NPORT-P
false
0001011378
XXXXXXXX
S000004166
C000011738
C000011739
MORGAN STANLEY VARIABLE INSURANCE FUND INC.
811-07607
0001011378
KRX6WCBD0RZHNUHCX346
522 FIFTH AVENUE
NEW YORK
10036
800-548-7786
Core Plus Fixed Income Portfolio
S000004166
Z21J3O1LEZEL6BEMID65
2022-12-31
2022-03-31
N
111864135.96
19451886.37
92412249.59
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
5464113.28000000
0.00000000
0.00000000
584996.74000000
EUR
USD
UST
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DKJ9
9186.97000000
PA
USD
9771.55000000
0.010573868771
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
5.44000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H5DS3
800000.00000000
PA
USD
172513.20000000
0.186677849273
Long
ABS-MBS
USGSE
US
N
2
2049-01-25
Variable
2.78000000
N
N
N
N
N
N
BROWN & BROWN INC
549300PC8KTJ71XKFY89
Brown & Brown Inc
115236AC5
100000.00000000
PA
USD
87999.43000000
0.095224854270
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.38000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2006-A6
76113FAV2
20915.39000000
PA
USD
15151.37000000
0.016395413018
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DW7
200000.00000000
PA
USD
174743.20000000
0.189090949279
Long
DBT
CORP
US
N
2
2050-05-11
Fixed
2.65000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBG5
100000.00000000
PA
USD
95038.34000000
0.102841712458
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
3.30000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2015-SFR2 Trust
02666BAE6
490000.00000000
PA
USD
506087.19000000
0.547640807625
Long
ABS-O
CORP
US
N
2
2052-10-17
Fixed
6.07000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384WAH3
1809.99000000
PA
USD
1927.22000000
0.002085459458
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
9.50000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VCB7
200000.00000000
PA
USD
171304.80000000
0.185370230418
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DNN7
25548.78000000
PA
USD
27289.81000000
0.029530511508
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
ENTERGY LOUISIANA LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBE7
125000.00000000
PA
USD
108552.78000000
0.117465791041
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
1.60000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE JUN22
000000000
-1.00000000
NC
7810.22000000
0.008451498621
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX 10 Year Euro BUND Future
RXM2 COMDTY
2022-06-08
-165720.09000000
EUR
7810.22000000
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AR0
300000.00000000
PA
USD
307014.18000000
0.332222385411
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
4.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AUDE4
100530.16000000
PA
USD
104957.10000000
0.113574878293
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2020-3
35563PTN9
659329.67000000
PA
USD
652775.54000000
0.706373389779
Long
ABS-MBS
USGSE
US
N
2
2060-05-25
Fixed
3.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD CZK
000000000
1.00000000
NC
951.81000000
0.001029960859
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1225564.00000000
CZK
56191.15000000
USD
2022-05-20
951.81000000
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397XU2
200000.00000000
PA
USD
199741.00000000
0.216141259287
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
4.39000000
N
N
N
N
N
N
NIAGARA MOHAWK POWER
3T97Y9RR5EN5Y18QHB56
Niagara Mohawk Power Corp
65364UAQ9
300000.00000000
PA
USD
275841.76000000
0.298490472014
Long
DBT
CORP
US
N
2
2032-01-10
Fixed
2.76000000
N
N
N
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55617LAQ5
80000.00000000
PA
USD
79013.60000000
0.085501219103
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.88000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
125000.00000000
PA
USD
130189.70000000
0.140879267172
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416KAK4
148449.56000000
PA
USD
161174.02000000
0.174407636125
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-1F
3622MPAT5
84097.55000000
PA
USD
67665.79000000
0.073221667365
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
5.75000000
N
N
N
N
N
N
BROOKFIELD FINANCE LLC
549300E643C5WZF8BL44
Brookfield Finance LLC
11271RAB5
150000.00000000
PA
USD
132155.63000000
0.143006615017
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DF22
18932.30000000
PA
USD
20200.01000000
0.021858584862
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.62000000
N
N
N
N
N
N
United Wholsale Mortgage LLC
N/A
UWM Mortgage Trust 2021-INV1
90354XAC4
494392.33000000
PA
USD
460225.96000000
0.498014020913
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
2.50000000
N
N
N
N
N
N
NRZ Excess Spread Collateralized Notes
N/A
NRZ Excess Spread-Collateralized Notes
65246QAA7
271349.58000000
PA
USD
261649.76000000
0.283133200588
Long
ABS-O
CORP
US
N
2
2026-11-25
Fixed
3.47000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-1510.29000000
-0.00163429632
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
599059.00000000
ZAR
39247.20000000
USD
2022-05-20
-1510.29000000
N
N
N
VONTIER CORP
549300VVSQLG4P5K4639
Vontier Corp
928881AD3
250000.00000000
PA
USD
220355.00000000
0.238447825886
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
2.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
549300BI6Y5SI6BYPB26
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
61747C707
1425825.00000000
NS
USD
1425825.00000000
1.542896105576
Long
STIV
RF
US
N
1
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDV7
75000.00000000
PA
USD
75421.88000000
0.081614591501
Long
DBT
CORP
GB
N
2
2030-03-22
Fixed
4.88000000
N
N
N
N
N
N
Republic of Senegal
549300NP14ZLQGWIUZ97
Senegal Government International Bond
81720TAC9
200000.00000000
PA
USD
189290.00000000
0.204832152490
Long
DBT
NUSS
SN
N
2
2033-05-23
Fixed
6.25000000
N
N
N
N
N
N
GRUPO AVAL LTD
549300J4FW1ELLQ80113
Grupo Aval Ltd
40053FAC2
200000.00000000
PA
USD
173527.00000000
0.187774889984
Long
DBT
CORP
KY
N
2
2030-02-04
Fixed
4.38000000
N
N
N
N
N
N
RINGCENTRAL INC
549300C8EH0H1614VE84
RingCentral Inc
76680RAH0
125000.00000000
PA
USD
102875.00000000
0.111321822005
Long
DBT
CORP
US
N
2
2026-03-15
None
0.00000000
N
N
N
N
Y
RINGCENTRAL INC
RINGCENTRAL INC
USD
XXXX
N
N
N
Pine Street Trust I
N/A
Pine Street Trust I
722844AA5
150000.00000000
PA
USD
156336.59000000
0.169173016232
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.57000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2016-KF21 Mortgage Trust
30289XAA4
42417.13000000
PA
USD
42691.98000000
0.046197317119
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Floating
5.49000000
N
N
N
N
N
N
Imperial Fund LLC
N/A
Imperial Fund Mortgage Trust 2021-NQM4
45276JAA8
516706.67000000
PA
USD
489296.52000000
0.529471495576
Long
ABS-MBS
CORP
US
N
2
2057-01-25
Variable
2.09000000
N
N
N
N
N
N
EGYPT GOVERNMENT BOND
529900GFIVH4086NMH82
Egypt Government Bond
000000000
1475000.00000000
PA
79934.75000000
0.086498002542
Long
DBT
NUSS
EG
N
2
2024-01-05
Fixed
13.77000000
N
N
N
N
N
N
ZIFF DAVIS INC
5493008OJYGLHD7MXA18
Ziff Davis Inc
48123VAF9
131000.00000000
PA
USD
124942.56000000
0.135201296964
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.63000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-1
35563PHZ5
531836.21000000
PA
USD
523126.65000000
0.566079337231
Long
ABS-MBS
USGSE
US
N
2
2058-07-25
Fixed
3.00000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AR0
50000.00000000
PA
USD
45448.25000000
0.049179897904
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.25000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE18 Mortgage Trust
12632QAY9
2517876.59000000
PA
USD
44790.51000000
0.048468152435
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
0.99000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-4CB
12668BPM9
11909.67000000
PA
USD
8005.17000000
0.008662455502
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6.00000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KCA6
150000.00000000
PA
USD
128432.66000000
0.138977960789
Long
DBT
CORP
US
N
2
2052-01-15
Fixed
3.00000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAQ6
100000.00000000
PA
USD
102547.08000000
0.110966977272
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032658
4500000.00000000
PA
USD
4494323.57000000
4.863341807974
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020653
850000.00000000
PA
USD
787716.43000000
0.852393955882
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
2.00000000
N
N
N
N
N
N
DTE ELECTRIC CO
9N0FWODEJVKHC2DYLO03
DTE Electric Co
23338VAL0
50000.00000000
PA
USD
44300.45000000
0.047937854772
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
2.95000000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAJ9
190000.00000000
PA
USD
171000.00000000
0.185040404014
Long
DBT
CORP
US
N
2
2025-12-15
None
0.00000000
N
N
N
N
Y
Uber Technologies Inc
Uber Technologies Inc
USD
XXXX
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040657
975000.00000000
PA
USD
990881.83000000
1.072240784523
Long
ABS-MBS
USGA
US
N
2
2052-05-19
Fixed
4.00000000
N
N
N
N
N
N
DAIMLER TRUCKS FINAN NA
5493003HSDTSCZRXBA58
Daimler Trucks Finance North America LLC
233853AF7
150000.00000000
PA
USD
139896.26000000
0.151382809768
Long
DBT
CORP
US
N
2
2026-12-14
Fixed
2.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-13814.97000000
-0.01494928438
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
6402324.00000000
MXN
305468.87000000
USD
2022-05-20
-13814.97000000
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2007-5 Trust
059523AJ9
15760.84000000
PA
USD
14860.72000000
0.016080898437
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
Aimco
N/A
AIMCO CLO Series 2018-B
00900PAL9
625000.00000000
PA
USD
620395.38000000
0.671334571718
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
1.34000000
N
N
N
N
N
N
LYB INT FINANCE III
N/A
LYB International Finance III LLC
50249AAD5
100000.00000000
PA
USD
99093.11000000
0.107229409996
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.20000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAB9
300000.00000000
PA
USD
309400.76000000
0.334804921828
Long
DBT
CORP
FR
N
2
2024-07-21
Fixed
5.15000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10
225470EA7
752362.46000000
PA
USD
195025.74000000
0.211038840484
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
