0001752724-23-171488.txt : 20230810
0001752724-23-171488.hdr.sgml : 20230810
20230810135008
ACCESSION NUMBER: 0001752724-23-171488
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230630
FILED AS OF DATE: 20230810
DATE AS OF CHANGE: 20230810
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: TCW STRATEGIC INCOME FUND INC
CENTRAL INDEX KEY: 0000809559
IRS NUMBER: 930939398
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04980
FILM NUMBER: 231158452
BUSINESS ADDRESS:
STREET 1: 865 S FIGUEROA ST STE 1800
CITY: LOS ANGELES
STATE: CA
ZIP: 90017
BUSINESS PHONE: 2132440000
MAIL ADDRESS:
STREET 1: 865 S. FIGUEROA STREET,
STREET 2: SUITE 1800
CITY: LOS ANGELES
STATE: CA
ZIP: 90017
FORMER COMPANY:
FORMER CONFORMED NAME: TCW CONVERTIBLE SECURITIES FUND INC
DATE OF NAME CHANGE: 19920703
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000809559
XXXXXXXX
TCW STRATEGIC INCOME FUND INC
811-04980
0000809559
54930062BZFVP7F6WJ47
865 S FIGUEROA ST
SUITE 1800
LOS ANGELES
90017
213-244-0000
TCW STRATEGIC INCOME FUND INC
54930062BZFVP7F6WJ47
2023-12-31
2023-06-30
N
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53870447.01
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
3066179.69000000
0.00000000
0.00000000
2409003.21000000
EUR
USD
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CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
300000.00000000
PA
USD
236250.00000000
0.098708457553
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
Deutsche Alt-A Securities INC Mortgage Loan Trust
N/A
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6
25150RAF2
298630.54000000
PA
USD
257188.74000000
0.107456947410
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.53000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEF8
190000.00000000
PA
USD
143862.30000000
0.060107622150
Long
DBT
CORP
US
N
2
2036-09-16
Fixed
2.48000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-3
07386HSN2
197778.62000000
PA
USD
194566.52000000
0.081292533675
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
3.76000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCB0
425000.00000000
PA
USD
381964.50000000
0.159589954011
Long
DBT
CORP
US
N
2
2027-04-22
Fixed
1.58000000
N
N
N
N
N
N
Alabama Economic Settlement Authority
N/A
ALABAMA ECON SETTLEMENT AUTH BP SETTLEMENT REVENUE
01026CAD3
705000.00000000
PA
USD
671936.21000000
0.280744071380
Long
DBT
MUN
US
N
2
2032-09-15
Fixed
4.26000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE SEP23
000000000
-5.00000000
NC
9701.61000000
0.004053464376
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
CME 1 Year Mid-Curve 3 Month Eurodollar Option
OEU3 Comdty
2023-09-07
-587442.40000000
EUR
9701.61000000
N
N
N
British American Tobacco PLC
213800FKA5MF17RJKT63
British American Tobacco PLC
110448107
15706.00000000
NS
USD
521439.20000000
0.217864377312
Long
EC
CORP
GB
N
1
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BK6
180000.00000000
PA
USD
176806.80000000
0.073872281536
Long
DBT
CORP
GB
N
2
2025-03-22
Fixed
4.27000000
N
N
N
N
N
N
Greenpoint Manufactured Housing
N/A
Greenpoint Manufactured Housing
395383AN2
446326.71000000
PA
USD
323654.88000000
0.135227403109
Long
ABS-O
CORP
US
N
2
2030-03-20
Variable
8.14000000
N
N
N
N
N
N
Farmers Exchange Capital
N/A
Farmers Exchange Capital
309588AC5
500000.00000000
PA
USD
504358.22000000
0.210727711961
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
7.05000000
N
N
N
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
400000.00000000
PA
USD
23000.00000000
0.009609712269
Long
DBT
CORP
KY
Y
3
2024-02-08
Fixed
6.35000000
N
Y
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2012-GCJ7
36192KAA5
304967.34000000
PA
USD
1251.34000000
0.000522826841
Long
ABS-MBS
CORP
US
N
2
2045-05-10
Variable
0.82000000
N
N
N
N
N
N
Wells Fargo Alternative Loan Trust
N/A
Wells Fargo Alternative Loan 2007-PA2 Trust
94985FAH1
1370680.58000000
PA
USD
97845.90000000
0.040881345468
Long
ABS-MBS
CORP
US
N
3
2037-06-25
Floating
0.92000000
N
N
N
N
N
N
COMERICA INC
I9Q57JVPWHHZ3ZGBW498
Comerica Inc
200340AU1
395000.00000000
PA
USD
328384.15000000
0.137203356324
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
5.63000000
N
N
N
N
N
N
EVERI HOLDINGS INC
5299006DK5S7BG10K532
Everi Holdings Inc
30034TAA1
275000.00000000
PA
USD
242000.00000000
0.101110885621
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754AAJ2
1000000.00000000
PA
USD
972046.81000000
0.406134354646
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
10.57000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CG2
105000.00000000
PA
USD
86451.75000000
0.036120714900
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.63000000
N
N
N
N
N
N
CHNGE Mortgage Trust
N/A
CHNGE Mortgage Trust 2023-1
12547QAB3
460000.00000000
PA
USD
456228.05000000
0.190618273474
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
8.41000000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-55HY Mortgage Trust
44421MAN0
150000.00000000
PA
USD
98942.77000000
0.041339632646
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Variable
3.04000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2023-P2
14686TAK4
2000.00000000
PA
USD
462235.64000000
0.193128326141
Long
ABS-O
CORP
US
N
2
2030-06-10
None
0.00000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAN5
1095000.00000000
PA
USD
1048823.85000000
0.438212844356
Long
DBT
CORP
GB
N
2
2025-03-15
Fixed
1.09000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2005-11
17307GW79
180872.09000000
PA
USD
176748.06000000
0.073847739167
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
5.41000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR7 Trust
74333PAL1
1451000.00000000
PA
USD
1147601.41000000
0.479483450022
Long
ABS-O
CORP
US
N
2
2040-08-17
Fixed
2.64000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2019-FAME
63873VAL7
835000.00000000
PA
USD
591904.86000000
0.247305886769
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Variable
4.54000000
N
N
N
N
N
N
Santander Consumer Auto Receivables Trust
N/A
Santander Consumer Auto Receivables Trust 2021-C
80281HAD6
5500.00000000
PA
USD
631943.54000000
0.264034590876
Long
ABS-O
CORP
US
N
2
2028-06-15
None
0.00000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2014-C24
92939KAH1
5083862.71000000
PA
USD
37939.85000000
0.015851784437
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
0.98000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3C3
425000.00000000
PA
USD
342698.75000000
0.143184190552
Long
DBT
CORP
US
N
2
2028-08-19
Fixed
1.99000000
N
N
N
N
N
N
PIKE CORP
549300P4EKEP6HK0NC58
Pike Corp
721283AA7
225000.00000000
PA
USD
202230.92000000
0.084494824054
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.50000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAA4
325000.00000000
PA
USD
236630.79000000
0.098867556785
Long
DBT
US
N
2
2027-11-01
Fixed
3.95000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAU7
300000.00000000
PA
USD
280937.88000000
0.117379660542
Long
DBT
CORP
GB
N
2
2033-08-11
Fixed
4.98000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS2 Trust
74923CAJ1
6265061.71000000
PA
USD
63651.77000000
0.026594573702
Long
ABS-MBS
CORP
US
N
3
2037-01-25
Variable
0.32000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IT1PBTE7DAT80
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBE8
1175000.00000000
PA
USD
1041909.85000000
0.435324081285
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Floating
9.82000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BV30
1119678.98000000
PA
USD
16873.70000000
0.007050060953
Long
ABS-MBS
USGA
US
N
2
2053-02-16
Variable
0.55000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CH0
145000.00000000
PA
USD
121358.52000000
0.050705237334
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.55000000
N
N
N
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAA4
250000.00000000
PA
USD
240363.58000000
0.100427167127
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
5.50000000
N
N
N
N
N
N
Berry Global Inc
549300AP2Q7ERHX6RI89
Berry Global Inc
085770AA3
85000.00000000
PA
USD
81782.75000000
0.034169943310
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
4.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396VS66
40358.40000000
PA
USD
2752.05000000
0.001149843854
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
Floating
0.96000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-P3
14686MAK9
2900.00000000
PA
USD
509393.89000000
0.212831683256
Long
ABS-O
CORP
US
N
2
2029-09-10
None
0.00000000
N
N
N
N
N
N
JP Morgan ReRemic
N/A
JP Morgan Resecuritization Trust Series 2015-4
46645AAJ0
3080453.64000000
PA
USD
1382561.07000000
0.577652786005
Long
ABS-MBS
CORP
US
N
2
2047-06-26
Variable
3.91000000
N
N
N
N
N
N
OCP CLO Ltd
N/A
OCP CLO 2023-28 Ltd
670891AG5
700000.00000000
PA
USD
702625.00000000
0.293566264502
Long
ABS-CBDO
CORP
JE
N
2
2036-07-16
Floating
0.00000000
N
N
N
N
N
N
Asset Backed Securities Corp Home Equity Ln Trst
N/A
Asset Backed Securities Corp Home Equity Loan Trust Series RFC 2007-HE1
04544RAS4
284509.63000000
PA
USD
271046.98000000
0.113247108234
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
3.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB
46651EAA2
585000.00000000
PA
USD
506297.26000000
0.211537869199
Long
ABS-MBS
CORP
US
N
2
2039-06-05
Fixed
3.40000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
423074AF0
210000.00000000
PA
USD
221503.27000000
0.092547073544
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
6.38000000
N
N
N
N
N
N
Merrill Lynch First Franklin Mortgage Loan Trust
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3
59024VAF6
458107.35000000
PA
USD
419599.28000000
0.175314276061
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
5.41000000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2007-3
80557BAE4
2926000.00000000
PA
USD
2321999.28000000
0.970162824846
Long
ABS-O
CORP
US
N
2
2047-09-25
Floating
5.64000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-3 Trust
058931BF2
100815.54000000
PA
USD
87086.00000000
0.036385713162
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYG3
1350000.00000000
PA
USD
1187649.00000000
0.496215876848
Long
DBT
CORP
US
N
2
2027-09-10
Fixed
1.54000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
135000.00000000
PA
USD
99485.27000000
0.041566296512
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
Academic Loan Funding Trust
N/A
Academic Loan Funding Trust 2012-1
00400V206
3368.00000000
PA
USD
639920.00000000
0.267367264160
Long
ABS-O
CORP
US
N
3
2044-12-27
None
0.00000000
N
N
N
N
N
N
EDGEWELL PERSONAL CARE
549300CY8QZDL4Z3RU59
Edgewell Personal Care Co
28035QAA0
133000.00000000
PA
USD
126379.26000000
0.052802970672
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.50000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QA10 Trust
74922NAB5
376751.91000000
PA
USD
308108.47000000
0.128731901938
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.51000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWFCME039 IRS USD R V 12MSOFR SWFCME039_FLO CCPOIS / Short: BWFCME039 IRS USD P F 3.00000 SWFCME039_FIX CCPOIS
000000000
740000.00000000
OU
Notional Amount
USD
20659.25000000
0.008631715139
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2053-09-20
0.00000000
USD
0.00000000
USD
740000.00000000
USD
20659.25000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWGL8
2837852.85000000
PA
USD
75058.80000000
0.031360585709
Long
ABS-MBS
USGSE
US
N
2
2027-05-25
Variable
1.81000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE18 Mortgage Trust
12632QAY9
4828954.09000000
PA
USD
24540.50000000
0.010253354085
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
1.08000000
N
N
N
N
N
N
AXALTA COAT/DUTCH HLD BV
N/A
Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV
05454NAA7
135000.00000000
PA
USD
128418.75000000
0.053655097284
Long
DBT
CORP
XX
N
2
2027-06-15
Fixed
4.75000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCA1
905000.00000000
PA
USD
685401.75000000
0.286370156813
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325EF8
200000.00000000
PA
USD
204100.00000000
0.085275751054
Long
DBT
NUSS
CO
N
2
2033-04-20
Fixed
8.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWFCME038 IRS USD R V 12MSOFR SWFCME038_FLO CCPOIS / Short: BWFCME038 IRS USD P F 3.00000 SWFCME038_FIX CCPOIS
000000000
723000.00000000
OU
Notional Amount
USD
20184.64000000
0.008433416637
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2053-09-20
0.00000000
USD
0.00000000
USD
723000.00000000
USD
20184.64000000
N
N
N
Gracechurch Mortgage Finance Plc
N/A
Grace Trust 2020-GRCE
38406JAC2
10620000.00000000
PA
USD
200625.08000000
0.083823882300
Long
ABS-MBS
CORP
US
N
2
2040-12-10
Variable
0.39000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR13
45661XAF9
226908.22000000
PA
USD
2.28000000
0.000000952614
Long
ABS-MBS
CORP
US
N
3
2036-07-25
Variable
0.57000000
N
N
N
N
N
N
SLM Student Loan Trust
549300SRMXHPGI3BJ386
SLM Student Loan Trust 2008-5
78444YAE5
260000.00000000
PA
USD
253681.74000000
0.105991675195
Long
ABS-O
CORP
US
N
2
2073-07-25
Floating
7.11000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYJ7
205000.00000000
PA
USD
164338.25000000
0.068662752061
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.38000000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
Molina Healthcare Inc
60855RAL4
175000.00000000
PA
USD
146882.75000000
0.061369607169
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
3.88000000
N
N
N
N
N
N
Cedar Funding Ltd
254900Q56WTD2BRLBE32
Cedar Funding II CLO Ltd
15032TBG0
700000.00000000
PA
USD
670180.00000000
0.280010302998
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
6.60000000
N
N
N
N
N
N
FED HOME LN DISCOUNT NT
2549001DPIFGXC1TOL40
Federal Home Loan Bank Discount Notes
313384KE8
5000000.00000000
PA
USD
4974636.75000000
2.078470774532
Long
DBT
USGSE
US
N
2
2023-08-09
None
0.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CK8
355000.00000000
PA
USD
286928.63000000
0.119882677228
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
5.25000000
N
N
N
N
N
N
PRESTIGE BRANDS INC
549300JBVP4J6D42I235
Prestige Brands Inc
74112BAM7
445000.00000000
PA
USD
369009.33000000
0.154177108094
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.75000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
450000.00000000
PA
USD
383836.50000000
0.160372101028
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.70000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-F
00969PAB9
1300000.00000000
PA
USD
1182769.77000000
0.494177268309
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.50000000
N
N
N
N
N
N
MFT Trust
N/A
MFT Trust 2020-ABC
55317BAG2
175000.00000000
PA
USD
112981.51000000
0.047205208822
Long
ABS-MBS
CORP
US
N
2
2042-02-10
Variable
3.59000000
N
N
N
N
N
N
Taurus CMBS
635400SG2ZVJCYHITE32
Taurus 2021-1 UK DAC
000000000
665114.90000000
PA
789895.02000000
0.330028863719
Long
ABS-MBS
CORP
IE
Y
2
2031-05-17
Floating
8.37000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISM9M3KNO6J64
Freddie Mac STACR REMIC Trust 2021-HQA2
35564KFV6
900000.00000000
PA
USD
862378.52000000
0.360313454123
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
Floating
7.12000000
N
N
N
N
N
N
ESC CB144A INTELSAT JA
N/A
ESC CB144A INTELSAT JA
458ESCAB6
535000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
LU
N
3
2024-10-15
None
0.00000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAQ8
55000.00000000
PA
USD
47659.70000000
0.019912869733
Long
DBT
CORP
GB
N
2
2027-06-14
Fixed
1.67000000
N
N
N
N
N
N
HARVEST COMMERCIAL CAPITAL LOAN TRUST
N/A
Harvest Commercial Capital Loan Trust 2019-1
41753CAA4
187813.96000000
PA
USD
179926.38000000
0.075175684415
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Variable
3.29000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962GX74
2400000.00000000
PA
USD
2113384.44000000
0.883000712341
Long
DBT
CORP
US
N
2
2036-08-15
Floating
5.80000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746101
19525.00000000
NS
USD
833327.00000000
0.348175334636
Long
EC
CORP
US
N
1
N
N
N
SFAVE Commercial Mortgage Securities Trust
549300FIGODFFTOAAU64
SFAVE Commercial Mortgage Securities Trust 2015-5AVE
78413MAC2
805000.00000000
PA
USD
569948.05000000
0.238132033444
Long
ABS-MBS
CORP
US
N
2
2043-01-05
Variable
3.66000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379EFX5
4329862.98000000
PA
USD
325247.62000000
0.135892871505
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Floating
0.45000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1046.58000000
0.000437275333
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
