0001752724-22-276945.txt : 20221208
0001752724-22-276945.hdr.sgml : 20221208
20221208122511
ACCESSION NUMBER: 0001752724-22-276945
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20221031
FILED AS OF DATE: 20221208
DATE AS OF CHANGE: 20221208
PERIOD START: 20221031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: TCW FUNDS INC
CENTRAL INDEX KEY: 0000892071
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07170
FILM NUMBER: 221451964
BUSINESS ADDRESS:
STREET 1: 865 SOUTH FIGUEROA STREET
STREET 2: SUITE 1800
CITY: LOS ANGELES
STATE: CA
ZIP: 90017
BUSINESS PHONE: 213-244-0000
MAIL ADDRESS:
STREET 1: 865 SOUTH FIGUEROA STREET
STREET 2: SUITE 1800
CITY: LOS ANGELES
STATE: CA
ZIP: 90017
FORMER COMPANY:
FORMER CONFORMED NAME: TCW GALILEO FUNDS INC
DATE OF NAME CHANGE: 19950113
FORMER COMPANY:
FORMER CONFORMED NAME: TCW FUNDS INC
DATE OF NAME CHANGE: 19930714
0000892071
S000006330
TCW Total Return Bond Fund
C000017410
I Class
TGLMX
C000017411
N Class
TGMNX
C000218394
Plan Class
TGLSX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000892071
XXXXXXXX
S000006330
C000218394
C000017411
C000017410
TCW FUNDS INC
811-07170
0000892071
54930078E2I2DS4UJ217
865 SOUTH FIGUEROA STREET
Suite 1800
LOS ANGELES
90017
213-244-0000
TCW Total Return Bond Fund
S000006330
549300Y1Y22MX8MB2328
2022-10-31
2022-10-31
N
4557890413.43
1451538530.24
3106351883.19
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
540045693.36000000
0.00000000
0.00000000
126240721.39000000
USD
N
Bloomberg U.S. Aggregate Bond Index
LBUSSTAT
Deutsche Alt-A Securities INC Mortgage Loan Trust
N/A
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6
25150RAF2
173487.93000000
PA
USD
149351.21000000
0.004807929546
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
3.97000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128CUQF6
566930.58000000
PA
USD
559685.25000000
0.018017445255
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
5.00000000
N
N
N
N
N
N
Citimortgage Alternative Loan Trust
N/A
CitiMortgage Alternative Loan Trust Series 2007-A5
12566WAF7
8743949.13000000
PA
USD
7770658.40000000
0.250153836146
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MFRT7
2916261.00000000
PA
USD
2707603.23000000
0.087163442256
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379LFY7
13550729.96000000
PA
USD
11458379.36000000
0.368869329389
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
3.00000000
N
Y
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391BH91
21133.38000000
PA
USD
20764.37000000
0.000668448739
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Floating
3.87000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2022-1 LLC
693582AA6
13886674.83000000
PA
USD
12932354.76000000
0.416319697391
Long
ABS-MBS
CORP
US
N
2
2027-02-25
Variable
3.72000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579U71
7798631.93000000
PA
USD
7408467.93000000
0.238494163204
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
3.73000000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust 2005-E
35729PNC0
9532788.03000000
PA
USD
9096325.52000000
0.292829848711
Long
ABS-O
CORP
US
N
2
2036-01-25
Floating
4.25000000
N
N
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2006-AB1
57643LNX0
220286.64000000
PA
USD
172205.69000000
0.005543663321
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
6.22000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-R6
12560YAB8
12600804.11000000
PA
USD
10922033.00000000
0.351603212086
Long
ABS-MBS
CORP
US
N
2
2060-12-25
Variable
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8WA9
12415420.74000000
PA
USD
11498166.10000000
0.370150148224
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394GM91
481887.50000000
PA
USD
353181.18000000
0.011369644949
Long
ABS-MBS
USGSE
US
N
2
2033-07-15
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXE89
53707.00000000
PA
USD
53879.95000000
0.001734508903
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398EUH5
2034407.80000000
PA
USD
1996738.71000000
0.064279218359
Long
ABS-MBS
USGSE
US
N
2
2029-07-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ5A4
403677.47000000
PA
USD
394606.01000000
0.012703197346
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCR49
13860566.59000000
PA
USD
12487174.89000000
0.401988421130
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Mid-State Trust
N/A
Mid-State Capital Corp 2005-1 Trust
595481AA0
1359734.26000000
PA
USD
1331052.43000000
0.042849377020
Long
ABS-O
CORP
US
N
2
2040-01-15
Fixed
5.75000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF12
32027GAA4
5682212.26000000
PA
USD
5205893.43000000
0.167588657877
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
3.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKQG3
807791.75000000
PA
USD
748446.81000000
0.024094076851
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan Trust
N/A
GMACM Mortgage Loan Trust 2005-AR5
76112BXZ8
1774853.13000000
PA
USD
1234363.85000000
0.039736768286
Long
ABS-MBS
CORP
US
N
2
2035-09-19
Variable
4.20000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS2 Trust
74923CAJ1
9748399.92000000
PA
USD
105272.00000000
0.003388927074
Long
ABS-MBS
CORP
US
N
3
2037-01-25
Variable
0.33000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2005-4
576434Q49
4200308.29000000
PA
USD
3354207.43000000
0.107978991309
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CMB9
757695.93000000
PA
USD
763531.44000000
0.024579682814
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
6.00000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2020-SFR3 Trust
74333AAL4
3299000.00000000
PA
USD
2835784.44000000
0.091289864981
Long
ABS-O
CORP
US
N
2
2027-10-17
Fixed
2.80000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VIV4
05608MAA4
15285000.00000000
PA
USD
11943783.07000000
0.384495495653
Long
ABS-MBS
CORP
US
N
2
2044-03-09
Fixed
2.84000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FMLW0
1512278.79000000
PA
USD
1379762.71000000
0.044417463374
Long
ABS-MBS
USGSE
US
N
2
2049-01-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398JB44
2127588.83000000
PA
USD
2070650.06000000
0.066658580156
Long
ABS-MBS
USGSE
US
N
2
2029-08-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac STACR REMIC Trust 2021-DNA7
35564KND7
11650000.00000000
PA
USD
10164034.23000000
0.327201637554
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
6.65000000
N
N
N
N
N
N
ChaseFlex Trust
N/A
ChaseFlex Trust Series 2005-1
16165TAE3
2213934.90000000
PA
USD
1806116.80000000
0.058142698184
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396HHT9
7308463.49000000
PA
USD
7287639.48000000
0.234604441288
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
5.00000000
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
13765000.00000000
PA
USD
11680815.20000000
0.376030006877
Long
ABS-MBS
CORP
US
N
2
2039-06-05
Fixed
3.40000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR3 Trust
001807AH9
9512000.00000000
PA
USD
8652622.19000000
0.278546105379
Long
ABS-O
CORP
US
N
2
2037-09-17
Fixed
4.99000000
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
1871520.06000000
PA
USD
1103005.26000000
0.035508059018
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
3.72000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFF3
32495000.00000000
PA
USD
29103334.38000000
0.936897540085
Long
DBT
UST
US
N
1
2032-08-15
Fixed
2.75000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-3 Trust
058931BF2
1277776.38000000
PA
USD
1069921.77000000
0.034443031898
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AWX2
18223024.43000000
PA
USD
16471543.04000000
0.530253611290
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.00000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR3 Trust
001807AG1
2682000.00000000
PA
USD
2373242.53000000
0.076399668139
Long
ABS-O
CORP
US
N
2
2037-09-17
Fixed
3.55000000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2021-1 Trust
21873LAC7
73067864.08000000
PA
USD
5438463.04000000
0.175075562734
Long
ABS-O
CORP
US
N
2
2053-04-15
Variable
2.95000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QA10 Trust
74922NAB5
7710330.00000000
PA
USD
6183937.56000000
0.199073955319
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
3.95000000
N
N
N
N
N
N
HOUSTON GALLERIA MALL TRUST
N/A
Houston Galleria Mall Trust 2015-HGLR
44217NAN6
9500000.00000000
PA
USD
8306970.05000000
0.267418836061
Long
ABS-MBS
CORP
US
N
2
2037-03-05
Fixed
3.98000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-A4
46628LAD0
205112.01000000
PA
USD
152675.08000000
0.004914931911
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
3.40000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-R3
12559PAA2
12063485.79000000
PA
USD
10716649.47000000
0.344991484319
Long
ABS-MBS
CORP
US
N
2
2058-06-25
Variable
2.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359FDD7
4722.21000000
PA
USD
4743.43000000
0.000152700987
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Floating
10.00000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2006-AR11 Trust
94984CAF3
1031635.51000000
PA
USD
931265.52000000
0.029979395606
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
4.06000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNE24
19332266.68000000
PA
USD
15291968.90000000
0.492280638994
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Washington Mutual Asset-Backed CTFS
N/A
Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE2 Trust
93934TAB8
15621548.25000000
PA
USD
4492918.49000000
0.144636495121
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
3.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417C3U7
18897265.77000000
PA
USD
16594576.68000000
0.534214322910
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust 2006-AR1
07401LAQ6
9009103.20000000
PA
USD
7558971.82000000
0.243339199944
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
4.03000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNS0
499348.98000000
PA
USD
466526.00000000
0.015018453077
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QA13 Trust
761118PE2
404195.63000000
PA
USD
323621.09000000
0.010418043485
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
4.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TJ22
1402897.46000000
PA
USD
1401390.40000000
0.045113704200
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHBK7
6612329.06000000
PA
USD
5983340.18000000
0.192616303786
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR11 Trust
93363TAA0
2058276.66000000
PA
USD
1676191.15000000
0.053960118268
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
2.33000000
N
N
N
N
N
N
Merrill Lynch Alternative Note Asset
N/A
Merrill Lynch Alternative Note Asset Trust Series 2007-A1
59023MAT7
785201.25000000
PA
USD
259071.81000000
0.008340066410
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
3.91000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396QN39
344241.16000000
PA
USD
40080.65000000
0.001290280415
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
3.66000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ABTX9
911975.25000000
PA
USD
750252.31000000
0.024152199693
Long
ABS-MBS
USGSE
US
N
2
2033-11-15
None
0.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BHXL6
126630757.00000000
PA
USD
3981943.41000000
0.128187132679
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Variable
1.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac STACR REMIC Trust 2021-HQA2
35564KGR4
3000000.00000000
PA
USD
2427876.09000000
0.078158437334
Long
ABS-MBS
USGSE
US
N
2
2033-12-25
Floating
6.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVK20
15251916.62000000
PA
USD
13721264.01000000
0.441716345281
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SEL7
2639656.20000000
PA
USD
2651509.79000000
0.085357676454
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
5.00000000
N
N
N
N
N
N
SFAVE Commercial Mortgage Securities Trust
549300FIGODFFTOAAU64
SFAVE Commercial Mortgage Securities Trust 2015-5AVE
78413MAC2
20935000.00000000
PA
USD
14118773.35000000
0.454513006926
Long
ABS-MBS
CORP
US
N
2
2043-01-05
Variable
3.66000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC Trust 2006-AA2
05530MAA7
11044263.61000000
PA
USD
9356291.49000000
0.301198700013
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
3.93000000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2007-AR1
23333YAC9
4358500.60000000
PA
USD
3445807.47000000
0.110927789238
Long
ABS-MBS
CORP
US
