NPORT-P
false
0001077452
XXXXXXXX
S000010131
C000028126
C000123840
C000028127
C000028128
C000028124
Pioneer Series Trust XIV
811-09223
0001077452
00000000000000000000
60 State Street
Boston
02109
617-422-4947
Pioneer Strategic Income Fund
S000010131
TN5Y392EHJ8T3X0XI337
2022-09-30
2021-12-31
N
5522218738.43
826346535.27
4695872203.16
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
8280000.00000000
752959230.23000000
0.00000000
62393158.20000000
CNY
EUR
USD
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201C7J7
1312.75000000
PA
USD
1440.29000000
0.000030671405
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022618
219000000.00000000
PA
USD
223542539.61000000
4.760405094916
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
JAZZ SECURITIES DAC
6354009DV8VV7K6KOO02
Jazz Securities DAC
47216FAA5
4600000.00000000
PA
USD
4763024.00000000
0.101430017554
Long
DBT
CORP
IE
N
2
2029-01-15
Fixed
4.37500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-KW02 Mortgage Trust
30301RAN3
4500000.00000000
PA
USD
4613335.20000000
0.098242349885
Long
ABS-MBS
CORP
US
N
2
2026-12-25
Variable
3.78810700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCXR4
9820435.90000000
PA
USD
10046127.00000000
0.213935272626
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2021-9
81748CCG3
1783000.00000000
PA
USD
1416593.50000000
0.030166781349
Long
ABS-MBS
CORP
US
N
2
2052-01-25
Variable
2.86684000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796K65
90000000.00000000
PA
USD
89999970.30000000
1.916576227083
Long
DBT
UST
US
N
2
2022-01-06
None
0.00000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
549300UFJ8EKD81Y8R30
CSAIL 2015-C1 Commercial Mortgage Trust
126281BF0
4083017.00000000
PA
USD
3863728.77000000
0.082279257246
Long
ABS-MBS
CORP
US
N
2
2050-04-15
Variable
4.26122200
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AQ6X6
73342.35000000
PA
USD
80220.16000000
0.001708312248
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
4.00000000
N
N
N
N
N
N
IQVIA INC
549300PLWY28YB00C717
IQVIA Inc
000000000
2272000.00000000
PA
2600314.11000000
0.055374465008
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
2.25000000
N
N
N
N
N
N
Genworth Mortgage Insurance Co
N/A
Traingle Re 2021-1 Ltd
89600FAC7
3370000.00000000
PA
USD
3370006.07000000
0.071765285003
Long
ABS-MBS
CORP
BM
N
2
2033-08-25
Floating
3.50188000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAA4
2485000.00000000
PA
USD
2733524.85000000
0.058211227472
Long
DBT
CORP
N/A
N
2
2029-04-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6VZ8
4924.89000000
PA
USD
5581.54000000
0.000118860560
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178C6V0
33618.90000000
PA
USD
36993.20000000
0.000787781234
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
4.00000000
N
N
N
N
N
N
LIMESTONE RE LTD
5493004PN8HGYC184A27
Limestone Re Ltd
000000000
1020000.00000000
PA
USD
72318.00000000
0.001540033392
Long
DBT
CORP
BM
Y
2
2024-03-01
None
0.00000000
N
N
N
N
N
N
Lorenz Re 2019, 6/30/22
N/A
Lorenz Re 2019, 6/30/22
000000000
2545246.00000000
PA
USD
83484.07000000
0.001777818185
Long
DBT
CORP
BM
Y
2
2022-06-30
Floating
0.01000000
N
N
N
N
N
N
GRUPO AEROMEXICO SAB
N/A
Grupo Aeromexico SAB de CV
000000000
748602.19070000
PA
USD
740517.29000000
0.015769536690
Long
LON
CORP
MX
N
2
2022-08-19
Floating
0.00000000
N
N
Y
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417BZ91
1798503.47000000
PA
USD
1974913.33000000
0.042056368754
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XHQH7
804215.50000000
PA
USD
883203.38000000
0.018808079559
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.00000000
N
N
N
N
N
N
Capital Funding Mortgage Trust
N/A
Capital Funding Mortgage Trust
14019QAB8
4500000.00000000
PA
USD
4496746.50000000
0.095759558724
Long
ABS-MBS
CORP
US
N
2
2023-11-06
Floating
16.46000000
N
N
N
N
N
N
FREEDOM MORTGAGE CORP
549300LYRWPSYPK6S325
Freedom Mortgage Corp
35640YAB3
3005000.00000000
PA
USD
3076368.75000000
0.065512190641
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
8.25000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-INV1
92537TAG0
250000.00000000
PA
USD
258026.48000000
0.005494750896
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Variable
5.75000000
N
N
N
N
N
N
NIELSEN FINANCE LLC/CO
N/A
Nielsen Finance LLC / Nielsen Finance Co
65409QBK7
1690000.00000000
PA
USD
1668875.00000000
0.035539191183
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
4.75000000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
203372AX5
4120000.00000000
PA
USD
4094497.20000000
0.087193539833
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182J2E1
46407.65000000
PA
USD
49350.53000000
0.001050934264
Long
ABS-MBS
USGA
US
N
2
2044-02-15
Fixed
4.00000000
N
N
N
N
N
N
PARK-OHIO INDUSTRIES INC
5493006LQUO5SLMNYM18
Park-Ohio Industries Inc
700677AR8
5023000.00000000
PA
USD
4874821.50000000
0.103810778681
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
6.62500000
N
N
N
N
N
N
MGP INGREDIENTS INC
2549006OMHFVZ4MS8538
MGP Ingredients Inc
55303JAA4
1935000.00000000
PA
USD
2207061.00000000
0.047000022669
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
1.87500000
N
N
N
N
Y
MGP INGREDIENTS INC
MGP Ingredients Inc
USD
XXXX
N
N
N
Ballylifin Re 2021, 9/15/25
N/A
Ballylifin Re 2021, 9/15/25
000000000
2000000.00000000
PA
USD
1526400.00000000
0.032505143538
Long
DBT
CORP
BM
Y
2
2025-09-15
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400U6E9
5521.75000000
PA
USD
6063.40000000
0.000129121912
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.50000000
N
N
N
N
N
N
MTN MAURITIUS INVSTMENTS
2549009PQD415OQIR074
MTN Mauritius Investments Ltd
55377XAB2
4425000.00000000
PA
USD
4936264.50000000
0.105119225703
Long
DBT
CORP
MU
N
2
2026-10-13
Fixed
6.50000000
N
N
N
N
N
N
Lion Rock Re 2020, 1/31/22
N/A
Lion Rock Re 2020, 1/31/22
000000000
500000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2023-01-31
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B1Z98
2653780.85000000
PA
USD
531842.36000000
0.011325741778
Long
ABS-MBS
USGSE
US
N
2
2048-06-25
Floating
6.09812000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2021-GR3
36263TBF8
1996821.32000000
PA
USD
2011851.39000000
0.042842975765
Long
ABS-MBS
CORP
US
N
2
2052-04-25
Variable
3.39751000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295ADG7
135605.89000000
PA
USD
156734.51000000
0.003337708166
Long
ABS-MBS
USGA
US
N
2
2037-10-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA5
35566ABD0
3585000.00000000
PA
USD
3795214.36000000
0.080820222438
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Floating
4.84967000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296QRJ0
3480.04000000
PA
USD
3780.05000000
0.000080497292
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XJ62
4420000.00000000
PA
USD
4595051.45000000
0.097852991972
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
3.85275000
N
N
N
N
N
N
ALAMO RE LTD
N/A
Alamo Re Ltd
011395AF7
1000000.00000000
PA
USD
1010600.00000000
0.021521028602
Long
DBT
CORP
BM
N
2
2022-06-08
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177NVN7
1056.88000000
PA
USD
1123.39000000
0.000023922925
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
4.00000000
N
N
N
N
N
N
DataBank Issuer LLC
N/A
DataBank Issuer
23802WAE1
2300000.00000000
PA
USD
2231330.51000000
0.047516849127
Long
ABS-O
CORP
US
N
2
2051-02-27
Fixed
4.43000000
N
N
N
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
17245453.00000000
PA
USD
16641862.15000000
0.354393421073
Long
DBT
CORP
KY
N
2
2024-09-15
Fixed
6.50000000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
8145000.00000000
PA
USD
8694787.50000000
0.185158094680
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
GOL FINANCE SA
5299007RH8MA67ZC6J07
Gol Finance SA
36254VAC2
9180000.00000000
PA
USD
8640766.80000000
0.184007707752
Long
DBT
CORP
LU
N
2
2026-06-30
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200QLP7
564.04000000
PA
USD
648.29000000
0.000013805529
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201VAT9
17646.98000000
PA
USD
19414.40000000
0.000413435442
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419HEL2
215791.74000000
PA
USD
244550.95000000
0.005207785463
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
5.00000000
N
N
N
N
N
N
First Eagle BSL CLO LLC
N/A
First Eagle BSL CLO 2019-1 Ltd
32010GAA3
3000000.00000000
PA
USD
2961117.00000000
0.063057870229
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
7.83150000
N
N
N
N
N
N
II-VI INC
549300O5C25A0MMHHU33
II-VI Inc
902104AC2
4265000.00000000
PA
USD
4353882.60000000
0.092717229337
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
5.00000000
N
N
N
N
N
N
Race Point CLO Ltd
5493008ABAJEYBWITR69
Race Point VIII CLO Ltd
74982LBE9
5000000.00000000
PA
USD
5011940.00000000
0.106730758060
Long
ABS-CBDO
CORP
KY
N
2
2030-02-20
Floating
3.65963000
N
N
N
N
N
N
Rate Mortgage Trust
N/A
Rate Mortgage Trust 2021-J1
75409JDE4
4451067.50000000
PA
USD
4384622.85000000
0.093371852135
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
2.71086300
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2021-3
81748VCG1
1227172.70000000
PA
USD
982964.60000000
0.020932524512
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.65480000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS UNITED AIRLINES HOLDINGS, INC.
000000000
1.00000000
NC
USD
266338.53000000
0.005671758482
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
UNITED AIRLINES HOLDINGS
United Airlines Holdings Inc
Y
Default Event
2025-12-20
0.00000000
USD
-204277.39000000
USD
4860000.00000000
USD
470615.92000000
N
N
N
VITALITY RE XI LTD
N/A
Vitality Re XI Ltd
92851AAB0
500000.00000000
PA
USD
489750.00000000
0.010429372410
Long
DBT
CORP
KY
Y
2
2024-01-09
Floating
0.01000000
N
N
N
N
N
N
Bantry Re 2020, 12/31/23
N/A
Bantry Re 2020, 12/31/23
000000000
3821406.00000000
PA
USD
558689.56000000
0.011897460915
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
Brean Asset Backed Securities
N/A
Brean Asset Backed Securities Trust 2021-RM2
10638MAB6
2510465.93000000
PA
USD
2276664.73000000
0.048482254872
Long
ABS-MBS
CORP
US
N
2
2061-10-25
Fixed
1.75000000
N
N
N
N
N
N
JEFFERIES FIN LLC / JFIN
N/A
Jefferies Finance LLC / JFIN Co-Issuer Corp
47232MAF9
4940000.00000000
PA
USD
5063500.00000000
0.107828743648
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
5.00000000
N
N
N
N
N
N
Icon Brand Holdings LLC
N/A
Icon Brand Holdings LLC
45112AAA5
3680284.80000000
PA
USD
1451687.24000000
0.030914113016
Long
ABS-O
CORP
US
N
2
2043-01-25
Fixed
4.22900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411UUC3
207.18000000
PA
USD
213.38000000
0.000004543990
Long
ABS-MBS
USGSE
US
N
2
2022-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292H5Q3
24487.88000000
PA
USD
28216.68000000
0.000600882621
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HT0
5955800.00000000
PA
USD
1905915.56000000
0.040587040650
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
1.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183E6M9
57951.86000000
PA
USD
61615.68000000
0.001312124294
Long
ABS-MBS
USGA
US
N
2
2044-11-15
Fixed
4.00000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2014-SFR2 Trust
02665UAD7
2500000.00000000
PA
USD
2630650.25000000
0.056020482163
Long
ABS-O
CORP
US
N
2
2036-10-17
Fixed
5.14900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36198KGR6
252675.99000000
PA
USD
274499.85000000
0.005845556227
Long
ABS-MBS
USGA
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401XH83
18148.29000000
PA
USD
20502.08000000
0.000436597912
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
ALTURAS RE LTD
549300FZNJS17ZR1BR73
Alturas RE Ltd
000000000
357085.00000000
PA
USD
32030.52000000
0.000682099482
Long
DBT
CORP
BM
Y
2
2023-03-10
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177JNB1
85085.82000000
PA
USD
92964.17000000
0.001979699744
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
4.00000000
N
N
N
N
N
N
Eagle Re Ltd
254900L82OLW9QTLJ788
Eagle RE 2019-1 Ltd
269822AD4
11200000.00000000
PA
USD
11256720.16000000
0.239715215257
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
4.60188000
N
N
N
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
250000.00000000
PA
USD
252975.00000000
0.005387178122
Long
DBT
NUSS
N/A
Y
2
2024-03-13
Floating
3.62088000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
000000000
2650000.00000000
PA
3107535.75000000
0.066175901207
Long
DBT
CORP
US
N
2
2059-05-23
Fixed
3.62500000
N
N
N
N
N
N
ReadyCap Commercial Mortgage T
N/A
Ready Captial Mortgage Financing 2019-FL3 LLC
75574XAJ4
6450000.00000000
PA
USD
6286711.16000000
0.133877390355
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Floating
3.00275000
N
N
N
N
N
N
KENNEDY-WILSON INC
5EA4464UK7FM5QNNKL62
Kennedy-Wilson Inc
489399AN5
6210000.00000000
PA
USD
6295108.05000000
0.134056204633
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F040610
46000000.00000000
PA
USD
48939687.50000000
1.042185250847
Long
ABS-MBS
USGSE
US
N
2
2052-01-15
Fixed
4.00000000
N
N
N
N
N
N
NORTHSHORE RE II LTD
N/A
Northshore Re II Ltd
666842AD1
500000.00000000
PA
USD
513000.00000000
0.010924488099
Long
DBT
CORP
BM
Y
2
2024-01-08
Floating
0.01000000
N
N
N
N
N
N
GARDA WORLD SECURITY COR
549300ZF1NDXLMCHNO20
Garda World Security Corp
36257BAA7
437000.00000000
PA
USD
471166.85000000
0.010033638685
Long
DBT
CORP
CA
N
2
2027-11-01
Fixed
9.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAJ5
7000000.00000000
PA
USD
6993183.40000000
0.148921927545
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
2.26000000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXV Ltd
83614JAA0
7000000.00000000
PA
USD
6982738.00000000
0.148699489634
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
7.74375000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KRN0
568828.76000000
PA
USD
636174.38000000
0.013547523281
Long
ABS-MBS
USGA
US
N
2
2038-03-15
Fixed
4.50000000
N
N
N
N
N
N
ALPHA METALLURGICAL RESOURCE
N/A
ALPHA METALLURGICAL -CW23
21241B118
365.00000000
NC
USD
8843.95000000
0.000188334554
N/A
DE
CORP
US
N
1
ALPHA METALLURGICAL RESOURCE
N/A
Call
Purchased
Alpha Metallurgical Resources
Alpha Metallurgical Resources Inc
1.00000000
48.74100000
USD
2023-07-26
XXXX
-225782.87000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP
46651WAL8
11650000.00000000
PA
USD
10566075.85000000
0.225007738560
Long
ABS-MBS
CORP
US
N
2
2038-12-05
Variable
3.86147000
N
N
N
N
N
N
GOL EQUITY FINANCE SA
222100H9BH197YU7RY14
GOL Equity Finance SA
36256KAA8
2595000.00000000
PA
USD
2192775.00000000
0.046695798035
Long
DBT
CORP
LU
N
2
2024-07-15
Fixed
3.75000000
N
N
N
N
Y
Gol Linhas Aereas Inteligentes
Gol Linhas Aereas Inteligentes SA
USD
XXXX
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KND7
5240000.00000000
PA
USD
5321542.26000000
0.113323830585
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
3.69967000
N
N
N
N
N
N
ASCENT CLASS A COMMON STO
N/A
ASCENT CLASS A COMMON STO
000000000
9565478.00000000
NS
USD
286964.34000000
0.006110991261
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KBD9
1240000.00000000
PA
USD
1242303.18000000
0.026455216970
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
2.60275000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2020-4 Ltd
07876UAC3
1450000.00000000
PA
USD
1450003.63000000
0.030878260039
Long
ABS-MBS
CORP
BM
N
2
2030-06-25
Floating
5.10188000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2020-2 Ltd
75049UAC2
558446.61000000
PA
USD
558447.50000000
0.011892306175
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
4.70188000
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
03880KAJ3
3975000.00000000
PA
USD
3945541.28000000
0.084021479062
Long
ABS-CBDO
CORP
KY
N
2
2034-08-15
Floating
2.30975000
N
N
N
N
N
N
ALASKA AIRLINES 2020 TR
N/A
Alaska Airlines 2020-1 Class A Pass Through Trust
01166VAA7
7496389.75000000
PA
USD
8191590.69000000
0.174442368437
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.80000000
N
N
N
N
N
N
Gleneagles Re 2018, 12/31/21
N/A
Gleneagles Re 2018, 12/31/21
000000000
1500000.00000000
PA
USD
177450.00000000
0.003778850708
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178YQG3
7783.58000000
PA
USD
8552.99000000
0.000182138474
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GR5B6
204883.26000000
PA
USD
219029.25000000
0.004664293245
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CBM Mortgage Trust
20049AAH1
7650000.00000000
PA
USD
7381487.30000000
0.157190974980
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
3.63268900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31382VWG5
105.38000000
PA
USD
117.56000000
0.000002503475
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295C7F2
46630.56000000
PA
USD
51253.75000000
0.001091463902
Long
ABS-MBS
USGA
US
N
2
2037-03-15
Fixed
5.50000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CP9
1605000.00000000
PA
USD
1582931.25000000
0.033708993377
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401HES7
4668.16000000
PA
USD
5206.84000000
0.000110881211
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.50000000
N
N
N
N
N
N
Rate Mortgage Trust
N/A
Rate Mortgage Trust 2021-J4
75410JDK7
1723000.00000000
PA
USD
1233856.67000000
0.026275346019
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.63695000
N
N
N
N
N
N
IHS HOLDING LTD
213800CLGMKL63VKTD94
IHS Holding Ltd
44963HAA3
1615000.00000000
PA
USD
1628727.50000000
0.034684238189
Long
DBT
CORP
KY
N
2
2026-11-29
Fixed
5.62500000
N
N
N
N
N
N
IHS HOLDING LTD
213800CLGMKL63VKTD94
IHS Holding Ltd
44963HAB1
1425000.00000000
PA
USD
1442812.50000000
0.030725122779
Long
DBT
CORP
KY
N
2
2028-11-29
Fixed
6.25000000
N
N
N
N
N
N
Winwater Mortgage Loan Trust
N/A
WinWater Mortgage Loan Trust 2015-2
97652UBH2
1074170.43000000
PA
USD
1068435.00000000
0.022752642188
Long
ABS-MBS
CORP
US
N
2
2045-02-20
Variable
3.93691800
N
N
N
N
N
N
KEY COMMERCIAL MORTGAGE TRUST
N/A
Key Commercial Mortgage Securities Trust 2019-S2
49307XAC8
5600000.00000000
PA
USD
5805331.28000000
0.123626262147
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Fixed
3.46930000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A74H8
191951.64000000
PA
USD
212249.39000000
0.004519914103
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJUM0
19970.33000000
PA
USD
21923.83000000
0.000466874502
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
BRITISH AIR 19-1 A PTT
635400GSHSFIWYIDXC76
British Airways 2019-1 Class A Pass Through Trust
11043XAB9
5171523.48000000
PA
USD
5141078.72000000
0.109480805643
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.35000000
N
N
N
N
N
N
Oakmont Re 2020, 4/30/24
N/A
Oakmont Re 2020, 4/30/24
000000000
2000000.00000000
PA
USD
1615078.80000000
0.034393585049
Long
DBT
CORP
BM
Y
2
2024-04-30
Floating
0.01000000
N
N
N
N
N
N
SHELF DRILL HOLD LTD
54930078ZJ3XP4MRYB68
Shelf Drilling Holdings Ltd
822538AG9
2217000.00000000
PA
USD
2272425.00000000
0.048391968556
Long
DBT
CORP
KY
N
2
2024-11-15
Fixed
8.87500000
N
N
N
N
N
N
La Hipotecaria SA
N/A
La Hipotecaria El Salvadorian Mortgage Trust 2016-1
50346VAA7
1242802.31000000
PA
USD
1317370.45000000
0.028053796888
Long
ABS-MBS
CORP
PA
N
2
2046-01-15
Fixed
3.35750000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/KRW FORWARD
000000000
1.00000000
NC
USD
38207.28000000
0.000813635430
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-23676745.49000000
USD
28244700000.00000000
KRW
2022-03-03
38207.28000000
N
N
N
LIBERTY MUTUAL INSURANCE
CNC20I6IOMGF7KY49D67
Liberty Mutual Insurance Co
53079QAB3
3800000.00000000
PA
USD
4577407.84000000
0.097477266032
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
8.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PLN/EUR FORWARD
000000000
1.00000000
NC
USD
525608.43000000
0.011192988379
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-30055543.69000000
EUR
140690000.00000000
PLN
2022-02-23
525608.43000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DZZ7
70105.24000000
PA
USD
80792.27000000
0.001720495501
Long
ABS-MBS
USGA
US
N
2
2033-10-20
Fixed
6.00000000
N
N
N
N
N
N
Battalion CLO LTD
549300JMWGEYZEC6GK98
Battalion CLO IX Ltd
07132GAE0
3295000.00000000
PA
USD
3217567.50000000
0.068519060161
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
6.37375000
N
N
N
N
N
N
PROVINCE OF SALTA
529900F2BTF8AUQGEP42
Province of Salta Argentina
795751AA4
122478.00000000
PA
USD
113598.35000000
0.002419110765
Long
DBT
NUSS
AR
N
2
2022-03-16
Fixed
9.50000000
N
N
N
N
N
N
BELDEN INC
68BKYO1JC791TTJHUE82
Belden Inc
000000000
7865000.00000000
PA
9057187.44000000
0.192875509557
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296YTX1
9573.14000000
PA
USD
10836.12000000
0.000230758409
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
Emerald Plantation Holdings Lt
N/A
Emerald Plantation Holdings Ltd
000000000
162828.00000000
NS
USD
3256.56000000
0.000069349417
Long
EC
CORP
HK
N
1
N
N
N
BANCO MERCANTIL DE NORTE
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA/Grand Cayman
05971PAA6
4608000.00000000
PA
USD
4771630.08000000
0.101613286596
Long
DBT
CORP
MX
N
2
N/A
Fixed
6.75000000
N
N
N
N
N
N
Versutus Re 2019-A, 12/31/21
N/A
Versutus Re 2019-A, 12/31/21
000000000
2647642.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184JAM2
710265.38000000
PA
USD
756789.71000000
0.016116062730
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
OLYMPUS WTR US HLDG CORP
549300YU2GGVCBN3MY89
Olympus Water US Holding Corp
000000000
1180000.00000000
PA
1346788.57000000
0.028680264533
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411LSC6
1371.93000000
PA
USD
1412.97000000
0.000030089617
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
5.00000000
N
N
N
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AD6
7605000.00000000
PA
USD
7804174.95000000
0.166192234634
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
4.12500000
N
N
N
N
N
N
MIDWEST CONNECTOR CAPIT
N/A
Midwest Connector Capital Co LLC
59833CAC6
4224000.00000000
PA
USD
4550234.52000000
0.096898602073
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418VL67
69098.71000000
PA
USD
77120.62000000
0.001642306618
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Old Head Re 2021, 12/31/24
N/A
Old Head Re 2021, 12/31/24
000000000
600000.00000000
PA
USD
603000.00000000
0.012841064959
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
68205LAS2
3550000.00000000
PA
USD
3877771.50000000
0.082578301372
Long
DBT
NUSS
OM
N
2
2031-01-25
Fixed
6.25000000
N
N
N
N
N
N
Alturas Re 2020-3, 9/30/24
N/A
Alturas Re 2020-3, 9/30/24
000000000
250000.00000000
PA
USD
1825.00000000
0.000038863919
Long
DBT
CORP
BM
Y
2
2024-09-30
Floating
0.01000000
N
N
N
N
N
N
Newark BSL CLO 1 Ltd.
