
2.852
N
N
N
N
N
N
TRILLIUM CREDIT CARD TRUST II 2023-3A
N/A
TRILLIUM CREDIT CARD TRUST II TCCT 2023 3A A 144A
89621ABT5
10000000.000000
PA
USD
10039014.000000
1.04395
Long
ABS-MBS
CORP
CA
N
2
2028-08-26
Floating
6.18808
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2A 144A
78449VAB2
902743.710000
PA
USD
812796.490000
0.0845225
Long
ABS-O
CORP
US
N
2
2054-09-15
Fixed
1.6
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
SANDS CHINA LTD SR UNSECURED 08/25 5.375
80007RAF2
2800000.000000
PA
USD
2763036.640000
0.287327
Long
DBT
CORP
KY
N
2
2025-08-08
Variable
5.625
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P20584 FG 11/34 FIXED 5
31283YRC4
104248.700000
PA
USD
103198.950000
0.0107316
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5
N
N
N
N
N
N
STRUCTURED ASSEET MTGE INV INC 2002-AR3
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1
86358HNX3
4309.850000
PA
USD
4135.810000
0.0004301
Long
ABS-MBS
CORP
US
N
2
2032-09-19
Floating
6.13023
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 05/25 VAR
06738EBH7
2000000.000000
PA
USD
1986497.200000
0.206575
Long
DBT
CORP
GB
N
2
2025-05-07
Floating
3.932
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERTS 2005-15
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2005 15 M1
126670MH8
153552.940000
PA
USD
149457.050000
0.015542
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
6.14543
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB6261 FN 09/42 FIXED 4
31417C5X9
40623.030000
PA
USD
39490.750000
0.0041066
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 JF
38383KFR8
7991739.430000
PA
USD
7993609.500000
0.831253
Long
ABS-MBS
USGSE
US
N
2
2073-09-20
Floating
6.31774
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUND CORP 2005-1A
N/A
CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A A2 144A
16678RCU9
30250.440000
PA
USD
27024.330000
0.0028103
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.67043
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
7300000.000000
PA
USD
7360368.080000
0.765403
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Floating
8.762
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 257138 FN 03/38 FIXED 5
31371NS30
8818.420000
PA
USD
8714.450000
0.0009062
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 255990 FN 11/35 FIXED 5
31371MKB2
72775.870000
PA
USD
72175.820000
0.0075055
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R A1 144A
64831EAA8
1239124.090000
PA
USD
1132829.420000
0.117803
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
0.94054
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 922855 FN 11/36 FIXED 5.5
31412EH82
29114.770000
PA
USD
29995.170000
0.0031192
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.5
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2006-8
N/A
BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1
07387QAX8
774291.360000
PA
USD
719188.760000
0.0747882
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
5.79043
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 910758 FN 01/37 FIXED 5.5
31411KZX4
15372.850000
PA
USD
15291.370000
0.0015901
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.5
N
N
N
N
N
N
OAKTREE CLO 2019-1A
N/A
OAKTREE CLO LTD OAKCL 2019 1A A1R 144A
67401XAS0
1600000.000000
PA
USD
1597368.720000
0.16611
Long
ABS-CBDO
CORP
KY
N
2
2030-04-22
Floating
6.78354
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256973 FN 11/37 FIXED 6.5
31371NMW2
6712.050000
PA
USD
6965.990000
0.0007244
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.5
N
N
N
N
N
N
FINANCE AMERICA MTGE LOAN TRUST 2004-2
N/A
FINANCE AMERICA MORTGAGE LOAN FINA 2004 2 M1
317350BD7
117268.870000
PA
USD
110656.040000
0.0115071
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
6.29543
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC SR UNSECURED 01/25 2.648
65535HAP4
2000000.000000
PA
USD
1941790.060000
0.201926
Long
DBT
CORP
JP
N
2
2025-01-16
Fixed
2.648
N
N
N
N
N
N
HERA COMMERCIAL MORTGAGE 2021-FL1
N/A
HERA COMMERCIAL MORTGAGE LTD HERA 2021 FL1 A 144A
42704RAA9
2449742.080000
PA
USD
2386375.970000
0.248159
Long
ABS-CBDO
CORP
KY
N
2
2038-02-18
Floating
6.52273
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 257213 FN 04/48 FIXED 6
31371NVE2
13235.530000
PA
USD
13192.650000
0.0013719
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
6
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM1
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 NQM1 A1 144A
64830VAA1
4603612.730000
PA
USD
4207892.620000
0.437578
Long
ABS-MBS
CORP
US
N
2
2060-01-26
Variable
2.46413
N
N
N
N
N
N
N/A
N/A
BOUGHT JPY SOLD USD 20240109
000000000
1.000000
NC
174179.810000
0.0181129
N/A
DFE
JP
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3686453.000000
USD
544006182.000000
JPY
2024-01-09
174179.810000
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004796 G2 09/40 FIXED 4.5
36202FKH8
739.490000
PA
USD
726.890000
0.0000756
Long
ABS-MBS
USGSE
US
N
2
2040-09-20
Fixed
4.5
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
1590484.330000
PA
USD
1567532.370000
0.163007
Long
ABS-O
CORP
US
N
2
2054-09-15
Floating
6.32043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL U32423 FG 11/38 FIXED 5.4
31321XVQ4
70494.700000
PA
USD
72538.530000
0.0075433
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
5.4
N
N
N
N
N
N
SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1
N/A
SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2
81375WCT1
100891.430000
PA
USD
88243.220000
0.0091764
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
6.14543
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL AH5878 G2 03/44 FIXED 3.75
36182NQ71
40303.750000
PA
USD
38308.150000
0.0039837
Long
ABS-MBS
USGSE
US
N
2
2044-03-20
Fixed
3.75
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AE0287 FN 02/38 FIXED VAR
31419AJ99
526049.810000
PA
USD
526027.790000
0.0547015
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 723581 G2 04/35 FIXED 5.5
3620A92N0
79473.470000
PA
USD
82003.870000
0.0085276
Long
ABS-MBS
USGSE
US
N
2
2035-04-20
Fixed
5.5
N
N
N
N
N
N
GOVERNMENT NATL MTGE ASSOC 2009-66
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2009 66 UF
38376FRF1
3439.180000
PA
USD
3486.880000
0.0003626
Long
ABS-MBS
USGSE
US
N
2
2039-08-16
Floating
6.47273
N
N
N
N
N
N
MASTR ADJUSTABLE RATE MTGES TRU 2004-13
N/A
MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 2A2
576433WE2
14679.070000
PA
USD
13785.570000
0.0014336
Long
ABS-MBS
CORP
US
N
3
2034-04-21
Floating
5.87359
N
N
N
N
N
N
ARES XXXIX CLO LTD 2016-39A
N/A
ARES CLO LTD ARES 2016 39A A1R2 144A
04015WBA1
4400000.000000
PA
USD
4397765.280000
0.457322
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
6.70665
N
N
N
N
N
N
ING INVESTMENT MANAGEMENT CLO LTD 2012-4A
N/A
VOYA CLO LTD INGIM 2012 4A A1R3 144A
92916GBE3
2836680.040000
PA
USD
2830932.390000
0.294388
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.65548
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST 2022-D
N/A
WORLD OMNI AUTO RECEIVABLES TR WOART 2022 D A2A
98163VAB4
2141575.000000
PA
USD
2140675.110000
0.222608
Long
ABS-O
CORP
US
N
2
2026-03-16
Fixed
5.51
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 852504 FN 09/35 FIXED 5.35
31408JDH1
106058.850000
PA
USD
104614.030000
0.0108788
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.35
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 255538 FN 11/34 FIXED 5.5
31371LZB8
12565.850000
PA
USD
12441.940000
0.0012938
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.5
N
N
N
N
N
N
EXTENDED STAY AMERICA TRUST 2021-ESH
N/A
EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A
30227FAA8
5227264.070000
PA
USD
5182915.960000
0.53897
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
6.55648
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING SECURED 144A 01/24 0.95
04685A2S9
8770000.000000
PA
USD
8763671.130000
0.911332
Long
DBT
CORP
US
N
2
2024-01-08
Fixed
0.95
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA0101 FN 05/39 FIXED 5
31417YDF1
3878.340000
PA
USD
3845.150000
0.0003999
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 833303 FN 05/35 FIXED 5.15
31407KX87
37017.650000
PA
USD
36754.100000
0.003822
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.15
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31476 FG 12/37 FIXED 5
31281BT91
14375.630000
PA
USD
14642.280000
0.0015226
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
5
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 144A 10/27 VAR
05571AAQ8
2400000.000000
PA
USD
2471751.790000
0.257037
Long
DBT
CORP
FR
N
2
2027-10-19
Floating
6.612
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004537 G2 06/39 FIXED 7
36202FBE5
21238.380000
PA
USD
21183.120000
0.0022028
Long
ABS-MBS
USGSE
US
N
2
2039-06-20
Fixed
7
N
N
N
N
N
N
LCM 30 LTD
N/A
LCM LTD PARTNERSHIP LCM 30A AR 144A
50200YAQ1
1100000.000000
PA
USD
1097016.940000
0.114079
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.75743
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-HY3
N/A
TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A
89177XAA5
531815.940000
PA
USD
535136.550000
0.0556487
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Floating
6.47043
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H22
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H22 EF
38382YA52
1431325.120000
PA
USD
1418975.070000
0.147559
Long
ABS-MBS
USGSE
US
N
2
2072-10-20
Floating
6.08774
N
N
N
N
N
N
N/A
N/A
BOUGHT AUD SOLD USD 20240109
000000000
1.000000
NC
25143.490000
0.0026147
N/A
DFE
AU
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
920841.770000
USD
1387924.000000
AUD
2024-01-09
25143.490000
N
N
N
N/A
N/A
US 10YR ULTRA FUT MAR24 XCBT 20240319
000000000
-391.000000
NC
USD
-1645977.490000
-0.171165
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2024-03-19
-46049414.260000
USD
-1645977.490000
N
N
N
FS KKR CAPITAL CORP
549300TYRSI1T21B1360
FS KKR CAPITAL CORP SR UNSECURED 10/24 1.65
302635AJ6
5000000.000000
PA
USD
4825964.750000
0.501851
Long
DBT
CORP
US
N
2
2024-10-12
Fixed
1.65
N
N
N
N
N
N
STRUCTURED ASSET SEC CORP 2006-EQ1A
N/A
STRUCTURED ASSET SECURITIES CO SASC 2006 EQ1A A1 144A
86360RAA1
175380.240000
PA
USD
174261.090000
0.0181214
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.60543
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 695530 FN 04/33 FIXED 6
31400RVX6
33130.000000
PA
USD
33065.030000
0.0034384
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
6
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