N
2
2037-03-19
Floating
3.62000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0526B3
32250000.00000000
PA
USD
31804774.24000000
1.023862570499
Long
ABS-MBS
USGSE
US
N
2
2052-11-15
Fixed
5.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2007-HYB1
22239EAA4
30687.66000000
PA
USD
23689.06000000
0.000762600661
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
3.47000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FPKK0
14134958.06000000
PA
USD
13911536.67000000
0.447841622363
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Floating
4.04000000
N
N
N
N
N
N
BDS Ltd
N/A
BDS 2020-FL6 Ltd
05492XAE1
10870675.78000000
PA
USD
10820346.73000000
0.348329717201
Long
ABS-CBDO
CORP
KY
N
2
2035-09-15
Floating
5.18000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GGA5
174893.50000000
PA
USD
187618.56000000
0.006039836021
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ5J5
1700786.23000000
PA
USD
1626130.64000000
0.052348565170
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MNN93
29226841.67000000
PA
USD
24836698.24000000
0.799545549697
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
EFS Volunteer No 2 LLC
N/A
EFS Volunteer No 2 LLC
26845BAB5
3376012.55000000
PA
USD
3330652.78000000
0.107220717589
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
4.94000000
N
N
N
N
N
N
Apidos CLO
549300OGB01ASKLNI660
Apidos CLO XXXVII
03769HAC1
17000000.00000000
PA
USD
15840600.00000000
0.509942227914
Long
ABS-CBDO
CORP
KY
N
2
2034-10-22
Floating
5.92000000
N
N
N
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2007-BR2
81378PAB4
26716775.50000000
PA
USD
12489795.99000000
0.402072799852
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
3.82000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR39
45660KAA9
4412868.08000000
PA
USD
3737078.81000000
0.120304426237
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
3.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394LSK9
111469.00000000
PA
USD
111033.14000000
0.003574390287
Long
ABS-MBS
USGSE
US
N
2
2023-11-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0426B4
134500000.00000000
PA
USD
126177647.07000000
4.061923819796
Long
ABS-MBS
USGSE
US
N
2
2052-11-15
Fixed
4.50000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust Series 2007-FF2
32029GAA2
33928196.20000000
PA
USD
18114519.77000000
0.583144487526
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
3.73000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412TGL1
136292.23000000
PA
USD
130846.88000000
0.004212236247
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.00000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2005-10
07387AET8
1452858.35000000
PA
USD
1337193.83000000
0.043047081601
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Variable
3.74000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAA1
8270000.00000000
PA
USD
6813626.54000000
0.219344967866
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.20000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2007-AR4 Trust
94986CAA2
47287.84000000
PA
USD
39411.67000000
0.001268744542
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Variable
4.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396QM63
5904168.00000000
PA
USD
5758277.19000000
0.185371052814
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Fixed
4.00000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
C-BASS 2006-CB9 TRUST
12465MAD6
12198927.93000000
PA
USD
5770623.56000000
0.185768508430
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
4.05000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2020-SFR2 Trust
74333LAL0
9332000.00000000
PA
USD
8809467.72000000
0.283595292847
Long
ABS-O
CORP
US
N
2
2037-06-17
Fixed
6.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ATXX7
7416301.41000000
PA
USD
7283158.92000000
0.234460202638
Long
ABS-MBS
USGSE
US
N
2
2046-09-25
Floating
4.09000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335APZ5
25178799.15000000
PA
USD
22852737.62000000
0.735677684928
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394APN0
155880.10000000
PA
USD
154168.88000000
0.004963020475
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397LRC5
225654.65000000
PA
USD
3324.32000000
0.000107016852
Long
ABS-MBS
USGSE
US
N
2
2038-05-25
Floating
2.86000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KSZW0
47246009.82000000
PA
USD
37357186.10000000
1.202606385392
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS1 Trust
74922KAY1
1414439.53000000
PA
USD
8019.87000000
0.000258176481
Long
ABS-MBS
CORP
US
N
3
2037-01-25
Variable
0.17000000
N
N
N
N
N
N
One Bryant Park Trust
N/A
One Bryant Park Trust 2019-OBP
68236JAA9
13570000.00000000
PA
USD
10756001.31000000
0.346258302808
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Fixed
2.52000000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2020-4 Trust
21873AAC1
52401568.18000000
PA
USD
5171133.47000000
0.166469661662
Long
ABS-O
CORP
US
N
2
2052-12-15
Variable
3.85000000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2007-2
80556YAD7
10826322.20000000
PA
USD
7276744.77000000
0.234253717660
Long
ABS-O
CORP
US
N
2
2047-05-25
Floating
3.83000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2005-SA5 Trust
76111XZB2
8520.83000000
PA
USD
7202.24000000
0.000231855252
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
4.03000000
N
N
N
N
N
N
FED HOME LN DISCOUNT NT
2549001DPIFGXC1TOL40
Federal Home Loan Bank Discount Notes
313384BA6
15000000.00000000
PA
USD
14856869.25000000
0.478273866215
Long
DBT
USGSE
US
N
2
2023-01-25
None
0.00000000
N
N
N
N
N
N
Fieldstone Mortgage Investment Corp.
N/A
Fieldstone Mortgage Investment Trust Series 2007-1
31659YAC8
2697544.64000000
PA
USD
1896623.40000000
0.061056295980
Long
ABS-O
CORP
US
N
2
2047-04-25
Floating
3.62000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust 2006-AR3
07400HAA1
284910.21000000
PA
USD
226316.37000000
0.007285599909
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
3.77000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
PRET 2021-RN3 LLC
74143JAA9
8319999.83000000
PA
USD
7529165.54000000
0.242379673106
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
1.84000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust 2006-WMC4
46630BAD8
26150423.62000000
PA
USD
13430860.19000000
0.432367635575
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
3.71000000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-55HY Mortgage Trust
44421MAA8
5750000.00000000
PA
USD
4761599.15000000
0.153285890621
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Variable
2.94000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R01
20754FAL6
4000000.00000000
PA
USD
3925960.60000000
0.126384928289
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Floating
7.94000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137APLC2
1535456.83000000
PA
USD
147264.74000000
0.004740761688
Long
ABS-MBS
USGSE
US
N
2
2042-04-15
Floating
3.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A5Q23
4107183.80000000
PA
USD
452626.03000000
0.014570983810
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Floating
3.07000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SNX1
37193.16000000
PA
USD
36245.17000000
0.001166808248
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398EX74
2923177.76000000
PA
USD
298891.42000000
0.009621943399
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Floating
3.34000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust Series 2007-FF1
32028TAD9
3270575.70000000
PA
USD
1727227.00000000
0.055603069611
Long
ABS-O
CORP
US
N
2
2038-01-25
Floating
3.73000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374CLN4
372160.50000000
PA
USD
381189.65000000
0.012271296502
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
6.00000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2005-AC6
073879L63
1951115.19000000
PA
USD
1686481.92000000
0.054291399796
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
5.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CMA1
1395911.79000000
PA
USD
1406662.61000000
0.045283427727
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
6.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) DEC22
000000000
3097.00000000
NC
USD
-12981956.28000000
-0.41791647463
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year US Treasury Note Future
FVZ2 Comdty
2022-12-30
343102800.03000000
USD
-12981956.28000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECR9
36706066.61000000
PA
USD
31212986.86000000
1.004811690166
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
CAMB Commercial Mortgage Trust
N/A
CAMB Commercial Mortgage Trust 2019-LIFE
12482HAL8
14425000.00000000
PA
USD
13808152.81000000
0.444513478486
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
5.16000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396QJX8
1951580.39000000
PA
USD
114813.04000000
0.003696073217
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Floating
3.16000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-AR2
3622N6AJ8
613281.99000000
PA
USD
531656.79000000
0.017115150182
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
3.90000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFN6
1350000.00000000
PA
USD
1343276.37000000
0.043242891356
Long
DBT
UST
US
N
1
2024-09-30
Fixed
4.25000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-9
12669GYY1
6070580.28000000
PA
USD
5022401.71000000
0.161681673514
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
4.19000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BYW2
68013.00000000
PA
USD
68057.15000000
0.002190902787
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.00000000
N
N
N
N
N
N
AGL CLO 13 Ltd
N/A
AGL CLO 13 Ltd
00120JAE3
16585000.00000000
PA
USD
15420733.00000000
0.496425826174
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
5.89000000
N
N
N
N
N
N
J.P. Morgan Alternative Loan Trust
N/A
JP Morgan Alternative Loan Trust
46628GAQ2
3256256.49000000
PA
USD
1920270.46000000
0.061817544573
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.39000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2022-3 LLC
693589AA1
17394170.68000000
PA
USD
16676861.17000000
0.536863233693
Long
ABS-MBS
CORP
US
N
2
2027-06-25
Variable
5.56000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
C-BASS 2006-CB7 TRUST
12479DAD0
17713671.70000000
PA
USD
11787008.39000000
0.379448588995
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
3.91000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1
00442JAE4
5945282.43000000
PA
USD
2866255.74000000
0.092270800211
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
4.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SJW8
1111786.70000000
PA
USD
1106237.05000000
0.035612097135
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KSVF1
21950175.81000000
PA
USD
17362754.79000000
0.558943591804
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust 2006-9
52523DAB6
3502.80000000
PA
USD
0.00000000
0.000000
Long
ABS-O
CORP
US
N
3
2046-05-25
Floating
3.91000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR7 Trust
74333PAN7
7500000.00000000
PA
USD
5946918.75000000
0.191443821357
Long
ABS-O
CORP
US
N
2
2040-08-17
Fixed
3.83000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB71
5822983.05000000
PA
USD
5161198.41000000
0.166149831187
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.00000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2007-1
073880AA4
7678337.14000000
PA
USD
6797059.07000000
0.218811626164
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Variable
3.09000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR11 Trust
74333XAN0
2874000.00000000
PA
USD
2259684.51000000
0.072743996654
Long
ABS-O
CORP
US
N
2
2039-01-17
Fixed
4.42000000
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA3
32051GLU7
1339949.52000000
PA
USD
1208660.19000000
0.038909313414
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
4.11000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-BPNY
12659XAA4
19780000.00000000
PA
USD
18946079.75000000
0.609914152112
Long
ABS-MBS
CORP
US
N
2
2023-08-15
Floating
7.13000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-R3
12566LAB0
22449789.50000000
PA
USD
19959712.73000000
0.642545129481
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
1.95000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QA7 Trust
76110H7B9
1097676.22000000
PA
USD
1003058.51000000
0.032290562940
