0001752724-24-035340.txt : 20240223
0001752724-24-035340.hdr.sgml : 20240223
20240223115055
ACCESSION NUMBER: 0001752724-24-035340
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231229
FILED AS OF DATE: 20240223
DATE AS OF CHANGE: 20240223
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIONEER VARIABLE CONTRACTS TRUST /MA/
CENTRAL INDEX KEY: 0000930709
ORGANIZATION NAME:
IRS NUMBER: 000000000
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-08786
FILM NUMBER: 24668313
BUSINESS ADDRESS:
STREET 1: 60 STATE ST
STREET 2: 5TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02109
BUSINESS PHONE: 617-742-7825
MAIL ADDRESS:
STREET 1: 60 STATE ST
STREET 2: 5TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 021091820
FORMER COMPANY:
FORMER CONFORMED NAME: VARIABLE INSURANCE CONTRACTS TRUST
DATE OF NAME CHANGE: 19940929
0000930709
S000010163
Pioneer Strategic Income VCT Portfolio
C000028190
Pioneer Strategic Income VCT Portfolio: Class I
C000028191
Pioneer Strategic Income VCT Portfolio: Class II
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000930709
XXXXXXXX
S000010163
C000028191
C000028190
PIONEER VARIABLE CONTRACTS TRUST /MA/
811-08786
0000930709
549300VNR8Z3H6PB2X77
60 State Street
Boston
02109
617-422-4947
Pioneer Strategic Income VCT Portfolio
S000010163
KIE2348SOBWF0QF72O51
2023-12-31
2023-12-29
N
34179933.13
3620951.53
30558981.60
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
3309621.60000000
0.00000000
355129.95000000
EUR
USD
N
65% Bloomberg US High Yield, 35% Bloomberg Barclays US Universal
N/A
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BTA6
9088.50000000
PA
USD
9195.38000000
0.030090596998
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-KHG1 Mortgage Trust
30309FAJ0
75000.00000000
PA
USD
68338.29000000
0.223627511199
Long
ABS-MBS
CORP
US
N
2
2027-12-25
Variable
3.81939200
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030617
100000.00000000
PA
USD
90531.00000000
0.296250055662
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
3.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-IG3 Mortgage Trust
08162QAN9
100000.00000000
PA
USD
51257.63000000
0.167733436509
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Variable
3.29076300
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ADC6
50000.00000000
PA
USD
53032.10000000
0.173540141795
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
5.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36211RFL8
699.49000000
PA
USD
722.63000000
0.002364705766
Long
ABS-MBS
USGA
US
N
2
2030-01-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290RP49
525.18000000
PA
USD
542.61000000
0.001775615454
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YTJ88
10992.85000000
PA
USD
10559.79000000
0.034555438195
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
COEUR MINING INC
5493003AVK173D48DR70
Coeur Mining Inc
192108BC1
115000.00000000
PA
USD
105813.81000000
0.346260917281
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
5.12500000
N
N
N
N
N
N
COMMERCIAL METALS CO
549300OQS2LO07ZJ7N73
Commercial Metals Co
201723AR4
24000.00000000
PA
USD
21538.93000000
0.070483140707
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.37500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
465976AD0
100000.00000000
PA
USD
62801.93000000
0.205510546202
Long
ABS-MBS
CORP
US
N
2
2052-07-25
Variable
3.52155200
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAJ9
15000.00000000
PA
USD
12524.85000000
0.040985822642
Long
DBT
CORP
US
N
2
N/A
Fixed
6.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290YUV8
1433.08000000
PA
USD
1419.40000000
0.004644788293
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X8YD7
17503.78000000
PA
USD
16988.27000000
0.055591741316
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738ECE3
200000.00000000
PA
USD
223944.77000000
0.732827987958
Long
DBT
CORP
GB
N
2
2033-11-02
Fixed
7.43700000
N
N
N
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
000000000
100000.00000000
PA
76662.70000000
0.250867980495
Long
DBT
NUSS
RS
N
2
2036-09-23
Fixed
2.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DSC67
2000.00000000
PA
USD
2032.40000000
0.006650745193
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140NRSA5
41613.41000000
PA
USD
41810.57000000
0.136819251856
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2Q70
11782.48000000
PA
USD
11474.87000000
0.037549909712
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
4.00000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DB3
40000.00000000
PA
USD
40321.24000000
0.131945627402
Long
DBT
CORP
US
N
2
2032-08-19
Fixed
6.10000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F050619
100000.00000000
PA
USD
98929.69000000
0.323733595886
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
5.00000000
N
N
N
N
N
N
RBSCF Trust
N/A
RBS Commercial Funding Inc 2013-SMV Trust
74932BAN3
100000.00000000
PA
USD
73199.37000000
0.239534716693
Long
ABS-MBS
CORP
US
N
2
2031-03-11
Variable
3.58440000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050615
100000.00000000
PA
USD
99297.00000000
0.324935566570
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
65.00000000
NC
USD
166912.85000000
0.546198993751
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
6903360.75000000
USD
166912.85000000
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG Inc
92332YAA9
5000.00000000
PA
USD
5049.49000000
0.016523750909
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
8.12500000
N
N
N
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
4000000.00000000
PA
47134.38000000
0.154240676659
Long
DBT
NUSS
N/A
N
2
2030-04-17
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XNN67
45000.00000000
PA
USD
44942.15000000
0.147066910109
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SNW3
15339.98000000
PA
USD
14845.79000000
0.048580774694
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
USD/KZT FORWARD
000000000
1.00000000
NC
USD
-8137.33000000
-0.02662827612
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-61700000.00000000
KZT
125918.37000000
USD
2024-02-02
-8137.33000000
N
N
N
RESORTS WORLD/RWLV CAP
N/A
Resorts World Las Vegas LLC / RWLV Capital Inc
76120HAA5
200000.00000000
PA
USD
174292.00000000
0.570346231695
Long
DBT
CORP
US
N
2
2029-04-16
Fixed
4.62500000
N
N
N
N
N
N
LORCA TELECOM BONDCO
9598004HFBAS82YM7X35
Lorca Telecom Bondco SA
000000000
100000.00000000
PA
107634.02000000
0.352217300330
Long
DBT
CORP
ES
N
2
2027-09-18
Fixed
4.00000000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG Inc
92332YAB7
50000.00000000
PA
USD
49974.12000000
0.163533329265
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
8.37500000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISE4NWBTOSK36
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KPN3
45000.00000000
PA
USD
44915.85000000
0.146980847031
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
9.08743000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
682695AA9
35000.00000000
PA
USD
37003.02000000
0.121087215812
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
9.00000000
N
N
N
N
N
N
HILTON GRAND VAC BOR ESC
N/A
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc
43284MAA6
30000.00000000
PA
USD
27676.38000000
0.090567088793
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.00000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BF8
1790000.00000000
PA
46101.89000000
0.150861997312
Long
DBT
NUSS
UY
N
2
2033-07-20
Fixed
9.75000000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG Inc
92332YAC5
15000.00000000
PA
USD
15872.51000000
0.051940572522
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
9.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2022-PJ1
36263NBM6
95004.52000000
PA
USD
71052.01000000
0.232507780953
Long
ABS-MBS
CORP
US
N
2
2052-05-28
Variable
2.83247400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140A0A82
99105.98000000
PA
USD
101788.34000000
0.333088128826
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
6.50000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAV2
200000.00000000
PA
USD
159693.20000000
0.522573697285
Long
DBT
CORP
NL
N
2
2037-03-13
Fixed
3.32400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5TL9
17361.32000000
PA
USD
2146.49000000
0.007024088787
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Floating
0.59809000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QT68
9642.62000000
PA
USD
9656.47000000
0.031599449636
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DSC75
4000.00000000
PA
USD
4119.48000000
0.013480423051
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202XTP2
3432.71000000
PA
USD
3469.90000000
0.011354763209
Long
ABS-MBS
USGA
US
N
2
2035-06-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032617
190000.00000000
PA
USD
174295.31000000
0.570357063207
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140NQDM7
97015.74000000
PA
USD