103000.00000000
EUR
113467.90000000
USD
2023-07-14
1046.58000000
N
N
N
Qwest Corp
549300R2L4N683OO1509
Qwest Corp
912920AK1
250000.00000000
PA
USD
243750.00000000
0.101842059380
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
7.25000000
N
N
N
N
N
N
REPUBLIC OF POLAND
259400R9L8QEP0TPXS31
Republic of Poland Government International Bond
731011AV4
240000.00000000
PA
USD
236064.00000000
0.098630744228
Long
DBT
NUSS
PL
N
2
2033-10-04
Fixed
4.88000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR3 Trust
001807AE6
1000000.00000000
PA
USD
905640.20000000
0.378388771389
Long
ABS-O
CORP
US
N
2
2037-09-17
Fixed
2.56000000
N
N
N
N
N
N
AGNC Investment Corp
5TRACI5HRMELWV32OF39
AGNC Investment Corp
00123Q104
144641.00000000
NS
USD
1465213.33000000
0.612186022398
Long
EC
US
N
1
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AL5
10000.00000000
PA
USD
8480.21000000
0.003543146873
Long
DBT
CORP
US
N
2
2048-09-26
Fixed
5.00000000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
J.G. Wentworth XXXVIII LLC
46620JAA9
186396.40000000
PA
USD
163336.80000000
0.068244332655
Long
ABS-O
CORP
US
N
2
2060-08-16
Fixed
3.99000000
N
N
N
N
N
N
UNIFRAX ESCROW ISS CORP
549300RRU6BWJLD0YT71
ASP Unifrax Holdings Inc
90473LAA0
280000.00000000
PA
USD
202602.40000000
0.084650033442
Long
DBT
CORP
US
N
2
2028-09-30
Fixed
5.25000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CV9
1075000.00000000
PA
USD
900936.00000000
0.376423292760
Long
DBT
CORP
GB
N
2
2029-08-17
Fixed
2.21000000
N
N
N
N
N
N
REPUBLIC OF GUATEMALA
529900QKDFFU9UWW5315
Guatemala Government Bond
000000000
200000.00000000
PA
USD
161720.00000000
0.067568811663
Long
DBT
NUSS
GT
Y
2
2033-10-07
Fixed
3.70000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDF6
130000.00000000
PA
USD
80730.00000000
0.033730090066
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
Apidos CLO Ltd
549300OGB01ASKLNI660
Apidos CLO XXXVII
03769HAC1
725000.00000000
PA
USD
704881.25000000
0.294508956385
Long
ABS-CBDO
CORP
KY
N
2
2034-10-22
Floating
6.87000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR1
12565YAA5
836715.25000000
PA
USD
809346.96000000
0.338156148349
Long
ABS-MBS
CORP
US
N
2
2055-07-25
Variable
2.57000000
N
N
N
N
N
N
Redwood Trust Inc
DRBV4N1ERQLEMIF11G78
Redwood Trust Inc
758075402
61963.00000000
NS
USD
394704.31000000
0.164912819597
Long
EC
US
N
1
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CC2
200000.00000000
PA
USD
177700.00000000
0.074245472623
Long
DBT
NUSS
BR
N
2
2030-06-12
Fixed
3.88000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-7
52520QAQ7
2888710.93000000
PA
USD
295954.93000000
0.123653987918
Long
ABS-MBS
CORP
US
N
3
2036-11-25
Floating
1.40000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-2021.68000000
-0.00084468535
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
80000.00000000
GBP
99692.00000000
USD
2023-07-14
-2021.68000000
N
N
N
Merrill Lynch Alternative Note Asset
N/A
Merrill Lynch Alternative Note Asset Trust Series 2007-OAR2
59024BAB9
600593.19000000
PA
USD
510474.48000000
0.213283168429
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.57000000
N
N
N
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp
62886EBA5
315000.00000000
PA
USD
279486.90000000
0.116773421398
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.13000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BTAF8
2500000.00000000
PA
USD
139059.00000000
0.058100738196
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Variable
1.96000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374M7D5
824596.77000000
PA
USD
73534.98000000
0.030723913024
Long
ABS-MBS
USGA
US
N
2
2036-07-20
Floating
1.45000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102CC9
80000.00000000
PA
USD
63000.00000000
0.026322255347
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.38000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAB2
25000.00000000
PA
USD
24001.25000000
0.010028048113
Long
DBT
CORP
XX
N
2
2030-01-15
Fixed
5.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CM9
285000.00000000
PA
USD
251674.80000000
0.105153148415
Long
DBT
CORP
GB
N
2
2027-05-24
Fixed
1.59000000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AD5
340000.00000000
PA
USD
318651.40000000
0.133136881233
Long
DBT
US
N
2
2032-05-15
Fixed
5.13000000
N
N
N
N
N
N
Ball Corp
0BGI85ALH27ZJP15DY16
Ball Corp
058498AS5
90000.00000000
PA
USD
89242.20000000
0.037286602796
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137APLC2
517609.70000000
PA
USD
48158.72000000
0.020121367064
Long
ABS-MBS
USGSE
US
N
2
2042-04-15
Floating
1.42000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-8 LLC
69360MAA8
679399.67000000
PA
USD
627728.27000000
0.262273393839
Long
ABS-MBS
CORP
US
N
2
2026-09-25
Variable
1.74000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030678
2750000.00000000
PA
USD
2420429.28000000
1.011288215225
Long
ABS-MBS
USGSE
US
N
2
2053-07-15
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust 2006-WF1
46628SAH6
1912570.90000000
PA
USD
541908.41000000
0.226416691160
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
6.91000000
N
N
N
N
N
N
SCRIPPS ESCROW INC
N/A
Scripps Escrow Inc
81104PAA7
265000.00000000
PA
USD
215975.00000000
0.090237287281
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.88000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBF7
161000.00000000
PA
USD
125617.03000000
0.052484500629
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
2.60000000
N
N
N
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
Valvoline Inc
92047WAG6
150000.00000000
PA
USD
122088.00000000
0.051010023982
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.63000000
N
N
N
N
N
N
Banc of America Funding Corporation
549300R847L762RQF071
Banc of America Funding 2015-R4 Trust
05990RAD3
298540.43000000
PA
USD
291191.44000000
0.121663737122
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.34000000
N
N
N
N
N
N
MICHAELS COS INC/THE
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
55916AAB0
590000.00000000
PA
USD
398250.00000000
0.166394257019
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
7.88000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBM9
150000.00000000
PA
USD
116137.11000000
0.048523661345
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
3.88000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR8 Trust
74333TAQ2
1450000.00000000
PA
USD
1243205.64000000
0.519428195329
Long
ABS-O
CORP
US
N
2
2038-10-17
Fixed
4.01000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31
61766RBA3
6406321.58000000
PA
USD
199742.19000000
0.083454998871
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Variable
1.41000000
N
N
N
N
N
N
TRITON WATER HOLDINGS IN
5493005IYCEL7QJFZZ63
Triton Water Holdings Inc
89680EAA7
350000.00000000
PA
USD
301105.00000000
0.125805757086
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
6.25000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C29
46644RAE5
26458000.00000000
PA
USD
217126.25000000
0.090718295161
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
0.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-8T1
12668BMF7
4662352.09000000
PA
USD
435568.12000000
0.181986274221
Long
ABS-MBS
CORP
US
N
3
2036-04-25
Floating
0.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042679
1275000.00000000
PA
USD
1230511.55000000
0.514124432180
Long
ABS-MBS
USGA
US
N
2
2053-07-20
Fixed
4.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022675
14625000.00000000
PA
USD
12395970.84000000
5.179204916397
Long
ABS-MBS
USGSE
US
N
2
2053-07-15
Fixed
2.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AU2
500000.00000000
PA
USD
404870.00000000
0.169160182898
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISONLNOUKGB71
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KLU1
650000.00000000
PA
USD
648177.02000000
0.270817159221
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
8.47000000
N
N
N
N
N
N
DIGITAL INTREPID HOLDING
5493003H2CB2KXPP7461
Digital Intrepid Holding BV
000000000
365000.00000000
PA
277042.99000000
0.115752322620
Long
DBT
NL
Y
2
2031-07-15
Fixed
0.63000000
N
N
N
N
N
N
ARIZONA PUBLIC SERVICE
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co
040555DB7
1000000.00000000
PA
USD
692290.00000000
0.289248161185
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.35000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-P2
14686JAM2
3700.00000000
PA
USD
750366.03000000
0.313513115014
Long
ABS-O
CORP
US
N
2
2029-05-10
None
0.00000000
N
N
N
N
N
N
Park Avenue Institutional Advisers CLO
N/A
Park Avenue Institutional Advisers CLO Ltd 2021-1
70015QAC2
420000.00000000
PA
USD
409122.00000000
0.170936726227
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
7.00000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
200000.00000000
PA
USD
198220.00000000
0.082819007222
Long
DBT
NUSS
OM
Y
2
2028-01-17
Fixed
5.63000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967424
5244.00000000
NS
USD
241433.76000000
0.100874302861
Long
EC
CORP
US
N
1
N
N
N
FIRSTCASH INC
549300V2X3UU7K0DG350
FirstCash Inc
31944TAA8
280000.00000000
PA
USD
253240.40000000
0.105807277351
Long
DBT
CORP
US
N
2
2030-01-01
Fixed
5.63000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN NETH
724500GIEFJOBWGD0272
Imperial Brands Finance Netherlands BV
000000000
100000.00000000
PA
78999.64000000
0.033007122165
Long
DBT
CORP
NL
Y
2
2033-03-18
Fixed
1.75000000
N
N
N
N
N
N
J.P. Morgan Alternative Loan Trust
N/A
JP Morgan Alternative Loan Trust
46628GAQ2
350673.72000000
PA
USD
206307.07000000
0.086197894866
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.98000000
N
N
N
N
N
N
LIFE STORAGE LP
X0MIGH67XZCB7HL1A534
Life Storage LP
53227JAD6
40000.00000000
PA
USD
31763.36000000
0.013271163057
Long
DBT
US
N
2
2031-10-15
Fixed
2.40000000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475105
2795.00000000
NS
USD
352030.25000000
0.147083017946
Long
EC
CORP
US
N
1
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAT4
125000.00000000
PA
USD
110000.00000000
0.045959493464
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.80000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2022-3 LLC
693589AA1
1285334.18000000
PA
USD
1255210.70000000
0.524444072389
Long
ABS-MBS
CORP
US
N
2
2027-06-25
Variable
5.56000000
N
N
N
N
N
N
COMM Mortgage Trust
549300BCCWSDWINK2593
COMM 2013-CCRE11 Mortgage Trust
12626LAF9
1763444.78000000
PA
USD
25.04000000
0.000010462051
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Variable
0.94000000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAM6
32000.00000000
PA
USD
23962.88000000
0.010012016606
Long
DBT
US
N
2
2031-03-15
Fixed
2.05000000
N
N
N
N
N
N
ADVANCED DRAINAGE SYSTEM
6QQTOZ5MF5DHM7K92I60
Advanced Drainage Systems Inc
00790RAB0
125000.00000000
PA
USD
123802.50000000
0.051726365360
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
6.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LF5C8
1073870.97000000
PA
USD
906666.79000000
0.378817694629
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.41000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYN8
520000.00000000
PA
USD
424038.05000000
0.177168854432
Long
DBT
CORP
US
N
2
2032-10-21
Fixed
2.65000000
N
N
N
N
N
N
Allegro CLO Ltd
254900E6QZJ305P65V74
Allegro CLO XIII Ltd
01750WAE9
650000.00000000
PA
USD
633215.05000000
0.264565845017
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.95000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BE6
675000.00000000
PA
USD
651662.15000000
0.272273293852
Long
DBT
CORP
US
N
2
2054-09-15
Fixed
4.38000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJL5
565000.00000000
PA
USD
529715.75000000
0.221322432272
Long
DBT
CORP
US
N
2
2034-02-01
Fixed
4.84000000
N
N
N
N
N
N
SLM Student Loan Trust
549300MHMWVKFEDI8G73
SLM Student Loan Trust 2008-2
784442AD7
225000.00000000
PA
USD
211850.99000000
0.088514219911
Long
ABS-O
CORP
US
N
2
2083-01-25
Floating
6.46000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R3
12566LAB0
797153.06000000
PA
USD
685010.36000000
0.286206628757
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
1.95000000
N
N
N
N
N
N
MODIVCARE INC
549300EFZIFW7F7I0Q28
ModivCare Inc
743815AE2
130000.00000000
PA
USD
120547.18000000
0.050366248466
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
5.88000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBE2
756000.00000000
PA
USD
616918.68000000
0.257757000376
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14000000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
975000.00000000
PA
USD
871620.75000000
0.364174983299
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2007-AR3 Trust
94983UAD9
104526.28000000
PA
USD
90427.09000000
0.037781665925
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
4.63000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AH8
65000.00000000
PA
USD
64556.31000000
0.026972502795
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.38000000
N
N
N
N
N
N
Asset Backed Funding Certificates
N/A
ABFC 2007-NC1 Trust
00076BAB0
782544.57000000
PA
USD
708289.03000000
0.295932773136
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.45000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBM1
195000.00000000
PA
USD
161895.75000000
0.067642242400
Long
DBT
US
N
2
2031-04-15
Fixed
2.70000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C21
46642EBA3
1481059.41000000
PA
USD
8530.46000000
0.003564142005
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
1.09000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20753WAE6
1000000.00000000
PA
USD
1008536.70000000
0.421380326109
Long
ABS-MBS
USGSE
US
N
2
2039-10-25
Floating
8.55000000
N
N
N
N
N
N
GLOBAL SWITCH FINANCE
635400GVJAKOJNEUMF33
Global Switch Finance BV
000000000
315000.00000000
PA
286047.17000000
0.119514391273
Long
DBT
CORP
NL
Y
2
2030-10-07
Fixed
1.38000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR1 Trust
00180AAJ8
850000.00000000
PA
USD
807977.87000000
0.337584123959
Long
ABS-O
CORP
US
N
2
2037-04-17
Fixed
8.19000000
N
N
N
N
N
N
BROWN & BROWN INC
549300PC8KTJ71XKFY89
Brown & Brown Inc
115236AF8
200000.00000000
PA
USD
172566.00000000
0.072100417719
Long
DBT
CORP
US
N
2
2052-03-17
Fixed
4.95000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-12N
525226AG1
516967.78000000
PA
USD
507688.98000000
0.212119348710
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
5.55000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BA4
100000.00000000
PA
USD
47358.50000000
0.019787024283
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.75000000
N
N
N
N
N
N
COMM Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CCRE12 Mortgage Trust
12591KAF2
5269310.05000000
PA
USD
3141.04000000
0.001312369157
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Variable
1.20000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AL3
210000.00000000
PA
USD
198975.00000000
0.083134456473
Long
DBT
US
N
2
2029-01-15
Fixed
5.30000000
N
N
N
N
N
N
BLACKSTONE PP EUR HOLD
213800Y3B5GQFBGVHP79
Blackstone Property Partners Europe Holdings Sarl
000000000
100000.00000000
PA
81331.00000000
0.033981196026
Long
DBT
CORP
LU
Y
2
2029-03-12
Fixed
1.75000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-LC13 Mortgage Trust
12626GAG8
2604083.82000000
PA
USD
67.71000000
0.000028290157
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Variable
1.11000000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAT4
283000.00000000
PA
USD
251530.40000000
0.105092816135
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.50000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AH2
421000.00000000
PA
USD
412501.82000000
0.172348860911
Long
DBT
US
N
2
2026-04-15
Fixed
5.38000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS3 Trust
75116BAH1
7390639.70000000
PA
USD
85113.56000000
0.035561600950
Long
ABS-MBS
CORP
US
N
3
2037-02-25
Variable
0.36000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2006-2
5764342J2
5892701.87000000
PA
USD
388693.81000000
0.162401551093
Long
ABS-MBS
CORP
US
N
3
2036-03-25
Floating
1.95000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-HYB4
12669FW25
441360.87000000
PA
USD
229350.09000000
0.095825581476
Long
ABS-MBS
CORP
US
N
2
2034-09-20
Variable
4.53000000
N
N
N
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LXP Industrial Trust
529043AE1
275000.00000000
PA
USD
219967.18000000
0.091905274286
Long
DBT
US
N
2
2030-09-15
Fixed
2.70000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR6
45660NX83
263100.10000000
PA
USD
250048.20000000
0.104473532851
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
4.01000000
N
N
N
N
N
N
Bombardier Capital Mortgage Securitization Corp.