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.61000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS4 Trust
74923HBG5
5114252.17000000
PA
USD
58499.37000000
0.001883217748
Long
ABS-MBS
CORP
US
N
3
2037-03-25
Variable
0.36000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BLV8
15637.55000000
PA
USD
15584.66000000
0.000501702981
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond - When Issued
91282CFU0
23400000.00000000
PA
USD
23283914.00000000
0.749558159395
Long
DBT
UST
US
N
1
2027-10-31
Fixed
4.25000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR2 Trust
74333DAQ7
8369000.00000000
PA
USD
7017016.92000000
0.225892531943
Long
ABS-O
CORP
US
N
2
2038-04-19
Fixed
4.25000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-R7
12563GAB4
20634334.17000000
PA
USD
18232000.39000000
0.586926435754
Long
ABS-MBS
CORP
US
N
2
2061-12-27
Variable
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398SSU8
3273059.02000000
PA
USD
3247415.58000000
0.104541137067
Long
ABS-MBS
USGSE
US
N
2
2039-08-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9N25
5501638.11000000
PA
USD
5255333.29000000
0.169180230946
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-12N
525226AG1
2071401.69000000
PA
USD
1973823.76000000
0.063541537926
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
3.99000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABFB4
1307142.63000000
PA
USD
1217867.53000000
0.039205717053
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RZV4
797184.31000000
PA
USD
782887.14000000
0.025202783504
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
4.50000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS8 Trust
74922UAU7
10453525.50000000
PA
USD
156407.22000000
0.005035077347
Long
ABS-MBS
CORP
US
N
3
2037-06-25
Variable
0.42000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394H4A6
695733.30000000
PA
USD
685457.88000000
0.022066330724
Long
ABS-MBS
USGSE
US
N
2
2033-08-15
Fixed
4.50000000
N
N
N
N
N
N
Highbridge Loan Management Ltd
2549009NI8GVCM3ROT27
HPS Loan Management 10-2016 Ltd
40436TAW6
20000000.00000000
PA
USD
18580000.00000000
0.598129275068
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
5.89000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BRNR2
2201517.00000000
PA
USD
1948378.98000000
0.062722416946
Long
ABS-MBS
USGSE
US
N
2
2046-01-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BUJS8
6736474.30000000
PA
USD
6627678.76000000
0.213358917766
Long
ABS-MBS
USGSE
US
N
2
2047-01-15
Floating
3.91000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31339GJU6
50181.56000000
PA
USD
50894.45000000
0.001638399380
Long
ABS-MBS
USGSE
US
N
2
2031-10-15
Fixed
6.00000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS3 Trust
75116BAH1
43875070.89000000
PA
USD
511021.73000000
0.016450864203
Long
ABS-MBS
CORP
US
N
3
2037-02-25
Variable
0.36000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31394GU92
69498.67000000
PA
USD
69796.56000000
0.002246898053
Long
ABS-MBS
USGSE
US
N
2
2023-08-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400HEU3
10122.91000000
PA
USD
9922.47000000
0.000319425176
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Floating
2.18000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0206C8
137100000.00000000
PA
USD
107961669.49000000
3.475513191993
Long
ABS-MBS
USGSE
US
N
2
2052-12-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJYG9
1034610.68000000
PA
USD
897836.02000000
0.028903229697
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AFBB7
10470000.00000000
PA
USD
9898033.32000000
0.318638508842
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CKH6
3412737.60000000
PA
USD
3164095.61000000
0.101858892005
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398CVV7
3129638.20000000
PA
USD
67956.96000000
0.002187677460
Long
ABS-MBS
USGSE
US
N
2
2039-05-15
Floating
2.89000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B14 Mortgage Trust
08162YBK7
8734000.00000000
PA
USD
7371848.85000000
0.237315318006
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
3.29000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MABR9
33556098.36000000
PA
USD
30427398.22000000
0.979521939695
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAUD8
6419785.61000000
PA
USD
5829174.00000000
0.187653370229
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0226B6
142075000.00000000
PA
USD
116313314.56000000
3.744370210903
Long
ABS-MBS
USGSE
US
N
2
2052-11-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396XR30
2472297.61000000
PA
USD
152116.02000000
0.004896934594
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
2.91000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EBS8
19370515.24000000
PA
USD
15908686.49000000
0.512134075218
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
HSI Asset Securitization Corporation Trust
N/A
HSI Asset Securitization Corp Trust 2006-WMC1
40430MAD9
24515298.22000000
PA
USD
11414129.18000000
0.367444823033
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
3.89000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDJ9
3197188.80000000
PA
USD
2621139.50000000
0.084379992948
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust
939336V91
2552697.87000000
PA
USD
2344173.09000000
0.075463861730
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
2.81000000
N
N
N
N
N
N
Merrill Lynch Alternative Note Asset
N/A
Merrill Lynch Alternative Note Asset Trust Series 2007-A1
59023MAD2
1526441.33000000
PA
USD
466925.87000000
0.015031325733
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
4.05000000
N
N
N
N
N
N
MASTR Seasoned Securitization Trust
N/A
MASTR Seasoned Securitization Trust 2004-1
55265WBD4
3555.64000000
PA
USD
3409.38000000
0.000109755112
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Variable
4.22000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-S2
46628YBB5
9070.52000000
PA
USD
9147.76000000
0.000294485632
Long
ABS-MBS
CORP
US
N
2
2021-06-25
Fixed
5.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q83U7
5764248.85000000
PA
USD
5506187.12000000
0.177255743298
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2006-HE3
17310VAT7
7113878.44000000
PA
USD
6920042.33000000
0.222770715946
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
3.87000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SWZ6
5891067.78000000
PA
USD
5715433.19000000
0.183991814350
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
4.50000000
N
N
N
N
N
N
Global SC Finance SRL
N/A
Global SC Finance II SRL
37952UAE3
2845655.27000000
PA
USD
2760499.89000000
0.088866296987
Long
ABS-O
CORP
BB
N
2
2029-07-17
Fixed
3.09000000
N
N
N
N
N
N
GS Mortgage-Backed Securities Trust
N/A
GS Mortgage-Backed Securities Trust 2022-PJ6
36267JAD2
5964320.40000000
PA
USD
4826125.28000000
0.155363122449
Long
ABS-MBS
CORP
US
N
2
2053-01-25
Variable
2.50000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2004-B Trust
05946XJB0
147704.44000000
PA
USD
120843.86000000
0.003890217996
Long
ABS-MBS
CORP
US
N
2
2034-12-20
Variable
2.62000000
N
N
N
N
N
N
BDS Ltd
N/A
BDS 2020-FL5 LTD
05492QAA4
7162790.65000000
PA
USD
7109623.05000000
0.228873718025
Long
ABS-CBDO
CORP
KY
N
2
2037-02-16
Floating
4.68000000
N
N
N
N
N
N
FirstKey Homes 2021-SFR3 Trust
N/A
FirstKey Homes 2021-SFR3 Trust
33768JAJ0
5500000.00000000
PA
USD
4627772.05000000
0.148977714825
Long
ABS-O
CORP
US
N
2
2038-12-17
Fixed
2.99000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-3F
3622MWAT0
4674589.42000000
PA
USD
3306913.47000000
0.106456499274
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0326B5
18000000.00000000
PA
USD
15830832.42000000
0.509627788972
Long
ABS-MBS
USGSE
US
N
2
2052-11-15
Fixed
3.50000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QA1 Trust
761118TB4
9435.38000000
PA
USD
7387.09000000
0.000237805962
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
4.59000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397M4X2
485613.06000000
PA
USD
25093.91000000
0.000807825737
Long
ABS-MBS
USGSE
US
N
2
2039-02-25
Floating
1.96000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-1
45254NML8
441167.48000000
PA
USD
407279.99000000
0.013111199417
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
4.11000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-D Trust
058933AG7
1464303.83000000
PA
USD
1277512.25000000
0.041125806027
Long
ABS-MBS
CORP
US
N
2
2036-05-20
Variable
3.41000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379LAE6
20024460.75000000
PA
USD
17343017.85000000
0.558308218198
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
3.00000000
N
Y
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2006-HE5
576455AC3
14624630.04000000
PA
USD
8564650.61000000
0.275714115208
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
3.75000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust Series 2007-FF1
32028TAE7
16008142.12000000
PA
USD
8456165.01000000
0.272221735591
Long
ABS-O
CORP
US
N
2
2038-01-25
Floating
3.81000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U3S9
2967319.16000000
PA
USD
2534571.42000000
0.081593184394
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.00000000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust 2021-WILL
05591VAA3
4800514.12000000
PA
USD
4647628.31000000
0.149616929593
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
5.16000000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2007-OPT3
83612KAE1
4000000.00000000
PA
USD
3501149.20000000
0.112709355915
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
3.84000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2018-R6
12554EAA2
7495454.45000000
PA
USD
7350315.47000000
0.236622113218
Long
ABS-MBS
CORP
US
N
2
2058-09-25
Floating
4.20000000
N
N
N
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2007-BR2
81378PAA6
20538912.88000000
PA
USD
17153718.01000000
0.552214258237
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
3.77000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396RH59
2551974.14000000
PA
USD
2043890.12000000
0.065797121409
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
None
0.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2020-CNP
61770YAA3
18000000.00000000
PA
USD
13682475.72000000
0.440467668651
Long
ABS-MBS
CORP
US
N
2
2042-04-05
Variable
2.43000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B9AC1
6837247.43000000
PA
USD
6708987.51000000
0.215976417427
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Floating
4.09000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396QD22
594232.18000000
PA
USD
597216.00000000
0.019225639027
Long
ABS-MBS
USGSE
US
N
2
2024-09-25
Fixed
4.00000000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2007-AR4
86364MAE0
13532730.34000000
PA
USD
12004274.76000000
0.386442850372
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Floating
3.81000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
549300SRGEL7X4RBPX12
Morgan Stanley Mortgage Loan Trust 2007-3XS
61752RAM4
2140027.71000000
PA
USD
670861.88000000
0.021596454787
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Variable
6.26000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B1VC5
13523535.25000000
PA
USD
13164120.25000000
0.423780715933
Long
ABS-MBS
USGSE
US
N
2
2048-04-25
Floating
3.89000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS6 Trust
75116CBW5
1465084.43000000
PA
USD
1211729.43000000
0.039008118705
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MMTT5
13847910.60000000
PA
USD
11397269.13000000
0.366902062566
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR4
45660NQ32
2504448.49000000
PA
USD
2372027.78000000
0.076360562782
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.61000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31281LCS5
1655020.30000000
PA
USD
1622830.09000000
0.052242313524
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.50000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QA8 Trust
761118BS6
2889776.58000000
PA
USD
1687062.55000000
0.054310091497
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.11000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
C-BASS Mortgage Loan Trust 2007-CB2
1248MBAH8
2421008.84000000
PA
USD
1483610.20000000
0.047760532476
Long
ABS-O
CORP
US
N
2
2037-02-25
Variable
3.54000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398FAD3
4544776.42000000
PA
USD
4415413.72000000
0.142141453577
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359LYV1
39664.24000000