98506.26000000
0.322347980339
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
6.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-3
89169DAG6
100000.00000000
PA
USD
82497.76000000
0.269962399532
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
3.90739000
N
N
N
N
N
N
Pioneer ILS Interval Fund
549300LH2MO2SJZYNC86
Pioneer ILS Interval Fund
72369L107
115064.39900000
NS
USD
979198.04000000
3.204288849730
Long
EC
RF
US
N
1
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TBD0
70000.00000000
PA
USD
75885.01000000
0.248323098568
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Floating
9.33743000
N
N
N
N
N
N
GARDA WORLD SECURITY
549300ZF1NDXLMCHNO20
Garda World Security Corp
36485MAL3
39000.00000000
PA
USD
34958.73000000
0.114397562253
Long
DBT
CORP
CA
N
2
2029-06-01
Fixed
6.00000000
N
N
N
N
N
N
Palisades Center Trust
N/A
Palisades Center Trust 2016-PLSD
69640GAA3
40000.00000000
PA
USD
21421.40000000
0.070098540194
Long
ABS-MBS
CORP
US
N
2
2033-04-13
Fixed
2.71298000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAL3
200000.00000000
PA
USD
167476.42000000
0.548043197879
Long
DBT
CORP
ES
N
2
2032-11-22
Fixed
3.22500000
N
N
N
N
N
N
DRAFTKINGS HOLDINGS INC
5493008P45UYYL683Z97
DraftKings Holdings Inc
26142RAB0
122000.00000000
PA
USD
97783.00000000
0.319981212986
Long
DBT
CORP
US
N
2
2028-03-15
None
0.00000000
N
N
N
N
Y
DraftKings Inc
DraftKings Inc
USD
XXXX
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd
03880RAL3
100000.00000000
PA
USD
91798.80000000
0.300398754126
Long
ABS-CBDO
CORP
KY
N
2
2036-11-15
Floating
8.87629000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MMSR5
7633.31000000
PA
USD
7364.01000000
0.024097694407
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
PROFRAC HOLDINGS II LLC
N/A
ProFrac Holdings II LLC
000000000
2750.00000000
PA
USD
2736.25000000
0.008953996032
Long
LON
CORP
US
N
2
2025-03-04
Floating
12.92590000
N
N
N
N
N
N
NCL FINANCE LTD
N/A
NCL Finance Ltd
62888HAA7
10000.00000000
PA
USD
9572.32000000
0.031324080511
Long
DBT
CORP
BM
N
2
2028-03-15
Fixed
6.12500000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
682691AE0
20000.00000000
PA
USD
20587.42000000
0.067369457102
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
7.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140NSAZ7
68223.98000000
PA
USD
70043.40000000
0.229207245571
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
6.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHZ7
1670400.00000000
PA
USD
1741261.51000000
5.698035140019
Long
DBT
UST
US
N
2
2030-09-30
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XNNS9
174000.00000000
PA
USD
149480.89000000
0.489155338867
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
LCM INVESTMENTS HOLDINGS
549300P5V78NNQTG4428
LCM Investments Holdings II LLC
50190EAA2
35000.00000000
PA
USD
32512.01000000
0.106391012716
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129362R7
7930.98000000
PA
USD
8071.13000000
0.026411645864
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ITAM9GTFUKP51
Freddie Mac STACR REMIC Trust 2020-HQA3
35565MBE3
30000.00000000
PA
USD
38120.49000000
0.124743980342
Long
ABS-MBS
CORP
US
N
2
2050-07-25
Floating
15.45191000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212WUQ8
31822.14000000
PA
USD
31529.86000000
0.103177063989
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MNNF9
86234.94000000
PA
USD
79827.90000000
0.261225655504
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
ALGONQUIN PWR & UTILITY
549300K5VIUTJXQL7X75
Algonquin Power & Utilities Corp
015857AH8
75000.00000000
PA
USD
63375.00000000
0.207385837753
Long
DBT
CORP
CA
N
2
2082-01-18
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213MYE2
472.94000000
PA
USD
487.14000000
0.001594097625
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKNV6
238492.45000000
PA
USD
205903.61000000
0.673790811144
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAM6
155000.00000000
PA
USD
96910.20000000
0.317125096865
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.50000000
N
N
N
N
N
N
ENERGIZER GAMMA ACQ BV
5493002SUYZDHEQ3JN34
Energizer Gamma Acquisition BV
000000000
100000.00000000
PA
94697.64000000
0.309884803229
Long
DBT
CORP
NL
N
2
2029-06-30
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJE74
90593.47000000
PA
USD
92297.62000000
0.302031072920
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378GJK5
79.26000000
PA
USD
78.96000000
0.000258385573
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
3.00000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BW3
45000.00000000
PA
USD
46641.93000000
0.152629202800
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
6.05000000
N
N
N
N
N
N
SPIRIT AIRLINES INC
549300DCAFIXFNFR3304
Spirit Airlines Inc
848577AB8
24000.00000000
PA
USD
16632.00000000
0.054425897491
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
1.00000000
N
N
N
N
Y
Spirit Airlines Inc
Spirit Airlines Inc
USD
XXXX
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-INV1
46592PBJ9
93728.64000000
PA
USD
70101.84000000
0.229398482310
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.97915200
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust 2021-OVA
78449RAL9
100000.00000000
PA
USD
75449.45000000
0.246897789290
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Fixed
2.85061000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B1Z98
16221.19000000
PA
USD
1764.70000000
0.005774734325
Long
ABS-MBS
USGSE
US
N
2
2048-06-25
Floating
0.74809000
N
N
N
N
N
N
KEY COMMERCIAL MORTGAGE TRUST
N/A
Key Commercial Mortgage Securities Trust 2019-S2
49307XAC8
50000.00000000
PA
USD
45937.90000000
0.150325362936
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Fixed
3.46930000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A4WQ8
21538.24000000
PA
USD
1682.42000000
0.005505484515
Long
ABS-MBS
USGSE
US
N
2
2041-08-25
Floating
1.09809000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201VAT9
460.15000000
PA
USD
468.18000000
0.001532053672
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KJ24 Mortgage Trust
30312FAG1
53824.80000000
PA
USD
49679.53000000
0.162569324626
Long
ABS-MBS
CORP
US
N
2
2027-10-25
Variable
7.60000000
N
N
N
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
200000000.00000000
PA
44820.33000000
0.146668271170
Long
DBT
NUSS
N/A
N
2
2026-02-26
Fixed
3.59000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WYP1
26081.58000000
PA
USD
25434.97000000
0.083232387560
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY CALL VERSUS USD PUT
000000000
800000.00000000
NC
USD
0.00000000
0.000000
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
N/A
JPY
N/A
USD
2024-01-05
800000.00000000
USD
125.00000000
USD
2024-01-05
XXXX
-30405.60000000
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAY2
105000.00000000
PA
USD
104011.58000000
0.340363371271
Long
DBT
CORP
N/A
N
2
2033-04-01
Fixed
5.75000000
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
Nordea Bank Abp
65559CAD3
235000.00000000
PA
USD
185637.66000000
0.607473319726
Long
DBT
CORP
FI
N
2
N/A
Fixed
3.75000000
N
N
N
N
N
N
TRICIDA INC
N/A
TRICIDA INC
000000000
75000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
US
N
3
2027-05-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHG97
515.36000000
PA
USD
464.70000000
0.001520665858
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176H6S8
48539.74000000
PA
USD
47950.60000000
0.156911642631
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XNN83
2000.00000000
PA
USD
2032.46000000
0.006650941535
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200K7J0
283.71000000
PA
USD
292.69000000
0.000957787153
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
JB POINDEXTER & CO INC
549300W6P81HOZZGPQ16
JB Poindexter & Co Inc
465965AC5
30000.00000000
PA
USD
30600.00000000
0.100134226986
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
8.75000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-150E
61764BAG8
100000.00000000
PA
USD
74022.16000000
0.242227182073
Long
ABS-MBS
CORP
US
N
2
2032-09-09
Fixed
4.01200000
N
N
N
N
N
N
Enact Mortgage Insurance Corpo
N/A
Triangle Re 2023-1 Ltd
89589AAA7
150000.00000000
PA
USD
149998.46000000
0.490849014418
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Floating
8.72131000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND
000000000
-1.00000000
NC
USD
-38.25000000
-0.00012516778
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
-117977.38000000
USD
-38.25000000
N
N
N
BINOM Securitization Trust
N/A
BINOM Securitization Trust 2022-RPL1
05552CAD6
100000.00000000
PA
USD
66786.46000000
0.218549364223
Long
ABS-MBS
CORP
US
N
2
2061-02-25
Variable
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XNNR1
85000.00000000
PA
USD
73497.29000000
0.240509618291
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
100000.00000000
PA
92806.87000000
0.303697522433
Long
DBT
NUSS
CI
N
2
2032-01-30
Fixed