6.50000000
N
N
N
N
N
N
CZECH REPUBLIC
3157007EFDLQABN47912
Czech Republic Government Bond
000000000
5650000.00000000
PA
208008.24000000
0.225087302736
Long
DBT
NUSS
CZ
N
2
2031-03-13
Fixed
1.20000000
N
N
N
N
N
N
Rate Mortgage Trust
N/A
Rate Mortgage Trust 2021-J4
75410JAA2
536690.55000000
PA
USD
499601.05000000
0.540622106069
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
2522.01000000
0.002729086253
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
2353853.00000000
SEK
253114.68000000
USD
2022-05-20
2522.01000000
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBM4
125000.00000000
PA
USD
102956.09000000
0.111409570113
Long
DBT
CORP
US
N
2
2041-02-04
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-2
35563PFA2
547065.17000000
PA
USD
538147.30000000
0.582333297141
Long
ABS-MBS
USGSE
US
N
2
2057-11-25
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJT7
175000.00000000
PA
USD
161199.08000000
0.174434753742
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31380DW77
909.28000000
PA
USD
976.97000000
0.001057186687
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
6.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-1.29000000
-0.00000139591
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
129.00000000
CAD
101.88000000
USD
2022-05-20
-1.29000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBD2
1000000.00000000
PA
USD
990349.30000000
1.071664529749
Long
DBT
UST
US
N
2
2022-12-31
Fixed
0.13000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAR2
150000.00000000
PA
USD
143660.23000000
0.155455830409
Long
DBT
US
N
2
2030-07-01
Fixed
3.30000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDF6
55000.00000000
PA
USD
44721.33000000
0.048393292229
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377TZF1
45271.39000000
PA
USD
8426.45000000
0.009118325803
Long
ABS-MBS
USGA
US
N
2
2041-02-16
Fixed
5.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR1
12565YAA5
450083.14000000
PA
USD
437683.39000000
0.473620534011
Long
ABS-MBS
CORP
US
N
2
2055-07-25
Variable
2.57000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2018-ALXA
63874GAL9
200000.00000000
PA
USD
186038.76000000
0.201313960893
Long
ABS-MBS
CORP
US
N
2
2043-01-15
Variable
4.32000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DDX6
7117.23000000
PA
USD
7566.61000000
0.008187886382
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.41000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
8360.35000000
0.009046798489
N/A
DFE
ZA
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
218461.40000000
USD
3333856.00000000
ZAR
2022-05-20
8360.35000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBG3
75000.00000000
PA
USD
78008.69000000
0.084413798328
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.75000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAN3
100000.00000000
PA
USD
102210.36000000
0.110602609993
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DBX8
10334.57000000
PA
USD
10992.87000000
0.011895468456
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.44000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748AK8
150000.00000000
PA
USD
178315.11000000
0.192956140328
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.88000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
S6XOOCT0IEG5ABCC6L87
Freddie Mac Whole Loan Securities Trust
3137G1BK2
166239.21000000
PA
USD
160655.27000000
0.173846292794
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335Y6E1
18345.14000000
PA
USD
19407.41000000
0.021000906358
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.46000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CP2
75000.00000000
PA
USD
77485.18000000
0.083847304165
Long
DBT
CORP
US
N
2
2047-05-04
Fixed
4.05000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2017-SC02
3137G1BV8
25350.69000000
PA
USD
24940.72000000
0.026988543305
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Fixed
3.50000000
N
N
N
N
N
N
TWITTER INC
549300I8RX485XMK6836
Twitter Inc
90184LAP7
20000.00000000
PA
USD
19933.90000000
0.021570625202
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJJR2
6008.72000000
PA
USD
6720.54000000
0.007272347583
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617J6UQ5
13940.12000000
PA
USD
14466.71000000
0.015654537211
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
ALIBABA GROUP HOLDING
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd
01609WAX0
200000.00000000
PA
USD
174168.47000000
0.188469029563
Long
DBT
CORP
KY
N
2
2031-02-09
Fixed
2.13000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD CNY
000000000
1.00000000
NC
152.43000000
0.000164945665
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1757417.00000000
CNY
276475.58000000
USD
2022-05-20
152.43000000
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-8 LLC
69360MAA8
244425.93000000
PA
USD
232732.72000000
0.251841851088
Long
ABS-MBS
CORP
US
N
2
2026-09-25
Variable
1.74000000
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB Financial Group
78486QAF8
275000.00000000
PA
USD
237361.00000000
0.256850148170
Long
DBT
CORP
US
N
2
2031-02-02
Fixed
1.80000000
N
N
N
N
N
N
Jol Air
549300TS4MUGCDXPW498
JOL Air Ltd
46651NAB0
226849.39000000
PA
USD
201898.34000000
0.218475733353
Long
ABS-O
CORP
KY
N
2
2044-04-15
Fixed
4.95000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2007-5 Trust
059523AR1
16692.22000000
PA
USD
16585.12000000
0.017946884827
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
5.25000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AU6
275000.00000000
PA
USD
289529.34000000
0.313301906711
Long
DBT
CORP
US
N
2
2028-11-13
Fixed
4.75000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
-13267.13000000
-0.01435646254
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
971200.00000000
PLN
216848.64000000
USD
2022-05-20
-13267.13000000
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JAC4
200000.00000000
PA
USD
159444.00000000
0.172535568290
Long
DBT
NUSS
EG
N
2
2061-02-16
Fixed
7.50000000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VBD5
25000.00000000
PA
USD
25424.88000000
0.027512456533
Long
DBT
CORP
US
N
2
2052-03-01
Fixed
3.70000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CN3
100000.00000000
PA
USD
92787.01000000
0.100405531097
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.95000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FXYY8
2949999.89000000
PA
USD
540787.19000000
0.585189942241
Long
ABS-MBS
USGSE
US
N
2
2049-01-25
Variable
2.63000000
N
N
N
N
N
N
VMC Finance LLC
N/A
VMC Finance 2021-HT1 LLC
91835TAA4
344137.39000000
PA
USD
341652.89000000
0.369705197650
Long
ABS-CBDO
CORP
US
N
2
2037-01-18
Floating
2.12000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
9694.05000000
0.010490005430
N/A
DFE
MX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
272740.30000000
USD
5663413.00000000
MXN
2022-05-20
9694.05000000
N
N
N
SEALED AIR CORP
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAZ3
75000.00000000
PA
USD
68438.24000000
0.074057541401
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
1.57000000
N
N
N
N
N
N
Bank
N/A
BANK 2020-BNK30
06541UBG0
725000.00000000
PA
USD
600006.74000000
0.649271868894
Long
ABS-MBS
CORP
US
N
2
2053-12-15
Variable
2.92000000
N
N
N
N
N
N
Octagon Investment Partners 51 Ltd
N/A
Octagon Investment Partners 51 Ltd
67578JAA7
900000.00000000
PA
USD
891244.80000000
0.964422794547
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.40000000
N
N
N
N
N
N
Eurosail Plc
724500VX65TCSYFLOA51
Eurosail-NL 2007-2 BV
000000000
300000.00000000
PA
327033.54000000
0.353885487531
Long
ABS-MBS
CORP
NL
Y
2
2040-10-17
Floating
1.23000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-9380.13000000
-0.01015031020
N/A
DFE
GB
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
288346.02000000
USD
212411.00000000
GBP
2022-05-20
-9380.13000000
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AS7
275000.00000000
PA
USD
253744.60000000
0.274578966669
Long
DBT
CORP
KY
N
2
2026-04-09
Fixed
1.72000000
N
N
N
N
N
N
BIO-RAD LABS
549300ZC1GPV35XYDK53
Bio-Rad Laboratories Inc
090572AR9
150000.00000000
PA
USD
147845.19000000
0.159984407538
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.30000000
N
N
N
N
N
N
DT MIDSTREAM INC
N/A
DT Midstream Inc
23345MAA5
25000.00000000
PA
USD
24007.25000000
0.025978428299
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.13000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
-5406.92000000
-0.00585086936
N/A
DFE
CZ
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
466290.79000000
USD
10225370.00000000
CZK
2022-05-20
-5406.92000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2Q5
125000.00000000
PA
USD
112771.92000000
0.122031354609
Long
DBT
CORP
US
N
2
2041-04-30
Fixed
3.07000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEE4
225000.00000000
PA
USD
193500.00000000
0.209387825595
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.88000000
N
N
N
N
N
N
LIFE STORAGE LP
X0MIGH67XZCB7HL1A534
Life Storage LP
53227JAD6
125000.00000000
PA
USD
110371.74000000
0.119434101528
Long
DBT
US
N
2
2031-10-15
Fixed
2.40000000
N
N
N
N
N
N
Headlands Residential
N/A
Headlands Residential 2021-RPL1 LLC
42210JAA4
350000.00000000
PA
USD
336210.00000000
0.363815404875
Long
ABS-MBS
CORP
US
N
2
2026-09-25
Variable
2.49000000
N
N
N
N
N
N
DXC TECHNOLOGY CO
549300DOVZ3EDJB7O259
DXC Technology Co
23355LAL0
350000.00000000
PA
USD
321358.69000000
0.347744689070
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
1.80000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2F0
300000.00000000
PA
USD
305657.45000000
0.330754257531
Long
DBT
CORP
FR
N
2
2028-08-14
Fixed
4.40000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109CD1
250000.00000000
PA
USD
249265.16000000
0.269731730485
Long
DBT
CORP
CA
N
2
2052-03-15
Fixed
4.55000000
N
N
N
N
N
N
MOZART DEBT MERGER SUB
N/A
Mozart Debt Merger Sub Inc
62482BAA0
150000.00000000
PA
USD
138941.25000000
0.150349386165
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.88000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BU7
100000.00000000
PA
USD
90279.71000000
0.097692362647
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DA5
100000.00000000
PA
USD
86132.82000000
0.093204981354
Long
DBT
CORP
US
N
2
2041-08-15
Fixed
2.80000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2015-GC33