PA
USD
38535.09000000
0.001240525589
Long
ABS-MBS
USGSE
US
N
2
2024-05-25
None
0.00000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd
03880RAC3
11800000.00000000
PA
USD
11186969.94000000
0.360132089366
Long
ABS-CBDO
CORP
KY
N
2
2036-11-15
Floating
5.11000000
N
N
N
N
N
N
Gracechurch Mortgage Finance Plc
N/A
Grace Trust 2020-GRCE
38406JAA6
10000000.00000000
PA
USD
7498127.00000000
0.241380477227
Long
ABS-MBS
CORP
US
N
2
2040-12-10
Fixed
2.35000000
N
N
N
N
N
N
Cologix Data Centers Issuer LLC
N/A
Cologix Data Centers US Issuer LLC
19521UAA1
12065000.00000000
PA
USD
10427270.48000000
0.335675766046
Long
ABS-O
CORP
US
N
2
2051-12-26
Fixed
3.30000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QA2 Trust
761118TN8
12038.44000000
PA
USD
8262.14000000
0.000265975662
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
3.84000000
N
N
N
N
N
N
Suntrust Adjustable Rate Mortgage Loan Trust
N/A
STARM Mortgage Loan Trust 2007-2
78473TAC4
93447.61000000
PA
USD
58882.56000000
0.001895553440
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
2.59000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MNMN3
20140542.13000000
PA
USD
17116312.64000000
0.551010100710
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDR1
19907674.56000000
PA
USD
16320835.38000000
0.525402014765
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
2.50000000
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA7
32051GSM8
1487619.09000000
PA
USD
1304350.67000000
0.041989791210
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
3.53000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B2JS2
1782191.20000000
PA
USD
1624595.69000000
0.052299151901
Long
ABS-MBS
USGSE
US
N
2
2048-07-25
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust 2007-7AX
61754HAB8
2723247.47000000
PA
USD
821989.92000000
0.026461584228
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
3.83000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QT76
214131.00000000
PA
USD
214369.38000000
0.006901001176
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADUQ9
8458036.39000000
PA
USD
7629688.87000000
0.245615730506
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2007-NC2
81378GAC2
12514135.13000000
PA
USD
10234471.42000000
0.329469158834
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
3.73000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9WR9
3810004.40000000
PA
USD
3575607.37000000
0.115106320998
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.00000000
N
N
N
N
N
N
Merrill Lynch First Franklin Mortgage Loan Trust
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2
59024QAD2
4392971.59000000
PA
USD
3413508.05000000
0.109888002980
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
4.07000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SNY9
2282710.01000000
PA
USD
2293005.56000000
0.073816671331
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
5.00000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-4
52520RAH5
521793.62000000
PA
USD
367141.19000000
0.011819047030
Long
ABS-MBS
CORP
US
N
2
2021-08-25
Fixed
6.00000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR17
45660LUW7
2555732.28000000
PA
USD
1778698.94000000
0.057260059609
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
3.27000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
225470RS4
6027636.99000000
PA
USD
1536727.36000000
0.049470485565
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
6.50000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XLVIII Ltd
55821UAA2
13100000.00000000
PA
USD
12740405.00000000
0.410140430932
Long
ABS-CBDO
CORP
KY
N
2
2033-04-19
Floating
5.38000000
N
N
N
N
N
N
1345 Ave of the Americas & Park Ave Plaza Trust
N/A
1345 Avenue of the Americas & Park Avenue Plaza Trust
68275CAC2
9834080.66000000
PA
USD
9441722.48000000
0.303948903248
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Fixed
5.28000000
N
N
N
N
N
N
RAAC Series
N/A
RAAC Series 2005-SP1 Trust
76112BQY9
1183842.08000000
PA
USD
1076968.84000000
0.034669891902
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Fixed
7.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0506B7
109000000.00000000
PA
USD
105138163.79000000
3.384618605475
Long
ABS-MBS
USGSE
US
N
2
2052-11-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MB7B7
8056.68000000
PA
USD
8043.99000000
0.000258952955
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SW29
1951608.85000000
PA
USD
1960298.47000000
0.063106130397
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
5.00000000
N
N
N
N
N
N
Flexential Issuer, LLC
N/A
Flexential Issuer 2021-1
33938MAA7
10950000.00000000
PA
USD
9337610.31000000
0.300597313541
Long
ABS-O
CORP
US
N
2
2051-11-27
Fixed
3.25000000
N
N
N
N
N
N
Babson CLO Ltd
549300Q89L7I93JSRH83
Barings CLO Ltd 2020-IV
06762BAC4
8500000.00000000
PA
USD
8264550.00000000
0.266053245439
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
5.46000000
N
N
N
N
N
N
OWNIT Mortgage Loan Asset-Backed Certificates
N/A
Ownit Mortgage Loan Trust Series 2006-3
69121PDY6
8625217.50000000
PA
USD
8265501.94000000
0.266083890390
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
4.13000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N3
14687GAH8
25650.00000000
PA
USD
6249110.32000000
0.201172003526
Long
ABS-O
CORP
US
N
2
2028-06-12
None
0.00000000
N
N
N
N
N
N
CSMCM Trust Certificates
N/A
CSMCM 2021-RPL11 Trust
12658QAA0
588703.49000000
PA
USD
453951.50000000
0.014613653477
Long
ABS-MBS
CORP
US
N
2
2061-10-27
Fixed
3.78000000
N
N
N
N
N
N
Lucali CLO Ltd
N/A
Lucali CLO Ltd
54929JAC7
18000000.00000000
PA
USD
17499420.00000000
0.563343132331
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
5.29000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WC79
313549.00000000
PA
USD
18496.79000000
0.000595450570
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
3.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128CUQD1
529197.08000000
PA
USD
533832.51000000
0.017185191184
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
6.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300SRMXHPGI3BJ386
SLM Student Loan Trust 2008-5
78444YAD7
1491691.66000000
PA
USD
1476017.67000000
0.047516112967
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
6.06000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS5 Trust
75114TAE1
2351636.01000000
PA
USD
1886179.28000000
0.060720077793
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SQY6
165218.66000000
PA
USD
162952.16000000
0.005245772730
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
4.50000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-9 LLC
69360XAA4
8389422.83000000
PA
USD
7432290.36000000
0.239261057326
Long
ABS-MBS
CORP
US
N
2
2026-10-25
Variable
2.36000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q83V5
5415016.48000000
PA
USD
5172589.66000000
0.166516539481
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
Merrill Lynch First Franklin Mortgage Loan Trust
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1
59023LAE2
5013464.45000000
PA
USD
2090118.84000000
0.067285321128
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
4.27000000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505W32
1275457.87000000
PA
USD
1296078.39000000
0.041723489119
Long
ABS-O
CORP
US
N
2
2030-12-01
Fixed
6.44000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133T6J36
10844.60000000
PA
USD
10877.66000000
0.000350174751
Long
ABS-MBS
USGSE
US
N
2
2026-03-15
Fixed
6.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2014-3
63938JAA1
17809865.09000000
PA
USD
16817190.76000000
0.541380738318
Long
ABS-O
CORP
US
N
2
2083-03-25
Floating
4.21000000
N
N
N
N
N
N
Fannie Mae Benchmark REMIC
B1V7KEBTPIMZEU4LTD58
Fannie Mae Benchmark REMIC
31396V2L1
5504624.10000000
PA
USD
5552312.86000000
0.178740627874
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BBBF6
78039937.22000000
PA
USD
2543270.83000000
0.081873236698
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Variable
2.49000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379JY39
19265336.80000000
PA
USD
17126757.26000000
0.551346334994
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
2.50000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR23
45660LF95
2480573.50000000
PA
USD
2038453.20000000
0.065622095520
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
3.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNHD8
8688904.92000000
PA
USD
7136009.67000000
0.229723158815
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400M3M2
319008.78000000
PA
USD
316527.40000000
0.010189682685
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Floating
2.79000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2006-AR5
17309FAA6
1690676.74000000
PA
USD
1223316.21000000
0.039381121521
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
3.08000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AXN3
11650313.89000000
PA
USD
10764177.62000000
0.346521515422
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ5K2
3037015.89000000
PA
USD
2973365.26000000
0.095718880919
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-HYB5
12669G6K2
11065.78000000
PA
USD
9006.95000000
0.000289952662
Long
ABS-MBS
CORP
US
N
2
2035-09-20
Variable
3.57000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAF9
2000000.00000000
PA
USD
1957670.30000000
0.063021524077
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Floating
7.74000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M83L1
11848407.21000000
PA
USD
9743293.59000000
0.313657111505
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Trust 2006-W4
040104TG6
17230024.92000000
PA
USD
4359082.59000000
0.140328036034
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
3.91000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
313920NH9
62087.58000000
PA
USD
62613.56000000
0.002015662177
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394AZG4
673819.36000000
PA
USD
670542.71000000
0.021586180034
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128ME6W6
3211035.00000000
PA
USD
2991035.43000000
0.096287720853
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
2.50000000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2020-1 Trust
21872UAG9
38948500.00000000
PA
USD
4072420.11000000
0.131099767931
Long
ABS-O
CORP
US
N
2
2050-03-15
Variable
2.08000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DTJ1
51480581.79000000
PA
USD
42352236.02000000
1.363407547264
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SEG8
73850.59000000
PA
USD
65704.23000000
0.002115157344
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128CUQB5
542874.15000000
PA
USD
547629.39000000
0.017629341767
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402GVR1
46893.45000000
PA
USD
45966.51000000
0.001479758627
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Floating
3.87000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLT0
7297109.77000000
PA
USD
6817459.43000000
0.219468356656
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
Pretium Mortgage Credit Partners LLC
69381PAB4
17115000.00000000
PA
USD
15341894.56000000
0.493887850987
Long
ABS-MBS
CORP
US
N
2
2052-08-25
Variable
6.50000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2022-2 LLC
69377AAA5
13275763.97000000
PA
USD
12602065.41000000
0.405686988592
Long
ABS-MBS
CORP
US
N
2
2027-03-25
Variable
5.00000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-10N
525229AE0
6771720.34000000
PA
USD
6234129.71000000
0.200689746185
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
4.01000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-R3
12559NAB5
15596997.77000000
PA
USD
14550553.08000000
0.468412904498
Long
ABS-MBS
CORP
US
N
2
2060-01-26
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHXY3
1650600.31000000
PA
USD
1711959.63000000
0.055111580863
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396P3K5
374298.00000000
PA
USD
26816.43000000
0.000863277278
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
2.85000000
N
N
N
N
N
N
GCI Funding I LLC
N/A
GCI Funding I LLC
36166VAE5
24216449.24000000
PA
USD
20372187.21000000
0.655823550456
Long
ABS-O
CORP
US
N
2
2046-06-18
Fixed
2.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396Y3T7
3203104.00000000
PA
USD
191303.14000000
0.006158450400
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Floating
3.26000000
N
N
N
N
N
N
MASTR Asset Securitization Trust
N/A
MASTR Asset Securitization Trust 2006-3
