0001752724-24-020962.txt : 20240208
0001752724-24-020962.hdr.sgml : 20240208
20240208141119
ACCESSION NUMBER: 0001752724-24-020962
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231231
FILED AS OF DATE: 20240208
DATE AS OF CHANGE: 20240208
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: TCW STRATEGIC INCOME FUND INC
CENTRAL INDEX KEY: 0000809559
ORGANIZATION NAME:
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: 24608342
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
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TCW STRATEGIC INCOME FUND INC
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0000809559
54930062BZFVP7F6WJ47
515 South Flower Street
LOS ANGELES
90071
213-244-0000
TCW STRATEGIC INCOME FUND INC
54930062BZFVP7F6WJ47
2023-12-31
2023-12-31
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Deutsche Alt-A Securities INC Mortgage Loan Trust
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Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6
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PA
USD
244041.76000000
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ABS-MBS
CORP
US
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2
2037-02-25
Floating
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MORGAN STANLEY
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Morgan Stanley
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PA
USD
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DBT
CORP
US
N
2
2036-09-16
Fixed
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N
N
N
Bear Stearns Alt-A Trust
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Bear Stearns ALT-A Trust 2005-3
07386HSN2
174669.23000000
PA
USD
170563.59000000
0.070656377625
Long
ABS-MBS
CORP
US
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2035-04-25
Variable
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Chicago Board of Trade
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Chicago Board of Trade
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CBOT 2 Year U.S. Treasury Notes Futures
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2024-03-28
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USD
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JPMORGAN CHASE & CO
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JPMorgan Chase & Co
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USD
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0.162543116521
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DBT
CORP
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2027-04-22
Fixed
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Alabama Economic Settlement Authority
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ALABAMA ECON SETTLEMENT AUTH BP SETTLEMENT REVENUE
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USD
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2032-09-15
Fixed
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British American Tobacco PLC
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British American Tobacco PLC
110448107
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NS
USD
460028.74000000
0.190568012623
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EC
CORP
GB
N
1
N
N
N
NATWEST GROUP PLC
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NatWest Group PLC
780097BK6
140000.00000000
PA
USD
139510.00000000
0.057792353236
Long
DBT
CORP
GB
N
2
2025-03-22
Fixed
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N
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N
N
Greenpoint Manufactured Housing
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Greenpoint Manufactured Housing
395383AN2
417416.99000000
PA
USD
299007.48000000
0.123864568163
Long
ABS-O
CORP
US
N
2
2030-03-20
Variable
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N
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Farmers Exchange Capital
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Farmers Exchange Capital
309588AC5
500000.00000000
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USD
512521.67000000
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Long
DBT
CORP
US
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2
2028-07-15
Fixed
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CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
400000.00000000
PA
USD
9000.00000000
0.003728271658
Long
DBT
CORP
KY
Y
3
2024-02-08
Fixed
6.35000000
N
Y
N
N
N
N
Wells Fargo Alternative Loan Trust
N/A
Wells Fargo Alternative Loan 2007-PA2 Trust
94985FAH1
1303473.25000000
PA
USD
106039.90000000
0.043927283764
Long
ABS-MBS
CORP
US
N
3
2037-06-25
Floating
0.60000000
N
N
N
N
N
N
COMERICA INC
I9Q57JVPWHHZ3ZGBW498
Comerica Inc
200340AU1
395000.00000000
PA
USD
373013.39000000
0.154521694479
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
5.63000000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAX3
120000.00000000
PA
USD
109069.20000000
0.045182178579
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.88000000
N
N
N
N
N
N
EVERI HOLDINGS INC
5299006DK5S7BG10K532
Everi Holdings Inc
30034TAA1
275000.00000000
PA
USD
251625.00000000
0.104236261795
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.00000000
N
N
N
N
N
N
CHNGE Mortgage Trust
N/A
CHNGE Mortgage Trust 2023-1
12547QAB3
460000.00000000
PA
USD
462278.84000000
0.191500121963
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
8.34000000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-55HY Mortgage Trust
44421MAN0
150000.00000000
PA
USD
106741.38000000
0.044217873542
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Variable
2.94000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2023-P2
14686TAK4
2000.00000000
PA
USD
489077.44000000
0.202601506504
Long
ABS-O
CORP
US
N
2
2030-06-10
None
0.00000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1030.34000000
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N/A
DFE
US
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Citibank NA
E57ODZWZ7FF32TWEFA76
90000.00000000
EUR
98422.61000000
USD
2024-01-12
-1030.34000000
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAN5
1095000.00000000
PA
USD
1082812.65000000
0.448557746095
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
166036.37000000
PA
USD
158840.66000000
0.065800125661
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
7.78000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR7 Trust
74333PAL1
1451000.00000000
PA
USD
1178513.81000000
0.488202181934
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
499628.01000000
0.206972105517
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Variable
4.40000000
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
507121.24000000
0.210076194078
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
5038142.16000000
PA
USD
16100.89000000
0.006669832429
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
0.83000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3C3
425000.00000000
PA
USD
367523.00000000
0.152247287209
Long
DBT
CORP
US
N
2
2028-08-19
Fixed
1.99000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAA4
340000.00000000
PA
USD
285021.25000000
0.118070738727
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
65000.00000000
PA
USD
63320.40000000
0.026230628083
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
5953349.90000000
PA
USD
58361.28000000
0.024176300688
Long
ABS-MBS
CORP
US
N
3
2037-01-25
Variable
0.31000000
N
N
N
N
N
N
RAISING CANE'S RESTAURAN
254900V6ADXFWHYOED66
Raising Cane's Restaurants LLC
75103AAA3
110000.00000000
PA
USD
117449.20000000
0.048653613746
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
9.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BV30
1101359.33000000
PA
USD
17201.81000000
0.007125891189
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
125062.50000000
0.051807441593
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
245538.48000000
0.101714906238
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
83583.07000000
0.034624487893
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
39066.72000000
PA
USD
2974.97000000
0.001232388481
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
Floating
0.66000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-P3
14686MAK9
2900.00000000
PA
USD
408430.60000000
0.169193358955
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
2913720.25000000
PA
USD
1354002.01000000
0.560898591104
Long
ABS-MBS
CORP
US
N
2
2047-06-26
Variable
4.03000000
N
N
N
N
N
N
OCP CLO Ltd
N/A
OCP CLO 2023-28 Ltd
670891AG5
700000.00000000
PA
USD
713094.20000000
0.295400988440
Long
ABS-CBDO
CORP
JE
N
2
2036-07-16
Floating
10.77000000
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
265575.51000000
PA
USD
250564.15000000
0.103796802130
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
3.92000000
N
N
N
N
N
N
SARTORIUS FINANCE BV
529900JCAKTMRXK9EA58
Sartorius Finance BV
000000000
100000.00000000
PA
115237.10000000
0.047737245997
Long
DBT
CORP
NL
Y
2
2032-09-14
Fixed
4.50000000
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
527250.79000000
0.218414908608
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
224692.34000000
0.093079342576
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
444067.23000000
PA
USD
417864.20000000
0.173101250457
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
5.73000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-196.40000000
-0.00008135917
N/A
DFE
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
23000.00000000
GBP
29125.42000000
USD
2024-01-12
-196.40000000
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2007-3
80557BAE4
2926000.00000000
PA
USD
2368360.87000000
0.981099189955
Long
ABS-O
CORP
US
N
2
2047-09-25
Floating
5.96000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-3 Trust
058931BF2
88702.26000000
PA
USD
77903.68000000
0.032271786918
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
1225651.50000000
0.507729083455
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
103874.09000000
0.043030091759
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
639753.31000000
0.265019348260
Long
ABS-O
CORP
US
N
3
2044-12-27
None
0.00000000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
N/A
Golub Capital Partners Clo 42M-R
381742AC9
600000.00000000
PA
USD
600555.00000000
0.248781354010
Long
ABS-CBDO
CORP
US
N
2
2036-01-20
Floating
0.00000000
N
N
N
N
N
N
EDGEWELL PERSONAL CARE
549300CY8QZDL4Z3RU59
Edgewell Personal Care Co
28035QAA0
133000.00000000
PA
USD
131171.25000000
0.054338005981
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
353656.39000000
PA
USD
304121.47000000
0.125983050828
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.83000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWGL8
2823418.16000000
PA
USD
81916.68000000
0.033934181825
Long
ABS-MBS
USGSE
US
N
2
2027-05-25
Variable
1.81000000
N
N
N
N
N
N
B&G Foods Inc
549300TRW1LZMDJZAQ78
B&G Foods Inc
05508RAE6
42000.00000000
PA
USD
41580.00000000
0.017224615063
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE18 Mortgage Trust
12632QAY9
4752807.24000000
PA
USD
9582.85000000
0.003969718674
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
0.91000000
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
132131.25000000
0.054735688291
Long
DBT
CORP
XX
N
2
2027-06-15
Fixed
4.75000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCA1
600000.00000000
PA
USD
472158.00000000
0.195592587767
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
219100.00000000
0.090762702273
Long
DBT
NUSS
CO
N
2
2033-04-20
Fixed
8.00000000
N
N
N
N
N
N
Gracechurch Mortgage Finance Plc
N/A
Grace Trust 2020-GRCE
38406JAC2
10620000.00000000
PA
USD
184909.07000000
0.076599027238
Long
ABS-MBS
CORP
US
N
2
2040-12-10
Variable
0.30000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR13
45661XAF9
220924.43000000
PA
USD
2.22000000
0.000000919640
Long
ABS-MBS
CORP
US
N
3
2036-07-25
Variable
0.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300SRMXHPGI3BJ386
SLM Student Loan Trust 2008-5
78444YAE5
260000.00000000
PA
USD
256175.04000000
0.106121126815
Long
ABS-O
CORP
US
N
2
2073-07-25
Floating
7.45000000
N
N
N
N
N
N
Cedar Funding Ltd
254900Q56WTD2BRLBE32
Cedar Funding II CLO Ltd
15032TBG0
700000.00000000
PA
USD
687107.40000000
0.284635894002
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
7.03000000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
2549004WBNSFGOX1MY52
Golub Capital Partners CLO 69M
38179UAD0
870000.00000000
PA
USD
874906.80000000
0.362432247399
Long
ABS-CBDO
CORP
US
N
2
2036-11-09
Floating
8.66000000
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
297790.65000000
0.123360493407
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
389495.43000000
0.161349419214
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.75000000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAQ0
56000.00000000
PA
USD
46214.00000000
0.019144260715
Long
DBT
US
N
2
2031-10-15
Fixed
2.40000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2019-F
00969PAB9
1300000.00000000
PA
USD
1213383.86000000
0.502647184063
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.50000000
N
N
N
N
N
N
Taurus CMBS
635400SG2ZVJCYHITE32
Taurus 2021-1 UK DAC
000000000
665114.90000000
PA
808727.24000000
0.335017205405
Long
ABS-MBS
CORP
IE
Y
2
2031-05-17
Floating
8.87000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISM9M3KNO6J64
Freddie Mac STACR REMIC Trust 2021-HQA2
35564KFV6
900000.00000000
PA
USD
889182.62000000
0.368346040189
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
Floating
7.39000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAQ8
55000.00000000
PA
USD
50085.75000000
0.020748142470
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
135573.59000000
PA
USD
131608.50000000
0.054519137846
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
2191979.04000000
0.908032592407
Long
DBT
CORP
US
N
2
2036-08-15
Floating
6.12000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746101
19525.00000000
NS
USD
961020.50000000
0.398105054860
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
596000.75000000
0.246894744987
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
4085350.73000000
PA
USD
318255.77000000
0.131838218618
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Floating
0.13000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
WELLS FARGO + CO
000000000
-100.00000000
NC
USD
-8750.00000000
-0.00362470855
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Wells Fargo & Co.