549300R0C043JWD1XY94
Newark BSL CLO 1 Ltd
65023UAE9
4500000.00000000
PA
USD
4504932.00000000
0.095933871389
Long
ABS-CBDO
CORP
KY
N
2
2029-12-21
Floating
6.38450000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BD1
8690000.00000000
PA
USD
11773436.29000000
0.250718839453
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
7.75000000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNA
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80874YBA7
3636000.00000000
PA
USD
3826890.00000000
0.081494764645
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
8.25000000
N
N
N
N
N
N
Versutus Re 2018, 12/31/21
N/A
Versutus Re 2018, 12/31/21
000000000
3000000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Westgate Resorts
N/A
Westgate Resorts 2018-1 LLC
96033WAC2
1770037.67000000
PA
USD
1776438.83000000
0.037829795044
Long
ABS-O
CORP
US
N
2
2031-12-20
Fixed
4.10000000
N
N
N
N
N
N
PROJECT HITCH
N/A
PROJECT HITCH
000000000
8280000.00000000
PA
USD
8280000.00000000
0.176325071078
Long
DBT
CORP
US
N
2
2027-08-01
Floating
2.25000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2018-B2
17327FAC0
3500000.00000000
PA
USD
3773150.15000000
0.080350358501
Long
ABS-MBS
CORP
US
N
2
2051-03-10
Fixed
3.74400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31382UR65
262.25000000
PA
USD
278.97000000
0.000005940749
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AS2P3
4743.97000000
PA
USD
5216.80000000
0.000111093312
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
MILLICOM INTL CELLULAR
549300CTHC1CP86P2G96
Millicom International Cellular SA
600814AQ0
1346400.00000000
PA
USD
1463806.08000000
0.031172187331
Long
DBT
CORP
LU
N
2
2029-03-25
Fixed
6.25000000
N
N
N
N
N
N
Pangaea Re 2019-3, 7/1/23
N/A
Pangaea Re 2019-3, 7/1/23
000000000
5220725.00000000
PA
USD
187794.23000000
0.003999134173
Long
DBT
CORP
BM
Y
2
2023-07-01
Floating
0.01000000
N
N
N
N
N
N
Imperial Fund LLC
N/A
Imperial Fund Mortgage Trust 2021-NQM2
452761AF6
4350000.00000000
PA
USD
4254419.19000000
0.090599126337
Long
ABS-MBS
CORP
US
N
2
2056-09-25
Variable
4.36055200
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2021-PJ9
36263CBN8
2634097.33000000
PA
USD
2613594.83000000
0.055657281904
Long
ABS-MBS
CORP
US
N
2
2052-02-26
Variable
2.94388800
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
46654TCB2
3100000.00000000
PA
USD
3172850.00000000
0.067566787653
Long
ABS-MBS
CORP
US
N
2
2052-06-25
Variable
3.12915000
N
N
N
N
N
N
EUROPEAN BK RECON & DEV
549300HTGDOVDU6OGK19
European Bank for Reconstruction & Development
000000000
189000300000.00000000
PA
13511482.59000000
0.287731054114
Long
DBT
NUSS
N/A
N
2
2022-12-13
Fixed
6.45000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
3270000.00000000
PA
3817396.97000000
0.081292607738
Long
DBT
NUSS
CI
N
2
2031-10-17
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5E70
1823324.19000000
PA
USD
1960270.61000000
0.041744547662
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295CK42
5014.47000000
PA
USD
5517.39000000
0.000117494466
Long
ABS-MBS
USGA
US
N
2
2043-09-15
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS EUR PUT
000000000
41655000.00000000
NC
198513.98000000
0.004227414448
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS EUR PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
EUR
N/A
USD
2022-02-14
41655000.00000000
USD
1.13000000
EUR
2022-02-14
XXXX
-83336.68000000
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2018-RP3
17327DAF8
5264850.00000000
PA
USD
4914290.49000000
0.104651282602
Long
ABS-MBS
CORP
US
N
2
2061-03-25
Variable
3.25000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADB5
150000.00000000
PA
USD
441345.00000000
0.009398573489
Long
DBT
CORP
BM
Y
2
2024-12-01
None
0.00000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300XVEYZNG956Y145
Neuberger Berman CLO XVII Ltd
64129VAN3
5000000.00000000
PA
USD
4841760.00000000
0.103106724172
Long
ABS-CBDO
CORP
KY
N
2
2029-04-22
Floating
7.32825000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/IDR FORWARD
000000000
1.00000000
NC
USD
-358447.32000000
-0.00763324265
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-555000000000.00000000
IDR
38310209.15000000
USD
2022-03-24
-358447.32000000
N
N
N
Revolving Single Family Home N
N/A
ZH Trust 2021-1
98879EAC5
2965000.00000000
PA
USD
2839147.61000000
0.060460495668
Long
ABS-MBS
CORP
US
N
2
2027-02-18
Fixed
3.26240000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAQ4
1328000.00000000
PA
USD
1301851.68000000
0.027723320049
Long
DBT
CORP
NL
N
2
2029-05-09
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9T91
3022116.87000000
PA
USD
3376677.06000000
0.071907345726
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
5.00000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage T
N/A
ReadyCap Commercial Mortgage Trust 2019-6
75575QAJ8
2403000.00000000
PA
USD
2466377.92000000
0.052522253870
Long
ABS-MBS
CORP
US
N
2
2052-10-25
Variable
4.12670000
N
N
N
N
N
N
GENTING NY LLC/GENNY CAP
N/A
Genting New York LLC / GENNY Capital Inc
37255JAA0
3115000.00000000
PA
USD
3085175.96000000
0.065699742806
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382BHB2
14799555.43000000
PA
USD
1921156.93000000
0.040911610173
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-SBT1
20753VCZ9
4940000.00000000
PA
USD
5133668.75000000
0.109323008120
Long
ABS-MBS
CORP
US
N
2
2040-02-25
Floating
3.75275000
N
N
N
N
N
N
GRUPO AEROMEXICO SAB
N/A
Grupo Aeromexico SAB de CV
000000000
3036666.67000000
PA
USD
3059441.67000000
0.065151723420
Long
LON
CORP
MX
N
2
2022-08-19
Floating
9.00000000
N
N
N
N
N
N
CORELOGIC INC
54930086CD8K2UIL0516
CoreLogic Inc
21871DAD5
5270000.00000000
PA
USD
5249974.00000000
0.111799763129
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
-12.00000000
NC
USD
-6029.04000000
-0.00012839020
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
2022-03-31
-1445689.68000000
USD
-6029.04000000
N
N
N
GARDA WORLD SECURITY
549300ZF1NDXLMCHNO20
Garda World Security Corp
36485MAK5
5375000.00000000
PA
USD
5348125.00000000
0.113889917966
Long
DBT
CORP
CA
N
2
2027-02-15
Fixed
4.62500000
N
N
N
N
N
N
BRITISH AIR 20-1 B PTT
N/A
British Airways 2020-1 Class B Pass Through Trust
11042WAA4
2464252.88000000
PA
USD
2829876.05000000
0.060263055031
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
8.37500000
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAH4
4780000.00000000
PA
USD
3742740.00000000
0.079702765281
Long
DBT
NUSS
GH
N
2
2035-02-11
Fixed
7.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230KQM6
31537.14000000
PA
USD
34698.83000000
0.000738921940
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415BE54
43499.47000000
PA
USD
48316.93000000
0.001028923444
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EDE72
1868431.96000000
PA
USD
2051806.92000000
0.043693840701
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
PHOENIX ONE RE, 1/4/27
N/A
PHOENIX ONE RE, 1/4/27
000000000
1000000.00000000
PA
USD
1068800.00000000
0.022760414972
Long
DBT
CORP
BM
Y
2
2027-01-04
Floating
0.01000000
N
N
N
N
N
N
BENTLEY SYSTEMS
549300WVEHPGE0Z56F71
Bentley Systems Inc
08265TAC3
2231000.00000000
PA
USD
2052520.00000000
0.043709025953
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
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290SSE2
19702.02000000
PA
USD
22663.63000000
0.000482628764
Long
ABS-MBS
USGA
US
N
2
2034-01-15
Fixed
6.00000000
N
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
05674RAG9
5010000.00000000
PA
USD
5430359.04000000
0.115641116390
Long
DBT
NUSS
BH
N
2
2028-10-12
Fixed
7.00000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CQ3
1645000.00000000
PA
USD
1611935.50000000
0.034326647537
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.37500000
N
N
N
N
N
N
NCL FINANCE LTD
N/A
NCL Finance Ltd
62888HAA7
1130000.00000000
PA
USD
1113050.00000000
0.023702731928
Long
DBT
CORP
BM
N
2
2028-03-15
Fixed
6.12500000
N
N
N
N
N
N
LCM INVESTMENTS HOLDINGS
549300P5V78NNQTG4428
LCM Investments Holdings II LLC
50190EAA2
3805000.00000000
PA
USD
3910322.40000000
0.083271482502
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.87500000
N
N
N
N
N
N
La Hipotecaria SA
N/A
La Hipotecaria Mortgage Trust 2019-2
50346XAA3
2258344.14000000
PA
USD
2309156.88000000
0.049174184903
Long
ABS-MBS
CORP
US
N
2
2046-09-29
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291UEC5
79758.92000000
PA
USD
87735.47000000
0.001868353017
Long
ABS-MBS
USGA
US
N
2
2035-02-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9QP0
2269029.10000000
PA
USD
2492811.87000000
0.053085172725
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
ATLAS LUXCO 4 / ALL UNI
N/A
Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl
000000000
2470000.00000000
PA
2746010.77000000
0.058477118865
Long
DBT
CORP
N/A
N
2
2028-06-01
Fixed
3.62500000
N
N
N
N
N
N
LIMESTONE RE LTD
5493004PN8HGYC184A27
Limestone Re Ltd
000000000
480000.00000000
PA
USD
34032.00000000
0.000724721596
Long
DBT
CORP
BM
Y
2
2024-03-01
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M5YN6
5724.39000000
PA
USD
6264.29000000
0.000133399925
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
4.50000000
N
N
N
N
N
N
BONANZA RE LTD
5493003F0CXUQ2C83105
Bonanza RE Ltd
09785EAD3
750000.00000000
PA
USD
759225.00000000
0.016167922957
Long
DBT
CORP
BM
Y
2
2024-12-23
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208R2G8
4549.27000000
PA
USD
4991.25000000
0.000106290158
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
6.50000000
N
N
N
N
N
N
FLOODSMART RE LTD
549300KK1LNVFW95S875
FloodSmart Re Ltd
33975CAG0
1000000.00000000
PA
USD
1002500.00000000
0.021348536685
Long
DBT
CORP
BM
Y
2
2024-03-01
Floating
13.03548900
N
N
N
N
N
N
SOHO Trust 2021-SOHO
N/A
Soho Trust 2021-SOHO
83410JAA6
3000000.00000000
PA
USD
2919317.10000000
0.062167728884
Long
ABS-MBS
CORP
US
N
2
2038-08-10
Variable
2.69658900
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADS8
2253960.00000000
PA
USD
2448251.35000000
0.052136243153
Long
DBT
CORP
BM
Y
2
2026-03-01
Floating
0.03548900
N
N
N
N
N
N
KNDL Mortgage Trust
N/A
KNDL 2019-KNSQ Mortgage Trust
482598AQ2
3100000.00000000
PA
USD
3073053.56000000
0.065441592680
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
2.11000000
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd
03880RAJ8
8000000.00000000
PA
USD
7990248.00000000
0.170154715765
Long
ABS-CBDO
CORP
KY
N
2
2036-11-15
Floating
2.99000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
4490000.00000000
PA
4099715.73000000
0.087304669987
Long
DBT
NUSS
UA
N
2
2030-01-27
Fixed
4.37500000
N
N
N
N
N
N
Ballybunion Re 2021-2, 6/30/25
N/A
Ballybunion Re 2021-2, 6/30/25
000000000
3000000.00000000
PA
USD
3000000.00000000
0.063885895318
Long
DBT
CORP
BM
Y
2
2025-06-30
Floating
0.01000000
N
N
N
N
N
N
HOWMET AEROSPACE INC
549300HO5WFZUT5N2T22
Howmet Aerospace Inc
443201AB4
10337000.00000000
PA
USD
10346975.21000000
0.220341925042
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183UC95
550218.95000000
PA
USD
600087.98000000
0.012779052624
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
Denning Re 2021, 7/31/25
N/A
Denning Re 2021, 7/31/25
000000000
2600000.00000000
PA
USD
2602106.78000000
0.055412640451
Long
DBT
CORP
BM
Y
2
2025-07-31
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LFZ7
31258.70000000
PA
USD
35998.15000000
0.000766591347
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT
46645WBA0
4750000.00000000
PA
USD
4906517.25000000
0.104485749137
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
4.54870000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
IDR/USD FORWARD
000000000
1.00000000
NC
USD
-207458.74000000
-0.00441789578
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-555000000000.00000000
IDR
38565770.27000000
USD
2022-02-28
-207458.74000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
SGD/USD FORWARD
000000000
1.00000000
NC
USD
358517.30000000
0.007634732899
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-23723888.29000000
USD
32465000.00000000
SGD
2022-03-03
358517.30000000
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADF6
575.00000000
PA
USD
31173.51000000
0.000663849198
Long
DBT
CORP
BM
Y
2
2025-03-01
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371HE53
153.85000000
PA
USD
172.99000000
0.000003683873
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
7.00000000
N
N
N
N
N
N
TEVA PHARM FNC NL II
549300HSQCIKJAOYIT23
Teva Pharmaceutical Finance Netherlands II BV
000000000
1625000.00000000
PA
1838499.61000000
0.039151397875
Long
DBT
CORP
NL
N
2
2027-05-09
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X1N93
1034888.48000000
PA
USD
1136347.17000000
0.024198852116
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-HQA4
35565RBD4
3190000.00000000
PA
USD
3322451.35000000
0.070752593048
Long
ABS-MBS
CORP
US
N
2
2050-09-25
Floating
5.35275000
N
N
N
N
N
N
La Hipotecaria SA
N/A
La Hipotecaria Panamanian Mortgage Trust 2021-1
50347JAA3
7075000.00000000
PA
USD
7225343.75000000
0.153865851484
Long
ABS-MBS
CORP
PA
N
2
2052-07-14
Fixed
4.35000000
N
N
N
N
N
N
REPUBLIC OF GABON
N/A
Gabon Government International Bond
362420AE1
5045000.00000000
PA
USD
4931487.50000000
0.105017498063
Long
DBT
NUSS
GA
N
2
2031-11-24
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230UG45
320767.11000000
PA
USD
348338.53000000
0.007417972954
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YUSH5
33140.40000000
PA
USD
35520.06000000
0.000756410278
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.00000000
N
N
N
N
N
N
INTL FINANCE CORP
QKL54NQY28TCDAI75F60
International Finance Corp
000000000
2993000000.00000000
PA
6688947.67000000
0.142443136878
Long
DBT
NUSS
N/A
N
2
2023-02-03
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NYP0
79903.77000000
PA
USD
91336.00000000
0.001945027378
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
5.50000000
N
N
N
N
N
N
Versutus Re 2019-B, 12/31/21
N/A
Versutus Re 2019-B, 12/31/21
000000000
852358.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT 2021-HB7 LLC
12530BAE9
12000000.00000000
PA
USD
11923568.40000000
0.253915947541
Long
ABS-MBS
CORP
US
N
2
2031-10-27
Variable
5.07160000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36198XBF9
1569034.78000000
PA
USD
1703283.94000000
0.036271939829
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210B3H6
2386.77000000
PA
USD
2582.49000000
0.000054994895
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
4.00000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CL4
20059000.00000000
PA
USD
21839355.00000000
0.465075582450
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.45000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAF6
18480000.00000000
PA
USD
25130929.45000000
0.535170642699
Long
DBT
CORP
CA
N
2
2039-11-15
Fixed
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413CSV2
655.02000000
PA
USD
674.61000000
0.000014366021
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
5.00000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700BC9
3010000.00000000
PA
USD
3053795.50000000
0.065031486545
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.00000000
N
N
N
N
N
N
Octane Receivables Trust
N/A
Octane Receivables Trust 2020-1
67592LAD8
1119000.00000000
PA
USD
1135961.13000000
0.024190631279
Long
ABS-O
CORP
US
N
2
2028-03-20
Fixed
5.45000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
549300C2HE5FJAWYZL57
CSAIL 2016-C6 Commercial Mortgage Trust
12636MAV0
1500000.00000000
PA
USD
1319969.25000000
0.028109139109
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
4.92128700
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-J2
12564ECG5
2701254.89000000
PA
USD
2632848.31000000
0.056067290507
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.67555800
N
N
N
N
N
N
FREEDOM MORTGAGE
549300LYRWPSYPK6S325
Freedom Mortgage Corp
35640YAG2
1520000.00000000
PA
USD
1485800.00000000
0.031640554421
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJAW0
12991.94000000
PA
USD
14654.18000000
0.000312065136
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
EUR/CZK FORWARD
000000000
1.00000000
NC
USD
537528.99000000
0.011446840261
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-20408163.27000000
EUR
520000000.00000000
CZK
2022-01-10
537528.99000000
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAC5
9874000.00000000
PA
USD
9787799.98000000
0.208434121640
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-3
89169DAG6
6374998.00000000
PA
USD
6590907.07000000
0.140355333042
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
3.84368500
N
N
N
N
N
N
CFCRE Commercial Mortgage Trus
N/A
CFCRE Commercial Mortgage Trust 2018-TAN
12528DAJ8
2500000.00000000
PA
USD
2552412.50000000
0.054354385928
Long
ABS-MBS
CORP
US
N
2
2033-02-15
Fixed
6.09940000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade RE 2021-3 Ltd
078777AE9
8610000.00000000
PA
USD
8417195.41000000
0.179246688279
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Floating
3.19967000
N
N
N
N
N
N
METINVEST BV
635400TMCKVEU87EJ582
Metinvest BV
591555AG2
2675000.00000000
PA
USD
2655686.50000000
0.056553636579
Long
DBT
CORP
NL
N
2
2027-10-01
Fixed
7.65000000
N
N
N
N
N
N
Visio 2019-2 Trust
N/A
Visio 2019-2 Trust
92837DAE7
800000.00000000
PA
USD
819446.96000000
0.017450367568
Long
ABS-MBS
CORP
US
N
2
2054-11-25
Variable
3.91000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182UN52
3662.63000000
PA
USD
4014.24000000
0.000085484438
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Sussex Re 2021-1, 12/31/24
N/A
Sussex Re 2021-1, 12/31/24
000000000
1000000.00000000
PA
USD
1002000.00000000
0.021337889036
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
FASST 2020-JR2
N/A
FASST 2020-JR2
31735AAA2
6459751.45000000
PA
USD
6810101.24000000
0.145023138308
Long
DBT
CORP
US
N
2
2050-05-25
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ASVB2
220617.51000000
PA
USD
240136.34000000
0.005113775026
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
Alturas Re 2021-2, 12/31/24
N/A
Alturas Re 2021-2, 12/31/24
000000000
2639535.00000000
PA
USD
2504918.72000000
0.053342991709
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
ALTA WIND HOLDINGS LLC
N/A
Alta Wind Holdings LLC
021345AA1
656654.56000000
PA
USD
755731.58000000
0.016093529536
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
36176MDZ3
746051.36000000
PA
USD
837376.25000000
0.017832177149
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF RWANDA
213800AKFASSQE52AZ88
Rwanda International Government Bond
78347YAL7
5525000.00000000
PA
USD
5565885.00000000
0.118527182154
Long
DBT
NUSS
RW
N
2
2031-08-09
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184DPN7
137195.23000000
PA
USD
145805.39000000
0.003104969294
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-17
22541QJM5
560868.54000000
PA
USD
856.00000000
0.000018228775
Long
ABS-MBS
CORP
US
N
2
2033-06-25
Variable
5.50000000
N
N
N
N
N
N
Morgan Stanley Residential Mor
N/A
Morgan Stanley Residential Mortgage Loan Trust 2021-1
61772ABD6
1386490.18000000
PA
USD
1345311.84000000
0.028648817126
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
2.95416600
N
N
N
N
N
N
PELOTON INTERACTIVE INC
5493002YS021166W0339
Peloton Interactive Inc
70614WAA8
7780000.00000000
PA
USD
6593550.00000000
0.140411615025
Long
DBT
CORP
US
N
2
2026-02-15
None
0.00000000
N
N
N
N
Y
Peloton Interactive Inc
Peloton Interactive Inc
USD
XXXX
N
N
N
A10 Securitization
N/A
A10 Bridge Asset Financing 2019-B LLC
000299AE7
3500000.00000000
PA
USD
3467192.40000000
0.073834896905
Long
ABS-CBDO
CORP
US
N
2
2040-08-15
Fixed
4.52300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402C4H2
34204.25000000
PA
USD
38339.10000000
0.000816442576
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
SEASPAN CORP
5493007Z8Q1H45KT7W98
Seaspan Corp
81254UAK2
4510000.00000000
PA
USD
4555100.00000000
0.097002213921
Long
DBT
CORP
MH
N
2
2029-08-01
Fixed
5.50000000
N
N
N
N
N
N
MINSUR SA
254900C69MVC7SXO2G61
Minsur SA
60447KAB6
3940000.00000000
PA
USD
4023725.08000000
0.085686426417
Long
DBT
CORP
PE
N
2
2031-10-28
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182R5U4
222228.50000000
PA
USD
236279.46000000
0.005031641615
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F030611
72000000.00000000
PA
USD
74624062.32000000
1.589141677871
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177KPE0
27310.90000000
PA
USD
29216.03000000
0.000622164078
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDX4
4660000.00000000
PA
USD
4786876.89000000
0.101937971965
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
3.44967000
N
N
N
N
N
N
CLEARWAY ENERGY OP LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
18539UAE5
1340000.00000000
PA
USD
1329950.00000000
0.028321682159
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.75000000
N
N
N
N
N
N
PATRICK INDUSTRIES INC
549300FZ5ZTCCJ3Z5W14
Patrick Industries Inc
703343AD5
4365000.00000000
PA
USD
4321350.00000000
0.092024437911
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.75000000
N
N
N
N
N
N
PT Bakrie & Brothers TBK
N/A
PT Bakrie & Brothers TBK
000000000
15039758000.00000000
PA
105523.65000000
0.002247157619
Long
DBT
CORP
ID
N
2
2022-12-22
None
0.00000000
N
N
N
N
N
N
Desarrolladora Homex SAB de CV
N/A
Desarrolladora Homex SAB de CV
000000000
1018282.00000000
NS
2685.51000000
0.000057188736
Long
EC
CORP
MX
N
1
N
N
N
LIMESTONE RE LTD
5493004PN8HGYC184A27
Limestone Re Ltd
000000000
20000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2022-09-09
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290UAH9
7222.56000000
PA
USD
7946.93000000
0.000169232246
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
4.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VOLT
05609VAQ8
4325000.00000000
PA
USD
4284207.03000000
0.091233467280
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
2.50976000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-10
46654ABW8
8913966.84000000
PA
USD
9014147.35000000
0.191958957995
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.82468000
N
N
N
N
N
N
TARGUS INC
N/A
TARGUS INC
000000000
111548.00000000
NS
USD
170668.44000000
0.003634435364
Long
EC
CORP
US
N
1
N
N
N
Pangaea Re 2018-1, 12/31/21
N/A
Pangaea Re 2018-1, 12/31/21
000000000
4750000.00000000
PA
USD
100008.83000000
0.002129717881
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage T
N/A
Ready Capital Mortgage Trust 2019-5
75575MAJ7
2659000.00000000
PA
USD
2748964.07000000
0.058540010270
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
5.05440000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 7 Ltd
48661FAA3
5000000.00000000
PA
USD
4924150.00000000
0.104861243810
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
6.62225000
N
N
N
N
N
N
Global Mortgage Securitization
N/A
Global Mortgage Securitization Ltd
378961AG1
171915.39000000
PA
USD
3063.05000000
0.000065228563
Long
ABS-MBS
CORP
KY
N
2
2032-11-25
Fixed
5.25000000
N
N
N
N
N
N
GRIFOLS ESCROW ISSUER
959800HLB3PGTGSLVV62
Grifols Escrow Issuer SA
000000000
2625000.00000000
PA
2998639.93000000
0.063856932221
Long
DBT
CORP
ES
N
2
2028-10-15
Fixed
3.87500000
N
N
N
N
N
N
ICG US CLO Ltd
635400A7LQADQPBLJB50
ICG US CLO 2016-1 Ltd
44931KAJ6
3175000.00000000
PA
USD
3111490.48000000
0.066260118363
Long
ABS-CBDO
CORP
KY
N
2
2034-04-29
Floating
7.56863000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391JW89
18930.35000000
PA
USD
20909.90000000
0.000445282560
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.00000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
USD/EGP FORWARD
000000000
1.00000000
NC
USD
71543.45000000
0.001523539119
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-5500589.29000000
USD
88675000.00000000
EGP
2022-02-24
71543.45000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184QL28
73573.24000000
PA
USD
80835.19000000
0.001721409495
Long
ABS-MBS
USGA
US
N
2
2045-05-15
Fixed
4.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2021-KG05 Mortgage Trust
30318WAL7
10000000.00000000
PA
USD
63270.00000000
0.001347353532
Long
ABS-MBS
CORP
US
N
2
2031-01-25
Fixed
0.10000000
N
N
N
N
N
N
J.P. Morgan Wealth Management
N/A
JPMorgan Chase Bank NA - JPMWM
46591HBM1
2771560.35000000
PA
USD
2781747.50000000
0.059238143195
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Floating
1.84967000
N
N
N
N
N
N
KREF 2021-FL2 Ltd
54930083ELM2GCMVTQ91
KREF 2021-FL2 Ltd
48275RAL1
725000.00000000
PA
USD
724129.28000000
0.015420549126
Long
ABS-CBDO
CORP
KY
N
2
2039-02-15
Floating
2.95863000
N
N
N
N
N
N
Gullane Re 2018, 12/31/21
N/A
Gullane Re 2018, 12/31/21
000000000
2737878.00000000
PA
USD
380291.25000000
0.008098415662
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
CAB
9695008EGX5O9K1MS743
CAB SELAS
000000000
3860000.00000000
PA
4388747.59000000
0.093459689704
Long
DBT
CORP
FR
N
2
2028-02-01
Fixed
3.37500000
N
N
N
N
N
N
SINCLAIR TELEVISION GROU
549300CQGEN0CH65UD62
Sinclair Television Group Inc
829259BA7
2025000.00000000
PA
USD
1918687.50000000
0.040859022924
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.12500000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2019-1 Receivables Funding LLC
82653EAD9
2194665.47000000
PA
USD
2229187.78000000
0.047471219052
Long
ABS-O
CORP
US
N
2
2036-01-20
Fixed
4.75000000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AG6
3200000.00000000
PA
USD
3296000.00000000
0.070189303656
Long
DBT
CORP
NL
N
2
2029-03-31
Fixed
4.12500000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CS9
8980000.00000000
PA
USD
8800400.00000000
0.187407144386
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.87500000
N
N
N
N
N
N
Westgate Resorts
N/A
Westgate Resorts 2020-1 LLC
96034LAE1
2374475.26000000
PA
USD
2475916.88000000
0.052725388870
Long
ABS-O
CORP
US
N
2
2034-03-20
Fixed
6.21300000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SM1
21021630.38200000
PA
USD
25455059.44000000
0.542073087569
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25000000
N
N
N
N
N
N
BELDEN INC
68BKYO1JC791TTJHUE82
Belden Inc
000000000
4585000.00000000
PA
5356526.09000000
0.114068821685
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EVL88
800556.02000000
PA
USD
859872.62000000
0.018311244062
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796K81
25000000.00000000
PA
USD
24999852.50000000
0.532379319930
Long
DBT
UST
US
N
2
2022-01-20
None
0.00000000
N
N
N
N
N
N
THAIHOT INVE WT EX 10/13/2027
N/A
THAIHOT INVE WT EX 10/13/2027
000000000
86.00000000
NC
USD
96290.76000000
0.002050540471
N/A
DE
CORP
US
N
1
THAIHOT INVE WT EX 10/13/2027
N/A
Call
Purchased
Thai Beverage PCL
Thai Beverage PCL
1.00000000
0.00000000
USD
2027-10-13
XXXX
96290.75000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201AWY0
16043.17000000
PA
USD
17601.83000000
0.000374836222
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2021-2
81747YCF8
1196620.04000000
PA
USD
942769.18000000
0.020076551047
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.55259000
N
N
N
N
N
N
SHERWOOD FINANCING PLC
259400SSZWSSPNYW7K08
Sherwood Financing PLC
000000000
5170000.00000000
PA
6981758.44000000
0.148678629612
Long
DBT
CORP
GB
N
2
2026-11-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182UWX1
123264.04000000
PA
USD
132073.32000000
0.002812540765
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201L2D5
2198.48000000
PA
USD
2425.02000000
0.000051641524
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-10
46654ABS7
157141729.47000000
PA
USD
825654.07000000
0.017582549828
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
0.13718000
N
N
N
N
N
N
United Wholesale Mortgage LLC
N/A
UWM Mortgage Trust 2021-INV4
918307BG3
7138228.41000000
PA
USD
7142661.25000000
0.152105102970
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
3.23459000
N
N
N
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
12769GAA8
1795000.00000000
PA
USD
1794999.98000000
0.038225060272
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417CJP1
1813671.18000000
PA
USD
1958425.68000000
0.041705259327
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BTA6
416857.56000000
PA
USD
465666.43000000
0.009916505600
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.00000000
N
N
N
N
N
N
RMF Buyout Issuance Trust
N/A
RMF Buyout Issuance Trust 2021-HB1
74969TAF7
6000000.00000000
PA
USD
5959800.00000000
0.126915719639
Long
ABS-MBS
CORP
US
N
2
2031-11-25
Variable
6.00000000
N
N
N
N
N
N
B2R Mortgage Trust
54930043NGIAWE00XD82
B2R Mortgage Trust 2015-1
05607YAN1
1054000.00000000
PA
USD
1084263.61000000
0.023089717162
Long
ABS-O
CORP
US
N
2
2048-05-15
Variable
4.83100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D4P3
46594.60000000
PA
USD
53659.31000000
0.001142691020
Long
ABS-MBS
USGA
US
N
2
2034-03-20
Fixed
5.50000000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT 2021-HB5 LLC
12526PAE4
1000000.00000000
PA
USD
983332.60000000
0.020940361182
Long
ABS-MBS
CORP
US
N
2
2031-02-25
Variable
5.68250000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387EXR3
116.00000000
PA
USD
127.98000000
0.000002725372
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180HHX9
24038.88000000
PA
USD
25551.62000000
0.000544129373
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
4.00000000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2021-1
74387YAL7
2941867.16000000
PA
USD
2879235.69000000
0.061314183296
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.37990000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210ARN9
59926.59000000
PA
USD
67761.15000000
0.001442993911
Long
ABS-MBS
USGA
US
N
2
2035-01-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201YHV1
64652.70000000
PA
USD
71246.90000000
0.001517223998
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
6.00000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS UNITED AIRLINES HOLDINGS, INC.