NORDEA BANK ABP SR UNSECURED 144A 06/25 3.6
65558RAA7
2000000.000000
PA
USD
1961783.600000
0.204005
Long
DBT
CORP
FI
N
2
2025-06-06
Fixed
3.6
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31137 FG 09/34 FIXED 5.5
31281BHN3
6281.830000
PA
USD
6469.260000
0.0006727
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.5
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV SR UNSECURED 03/26 3.869
456837BA0
1500000.000000
PA
USD
1471043.340000
0.152973
Long
DBT
CORP
NL
N
2
2026-03-28
Floating
3.869
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 847106 FN 10/35 FIXED 5.5
31408CDK9
18482.350000
PA
USD
18400.290000
0.0019134
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 738753 FN 09/33 FIXED 6
31402UWN8
132575.560000
PA
USD
136479.190000
0.0141924
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 688058 G2 08/38 FIXED 4.5
36296DMF2
101944.900000
PA
USD
99332.010000
0.0103295
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 B32059 FG 09/37 FIXED 5.4
312979JC2
176540.740000
PA
USD
181654.630000
0.0188902
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
5.4
N
N
N
N
N
N
MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FIN GRP SR UNSECURED 02/26 VAR
606822CW2
3500000.000000
PA
USD
3501025.570000
0.364071
Long
DBT
CORP
JP
N
2
2026-02-20
Floating
6.28298
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST 2023-4
N/A
CARMAX AUTO OWNER TRUST CARMX 2023 4 A2A
14318XAB1
7000000.000000
PA
USD
7056988.400000
0.733854
Long
ABS-O
CORP
US
N
2
2026-12-15
Fixed
6.08
N
N
N
N
N
N
READY CAPITAL MORTGAGE FINANCING 2023-FL11 LLC
N/A
READYCAP COMMERCIAL MORTGAGE T RCMT 2023 FL11 A 144A
75575RAA5
1936831.830000
PA
USD
1947782.480000
0.202549
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
7.72995
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P51299 FG 07/37 FIXED 5.5
3128C6NQ8
51932.150000
PA
USD
51997.270000
0.0054072
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.5
N
N
N
N
N
N
CARLYLE US CLO LTD 2017-1A
N/A
CARLYLE GLOBAL MARKET STRATEGI CGMS 2017 1A A1R 144A
14314BAL1
5093906.270000
PA
USD
5094953.530000
0.529823
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.67743
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB6113 FN 08/42 FIXED 4
31417CYK5
57139.880000
PA
USD
55556.020000
0.0057773
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4
N
N
N
N
N
N
BEAR STEARNS ASSETBACKED SEC 2001-3
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 A2
07384YBM7
15164.240000
PA
USD
14610.480000
0.0015193
Long
ABS-MBS
CORP
US
N
3
2032-10-27
Floating
6.27043
N
N
N
N
N
N
LAD AUTO RECEIVABLES TRUST 2023-4
N/A
LAD AUTO RECEIVABLES TRUST LADAR 2023 4A A2 144A
50571AAB7
4700000.000000
PA
USD
4714277.190000
0.490236
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
6.21
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-1
N/A
GM FINANCIAL AUTOMOBILE LEASIN GMALT 2023 1 A2A
362541AB0
2946002.250000
PA
USD
2943986.010000
0.306144
Long
ABS-O
CORP
US
N
2
2025-06-20
Fixed
5.27
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA1715 FN 12/43 FIXED 4
31418A3Z9
1394.500000
PA
USD
1355.620000
0.000141
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 002076 G2 09/25 FIXED 6.5
36202CJV6
59.720000
PA
USD
61.400000
0.0000064
Long
ABS-MBS
USGSE
US
N
2
2025-09-20
Fixed
6.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 799902 G2 03/42 FIXED 3.74
36177VAC6
41292.190000
PA
USD
39170.170000
0.0040733
Long
ABS-MBS
USGSE
US
N
2
2042-03-20
Fixed
3.74
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31013 FG 10/33 FIXED 5
31281BDS6
8807.970000
PA
USD
8971.190000
0.0009329
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 01/26 4.375
06738EAN5
400000.000000
PA
USD
394639.370000
0.0410384
Long
DBT
CORP
GB
N
2
2026-01-12
Fixed
4.375
N
N
N
N
N
N
RENESAS ELECTRONICS CORPORATION
5299000EPC47VJQOFB81
RENESAS ELECTRONICS CORP SR UNSECURED REGS 11/24 1.543
J4881VAA5
6528000.000000
PA
USD
6284373.080000
0.65351
Long
DBT
CORP
JP
N
2
2024-11-26
Fixed
1.543
N
N
N
N
N
N
WASHINGTON MUTUAL 2003-AR5
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7
929227R65
1150.740000
PA
USD
1113.340000
0.0001158
Long
ABS-MBS
CORP
US
N
3
2033-06-25
Floating
4.82088
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC SR UNSECURED 04/25 3.5
21871XAB5
7700000.000000
PA
USD
7512526.180000
0.781226
Long
DBT
CORP
US
N
2
2025-04-04
Fixed
3.5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 780650 GN 10/27 FIXED 6.5
36225AWK2
2079.020000
PA
USD
2131.060000
0.0002216
Long
ABS-MBS
USGSE
US
N
2
2027-10-15
Fixed
6.5
N
N
N
N
N
N
SAXON ASSET SECURITIES TRUST 2005-1
N/A
SAXON ASSET SECURITIES TRUST SAST 2005 1 M2
805564RN3
135193.160000
PA
USD
126706.830000
0.0131762
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
6.19043
N
N
N
N
N
N
CHEVY CHASE MTGE FUNDING CORP 2004-4A
N/A
CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 4A A1 144A
16678RCC9
161567.280000
PA
USD
148783.320000
0.0154719
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
5.70043
N
N
N
N
N
N
N/A
N/A
BOUGHT AUD SOLD USD 20240109
000000000
1.000000
NC
31793.510000
0.0033062
N/A
DFE
AU
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1138420.940000
USD
1716907.000000
AUD
2024-01-09
31793.510000
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31493 FG 02/38 FIXED 5
31281BUS7
66102.900000
PA
USD
67331.130000
0.0070017
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL AA0060 GN 04/42 FIXED 3.7
36177WB58
111565.300000
PA
USD
106819.670000
0.0111081
Long
ABS-MBS
USGSE
US
N
2
2042-04-15
Fixed
3.7
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVS 2005-A9
N/A
MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A9 2A1C
59020UZ57
169910.810000
PA
USD
159332.030000
0.0165689
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
5.6299
N
N
N
N
N
N
RESIMAC BASTILLE TRUST SERIES 2021-2NCA
N/A
RESIMAC RESI 2021 2NCA A1A 144A
76120BAA8
1540903.350000
PA
USD
1534720.480000
0.159595
Long
ABS-MBS
CORP
AU
N
2
2053-02-03
Floating
6.1192
N
N
N
N
N
N
ANCHORAGE CAPITAL CLO LTD 2015-6A
N/A
ANCHORAGE CAPITAL CLO LTD ANCHC 2015 6A ARR 144A
03328QAY7
1871496.880000
PA
USD
1870449.850000
0.194508
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
6.70548
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SR UNSECURED 144A 03/24 3.875
83368RAT9
300000.000000
PA
USD
298613.810000
0.0310528
Long
DBT
CORP
FR
N
2
2024-03-28
Fixed
3.875
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
758233.360000
PA
USD
758772.380000
0.0789045
Long
ABS-CBDO
CORP
KY
N
2
2029-01-23
Floating
6.57354
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC COMPANY GUAR 03/25 3.788
55903VAY9
3300000.000000
PA
USD
3235811.600000
0.336491
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.788
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL L00007 FG 03/35 FIXED 5.5
3128DFAG3
13387.660000
PA
USD
13811.270000
0.0014362
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
5.5
N
N
N
N
N
N
DROP MORTGAGE TRUST 2021-FILE
N/A
DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A
26210YAA4
6000000.000000
PA
USD
5556195.600000
0.577787
Long
ABS-MBS
CORP
US
N
2
2043-10-15
Floating
6.62648
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE
01F050627
64200000.000000
PA
USD
63547969.390000
6.60834
Long
ABS-MBS
USGSE
US
N
2
2054-02-13
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL E04367 FG 04/28 FIXED 2
31294NZ85
684.210000
PA
USD
644.300000
0.000067
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
2
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 519281 FN 09/29 FIXED 5.34
31384B2N5
45928.940000
PA
USD
46645.110000
0.0048506
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
5.34
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST 2022-C
N/A
HYUNDAI AUTO RECEIVABLES TRUST HART 2022 C A2A
44933DAB7
1584253.750000
PA
USD
1583225.890000
0.164639
Long
ABS-O
CORP
US
N
2
2025-11-17
Fixed
5.35
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004492 G2 07/39 FIXED 6.5
36202E7D5
29504.940000
PA
USD
30035.180000
0.0031234
Long
ABS-MBS
USGSE
US
N
2
2039-07-20
Fixed
6.5
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-A
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2021 A A 144A
63942BAA2
1126883.930000
PA
USD
993691.660000
0.103334
Long
ABS-O
CORP
US
N
2
2069-05-15
Fixed
0.84
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
BERRY GLOBAL INC SR SECURED 144A 07/26 4.875
085770AA3
2000000.000000
PA
USD
1966660.400000
0.204513
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
4.875
N
N
N
N
N
N
N/A
N/A
US 2YR NOTE (CBT) MAR24 XCBT 20240328
000000000
1731.000000
NC
USD
2875424.860000
0.299015
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2024-03-28
356389908.860000
USD
2875424.860000
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3
N/A
STARWOOD MORTGAGE RESIDENTIAL STAR 2020 3 A1 144A
85573MAA7
342470.690000
PA
USD
319686.590000
0.0332441
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Fixed
1.486
N
N
N
N
N
N
SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY
549300OD7VKRVNWB2J98
SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 04/24 3.55
78448TAE2
1500000.000000
PA
USD
1490039.300000
0.154949
Long
DBT
CORP
IE
N
2
2024-04-15
Fixed
3.55
N
N
N
N
N
N
VMC FINANCE 2021-FL4 LLC
N/A
VMC FINANCE LLC VMC 2021 FL4 A 144A
91835RAA8
2075388.730000
PA
USD
2056993.830000
0.213906
Long
ABS-MBS
CORP
US
N
2
2036-06-16
Floating
6.57273
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2023-5
N/A
VERUS SECURITIZATION TRUST VERUS 2023 5 A1 144A
924934AA0
2735479.450000
PA
USD
2763805.340000
0.287407
Long
ABS-MBS
CORP
US
N
2
2068-06-25
Variable
6.476
N
N
N
N
N
N
CANTOR FITZGERALD LP
549300RLUEEVQEMX0450
CANTOR FITZGERALD LP SR UNSECURED 144A 05/24 4.875
138616AE7
6874000.000000
PA
USD
6822729.170000
0.709494
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
4.875
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB FINANCE LTD COMPANY GUAR 03/24 VAR
ACI23SGL3
2600000.000000
PA
USD
2603744.000000
0.270763
Long
DBT
CORP
KY
N
2
2024-03-21
Floating
6.88623
N
N
N
N
N
N
GSAMP TRUST 2006-HE4
N/A
GSAMP TRUST GSAMP 2006 HE4 A2D
362439AE1
534900.750000
PA
USD
511715.000000
0.0532131
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.99043
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-HY2
N/A
TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A
89177HAA0
774729.690000
PA
USD
788278.710000
0.0819729
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Floating
6.47043
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 03/25 VAR