Wells Fargo & Co.
100.00000000
50.00000000
USD
2024-01-19
XXXX
-3903.05000000
N
N
N
Qwest Corp
549300R2L4N683OO1509
Qwest Corp
912920AK1
250000.00000000
PA
USD
244687.50000000
0.101362385725
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
243904.80000000
0.101038150366
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
933359.80000000
0.386646543318
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
1418928.21000000
0.587794425701
Long
EC
US
N
1
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AL5
60000.00000000
PA
USD
51112.00000000
0.021173269003
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
179071.00000000
PA
USD
157409.43000000
0.065207235189
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
204741.60000000
0.084814700519
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
985000.00000000
PA
USD
860417.20000000
0.356429895729
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
167200.00000000
0.069263002373
Long
DBT
NUSS
GT
Y
2
2033-10-07
Fixed
3.70000000
N
N
N
N
N
N
Apidos CLO Ltd
549300OGB01ASKLNI660
Apidos CLO XXXVII
03769HAC1
725000.00000000
PA
USD
722754.68000000
0.299402865528
Long
ABS-CBDO
CORP
KY
N
2
2034-10-22
Floating
7.27000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR1
12565YAA5
665989.86000000
PA
USD
657476.11000000
0.272361060810
Long
ABS-O
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
459145.83000000
0.190202265030
Long
EC
US
N
1
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CC2
200000.00000000
PA
USD
183360.00000000
0.075957321263
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
2874423.33000000
PA
USD
327075.89000000
0.135491974554
Long
ABS-MBS
CORP
US
N
3
2036-11-25
Floating
1.08000000
N
N
N
N
N
N
Merrill Lynch Alternative Note Asset
N/A
Merrill Lynch Alternative Note Asset Trust Series 2007-OAR2
59024BAB9
567587.31000000
PA
USD
457357.88000000
0.189461602440
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.89000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102CD7
65000.00000000
PA
USD
66433.58000000
0.027520270390
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
9.75000000
N
N
N
N
N
N
NCR VOYIX CORP
549300YKTY8JX1DV2R67
NCR Voyix Corp
62886EBA5
315000.00000000
PA
USD
300141.45000000
0.124334317965
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.13000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1121.67000000
-0.00046465449
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
229000.00000000
EUR
251930.85000000
USD
2024-01-12
-1121.67000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BTAF8
2500000.00000000
PA
USD
121875.00000000
0.050487012047
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Variable
1.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374M7D5
773125.26000000
PA
USD
69533.56000000
0.028804444565
Long
ABS-MBS
USGA
US
N
2
2036-07-20
Floating
1.13000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102CC9
80000.00000000
PA
USD
67200.00000000
0.027837761719
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.38000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042616
5100000.00000000
PA
USD
4949388.33000000
2.050296026608
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
4.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CM9
285000.00000000
PA
USD
261522.38000000
0.108336275279
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
395000.00000000
PA
USD
385599.00000000
0.159735313709
Long
DBT
US
N
2
2032-05-15
Fixed
5.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137APLC2
469283.71000000
PA
USD
50668.33000000
0.020989477637
Long
ABS-MBS
USGSE
US
N
2
2042-04-15
Floating
1.16000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-8 LLC
69360MAA8
627170.26000000
PA
USD
606117.97000000
0.251085827720
Long
ABS-O
CORP
US
N
2
2026-09-25
Variable
1.74000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
35173.00000000
PA
USD
3253.50000000
0.001347770204
Long
DBT
CORP
KY
N
3
2027-09-30
Fixed
6.50000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust 2006-WF1
46628SAH6
1876961.81000000
PA
USD
495307.42000000
0.205182290712
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
235929.50000000
0.097734363149
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJP7
4455000.00000000
PA
USD
4500072.08000000
1.864165688748
Long
DBT
UST
US
N
1
2026-12-15
Fixed
4.38000000
N
N
N
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
Valvoline Inc
92047WAG6
150000.00000000
PA
USD
128286.00000000
0.053142784225
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
243484.12000000
PA
USD
239208.05000000
0.099092510376
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.66000000
N
N
N
N
N
N
MICHAELS COS INC/THE
549300H9LWMBP7HYLR98
Michaels Cos Inc/The
55916AAB0
590000.00000000
PA
USD
372086.45000000
0.154137707353
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
128509.70000000
0.053235452488
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
1266509.32000000
0.524654533716
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
6219062.53000000
PA
USD
158393.80000000
0.065615012831
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Variable
1.26000000
N
N
N
N
N
N
TRITON WATER HOLDINGS IN
5493005IYCEL7QJFZZ63
Triton Water Holdings Inc
89680EAA7
475000.00000000
PA
USD
416218.75000000
0.172419618835
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
161355.44000000
0.066841879328
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
4661109.42000000
PA
USD
539419.47000000
0.223455813582
Long
ABS-MBS
CORP
US
N
3
2036-04-25
Floating
0.03000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AU2
500000.00000000
PA
USD
426450.00000000
0.176657938769
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
662077.03000000
0.274267002993
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
8.74000000
N
N
N
N
N
N
DIGITAL INTREPID HOLDING
5493003H2CB2KXPP7461
Digital Intrepid Holding BV
000000000
365000.00000000
PA
317746.33000000
0.131627181872
Long
DBT
NL
Y
2
2031-07-15
Fixed
0.63000000
N
N
N
N
N
N
Verus Securitization Trust
2138008DC17PCNG48R87
Verus Securitization Trust 2023-4
92539TAA1
1151007.59000000
PA
USD
1148349.29000000
0.475706456932
Long
ABS-MBS
CORP
US
N
2
2068-05-25
Variable
5.81000000
N
N
N
N
N
N
ARIZONA PUBLIC SERVICE
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co
040555DB7
1000000.00000000
PA
USD
721040.00000000
0.298692555212
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.35000000
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
419872.74000000
0.173933292986
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
7.43000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
200000.00000000
PA
USD
204260.00000000
0.084615196560
Long
DBT
NUSS
OM
Y
2
2028-01-17
Fixed
5.63000000
N
N
N
N
N
N
ATI INC
ZW1LRE7C3H17O2ZN9B45
ATI Inc
01741RAN2
121000.00000000
PA
USD
126445.00000000
0.052380145545
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
7.25000000
N
N
N
N
N
N
FIRSTCASH INC
549300V2X3UU7K0DG350
FirstCash Inc
31944TAA8
280000.00000000
PA
USD
268270.80000000
0.111131824504
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
86826.61000000
0.035968132144
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
335864.33000000
PA
USD
195744.35000000
0.081087568054
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
4.04000000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475105
2795.00000000
NS
USD
432805.75000000
0.179290823502
Long
EC
CORP
US
N
1
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAT4
125000.00000000
PA
USD
115000.00000000
0.047639026752
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
1170816.84000000
PA
USD
1154975.57000000
0.478451409368
Long
ABS-O
CORP
US
N
2
2027-06-25
Variable
5.56000000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAM6
32000.00000000
PA
USD
25004.80000000
0.010358298575
Long
DBT
US
N
2
2031-03-15
Fixed
2.05000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BU8
605000.00000000
PA
USD
672475.65000000
0.278574656352
Long
DBT
CORP
US
N
2
2034-10-20
Fixed
6.88000000
N
N
N
N
N
N
ADVANCED DRAINAGE SYSTEM
6QQTOZ5MF5DHM7K92I60
Advanced Drainage Systems Inc
00790RAB0
125000.00000000
PA
USD
126016.70000000
0.052202721239
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
1060987.06000000
PA
USD
898453.82000000
0.372186657101
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
250000.00000000
PA
USD
208415.56000000
0.086336647290
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
649671.10000000
0.269127816635
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
7.38000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BE6
675000.00000000
PA
USD
664475.20000000
0.275260450686
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
542490.40000000
0.224727953725
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
209387.81000000
0.086739404192
Long
ABS-O
CORP
US
N
2
2083-01-25
Floating
6.80000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R3
12566LAB0
722241.57000000
PA
USD
636095.48000000
0.263504083379
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
1.95000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBE2
756000.00000000
PA
USD
651225.96000000
0.269771921132
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
920556.00000000
0.381342538355
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
92270.79000000
PA
USD
81442.70000000
0.033737834470
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
4.68000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AH8
65000.00000000
PA
USD
65405.50000000
0.027094385776
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.38000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040610
10050000.00000000
PA
USD
9506694.59000000
3.938171112158
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
4.00000000
N
N
N
N
N
N
Asset Backed Funding Certificates
N/A
ABFC 2007-NC1 Trust
00076BAB0
750398.41000000
PA
USD
698908.85000000
0.289524673065
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.77000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBM1
195000.00000000
PA
USD
167578.17000000
0.069419660206
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
1329497.77000000
PA
USD
1646.85000000
0.000682211575
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
0.89000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20753WAE6
1000000.00000000
PA
USD
1017377.00000000
0.421450870609
Long
ABS-MBS
USGSE
US
N
2
2039-10-25
Floating
8.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H052611
1850000.00000000
PA
USD
1862136.15000000
0.771394381444
Long
ABS-MBS
USGA
US
N
2
2054-01-20
Fixed
5.50000000
N
N
N
N
N
N
GLOBAL SWITCH FINANCE
635400GVJAKOJNEUMF33
Global Switch Finance BV
000000000
315000.00000000
PA
315249.44000000
0.130592839180
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
836201.10000000
0.346398318027
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
145000.00000000
PA
USD
128564.24000000
0.053258045815
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
478981.49000000
PA
USD
471640.33000000
0.195378141724
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
5.87000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BA4
100000.00000000
PA
USD
62354.00000000
0.025830294557
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
1993552.47000000
PA
USD
105.06000000
0.000043521357
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Variable
0.72000000
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
209827.80000000
0.086921671109
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
93191.94000000
0.038604985415
Long
DBT
CORP
LU
Y
2
2029-03-12
Fixed
1.75000000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAT4
283000.00000000
PA
USD
262957.94000000
0.108930959464
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.50000000
N
N
N
N
N
N
NATL GAS TRANSMISSION
FPCHGTHKVH9ZWXS7S453
National Gas Transmission PLC
000000000
100000.00000000
PA
114805.18000000
0.047558322098
Long
DBT
CORP
GB
Y
2
2030-04-05
Fixed
4.25000000
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
418660.17000000
0.173430982945
Long
DBT
US
N
2
2026-04-15
Fixed
5.38000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR24
000000000
-63.00000000
NC
USD
-772542.35000000
-0.32002752764
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CME Ultra Long Term U.S. Treasury Bond Futures
WNH4 Comdty
2024-03-19
-7643863.90000000
USD
-772542.35000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS3 Trust
75116BAH1
7027801.52000000
PA
USD
90374.72000000
0.037437945250
Long
ABS-MBS
CORP
US
N
3
2037-02-25
Variable
0.36000000
N
N
N
N
N
N
WI TREAS. NT/BD
254900HROIFWPRGM1V77
United States Treasury Note/Bond - When Issued
91282CJR3
590000.00000000
PA
USD
587349.60000000
0.243310985280
Long
DBT
UST
US
N
1
2028-12-31
Fixed
3.75000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2006-2
5764342J2
5890110.98000000
PA
USD
395081.55000000
0.163663482867
Long
ABS-MBS
CORP
US
N
3
2036-03-25
Floating
1.63000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-HYB4
12669FW25
460502.65000000
PA
USD
125151.91000000
0.051844479900
Long
ABS-MBS
CORP
US
N
2
2034-09-20
Variable
5.06000000
N
N
N
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LXP Industrial Trust
529043AE1
275000.00000000
PA
USD
228212.01000000
0.094537374344
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
256380.46000000
PA
USD
243909.99000000
0.101040300336
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
4.99000000
N
N
N
N
N
N
Bombardier Capital Mortgage Securitization Corp.