55274SAM3
28197.33000000
PA
USD
5277.54000000
0.000169895111
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
4.04000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2022-NR1
12569PAA0
5000000.00000000
PA
USD
4375000.00000000
0.140840450937
Long
ABS-MBS
CORP
US
N
2
2062-07-25
Variable
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNR2
5462467.50000000
PA
USD
4968311.11000000
0.159940383344
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.50000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust Series 2006-FF18
32029AAD9
10184078.16000000
PA
USD
8952040.97000000
0.288185025606
Long
ABS-O
CORP
US
N
2
2037-12-25
Floating
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MNMH6
19498929.83000000
PA
USD
16571042.48000000
0.533456707518
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-R4
12559WAB5
19101762.86000000
PA
USD
17156865.30000000
0.552315576121
Long
ABS-MBS
CORP
US
N
2
2060-06-25
Variable
3.30000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1
00442JAD6
11061209.16000000
PA
USD
5333267.63000000
0.171689101252
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
4.11000000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 3 LTD
67112RAU8
13000000.00000000
PA
USD
12221950.00000000
0.393450274134
Long
ABS-CBDO
CORP
KY
N
2
2035-07-02
Floating
5.89000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust 2006-CH2
46629QAE6
3949692.78000000
PA
USD
2523889.63000000
0.081249315110
Long
ABS-O
CORP
US
N
2
2036-10-25
Variable
5.76000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398E5M2
1104986.50000000
PA
USD
106239.04000000
0.003420058125
Long
ABS-MBS
USGSE
US
N
2
2039-06-15
Floating
3.34000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36225DB94
64212.25000000
PA
USD
62644.71000000
0.002016664961
Long
ABS-MBS
USGA
US
N
2
2034-07-20
Floating
1.63000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust
93935YAB6
1763665.96000000
PA
USD
1543347.04000000
0.049683586986
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
3.93000000
N
N
N
N
N
N
OWNIT Mortgage Loan Asset-Backed Certificates
N/A
Ownit Mortgage Loan Trust Series 2006-6
69121TAD7
15350918.82000000
PA
USD
7006659.18000000
0.225559094509
Long
ABS-O
CORP
US
N
2
2037-09-25
Floating
3.91000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BFXV8
76625000.00000000
PA
USD
2300033.47000000
0.074042914534
Long
ABS-MBS
USGSE
US
N
2
2043-01-25
Variable
1.60000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2007-3
41164UAA7
9592184.46000000
PA
USD
7911918.63000000
0.254701300030
Long
ABS-O
CORP
US
N
2
2047-05-19
Floating
3.88000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC2 Trust
93936LAC1
2562488.61000000
PA
USD
2291781.68000000
0.073777272059
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
4.21000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397H3U0
412625.70000000
PA
USD
31805.93000000
0.001023899776
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Floating
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396P2A8
622866.88000000
PA
USD
45141.03000000
0.001453184690
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
2.86000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2006-8
22942MAC0
756851.25000000
PA
USD
378612.04000000
0.012188317815
Long
ABS-MBS
CORP
US
N
2
2021-10-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SUY1
2352462.65000000
PA
USD
2363074.77000000
0.076072346561
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397MJZ1
1705867.00000000
PA
USD
55802.32000000
0.001796394037
Long
ABS-MBS
USGSE
US
N
2
2038-08-25
Floating
2.38000000
N
N
N
N
N
N
MASTR Alternative Loans Trust
N/A
MASTR Alternative Loan Trust 2006-2
5764342H6
65546.10000000
PA
USD
7640.27000000
0.000245956359
Long
ABS-MBS
CORP
US
N
3
2036-03-25
Floating
3.99000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AAD28
4993562.88000000
PA
USD
4730834.41000000
0.152295508940
Long
ABS-MBS
USGSE
US
N
2
2041-08-25
Fixed
2.50000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TDF5
334446.58000000
PA
USD
331297.93000000
0.010665177109
Long
ABS-O
CORP
US
N
2
2032-03-15
Variable
6.97000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128C6QB8
1439786.10000000
PA
USD
1437148.97000000
0.046264847771
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XAZ0
1418413.09000000
PA
USD
1434110.88000000
0.046167045264
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-A7
46629DAW5
8554.27000000
PA
USD
6662.90000000
0.000214492763
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
3.39000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-19
02151ABK5
11299169.12000000
PA
USD
5620233.05000000
0.180927121631
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Fixed
6.00000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS5 Trust
74923JAR8
6523291.50000000
PA
USD
53886.30000000
0.001734713323
Long
ABS-MBS
CORP
US
N
3
2037-03-25
Variable
0.29000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416LU53
1855246.82000000
PA
USD
1888256.74000000
0.060786955599
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AGZR6
3293901.27000000
PA
USD
2407613.23000000
0.077506133256
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
None
0.00000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-D Trust
058933AE2
48124.90000000
PA
USD
41707.57000000
0.001342654392
Long
ABS-MBS
CORP
US
N
2
2036-05-20
Variable
3.50000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2004-12
07384M6F4
214511.79000000
PA
USD
200009.93000000
0.006438740281
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
2.88000000
N
N
N
N
N
N
Merrill Lynch Mortgage Backed Securities Trust
N/A
Merrill Lynch Mortgage Backed Securities Trust Series 2007-2
59025GAA9
556245.60000000
PA
USD
489246.54000000
0.015749875043
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
6.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLR4
7659058.43000000
PA
USD
6769455.35000000
0.217923004365
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT DEC22
000000000
13.00000000
NC
USD
-15668.18000000
-0.00050439166
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Ultra 10-Year U.S. Treasury Notes Futures
UXYZ2 Comdty
2022-12-20
1523465.06000000
USD
-15668.18000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) DEC22
000000000
3579.00000000
NC
USD
-13595318.32000000
-0.43766188864
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUZ2 Comdty
2022-12-30
745081402.47000000
USD
-13595318.32000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398EMP6
1166244.75000000
PA
USD
1178374.78000000
0.037934362374
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAJ5
10500000.00000000
PA
USD
9081387.00000000
0.292348946336
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
9.00000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-N2
14686KAK3
26650.00000000
PA
USD
6562654.71000000
0.211265656846
Long
ABS-O
CORP
US
N
2
2028-03-10
None
0.00000000
N
N
N
N
N
N
Freddie Mac Reference Remic
S6XOOCT0IEG5ABCC6L87
Freddie Mac Reference REMIC
31395VUJ6
2137545.60000000
PA
USD
2160257.98000000
0.069543247553
Long
ABS-MBS
USGSE
US
N
2
2035-06-15
Fixed
5.50000000
N
N
N
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2007-BR1
81378KAD1
7728123.10000000
PA
USD
3243695.66000000
0.104421385019
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
3.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERDL1
8075359.56000000
PA
USD
7801839.30000000
0.251157614892
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397R2G0
1922151.00000000
PA
USD
106649.59000000
0.003433274593
Long
ABS-MBS
USGSE
US
N
2
2038-02-15
Floating
2.86000000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS
86359B2G5
0.83000000
PA
USD
1.18000000
0.000000037986
Long
ABS-O
CORP
US
N
2
2035-02-25
Variable
5.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398JU68
263117.07000000
PA
USD
255530.27000000
0.008226056789
Long
ABS-MBS
USGSE
US
N
2
2037-03-15
Fixed
4.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT DEC22
000000000
2099.00000000
NC
USD
-42511611.17000000
-1.36853816852
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Ultra Long Term U.S. Treasury Bond Futures
WNZ2 Comdty
2022-12-20
310462079.92000000
USD
-42511611.17000000
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579CC0
1012242.82000000
PA
USD
973736.90000000
0.031346638649
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
4.10000000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2020-4 Trust
21873AAE7
27500000.00000000
PA
USD
3075525.75000000
0.099007641943
Long
ABS-O
CORP
US
N
2
2052-12-15
Variable
2.80000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-SDMF
12434CAU8
13000000.00000000
PA
USD
12029334.20000000
0.387249566447
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
7.45000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities I Trust 2005-AC6
073879L55
912516.45000000
PA
USD
791270.02000000
0.025472646041
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JN6A3
2797675.56000000
PA
USD
2581983.92000000
0.083119492481
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300MZGBBYK103F794
Neuberger Berman Loan Advisers CLO 36 Ltd
64133KAU5
18750000.00000000
PA
USD
18173437.50000000
0.585041173163
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
5.49000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396JWY7
1203238.57000000
PA
USD
1203804.45000000
0.038752996932
Long
ABS-MBS
USGSE
US
N
2
2026-04-15
Fixed
5.50000000
N
N
N
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2006-WM4
81377XAA0
27396400.02000000
PA
USD
12321125.99000000
0.396642957827
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
3.97000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RD97
150291.49000000
PA
USD
147597.74000000
0.004751481659
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
4.50000000
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA7
32051GSQ9
923901.99000000
PA
USD
800371.67000000
0.025765647296
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
3.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397MZ42
595650.39000000
PA
USD
28999.42000000
0.000933552317
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
1.86000000
N
N
N
N
N
N
Deutsche Alt-A Securities INC Mortgage Loan Trust
N/A
Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-1
251510DF7
3649986.20000000
PA
USD
3488092.52000000
0.112289033926
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
4.09000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-J1
12667FT88
128758.60000000
PA
USD
124487.65000000
0.004007519259
Long
ABS-MBS
CORP
US
N
2
2025-02-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312939JF9
10478242.54000000
PA
USD
10512098.06000000
0.338406544245
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
5.00000000
N
N
N
N
N
N
Washington Mutual MSC Mortgage Pass-Through CTFS
N/A
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2002-AR1 Trust
939335N68
26007.26000000
PA
USD
25414.75000000
0.000818154251
Long
ABS-MBS
CORP
US
N
2
2030-11-25
Variable
2.73000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
187845.88000000
NS
USD
187845.88000000
0.006047153930
Long
STIV
RF
US
N
1
N
N
N
First Horizon Alternative Mortgage Securities
N/A
First Horizon Alternative Mortgage Securities Trust 2006-AA7
32052CAA1
4589320.25000000
PA
USD
3513049.39000000
0.113092448058
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
3.26000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-3 Trust
058931AW6
285458.27000000
PA
USD
240548.58000000
0.007743764681
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Fixed
6.00000000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2006-AR2
23332QAC7
20055397.91000000
PA
USD
13767499.20000000
0.443204753283
Long
ABS-MBS
CORP
US
N
2
2036-10-19
Floating
3.68000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
56165284.22000000
NS
USD
56165284.22000000
1.808078618650
Long
STIV
RF
US
N
1
N
N
N
Suntrust Adjustable Rate Mortgage Loan Trust
N/A
STARM Mortgage Loan Trust 2007-1
78473NAA1
1514289.04000000
PA
USD
835421.91000000
0.026893988234
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
2.57000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394VCF5
223097.60000000
PA
USD
223814.41000000
0.007205056555
Long
ABS-MBS
USGSE
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGX46
31961499.97000000
PA
USD
25183414.76000000
0.810707083646
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402N2R8
203432.96000000
PA
USD
203204.78000000