4.87500000
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
03880KAJ3
100000.00000000
PA
USD
93996.00000000
0.307588784306
Long
ABS-CBDO
CORP
KY
N
2
2034-08-15
Floating
7.67629000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H052611
100000.00000000
PA
USD
100719.00000000
0.329588863000
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AVT1
3581.94000000
PA
USD
3493.14000000
0.011430812864
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382AFF7
211160.48000000
PA
USD
35033.36000000
0.114641778507
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AT5
200000.00000000
PA
USD
193365.87000000
0.632762807776
Long
DBT
CORP
CH
N
2
2033-08-05
Fixed
4.98800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416X4Z0
11358.61000000
PA
USD
11343.97000000
0.037121557741
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184JAM2
3965.29000000
PA
USD
3729.17000000
0.012203188080
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
5.00000000
NC
USD
10886.34000000
0.035624027470
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
1018683.98000000
USD
10886.34000000
N
N
N
GARDA WORLD SECURITY
549300ZF1NDXLMCHNO20
Garda World Security Corp
36485MAK5
35000.00000000
PA
USD
33746.64000000
0.110431166986
Long
DBT
CORP
CA
N
2
2027-02-15
Fixed
4.62500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-INV1
465973BY0
95903.66000000
PA
USD
72238.00000000
0.236388767615
Long
ABS-MBS
CORP
US
N
2
2052-03-25
Variable
3.29607100
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBT6
65000.00000000
PA
USD
67129.27000000
0.219671162078
Long
DBT
CORP
US
N
2
2029-06-13
Fixed
6.99200000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513CE3
50000.00000000
PA
USD
51612.58000000
0.168894960818
Long
DBT
CORP
US
N
2
2034-05-19
Fixed
5.85300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D4P3
1192.65000000
PA
USD
1241.88000000
0.004063878882
Long
ABS-MBS
USGA
US
N
2
2034-03-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176N3Q2
444.44000000
PA
USD
429.17000000
0.001404398895
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140NDHF7
90471.01000000
PA
USD
91075.62000000
0.298032248561
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.50000000
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust 2021-OVA
78449RAN5
100000.00000000
PA
USD
70774.54000000
0.231599799124
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Fixed
2.85061000
N
N
N
N
N
N
Rate Mortgage Trust
N/A
Rate Mortgage Trust 2021-J1
75409JDE4
93224.50000000
PA
USD
73184.99000000
0.239487660151
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
2.70516000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCT8
15000.00000000
PA
USD
15395.46000000
0.050379493012
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
7.37500000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
1784000000.00000000
PA
114283.99000000
0.373978398547
Long
DBT
NUSS
ID
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
PAR PHARMACEUTICAL INC
549300KK5WR4MGN4YT97
Par Pharmaceutical Inc
69888XAA7
31000.00000000
PA
USD
19840.00000000
0.064923629523
Long
DBT
CORP
US
N
2
2027-04-01
Variable
7.50000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C9
90291JAY3
1000000.00000000
PA
USD
14329.00000000
0.046889651584
Long
ABS-MBS
CORP
US
N
2
2051-03-15
Variable
0.37245400
N
N
N
N
N
N
Bayview MSR Opportunity Master
N/A
Bayview MSR Opportunity Master Fund Trust 2021-INV2
07336LAH6
100000.00000000
PA
USD
64574.46000000
0.211310903109
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAK5
19000.00000000
PA
USD
19046.66000000
0.062327535155
Long
DBT
CORP
US
N
2
2042-02-15
Fixed
6.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B47J1
18671.74000000
PA
USD
1421.88000000
0.004652903747
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
0.59809000
N
N
N
N
N
N
GENERATION BRIDGE NORTHE
254900T9J93GNTVC6J73
GENERATION BRIDGE NORTHE
37147YAB7
24475.47220000
PA
USD
24628.44000000
0.080593130760
Long
LON
CORP
US
N
2
2029-08-07
Floating
9.60596000
N
N
N
N
N
N
Desarrolladora Homex SAB de CV
N/A
Desarrolladora Homex SAB de CV
000000000
15463.00000000
NS
11.84000000
0.000038744746
Long
EC
CORP
MX
N
1
N
N
N
REGAL REXNORD CORP
QH78R09VCJGQKPBPYU33
Regal Rexnord Corp
758750AE3
50000.00000000
PA
USD
51295.56000000
0.167857557137
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
6.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XNNH3
477000.00000000
PA
USD
395257.35000000
1.293424483753
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
1.50000000
N
N
N
N
N
N
Enact Mortgage Insurance Corpo
N/A
Triangle Re 2021-1 Ltd
89600FAD5
33147.82000000
PA
USD
33297.08000000
0.108960044663
Long
ABS-MBS
CORP
BM
N
2
2033-08-25
Floating
9.36984000
N
N
N
N
N
N
COLONY MORTGAGE CAPITAL LTD
N/A
CLNY Trust 2019-IKPR
12564NAN2
65000.00000000
PA
USD
58197.22000000
0.190442275733
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
8.19600000
N
N
N
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAG2
135000.00000000
PA
USD
117787.50000000
0.385443145788
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
5.45000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCG8
60000.00000000
PA
USD
45456.55000000
0.148750212278
Long
DBT
CORP
US
N
2
2032-07-29
Fixed
2.35900000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-8
46592TCC5
141134.15000000
PA
USD
105205.78000000
0.344271224012
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.84510700
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHT1
200000.00000000
PA
USD
199750.00000000
0.653653981715
Long
DBT
UST
US
N
2
2033-08-15
Fixed
3.87500000
N
N
N
N
N
N
CITY OF BUENOS AIRES
5299007MC8RF52X0ON96
Ciudad Autonoma De Buenos Aires/Government Bonds
11942GAD4
250000.00000000
PA
USD
246250.00000000
0.805818738409
Long
DBT
NUSS
AR
N
2
2027-06-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ITBQFEOXM0S98
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBD6
50000.00000000
PA
USD
51745.10000000
0.169328614013
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Floating
8.33743000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F020612
400000.00000000
PA
USD
326875.00000000
1.069652792356
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SUW5
13606.53000000
PA
USD
13136.70000000
0.042988016328
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
4.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAS0
105000.00000000
PA
USD
107059.55000000
0.350337427475
Long
DBT
CORP
KY
N
2
2028-05-04
Fixed
6.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AS5J9
78005.87000000
PA
USD
8166.18000000
0.026722683716
Long
ABS-MBS
USGSE
US
N
2
2042-07-15
Floating
0.57708000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A93H2
8169.82000000
PA
USD
8142.56000000
0.026645390564
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGUH0
84058.80000000
PA
USD
77509.21000000
0.253638066263
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XEP7
125000.00000000
PA
USD
128701.10000000
0.421156377802
Long
DBT
CORP
US
N
2
2034-01-07
Fixed
6.10000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
40000.00000000
PA
USD
33191.18000000
0.108613501701
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFLN9
125038.25000000
PA
USD
112166.40000000
0.367048880974
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMLV4
59784.84000000
PA
USD
49680.46000000
0.162572367922
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
MFRA Trust
N/A
MFA 2021-RPL1 Trust
55283QAD6
100000.00000000
PA
USD
78687.48000000
0.257493790303
Long
ABS-MBS
CORP
US
N
2
2060-07-25
Variable
2.85470000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042418
100000.00000000
PA
USD
99500.00000000
0.325599855722
Long
ABS-MBS
USGSE
US
N
2
2039-01-15
Fixed
4.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAL9
50000.00000000
PA
USD
47238.51000000
0.154581427543
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
7.72098000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAF0
250000.00000000
PA
USD
203842.64000000
0.667046574614
Long
DBT
CORP
FR
N
2
2032-10-19
Fixed
3.11600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XUZP3
1291.62000000
PA
USD
1178.70000000
0.003857131155
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.00000000
N
N
N
N
N
N
GARDA WORLD SECURITY COR
549300ZF1NDXLMCHNO20
Garda World Security Corp
36257BAA7
24000.00000000
PA
USD
24195.58000000
0.079176656855
Long
DBT
CORP
CA
N
2
2027-11-01
Fixed
9.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3H4
130000.00000000
PA
USD
141425.42000000
0.462794938166
Long
DBT
CORP
US
N
2
2034-10-23
Fixed
6.49100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWH22
813902.54000000
PA
USD
817192.93000000
2.674149749807
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
5.50000000
N
N
N
N
N
N
OWENS & MINOR INC
549300LMT5KQQXCEZ733
Owens & Minor Inc
69073LAD2
31412.50000000
PA
USD
31517.20000000
0.103135635907
Long
LON
CORP
US
N
2
2029-03-29
Floating
9.20343400
N
N
N
N
N
N