N/A
BCMSC Trust 2000-A
09774XBQ4
3316690.47000000
PA
USD
466606.61000000
0.194954576751
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
8.29000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAD7
15000.00000000
PA
USD
13809.15000000
0.005769650356
Long
DBT
US
N
2
2027-02-15
Fixed
3.75000000
N
N
N
N
N
N
DIRECTV FIN LLC/COINC
N/A
Directv Financing LLC / Directv Financing Co-Obligor Inc
25461LAA0
225000.00000000
PA
USD
205292.25000000
0.085773889292
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.88000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BN3
360000.00000000
PA
USD
307530.00000000
0.128490209318
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
Nomura Asset Acceptance Corporation
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR1
65535VRY6
116212.83000000
PA
USD
81376.56000000
0.034000231613
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
4.24000000
N
N
N
N
N
N
Transocean Poseidon Ltd
N/A
Transocean Poseidon Ltd
89383JAA6
255125.00000000
PA
USD
251993.34000000
0.105286238752
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
6.88000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2007-NC1
3622MGAD0
2307865.64000000
PA
USD
1049711.22000000
0.438583599590
Long
ABS-O
CORP
US
N
2
2046-12-25
Floating
5.30000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AK5
345000.00000000
PA
USD
337846.60000000
0.141156896405
Long
DBT
US
N
2
2028-06-01
Fixed
5.75000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR4
12566DAA0
1063257.76000000
PA
USD
996042.54000000
0.416160096429
Long
ABS-MBS
CORP
US
N
2
2061-10-25
Variable
2.82000000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAA1
425000.00000000
PA
USD
371709.25000000
0.155305171326
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.88000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAH4
305000.00000000
PA
USD
284693.10000000
0.118948642443
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.88000000
N
N
N
N
N
N
INTELSAT EMERGENCE SA
N/A
INTELSAT EMERGENCE SA
000000000
11069.00000000
NS
USD
250712.85000000
0.104751232645
Long
EC
CORP
LU
N
3
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CBM Mortgage Trust
20049AAC2
5644863.27000000
PA
USD
44378.50000000
0.018541939824
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
0.72000000
N
N
N
N
N
N
Banc of California Multifamily Housing
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMUM2
1406192.03000000
PA
USD
3905.70000000
0.001631854487
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Fixed
0.36000000
N
N
N
N
N
N
CIM Trust
N/A
CIM TRUST 2023-NR2
171936AA5
1240062.23000000
PA
USD
1166665.67000000
0.487448756684
Long
ABS-O
CORP
US
N
2
2062-06-25
Variable
6.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
WELLS FARGO + CO
000000000
-135.00000000
NC
USD
-540.00000000
-0.00022561933
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Wells Fargo & Co.
Wells Fargo & Co.
100.00000000
50.00000000
USD
2023-07-21
XXXX
16399.65000000
N
N
N
ANNINGTON FUNDING PLC
549300KK63W8VZIONZ83
Annington Funding PLC
000000000
100000.00000000
PA
95698.98000000
0.039984333144
Long
DBT
CORP
GB
Y
2
2034-07-12
Fixed
3.69000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042673
1325000.00000000
PA
USD
1273816.46000000
0.532217811527
Long
ABS-MBS
USGSE
US
N
2
2053-07-15
Fixed
4.50000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAR1
300000.00000000
PA
USD
253500.00000000
0.105915741756
Long
DBT
CORP
XX
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2017-C5
90276TAH7
5693652.33000000
PA
USD
187821.35000000
0.078474310070
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
1.22000000
N
N
N
N
N
N
VZ SECURED FINANCING BV
549300MG611MYCOWY949
VZ Secured Financing BV
91845AAA3
465000.00000000
PA
USD
375985.05000000
0.157091658619
Long
DBT
CORP
NL
N
2
2032-01-15
Fixed
5.00000000
N
N
N
N
N
N
CELLNEX FINANCE CO SA
549300OUROMFTRFA7T23
Cellnex Finance Co SA
000000000
100000.00000000
PA
86100.66000000
0.035974024732
Long
DBT
CORP
ES
Y
2
2032-09-15
Fixed
2.00000000
N
N
N
N
N
N
GRAPHIC PACKAGING INTERN
SO75N4VY5NXGQSK8YQ65
Graphic Packaging International LLC
38869AAA5
130000.00000000
PA
USD
123825.00000000
0.051735766165
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.75000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE SEP23
000000000
-9.00000000
NC
15246.97000000
0.006370391073
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX 10 Year Euro BUND Futures
RXU3 Comdty
2023-09-07
-1217635.22000000
EUR
15246.97000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACY9
120000.00000000
PA
USD
118072.21000000
0.049332172398
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
5.05000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2005-A15
45660L4F3
930123.70000000
PA
USD
322061.38000000
0.134561617174
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
6.00000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DK3
135000.00000000
PA
USD
124249.95000000
0.051913316045
Long
DBT
CORP
US
N
2
2053-03-01
Fixed
4.88000000
N
N
N
N
N
N
Citimortgage Alternative Loan Trust
N/A
CitiMortgage Alternative Loan Trust Series 2006-A3
17309KAG2
601176.39000000
PA
USD
519914.48000000
0.217227328595
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
Bacardi Ltd
549300R32WTQNHNN5055
Bacardi Ltd
067316AH2
205000.00000000
PA
USD
193152.28000000
0.080701645002
Long
DBT
CORP
BM
N
2
2048-05-15
Fixed
5.30000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
590000.00000000
PA
USD
482602.30000000
0.201637793206
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040677
5000000.00000000
PA
USD
4691793.80000000
1.960295149878
Long
ABS-MBS
USGSE
US
N
2
2053-07-15
Fixed
4.00000000
N
N
N
N
N
N
Global SC Finance SRL
N/A
Global SC Finance II SRL
37952UAE3
47067.00000000
PA
USD
45761.55000000
0.019119796892
Long
ABS-O
CORP
BB
N
2
2029-07-17
Fixed
3.09000000
N
N
N
N
N
N
Raymond James Financial Inc
RGUZHJ05YTITL6D76949
Raymond James Financial Inc
754730109
2712.00000000
NS
USD
281424.24000000
0.117582868354
Long
EC
CORP
US
N
1
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAJ7
285000.00000000
PA
USD
244709.55000000
0.102242972398
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
4.25000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND SEP23
000000000
-1.00000000
NC
-1703.40000000
-0.00071170364
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 30 Year Euro BUXL Futures
UBU3 Comdty
2023-09-07
-138038.68000000
EUR
-1703.40000000
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAA0
210000.00000000
PA
USD
162999.90000000
0.068103571261
Long
DBT
US
N
2
2031-08-15
Fixed
2.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-106.93000000
-0.00004467680
N/A
DFE
XX
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
130386.38000000
USD
119407.20000000
EUR
2023-07-06
-106.93000000
N
N
N
FirstKey Homes 2021-SFR3 Trust
N/A
FirstKey Homes 2021-SFR3 Trust
33768JAJ0
1173000.00000000
PA
USD
1025805.27000000
0.428595369110
Long
ABS-O
CORP
US
N
2
2038-12-17
Fixed
2.99000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2007-A5
76114HAQ8
1308108.85000000
PA
USD
227882.76000000
0.095212511080
Long
ABS-MBS
CORP
US
N
3
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RHK1
103000.00000000
PA
USD
95082.39000000
0.039726713470
Long
DBT
CORP
US
N
2
2039-03-01
Fixed
4.85000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BLN38
2330000.00000000
PA
USD
66548.81000000
0.027804996347
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
Variable
1.60000000
N
N
N
N
N
N
COOF Securitization Trust II
N/A
COOF Securitization Trust II Series 2015-2
12593RAA6
2377171.13000000
PA
USD
147701.01000000
0.061711487306
Long
ABS-O
USGA
US
N
2
2041-08-25
Variable
2.29000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
1090000.00000000
PA
USD
972100.80000000
0.406156912401
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-R1
12555VAA3
698564.45000000
PA
USD
601777.16000000
0.251430667744
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
3.25000000
N
N
N
N
N
N
IRON MOUNTAIN INFO MGMT
N/A
Iron Mountain Information Management Services Inc
46285MAA8
420000.00000000
PA
USD
363426.00000000
0.151844317015
Long
DBT
US
N
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B5JN4
10594361.40000000
PA
USD
30.19000000
0.000012613791
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Variable
0.20000000
N
N
N
N
N
N
Vita Scientia
635400JHBEHLCY2DZM20
Vita Scientia 2022-1 DAC
000000000
1500000.00000000
PA
1355629.33000000
0.566400339382
Long
ABS-MBS
CORP
IE
Y
2
2033-02-27
Floating
5.95000000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAR8
425000.00000000
PA
USD
391420.75000000
0.163540903648
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.95000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3
46635TAR3
50185877.17000000
PA
USD
141155.31000000
0.058976604976
Long
ABS-MBS
CORP
US
N
2
2046-02-15
Variable
0.50000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS7 Trust
748940AB9
292195.18000000
PA
USD
229079.97000000
0.095712721672
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.00000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
000000000
150000.00000000
PA
122557.20000000
0.051206062112
Long
DBT
US
N
2
2032-01-15
Fixed
1.00000000
N
N
N
N
N
N
SLM Student Loan Trust
54930067BGNOZYMNWK87
SLM Student Loan Trust 2008-7
78445FAE5
305000.00000000
PA
USD
282256.29000000
0.117930510140
Long
ABS-O
CORP
US
N
2
2083-07-26
Floating
7.11000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35908MAE0
96000.00000000
PA
USD
92965.44000000
0.038842223018
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
8.63000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TBW0
681680.39000000
PA
USD
159900.34000000
0.066808533010
Long
ABS-O
CORP
US
N
2
2030-07-15
Variable
7.40000000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAF3
334000.00000000
PA
USD
11481.25000000
0.004797022130
Long
DBT
CORP
US
N
2
2026-08-15
None
0.00000000
Y
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
197677AJ6
235000.00000000
PA
USD
242853.70000000
0.101467573071
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
7.05000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAZ1
555000.00000000
PA
USD
443778.34000000
0.185416615607
Long
DBT
CORP
AU
N
2
2033-01-14
Fixed
2.87000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE21 Mortgage Trust
12592RBH1
15310099.79000000
PA
USD
139448.68000000
0.058263551791
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Variable
0.99000000
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8J4
140000.00000000
PA
USD
122087.00000000
0.051009606168
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
4.45000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAJ9
634000.00000000
PA
USD
487431.32000000
0.203655423325
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
6.63000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) SEP23
000000000
240.00000000
NC
USD
-723535.20000000
-0.30230282995
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUU3 Comdty
2023-09-29
49526035.20000000
USD
-723535.20000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T5X32
5802.73000000
PA
USD
5783.04000000
0.002416232628
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
3.09000000
N
N
N
N
N
N
HUB International Ltd
549300JQT6ATTUNS5E06
HUB International Ltd
44332PAD3
125000.00000000
PA
USD
124950.00000000
0.052205806439
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
7.00000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2003-7
07384MYZ9
201347.58000000
PA
USD
183120.29000000
0.076510143376
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Variable
4.23000000
N
N
N
N
N
N
ORGANON & CO/ORG
N/A
Organon & Co / Organon Foreign Debt Co-Issuer BV
68622TAB7
275000.00000000
PA
USD
227562.50000000
0.095078702104
Long
DBT
CORP
US
N
2
2031-04-30
Fixed
5.13000000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAY0
120000.00000000
PA
USD
109502.62000000
0.045751681347
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.63000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AM9
450000.00000000
PA
USD
310689.00000000
0.129810082408
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.40000000
N
N
N
N
N
N
ALLIANT HOLD / CO-ISSUER
N/A
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer
01883LAA1
250000.00000000
PA
USD
236250.00000000
0.098708457553
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
6.75000000
N
N
N
N
N
N
VONOVIA SE
5299005A2ZEP6AP7KM81
Vonovia SE
000000000
100000.00000000
PA
60701.19000000
0.025361781318
Long
DBT
CORP
DE
Y
2
2041-06-14
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20753YCK6
850000.00000000
PA
USD
865221.04000000
0.361501097572
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
8.17000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-480.90000000
-0.00020092654
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
170000.00000000
EUR
185068.85000000
USD
2023-07-14
-480.90000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BX6
208000.00000000
PA
USD
192730.72000000
0.080525511510
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.13000000
N
N
N
N
N
N
ALLIANT ENERGY FINANCE
54930033ER6EOI5DL570
Alliant Energy Finance LLC
01882YAD8
535000.00000000
PA
USD
467664.90000000
0.195396744681
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.60000000
N
N
N
N
N
N
Merrill Lynch First Franklin Mortgage Loan Trust
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3
59024VAG4
935444.79000000
PA
USD
857474.34000000
0.358264421136
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
5.51000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QA8 Trust
761118BS6
324594.70000000
PA
USD
183792.56000000
0.076791026909
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.70000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
C-BASS Mortgage Loan Trust 2007-CB2
1248MBAH8
797509.36000000
PA
USD
488537.49000000
0.204117596169
Long
ABS-O
CORP
US
N
2
2037-02-25
Variable
3.54000000
N
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust 2005-10
05948KQ85
311476.56000000
PA
USD
259443.62000000
0.108399066888
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
5.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHX0
500000.00000000
PA
USD
430161.08000000
0.179727139498
Long
DBT
CORP
US
N
2
2030-10-22
Fixed
2.88000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-4478.18000000
-0.00187104440
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
622000.00000000
GBP
786345.71000000
USD
2023-07-14
-4478.18000000
N
N
N
Carrington Mortgage Loan Trust
N/A
Carrington Mortgage Loan Trust Series 2007-RFC1
144526AC4
1079081.06000000
PA
USD
1033015.09000000
0.431607729793
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
5.29000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBV6
175000.00000000
PA
USD
152512.50000000
0.063721793154
Long
DBT
CORP
US
N
2
2052-03-16
Fixed
5.65000000
N
N
N
N
N
N
HERTZ CORP/THE
549300PD0C69OJ0NLB27
Hertz Corp/The
428040DA4
25000.00000000
PA
USD
22687.50000000
0.009479145526
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
4.63000000
N
N
N
N
N
N
bmo sba coof trust
N/A
BMO SBA COOF Trust 2019-1
05588XAA4
5045567.50000000
PA
USD
171408.27000000
0.071616702407
Long
ABS-O
USGA
US
N
2
2045-10-25
Variable
1.72000000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAH7
160000.00000000
PA
USD
122977.33000000
0.051381598130
Long
DBT
US
N
2
2031-03-15
Fixed
2.00000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2004-4
542514HT4
390224.37000000
PA
USD
363859.48000000
0.152025430845
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