N/A
BCMSC Trust 2000-A
09774XBQ4
3316690.47000000
PA
USD
423118.16000000
0.175277716031
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
14229.45000000
0.005894583906
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
211419.00000000
0.087580829538
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
319971.72000000
0.132549055035
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
113805.04000000
PA
USD
79407.85000000
0.032894892960
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
4.24000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2007-NC1
3622MGAD0
2265268.56000000
PA
USD
1091500.29000000
0.452156621872
Long
ABS-O
CORP
US
N
2
2046-12-25
Floating
5.62000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-SCHATZ FUT MAR24
000000000
-1.00000000
NC
-233.27000000
-0.00009663265
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 2 Year Euro SCHATZ Futures
DUH4 Comdty
2024-03-07
-106333.83000000
EUR
-233.27000000
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AK5
345000.00000000
PA
USD
348374.10000000
0.144314809301
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
959265.91000000
PA
USD
907364.92000000
0.375878101720
Long
ABS-O
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
93000.00000000
PA
USD
84018.06000000
0.034804683547
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
295053.95000000
0.122226808846
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
11093.00000000
NS
USD
321702.55000000
0.133266055527
Long
EC
CORP
LU
N
3
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CBM Mortgage Trust
20049AAC2
5644863.27000000
PA
USD
26745.08000000
0.011079213753
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
0.60000000
N
N
N
N
N
N
Banc of California Multifamily Housing
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMUM2
878584.15000000
PA
USD
1644.49000000
0.000681233940
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
1126986.88000000
PA
USD
1091937.14000000
0.452337588036
Long
ABS-O
CORP
US
N
2
2062-06-25
Variable
6.00000000
N
N
N
N
N
N
ANNINGTON FUNDING PLC
549300KK63W8VZIONZ83
Annington Funding PLC
000000000
100000.00000000
PA
108030.36000000
0.044751836609
Long
DBT
CORP
GB
Y
2
2034-07-12
Fixed
3.69000000
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
234315.90000000
0.097065925465
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
5642425.69000000
PA
USD
163284.75000000
0.067641100638
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
1.07000000
N
N
N
N
N
N
VZ SECURED FINANCING BV
549300MG611MYCOWY949
VZ Secured Financing BV
91845AAA3
615000.00000000
PA
USD
527909.85000000
0.218687925799
Long
DBT
CORP
NL
N
2
2032-01-15
Fixed
5.00000000
N
N
N
N
N
N
GRAPHIC PACKAGING INTERN
SO75N4VY5NXGQSK8YQ65
Graphic Packaging International LLC
38869AAA5
130000.00000000
PA
USD
126750.00000000
0.052506492529
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.75000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2005-A15
45660L4F3
930266.44000000
PA
USD
305628.71000000
0.126607428625
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
6.00000000
N
N
N
N
N
N
Citimortgage Alternative Loan Trust
N/A
CitiMortgage Alternative Loan Trust Series 2006-A3
17309KAG2
580752.83000000
PA
USD
510262.33000000
0.211377398169
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
196520.04000000
0.081408899503
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
295000.00000000
PA
USD
257101.35000000
0.106504852962
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Global SC Finance SRL
N/A
Global SC Finance II SRL
37952UAE3
25317.01000000
PA
USD
24909.62000000
0.010318870031
Long
ABS-O
CORP
BB
N
2
2029-07-17
Fixed
3.09000000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAJ7
285000.00000000
PA
USD
257699.85000000
0.106752783027
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
4.25000000
N
N
N
N
N
N
WORLDLINE SA/FRANCE
549300CJMQNCA0U4TS33
Worldline SA/France
000000000
103200.00000000
PA
102606.74000000
0.042505088972
Long
DBT
CORP
FR
Y
2
2026-07-30
None
0.00000000
N
N
N
N
N
Worldline SA
Worldline SA
EUR
XXXX
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAA0
210000.00000000
PA
USD
167384.70000000
0.069339514793
Long
DBT
US
N
2
2031-08-15
Fixed
2.00000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
17586.00000000
PA
USD
1890.50000000
0.000783144174
Long
DBT
CORP
KY
N
3
2026-09-30
Fixed
6.25000000
N
N
N
N
N
N
FirstKey Homes 2021-SFR3 Trust
N/A
FirstKey Homes 2021-SFR3 Trust
33768JAJ0
1173000.00000000
PA
USD
1055508.10000000
0.437246770548
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
1232373.33000000
PA
USD
208558.73000000
0.086395955807
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
98603.96000000
0.040846927724
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
51629.61000000
0.021387690191
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
Variable
1.55000000
N
N
N
N
N
N
COOF Securitization Trust II
N/A
COOF Securitization Trust II Series 2015-2
12593RAA6
2118777.13000000
PA
USD
139691.29000000
0.057867453055
Long
ABS-O
USGA
US
N
2
2041-08-25
Variable
2.42000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
1090000.00000000
PA
USD
998834.14000000
0.413769446230
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
649345.99000000
PA
USD
575818.21000000
0.238534079222
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
385875.00000000
0.159849647374
Long
DBT
US
N
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
Vita Scientia
635400JHBEHLCY2DZM20
Vita Scientia 2022-1 DAC
000000000
1500000.00000000
PA
1439322.40000000
0.596242767988
Long
ABS-MBS
CORP
IE
Y
2
2033-02-27
Floating
6.45000000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAR8
425000.00000000
PA
USD
407392.25000000
0.168763219968
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050615
3025000.00000000
PA
USD
3007577.21000000
1.245896097100
Long
ABS-MBS
USGA
US
N
2
2054-01-20
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill- When Issued
912797GQ4
6000000.00000000
PA
USD
5943653.10000000
2.462172600320
Long
STIV
UST
US
N
1
2024-04-04
None
0.00000000
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
49379246.89000000
PA
USD
122008.71000000
0.050542401736
Long
ABS-MBS
CORP
US
N
2
2046-02-15
Variable
0.39000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS7 Trust
748940AB9
277819.80000000
PA
USD
211422.37000000
0.087582225569
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
265000.00000000
PA
240227.24000000
0.099514712286
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
285144.50000000
0.118121795336
Long
ABS-O
CORP
US
N
2
2083-07-26
Floating
7.45000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35908MAE0
96000.00000000
PA
USD
97965.12000000
0.040582286717
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
145141.14000000
0.060125066533
Long
ABS-O
CORP
US
N
2
2030-07-15
Variable
7.40000000
N
N
N
N
N
N
CROSS Mortgage Trust
N/A
Cross 2023-H1 Mortgage Trust
22758CAA9
942656.74000000
PA
USD
952343.29000000
0.394510499735
Long
ABS-MBS
CORP
US
N
2
2068-03-25
Variable
6.62000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
197677AJ6
235000.00000000
PA
USD
249421.95000000
0.103323643031
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
7.05000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE21 Mortgage Trust
12592RBH1
14818652.08000000
PA
USD
83372.26000000
0.034537159343
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Variable
0.83000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAJ9
634000.00000000
PA
USD
531760.97000000
0.220283261527
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
6.63000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T5X32
255.42000000
PA
USD
254.87000000
0.000105580510
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
4.00000000
N
N
N
N
N
N
HUB International Ltd
549300JQT6ATTUNS5E06
HUB International Ltd
44332PAD3
125000.00000000
PA
USD
125625.00000000
0.052040458571
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
7.00000000
N
N
N
N
N
N
JBS USA LUX SA/FOOD/LUX
N/A
JBS USA LUX SA / JBS USA Food Co / JBS Luxembourg SARL
47214BAA6
125000.00000000
PA
USD
131638.75000000
0.054531668981
Long
DBT
CORP
XX
N
2
2034-03-15
Fixed
6.75000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2003-7
07384MYZ9
186064.66000000
PA
USD
169356.61000000
0.070156383256
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Variable
5.68000000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAY0
120000.00000000
PA
USD
113795.50000000
0.047140059728
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.63000000
N
N
N
N
N
N
VONOVIA SE
5299005A2ZEP6AP7KM81
Vonovia SE
000000000
100000.00000000
PA
72233.41000000
0.029922863925
Long
DBT
CORP
DE
Y
2
2041-06-14
Fixed
1.50000000
N
N
N
N
N
N
ALLIANT ENERGY FINANCE
54930033ER6EOI5DL570
Alliant Energy Finance LLC
01882YAD8
535000.00000000
PA
USD
472201.70000000
0.195610690597
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.60000000
N
N
N
N
N
N
RINGCENTRAL INC
549300C8EH0H1614VE84
RingCentral Inc
76680RAJ6
115000.00000000
PA
USD
117712.28000000
0.048762595269
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
8.50000000
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
906775.18000000
PA
USD
855182.76000000
0.354261516362
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
5.83000000
N
N
N
N
N
N
VT TOPCO INC
5493007T812R37X02Y38
VT Topco Inc
91838PAA9
120000.00000000
PA
USD
125026.80000000
0.051792652782
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
8.50000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QA8 Trust
761118BS6
310897.64000000
PA
USD
174335.01000000
0.072218697436
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
5.05000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
C-BASS Mortgage Loan Trust 2007-CB2
1248MBAH8
769928.51000000
PA
USD
476434.84000000
0.197364279030
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
289087.10000000
PA
USD
234295.35000000
0.097057412578
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
443691.33000000
0.183800201213
Long
DBT
CORP
US
N
2
2030-10-22
Fixed
2.88000000
N
N
N
N
N
N
Carrington Mortgage Loan Trust
N/A
Carrington Mortgage Loan Trust Series 2007-RFC1
144526AC4
959013.51000000
PA
USD
927705.65000000
0.384304298074
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
5.61000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBV6
175000.00000000
PA
USD
159132.75000000
0.065921124647
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
22605.00000000
0.009364175649
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
4.63000000
N
N
N
N
N
N
BXHPP TRUST
N/A
BXHPP Trust 2021-FILM
05609JAL6
430000.00000000
PA
USD
386656.17000000
0.160173248926
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
6.58000000
N
N
N
N
N
N
bmo sba coof trust
N/A
BMO SBA COOF Trust 2019-1
05588XAA4
4467289.60000000
PA
USD
148993.49000000
0.061720911791
Long
ABS-O
USGA
US
N
2
2045-10-25
Variable
1.48000000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAH7
80000.00000000
PA
USD
64082.83000000
0.026546466545
Long
DBT
US
N
2
2031-03-15
Fixed
2.00000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAS1
100000.00000000
PA
116176.05000000
0.048126208294
Long
DBT
CORP
US
N
2
2031-03-17
Fixed
4.88000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2004-4
542514HT4
347967.50000000
PA
USD
334786.49000000
0.138686109159
