NPORT-P
false
0000276776
XXXXXXXX
S000003927
C000011028
C000011031
C000123839
C000011026
C000011029
Pioneer Bond Fund
811-02864
0000276776
CS1V0EATB8V5FS5HQA74
60 State Street
Boston
02109
617-422-4947
Pioneer Bond Fund
S000003927
CS1V0EATB8V5FS5HQA74
2022-06-30
2022-03-31
N
7483625182.01
2038876864.82
5444748317.19
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
150065771.12000000
1865013565.86000000
0.00000000
108977381.87000000
USD
N
ALAMO RE LTD
N/A
Alamo Re Ltd
011395AF7
2000000.00000000
PA
USD
2005600.00000000
0.036835495107
Long
DBT
CORP
BM
Y
2
2022-06-08
Floating
5.57046500
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BE2
3100000.00000000
PA
USD
3211028.95000000
0.058974791173
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.62500000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR1 Trust
46185JAE8
3649476.57000000
PA
USD
3639026.29000000
0.066835528072
Long
ABS-O
CORP
US
N
2
2037-03-17
Floating
1.69100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183XL57
399809.41000000
PA
USD
412636.62000000
0.007578616971
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXVIII Ltd
83615CAG1
2750000.00000000
PA
USD
2737053.00000000
0.050269596325
Long
ABS-CBDO
CORP
KY
N
2
2032-01-25
Floating
3.90771000
N
N
N
N
N
N
Alturas Re 2021-3, 7/31/25
N/A
Alturas Re 2021-3, 7/31/25
000000000
213682.00000000
PA
USD
197527.64000000
0.003627856211
Long
DBT
CORP
BM
Y
2
2025-07-31
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31298S2H6
2956.76000000
PA
USD
3177.43000000
0.000058357702
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2014-SFR3 Trust
02665XAD1
700000.00000000
PA
USD
705596.50000000
0.012959212417
Long
ABS-O
CORP
US
N
2
2036-12-17
Fixed
5.04000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292HKX1
255.68000000
PA
USD
278.81000000
0.000005120714
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
HIGHWOODS REALTY LP
JUJNVZX73BIYHLR58F51
Highwoods Realty LP
431282AT9
3160000.00000000
PA
USD
2867669.16000000
0.052668534759
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NZT1
12845.40000000
PA
USD
14303.95000000
0.000262710949
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.00000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2019-SFR2 Trust
74333NAJ1
8370000.00000000
PA
USD
8170153.70000000
0.150055672439
Long
ABS-O
CORP
US
N
2
2036-05-17
Fixed
4.14200000
N
N
N
N
N
N
Pangaea Re 2020-1, 2/1/24
N/A
Pangaea Re 2020-1, 2/1/24
000000000
3974837.00000000
PA
USD
84353.81000000
0.001549269223
Long
DBT
CORP
BM
Y
2
2024-02-01
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200WA35
12982.69000000
PA
USD
13382.31000000
0.000245783812
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
7.50000000
N
N
N
N
N
N
BANCO SANTANDER MEXICO
SCRYQ25DTVRHYYMM6P89
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
05969BAD5
3955000.00000000
PA
USD
4098704.93000000
0.075278133923
Long
DBT
CORP
MX
N
2
2025-04-17
Fixed
5.37500000
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
549300KDXV3I7WKXA522
Commonbond Student Loan Trust 2017-B-GS
20268KAB6
406142.76000000
PA
USD
403105.58000000
0.007403566822
Long
ABS-O
CORP
US
N
2
2042-09-25
Floating
1.10657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406VEJ1
8922.12000000
PA
USD
9524.46000000
0.000174929297
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VIV3
05608EAA2
3200000.00000000
PA
USD
3039372.16000000
0.055822087320
Long
ABS-MBS
CORP
US
N
2
2044-03-09
Variable
3.54387500
N
N
N
N
N
N
FORTUNE BRANDS HOME & SE
54930032LHW54PQUJD44
Fortune Brands Home & Security Inc
34964CAG1
4890000.00000000
PA
USD
4783391.79000000
0.087853313162
Long
DBT
CORP
US
N
2
2052-03-25
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31382D3E2
16633.70000000
PA
USD
16691.62000000
0.000306563665
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
5.72000000
N
N
N
N
N
N
Radnor Re LTD
254900YVLP8CB4GC2O97
Radnor RE 2020-1 Ltd
750493AC2
12000000.00000000
PA
USD
11430888.00000000
0.209943368069
Long
ABS-MBS
CORP
BM
N
2
2030-01-25
Floating
2.20657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WE3F4
518085.82000000
PA
USD
513408.13000000
0.009429418957
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
BRITISH AIR 19-1 AA PTT
N/A
British Airways 2019-1 Class AA Pass Through Trust
11043XAA1
4630559.96000000
PA
USD
4381823.41000000
0.080477979049
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176UA88
4894.85000000
PA
USD
5046.23000000
0.000092680684
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K4WZ4
42342.16000000
PA
USD
45480.74000000
0.000835313908
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131Y7QA8
392862.13000000
PA
USD
410230.66000000
0.007534428335
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2021-1
89179YAE3
7500000.00000000
PA
USD
7013118.75000000
0.128805196153
Long
ABS-MBS
CORP
US
N
2
2061-11-25
Variable
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BYC6
88601.68000000
PA
USD
99369.31000000
0.001825048729
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2014-GC25
17322YAG5
6000000.00000000
PA
USD
6031051.20000000