6.05000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2007-13
126698AC3
416027.02000000
PA
USD
375709.84000000
0.156976672144
Long
ABS-O
CORP
US
N
2
2047-10-25
Floating
6.05000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BM6
245000.00000000
PA
USD
235124.05000000
0.098238020356
Long
DBT
CORP
US
N
2
2034-01-24
Fixed
5.07000000
N
N
N
N
N
N
Carrington Mortgage Loan Trust
N/A
Carrington Mortgage Loan Trust Series 2006-NC4
14453MAD6
1250000.00000000
PA
USD
1074667.00000000
0.449010463297
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.39000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBB3
120000.00000000
PA
USD
99927.45000000
0.041751045319
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBTD8
3455000.00000000
PA
USD
80131.12000000
0.033479869872
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Variable
2.02000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2007-4
07401CAV5
529264.99000000
PA
USD
477454.50000000
0.199486972474
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Variable
4.06000000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURA
Z7LVXXWM8HZPKF5T2355
Nationwide Mutual Insurance Co
638671AJ6
1000000.00000000
PA
USD
999212.65000000
0.417484611427
Long
DBT
CORP
US
N
2
2024-12-15
Variable
7.84000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAQ5
105000.00000000
PA
USD
102390.75000000
0.042780245503
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
5.40000000
N
N
N
N
N
N
Allegro CLO Ltd
254900E0ZQX4DLP7HF87
Allegro CLO XII Ltd
01750TAG1
475000.00000000
PA
USD
467020.00000000
0.195127296706
Long
ABS-CBDO
CORP
KY
N
2
2032-01-21
Floating
6.96000000
N
N
N
N
N
N
TITAN ACQ/CO-BORROWER
N/A
Titan Acquisition Ltd / Titan Co-Borrower LLC
88827AAA1
140000.00000000
PA
USD
127225.00000000
0.053156332327
Long
DBT
CORP
XX
N
2
2026-04-15
Fixed
7.75000000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp
20846QAM0
1256636.17000000
PA
USD
454682.63000000
0.189972576016
Long
ABS-O
CORP
US
N
2
2030-06-01
Variable
7.36000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKA6
655000.00000000
PA
USD
523921.40000000
0.218901474173
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.30000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B4H25
1204365.75000000
PA
USD
99.30000000
0.000041488888
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Variable
2.26000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
225470RS4
947832.99000000
PA
USD
235117.84000000
0.098235425734
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2014-GC21
17322MAL0
4710599.78000000
PA
USD
44012.55000000
0.018389040946
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Variable
1.52000000
N
N
N
N
N
N
TIF Funding II LLC
N/A
TIF Funding II LLC
872480AE8
1228096.88000000
PA
USD
1023824.82000000
0.427767910211
Long
ABS-O
CORP
US
N
2
2046-02-20
Fixed
1.65000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2023-P1
14688EAH2
4400.00000000
PA
USD
974360.64000000
0.407101104235
Long
ABS-O
CORP
US
N
2
2030-03-11
None
0.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJG5
395000.00000000
PA
USD
371327.65000000
0.155145733666
Long
DBT
CORP
US
N
2
2025-09-25
Fixed
0.98000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T4DA1
2687.33000000
PA
USD
2715.59000000
0.001134610371
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
11.66000000
N
N
N
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust
933631AD5
1561700.75000000
PA
USD
713770.33000000
0.298222934696
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
5.30000000
N
N
N
N
N
N
TENNET HOLDING BV
724500LTUWK3JQG63903
TenneT Holding BV
000000000
115000.00000000
PA
111623.74000000
0.046637914081
Long
DBT
CORP
NL
Y
2
2042-05-17
Fixed
2.75000000
N
N
N
N
N
N
USQ Rail I LLC
25490077I8NB6ADB4I38
ITE Rail Fund Levered LP
90352WAD6
374876.13000000
PA
USD
317589.31000000
0.132693125611
Long
ABS-O
CORP
US
N
2
2051-02-28
Fixed
2.25000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1638.71000000
-0.00068467528
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
110000.00000000
EUR
118422.89000000
USD
2023-07-14
-1638.71000000
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCZ1
260000.00000000
PA
USD
253585.80000000
0.105951590161
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
4.88000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJQ3
725000.00000000
PA
USD
651406.30000000
0.272166396249
Long
DBT
CORP
US
N
2
2027-03-11
Fixed
1.66000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22
61690FAN3
8142537.97000000
PA
USD
93024.43000000
0.038866869841
Long
ABS-MBS
CORP
US
N
2
2048-04-15
Variable
1.14000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust 2017-GM
056083AL2
375000.00000000
PA
USD
307755.66000000
0.128584493130
Long
ABS-MBS
CORP
US
N
2
2039-06-13
Variable
3.54000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2119.61000000
-0.00088560183
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
146000.00000000
EUR
157234.88000000
USD
2023-07-14
-2119.61000000
N
N
N
GoldenTree Loan Management US CLO1, LTD
549300TS068SCJRDSP12
Goldentree Loan Management US Clo 17 Ltd
38139FAJ9
650000.00000000
PA
USD
650216.45000000
0.271669260764
Long
ABS-CBDO
CORP
JE
N
2
2036-07-20
Floating
10.25000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
5493009YDNBJVFWX7747
Rockford Tower CLO 2020-1 Ltd
77341EAG0
900000.00000000
PA
USD
860221.80000000
0.359412347226
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
9.00000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N3
14687GAH8
2200.00000000
PA
USD
436683.50000000
0.182452295128
Long
ABS-O
CORP
US
N
2
2028-06-12
None
0.00000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR9 Trust
74333QAJ4
1707000.00000000
PA
USD
1343354.63000000
0.561271803069
Long
ABS-O
CORP
US
N
2
2040-11-17
Fixed
2.81000000
N
N
N
N
N
N
ROSEVILLE
N/A
ROSEVILLE
000000000
605000.00000000
PA
USD
591569.00000000
0.247165559901
Long
ABS-MBS
CORP
US
N
3
2025-03-29
Fixed
3.25000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-2
61946RAE9
1150000.00000000
PA
USD
44880.82000000
0.018751815940
Long
ABS-O
CORP
US
N
2
2047-04-22
None
0.00000000
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAN0
626429.63000000
PA
USD
591739.65000000
0.247236859788
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
8.89000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR2 Trust
00178UAG4
1375000.00000000
PA
USD
1306887.86000000
0.546035491455
Long
ABS-O
CORP
US
N
2
2037-07-17
Fixed
5.25000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAC0
650000.00000000
PA
USD
537608.50000000
0.224620130382
Long
DBT
CORP
XX
N
2
2031-12-01
Fixed
3.75000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
100000.00000000
PA
USD
100297.01000000
0.041905452505
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.63000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
PRET 2022-RN2 LLC
69377NAB5
1255000.00000000
PA
USD
1147999.20000000
0.479649652084
Long
ABS-O
CORP
US
N
2
2052-06-25
Variable
6.50000000
N
N
N
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
Encompass Health Corp
29261AAE0
285000.00000000
PA
USD
253045.80000000
0.105725970829
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
4.63000000
N
N
N
N
N
N
OPTION CARE HEALTH INC
549300DI3Q5ACSYJRI17
Option Care Health Inc
68404LAA0
275000.00000000
PA
USD
243009.25000000
0.101532563973
Long
DBT
CORP
US
N
2
2029-10-31
Fixed
4.38000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT SEP23
000000000
-90.00000000
NC
USD
-133970.85000000
-0.05597484004
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CME Ultra Long Term U.S. Treasury Bond Futures
WNU3 Comdty
2023-09-20
-12125716.65000000
USD
-133970.85000000
N
N
N
SLM Student Loan Trust
SCSW2GRYW6ZPGKE5DL61
SLM Student Loan Trust 2005-9
78442GRC2
286988.49000000
PA
USD
259460.38000000
0.108406069443
Long
ABS-O
CORP
US
N
2
2041-01-25
Floating
5.56000000
N
N
N
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions Inc
14879EAK4
450000.00000000
PA
USD
364938.75000000
0.152476364504
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.50000000
N
N
N
N
N
N
CENTRAL GARDEN & PET CO
5493004DVZLD37DJ0H83
Central Garden & Pet Co
153527AP1
100000.00000000
PA
USD
82584.68000000
0.034505000551
Long
DBT
CORP
US
N
2
2031-04-30
Fixed
4.13000000
N
N
N
N
N
N
HERTZ CORP/THE
549300PD0C69OJ0NLB27
Hertz Corp/The
428040DB2
405000.00000000
PA
USD
332100.00000000
0.138755888904
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust 2007-15AR
61756XBK0
238876.53000000
PA
USD
214706.52000000
0.089707299115
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Variable
3.43000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2005-8
17307GE20
372537.90000000
PA
USD
306660.35000000
0.128126857741
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
4.29000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BN3
200000.00000000
PA
USD
153220.00000000
0.064017396259
Long
DBT
NUSS
PA
N
2
2032-09-29
Fixed
2.25000000
N
N
N
N
N
N
GGAM FINANCE LTD
N/A
GGAM Finance Ltd
36170JAA4
242000.00000000
PA
USD
242728.42000000
0.101415229387
Long
DBT
CORP
KY
N
2
2028-06-15
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KGP8
6315287.12000000
PA
USD
5841.64000000
0.002440716503
Long
ABS-MBS
USGA
US
N
2
2055-02-16
Variable
0.06000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2011-GC3
36248FAJ1
533475.29000000
PA
USD
5.33000000
0.000002226946
Long
ABS-MBS
CORP
US
N
2
2044-03-10
Variable
0.29000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2004-A6
466247HA4
171339.85000000
PA
USD
156180.56000000
0.065254358423
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
3.89000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376G3C2
3570796.69000000
PA
USD
3.93000000
0.000001642007
Long
ABS-MBS
USGA
US
N
2
2051-09-16
None
0.00000000
N
N
N
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE
6499022E2
1000000.00000000
PA
USD
1027597.70000000
0.429344270700
Long
DBT
MUN
US
N
2
2033-03-15
Fixed
5.29000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396JM36
1252379.53000000
PA
USD
72167.37000000
0.030152506998
Long
ABS-MBS
USGSE
US
N
2
2036-03-15
Floating
0.44000000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
Molina Healthcare Inc
60855RAK6
245000.00000000
PA
USD
211312.50000000
0.088289231478
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
3.88000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2022-NQM2
64831MAB8
930000.00000000
PA
USD
708704.73000000
0.296106458240
Long
ABS-MBS
CORP
US
N
2
2062-03-27
Variable
3.70000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XAE5
85000.00000000
PA
USD
90537.18000000
0.037827663022
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
6.50000000
N
N
N
N
N
N
Rithm Capital Corp
549300WNTHGEO5LP2G31
Rithm Capital Corp
64828T201
55339.00000000
NS
USD
517419.65000000
0.216184954749
Long
EC
US
N
1
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCL4
34000.00000000
PA
USD
20607.40000000
0.008610051505
Long
DBT
CORP
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CF4
180000.00000000
PA
USD
156366.00000000
0.065331837772
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.63000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BYPS3
9736755.75000000
PA
USD
38143.25000000
0.015936767718
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Variable
1.04000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DE2
675000.00000000
PA
USD
657240.75000000
0.274604108673
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
1.43000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHD4
395000.00000000
PA
USD
363538.25000000
0.151891216589
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.42000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2003-2
07324SAF9
106343.36000000
PA
USD
102339.12000000
0.042758673788
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Floating
6.02000000
N
N
N
N
N
N
GLOBAL PART/GLP FINANCE
N/A
Global Partners LP / GLP Finance Corp
37954FAJ3
275000.00000000
PA
USD
255668.88000000
0.106821929266
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.88000000
N
N
N
N
N
N
HUNGARY
5299003F3UFKGCCMAP43
Hungary Government International Bond
445545AM8
200000.00000000
PA
USD
155560.00000000
0.064995080029
Long
DBT
NUSS
HU
N
2
2031-09-22
Fixed
2.13000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
320000.00000000
PA
USD
295382.40000000
0.123414777111
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAB5
300000.00000000
PA
USD
292346.57000000
0.122146366120
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.35000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2014-10
17323FAD2
159714.72000000
PA
USD
160725.31000000
0.067153216677
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
4.49000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS1 Trust
761118SB5
226529.86000000
PA
USD
183076.68000000
0.076491922526
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
5.75000000
N
N
N
N
N
N
KEVLAR SPA
815600867DEB25AA7195
Kevlar SpA
49272YAB9
335000.00000000
PA
USD
287262.50000000
0.120022172647
Long
DBT
CORP
IT
N
2
2029-09-01
Fixed
6.50000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
Pretium Mortgage Credit Partners LLC
69381PAB4
1125000.00000000
PA
USD
1030976.78000000
0.430756096201
Long
ABS-MBS
CORP
US
N
2
2052-08-25
Variable
6.50000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-10N
525229AE0
405501.72000000
PA
USD
368565.83000000
0.153991807772
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
5.57000000
N
N
N
N
N
N
Santander Consumer Auto Receivables Trust
N/A
Santander Consumer Auto Receivables Trust 2021-B
802824AD4
5000.00000000
PA
USD
806440.47000000
0.336941777365
Long
ABS-O
CORP
US
N
2
2029-03-15
None
0.00000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-N1
14686GAH9
4700.00000000
PA
USD
802083.67000000
0.335121447173
Long
ABS-O
CORP
US
N
2
2028-12-11
None
0.00000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AQ2
200000.00000000
PA
USD
181426.00000000
0.075802246011
Long
DBT
CORP
GB
N
2
2028-11-07
Fixed
3.57000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2020-P1
14687AAK4
2000.00000000
PA
USD
240626.65000000
0.100537081345
Long
ABS-O
CORP
US
N
2
2027-09-08
None
0.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACB9
140000.00000000
PA
USD
116413.21000000
0.048639019674
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
180 MEDICAL INC
254900ZB648OPWVFVX59
180 Medical Inc
682357AA6
275000.00000000
PA
USD
241312.50000000
0.100823638787
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.88000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
549300GADFYEKC4OLM57
WFRBS Commercial Mortgage Trust 2013-C14
92890PAL8
338481.97000000
PA
USD
725.35000000
0.000303061078
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
0.56000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBS8
529000.00000000
PA
USD
468937.46000000
0.195928437527
Long
DBT
CORP
GB
N
2
2049-06-19
Fixed
4.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XDR9
2139609.44000000
PA
USD
14048.78000000
0.005869771023
Long
ABS-MBS
USGA
US
N
2
2055-05-16
Variable
0.19000000
N
N
N
N
N
N
GRAY ESCROW II INC
N/A
Gray Escrow II Inc
389286AA3
140000.00000000
PA
USD
93475.20000000
0.039055207667
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
5.38000000
N
N
N
N
N
N
CABLE ONE INC
549300648QS85T0XSH18
Cable One Inc
12685JAC9
415000.00000000
PA
USD
325775.00000000
0.136113218030
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300IZGFDRVV7YTH38
SLM Student Loan Trust 2007-7
78444EAE9
150000.00000000
PA
USD
128477.61000000
0.053679689791
Long
ABS-O
CORP
US
N
2
2070-10-27
Floating