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
6.37000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
52759.00000000
PA
USD
4088.82000000
0.001693803524
Long
DBT
CORP
KY
N
3
2029-09-30
Fixed
7.00000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2007-13
126698AC3
393285.66000000
PA
USD
354988.72000000
0.147054931554
Long
ABS-O
CORP
US
N
2
2047-10-25
Floating
6.37000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BM6
245000.00000000
PA
USD
239928.50000000
0.099390958522
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
1120205.38000000
0.464047774485
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.71000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBB3
120000.00000000
PA
USD
103970.07000000
0.043069851705
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
51353.74000000
0.021273410379
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Variable
1.99000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2007-4
07401CAV5
517493.41000000
PA
USD
465174.67000000
0.192699726509
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Variable
4.07000000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURA
Z7LVXXWM8HZPKF5T2355
Nationwide Mutual Insurance Co
638671AJ6
1000000.00000000
PA
USD
999156.00000000
0.413902777509
Long
DBT
CORP
US
N
2
2024-12-15
Variable
7.94000000
N
N
N
N
N
N
Allegro CLO Ltd
254900E0ZQX4DLP7HF87
Allegro CLO XII Ltd
01750TAG1
475000.00000000
PA
USD
474662.75000000
0.196630186482
Long
ABS-CBDO
CORP
KY
N
2
2032-01-21
Floating
7.37000000
N
N
N
N
N
N
TITAN ACQ/CO-BORROWER
N/A
Titan Acquisition Ltd / Titan Co-Borrower LLC
88827AAA1
140000.00000000
PA
USD
140000.00000000
0.057995336915
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
1231880.79000000
PA
USD
415660.97000000
0.172188557127
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
460000.00000000
PA
USD
376027.00000000
0.155770089674
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.30000000
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
227081.54000000
0.094069074426
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
13784.16000000
0.005710121452
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Variable
1.35000000
N
N
N
N
N
N
TIF Funding II LLC
N/A
TIF Funding II LLC
872480AE8
1165603.13000000
PA
USD
993787.52000000
0.411678871750
Long
ABS-O
CORP
US
N
2
2046-02-20
Fixed
1.65000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
24786.00000000
PA
USD
1796.99000000
0.000744407432
Long
DBT
CORP
KY
N
3
2030-09-30
Fixed
7.25000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032617
2575000.00000000
PA
USD
2360900.54000000
0.978008730299
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
3.50000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2023-P1
14688EAH2
4400.00000000
PA
USD
754725.43000000
0.312646825655
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
381471.25000000
0.158025383338
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
118.30000000
PA
USD
118.09000000
0.000048919066
Long
ABS-MBS
USGSE
US
N
2
2024-02-15
Floating
9.70000000
N
N
N
N
N
N
WAMU Asset-Backed Certificates
N/A
WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust
933631AD5
1528631.25000000
PA
USD
716886.32000000
0.296971883276
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
5.62000000
N
N
N
N
N
N
TENNET HOLDING BV
724500LTUWK3JQG63903
TenneT Holding BV
000000000
115000.00000000
PA
118776.24000000
0.049203343259
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
366683.58000000
PA
USD
320662.58000000
0.132835245452
Long
ABS-O
CORP
US
N
2
2051-02-28
Fixed
2.25000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAL0
25000.00000000
PA
USD
24593.28000000
0.010187825424
Long
DBT
CORP
XX
N
2
2030-01-15
Fixed
5.50000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCZ1
260000.00000000
PA
USD
257324.60000000
0.106597334812
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
780000.00000000
PA
USD
722661.54000000
0.299364282059
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
8044165.28000000
PA
USD
56943.04000000
0.023588791355
Long
ABS-MBS
CORP
US
N
2
2048-04-15
Variable
1.00000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust 2017-GM
056083AL2
375000.00000000
PA
USD
321591.53000000
0.133220065225
Long
ABS-MBS
CORP
US
N
2
2039-06-13
Variable
3.42000000
N
N
N
N
N
N
GoldenTree Loan Management US CLO1, LTD
549300TS068SCJRDSP12
Goldentree Loan Management US Clo 17 Ltd
38139FAJ9
650000.00000000
PA
USD
657707.05000000
0.272456728261
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
600000.00000000
PA
USD
598980.00000000
0.248128906469
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
9.43000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N3
14687GAH8
2200.00000000
PA
USD
260166.33000000
0.107774528303
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
1405025.38000000
0.582035144916
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
603790.00000000
0.250121460545
Long
ABS-MBS
CORP
US
N
3
2025-03-29
Fixed
8.61000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-2
61946RAE9
1150000.00000000
PA
USD
44197.95000000
0.018309107151
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
606736.02000000
PA
USD
591836.05000000
0.245169507990
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
9.18000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR2 Trust
00178UAG4
1375000.00000000
PA
USD
1321898.33000000
0.547599564405
Long
ABS-O
CORP
US
N
2
2037-07-17
Fixed
5.25000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
100000.00000000
PA
USD
102385.73000000
0.042413535047
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
1189930.13000000
0.492931419968
Long
ABS-O
CORP
US
N
2
2052-06-25
Variable
6.50000000
N
N
N
N
N
N
BCRED CLO LLC
N/A
BCRED CLO 2023-1 LLC
055978AA8
850000.00000000
PA
USD
853065.95000000
0.353384622725
Long
ABS-CBDO
CORP
US
N
2
2036-01-20
Floating
1.00000000
N
N
N
N
N
N
OPTION CARE HEALTH INC
549300DI3Q5ACSYJRI17
Option Care Health Inc
68404LAA0
275000.00000000
PA
USD
251020.00000000
0.103985639089
Long
DBT
CORP
US
N
2
2029-10-31
Fixed
4.38000000
N
N
N
N
N
N
SLM Student Loan Trust
SCSW2GRYW6ZPGKE5DL61
SLM Student Loan Trust 2005-9
78442GRC2
286988.49000000
PA
USD
260363.64000000
0.107856264445
Long
ABS-O
CORP
US
N
2
2041-01-25
Floating
5.90000000
N
N
N
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions Inc
14879EAK4
450000.00000000
PA
USD
391962.74000000
0.162371508319
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.50000000
N
N
N
N
N
N
HERTZ CORP/THE
549300PD0C69OJ0NLB27
Hertz Corp/The
428040DB2
290000.00000000
PA
USD
238696.10000000
0.098880433856
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
228898.76000000
PA
USD
209524.91000000
0.086796198197
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Variable
3.72000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2005-8
17307GE20
364913.72000000
PA
USD
300670.70000000
0.124553561051
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
5.35000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BN3
200000.00000000
PA
USD
146656.25000000
0.060752704496
Long
DBT
NUSS
PA
N
2
2032-09-29
Fixed
2.25000000
N
N
N
N
N
N
GGAM FINANCE LTD
254900X2QXEN0FVXRF65
GGAM Finance Ltd
36170JAA4
242000.00000000
PA
USD
249260.00000000
0.103256554854
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
6213892.68000000
PA
USD
3417.64000000
0.001415765594
Long
ABS-MBS
USGA
US
N
2
2055-02-16
Variable
0.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042612
1275000.00000000
PA
USD
1244522.72000000
0.515546531755
Long
ABS-MBS
USGA
US
N
2
2054-01-20
Fixed
4.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2004-A6
466247HA4
165188.90000000
PA
USD
160058.79000000
0.066304738945
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
5.07000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR24
000000000
272.00000000
NC
USD
652143.20000000
0.270151890009
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year U.S. Treasury Notes
FVH4 Comdty
2024-03-28
28934231.94000000
USD
652143.20000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR24
000000000
-14.00000000
NC
-52444.02000000
-0.02172506149
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 10 Year Euro BUND Futures
RXH4 Comdty
2024-03-07
-1873604.32000000
EUR
-52444.02000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376G3C2
3405071.52000000
PA
USD
3.75000000
0.000001553446
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
1021431.00000000
0.423130249865
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
1174425.97000000
PA
USD
76771.29000000
0.031802691635
Long
ABS-MBS
USGSE
US
N
2
2036-03-15
Floating
0.18000000
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
720584.27000000
0.298503767963
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
93932.43000000
0.038911735179
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
591020.52000000
0.244831672725
Long
EC
US
N
1
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCL4
34000.00000000
PA
USD
21729.06000000
0.009001315396
Long
DBT
CORP
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BYPS3
7473269.70000000
PA
USD
5426.71000000
0.002248027677
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Variable
0.90000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DE2
675000.00000000
PA
USD
672475.50000000
0.278574594214
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
372030.75000000
0.154114633494
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
79440.03000000
PA
USD
77820.19000000
0.032237200984
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Floating
6.34000000
N
N
N
N
N
N
BAYER US FINANCE LLC
54930093Q75GSEM74I71
Bayer US Finance LLC
07274EAL7
360000.00000000
PA
USD
371379.60000000
0.153844893040
Long
DBT
CORP
US
N
2
2033-11-21
Fixed
6.50000000
N
N
N
N
N
N
GLOBAL PART/GLP FINANCE
N/A
Global Partners LP / GLP Finance Corp
37954FAJ3
275000.00000000
PA
USD
266608.19000000
0.110443084311
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
161728.20000000
0.066996296055
Long
DBT
NUSS
HU
N
2
2031-09-22
Fixed
2.13000000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAD1
150000.00000000
PA
USD
135127.50000000
0.055976892064
Long
DBT
CORP
US
N
2
2029-03-31
Fixed
4.38000000
N
N
N
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAB5
300000.00000000
PA
USD
297420.06000000
0.123206975608
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.35000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS1 Trust
761118SB5
213512.77000000
PA
USD
166104.44000000
0.068809164007
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
5.75000000
N
N
N
N
N
N
KEDRION SPA
81560047FA58E1BEDF67
Kedrion SpA
49272YAB9
335000.00000000
PA
USD
306525.00000000
0.126978718915
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
1029152.70000000
0.426328982673
Long
ABS-O
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
383237.47000000
PA
USD
347023.48000000
0.143755311716
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
5.89000000
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
767843.16000000
0.318080876876
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
374835.81000000
0.155276636350
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
188314.00000000
0.078009527685
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
188871.01000000
0.078240270418
Long
ABS-O
CORP
US
N
2
2027-09-08
None