000000000
1.00000000
NC
USD
398959.77000000
0.008495967367
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
UNITED AIRLINES HOLDINGS
United Airlines Holdings Inc
Y
Default Event
2025-12-20
0.00000000
USD
-263388.64000000
USD
7280000.00000000
USD
662348.41000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AT7H4
1987.22000000
PA
USD
2142.80000000
0.000045631565
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAS2
5445000.00000000
PA
USD
5181462.00000000
0.110340779642
Long
DBT
NUSS
NG
N
2
2033-09-28
Fixed
7.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EE4A4
1025626.86000000
PA
USD
1108896.88000000
0.023614289998
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AQ0
1345000.00000000
PA
USD
1390393.76000000
0.029608850067
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
EDEN RE II LTD
549300LKX8PCP3SC3F42
Eden Re II Ltd
27954TAB1
73625.00000000
PA
USD
282999.78000000
0.006026564773
Long
DBT
CORP
BM
Y
2
2023-03-22
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EH6D9
12185.58000000
PA
USD
12968.43000000
0.000276166587
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
PEN/USD FORWARD
000000000
1.00000000
NC
USD
89459.62000000
0.001905069306
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-19954978.48000000
USD
80225000.00000000
PEN
2022-02-24
89459.62000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A7ZK4
91018.98000000
PA
USD
100018.58000000
0.002129925510
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
4.00000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83370RAA6
4635000.00000000
PA
USD
4868604.05000000
0.103678376228
Long
DBT
CORP
FR
N
2
N/A
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FXC5
1371157.99000000
PA
USD
1518511.61000000
0.032337157918
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
Cascade MH Asset Trust
N/A
Cascade MH Asset Trust 2021-MH1
14731QAE9
2150000.00000000
PA
USD
2221725.29000000
0.047312303101
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Fixed
4.57300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209YWS3
514.21000000
PA
USD
564.17000000
0.000012014168
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
Frontera Energy Corp
A25574TZFLBNK7NWQT47
Frontera Energy Corp
35905B107
2013.00000000
NS
USD
16385.82000000
0.000348940927
Long
EC
CORP
CA
N
1
N
N
N
522 Funding CLO LTD
N/A
522 Funding CLO 2019-4 Ltd
04623GAA1
4000000.00000000
PA
USD
3953048.00000000
0.084181336905
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
7.13150000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAA1
4950371.00000000
PA
USD
5080367.74000000
0.108187947205
Long
DBT
CORP
N/A
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
GoldenTree Loan Management US
549300UYD6YMBA6XSE43
Goldentree Loan Management US Clo 2 Ltd
38136PAA9
5022000.00000000
PA
USD
4744700.23000000
0.101039807403
Long
ABS-CBDO
CORP
KY
N
2
2030-11-28
Floating
4.83150000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAG2
1020000.00000000
PA
USD
1063589.70000000
0.022649460078
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.37500000
N
N
N
N
N
N
Woburn Re 2019, 12/31/22
N/A
Woburn Re 2019, 12/31/22
000000000
3539362.00000000
PA
USD
900308.89000000
0.019172346500
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
IMAX CORP
5493002KS2T1Q0X7VZ21
IMAX Corp
45245EAH2
1892000.00000000
PA
USD
1819508.59000000
0.038746978437
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
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796C31
100000000.00000000
PA
USD
99998167.00000000
2.129490809667
Long
DBT
UST
US
N
2
2022-01-27
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ARVL2
3234.46000000
PA
USD
3520.60000000
0.000074972227
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
4.00000000
N
N
N
N
N
N
Gleneagles Re 2020, 12/31/23
N/A
Gleneagles Re 2020, 12/31/23
000000000
1270798.00000000
PA
USD
127007.36000000
0.002704659635
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2021-K131 Mortgage Trust
30320UAS2
5000000.00000000
PA
USD
2560155.00000000
0.054519264776
Long
ABS-MBS
CORP
US
N
2
2054-09-25
None
0.00000000
N
N
N
N
N
N
Alturas Re 2019-2, 3/10/22
N/A
Alturas Re 2019-2, 3/10/22
000000000
33410.00000000
PA
USD
47041.28000000
0.001001758096
Long
DBT
CORP
BM
Y
2
2023-03-10
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AP5D6
296064.88000000
PA
USD
327314.34000000
0.006970256553
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGCG7
261788.60000000
PA
USD
296231.09000000
0.006308329468
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
5.00000000
N
N
N
N
N
N
Bantry RE 2019, 12/31/22
N/A
Bantry RE 2019, 12/31/22
000000000
4000000.00000000
PA
USD
135854.64000000
0.002893065103
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-8
46592TBS1
140040930.42000000
PA
USD
722709.23000000
0.015390308737
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
0.13851300
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust 2021-OVA
78449RAN5
10350000.00000000
PA
USD
9312579.14000000
0.198314152027
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Fixed
2.85061000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ECMS9
76379.81000000
PA
USD
83905.34000000
0.001786789255
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
US RENAL CARE INC
54930058SS5MF69JGN89
US Renal Care Inc
07335BAA4
3421000.00000000
PA
USD
3472314.97000000
0.073943983562
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
10.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620C1TK2
3195.22000000
PA
USD
3423.89000000
0.000072912759
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382AAB1
22416091.74000000
PA
USD
1720890.09000000
0.036646868048
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Floating
3.24612000
N
N
N
N
N
N
Gleneagles Re 2019, 12/31/22
N/A
Gleneagles Re 2019, 12/31/22
000000000
1156688.00000000
PA
USD
25848.82000000
0.000550458336
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAF4
5495000.00000000
PA
USD
6835780.00000000
0.145569975166
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.60000000
N
N
N
N
N
N
TOTAL PLAY TELECOM
4469000001BSAPAMOQ06
Total Play Telecomunicaciones SA de CV
89157FAC4
6900000.00000000
PA
USD
6520569.00000000
0.138857462850
Long
DBT
CORP
MX
N
2
2028-09-20
Fixed
6.37500000
N
N
N
N
N
N
AON CORP/AON GLOBAL HOLD
N/A
Aon Corp / Aon Global Holdings PLC
03740LAC6
4385000.00000000
PA
USD
4463834.80000000
0.095058694250
Long
DBT
CORP
US
N
2
2031-12-02
Fixed
2.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176MYW7
326348.39000000
PA
USD
364075.50000000
0.007753096427
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
4.50000000
N
N
N
N
N
N
Newtek Small Business Loan Tru
N/A
Newtek Small Business Loan Trust 2017-1
65252WAB3
590233.93000000
PA
USD
591719.43000000
0.012600841854
Long
ABS-O
CORP
US
N
2
2043-02-25
Floating
3.10188000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183PA64
116563.22000000
PA
USD
124084.79000000
0.002642422634
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
36183LFB7
30859.48000000
PA
USD
33533.87000000
0.000714113769
Long
ABS-MBS
USGA
US
N
2
2044-12-15
Fixed
4.00000000
N
N
N
N
N
N
LOGMEIN INC
549300D12V5KRBV00592
LogMeIn Inc
541056AA5
4235000.00000000
PA
USD
4285820.00000000
0.091267815957
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
5.50000000
N
N
N
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group Inc
043436AV6
435000.00000000
PA
USD
442068.75000000
0.009413985962
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
Berwick Re 2018-1, 12/31/21
N/A
Berwick Re 2018-1, 12/31/21
000000000
13924181.00000000
PA
USD
1076339.19000000
0.022920964273
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178GJ70
1386376.41000000
PA
USD
1524629.32000000
0.032467436378
Long
ABS-MBS
USGA
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202SGX0
16245.82000000
PA
USD
18602.91000000
0.000396154520
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
Amur Equipment Finance Receiva
5493008OAETJ1UTO4Q72
Amur Equipment Finance Receivables VII LLC
03237MAF7
3000000.00000000
PA
USD
2995192.80000000
0.063783524559
Long
ABS-O
CORP
US
N
2
2025-03-20
Fixed
4.47000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/AUD FORWARD
000000000
1.00000000
NC
USD
-293281.05000000
-0.00624550748
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-48183293.13000000
USD
65815000.00000000
AUD
2022-02-24
-293281.05000000
N
N
N
BDS Ltd
N/A
BDS 2020-FL5 LTD
05492QAG1
1500000.00000000
PA
USD
1500484.35000000
0.031953262037
Long
ABS-CBDO
CORP
KY
N
2
2037-02-16
Floating
2.21448000
N
N
N
N
N
N
UBS-Barclays Commercial Mortga
549300G1IXWLFE766Q13
UBS-Barclays Commercial Mortgage Trust 2013-C6
90349GAN5
3912000.00000000
PA
USD
3933578.20000000
0.083766721704
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Variable
3.87510000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAF0
14450000.00000000
PA
USD
14512935.39000000
0.309057290363
Long
DBT
CORP
FR
N
2
2032-10-19
Fixed
3.11600000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 78 CLO Ltd
26253JAA5
5000000.00000000
PA
USD
4921990.00000000
0.104815245966
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
6.72225000
N
N
N
N
N
N
Lorenz Re 2018, 7/1/22
N/A
Lorenz Re 2018, 7/1/22
000000000
6000000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2022-07-01
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36198K6A4
36744.84000000
PA
USD
39132.60000000
0.000833340395
Long
ABS-MBS
USGA
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
Adare Re 2021, 9/30/27
N/A
Adare Re 2021, 9/30/27
000000000
1800000.00000000
PA
USD
1824341.94000000
0.038849906067
Long
DBT
CORP
BM
Y
2
2027-09-30
Floating
0.01000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
9700000.00000000
PA
USD
13177495.98000000
0.280618709579
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291LJ55
19020.80000000
PA
USD
21609.19000000
0.000460174150
Long
ABS-MBS
USGA
US
N
2
2035-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200WJL6
43416.93000000
PA
USD
49121.42000000
0.001046055298
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
5.50000000
N
N
N
N
N
N
LIMESTONE RE LTD
5493004PN8HGYC184A27
Limestone Re Ltd
000000000
140000.00000000
PA
USD
18130.00000000
0.000386083760
Long
DBT
CORP
BM
Y
2
2023-03-01
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AMK27
97987.74000000
PA
USD
110756.45000000
0.002358591656
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
4.50000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JX21
5560000.00000000
PA
USD
5124096.00000000
0.109119153552
Long
DBT
NUSS
EG
N
2
2032-01-15
Fixed
7.05290000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LJP5
25500.91000000
PA
USD
29321.93000000
0.000624419250
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176HEP5
2004.59000000
PA
USD
2129.87000000
0.000045356217
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EB81
172962.92000000
PA
USD
189609.02000000
0.004037780667
Long
ABS-MBS
USGA
US
N
2
2035-01-20
Fixed
4.50000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage T
N/A
Ready Capital Mortgage Financing 2021-FL7 LLC
75575WAJ5
5600000.00000000
PA
USD
5589647.84000000
0.119033218924
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
3.03000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KUB5
830.02000000
PA
USD
953.94000000
0.000020314436
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.00000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ACS9
540031.00000000
PA
USD
94289.41000000
0.002007921125
Long
DBT
CORP
BM
Y
2
2023-12-01
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPAU8
9160237.44000000
PA
USD
10375582.39000000
0.220951123478
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
5.00000000
N
N
N
N
N
N
Symphony CLO Ltd
N/A
Symphony CLO XXII Ltd
87167GBC3
2200000.00000000
PA
USD
2198946.20000000
0.046827215581
Long
ABS-CBDO
CORP
KY
N
2
2033-04-18
Floating
2.27225000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AJ0
1900000.00000000
PA
USD
1914250.00000000
0.040764525037
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382DAG4
6208728.20000000
PA
USD
806610.65000000
0.017177014516
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.50000000
N
N
N
N
N
N
Commerical Equipment Finance 2
N/A
Commercial Equipment Finance 2021-A LLC
20166QAD2
2500000.00000000
PA
USD
2490494.00000000
0.053035812991
Long
ABS-O
CORP
US
N
2
2029-12-17
Fixed
6.49000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
INR/USD FORWARD
000000000
1.00000000
NC
USD
300245.56000000
0.006393818805
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-23680576.21000000
USD
1791850000.00000000
INR
2022-01-28
300245.56000000
N
N
N
FASST 2021-S2 A2 Mtge
N/A
FASST 2021-S2 A2 Mtge
31740FAB2
7995358.41000000
PA
USD
7843411.42000000
0.167027786972
Long
DBT
CORP
US
N
2
2051-09-25
Fixed
1.75000000
N
N
N
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV
67091GAE3
1216000.00000000
PA
USD
1261600.00000000
0.026866148511
Long
DBT
CORP
NL
N
2
2025-10-15
Fixed
4.62500000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AR9
2405000.00000000
PA
USD
2483162.50000000
0.052879686511
Long
DBT
CORP
CH
N
2
N/A
Fixed
5.25000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AR0
3855000.00000000
PA
USD
3875778.45000000
0.082535858778
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176M4M2
33339.60000000
PA
USD
36457.58000000
0.000776375046
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
STARWOOD PROPERTY TRUST
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571BAW5
1515000.00000000
PA
USD
1530725.70000000
0.032597260610
Long
DBT
CORP
US
N
2
2024-12-31
Fixed
3.75000000
N
N
N
N
N
N
BANCO SANTANDER MEXICO
SCRYQ25DTVRHYYMM6P89
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
05969BAD5
4240000.00000000
PA
USD
4626942.40000000
0.098532119270
Long
DBT
CORP
MX
N
2
2025-04-17
Fixed
5.37500000
N
N
N
N
N
N
WESTERN GLOBAL AIRLINES
N/A
Western Global Airlines LLC
958278AA1
6290000.00000000
PA
USD
6997625.00000000
0.149016512742
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
10.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294YQL1
9387.32000000
PA
USD
10317.62000000
0.000219716797
Long
ABS-MBS
USGA
US
N
2
2037-03-15
Fixed
5.50000000
N
N
N
N
N
N
Genworth Mortgage Insurance Co
N/A
Traingle Re 2021-1 Ltd
89600FAD5
11400000.00000000
PA
USD
11387047.32000000
0.242490571024
Long
ABS-MBS
CORP
BM
N
2
2033-08-25
Floating
4.00188000
N
N
N
N
N
N
Gullane Re 2021, 12/31/24
N/A
Gullane Re 2021, 12/31/24
000000000
5000000.00000000
PA
USD
4410000.00000000
0.093912266118
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2020-3 Ltd
07877KAJ9
840000.00000000
PA
USD
877109.77000000
0.018678314316
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
6.45188000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132VQH66
167245.20000000
PA
USD
177857.52000000
0.003787528968
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-IG3 Mortgage Trust
08162QAN9
2025000.00000000
PA
USD
2066264.03000000
0.044001709173
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Variable
3.28925600
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-CR28 Mortgage Trust
12593YBF9
2285190.62000000
PA
USD
2382501.81000000
0.050736087076
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
3.65100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ7F9
3033692.75000000
PA
USD
3339968.76000000
0.071125631522
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QT68
1778989.91000000
PA
USD
1957121.81000000
0.041677493026
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
4.50000000
N
N
N
N
N
N
SRS DISTRIBUTION INC
549300ZQ3XP75BCYM468
SRS Distribution Inc
78471RAC0
615000.00000000
PA
USD
621150.00000000
0.013227574625
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
6.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176UJ71
5979.94000000
PA
USD
6580.64000000
0.000140136692
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
4.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CBM Mortgage Trust
20049AAJ7
3912000.00000000
PA
USD
3683858.03000000
0.078448856157
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
3.63268900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQFY3
5638196.28000000
PA
USD
6097713.39000000
0.129852626438
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181LT57
183659.83000000
PA
USD
201972.71000000
0.004301069136
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
4.00000000
N
N
N
N
N
N
CREDITO REAL SAB DE CV
549300W2IL7TPPCTKL39
Credito Real SAB de CV SOFOM ER
22547AAD3
6660000.00000000
PA
USD
3996066.60000000
0.085097430831
Long
DBT
CORP
MX
N
2
2028-01-21
Fixed
8.00000000
N
N
N
N
N
N
Rate Mortgage Trust
N/A
Rate Mortgage Trust 2021-J3
75409TDG7
2333816.69000000
PA
USD
2280424.10000000
0.048562311778
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.71578500
N
N
N
N
N
N
DANA INC
KVWHW7YLZPFJM8QYNJ51
Dana Inc
235825AH9
3940000.00000000
PA
USD
3994175.00000000
0.085057148644
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LP42
27045.27000000
PA
USD
29702.00000000
0.000632512954
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KPN3
8890000.00000000
PA
USD
8940072.04000000
0.190381502162
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
3.80000000
N
N
N
N
N
N
Berwick Re 2022, 12/31/27
N/A
Berwick Re 2022, 12/31/27
000000000
3500000.00000000
PA
USD
3500000.00000000
0.074533544538
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
ZAR/USD FORWARD
000000000
1.00000000
NC
USD
-70685.53000000
-0.00150526945
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-68650000.00000000
ZAR
4185587.42000000
USD
2022-03-25
-70685.53000000
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ACT7
360000.00000000
PA
USD
278172.00000000
0.005923755757
Long
DBT
CORP
BM
Y
2
2024-03-01
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GPS58
1815342.61000000
PA
USD
1964039.72000000
0.041824811984
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
DESARROLLADORA HOMEX SAB DE CV
000000000
209523.00000000
NC
0.00000000
0.000000
N/A
DE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
Call
Purchased
Desarrolladora Homex SAB de CV
Desarrolladora Homex SAB de CV
1.00000000
0.01000000
MXN
2022-10-23
XXXX
-0.01000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KH6Q4
19242.08000000
PA
USD
21395.59000000
0.000455625474
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Mortgage Trust 2021-INV1
46592PBK6
1758803.60000000
PA
USD
1466798.76000000
0.031235917344
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.99964900
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust 2019-1
252722AC7
2125158.84000000
PA
USD
2156816.06000000
0.045930041676
Long
ABS-O
CORP
US
N
2
2032-02-20
Fixed
4.02000000
N
N
N
N
N
N
NMEF Funding LLC
N/A
NMEF Funding 2019-A LLC
65489MAD6
4360000.00000000
PA
USD
4403501.46000000
0.093773877769
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
4.39000000
N
N
N
N
N
N
Apidos CLO
549300CXPXW83QGWOL98
Apidos CLO XXXII
03768QAQ1
2000000.00000000
PA
USD
1982706.00000000
0.042222315987
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
6.88150000
N
N
N
N
N
N
BRASKEM IDESA SAPI
YH0V7ZHY352ITDGEYB83
Braskem Idesa SAPI
10554NAB4
2700000.00000000
PA
USD
2710125.00000000
0.057712920683
Long
DBT
CORP
MX
N
2
2032-02-20
Fixed
6.99000000
N
N
N
N
N
N
UNITI GROUP/CSL CAPITAL
N/A
Uniti Group LP / Uniti Group Finance Inc / CSL Capital LLC
91327BAA8
2975000.00000000
PA
USD
2964780.88000000
0.063135893647
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183B7G7
35044.67000000
PA
USD
37299.71000000
0.000794308456
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS UNITED AIRLINES HOLDINGS, INC.
000000000
1.00000000
NC
USD
79737.15000000
0.001698026405
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
UNITED AIRLINES HOLDINGS
United Airlines Holdings Inc
Y
Default Event
2025-12-20
0.00000000
USD
-55931.68000000
USD
1455000.00000000
USD
135668.83000000
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-1
03464MAE4
4629000.00000000
PA
USD
4661040.55000000
0.099258249550
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
5.40000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022614
32000000.00000000
PA
USD
32788750.08000000
0.698246218411
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
2.50000000
N
N
N
N
N
N
COEUR MINING INC
5493003AVK173D48DR70
Coeur Mining Inc
192108BC1
11678000.00000000
PA
USD
10702303.10000000
0.227908738504
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
5.12500000
N
N
N
N
N
N
Carnoustie Re 2020, 12/31/23
N/A
Carnoustie Re 2020, 12/31/23
000000000
1750000.00000000
PA
USD
237300.00000000
0.005053374319
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2021-KG05 Mortgage Trust
30318WAN3
10000000.00000000
PA
USD
4953152.00000000
0.105478850056
Long
ABS-MBS
CORP
US
N
2
2031-01-25
None
0.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
SEK/USD FORWARD
000000000
1.00000000
NC
USD
-1523681.37000000
-0.03244724950
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-30704814.26000000
USD
263630000.00000000
SEK
2022-01-28
-1523681.37000000
N
N
N
PRMI Securitization Trust
N/A
PRMI Securitization Trust 2021-1
69359DBX0
3750296.85000000
PA
USD
3525295.54000000
0.075072220611
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.47903100
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A93H2
241220.55000000
PA
USD
274041.67000000
0.005835799147
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0SK6
3630000.00000000
PA
USD
3561818.44000000
0.075849986667
Long
ABS-MBS
CORP
US
N
2
2042-12-25
Floating
2.60275000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-150E
61764BAG8
3350000.00000000
PA
USD
3436528.49000000
0.073181899790
Long
ABS-MBS
CORP
US
N
2
2032-09-09
Fixed
4.01200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2VH9
4506.21000000
PA
USD
4825.48000000
0.000102760036
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
4.00000000
N
N
N
N
N
N
Orange Lake Timeshare Trust
N/A
Orange Lake Timeshare Trust 2019-A
68504UAD3
2950154.97000000
PA
USD
3002817.89000000
0.063945903126
Long
ABS-O
CORP
US
N
2
2038-04-09
Fixed
4.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DEE9
109296.73000000
PA
USD
120057.32000000
0.002556656459
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
Dingle Re 2020, 1/31/22
N/A
Dingle Re 2020, 1/31/22
000000000
550000.00000000
PA
USD
52950.32000000
0.001127592866
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-2
03463WAE3
4460000.00000000
PA
USD
4434606.54000000
0.094436269731
Long
ABS-MBS
CORP
US
N
2
2049-03-25
Variable
5.01600000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-HQA4
35565RBE2
2650000.00000000
PA
USD
3172300.16000000
0.067555078646
Long
ABS-MBS
CORP
US
N
2
2050-09-25
Floating
9.50275000
N
N
N
N
N
N
LSF11 A5 HOLDCO LLC
254900FPK7P5WNA66Y10
LSF11 A5 HoldCo LLC
50216YAB6
1920000.00000000
PA
USD
1920800.64000000
0.040904022871
Long
LON
CORP
US
N
2
2028-10-13
Floating
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LYK6
3231.52000000
PA
USD
3549.12000000
0.000075579569
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBGP7
269235.83000000
PA
USD
285072.54000000
0.006070704816
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KJ24 Mortgage Trust
30312FAG1
7176166.70000000
PA
USD
6181457.42000000
0.131635980549
Long
ABS-MBS
CORP
US
N
2
2027-10-25
Variable
7.60000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBD6
2910000.00000000
PA
USD
2929703.03000000
0.062388900362
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Floating
3.04967000
N
N
N
N
N
N
HILLENBRAND INC
U246OE781574J2BUD366
Hillenbrand Inc
431571AE8
3040000.00000000
PA
USD
3047600.00000000
0.064899551524
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.75000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2021-R1
89179TAA2
9910870.36000000
PA
USD
9888025.80000000
0.210568460388
Long
ABS-MBS
CORP
US
N
2
2060-11-30
Variable
2.91808000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
USD/MXN FORWARD
000000000
1.00000000
NC
USD
164184.23000000
0.003496352176
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-793000000.00000000
MXN
38711724.58000000
USD
2022-01-28
164184.23000000
N
N
N
NEPTUNE ENERGY BONDCO
549300CPMT8I2QBRYF88
Neptune Energy Bondco PLC
64073KAA1
8985000.00000000
PA
USD
9175931.25000000
0.195404194428
Long
DBT
CORP
GB
N
2
2025-05-15
Fixed
6.62500000
N
N
N
N
N
N
IMA INDUSTRIA MACCHINE
815600D86992FDA7B908
IMA Industria Macchine Automatiche SpA
000000000
3950000.00000000
PA
4457923.47000000
0.094932810714
Long
DBT
CORP
IT
N
2
2028-01-15
Fixed
3.75000000
N
N
N
N
N
N
PG Receivables Finance LP
N/A
PG Receivables Finance
69356JAK9
4300000.00000000
PA
USD
4278500.00000000
0.091111934373
Long
ABS-O
CORP
CA
N
2
2025-07-20
Fixed
5.44000000
N
N
N
N
N
N
AFRICAN EXPORT-IMPORT BA
21380068LJCDYA42GJ76
African Export-Import Bank/The
00831TAA9
4880000.00000000
PA
USD
5033368.64000000
0.107187087344
Long
DBT
NUSS
N/A
N
2
2029-09-21
Fixed
3.99400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EC23
154180.57000000
PA
USD
169085.05000000
0.003600716601
Long
ABS-MBS
USGA
US
N
2
2035-03-20
Fixed
4.50000000
N
N
N
N
N
N
HOA Funding LLC
N/A
HOA Funding LLC - HOA
40390GAA6
10174500.00000000
PA
USD
10252141.61000000
0.218322415228
Long
ABS-O
CORP
US
N
2
2051-08-20
Fixed
4.72300000
N
N
N
N
N
N
Ballybunion Re 2020, 2/28/22
N/A
Ballybunion Re 2020, 2/28/22
000000000
6000000.00000000
PA
USD
1857000.00000000
0.039545369202
Long
DBT
CORP
BM
Y
2
2023-02-28
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36198RLP9
624865.88000000
PA
USD
678544.88000000
0.014449815724
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-338873.95000000
-0.00721642189
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-61295000.00000000
EUR
69562959.96000000
USD
2022-03-21
-338873.95000000
N
N
N
CONTOURGLOBAL POWER HLDG
549300O5AGIFK0PQ1516
ContourGlobal Power Holdings SA
000000000
1635000.00000000
PA
1826173.07000000
0.038888900527
Long
DBT
CORP
LU
N
2
2028-01-01
Fixed
3.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181VR81
45162.92000000
PA
USD
49703.27000000
0.001058445968
Long
ABS-MBS
USGA
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
Viribus Re 2020, 12/31/23
N/A
Viribus Re 2020, 12/31/23
000000000
4139570.00000000
PA
USD
33530.52000000
0.000714042430
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BK2
2305000.00000000
PA
USD
2221443.75000000
0.047306307622
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
5.00000000
N
N
N
N
N
N
HAT HOLDINGS I LLC/HAT
N/A
HAT Holdings I LLC / HAT Holdings II LLC
418751AE3
7615000.00000000
PA
USD
7691150.00000000
0.163785334592
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.37500000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2020-2A
64830XBY4
9255024.15000000
PA
USD
9166000.07000000
0.195192706987
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
2.59200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMA70
2200863.48000000
PA
USD
2337081.24000000
0.049768842483
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ACR1
1800000.00000000
PA
USD
264960.00000000
0.005642402274
Long
DBT
CORP
BM
Y
2
2023-12-01
None
0.00000000
N
N
N
N
N
N
AMERICAN AIRLINES/AADVAN
N/A
American Airlines Inc/AAdvantage Loyalty IP Ltd
00253XAB7
1955000.00000000
PA
USD
2087138.45000000
0.044446236177
Long
DBT
CORP
N/A
N
2
2029-04-20
Fixed
5.75000000
N
N
N
N
N
N
COMMONWEALTH OF BAHAMAS
549300W13SXC7EKNJC20
Bahamas Government International Bond
056732AL4
5815000.00000000
PA
USD
5342589.40000000
0.113772035712
Long
DBT
NUSS
BS
N
2
2032-10-15
Fixed
8.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176M3E1
3020.75000000
PA
USD
3278.70000000
0.000069820894
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
4.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE24 Mortgage Trust
12593JBL9
2484000.00000000
PA
USD
2294138.69000000
0.048854368065
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Variable
3.46300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335ABN7
1018823.78000000
PA
USD
1164757.97000000
0.024803868580
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.50000000
N
N
N
N
N
N
SENSATA TECHNOLOGIES INC
5493002MMDDCUNV7NY90
Sensata Technologies Inc
81728UAB0
1850000.00000000
PA
USD
1845375.00000000
0.039297811357
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage T
N/A
Ready Capital Mortgage Trust 2019-5
75575MAN8
5400000.00000000
PA
USD
5494129.02000000
0.116999117145
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
5.53397000
N
N
N
N
N
N
OWS CRE FUNDING I LLC
N/A
OWS Cre Funding I LLC
67114QAA2
2500000.00000000
PA
USD