6.01000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CK3
255000.00000000
PA
USD
204354.45000000
0.085382063719
Long
DBT
CORP
GB
N
2
2031-08-18
Fixed
2.36000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2022-NR1
12569PAA0
346037.06000000
PA
USD
317131.10000000
0.132501679252
Long
ABS-MBS
CORP
US
N
2
2062-07-25
Variable
5.00000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AQ7
270000.00000000
PA
USD
236907.18000000
0.098983036280
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.63000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1
00442JAD6
1170291.49000000
PA
USD
498802.46000000
0.208406440002
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.67000000
N
N
N
N
N
N
USA Compression Partners LP
5493000B1PEOKXRZEO65
USA Compression Partners LP
90290N109
79823.00000000
NS
USD
1575706.02000000
0.658351368433
Long
EC
CORP
US
N
1
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
000000000
330000.00000000
PA
329830.79000000
0.137807782157
Long
DBT
CORP
US
N
2
2034-06-15
Fixed
3.85000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust 2007-AR3
07401VAD3
25324029.91000000
PA
USD
511159.21000000
0.213569257919
Long
ABS-MBS
CORP
US
N
3
2037-03-25
Fixed
0.50000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
000000000
150000.00000000
PA
133449.79000000
0.055757134102
Long
DBT
US
N
2
2029-05-21
Fixed
0.88000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505GB4
140000.00000000
PA
USD
121209.20000000
0.050642849410
Long
DBT
CORP
US
N
2
2027-01-27
Fixed
4.38000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1174.24000000
-0.00049061341
N/A
DFE
XX
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
132150.54000000
USD
120000.00000000
EUR
2023-07-14
-1174.24000000
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
85000.00000000
PA
USD
82495.90000000
0.034467907062
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B7HP9
7900000.00000000
PA
USD
232008.39000000
0.096936255307
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Variable
0.70000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2005-9
07387AEG6
103656.89000000
PA
USD
98445.61000000
0.041131912448
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
5.23000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2006-6
22942JAH6
468850.24000000
PA
USD
247377.76000000
0.103357786762
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAZ0
86000.00000000
PA
USD
75287.17000000
0.031456001795
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
4.50000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY REVENUE
59261AG76
55000.00000000
PA
USD
50374.72000000
0.021047241950
Long
DBT
MUN
US
N
2
2049-11-15
Fixed
5.18000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2015-GC35
17324KAV0
6313032.87000000
PA
USD
82953.88000000
0.034659257324
Long
ABS-MBS
CORP
US
N
2
2048-11-10
Variable
0.87000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24
61765LAV2
8891458.67000000
PA
USD
95395.57000000
0.039857564326
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
0.83000000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAF4
320000.00000000
PA
USD
259484.80000000
0.108416272451
Long
DBT
US
N
2
2031-06-01
Fixed
2.55000000
N
N
N
N
N
N
ACRISURE LLC / FIN INC
N/A
Acrisure LLC / Acrisure Finance Inc
00489LAF0
280000.00000000
PA
USD
242118.80000000
0.101160521874
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.25000000
N
N
N
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2007-NC2
81378GAD0
4614000.00000000
PA
USD
3248054.37000000
1.357081214449
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
5.59000000
N
N
N
N
N
N
JETBLUE AIRWAYS CORP
N/A
JetBlue 2020-1 Class A Pass Through Trust
477164AA5
669126.04000000
PA
USD
609995.37000000
0.254864347461
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AM0
95000.00000000
PA
USD
90531.20000000
0.037825164497
Long
DBT
CORP
CH
N
2
2025-09-11
Fixed
2.59000000
N
N
N
N
N
N
Merrill Lynch Mortgage Backed Securities Trust
N/A
Merrill Lynch Mortgage Backed Securities Trust Series 2007-2
59025GAA9
106162.25000000
PA
USD
94015.77000000
0.039281065153
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
7.62000000
N
N
N
N
N
N
Stratus CLO
N/A
Stratus CLO 2021-3 Ltd
86315XAG1
750000.00000000
PA
USD
524697.00000000
0.219225530383
Long
ABS-CBDO
CORP
KY
N
2
2029-12-29
Variable
1.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BPCS6
690000.00000000
PA
USD
59654.30000000
0.024924376463
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Variable
4.24000000
N
N
N
N
N
N
Structured Receivables Finance LLC
N/A
Structured Receivables Finance 2010-B LLC
86365LAB7
307729.89000000
PA
USD
312230.93000000
0.130454321696
Long
ABS-O
CORP
US
N
2
2036-08-15
Fixed
7.97000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NE7
1405000.00000000
PA
USD
1130954.75000000
0.472528249463
Long
DBT
CORP
US
N
2
2032-11-03
Fixed
2.52000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206R102
54617.00000000
NS
USD
871141.15000000
0.363974599907
Long
EC
CORP
US
N
1
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS13 Trust
75115DAB1
2070144.92000000
PA
USD
181885.83000000
0.075994369228
Long
ABS-MBS
CORP
US
N
3
2036-09-25
Floating
2.01000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
46639YAS6
1797931.22000000
PA
USD
8707.74000000
0.003638211996
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Variable
1.09000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAA1
270000.00000000
PA
USD
261087.30000000
0.109085818708
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.13000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust Series 2006-RM2
590216AA5
3937445.99000000
PA
USD
1129571.95000000
0.471950496849
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.52000000
N
N
N
N
N
N
SLM Student Loan Trust
549300JQFJDGC1WO7674
SLM Student Loan Trust 2008-6
78445CAE2
225000.00000000
PA
USD
213131.34000000
0.089049167525
Long
ABS-O
CORP
US
N
2
2083-07-26
Floating
7.11000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505104
41077.00000000
NS
USD
1178499.13000000
0.492392936934
Long
EC
CORP
US
N
1
N
N
N
OPEN TEXT CORP
549300HP7ONDQODZJV16
Open Text Corp
683715AF3
120000.00000000
PA
USD
122100.00000000
0.051015037745
Long
DBT
CORP
CA
N
2
2027-12-01
Fixed
6.90000000
N
N
N
N
N
N
TENNET HOLDING BV
724500LTUWK3JQG63903
TenneT Holding BV
000000000
200000.00000000
PA
232541.58000000
0.097159029328
Long
DBT
CORP
NL
Y
2
2034-10-28
Fixed
4.50000000
N
N
N
N
N
N
FRTKL
N/A
FRTKL 2021-SFR1
30322DAN9
1015000.00000000
PA
USD
860111.71000000
0.359366350129
Long
ABS-O
CORP
US
N
2
2038-09-17
Fixed
4.11000000
N
N
N
N
N
N
HPS Loan Management Ltd
N/A
HPS Loan Management 2023-18 Ltd
442911AJ2
600000.00000000
PA
USD
600300.00000000
0.250813490241
Long
ABS-CBDO
CORP
KY
N
2
2036-07-20
Floating
11.01000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBP9
80000.00000000
PA
USD
65507.00000000
0.027369713985
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
3.80000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-46CB
12668ABD6
541219.59000000
PA
USD
391052.15000000
0.163386897564
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Fixed
5.50000000
N
N
N
N
N
N
ARCHROCK PARTNERS LP/FIN
N/A
Archrock Partners LP / Archrock Partners Finance Corp
03959KAC4
140000.00000000
PA
USD
131817.00000000
0.055074932272
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
6.25000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TCL3
1671028.16000000
PA
USD
198179.60000000
0.082802127554
Long
ABS-O
CORP
US
N
2
2031-06-15
Variable
6.61000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2005-AC6
073879L55
277362.00000000
PA
USD
243707.14000000
0.101824151891
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
5.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
27350.07000000
0.011427230576
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
3890000.00000000
EUR
4273165.00000000
USD
2023-07-14
27350.07000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKJ7
120000.00000000
PA
USD
108390.00000000
0.045286813605
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-IG3 Mortgage Trust
08162QBE8
555000.00000000
PA
USD
403448.98000000
0.168566461449
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Variable
3.65000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAR2
406000.00000000
PA
USD
342737.59000000
0.143200418432
Long
DBT
CORP
KY
N
2
2027-11-18
Fixed
2.53000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
902973304
10043.00000000
NS
USD
331820.72000000
0.138639201928
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XLU3
1366531.12000000
PA
USD
31667.57000000
0.013231140694
Long
ABS-MBS
USGA
US
N
2
2054-11-16
Variable
0.91000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT CIII LLC
92873JAA7
769726.23000000
PA
USD
717432.49000000
0.299753034865
Long
ABS-O
CORP
US
N
2
2051-08-25
Variable
1.99000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AP3
2660000.00000000
PA
USD
2368943.01000000
0.989776552592
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAB2
10000.00000000
PA
USD
7066.10000000
0.002952312516
Long
DBT
US
N
2
2029-04-01
Fixed
4.65000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35906ABF4
350000.00000000
PA
USD
302211.00000000
0.126267858902
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.00000000
N
N
N
N
N
N
CIFC Funding Ltd
635400VBVF8AYJQBI411
CIFC Funding 2018-I Ltd
12547WAC8
650000.00000000
PA
USD
285786.80000000
0.119405605152
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Variable
0.00000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Credit-Based Asset Servicing and Securitization LLC
12498NAB9
1867681.08000000
PA
USD
1413029.98000000
0.590383110277
Long
ABS-O
CORP
US
N
2
2036-12-25
Variable
3.04000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273V100
103400.00000000
NS
USD
1313180.00000000
0.548664432975
Long
EC
CORP
US
N
1
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
557383.73000000
NS
USD
557383.73000000
0.232882489963
Long
STIV
RF
US
N
1
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-3 Trust
058931AW6
145234.54000000
PA
USD
116351.88000000
0.048613395167
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
6.00000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAH4
323000.00000000
PA
USD
291688.38000000
0.121871365401
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.57000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397TTP7
82526.88000000
PA
USD
6846.41000000
0.002860523051
Long
ABS-MBS
USGSE
US
N
2
2038-06-15
Floating
1.06000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BV0
205000.00000000
PA
USD
193669.65000000
0.080917809212
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
5.50000000
N
N
N
N
N
N
TRANSMONTAIGE PARTNERS
N/A
TransMontaigne Partners LP / TLP Finance Corp
89376VAA8
265000.00000000
PA
USD
229797.40000000
0.096012473667
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
6.13000000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2006-AR2
23332QAC7
339494.19000000
PA
USD
237745.71000000
0.099333385499
Long
ABS-MBS
CORP
US
N
2
2036-10-19
Floating
5.36000000
N
N
N
N
N
N
JANE STREET GRP/JSG FIN
N/A
Jane Street Group / JSG Finance Inc
47077WAA6
435000.00000000
PA
USD
375600.75000000
0.156931092861
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.50000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCK9
60000.00000000
PA
USD
67453.20000000
0.028182862768
Long
DBT
CORP
US
N
2
2052-11-09
Fixed
6.90000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
200000.00000000
PA
USD
32742.00000000
0.013680052136
Long
DBT
CORP
KY
Y
3
2025-01-10
Fixed
6.50000000
N
Y
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2U6
1320000.00000000
PA
USD
1131834.00000000
0.472895612050
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TBC4
1717629.89000000
PA
USD
413396.59000000
0.172722707965
Long
ABS-O
CORP
US
N
2
2029-09-15
Variable
8.15000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Securitized Asset Backed Receivables LLC Trust 2006-CB1
81375WHH2
970685.63000000
PA
USD
776728.95000000
0.324527900918
Long
ABS-O
CORP
US
N
2
2036-01-25
Variable
2.86000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DR3
50000.00000000
PA
USD
39106.00000000
0.016339017740
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAF8
149000.00000000
PA
USD
128638.72000000
0.053747003737
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.65000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
430000.00000000
PA
USD
398126.43000000
0.166342627795
Long
DBT
CORP
GB
N
2
2026-06-04
Fixed
2.10000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPJQ9
7686913.12000000
PA
USD
208262.31000000
0.087014820684
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Variable
1.35000000
N
N
N
N
N
N
Gracechurch Mortgage Finance Plc
N/A
Grace Trust 2020-GRCE
38406JAN8
376000.00000000
PA
USD
226201.60000000
0.094510099607
Long
ABS-MBS
CORP
US
N
2
2040-12-10
Variable
2.77000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2016-GS2
36252TAT2
4061697.41000000
PA
USD
148995.29000000
0.062252255063
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Variable
1.88000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579ZE1
87550.64000000
PA
USD
82470.57000000
0.034457323844
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
5.77000000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AE3
79000.00000000
PA
USD
71591.38000000
0.029911850556
Long
DBT
US
N
2
2052-05-15
Fixed
5.63000000
N
N
N
N
N
N
SLC Student Loan Trust
25490083RPF52FIUZ551
SLC Student Loan Trust 2004-1
784423AH8
177180.36000000
PA
USD
150559.68000000
0.062905878444
Long
ABS-O
CORP
US
N
2
2031-08-15
Floating
5.61000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2020-BID Mortgage Trust
05493BAL2
705000.00000000
PA
USD
647607.40000000
0.270579164251
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
9.82000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
902973BC9
130000.00000000
PA
USD
96011.50000000
0.040114908243
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.70000000
N
N
N
N
N
N
PENN ENTERTAINMENT INC
N/A
Penn Entertainment Inc
707569AV1
300000.00000000
PA
USD
246750.00000000
0.103095500111
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
4.13000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2006-HYB2
126694C63
698104.45000000
PA
USD
485019.10000000
0.202647565058
Long
ABS-MBS
CORP
US
N
2
2036-04-20
Variable
4.22000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) SEP23
000000000
296.00000000
NC
USD
-616796.23000000
-0.25770583910
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year U.S. Treasury Notes
FVU3 Comdty
2023-09-29
32316546.23000000
USD
-616796.23000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS6 Trust
74922EAV1
2714974.00000000
PA
USD
57632.65000000
0.024079703645
Long
ABS-MBS
CORP
US
N
3
2036-06-25
Variable
0.77000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-1
61947DAE9
800917.92000000
PA
USD
102446.21000000
0.042803417444
Long
ABS-O
CORP
US
N
2
2046-12-20
None
0.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBF5
325000.00000000
PA
USD
280422.81000000
0.117164457303
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
5.15000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP5
46647TAU2
10190993.18000000
PA
USD
224305.29000000
0.093717795543
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Variable
0.96000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-P1
14688DAM3
2425.00000000
PA
USD
814156.03000000
0.340165443087
Long
ABS-O
CORP
US
N
2
2029-01-10
None
0.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967ML2
140000.00000000
PA
USD