0.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-3292.91000000
-0.00136409589
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
99000.00000000
EUR
106105.34000000
USD
2024-01-12
-3292.91000000
N
N
N
180 MEDICAL INC
254900ZB648OPWVFVX59
180 Medical Inc
682357AA6
275000.00000000
PA
USD
248297.50000000
0.102857836913
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
253304.70000000
PA
USD
477.09000000
0.000197635680
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
0.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XDR9
2113207.73000000
PA
USD
14060.23000000
0.005824484114
Long
ABS-MBS
USGA
US
N
2
2055-05-16
Variable
0.19000000
N
N
N
N
N
N
CABLE ONE INC
549300648QS85T0XSH18
Cable One Inc
12685JAC9
415000.00000000
PA
USD
340300.00000000
0.140970093945
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
135401.09000000
0.056090227380
Long
ABS-O
CORP
US
N
2
2070-10-27
Floating
6.35000000
N
N
N
N
N
N
GREYSTAR REAL ESTATE PAR
254900HGC806SXAS4M46
Greystar Real Estate Partners LLC
39807UAD8
125000.00000000
PA
USD
131250.00000000
0.054370628358
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
7.75000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CK3
130000.00000000
PA
USD
108018.30000000
0.044746840725
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
322826.97000000
PA
USD
312276.18000000
0.129361159070
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
248642.43000000
0.103000724995
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
1163602.41000000
PA
USD
475617.71000000
0.197025780961
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.99000000
N
N
N
N
N
N
USA Compression Partners LP
5493000B1PEOKXRZEO65
USA Compression Partners LP
90290N109
39911.00000000
NS
USD
911168.13000000
0.377453590616
Long
EC
CORP
US
N
1
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
000000000
330000.00000000
PA
361461.52000000
0.149736304532
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
24474768.87000000
PA
USD
496148.84000000
0.205530850972
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
144702.98000000
0.059943557698
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
125416.20000000
0.051953962669
Long
DBT
CORP
US
N
2
2027-01-27
Fixed
4.38000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
85000.00000000
PA
USD
84000.40000000
0.034797367850
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912797FH5
7500000.00000000
PA
USD
7356773.25000000
3.047561023189
Long
STIV
UST
US
N
1
2024-05-16
None
0.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B7HP9
7900000.00000000
PA
USD
217937.30000000
0.090281051000
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
97385.87000000
PA
USD
91508.53000000
0.037907628771
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
7.67000000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAZ0
86000.00000000
PA
USD
79709.30000000
0.033019769348
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
4.50000000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG Inc
92332YAC5
235000.00000000
PA
USD
248756.90000000
0.103048144468
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
9.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJN2
1425000.00000000
PA
USD
1458565.43000000
0.604214239475
Long
DBT
UST
US
N
1
2028-11-30
Fixed
4.38000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2015-GC35
17324KAV0
6189974.78000000
PA
USD
62577.67000000
0.025922950393
Long
ABS-MBS
CORP
US
N
2
2048-11-10
Variable
0.71000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24
61765LAV2
8772658.82000000
PA
USD
67939.94000000
0.028144283645
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
0.68000000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAF4
320000.00000000
PA
USD
266361.60000000
0.110340933810
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
255617.60000000
0.105890205954
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
3358260.68000000
1.391167568482
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
5.91000000
N
N
N
N
N
N
JETBLUE AIRWAYS CORP
N/A
JetBlue 2020-1 Class A Pass Through Trust
477164AA5
642951.25000000
PA
USD
588004.64000000
0.243582337177
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
92958.45000000
0.038508261620
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
97921.41000000
PA
USD
85922.91000000
0.035593772244
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
7.52000000
N
N
N
N
N
N
Stratus CLO
N/A
Stratus CLO 2021-3 Ltd
86315XAG1
750000.00000000
PA
USD
447697.50000000
0.185459766777
Long
ABS-CBDO
CORP
KY
N
2
2029-12-29
Variable
0.00000000
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
52452.58000000
0.021728607494
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Variable
4.10000000
N
N
N
N
N
N
Structured Receivables Finance LLC
N/A
Structured Receivables Finance 2010-B LLC
86365LAB7
300000.20000000
PA
USD
307412.99000000
0.127346570909
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
1157488.81000000
0.479492525086
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
916473.26000000
0.379651253485
Long
EC
CORP
US
N
1
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAX4
180000.00000000
PA
USD
180973.80000000
0.074968832170
Long
DBT
CORP
XX
N
2
2052-12-01
Fixed
6.50000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS13 Trust
75115DAB1
2006388.25000000
PA
USD
202594.25000000
0.083925155613
Long
ABS-MBS
CORP
US
N
3
2036-09-25
Floating
1.69000000
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
1116872.43000000
PA
USD
5138.95000000
0.002128822404
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Variable
0.94000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAA1
270000.00000000
PA
USD
266033.70000000
0.110205100446
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.13000000
N
N
N
N
N
N
THAMES WATER UTIL FIN
213800ESMPQ4RQ7G8351
Thames Water Utilities Finance PLC
000000000
120000.00000000
PA
125675.29000000
0.052061291325
Long
DBT
CORP
GB
Y
2
2031-01-18
Fixed
4.38000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust Series 2006-RM2
590216AA5
3883980.88000000
PA
USD
1061470.42000000
0.439716675957
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.84000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050619
5875000.00000000
PA
USD
5813037.14000000
2.408064624557
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
5.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300JQFJDGC1WO7674
SLM Student Loan Trust 2008-6
78445CAE2
225000.00000000
PA
USD
208959.26000000
0.086561876324
Long
ABS-O
CORP
US
N
2
2083-07-26
Floating
7.45000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505104
41077.00000000
NS
USD
1383062.59000000
0.572937006304
Long
EC
CORP
US
N
1
N
N
N
OPEN TEXT CORP
549300HP7ONDQODZJV16
Open Text Corp
683715AF3
120000.00000000
PA
USD
124500.00000000
0.051574424614
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
246633.39000000
0.102168475340
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
885989.85000000
0.367023427533
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
614982.00000000
0.254757773479
Long
ABS-CBDO
CORP
KY
N
2
2036-07-20
Floating
11.08000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBP9
80000.00000000
PA
USD
68152.18000000
0.028232204576
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
519866.50000000
PA
USD
380445.17000000
0.157600327229
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Fixed
5.50000000
N
N
N
N
N
N
FERRELLGAS LP/FERRELLGAS
N/A
Ferrellgas LP / Ferrellgas Finance Corp
315289AC2
270000.00000000
PA
USD
255717.00000000
0.105931382643
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
5.88000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
17586.00000000
PA
USD
2198.25000000
0.000910630352
Long
DBT
CORP
KY
N
3
2025-09-30
Fixed
6.00000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TCL3
1671028.16000000
PA
USD
176083.92000000
0.072943187613
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
263283.53000000
PA
USD
252301.18000000
0.104516370988
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
5.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKJ7
120000.00000000
PA
USD
111306.00000000
0.046108778362
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
440225.00000000
0.182364265669
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Variable
3.54000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAR2
406000.00000000
PA
USD
360065.62000000
0.149158049597
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
434661.04000000
0.180059381849
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XLU3
1339369.92000000
PA
USD
29590.69000000
0.012258014543
Long
ABS-MBS
USGA
US
N
2
2054-11-16
Variable
0.90000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT CIII LLC
92873JAA7
699010.57000000
PA
USD
659807.96000000
0.273327035284
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
2315000.00000000
PA
USD
2157557.96000000
0.893773577181
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
40000.00000000
PA
USD
32497.06000000
0.013461985310
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
285000.00000000
PA
USD
263556.60000000
0.109178955809
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
266253.00000000
0.110295945998
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
1800317.20000000
PA
USD
1536425.62000000
0.636468010556
Long
ABS-O
CORP
US
N
2
2036-12-25
Variable
3.07000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273V100
103400.00000000
NS
USD
1426920.00000000
0.591105043941
Long
EC
CORP
US
N
1
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional U.S. Government Money Market Fund
857492706
841091.67000000
NS
USD
841091.67000000
0.348424248419
Long
STIV
RF
US
N
1
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-3 Trust
058931AW6
134723.89000000
PA
USD
108899.70000000
0.045111962796
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
300441.68000000
0.124458688965
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
80511.41000000
PA
USD
7603.99000000
0.003149971156
Long
ABS-MBS
USGSE
US
N
2
2038-06-15
Floating
0.80000000
N
N
N
N
N
N
TRANSMONTAIGE PARTNERS
N/A
TransMontaigne Partners LP / TLP Finance Corp
89376VAA8
265000.00000000
PA
USD
242143.75000000
0.100308631166
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
334145.20000000
PA
USD
228867.17000000
0.094808775950
Long
ABS-MBS
CORP
US
N
2
2036-10-19
Floating
5.67000000
N
N
N
N
N
N
JANE STREET GRP/JSG FIN
N/A
Jane Street Group / JSG Finance Inc
47077WAA6
435000.00000000
PA
USD
406507.50000000
0.168396710152
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2U6
1150000.00000000
PA
USD
1006296.00000000
0.416860539692
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
371655.60000000
0.153959226704
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
940185.42000000
PA
USD
773375.47000000
0.320372649607
Long
ABS-O
CORP
US
N
2
2036-01-25
Variable
2.84000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DR3
50000.00000000
PA
USD
42210.00000000
0.017485594080
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
134257.45000000
0.055616471758
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
409510.20000000
0.169640585853
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
7312561.04000000
PA
USD
166937.72000000
0.069154352252
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Variable