404280CA5
10107000.000000
PA
USD
10124439.220000
1.05284
Long
DBT
CORP
GB
N
2
2025-03-11
Floating
6.86344
N
N
N
N
N
N
CBAM 2018-5 LTD 8A
N/A
CBAM CLO MANAGEMENT CBAM 2018 8A A1 144A
12478CAA9
5354451.830000
PA
USD
5357410.910000
0.557116
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
6.79743
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 879922 FN 11/35 FIXED 5
31409VSK0
36740.410000
PA
USD
36464.530000
0.0037919
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P51309 FG 07/37 FIXED 5.5
3128C6N21
90069.800000
PA
USD
90080.890000
0.0093675
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.5
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC SR UNSECURED 144A 03/26 VAR
853254CJ7
2300000.000000
PA
USD
2243936.720000
0.233346
Long
DBT
CORP
GB
N
2
2026-03-30
Floating
3.971
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT+T INC
0020A2CK6
14300000.000000
PA
USD
14120045.230000
1.46834
Long
DBT
CORP
US
N
2
2024-03-19
None
0
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-MFM1
N/A
BX TRUST BX 2021 MFM1 A 144A
05608VAA4
2911794.980000
PA
USD
2876367.170000
0.299113
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
6.17648
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256526 FN 12/36 FIXED 6
31371M4K0
1254.630000
PA
USD
1289.310000
0.0001341
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6
N
N
N
N
N
N
GECU AUTO RECEIVABLES TRUST 2023-1A
N/A
GECU AUTO RECEIVABLES TRUST GECU 2023 1A A3 144A
36169EAC4
2400000.000000
PA
USD
2419848.480000
0.251639
Long
ABS-O
CORP
US
N
2
2028-08-15
Fixed
5.63
N
N
N
N
N
N
N/A
N/A
US ULTRA BOND CBT MAR24 XCBT 20240319
000000000
-129.000000
NC
USD
-862295.090000
-0.0896698
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2024-03-19
-17167078.130000
USD
-862295.090000
N
N
N
PFS FINANCING CORP 2023-C
N/A
PFS FINANCING CORP. PFSFC 2023 C A 144A
69335PEY7
5000000.000000
PA
USD
5062175.000000
0.526414
Long
ABS-O
CORP
US
N
2
2028-10-15
Fixed
5.52
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL U30321 FG 02/37 FIXED 5
31335YLA2
59596.320000
PA
USD
60671.820000
0.0063092
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC SR UNSECURED 03/25 VAR
780097BK6
7200000.000000
PA
USD
7175635.200000
0.746192
Long
DBT
CORP
GB
N
2
2025-03-22
Floating
4.269
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INT LLC / EMC CORP SR UNSECURED 10/26 4.9
24703TAE6
1700000.000000
PA
USD
1703345.650000
0.17713
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.9
N
N
N
N
N
N
VENTURE 36 CLO LTD
N/A
VENTURE CDO LTD VENTR 2019 36A A1AR 144A
92332LAU3
1100000.000000
PA
USD
1096899.090000
0.114066
Long
ABS-CBDO
CORP
KY
N
2
2032-04-20
Floating
6.80743
N
N
N
N
N
N
GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2
N/A
GREYSTONE COMMERCIAL REAL ESTA GSTNE 2019 FL2 A 144A
39809LAA2
169671.860000
PA
USD
169418.840000
0.0176178
Long
ABS-CBDO
CORP
KY
N
2
2037-09-15
Floating
6.65629
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC SR UNSECURED 08/26 5.304
06738EBZ7
7700000.000000
PA
USD
7672911.790000
0.797904
Long
DBT
CORP
GB
N
2
2026-08-09
Floating
5.304
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31005 FG 08/33 FIXED 5.5
31281BDJ6
65825.600000
PA
USD
67677.420000
0.0070378
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G15159 FG 01/24 FIXED 5
3128MD5U3
4.530000
PA
USD
4.510000
0.0000005
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5
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
907386.580000
PA
USD
880469.320000
0.0915598
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
6.07043
N
N
N
N
N
N
KKR CLO 9 LTD
N/A
KKR FINANCIAL CLO LTD KKR 9 AR2 144A
48250LAW9
1628337.330000
PA
USD
1626025.510000
0.16909
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
6.60548
N
N
N
N
N
N
RENAISSANCE HOME EQUITY LN TR 2003-2
N/A
RENAISSANCE HOME EQUITY LOAN T RAMC 2003 2 A
759950AW8
737651.830000
PA
USD
673200.830000
0.070006
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
6.35043
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2021-SJ2
N/A
TOWD POINT MORTGAGE TRUST TPMT 2021 SJ2 A1A 144A
89180LAA6
2831676.530000
PA
USD
2674978.910000
0.27817
Long
ABS-MBS
CORP
US
N
2
2061-12-25
Variable
2.25
N
N
N
N
N
N
TESLA AUTO LEASE TRUST 2023-B
N/A
TESLA AUTO LEASE TRUST TESLA 2023 B A3 144A
88167QAC0
4200000.000000
PA
USD
4244184.840000
0.441352
Long
ABS-O
CORP
US
N
2
2026-09-21
Fixed
6.13
N
N
N
N
N
N
GCAT 2021-NQM3 TRUST
N/A
GCAT GCAT 2021 NQM3 A2 144A
36167HAC9
2546607.470000
PA
USD
2112117.020000
0.219638
Long
ABS-MBS
CORP
US
N
2
2066-05-25
Variable
1.348
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 734402 G2 04/41 FIXED 4.5
3620AM3K6
74988.540000
PA
USD
74293.620000
0.0077258
Long
ABS-MBS
USGSE
US
N
2
2041-04-20
Fixed
4.5
N
N
N
N
N
N
WASHINGTON MUTUAL 2006-AR5
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A
93362YAB8
21938.240000
PA
USD
19627.840000
0.0020411
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
5.9918
N
N
N
N
N
N
INTOWN 2022-STAY MORTGAGE TRUST
N/A
INTOWN 2022 STAY TOWN 2022 STAY A 144A
46117NAA0
2900000.000000
PA
USD
2914585.550000
0.303087
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Floating
7.8506
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 972781 FN 01/38 FIXED 5.35
31414QFW2
83946.600000
PA
USD
83271.410000
0.0086594
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.35
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2008-2
N/A
SLM STUDENT LOAN TRUST SLMA 2008 2 A3
784442AC9
68337.170000
PA
USD
67840.630000
0.0070547
Long
ABS-O
CORP
US
N
2
2049-04-25
Floating
6.34564
N
N
N
N
N
N
STRUCTURED ASSET INVST LN TR 2004-8
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 A1
86358ELK0
1556534.980000
PA
USD
1463762.070000
0.152216
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
6.02043
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL MA0082 G2 05/42 FIXED 3.5
36179MCT5
61130.830000
PA
USD
56523.540000
0.0058779
Long
ABS-MBS
USGSE
US
N
2
2042-05-20
Fixed
3.5
N
N
N
N
N
N
WAMU MTGE P/T CERT 2007-HY7
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 2A2
93364FAD3
364292.230000
PA
USD
297021.630000
0.0308872
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
3.76895
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 995858 FN 09/37 FIXED VAR
31416CJB3
1092.940000
PA
USD
1135.480000
0.0001181
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256860 FN 08/37 FIXED 6.5
31371NJD8
587.580000
PA
USD
609.740000
0.0000634
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.5
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 144A 01/25 2.375
05583JAG7
582000.000000
PA
USD
563064.470000
0.0585529
Long
DBT
CORP
FR
N
2
2025-01-14
Fixed
2.375
N
N
N
N
N
N
LCM LP 13A
N/A
LCM LTD PARTNERSHIP LCM 13A AR3 144A
50184KBL1
208523.640000
PA
USD
208717.020000
0.0217044
Long
ABS-CBDO
CORP
KY
N
2
2027-07-19
Floating
6.52842
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 005201 G2 10/41 FIXED 4
36202FX68
27473.200000
PA
USD
26386.180000
0.0027439
Long
ABS-MBS
USGSE
US
N
2
2041-10-20
Fixed
4
N
N
N
N
N
N
PFP III LTD 2021-8
N/A
PFP III PFP 2021 8 A 144A
69357XAA9
532579.980000
PA
USD
530672.920000
0.0551845
Long
ABS-MBS
CORP
KY
N
2
2037-08-09
Floating
6.47648
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY SR UNSECURED 07/26 VAR
61747YET8
5000000.000000
PA
USD
4955107.650000
0.51528
Long
DBT
CORP
US
N
2
2026-07-17
Floating
4.679
N
N
N
N
N
N
DRYDEN 60 CLO LTD
N/A
DRYDEN SENIOR LOAN FUND DRSLF 2018 60A A 144A
26251NAB6
7295543.450000
PA
USD
7297776.690000
0.758894
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
6.70548
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AD0893 FN 01/39 FIXED VAR
31418M7F3
233120.070000
PA
USD
236448.740000
0.0245882
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 820191 FN 05/35 FIXED 5
31406UF86
45079.530000
PA
USD
44196.640000
0.004596
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004918 G2 01/41 FIXED 4
36202FPB6
84817.400000
PA
USD
81461.570000
0.0084712
Long
ABS-MBS
USGSE
US
N
2
2041-01-20
Fixed
4
N
N
N
N
N
N
COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1A
02150PAA6
53363.470000
PA
USD
47295.490000
0.0049182
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.75043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H09022 FG 02/37 FIXED 5.5
3128UNAX0
8290.140000
PA
USD
8350.560000
0.0008684
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.5
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC SR UNSECURED 144A 05/25 VAR
853254BN9
2000000.000000
PA
USD
1982878.680000
0.206199
Long
DBT
CORP
GB
N
2
2025-05-21
Floating
3.785
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
1424048.470000
PA
USD
1392885.310000
0.144846
Long
ABS-MBS
CORP
US
N
2
2061-02-25
Variable
1.9917
N
N
N
N
N
N
N/A
N/A
SOLD AUD BOUGHT USD 20240109
000000000
1.000000
NC
-61922.550000
-0.0064393
N/A
DFE
AU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3068831.000000
AUD
2029740.170000
USD
2024-01-09
-61922.550000
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240109
000000000
1.000000
NC
-52791.700000
-0.0054898
N/A
DFE
JP
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
374900000.000000
JPY
2607750.200000
USD
2024-01-09
-52791.700000
N
N
N
CANADIAN PACIFIC RAILWAY COMPANY
54930036474DURYNB481
CANADIAN PACIFIC RAILWAY COMPANY GUAR 06/26 3.125
13648TAB3
700000.000000
PA
USD
670873.570000
0.069764
Long
DBT
CORP
CA
N
2
2026-06-01
Fixed
3.125
N
N
N
N
N
N
RENESAS ELECTRONICS CORPORATION
5299000EPC47VJQOFB81
RENESAS ELECTRONICS CORP SR UNSECURED 144A 11/24 1.543
75972BAA9
3172000.000000
PA
USD
3053620.010000
0.317545
Long
DBT
CORP
JP
N
2
2024-11-26
Fixed
1.543
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 839137 FN 10/35 FIXED 6
31407SHN5
29451.790000
PA
USD
30321.260000
0.0031531
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 412608 GN 05/26 FIXED 7
36206JKV5
675.200000
PA
USD
677.450000
0.0000704
Long
ABS-MBS
USGSE
US
N
2
2026-05-15
Fixed
7
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 780742 GN 09/24 FIXED 7
36225AZF0
54.120000
PA
USD
54.050000
0.0000056
Long
ABS-MBS
USGSE
US
N
2
2024-09-15
Fixed
7
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 933032 FN 10/37 FIXED 6
31412SA96
490.490000
PA
USD
483.210000
0.0000502
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6
N
N
N
N
N
N
DAIMLER TRUCK FINANCE NORTH AMERICA LLC
5493003HSDTSCZRXBA58
DAIMLER TRUCK FINAN NA COMPANY GUAR 144A 12/24 VAR
233853AE0
750000.000000
PA
USD
749804.480000
0.077972
Long
DBT
CORP
US
N
2
2024-12-13
Floating
6.07966