ReadyCap Commercial Mortgage T
N/A
Ready Capital Mortgage Trust 2019-5
75575MAN8
100000.00000000
PA
USD
79761.09000000
0.261007029108
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
5.30906800
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AWT1
23777.32000000
PA
USD
22484.31000000
0.073576764744
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
GRUPO AEROMEXICO SAB
N/A
Grupo Aeromexico SAB de CV
40054JAA7
200000.00000000
PA
USD
193045.57000000
0.631714670753
Long
DBT
CORP
MX
N
2
2027-03-17
Fixed
8.50000000
N
N
N
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
5500000.00000000
PA
66131.61000000
0.216406459042
Long
DBT
NUSS
N/A
N
2
2028-04-24
Fixed
6.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AMK27
5800.50000000
PA
USD
5777.26000000
0.018905276607
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHHW0
79967.31000000
PA
USD
79436.16000000
0.259943741057
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
USD/INR FORWARD
000000000
1.00000000
NC
USD
453.50000000
0.001484015422
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-160306.26000000
USD
13400000.00000000
INR
2024-02-05
453.50000000
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-1
89173FAG5
100000.00000000
PA
USD
77413.78000000
0.253325784914
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
3.85692100
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
USD/AUD FORWARD
000000000
1.00000000
NC
USD
2509.82000000
0.008213035476
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-158053.15000000
USD
235000.00000000
AUD
2024-03-27
2509.82000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SA7
470800.00000000
PA
USD
383646.83000000
1.255430678357
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
11000000.00000000
PA
23477.59000000
0.076827134841
Long
DBT
NUSS
N/A
N
2
2025-02-21
Fixed
12.50000000
N
N
N
N
N
N
SC GAMES HOLDIN/US FINCO
N/A
Scientific Games Holdings LP/Scientific Games US FinCo Inc
80874DAA4
25000.00000000
PA
USD
23635.75000000
0.077344691355
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
6.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XNN26
40000.00000000
PA
USD
38049.10000000
0.124510366536
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
4.00000000
N
N
N
N
N
N
Rate Mortgage Trust
N/A
RATE Mortgage Trust 2021-HB1
75409XDE3
94973.92000000
PA
USD
71551.75000000
0.234143110318
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.70468700
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376CAG4
10808.47000000
PA
USD
10737.64000000
0.035137427485
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
4.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-1072.03000000
-0.00350806847
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-73000.00000000
EUR
79710.28000000
USD
2024-02-27
-1072.03000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140NQDL9
207604.39000000
PA
USD
208443.72000000
0.682102966415
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
ABRA GLOBAL FINANCE
N/A
ABRA Global Finance
000852AB9
124229.00000000
PA
USD
93273.88000000
0.305225747444
Long
DBT
CORP
KY
N
2
2028-03-02
Fixed
11.50000000
N
N
Y
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178GJ62
3282.71000000
PA
USD
3186.13000000
0.010426165510
Long
ABS-MBS
USGA
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
Arivo Acceptance Auto Loan Rec
N/A
Arivo Acceptance Auto Loan Receivables Trust 2022-2
04047JAC9
100000.00000000
PA
USD
103209.74000000
0.337739461841
Long
ABS-O
CORP
US
N
2
2029-03-15
Fixed
9.84000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XNNQ3
160000.00000000
PA
USD
138632.82000000
0.453656544627
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
ENERGY ACQUISITION LP
N/A
Energy Acquisition Co Inc
29279EAB8
12035.69970000
PA
USD
11937.91000000
0.039065143453
Long
LON
CORP
US
N
2
2025-06-26
Floating
9.70596000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AZ6
220000.00000000
PA
USD
160019.97000000
0.523643006480
Long
DBT
CORP
NL
N
2
N/A
Fixed
4.25000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-7
46592NCC8
93907.42000000
PA
USD
69842.98000000
0.228551399108
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.80256500
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D9QY3
263000.00000000
PA
USD
217930.59000000
0.713147423734
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
1.50000000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2023-1 Ltd
26982EAC0
150000.00000000
PA
USD
150713.88000000
0.493190126466
Long
ABS-MBS
CORP
BM
N
2
2033-09-26
Floating
9.28743000
N
N
N
N
N
N
CITGO PETROLEUM CORP
YX52P86PXMLYDOTUQ225
CITGO Petroleum Corp
17302XAN6
20000.00000000
PA
USD
20566.60000000
0.067301326559
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
8.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200QLP7
104.08000000
PA
USD
106.44000000
0.000348310036
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BAFP1
50204.69000000
PA
USD
46593.73000000
0.152471475031
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
CITIGROUP MORTGAGE LOAN TRUST 2021-INV2
17329RDN5
94331.99000000
PA
USD
75012.65000000
0.245468422285
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.98856200
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAQ5
35000.00000000
PA
USD
36835.26000000
0.120538244638
Long
DBT
CORP
US
N
2
2033-10-15
Fixed
6.95000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE19 Mortgage Trust
12592GBE2
1342812.31000000
PA
USD
4515.74000000
0.014777128567
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Variable
0.82695600
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-2731.71000000
-0.00893913951
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-595000.00000000
EUR
656465.52000000
USD
2024-03-27
-2731.71000000
N
N
N
Equifirst Mortgage Loan Trust
N/A
Equifirst Mortgage Loan Trust 2003-1
29445FAA6
16290.63000000
PA
USD
15094.21000000
0.049393694454
Long
ABS-MBS
CORP
US
N
2
2032-12-25
Variable
4.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XNN59
31000.00000000
PA
USD
30960.12000000
0.101312669398
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAE6
104000.00000000
PA
USD
103393.54000000
0.338340921675
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
4.00000000
NC
USD
15521.00000000
0.050790305132
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2024-03-19
436041.52000000
USD
15521.00000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YRH9
143994.43000000
PA
USD
2286.86000000
0.007483430010
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B9MF8
84293.91000000
PA
USD
78031.12000000
0.255345943858
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAD9
9000.00000000
PA
USD
7447.50000000
0.024370903773
Long
DBT
CORP
US
N
2
2045-04-01
Fixed
5.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CHJ6
444.77000000
PA
USD
401.04000000
0.001312347398
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2022-INV1 Trust
95003NBK1
96649.67000000
PA
USD
73135.21000000
0.239324762052
Long
ABS-MBS
CORP
US
N
2
2052-03-25
Variable
3.43593500
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2022-2 Trust
949930AF8
100000.00000000
PA
USD
62976.12000000
0.206080558653
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.50000000
N
N
N
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL Corp Ltd
62886HBN0
30000.00000000
PA
USD
31337.46000000
0.102547461856
Long
DBT
CORP
BM
N
2
2029-01-15
Fixed
8.12500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-SBT1
20753VCZ9
50000.00000000
PA
USD
52636.78000000
0.172246512298
Long
ABS-MBS
CORP
US
N
2
2040-02-25
Floating
9.10191000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040610
100000.00000000
PA
USD
94574.22000000
0.309480928513
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
4.00000000
N
N
N
N
N
N
AMER AIRLINE 21-1B PTT
N/A
American Airlines 2021-1 Class B Pass Through Trust
02376LAA3
13650.00000000
PA
USD
12115.34000000
0.039645758352
Long
DBT
CORP
US
N
2
2030-07-11
Fixed
3.95000000
N
N
N
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAC1
34000.00000000
PA
USD
29590.99000000
0.096832382660
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.60000000
N
N
N
N
N
N
DEVELOPMENT BANK OF KAZA
213800LCDPGJ1BI7KX98
Development Bank of Kazakhstan JSC
000000000
100000000.00000000
PA
192047.49000000
0.628448593326
Long
DBT
CORP
KZ
N
2
2026-05-06
Fixed
10.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H062610
100000.00000000
PA
USD
102363.28000000
0.334969539691
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
6.50000000
N
N
N
N
N
N
TRINSEO OP / TRINSEO FIN
N/A
Trinseo Materials Operating SCA / Trinseo Materials Finance Inc
89668QAF5
50000.00000000
PA
USD
20374.44000000
0.066672509793
Long
DBT
CORP
LU
N
2
2029-04-01
Fixed
5.12500000
N
N
N
N
N
N
Oceanview Mortgage Trust
N/A
Oceanview Mortgage Trust 2021-1
67647LCE9
92583.01000000
PA
USD
72127.04000000
0.236025666509
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.72152000