2513578.73000000
0.053527409206
Long
DBT
CORP
US
N
2
2023-09-15
Floating
5.00975000
N
N
N
N
N
N
First Eagle BSL CLO LLC
N/A
First Eagle BSL CLO 2019-1 Ltd
32010FAC1
2250000.00000000
PA
USD
2246915.25000000
0.047848730816
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
4.48150000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182XT43
30662.77000000
PA
USD
32965.29000000
0.000702005688
Long
ABS-MBS
USGA
US
N
2
2044-10-15
Fixed
4.00000000
N
N
N
N
N
N
NOVA CHEMICALS CORP
549300ZOD6N7RI2FJP09
NOVA Chemicals Corp
66977WAR0
2566000.00000000
PA
USD
2732790.00000000
0.058195578622
Long
DBT
CORP
CA
N
2
2027-06-01
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F032625
33000000.00000000
PA
USD
34711810.98000000
0.739198374194
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.50000000
N
N
N
N
N
N
Woburn Re 2018, 12/31/21
N/A
Woburn Re 2018, 12/31/21
000000000
1826168.00000000
PA
USD
121272.93000000
0.002582543236
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
White Heron Re 2021, 6/30/25
N/A
White Heron Re 2021, 6/30/25
000000000
1500000.00000000
PA
USD
1507689.05000000
0.032106688273
Long
DBT
CORP
BM
Y
2
2025-06-30
Floating
0.01000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
USD/ZAR FORWARD
000000000
1.00000000
NC
USD
-111472.13000000
-0.00237383227
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-231330000.00000000
ZAR
14230896.71000000
USD
2022-03-25
-111472.13000000
N
N
N
HILCORP ENERGY I/HILCORP
N/A
Hilcorp Energy I LP / Hilcorp Finance Co
431318AV6
1240000.00000000
PA
USD
1277200.00000000
0.027198355166
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
6.00000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AK1
4144000.00000000
PA
USD
4191656.00000000
0.089262565475
Long
DBT
CORP
CA
N
2
2023-04-01
Fixed
7.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WMT2
106984.76000000
PA
USD
121794.73000000
0.002593655123
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180BJR3
118452.22000000
PA
USD
127100.99000000
0.002706653514
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGWV2
900896.61000000
PA
USD
996280.42000000
0.021216088873
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2021-4
81748WCG9
2494807.13000000
PA
USD
1997787.66000000
0.042543484438
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.67196900
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AF5
905000.00000000
PA
USD
948756.75000000
0.020204058137
Long
DBT
CORP
CA
N
2
2029-02-01
Fixed
5.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177QXK4
499519.91000000
PA
USD
549311.92000000
0.011697761272
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
4.00000000
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
3125000.00000000
PA
USD
3203125.00000000
0.068211502813
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.00000000
N
N
N
N
N
N
EDEN RE II LTD
549300LKX8PCP3SC3F42
Eden Re II Ltd
27954GAA1
155000.00000000
PA
USD
46360.50000000
0.000987260683
Long
DBT
CORP
BM
Y
2
2022-03-22
None
0.00000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CR1
2285000.00000000
PA
USD
2227875.00000000
0.047443263010
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AR2W0
465943.09000000
PA
USD
510094.58000000
0.010862616313
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
4.00000000
N
N
N
N
N
N
KBR INC
254900OFQDXZRKRCV808
KBR Inc
48242WAC0
3915000.00000000
PA
USD
3993300.00000000
0.085038515258
Long
DBT
CORP
US
N
2
2028-09-30
Fixed
4.75000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DS1
4800000.00000000
PA
USD
4309104.00000000
0.091763655686
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.12500000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-3
89175MAF0
7500000.00000000
PA
USD
7958836.50000000
0.169485798498
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Variable
3.87500000
N
N
N
N
N
N
VISTRA CORP
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAE2
1913000.00000000
PA
USD
2047505.00000000
0.043602230031
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.30000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corportation Trust 2021-IP
36262MAJ7
2200000.00000000
PA
USD
2196504.64000000
0.046775221832
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
3.66000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DS36
18955.56000000
PA
USD
21410.83000000
0.000455950014
Long
ABS-MBS
USGA
US
N
2
2032-05-20
Fixed
6.00000000
N
N
N
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AE4
7605000.00000000
PA
USD
7842808.35000000
0.167014944416
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
4.37500000
N
N
N
N
N
N
Oceanview Mortgage Trust
N/A
Oceanview Mortgage Trust 2021-3
67647VCF4
2606481.78000000
PA
USD
2400048.42000000
0.051109747373
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.72779000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376CAG4
1489257.21000000
PA
USD
1642280.77000000
0.034972859118
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292K2T3
365173.38000000
PA
USD
404010.30000000
0.008603519911
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Four Seas LP
54930044TCFC01YWTN84
Four Seas LP
35100LAB4
5500000.00000000
PA
USD
4857793.60000000
0.103448164469
Long
ABS-O
CORP
CA
N
2
2027-08-28
Fixed
5.92700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184NEC1
1185425.27000000
PA
USD
1260012.57000000
0.026832343715
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382CRQ6
2551377.28000000
PA
USD
284321.15000000
0.006054703741
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FM7M2
679201.38000000
PA
USD
734827.12000000
0.015648362821
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
FASST 2019-JR2
N/A
FASST 2019-JR2
31739GAA5
8094330.50000000
PA
USD
8836561.18000000
0.188177207506
Long
DBT
CORP
US
N
2
2069-06-25
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617A4JQ2
86749.47000000
PA
USD
93825.61000000
0.001998044366
Long
ABS-MBS
USGA
US
N
2
2045-09-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183CA55
14070.41000000
PA
USD
14951.23000000
0.000318390904
Long
ABS-MBS
USGA
US
N
2
2044-10-15
Fixed
4.00000000
N
N
N
N
N
N
BANK OF INDUSTRY LTD
5493006N5JD4B34R6G14
Bank of Industry Ltd
000000000
10062348.00000000
PA
USD
10097566.22000000
0.215030686167
Long
LON
CORP
NG
N
2
2023-12-11
Floating
6.19825000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAD8
2830000.00000000
PA
USD
2830000.00000000
0.060265694583
Long
DBT
CORP
N/A
N
2
2032-05-15
Fixed
3.00000000
N
N
N
N
N
N
CAPE LOOKOUT RE LTD
N/A
Cape Lookout Re Ltd
13947LAA0
3250000.00000000
PA
USD
3264625.00000000
0.069521163668
Long
DBT
CORP
BM
N
2
2022-02-25
Floating
0.01000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
682691AB6
5575000.00000000
PA
USD
5512281.25000000
0.117385674301
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.50000000
N
N
N
N
N
N
AMERICAN AIRLINES/AADVAN
N/A
American Airlines Inc/AAdvantage Loyalty IP Ltd
00253XAA9
2340000.00000000
PA
USD
2433307.50000000
0.051818009407
Long
DBT
CORP
N/A
N
2
2026-04-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YWF7
14976417.28000000
PA
USD
1165914.09000000
0.024828488501
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
3.50000000
N
N
N
N
N
N
PROMIGAS/GASES PACIFICO
N/A
Promigas SA ESP / Gases del Pacifico SAC
74348DAA5
2195000.00000000
PA
USD
2154392.50000000
0.045878431243
Long
DBT
CORP
N/A
N
2
2029-10-16
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401D3H2
10217.94000000
PA
USD
11249.61000000
0.000239563802
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
6.00000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADE9
756.00000000
PA
USD
40986.09000000
0.000872811018
Long
DBT
CORP
BM
Y
2
2025-03-01
None
0.00000000
N
N
N
N
N
N
GRINDING MEDIA INC
254900IYFJ03EGFQ8C34
Grinding Media Inc
39854KAB6
4453837.50000000
PA
USD
4456621.15000000
0.094905077420
Long
LON
CORP
US
N
2
2028-10-12
Floating
4.75000000
N
N
N
N
N
N
ANGLOGOLD HOLDINGS PLC
213800745ZIXC4L6A131
AngloGold Ashanti Holdings PLC
03512TAE1
4776000.00000000
PA
USD
4809336.48000000
0.102416255637
Long
DBT
CORP
IM
N
2
2030-10-01
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J8WM8
511141.33000000
PA
USD
541327.63000000
0.011527733434
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200AZZ5
37656.36000000
PA
USD
42997.51000000
0.000915644807
Long
ABS-MBS
USGA
US
N
2
2035-06-15
Fixed
5.50000000
N
N
N
N
N
N
Fair Square Issuance Trust
N/A
Fair Square Issuance Trust
303394AD2
4100000.00000000
PA
USD
4111197.10000000
0.087549169188
Long
ABS-O
CORP
US
N
2
2024-09-20
Fixed
6.86000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2020-RPL1
64828XAE3
13903950.00000000
PA
USD
14127041.66000000
0.300839568216
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.88227400
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2021-1 Receivables Funding LLC
82652QAD3
2560699.23000000
PA
USD
2551617.20000000
0.054337449777
Long
ABS-O
CORP
US
N
2
2037-11-20
Fixed
3.17000000
N
N
N
N
N
N
SHERWOOD FI 4.5% 11/15/26/EUR/
N/A
SHERWOOD FI 4.5% 11/15/26/EUR/
000000000
3215000.00000000
PA
3655702.15000000
0.077849268290
Long
DBT
CORP
GB
N
2
2026-11-15
Fixed
4.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-5
89173CAF4
3100000.00000000
PA
USD
3230110.41000000
0.068786165173
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
3.61215400
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201NHL7
12617.26000000
PA
USD
14044.08000000
0.000299072874
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
EDEN RE II LTD
549300LKX8PCP3SC3F42
Eden Re II Ltd
27955HAB6
6300000.00000000
PA
USD
5915700.00000000
0.125976596978
Long
DBT
CORP
BM
Y
2
2025-03-21
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36192S4A5
1354010.81000000
PA
USD
1453908.63000000
0.030961418179
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
NIELSEN FINANCE LLC/CO
N/A
Nielsen Finance LLC / Nielsen Finance Co
65409QBH4
1655000.00000000
PA
USD
1628089.70000000
0.034670656047
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CQ6
25979000.00000000
PA
USD
27097110.18000000
0.577041048130
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
41961000.00000000
PA
USD
42590415.00000000
0.906975598086
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371GRT9
297.69000000
PA
USD
329.35000000
0.000007013606
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FM67
53255.60000000
PA
USD
61584.70000000
0.001311464565
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
MODIVCARE ESCROW ISSUER
N/A
ModivCare Escrow Issuer Inc
60783XAA2
2655000.00000000
PA
USD
2711445.30000000
0.057741036865
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AP5
22175000.00000000
PA
103188.79000000
0.002197436078
Long
DBT
CORP
AR
N
2
2022-05-09
Fixed
16.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212TAK0
176.60000000
PA
USD
177.26000000
0.000003774804
Long
ABS-MBS
USGA
US
N
2
2031-05-15
Fixed
7.00000000
N
N
N
N
N
N
MINERVA LUXEMBOURG SA
222100NM3G3RCPGZ2Z17
Minerva Luxembourg SA
603374AE9
7401000.00000000
PA
USD
7891316.25000000
0.168047934624
Long
DBT
CORP
LU
N
2
2028-01-19
Fixed
5.87500000
N
N
N
N
N
N
WINDSTREAM ESCROW LLC
N/A
Windstream Escrow LLC / Windstream Escrow Finance Corp
97382WAA1
4270000.00000000
PA
USD
4528164.63000000
0.096428617178
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 II Pool
3617GSGY9
1551249.84000000
PA
USD
1695668.07000000
0.036109757604
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182BA66
239596.71000000
PA
USD
260231.40000000
0.005541705326
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JUWR1
53681.98000000
PA
USD
57705.39000000
0.001228853501
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF GUATEMALA
529900QKDFFU9UWW5315
Guatemala Government Bond
401494AT6
7305000.00000000
PA
USD
7204556.25000000
0.153423175467
Long
DBT
NUSS
GT
N
2
2033-10-07
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac - STACR
54930047IR7X5WWFY307
Freddie Mac Stacr Trust 2019-HQA1
35563MAH9
5530748.35000000
PA
USD
5576062.88000000
0.118743923146
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Floating
2.45275000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
Cleveland-Cliffs Inc
185899AL5
2889000.00000000
PA
USD
3001309.88000000
0.063913789603
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.87500000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2021-5
81748XCG7
1560132.43000000
PA
USD
1319391.83000000
0.028096842778
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
3.05751700
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-4
33852FBA3
242827303.56000000
PA
USD
1901993.42000000
0.040503517508
Long
ABS-MBS
CORP
US
N
2
2051-06-01
Variable
0.21740200
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AE8
3815000.00000000
PA
USD
4062669.80000000
0.086515765852
Long
DBT
CORP
CA
N
2
2027-02-01
Fixed
7.12500000
N
N
N
N
N
N
FLOODSMART RE LTD
549300KK1LNVFW95S875
FloodSmart Re Ltd
33975CAF2
750000.00000000
PA
USD
749250.00000000
0.015955502355
Long
DBT
CORP
BM
Y
2
2023-02-27
Floating
15.11548900
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-K88 Mortgage Trust
302971AT3
2900000.00000000
PA
USD
3181870.14000000
0.067758874227
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
4.38012800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LVQW6
81355.58000000
PA
USD
86821.24000000
0.001848884216
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS UNITED AIRLINES HOLDINGS, INC.
000000000
1.00000000
NC
USD
109604.33000000
0.002334056917
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
UNITED AIRLINES HOLDINGS
United Airlines Holdings Inc
Y
Default Event
2025-12-20
0.00000000
USD
-100824.51000000
USD
2000000.00000000
USD
210428.84000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205VU97
3639.47000000
PA
USD
4019.45000000
0.000085595387
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
BANQUE OUEST AFRICAINE D
529900LIZJABE4JJS826
Banque Ouest Africaine de Developpement
06675QAB9
2860000.00000000
PA
USD
3152234.80000000
0.067127780817
Long
DBT
NUSS
N/A
N
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C9
90291JAY3
67584000.00000000
PA
USD
1481758.92000000
0.031554498416
Long
ABS-MBS
CORP
US
N
2
2051-03-15
Variable
0.32432800
N
N
N
N
N
N
ADANI ELECTRICITY MUMBAI
335800AIC1B5EBFVUC38
Adani Electricity Mumbai Ltd
00654GAA1
2505000.00000000
PA
USD
2471959.00000000
0.052641104635
Long
DBT
CORP
IN
N
2
2030-02-12
Fixed
3.94900000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAK8
7310000.00000000
PA
USD
7466691.60000000
0.159005425977
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
3.12500000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXV Ltd
83614DAN5
1200000.00000000
PA
USD
1198341.60000000
0.025519042004
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
4.23375000
N
N
N
N
N
N
CA MAGNUM HOLDINGS
549300ZRDHFR078MFZ78
CA Magnum Holdings
12674CAA1
990000.00000000
PA
USD
1023412.50000000
0.021793874614
Long
DBT
CORP
MU
N
2
2026-10-31
Fixed
5.37500000
N
N
N
N
N
N
AHLSTROM-MUNKSJO HLDG 3
743700UEY0YM039XN974
Ahlstrom-Munksjo Holding 3 Oy
000000000
1950000.00000000
PA
2220741.02000000
0.047291342777
Long
DBT
CORP
FI
N
2
2028-02-04
Fixed
3.62500000
N
N
N
N
N
N
TULLOW OIL PLC
2138003EYHWO75RKS857
Tullow Oil PLC
899415AG8
6025000.00000000
PA
USD
6087599.75000000
0.129637253456
Long
DBT
CORP
GB
N
2
2026-05-15
Fixed
10.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183YDG0
60163.50000000
PA
USD
63945.74000000
0.001361743617
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YKFW8
3281910.88000000
PA
USD
3508265.03000000
0.074709550818
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
Walton Health Re 2019, 6/30/22
N/A
Walton Health Re 2019, 6/30/22
000000000
300000.00000000
PA
USD
250380.00000000
0.005331916823
Long
DBT
CORP
BM
Y
2
2022-06-30
Floating
0.01000000
N
N
N
N
N
N
FARMERS INS EXCH
549300UWG2TLX1GZVT44
Farmers Insurance Exchange
309601AE2
13080000.00000000
PA
USD
15103602.48000000
0.321635722323
Long
DBT
CORP
US
N
2
2057-11-01
Fixed
4.74700000
N
N
N
N
N
N
WIRECO WORLDGROUP INC
5493008NQ1Q5T2GZOJ37
WireCo WorldGroup Inc
000000000
1135000.00000000
PA
USD
1133581.25000000
0.024139951024
Long
LON
CORP
US
N
2
2028-11-12
Floating
4.75000000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2021-J1
74387MAZ2
2433164.61000000
PA
USD
2393896.25000000
0.050978735076
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.64429000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAJ9
1694000.00000000
PA
USD
1604929.48000000
0.034177452250
Long
DBT
CORP
US
N
2
N/A
Fixed
6.62500000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
CITIGROUP MORTGAGE LOAN TRUST 2021-INV2
17329RDN5
9016605.07000000
PA
USD
9217825.04000000
0.196296335189
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.99065000
N
N
N
N
N
N
CLEARWATER PAPER CORP
549300HCVV19GXN4P292
Clearwater Paper Corp
18538RAJ2
2288000.00000000
PA
USD
2328040.00000000
0.049576306579
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MQ55
66623.51000000
PA
USD
75695.76000000
0.001611963799
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
6.00000000
N
N
N
N
N
N
FASST 2019-JR4
N/A
FASST 2019-JR4
31740BAA3
9078224.04000000
PA
USD
9473037.82000000
0.201731167505
Long
DBT
CORP
US
N
2
2069-11-25
Fixed
2.00000000
N
N
N
N
N
N
Rosy Blue Carat S.A.
222100OTGQJOXUS2K930
Rosy Blue Carat SA
77862UAA6
1500000.00000000
PA
USD
1425000.00000000
0.030345800276
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
6.25000000
N
N
N
N
N
N
Thopas Re 2018, 12/31/21
N/A
Thopas Re 2018, 12/31/21
000000000
1000000.00000000
PA
USD
13600.00000000
0.000289616058
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31288GSX1
11748.44000000
PA
USD
12935.06000000
0.000275455963
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CBF7
43291438.69500000
PA
USD
48490639.18000000
1.032622632859
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176PRT5
4272.47000000
PA
USD
4700.67000000
0.000100102170
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-7FRB
46650AAP8
931000.00000000
PA
USD
880007.55000000
0.018740023406
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Variable
2.10740200
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAH5
9005000.00000000
PA
USD
9019678.15000000
0.192076738032
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6VJ4
96761.22000000
PA
USD
109661.95000000
0.002335283952
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
5.00000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
5560000.00000000
PA
7667285.17000000
0.163277125915
Long
DBT
CORP
IT
N
2
N/A
Fixed
7.75000000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
JG Wentworth XXII LLC
46616MAA8
598904.55000000
PA
USD
618664.03000000
0.013174635152
Long
ABS-O
CORP
US
N
2
2048-12-15
Fixed
3.82000000
N
N
N
N
N
N
Freddie Mac - STACR
549300RWLR7W4OBRM426
Freddie Mac STACR Trust 2019-HRP1
35564RCB8
5510000.00000000
PA
USD
5723978.65000000
0.121893833613
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Floating
4.15275000
N
N
N
N
N
N
PLANTRONICS INC
5493006O3W5M472F6668
Plantronics Inc
727493AC2
12551000.00000000
PA
USD
11970516.25000000
0.254915716018
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.75000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-223820.24000000
-0.00476631880
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-62791000.00000000
EUR
71342569.08000000
USD
2022-02-24
-223820.24000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176UVU6
38464.23000000
PA
USD
40886.71000000
0.000870694691
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AS5J9
11410441.60000000
PA
USD
2133427.38000000
0.045431972756
Long
ABS-MBS
USGSE
US
N
2
2042-07-15
Floating
5.92025000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138Y7J78
224982.77000000
PA
USD
240028.53000000
0.005111479180
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.00000000
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd
03880RAL3
5400000.00000000
PA
USD
5386764.60000000
0.114712759780
Long
ABS-CBDO
CORP
KY
N
2
2036-11-15
Floating
3.49000000
N
N
N
N
N
N
Genworth Mortgage Insurance Co
N/A
Traingle Re 2020-1 Ltd
89600MAD0
2290000.00000000
PA
USD
2332678.04000000
0.049675075025
Long
ABS-MBS
CORP
BM
N
2
2030-10-25
Floating
5.70188000
N
N
N
N
N
N
XCAL 2021-CT-2 Mortgage Trust
N/A
XCAL 2021-CT-2 MORTGAGE TRUST
98401WAA6
5200000.00000000
PA
USD
5201899.04000000
0.110775992508
Long
ABS-MBS
CORP
US
N
2
2023-04-06
Floating
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EBT5
200697.99000000
PA
USD
220008.33000000
0.004685143046
Long
ABS-MBS
USGA
US
N
2
2034-12-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176CCN3
3697.33000000
PA
USD
3929.66000000
0.000083683282
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XUZP3
134101.54000000
PA
USD
142300.07000000
0.003030322458
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.00000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2021-2 Ltd
75049GAC3
4680000.00000000
PA
USD
4796454.31000000
0.102141925982
Long
ABS-MBS
CORP
US
N
2
2031-11-25
Floating
5.04767000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YT4
15325000.00000000
PA
USD
16203275.90000000
0.345053595987
Long
DBT
CORP
US
N
2
2027-11-02
Fixed
3.81500000
N
N
N
N
N
N
CONTOURGLOBAL POWER HLDG
549300O5AGIFK0PQ1516
ContourGlobal Power Holdings SA
000000000
3240000.00000000
PA
3614965.20000000
0.076981762782
Long
DBT
CORP
LU
N
2
2026-01-01
Fixed
2.75000000
N
N
N
N
N
N
ADANIREN KODSOPAR WARSOM
N/A
Adani Renewable Energy RJ Ltd/Kodangal Solar Parks Pvt Ltd/Wardha Solar Maharash
00654CAA0
3967125.00000000
PA
USD
3999139.70000000
0.085162873412
Long
DBT
CORP
IN
N
2
2039-10-15
Fixed
4.62500000
N
N
N
N
N
N
BANCO DE LA CIUDAD BA
579100JKDKKIJDDJC094
Banco de la Ciudad de Buenos Aires
000000000
78000000.00000000
PA
262843.22000000
0.005597324812
Long
DBT
CORP
AR
N
2
2022-12-05
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CDA9
80018.76000000
PA
USD
84855.53000000
0.001807023835
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F032617
76000000.00000000
PA
USD
80031562.88000000
1.704296016108
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2020-K106 Mortgage Trust
30313WAE8
3900000.00000000
PA
USD
4102524.66000000
0.087364486990
Long
ABS-MBS
CORP
US
N
2
2053-03-25
Variable
3.58468200
N
N
N
N
N
N
FOUR LAKES RE LTD
549300MG4RRU6DT7MN54
Four Lakes Re Ltd
35087TAA6
1500000.00000000
PA
USD
1508250.00000000
0.032118633871
Long
DBT
CORP
BM
Y
2
2024-01-05
Floating
0.01000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2021-1
81747KCE1
3178973.72000000
PA
USD
3099071.17000000
0.065995645450
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
2.66613900
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
8965000.00000000
PA
9804918.66000000
0.208798669039
Long
DBT
NUSS
CI
N
2
2032-01-30
Fixed
4.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200K2A4
34934.25000000
PA
USD
40539.55000000
0.000863301815
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KDK7
77174.30000000
PA
USD
89517.20000000
0.001906295489
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
6.00000000
N
N
N
N
N
N
x-caliber funding llc
N/A
XCALI 2020-5 Mortgage Trust
98401JAA5
2400000.00000000
PA
USD
2412560.40000000
0.051376193721
Long
ABS-MBS
CORP
US
N
2
2023-10-15
Floating
4.25000000
N
N
N
N
N
N
BANQUE OUEST AFRICAINE D
529900LIZJABE4JJS826
Banque Ouest Africaine de Developpement
06675QAC7
8430000.00000000
PA
USD
9173188.80000000
0.195345793137
Long
DBT
NUSS
N/A
N
2
2031-10-22
Fixed
4.70000000
N
N
N
N
N
N
RED CARRETERAS OCCIDE
549300L1K86IY3XOY318
Red de Carreteras de Occidente SAB de CV
000000000
73500000.00000000
PA
3642492.22000000
0.077567958888
Long
DBT
CORP
MX
N
2
2028-06-10
Fixed
9.00000000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2021-INV1
74387VBA6
2920903.89000000
PA
USD
2840414.29000000
0.060487469997
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
2.80084000
N
N
N
N
N
N
ENLINK MIDSTREAM LLC
54930000GY1H533OBE23
EnLink Midstream LLC
29336TAA8
796000.00000000
PA
USD
813910.00000000
0.017332456352
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387DM71
334.11000000
PA
USD
368.61000000
0.000007849659
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HB3D8
62600.87000000
PA
USD
65187.14000000
0.001388179600
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ARDX0
4881375.00000000
PA
USD
5001761.91000000
0.106514012596
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAC7
3690000.00000000
PA
USD
3875238.00000000
0.082524349734
Long
DBT
CORP
US
N
2
2033-11-01
Fixed
3.87500000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAN9
2230000.00000000
PA
USD
2313625.00000000
0.049269334852
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
3.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200WYE5
2401.28000000
PA
USD
2662.92000000
0.000056707676
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
JOSEPH T RYERSON & SON I
54930086XMNNXPXPWJ34
Joseph T Ryerson & Son Inc
48088LAB3
2387000.00000000
PA
USD
2595862.52000000
0.055279667071
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
8.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CY72
86.35000000
PA
USD
95.35000000
0.000002030506
Long
ABS-MBS
USGA
US
N
2
2028-01-20
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F042616
125000000.00000000
PA
USD
133925781.25000000
2.851989480460
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
4.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-1
89173FAG5
5000000.00000000
PA
USD
5152273.50000000
0.109719201824
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
3.51724700
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24
61765LAY6
1250000.00000000
PA
USD
1286837.63000000
0.027403591374
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
4.34265200
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TBE8
6250000.00000000
PA
USD
7466085.00000000
0.158992508249
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Floating
7.44967000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2013-2
81745MAG6
1489339.26000000
PA
USD
1496341.09000000
0.031865030078
Long
ABS-MBS
CORP
US
N
2
2043-02-25
Variable
3.64748400
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36198K5N7
34196.31000000
PA
USD
36367.89000000
0.000774465071
Long
ABS-MBS
USGA
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAX4
34000000.00000000
PA
USD
33659146.60000000
0.716781572065
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
4.11000000
N
N
N
N
N
N
Palisades Center Trust
N/A
Palisades Center Trust 2016-PLSD
69640GAA3
3190000.00000000
PA
USD
2972620.32000000
0.063302836861
Long
ABS-MBS
CORP
US
N
2
2033-04-13
Fixed
2.71298000
N
N
N
N
N
N
Mello Mortgage Capital Accepta
N/A
Mello Mortgage Capital Acceptance 2021-MTG1
585495EJ9
3192261.05000000
PA
USD
3094950.08000000
0.065907885608
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.64724000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAA1
1665000.00000000
PA
USD
1727437.50000000
0.036786297098
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.87500000
N
N
N
N
N
N
ISTAR INC
QFFLKWYYS3UPWD86E794
iStar Inc
45031UCJ8
1740000.00000000
PA
USD
1800900.00000000
0.038350702959
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-KHG1 Mortgage Trust
30309FAJ0
6364000.00000000
PA
USD
6452035.12000000
0.137398013422
Long
ABS-MBS
CORP
US
N
2
2027-12-25
Variable
3.81185000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BUJ5
49254.85000000
PA
USD
55631.82000000
0.001184696209
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.00000000
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AH9
2590000.00000000
PA
USD
2573812.50000000
0.054810105314
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
3.87500000
N
N
N
N
N
N
BELLEMEADE RE LT
254900K56RF3Z7VQ3U81
Bellemeade Re 2019-1 Ltd
07876RAC0
3550000.00000000
PA
USD
3550008.52000000
0.075598490896
Long
ABS-MBS
CORP
BM
N
2
2029-03-25
Floating
2.80188000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176DCR2
6527.25000000
PA
USD
7076.66000000
0.000150699586
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
4.00000000
N
N
N
N
N
N
CLEARWAY ENERGY OP LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
18539UAD7
4030000.00000000
PA
USD
4019925.00000000
0.085605502579
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WBD5
4541885.00000000
PA
USD
4728981.14000000
0.100705064691
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Floating
4.00275000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183B7C6
50942.30000000
PA
USD
54120.72000000
0.001152516884
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS UNITED AIRLINES HOLDINGS, INC.