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE
01F050619
23900000.000000
PA
USD
23647929.810000
2.45914
Long
ABS-MBS
USGSE
US
N
2
2054-01-16
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 07/25 4.25
453140AF2
1641000.000000
PA
USD
1612837.420000
0.167718
Long
DBT
CORP
GB
N
2
2025-07-21
Fixed
4.25
N
N
N
N
N
N
STWD 2021-HTS MORTGAGE TRUST 2021-HTS
N/A
STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS A 144A
78486DAA8
2787666.430000
PA
USD
2745694.490000
0.285524
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
6.52648
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 895567 FN 04/36 FIXED 5.45
31410R6C8
84485.820000
PA
USD
83927.710000
0.0087276
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.45
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 961191 FN 01/38 FIXED 6
31414BKC3
3915.810000
PA
USD
3886.000000
0.0004041
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 754366 G2 03/42 FIXED 4
36230NZ73
8052.270000
PA
USD
7885.640000
0.00082
Long
ABS-MBS
USGSE
US
N
2
2042-03-20
Fixed
4
N
N
N
N
N
N
SARANAC CLO LTD 2018-6A
N/A
SARANAC CLO LTD SRANC 2018 6A A1R 144A
80317LAJ2
4948596.050000
PA
USD
4949366.400000
0.514683
Long
ABS-CBDO
CORP
JE
N
2
2031-08-13
Floating
6.78078
N
N
N
N
N
N
JP MORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE + CO SR UNSECURED 02/26 VAR
46647PCV6
1000000.000000
PA
USD
968918.630000
0.100758
Long
DBT
CORP
US
N
2
2026-02-24
Floating
2.595
N
N
N
N
N
N
JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2017 JP7 A3
465968AC9
288500.740000
PA
USD
280521.040000
0.0291713
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.3785
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 671883 GN 06/37 FIXED 5.35
36295JM86
60566.220000
PA
USD
61177.560000
0.0063618
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
Fixed
5.35
N
N
N
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA GLOBAL FUNDING TRUST SECURED 144A 04/25 VAR
36143L2K0
3000000.000000
PA
USD
2995443.720000
0.311495
Long
DBT
CORP
US
N
2
2025-04-11
Floating
6.71863
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H09117 FG 11/37 FIXED 6.5
3128UNDW9
5498.960000
PA
USD
5602.310000
0.0005826
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.5
N
N
N
N
N
N
PRET 2021-NPL6 LLC
N/A
PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL6 A1 144A
69362GAA9
1966759.220000
PA
USD
1942103.140000
0.201959
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Fixed
2.4871
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 889187 FN 07/33 FIXED VAR
31410G2U6
13870.830000
PA
USD
13599.970000
0.0014143
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 819457 FN 02/35 FIXED 4.75
31406TME8
108648.410000
PA
USD
109587.180000
0.0113959
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
4.75
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 672295 GN 01/38 FIXED 5.35
36295J3C8
67365.970000
PA
USD
68109.040000
0.0070826
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Fixed
5.35
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SR UNSECURED 05/25 VAR
172967NQ0
4000000.000000
PA
USD
3976938.680000
0.413561
Long
DBT
CORP
US
N
2
2025-05-24
Floating
4.14
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2023-8
N/A
VERUS SECURITIZATION TRUST VERUS 2023 8 A1 144A
92540DAA3
5100000.000000
PA
USD
5141246.760000
0.534637
Long
ABS-MBS
CORP
US
N
2
2068-12-25
Fixed
6.25912
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H09098 FG 10/37 FIXED 6.5
3128UNDB5
76553.010000
PA
USD
77649.160000
0.0080747
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.5
N
N
N
N
N
N
NYO COMMERCIAL MORTGAGE TRUST 2021-1290
N/A
NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A
62955HAA5
6000000.000000
PA
USD
5552208.000000
0.577373
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
6.57148
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 888796 FN 09/37 FIXED VAR
31410GNM1
57366.590000
PA
USD
58035.800000
0.0060351
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA0565 FN 09/40 FIXED 5.5
31417YTX5
63570.050000
PA
USD
64632.760000
0.0067211
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
5.5
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST 2021-SL1
N/A
LEGACY MORTGAGE ASSET TRUST LMAT 2021 SL1 A 144A
52475PAA9
543185.340000
PA
USD
540721.720000
0.0562295
Long
ABS-MBS
CORP
US
N
2
2060-09-25
Variable
1.991
N
N
N
N
N
N
N/A
N/A
US 5YR NOTE (CBT) MAR24 XCBT 20240328
000000000
-72.000000
NC
USD
-162927.140000
-0.0169427
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2024-03-28
-7825218.770000
USD
-162927.140000
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV 144A 10/26 VAR
00084DBC3
2200000.000000
PA
USD
2237409.460000
0.232668
Long
DBT
CORP
NL
N
2
2026-10-13
Floating
6.575
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA A1A 144A
63942TAA3
8176255.960000
PA
USD
8312206.660000
0.864384
Long
ABS-O
CORP
US
N
2
2072-03-15
Fixed
6.48
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004949 G2 02/41 FIXED 4
36202FQA7
126429.470000
PA
USD
121427.260000
0.0126272
Long
ABS-MBS
USGSE
US
N
2
2041-02-20
Fixed
4
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004879 G2 12/40 FIXED 4
36202FM45
4145.330000
PA
USD
3981.320000
0.000414
Long
ABS-MBS
USGSE
US
N
2
2040-12-20
Fixed
4
N
N
N
N
N
N
BEAR STEARNS ARM TRUST 2002-11
N/A
BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1
07384MSH6
514.510000
PA
USD
495.710000
0.0000515
Long
ABS-MBS
CORP
US
N
3
2033-02-25
Floating
6.34028
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
1376148.220000
PA
USD
1374527.860000
0.142937
Long
ABS-CBDO
CORP
KY
N
2
2030-07-25
Floating
6.61983
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 891367 FN 04/36 FIXED 4.75
31410MJL5
166026.330000
PA
USD
167223.530000
0.0173895
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
4.75
N
N
N
N
N
N
SLM STUDENT LOAN TRUST 2008-5
N/A
SLM STUDENT LOAN TRUST SLMA 2008 5 A4
78444YAD7
111212.390000
PA
USD
111258.790000
0.0115698
Long
ABS-O
CORP
US
N
2
2024-10-25
Floating
7.29564
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H01774 FG 09/37 FIXED 6.5
3128MT6K9
49471.100000
PA
USD
50026.080000
0.0052022
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256496 FN 10/36 FIXED 6.5
31371M3D7
8519.100000
PA
USD
8518.720000
0.0008859
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.5
N
N
N
N
N
N
GCAT 2021-NQM3 TRUST
N/A
GCAT GCAT 2021 NQM3 A3 144A
36167HAD7
2300095.870000
PA
USD
1890317.230000
0.196574
Long
ABS-MBS
CORP
US
N
2
2066-05-25
Variable
1.503
N
N
N
N
N
N
RAAC SERIES 2006-RP4
N/A
RAAC SERIES RAAC 2006 RP4 M1 144A
74919TAB7
374640.020000
PA
USD
370935.390000
0.0385735
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
6.02043
N
N
N
N
N
N
STRUCTURED ASSET INVESTMENT LN TR 2004-2
N/A
STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4
86358EGW0
397416.520000
PA
USD
389448.880000
0.0404987
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Floating
6.17543
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31480 FG 04/37 FIXED 5
31281BUD0
21102.630000
PA
USD
21494.420000
0.0022352
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST 2007-A1
N/A
JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A2
46630GAH8
189017.550000
PA
USD
177423.420000
0.0184502
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
4.53816
N
N
N
N
N
N
BENEFIT STREET PARTNERS CLO XVI LTD
N/A
BENEFIT STREET PARTNERS CLO LT BSP 2018 16A A1R 144A
08181VAN5
400000.000000
PA
USD
400002.850000
0.0415962
Long
ABS-CBDO
CORP
KY
N
2
2032-01-17
Floating
6.69444
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N39008 FG 09/38 FIXED 5.5
31320LAH4
484851.950000
PA
USD
500441.760000
0.0520408
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
5.5
N
N
N
N
N
N
MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2021-6
N/A
MORGAN STANLEY RESIDENTIAL MOR MSRM 2021 6 A6 144A
61772QAN0
826218.610000
PA
USD
764508.340000
0.079501
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Floating
5
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 773563 G2 07/41 FIXED 4.5
36176RFC1
139423.530000
PA
USD
138131.470000
0.0143643
Long
ABS-MBS
USGSE
US
N
2
2041-07-20
Fixed
4.5
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST 2023-P3
N/A
CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A3 144A
14688GAC8
2700000.000000
PA
USD
2735746.380000
0.28449
Long
ABS-O
CORP
US
N
2
2028-08-10
Fixed
5.82
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 870801 FN 10/36 FIXED 5.5
31409GNS1
3536.310000
PA
USD
3527.640000
0.0003668
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
5.5
N
N
N
N
N
N
MFA 2021-RPL1 TRUST
N/A
MFRA TRUST MFRA 2021 RPL1 A1 144A
55283QAA2
2437711.980000
PA
USD
2164210.690000
0.225056
Long
ABS-MBS
CORP
US
N
2
2060-07-25
Variable
1.1313
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P00039 FG 05/33 FIXED 6
31283NBG6
14403.750000
PA
USD
14346.130000
0.0014919
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
6
N
N
N
N
N
N
JFIN CLO LTD 2017-2A
N/A
APEX CREDIT CLO LLC JFIN 2017 2A AR 144A
46593CAA7
435794.770000
PA
USD
435379.360000
0.045275
Long
ABS-CBDO
CORP
KY
N
2
2029-09-20
Floating
6.622
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2022-C
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2022 C A1A 144A
78449CAA6
2688807.990000
PA
USD
2611462.280000
0.271565
Long
ABS-O
CORP
US
N
2
2050-05-16
Fixed
4.48
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2022-A
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2022 A A 144A
63942MAA8
4576635.040000
PA
USD
4039609.020000
0.420078
Long
ABS-O
CORP
US
N
2
2070-07-15
Fixed
2.23
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 799863 GN 04/42 FIXED 3.75
36177U5Z3
90360.800000
PA
USD
86784.510000
0.0090247
Long
ABS-MBS
USGSE
US
N
2
2042-04-15
Fixed
3.75
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 780058 GN 01/25 FIXED 7
36225AB33
23.550000
PA
USD
23.510000
0.0000024
Long
ABS-MBS
USGSE
US
N
2
2025-01-15
Fixed
7
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL U31817 FG 03/38 FIXED 5.4
31321XAS3
73488.100000
PA
USD
75633.840000
0.0078651
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.4
N
N
N
N
N
N
FIRST HORIZON ALT MTGE SEC 2004-AA7
N/A
FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA7 2A1
32051GFB6
168186.340000
PA
USD
157491.690000
0.0163775
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
6.50303
N
N
N
N
N
N
MIDOCEAN CREDIT CLO II 2013-2A
N/A
MIDOCEAN CREDIT CLO MIDO 2013 2A ARR 144A
59863KAS6
1133305.930000
PA
USD
1133848.170000
0.117909
Long
ABS-CBDO
CORP
KY
N
2
2030-01-29