N
N
N
N
N
N
IAMGOLD CORP
254900E7II30XAB9LA72
IAMGOLD Corp
450913AF5
107000.00000000
PA
USD
92015.40000000
0.301107547379
Long
DBT
CORP
CA
N
2
2028-10-15
Fixed
5.75000000
N
N
N
N
N
N
Cologix Data Centers Issuer LL
N/A
Cologix Canadian Issuer LP
19521DAD3
100000.00000000
PA
70317.35000000
0.230103708691
Long
ABS-O
CORP
CA
N
2
2052-01-25
Fixed
4.94000000
N
N
N
N
N
N
UNITED WHOLESALE MTGE LL
549300HW662MN1WU8550
United Wholesale Mortgage LLC
913229AA8
84000.00000000
PA
USD
79523.64000000
0.260230007141
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.50000000
N
N
N
N
N
N
FREEDOM MORTGAGE CORP
549300LYRWPSYPK6S325
Freedom Mortgage Corp
35640YAJ6
25000.00000000
PA
USD
23859.20000000
0.078075900278
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.62500000
N
N
N
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
161346.00000000
PA
USD
151665.24000000
0.496303319217
Long
DBT
CORP
KY
N
2
2024-09-15
Fixed
6.50000000
N
N
Y
N
N
N
Mello Mortgage Capital Accepta
N/A
Mello Mortgage Capital Acceptance 2021-INV2
58549XAJ2
100000.00000000
PA
USD
63580.34000000
0.208057784229
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
2.50000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-J2
12564ECH3
93391.53000000
PA
USD
66629.53000000
0.218035832712
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.67214700
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200WJL6
2268.45000000
PA
USD
2292.98000000
0.007503456856
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
5.50000000
N
N
N
N
N
N
NMEF Funding LLC
N/A
NMEF Funding 2022-B LLC
62890MAD6
100000.00000000
PA
USD
98252.84000000
0.321518698777
Long
ABS-O
CORP
US
N
2
2029-06-15
Fixed
8.54000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AS8
200000.00000000
PA
USD
188095.56000000
0.615516454252
Long
DBT
CORP
IT
N
2
2035-06-30
Fixed
5.45900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DN6Y4
89565.79000000
PA
USD
90672.89000000
0.296714370874
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36216UV87
161.15000000
PA
USD
164.57000000
0.000538532344
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D2F7
1944.69000000
PA
USD
2036.26000000
0.006663376504
Long
ABS-MBS
USGA
US
N
2
2033-11-20
Fixed
6.00000000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CU0
20000.00000000
PA
USD
22314.82000000
0.073022132386
Long
DBT
CORP
US
N
2
2064-03-15
Fixed
5.95000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAU7
200000.00000000
PA
USD
194782.07000000
0.637397124516
Long
DBT
CORP
GB
N
2
2033-08-11
Fixed
4.97600000
N
N
N
N
N
N
Pear LLC
N/A
PEAR 2021-1 LLC
70472TAC2
100000.00000000
PA
USD
72038.00000000
0.235734295543
Long
ABS-O
CORP
US
N
2
2034-01-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MMR26
174348.15000000
PA
USD
148697.00000000
0.486590168305
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030611
1250000.00000000
PA
USD
1105615.24000000
3.617971483709
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
3.00000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCD3
125000.00000000
PA
USD
114220.61000000
0.373770996347
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382CAZ4
118835.87000000
PA
USD
2610.42000000
0.008542234928
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Floating
0.01000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage T
N/A
Ready Capital Mortgage Financing 2021-FL7 LLC
75575WAJ5
50000.00000000
PA
USD
47459.44000000
0.155304390117
Long
ABS-CBDO
CORP
US
N
2
2036-11-25
Floating
8.42043000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
EUR/USD FORWARD
000000000
1.00000000
NC
USD
34309.44000000
0.112272851396
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-859749.95000000
USD
809000.00000000
EUR
2024-01-24
34309.44000000
N
N
N
TRICIDA INC
N/A
TRICIDA INC
000000000
75000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
US
N
3
2027-05-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201RX71
2869.96000000
PA
USD
2832.73000000
0.009269713359
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397NR31
467.13000000
PA
USD
460.61000000
0.001507281904
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Fixed
4.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-KW07 Mortgage Trust
30297NAE8
25000.00000000
PA
USD
21217.24000000
0.069430455103
Long
ABS-MBS
CORP
US
N
2
2031-10-25
Variable
4.08328500
N
N
N
N
N
N
KEYSPAN GAS EAST CORP
K8TS3HOE1568DUBUJL44
KeySpan Gas East Corp
49338CAD5
120000.00000000
PA
USD
122027.79000000
0.399318902695
Long
DBT
CORP
US
N
2
2033-03-06
Fixed
5.99400000
N
N
N
N
N
N
CSG ELEVATE II INC
N/A
CSG ELEVATE II INC
000000000
95000.00000000
PA
USD
95000.00000000
0.310874234107
Long
LON
CORP
CZ
N
2
2024-10-15
Floating
0.00000000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2021-J1
74387MBA6
93251.41000000
PA
USD
70630.52000000
0.231128513785
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.63683000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE6 Trust
04002VAJ0
100000.00000000
PA
USD
94269.83000000
0.308484854743
Long
ABS-CBDO
CORP
KY
N
2
2037-01-20
Floating
8.18777000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
178000.00000000
PA
USD
164023.19000000
0.536742984916
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
226373AT5
50000.00000000
PA
USD
52546.79000000
0.171952032589
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
7.37500000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BU8
60000.00000000
PA
USD
66608.26000000
0.217966229607
Long
DBT
CORP
US
N
2
2034-10-20
Fixed
6.87500000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2022-PJ4
36264RBV6
100000.00000000
PA
USD
68981.92000000
0.225733700497
Long
ABS-MBS
CORP
US
N
2
2052-09-25
Variable
3.00000000
N
N
N
N
N
N
Continental Finance Credit Cre
N/A
Continental Finance Credit Card ABS Master Trust
66981PAK4
100000.00000000
PA
USD
100045.97000000
0.327386466308
Long
ABS-O
CORP
US
N
2
2030-10-15
Fixed
9.33000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140NM6C6
99056.54000000
PA
USD
101416.68000000
0.331871923375
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
6.00000000
N
N
N
N
N
N
BENTLEY SYSTEMS
549300WVEHPGE0Z56F71
Bentley Systems Inc
08265TAD1
22000.00000000
PA
USD
19679.00000000
0.064396779505
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
0.37500000
N
N
N
N
Y
Bentley Systems Inc
Bentley Systems Inc
USD
XXXX
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2022-1
81749CAG4
100000.00000000
PA
USD
63489.22000000
0.207759606753
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
2.50000000
N
N
N
N
N
N
Cascade MH Asset Trust
N/A
Cascade MH Asset Trust 2021-MH1
14731QAE9
100000.00000000
PA
USD
82145.36000000
0.268809219741
Long
ABS-O
CORP
US
N
2
2046-02-25
Fixed
4.57300000
N
N
N
N
N
N
TRIUMPH GROUP INC
5493007L6S47Q14SL582
Triumph Group Inc
896818AU5
20000.00000000
PA
USD
21266.90000000
0.069592960519
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
9.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAE3
35000.00000000
PA
USD
35259.91000000
0.115383131746
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
6.00000000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AQ3
130000.00000000
PA
USD
116316.72000000
0.380630223619
Long
DBT
CORP
AR
N
2
2027-07-21
Fixed
6.95000000
N
N
N
N
N
N
VERMILION ENERGY INC
WT03B8BB1IX8WI9ZGV02
Vermilion Energy Inc
923725AD7
45000.00000000
PA
USD
43201.95000000
0.141372348612
Long
DBT
CORP
CA
N
2
2030-05-01
Fixed
6.87500000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
54930025J96YEH8FQE77
CSAIL 2015-C4 Commercial Mortgage Trust
12635RBE7
25000.00000000
PA
USD
20809.36000000
0.068095724760
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Variable
3.55522500
N
N
N
N
N
N
ATHENAHEALTH GROUP INC
254900AA3KZN4Q7A5Z33
AthenaHealth Group Inc
60337JAA4
16000.00000000
PA
USD
14514.84000000
0.047497787033
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
6.50000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AQ2
200000.00000000
PA
USD
205617.07000000
0.672853149006
Long
DBT
CORP
IT
N
2
2034-04-02
Fixed
7.29600000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F020414
100000.00000000
PA
USD
89640.63000000
0.293336444169
Long
ABS-MBS
USGSE
US
N
2
2039-01-15
Fixed
2.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCY9
60000.00000000
PA
USD
59707.55000000
0.195384619754
Long
DBT
CORP
US
N
2
2034-02-01
Fixed
5.81700000
N
N
N
N
N
N
PENNYMAC FIN SVCS INC
549300W1D516HBDEU871
PennyMac Financial Services Inc
70932MAD9
10000.00000000
PA
USD
10293.67000000
0.033684597656
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
7.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290RUG6
566.35000000
PA
USD
581.20000000
0.001901895840
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
6.00000000
N
N
N
N
N
N
TEVA PHARM FNC NL II
549300HSQCIKJAOYIT23
Teva Pharmaceutical Finance Netherlands II BV
000000000
100000.00000000
PA
103420.24000000
0.338428293696
Long
DBT
CORP
NL
N