0.006541589222
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Securitized Asset Backed Receivables LLC Trust 2006-CB1
81375WHH2
2850082.05000000
PA
USD
2249221.48000000
0.072407169714
Long
ABS-O
CORP
US
N
2
2036-01-25
Variable
2.89000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416B6J2
1054751.24000000
PA
USD
1069632.25000000
0.034433711640
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
6.00000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-1
41161PA60
22680943.55000000
PA
USD
14146199.75000000
0.455395920422
Long
ABS-MBS
CORP
US
N
2
2036-03-19
Floating
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396CC32
637306.58000000
PA
USD
596358.68000000
0.019198040094
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Fixed
4.50000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
86360NAG7
1544869.44000000
PA
USD
1353135.69000000
0.043560283602
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
3.15000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-2
07386HRA1
1317.58000000
PA
USD
1190.15000000
0.000038313431
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
3.18000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2007-AR11
45669FAA1
11841.19000000
PA
USD
9345.23000000
0.000300842607
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
2.86000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust
93934NAA3
1145969.98000000
PA
USD
752898.84000000
0.024237397059
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
4.19000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393LAQ6
2236735.53000000
PA
USD
2242589.51000000
0.072193672652
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
5.50000000
N
N
N
N
N
N
CSMCM Trust Certificates
N/A
CSMCM 2022-RPL1 Trust
12662JAA0
576788.71000000
PA
USD
502423.28000000
0.016174062015
Long
ABS-MBS
CORP
US
N
2
2061-04-25
Fixed
4.23000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCC4
467679.99000000
PA
USD
449036.70000000
0.014455435729
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS6 Trust
74922EAV1
26793619.68000000
PA
USD
575017.87000000
0.018511034538
Long
ABS-MBS
CORP
US
N
3
2036-06-25
Variable
0.77000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-GP2
525227AM6
10779765.93000000
PA
USD
9506810.32000000
0.306044217702
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
3.99000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2004-9
36242DBK8
1175044.63000000
PA
USD
1055066.46000000
0.033964808227
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SJV0
80131.55000000
PA
USD
78089.13000000
0.002513853321
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393VVL2
26331.04000000
PA
USD
26430.96000000
0.000850868188
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0206B0
139675000.00000000
PA
USD
109975002.45000000
3.540326614158
Long
ABS-MBS
USGSE
US
N
2
2052-11-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H6ZG3
16601979.00000000
PA
USD
12072769.87000000
0.388647852013
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Fixed
3.00000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust
939355AE3
930295.36000000
PA
USD
769438.45000000
0.024769841889
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
2.62000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ4T4
2555227.80000000
PA
USD
2501210.21000000
0.080519216883
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
5.00000000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2005-AR6
23332UFV1
1689456.42000000
PA
USD
1435555.28000000
0.046213543538
Long
ABS-MBS
CORP
US
N
2
2045-10-19
Floating
4.06000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAN5
1290905.90000000
PA
USD
1278877.48000000
0.041169755651
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BEVK7
77991835.00000000
PA
USD
2780748.18000000
0.089518132026
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Variable
2.04000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2007-2
126384AQ9
4171416.87000000
PA
USD
2330442.54000000
0.075021846449
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
5.50000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-10 LLC
69360HAA9
15234781.51000000
PA
USD
13743450.27000000
0.442430567649
Long
ABS-MBS
CORP
US
N
2
2026-10-25
Variable
2.49000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2019-SFR3 Trust
74332WAJ2
8681000.00000000
PA
USD
8094022.03000000
0.260563591452
Long
ABS-O
CORP
US
N
2
2036-09-17
Fixed
3.37000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R03
20754AAB9
14450000.00000000
PA
USD
13089618.62000000
0.421382351781
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
4.65000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust
92922F4F2
570395.68000000
PA
USD
519918.51000000
0.016737270262
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
3.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AUN5
3328943.40000000
PA
USD
3416627.60000000
0.109988427856
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9VC9
11738000.00000000
PA
USD
9708327.25000000
0.312531471483
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377WKM5
3874050.59000000
PA
USD
2931415.40000000
0.094368426702
Long
ABS-MBS
USGA
US
N
2
2041-05-20
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396YCP5
2099117.88000000
PA
USD
64909.76000000
0.002089581684
Long
ABS-MBS
USGSE
US
N
2
2037-05-25
Floating
2.66000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR23
45660LF38
1651316.54000000
PA
USD
1366582.84000000
0.043993175641
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
3.44000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2007-HE1
00443LAA6
28015784.51000000
PA
USD
14749304.78000000
0.474811139710
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
3.89000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNQD7
44129030.71000000
PA
USD
34865025.50000000
1.122378494486
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-BIOD Mortgage Trust
23306GAJ6
9137626.90000000
PA
USD
8604042.49000000
0.276982222669
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
5.01000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-84
12668BAT0
89943.61000000
PA
USD
80071.55000000
0.002577671590
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
2.69000000
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust 2021-OVA
78449RAQ8
16460000.00000000
PA
USD
9957653.12000000
0.320557795589
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Fixed
2.85000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-GP4
525161AH8
5.59000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
3
2046-08-25
Floating
3.91000000
N
N
N
N
N
N
MFT Trust
N/A
MFT Trust 2020-ABC
55317BAJ6
1973000.00000000
PA
USD
1344396.28000000
0.043278943614
Long
ABS-MBS
CORP
US
N
2
2042-02-10
Variable
3.48000000
N
N
N
N
N
N
GoldenTree Loan Management US CLO1, LTD
549300H67V5FL4RU1Z53
Goldentree Loan Management US Clo 4 Ltd
38137YAN1
15800000.00000000
PA
USD
15332320.00000000
0.493579625765
Long
ABS-CBDO
CORP
KY
N
2
2031-04-24
Floating
5.43000000
N
N
N
N
N
N
BFLD Trust
N/A
BFLD Trust 2020-OBRK
05553JAA6
17940000.00000000
PA
USD
17656189.20000000
0.568389862576
Long
ABS-MBS
CORP
US
N
2
2028-11-15
Floating
5.46000000
N
N
N
N
N
N
Life Financial Services Trust
N/A
Life 2021-BMR Mortgage Trust
53218CAN0
21126977.42000000
PA
USD
19762174.68000000
0.636185964215
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
6.36000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS10 Trust
751155AS1
19975019.97000000
PA
USD
371631.25000000
0.011963591504
Long
ABS-MBS
CORP
US
N
3
2036-08-25
Variable
0.57000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust 2006-1
64352VQR5
12761989.88000000
PA
USD
12427573.42000000
0.400069724465
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
3.95000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-4
07386HSY8
2246372.12000000
PA
USD
2054133.66000000
0.066126882505
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
3.11000000
N
N
N
N
N
N
IndyMac INDA Mortgage Loan Trust
N/A
IndyMac INDA Mortgage Loan Trust 2007-AR7
45670NAA1
1662791.82000000
PA
USD
1359671.36000000
0.043770680564
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Variable
3.08000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2007-SA2 Trust
74958XAC8
8991.82000000
PA
USD
6800.37000000
0.000218918211
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
3.51000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2007-AR5
45669EAC0
8519991.60000000
PA
USD
6912637.25000000
0.222532330847
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
3.03000000
N
N
N
N
N
N
HSI Asset Loan Obligation
N/A
HSI Asset Loan Obligation Trust 2007-2
40432BAR0
575139.12000000
PA
USD
441788.28000000
0.014222093845
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6.00000000
N
N
N
N
N
N
Oakwood Mortgage Investors Inc.
N/A
Oakwood Mortgage Investors Inc
67087TAU5
6063703.24000000
PA
USD
3953258.61000000
0.127263708641
Long
ABS-O
CORP
US
N
2
2030-03-15
Variable
7.61000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR25
45660LR35
1275882.63000000
PA
USD
1140889.53000000
0.036727633342
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
3.17000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400WQT0
130055.31000000
PA
USD
130613.72000000
0.004204730336
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Floating
2.59000000
N
N
N
N
N
N
LHOME Mortgage Trust
N/A
LHOME Mortgage Trust 2021-RTL3
50203RAA8
21225000.00000000
PA
USD
19950179.81000000
0.642238244738
Long
ABS-MBS
CORP
US
N
2
2026-09-25
Variable
2.36000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-NC8
61744CHQ2
416037.88000000
PA
USD
400974.60000000
0.012908215652
Long
ABS-O
CORP
US
N
2
2034-09-25
Floating
4.55000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KQC6
13850000.00000000
PA
USD
11968866.69000000
0.385302990133
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Floating
5.50000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2020-BOC
05551JAA8
14275000.00000000
PA
USD
12203097.95000000
0.392843386998
Long
ABS-MBS
CORP
US
N
2
2032-01-15
Fixed
2.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396YWD0
2356694.40000000
PA
USD
225464.25000000
0.007258168374
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
2.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ5D8
3562045.10000000
PA
USD
3399558.67000000
0.109438943102
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397T3W0
2470635.00000000
PA
USD
267268.60000000
0.008603938318
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Floating
3.39000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCSE6
29104554.51000000
PA
USD
27182820.07000000
0.875072145467
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-GP4
525161AN5
7325040.21000000
PA
USD
6699182.18000000
0.215660763233
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
4.04000000
N
N
N
N
N
N
Merrill Lynch First Franklin Mortgage Loan Trust
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1
59023LAC6
35186464.44000000
PA
USD
14478146.37000000
0.466081980227
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
3.93000000
N
N
N
N
N
N
Allegro CLO Ltd
254900E0ZQX4DLP7HF87
Allegro CLO XII Ltd
01750TAC0
17125000.00000000
PA
USD
16693107.50000000
0.537386237223
Long
ABS-CBDO
CORP
KY
N
2
2032-01-21
Floating
5.53000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394FDK8
63111.65000000
PA
USD
64473.10000000
0.002075524680
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
11.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397MEL7
5290827.50000000
PA
USD
438923.87000000
0.014129882463
Long
ABS-MBS
USGSE
US
N
2
2038-08-25
Floating
2.48000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR1 Trust
92925CCE0
5955227.05000000
PA
USD
5332711.68000000
0.171671204053
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
2.44000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TJ7
3700000.00000000
PA
USD
2965203.13000000
0.095456124788
Long
DBT
UST
US
N
1
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393URK1
104599.40000000
PA
USD
106488.42000000
0.003428086192
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Fixed
4.75000000
N
N
N
N
N
N
CoreVest American Finance Ltd
N/A
Corevest American Finance 2020-1 Trust
21872UAE4
36534085.33000000
PA
USD
2278309.40000000
0.073343571033
Long
ABS-O
CORP
US
N
2
2050-03-15
Variable
2.61000000
N
N
N
N
N
N
HOA Funding LLC
N/A
HOA Funding LLC - HOA
40390GAA6
12152250.00000000
PA
USD
9334002.26000000
0.300481162823
Long