Floating
6.68159
N
N
N
N
N
N
PACIFIC LIFE GLOBAL FUNDING II
6354003EUPCHXTWUU869
PACIFIC LIFE GF II SR SECURED 144A 06/26 VAR
6944PL2G3
1496000.000000
PA
USD
1483592.520000
0.154278
Long
DBT
CORP
US
N
2
2026-06-04
Floating
5.97378
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR13
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1B2
92922F4R6
60295.000000
PA
USD
56248.530000
0.0058493
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
6.33043
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES 2005-EMX1
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX1 M2
76110WQ66
252528.980000
PA
USD
247349.130000
0.0257218
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.56543
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256372 FN 07/36 FIXED 6.5
31371MW94
162456.250000
PA
USD
164233.910000
0.0170786
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.5
N
N
N
N
N
N
BFLD TRUST 2020-EYP
N/A
BFLD TRUST BFLD 2020 EYP A 144A
05493AAA8
2000000.000000
PA
USD
1527219.800000
0.158815
Long
ABS-MBS
CORP
US
N
2
2035-10-15
Floating
6.62648
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 939484 FN 06/37 FIXED 5
31413AFZ1
8620.570000
PA
USD
8477.080000
0.0008815
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES 2023-C OWNER TRUST
N/A
TOYOTA AUTO RECEIVABLES OWNER TAOT 2023 C A3
89231FAD2
3000000.000000
PA
USD
3023153.700000
0.314377
Long
ABS-O
CORP
US
N
2
2028-04-17
Fixed
5.16
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 888372 FN 04/37 FIXED VAR
31410F6H3
4098.290000
PA
USD
4199.590000
0.0004367
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31368 FG 01/37 FIXED 5
31281BQV5
6045.520000
PA
USD
6157.690000
0.0006403
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5
N
N
N
N
N
N
VENTURE XXVII CLO LTD 2017-27A
N/A
VENTURE CDO LTD VENTR 2017 27A AR 144A
92331LBC3
7827062.900000
PA
USD
7822556.700000
0.813465
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.72743
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 889322 FN 04/38 FIXED VAR
31410KAX2
10658.360000
PA
USD
10716.770000
0.0011144
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.5
N
N
N
N
N
N
BWAY MORTGAGE TRUST 2021-1450
N/A
BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A
12430YAA8
3000000.000000
PA
USD
2802481.500000
0.291429
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
6.72629
N
N
N
N
N
N
ONE 2021-PARK MORTGAGE TRUST
N/A
ONE PARK MORTGAGE TRUST ONP 2021 PARK A 144A
682413AA7
3914000.000000
PA
USD
3730904.250000
0.387976
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
6.17648
N
N
N
N
N
N
GREENWOOD PARK CLO LTD 2018-1A
N/A
GREENWOOD PARK CLO, LTD GRNPK 2018 1A A2 144A
39729RAB4
4040784.560000
PA
USD
4044320.770000
0.420568
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.66548
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A
64830TAD0
404160.690000
PA
USD
379147.140000
0.0394274
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.5
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2017-5
N/A
TOWD POINT MORTGAGE TRUST TPMT 2017 5 A1 144A
89169EAA7
59293.200000
PA
USD
59912.550000
0.0062303
Long
ABS-MBS
CORP
US
N
2
2057-02-25
Floating
6.07043
N
N
N
N
N
N
BCP TRUST 2021-330N
N/A
BCP TRUST BCP 2021 330N A 144A
05553BAA3
5600000.000000
PA
USD
5039648.320000
0.524072
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
6.27548
N
N
N
N
N
N
N/A
N/A
BOUGHT JPY SOLD USD 20240109
000000000
1.000000
NC
94960.280000
0.0098749
N/A
DFE
JP
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
2316746.000000
USD
339836288.000000
JPY
2024-01-09
94960.280000
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA GLOBAL FUNDING TRUST SECURED 144A 04/24 1
36143L2B0
1750000.000000
PA
USD
1724623.950000
0.179343
Long
DBT
CORP
US
N
2
2024-04-08
Fixed
1
N
N
N
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA GLOBAL FUNDING TRUST SECURED 144A 09/24 0.8
36143L2C8
2153000.000000
PA
USD
2069851.570000
0.215243
Long
DBT
CORP
US
N
2
2024-09-13
Fixed
0.8
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST 2023-REV1
N/A
FORD CREDIT AUTO OWNER TRUST/F FORDR 2023 1 A 144A
34535QAA3
6100000.000000
PA
USD
6126048.220000
0.637046
Long
ABS-O
CORP
US
N
2
2035-08-15
Fixed
4.85
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY 05/24 3.7
251526BY4
593000.000000
PA
USD
587000.640000
0.061042
Long
DBT
CORP
DE
N
2
2024-05-30
Fixed
3.7
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC
N/A
AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 7A A 144A
05377RHL1
8100000.000000
PA
USD
8278702.200000
0.8609
Long
ABS-O
CORP
US
N
2
2028-08-21
Fixed
5.9
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC SR UNSECURED 144A 03/26 VAR
853254CK4
5000000.000000
PA
USD
5024251.650000
0.52247
Long
DBT
CORP
GB
N
2
2026-03-30
Floating
7.12887
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AC4532 FN 01/34 FIXED 5
31417QBA1
587383.500000
PA
USD
581716.150000
0.0604925
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P50075 FG 09/31 FIXED 6
31288LCL3
19202.530000
PA
USD
19141.000000
0.0019905
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
6
N
N
N
N
N
N
MKS CLO LTD 2017-1A
N/A
MKS CLO LTD MKS 2017 1A AR 144A
55317AAA7
2879563.370000
PA
USD
2876589.960000
0.299136
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.67743
N
N
N
N
N
N
VIBRANT CLO IV LTD 2016-4A
N/A
VIBRANT CLO LTD VIBR 2016 4A A1RR 144A
92557WAW3
300000.000000
PA
USD
297893.320000
0.0309778
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
6.79743
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2003-9
N/A
GSR MORTGAGE LOAN TRUST GSR 2003 9 A2
36228FWS1
63204.640000
PA
USD
57751.500000
0.0060056
Long
ABS-MBS
CORP
US
N
3
2033-08-25
Floating
7.67832
N
N
N
N
N
N
HOME EQUITY ASSET TRUST 2004-5
N/A
HOME EQUITY ASSET TRUST HEAT 2004 5 M3
437084DY9
870527.740000
PA
USD
855593.400000
0.0889729
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
6.52043
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL AV9440 G2 11/46 FIXED 3
36195LPZ9
84381.220000
PA
USD
76858.020000
0.0079924
Long
ABS-MBS
USGSE
US
N
2
2046-11-20
Fixed
3
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SR UNSECURED 144A 01/25 3.375
09659W2D5
4000000.000000
PA
USD
3918715.280000
0.407506
Long
DBT
CORP
FR
N
2
2025-01-09
Fixed
3.375
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 627122 G2 03/34 FIXED 5.5
36291FVP0
72915.160000
PA
USD
72469.090000
0.007536
Long
ABS-MBS
USGSE
US
N
2
2034-03-20
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 888970 FN 06/37 FIXED VAR
31410GT37
6653.000000
PA
USD
6915.120000
0.0007191
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HLDGS SR UNSECURED 11/26 VAR
80281LAS4
5000000.000000
PA
USD
5095653.000000
0.529895
Long
DBT
CORP
GB
N
2
2026-11-21
Floating
6.833
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 03/26 VAR
53944YAR4
2500000.000000
PA
USD
2442795.980000
0.254026
Long
DBT
CORP
GB
N
2
2026-03-18
Floating
3.511
N
N
N
N
N
N
BENEFIT STREET PARTNERS CLO XII LTD 2017-12A
N/A
BENEFIT STREET PARTNERS CLO LT BSP 2017 12A A1R 144A
08179HAE0
1175785.240000
PA
USD
1174544.450000
0.122141
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.60548
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL B70184 FG 05/29 FIXED 7
312988FZ6
11708.100000
PA
USD
11676.250000
0.0012142
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
7
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 357175 FN 12/31 FIXED 5.5
31376JXC8
8352.900000
PA
USD
8332.400000
0.0008665
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
5.5
N
N
N
N
N
N
CHUGOKU ELECTRIC POWER CO INC
353800MV866ELME96Q46
CHUGOKU ELECTRIC POWER SR SECURED REGS 08/24 2.401
ACI1F2P70
1000000.000000
PA
USD
977640.000000
0.101665
Long
DBT
CORP
JP
N
2
2024-08-27
Fixed
2.401
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AW0293 FN 02/44 FIXED 4
3138XPKF9
16592.030000
PA
USD
16129.620000
0.0016773
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AB1063 FN 03/50 FIXED 5.5
31416WFD9
75274.050000
PA
USD
75049.640000
0.0078044
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
5.5
N
N
N
N
N
N
LCM XV LP 15A
N/A
LCM LTD PARTNERSHIP LCM 15A AR2 144A
50184NAR3
2852287.740000
PA
USD
2847616.550000
0.296123
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.67743
N
N
N
N
N
N
ENTERPRISE FLEET FUNDING LLC 2022-4
N/A
ENTERPRISE FLEET FINANCING LLC EFF 2022 4 A2 144A
29374GAB7
6095793.830000
PA
USD
6116407.370000
0.636043
Long
ABS-O
CORP
US
N
2
2029-10-22
Fixed
5.76
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004182 G2 07/38 FIXED 5.5
36202EUF4
16701.540000
PA
USD
16674.510000
0.001734
Long
ABS-MBS
USGSE
US
N
2
2038-07-20
Fixed
5.5
N
N
N
N
N
N
CQS US CLO 2022-2A LTD
N/A
CQS US CLO 2022 2, LTD. CQS 2022 2A A1R 144A
12664BAN7
1287647.570000
PA
USD
1291171.870000
0.134269
Long
ABS-CBDO
CORP
JE
N
2
2031-07-20
Floating
7.26582
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 800447 FN 10/34 FIXED 5
31405VHY6
22170.720000
PA
USD
21745.200000
0.0022613
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SR UNSECURED REGS 01/25 VAR
09659X2G6
200000.000000
PA
USD
199985.270000
0.0207964
Long
DBT
CORP
FR
N
2
2025-01-10
Floating
4.705
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV3
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV3 A11 144A
17329VDF3
3746647.230000
PA
USD
3469376.980000
0.36078
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Floating
5
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI PROPERTIES LP SR UNSECURED 05/25 4.375
925650AA1
1700000.000000
PA
USD
1671716.930000
0.173841
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.375
N
N
N
N
N
N
SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT1
N/A
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT1 M2
83611MDH8
207163.850000
PA
USD
202265.480000
0.0210335
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
6.14543
N
N
N
N
N
N
KKR CLO LTD 18
N/A
KKR FINANCIAL CLO LTD KKR 18 AR 144A
48251JAL7
421478.060000
PA
USD
421183.030000
0.0437987
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
6.59665
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING SR SECURED 144A 05/24 VAR
04685A2X8
2000000.000000
PA
USD
1998566.000000
0.20783
Long
DBT
CORP
US
N
2
2024-05-24
Floating
6.052
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 RPL1 A1 144A
64829VAA4
1023155.650000
PA
USD
979413.390000
0.101849
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
3.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 941742 FN 07/37 FIXED 5.35
31413CWB1
98884.010000
PA
USD
98098.590000
0.0102012