1.22000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
2622.58000000
0.001086410076
N/A
DFE
XX
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
85780.05000000
USD
80000.00000000
EUR
2024-01-12
2622.58000000
N
N
N
Gracechurch Mortgage Finance Plc
N/A
Grace Trust 2020-GRCE
38406JAN8
376000.00000000
PA
USD
243315.47000000
0.100794018996
Long
ABS-MBS
CORP
US
N
2
2040-12-10
Variable
2.68000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2016-GS2
36252TAT2
4036431.92000000
PA
USD
118203.68000000
0.048966158902
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Variable
1.73000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579ZE1
85342.88000000
PA
USD
80907.31000000
0.033516047874
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
6.80000000
N
N
N
N
N
N
SLC Student Loan Trust
25490083RPF52FIUZ551
SLC Student Loan Trust 2004-1
784423AH8
154462.11000000
PA
USD
130948.93000000
0.054245909386
Long
ABS-O
CORP
US
N
2
2031-08-15
Floating
5.89000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2020-BID Mortgage Trust
05493BAL2
705000.00000000
PA
USD
656062.71000000
0.271775556459
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
10.11000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
902973BC9
130000.00000000
PA
USD
102692.20000000
0.042540490983
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.70000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2006-HYB2
126694C63
675940.25000000
PA
USD
479543.99000000
0.198652251899
Long
ABS-MBS
CORP
US
N
2
2036-04-20
Variable
4.52000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS6 Trust
74922EAV1
2557555.97000000
PA
USD
53879.26000000
0.022319613117
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
766950.73000000
PA
USD
83163.54000000
0.034450696581
Long
ABS-O
CORP
US
N
2
2046-12-20
None
0.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022618
10300000.00000000
PA
USD
8775922.39000000
3.635446969675
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
2.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
BANK OF AMERICA CORP
000000000
-210.00000000
NC
USD
-26565.00000000
-0.01100461517
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Bank of America Corp.
Bank of America Corp.
100.00000000
33.00000000
USD
2024-01-19
XXXX
-16386.40000000
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP5
46647TAU2
10089961.42000000
PA
USD
190910.14000000
0.079084984928
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Variable
0.81000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3L3
135000.00000000
PA
USD
124037.91000000
0.051383002719
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
7000.00000000
PA
USD
6398.70000000
0.002650676873
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
579936.97000000
PA
USD
373703.84000000
0.154807715053
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.79000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030611
2750000.00000000
PA
USD
2432998.07000000
1.007875305607
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
265000.00000000
PA
USD
221582.40000000
0.091791042447
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.55000000
N
N
N
N
N
N
CLEARWATER PAPER CORP
549300HCVV19GXN4P292
Clearwater Paper Corp
18538RAJ2
125000.00000000
PA
USD
116555.00000000
0.048283189244
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.75000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR9
45661EGC2
433127.97000000
PA
USD
237168.49000000
0.098247617738
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
260424.00000000
0.107881268721
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
59405.85000000
0.024609016325
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Variable
2.10000000
N
N
N
N
N
N
CIT Education Loan Trust
N/A
CIT Education Loan Trust 2007-1
17284LAA2
335875.03000000
PA
USD
318638.71000000
0.131996852434
Long
ABS-O
CORP
US
N
2
2042-03-25
Floating
5.70000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAQ6
285000.00000000
PA
USD
240675.43000000
0.099700376072
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
4655948.95000000
PA
USD
75.43000000
0.000031247059
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
65698.23000000
0.027215649882
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Variable
2.03000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBD4
630000.00000000
PA
USD
556170.30000000
0.230394885221
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
SLM Student Loan Trust
549300Y3YMECZJOAL893
SLM Student Loan Trust 2004-2
78442GLB0
192223.58000000
PA
USD
177758.70000000
0.073636969258
Long
ABS-O
CORP
US
N
2
2039-07-25
Floating
6.07000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2006-S9 Trust
749577AP7
16093236.56000000
PA
USD
172249.13000000
0.071354616627
Long
ABS-MBS
CORP
US
N
3
2036-09-25
Variable
0.35000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-10 LLC
69360HAA9
819001.49000000
PA
USD
791172.15000000
0.327744967125
Long
ABS-O
CORP
US
N
2
2026-10-25
Variable
2.49000000
N
N
N
N
N
N
BANIJAY ENTERTAINMENT
969500CE0IE2EZ5VBG13
Banijay Entertainment SASU
060335AB2
200000.00000000
PA
USD
206103.00000000
0.085378663745
Long
DBT
CORP
FR
N
2
2029-05-01
Fixed
8.13000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAC0
90000.00000000
PA
USD
67675.50000000
0.028034738738
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
4576.20000000
0.001895701862
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
328622.94000000
0.136132843739
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
1126002.00000000
PA
USD
420083.31000000
0.174020522115
Long
ABS-O
CORP
US
N
2
2037-03-25
Variable
3.32000000
N
N
N
N
N
N
CENTRAL GARDEN & PET CO
5493004DVZLD37DJ0H83
Central Garden & Pet Co
153527AN6
24000.00000000
PA
USD
21867.84000000
0.009058805345
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
224705.25000000
0.093084690574
Long
DBT
US
N
2
2031-02-01
Fixed
3.38000000
N
N
N
N
N
N
OT MERGER CORP
N/A
OT Merger Corp
688777AA9
575000.00000000
PA
USD
348691.50000000
0.144446293015
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
7.88000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
000000000
215000.00000000
PA
199729.97000000
0.082738620730
Long
DBT
US
N
2
2030-10-05
Fixed
0.95000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill- When Issued
912797JN8
5000000.00000000
PA
USD
4924239.75000000
2.039878166822
Long
STIV
UST
US
N
1
2024-04-16
None
0.00000000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YBA3
666799.87000000
PA
USD
637409.23000000
0.264048307479
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
10.73000000
N
N
N
N
N
N
Manhattan West
N/A
Manhattan West 2020-1MW Mortgage Trust
563136AA8
695000.00000000
PA
USD
614190.24000000
0.254429784994
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
947472.19000000
0.392492634838
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
8.06000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AS6
50000.00000000
PA
USD
44213.67000000
0.018315619199
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.38000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3B7
200000.00000000
PA
USD
194948.41000000
0.080757847993
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
146629.05000000
0.060741436831
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
30000.00000000
PA
USD
26905.50000000
0.011145668124
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
124120.47000000
0.051417203398
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
241150.14000000
0.099897025832
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
129107.50000000
0.053483092577
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
7.50000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343V104
15224.00000000
NS
USD
573944.80000000
0.237758014621
Long
EC
CORP
US
N
1
N
N
N
SLM Student Loan Trust
549300EQOYJZL2D96G46
SLM Student Loan Trust 2008-4
78445AAE6
515000.00000000
PA
USD
505734.38000000
0.209501683985
Long
ABS-O
CORP
US
N
2
2073-04-25
Floating
7.45000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2007-AR5
45669EAC0
609316.90000000
PA
USD
477405.21000000
0.197766257137
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
3.28000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-235936.01000000
-0.09773705993
N/A
DFE
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
4992000.00000000
EUR
5280387.84000000
USD
2024-01-12
-235936.01000000
N
N
N
HSI Asset Loan Obligation
N/A
HSI Asset Loan Obligation Trust 2007-2
40432BAR0
313406.46000000
PA
USD
241270.76000000
0.099946992958
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6.00000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
52759.00000000
PA
USD
4352.62000000
0.001803083309
Long
DBT
CORP
KY
N
3
2028-09-30
Fixed
6.75000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TAU5
530729.36000000
PA
USD
301997.80000000
0.125103315420
Long
ABS-O
CORP
US
N
2
2030-03-15
Variable
7.61000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJF9
1755000.00000000
PA
USD
1832192.59000000
0.758990189654
Long
DBT
UST
US
N
1
2028-10-31
Fixed
4.88000000
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
100087.38000000
0.041461438029
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Variable
1.01000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QA7 Trust
76110H7A1
606590.12000000
PA
USD
468681.37000000
0.194152385423
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.61000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
375.28000000
0.000155460643
N/A
DFE
XX
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
111233.04000000
USD
101000.00000000
EUR
2024-01-12
375.28000000
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAW1
248000.00000000
PA
USD
215091.26000000
0.089102072080
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2006-14
12670AAG6
7250113.97000000
PA
USD
29421.69000000
0.012188005887
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
24400.00000000
0.010107758719
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
249837.78000000
0.103495901609
Long
DBT
CORP
US
N
2
2046-04-01
Fixed
6.50000000
N
N
N
N
N
N
MFT Trust
N/A
MFT 2020-B6 Mortgage Trust
55316TAE9
220000.00000000
PA
USD
126030.85000000
0.052208582910
Long
ABS-MBS
CORP
US
N
2
2040-08-10
Variable
3.28000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR3
36242D4W0
131408.31000000
PA
USD
102863.26000000
0.042611352999
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
3.97000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2022-4 LLC
693588AB1
1080000.00000000
PA
USD
1026126.58000000
0.425075405180
Long
ABS-O
CORP
US
N
2
2027-08-25
Variable
5.00000000
N
N
N
N
N
N
GRIFOLS SA
959800HSSNXWRKBK4N60
Grifols SA
39843UAA0
205000.00000000
PA
USD
186857.50000000
0.077406169055
Long
DBT
CORP
ES
N
2
2028-10-15
Fixed
4.75000000
N
N
N
N
N
N
LCM INVESTMENTS HOLDINGS
549300P5V78NNQTG4428
LCM Investments Holdings II LLC
50190EAC8
120000.00000000
PA
USD
125109.60000000
0.051826952881
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
8.25000000
N
N
N
N
N
N
ASCENDAS REIT
549300ILIBAEMQZK3L20
CapitaLand Ascendas REIT
000000000
115000.00000000
PA
108877.69000000
0.045102845101
Long
DBT
SG
Y
2
2028-06-23
Fixed
0.75000000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAL2
250000.00000000
PA
USD
270157.50000000
0.111913394520
Long
DBT
CORP
US
N
2
2034-05-15
Fixed