118553.40000000
0.049533220113
Long
DBT
CORP
US
N
2
2031-01-29
Fixed
2.67000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2019-PRM
29429JAC4
14000000.00000000
PA
USD
139944.70000000
0.058470795681
Long
ABS-MBS
CORP
US
N
2
2036-05-10
Variable
1.33000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3L3
135000.00000000
PA
USD
120957.43000000
0.050537656486
Long
DBT
CORP
US
N
2
2027-03-08
Fixed
3.21000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAE5
42000.00000000
PA
USD
37053.66000000
0.015481522223
Long
DBT
US
N
2
2030-08-15
Fixed
4.13000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF13
30247DAD3
596712.25000000
PA
USD
401835.40000000
0.167892285818
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.47000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
365000.00000000
PA
USD
299500.75000000
0.125135479655
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.55000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR9
45661EGC2
433207.49000000
PA
USD
261074.01000000
0.109080265966
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
3.73000000
N
N
N
N
N
N
SIMMONS FOOD INC/SIMMONS
N/A
Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed
82873MAA1
300000.00000000
PA
USD
243138.00000000
0.101586357471
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.63000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BDCY0
3110000.00000000
PA
USD
93147.92000000
0.038918465640
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Variable
2.18000000
N
N
N
N
N
N
CIT Education Loan Trust
N/A
CIT Education Loan Trust 2007-1
17284LAA2
364959.66000000
PA
USD
352907.91000000
0.147449716210
Long
ABS-O
CORP
US
N
2
2042-03-25
Floating
5.33000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAQ6
285000.00000000
PA
USD
256615.00000000
0.107217231048
Long
DBT
CORP
US
N
2
2048-06-25
Fixed
4.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38373M8V5
4927515.45000000
PA
USD
106.93000000
0.000044676805
Long
ABS-MBS
USGA
US
N
2
2049-10-16
Variable
0.01000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BEVK7
4875000.00000000
PA
USD
113655.75000000
0.047486915448
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Variable
2.10000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBD4
630000.00000000
PA
USD
529067.70000000
0.221051668184
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032682
2575000.00000000
PA
USD
2349184.58000000
0.981521212279
Long
ABS-MBS
USGSE
US
N
2
2053-08-15
Fixed
3.50000000
N
N
N
N
N
N
Sunoco LP
54930001NJU8E40NQ561
Sunoco LP
86765K109
26257.00000000
NS
USD
1143754.92000000
0.477876334276
Long
EC
CORP
US
N
1
N
N
N
SLM Student Loan Trust
549300Y3YMECZJOAL893
SLM Student Loan Trust 2004-2
78442GLB0
205733.69000000
PA
USD
190663.96000000
0.079661991122
Long
ABS-O
CORP
US
N
2
2039-07-25
Floating
5.73000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2006-S9 Trust
749577AP7
16442277.86000000
PA
USD
177283.93000000
0.074071632928
Long
ABS-MBS
CORP
US
N
3
2036-09-25
Variable
0.35000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DT2
300000.00000000
PA
USD
245904.25000000
0.102742134279
Long
DBT
NUSS
CL
N
2
2033-07-27
Fixed
2.55000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-10 LLC
69360HAA9
892828.78000000
PA
USD
835638.54000000
0.349141127432
Long
ABS-MBS
CORP
US
N
2
2026-10-25
Variable
2.49000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAC0
70000.00000000
PA
USD
44464.70000000
0.018577955354
Long
DBT
US
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBC6
5000.00000000
PA
USD
4437.05000000
0.001853859731
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.28000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AZ0
372000.00000000
PA
USD
301091.48000000
0.125800108247
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
6.50000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
C-BASS Mortgage Loan Trust 2007-CB3
17311YAC7
1157224.92000000
PA
USD
441380.86000000
0.184414915912
Long
ABS-O
CORP
US
N
2
2037-03-25
Variable
3.29000000
N
N
N
N
N
N
Pilgrim's Pride Corp
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAE8
250000.00000000
PA
USD
247050.00000000
0.103220844184
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
5.88000000
N
N
N
N
N
N
CENTRAL GARDEN & PET CO
5493004DVZLD37DJ0H83
Central Garden & Pet Co
153527AN6
24000.00000000
PA
USD
20163.84000000
0.008424726115
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.13000000
N
N
N
N
N
N
AMERICAN ASSETS TRUST LP
549300V1TI0SMG9Z6U69
American Assets Trust LP
02401LAA2
275000.00000000
PA
USD
215943.75000000
0.090224230606
Long
DBT
US
N
2
2031-02-01
Fixed
3.38000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AX4
10000.00000000
PA
USD
9515.60000000
0.003975746872
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.50000000
N
N
N
N
N
N
OT MERGER CORP
N/A
OT Merger Corp
688777AA9
575000.00000000
PA
USD
352940.75000000
0.147463437208
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
7.88000000
N
N
N
N
N
N
Latitude Management Real Estate Capital Inc
N/A
LMREC 2019-CRE3 Inc
50209TAA8
245950.98000000
PA
USD
243491.19000000
0.101733925049
Long
ABS-CBDO
CORP
US
N
2
2035-12-22
Floating
6.55000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
000000000
215000.00000000
PA
184235.38000000
0.076976043118
Long
DBT
US
N
2
2030-10-05
Fixed
0.95000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAC1
150000.00000000
PA
USD
149701.44000000
0.062547294120
Long
DBT
CORP
GB
N
2
2024-08-01
Fixed
4.36000000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YBA3
666799.87000000
PA
USD
620577.34000000
0.259285638197
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
10.44000000
N
N
N
N
N
N
Manhattan West
N/A
Manhattan West 2020-1MW Mortgage Trust
563136AA8
695000.00000000
PA
USD
597668.69000000
0.249714093198
Long
ABS-MBS
CORP
US
N
2
2039-09-10
Fixed
2.13000000
N
N
N
N
N
N
SMRT
N/A
SMRT 2022-MINI
78457JAN2
1005000.00000000
PA
USD
949993.94000000
0.396920366149
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
7.85000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AS6
50000.00000000
PA
USD
40250.04000000
0.016817013184
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.38000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DW6
75000.00000000
PA
USD
77955.75000000
0.032570970751
Long
DBT
CORP
GB
N
2
2044-03-09
Fixed
6.33000000
N
N
N
N
N
N
MFT Trust
N/A
MFT Trust 2020-ABC
55317BAJ6
730000.00000000
PA
USD
446205.71000000
0.186430803749
Long
ABS-MBS
CORP
US
N
2
2042-02-10
Variable
3.59000000
N
N
N
N
N
N
Park Avenue Institutional Advisers CLO
N/A
Park Avenue Institutional Advisers CLO Ltd 2021-1
70015QAG3
500000.00000000
PA
USD
465175.00000000
0.194356430656
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
9.05000000
N
N
N
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp
62886EAZ1
80000.00000000
PA
USD
69668.68000000
0.029108520392
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
5.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3B7
200000.00000000
PA
USD
191950.68000000
0.080199600208
Long
DBT
CORP
US
N
2
2033-07-25
Fixed
4.90000000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
000000000
120000.00000000
PA
130963.24000000
0.054718219753
Long
DBT
US
N
2
2034-07-06
Fixed
5.13000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAD8
50000.00000000
PA
USD
40297.00000000
0.016836633710
Long
DBT
US
N
2
2028-02-15
Fixed
5.95000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAL9
135000.00000000
PA
USD
118592.46000000
0.049549539911
Long
DBT
US
N
2
2029-02-15
Fixed
3.88000000
N
N
N
N
N
N
Artera Services LLC
549300J2G34D0WX8Z443
Artera Services LLC
73939VAA2
254000.00000000
PA
USD
222623.38000000
0.093015070709
Long
DBT
CORP
US
N
2
2025-12-04
Fixed
9.03000000
N
N
N
N
N
N
FORTREA HOLDINGS INC
5493000FIVFABOVCDU97
Fortrea Holdings Inc
34965KAA5
125000.00000000
PA
USD
128053.75000000
0.053502595329
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
7.50000000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505PD8
13973.21000000
PA
USD
13989.28000000
0.005844911115
Long
ABS-O
CORP
US
N
2
2027-09-15
Variable
7.95000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343V104
15224.00000000
NS
USD
566180.56000000
0.236557924971
Long
EC
CORP
US
N
1
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BW6
75000.00000000
PA
USD
71721.00000000
0.029966007552
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
4.75000000
N
N
N
N
N
N
SLM Student Loan Trust
549300EQOYJZL2D96G46
SLM Student Loan Trust 2008-4
78445AAE6
515000.00000000
PA
USD
490479.51000000
0.204928998492
Long
ABS-O
CORP
US
N
2
2073-04-25
Floating
7.11000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2007-AR5
45669EAC0
643151.89000000
PA
USD
529170.90000000
0.221094786545
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
3.32000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TDE8
12289.20000000
PA
USD
12264.57000000
0.005124303861
Long
ABS-O
CORP
US
N
2
2024-05-15
Variable
6.03000000
N
N
N
N
N
N
HSI Asset Loan Obligation
N/A
HSI Asset Loan Obligation Trust 2007-2
40432BAR0
333222.75000000
PA
USD
254303.74000000
0.106251555240
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6.00000000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2019-1 Trust
21872FAB3
175853.16000000
PA
USD
3819.39000000
0.001595792997
Long
ABS-O
CORP
US
N
2
2052-03-15
Variable
2.46000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TAU5
570893.59000000
PA
USD
348200.27000000
0.145482800302
Long
ABS-O
CORP
US
N
2
2030-03-15
Variable
7.61000000
N
N
N
N
N
N
Freddie Mac Multiclass Certificates
N/A
Freddie Mac Multifamily PC REMIC Trust 2019-P002
3137FQKX0
1295000.00000000
PA
USD
103772.36000000
0.043357500919
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Variable
1.14000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QA7 Trust
76110H7A1
628730.06000000
PA
USD
478848.48000000
0.200069396244
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.37000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAW1
248000.00000000
PA
USD
206895.74000000
0.086443849184
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAF0
135000.00000000
PA
USD
113692.95000000
0.047502458113
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.78000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2006-14
12670AAG6
8038262.62000000
PA
USD
33800.89000000
0.014122470754
Long
ABS-MBS
CORP
US
N
3
2036-09-25
Variable
0.13000000
N
N
N
N
N
N
H-FOOD HOLDNG/HEARTHSIDE
N/A
H-Food Holdings LLC / Hearthside Finance Co Inc
577088AA5
244000.00000000
PA
USD
96715.50000000
0.040409049001
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
8.50000000
N
N
N
N
N
N
Newell Brands Inc
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AY2
300000.00000000
PA
USD
237721.04000000
0.099323078038
Long
DBT
CORP
US
N
2
2046-04-01
Fixed
6.00000000
N
N
N
N
N
N
MFT Trust
N/A
MFT 2020-B6 Mortgage Trust
55316TAE9
220000.00000000
PA
USD
143238.18000000
0.059846856341
Long
ABS-MBS
CORP
US
N
2
2040-08-10
Variable
3.39000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR3
36242D4W0
136606.84000000
PA
USD
106239.80000000
0.044388430852
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
3.90000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2022-4 LLC
693588AB1
1080000.00000000
PA
USD
981746.68000000
0.410187092027
Long
ABS-MBS
CORP
US
N
2
2027-08-25
Variable
5.00000000
N
N
N
N
N
N
GRIFOLS ESCROW ISSUER
959800HLB3PGTGSLVV62
Grifols Escrow Issuer SA
39843UAA0
425000.00000000
PA
USD
369172.00000000
0.154245073828
Long
DBT
CORP
ES
N
2
2028-10-15
Fixed
4.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CGW5
1638160.20000000
PA
USD
1584919.99000000
0.662201090197
Long
DBT
UST
US
N
2
2028-04-15
Fixed
1.25000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAJ4
60000.00000000
PA
USD
58945.20000000
0.024628104855
Long
DBT
US
N
2
2027-02-01
Fixed
5.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCW4
175000.00000000
PA
USD
160891.50000000
0.067222653115
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.95000000
N
N
N
N
N
N
ASCENDAS REIT
549300ILIBAEMQZK3L20
CapitaLand Ascendas REIT
000000000
115000.00000000
PA
100361.99000000
0.041932602031
Long
DBT
SG
Y
2
2028-06-23
Fixed
0.75000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDE9
122000.00000000
PA
USD
89218.67000000
0.037276771643
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAH8
80000.00000000
PA
USD
76009.60000000
0.031757842858
Long
DBT
US
N
2
2026-09-01
Fixed
4.50000000
N
N
N
N
N
N
SLM Student Loan Trust
549300DP3T6QDZHB8271
SLM Student Loan Trust 2007-6
78444CAF0
103226.53000000
PA
USD
96090.61000000
0.040147961475
Long
ABS-O
CORP
US
N
2
2043-04-27
Floating
6.11000000
N
N
N
N
N
N
Asset Backed Securities Corp Home Equity Ln Trst
N/A
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2006-HE3
04541GXC1
870387.16000000
PA
USD
832820.47000000
0.347963699525
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.90000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-S2
46630WAA8
147212.89000000
PA
USD
55452.77000000
0.023168920185
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
5.00000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2022-1 LLC
693582AB4
1000000.00000000
PA
USD
944158.50000000
0.394482240090
Long
ABS-MBS
CORP
US
N
2
2027-02-25
Variable
6.29000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FG7J8
2400000.00000000
PA
USD
95628.00000000
0.039954676736
Long
ABS-MBS
USGSE
US
N
2
2046-05-25
Variable
2.24000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT SEP23
000000000
-263.00000000
NC
USD
320527.87000000
0.133920895876
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Ultra 10-Year U.S. Treasury Notes Futures
UXYU3 Comdty
2023-09-20
-31469590.37000000
USD
320527.87000000
N
N
N
INTELSAT JACKSON HOLDINGS S A
N/A
INTELSAT JACKSON HOLDINGS S A
000000000
1158.00000000
NS
USD
0.00000000
0.000000
N/A
DE
LU
N
3
N/A
N/A
INTELSAT EMERGENCE SA
INTELSAT EMERGENCE SA
2025-12-05
XXXX
0.00000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YED3
10000.00000000
PA
USD
7959.10000000
0.003325420040
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.24000000
N
N
N
N
N
N
HOA Funding LLC
N/A
HOA Funding LLC - HOA
40390GAA6
589500.00000000
PA
USD
486028.25000000
0.203069201630
Long
ABS-O
CORP
US
N
2
2051-08-20
Fixed
4.72000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BR7
350000.00000000
PA
USD
352418.50000000
0.147245234067
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
6.75000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209S103
12670.00000000
NS
USD
573951.00000000
0.239804520302
Long
EC
CORP
US
N
1
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBW5
1000000.00000000
PA
USD
891470.00000000
0.372468269441
Long
DBT
CORP
US
N
2
2027-02-04
Fixed
1.04000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2007-9
86364JAD9
230225.72000000
PA
USD
144881.07000000
0.060533278088
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
3.94000000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2006-AR4
86360QAM7
654487.89000000
PA
USD
527663.65000000
0.220465037031
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.51000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCK7
275000.00000000
PA
USD
222750.00000000
0.093067974265
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.25000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PED6
200000.00000000
PA
USD
175779.89000000
0.073443224596
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2023-NR1
12569VAA7
1199597.09000000
PA
USD
1148875.13000000
0.480015627531
Long
ABS-O
CORP
US
N
2
2062-06-25
Variable
6.00000000
N
N
N
N
N
N
Regatta XII Funding Ltd.