000000000
1.00000000
NC
USD
132895.26000000
0.002830044222
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
UNITED AIRLINES HOLDINGS
United Airlines Holdings Inc
Y
Default Event
2025-12-20
0.00000000
USD
-90316.61000000
USD
2425000.00000000
USD
223211.87000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-INV6
46654FAP3
4833339.86000000
PA
USD
4814376.73000000
0.102523589265
Long
ABS-MBS
CORP
US
N
2
2052-04-25
Variable
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210BGJ8
260.99000000
PA
USD
286.15000000
0.000006093649
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
7.00000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2020-3 Ltd
07877KAG5
3630000.00000000
PA
USD
3772785.32000000
0.080342589337
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
4.95188000
N
N
N
N
N
N
ANR Inc
54930073NMZSTQ358I60
ANR Inc
03634H118
1880020.00000000
NS
USD
11280.12000000
0.000240213521
Long
EC
CORP
US
N
1
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAB2
3583000.00000000
PA
USD
3896512.54000000
0.082977397412
Long
DBT
CORP
N/A
N
2
2030-01-15
Fixed
5.50000000
N
N
N
N
N
N
DEVELOPMENT BANK OF KAZA
213800LCDPGJ1BI7KX98
Development Bank of Kazakhstan JSC
000000000
1923750000.00000000
PA
4367719.51000000
0.093011890465
Long
DBT
CORP
KZ
N
2
2025-02-12
Fixed
10.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417BA31
647240.51000000
PA
USD
710763.17000000
0.015135913824
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183C3Q7
7360.87000000
PA
USD
7823.73000000
0.000166608665
Long
ABS-MBS
USGA
US
N
2
2044-11-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201U5M2
36951.68000000
PA
USD
41786.77000000
0.000889861737
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
Signal Peak CLO, LLC
549300SC4HK60KIV1S28
Signal Peak CLO 2 LLC
56844XBN8
3500000.00000000
PA
USD
3515886.50000000
0.074871852296
Long
ABS-CBDO
CORP
US
N
2
2029-04-20
Floating
2.98150000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-K66 Mortgage Trust
35708QAU7
2340000.00000000
PA
USD
2542753.98000000
0.054148704862
Long
ABS-MBS
CORP
US
N
2
2027-07-25
Variable
4.03534000
N
N
N
N
N
N
SUSSEX CAP UK PCC LTD
5493000Y0TDZ1NVT8T25
Sussex Capital UK Pcc Ltd
869255AA7
750000.00000000
PA
USD
771750.00000000
0.016434646570
Long
DBT
CORP
GB
Y
2
2025-01-08
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200D2Y8
9322.15000000
PA
USD
10227.83000000
0.000217804692
Long
ABS-MBS
USGA
US
N
2
2032-10-15
Fixed
6.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-14
46653QCA1
4692072.56000000
PA
USD
4834301.95000000
0.102947902771
Long
ABS-MBS
CORP
US
N
2
2052-05-25
Variable
3.17035000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408BRF7
55554.00000000
PA
USD
63315.62000000
0.001348325023
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493005RUXPCBST1N217
Freddie Mac Stacr Trust 2018-HQA2
35563XAH5
4580000.00000000
PA
USD
4633143.11000000
0.098664165240
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Floating
2.40275000
N
N
N
N
N
N
522 Funding CLO LTD
N/A
ASSURANT CLO LTD
33830NAA4
5000000.00000000
PA
USD
4959300.00000000
0.105609773550
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
7.46375000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181KAH3
72515.89000000
PA
USD
77310.31000000
0.001646346123
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
PRECISION DRILLING CORP
549300WF2OE8T5BP4B84
Precision Drilling Corp
740212AM7
2500000.00000000
PA
USD
2548050.00000000
0.054261485188
Long
DBT
CORP
CA
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
DESARROLLADORA HOMEX SAB DE CV
000000000
209523.00000000
NC
0.00000000
0.000000
N/A
DE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
Call
Purchased
Desarrolladora Homex SAB de CV
Desarrolladora Homex SAB de CV
1.00000000
0.01000000
MXN
2022-10-23
XXXX
-0.01000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A2LX2
3764.36000000
PA
USD
4099.52000000
0.000087300501
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MBXZ4
385734.85000000
PA
USD
420123.08000000
0.008946646369
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XBD1
6630000.00000000
PA
USD
6975033.82000000
0.148535426822
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
6.10275000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620C33H3
100755.69000000
PA
USD
109481.44000000
0.002331439938
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
4.00000000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
N/A
Benefit Street Partners CLO XIX Ltd
08182RAG8
1600000.00000000
PA
USD
1599979.20000000
0.034072034560
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
3.92375000
N
N
N
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564ACB5
4550000.00000000
PA
USD
4824682.14000000
0.102743046046
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
4.30275000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXVIII Ltd
83615FAA7
3000000.00000000
PA
USD
2978172.00000000
0.063421061544
Long
ABS-CBDO
CORP
KY
N
2
2032-01-25
Floating
7.02388000
N
N
N
N
N
N
Bayview MSR Opportunity Master
N/A
Oceanview Mortgage Trust 2021-INV1
67647TCF9
3200286.43000000
PA
USD
3247139.58000000
0.069148806430
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
3.24679000
N
N
N
N
N
N
SPIRIT AIRLINES INC
549300DCAFIXFNFR3304
Spirit Airlines Inc
848577AB8
5156000.00000000
PA
USD
4444681.28000000
0.094650814326
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
Formby Re 2018, 2/28/22
N/A
Formby Re 2018, 2/28/22
000000000
1750000.00000000
PA
USD
214900.00000000
0.004576359634
Long
DBT
CORP
BM
Y
2
2023-02-28
Floating
0.01000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AB9
9425000.00000000
PA
USD
11503568.58000000
0.244971926030
Long
DBT
CORP
US
N
2
2028-09-30
Fixed
6.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381XEA0
9928501.54000000
PA
USD
722638.04000000
0.015388792725
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Floating
3.19612000
N
N
N
N
N
N
BELLEMEADE RE LT
254900I4ZKD8IMM1O953
Bellemeade Re 2019-2 Ltd
07877BAJ9
3910000.00000000
PA
USD
3929444.04000000
0.083678683533
Long
ABS-MBS
CORP
BM
N
2
2029-04-25
Floating
4.20188000
N
N
N
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp
62886EAY4
2415000.00000000
PA
USD
2487450.00000000
0.052970990103
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2021-RPL1
36261WAJ6
4900000.00000000
PA
USD
4780895.21000000
0.101810590304
Long
ABS-MBS
CORP
US
N
2
2060-12-25
Variable
2.75000000
N
N
N
N
N
N
Merion Re 2021-2, 12/31/24
N/A
Merion Re 2021-2, 12/31/24
000000000
9000000.00000000
PA
USD
8505000.00000000
0.181116513227
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181BUN8
66833.52000000
PA
USD
71599.58000000
0.001524734424
Long
ABS-MBS
USGA
US
N
2
2043-09-15
Fixed
4.00000000
N
N
N
N
N
N
Fort Washington CLO 2019-1
N/A
Fort Washington CLO 2019-1
34919EAE8
3300000.00000000
PA
USD
3273091.80000000
0.069701466700
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Floating
6.88150000
N
N
N
N
N
N
Pangaea Re 2021-1, 12/31/24
N/A
Pangaea Re 2021-1, 12/31/24
000000000
4500000.00000000
PA
USD
4384350.00000000
0.093366041713
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33
61767CAC2
2000000.00000000
PA
USD
1866675.40000000
0.039751409732
Long
ABS-MBS
CORP
US
N
2
2050-05-15
Fixed
3.35600000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAU1
5545000.00000000
PA
USD
5683153.68000000
0.121024453693
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AX44
4170252.49000000
PA
USD
4607000.28000000
0.098107445873
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FAD5
1471.01000000
PA
USD
1628.41000000
0.000034677476
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-8
46592TCC5
8589735.40000000
PA
USD
8449595.58000000
0.179936659569
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.86877300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FRQB4
238188.87000000
PA
USD
255738.38000000
0.005446025124
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176W2Z3
6289.44000000
PA
USD
6849.77000000
0.000145867896
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
4.00000000
N
N
N
N
N
N
Isosceles Re 2021-A1, 5/31/25
N/A
Isosceles Re 2021-A1, 5/31/25
000000000
1500000.00000000
PA
USD
1499550.00000000
0.031933364774
Long
DBT
CORP
BM
Y
2
2025-05-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184CAQ8
44140.21000000
PA
USD
46914.12000000
0.000999050186
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290YUW6
58946.57000000
PA
USD
66063.47000000
0.001406841309
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176XCU1
2795.07000000
PA
USD
3037.16000000
0.000064677228
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
4.00000000
N
N
N
N
N
N
Slide 2018-Fun
N/A
SLIDE 2018-FUN
831350AN3
1763307.90000000
PA
USD
1710007.16000000
0.036415112805
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Floating
2.66000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
351880.00000000
PA
USD
127560.02000000
0.002716428694
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
La Hipotecaria SA
N/A
La Hipotecaria Panamanian Mortgage Trust 2010-1
50346RAA6
412937.86000000
PA
USD
423261.31000000
0.009013475914
Long
ABS-MBS
CORP
PA
N
2
2039-09-08
Floating
2.75000000
N
N
N
N
N
N
TMS INTERNATIONAL CORP
549300L4K0F1YF8WKF23
TMS International Corp/DE
87261QAC7
4375000.00000000
PA
USD
4353125.00000000
0.092701096019
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
6.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182Q3H7
464945.48000000
PA
USD
506282.30000000
0.010781432673
Long
ABS-MBS
USGA
US
N
2
2044-08-15
Fixed
4.00000000
N
N
N
N
N
N
MIDAS OPCO HOLDINGS LLC
N/A
Midas OpCo Holdings LLC
59565JAA9
11354000.00000000
PA
USD
11623657.50000000
0.247529255420
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
5.62500000
N
N
N
N
N
N
Lion Rock Re 2019, 1/31/22
N/A
Lion Rock Re 2019, 1/31/22
000000000
500000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2023-01-31
Floating
0.01000000
N
N
N
N
N
N
BELLEMEADE RE LT
254900I4ZKD8IMM1O953
Bellemeade Re 2019-2 Ltd
07877BAG5
5350000.00000000
PA
USD
5403539.59000000
0.115069988198
Long
ABS-MBS
CORP
BM
N
2
2029-04-25
Floating
3.20188000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180HHP6
2871.08000000
PA
USD
3153.94000000
0.000067164093
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296DA40
165947.54000000
PA
USD
192817.03000000
0.004106096198
Long
ABS-MBS
USGA
US
N
2
2038-07-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183VZ98
122128.66000000
PA
USD
130031.28000000
0.002769054914
Long
ABS-MBS
USGA
US
N
2
2044-12-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176SQV5
12499.09000000
PA
USD
13265.23000000
0.000282487031
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AV6T4
40442.82000000
PA
USD
44323.30000000
0.000943877901
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382AFH3
36300923.92000000
PA
USD
2853332.48000000
0.060762566708
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MLZ4
7022.30000000
PA
USD
7714.37000000
0.000164279811
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414AQQ8
46342.74000000
PA
USD
53647.32000000
0.001142435689
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XDMH0
51923.35000000
PA
USD
55230.79000000
0.001176156156
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBD0
5100000.00000000
PA
USD
5092969.65000000
0.108456308640
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
2.69967000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
EUR/USD FORWARD
000000000
1.00000000
NC
USD
180235.56000000
0.003838170039
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-11035000.00000000
EUR
12750369.17000000
USD
2022-01-27
180235.56000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AMPA4
2979.66000000
PA
USD
3276.60000000
0.000069776174
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
4.00000000
N
N
N
N
N
N
Lear Corp
549300UPNBTXA1SYTQ33
Lear Corp
521865204
1316.00000000
NS
USD
240762.20000000
0.005127102901
Long
EC
CORP
US
N
1
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAA3
4435000.00000000
PA
USD
4479350.00000000
0.095389095064
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414SYM9
126305.77000000
PA
USD
143209.63000000
0.003049691810
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.00000000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-2 Ltd
26982AAG9
10620000.00000000
PA
USD
10645170.46000000
0.226692081884
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
4.29967000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BN2
4351000.00000000
PA
USD
4438020.00000000
0.094508960380
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297BL90
52037.37000000
PA
USD
58484.04000000
0.001245435085
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANC76
3359964.02000000
PA
USD
3713926.96000000
0.079089182995
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
ZH Trust
N/A
ZH Trust 2021-2
98879FAB4
5770000.00000000
PA
USD
5514450.74000000
0.117431874238
Long
ABS-MBS
CORP
US
N
2
2027-10-17
Fixed
3.50600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184DV75
57173.31000000
PA
USD
60760.70000000
0.001293917239
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
Pine Valley Re 2021, 12/31/24
N/A
Pine Valley Re 2021, 12/31/24
000000000
500000.00000000
PA
USD
496235.00000000
0.010567472421
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAK7
7500000.00000000
PA
USD
7987500.00000000
0.170096196285
Long
DBT
CORP
NL
N
2
2028-03-01
Fixed
6.75000000
N
N
N
N
N
N
Oaktown Re Ltd
254900KOPN6EP9T3LD85
Oaktown Re II Ltd
67400CAB4
4070000.00000000
PA
USD
4087974.34000000
0.087054633583
Long
ABS-MBS
CORP
US
N
2
2028-07-25
Floating
2.95188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B47J1
3803688.09000000
PA
USD
389146.20000000
0.008286984465
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
5.94812000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
IDR/USD FORWARD
000000000
1.00000000
NC
USD
5669.96000000
0.000120743490
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-603971.02000000
USD
8750000000.00000000
IDR
2022-03-24
5669.96000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297KGQ9
49232.38000000
PA
USD
55172.34000000
0.001174911445
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.00000000
N
N
N
N
N
N
LONGPOINT RE LTD III
549300X8D4F49UZO0Y39
Long Point Re III Ltd
542799AD3
4900000.00000000
PA
USD
4898040.00000000
0.104305223568
Long
DBT
CORP
KY
Y
2
2022-06-01
Floating
0.01000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-1058364.65000000
-0.02253819107
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-50399129.27000000
USD
43315000.00000000
EUR
2022-01-27
-1058364.65000000
N
N
N
AMAGGI LUX INTL SARL
N/A
Amaggi Luxembourg International Sarl
02265WAA3
7305000.00000000
PA
USD
7378123.05000000
0.157119332273
Long
DBT
CORP
LU
N
2
2028-01-28
Fixed
5.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176MWE9
661783.65000000
PA
USD
718299.10000000
0.015296393703
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.00000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
54930025J96YEH8FQE77
CSAIL 2015-C4 Commercial Mortgage Trust
12635RBE7
2680000.00000000
PA
USD
2651680.71000000
0.056468332085
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Variable
3.56055400
N
N
N
N
N
N
Mercury Financial Credit Card
N/A
Mercury Financial Credit Card Master Trust
58940BAB2
7750000.00000000
PA
USD
7684678.35000000
0.163647518874
Long
ABS-O
CORP
US
N
2
2026-03-20
Fixed
2.33000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAL9
4500000.00000000
PA
USD
4584600.00000000
0.097630425225
Long
DBT
CORP
KY
N
2
2030-06-18
Fixed
4.37500000
N
N
N
N
N
N
VITALITY RE X LTD
N/A
Vitality Re X Ltd
92850FAA2
1500000.00000000
PA
USD
1469700.00000000
0.031297700116
Long
DBT
CORP
KY
Y
2
2023-01-10
Floating
0.01000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-INV4
46654DAT0
4169169.39000000
PA
USD
4285748.96000000
0.091266303139
Long
ABS-MBS
CORP
US
N
2
2052-01-25
Variable
3.24065900
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6VG0
141652.01000000
PA
USD
160549.94000000
0.003418958886
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182Q2N5
74138.91000000
PA
USD
79136.45000000
0.001685234320
Long
ABS-MBS
USGA
US
N
2
2044-05-15
Fixed
4.00000000
N
N
N
N
N
N
ATLAS LUXCO 4 / ALL UNI
N/A
Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl
049362AA4
1025000.00000000
PA
USD
1006022.13000000
0.021423541495
Long
DBT
CORP
N/A
N
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724BM3
9575000.00000000
PA
USD
8524239.50000000
0.181526224122
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
7.37500000
N
N
N
N
N
N
NEXTERA ENERGY OPERATING
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAB8
2336000.00000000
PA
USD
2522880.00000000
0.053725482527
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.50000000
N
N
N
N
N
N
Genworth Mortgage Insurance Co
N/A
Traingle Re 2020-1 Ltd
89600MAE8
830000.00000000
PA
USD
853836.85000000
0.018182710539
Long
ABS-MBS
CORP
BM
N
2
2030-10-25
Floating
7.85188000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2021-J1
74387MBA6
3568310.39000000
PA
USD
3440777.55000000
0.073272384791
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.64429000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176QVF8
15612.42000000
PA
USD
17168.55000000
0.000365609396
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
VERINT SYSTEMS INC
549300KEQJS5FRVUCO94
Verint Systems Inc
92343XAB6
4819000.00000000
PA
USD
5129343.60000000
0.109230902760
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
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BC38
595555.60000000
PA
USD
631289.06000000
0.013443488934
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
ALLIANCE DATA SYSTEMS CO
549300G8S4PO686J7H97
Alliance Data Systems Corp
018581AL2
9395000.00000000
PA
USD
9864750.00000000
0.210072795280
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.00000000
N
N
N
N
N
N
Crossroads Asset Trust
N/A
Crossroads Asset Trust 2021-A
22767CAF7
1000000.00000000
PA
USD
986159.10000000
0.021000552343
Long
ABS-O
CORP
US
N
2
2028-01-20
Fixed
5.48000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407HVK9
22317.16000000
PA
USD
24649.68000000
0.000524922292
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.50000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BT9
1240000.00000000
PA
USD
1178000.00000000
0.025085861561
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
3.75000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2019-PJ3
36257QAU0
1490000.00000000
PA
USD
1535757.01000000
0.032704403858
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
4.00369000
N
N
N
N
N
N
HERBIE RE LTD
N/A
Herbie Re Ltd
42703VAC7
500000.00000000
PA
USD
524450.00000000
0.011168319266
Long
DBT
CORP
BM
Y
2
2025-01-08
Floating
0.01000000
N
N
N
N
N
N
SOTHEBY'S
549300P5BAAMQQ7VL735
Sotheby's
835898AH0
4035000.00000000
PA
USD
4297275.00000000
0.091511753601
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
7.37500000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17326QAF0
2029190.00000000
PA
USD
1992111.02000000
0.042422598695
Long
ABS-MBS
CORP
US
N
2
2064-09-25
Variable
3.14283400
N
N
N
N
N
N
Lion Rock Re 2021, 12/31/24
N/A
Lion Rock Re 2021, 12/31/24
000000000
500000.00000000
PA
USD
390450.00000000
0.008314749275
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
BANCO MERCANTIL DE NORTE
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA/Grand Cayman
05971PAC2
3460000.00000000
PA
USD
3970384.60000000
0.084550524976
Long
DBT
CORP
MX
N
2
N/A
Fixed
8.37500000
N
N
N
N
N
N
ALTURAS RE 2019-1, 3/10/23 (144A)
N/A
ALTURAS RE 2019-1, 3/10/23 (144A)
000000000
2201.00000000
PA
USD
14852.13000000
0.000316280540
Long
DBT
CORP
BM
Y
2
2023-03-10
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SNW3
2843827.71000000
PA
USD
3059506.73000000
0.065153108892
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ACBG1
127967.04000000
PA
USD
144999.28000000
0.003087802941
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Harambee Re 2018, 12/31/21
N/A
Harambee Re 2018, 12/31/21
000000000
3000000.00000000
PA
USD
5400.00000000
0.000114994611
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2021-1 Ltd
437307AD3
4685000.00000000
PA
USD
4569196.17000000
0.097302396068
Long
ABS-MBS
CORP
BM
N
2
2033-07-25
Floating
2.95188000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2021-K131 Mortgage Trust
30320UAQ6
18374996.00000000
PA
USD
129889.17000000
0.002766028639
Long
ABS-MBS
CORP
US
N
2
2054-09-25
Fixed
0.10000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJA8
8025000.00000000
PA
USD
8060366.18000000
0.171647903334
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
3.09967000
N
N
N
N
N
N
LIBERTY MUTUAL INSURANCE
CNC20I6IOMGF7KY49D67
Liberty Mutual Insurance Co
53079QAD9
22651000.00000000
PA
USD
35714053.91000000
0.760541436497
Long
DBT
CORP
US
N
2
2097-10-15
Fixed
7.69700000
N
N
N
N
N
N
Multifamily Structured Credit
N/A
Freddie Mac Multifamily Structured Credit Risk
35563GAB5
6000000.00000000
PA
USD
5999992.20000000
0.127771624533
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Floating
4.04967000
N
N
N
N
N
N
LIGHT SERVICOS ENERGIA
N/A
Light Servicos de Eletricidade SA/Light Energia SA
53227QAB4
9225000.00000000
PA
USD
9211254.75000000
0.196156418903
Long
DBT
CORP
BR
N
2
2026-06-18
Fixed
4.37500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746804
61824.00000000
NS
USD
92150526.72000000
1.962372967858
Long
EP
CORP
US
N
1
N
N
N
Small Business Lending Trust
N/A
Small Business Lending Trust 2019-A
831645AC0
5000000.00000000
PA
USD
5025392.00000000
0.107017222415
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
4.31000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2019-GC44 Mortgage Trust
12655TAG4
2411000.00000000
PA
USD
2137250.72000000
0.045513391922
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419JSV1
1456813.02000000
PA
USD
1605547.79000000
0.034190619346
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177Q7M9
468142.41000000
PA
USD
496930.00000000
0.010582272653
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFT1
1171501.88000000
PA
USD
1323419.08000000
0.028182604269
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Alturas Re 2021-3, 7/31/25
N/A
Alturas Re 2021-3, 7/31/25
000000000
236951.00000000
PA
USD
228634.02000000
0.004868829689
Long
DBT
CORP
BM
Y
2
2025-07-31
Floating
0.01000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AQ2
9395000.00000000
PA
USD
11270097.22000000
0.240000083741
Long
DBT
CORP
IT
N
2
2034-04-02
Fixed
7.29600000
N
N
N
N
N
N
ACCESS BANK PLC
029200328C3N9YI2D660
Access Bank PLC
00434G2B5
5180000.00000000
PA
USD
5154100.00000000
0.109758097686
Long
DBT
CORP
NG
N
2
2026-09-21
Fixed
6.12500000
N
N
N
N
N
N
Berwick Re 2019-1, 12/31/22
N/A
Berwick Re 2019-1, 12/31/22
000000000
9947951.00000000
PA
USD
1188780.14000000
0.025315427860
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
IDR/USD FORWARD
000000000
1.00000000
NC
USD
338325.96000000
0.007204752288
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-38434903.05000000
USD
555000000000.00000000
IDR
2022-02-28
338325.96000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202UAJ2
113150.91000000
PA
USD
124840.30000000
0.002658511445
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Stacr Remic Trust 2020-HQA2
35565LAH9
3877736.66000000
PA
USD
3923041.81000000
0.083542346134
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
3.20275000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5VP2
54669.35000000
PA
USD
63435.58000000
0.001350879607
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
143658BL5
560000.00000000
PA
USD
587020.00000000
0.012500766089
Long
DBT
CORP
PA
N
2
2026-03-01
Fixed
7.62500000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2007-2
07325XAN0
6701984.73000000
PA
USD
0.67000000
0.000000014267
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KABX3
803946.94000000
PA
USD
847554.65000000
0.018048929215
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
TRICIDA INC
549300QVPFFJC8SZXG25
Tricida Inc
89610FAB7
7025000.00000000
PA
USD
3868667.50000000
0.082384428975
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.50000000
N
N
N
N
Y
TRICIDA INC
Tricida Inc
USD
XXXX
N
N
N
FASST 2019-JR3
N/A
FASST 2019-JR3
31739LAA4
5861806.99000000
PA
USD
6303354.64000000
0.134231818228
Long
DBT
CORP
US
N
2
2069-09-25
Fixed
2.00000000
N
N
N
N
N
N
EGYPT GOVERNMENT BOND
529900GFIVH4086NMH82
Egypt Government Bond
000000000
197044000.00000000
PA
13160849.71000000
0.280264222291
Long
DBT
NUSS
EG
N
2
2027-11-07
Fixed
15.70000000
N
N
N
N
N
N
United Wholesale Mortgage LLC
N/A
UWM Mortgage Trust 2021-INV4
918307BF5
3594073.04000000
PA
USD
3610428.59000000
0.076885154318
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
3.23459000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AR0
3955000.00000000
PA
USD
4182412.50000000
0.089065722384
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182WCZ4
398971.65000000
PA
USD
433544.61000000
0.009232461856
Long
ABS-MBS
USGA
US
N
2
2044-08-15
Fixed
4.00000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153BG6
5295000.00000000
PA
USD
5356210.20000000
0.114062094713
Long
DBT
CORP
LR
N
2
2028-04-01
Fixed
5.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2020-KF83 Mortgage Trust
302696AA7
4238633.37000000
PA
USD
4273016.32000000
0.090995157771
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
9.09400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FG5Y1
226662.16000000
PA
USD
238805.70000000
0.005085438650
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
MFRA Trust
N/A
MFA 2021-RPL1 Trust
55283QAD6
7172000.00000000
PA
USD
7058310.89000000
0.150308836881
Long
ABS-MBS
CORP
US
N
2
2060-07-25
Variable
2.85470000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKZS7
126829.46000000
PA
USD
143464.85000000
0.003055126796
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297F5X6
4145.81000000
PA
USD
4491.67000000
0.000095651453
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
4.00000000
N
N
N
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAG2
15145000.00000000
PA
USD
15279714.78000000
0.325386086310
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
5.45000000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AS8
13220000.00000000
PA
USD
14164965.60000000
0.301647169837
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.37500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA1
35564KCP2
6410000.00000000
PA
USD
6552665.45000000
0.139540966331
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
5.04967000
N
N
N
N
N
N
INSMED INC
529900Q55QAG41CCAC11
Insmed Inc
457669AA7
3493000.00000000
PA
USD
3586961.70000000
0.076385419892
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
1.75000000
N
N
N
N
Y
Insmed Inc
Insmed Inc
USD
XXXX
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2021-2
74388JAW5
2856468.56000000
PA
USD
2703903.72000000
0.057580436669
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.35700000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCD1
94000000.00000000
PA
USD
93419843.28000000
1.989403442818
Long
DBT
UST
US
N
2
2023-05-31
Fixed
0.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2JQ6
33975.90000000
PA
USD
37329.58000000
0.000794944546
Long
ABS-MBS
USGA
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
Harambee Re 2020, 12/31/23
N/A
Harambee Re 2020, 12/31/23
000000000
3000000.00000000
PA
USD
117300.00000000
0.002497938506
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
RESIDENTIAL RE 2020 LTD
N/A
Residential Reinsurance 2020 Ltd
76120AAC6
1500000.00000000
PA
USD
1536000.00000000
0.032709578403
Long
DBT
CORP
KY
Y
2
2024-12-06
Floating
0.01000000
N
N
N
N
N
N
Viribus Re 2019, 12/31/22
N/A
Viribus Re 2019, 12/31/22
000000000
3650000.00000000
PA
USD
152570.00000000
0.003249023682
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AA5
5196000.00000000
PA
USD
5446992.78000000
0.115995336847
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
Freddie Mac - STACR
54930047IR7X5WWFY307
Freddie Mac Stacr Trust 2019-HQA1
35563MBD7
3000000.00000000
PA
USD
3084408.60000000
0.065683401646
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Floating
4.50275000
N
N
N
N
N
N
SIMMONS FOOD INC/SIMMONS
N/A
Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed
82873MAA1
1200000.00000000
PA
USD
1182000.00000000
0.025171042755
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.62500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2020-DUNE
36258BAW8
5200000.00000000
PA
USD
4948015.80000000
0.105369473144
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
4.11000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GVE92
1293164.96000000
PA
USD
1399170.63000000
0.029795756133
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
ENERGIZER GAMMA ACQ BV
5493002SUYZDHEQ3JN34
Energizer Gamma Acquisition BV
000000000
6020000.00000000
PA
6616519.90000000
0.140900765901
Long
DBT
CORP
NL
N
2
2029-06-30
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182NCD3
88213.26000000
PA
USD
94870.76000000
0.002020301147
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-7
46592NCC8
6696131.65000000
PA
USD
6566927.78000000
0.139844686905
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.82041000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387WK22
261.24000000
PA
USD
268.00000000
0.000005707139
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
7.00000000
N
N
N
N
N
N
Harambee Re 2019, 12/31/22
N/A
Harambee Re 2019, 12/31/22
000000000
5000000.00000000
PA
USD
5500.00000000
0.000117124141
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2021-KG05 Mortgage Trust
30318WAJ2
123332856.00000000
PA
USD
879067.26000000
0.018719999650
Long
ABS-MBS
CORP
US
N
2
2031-01-25
Fixed
0.10000000
N
N
N
N
N
N
Pangaea Re 2020-1, 2/1/24
N/A
Pangaea Re 2020-1, 2/1/24
000000000
3850570.00000000
PA
USD
81716.64000000
0.001740180236
Long
DBT
CORP
BM
Y
2
2024-02-01
Floating
0.01000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCD3
6000000.00000000
PA
USD
6240000.00000000
0.132882662262
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
BIMBO BAKERIES USA INC
549300HOXXHHT7926W92
Bimbo Bakeries USA Inc
09031WAA1
1510000.00000000
PA
USD
1636870.20000000
0.034857639415
Long
DBT
CORP
US
N
2
2051-05-17
Fixed
4.00000000
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
Air Canada
008911BK4
1920000.00000000
PA
USD
1958400.00000000