29425AAK9
4319667.72000000
PA
USD
110393.00000000
0.119457107136
Long
ABS-MBS
CORP
US
N
2
2058-09-10
Variable
0.88000000
N
N
N
N
N
N
Sprite Limited
N/A
Sprite 2017-1 Ltd
85208HAA1
1372.11000000
PA
USD
1341.22000000
0.001451344389
Long
ABS-O
CORP
KY
N
2
2037-12-15
Fixed
4.25000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CR4
100000.00000000
PA
USD
86971.24000000
0.094112242030
Long
DBT
CORP
US
N
2
2059-08-01
Fixed
3.95000000
N
N
N
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216JAE5
200000.00000000
PA
USD
189794.19000000
0.205377740334
Long
DBT
NUSS
IN
N
2
2030-01-15
Fixed
3.25000000
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-3
35563PCF4
450000.00000000
PA
USD
440223.21000000
0.476368892601
Long
ABS-MBS
USGSE
US
N
2
2056-07-25
Variable
4.75000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
388000.00000000
PA
USD
369003.52000000
0.399301522944
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAK6
75000.00000000
PA
USD
87322.52000000
0.094492364797
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
PELOTON INTERACTIVE INC
5493002YS021166W0339
Peloton Interactive Inc
70614WAB6
235000.00000000
PA
USD
195343.75000000
0.211382961530
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
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2020-555
17328EAN8
300000.00000000
PA
USD
221846.82000000
0.240062135684
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Variable
3.50000000
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DD4
150000.00000000
PA
USD
139899.73000000
0.151386564682
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
2.75000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C21
46642EBA3
3100431.83000000
PA
USD
51927.27000000
0.056190894854
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
0.96000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CN8
50000.00000000
PA
USD
56604.86000000
0.061252550664
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
5.13000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
-26361.23000000
-0.02852568800
N/A
DFE
HU
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
471418.11000000
USD
148741843.00000000
HUF
2022-05-20
-26361.23000000
N
N
N
INDIAN RAILWAY FINANCE
335800F2JHSOGXQEBY56
Indian Railway Finance Corp Ltd
45434L2H6
200000.00000000
PA
USD
189346.00000000
0.204892750517
Long
DBT
CORP
IN
N
2
2032-01-21
Fixed
3.57000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QNA2
225000.00000000
PA
USD
242086.49000000
0.261963636935
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.42000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AH2
125000.00000000
PA
USD
130754.21000000
0.141490127748
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.38000000
N
N
N
N
N
N
GRIFOLS SA
959800HSSNXWRKBK4N60
Grifols SA
000000000
100000.00000000
PA
105964.12000000
0.114664582314
Long
DBT
CORP
ES
N
2
2027-11-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B5SC8
462126.39000000
PA
USD
64098.04000000
0.069360977883
Long
ABS-MBS
USGSE
US
N
2
2043-11-15
Floating
5.60000000
N
N
N
N
N
N
Pretium Mortgage Credit Partners LLC
N/A
PRET 2021-NPL6 LLC
69362GAA9
212255.62000000
PA
USD
206441.58000000
0.223392008003
Long
ABS-O
CORP
US
N
2
2051-07-25
Variable
2.49000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BBHD5
516611.48000000
PA
USD
74020.35000000
0.080097985200
Long
ABS-MBS
USGSE
US
N
2
2044-06-15
Floating
5.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MJT0
25841.34000000
PA
USD
29534.35000000
0.031959345358
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
8.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
549300QTQ6MX6ER06N64
Alternative Loan Trust 2007-OA7
126680AA5
80696.86000000
PA
USD
73762.45000000
0.079818909643
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
0.82000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
-25218.94000000
-0.02728960728
N/A
DFE
PL
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
472872.30000000
USD
1889314.00000000
PLN
2022-05-20
-25218.94000000
N
N
N
NOVA CHEMICALS CORP
549300ZOD6N7RI2FJP09
NOVA Chemicals Corp
66977WAS8
165000.00000000
PA
USD
152339.55000000
0.164847788768
Long
DBT
CORP
CA
N
2
2029-05-15
Fixed
4.25000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AXVR9
188889.26000000
PA
USD
195982.01000000
0.212073627543
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C2G8
41605.93000000
PA
USD
42265.94000000
0.045736295986
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN22
000000000
35.00000000
NC
USD
-213909.31000000
-0.23147289558
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term US Treasury Bond Future
WNM2 COMDTY
2022-06-21
6413284.31000000
USD
-213909.31000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DFX4
21886.67000000
PA
USD
23526.70000000
0.025458421480
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
CIM TRUST
N/A
CIM Trust 2021-INV1
12566PAB1
392081.67000000
PA
USD
364141.19000000
0.394039958572
Long
ABS-MBS
CORP
US
N
2
2051-07-01
Variable
2.50000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-NR4
12566DAA0
276346.08000000
PA
USD
265101.78000000
0.286868657754
Long
ABS-MBS
CORP
US
N
2
2061-10-25
Variable
2.82000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAH4
275000.00000000
PA
USD
264306.01000000
0.286007548969
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.88000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAL7
175000.00000000
PA
USD
175995.33000000
0.190445888700
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.28000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2020-GS4
52474KAA1
391516.73000000
PA
USD
387123.87000000
0.418909691861
Long
ABS-MBS
CORP
US
N
2
2060-02-25
Variable
3.25000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
6888.54000000
0.007454141664
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
28290000.00000000
JPY
239500.58000000
USD
2022-05-20
6888.54000000
N
N
N
Sage AR Funding
N/A
Sage AR Funding
000000000
400000.00000000
PA
514759.38000000
0.557025050557
Long
ABS-MBS
CORP
GB
N
2
2051-11-17
Floating
2.00000000
N
N
N
N
N
N
AMGEN INC INDUSTRY
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DF4
75000.00000000
PA
USD
77811.26000000
0.084200157820
Long
DBT
CORP
US
N
2
2052-02-22
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DD66
55307.90000000
PA
USD
53800.83000000
0.058218288418
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DB34
5255.94000000
PA
USD
5588.87000000
0.006047758846
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.44000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BV1
175000.00000000
PA
USD
155116.48000000
0.167852725897
Long
DBT
CORP
US
N
2
2041-08-12
Fixed
2.80000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAM1
250000.00000000
PA
USD
250004.87000000
0.270532176317
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CM6
200000.00000000
PA
USD
195440.00000000
0.211487114389
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DQ0
300000.00000000
PA
USD
264492.51000000
0.286209362041
Long
DBT
CORP
US
N
2
2031-02-28
Fixed
1.88000000
N
N
N
N
N
N
Imperial Fund LLC
N/A
Imperial Fund Mortgage Trust 2022-NQM1
452766AA6
293724.41000000
PA
USD
286944.34000000
0.310504658498
Long
ABS-MBS
CORP
US
N
2
2067-02-25
Variable
2.49000000
N
N
N
N
N
N
Brean Asset Backed Securities Trust
N/A
Brean Asset Backed Securities Trust 2021-RM1
10638CAA0
275263.78000000
PA
USD
250133.55000000
0.270671421927
Long
ABS-MBS
CORP
US
N
2
2063-10-25
Variable
1.40000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-12494.92000000
-0.01352084821
N/A
DFE
JP
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
245106.96000000
USD
28290000.00000000
JPY
2022-05-20
-12494.92000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H5XX0
625000.00000000
PA
USD
139371.31000000
0.150814757370
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Variable
2.98000000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT1
69354WAC0
300000.00000000
PA
USD
298880.85000000
0.323421246994
Long
ABS-O
CORP
US
N
2
2023-02-25
Floating
3.31000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED EGP / SOLD USD
000000000
1.00000000
NC
-7720.29000000
-0.00835418468
N/A
DFE
EG
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
61040.17000000
USD
980000.00000000
EGP
2022-05-19
-7720.29000000
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
617726AM6
200000.00000000
PA
USD
160880.00000000
0.174089474841
Long
DBT
NUSS
MA
N
2
2050-12-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DFD8
10396.95000000
PA
USD
11068.03000000
0.011976799665
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.48000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PME6
228093.12000000
PA
USD
224343.43000000
0.242763736404
Long
ABS-MBS
USGSE
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
NORTHERN STATES PWR-MINN
3S1GHB0TEH85KX44SB51
Northern States Power Co/MN
665772CR8
150000.00000000
PA
USD
132740.59000000
0.143639604694
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
2.90000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAA8
289906.36000000
PA
USD
278508.28000000
0.301375933640
Long
DBT
CORP
JE
N
2
2027-09-30
Fixed
1.75000000
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods Inc
90290MAD3
250000.00000000
PA
USD
238766.25000000
0.258370779912
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412TYA5
780.58000000
PA
USD
838.58000000
0.000907433812
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAZ1
125000.00000000
PA
USD
111199.31000000
0.120329621336
Long
DBT
CORP
AU
N
2
2033-01-14
Fixed
2.87000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2022-VAMF
05609TAJ9
390000.00000000
PA
USD
378693.71000000
0.409787351438
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
3.00000000
N
N
N
N
N
N
Cologix Data Centers Issuer LLC
N/A
Cologix Canadian Issuer LP
19521DAD3
400000.00000000
PA
309396.47000000
0.334800279587
Long
ABS-O
CORP
CA
N
2
2052-01-25
Fixed
4.94000000
N
N
N
N
N
N
AIRBNB INC
549300HMUDNO0RY56D37
Airbnb Inc
009066AB7
130000.00000000
PA
USD
126320.07000000
0.136691911040
Long
DBT
CORP
US
N
2
2026-03-15
None
0.00000000
N
N
N
N
Y
Airbnb Inc
Airbnb Inc
USD
XXXX
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2017-SC02
3137G1BS5
177083.30000000
PA
USD
171584.85000000
0.185673274659
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Fixed
3.00000000
N
N
N
N
N
N
Start Ltd.