6.88000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAH8
80000.00000000
PA
USD
78351.20000000
0.032457173155
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
96672.35000000
PA
USD
90275.50000000
0.037396843126
Long
ABS-O
CORP
US
N
2
2043-04-27
Floating
6.45000000
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
812298.85000000
PA
USD
782646.21000000
0.324213075962
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.92000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-S2
46630WAA8
147083.13000000
PA
USD
52410.63000000
0.021711229605
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
965621.30000000
0.400010947332
Long
ABS-O
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
72790.32000000
0.030153565232
Long
ABS-MBS
USGSE
US
N
2
2046-05-25
Variable
2.17000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YED3
410000.00000000
PA
USD
335224.20000000
0.138867431580
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
586500.00000000
PA
USD
455141.48000000
0.188543453406
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
359509.50000000
0.148927675549
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
511107.80000000
0.211727636151
Long
EC
CORP
US
N
1
N
N
N
Babson CLO Ltd
549300RW4E3G80IH3A51
Barings Clo Ltd 2022-II
06759UAA1
550000.00000000
PA
USD
550550.00000000
0.228066662421
Long
ABS-CBDO
CORP
KY
N
2
2035-07-15
Floating
7.19000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAM8
650000.00000000
PA
USD
560137.50000000
0.232038307368
Long
DBT
CORP
XX
N
2
2031-12-01
Fixed
3.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBW5
1000000.00000000
PA
USD
919380.00000000
0.380855377525
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
228397.20000000
PA
USD
141801.61000000
0.058741658193
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
4.42000000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2006-AR4
86360QAM7
638711.15000000
PA
USD
524401.33000000
0.217234512945
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.83000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PED6
200000.00000000
PA
USD
184750.00000000
0.076533132108
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
1059689.71000000
PA
USD
1031986.35000000
0.427502829005
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
721357.60000000
0.298824121776
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Floating
7.26000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2007-FLX2
45668RAC2
1396173.89000000
PA
USD
1256569.76000000
0.520537047066
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.66000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJN1
140000.00000000
PA
USD
144643.80000000
0.059919042241
Long
DBT
CORP
US
N
2
2034-06-12
Fixed
5.84000000
N
N
N
N
N
N
CANO HEALTH LLC
254900OGI2T8V1NXN639
Cano Health LLC
13782CAA8
98000.00000000
PA
USD
7521.84000000
0.003115940321
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
8944.43000000
0.003705251652
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
0.35000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AT5H3
732290.20000000
PA
USD
10953.05000000
0.004537327321
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Variable
3.05000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B14 Mortgage Trust
08162YBM3
535000.00000000
PA
USD
28789.69000000
0.011926198366
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
3.29000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35906ABG2
150000.00000000
PA
USD
134287.19000000
0.055628791625
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
541689.78000000
0.224396294963
Long
ABS-CBDO
CORP
KY
N
2
2035-04-19
Variable
0.00000000
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
123727.60000000
0.051254456055
Long
DBT
CORP
IE
N
2
2028-01-23
Fixed
3.88000000
N
N
N
N
N
N
PENN ENTERTAINMENT INC
N/A
Penn Entertainment Inc
707569AS8
165000.00000000
PA
USD
160110.74000000
0.066326259358
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
8017992.74000000
PA
USD
150759.83000000
0.062452622387
Long
ABS-MBS
USGSE
US
N
2
2026-03-25
Variable
1.03000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AS0
40000.00000000
PA
USD
27385.29000000
0.011344422286
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
827301.88000000
PA
USD
816019.72000000
0.338038132795
Long
ABS-O
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
340316.00000000
0.140976721984
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
1060737.70000000
PA
USD
499713.74000000
0.207007619376
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
1192232.60000000
PA
USD
19.25000000
0.000007974358
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
260906.92000000
0.108081319493
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.25000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
9574408.33000000
NS
USD
9574408.33000000
3.966221691909
Long
STIV
RF
US
N
1
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BX1
165000.00000000
PA
USD
131481.90000000
0.054466693491
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
314912.13000000
PA
USD
292097.16000000
0.121001951473
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
6.11000000
N
N
N
N
N
N
VASA Trust
N/A
VASA Trust 2021-VASA
92230AAC0
1000000.00000000
PA
USD
799456.21000000
0.331176658916
Long
ABS-MBS
CORP
US
N
2
2039-07-15
Floating
6.73000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
549300G18KVCW7VUKI86
Rockford Tower CLO 2017-2 Ltd
77340GAL5
800000.00000000
PA
USD
795936.00000000
0.329718403452
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
7.16000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F052615
1500000.00000000
PA
USD
1506562.50000000
0.624097141229
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
5.50000000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AC7
40000.00000000
PA
USD
38892.00000000
0.016111104595
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
488996.40000000
0.202567935489
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
8423930.99000000
PA
USD
19679.15000000
0.008152135246
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
0.58000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAY7
220000.00000000
PA
USD
196554.60000000
0.081423216066
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
2.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BBQ1
2862794.99000000
PA
USD
28.63000000
0.000011860046
Long
ABS-MBS
USGA
US
N
2
2052-05-16
Variable
0.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020612
9475000.00000000
PA
USD
7745812.50000000
3.208721468741
Long
ABS-MBS
USGSE
US
N
2
2054-01-01
Fixed
2.00000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AQ4
725000.00000000
PA
USD
600083.28000000
0.248585942865
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
129384.95000000
0.053598026907
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
168583.71000000
0.069836207571
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
465547.56000000
0.192854197089
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
970315.50000000
0.401955530979
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
245730.00000000
0.101794243859
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
452710.77000000
PA
USD
452710.77000000
0.187536525939
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
224353.38000000
0.092938927580
Long
DBT
CORP
KY
N
2
2041-04-22
Fixed
3.68000000
N
N
N
N
N
N
GGAM FINANCE LTD
254900X2QXEN0FVXRF65
GGAM Finance Ltd
36170JAC0
115000.00000000
PA
USD
118023.35000000
0.048891456765
Long
DBT
CORP
KY
N
2
2027-02-15
Fixed
8.00000000
N
N
N
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TBC8
86000.00000000
PA
USD
82435.30000000
0.034149021408
Long
DBT
CORP
LU
N
2
2030-03-15
Fixed
6.50000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AR2
15000.00000000
PA
USD
10759.98000000
0.004457347609
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
118587.82000000
PA
USD
108675.55000000
0.045019108119
Long
ABS-O
CORP
US
N
2
2042-08-25
Floating
6.09000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R5
12592SAC1
1096000.00000000
PA
USD
711388.94000000
0.294694580381
Long
ABS-MBS
CORP
US
N
2
2061-08-25
Variable
2.00000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJJ0
115000.00000000
PA
USD
118805.35000000
0.049215402147
Long
DBT
CORP
US
N
2
2033-10-21
Fixed
5.85000000
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
886523.41000000
PA
USD
773831.04000000
0.320561370576
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
4.79000000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAC6
135000.00000000
PA
USD
108632.87000000
0.045001427826
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
254547.90000000
0.105447080154
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6.38000000
N
N
N
N
N
N
DMMY00001
N/A
DMMY00001
000000000
850000.00000000
PA
USD
866203.13000000
0.358826731155
Long
ABS-MBS
CORP
US
N
3
2053-04-20
Fixed
7.95000000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAF9
40000.00000000
PA
USD
40094.50000000
0.016609243114
Long
DBT
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396VE20
677023.20000000
PA
USD
54138.57000000
0.022427032909
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
Floating
0.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396Q4H9
118275.60000000
PA
USD
12220.96000000
0.005062562090
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
1.30000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-LC4 Mortgage Trust
126192AJ2
14633291.20000000
PA
USD
339.49000000
0.000140634549
Long
ABS-MBS
CORP
US
N
2
2044-12-10
Variable
0.36000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-3
61946TAE5
1594601.11000000
PA
USD
85009.78000000
0.035215505944
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
2400.00000000
0.000994205775
Long
DBT
CORP
KY
Y
3
2026-01-07
None
0.00000000
Y
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DT4
60000.00000000
PA
USD
63291.00000000
0.026218449062
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
395233.00000000
PA
USD
8919.38000000
0.003694874629
Long
ABS-MBS
USGA
US
N
2
2038-05-20
Floating
0.93000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376GXY1
4855896.50000000
PA
USD
48764.86000000
0.020200960609
Long
ABS-MBS
USGA
US
N
2
2050-09-16
Variable
0.30000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2006-IM1
07387UFD8
70811.20000000
PA
USD
68645.02000000
0.028436364732
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.93000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C24
46643GAG5
6776941.55000000
PA
USD
19548.09000000
0.008097843325
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
0.81000000
N
N
N
N
N
N
SLC Student Loan Trust
N/A
SLC Student Loan Trust 2006-1
784427AG1
219394.92000000
PA
USD
181688.74000000
0.075264997786
Long
ABS-O
CORP
US
N
2
2055-03-15
Floating
5.82000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
C-BASS Mortgage Loan Trust 2007-CB2
1248MBAJ4
756018.13000000
PA
USD
431525.32000000
0.178760402293
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
266000.00000000
PA
USD
258182.26000000
0.106952622531
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.50000000
N
N
N
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
21739.00000000
PA
USD
1739.12000000
0.000720434645
Long
DBT
CORP
KY
N
3
2032-09-30
Fixed
1.00000000
N
N
N
N
N
Sunac China Holdings Ltd.
Sunac China Holdings Ltd.