2
2030-05-09
Fixed
4.37500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.41.V1
000000000
1.00000000
NC
USD
-138742.31000000
-0.45401483536
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.41.V1
Y
Default Event
2028-12-20
0.00000000
USD
-21222.70000000
USD
-2316600.00000000
USD
-117519.61000000
N
N
N
UNITI GROUP/CSL CAPITAL
N/A
Uniti Group LP / Uniti Group Finance Inc / CSL Capital LLC
91327TAA9
20000.00000000
PA
USD
20276.10000000
0.066350705875
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
10.50000000
N
N
N
N
N
N
Emerald Plantation Holdings Lt
N/A
Emerald Plantation Holdings Ltd
000000000
1032.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
HK
N
3
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWJN4
96785.83000000
PA
USD
99183.61000000
0.324564513628
Long
ABS-MBS
USGSE
US
N
2
2053-10-01
Fixed
6.50000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUND
000000000
-6.00000000
NC
-23724.70000000
-0.07763576780
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2024-03-07
-872350.14000000
USD
-23724.70000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
USD/CAD FORWARD
000000000
1.00000000
NC
USD
-3160.70000000
-0.01034294938
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-100000.00000000
CAD
72345.13000000
USD
2024-02-02
-3160.70000000
N
N
N
ALTA WIND HOLDINGS LLC
N/A
Alta Wind Holdings LLC
021345AA1
35226.04000000
PA
USD
30381.04000000
0.099417710961
Long
DBT
CORP
US
N
2
2035-06-30
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291R3A8
1774.41000000
PA
USD
1783.61000000
0.005836614659
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FV4S8
40651.17000000
PA
USD
7294.55000000
0.023870396256
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022410
100000.00000000
PA
USD
92117.19000000
0.301440640940
Long
ABS-MBS
USGSE
US
N
2
2039-01-15
Fixed
2.50000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAH3
150000.00000000
PA
USD
147487.70000000
0.482632902923
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Variable
3.86900000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F050411
100000.00000000
PA
USD
100593.75000000
0.329178999865
Long
ABS-MBS
USGSE
US
N
2
2039-01-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022618
600000.00000000
PA
USD
510375.00000000
1.670130918237
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052615
-1800000.00000000
PA
USD
-1807593.75000000
-5.91509813272
Short
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
5.50000000
N
N
N
N
N
N
Hundred Acre Wood Trust
N/A
Hundred Acre Wood Trust 2021-INV1
44590HCC8
92920.52000000
PA
USD
75833.67000000
0.248155095587
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
3.22495900
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BU6
24000.00000000
PA
USD
23272.43000000
0.076155777390
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
10.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-KW03 Mortgage Trust
30302YAN7
50000.00000000
PA
USD
46581.12000000
0.152430210566
Long
ABS-MBS
CORP
US
N
2
2027-07-25
Variable
4.07722000
N
N
N
N
N
N
JETBLUE AIRWAYS CORP
N/A
JetBlue 2020-1 Class A Pass Through Trust
477164AA5
16877.47000000
PA
USD
15450.09000000
0.050558262059
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2016-UBS9
61766CAV1
15000.00000000
PA
USD
11155.36000000
0.036504357854
Long
ABS-MBS
CORP
US
N
2
2049-03-15
Fixed
3.00000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBT1
58000.00000000
PA
USD
61691.47000000
0.201876720917
Long
DBT
CORP
CA
N
2
2084-01-15
Fixed
8.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-SBT1
20753VBE7
20000.00000000
PA
USD
20900.47000000
0.068393869512
Long
ABS-MBS
CORP
US
N
2
2040-02-25
Floating
9.10191000
N
N
N
N
N
N
VERINT SYSTEMS INC
549300KEQJS5FRVUCO94
Verint Systems Inc
92343XAC4
47000.00000000
PA
USD
41271.88000000
0.135056464054
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.25000000
N
N
N
N
Y
Verint Systems Inc
Verint Systems Inc
USD
XXXX
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YNA1
8244.92000000
PA
USD
8278.40000000
0.027089907996
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WMM50
4883.22000000
PA
USD
4691.61000000
0.015352638584
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810TP3
269118.20000000
PA
USD
243688.41000000
0.797436292837
Long
DBT
UST
US
N
2
2053-02-15
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A25J7
10819.87000000
PA
USD
10832.51000000
0.035447876312
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ATFZ0
43018.02000000
PA
USD
5596.28000000
0.018313044830
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Floating
1.09708000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NYP0
657.31000000
PA
USD
664.42000000
0.002174221669
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
5.50000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAX4
45000.00000000
PA
USD
45247.46000000
0.148065994450
Long
DBT
CORP
N/A
N
2
2052-12-01
Fixed
6.50000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
682691AB6
55000.00000000
PA
USD
50899.43000000
0.166561277028
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XNN42
10000.00000000
PA
USD
9550.47000000
0.031252579438
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
4.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2021-R1
89179TAA2
89700.87000000
PA
USD
75124.48000000
0.245834370344
Long
ABS-MBS
CORP
US
N
2
2060-11-30
Variable
2.91808000
N
N
N
N
N
N
FREEDOM MORTGAGE CORP
549300LYRWPSYPK6S325
Freedom Mortgage Corp
35640YAL1
5000.00000000
PA
USD
5488.79000000
0.017961298815
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
12.25000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CR9
135000.00000000
PA
USD
131561.75000000
0.430517455463
Long
DBT
CORP
US
N
2
2026-12-08
Fixed
4.34600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617AVXD5
9279.17000000
PA
USD
8902.37000000
0.029131762689
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36198VMG9
7550.08000000
PA
USD
7321.12000000
0.023957342871
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
AXIS Equipment Finance Receiva
5493000K1GV1VHEHGY40
Amur Equipment Finance Receivables XII LLC
03236YAE5
100000.00000000
PA
USD
101779.81000000
0.333060215593
Long
ABS-O
CORP
US
N
2
2030-07-22
Fixed
7.48000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177Q7M9
3154.14000000
PA
USD
2979.87000000
0.009751208463
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.50000000
N
N
N
N
N
N
Mello Mortgage Capital Accepta
N/A
Mello Mortgage Capital Acceptance 2022-INV2
58549JCD4
96584.43000000
PA
USD
72936.10000000
0.238673202381
Long
ABS-MBS
CORP
US
N
2
2052-04-25
Variable
3.52887000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
10000.00000000
PA
USD
8461.38000000
0.027688684494
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QR29
4753.76000000
PA
USD
4760.59000000
0.015578366001
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9KV2
32586.10000000
PA
USD
32533.97000000
0.106462873749
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HT0
145500.00000000
PA
USD
49661.36000000
0.162509865839
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
3.62500000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBQ9
200000.00000000
PA
USD
164913.65000000
0.539656890922
Long
DBT
CORP
IT
N
2
2032-06-01
Fixed
4.19800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGR84
83826.36000000
PA
USD
77243.72000000
0.252769287311
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
AMERITEX HOLDCO INTERMED
N/A
AmeriTex HoldCo Intermediate LLC
030727AA9
50000.00000000
PA
USD
51250.00000000
0.167708468400
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
10.25000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2022-4
46655GAF2
100000.00000000
PA
USD
69135.02000000
0.226234698868
Long
ABS-MBS
CORP
US
N
2
2052-10-25
Variable
3.00000000
N
N
N
N
N
N
GRINDING MEDIA INC
254900IYFJ03EGFQ8C34
Grinding Media Inc
39854KAB6
51979.12230000
PA
USD
51719.23000000
0.169243958051
Long
LON
CORP
US
N
2
2028-10-12
Floating
9.68401000
N
N
N
N
N
N
FITNESS & SPORTS CLUBS LLC
N/A
Fitness International LLC
33818XAH3
15560.26000000
PA
USD
15527.19000000
0.050810561043
Long
LON
CORP
US
N
2
2025-04-18
Floating
8.70596000
N
N
N
N
N
N
ALBEMARLE CORP
HDBLS2Q6GV1LSKQPBS54
Albemarle Corp
012653AE1
85000.00000000
PA
USD
82959.20000000
0.271472397496
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
5.05000000
N
N
N
N
N
N
Multifamily Connecticut Avenue
549300HG8ZEWVWVSN227
Multifamily Connecticut Avenue Securities Trust 2019-01
62547NAB5
92273.60000000
PA
USD
89731.85000000
0.293634948881
Long
ABS-MBS
USGA
US
N
2
2049-10-25
Floating
8.70191000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R02
20754BAF8
170000.00000000
PA
USD
175010.14000000
0.572696244563
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
9.83743000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2022-3
74938XBU2
98476.43000000
PA
USD
74504.56000000
0.243805768710
Long