N/A
START Ireland
85573LAA9
142864.69000000
PA
USD
132417.60000000
0.143290094752
Long
ABS-O
CORP
BM
N
2
2044-03-15
Fixed
4.09000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8Z32
195102.80000000
PA
USD
194490.10000000
0.210459220355
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBT6
200000.00000000
PA
USD
208757.89000000
0.225898504717
Long
DBT
CORP
US
N
2
2052-03-14
Fixed
4.95000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-4528.02000000
-0.00489980497
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
2160006.00000000
ZAR
142429.84000000
USD
2022-05-20
-4528.02000000
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
000000000
200000.00000000
PA
USD
209929.17000000
0.227165955737
Long
DBT
NUSS
PH
N
2
2047-03-29
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MJQ6
25128.37000000
PA
USD
28499.49000000
0.030839515460
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
8.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDM0
375000.00000000
PA
USD
338758.40000000
0.366573047948
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.95000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CNY / SOLD USD
000000000
1.00000000
NC
25.07000000
0.000027128438
N/A
DFE
CN
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
323011.24000000
USD
2054513.00000000
CNY
2022-05-20
25.07000000
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
300000.00000000
PA
USD
292489.66000000
0.316505291557
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.56000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-1
35563PDY2
595836.55000000
PA
USD
582326.31000000
0.630139740763
Long
ABS-MBS
USGSE
US
N
2
2057-05-25
Fixed
3.00000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DBG5
225000.00000000
PA
USD
183320.65000000
0.198372673334
Long
DBT
CORP
US
N
2
2051-12-15
Fixed
3.45000000
N
N
N
N
N
N
Cologix Data Centers Issuer LLC
N/A
Cologix Data Centers US Issuer LLC
19521UAA1
225000.00000000
PA
USD
217807.49000000
0.235691145888
Long
ABS-O
CORP
US
N
2
2051-12-26
Fixed
3.30000000
N
N
N
N
N
N
NBN CO LTD
2549007CRZ2NT7S96A24
NBN Co Ltd
62878U2B7
225000.00000000
PA
USD
205374.92000000
0.222237767083
Long
DBT
CORP
AU
N
2
2031-05-05
Fixed
2.63000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EC31
100000.00000000
PA
USD
111260.15000000
0.120395456764
Long
DBT
CORP
US
N
2
2044-07-08
Fixed
4.80000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2016-SC02
3137G1BD8
70041.36000000
PA
USD
68859.70000000
0.074513606481
Long
ABS-MBS
USGSE
US
N
2
2046-10-25
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFW9
25000.00000000
PA
USD
20667.37000000
0.022364318682
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
2.99000000
N
N
N
N
N
N
SVB FINANCIAL GROUP
549300D2KJ20JMXE7542
SVB Financial Group
78486QAG6
100000.00000000
PA
USD
85500.00000000
0.092520202007
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
4.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620ARRB9
145328.36000000
PA
USD
147940.58000000
0.160087629785
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
3.50000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804GF5
125000.00000000
PA
USD
110098.01000000
0.119137896207
Long
DBT
CORP
US
N
2
2051-11-15
Fixed
2.95000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAN4
300000.00000000
PA
USD
260127.00000000
0.281485410380
Long
DBT
CORP
US
N
2
2032-09-15
Fixed
1.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617J7FM9
1654.32000000
PA
USD
1704.39000000
0.001844333416
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2015-SC02
3137G1AK3
93910.30000000
PA
USD
91345.40000000
0.098845553923
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Fixed
3.00000000
N
N
N
N
N
N
Sculptor CLO Ltd
N/A
Sculptor CLO XXVI Ltd
81124TAA5
840000.00000000
PA
USD
832479.06000000
0.900831939156
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.52000000
N
N
N
N
N
N
CNO Financial Group Inc
11XPYHB76MPM4Y4P2897
CNO Financial Group Inc
12621EAL7
95000.00000000
PA
USD
100099.15000000
0.108318053552
Long
DBT
CORP
US
N
2
2029-05-30
Fixed
5.25000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAB3
375000.00000000
PA
USD
377964.53000000
0.408998300200
Long
DBT
CORP
GB
N
2
2029-03-08
Fixed
4.30000000
N
N
N
N
N
N
Jackson Park Trust
N/A
Jackson Park Trust 2019-LIC
46868RAN4
400000.00000000
PA
USD
327436.52000000
0.354321555262
Long
ABS-MBS
CORP
US
N
2
2039-10-14
Variable
3.24000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
18.34000000
0.000019845853
N/A
DFE
CA
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1260.51000000
USD
1599.00000000
CAD
2022-05-20
18.34000000
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDU9
75000.00000000
PA
USD
75600.00000000
0.081807336511
Long
DBT
CORP
GB
N
2
2025-06-22
Fixed
4.38000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC24
36253GAG7
4276964.71000000
PA
USD
61447.58000000
0.066492894905
Long
ABS-MBS
CORP
US
N
2
2047-09-10
Variable
0.71000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-4
35563PGZ6
507777.82000000
PA
USD
499414.62000000
0.540420368745
Long
ABS-MBS
USGSE
US
N
2
2058-03-25
Fixed
3.00000000
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914906AV4
245000.00000000
PA
USD
233534.00000000
0.252708922286
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.50000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAM5
50000.00000000
PA
USD
41691.03000000
0.045114181491
Long
DBT
CORP
GB
N
2
2050-09-02
Fixed
3.55000000
N
N
N
N
N
N
JBS FINANCE LUXEMBOURG
N/A
JBS Finance Luxembourg Sarl
46592QAB5
225000.00000000
PA
USD
209424.38000000
0.226619718629
Long
DBT
CORP
LU
N
2
2027-01-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194TQH2
104440.42000000
PA
USD
106147.08000000
0.114862564725
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
AON CORP/AON GLOBAL HOLD
N/A
Aon Corp / Aon Global Holdings PLC
03740LAC6
100000.00000000
PA
USD
92214.24000000
0.099785732312
Long
DBT
CORP
US
N
2
2031-12-02
Fixed
2.60000000
N
N
N
N
N
N
Goodgreen Trust
N/A
Goodgreen 2020-1 Trust
38217TAC9
461802.17000000
PA
USD
453099.97000000
0.490302932793
Long
ABS-O
CORP
US
N
2
2055-04-15
Fixed
5.53000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-9 LLC
69360XAA4
263516.79000000
PA
USD
252920.12000000
0.273686790573
Long
ABS-MBS
CORP
US
N
2
2026-10-25
Variable
2.36000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BU9
175000.00000000
PA
USD
145055.94000000
0.156966138843
Long
DBT
CORP
US
N
2
2060-06-03
Fixed
2.70000000
N
N
N
N
N
N
Bayview Opportunity Master Fund
N/A
Bayview MSR Opportunity Master Fund Trust 2021-INV5
07336JAD0
236502.34000000
PA
USD
225602.96000000
0.244126683422
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
3.00000000
N
N
N
N
N
N
GLOBAL ATLANTIC FIN CO
N/A
Global Atlantic Fin Co
37959GAB3
125000.00000000
PA
USD
112047.32000000
0.121247259424
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.13000000
N
N
N
N
N
N
DUKE ENERGY INDIANA LLC
6URPHM2EAWGJ2C6ISB97
Duke Energy Indiana LLC
26443TAC0
83000.00000000
PA
USD
70236.02000000
0.076002932848
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKA6
208491.32000000
PA
USD
205104.67000000
0.221945327497
Long
ABS-MBS
USGSE
US
N
2
2058-08-25
Fixed
3.00000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-11.79000000
-0.00001275804
N/A
DFE
US
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
576.00000000
CAD
448.89000000
USD
2022-05-20
-11.79000000
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2021-J3
17330BAX8
472092.17000000
PA
USD
439466.92000000
0.475550505425
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
2.50000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
2600000.00000000
PA
417938.92000000
0.452254892456
Long
DBT
NUSS
CN
N
2
2029-11-21
Fixed
3.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DC66
11406.42000000
PA
USD
12138.15000000
0.013134784678
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.46000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AG2
100000.00000000
PA
USD
95542.98000000
0.103387787251
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAH7
100000.00000000
PA
USD
101800.00000000
0.110158556307
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796K57
833000.00000000
PA
USD
831550.11000000
0.899826715277
Long
STIV
UST
US
N
2
2022-07-14
None
0.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-8.63000000
-0.00000933858
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
549.00000000
CAD
430.45000000
USD
2022-05-20
-8.63000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN22
000000000
-38.00000000
NC
USD
168190.48000000
0.182000200997
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Ultra 10-Year US Treasury Note Futures
UXYM2 COMDTY
2022-06-21
-5316002.98000000
USD
168190.48000000
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PMT3
179172.23000000
PA
USD
182544.14000000
0.197532405941
Long
ABS-MBS
USGSE
US
N
2
2059-02-25
Fixed
4.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-6801.13000000
-0.00735955463
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3541774.00000000
ZAR
234166.50000000
USD
2022-05-20
-6801.13000000
N
N
N
Freddie Mac Whole Loan Securities Trust
S6XOOCT0IEG5ABCC6L87
Freddie Mac Whole Loan Securities Trust
3137G1BL0
92312.98000000
PA
USD
90723.81000000
0.098172926643
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Fixed
3.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
-1739.26000000
-0.00188206650
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
918114.00000000
PLN
215798.33000000
USD
2022-05-20
-1739.26000000
N
N
N
Novastar Home Equity Loan
N/A
NovaStar Mortgage Funding Trust Series 2003-3
66987XCT0
195384.39000000
PA
USD
194218.57000000
0.210165395671
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Floating
1.52000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DPP0
9985.85000000
PA
USD
10626.52000000
0.011499038327
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.46000000
N
N
N
N
N
N
NRZ Excess Spread Collateralized Notes
N/A
New Residential Mortgage LLC 2020-FNT2
64830YAB3
394125.09000000
PA
USD
389707.97000000
0.421705966177
Long
ABS-O
CORP
US
N
2
2025-07-25
Fixed
5.44000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGS70
90013.65000000
PA
USD
95084.07000000
0.102891197240
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT 2021-HB7 LLC
12530BAD1
350000.00000000
PA
USD
336094.26000000
0.363690161738
Long
ABS-MBS
CORP
US
N
2
2031-10-27
Variable
3.85000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
82414.22000000
0.089181055937
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
2607870.00000000
EUR
2971826.95000000
USD
2022-05-20
82414.22000000
N
N
N
OVERSEA-CHINESE BANKING
5493007O3QFXCPOGWK22
Oversea-Chinese Banking Corp Ltd
69033CAD1
200000.00000000
PA
USD
188652.00000000
0.204141767825
Long
DBT
CORP
SG
N
2
2030-09-10
Fixed
1.83000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust 2017-4
35563PDJ5
250000.00000000
PA
USD
249019.20000000
0.269465575294
Long
ABS-MBS
USGSE
US
N
2
2057-06-25
Variable
4.75000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CK4
75000.00000000
PA
USD
67819.44000000
0.073387933202
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
3.40000000
N
N
N
N
N
N
Highways PLC
635400GGBFFTA8MRIA09
Highways 2021 PLC
000000000
300000.00000000
PA
392354.17000000
0.424569439377
Long
ABS-MBS
CORP
GB
N
2
2026-11-18
Floating
1.63000000
N
N
N
N
N
N
HOWARD HUGHES CORP
549300BVHY25JZC1KI49
Howard Hughes Corp/The
44267DAF4
150000.00000000
PA
USD
141208.50000000
0.152802794679
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.38000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2013-C13
92937UAJ7
385000.00000000
PA
USD
372280.64000000
0.402847719487
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Variable