0.041704712463
Long
DBT
CORP
CA
N
2
2026-08-15
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296QKJ7
294816.53000000
PA
USD
330639.81000000
0.007041073429
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
4.50000000
N
N
N
N
N
N
KREF 2021-FL2 Ltd
54930083ELM2GCMVTQ91
KREF 2021-FL2 Ltd
48275RAG2
2150000.00000000
PA
USD
2147424.30000000
0.045730041344
Long
ABS-CBDO
CORP
KY
N
2
2039-02-15
Floating
2.10863000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030617
41000000.00000000
PA
USD
42436601.46000000
0.903700092848
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389GRE2
274.75000000
PA
USD
312.18000000
0.000006647966
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GUG6
2175.05000000
PA
USD
2311.22000000
0.000049218119
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
4.00000000
N
N
N
N
N
N
BRITISH AIR 19-1 AA PTT
N/A
British Airways 2019-1 Class AA Pass Through Trust
11043XAA1
5076652.40000000
PA
USD
5227910.75000000
0.111329919636
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292JUH0
25397.69000000
PA
USD
27945.14000000
0.000595100096
Long
ABS-MBS
USGA
US
N
2
2035-12-15
Fixed
5.50000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2021-FL7 Ltd
55284AAJ7
4500000.00000000
PA
USD
4455423.00000000
0.094879562459
Long
ABS-CBDO
CORP
KY
N
2
2036-10-16
Floating
2.65750000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183E3J9
291311.37000000
PA
USD
316559.75000000
0.006741234350
Long
ABS-MBS
USGA
US
N
2
2044-12-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WH39
693869.08000000
PA
USD
787129.26000000
0.016762152502
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
EDEN RE II LTD
549300LKX8PCP3SC3F42
Eden Re II Ltd
27954GAB9
232500.00000000
PA
USD
73516.50000000
0.001565555807
Long
DBT
CORP
BM
Y
2
2022-03-22
None
0.00000000
N
N
N
N
N
N
OLYMPUS WTR US HLDG CORP
549300YU2GGVCBN3MY89
Olympus Water US Holding Corp
681639AB6
2385000.00000000
PA
USD
2325375.00000000
0.049519554608
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
6.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FPJ6
43134.20000000
PA
USD
49738.15000000
0.001059188748
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 I Pool
3620AEJR2
10565.19000000
PA
USD
11230.00000000
0.000239146201
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAE1
16473000.00000000
PA
USD
15484620.00000000
0.329749604122
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2020-2 Ltd
75049UAE8
870000.00000000
PA
USD
879524.59000000
0.018729738628
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
7.70188000
N
N
N
N
N
N
ATLANTICA SUSTAIN INFRA
549300ITBBGKJ651R879
Atlantica Sustainable Infrastructure PLC
04916WAA2
1105000.00000000
PA
USD
1113287.50000000
0.023707789561
Long
DBT
CORP
GB
N
2
2028-06-15
Fixed
4.12500000
N
N
N
N
N
N
MATTERHORN RE LTD
N/A
Matterhorn Re Ltd
577092AM1
2000000.00000000
PA
USD
2008000.00000000
0.042760959266
Long
DBT
CORP
BM
Y
2
2022-12-07
Floating
5.64763000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209SAF8
2042.24000000
PA
USD
2234.56000000
0.000047585622
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
HARBOUR ENERGY PLC
213800YPC42DYBKVPF97
Harbour Energy PLC
411618AB7
7175000.00000000
PA
USD
7121187.50000000
0.151647813056
Long
DBT
CORP
GB
N
2
2026-10-15
Fixed
5.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-INV1
92537TAH8
340000.00000000
PA
USD
347362.50000000
0.007397188104
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Variable
6.00000000
N
N
N
N
N
N
Lorenz Re 2020, 6/30/23
N/A
Lorenz Re 2020, 6/30/23
000000000
1717287.00000000
PA
USD
79166.93000000
0.001685883400
Long
DBT
CORP
BM
Y
2
2023-06-30
Floating
0.01000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-J2
12564ECH3
3196321.25000000
PA
USD
3063184.88000000
0.065231436194
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.67555800
N
N
N
N
N
N
HYPATIA LTD
98450041F85DB4C2C372
Hypatia Ltd
44914CAB2
1000000.00000000
PA
USD
1059200.00000000
0.022555980107
Long
DBT
CORP
BM
Y
2
2023-06-07
Floating
0.01000000
N
N
N
N
N
N
ISOSCELES INS LTD
549300Z6XR6RO3X4DF96
Isosceles Insurance Ltd
000000000
1500000.00000000
PA
USD
1503750.00000000
0.032022805028
Long
DBT
CORP
BM
Y
2
2023-07-10
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36211EPU6
111392.48000000
PA
USD
127191.10000000
0.002708572433
Long
ABS-MBS
USGA
US
N
2
2035-02-15
Fixed
5.50000000
N
N
N
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAC1
3862000.00000000
PA
USD
3895116.65000000
0.082947671518
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.60000000
N
N
N
N
N
N
Harriman Park CLO
N/A
Harriman Park CLO LTD
413717AY5
3000000.00000000
PA
USD
2995470.00000000
0.063789427616
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
3.23150000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME ULTRA LONG TERM US TREASURY BOND
000000000
1057.00000000
NC
USD
5450230.66000000
0.116064288468
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
2022-03-22
202910894.34000000
USD
5450230.66000000
N
N
N
Pangaea Re 2020-3, 7/1/24
N/A
Pangaea Re 2020-3, 7/1/24
000000000
3500000.00000000
PA
USD
158844.18000000
0.003382634218
Long
DBT
CORP
BM
Y
2
2024-07-01
Floating
0.01000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2021-FL7 Ltd
55284AAL2
7500000.00000000
PA
USD
7388497.50000000
0.157340259281
Long
ABS-CBDO
CORP
KY
N
2
2036-10-16
Floating
2.90750000
N
N
N
N
N
N
Symphony CLO Ltd
N/A
Symphony CLO XXII Ltd
87167GBM1
6600000.00000000
PA
USD
6622077.00000000
0.141019106004
Long
ABS-CBDO
CORP
KY
N
2
2033-04-18
Floating
3.27225000
N
N
N
N
N
N
CVS PASS THRU TR 2009
N/A
CVS Pass-Through Trust Series 2009
126659AA9
807307.59000000
PA
USD
1028376.67000000
0.021899588095
Long
DBT
CORP
US
N
2
2031-07-10
Fixed
8.35300000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAC0
2034000.00000000
PA
USD
569520.00000000
0.012128098367
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
6.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XBJM7
645032.00000000
PA
USD
709168.71000000
0.015101959323
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E0QV0
1248787.37000000
PA
USD
1352963.54000000
0.028811762362
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-SBT1
20753VBE7
3920000.00000000
PA
USD
4070021.14000000
0.086672314831
Long
ABS-MBS
CORP
US
N
2
2040-02-25
Floating
3.75275000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36211LE65
7059.75000000
PA
USD
7663.99000000
0.000163206954
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MLW59
156311.33000000
PA
USD
166205.13000000
0.003539387845
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184AXK0
345178.25000000
PA
USD
367624.65000000
0.007828676635
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
68205LAD5
1910000.00000000
PA
USD
2139200.00000000
0.045554902421
Long
DBT
NUSS
OM
N
2
2027-10-28
Fixed
6.75000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
-1332.00000000
NC
USD
-3792840.06000000
-0.08076966101
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
2022-03-22
-209909909.94000000
USD
-3792840.06000000
N
N
N
VOC ESCROW LTD
N/A
VOC Escrow Ltd
91832VAA2
10582000.00000000
PA
USD
10476180.00000000
0.223093379605
Long
DBT
CORP
BM
N
2
2028-02-15
Fixed
5.00000000
N
N
N
N
N
N
Thopas Re 2020, 12/31/23
N/A
Thopas Re 2020, 12/31/23
000000000
4000000.00000000
PA
USD
32000.00000000
0.000681449550
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
ENABLE MIDSTREAM PARTNER
549300TLGDBYE711G509
Enable Midstream Partners LP
292480AM2
1415000.00000000
PA
USD
1515087.41000000
0.032264238557
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
4.15000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-P8
17326DAH5
1750000.00000000
PA
USD
1863381.80000000
0.039681271537
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Variable
4.26518000
N
N
N
N
N
N
SANDERS RE II LTD
254900VRQU0N0MF3CT92
Sanders RE II Ltd
80000WAA9
250000.00000000
PA
USD
256475.00000000
0.005461711667
Long
DBT
CORP
BM
Y
2
2023-06-07
Floating
0.01000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JAB6
2520000.00000000
PA
USD
2229393.60000000
0.047475602051
Long
DBT
NUSS
EG
N
2
2031-02-16
Fixed
5.87500000
N
N
N
N
N
N
Oceanview Mortgage Trust
N/A
Oceanview Mortgage Trust 2021-1
67647LCE9
2821641.47000000
PA
USD
2766584.19000000
0.058915235984
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.73428000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DG50
7225.82000000
PA
USD
7704.70000000
0.000164073885
Long
ABS-MBS
USGA
US
N
2
2043-11-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CNE3
368865.48000000
PA
USD
416900.48000000
0.008878020141
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp
12513GBJ7
5050000.00000000
PA
USD
5252000.00000000
0.111842907404
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
3.56900000
N
N
N
N
N
N
Brean Asset Backed Securities
N/A
Brean Asset Backed Securities Trust 2021-RM1
10638CAA0
3835568.66000000
PA
USD
3643871.92000000
0.077597340011
Long
ABS-MBS
CORP
US
N
2
2063-10-25
Variable
1.40000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CS7
4312000.00000000
PA
USD
5067678.00000000
0.107917715405
Long
DBT
CORP
US
N
2
2046-12-08
Fixed
5.29100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397NR31
361328.05000000
PA
USD
376139.97000000
0.008010012916
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296VJ66
131793.98000000
PA
USD
144980.78000000
0.003087408978
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
5.75000000
N
N
N
N
N
N
COVANTA HOLDING CORP
40XIFLS8XDQGGHGPGC04
Covanta Holding Corp
22282EAH5
6132000.00000000
PA
USD
6331290.00000000
0.134826710056
Long
DBT
CORP
US
N
2
2027-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382AFF7
33162924.56000000
PA
USD
4177994.57000000
0.088971641246
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
Gold Key Resorts LLC
549300MORAF4RGEXUA95
Gold Key Resorts 2014-A LLC
38061LAC3
105063.11000000
PA
USD
106022.35000000
0.002257777584
Long
ABS-O
CORP
US
N
2
2031-03-17
Variable
5.87000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
EUR CALL VERSUS USD PUT
000000000
-42000000.00000000
NC
-228696.28000000
-0.00487015553
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
EUR CALL VERSUS USD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
EUR
2022-10-19
-42000000.00000000
USD
1.20230000
EUR
2022-10-19
XXXX
416740.31000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290RUG6
27148.27000000
PA
USD
30302.03000000
0.000645290772
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AVT1
1912659.72000000
PA
USD
2125619.56000000
0.045265702899
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAD1
2745000.00000000
PA
USD
2710687.50000000
0.057724899288
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418U4W1
488875.09000000
PA
USD
546456.96000000
0.011636964047
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-K154 Mortgage Trust
302968AE2
2300000.00000000
PA
USD
2434668.45000000
0.051846991243
Long
ABS-MBS
CORP
US
N
2
2032-11-25
Variable
4.02113300
N
N
N
N
N
N
Pangaea Re 2018-3, 7/1/22
N/A
Pangaea Re 2018-3, 7/1/22
000000000
7100000.00000000
PA
USD
147278.14000000
0.003136331944
Long
DBT
CORP
BM
Y
2
2022-07-01
Floating
0.01000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADH2
6578.00000000
PA
USD
95213.26000000
0.002027594787
Long
DBT
CORP
BM
Y
2
2025-03-01
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KXY2
3983.51000000
PA
USD
4578.40000000
0.000097498394
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296VLW6
17420.02000000
PA
USD
19285.26000000
0.000410685367
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
5.75000000
N
N
N
N
N
N
GARDA WORLD SECURITY
549300ZF1NDXLMCHNO20
Garda World Security Corp
36485MAL3
3830000.00000000
PA
USD
3657650.00000000
0.077890748337
Long
DBT
CORP
CA
N
2
2029-06-01
Fixed
6.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-KBX1 Mortgage Trust
30307LAA8
3534000.00000000
PA
USD
3569512.46000000
0.076013833119
Long
ABS-MBS
CORP
US
N
2
2026-01-25
Variable
3.57614400
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP
46651MAN6
1500000.00000000
PA
USD
1472025.90000000
0.031347230851
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Floating
2.27000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20
61764RBL1
4000000.00000000
PA
USD
4094301.20000000
0.087189365955
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Variable
4.45174400
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
EUR/USD FORWARD
000000000
1.00000000
NC
USD
48905.43000000
0.001041455727
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-2005000.00000000
EUR
2332830.93000000
USD
2022-01-27
48905.43000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182XN72
121597.97000000
PA
USD
130958.44000000
0.002788799062
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230UFE4
31840.54000000
PA
USD
34137.10000000
0.000726959732
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7E52
448459.72000000
PA
USD
467041.46000000
0.009945787274
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
PECF USS INTERMEDIATE HO
N/A
PECF USS Intermediate Holding III Corp
000000000
1787000.00000000
PA
USD
1791020.75000000
0.038140321382
Long
LON
CORP
US
N
2
2028-12-17
Floating
0.00000000
N
N
N
N
N
N
Torricelli Re 2021, 7/31/25
N/A
Torricelli Re 2021, 7/31/25
000000000
2818951.00000000
PA
USD
2615422.74000000
0.055696207793
Long
DBT
CORP
BM
Y
2
2025-07-31
Floating
0.01000000
N
N
N
N
N
N
COMMSCOPE TECH LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20338HAB9
4600000.00000000
PA
USD
4301000.00000000
0.091591078588
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290YUV8
72263.48000000
PA
USD
81104.55000000
0.001727145597
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182YTM1
527653.04000000
PA
USD
567213.39000000
0.012078978418
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Gulf Stream Meridian 1 Ltd.
N/A
Gulf Stream Meridian 3 Ltd
40256XAA2
1250000.00000000
PA
USD
1223205.00000000
0.026048515527
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
6.87375000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MBUE5
11344.38000000
PA
USD
11695.24000000
0.000249053626
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.00000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2015-SFR1
02666AAC2
2950000.00000000
PA
USD
3063081.47000000
0.065229234048
Long
ABS-O
CORP
US
N
2
2052-04-17
Fixed
4.11000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184XM22
577877.38000000
PA
USD
615559.71000000
0.013108527731
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
FOUR LAKES RE LTD
549300MG4RRU6DT7MN54
Four Lakes Re Ltd
35087TAB4
1500000.00000000
PA
USD
1509150.00000000
0.032137799639
Long
DBT
CORP
BM
Y
2
2024-01-05
Floating
9.53548900
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31288FET7
17854.75000000
PA
USD
19653.95000000
0.000418536730
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A25J7
1993277.75000000
PA
USD
2147130.61000000
0.045723787128
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E2SV8
923573.19000000
PA
USD
1001287.42000000
0.021322714432
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312943UP6
236325.01000000
PA
USD
261453.40000000
0.005567728181
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184A5F2
299197.91000000
PA
USD
318943.70000000
0.006792001276
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NBP5
62591.31000000
PA
USD
71555.23000000
0.001523789977
Long
ABS-MBS
USGA
US
N
2
2034-01-15
Fixed
5.50000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2014-SFR3 Trust
02665XAC3
5000000.00000000
PA
USD
5223321.00000000
0.111232179540
Long
ABS-O
CORP
US
N
2
2036-12-17
Fixed
4.59600000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AQ3
4020000.00000000
PA
USD
2631894.00000000
0.056046968191
Long
DBT
CORP
AR
N
2
2027-07-21
Fixed
6.95000000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2021-2
74936RBY9
2066127.39000000
PA
USD
1956774.91000000
0.041670105687
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.56606800
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290RP49
71467.53000000
PA
USD
81641.78000000
0.001738586070
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
6.00000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX 10 YEAR EURO BUND
000000000
-2673.00000000
NC
7191728.41000000
0.153150002786
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-03-08
-525432770.37000000
USD
7191728.41000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AH0
1720000.00000000
PA
USD
1582400.00000000
0.033697680250
Long
DBT
CORP
CA
N
2
2028-01-30
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201RX71
43074.96000000
PA
USD
48259.20000000
0.001027694066
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
4.50000000
N
N
N
N
N
N
Conn Funding II, L.P
N/A
Conn's Receivables Funding 2019-B LLC
20824LAC9
3870626.75000000
PA
USD
3876020.08000000
0.082541004361
Long
ABS-O
CORP
US
N
2
2024-06-17
Fixed
4.60000000
N
N
N
N
N
N
PHOENICIAN RE LIMITED
N/A
Phoenician Re Ltd
71880VAC1
750000.00000000
PA
USD
749250.00000000
0.015955502355
Long
DBT
CORP
BM
N
2
2024-12-14
Floating
0.01000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAE6
10716000.00000000
PA
USD
11171430.00000000
0.237898935845
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297Q5Y1
41632.71000000
PA
USD
47127.28000000
0.001003589492
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAC7
1976217.00000000
PA
USD
1926811.58000000
0.041032027632
Long
DBT
CORP
N/A
N
2
2026-12-31
Fixed
8.00000000
N
N
N
N
N
N
Viribus Re 2021, 12/31/24
N/A
Viribus Re 2021, 12/31/24
000000000
3717666.00000000
PA
USD
3602046.59000000
0.076706657126
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
MONA LISA RE LTD
549300R6SO6XBFDC7M25
Mona Lisa Re Ltd
608800AD0
500000.00000000
PA
USD
503950.00000000
0.010731765648
Long
DBT
CORP
BM
Y
2
2023-01-09
Floating
8.03548900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CEZ3
146854.50000000
PA
USD
152958.04000000
0.003257287110
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
URSA RE II LTD
N/A
Ursa Re II Ltd
91734PAA4
3000000.00000000
PA
USD
3066600.00000000
0.065304162194
Long
DBT
CORP
BM
Y
2
2023-12-07
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204DXR5
64559.75000000
PA
USD
69994.47000000
0.001490553127
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382CAZ4
18948224.57000000
PA
USD
1322148.37000000
0.028155544120
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Floating
3.24612000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31287YFX7
1756.33000000
PA
USD
1938.51000000
0.000041281148
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178GJ62
782978.76000000
PA
USD
861537.62000000
0.018346700734
Long
ABS-MBS
USGA
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
VIKING OCEAN CRUISES SHI
N/A
Viking Ocean Cruises Ship VII Ltd
92682RAA0
300000.00000000
PA
USD
299625.00000000
0.006380603794
Long
DBT
CORP
BM
N
2
2029-02-15
Fixed
5.62500000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2020-1 Ltd
43731WAE5
1220000.00000000
PA
USD
1252843.74000000
0.026679681341
Long
ABS-MBS
CORP
BM
N
2
2030-10-25
Floating
7.10188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GRN34
244370.82000000
PA
USD
264643.66000000
0.005635665719
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
EUR CALL VERSUS USD PUT
000000000
-39800000.00000000
NC
-1636.23000000
-0.00003484400
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
EUR CALL VERSUS USD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
EUR
2022-02-15
-39800000.00000000
USD
1.20200000
EUR
2022-02-15
XXXX
351999.72000000
N
N
N
DYCOM INDUSTRIES INC
549300F56EKTHQI3WT60
Dycom Industries Inc
267475AD3
6138000.00000000
PA
USD
6253087.50000000
0.133161364480
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.50000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700BD7
4250000.00000000
PA
USD
4111875.00000000
0.087563605270
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS DELTA AIR LINES INC
000000000
1.00000000
NC
USD
335752.53000000
0.007149950328
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
DELTA AIR LINES INC
Delta Air Lines Inc
Y
Default Event
2026-12-20
279749.76000000
USD
0.00000000
USD
2650000.00000000
USD
56002.77000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176MW74
214533.67000000
PA
USD
240449.90000000
0.005120452380
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.50000000
N
N
N
N
N
N
SOVCOMBANK (SOVCOM CAPT)
635400EQFFCXMNLYU680
Sovcombank Via SovCom Capital DAC
84605LAD8
5010000.00000000
PA
USD
4805842.50000000
0.102341850290
Long
DBT
CORP
IE
N
2
N/A
Fixed
7.60000000
N
N
N
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp
12513GBH1
4390000.00000000
PA
USD
4496457.50000000
0.095753404382
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
3.27600000
N
N
N
N
N
N
Portrush Re 2017, 6/15/22
N/A
Portrush Re 2017, 6/15/22
000000000
2200000.00000000
PA
USD
1403820.00000000
0.029894765855
Long
DBT
CORP
BM
Y
2
2022-06-15
Floating
0.01000000
N
N
N
N
N
N
BANCO DO BRASIL (CAYMAN)
QE0Q0253K88YAGNPE356
Banco do Brasil SA/Cayman
059578AF1
4845000.00000000
PA
USD
4715929.20000000
0.100427119733
Long
DBT
CORP
BR
N
2
2026-09-30
Fixed
3.25000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-4
89178BAW4
3750000.00000000
PA
USD
3836561.25000000
0.081700716800
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.25000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBQ9
1245000.00000000
PA
USD
1257135.74000000
0.026771080762
Long
DBT
CORP
IT
N
2
2032-06-01
Fixed
4.19800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AUM87
670245.67000000
PA
USD
735917.23000000
0.015671577039
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Banc of America Merrill Lynch
N/A
BAMLL Commercial Mortgage Securities Trust 2021-JACX
05493LAN6
2000000.00000000
PA
USD
1995735.80000000
0.042499789467
Long
ABS-MBS
CORP
US
N
2
2038-09-15
Floating
3.86000000
N
N
N
N
N
N
Accelerated Assets LLC
N/A
Accelerated Assets 2018-1 LLC
00436MAB1
950477.02000000
PA
USD
968889.38000000
0.020632788501
Long
ABS-O
CORP
US
N
2
2033-12-02
Fixed
4.51000000
N
N
N
N
N
N
ORGANON & CO/ORG
549300SH15FO4Y2G3V63
Organon & Co / Organon Foreign Debt Co-Issuer BV
68622TAA9
2930000.00000000
PA
USD
2977612.50000000
0.063409146824
Long
DBT
CORP
US
N
2
2028-04-30
Fixed
4.12500000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-2
92537UAE2
1200000.00000000
PA
USD
1226987.76000000
0.026129070530
Long
ABS-MBS
CORP
US
N
2
2060-05-25
Variable
5.36000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
219632000000.00000000
PA
15671898.72000000
0.333737760355
Long
DBT
NUSS
ID
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2020-GC46
17328RAZ2
795000.00000000
PA
USD
826586.54000000
0.017602407055
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
2.71700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ASLE7
110949.53000000
PA
USD
122951.97000000
0.002618298894
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.50000000
N
N
N
N
N
N
TEVA PHARM FNC NL II
549300HSQCIKJAOYIT23
Teva Pharmaceutical Finance Netherlands II BV
000000000
2725000.00000000
PA
3059754.33000000
0.065158381608
Long
DBT
CORP
NL
N
2
2030-05-09
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617AVXD5
1196713.78000000
PA
USD
1307602.50000000
0.027845785477
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.00000000
N
N
N
N
N
N
BRITISH AIR 20-1 A PTT
N/A
British Airways 2020-1 Class A Pass Through Trust
11044MAA4
1699598.36000000
PA
USD
1808827.64000000
0.038519524419
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP
46651MAL0
3590000.00000000
PA
USD
3565904.28000000
0.075936995849
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Floating
1.77000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
N/A
Hertz Vehicle Financing III LP
42806MAH2
10000000.00000000
PA
USD
9977044.00000000
0.212464129523
Long
ABS-O
CORP
US
N
2
2027-12-27
Fixed
4.34000000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
321 Henderson Receivables III LLC
88576RAD1
500000.00000000
PA
USD
603671.60000000
0.012855366881
Long
ABS-O
CORP
US
N
2
2050-01-15
Fixed
10.81000000
N
N
N
N
N
N
Hardee's Funding
N/A
Hardee's Funding LLC
411707AD4
3366900.00000000
PA
USD
3532144.09000000
0.075218062527
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
4.95900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AY6G6
135962.43000000
PA
USD
146852.40000000
0.003127265684
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-FAME
63873VAL7
1030000.00000000
PA
USD
937330.49000000
0.019960732520
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Variable
4.39750000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
549300HU3WTU5KNK1B36
Cascade Funding Mortgage Trust 2019-RM3
147271AC4
3148167.12000000
PA
USD
3165294.09000000
0.067405882295
Long
ABS-MBS
CORP
US
N
2
2069-06-25
Variable
4.00000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2019-2
61945LAD5
3556248.94000000
PA
USD
3474938.51000000
0.073999852629
Long
ABS-O
CORP
US
N
2
2040-09-20
Fixed
6.18000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2020-KF74 Mortgage Trust
30313MAC4
4745980.73000000
PA
USD
4747242.69000000
0.101093949848
Long
ABS-MBS
USGSE
US
N
2
2027-01-25
Floating
6.34400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407FF54
807195.72000000
PA
USD
912730.59000000
0.019436870308
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
NMEF Funding LLC
N/A
NMEF Funding 2021-A LLC
62919TAE6
1100000.00000000
PA
USD
1118940.79000000
0.023828178059
Long
ABS-O
CORP
US
N
2
2027-12-15
Fixed
5.78000000
N
N
N
N
N
N
Freddie Mac - STACR
549300NKHCH87PYOHD44
Freddie Mac STACR Trust 2019-HQA2
35564MAH8
1561602.68000000
PA
USD
1568026.18000000
0.033391585464
Long
ABS-MBS
CORP
US
N
2
2049-04-25
Floating
2.15275000
N
N
N
N
N
N
BSREP Commercial Mortgage Trus
N/A
BSREP Commercial Mortgage Trust 2021-DC
05591UAN7
2000000.00000000
PA
USD
1970182.20000000
0.041955617929
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
3.96000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2020-SFR2 Trust
89613JAJ9
4250000.00000000
PA
USD
4146572.00000000
0.088302488240
Long
ABS-O
CORP
US
N
2
2039-11-17
Fixed
2.73000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WYP1
4695246.82000000
PA
USD
5218060.91000000
0.111120164353
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
Towd Point Asset Funding, LLC
N/A
Towd Point HE Trust 2021- HE1
89180DAD8
5000000.00000000
PA
USD
4969229.50000000
0.105821225216
Long
ABS-MBS
CORP
US
N
2
2063-02-25
Variable
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176UVY8
35054.83000000
PA
USD
37976.30000000
0.000808716642
Long
ABS-MBS
USGA
US
N
2
2042-06-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183SDZ1
3854.67000000
PA
USD
4109.80000000
0.000087519417
Long
ABS-MBS
USGA
US
N
2
2044-12-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183E3Y6
94923.02000000
PA
USD
104035.97000000
0.002215477029
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X5JS7
1242883.22000000
PA
USD
1376991.90000000
0.029323453459
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176PPS9
105402.36000000
PA
USD
115909.40000000
0.002468325264
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
833.00000000
NC
USD
7460.25000000
0.000158868250
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
2022-03-22
108673008.50000000
USD
7460.25000000
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
1020000.00000000
PA
USD
1051875.00000000
0.022399992046
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp
62886EAZ1
1215000.00000000
PA
USD
1248412.50000000
0.026585316763
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
5.25000000
N
N
N
N
N
N
INTER-AMERICAN DEVEL BK
VKU1UKDS9E7LYLMACP54
Inter-American Development Bank
000000000
113010000000.00000000
PA
8220134.50000000
0.175050217390
Long
DBT
NUSS
N/A
N
2
2023-03-14
Fixed
7.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JK80
826.48000000
PA
USD
924.08000000
0.000019678559
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
ISTAR INC
QFFLKWYYS3UPWD86E794
iStar Inc
45031UCF6
3345000.00000000
PA
USD
3470437.50000000
0.073904002278
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.75000000
N
N
N
N
N
N
TRINIDAD & TOBAGO
N/A
Trinidad & Tobago Government International Bond
896292AK5
4440000.00000000
PA
USD
4497720.00000000
0.095780289697
Long
DBT
NUSS
TT
N
2
2030-06-26
Fixed
4.50000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AS8
8500000.00000000
PA
USD
9269686.05000000
0.197400730875
Long
DBT
CORP
IT
N
2
2035-06-30
Fixed
5.45900000
N
N
N
N
N
N
JPMorgan Chase Bank, NA - CACL
N/A
JPMorgan Chase Bank NA - CACLN
48128U2R9
3070000.00000000
PA
USD
3058555.65000000
0.065132855360
Long
ABS-O
CORP
US
N
2
2028-12-26
Fixed
4.39300000
N
N
N
N
N
N
Encina Equipment Finance
N/A
Encina Equipment Finance 2021-1 LLC
29253EAF9
745000.00000000
PA
USD
749610.95000000
0.015963188893
Long
ABS-O
CORP
US
N
2
2029-03-15
Fixed
4.36000000
N
N
N
N
N
N
Ballybunion Re 2021, 1/31/25
N/A
Ballybunion Re 2021, 1/31/25
000000000
3000000.00000000
PA
USD
3111587.70000000
0.066262188692
Long
DBT
CORP
BM
Y
2
2025-01-31
Floating
0.01000000
N
N
N
N
N
N
Thopas Re 2021, 12/31/24
N/A
Thopas Re 2021, 12/31/24
000000000
5000000.00000000
PA
USD
5188000.00000000
0.110480008304
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
549300KDXV3I7WKXA522
Commonbond Student Loan Trust 2017-B-GS
20268KAD2
90650.31000000
PA
USD
93489.75000000
0.001990892127
Long
ABS-O
CORP
US
N
2
2042-09-25
Fixed
4.44000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-R5
12558RAJ0
6000000.00000000
PA
USD
6187526.40000000
0.131765221290
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
3.50000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
2500000.00000000
PA
USD
2631250.00000000
0.056033254018
Long
DBT
NUSS
CI
N
2
2033-06-15
Fixed
6.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KXJH5
1675.06000000
PA
USD
1869.29000000
0.000039807088
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley Residential Mor
N/A
Morgan Stanley Residential Mortgage Loan Trust 2021-2
61772LBU4
6413641.48000000
PA
USD
6323986.47000000
0.134671179205
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.90752800
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ATXA0
31009.65000000
PA
USD
33433.29000000
0.000711971888
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
4.00000000
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AG1
1685000.00000000
PA
USD
1699743.75000000
0.036196550426
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