ABS-O
CORP
US
N
2
2051-08-20
Fixed
4.72000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR1
74331FAQ4
4890000.00000000
PA
USD
4144372.31000000
0.133416060570
Long
ABS-O
CORP
US
N
2
2038-04-17
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWC76
19216097.39000000
PA
USD
15781765.14000000
0.508048210037
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EG5M2
2088794.80000000
PA
USD
2166443.53000000
0.069742373416
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
6.00000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust
93934FKP6
517388.61000000
PA
USD
458785.97000000
0.014769285233
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S5P8
348725.55000000
PA
USD
346868.77000000
0.011166435196
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-A2
466247K93
551440.04000000
PA
USD
523455.78000000
0.016851142423
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
3.71000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B8D30
16048696.73000000
PA
USD
15700222.39000000
0.505423177424
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Floating
4.04000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDSD9
21404573.37000000
PA
USD
17563020.74000000
0.565390573908
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2007-12
17314CAE8
2267167.79000000
PA
USD
1267306.89000000
0.040797274026
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398EUM4
4697598.38000000
PA
USD
4656032.15000000
0.149887466877
Long
ABS-MBS
USGSE
US
N
2
2029-07-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB89
9447898.79000000
PA
USD
8634539.10000000
0.277963972682
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B2TU6
2311083.05000000
PA
USD
2232271.51000000
0.071861514533
Long
ABS-MBS
USGSE
US
N
2
2047-01-25
Fixed
3.50000000
N
N
N
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2016-85T Mortgage Trust
23307CAA3
6385000.00000000
PA
USD
5750446.57000000
0.185118968688
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Fixed
3.79000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
22541NW96
13751.71000000
PA
USD
12140.90000000
0.000390841104
Long
ABS-MBS
CORP
US
N
2
2033-04-22
Fixed
5.75000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
3128HX4M4
9812885.02000000
PA
USD
8947458.63000000
0.288037510444
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
Merrill Lynch First Franklin Mortgage Loan Trust
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-4
59025CAD2
25231554.98000000
PA
USD
17337420.19000000
0.558128017750
Long
ABS-O
CORP
US
N
2
2037-07-25
Floating
3.75000000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2007-2
80556YAE5
12593628.10000000
PA
USD
8467269.43000000
0.272579210224
Long
ABS-O
CORP
US
N
2
2047-05-25
Floating
3.89000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B14 Mortgage Trust
08162YBM3
20303000.00000000
PA
USD
16820787.80000000
0.541496534601
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
3.29000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS7 Trust
748940AG8
5371280.10000000
PA
USD
59991.29000000
0.001931245791
Long
ABS-MBS
CORP
US
N
3
2036-06-25
Variable
0.71000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2007-A3
76113WAD5
2301147.40000000
PA
USD
1206158.61000000
0.038828782293
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
5.75000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Mortgage-Backed Trust 2006-9
126380AE4
305083.96000000
PA
USD
244002.67000000
0.007854959102
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Fixed
5.50000000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2022-II Ltd
12567VAC5
3300000.00000000
PA
USD
2689005.00000000
0.086564726119
Long
ABS-CBDO
CORP
KY
N
2
2035-04-19
Variable
1.00000000
N
N
N
N
N
N
SG Mortgage Securities Trust
N/A
SG Mortgage Securities Trust 2007-NC1
78420RAB4
15580222.48000000
PA
USD
9552810.87000000
0.307525072149
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
3.83000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2006-S9 Trust
749577AC6
318346.55000000
PA
USD
246170.19000000
0.007924736129
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
5.75000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL11 Trust
12659AAH9
13911516.30000000
PA
USD
10367536.66000000
0.333752808756
Long
ABS-MBS
CORP
US
N
2
2061-10-25
Variable
3.77000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-NR1
12563HAA4
24811069.73000000
PA
USD
24226245.52000000
0.779893792815
Long
ABS-MBS
CORP
US
N
2
2062-06-26
Variable
3.45000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR2
12565CAA3
16767197.49000000
PA
USD
15708598.80000000
0.505692831678
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.57000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR2 Trust
00178UAF6
7713000.00000000
PA
USD
7121568.70000000
0.229258273621
Long
ABS-O
CORP
US
N
2
2037-07-17
Fixed
4.28000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S2S5
450310.88000000
PA
USD
450530.74000000
0.014503532018
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
5.00000000
N
N
N
N
N
N
Suntrust Adjustable Rate Mortgage Loan Trust
N/A
STARM Mortgage Loan Trust 2007-S1
855541AB4
234313.99000000
PA
USD
226316.48000000
0.007285603450
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
3.37000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AHP6
3530052.62000000
PA
USD
3203940.18000000
0.103141572509
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KY70
1299.44000000
PA
USD
1296.17000000
0.000041726438
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371PBD1
527347.98000000
PA
USD
524827.53000000
0.016895301940
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
5.00000000
N
N
N
N
N
N
Asset Backed Funding Certificates
N/A
ABFC 2007-WMC1 Trust
04545EAB9
9631907.52000000
PA
USD
7748574.86000000
0.249442920550
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
4.34000000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2006-3
80556AAC1
3770103.69000000
PA
USD
3663377.33000000
0.117931820597
Long
ABS-O
CORP
US
N
2
2046-10-25
Floating
3.76000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXVIII Ltd
55821KAE6
10000000.00000000
PA
USD
9376000.00000000
0.301833158398
Long
ABS-CBDO
CORP
KY
N
2
2034-07-17
Floating
5.73000000
N
N
N
N
N
N
Suntrust Adjustable Rate Mortgage Loan Trust
N/A
STARM Mortgage Loan Trust 2007-3
85554NAG5
2553.72000000
PA
USD
1762.00000000
0.000056722485
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
3.10000000
N
N
N
N
N
N
Park Avenue Institutional Advisers CLO
N/A
Park Avenue Institutional Advisers CLO Ltd 2021-1
70015QAA6
19000000.00000000
PA
USD
18337983.00000000
0.590338238859
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
5.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AGZD7
7246575.89000000
PA
USD
5287295.98000000
0.170209177157
Long
ABS-MBS
USGSE
US
N
2
2043-10-25
None
0.00000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust Series 2006-A1
16163CAF9
356917.76000000
PA
USD
308088.31000000
0.009918010630
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
3.99000000
N
N
N
N
N
N
Merrill Lynch First Franklin Mortgage Loan Trust
N/A
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1
59023LAD4
19635724.73000000
PA
USD
8131293.02000000
0.261763423004
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
4.09000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0306B9
16625000.00000000
PA
USD
14135146.57000000
0.455040095312
Long
ABS-MBS
USGSE
US
N
2
2052-11-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FKHV1
754866.44000000
PA
USD
759902.04000000
0.024462844795
Long
ABS-MBS
USGSE
US
N
2
2047-06-15
Fixed
4.00000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2007-S2 Trust
749583AJ9
3221226.22000000
PA
USD
2517734.57000000
0.081051170784
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391MSW4
58896.09000000
PA
USD
58550.54000000
0.001884865018
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Floating
2.66000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR17 Trust
92925DAB6
2174833.83000000
PA
USD
1897253.70000000
0.061076586663
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
1.91000000
N
N
N
N
N
N
Banc of America Funding Corporation
549300VTFF2GUILXKF77
Banc of America Funding 2015-R8 Trust
05991BAA3
172189.78000000
PA
USD
172147.77000000
0.005541798755
Long
ABS-MBS
CORP
US
N
2
2046-11-26
Variable
1.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396V4F2
2852975.40000000
PA
USD
193113.63000000
0.006216733881
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
3.16000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR18 Trust
92922F8K7
868483.97000000
PA
USD
780014.98000000
0.025110322633
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
2.99000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-AR2
3622N6AC3
1574919.26000000
PA
USD
985309.02000000
0.031719169529
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
3.15000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-5
45254NPV3
2211489.76000000
PA
USD
1979970.22000000
0.063739405400
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
4.03000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414XWY4
324575.26000000
PA
USD
320045.60000000
0.010302940942
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
5.00000000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
JGWPT XXX LLC
46617LAA9
5534707.83000000
PA
USD
4969630.76000000
0.159982865653
Long
ABS-O
CORP
US
N
2
2073-01-17
Fixed
4.08000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396XVJ0
341436.00000000
PA
USD
339174.09000000
0.010918727264
Long
ABS-MBS
USGSE
US
N
2
2037-09-25
Floating
4.05000000
N
N
N
N
N
N
Wachovia Mortgage Loan Trust, LLC
N/A
Wachovia Mortgage Loan Trust Series 2006-AMN1
92978EAC8
5708853.25000000
PA
USD
2269182.96000000
0.073049771736
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
1.62000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AGBW1
17914861.70000000
PA
USD
16350810.25000000
0.526366968870
Long
ABS-MBS
USGSE
US
N
2
2043-01-25
Fixed
3.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-34424.21000000
-0.00110818771
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
8569000.00000000
EUR
8486908.98000000
USD
2023-01-13
-34424.21000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A2HP1
7684082.27000000
PA
USD
7342769.40000000
0.236379189355
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
4.00000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF9
320276AF5
9068000.00000000
PA
USD
7792635.67000000
0.250861330687
Long
ABS-O
CORP
US
N
2
2036-06-25
Floating
4.09000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396QGH6
335846.00000000
PA
USD
13936.00000000
0.000448629148
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Floating
3.16000000
N
N
N
N
N
N
FED HOME LN DISCOUNT NT
2549001DPIFGXC1TOL40
Federal Home Loan Bank Discount Notes
313384EH8
25000000.00000000
PA
USD
24499417.50000000
0.788687773351
Long
DBT
USGSE
US
N
2
2023-04-14
None
0.00000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2006-4
073871BN4
318602.17000000
PA
USD
166263.59000000
0.005352374626
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
3.46000000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp
20846QDU9
45277022.69000000
PA
USD
9913055.48000000
0.319122103765
Long
ABS-O
CORP
US
N
2
2032-05-01
Fixed
7.97000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
2254W0NE1
1517551.04000000
PA
USD
807318.03000000
0.025989265233
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
6.50000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2006-4
86360BAJ7
1345522.31000000
PA
USD
1010128.81000000
0.032518170767
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.62000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401CTK9
19898.90000000
PA
USD
19624.81000000
0.000631763906
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Floating
3.08000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-R1
12558VAA0
20867918.32000000
PA
USD
18178431.79000000
0.585201949861
Long
ABS-MBS
CORP
US
N
2
2059-10-27
Variable
2.85000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2007-1
073880AD8
113275.24000000
PA
USD
98757.91000000
0.003179224817
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Variable
2.78000000
N
N
N
N
N
N
MortgageIT Trust
N/A
MortgageIT Trust 2005-4
61913PAZ5
654730.56000000
PA
USD
627148.40000000
0.020189225933
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
4.15000000
N
N
N
N
N
N
Impac Secured Assets Corp.