4.14000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABN4
50000.00000000
PA
USD
42223.33000000
0.045690187380
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.30000000
N
N
N
N
N
N
SILGAN HOLDINGS INC
KAF673KJXD92C8KSLU49
Silgan Holdings Inc
827048AX7
200000.00000000
PA
USD
182659.43000000
0.197657162129
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
1.40000000
N
N
N
N
N
N
GARDA WORLD SECURITY
549300ZF1NDXLMCHNO20
Garda World Security Corp
36485MAK5
350000.00000000
PA
USD
336180.25000000
0.363783212173
Long
DBT
CORP
CA
N
2
2027-02-15
Fixed
4.63000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-23104.42000000
-0.02500146907
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
655066.00000000
AUD
467409.24000000
USD
2022-05-20
-23104.42000000
N
N
N
BANK OF IRELAND GROUP
635400C8EK6DRI12LJ39
Bank of Ireland Group PLC
06279JAB5
250000.00000000
PA
USD
226996.99000000
0.245635173915
Long
DBT
CORP
IE
N
2
2027-09-30
Fixed
2.03000000
N
N
N
N
N
N
MARB BONDCO PLC
254900PVA1EU6QM1JN57
MARB BondCo PLC
566007AC4
200000.00000000
PA
USD
177751.00000000
0.192345712596
Long
DBT
CORP
GB
N
2
2031-01-29
Fixed
3.95000000
N
N
N
N
N
N
The Bancorp Commercial Mortgage Trust
N/A
Bancorp Commercial Mortgage 2019-CRE6 Trust
05973BAJ6
450000.00000000
PA
USD
446188.10000000
0.482823545557
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
2.46000000
N
N
N
N
N
N
Real Estate Asset Liquidity Trust
N/A
Real Estate Asset Liquidity Trust
75585RSK2
3511779.93000000
PA
146606.24000000
0.158643730295
Long
ABS-MBS
CORP
CA
N
2
2031-02-12
Variable
1.10000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BB8
175000.00000000
PA
USD
164282.48000000
0.177771324395
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
3.10000000
N
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
958102AP0
125000.00000000
PA
USD
121250.00000000
0.131205549629
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
1.50000000
N
N
N
N
Y
Western Digital Corp
Western Digital Corp
USD
XXXX
N
N
N
Mauser Packaging Solut
549300DNGHXL0OMHW304
Mauser Packaging Solutions Holding Co
12429TAE4
220000.00000000
PA
USD
218306.00000000
0.236230587361
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.25000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBF1
275000.00000000
PA
USD
244706.94000000
0.264799245863
Long
DBT
CORP
CA
N
2
2033-08-01
Fixed
2.50000000
N
N
N
N
N
N
McLaren Health Care Corp
549300OY1YHQK68ZQX37
McLaren Health Care Corp
581760AV7
150000.00000000
PA
USD
162770.79000000
0.176135513118
Long
DBT
CORP
US
N
2
2048-05-15
Fixed
4.39000000
N
N
N
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAT0
300000.00000000
PA
USD
307336.20000000
0.332570845708
Long
DBT
CORP
ES
N
2
2027-03-08
Fixed
4.10000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2007-QS2 Trust
74923CAA0
7427.51000000
PA
USD
6856.14000000
0.007419081377
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
6.00000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-3
61946TAB1
214874.07000000
PA
USD
197684.04000000
0.213915407185
Long
ABS-O
CORP
US
N
2
2052-06-20
Fixed
1.92000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2021-W10X
55284DAN2
475000.00000000
PA
USD
465352.15000000
0.503561110204
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Floating
3.12000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2022-DKLX
05530SAL0
350000.00000000
PA
USD
343674.00000000
0.371892256194
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
3.30000000
N
N
N
N
N
N
Brean Asset Backed Securities Trust
N/A
Brean Asset Backed Securities Trust 2021-RM2
10638MAA8
277836.14000000
PA
USD
257561.66000000
0.278709436403
Long
ABS-MBS
CORP
US
N
2
2061-10-25
Variable
1.75000000
N
Y
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2015-GC35
17324KAV0
2291468.97000000
PA
USD
49966.17000000
0.054068773589
Long
ABS-MBS
CORP
US
N
2
2048-11-10
Variable
0.72000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AA9
275000.00000000
PA
USD
274525.39000000
0.297066017998
Long
DBT
CORP
JP
N
2
2023-09-15
Fixed
3.04000000
N
N
N
N
N
N
ZYNGA INC
549300XNQ0U2EL088Z74
Zynga Inc
98986TAD0
130000.00000000
PA
USD
132990.00000000
0.143909493157
Long
DBT
CORP
US
N
2
2026-12-15
None
0.00000000
N
N
N
N
Y
Zynga Inc
Zynga Inc
USD
XXXX
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBX3
125000.00000000
PA
USD
109634.55000000
0.118636382607
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
1.95000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2016-SC01
3137G1AW7
49003.72000000
PA
USD
48262.57000000
0.052225295038
Long
ABS-MBS
USGSE
US
N
2
2046-07-25
Fixed
3.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAP8
250000.00000000
PA
USD
244798.74000000
0.264898583343
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NE7
250000.00000000
PA
USD
224773.95000000
0.243229605379
Long
DBT
CORP
US
N
2
2032-11-03
Fixed
2.52000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-LC17 Mortgage Trust
12592MBL3
2245508.73000000
PA
USD
31133.08000000
0.033689343283
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Variable
0.70000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKL2
25000.00000000
PA
USD
23975.39000000
0.025943952350
Long
DBT
CORP
US
N
2
2037-03-08
Fixed
3.85000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-8672.39000000
-0.00938445935
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
591791.00000000
CAD
464632.66000000
USD
2022-05-20
-8672.39000000
N
N
N
FELLS POINT FUNDING TR
N/A
Fells Point Funding Trust
314382AA0
250000.00000000
PA
USD
240064.77000000
0.259775918306
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
3.05000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-3
35563PCE7
281582.77000000
PA
USD
280040.85000000
0.303034339324
Long
ABS-MBS
USGSE
US
N
2
2056-07-25
Variable
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335Y5S1
6991.54000000
PA
USD
7436.96000000
0.008047591128
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.44000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAA1
350000.00000000
PA
USD
347020.79000000
0.375513843175
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
3.13000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDT5
150000.00000000
PA
USD
124508.93000000
0.134732062634
Long
DBT
CORP
US
N
2
2056-11-01
Fixed
2.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CX66
60555.83000000
PA
USD
61514.79000000
0.066565623359
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp Reverse Mortgage Loan Trust 2007-RM1
86363BAF2
862852.77000000
PA
USD
811061.33000000
0.877655650196
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
2.31000000
N
Y
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-15CB
02151CAR7
41048.12000000
PA
USD
32294.29000000
0.034945897479
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DD74
53619.11000000
PA
USD
53059.98000000
0.057416608983
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
225000.00000000
PA
USD
200349.00000000
0.216799180724
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAN7
200000.00000000
PA
USD
151570.12000000
0.164015182697
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Variable
2.94000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAJ4
175000.00000000
PA
USD
198599.21000000
0.214905719621
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
5.48000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-681.32000000
-0.00073726156
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
300556.00000000
ZAR
19767.27000000
USD
2022-05-20
-681.32000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
617298.00000000
PA
729423.28000000
0.789314493734
Long
DBT
NUSS
IT
Y
2
2027-10-28
Fixed
0.65000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DA2
75000.00000000
PA
USD
81164.69000000
0.087828929995
Long
DBT
CORP
US
N
2
2044-07-16
Fixed
4.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN22
000000000
31.00000000
NC
USD
-84523.42000000
-0.09146343734
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year US Treasury Note Future
TUM2 COMDTY
2022-06-30
6654101.58000000
USD
-84523.42000000
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust 2006-7
059469AF3
264044.55000000
PA
USD
99458.43000000
0.107624725554
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
6.36000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EP4
75000.00000000
PA
USD
65603.02000000
0.070989528218
Long
DBT
CORP
AU
N
2
2035-11-15
Fixed
2.67000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E7GS3
53881.29000000
PA
USD
55600.08000000
0.060165270563
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAX9
160000.00000000
PA
USD
141467.20000000
0.153082735922
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
2.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1525.56000000
0.001650820109
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
251247.50000000
USD
228143.00000000
EUR
2022-05-20
1525.56000000
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2021-APPL
63874AAJ7
325000.00000000
PA
USD
314978.95000000
0.340841123766
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
2.10000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAW5
150000.00000000
PA
USD
138619.19000000
0.150000882583
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
AMERICAN AIRLINES/AADVAN
N/A
American Airlines Inc/AAdvantage Loyalty IP Ltd
00253XAB7
235000.00000000
PA
USD
234441.88000000
0.253691346158
Long
DBT
CORP
XX
N
2
2029-04-20
Fixed
5.75000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2019-MILE
63875FAG1
500000.00000000
PA
USD
496817.80000000
0.537610330020
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Floating
2.60000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZL1
799999.86000000
PA
USD
263412.99000000
0.285041205217
Long
ABS-MBS
USGSE
US
N
2
2038-10-25
Variable
3.46000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2007-8
52521YAC0
624995.71000000
PA
USD
291579.00000000
0.315519859427
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6.50000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BT9
100000.00000000
PA
USD
82211.70000000
0.088961907501
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
2.80000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CE2
375000.00000000
PA
USD
311091.63000000
0.336634625150
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WP71
31151.86000000
PA
USD
33166.97000000
0.035890231162
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20
46642CBL3
4842946.52000000
PA
USD
54150.44000000
0.058596604065
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Variable
0.86000000
N
N
N
N
N
N
CHILDREN'S HEATH SYS TX
254900FK4IY1J5YO2L69
Children's Health System of Texas
16876HAB5
175000.00000000
PA
USD
137810.67000000
0.149125976925
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.51000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-3
35563PGA1
370745.21000000
PA
USD
364631.32000000
0.394570331982
Long
ABS-MBS
USGSE
US
N
2
2057-08-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DBZ3
9920.60000000
PA
USD
10576.78000000
0.011445214294
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.62000000
N
N
N
N
N
N
DICK'S SPORTING GOODS
529900SSBV5I4LWSK313
Dick's Sporting Goods Inc
253393AG7
250000.00000000
PA
USD
213992.65000000
0.231563078433
Long
DBT
CORP
US
N
2
2052-01-15
Fixed
4.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393DKH3
6549.01000000
PA
USD
739.73000000
0.000800467474
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7SU1
18510.24000000
PA
USD
20380.34000000
0.022053721330
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
7.50000000
N
N
N
N
N
N
Illinois State Toll Highway Authority
549300ISBFGI8MJJKM98
ILLINOIS ST TOLL HIGHWAY AUTH
452252FH7
705000.00000000
PA
USD
874149.24000000