2549001ZYXDVCT6R4I31
Regatta XII Funding Ltd
75888HAN1
725000.00000000
PA
USD
709485.00000000
0.296432465640
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Floating
6.86000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2007-FLX2
45668RAC2
1430589.54000000
PA
USD
1244249.82000000
0.519864467910
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.34000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJN1
140000.00000000
PA
USD
141080.80000000
0.058945473686
Long
DBT
CORP
US
N
2
2034-06-12
Fixed
5.84000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1632.03000000
-0.00068188429
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
71000.00000000
EUR
75862.28000000
USD
2023-07-14
-1632.03000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
497.02000000
0.000207661704
N/A
DFE
XX
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
184552.17000000
USD
169614.24000000
EUR
2023-07-03
497.02000000
N
N
N
CANO HEALTH LLC
254900OGI2T8V1NXN639
Cano Health LLC
13782CAA8
160000.00000000
PA
USD
100292.00000000
0.041903359259
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
6.25000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2020-UPTN
36258PAC1
3150000.00000000
PA
USD
14885.17000000
0.006219226121
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
0.45000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AT5H3
750131.21000000
PA
USD
13614.32000000
0.005688247736
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Variable
3.09000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B14 Mortgage Trust
08162YBM3
535000.00000000
PA
USD
285088.77000000
0.119113958741
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
3.40000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35906ABG2
150000.00000000
PA
USD
116523.81000000
0.048685229855
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
6.75000000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2022-II Ltd
12567VAC5
685000.00000000
PA
USD
521682.30000000
0.217965947793
Long
ABS-CBDO
CORP
KY
N
2
2035-04-19
Variable
1.00000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR5
22541SJL3
3123.05000000
PA
USD
3152.35000000
0.001317094629
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
5.89000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAE5
130000.00000000
PA
USD
119572.26000000
0.049958913654
Long
DBT
CORP
IE
N
2
2028-01-23
Fixed
3.88000000
N
N
N
N
N
N
CINEMARK USA INC
54930008H2137JSCPQ09
Cinemark USA Inc
172441BF3
150000.00000000
PA
USD
132750.00000000
0.055464752339
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.25000000
N
N
N
N
N
N
PENN ENTERTAINMENT INC
N/A
Penn Entertainment Inc
707569AS8
165000.00000000
PA
USD
154481.59000000
0.064544505690
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
5.63000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BP7A1
8119698.67000000
PA
USD
190892.49000000
0.079757474059
Long
ABS-MBS
USGSE
US
N
2
2026-03-25
Variable
1.17000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AS0
40000.00000000
PA
USD
26773.67000000
0.011186402830
Long
DBT
CORP
US
N
2
2050-12-01
Fixed
3.47000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR2
12565CAA3
964542.60000000
PA
USD
923432.35000000
0.385822573222
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.57000000
N
N
N
N
N
N
EMBECTA CORP
549300RPG8GXVDHNXZ62
Embecta Corp
29082KAA3
400000.00000000
PA
USD
332816.00000000
0.139055043425
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
5.00000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2007-HF1
55291YAG2
1060738.35000000
PA
USD
523756.85000000
0.218832722949
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376G6L9
1213805.00000000
PA
USD
15.72000000
0.000006568029
Long
ABS-MBS
USGA
US
N
2
2051-08-16
Variable
0.00000000
N
N
N
N
N
N
DENTSPLY SIRONA INC
9NHEHR1SOZCYXDO8HO28
DENTSPLY SIRONA Inc
24906PAA7
295000.00000000
PA
USD
255370.67000000
0.106697333080
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.25000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BX1
165000.00000000
PA
USD
124964.40000000
0.052211822955
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.30000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2004-IN1
004421FD0
328032.76000000
PA
USD
297752.94000000
0.124405220908
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
5.79000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISU5NYXNHD479
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJA8
800000.00000000
PA
USD
778407.38000000
0.325229171760
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
8.12000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
549300G18KVCW7VUKI86
Rockford Tower CLO 2017-2 Ltd
77340GAL5
800000.00000000
PA
USD
788622.40000000
0.329497145804
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
6.76000000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AC7
5000.00000000
PA
USD
4698.95000000
0.001963285107
Long
DBT
US
N
2
2030-02-15
Fixed
4.95000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAL0
485000.00000000
PA
USD
487284.35000000
0.203594017264
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.88000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C23
46643ABG7
9006014.89000000
PA
USD
46063.06000000
0.019245771863
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
0.74000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDY2
825000.00000000
PA
USD
810055.82000000
0.338452319681
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
11.07000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAY7
635000.00000000
PA
USD
545185.60000000
0.227785945636
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
2.45000000
N
N
N
N
N
N
ESC CB144A INTELSAT JA
N/A
ESC CB144A INTELSAT JA
458ESCAC4
621000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
LU
N
3
2025-07-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BBQ1
2902491.45000000
PA
USD
29.02000000
0.000012124950
Long
ABS-MBS
USGA
US
N
2
2052-05-16
Variable
0.00000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AQ4
665000.00000000
PA
USD
527505.01000000
0.220398755085
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
2.30000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17308CC53
145000.00000000
PA
USD
125976.00000000
0.052634483169
Long
DBT
CORP
US
N
2
2030-11-05
Fixed
2.98000000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAL8
205000.00000000
PA
USD
162617.14000000
0.067943648936
Long
DBT
US
N
2
2030-03-15
Fixed
2.40000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABU8
489000.00000000
PA
USD
453777.33000000
0.189594329384
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
2.63000000
N
N
N
N
N
N
Student Loan Consolidation Center Student Loan
5493008KMDJ3GC7JUA63
Student Loan Consolidation Center Student Loan Trust I
86386MAX2
1050000.00000000
PA
USD
970237.80000000
0.405378525707
Long
ABS-O
CORP
US
N
2
2042-07-01
Floating
1.65000000
N
N
N
N
N
N
MODIVCARE ESCROW ISSUER
N/A
ModivCare Escrow Issuer Inc
60783XAA2
300000.00000000
PA
USD
222396.00000000
0.092920068258
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
Structured Receivables Finance LLC
N/A
Structured Receivables Finance 2010-A LLC
86365FAC8
468179.70000000
PA
USD
470900.12000000
0.196748463522
Long
ABS-O
CORP
US
N
2
2046-01-16
Fixed
7.61000000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WBB1
285000.00000000
PA
USD
220871.20000000
0.092282986116
Long
DBT
CORP
KY
N
2
2041-04-22
Fixed
3.68000000
N
N
N
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TBC8
397000.00000000
PA
USD
361067.53000000
0.150858916228
Long
DBT
CORP
LU
N
2
2030-03-15
Fixed
6.50000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55607PAG0
160000.00000000
PA
USD
126851.20000000
0.053000153612
Long
DBT
CORP
AU
N
2
2032-06-23
Fixed
2.69000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AR2
15000.00000000
PA
USD
10510.40000000
0.004391387819
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
3.27000000
N
N
N
N
N
N
Goal Capital Funding Trust
5493009VZI2B6V83UU74
Goal Capital Funding Trust 2006-1
38021BAG5
128749.27000000
PA
USD
114842.29000000
0.047982667969
Long
ABS-O
CORP
US
N
2
2042-08-25
Floating
5.85000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R5
12592SAC1
1096000.00000000
PA
USD
638981.37000000
0.266975091802
Long
ABS-MBS
CORP
US
N
2
2061-08-25
Variable
2.00000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
5545247.04000000
NS
USD
5545247.04000000
2.316879500840
Long
STIV
RF
US
N
1
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MS7
455000.00000000
PA
USD
379815.78000000
0.158692189622
Long
DBT
CORP
US
N
2
2031-06-03
Fixed
2.57000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJJ0
115000.00000000
PA
USD
115688.85000000
0.048336372231
Long
DBT
CORP
US
N
2
2033-10-21
Fixed
5.85000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBN1
500000.00000000
PA
USD
444013.23000000
0.185514755838
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
3.80000000
N
N
N
N
N
N
DEUTSCHE ALT-B SECURITIES INC MORTGAGE L
N/A
Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2
251511AB7
915232.74000000
PA
USD
795782.97000000
0.332488929169
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
4.81000000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAC6
135000.00000000
PA
USD
102422.45000000
0.042793490194
Long
DBT
US
N
2
2034-01-15
Fixed
2.70000000
N
N
N
N
N
N
UPBOUND GROUP INC
529900QUHE15UQNCCJ63
Upbound Group Inc
76009NAL4
270000.00000000
PA
USD
240300.00000000
0.100400602540
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396VE20
766129.00000000
PA
USD
48323.82000000
0.020190348085
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
Floating
0.95000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZE7
700000.00000000
PA
USD
687183.00000000
0.287114387247
Long
DBT
CORP
US
N
2
2023-12-06
Fixed
1.22000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396Q4H9
122345.60000000
PA
USD
11187.50000000
0.004674289392
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
1.60000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-LC4 Mortgage Trust
126192AJ2
14788859.63000000
PA
USD
139.02000000
0.000058084443
Long
ABS-MBS
CORP
US
N
2
2044-12-10
Variable
0.44000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-3
61946TAE5
1600000.00000000
PA
USD
143244.80000000
0.059849622267
Long
ABS-O
CORP
US
N
2
2052-06-20
None
0.00000000
N
N
N
N
N
N
ZHENRO PROPERTIES GROUP
549300I66TVJEL841P38
Zhenro Properties Group Ltd
000000000
200000.00000000
PA
USD
8500.00000000
0.003551415404
Long
DBT
CORP
KY
Y
3
2026-01-07
None
0.00000000
Y
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DT4
245000.00000000
PA
USD
248513.30000000
0.103832230792
Long
DBT
CORP
US
N
2
2053-03-02
Fixed
5.65000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375DLA4
456502.50000000
PA
USD
7112.86000000
0.002971849478
Long
ABS-MBS
USGA
US
N
2
2038-05-20
Floating
1.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376GXY1
4940509.00000000
PA
USD
48703.04000000
0.020348791350
Long
ABS-MBS
USGA
US
N
2
2050-09-16
Variable
0.29000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2006-IM1
07387UFD8
78645.33000000
PA
USD
81413.17000000
0.034015527768
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.61000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C24
46643GAG5
7091037.00000000
PA
USD
47648.93000000
0.019908369881
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
0.99000000
N
N
N
N
N
N
SLC Student Loan Trust
N/A
SLC Student Loan Trust 2006-1
784427AG1
236683.27000000
PA
USD
206888.56000000
0.086440849283
Long
ABS-O
CORP
US
N
2
2055-03-15
Floating
5.76000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
C-BASS Mortgage Loan Trust 2007-CB2
1248MBAJ4
783562.50000000
PA
USD
490059.73000000
0.204753608709
Long
ABS-O
CORP
US
N
2
2037-02-25
Variable
3.54000000
N
N
N
N
N
N
ADTALEM GLOBAL EDUCATION
549300Z467EZLMODV621
Adtalem Global Education Inc
00737WAA7
141000.00000000
PA
USD
128202.84000000
0.053564887155
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.50000000
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8Q8
360000.00000000
PA
USD
370108.80000000
0.154636481587
Long
DBT
CORP
US
N
2
2053-05-15
Fixed
5.60000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS Commercial Mortgage Trust 2013-C16
92938EAZ6
6756600.57000000
PA
USD
108.11000000
0.000045169825
Long
ABS-MBS
CORP
US
N
2
2046-09-15
Variable
0.70000000
N
N
N
N
N
N
WASH MULTIFAM ACQ INC
549300AS7PRY5PHG6L12
WASH Multifamily Acquisition Inc
93710WAA3
260000.00000000
PA
USD
244163.40000000
0.102014783513
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-4 LLC
693583AA4
1229636.77000000
PA
USD
1138435.47000000
0.475653795844
Long
ABS-MBS
CORP
US
N
2
2026-04-25
Variable
1.87000000
N
N
N
N
N
N
Enterprise Products Partners LP
K4CDIF4M54DJZ6TB4Q48
Enterprise Products Partners LP
293792107
38393.00000000
NS
USD
1011655.55000000
0.422683423984
Long
EC
CORP
US
N
1
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2017-SFR2 Trust
89613FAE8
1350000.00000000
PA
USD
1328363.82000000
0.555008439121
Long
ABS-O
CORP
US
N
2
2036-01-17
Fixed
4.22000000
N
N
N
N
N
N
ACRISURE LLC / FIN INC
N/A
Acrisure LLC / Acrisure Finance Inc
00489LAH6
160000.00000000
PA
USD
138400.00000000
0.057825399049
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
6.00000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AY3
150000.00000000
PA
USD
85726.86000000
0.035817846017
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
7.50000000
N
N
N
N
N
N
OCP CLO Ltd
2549000M7NBNQ7XU2038
OCP CLO 2021-21 Ltd
671000AE7
400000.00000000
PA
USD
389181.20000000
0.162605189252
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.95000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS8 Trust
75115AAC5
523008.92000000
PA
USD
426952.11000000
0.178386388264
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
6.00000000
N
N
N
N
N
N
FERTITTA ENTERTAINMENT
N/A
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc
31556TAC3
450000.00000000
PA
USD
383625.00000000
0.160283733456
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6.75000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAV1
566000.00000000
PA
USD
501153.38000000
0.209388686297
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYL2
285000.00000000
PA
USD
280213.37000000
0.117076950428
Long
DBT
CORP
US
N
2
2024-10-21
Fixed
0.93000000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AY2
240000.00000000
PA
USD
244675.20000000
0.102228620502
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
6.88000000
N
N
N
N
N
N
Waste Pro USA Inc
549300BY1QXU5BI3UF28
Waste Pro USA Inc
94107JAA1
425000.00000000
PA
USD
394728.42000000
0.164922893083
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
SLM Student Loan Trust
549300OORAXMFXOHG132
SLM Student Loan Trust 2008-3
78444GAD6
225000.00000000
PA
USD
208441.68000000
0.087089763905
Long
ABS-O
CORP
US
N
2
2083-04-26
Floating
6.46000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-FACT
126395AQ5
1017000.00000000
PA
USD
855839.57000000
0.357581392034