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.35
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL AA0711 G2 07/42 FIXED 3.74
36177WYG9
32277.840000
PA
USD
30536.970000
0.0031755
Long
ABS-MBS
USGSE
US
N
2
2042-07-20
Fixed
3.74
N
N
N
N
N
N
FREDDIE MAC REMICS 4948
N/A
FREDDIE MAC FHR 4948 E
3137FQZF3
145408.410000
PA
USD
129215.610000
0.0134371
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Fixed
2.5
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO + COMPANY SR UNSECURED 10/25 VAR
95000U2H5
10400000.000000
PA
USD
10119376.800000
1.05231
Long
DBT
CORP
US
N
2
2025-10-30
Floating
2.406
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 918929 FN 04/37 FIXED 5.5
31411Y4N0
164015.330000
PA
USD
163478.580000
0.0170001
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H03252 FG 10/37 FIXED 6.5
3128MVTH6
12332.690000
PA
USD
12379.310000
0.0012873
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.5
N
N
N
N
N
N
GCAT LLC 2019-RPL1
N/A
GCAT GCAT 2019 RPL1 A1 144A
36167CAA4
340154.790000
PA
USD
324205.410000
0.033714
Long
ABS-MBS
CORP
US
N
2
2068-10-25
Variable
2.65
N
N
N
N
N
N
COUNTRYWIDE ASSET-BACKED CERT 2006-11
N/A
COUNTRYWIDE ASSET BACKED CERTI CWL 2006 11 2AV
12666TAG1
136361.170000
PA
USD
135088.070000
0.0140478
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
5.77043
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004262 G2 10/38 FIXED 7
36202EWX3
88375.260000
PA
USD
90054.600000
0.0093648
Long
ABS-MBS
USGSE
US
N
2
2038-10-20
Fixed
7
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256890 FN 09/37 FIXED 6
31371NKB0
53562.300000
PA
USD
54875.840000
0.0057065
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 982008 FN 05/38 FIXED 5.5
31415BNZ8
7597.620000
PA
USD
7535.900000
0.0007837
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 405220 FN 09/28 FIXED 6
31378QDZ1
2226.440000
PA
USD
2260.830000
0.0002351
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
6
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 05/26 VAR
902613AM0
12000000.000000
PA
USD
11825948.160000
1.22978
Long
DBT
CORP
CH
N
2
2026-05-12
Floating
4.488
N
N
N
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA GLOBAL FUNDING TRUST SECURED 144A 09/24 VAR
36143L2E4
1110000.000000
PA
USD
1102736.910000
0.114673
Long
DBT
CORP
US
N
2
2024-09-13
Floating
5.84733
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2007-3
N/A
SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1
81744MAA0
487012.590000
PA
USD
423753.010000
0.044066
Long
ABS-MBS
CORP
US
N
2
2036-07-20
Floating
5.8724
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22
N/A
JPMBB COMMERCIAL MORTGAGE SECU JPMBB 2014 C22 A4
46642NBD7
4410284.000000
PA
USD
4333703.830000
0.450661
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Fixed
3.8012
N
N
N
N
N
N
MFA 2023-NQM4 TRUST
N/A
MFRA TRUST MFRA 2023 NQM4 A1 144A
55286LAA0
1050000.000000
PA
USD
1056352.290000
0.10985
Long
ABS-MBS
CORP
US
N
2
2068-12-25
Fixed
6.105
N
N
N
N
N
N
ELEVATION CLO LTD 2017-8A
N/A
ELEVATION CLO LTD AWPT 2017 8A A1R2 144A
28622VAN0
5646434.610000
PA
USD
5636774.520000
0.586167
Long
ABS-CBDO
CORP
KY
N
2
2030-10-25
Floating
6.58983
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR REGS 07/25 4.25
G4721VNU4
200000.000000
PA
USD
196567.630000
0.020441
Long
DBT
CORP
GB
N
2
2025-07-21
Fixed
4.25
N
N
N
N
N
N
CHASE FUNDING MTGE LN ASSET-BKD 2003-5
N/A
CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 5 2A2
161546GR1
209779.450000
PA
USD
198952.180000
0.020689
Long
ABS-MBS
CORP
US
N
3
2033-07-25
Floating
6.07043
N
N
N
N
N
N
NASSAU LTD 2017-IA
N/A
NASSAU LTD NCC 2017 IA A1AS 144A
631707AL0
333459.950000
PA
USD
333457.240000
0.0346761
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
6.80548
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST 2003-2
N/A
SEQUOIA MORTGAGE TRUST SEMT 2003 2 A1
81743PAP1
825.330000
PA
USD
777.940000
0.0000809
Long
ABS-MBS
CORP
US
N
3
2033-06-20
Floating
6.1324
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 662867 GN 12/36 FIXED 5.35
36294XMQ6
28824.460000
PA
USD
29109.130000
0.0030271
Long
ABS-MBS
USGSE
US
N
2
2036-12-15
Fixed
5.35
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AL6513 FN 07/44 FIXED VAR
3138EPGX6
24263.230000
PA
USD
24702.450000
0.0025688
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
5
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 02/24 VAR
161175BP8
10500000.000000
PA
USD
10500000.010000
1.09189
Long
DBT
CORP
US
N
2
2024-02-01
Floating
7.28873
N
N
N
N
N
N
ELFI GRADUATE LOAN PROGRAM 2021-A LLC
N/A
ELFI GRADUATE LOAN PROGRAM 202 ELFI 2021 A A 144A
28628BAA6
4501693.730000
PA
USD
3915960.800000
0.40722
Long
ABS-O
CORP
US
N
2
2046-12-26
Fixed
1.53
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H19005 FG 01/37 FIXED 5.5
3128NAAE8
160204.640000
PA
USD
160044.710000
0.016643
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.5
N
N
N
N
N
N
KKR FINANCIAL HOLDINGS LLC
549300U5WMP5TYFNKW68
KKR FINANCIAL HOLDINGS SR UNSECURED 144A 05/33 5.4
48248AAG3
5500000.000000
PA
USD
5316718.280000
0.552884
Long
DBT
CORP
US
N
2
2033-05-23
Fixed
5.4
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
US TREASURY N/B 08/25 5
91282CHV6
227600000.000000
PA
USD
229729304.970000
23.8895
Long
DBT
UST
US
N
2
2025-08-31
Fixed
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA1137 FN 07/42 FIXED 4
31418AHP6
28951.210000
PA
USD
27160.890000
0.0028245
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4
N
N
N
N
N
N
LCCM 2021-FL2 TRUST
N/A
LADDER CAPITAL COMMERCIAL MORT LCCM 2021 FL2 A 144A
50202KAA4
3980078.980000
PA
USD
3851991.960000
0.400568
Long
ABS-CBDO
CORP
US
N
2
2038-12-13
Floating
6.67629
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-C
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 C AFX 144A
83390UAF4
557180.250000
PA
USD
507262.140000
0.0527501
Long
ABS-O
CORP
US
N
2
2046-02-15
Fixed
1.95
N
N
N
N
N
N
GSR MORTGAGE LOAN TRUST 2005-AR6
N/A
GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A4
362341RW1
2124.170000
PA
USD
2046.220000
0.0002128
Long
ABS-MBS
CORP
US
N
3
2035-09-25
Floating
5.77782
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 819230 FN 02/35 FIXED 5.35
31406TEB3
32564.800000
PA
USD
32335.510000
0.0033626
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.35
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL U30400 FG 06/37 FIXED 5.55
31335YNR3
36278.380000
PA
USD
37489.660000
0.0038985
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.55
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 499703 FN 05/29 FIXED 6
31383DDG5
1757.720000
PA
USD
1764.660000
0.0001835
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
6
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED 144A 07/26 VAR
225401AY4
1900000.000000
PA
USD
1922723.260000
0.199944
Long
DBT
CORP
CH
N
2
2026-07-15
Floating
6.373
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A
N/A
NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A
64830KAA5
99378.900000
PA
USD
96256.040000
0.0100096
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Variable
4.5
N
N
N
N
N
N
THORNBURG MORTGAGE SEC TRUST 2005-1
N/A
THORNBURG MORTGAGE SECURITIES TMST 2005 1 A3
885220HB2
36810.100000
PA
USD
34314.520000
0.0035684
Long
ABS-MBS
CORP
US
N
3
2045-04-25
Floating
4.21846
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2021-D
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2021 D A1B 144A
78449MAB2
403681.490000
PA
USD
395738.850000
0.0411528
Long
ABS-O
CORP
US
N
2
2053-03-17
Floating
6.07629
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 899432 FN 05/37 FIXED 6
31410WHH4
68.460000
PA
USD
68.170000
0.0000071
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 716993 G2 06/39 FIXED 5.4
3620A2RN8
82170.910000
PA
USD
83656.730000
0.0086994
Long
ABS-MBS
USGSE
US
N
2
2039-06-20
Fixed
5.4
N
N
N
N
N
N
BEAR STEARNS ALT-A TRUST 2005-4
N/A
BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2
07386HSZ5
26544.070000
PA
USD
24898.910000
0.0025892
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
4.48795
N
N
N
N
N
N
RESIDENTIAL ASSET SECURITIES C 2005-KS5
N/A
RESIDENTIAL ASSET SECURITIES C RASC 2005 KS5 M6
76110WX27
306389.710000
PA
USD
296999.780000
0.0308849
Long
ABS-MBS
CORP
US
N
3
2035-06-25
Floating
6.17043
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 005164 G2 08/41 FIXED 5.5
36202FWZ5
167714.920000
PA
USD
167443.490000
0.0174124
Long
ABS-MBS
USGSE
US
N
2
2041-08-20
Fixed
5.5
N
N
N
N
N
N
DEUTSCHE BANK AG/NEW YORK BRANCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK NY 11/25 VAR
251526CB3
9000000.000000
PA
USD
8854437.060000
0.920771
Long
DBT
CORP
DE
N
2
2025-11-26
Floating
3.961
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA2313 FN 06/45 FIXED 4
31418BSB3
20103.420000
PA
USD
19542.720000
0.0020322
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-EA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2020 EA A 144A
63941TAA4
2099676.650000
PA
USD
1903243.080000
0.197918
Long
ABS-O
CORP
US
N
2
2069-05-15
Fixed
1.69
N
N
N
N
N
N
VOYA CLO LTD 2017-1A
N/A
VOYA CLO LTD VOYA 2017 1A A1R 144A
92916MAF8
3431720.740000
PA
USD
3429146.950000
0.356596
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Floating
6.61444
N
N
N
N
N
N
PRPM 2023-NQM3 TRUST
N/A
PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 NQM3 A1 144A
69380TAA9
700000.000000
PA
USD
703607.870000
0.073168
Long
ABS-MBS
CORP
US
N
2
2068-11-25
Fixed
6.221
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST 2023-P2
N/A
CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P2 A4 144A
14686TAD0
2500000.000000
PA
USD
2506541.500000
0.260655
Long
ABS-O
CORP
US
N
2
2029-03-12
Fixed
5.38
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL K30066 FG 06/47 FIXED 5.5
31302PCB8
51624.620000
PA
USD
51545.950000
0.0053602
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
5.5
N
N
N
N
N
N
GCAT 2022-HX1 TRUST
N/A
GCAT GCAT 2022 HX1 A1 144A
36168XAA7
1978725.170000
PA
USD
1770891.750000
0.184155
Long
ABS-MBS
CORP
US
N
2
2066-12-27
Variable
2.885
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SR UNSECURED 144A 01/25 VAR
09659W2G8
748000.000000
PA
USD
747944.890000
0.0777786
Long
DBT
CORP
FR
N
2
2025-01-10
Floating
4.705
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP10
N/A
CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP10 A1 144A
12597FAC4
959284.210000
PA
USD
959546.480000
0.099783
Long
ABS-MBS
CORP
US
N
2
2059-12-26
Fixed
3.08959
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
594183.980000
PA
USD
544215.130000