0.945923558703
Long
DBT
MUN
US
N
2
2034-01-01
Fixed
6.18000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLB3
82596.77000000
PA
USD
81250.71000000
0.087922012893
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
400000.00000000
PA
USD
366047.60000000
0.396102899371
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411NJG3
18012.15000000
PA
USD
18703.52000000
0.020239221621
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.62000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2015-SC01
3137G1AC1
10237.07000000
PA
USD
10123.33000000
0.010954532591
Long
ABS-MBS
USGSE
US
N
2
2045-05-25
Fixed
4.00000000
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust 2021-OVA
78449RAC9
3650000.00000000
PA
USD
69341.97000000
0.075035474525
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Variable
0.26000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-RPL1 Trust
12598PAA5
178863.81000000
PA
USD
170992.17000000
0.185031931111
Long
ABS-MBS
CORP
US
N
2
2061-09-25
Variable
1.67000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-10 LLC
69360HAA9
276789.90000000
PA
USD
266467.96000000
0.288347011551
Long
ABS-MBS
CORP
US
N
2
2026-10-25
Variable
2.49000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLQ0
84965.54000000
PA
USD
86522.98000000
0.093627176466
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DE40
85487.12000000
PA
USD
85849.17000000
0.092898041526
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
J.P. Morgan Alternative Loan Trust
N/A
JP Morgan Alternative Loan Trust
46627MAU1
34965.68000000
PA
USD
29960.63000000
0.032420626197
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7S56
16691.75000000
PA
USD
18617.15000000
0.020145759985
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
8.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
4.98000000
0.000005388895
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
105.00000000
GBP
142.88000000
USD
2022-05-20
4.98000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-WEHO
12657CAA2
581836.91000000
PA
USD
571121.39000000
0.618014811384
Long
ABS-MBS
CORP
US
N
2
2023-04-15
Floating
4.37000000
N
N
N
N
N
N
PMC PLS ESR Issuer LLC
N/A
PMC PLS ESR Issuer LLC
69375JAB6
339910.44000000
PA
USD
339910.44000000
0.367819679217
Long
ABS-MBS
CORP
US
N
2
2027-02-25
Variable
5.11000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-8INV
33852HAB8
396718.80000000
PA
USD
367115.13000000
0.397258081724
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
2.50000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-2904.36000000
-0.00314283010
N/A
DFE
SE
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
257558.18000000
USD
2392000.00000000
SEK
2022-05-20
-2904.36000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAF2
325000.00000000
PA
USD
327080.15000000
0.353935924567
Long
DBT
CORP
IE
N
2
2023-07-03
Fixed
4.13000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F84K6
714999.89000000
PA
USD
129207.06000000
0.139815944935
Long
ABS-MBS
USGSE
US
N
2
2049-01-25
Variable
2.63000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN22
000000000
-3.00000000
NC
USD
10007.83000000
0.010829549160
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 10 Year US Treasury Note
TYM2 COMDTY
2022-06-21
-378632.83000000
USD
10007.83000000
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69370RAL1
650000.00000000
PA
USD
574437.50000000
0.621603199303
Long
DBT
CORP
ID
Y
2
2031-02-09
Fixed
2.30000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31382XP95
220.37000000
PA
USD
236.76000000
0.000256199801
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E5ZK3
10725.13000000
PA
USD
10919.39000000
0.011815955188
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Floating
1.84000000
N
N
N
N
N
N
ROCKETMTGE CO-ISSUER INC
N/A
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc
74841CAB7
320000.00000000
PA
USD
290088.00000000
0.313906436957
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.88000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H4RJ1
475000.00000000
PA
USD
144569.62000000
0.156439888263
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Variable
3.07000000
N
N
N
N
N
N
NORTH MACEDONIA
635400RD1N6RVNCE4958
North Macedonia Government International Bond
000000000
160000.00000000
PA
154429.81000000
0.167109675054
Long
DBT
NUSS
MK
N
2
2028-03-10
Fixed
1.63000000
N
N
N
N
N
N
WAYFAIR INC
54930027N9ZAVYFDHK53
Wayfair Inc
94419LAM3
285000.00000000
PA
USD
235410.00000000
0.254738956192
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
0.63000000
N
N
N
N
N
Wayfair Inc
Wayfair Inc
USD
XXXX
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) JUN22
000000000
25.00000000
NC
USD
-111712.28000000
-0.12088471008
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT US Long Bond Future
USM2 COMDTY
2022-06-21
3863274.78000000
USD
-111712.28000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAQ8
200000.00000000
PA
USD
201148.69000000
0.217664531371
Long
DBT
CORP
ES
N
2
2028-03-24
Fixed
4.18000000
N
N
N
N
N
N
MFT Trust
N/A
MFT Trust 2020-ABC
55317BAJ6
200000.00000000
PA
USD
167405.86000000
0.181151157712
Long
ABS-MBS
CORP
US
N
2
2042-02-10
Variable
3.48000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-7.84000000
-0.00000848372
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
548.00000000
CAD
430.44000000
USD
2022-05-20
-7.84000000
N
N
N
DELTA AIR LINES 2019-1AA
N/A
Delta Air Lines 2019-1 Class AA Pass Through Trust
24737BAA3
150000.00000000
PA
USD
150277.23000000
0.162616136569
Long
DBT
CORP
US
N
2
2024-04-25
Fixed
3.20000000
N
N
N
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA Communications Corp
78410GAG9
145000.00000000
PA
USD
132087.75000000
0.142933161551
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
3.13000000
N
N
N
N
N
N
PIEDMONT NATURAL GAS CO
VXB4M3BDPKF3I2AZ3G89
Piedmont Natural Gas Co Inc
720186AN5
125000.00000000
PA
USD
114922.98000000
0.124359033039
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.50000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAF0
250000.00000000
PA
USD
226698.30000000
0.245311959189
Long
DBT
CORP
FR
N
2
2032-10-19
Fixed
3.12000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2G7
200000.00000000
PA
USD
190306.72000000
0.205932352955
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.88000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
000000000
125000.00000000
PA
129888.66000000
0.140553509492
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.25000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
586.06000000
0.000634179995
N/A
DFE
AU
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
13537.06000000
USD
18861.00000000
AUD
2022-05-20
586.06000000
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FCRA6
7145.54000000
PA
USD
1130.66000000
0.001223495808
Long
ABS-MBS
USGSE
US
N
2
2035-06-25
Variable
8.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
2976.66000000
0.003221066485
N/A
DFE
MX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
57724.09000000
USD
1217180.00000000
MXN
2022-05-20
2976.66000000
N
N
N
AUST & NZ BANKING GROUP
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd
052528AM8
200000.00000000
PA
USD
174789.08000000
0.189140596377
Long
DBT
CORP
AU
N
2
2035-11-25
Fixed
2.57000000
N
N
N
N
N
N
SOLRR Aircraft 2021-1 Limited
N/A
Lunar 2021-1 Structured Aircraft Portfolio Notes
83438LAA9
322375.46000000
PA
USD
295987.51000000
0.320290341716
Long
ABS-O
CORP
IE
N
2
2046-10-15
Fixed
2.64000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN22
000000000
-9.00000000
NC
USD
27421.88000000
0.029673425462
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 5 Year US Treasury Note
FVM2 COMDTY
2022-06-30
-1059609.38000000
USD
27421.88000000
N
N
N
SG Commercial Mortgage Securities Trust
N/A
SG Commercial Mortgage Securities Trust 2020-COVE
78397FAJ2
450000.00000000
PA
USD
417561.66000000
0.451846656533
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Variable
3.73000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M7C55
173261.59000000
PA
USD
181021.34000000
0.195884572449
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.00000000
N
N
N
N
N
N
Falcon Aerospace Ltd
N/A
Falcon 2019-1 Aerospace Ltd
30610GAA1
192885.32000000
PA
USD
174248.18000000
0.188555284362
Long
ABS-O
CORP
KY
N
2
2039-09-15
Fixed
3.60000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-86CB
12668BFL2
2562.55000000
PA
USD
1931.16000000
0.002089722962
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.50000000
N
N
N
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAL7
200000.00000000
PA
USD
191177.20000000
0.206874306001
Long
DBT
NUSS
NG
N
2
2049-01-21
Fixed
9.25000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HN86
365.86000000
PA
USD
26.44000000
0.000028610925
Long
ABS-MBS
USGSE
US
N
2
2026-11-25
Fixed
9.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DKA8
4906.79000000
PA
USD
5226.71000000
0.005655862748
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
5.52000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403MRY7
2918.51000000
PA
USD
3190.83000000
0.003452821475
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKL2
112890.26000000
PA
USD
114976.91000000
0.124417391103
Long
ABS-MBS
USGSE
US
N
2
2058-08-25
Fixed
4.00000000
N
N
N
N
N
N
Vericrest Opportunity Loan Transferee
N/A
VOLT CV LLC
91835GAA2
186209.52000000
PA
USD
180199.59000000
0.194995350507
Long
ABS-MBS
CORP
US
N
2
2051-11-27
Variable
2.49000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
549300BI6Y5SI6BYPB26
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
61747C707
7360561.96000000
NS
USD
7360561.96000000
7.964920227195
Long
STIV
RF
US
N
1
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
4.43000000
0.000004793736
N/A
DFE
US
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
185.00000000
GBP
247.40000000
USD
2022-05-20
4.43000000
N
N
N
HONDURAS GOVERNMENT
5493002DW1JNBNG17615
Honduras Government International Bond
438180AJ0
150000.00000000
PA
USD
136500.00000000
0.147707690923
Long
DBT
NUSS
HN
N
2
2030-06-24
Fixed
5.63000000
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAG9
300000.00000000
PA
USD
305589.50000000
0.330680728318
Long
DBT
CORP
NL
N
2
2025-04-24
Fixed
4.89000000
N
N
N
N
N
N
BANK HAPOALIM
B6ARUI4946ST4S7WOU88
Bank Hapoalim BM
000000000
225000.00000000
PA
USD
208125.00000000
0.225213649622
Long
DBT
CORP
IL
Y
2
2032-01-21
Fixed
3.26000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K8XM8
222808.63000000
PA
USD
212852.89000000
0.230329735445
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
2.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBT2
275000.00000000
PA
USD
280081.90000000
0.303078759842
Long
DBT
CORP
US
N
2
2027-01-17
Fixed
4.35000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK21
06540BBE8
3963028.60000000
PA
USD
206718.31000000
0.223691459646
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Variable
0.87000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-3
35563PBS7
345562.55000000
PA
USD
338028.80000000
0.365783542224
Long
ABS-MBS
USGSE
US
N
2
2056-07-25
Fixed
3.00000000
N
N
N
N
N
N
LIONS GATE CAPITAL HOLD
549300MWJHNLR35C0837
Lions Gate Capital Holdings LLC
53627NAE1
145000.00000000
PA
USD
139929.35000000
0.151418616710
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2020-3
35563PTU3
600000.00000000
PA
USD
574235.64000000
0.621384765058
Long
ABS-MBS
USGSE
US
N
2
2060-05-25
Variable
4.25000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BP7
175000.00000000
PA
USD
165294.50000000
0.178866438955
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DDA6
14771.37000000
PA
USD
15719.84000000
0.017010558740
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.44000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MJP8