N/A
Impac Secured Assets Trust 2006-3
45255RAA5
3873538.43000000
PA
USD
3377681.74000000
0.108734678716
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
3.93000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0306C7
46125000.00000000
PA
USD
39213457.03000000
1.262363650499
Long
ABS-MBS
USGSE
US
N
2
2052-12-15
Fixed
3.00000000
N
N
N
N
N
N
J.P. Morgan Alternative Loan Trust
N/A
JP Morgan Alternative Loan Trust
46629EAH6
252005.39000000
PA
USD
265401.27000000
0.008543825039
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
3.49000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MNMM5
26769474.89000000
PA
USD
21932710.49000000
0.706060076731
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579AN8
495885.90000000
PA
USD
478929.18000000
0.015417737526
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
3.79000000
N
N
N
N
N
N
SLM Student Loan Trust
549300R59P5DXM48DO55
SLM Student Loan Trust 2008-8
78445GAE3
5706000.00000000
PA
USD
5492206.91000000
0.176805690936
Long
ABS-O
CORP
US
N
2
2075-10-25
Floating
6.61000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398EZP2
1173908.50000000
PA
USD
1159928.83000000
0.037340548450
Long
ABS-MBS
USGSE
US
N
2
2024-08-15
Fixed
4.00000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
C-BASS Mortgage Loan Trust 2007-CB2
1248MBAJ4
8327804.01000000
PA
USD
5043191.36000000
0.162350936070
Long
ABS-O
CORP
US
N
2
2037-02-25
Variable
3.54000000
N
N
N
N
N
N
Higher Education Funding
635400EWI7RHQRLFJW85
Higher Education Funding I
429827AY4
4347.49000000
PA
USD
4341.96000000
0.000139776823
Long
ABS-O
CORP
US
N
2
2034-05-25
Floating
4.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JLYN8
131885.39000000
PA
USD
121968.78000000
0.003926431537
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFEM9
29410706.93000000
PA
USD
24184576.66000000
0.778552384579
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2006-OA1
362631AC7
42649434.43000000
PA
USD
11498138.25000000
0.370149251674
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
4.11000000
N
N
N
N
N
N
Washington Mutual Asset-Backed CTFS
N/A
Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE1 Trust
92925CET5
1937605.37000000
PA
USD
1853675.86000000
0.059673724346
Long
ABS-O
CORP
US
N
2
2036-04-25
Floating
4.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398C5B0
147333.66000000
PA
USD
10467.79000000
0.000336980174
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Floating
2.09000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31392WD98
942242.69000000
PA
USD
953518.60000000
0.030695769051
Long
ABS-MBS
USGSE
US
N
2
2032-10-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AUZP9
11797493.20000000
PA
USD
11651610.12000000
0.375089833931
Long
ABS-MBS
USGSE
US
N
2
2047-01-25
Floating
4.09000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A6
466247UG6
113012.29000000
PA
USD
93780.19000000
0.003018981542
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
3.96000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2014-4
63938QAA5
9808190.81000000
PA
USD
9337507.40000000
0.300594000651
Long
ABS-O
CORP
US
N
2
2083-03-25
Floating
4.21000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AQV26
11500000.00000000
PA
USD
10856569.71000000
0.349495811107
Long
DBT
USGSE
US
N
2
2024-09-04
Fixed
1.61000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8FN9
12535326.65000000
PA
USD
11790589.48000000
0.379563871813
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W3
040104PD7
29183398.00000000
PA
USD
24516289.77000000
0.789230927206
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
4.28000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0226B2
110825000.00000000
PA
USD
93831787.16000000
3.020642563637
Long
ABS-MBS
USGA
US
N
2
2052-11-21
Fixed
2.50000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR7
45660LLK3
782556.53000000
PA
USD
619439.04000000
0.019941045422
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
2.72000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Trust
362341AR0
80251.68000000
PA
USD
76665.02000000
0.002468008225
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
5.11000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust Series 2007-FF2
32029GAD6
36808219.52000000
PA
USD
18629994.44000000
0.599738701233
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
3.74000000
N
N
N
N
N
N
Dryden Senior Loan Fund
2549001LFFVBUD1OX384
Dryden 83 CLO Ltd
26246EAC2
8000000.00000000
PA
USD
7773072.00000000
0.250231535006
Long
ABS-CBDO
CORP
KY
N
2
2032-01-18
Floating
5.41000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395KPS6
26100.54000000
PA
USD
25638.22000000
0.000825348220
Long
ABS-MBS
USGSE
US
N
2
2023-11-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5S87
3891650.69000000
PA
USD
3539691.55000000
0.113950115218
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2007-HY5
12544BAA1
3535.93000000
PA
USD
2829.46000000
0.000091086267
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Variable
3.97000000
N
N
N
N
N
N
Capital Funding Multifamily Mortgage Trust
N/A
Capital Funding Multifamily Mortgage Trust - PM01
14022TAA9
10000000.00000000
PA
USD
9824926.00000000
0.316285030461
Long
ABS-MBS
CORP
US
N
2
2025-02-27
Floating
5.33000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR9
45660N3R4
247725.25000000
PA
USD
223588.29000000
0.007197777277
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Variable
3.94000000
N
N
N
N
N
N
Sixth Street CLO LTD.
N/A
Sixth Street CLO XVII Ltd
83012FAA6
8000000.00000000
PA
USD
7717016.00000000
0.248426974476
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Floating
5.48000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR3
12564UAA4
8691276.34000000
PA
USD
8126017.46000000
0.261593591633
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
2.57000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCR64
20324231.92000000
PA
USD
18244594.72000000
0.587331873723
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0226C4
83900000.00000000
PA
USD
68696984.40000000
2.211500402506
Long
ABS-MBS
USGSE
US
N
2
2052-12-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394AES1
336563.80000000
PA
USD
9697.21000000
0.000312173583
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Floating
3.51000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust Series 2007-A1
161630AW8
1263702.01000000
PA
USD
1207647.73000000
0.038876720198
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
3.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDC4
7777668.34000000
PA
USD
6128196.38000000
0.197279529507
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2018-R5
12553UAA7
8464936.25000000
PA
USD
8139455.22000000
0.262026181388
Long
ABS-MBS
CORP
US
N
2
2058-07-25
Variable
3.75000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579V47
232684.17000000
PA
USD
172552.81000000
0.005554837844
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
3.35000000
N
N
N
N
N
N
Morgan Stanley Home Equity Loan Trust
N/A
Morgan Stanley Home Equity Loan Trust 2006-2
61744CYP5
696970.99000000
PA
USD
683839.67000000
0.022014237141
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
4.15000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2006-2
07388DAC2
752402.90000000
PA
USD
635610.41000000
0.020461635832
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
3.28000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR6
456612AC4
7562072.80000000
PA
USD
6683020.40000000
0.215140481545
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
3.99000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-MP
61691DAA5
4635000.00000000
PA
USD
4052762.89000000
0.130466960679
Long
ABS-MBS
CORP
US
N
2
2040-07-11
Variable
4.28000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R4E6
19705632.86000000
PA
USD
18027669.65000000
0.580348599511
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0406B8
94100000.00000000
PA
USD
85601551.41000000
2.755693966071
Long
ABS-MBS
USGSE
US
N
2
2052-11-15
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond - When Issued
91282CFQ9
4530000.00000000
PA
USD
4520886.91000000
0.145536857381
Long
DBT
UST
US
N
1
2024-10-31
Fixed
4.38000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312940NL9
2587461.73000000
PA
USD
2586546.54000000
0.083266372814
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SSS7
59022.65000000
PA
USD
57322.75000000
0.001845339876
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
4.50000000
N
N
N
N
N
N
GreenPoint Mortgage Funding Trust
N/A
GreenPoint MTA Trust 2005-AR3
39538RBW8
219235.95000000
PA
USD
167339.31000000
0.005387004315
Long
ABS-MBS
CORP
US
N
2
2045-08-25
Floating
4.07000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R06
20754JAC8
9175000.00000000
PA
USD
8598826.79000000
0.276814318317
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
7.34000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2003-8
81743PDX1
372818.09000000
PA
USD
353496.64000000
0.011379800270
Long
ABS-MBS
CORP
US
N
2
2034-01-20
Floating
4.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B9KZ6
12204552.26000000
PA
USD
9616235.84000000
0.309566855321
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B6QL0
7953364.58000000
PA
USD
6839947.62000000
0.220192298786
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WBK1
588174.52000000
PA
USD
17547.78000000
0.000564899942
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
2.82000000
N
N
N
N
N
N
Wells Fargo Home Equity Trust
N/A
Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust
9497EVAC9
5521000.00000000
PA
USD
4700167.53000000
0.151308277579
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
4.23000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TF5
13965000.00000000
PA
USD
10203178.13000000
0.328461762017
Long
DBT
UST
US
N
1
2042-02-15
Fixed
2.38000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-13
12669FJ20
2883511.30000000
PA
USD
2641339.32000000
0.085030267636
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
5.50000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
PRET 2022-RN1 LLC
69363JAA2
17917610.16000000
PA
USD
16648308.74000000
0.535944070924
Long
ABS-O
CORP
US
N
2
2051-07-25
Variable
3.72000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2022-RPL1 Trust
12661QAH0
13656868.19000000
PA
USD
12289123.28000000
0.395612723288
Long
ABS-MBS
CORP
US
N
2
2061-04-25
Variable
4.34000000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 9 Ltd
67690AAG6
17500000.00000000
PA
USD
16439500.00000000
0.529222078443
Long
ABS-CBDO
CORP
KY
N
2
2035-07-19
Floating
5.93000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BJP80
94964072.00000000
PA
USD
3120049.33000000
0.100440949619
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Variable
1.51000000
N
N
N
N
N
N
HSI Asset Securitization Corporation Trust
N/A
HSI Asset Securitization Corp Trust 2006-HE2
44328BAB4
36021216.22000000
PA
USD
15479231.55000000
0.498309017525
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
3.85000000
N
N
N
N
N
N
Flatiron CLO Ltd
N/A
Flatiron RR CLO 22 LLC
33883QAE5
15600000.00000000
PA
USD
14529840.00000000
0.467746106892
Long
ABS-CBDO
CORP
US
N
2
2034-10-15
Floating
5.68000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Trust 2006-M1
04012MAQ2
46595011.60000000
PA
USD
13254379.72000000
0.426686358095
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
3.89000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SCA3
1294548.01000000
PA
USD
1261552.12000000
0.040612015877
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SYV3
2210557.50000000
PA
USD
2218059.29000000
0.071403993282
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397P2Q2
1495896.91000000
PA
USD
76642.58000000
0.002467285835
Long
ABS-MBS
USGSE
US
N
2
2037-10-15
Floating
2.63000000
N
N
N
N
N
N
ROC Securities Trust
N/A
Roc Mortgage Trust 2021-RTL1
77118TAA1
16300000.00000000
PA
USD
15396339.41000000
0.495640545210
Long
ABS-MBS
CORP
US
N
2
2026-08-25
Variable
2.49000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396EJS6
9876233.50000000
PA
USD
9977298.97000000
0.321190236817
Long
ABS-MBS
USGSE
US
N
2
2035-11-15
Fixed
5.50000000
N
N
N
N
N
N
European Loan Conduit
N/A
European Loan Conduit No 36 DAC
000000000
9197226.73000000
PA
8206944.11000000
0.264198790691
Long
ABS-MBS
CORP
IE
N
2
2030-02-17
Floating
3.68000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UXH0
197456.43000000
PA
USD
168659.79000000
0.005429513343
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M96X5
12733182.26000000
PA
USD
11956093.34000000
0.384891789133
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.00000000
N
N
N
N
N
N
2022-11-17
TCW FUNDS INC
Richard Villa
Richard Villa
Treasurer