0.0565928
Long
ABS-O
CORP
US
N
2
2069-01-15
Fixed
1.31
N
N
N
N
N
N
BXMT 2020-FL3 LTD
N/A
BXMT LTD BXMT 2020 FL3 A 144A
05608XAA0
3198755.240000
PA
USD
3097696.490000
0.322129
Long
ABS-MBS
CORP
KY
N
2
2037-11-15
Floating
6.87629
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 535994 FN 06/31 FIXED VAR
31384WNK2
1004.540000
PA
USD
1039.630000
0.0001081
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
6
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES 2023-B OWNER TRUST
N/A
TOYOTA AUTO RECEIVABLES OWNER TAOT 2023 B A2A
891941AB2
5762400.890000
PA
USD
5754701.170000
0.59843
Long
ABS-O
CORP
US
N
2
2026-05-15
Fixed
5.28
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST 2023-A
N/A
WORLD OMNI AUTOMOBILE LEASE SE WOLS 2023 A A2A
981944AB7
4211304.340000
PA
USD
4210169.390000
0.437814
Long
ABS-O
CORP
US
N
2
2025-11-17
Fixed
5.47
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H09069 FG 09/37 FIXED 6.5
3128UNCE0
12866.470000
PA
USD
13226.980000
0.0013755
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.5
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-A
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2020 A A2A 144A
63941FAB2
703931.830000
PA
USD
659255.460000
0.0685558
Long
ABS-O
CORP
US
N
2
2068-11-15
Fixed
2.46
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 713199 FN 06/33 FIXED 5.5
31401NKL2
8531.860000
PA
USD
8598.950000
0.0008942
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 257393 FN 09/48 FIXED 6.5
31371N3A1
2292.030000
PA
USD
2247.860000
0.0002338
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
6.5
N
N
N
N
N
N
STRUCTURED ASSET MTG INV INC 2004-AR3
N/A
STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2
86359LBY4
2778.780000
PA
USD
2482.260000
0.0002581
Long
ABS-MBS
CORP
US
N
3
2034-07-19
Floating
6.05023
N
N
N
N
N
N
SYNCHRONY BANK (AKA: GE CAPITAL RETAIL BANK)
549300UATVPGSLE43Z27
SYNCHRONY BANK SR UNSECURED 08/25 5.4
87166FAD5
7200000.000000
PA
USD
7095942.430000
0.737905
Long
DBT
CORP
US
N
2
2025-08-22
Fixed
5.4
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NOTES 05/25 5.52
3134GYSQ6
15700000.000000
PA
USD
15694947.740000
1.63211
Long
DBT
USGSE
US
N
2
2025-05-28
Fixed
5.52
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPT LLC/CAP SR SECURED 02/24 4.5
161175BQ6
840000.000000
PA
USD
838675.210000
0.0872136
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.5
N
N
N
N
N
N
GSAA HOME EQUITY TRUST 2007-7
N/A
GSAA HOME EQUITY TRUST GSAA 2007 7 A4
36249BAD2
117681.950000
PA
USD
106129.600000
0.0110364
Long
ABS-MBS
CORP
US
N
3
2037-07-25
Floating
6.01043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H09152 FG 02/38 FIXED 6.5
3128UNEZ1
27005.120000
PA
USD
27731.290000
0.0028838
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.5
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
3700000.000000
PA
USD
3527703.580000
0.366845
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
6.42648
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM 2016-F LLC
N/A
SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 F A2 144A
78471AAB9
51736.020000
PA
USD
49370.220000
0.005134
Long
ABS-O
CORP
US
N
2
2040-02-25
Fixed
3.02
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2019-MH1
N/A
TOWD POINT MORTGAGE TRUST TPMT 2019 MH1 A1 144A
89177WAA7
28059.200000
PA
USD
27934.380000
0.0029049
Long
ABS-O
CORP
US
N
2
2058-11-25
Fixed
3
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NOTES 08/27 5.85
3134H1AA1
10000000.000000
PA
USD
10004108.500000
1.04032
Long
DBT
USGSE
US
N
2
2027-08-23
Fixed
5.85
N
N
N
N
N
N
MLCC MORTGAGE INVESTORS INC 2004-A
N/A
MLCC MORTGAGE INVESTORS INC MLCC 2004 A A1
59020UAR6
101763.940000
PA
USD
95042.540000
0.0098834
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
5.93043
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2015-BA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A
63939KAC3
1734640.820000
PA
USD
1741630.730000
0.181112
Long
ABS-O
CORP
US
N
2
2040-07-16
Floating
6.92629
N
N
N
N
N
N
VENTURE XXVI CLO LTD 2017-26A
N/A
VENTURE CDO LTD VENTR 2017 26A AR 144A
92331MAE8
651114.660000
PA
USD
651393.250000
0.0677382
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Floating
6.77743
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC SR UNSECURED 09/26 VAR
404280BW8
4850000.000000
PA
USD
4896683.290000
0.509205
Long
DBT
CORP
GB
N
2
2026-09-12
Floating
7.00765
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31465 FG 11/37 FIXED 5
31281BTW0
703.270000
PA
USD
716.330000
0.0000745
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM 2023-1S TRUST
N/A
SOFI CONSUMER LOAN PROGRAM TRU SCLP 2023 1S A 144A
83407EAA2
2623000.570000
PA
USD
2620002.740000
0.272453
Long
ABS-O
CORP
US
N
2
2031-05-15
Fixed
5.81
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N31138 FG 09/34 FIXED 5.5
31281BHP8
3668.720000
PA
USD
3777.210000
0.0003928
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 577852 FN 06/31 FIXED 6
31386Y5M2
15984.320000
PA
USD
15804.420000
0.0016435
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
6
N
N
N
N
N
N
N/A
N/A
BOUGHT AUD SOLD USD 20240109
000000000
1.000000
NC
70685.200000
0.0073505
N/A
DFE
AU
N
2
Australia and New Zealand Banking Group
JHE42UYNWWTJB8YTTU19
2423908.200000
USD
3660000.000000
AUD
2024-01-09
70685.200000
N
N
N
SYNCHRONY CARD ISSUANCE TRUST 2023-A1
N/A
SYNCHRONY CARD ISSUANCE TRUST SYNIT 2023 A1 A
87166PAK7
8000000.000000
PA
USD
8154693.600000
0.848004
Long
ABS-MBS
CORP
US
N
2
2029-07-15
Fixed
5.54
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/24 3.125
45262BAA1
8100000.000000
PA
USD
7968488.720000
0.828641
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.125
N
N
N
N
N
N
FIRST FRANKLIN MTG LOAN 2006-FF5
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A3
32027EAE1
1075944.000000
PA
USD
1035784.180000
0.107711
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.79043
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL BK5879 G2 11/48 FIXED 4.5
3617J6Q80
67678.840000
PA
USD
66047.930000
0.0068683
Long
ABS-MBS
USGSE
US
N
2
2048-11-20
Fixed
4.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL K30023 FG 02/47 FIXED 5.5
31302PAY0
65207.720000
PA
USD
65108.290000
0.0067706
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
5.5
N
N
N
N
N
N
AREIT TRUST 2022-CRE7
N/A
AREIT CRE TRUST AREIT 2022 CRE7 A 144A
00217VAA8
7200000.000000
PA
USD
7238317.680000
0.752711
Long
ABS-MBS
CORP
US
N
2
2039-06-17
Floating
7.60025
N
N
N
N
N
N
NEW CENTURY HOME EQUITY LOAN TR 2004-3
N/A
NEW CENTURY HOME EQUITY LOAN T NCHET 2004 3 M1
64352VHV6
339374.820000
PA
USD
332262.370000
0.0345519
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
6.40043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P51262 FG 02/37 FIXED 5.5
3128C6MK2
56652.460000
PA
USD
56545.950000
0.0058802
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.5
N
N
N
N
N
N
FIRST FRANKLIN MTG LN ASSET CER 2004-FF1
N/A
FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF1 M1
32027NGC9
93876.710000
PA
USD
91087.140000
0.0094721
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
6.22043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL G80365 FG 10/38 FIXED 6.5
31335PMN2
39257.020000
PA
USD
40309.760000
0.0041918
Long
ABS-MBS
USGSE
US
N
2
2038-10-17
Fixed
6.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL MA1253 FN 11/42 FIXED 4
31418AMB1
114537.680000
PA
USD
111345.510000
0.0115788
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4
N
N
N
N
N
N
BANK OF AMERICA AUTO TRUST 2023-1A
N/A
BANK OF AMERICA AUTO TRUST BAAT 2023 1A A3 144A
06428AAC2
3600000.000000
PA
USD
3644092.800000
0.378948
Long
ABS-O
CORP
US
N
2
2028-02-15
Fixed
5.53
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2020-IA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1B 144A
63942AAB2
1661119.810000
PA
USD
1646582.190000
0.171228
Long
ABS-O
CORP
US
N
2
2069-04-15
Floating
6.47629
N
N
N
N
N
N
MF1 2020-FL4 LTD
N/A
MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A
58003UAA6
1022632.880000
PA
USD
1021694.100000
0.106246
Long
ABS-CBDO
CORP
US
N
2
2035-11-15
Floating
7.17629
N
N
N
N
N
N
GCT COMMERCIAL MORTGAGE TRUST 2021-GCT
N/A
GCT COMMERCIAL MORTGAGE TRUST GCT 2021 GCT A 144A
36167RAA1
800000.000000
PA
USD
601679.440000
0.0625685
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
6.27648
N
N
N
N
N
N
ILLUMINA INC
SQ95QG8SR5Q56LSNF682
ILLUMINA INC SR UNSECURED 12/25 5.8
452327AN9
1700000.000000
PA
USD
1706932.210000
0.177503
Long
DBT
CORP
US
N
2
2025-12-12
Fixed
5.8
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 924068 FN 05/37 FIXED 6.5
31412FTZ6
18320.870000
PA
USD
18309.170000
0.001904
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.5
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-17
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2020 17 EU
38382CP47
120052.610000
PA
USD
106472.670000
0.0110721
Long
ABS-MBS
USGSE
US
N
2
2049-10-20
Fixed
2.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL N30959 FG 03/33 FIXED 5
31281BB41
301.940000
PA
USD
307.520000
0.000032
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
5
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-GA
N/A
NAVIENT STUDENT LOAN TRUST NAVSL 2020 GA A 144A
63941UAA1
1553065.770000
PA
USD
1391013.610000
0.144651
Long
ABS-O
CORP
US
N
2
2069-09-16
Fixed
1.17
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H12
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H12 FA
38382Y5K5
11320727.490000
PA
USD
11336841.410000
1.17891
Long
ABS-MBS
USGSE
US
N
2
2073-05-20
Floating
6.33774
N
N
N
N
N
N
TOWD POINT ASSET TRUST 2021-SL1
N/A
TOWD POINT ASSET TRUST TPAT 2021 SL1 A2 144A
89179XAL9
1188793.320000
PA
USD
1164269.580000
0.121072
Long
ABS-O
CORP
US
N
2
2061-11-20
Floating
6.1724
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 944066 FN 07/37 FIXED 6.5
31413FJK9
672.140000
PA
USD
671.940000
0.0000699
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.5
N
N
N
N
N
N
CHASE MORTGAGE FINANCE CORP 2007-A1
N/A
CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 8A1
161630AW8
320837.880000
PA
USD
301722.760000
0.0313761
Long
ABS-MBS
CORP
US
N
3
2037-02-25
Floating
5.81281
N
N
N
N
N
N
BEAR STEARNS ASSETBK SEC 2005-AQ2
N/A
BEAR STEARNS ASSET BACKED SECU BSABS 2005 AQ2 M1
0738792V9
732374.770000
PA
USD
728450.120000
0.0757513
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
6.20543
N
N
N
N
N
N
IMPAC CMB TR 2004-10
N/A
IMPAC CMB TRUST IMM 2004 10 1A1
45254NLJ4
72958.890000
PA
USD
64556.620000
0.0067132
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