31666.57000000
PA
USD
35661.80000000
0.038589905730
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
7.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
18010.30000000
0.019489082973
N/A
DFE
AU
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
458020.07000000
USD
635724.00000000
AUD
2022-05-20
18010.30000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND JUN22
000000000
-1.00000000
NC
14679.93000000
0.015885264199
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX 30 Year Euro BUXL Future
UBM2 COMDTY
2022-06-08
-199470.00000000
EUR
14679.93000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE JUN22
000000000
-3.00000000
NC
19407.77000000
0.021001295917
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-BTP Italian Bond Futures
IKM2 COMDTY
2022-06-08
-432473.75000000
EUR
19407.77000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
69.98000000
0.000075725891
N/A
DFE
CA
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3048.38000000
USD
3899.00000000
CAD
2022-05-20
69.98000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLJ9
300000.00000000
PA
USD
265616.52000000
0.287425661834
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AU0
300000.00000000
PA
USD
272872.01000000
0.295276882892
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
2.45000000
N
N
N
N
N
N
BANQUE OUEST AFRICAINE D
529900LIZJABE4JJS826
Banque Ouest Africaine de Developpement
06675QAC7
350000.00000000
PA
USD
346727.50000000
0.375196471829
Long
DBT
NUSS
XX
N
2
2031-10-22
Fixed
4.70000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
62425.00000000
PA
USD
35816.97000000
0.038757816370
Long
DBT
NUSS
EC
N
2
2040-07-31
Variable
0.50000000
N
N
N
N
N
N
ARCHES BUYER INC
2549009ADY4208OH2Y47
Arches Buyer Inc
039524AA1
123000.00000000
PA
USD
114891.84000000
0.124325336207
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FCXV5
193969.07000000
PA
USD
196989.08000000
0.213163385670
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
COMM Mortgage Trust
549300C72XVZH4MIKU63
COMM 2013-CCRE9 Mortgage Trust
12625UBC6
7892677.29000000
PA
USD
2119.18000000
0.002293180838
Long
ABS-MBS
CORP
US
N
2
2045-07-10
Variable
0.05000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
46639YAT4
5999999.74000000
PA
USD
31723.20000000
0.034327916635
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Variable
0.51000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M9WH3
66773.05000000
PA
USD
69399.14000000
0.075097338618
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BGT3
3290340.43000000
PA
USD
54735.21000000
0.059229388141
Long
ABS-MBS
USGA
US
N
2
2058-08-20
Variable
0.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393EJT7
18322.06000000
PA
USD
20574.32000000
0.022263628567
Long
ABS-MBS
USGSE
US
N
2
2032-09-25
Fixed
7.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CS2
275000.00000000
PA
USD
271341.13000000
0.293620305970
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.50000000
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFT6
250000.00000000
PA
USD
213308.89000000
0.230823176522
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
GS Mortgage Securities Trust
54930070360RBP384M53
GS Mortgage Securities Trust 2015-GC34
36250VAF9
4642788.36000000
PA
USD
161195.29000000
0.174430652554
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
1.22000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CQQ8
954.53000000
PA
USD
1025.85000000
0.001110080107
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F9ZB0
1635497.89000000
PA
USD
303980.18000000
0.328939270874
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Variable
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418W5E6
45766.55000000
PA
USD
49019.18000000
0.053044028489
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AN3
75000.00000000
PA
USD
68899.15000000
0.074556295627
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.25000000
N
N
N
N
N
N
MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01
5493002KQF9IH3CTQZ40
Multifamily Connecticut Avenue Securities Trust 2020-01
62548QAB7
75036.62000000
PA
USD
73578.91000000
0.079620299610
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
2.41000000
N
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFH2
50000.00000000
PA
USD
53935.76000000
0.058364297200
Long
DBT
CORP
US
N
2
2048-09-01
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NNJ0
2342.34000000
PA
USD
2517.12000000
0.002723794747
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GLB37
105915.48000000
PA
USD
110942.61000000
0.120051844308
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAU7
200000.00000000
PA
USD
202376.00000000
0.218992612881
Long
DBT
NUSS
NG
N
2
2029-03-24
Fixed
8.38000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DND9
3920.60000000
PA
USD
4165.09000000
0.004507075651
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.41000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BX1
50000.00000000
PA
USD
42818.08000000
0.046333770890
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.30000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2016-SC01
3137G1AV9
29200.48000000
PA
USD
28377.18000000
0.030707162877
Long
ABS-MBS
USGSE
US
N
2
2046-07-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8HY4
276594.43000000
PA
USD
275418.95000000
0.298032946088
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Blackbird Capital Aircraft
N/A
Blackbird Capital Aircraft Lease Securitization Ltd 2016-1
09228YAC6
355512.40000000
PA
USD
310717.73000000
0.336230025108
Long
ABS-O
CORP
KY
N
2
2041-12-16
Variable
5.68000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31282YCV9
1920.46000000
PA
USD
289.38000000
0.000313140304
Long
ABS-MBS
USGSE
US
N
2
2029-12-15
Fixed
7.50000000
N
N
N
N
N
N
VTR FINANCE BV
213800F4XI4RJB82XM19
VTR Finance NV
918374AA7
200000.00000000
PA
USD
194151.00000000
0.210092277659
Long
DBT
CORP
NL
N
2
2028-07-15
Fixed
6.38000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7S49
11707.94000000
PA
USD
12877.84000000
0.013935208868
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
8.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AN0
275000.00000000
PA
USD
297780.86000000
0.322230939427
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
Oxford Finance Funding Trust
N/A
Oxford Finance Funding 2019-1 LLC
69145AAC2
214308.24000000
PA
USD
216580.29000000
0.234363183410
Long
ABS-O
CORP
US
N
2
2027-02-15
Fixed
5.44000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393BKD6
96658.86000000
PA
USD
17809.46000000
0.019271752477
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A4
46631JAE8
29699.91000000
PA
USD
25739.20000000
0.027852584602
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
3.01000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2015-SC01
3137G1AA5
35960.78000000
PA
USD
35333.73000000
0.038234898681
Long
ABS-MBS
USGSE
US
N
2
2045-05-25
Fixed
3.50000000
N
N
N
N
N
N
Hundred Acre Wood Trust
N/A
Hundred Acre Wood Trust 2021-INV2
44555PAC5
424664.54000000
PA
USD
396263.40000000
0.428799646971
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.50000000
N
N
N
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp
12513GBG3
75000.00000000
PA
USD
70830.00000000
0.076645683136
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
2.67000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
250000.00000000
PA
USD
253548.73000000
0.274367014248
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.13000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-86CB
12668BFD0
5027.81000000
PA
USD
3788.99000000
0.004100094973
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.50000000
N
N
N
N
N
N
Banc of America Alternative Loan Trust
N/A
Banc of America Alternative Loan Trust 2006-6
059487AA6
105752.69000000
PA
USD
86365.43000000
0.093456690409
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
1.11000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAL4
75000.00000000
PA
USD
90631.49000000
0.098073026467
Long
DBT
CORP
US
N
2
2046-04-01
Fixed
6.75000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABX2
200000.00000000
PA
USD
175273.20000000
0.189664466320
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
2.25000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAD8
100000.00000000
PA
USD
108416.24000000
0.117318040066
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
12298000.00000000
PA
751808.62000000
0.813537840854
Long
DBT
NUSS
ZA
N
2
2032-03-31
Fixed
8.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31383EAP6
3611.90000000
PA
USD
3804.91000000
0.004117322126
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
7.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CZK
000000000
1.00000000
NC
-2859.18000000
-0.00309394048
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3646918.00000000
CZK
161516.85000000
USD
2022-05-20
-2859.18000000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
150000.00000000
PA
USD
160301.09000000
0.173463031915
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
35995.16000000
0.038950637128
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
923206.00000000
GBP
1248469.94000000
USD
2022-05-20
35995.16000000
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PMK2
277913.49000000
PA
USD
271705.88000000
0.294015004726
Long
ABS-MBS
USGSE
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
LHFC Depositor, LLC
N/A
LHOME Mortgage Trust 2020-RTL1
50201TAA6
139189.79000000
PA
USD
139143.20000000
0.150567917800
Long
ABS-MBS
CORP
US
N
2
2024-10-25
Fixed
3.23000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31300MZ22
26231.70000000
PA
USD
27073.14000000
0.029296051248
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Floating
1.92000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
125000.00000000
PA
122164.54000000
0.132195180338
Long
DBT
NUSS
CI
N
2
2032-01-30
Fixed
4.88000000
N
N
N
N
N
N
TRAVELERS COS INC
549300Y650407RU8B149
Travelers Cos Inc/The
89417EAL3
125000.00000000
PA
USD
123154.92000000
0.133266878088
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
3.75000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFM6
610000.00000000
PA
USD
621620.22000000
0.672659980422
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31286DB83
17841.76000000
PA
USD
19033.27000000
0.020596046611
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.62000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS4 Trust
749228AD4
18010.73000000
PA
USD
17111.19000000
0.018516149185
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AP4
425000.00000000
PA
USD
431423.97000000
0.466847167896
Long
DBT
CORP
GB
N
2
2024-03-14
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2015-SC02
3137G1AL1
78297.29000000
PA
USD
77098.58000000
0.083428961357
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335ABF4
305109.63000000
PA
USD
311508.28000000
0.337085485292
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAV4
225000.00000000
PA
USD
217866.76000000
0.235755282407
Long
DBT
CORP
FR
N
2
2025-01-22
Fixed
2.63000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-OAT FUTURE JUN22
000000000
-2.00000000
NC
15398.43000000
0.016662758528
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
French Government Bond Futures
OATM2 COMDTY
2022-06-08
-316939.49000000
EUR
15398.43000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
-2649.33000000
-0.00286686019
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
148741843.00000000
HUF
442407.55000000
USD
2022-05-20
-2649.33000000
N
N
N
TLWND 2019-1
N/A
GAIA Aviation Ltd
87404LAC6
332131.00000000
PA
USD
249769.89000000
0.270277902667
Long
ABS-O
CORP
KY
N
2
2044-12-15
Variable
7.00000000
N
Y
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371HQX9