3.25000000
N
N
N
N
N
N
PAR PHARMACEUTICAL INC
549300KK5WR4MGN4YT97
Par Pharmaceutical Inc
69888XAA7
2424000.00000000
PA
USD
2477158.32000000
0.052751825706
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31288GCW0
2134.95000000
PA
USD
2349.99000000
0.000050043738
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QR29
869249.02000000
PA
USD
956710.88000000
0.020373443709
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201RR60
1506.08000000
PA
USD
1660.85000000
0.000035368296
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DAB7
1661.13000000
PA
USD
1845.12000000
0.000039292381
Long
ABS-MBS
USGA
US
N
2
2029-01-20
Fixed
7.00000000
N
N
N
N
N
N
Pangaea Re 2019-1, 2/1/23
N/A
Pangaea Re 2019-1, 2/1/23
000000000
3891425.00000000
PA
USD
81087.45000000
0.001726781447
Long
DBT
CORP
BM
Y
2
2023-02-01
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620C04P0
123673.12000000
PA
USD
134451.71000000
0.002863189290
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176JEY2
40180.02000000
PA
USD
44069.66000000
0.000938476561
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
4.00000000
N
N
N
N
N
N
EASTON RE PTE LTD
N/A
Easton Re Pte Ltd
27777RAA2
900000.00000000
PA
USD
906390.00000000
0.019301845552
Long
DBT
CORP
SG
Y
2
2024-01-08
Floating
0.01000000
N
N
N
N
N
N
MC BRAZIL DWNSTRM
213800T2A7R9TYNXZI63
MC Brazil Downstream Trading SARL
55292WAA8
8060000.00000000
PA
USD
8023730.00000000
0.170867724947
Long
DBT
CORP
LU
N
2
2031-06-30
Fixed
7.25000000
N
N
N
N
N
N
PRMI Securitization Trust
N/A
PRMI Securitization Trust 2021-1
69359DBW2
1966595.10000000
PA
USD
1882675.77000000
0.040092142386
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.47903100
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL2Trust
12656TAF5
2638958.00000000
PA
USD
2721738.15000000
0.057960226178
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
3.45772300
N
N
N
N
N
N
Multifamily Structured Credit
N/A
Freddie Mac Multifamily Structured Credit Risk
35563FAB7
2750000.00000000
PA
USD
2821644.10000000
0.060087753199
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
3.79967000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E1M53
5094740.07000000
PA
USD
5594473.90000000
0.119135991312
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176EZG9
17729.21000000
PA
USD
19510.83000000
0.000415488947
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.00000000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNA
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80874YBC3
1735000.00000000
PA
USD
1847775.00000000
0.039348920074
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
7.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
-41655000.00000000
NC
-63592.56000000
-0.00135422254
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Written
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
EUR
2022-02-14
-41655000.00000000
USD
1.16250000
EUR
2022-02-14
XXXX
218258.10000000
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAA7
1180000.00000000
PA
USD
1229206.00000000
0.026176308613
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.00000000
N
N
N
N
N
N
United Auto Credit Securitizat
N/A
United Auto Credit Securitization Trust 2019-1
90945QAF8
4250000.00000000
PA
USD
4273681.43000000
0.091009321487
Long
ABS-O
CORP
US
N
2
2026-01-12
Fixed
6.05000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180STE4
87796.24000000
PA
USD
93880.88000000
0.001999221357
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-INV4
46654DAU7
4392517.76000000
PA
USD
4445365.02000000
0.094665374773
Long
ABS-MBS
CORP
US
N
2
2052-01-25
Variable
3.24065900
N
N
N
N
N
N
Madison Park Funding Ltd
254900YXXBTCF4NGD347
Madison Park Funding XXII Ltd
55819VAG1
5000000.00000000
PA
USD
4993880.00000000
0.106346164971
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
6.82375000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TC72
92223.05000000
PA
USD
102625.54000000
0.002185441501
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
5.50000000
N
N
N
N
N
N
IAMGOLD CORP
254900E7II30XAB9LA72
IAMGOLD Corp
450913AF5
11990000.00000000
PA
USD
11780175.00000000
0.250862342294
Long
DBT
CORP
CA
N
2
2028-10-15
Fixed
5.75000000
N
N
N
N
N
N
ALEN 2021-ACEN Mortgage Trust
N/A
Alen 2021-ACEN Mortgage Trust
01449NAJ5
5800000.00000000
PA
USD
5788670.86000000
0.123271473531
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
4.11000000
N
N
N
N
N
N
FORD MOTOR CREDI
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B69
7600000.00000000
PA
USD
7976846.00000000
0.169869316175
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
3.62500000
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods Inc
90290MAE1
2170000.00000000
PA
USD
2191700.00000000
0.046672905589
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
20754KAJ0
1170000.00000000
PA
USD
1209568.70000000
0.025758126449
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
6.25000000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAB9
2465000.00000000
PA
USD
2612900.00000000
0.055642485292
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXKE1
2291311.03000000
PA
USD
2427257.88000000
0.051689180944
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.00000000
N
N
N
N
N
N
DRAFTKINGS INC
5493008P45UYYL683Z97
DraftKings Inc
26142RAA2
12093000.00000000
PA
USD
9106029.00000000
0.193915605153
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
REPUBLIC OF UZBEKISTAN
213800L6VDKUM3TCM927
Republic of Uzbekistan International Bond
91822Q2F3
76270000000.00000000
PA
USD
7109167.39000000
0.151391841226
Long
DBT
NUSS
UZ
N
2
2024-07-19
Fixed
14.00000000
N
N
N
N
N
N
EDGEWELL PERSONAL CARE
549300CY8QZDL4Z3RU59
Edgewell Personal Care Co
28035QAA0
5445000.00000000
PA
USD
5777526.15000000
0.123034143606
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.50000000
N
N
N
N
N
N
Continental Credit Card llc
5493002QR2K2E0R56Z02
Continental Credit Card ABS 2019-1 LLC
21134LAC2
3155000.00000000
PA
USD
3242962.35000000
0.069059851071
Long
ABS-O
CORP
US
N
2
2026-08-15
Fixed
6.16000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205VUV8
2861.22000000
PA
USD
3139.20000000
0.000066850200
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
MINERVA LUXEMBOURG SA
222100NM3G3RCPGZ2Z17
Minerva Luxembourg SA
603374AF6
6485000.00000000
PA
USD
6168856.25000000
0.131367634874
Long
DBT
CORP
LU
N
2
2031-03-18
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416TX79
89960.90000000
PA
USD
99395.78000000
0.002116662798
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
5.00000000
N
N
N
N
N
N
A10 Securitization
N/A
A10 Bridge Asset Financing 2019-B LLC
000299AA5
3784965.04000000
PA
USD
3797913.41000000
0.080877699513
Long
ABS-CBDO
CORP
US
N
2
2040-08-15
Fixed
3.08500000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2020-1 Ltd
43731WAD7
2870000.00000000
PA
USD
2939725.50000000
0.062602331852
Long
ABS-MBS
CORP
BM
N
2
2030-10-25
Floating
5.35188000
N
N
N
N
N
N
TERVITA CORP
N/A
Tervita Corp
88159EAA1
1843000.00000000
PA
USD
2121753.75000000
0.045183379321
Long
DBT
CORP
CA
N
2
2025-12-01
Fixed
11.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YRH9
22501880.94000000
PA
USD
1562418.10000000
0.033272159726
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
3.31612000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AB6K0
3961.98000000
PA
USD
4373.22000000
0.000093129025
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2019-PJ3
36257QAT3
2509833.21000000
PA
USD
2604284.51000000
0.055459015861
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
4.00369000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CJ2
9125000.00000000
PA
USD
9353125.00000000
0.199177588216
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
4.40000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2016-UBS9
61766CAV1
2140000.00000000
PA
USD
2010702.48000000
0.042818509384
Long
ABS-MBS
CORP
US
N
2
2049-03-15
Fixed
3.00000000
N
N
N
N
N
N
Bantry Re 2021, 12/31/24
N/A
Bantry Re 2021, 12/31/24
000000000
3932000.00000000
PA
USD
3875772.40000000
0.082535729941
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
SENSATA TECHNOLOGIES BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAK9
2460000.00000000
PA
USD
2512275.00000000
0.053499645887
Long
DBT
CORP
NL
N
2
2029-04-15
Fixed
4.00000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
3910000.00000000
PA
USD
3989099.34000000
0.084949060950
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 I Pool
3620A9D32
3123.98000000
PA
USD
3322.32000000
0.000070749795
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
PLN/USD FORWARD
000000000
1.00000000
NC
USD
423319.73000000
0.009014719985
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-22491811.23000000
USD
92700000.00000000
PLN
2022-02-24
423319.73000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ALT46
39288.06000000
PA
USD
42689.90000000
0.000909094160
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
4.00000000
N
N
N
N
N
N
UNITI GRP/UNITI HLD/CSL
N/A
Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC
91327AAA0
8337000.00000000
PA
USD
8701743.75000000
0.185306230100
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.87500000
N
N
N
N
N
N
CAPE LOOKOUT RE LTD
N/A
Cape Lookout Re Ltd
13947LAB8
2750000.00000000
PA
USD
2796200.00000000
0.059545913496
Long
DBT
CORP
BM
N
2
2022-05-09
Floating
0.01000000
N
N
N
N
N
N
SCIL IV LLC / SCIL USA H
N/A
SCIL IV LLC / SCIL USA Holdings LLC
78397UAA8
3800000.00000000
PA
USD
3899750.00000000
0.083046340089
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201BL38
28042.11000000
PA
USD
30766.51000000
0.000655182012
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JPK50
6451.08000000
PA
USD
6916.48000000
0.000147288505
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LQ74
558263.11000000
PA
USD
625410.94000000
0.013318312614
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BEG9
543.33000000
PA
USD
613.03000000
0.000013054656
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RRS0
5589.14000000
PA
USD
6348.63000000
0.000135195970
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
ADAPTHEALTH LLC
N/A
AdaptHealth LLC
00653VAE1
2570000.00000000
PA
USD
2614975.00000000
0.055686673036
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YPZM7
129528.97000000
PA
USD
142218.34000000
0.003028581993
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-LTV1
46591NBY2
5815845.01000000
PA
USD
6017250.63000000
0.128139147951
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Variable
4.34240100
N
N
N
N
N
N
Bantry RE 2017, 3/31/22
N/A
Bantry RE 2017, 3/31/22
000000000
3000000.00000000
PA
USD
175323.09000000
0.003733557524
Long
DBT
CORP
BM
Y
2
2023-03-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176MBQ5
4799.01000000
PA
USD
5214.71000000
0.000111048805
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176RH47
6029.88000000
PA
USD
6471.64000000
0.000137815505
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
CHC Commercial Mortgage Trust
N/A
CHC Commercial Mortgage Trust 2019 - CHC
162665AN3
9580074.01000000
PA
USD
9279338.24000000
0.197606277141
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
2.46000000
N
N
N
N
N
N
ICG US CLO Ltd
N/A
ICG US Clo 2021-1 Ltd
449289AA5
2250000.00000000
PA
USD
2144317.50000000
0.045663881111
Long
ABS-CBDO
CORP
KY
N
2
2034-04-17
Floating
6.45225000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WMM50
1005847.90000000
PA
USD
1083039.03000000
0.023063639365
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
INTEGRITY RE LTD
N/A
Integrity Re Ltd
45869RAA3
750000.00000000
PA
USD
756375.00000000
0.016107231357
Long
DBT
CORP
BM
N
2
2022-06-10
Floating
4.38000000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
N/A
Benefit Street Partners CLO XIX Ltd
08183PAA4
4000000.00000000
PA
USD
3994780.00000000
0.085070032300
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
7.14375000
N
N
N
N
N
N
Alturas Re 2020-2, 3/10/23
N/A
Alturas Re 2020-2, 3/10/23
000000000
360465.00000000
PA
USD
301276.65000000
0.006415776174
Long
DBT
CORP
BM
Y
2
2023-03-10
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KR99
334695.85000000
PA
USD
378308.44000000
0.008056191131
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNA
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80874YBE9
1735000.00000000
PA
USD
1934525.00000000
0.041196287213
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
7.25000000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
Cleveland-Cliffs Inc
185899AG6
1985000.00000000
PA
USD
2101618.75000000
0.044754598487
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182WBS1
200264.57000000
PA
USD
213251.85000000
0.004541261788
Long
ABS-MBS
USGA
US
N
2
2044-10-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182R5H3
14367.98000000
PA
USD
15269.86000000
0.000325176225
Long
ABS-MBS
USGA
US
N
2
2044-08-15
Fixed
4.00000000
N
N
N
N
N
N
OLIN CORP
549300GKK294V7W57P06
Olin Corp
680665AK2
7843000.00000000
PA
USD
8235150.00000000
0.175369976943
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
5.00000000
N
N
N
N
N
N
FMG RESOURCES AUG 2006
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty Ltd
30251GBC0
8750000.00000000
PA
USD
9187500.00000000
0.195650554412
Long
DBT
CORP
AU
N
2
2031-04-01
Fixed
4.37500000
N
N
N
N
N
N
FOUR LAKES RE LTD
549300MG4RRU6DT7MN54
Four Lakes Re Ltd
35087TAC2
500000.00000000
PA
USD
499950.00000000
0.010646584454
Long
DBT
CORP
BM
N
2
2025-01-07
Floating
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312938NF6
1283.58000000
PA
USD
1456.57000000
0.000031018092
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5.00000000
N
N
N
N
N
N
RESORTS WORLD/RWLV CAP
N/A
Resorts World Las Vegas LLC / RWLV Capital Inc
76120HAA5
11100000.00000000
PA
USD
11182302.73000000
0.238130473876
Long
DBT
CORP
US
N
2
2029-04-16
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XBE9
4120000.00000000
PA
USD
5063543.04000000
0.107829660198
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
10.10275000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176RQ47
1544.58000000
PA
USD
1641.02000000
0.000034946010
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213WPR1
1041.00000000
PA
USD
1142.14000000
0.000024322212
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
Rate Mortgage Trust
N/A
Rate Mortgage Trust 2021-J1
75409JDH7
1819904.32000000
PA
USD
1699052.48000000
0.036181829625
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
2.71086300
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2020-2 Ltd
269820AH9
8922000.00000000
PA
USD
9088432.77000000
0.193540888184
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
7.10188000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADL3
2753972.00000000
PA
USD
3029919.99000000
0.064523050434
Long
DBT
CORP
BM
Y
2
2025-12-01
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E4ZL8
1131908.27000000
PA
USD
1239086.75000000
0.026386722133
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.00000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2014-SFR3 Trust
02665XAD1
4100000.00000000
PA
USD
4310263.99000000
0.091788358020
Long
ABS-O
CORP
US
N
2
2036-12-17
Fixed
5.04000000
N
N
N
N
N
N
Catskill Park CLO, LTD.
549300QY7L9WFVGWC115
Catskill Park CLO Ltd
149421AA7
4250000.00000000
PA
USD
4197886.50000000
0.089395245832
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
6.13150000
N
N
N
N
N
N
Oaktown Re Ltd
254900KOPN6EP9T3LD85
Oaktown Re II Ltd
67400CAC2
1000000.00000000
PA
USD
1023469.00000000
0.021795077798
Long
ABS-MBS
CORP
US
N
2
2028-07-25
Floating
4.15188000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBE8
7075000.00000000
PA
USD
7163102.85000000
0.152540412943
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
4.79967000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-1
89173FAF7
4102000.00000000
PA
USD
4281605.25000000
0.091178061598
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
3.77766700
N
N
N
N
N
N
Merion Re 2018-2, 12/31/21
N/A
Merion Re 2018-2, 12/31/21
000000000
8500000.00000000
PA
USD
1406750.00000000
0.029957161079
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230UD63
17725.41000000
PA
USD
19491.84000000
0.000415084549
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS EUR PUT
000000000
39800000.00000000
NC
610444.59000000
0.012999599724
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS EUR PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
EUR
N/A
USD
2022-02-15
39800000.00000000
USD
1.15000000
EUR
2022-02-15
XXXX
256808.64000000
N
N
N
ExteNet Systems
N/A
ExteNet LLC 2019-1
30227XAC5
6000000.00000000
PA
USD
6143922.00000000
0.130836652578
Long
ABS-O
CORP
US
N
2
2049-07-26
Fixed
5.21900000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAL9
24700000.00000000
PA
USD
24561299.62000000
0.523040205469
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.35450000
N
N
N
N
N
N
GoldenTree Loan Management US
549300MI5PVR6JHGVV87
Goldentree Loan Management US Clo 6 Ltd
38137WAL9
5230000.00000000
PA
USD
5263247.11000000
0.112082417968
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
3.98150000
N
N
N
N
N
N
TRINSEO OP / TRINSEO FIN
N/A
Trinseo Materials Operating SCA / Trinseo Materials Finance Inc
89668QAF5
5055000.00000000
PA
USD
5156100.00000000
0.109800688283
Long
DBT
CORP
LU
N
2
2029-04-01
Fixed
5.12500000
N
N
N
N
N
N
EDEN RE II LTD
549300LKX8PCP3SC3F42
Eden Re II Ltd
27954QAH4
700000.00000000
PA
USD
372400.00000000
0.007930369138
Long
DBT
CORP
BM
Y
2
2024-03-22
None
0.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KS12 Mortgage Trust
30311XAC2
8500000.00000000
PA
USD
7481473.05000000
0.159320201366
Long
ABS-MBS
USGSE
US
N
2
2029-08-25
Floating
6.99400000
N
N
N
N
N
N
Merion Re 2021-1, 12/31/24
N/A
Merion Re 2021-1, 12/31/24
000000000
250000.00000000
PA
USD
250125.00000000
0.005326486522
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-2
89173HAF3
9175000.00000000
PA
USD
9532087.33000000
0.202988644443
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
4.11494000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032613
12000000.00000000
PA
USD
12497812.56000000
0.266144648306
Long
ABS-MBS
USGA
US
N
2
2051-01-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AXTN8
101531.09000000
PA
USD
111326.02000000
0.002370720819
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
4.00000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADU3
692491.00000000
PA
USD
724830.33000000
0.015435478195
Long
DBT
CORP
BM
Y
2
2026-03-01
Floating
0.03548900
N
N
N
N
N
N
Hundred Acre Wood Trust
N/A
Hundred Acre Wood Trust 2021-INV1
44590HBJ4
87548443.99000000
PA
USD
710516.91000000
0.015130669644
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
0.22784600
N
N
N
N
N
N
Tricolor Auto Securitization T
N/A
Tricolor Auto Securitization Trust 2021-1
89615BAF2
2750000.00000000
PA
USD
2713838.60000000
0.057792002903
Long
ABS-O
CORP
US
N
2
2028-05-15
Fixed
5.08000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378GJK5
471470.06000000
PA
USD
478579.97000000
0.010191503288
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
3.00000000
N
N
N
N
N
N
RMF Buyout Issuance Trust
N/A
RMF Buyout Issuance Trust 2021-HB1
74969TAE0
3000000.00000000
PA
USD
2997000.00000000
0.063822009423
Long
ABS-MBS
CORP
US
N
2
2031-11-25
Variable
4.70360000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200TUN6
184114.37000000
PA
USD
211906.31000000
0.004512608112
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290N6R8
6362.33000000
PA
USD
7000.57000000
0.000149079227
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AN9
5897943.14000000
PA
USD
5889214.18000000
0.125412573537
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
2.20975000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182LCZ8
3478.53000000
PA
USD
3798.21000000
0.000080884015
Long
ABS-MBS
USGA
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
Carnoustie Re 2021, 12/31/24
N/A
Carnoustie Re 2021, 12/31/24
000000000
1390289.00000000
PA
USD
1409607.79000000
0.030018018570
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FVM2
27378.45000000
PA
USD
31103.00000000
0.000662347667
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WBD3
2930000.00000000
PA
USD
3022349.50000000
0.064361834590
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Floating
5.20275000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209SD65
5942.46000000
PA
USD
6319.36000000
0.000134572657
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAL3
8400000.00000000
PA
USD
8417639.41000000
0.179256143391
Long
DBT
CORP
ES
N
2
2032-11-22
Fixed
3.22500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-KSW4 Mortgage Trust
302960AH2
2600000.00000000
PA
USD
2534556.18000000
0.053974130264
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Floating
5.09400000
N
N
N
N
N
N
OLIN CORP
549300GKK294V7W57P06
Olin Corp
680665AL0
710000.00000000
PA
USD
768894.50000000
0.016373837845
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
5.62500000
N
N
N
N
N
N
INVERSIONES CMPC SA
549300G475ACIABB4385
Inversiones CMPC SA
46128MAN1
3004000.00000000
PA
USD
3130168.00000000
0.066657861725
Long
DBT
CORP
CL
N
2
2030-01-13
Fixed
3.85000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2019-GS1
59981BAJ3
6145000.00000000
PA
USD
6336099.67000000
0.134929133415
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.25000000
N
N
N
N
N
N
Fair Square Issuance Trust
N/A
Fair Square Issuance Trust
303394AC4
1250000.00000000
PA
USD
1253720.63000000
0.026698354975
Long
ABS-O
CORP
US
N
2
2024-09-20
Fixed
5.40000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBE4
2630000.00000000
PA
USD
2756356.77000000
0.058697440022
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Floating
5.69967000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230TFJ6
6360.52000000
PA
USD
6994.44000000
0.000148948687
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
4.00000000
N
N
N
N
N
N
Port Royal Re 2021, 5/31/25
N/A
Port Royal Re 2021, 5/31/25
000000000
500000.00000000
PA
USD
497732.01000000
0.010599351695
Long
DBT
CORP
BM
Y
2
2025-05-31
Floating
0.01000000
N
N
N
N
N
N
PPM Clo, Ltd.
5493001Z3ZE83NGK8Y12
PPM CLO 5 Ltd
69356VAA4
2000000.00000000
PA
USD
1981160.00000000
0.042189393456
Long
ABS-CBDO
CORP
KY
N
2
2034-10-18
Floating
6.61881000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAE1
475000.00000000
PA
USD
463125.00000000
0.009862385089
Long
DBT
CORP
FR
N
2
2029-01-15
Fixed
5.12500000
N
N
N
N
N
N
HEALTHEQUITY INC
529900LRJU1RAFQHM467
HealthEquity Inc
42226AAA5
2835000.00000000
PA
USD
2806650.00000000
0.059768449365
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CX Mortgage Trust
12656KAA5
3750000.00000000
PA
USD
3698044.13000000
0.078750953390
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Fixed
2.17300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHG97
84558.61000000
PA
USD
89446.99000000
0.001904800346
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
SUMMIT MATERIALS LLC/FIN
N/A
Summit Materials LLC / Summit Materials Finance Corp
86614RAN7
495000.00000000
PA
USD
518463.00000000
0.011040824314
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.25000000
N
N
N
N
N
N
Thopas Re 2019, 12/31/22
N/A
Thopas Re 2019, 12/31/22
000000000
3000000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200K7J0
30070.40000000
PA
USD
34353.21000000
0.000731561859
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292SBU3
568683.44000000
PA
USD
629469.34000000
0.013404737453
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-1
61947DAD1
4705000.00000000
PA
USD
4666793.05000000
0.099380750755
Long
ABS-O
CORP
US
N
2
2046-12-20
Fixed
3.71000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAF8
1835000.00000000
PA
USD
1789950.75000000
0.038117535413
Long
DBT
CORP
FR
N
2
2029-07-15
Fixed
5.12500000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2021-1
91681NAC8
1000000.00000000
PA
USD
1006862.80000000
0.021441443813
Long
ABS-O
CORP
US
N
2
2031-03-20
Fixed
4.06000000
N
N
N
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group Inc
043436AW4
3405000.00000000
PA
USD
3468843.75000000
0.073870062896
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.62500000
N
N
N
N
N
N
BRINK'S CO/THE
XFP140TFNOQMIVFTVQ13
Brink's Co/The
109696AB0
4735000.00000000
PA
USD
4924400.00000000
0.104866567635
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.50000000
N
N
N
N
N
N
BELLEMEADE RE LT
254900K56RF3Z7VQ3U81
Bellemeade Re 2019-1 Ltd
07876RAD8
2120000.00000000
PA
USD
2135451.83000000
0.045475084023
Long
ABS-MBS
CORP
BM
N
2
2029-03-25
Floating
4.10188000
N
N
N
N
N
N
BEACON ROOFING SUPPLY IN
549300HDXQWWCBOYXP31
Beacon Roofing Supply Inc
073685AH2
3155000.00000000
PA
USD
3153327.85000000
0.067151057643
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410VZH6
597.93000000
PA
USD
615.82000000
0.000013114070
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
5.00000000
N
N
N
N
N
N
Ballybunion Re 2021-3, 7/31/25
N/A
Ballybunion Re 2021-3, 7/31/25
000000000
3406059.00000000
PA
USD
3406059.00000000
0.072533042907
Long
DBT
CORP
BM
Y
2
2025-07-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ARG96
21665.61000000
PA
USD
23703.33000000
0.000504769486
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
4.00000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2020-1 Ltd
69701DAA6
5600000.00000000
PA
USD
5603791.20000000
0.119334405996
Long
ABS-CBDO
CORP
KY
N
2
2028-02-20
Floating
5.00963000
N
N
N
N
N
N
ATKORE INC
52990002TI38AM4RPV48
Atkore Inc
047649AA6
2600000.00000000
PA
USD
2665000.00000000
0.056751970341
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
4.25000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDN7
7950000.00000000
PA
USD
8050806.00000000
0.171444316448
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.37500000
N
N
N
N
N
N
Sussex Re 2020-1, 12/31/22
N/A
Sussex Re 2020-1, 12/31/22
000000000
3609700.00000000
PA
USD
115510.40000000
0.002459828440
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Bantry RE 2016, 3/31/22
N/A
Bantry RE 2016, 3/31/22
000000000
4000000.00000000
PA
USD
322400.00000000
0.006865604216
Long
DBT
CORP
BM
Y
2
2023-03-31
Floating
0.01000000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2021-4
74938VAV5
8275224.64000000
PA
USD
8175251.65000000
0.174094423704
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
2.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-KW03 Mortgage Trust
30302YAN7
2800000.00000000
PA
USD
2911563.76000000
0.062002619194
Long
ABS-MBS
CORP
US
N
2
2027-07-25
Variable
4.06149100
N
N
N
N
N
N
Carlyle Global Market Strategi
N/A
CARLYLE US CLO 2019-4 LTD
14317VAL4
3000000.00000000
PA
USD
3008085.00000000
0.064058067806
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
4.12375000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210F6D3
88.66000000
PA
USD
92.86000000
0.000001977481
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
7.00000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2019-4
14686YAH0
2750000.00000000
PA
USD
2836894.78000000
0.060412520981
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
4.70000000
N
N
N
N
N
N
CIDRON AIDA FINCO SARL
98450036A07991DEBF10
Cidron Aida Finco Sarl
000000000
985000.00000000
PA
1125627.83000000
0.023970580571
Long
DBT
CORP
LU
N
2
2028-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182LCS4
254945.73000000
PA
USD
279895.06000000
0.005960448834
Long
ABS-MBS
USGA
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F030629
4000000.00000000
PA
USD
4140038.48000000
0.088163354982
Long
ABS-MBS
USGSE
US
N
2
2051-02-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176UTU9
789486.66000000
PA
USD
864187.43000000
0.018403129229
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
4.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
GBP/USD FORWARD
000000000
1.00000000
NC
USD
-24155.21000000
-0.00051439240
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-5060000.00000000
GBP
6822278.58000000
USD
2022-03-23
-24155.21000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36198VMG9
1155677.98000000
PA
USD
1270936.11000000
0.027064963759
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B5 Mortgage Trust
08160BAC8
4500000.00000000
PA
USD
4948665.75000000
0.105383314023
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Fixed
3.94360000
N
N
N
N
N
N
RESORTS WORLD/RWLV CAP
N/A
Resorts World Las Vegas LLC / RWLV Capital Inc
76120HAC1
3400000.00000000
PA
USD
3373353.62000000
0.071836572079
Long
DBT
CORP
US
N
2
2031-04-06
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ACS5
128466.30000000
PA
USD
140396.58000000
0.002989787070
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Mortgage Trust 2021-INV1
46592PBJ9
2067556.00000000
PA
USD
2050282.60000000
0.043661379852
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.99964900
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/NOK FORWARD
000000000
1.00000000
NC
USD
-985168.13000000
-0.02097944934
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-26034381.16000000
USD
220735000.00000000
NOK
2022-02-04
-985168.13000000
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AD0
715000.00000000
PA
USD
727755.60000000
0.015497772693
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ARL82
8945.71000000
PA
USD
9787.83000000
0.000208434760
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176F7K8
31913.04000000
PA
USD
34993.73000000
0.000745201923
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181CGT9
476298.03000000
PA
USD
523170.52000000
0.011141072358
Long
ABS-MBS
USGA
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
AXIS Equipment Finance Receiva
549300NOANH9X4RIOF97
Amur Equipment Finance Receivables VI LLC
03237JAF4
1513000.00000000
PA
USD
1520007.76000000
0.032369018879
Long
ABS-O
CORP
US
N
2
2023-11-20
Fixed
5.45000000
N
N
N
N
N
N
TEVA PHARMACEUTICAL INDU
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAP6
1478000.00000000
PA
USD
1463220.00000000
0.031159706582
Long
DBT
CORP
NL
N
2
2027-05-09
Fixed
4.75000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS EUR PUT
000000000
42000000.00000000
NC
915187.73000000
0.019489195838
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS EUR PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
EUR
N/A
USD
2022-10-19
42000000.00000000
USD
1.14500000
EUR
2022-10-19
XXXX
269751.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391GYP5
3117.25000000
PA
USD
3431.85000000
0.000073082269
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.00000000