6.11043
N
N
N
N
N
N
CHEVY CHASE MTGE FUNDING CORP 2004-3A
N/A
CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A2 144A
16678RBV8
18404.460000
PA
USD
16838.250000
0.001751
Long
ABS-MBS
CORP
US
N
3
2035-08-25
Floating
5.77043
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-1
N/A
GM FINANCIAL SECURITIZED TERM GMCAR 2023 1 A2B
38013JAC7
3840861.060000
PA
USD
3846373.460000
0.399983
Long
ABS-O
CORP
US
N
2
2026-03-16
Floating
5.9581
N
N
N
N
N
N
ONSLOW BAY MORTGAGE LOAN TRUST 2021-NQM4
N/A
ONSLOW BAY FINANCIAL LLC OBX 2021 NQM4 A1 144A
67115DAA0
228472.790000
PA
USD
187587.540000
0.0195072
Long
ABS-MBS
CORP
US
N
2
2061-10-25
Fixed
1.957
N
N
N
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
1544006.730000
PA
USD
1544006.730000
0.160561
Long
RA
US
N
2
Repurchase
N
2.600000
2024-01-02
1587700.000000
USD
1574923.970000
USD
UST
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC SR UNSECURED REGS 01/25 VAR
ACI1TZM67
1000000.000000
PA
USD
998826.000000
0.103868
Long
DBT
CORP
GB
N
2
2025-01-12
Floating
0.991
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC SR UNSECURED 08/25 4.134
345397XL2
2500000.000000
PA
USD
2431406.950000
0.252841
Long
DBT
CORP
US
N
2
2025-08-04
Fixed
4.134
N
N
N
N
N
N
MOUNTAIN VIEW CLO LLC 2017-1A
N/A
MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A
62432HAJ9
115891.260000
PA
USD
115924.790000
0.012055
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 P51237 FG 11/36 FIXED 6.5
3128C6LS6
46313.130000
PA
USD
47498.550000
0.0049394
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.5
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2018-3
N/A
TOWD POINT MORTGAGE TRUST TPMT 2018 3 A1 144A
89175MAA1
2041892.480000
PA
USD
1975243.070000
0.205405
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Variable
3.75
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H00962 FG 07/37 FIXED 6.5
3128MTB72
23766.340000
PA
USD
23792.910000
0.0024742
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 596705 FN 04/32 FIXED 6
31387W3N5
9222.620000
PA
USD
9315.520000
0.0009687
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
6
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 07/25 VAR
53944YAL7
672000.000000
PA
USD
665783.670000
0.0692347
Long
DBT
CORP
GB
N
2
2025-07-09
Floating
3.87
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 973542 FN 03/38 FIXED 5.5
31414RBK0
7344.580000
PA
USD
7284.910000
0.0007576
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.5
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-MHC
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 MHC A 144A
466330AA5
944896.850000
PA
USD
937058.650000
0.0974445
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
6.27648
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-KEYS
N/A
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2021 KEYS A 144A
17291GAA4
1950000.000000
PA
USD
1918581.410000
0.199513
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
6.65648
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 257044 FN 01/38 FIXED 6
31371NP58
1811.220000
PA
USD
1856.230000
0.000193
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 256809 FN 07/37 FIXED 6
31371NGS8
9952.030000
PA
USD
10190.720000
0.0010597
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6
N
N
N
N
N
N
N/A
N/A
CDX IG41 5Y ICE
000000000
1.000000
NC
USD
-1551493.250000
-0.161339
N/A
DCR
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
N/A
CDX.NA.IG.41
Y
Single Leg Swap
2028-12-20
0.000000
USD
-979913.200000
USD
78500000.000000
USD
-571580.050000
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A9 144A
36263KAJ0
2481510.130000
PA
USD
2296984.040000
0.238863
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Floating
5
N
N
N
N
N
N
GOLDEN CREDIT CARD TRUST 2022-4A
N/A
GOLDEN CREDIT CARD TRUST GCCT 2022 4A A 144A
380881FP2
10000000.000000
PA
USD
9886683.000000
1.02811
Long
ABS-MBS
CORP
CA
N
2
2027-09-15
Fixed
4.31
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL T30133 FG 07/37 FIXED 5.55
31286DEE7
24587.340000
PA
USD
25407.210000
0.0026421
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.55
N
N
N
N
N
N
VENTURE CDO LTD 2016-25A
N/A
VENTURE CDO LTD VENTR 2016 25A ARR 144A
92329VAS1
446407.770000
PA
USD
446768.400000
0.0464593
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
6.69743
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC 2023-1
N/A
ENTERPRISE FLEET FINANCING LLC EFF 2023 1 A2 144A
29375CAB5
6874279.790000
PA
USD
6883797.920000
0.715844
Long
ABS-O
CORP
US
N
2
2029-01-22
Fixed
5.51
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA POOL 672173 GN 09/37 FIXED 5.35
36295JXA9
26644.140000
PA
USD
26938.010000
0.0028013
Long
ABS-MBS
USGSE
US
N
2
2037-09-15
Fixed
5.35
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2
N/A
GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR2 A9 144A
36262JAJ4
4117624.680000
PA
USD
3811719.750000
0.39638
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Floating
5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 801506 FN 09/34 FIXED 4.75
31405WNX9
33349.880000
PA
USD
33367.920000
0.0034699
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
4.75
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
64630.890000
PA
USD
63373.810000
0.0065902
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
6.28043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H00259 FG 04/35 FIXED 5.5
3128MSJC5
1911.530000
PA
USD
1899.070000
0.0001975
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 871039 FN 02/37 FIXED 5.5
31409GV86
4798.180000
PA
USD
4803.170000
0.0004995
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.5
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA TOWER TRUST SBAC 2014 2A C 144A
78403DAH3
1000000.000000
PA
USD
983466.400000
0.10227
Long
DBT
CORP
US
N
2
2049-10-15
Fixed
3.869
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 995092 FN 12/37 FIXED VAR
31416BNH7
83802.910000
PA
USD
86417.970000
0.0089866
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.5
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL H09070 FG 09/37 FIXED 6.5
3128UNCF7
17820.240000
PA
USD
18072.360000
0.0018793
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.5
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2B 144A
78449VAC0
2006097.140000
PA
USD
1980503.550000
0.205952
Long
ABS-O
CORP
US
N
2
2054-09-15
Floating
6.32043
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
2415799.600000
PA
USD
2413600.330000
0.25099
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
6.67548
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP SR UNSECURED 07/26 VAR
06051GLA5
5000000.000000
PA
USD
4964417.450000
0.516248
Long
DBT
CORP
US
N
2
2026-07-22
Floating
4.827
N
N
N
N
N
N
N/A
N/A
BOUGHT JPY SOLD USD 20240109
000000000
1.000000
NC
64834.160000
0.0067421
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
1401687.000000
USD
206649172.000000
JPY
2024-01-09
64834.160000
N
N
N
NOVASTAR HOME EQUITY LOAN 2005-4
N/A
NOVASTAR HOME EQUITY LOAN NHEL 2005 4 M1
66987WDE4
218151.310000
PA
USD
214412.920000
0.0222967
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.90656
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12
N/A
JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A
46651QAA5
634904.590000
PA
USD
519176.280000
0.053989
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Floating
6.85901
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL P50485 FG 05/35 FIXED 5.5
31288LRE3
6690.710000
PA
USD
6622.310000
0.0006887
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.5
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST 2020-A
N/A
SMB PRIVATE EDUCATION LOAN TRU SMB 2020 A A2A 144A
78449UAB4
1500694.010000
PA
USD
1394216.470000
0.144984
Long
ABS-O
CORP
US
N
2
2037-09-15
Fixed
2.23
N
N
N
N
N
N
GNMA PASS THRU POOLS
N/A
GNMA II POOL 004239 G2 09/38 FIXED 6
36202EV89
38489.620000
PA
USD
39334.770000
0.0040904
Long
ABS-MBS
USGSE
US
N
2
2038-09-20
Fixed
6
N
N
N
N
N
N
CITIZENS AUTO RECEIVABLES TRUST 2023-2
N/A
CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 2 A3 144A
17295FAD6
5000000.000000
PA
USD
5074006.000000
0.527644
Long
ABS-O
CORP
US
N
2
2028-02-15
Fixed
5.83
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AW1120 FN 11/34 FIXED 5
3138XQG62
441210.210000
PA
USD
436951.990000
0.0454385
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5
N
N
N
N
N
N
DRYDEN 47 SENIOR LOAN FUND 2017-47A
N/A
DRYDEN SENIOR LOAN FUND DRSLF 2017 47A A1R 144A
26245EAJ8
1500497.270000
PA
USD
1501933.650000
0.156186
Long
ABS-CBDO
CORP
KY
N
2
2028-04-15
Floating
6.63548
N
N
N
N
N
N
ENEL FINANCE INTERNATIONAL NV
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTL NV COMPANY GUAR 144A 10/25 6.8
29278GAZ1
2500000.000000
PA
USD
2564243.130000
0.266655
Long
DBT
CORP
NL
N
2
2025-10-14
Fixed
6.8
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE SR UNSECURED 144A 01/25 2.625
83368RAV4
6824000.000000
PA
USD
6616584.790000
0.688057
Long
DBT
CORP
FR
N
2
2025-01-22
Fixed
2.625
N
N
N
N
N
N
WASHINGTON MUTUAL 2005-AR2
N/A
WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A
92922FD21
6679.080000
PA
USD
6467.350000
0.0006725
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
6.09043
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-A
N/A
HYUNDAI AUTO LEASE SECURITIZAT HALST 2023 A A2A 144A
44933VAB7
4315379.080000
PA
USD
4310337.850000
0.448231
Long
ABS-O
CORP
US
N
2
2025-04-15
Fixed
5.2
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC SR UNSECURED 08/26 VAR
53944YAT0
3000000.000000
PA
USD
2962548.870000
0.308075
Long
DBT
CORP
GB
N
2
2026-08-11
Floating
4.716
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES 2022-D OWNER TRUST
N/A
TOYOTA AUTO RECEIVABLES OWNER TAOT 2022 D A2A
89239HAB4
3007652.380000
PA
USD
3005378.290000
0.312528
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
5.27
N
N
N
N
N
N
MORGAN STANLEY MORTGAGE TRUST-2005-6AR
N/A
MORGAN STANLEY MORTGAGE LOAN T MSM 2005 6AR 1M6
61748HNB3
755000.000000
PA
USD
749325.500000
0.0779222
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
6.55043
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 254670 FN 02/33 FIXED 5.5
31371K2B6
368.690000
PA
USD
369.790000
0.0000385
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
5.5
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/25 4.95
694308KE6
3500000.000000
PA
USD
3479717.640000
0.361855
Long
DBT
CORP
US
N
2
2025-06-08
Fixed
4.95
N
N
N
N
N
N
2024-02-21
PIMCO ETF Trust
/s/ Bijal Parikh
Bijal Parikh
Treasurer