3354.67000000
PA
USD
3605.79000000
0.003901852856
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
6.50000000
N
N
N
N
N
N
University of Michigan
N/A
UNIV OF MICHIGAN MI
914455UJ7
170000.00000000
PA
USD
182803.04000000
0.197812563606
Long
DBT
MUN
US
N
2
2122-04-01
Fixed
4.45000000
N
N
N
N
N
N
City of New York NY
549300ABYZD2SFD5JB29
NEW YORK NY
64966HYM6
245000.00000000
PA
USD
294607.85000000
0.318797401109
Long
DBT
MUN
US
N
2
2036-03-01
Fixed
5.97000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2015-SC01
3137G1AF4
2797.40000000
PA
USD
2799.71000000
0.003029587541
Long
ABS-MBS
USGSE
US
N
2
2045-05-25
Variable
3.87000000
N
N
N
N
N
N
REPUBLIC OF UZBEKISTAN
213800L6VDKUM3TCM927
Republic of Uzbekistan International Bond
91822Q2C0
200000.00000000
PA
USD
174500.00000000
0.188827780704
Long
DBT
NUSS
UZ
N
2
2030-11-25
Fixed
3.70000000
N
N
N
N
N
N
LUNAR AIRCRAFT 2020-1 LIMITED
N/A
LUNAR AIRCRAFT 2020-1 LTD
55037LAA2
116809.98000000
PA
USD
105090.52000000
0.113719253092
Long
ABS-O
CORP
US
N
2
2045-02-15
Fixed
3.38000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-2710.99000000
-0.00293358295
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1163282.00000000
ZAR
76433.90000000
USD
2022-05-20
-2710.99000000
N
N
N
PMT ISSUER TRUST fr 1/64 5/16 FMSR
N/A
PMT Issuer Trust - FMSR
69346MAD1
650000.00000000
PA
USD
639058.68000000
0.691530270970
Long
ABS-O
CORP
US
N
2
2026-03-25
Floating
3.46000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06368BGS1
250000.00000000
PA
USD
247401.68000000
0.267715244567
Long
DBT
CORP
CA
N
2
2032-12-15
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X0PH5
223375.74000000
PA
USD
233486.30000000
0.252657305753
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
NEWCASTLE COAL INFRASTRU
549300YAJ8XYYGW2TZ32
Newcastle Coal Infrastructure Group Pty Ltd
65106WAA3
275000.00000000
PA
USD
255509.18000000
0.276488432143
Long
DBT
CORP
AU
N
2
2027-09-29
Fixed
4.40000000
N
N
N
N
N
N
NUSTAR LOGISTICS LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAH8
225000.00000000
PA
USD
228285.00000000
0.247028939359
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
6.38000000
N
N
N
N
N
N
TOTALENERGIES SE
529900S21EQ1BO4ESM68
TotalEnergies SE
000000000
200000.00000000
PA
USD
206076.00000000
0.222996411097
Long
DBT
CORP
FR
Y
2
2022-12-02
Fixed
0.50000000
N
N
N
N
N
TotalEnergies SE
TotalEnergies SE
USD
XXXX
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KVBR5
7532.94000000
PA
USD
8087.89000000
0.008751967445
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
ChaseFlex Trust
N/A
ChaseFlex Trust Series 2007-1
16165VAL2
313353.92000000
PA
USD
166454.86000000
0.180122073359
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CR1
160000.00000000
PA
USD
140967.20000000
0.152541682109
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378WUL5
16158.59000000
PA
USD
0.02000000
0.000000021642
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Floating
6.06000000
N
N
N
N
N
N
SPLUNK INC
549300XGDSGBP6UEI867
Splunk Inc
848637AF1
200000.00000000
PA
USD
192000.00000000
0.207764664156
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
1.13000000
N
N
N
N
Y
Splunk Inc
Splunk Inc
USD
XXXX
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYB4
575000.00000000
PA
USD
523784.93000000
0.566791667039
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.62000000
N
N
N
N
N
N
JOHNS HOPKINS UNIVERSITY
549300Z1XKWYKTIOM958
Johns Hopkins University
478115AF5
145000.00000000
PA
USD
121527.49000000
0.131505823675
Long
DBT
CORP
US
N
2
2060-01-01
Fixed
2.81000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
10646.68000000
0.011520853617
N/A
DFE
MX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
193489.59000000
USD
4093369.00000000
MXN
2022-05-20
10646.68000000
N
N
N
Freedom Financial
N/A
FREED ABS Trust 2021-3FP
30322MAA7
192678.46000000
PA
USD
191753.06000000
0.207497448499
Long
ABS-O
CORP
US
N
2
2028-11-20
Fixed
0.62000000
N
N
N
N
N
N
COINBASE GLOBAL INC
5493004G3J2SC154DU06
Coinbase Global Inc
19260QAC1
110000.00000000
PA
USD
97317.00000000
0.105307467821
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
3.38000000
N
N
N
N
N
Mississippi Power Co
LNZ0J6YZ5SC6ILIRU850
Mississippi Power Co
605417CB8
275000.00000000
PA
USD
279801.98000000
0.302775856275
Long
DBT
CORP
US
N
2
2028-03-30
Fixed
3.95000000
N
N
N
N
N
N
Preston Ridge Partners Mortgage Trust
N/A
PRPM 2021-11 LLC
69362QAA7
362171.89000000
PA
USD
347471.95000000
0.376002046851
Long
ABS-MBS
CORP
US
N
2
2026-11-25
Variable
2.49000000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VBE3
25000.00000000
PA
USD
25788.77000000
0.027906224677
Long
DBT
CORP
US
N
2
2062-03-01
Fixed
3.90000000
N
N
N
N
N
N
Chicago O'Hare International Airport
N/A
CHICAGO IL O'HARE INTERNATIONAL ARPT REVENUE
167593AN2
115000.00000000
PA
USD
154189.47000000
0.166849601307
Long
DBT
MUN
US
N
2
2040-01-01
Fixed
6.40000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
200000.00000000
PA
190139.55000000
0.205751457023
Long
DBT
NUSS
EG
N
2
2031-04-11
Fixed
6.38000000
N
N
N
N
N
N
SPOTIFY USA INC
N/A
Spotify USA Inc
84921RAB6
140000.00000000
PA
USD
119998.34000000
0.129851118799
Long
DBT
CORP
US
N
2
2026-03-15
None
0.00000000
N
N
N
N
Y
Spotify Technology SA
Spotify Technology SA
USD
XXXX
N
N
N
NRZ Excess Spread Collateralized Notes
549300FB4YR8GY21CA08
New Residential Mortgage LLC
64830YAA5
386742.48000000
PA
USD
381512.48000000
0.412837563951
Long
ABS-O
CORP
US
N
2
2025-06-25
Fixed
5.44000000
N
N
N
N
N
N
Foundation Finance Trust
5493002KPTN6JUQ40J20
Foundation Finance Trust 2019-1
35041JAA3
119934.64000000
PA
USD
121135.50000000
0.131081648306
Long
ABS-O
CORP
US
N
2
2034-11-15
Fixed
3.86000000
N
N
N
N
N
N
Hundred Acre Wood Trust
N/A
Hundred Acre Wood Trust 2021-INV3
44555QAC3
510615.25000000
PA
USD
475327.75000000
0.514355783036
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BZ1
75000.00000000
PA
USD
82461.18000000
0.089231871711
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
5.25000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-KF27 Mortgage Trust
30301BAC2
58645.31000000
PA
USD
58540.19000000
0.063346786015
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Floating
4.59000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABT3
250000.00000000
PA
USD
221231.40000000
0.239396185009
Long
DBT
CORP
US
N
2
2028-01-10
Fixed
1.80000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3750.78000000
-0.00405874764
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
736147.05000000
USD
661032.00000000
EUR
2022-05-20
-3750.78000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJZ4
300000.00000000
PA
USD
310811.55000000
0.336331548446
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust 2017-4
35563PCS6
669444.75000000
PA
USD
690862.16000000
0.747587211722
Long
ABS-MBS
USGSE
US
N
2
2057-06-25
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CNY
000000000
1.00000000
NC
-3108.05000000
-0.00336324460
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
3013550.00000000
CNY
470720.09000000
USD
2022-05-20
-3108.05000000
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31364HS65
78.40000000
PA
USD
0.87000000
0.000000941433
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Fixed
8.00000000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAS6
275000.00000000
PA
USD
270726.50000000
0.292955210160
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.60000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300ITVQSU1IHX4H03
GS Mortgage Securities Trust 2013-GCJ14
36198FAV4
500000.00000000
PA
USD
479102.20000000
0.518440144164
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Variable
4.73000000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAC0
140000.00000000
PA
USD
29183.00000000
0.031579146844
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
6.63000000
N
N
N
N
N
N
BANC CREDITO INVERSIONES
549300E9E5Y3PKW24142
Banco de Credito e Inversiones SA
05890MAB9
225000.00000000
PA
USD
208131.75000000
0.225220953849
Long
DBT
CORP
CL
N
2
2031-10-14
Fixed
2.88000000
N
N
N
N
N
N
Stanwich Mortgage Loan Trust
N/A
Stanwich Mortgage Loan Co 2021-NPL-B-1 LLC
85501YAA8
317900.18000000
PA
USD
308211.66000000
0.333518187650
Long
ABS-MBS
CORP
US
N
2
2026-10-16
Variable
2.74000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4
46645UAV9
2604208.35000000
PA
USD
54147.22000000
0.058593119678
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
0.59000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securities Trust
N/A
Freddie Mac Whole Loan Securities Trust 2016-SC02
3137G1BC0
89846.31000000
PA
USD
86867.84000000
0.094000352102
Long
ABS-MBS
USGSE
US
N
2
2046-10-25
Fixed
3.00000000
N
N
N
N
N
N
United Wholesale Mortgage LLC
N/A
UWM Mortgage Trust 2021-INV3
90355RAC6
365581.54000000
PA
USD
338984.17000000
0.366817355387
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.50000000
N
N
N
N
N
N
TVC Mortgage Trust 2020-RTL1
N/A
TVC Mortgage Trust 2020-RTL1
90114YAA7
166563.16000000
PA
USD
166617.13000000
0.180297666964
Long
ABS-MBS
CORP
US
N
2
2024-09-25
Fixed
3.47000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
50000.00000000
PA
USD
48720.38000000
0.052720694730
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-S2
46630WAW0
6511.35000000
PA
USD
12769.86000000
0.013818362886
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
GEORGIA-PACIFIC LLC
L2EVHWFHVAQK72TMH265
Georgia-Pacific LLC
37331NAK7
175000.00000000
PA
USD
162611.38000000
0.175963014342
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
2.30000000
N
N
N
N
N
N
FMC GMSR Issuer Trust
N/A
FMC GMSR Issuer Trust
30259RAK1
300000.00000000
PA
USD
278229.90000000
0.301074696519
Long
ABS-MBS
CORP
US
N
2
2026-10-25
Variable
3.85000000
N
N
N
N
N
N
Benefit Street Partners CLO Ltd
N/A
Benefit Street Partners CLO XX Ltd
08182FAN9
390000.00000000
PA
USD
386279.13000000
0.417995592265
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.41000000
N
N
N
N
N
N
Last Mile Logistics Pan Euro Finance DAC
635400NOPX1IKIAX7N90
Last Mile Logistics Pan Euro Finance DAC
000000000
99553.88000000
PA
108796.56000000
0.117729587238
Long
ABS-MBS
CORP
IE
N
2
2033-08-17
Floating
1.90000000
N
N
N
N
N
N
BELROSE FUNDING TRUST
N/A
Belrose Funding Trust
080807AA8
100000.00000000
PA
USD
87723.51000000
0.094926279134
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.33000000
N
N
N
N
N
N
BANCO SANTANDER CHILE
3YJP8HORPAEXJ80D6368
Banco Santander Chile
05970FAC5
150000.00000000
PA
USD
146962.88000000
0.159029653159
Long
DBT
CORP
CL
N
2
2025-01-10
Fixed
2.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181CNU8
94625.84000000
PA
USD
100067.05000000
0.108283317897
Long
ABS-MBS
USGA
US
N
2
2044-07-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022659
2600000.00000000
PA
USD
2475623.62000000
2.678891197848
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
2.50000000
N
N
N
N
N
N
Conn Funding II, L.P
N/A
Conn's Receivables Funding 2021-A LLC
20825GAB1
125000.00000000
PA
USD
121426.76000000
0.131396822973
Long
ABS-O
CORP
US
N
2
2026-05-15
Fixed
2.87000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJE0
275000.00000000
PA
USD
233058.59000000
0.252194477500
Long
DBT
CORP
US
N
2
2041-06-19
Fixed
2.68000000
N
N
N
N
N
N
RESORTS WORLD/RWLV CAP
N/A
Resorts World Las Vegas LLC / RWLV Capital Inc
76120HAA5
200000.00000000
PA
USD
181150.12000000
0.196023926269
Long
DBT
CORP
US
N
2
2029-04-16
Fixed
4.63000000
N
N
N
N
N
N
DEXCOM INC
549300YSK3QDSFR5EU59
Dexcom Inc
252131AK3
200000.00000000
PA
USD
229375.00000000
0.248208436671
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.25000000
N
N
N
N
Y
Dexcom Inc
Dexcom Inc
USD
XXXX
N
N
2022-04-22
MORGAN STANLEY VARIABLE INSURANCE FUND INC.
Francis Smith
Francis Smith
Principal Financial Officer
XXXX