N
N
N
N
N
N
Whitebox CLO I Ltd
549300C89ZJ5IWOT1F21
Whitebox Clo II Ltd
96466EAE4
4000000.00000000
PA
USD
3912252.00000000
0.083312573910
Long
ABS-CBDO
CORP
KY
N
2
2034-10-24
Floating
7.26000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389JZV9
1688.71000000
PA
USD
1863.06000000
0.000039674418
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2020-DUNE
36258BAS7
6000000.00000000
PA
USD
5878608.60000000
0.125186724545
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.61000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AG2
9325000.00000000
PA
USD
9512619.00000000
0.202574060546
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
4.37500000
N
N
N
N
N
N
Berwick Re 2020-1, 12/31/23
N/A
Berwick Re 2020-1, 12/31/23
000000000
2000000.00000000
PA
USD
200.00000000
0.000004259059
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAL3
1080000.00000000
PA
USD
1196100.00000000
0.025471306463
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
Octagon Investment Partners XX
549300XIS9D4AHDX5A35
Octagon Investment Partners XXI Ltd
67590UAQ1
2000000.00000000
PA
USD
1975942.00000000
0.042078274589
Long
ABS-CBDO
CORP
KY
N
2
2031-02-14
Floating
7.15600000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-55959.35000000
-0.00119167105
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-5405000.00000000
GBP
7257276.74000000
USD
2022-03-23
-55959.35000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BZ27
19506.98000000
PA
USD
22551.46000000
0.000480240070
Long
ABS-MBS
USGA
US
N
2
2032-11-15
Fixed
6.50000000
N
N
N
N
N
N
WOLVERINE WORLD WIDE
549300OVC7PK14LQ8D87
Wolverine World Wide Inc
978097AG8
3590000.00000000
PA
USD
3490449.30000000
0.074330159531
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
4.00000000
N
N
N
N
N
N
Sound Point CLO LTD
5493001O6AOY43J70E72
Sound Point Clo XXI Ltd
83613HAJ6
4750000.00000000
PA
USD
4697009.00000000
0.100024208427
Long
ABS-CBDO
CORP
KY
N
2
2031-10-26
Floating
3.42488000
N
N
N
N
N
N
Mello Mortgage Capital Accepta
N/A
Mello Mortgage Capital Acceptance
585494CE5
4137802.54000000
PA
USD
4025879.53000000
0.085732306072
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.68723000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E5FZ6
587788.14000000
PA
USD
645360.15000000
0.013743136995
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
TERRAFORM POWER OPERATIN
5493000S2OLR3UT5BE13
TerraForm Power Operating LLC
88104LAG8
2095000.00000000
PA
USD
2196324.68000000
0.046771389530
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.75000000
N
N
N
N
N
N
CITY OF BUENOS AIRES
5299007MC8RF52X0ON96
Ciudad Autonoma De Buenos Aires/Government Bonds
11942GAD4
8500000.00000000
PA
USD
7575710.00000000
0.161327005341
Long
DBT
NUSS
AR
N
2
2027-06-01
Fixed
7.50000000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AT6
2245000.00000000
PA
USD
2363356.40000000
0.050328379856
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176HKG8
4482.09000000
PA
USD
4783.34000000
0.000101862652
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
Blackbird Capital Aircraft
N/A
Blackbird Capital Aircraft
09229CAB5
4357291.67000000
PA
USD
4304799.38000000
0.091671987519
Long
ABS-O
CORP
US
N
2
2046-07-15
Fixed
3.44600000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
321 Henderson Receivables III LLC
88576RAC3
500000.00000000
PA
USD
583078.30000000
0.012416826412
Long
ABS-O
CORP
US
N
2
2048-01-15
Fixed
9.36000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796Q51
130000000.00000000
PA
USD
130000107.90000000
2.768391094896
Long
DBT
UST
US
N
2
2022-01-04
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183E3P5
10237.84000000
PA
USD
11263.58000000
0.000239861297
Long
ABS-MBS
USGA
US
N
2
2044-11-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WMG57
1463392.01000000
PA
USD
1578349.27000000
0.033611418746
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJ4U9
47019.94000000
PA
USD
49935.46000000
0.001063390523
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AWNR0
1803595.61000000
PA
USD
1980440.58000000
0.042174073192
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AUND5
2798.93000000
PA
USD
3068.25000000
0.000065339299
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-1
89176EAE0
4750000.00000000
PA
USD
5010943.15000000
0.106709529842
Long
ABS-MBS
CORP
US
N
2
2058-01-25
Variable
3.75899500
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2021-1
89179YAF0
5750000.00000000
PA
USD
6034951.03000000
0.128516083251
Long
ABS-MBS
CORP
US
N
2
2061-11-25
Variable
3.50000000
N
N
N
N
N
N
Accelerated Assets LLC
N/A
Accelerated Assets 2018-1 LLC
00436MAC9
1343628.49000000
PA
USD
1395687.51000000
0.029721582053
Long
ABS-O
CORP
US
N
2
2033-12-02
Fixed
6.65000000
N
N
N
N
N
N
J.P. Morgan Wealth Management
N/A
JPMorgan Chase Bank NA - JPMWM
46591HBN9
2459271.86000000
PA
USD
2459269.40000000
0.052370875816
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Floating
2.79967000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD
46591JAN6
3750000.00000000
PA
USD
3632406.75000000
0.077353185794
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
2.71000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F4BF2
741883.63000000
PA
USD
803018.70000000
0.017100522868
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-2
89171YAG6
11300000.00000000
PA
USD
11598164.06000000
0.246986365007
Long
ABS-O
CORP
US
N
2
2060-11-25
Variable
3.36001700
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184BL47
88894.60000000
PA
USD
97432.74000000
0.002074859276
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
B3 SA-BRASIL BOLSA BALCA
4GTK5S46E6H318LMDS44
B3 SA - Brasil Bolsa Balcao
11778EAA4
9950000.00000000
PA
USD
9589412.00000000
0.204209390399
Long
DBT
CORP
BR
N
2
2031-09-20
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A4WQ8
3988866.28000000
PA
USD
487898.18000000
0.010389937351
Long
ABS-MBS
USGSE
US
N
2
2041-08-25
Floating
6.44812000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176MER0
3899.21000000
PA
USD
4164.08000000
0.000088675326
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-KW07 Mortgage Trust
30297NAE8
975000.00000000
PA
USD
1028829.95000000
0.021909240828
Long
ABS-MBS
CORP
US
N
2
2031-10-25
Variable
4.08128600
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
JPMorgan Chase Bank NA - CHASE
46591HAJ9
7440248.80000000
PA
USD
7650414.25000000
0.162917854639
Long
ABS-MBS
CORP
US
N
2
2057-10-25
Floating
3.45188000
N
N
N
N
N
N
Genworth Mortgage Insurance Co
N/A
Traingle Re 2021-1 Ltd
89600FAE3
1830000.00000000
PA
USD
1827862.38000000
0.038924874888
Long
ABS-MBS
CORP
BM
N
2
2033-08-25
Floating
4.60188000
N
N
N
N
N
N
Viribus Re 2018, 12/31/21
N/A
Viribus Re 2018, 12/31/21
000000000
1250000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
-746.00000000
NC
USD
-1376628.57000000
-0.02931571623
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
2022-03-22
-107865746.43000000
USD
-1376628.57000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129362R7
2103887.39000000
PA
USD
2382665.24000000
0.050739567367
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
5.00000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
404250000.00000000
PA
22882351.18000000
0.487286497375
Long
DBT
NUSS
ZA
N
2
2032-03-31
Fixed
8.25000000
N
N
N
N
N
N
Home Partners of America Trust
N/A
Home Partners of America 2019-1 Trust
43731QAL2
663230.55000000
PA
USD
674870.51000000
0.014371568918
Long
ABS-O
CORP
US
N
2
2039-09-17
Fixed
4.10100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXC32
118443.24000000
PA
USD
130625.48000000
0.002781708580
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371K2H3
2087.36000000
PA
USD
2399.22000000
0.000051092105
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297RD61
49889.21000000
PA
USD
54914.17000000
0.001169413638
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 YEAR US TREASURY NOTE
000000000
7.00000000
NC
USD
-1297.84000000
-0.00002763789
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
2022-03-31
1528500.97000000
USD
-1297.84000000
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650BV1
4059427.58000000
PA
USD
4731421.16000000
0.100757025645
Long
DBT
CORP
US
N
2
2033-01-10
Fixed
5.77300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CHJ6
41456.77000000
PA
USD
43667.46000000
0.000929911592
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KLT6
508.05000000
PA
USD
584.04000000
0.000012437306
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183HN35
51516.31000000
PA
USD
56330.37000000
0.001199572040
Long
ABS-MBS
USGA
US
N
2
2044-12-15
Fixed
4.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-4
89173UAE7
3750000.00000000
PA
USD
3871413.38000000
0.082442903309
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Variable
3.43265900
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650BP4
602309.19000000
PA
USD
686775.99000000
0.014625099668
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
6.03600000
N
N
N
N
N
N
FITNESS & SPORTS CLUBS LLC
N/A
Fitness International LLC
33818XAH3
2711800.32000000
PA
USD
2547058.45000000
0.054240369835
Long
LON
CORP
US
N
2
2025-04-18
Floating
4.25000000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2021-INV1
74387VAA7
7440744.76000000
PA
USD
7509340.99000000
0.159913657465
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
2.50000000
N
N
N
N
N
N
KUEHG CORP
549300YNT566T1NYJX62
KUEHG Corp
000000000
442262.44240000
PA
USD
433693.61000000
0.009235634856
Long
LON
CORP
US
N
2
2025-02-21
Floating
4.75000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BD8
6200000.00000000
PA
USD
5866750.00000000
0.124934192119
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620C55R4
4815.50000000
PA
USD
5123.19000000
0.000109099860
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
4.00000000
N
N
N
N
N
N
STICHTING AK RABOBANK
DG3RU1DBUFHT4ZF9WN62
Stichting AK Rabobank Certificaten
000000000
28280100.00000000
PA
44270729.04000000
0.942758387040
Long
DBT
CORP
NL
N
2
N/A
Variable
6.50000000
N
N
N
N
N
N
PRECISION DRILLING CORP
549300WF2OE8T5BP4B84
Precision Drilling Corp
740212AL9
2814000.00000000
PA
USD
2863245.00000000
0.060973656780
Long
DBT
CORP
CA
N
2
2026-01-15
Fixed
7.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416X4Z0
2121660.94000000
PA
USD
2347927.76000000
0.049999822363
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
USD/MXN FORWARD
000000000
1.00000000
NC
USD
20196.90000000
0.000430099013
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-942276.36000000
USD
19800000.00000000
MXN
2022-01-28
20196.90000000
N
N
N
COLONY MORTGAGE CAPITAL LTD
N/A
CLNY Trust 2019-IKPR
12564NAN2
2470000.00000000
PA
USD
2439021.26000000
0.051939685631
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
2.83100000
N
N
N
N
N
N
ARTERA SERVICES LLC
549300J2G34D0WX8Z443
Artera Services LLC
73939VAA2
7985000.00000000
PA
USD
8447610.98000000
0.179894396919
Long
DBT
CORP
US
N
2
2025-12-04
Fixed
9.03300000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBJ7
1262000.00000000
PA
USD
1574129.92000000
0.033521566428
Long
DBT
CORP
US
N
2
2045-12-15
Fixed
6.12500000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
8250000.00000000
PA
USD
8421629.54000000
0.179341114401
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Seminole Re 2018, 1/15/22
N/A
Seminole Re 2018, 1/15/22
000000000
850864.00000000
PA
USD
21022.78000000
0.000447686374
Long
DBT
CORP
BM
Y
2
2023-01-31
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA5
35566ABE8
2935000.00000000
PA
USD
3846070.96000000
0.081903228912
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Floating
11.54967000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212M6W4
133.18000000
PA
USD
150.91000000
0.000003213673
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
6.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SF6
60500000.00000000
PA
USD
74682050.63000000
1.590376556238
Long
DBT
UST
US
N
2
2049-02-15
Fixed
3.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2021-K131 Mortgage Trust
30320UAN3
81605059.04000000
PA
USD
633687.76000000
0.013494569966
Long
ABS-MBS
CORP
US
N
2
2054-09-25
Fixed
0.10000000
N
N
N
N
N
N
LIMESTONE RE 2018, 3/1/22
N/A
LIMESTONE RE 2018, 3/1/22
000000000
5941.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2023-03-01
Floating
0.01000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trus
N/A
CFCRE Commercial Mortgage Trust 2016-C3
12531WBA9
4138077.14000000
PA
USD
4378634.32000000
0.093244324601
Long
ABS-MBS
CORP
US
N
2
2048-01-10
Fixed
3.59700000
N
N
N
N
N
N
Bantry RE 2018, 12/31/21
N/A
Bantry RE 2018, 12/31/21
000000000
2500000.00000000
PA
USD
28500.00000000
0.000606916005
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
ARCOSA INC
549300WFHLTCZV7D6V29
Arcosa Inc
039653AA8
1930000.00000000
PA
USD
1956537.50000000
0.041665049970
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.37500000
N
N
N
N
N
N
Dreyfus Government Cash Management
5493000Q69I5Q3QZIA91
Dreyfus Government Cash Management
262006208
88899836.37000000
NS
USD
88899836.37000000
1.893148546721
Long
STIV
RF
US
N
1
N
N
N
REPUBLIC OF SERBIA
254900W94OCY91V32O78
Serbia International Bond
000000000
6600000.00000000
PA
6862251.82000000
0.146133700473
Long
DBT
NUSS
RS
N
2
2036-09-23
Fixed
2.05000000
N
N
N
N
N
N
MATTERHORN RE LTD
N/A
Matterhorn Re Ltd
577092AL3
1500000.00000000
PA
USD
1508400.00000000
0.032121828166
Long
DBT
CORP
BM
Y
2
2022-12-07
Floating
4.39763000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAZ1
11185000.00000000
PA
USD
11164468.59000000
0.237750690542
Long
DBT
CORP
AU
N
2
2033-01-14
Fixed
2.87100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ATFZ0
6055350.45000000
PA
USD
1218085.21000000
0.025939488071
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Floating
6.44025000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHLH8
261308.43000000
PA
USD
277881.93000000
0.005917578630
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201BAJ5
2425.86000000
PA
USD
2661.54000000
0.000056678288
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
Cascade MH Asset Trust
N/A
Cascade MH Asset Trust 2021-MH1
14731QAG4
4000000.00000000
PA
USD
3795429.20000000
0.080824797519
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Variable
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312932ZG4
702.09000000
PA
USD
796.67000000
0.000016965325
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200Q3L6
1060.60000000
PA
USD
1214.02000000
0.000025852918
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
FASST 2021-S3 A2
N/A
FASST 2021-S3 A2
000000000
15000000.00000000
PA
USD
14800515.00000000
0.315181383983
Long
DBT
CORP
US
N
2
2051-12-25
Fixed
2.25000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796Q69
100600000.00000000
PA
USD
100599888.33000000
2.142304644966
Long
DBT
UST
US
N
2
2022-01-11
None
0.00000000
N
N
N
N
N
N
STAPLES INC
XQM2JINI1UL7642TU573
Staples Inc
855031AR1
1365000.00000000
PA
USD
1338723.75000000
0.028508521784
Long
LON
CORP
US
N
2
2024-09-12
Floating
4.63163000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BV4
5970000.00000000
PA
USD
6395362.50000000
0.136191153066
Long
DBT
CORP
MX
N
2
2029-11-19
Fixed
5.45000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2020-2 Receivables Funding LLC
826525AD9
1944115.73000000
PA
USD
2028229.06000000
0.043191743136
Long
ABS-O
CORP
US
N
2
2037-07-20
Fixed
6.59000000
N
N
N
N
N
N
Radnor Re LTD
254900JBDDKUTX6TX151
Radnor RE 2019-1 Ltd
75049SAD5
3470000.00000000
PA
USD
3478629.20000000
0.074078446974
Long
ABS-MBS
CORP
BM
N
2
2029-02-25
Floating
4.55275000
N
N
N
N
N
N
PENSKE AUTOMOTIVE GROUP
549300W7UTQ0M4C7LB15
Penske Automotive Group Inc
70959WAK9
7001000.00000000
PA
USD
6939741.25000000
0.147783861011
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.75000000
N
N
N
N
N
N
Multifamily Connecticut Avenue
549300HG8ZEWVWVSN227
Multifamily Connecticut Avenue Securities Trust 2019-01
62547NAB5
11900000.00000000
PA
USD
11750633.58000000
0.250233248939
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Floating
3.35188000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620AR2D2
1963.94000000
PA
USD
2137.24000000
0.000045513163
Long
ABS-MBS
USGA
US
N
2
2037-10-20
Fixed
5.50000000
N
N
N
N
N
N
Gleneagles Re 2021, 12/31/24
N/A
Gleneagles Re 2021, 12/31/24
000000000
1250000.00000000
PA
USD
1227125.00000000
0.026131993097
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
M/I HOMES INC
5299005M71FH9CCSFB69
M/I Homes Inc
55305BAV3
913000.00000000
PA
USD
899305.00000000
0.019150968363
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.95000000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNATIO
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80875AAP6
7701567.72800000
PA
USD
7683754.00000000
0.163627834565
Long
LON
CORP
US
N
2
2024-08-14
Floating
2.85425000
N
N
N
N
N
N
MATTERHORN RE LTD
N/A
Matterhorn Re Ltd
577092AN9
250000.00000000
PA
USD
249875.00000000
0.005321162697
Long
DBT
CORP
BM
Y
2
2025-12-08
Floating
5.96388900
N
N
N
N
N
N
Republic Finance Issuance Trus
N/A
Republic Finance Issuance Trust 2021-A
76042UAD5
9600000.00000000
PA
USD
9580992.96000000
0.204030104429
Long
ABS-O
CORP
US
N
2
2031-12-22
Fixed
5.23000000
N
N
N
N
N
N
Shadow Creek Re 2021, 7/31/25
N/A
Shadow Creek Re 2021, 7/31/25
000000000
500000.00000000
PA
USD
499658.77000000
0.010640382625
Long
DBT
CORP
BM
Y
2
2025-07-31
Floating
0.01000000
N
N
N
N
N
N
Adare Re 2022 12/31/27
N/A
Adare Re 2022 12/31/27
000000000
754500.00000000
PA
USD
754500.00000000
0.016067302672
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAC0
3795000.00000000
PA
USD
4074577.65000000
0.086769347071
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pas
N/A
FRESB 2020-SB79 Mortgage Trust
30316VAF4
24346117.85000000
PA
USD
1587371.75000000
0.033803555150
Long
ABS-MBS
USGSE
US
N
2
2040-07-25
Variable
1.10258300
N
N
N
N
N
N
Oakmont Re 2017, 4/30/23
N/A
Oakmont Re 2017, 4/30/23
000000000
1250000.00000000
PA
USD
36750.00000000
0.000782602217
Long
DBT
CORP
BM
Y
2
2023-04-30
Floating
0.01000000
N
N
N
N
N
N
CGDB Commercial Mortgage Trust
N/A
CGDB Commercial Mortgage Trust 2019-MOB
125284AL3
1500000.00000000
PA
USD
1453025.55000000
0.030942612727
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
2.65975000
N
N
N
N
N
N
CGDB Commercial Mortgage Trust
N/A
CGDB Commercial Mortgage Trust 2019-MOB
125284AN9
3700000.00000000
PA
USD
3551587.08000000
0.075632106802
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
3.10149000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.37.V1.5Y
000000000
1.00000000
NC
USD
-57095433.33000000
-1.21586429229
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.37.V1
Y
Default Event
2026-12-20
7537483.14000000
USD
0.00000000
USD
-614480000.00000000
USD
-64632916.47000000
N
N
N
Pangaea Re 2016-2, 11/30/21
N/A
Pangaea Re 2016-2, 11/30/21
000000000
6150000.00000000
PA
USD
10967.23000000
0.000233550435
Long
DBT
CORP
BM
Y
2
2022-11-30
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KLT3
4.48000000
PA
USD
5.18000000
0.000000110309
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
5.50000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADC3
155997.00000000
PA
USD
458989.97000000
0.009774328391
Long
DBT
CORP
BM
Y
2
2024-12-01
None
0.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
EUR/SEK FORWARD
000000000
1.00000000
NC
USD
-148722.91000000
-0.00316709875
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-22600294.06000000
EUR
231340000.00000000
SEK
2022-03-03
-148722.91000000
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2021-RPL1 LLC
69360GAB9
4154000.00000000
PA
USD
4071148.89000000
0.086696330604
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
2.18600000
N
N
N
N
N
N
ROCKCLIFF ENERGY II LLC
5493007AZNVKZ5HEMT23
Rockcliff Energy II LLC
77289KAA3
2315000.00000000
PA
USD
2384450.00000000
0.050777574364
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
5.50000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
313405000.00000000
PA
50860482.71000000
1.083089158085
Long
DBT
NUSS
CN
N
2
2030-11-19
Fixed
3.27000000
N
N
N
N
N
N
Lorenz Re 2020, 6/30/23
N/A
Lorenz Re 2020, 6/30/23
000000000
1282713.00000000
PA
USD
59133.07000000
0.001259256373
Long
DBT
CORP
BM
Y
2
2023-06-30
Floating
0.01000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAV2
20800000.00000000
PA
USD
20806532.24000000
0.443081313541
Long
DBT
CORP
NL
N
2
2037-03-13
Fixed
3.32400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176KZ91
779.72000000
PA
USD
829.23000000
0.000017658700
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.00000000
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource Inc
12008RAP2
5530000.00000000
PA
USD
5751200.00000000
0.122473520385
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.25000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ACW0
3608.00000000
PA
USD
70429.60000000
0.001499819350
Long
DBT
CORP
BM
Y
2
2024-03-01
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EBLT0
93023.25000000
PA
USD
101210.66000000
0.002155311209
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group Inc
043436AU8
465000.00000000
PA
USD
474300.00000000
0.010100360049
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
AUNA SA
549300C3XBVL3X4TME11
Auna SAA
05151VAA5
4195000.00000000
PA
USD
4320682.20000000
0.092010216911
Long
DBT
CORP
PE
N
2
2025-11-20
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36187SEP8
16252.08000000
PA
USD
17596.95000000
0.000374732301
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
4.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-K1507 Mortgage Trust
30297EAQ1
1875000.00000000
PA
USD
2030809.13000000
0.043246686496
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
4.30660000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201TQW0
48150.60000000
PA
USD
53281.75000000
0.001134650767
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
6.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-DC1 Mortgage Trust
12629NAJ4
5227225.00000000
PA
USD
5425844.91000000
0.115544986644
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Variable
4.03500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36198WTY1
35897.29000000
PA
USD
38167.52000000
0.000812788729
Long
ABS-MBS
USGA
US
N
2
2044-08-15
Fixed
4.00000000
N
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
05675M2A1
7000000.00000000
PA
USD
6877220.00000000
0.146452452334
Long
DBT
NUSS
BH
N
2
2031-09-30
Fixed
5.62500000
N
N
N
N
N
N
HIDROVIAS INT FIN SARL
222100RBWNBUZOTA9381
Hidrovias International Finance SARL
42953LAB8
4910000.00000000
PA
USD
4484106.60000000
0.095490388281
Long
DBT
CORP
LU
N
2
2031-02-08
Fixed
4.95000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CQ7
1605000.00000000
PA
USD
1605000.00000000
0.034178953995
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
ATLAS LUXCO 4 / ALL UNI
N/A
Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl
019579AA9
1670000.00000000
PA
USD
1668964.60000000
0.035541099241
Long
DBT
CORP
N/A
N
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp
000000000
660000.00000000
PA
788980.50000000
0.016801575210
Long
DBT
CORP
PA
N
2
2026-03-01
Fixed
7.62500000
N
N
N
N
N
N
GREIF INC
54930070FVGKR0Z1FI24
Greif Inc
397624AH0
7630000.00000000
PA
USD
7916125.38000000
0.168576252451
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
6.50000000
N
N
N
N
N
N
TOPBUILD CORP
5493007YSKHOL4RWII46
TopBuild Corp
89055FAC7
4275000.00000000
PA
USD
4387218.75000000
0.093427132600
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
4.12500000
N
N
N
N
N
N
BELLIS ACQUISITION CO PL
259400CYE2267UB4A481
Bellis Acquisition Co PLC
000000000
5520000.00000000
PA
7182998.13000000
0.152964088868
Long
DBT
CORP
GB
N
2
2026-02-16
Fixed
3.25000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
620140000.00000000
PA
32038421.34000000
0.682267743965
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
UNITED WHOLESALE MTGE LL
549300HW662MN1WU8550
United Wholesale Mortgage LLC
913229AA8
11749000.00000000
PA
USD
11528706.25000000
0.245507240214
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.50000000
N
N
N
N
N
N
REPUBLIC OF UZBEKISTAN
213800L6VDKUM3TCM927
Republic of Uzbekistan International Bond
91822Q2D8
33340000000.00000000
PA
USD
3135002.65000000
0.066760817040
Long
DBT
NUSS
UZ
N
2
2023-11-25
Fixed
14.50000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXVI Ltd
55819NAA2
7000000.00000000
PA
USD
6982171.00000000
0.148687415200
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
7.37375000
N
N
N
N
N
N
Walton Health Re 2018, 6/15/22
N/A
Walton Health Re 2018, 6/15/22
000000000
608616.00000000
PA
USD
48448.29000000
0.001031720794
Long
DBT
CORP
BM
Y
2
2022-06-15
Floating
0.01000000
N
N
N
N
N
N
ISTAR INC
QFFLKWYYS3UPWD86E794
iStar Inc
45031UCG4
12750000.00000000
PA
USD
13036875.00000000
0.277624143843
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183B6T0
60819.54000000
PA
USD
64614.92000000
0.001375994005
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-C1 Mortgage Trust
23307DBH5
4106000.00000000
PA
USD
4194429.69000000
0.089321632032
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Fixed
5.23700000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2019-2
46650TBA9
3535344.70000000
PA
USD
3577290.50000000
0.076179468802
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
4.52621500
N
N
N
N
N
N
TRONOX INC
549300EPZ4YXC7E5P181
Tronox Inc
897051AC2
6570000.00000000
PA
USD
6561787.50000000
0.139735223109
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.62500000
N
N
N
N
N
N
AMER AIRLINE 21-1B PTT
N/A
American Airlines 2021-1 Class B Pass Through Trust
02376LAA3
1630000.00000000
PA
USD
1615027.96000000
0.034392502396
Long
DBT
CORP
US
N
2
2030-07-11
Fixed
3.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183LAA4
7397.86000000
PA
USD
7958.13000000
0.000169470753
Long
ABS-MBS
USGA
US
N
2
2044-11-15
Fixed
4.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
EUR/NOK FORWARD
000000000
1.00000000
NC
USD
236721.90000000
0.005041063507
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-18131906.04000000
EUR
183950000.00000000
NOK
2022-01-10
236721.90000000
N
N
N
LORCA TELECOM BONDCO
9598004HFBAS82YM7X35
Lorca Telecom Bondco SA
000000000
6915000.00000000
PA
8000659.32000000
0.170376427932
Long
DBT
CORP
ES
N
2
2027-09-18
Fixed
4.00000000
N
N
N
N
N
N
FASST 2021-JR1
N/A
FASST 2021-JR1
31739MAB0
8097676.64000000
PA
USD
7995583.56000000
0.170268338108
Long
DBT
CORP
US
N
2
2051-04-25
Fixed
2.00000000
N
N
N
N
N
N
ADLER REAL ESTATE AG
529900Y6QFNN3D363B76
ADLER Real Estate AG
000000000
5800000.00000000
PA
6058527.75000000
0.129018156540
Long
DBT
CORP
DE
N
2
2026-04-27
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381XW51
2696615.46000000
PA
USD
408771.04000000
0.008704901290
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
5.94612000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-HQA3
35565MBE3
2670000.00000000
PA
USD
3239175.92000000
0.068979217914
Long
ABS-MBS
CORP
US
N
2
2050-07-25
Floating
10.10275000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5TL9
2598702.74000000
PA
USD
436604.41000000
0.009297621210
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Floating
5.94812000
N
N
N
N
N
N
ENERGY ACQUISITION LP
N/A
Energy Acquisition Co Inc
29279EAB8
1369952.38830000
PA
USD
1361390.19000000
0.028991210388
Long
LON
CORP
US
N
2
2025-06-26
Floating
4.35425000
N
N
N
N
N
N
RESIDENTIAL RE 2020 LTD
N/A
Residential Reinsurance 2020 Ltd
76120AAB8
1250000.00000000
PA
USD
1255250.00000000
0.026730923366
Long
DBT
CORP
KY
Y
2
2024-12-06
Floating
8.27548900
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-3
59980CAJ2
2966769.32000000
PA
USD
2988639.45000000
0.063643969015
Long
ABS-MBS
CORP
US
N
2
2061-01-25
Variable
3.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329KXP4
316942.93000000
PA
USD
332410.69000000
0.007078784848
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AVXP2
3590.68000000
PA
USD
3892.92000000
0.000082900893
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
4.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
ZAR/USD FORWARD
000000000
1.00000000
NC
USD
-24905.61000000
-0.00053037239
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-68650000.00000000
ZAR
4231367.34000000
USD
2022-03-25
-24905.61000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36198W6X8
97774.49000000
PA
USD
106415.49000000
0.002266149618
Long
ABS-MBS
USGA
US
N
2
2044-08-15
Fixed
4.00000000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re V Ltd
67401JAC6
2630000.00000000
PA
USD
2680784.77000000
0.057088111729
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
5.35188000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JX62
2000000.00000000
PA
USD
1812760.00000000
0.038603265199
Long
DBT
NUSS
EG
N
2
2050-05-29
Fixed
8.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36179BNU4
431954.65000000
PA
USD
469381.92000000
0.009995628068
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A6DV6
5372.47000000
PA
USD
5807.77000000
0.000123678195
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5SU0
2899079.47000000
PA
USD
484040.17000000
0.010307779876
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Floating
5.94812000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CJF4
259184.88000000
PA
USD
293621.05000000
0.006252747887
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
5.00000000
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust 2021-OVA
78449RAL9
8350000.00000000
PA
USD
7915840.08000000
0.168570176902
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Fixed
2.85061000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TBD0
4110000.00000000
PA
USD
4291823.52000000
0.091395662708
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Floating
4.04967000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-MP
61691DAA5
2000000.00000000
PA
USD
2196137.80000000
0.046767409865
Long
ABS-MBS
CORP
US
N
2
2040-07-11
Variable
4.27600000
N
N
N
N
N
N
WI TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill- When Issued
912796Q93
90000000.00000000
PA
USD
89998187.40000000
1.916538259696
Long
DBT
UST
US
N
2
2022-02-01
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9U91
140766.37000000
PA
USD
156019.14000000
0.003322474148
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
2022-02-23
Pioneer Series Trust XIV
Anthony J. Koenig, Jr
Anthony J. Koenig, Jr
Managing Director, Chief Operations Officer & Fund Treasurer
XXXX