ABS-MBS
CORP
US
N
2
2052-05-25
Variable
3.18797300
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TU2
575700.00000000
PA
USD
587663.77000000
1.923047625382
Long
DBT
UST
US
N
2
2043-08-15
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FXC5
4127.75000000
PA
USD
4128.58000000
0.013510201531
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-7
33852JBU1
94387.15000000
PA
USD
70182.82000000
0.229663478052
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
2.92769500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617GSGY9
11827.76000000
PA
USD
11344.28000000
0.037122572173
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4.00000000
N
N
N
N
N
N
Tharaldson Hotel Portfolio Tru
N/A
THPT 2023-THL Mortgage Trust
87252LAE5
100000.00000000
PA
USD
101846.50000000
0.333278449305
Long
ABS-MBS
CORP
US
N
2
2034-12-10
Variable
7.66874000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CS7
42000.00000000
PA
USD
37008.89000000
0.121106424567
Long
DBT
CORP
US
N
2
2046-12-08
Fixed
5.29100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5SU0
17297.97000000
PA
USD
2139.70000000
0.007001869460
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Floating
0.59809000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XED4
165000.00000000
PA
USD
175576.95000000
0.574551051138
Long
DBT
CORP
US
N
2
2033-01-09
Fixed
6.40000000
N
N
N
N
N
N
LSF11 A5 HOLDCO LLC
254900FPK7P5WNA66Y10
LSF11 A5 HoldCo LLC
50216YAB6
19650.00000000
PA
USD
19674.56000000
0.064382250225
Long
LON
CORP
US
N
2
2028-10-16
Floating
8.97044000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184QTQ7
7032.26000000
PA
USD
6820.99000000
0.022320737285
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NBP5
1571.71000000
PA
USD
1588.65000000
0.005198635284
Long
ABS-MBS
USGA
US
N
2
2034-01-15
Fixed
5.50000000
N
N
N
N
N
N
HIGHWOODS REALTY LP
JUJNVZX73BIYHLR58F51
Highwoods Realty LP
431282AS1
6000.00000000
PA
USD
4957.35000000
0.016222235625
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWJR5
493009.93000000
PA
USD
495003.09000000
1.619828489310
Long
ABS-MBS
USGSE
US
N
2
2053-11-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H060614
100000.00000000
PA
USD
101675.78000000
0.332719791944
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
6.00000000
N
N
N
N
N
N
Grupo Aeromexico SAB de CV
N/A
Grupo Aeromexico SAB de CV
000000000
1529.00000000
NS
24581.41000000
0.080439231652
Long
EC
CORP
MX
N
3
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
06417XAG6
77000.00000000
PA
USD
68873.89000000
0.225380187407
Long
DBT
CORP
CA
N
2
2037-05-04
Fixed
4.58800000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
6500.00000000
PA
USD
2580.50000000
0.008444325906
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EAB6
115222.18000000
PA
USD
98472.40000000
0.322237178218
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MFWM1
98988.40000000
PA
USD
87545.15000000
0.286479278484
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.00000000
N
N
N
N
N
N
VIKING OCEAN CRUISES SHI
N/A
Viking Ocean Cruises Ship VII Ltd
92682RAA0
5000.00000000
PA
USD
4875.00000000
0.015952756750
Long
DBT
CORP
BM
N
2
2029-02-15
Fixed
5.62500000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBN3
85000.00000000
PA
USD
83718.79000000
0.273958049701
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
5.50000000
N
N
N
N
N
N
Multifamily Structured Credit
N/A
Freddie Mac Multifamily Structured Credit Risk
35563GAB5
75000.00000000
PA
USD
69488.91000000
0.227392754475
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Floating
9.33743000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP
46651WAL8
100000.00000000
PA
USD
56206.00000000
0.183926286339
Long
ABS-MBS
CORP
US
N
2
2038-12-05
Variable
3.86147000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BT8
15000.00000000
PA
USD
15665.70000000
0.051263815676
Long
DBT
CORP
LR
N
2
2030-01-15
Fixed
7.25000000
N
N
N
N
N
N
BAYTEX ENERGY CORP
549300R5LTV2H7I1I079
Baytex Energy Corp
07317QAJ4
55000.00000000
PA
USD
56920.05000000
0.186262915253
Long
DBT
CORP
CA
N
2
2030-04-30
Fixed
8.50000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797HX8
1495000.00000000
PA
USD
1495000.00000000
4.892178736741
Long
DBT
UST
US
N
2
2024-01-02
None
0.00000000
N
N
N
N
N
N
AKER BP ASA
549300NFTY73920OYK69
Aker BP ASA
00973RAM5
150000.00000000
PA
USD
155806.02000000
0.509853443545
Long
DBT
CORP
NO
N
2
2033-06-13
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA TREASURY BOND
000000000
3.00000000
NC
USD
23663.71000000
0.077436186551
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
377117.54000000
USD
23663.71000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BZ27
220.88000000
PA
USD
224.83000000
0.000735724779
Long
ABS-MBS
USGA
US
N
2
2032-11-15
Fixed
6.50000000
N
N
N
N
N
N
VFI ABS LLC
N/A
VFI ABS 2022-1 LLC
91824CAD8
100000.00000000
PA
USD
95689.94000000
0.313131966413
Long
ABS-O
CORP
US
N
2
2029-11-26
Fixed
6.68000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBU3
30000.00000000
PA
USD
30821.81000000
0.100860069237
Long
DBT
CORP
US
N
2
2030-01-03
Fixed
6.84800000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BZ3
15000.00000000
PA
USD
15248.67000000
0.049899143235
Long
DBT
CORP
CA
N
2
2029-02-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNP56
90036.84000000
PA
USD
91730.54000000
0.300175382807
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
5.50000000
N
N
N
N
N
N
SEASPAN CORP
5493007Z8Q1H45KT7W98
Seaspan Corp
81254UAK2
32000.00000000
PA
USD
26770.54000000
0.087602853885
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
5.50000000
N
N
N
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AA5
45000.00000000
PA
USD
44763.70000000
0.146482957403
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/IDR FORWARD
000000000
1.00000000
NC
USD
-1529.69000000
-0.00500569691
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-1794500000.00000000
IDR
115006.84000000
USD
2024-03-22
-1529.69000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY CALL VERSUS USD PUT
000000000
800000.00000000
NC
USD
4404.63000000
0.014413536608
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
JPY
N/A
USD
2024-01-05
800000.00000000
USD
141.00000000
USD
2024-01-05
XXXX
-21707.37000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BW7G2
98704.49000000
PA
USD
95927.62000000
0.313909741023
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
4.50000000
N
N
N
N
N
N
Lorenz Re 2019, 6/30/22
N/A
Lorenz Re 2019, 6/30/22
000000000
20578.00000000
PA
USD
197.55000000
0.000646454788
Long
DBT
CORP
BM
Y
3
2024-06-30
Floating
0.01000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
36186CBY8
76000.00000000
PA
USD
83258.01000000
0.272450211495
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
8.00000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAQ5
55000.00000000
PA
USD
59401.79000000
0.194384062851
Long
DBT
CORP
US
N
2
2029-10-30
Fixed
7.16100000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAZ1
100000.00000000
PA
USD
82204.53000000
0.269002845304
Long
DBT
CORP
AU
N
2
2033-01-14
Fixed
2.87100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176MW74
6939.27000000
PA
USD
6870.67000000
0.022483308147
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177Q3V3
59166.43000000
PA
USD
57718.44000000
0.188875535040
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
4.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-KW02 Mortgage Trust
30301RAN3
49000.00000000
PA
USD
45646.20000000
0.149370815420
Long
ABS-MBS
CORP
US
N
2
2026-12-25
Variable
3.80446200
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
150000.00000000
PA
USD
130549.45000000
0.427204845072
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-KW04 Trust
30296MAE1
50000.00000000
PA
USD
43694.61000000
0.142984509667
Long
ABS-MBS
CORP
US
N
2
2028-09-25
Variable
3.92637900
N
N
N
N
N
N
Freddie Mac - STACR
5493000ITBQFEOXM0S98
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBE4
50000.00000000
PA
USD
53826.93000000
0.176141111979
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Floating
10.98743000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-HY1
89177EAF6
100000.00000000
PA
USD
95760.16000000
0.313361751557
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Floating
7.62043000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-MP
61691DAA5
100000.00000000
PA
USD
87328.67000000
0.285770877914
Long
ABS-MBS
CORP
US
N
2
2040-07-11
Variable
4.27600000
N
N
N
N
N
N
VISTAJET MALTA/VM HOLDS
N/A
VistaJet Malta Finance PLC / Vista Management Holding Inc
92840JAB5
75000.00000000
PA
USD
52377.88000000
0.171399298201
Long
DBT
CORP
N/A
N
2
2030-02-01
Fixed
6.37500000
N
N
N
N
N
N
DARDEN RESTAURANTS INC
CY1NFSCCB5GUXC7WZC70
Darden Restaurants Inc
237194AN5
120000.00000000
PA
USD
129003.81000000
0.422146954007
Long
DBT
CORP
US
N
2
2033-10-10
Fixed
6.30000000
N
N
N
N
N
N
WINDSTREAM ESCROW LLC
N/A