USD
XXXX
N
N
N
WASH MULTIFAM ACQ INC
549300AS7PRY5PHG6L12
WASH Multifamily Acquisition Inc
93710WAA3
205000.00000000
PA
USD
199290.75000000
0.082556672788
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
1152652.78000000
PA
USD
1128326.85000000
0.467412112977
Long
ABS-O
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
0.419080746178
Long
EC
CORP
US
N
1
N
N
N
ACRISURE LLC / FIN INC
N/A
Acrisure LLC / Acrisure Finance Inc
00489LAH6
160000.00000000
PA
USD
146400.00000000
0.060646552317
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
112356.75000000
0.046544054078
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
400610.40000000
0.165953822285
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
7.38000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS8 Trust
75115AAC5
493392.16000000
PA
USD
402994.97000000
0.166941636146
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
305000.00000000
PA
USD
269473.60000000
0.111630087299
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6.75000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYL2
285000.00000000
PA
USD
284680.32000000
0.117929507654
Long
DBT
CORP
US
N
2
2024-10-21
Floating
5.86000000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AY2
240000.00000000
PA
USD
250228.80000000
0.103657882585
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
380000.00000000
PA
USD
366179.40000000
0.151690697675
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
212527.07000000
0.088039850202
Long
ABS-O
CORP
US
N
2
2083-04-26
Floating
6.80000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-FACT
126395AQ5
1017000.00000000
PA
USD
655385.31000000
0.271494941879
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
11.88000000
N
N
N
N
N
N
HEALTHCARE RLTY HLDGS LP
549300IYGAS4GE6VDL07
Healthcare Realty Holdings LP
42225UAG9
245000.00000000
PA
USD
214845.18000000
0.089000132848
Long
DBT
US
N
2
2030-02-15
Fixed
3.10000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397CW39
263338.85000000
PA
USD
31570.46000000
0.013078139030
Long
ABS-MBS
USGSE
US
N
2
2036-11-15
Floating
1.20000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AE1
60000.00000000
PA
USD
46356.60000000
0.019203333109
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
4.38000000
N
N
N
N
N
N
FARMERS INS EXCH
549300UWG2TLX1GZVT44
Farmers Insurance Exchange
309601AE2
5000.00000000
PA
USD
3856.52000000
0.001597572690
Long
DBT
CORP
US
N
2
2057-11-01
Fixed
4.75000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCN3
375000.00000000
PA
USD
335130.00000000
0.138828409004
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
108982.28000000
0.045146171760
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
61630.68000000
0.025530657506
Long
ABS-MBS
CORP
US
N
2
2047-01-10
Variable
0.17000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE MAR24
000000000
-5.00000000
NC
-8236.11000000
-0.00341182838
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX Euro-Bobl Futures
OEH4 Comdty
2024-03-07
-588944.15000000
EUR
-8236.11000000
N
N
N
PROLOGIS EURO FINANCE
549300MI5D1784PRQH06
Prologis Euro Finance LLC
000000000
165000.00000000
PA
149140.20000000
0.061781686762
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
220335.03000000
PA
USD
214598.21000000
0.088897824931
Long
ABS-O
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
494362.91000000
PA
USD
427921.38000000
0.177267461475
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
131766.02000000
0.054584390885
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
HEALTHEQUITY INC
529900LRJU1RAFQHM467
HealthEquity Inc
42226AAA5
265000.00000000
PA
USD
245567.55000000
0.101726948555
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
234205.20000000
0.097020067724
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
247551.00000000
0.102548597491
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
47753.30000000
PA
USD
2669.74000000
0.001105946219
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Floating
0.66000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TCV1
538385.73000000
PA
USD
257989.60000000
0.106872812662
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
741028.17000000
PA
713308.29000000
0.295489675738
Long
ABS-MBS
CORP
IE
N
2
2033-11-20
Floating
7.99000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJL4
305000.00000000
PA
USD
248074.80000000
0.102765582902
Long
DBT
CORP
US
N
2
2031-10-24
Fixed
1.92000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-38990.23000000
-0.01615179660
N/A
DFE
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
702000.00000000
GBP
855962.64000000
USD
2024-01-12
-38990.23000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS6 Trust
75116CCP9
151912.65000000
PA
USD
117559.64000000
0.048699363782
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
174087.50000000
0.072116165823
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
19661.20000000
0.008144699415
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
315000.00000000
PA
USD
256365.90000000
0.106200191030
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
757850.78000000
PA
USD
661890.50000000
0.274189732491
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
1032591.53000000
PA
USD
26731.11000000
0.011073426647
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
80000.00000000
PA
USD
76800.00000000
0.031814584822
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
122211.06000000
0.050626225710
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
1235066.67000000
PA
USD
1104149.60000000
0.457396628981
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
1635258.15000000
0.677409623953
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
899647.30000000
0.372681059063
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
0.79000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWFCME046 IRS USD R V 12MSOFR SWFCME046_FLO CCPOIS / Short: BWFCME046 IRS USD P F 3.52000 SWFCME046_FIX CCPOIS
000000000
1476000.00000000
OU
Notional Amount
USD
-61707.43000000
-0.02556245137
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2053-12-20
0.00000000
USD
0.00000000
USD
1476000.00000000
USD
-61707.43000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
65000.00000000
PA
USD
50398.07000000
0.020877521782
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
145068.39000000
PA
USD
114539.28000000
0.047448172383
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
6.11000000
N
N
N
N
N
N
PROLOGIS EURO FINANCE
549300MI5D1784PRQH06
Prologis Euro Finance LLC
000000000
105000.00000000
PA
117267.85000000
0.048578489072
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
347706.74000000
PA
USD
342214.02000000
0.141762981337
Long
ABS-O
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
176030.81000000
0.072921186667
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Variable
2.15000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCJ3
285000.00000000
PA
USD
252953.18000000
0.104786463557
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
38901.99000000
0.016115242976
Long
DBT
CORP
XX
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468X0
195000.00000000
PA
USD
156508.81000000
0.064834151187
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
442949.47000000
0.183492883923
Long
DBT
CORP
US
N
2
2038-06-25
Fixed
4.63000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND MAR24
000000000
-2.00000000
NC
-24128.03000000
-0.00999509449
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 30 Year Euro BUXL Futures
UBH4 Comdty
2024-03-07
-261597.76000000
EUR
-24128.03000000
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAK7
95000.00000000
PA
USD
96332.85000000
0.039906114941
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
5.50000000
N
N
N
N
N
N
BXHPP Trust
N/A
BXHPP Trust 2021-FILM
05609JAN2
515000.00000000
PA
USD
448462.57000000
0.185776698866
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
6.98000000
N
N
N
N
N
N
SES GLOBAL AMERICAS HLDG
5299000YGN3VJ3R60481
SES GLOBAL Americas Holdings Inc
78413KAB8
675000.00000000
PA
USD
528114.41000000
0.218772665271
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
174567.41000000
PA
USD
163323.65000000
0.067657215057
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
5.83000000
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
1547360.00000000
0.640997603785
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.75000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Credit-Based Asset Servicing and Securitization LLC
12489WGJ7
291775.38000000
PA
USD
276441.01000000
0.114516353659
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
128411.25000000
0.053194669339
Long
DBT
CORP
GB
N
2
2027-07-27
Fixed
6.13000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
000000000
200000.00000000
PA
USD
166906.25000000
0.069141315729
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
228431.78000000
0.094628414595
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
2.68000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCC8
505000.00000000
PA
USD
427684.50000000
0.177169333365
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
232600.00000000
0.096355109761
Long
DBT
CORP
GB
N
2
2028-02-16
Fixed
2.97000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 22 Ltd
74923VAJ9
350000.00000000
PA
USD
356457.50000000
0.147663377204
Long
ABS-CBDO
CORP
KY
N
2
2037-01-20
Floating
10.37000000
N
N
N
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BZ9
274000.00000000
PA
USD
248312.50000000
0.102864050699
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
678329.28000000
PA
USD
698732.24000000
0.289451511947
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
9.20000000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-4
007036KJ4
326213.71000000
PA
USD
280275.87000000
0.116104953642
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.79000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT XCIX LLC
92872VAA1
1048096.08000000
PA
USD
1015386.89000000
0.420626462752
Long
ABS-O
CORP
US
N
2
2051-04-25
Variable
2.12000000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAD4
8000.00000000
PA
USD
7358.20000000
0.003048152057
Long
DBT
US
N
2
2032-04-15
Fixed
4.15000000
N
N
N
N
N
N
SLM Student Loan Trust
549300QFNKDN6MY4H751
SLM Student Loan EDC Repackaging Trust 2013-M1
78447T103
1000.00000000
PA
USD
423449.40000000
0.175414932998
Long
ABS-O
CORP
US
N
2
2029-10-28
None
0.00000000
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
106953.75000000
0.044305848326
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
697935.00000000
0.289121253359
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
7.38000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A2Z3
285000.00000000
PA
USD
258383.85000000
0.107036131673
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
1126730.38000000
PA
USD
344272.13000000
0.142615558357
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
6.54000000
N
N
N
N
N
N
ILPT Commercial Mortgage Trust
N/A
ILPT Trust 2019-SURF
44965LAA2
240000.00000000
PA
USD
223027.15000000
0.092389533611
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
142641.09000000
0.059089414804
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
139183.93000000
0.057657277954
Long
DBT
CORP
LU
Y
2
2028-05-04
Fixed
1.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380BP58
1304553.76000000
PA
USD
228302.60000000
0.094574901469
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
523237.67000000
0.216752463990
Long
ABS-MBS
CORP
US
N
2
2040-12-10
Variable
2.68000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAK1
48000.00000000
PA
USD
45821.50000000
0.018981666646
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
414345.70000000
0.171643703364
Long
ABS-MBS
CORP
US
N
2
2043-01-05
Variable
4.39000000
N
N
N
N
N
N
Annaly Capital Management Inc
2DTL0G3FPRYUT58TI025
Annaly Capital Management Inc
035710839
41441.00000000
NS
USD
802712.17000000
0.332525448182
Long
EC
US
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR24
000000000
-204.00000000
NC
USD
-1045022.81000000
-0.43290321393
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Ultra 10-Year U.S. Treasury Notes Futures
UXYH4 Comdty
2024-03-19
-23030164.69000000
USD
-1045022.81000000
N
N
N
SOUTHERN CO GAS CAPITAL
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
001192AL7
640000.00000000
PA
USD
624424.98000000
0.258669550669
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.88000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR19
45660LXA2
378595.98000000
PA
USD
304145.31000000
0.125992926605
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.49000000
N
N
N
N
N
N
2024-01-19
TCW STRATEGIC INCOME FUND INC
Richard Villa
Richard Villa
Treasurer