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
11.35000000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAG9
245000.00000000
PA
USD
209773.28000000
0.087646124464
Long
DBT
US
N
2
2030-02-15
Fixed
3.10000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAJ5
180000.00000000
PA
USD
170985.60000000
0.071440105142
Long
DBT
CORP
XX
N
2
2052-12-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397CW39
286988.39000000
PA
USD
30773.68000000
0.012857661316
Long
ABS-MBS
USGSE
US
N
2
2036-11-15
Floating
1.46000000
N
N
N
N
N
N
FARMERS INS EXCH
549300UWG2TLX1GZVT44
Farmers Insurance Exchange
309601AE2
5000.00000000
PA
USD
3931.30000000
0.001642550515
Long
DBT
CORP
US
N
2
2057-11-01
Fixed
4.75000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DS6
245000.00000000
PA
USD
246178.45000000
0.102856698761
Long
DBT
CORP
US
N
2
2043-03-02
Fixed
5.60000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020679
11425000.00000000
PA
USD
9319854.52000000
3.893961753631
Long
ABS-MBS
USGSE
US
N
2
2053-07-15
Fixed
2.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCN3
375000.00000000
PA
USD
319912.50000000
0.133663785935
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.27000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CB3
154000.00000000
PA
USD
106805.26000000
0.044624687717
Long
DBT
CORP
US
N
2
2051-07-15
Fixed
3.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC18
36252RAW9
66563000.00000000
PA
USD
60093.08000000
0.025107704704
Long
ABS-MBS
CORP
US
N
2
2047-01-10
Variable
0.34000000
N
N
N
N
N
N
PROLOGIS EURO FINANCE
549300MI5D1784PRQH06
Prologis Euro Finance LLC
000000000
165000.00000000
PA
134122.02000000
0.056038000923
Long
DBT
US
N
2
2031-09-10
Fixed
0.63000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR3
12564UAA4
274294.13000000
PA
USD
262668.50000000
0.109746465536
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
2.57000000
N
N
N
N
N
N
Citimortgage Alternative Loan Trust
N/A
CitiMortgage Alternative Loan Trust Series 2006-A5
18974BAH2
506892.02000000
PA
USD
446557.52000000
0.186577794744
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Fixed
6.00000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAB6
132000.00000000
PA
USD
130530.38000000
0.054537364968
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
105.93000000
0.000044258992
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
119000.00000000
EUR
129990.76000000
USD
2023-07-14
105.93000000
N
N
N
HEALTHEQUITY INC
529900LRJU1RAFQHM467
HealthEquity Inc
42226AAA5
265000.00000000
PA
USD
234768.80000000
0.098089592083
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
1375209 BC LTD
N/A
1375209 BC Ltd
68251PAA5
240000.00000000
PA
USD
240877.20000000
0.100641764537
Long
DBT
CORP
CA
N
2
2028-01-30
Fixed
9.00000000
N
N
N
N
N
N
SK INVICTUS INTERMEDIATE
N/A
SK Invictus Intermediate II Sarl
29977LAA9
285000.00000000
PA
USD
226726.05000000
0.094729221937
Long
DBT
CORP
LU
N
2
2029-10-30
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397GWM8
63390.60000000
PA
USD
3025.37000000
0.001264040661
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Floating
0.92000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TCV1
564902.21000000
PA
USD
282571.71000000
0.118062296899
Long
ABS-O
CORP
US
N
2
2022-09-15
Variable
5.90000000
N
N
N
N
N
N
Frost CMBS
635400USRLUMX8CQN243
Frost CMBS 2021-1 DAC
000000000
746411.77000000
PA
679906.62000000
0.284074216892
Long
ABS-MBS
CORP
IE
N
2
2033-11-20
Floating
7.37000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJL4
305000.00000000
PA
USD
242023.60000000
0.101120746021
Long
DBT
CORP
US
N
2
2031-10-24
Fixed
1.92000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAR3
179000.00000000
PA
USD
172053.01000000
0.071886083532
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
5.95000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS6 Trust
75116CCP9
160750.79000000
PA
USD
124738.80000000
0.052117564212
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
5.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AT5
190000.00000000
PA
USD
166335.50000000
0.069497230228
Long
DBT
CORP
CH
N
2
2027-02-02
Fixed
1.31000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAG0
20000.00000000
PA
USD
19361.40000000
0.008089455788
Long
DBT
US
N
2
2025-06-15
Fixed
4.63000000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAF4
320000.00000000
PA
USD
251744.00000000
0.105182061115
Long
DBT
US
N
2
2052-04-15
Fixed
4.30000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R4
12598HAB1
822783.66000000
PA
USD
704025.95000000
0.294151600433
Long
ABS-MBS
CORP
US
N
2
2061-05-01
Variable
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374NU62
1161954.33000000
PA
USD
25702.55000000
0.010738874352
Long
ABS-MBS
USGA
US
N
2
2036-11-20
Floating
0.00000000
N
N
N
N
N
N
NORTHWEST FIBER LLC/NORT
N/A
Northwest Fiber LLC / Northwest Fiber Finance Sub Inc
667449AD4
135000.00000000
PA
USD
119475.00000000
0.049918277105
Long
DBT
CORP
US
N
2
2027-04-30
Fixed
4.75000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513CB9
135000.00000000
PA
USD
113463.45000000
0.047406569897
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.00000000
N
N
N
N
N
N
Textainer Marine Containers Limited
549300X48KLHDDGPK024
Textainer Marine Containers VII Ltd
88315LAQ1
1297866.67000000
PA
USD
1115030.35000000
0.465874818938
Long
ABS-O
CORP
BM
N
2
2046-04-20
Fixed
2.23000000
N
N
N
N
N
N
FirstKey Homes 2020-SFR1 Trust
N/A
FirstKey Homes 2020-SFR1 Trust
33767MAQ8
1735000.00000000
PA
USD
1619709.25000000
0.676736515357
Long
ABS-O
CORP
US
N
2
2037-08-17
Fixed
4.78000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEA9
920000.00000000
PA
USD
874241.58000000
0.365270001656
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
0.79000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
65000.00000000
PA
USD
49128.95000000
0.020526742331
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA10
32051GA88
169186.00000000
PA
USD
137089.17000000
0.057277716478
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
5.54000000
N
N
N
N
N
N
PROLOGIS EURO FINANCE
549300MI5D1784PRQH06
Prologis Euro Finance LLC
000000000
105000.00000000
PA
106179.58000000
0.044363270118
Long
DBT
US
N
2
2043-01-31
Fixed
4.25000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-11 LLC
69362QAA7
395766.74000000
PA
USD
370145.28000000
0.154651723427
Long
ABS-MBS
CORP
US
N
2
2026-11-25
Variable
2.49000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMU91
3750000.00000000
PA
USD
206722.13000000
0.086371312569
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Variable
2.23000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCJ3
110000.00000000
PA
USD
94444.36000000
0.039460135874
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
2.07000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAP5
50000.00000000
PA
USD
42419.32000000
0.017723367820
Long
DBT
CORP
XX
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468X0
400000.00000000
PA
USD
310853.86000000
0.129878963154
Long
DBT
CORP
US
N
2
2032-04-28
Fixed
1.93000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAN3
515000.00000000
PA
USD
450599.25000000
0.188266484412
Long
DBT
CORP
US
N
2
2038-06-25
Fixed
4.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050672
600000.00000000
PA
USD
589640.63000000
0.246359860733
Long
ABS-MBS
USGA
US
N
2
2053-07-20
Fixed
5.00000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAK7
95000.00000000
PA
USD
93784.00000000
0.039184228500
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
5.50000000
N
N
N
N
N
N
PAPA JOHN'S INTERNATIONA
HZYLD3DK5XOX0WBVNB56
Papa John's International Inc
698813AA0
285000.00000000
PA
USD
241403.55000000
0.100861680713
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
3.88000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050676
10400000.00000000
PA
USD
10191187.55000000
4.258016523608
Long
ABS-MBS
USGSE
US
N
2
2053-07-15
Fixed
5.00000000
N
N
N
N
N
N
SES GLOBAL AMERICAS HLDG
5299000YGN3VJ3R60481
SES GLOBAL Americas Holdings Inc
78413KAB8
675000.00000000
PA
USD
502696.35000000
0.210033360111
Long
DBT
CORP
US
N
2
2044-03-25
Fixed
5.30000000
N
N
N
N
N
N
GSC Capital Corp Mortgage Trust
N/A
GSC Capital Corp Mortgage Trust 2006-2
362480AD7
188180.94000000
PA
USD
174785.13000000
0.073027600362
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
5.51000000
N
N
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2007-HE1
576457AD7
2000000.00000000
PA
USD
1560302.40000000
0.651915526863
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.43000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
20754KAF8
800000.00000000
PA
USD
795747.41000000
0.332474071718
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
8.37000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625H100
9423.00000000
NS
USD
1370481.12000000
0.572605618886
Long
EC
CORP
US
N
1
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Credit-Based Asset Servicing and Securitization LLC
12489WGJ7
299622.05000000
PA
USD
276712.35000000
0.115614176739
Long
ABS-O
CORP
US
N
2
2032-12-25
Variable
3.38000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAF0
125000.00000000
PA
USD
125425.00000000
0.052404267888
Long
DBT
CORP
GB
N
2
2027-07-27
Fixed
6.13000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BZ1
312000.00000000
PA
USD
281820.55000000
0.117748452052
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
5.25000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
000000000
200000.00000000
PA
USD
155274.00000000
0.064875585346
Long
DBT
CORP
KZ
Y
2
2033-04-14
Fixed
3.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CX Mortgage Trust
12656KAL1
370000.00000000
PA
USD
239517.47000000
0.100073650882
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
2.77000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCC8
355000.00000000
PA
USD
294976.60000000
0.123245228361
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.58000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAF4
250000.00000000
PA
USD
224792.50000000
0.093921358495
Long
DBT
CORP
GB
N
2
2028-02-16
Fixed
2.97000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BZ9
274000.00000000
PA
USD
236837.38000000
0.098953872892
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20754JAC8
724927.70000000
PA
USD
731355.05000000
0.305570069459
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
8.90000000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-4
007036KJ4
337243.72000000
PA
USD
288477.33000000
0.120529745115
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.34000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT XCIX LLC
92872VAA1
1307356.89000000
PA
USD
1192338.51000000
0.498175217795
Long
ABS-O
CORP
US
N
2
2051-04-25
Variable
2.12000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISU5NYXNHD479
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJB6
875000.00000000
PA
USD
814303.96000000
0.340227250250
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Floating
10.57000000
N
N
N
N
N
N
SLM Student Loan Trust
549300QFNKDN6MY4H751
SLM Student Loan EDC Repackaging Trust 2013-M1
78447T103
1000.00000000
PA
USD
574044.20000000
0.239843460527
Long
ABS-O
CORP
US
N
2
2029-10-28
None
0.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NA5
330000.00000000
PA
USD
293208.30000000
0.122506408613
Long
DBT
CORP
US
N
2
2027-06-09
Fixed
1.46000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BL7
125000.00000000
PA
USD
103456.25000000
0.043225425870
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.38000000
N
N
N
N
N
N
Blackrock Rainier CLO Ltd
549300HF4E86WXQDUX86
Blackrock Rainier CLO VI Ltd
09261MAA4
700000.00000000
PA
USD
689745.00000000
0.288184825631
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
6.95000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A2Z3
285000.00000000
PA
USD
247371.45000000
0.103355150359
Long
DBT
CORP
US
N
2
2026-06-29
Fixed
1.61000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-13
36244SAF5
1142664.84000000
PA
USD
363529.79000000
0.151887681886
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
6.54000000
N
N
N
N
N
N
INTELSAT JACKSON HOLDINGS S A
N/A
INTELSAT JACKSON HOLDINGS S A
000000000
1158.00000000
NS
USD
0.00000000
0.000000
N/A
DE
LU
N
3
N/A
N/A
INTELSAT EMERGENCE SA
INTELSAT EMERGENCE SA
2025-12-05
XXXX
0.00000000
N
N
N
ILPT Commercial Mortgage Trust
N/A
ILPT Trust 2019-SURF
44965LAA2
240000.00000000
PA
USD
218253.91000000
0.091189446819
Long
ABS-MBS
CORP
US
N
2
2041-02-11
Fixed
4.15000000
N
N
N
N
N
N
TENNET HOLDING BV
724500LTUWK3JQG63903
TenneT Holding BV
000000000
110000.00000000
PA
133705.71000000
0.055864060953
Long
DBT
CORP
NL
Y
2
2042-10-28
Fixed
4.75000000
N
N
N
N
N
N
BLACKSTONE PP EUR HOLD
213800Y3B5GQFBGVHP79
Blackstone Property Partners Europe Holdings Sarl
000000000
150000.00000000
PA
122933.43000000
0.051363256114
Long
DBT
CORP
LU
Y
2
2028-05-04
Fixed
1.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJS9
55000.00000000
PA
USD
49112.80000000
0.020519994641
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
1.73000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380BP58
1373765.33000000
PA
USD
227227.34000000
0.094938667705
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.50000000
N
N
N
N
N
N
Gracechurch Mortgage Finance Plc
N/A
Grace Trust 2020-GRCE
38406JAJ7
700000.00000000
PA
USD
488397.43000000
0.204059077200
Long
ABS-MBS
CORP
US
N
2
2040-12-10
Variable
2.77000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAK1
48000.00000000
PA
USD
44151.35000000
0.018447033470
Long
DBT
US
N
2
2028-01-15
Fixed
4.50000000
N
N
N
N
N
N
SFAVE Commercial Mortgage Securities Trust
549300FIGODFFTOAAU64
SFAVE Commercial Mortgage Securities Trust 2015-5AVE
78413MAQ1
880000.00000000
PA
USD
457219.28000000
0.191032422826
Long
ABS-MBS
CORP
US
N
2
2043-01-05
Variable
4.53000000
N
N
N
N
N
N
Annaly Capital Management Inc
2DTL0G3FPRYUT58TI025
Annaly Capital Management Inc
035710839
41441.00000000
NS
USD
829234.41000000
0.346465394970
Long
EC
US
N
1
N
N
N
NGL ENRGY OP/FIN CORP
N/A
NGL Energy Operating LLC / NGL Energy Finance Corp
62922LAA6
145000.00000000
PA
USD
142965.65000000
0.059732989607
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.50000000
N
N
N
N
N
N
SOUTHERN CO GAS CAPITAL
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
001192AL7
640000.00000000
PA
USD
614248.68000000
0.256641438126
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.88000000
N
N
N
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAP3
215000.00000000
PA
USD
209883.44000000
0.087692150808
Long
DBT
CORP
AU
N
2
2030-01-15
Fixed
5.03000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR19
45660LXA2
382704.05000000
PA
USD
303925.95000000
0.126984388296
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.28000000
N
N
N
N
N
N
CUBESMART LP
549300MPHKO3I3FJRA97
CubeSmart LP
22966RAJ5
210000.00000000
PA
USD
167073.90000000
0.069805743773
Long
DBT
US
N
2
2032-02-15
Fixed
2.50000000
N
N
N
N
N
N
2023-07-25
TCW STRATEGIC INCOME FUND INC
Richard Villa
Richard Villa
Treasurer