Windstream Escrow LLC / Windstream Escrow Finance Corp
97382WAA1
35000.00000000
PA
USD
30651.34000000
0.100302229966
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
7.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200Q3L6
99.79000000
PA
USD
103.96000000
0.000340194582
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KLT6
56.06000000
PA
USD
58.00000000
0.000189796900
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.00000000
N
N
N
N
N
N
HIGHWOODS REALTY LP
JUJNVZX73BIYHLR58F51
Highwoods Realty LP
431282AT9
6000.00000000
PA
USD
4663.72000000
0.015261372453
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.60000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
USD/AUD FORWARD
000000000
1.00000000
NC
USD
12779.03000000
0.041817591198
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-265092.08000000
USD
407000.00000000
AUD
2024-02-27
12779.03000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFB6
20000.00000000
PA
USD
20225.89000000
0.066186400661
Long
DBT
CORP
US
N
2
2038-01-19
Fixed
5.94800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QPH8
11727.06000000
PA
USD
11479.76000000
0.037565911555
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F8M83
53735.28000000
PA
USD
10336.89000000
0.033826029071
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36192S4A5
7340.36000000
PA
USD
6933.86000000
0.022690088599
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CU2
200000.00000000
PA
USD
209889.17000000
0.686832999696
Long
DBT
CORP
GB
N
2
2034-07-06
Fixed
6.29600000
N
N
N
N
N
N
EUROPEAN BK RECON & DEV
549300HTGDOVDU6OGK19
European Bank for Reconstruction & Development
000000000
4700000.00000000
PA
54987.40000000
0.179938588005
Long
DBT
NUSS
N/A
N
2
2028-04-11
Fixed
6.25000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAP1
13000.00000000
PA
USD
10584.10000000
0.034634989275
Long
DBT
CORP
N/A
N
2
2032-05-15
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2020-5 Trust
95003BBJ0
91557.45000000
PA
USD
74553.16000000
0.243964805424
Long
ABS-MBS
CORP
US
N
2
2050-09-25
Variable
2.91399700
N
N
N
N
N
N
Dreyfus Government Cash Management
5493000Q69I5Q3QZIA91
Dreyfus Government Cash Management
262006208
316993.91000000
NS
USD
316993.91000000
1.037318305136
Long
STIV
RF
US
N
1
N
N
N
CSAIL Commercial Mortgage Trus
549300UFJ8EKD81Y8R30
CSAIL 2015-C1 Commercial Mortgage Trust
126281BF0
100000.00000000
PA
USD
77370.40000000
0.253183829921
Long
ABS-MBS
CORP
US
N
2
2050-04-15
Variable
4.24973600
N
N
N
N
N
N
TMS INTERNATIONAL CORP
549300L4K0F1YF8WKF23
TMS International Corp/DE
87261QAC7
75000.00000000
PA
USD
61875.00000000
0.202477297214
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
6.25000000
N
N
N
N
N
N
Fontainebleau Miami Beach Trus
N/A
Fontainebleau Miami Beach Trust 2019-FBLU
34461LAL8
100000.00000000
PA
USD
96734.77000000
0.316551026687
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Variable
3.96287300
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
EUR/SEK FORWARD
000000000
1.00000000
NC
USD
9201.87000000
0.030111834616
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-144355.39000000
EUR
1700000.00000000
SEK
2024-01-26
9201.87000000
N
N
N
IMAX CORP
5493002KS2T1Q0X7VZ21
IMAX Corp
45245EAJ8
15000.00000000
PA
USD
13312.50000000
0.043563297279
Long
DBT
CORP
CA
N
2
2026-04-01
Fixed
0.50000000
N
N
N
N
Y
IMAX Corp
IMAX Corp
USD
XXXX
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBK7
200000.00000000
PA
USD
143094.64000000
0.468257227524
Long
DBT
CORP
FR
N
2
2043-01-21
Fixed
4.02700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MNNC6
29934.60000000
PA
USD
27781.47000000
0.090910981143
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BY85
436.73000000
PA
USD
452.58000000
0.001481004851
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TD0
324200.00000000
PA
USD
224736.45000000
0.735418650207
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
UNITI GROUP/CSL CAPITAL
N/A
Uniti Group LP / Uniti Group Finance Inc / CSL Capital LLC
91327BAA8
30000.00000000
PA
USD
21649.63000000
0.070845390999
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MJ6G5
440795.07000000
PA
USD
374770.41000000
1.226383833419
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2020-DUNE
36258BAS7
100000.00000000
PA
USD
95846.13000000
0.313643076377
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
8.13448000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MQ55
644.41000000
PA
USD
663.05000000
0.002169738536
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
6.00000000
N
N
N
N
N
N
ENERFLEX LTD
54930014N7872VUS3F89
Enerflex Ltd
29269RAA3
50000.00000000
PA
USD
48232.68000000
0.157834710041
Long
DBT
CORP
CA
N
2
2027-10-15
Fixed
9.00000000
N
N
N
N
N
N
OUTFRONT MEDIA CAP LLC/C
N/A
Outfront Media Capital LLC / Outfront Media Capital Corp
69007TAG9
15000.00000000
PA
USD
15752.10000000
0.051546547611
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
7.37500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YES0
100000.00000000
PA
USD
97309.72000000
0.318432470275
Long
DBT
CORP
US
N
2
2037-04-20
Fixed
5.29700000
N
N
N
N
N
N
Westgate Resorts
N/A
Westgate Resorts 2022-1 LLC
96034JAD8
124207.45000000
PA
USD
117549.79000000
0.384665273007
Long
ABS-O
CORP
US
N
2
2036-08-20
Fixed
3.83800000
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
Transocean Inc
893830BX6
28500.00000000
PA
USD
29775.67000000
0.097436722171
Long
DBT
CORP
KY
N
2
2030-02-15
Fixed
8.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382AFH3
209622.37000000
PA
USD
34987.13000000
0.114490497288
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/AUD FORWARD
000000000
1.00000000
NC
USD
6906.40000000
0.022600229583
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-122683.97000000
USD
190000.00000000
AUD
2024-01-24
6906.40000000
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HDA0
140000.00000000
PA
USD
144087.66000000
0.471506746808
Long
DBT
CORP
US
N
2
2034-06-08
Fixed
6.37700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CDA9
835.77000000
PA
USD
753.64000000
0.002466181660
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
100000.00000000
PA
98715.21000000
0.323031740036
Long
DBT
NUSS
CI
N
2
2031-10-17
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QR3C5
96704.44000000
PA
USD
100054.55000000
0.327414543160
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
6.00000000
N
N
N
N
N
N
J.P. Morgan Wealth Management
N/A
JPMorgan Chase Bank NA - JPMWM
46591HBM1
61504.34000000
PA
USD
58061.49000000
0.189998118261
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Floating
7.13743000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032613
100000.00000000
PA
USD
93125.00000000
0.304738558434
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-3
46654UCV5
96121.51000000
PA
USD
70898.92000000
0.232006815305
Long
ABS-MBS
CORP
US
N
2
2052-08-25
Variable
3.11007700
N
N
N
N
N
N
FARMERS INS EXCH
549300UWG2TLX1GZVT44
Farmers Insurance Exchange
309601AE2
120000.00000000
PA
USD
92256.39000000
0.301896153502
Long
DBT
CORP
US
N
2
2057-11-01
Fixed
4.74700000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
682691AA8
130000.00000000
PA
USD
111248.20000000
0.364044199692
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWJ46
492945.87000000
PA
USD
494938.82000000
1.619618174710
Long
ABS-MBS
USGSE
US
N
2
2053-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KL2H9
263984.48000000
PA
USD
226347.43000000
0.740690357299
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XNNP5
67000.00000000
PA
USD
57918.45000000
0.189530039836
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382BHB2
103380.00000000
PA
USD
18043.80000000
0.059045815846
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TBE8
80000.00000000
PA
USD
89309.95000000
0.292254340046
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Floating
12.73743000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052417
100000.00000000
PA
USD
101417.97000000
0.331876144720
Long
ABS-MBS
USGSE
US
N
2
2039-01-15
Fixed
5.50000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBS8
24000.00000000
PA
USD
24028.40000000
0.078629583650
Long
DBT
CORP
US
N
2
2033-02-14
Fixed
6.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201L2D5
445.08000000
PA
USD
452.19000000
0.001479728630
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184NEC1
6493.06000000
PA
USD
6115.51000000
0.020012152499
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISA3AUOXQEF68
Freddie Mac STACR REMIC Trust 2022-DNA2
35564KSJ9
95000.00000000
PA
USD
98269.46000000
0.321573085406
Long
ABS-MBS
CORP
US
N
2
2042-02-25
Floating
10.08743000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGFN4
168795.67000000
PA
USD
152608.25000000
0.499389187760
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
2024-02-21
PIONEER VARIABLE CONTRACTS TRUST /MA/
Anthony J. Koenig, Jr
Anthony J. Koenig, Jr
Managing Director, Chief Operations Officer & Treasurer of the Funds