0.110768227448
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Variable
4.34500000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
Cascade Funding Mortgage Trust 2018-RM2
14727QAA3
2085800.53000000
PA
USD
2088994.72000000
0.038367149375
Long
ABS-MBS
CORP
US
N
2
2068-10-25
Variable
4.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B8 Mortgage Trust
08162UAV2
8000000.00000000
PA
USD
8167462.40000000
0.150006243157
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Fixed
3.96280000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WXW37
271631.35000000
PA
USD
271424.81000000
0.004985075419
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
6335000.00000000
PA
USD
6497682.80000000
0.119338533601
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22300000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2021-1
74387YAL7
3497786.86000000
PA
USD
3096441.00000000
0.056870232003
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.38454000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417EF97
115521.87000000
PA
USD
111651.98000000
0.002050636200
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
2.50000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
1440000.00000000
PA
USD
1369368.00000000
0.025150253422
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YTJ88
1515529.87000000
PA
USD
1531774.99000000
0.028133072472
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XD6E1
12620005.89000000
PA
USD
12090026.47000000
0.222049317354
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QR29
585173.03000000
PA
USD
623326.07000000
0.011448207220
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
4.50000000
N
N
N
N
N
N
ALASKA AIRLINES 2020 TR
N/A
Alaska Airlines 2020-1 Class A Pass Through Trust
01166VAA7
11026689.84000000
PA
USD
11287490.90000000
0.207309690777
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.80000000
N
N
N
N
N
N
La Hipotecaria SA
549300QTY6BN40RR3018
La Hipotecaria Panamanian Mortgage Trust 2014-1
50346EAA5
2069506.85000000
PA
USD
2139352.71000000
0.039292040428
Long
ABS-MBS
CORP
PA
N
2
2042-11-24
Floating
3.50800000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHX0
20595000.00000000
PA
USD
19532251.04000000
0.358735609106
Long
DBT
CORP
US
N
2
2030-10-22
Fixed
2.88400000
N
N
N
N
N
N
BIO-RAD LABS
549300ZC1GPV35XYDK53
Bio-Rad Laboratories Inc
090572AQ1
5660000.00000000
PA
USD
5594023.47000000
0.102741635501
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.70000000
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust 2020-A
038413AC4
2300000.00000000
PA
USD
2209979.61000000
0.040589196804
Long
ABS-O
CORP
US
N
2
2046-07-17
Fixed
3.97000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225A7H7
5659.40000000
PA
USD
6160.67000000
0.000113148848
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YMN21
207270.14000000
PA
USD
199605.65000000
0.003666021611
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WH39
222418.55000000
PA
USD
240837.91000000
0.004423306569
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GY91
1208135.22000000
PA
USD
1239904.52000000
0.022772485480
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
3.50000000
N
N
N
N
N
N
Viribus Re 2021, 12/31/24
N/A
Viribus Re 2021, 12/31/24
000000000
3717666.00000000
PA
USD
3763021.53000000
0.069112864558
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620C2KQ6
7482.53000000
PA
USD
7781.01000000
0.000142908533
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDG1
66257.88000000
PA
USD
71908.23000000
0.001320689696
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XBD1
8960000.00000000
PA
USD
9409312.64000000
0.172814464358
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
6.45657000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ASLK7
201994.48000000
PA
USD
206468.19000000
0.003792061229
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178GFP4
2070617.18000000
PA
USD
2125240.10000000
0.039032843690
Long
ABS-MBS
USGA
US
N
2
2042-07-15
Fixed
3.50000000
N
N
N
N
N
N
RESORTS WORLD/RWLV CAP
N/A
Resorts World Las Vegas LLC / RWLV Capital Inc
76120HAA5
9100000.00000000
PA
USD
8231636.23000000
0.151184880373
Long
DBT
CORP
US
N
2
2029-04-16
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31339UKF6
384871.06000000
PA
USD
405033.83000000
0.007438981682
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201VYZ9
15992.72000000
PA
USD
17451.33000000
0.000320516743
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207JTX1
4731.01000000
PA
USD
4978.85000000
0.000091443161
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JUL36
258728.43000000
PA
USD
269318.04000000
0.004946381803
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
321 Henderson Receivables LLC
88576PAE3
382563.65000000
PA
USD
377008.71000000
0.006924263309
Long
ABS-O
CORP
US
N
2
2040-11-15
Floating
0.62657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401XH83
35568.27000000
PA
USD
38930.78000000
0.000715015235
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397C27
890000.00000000
PA
USD
906046.70000000
0.016640745305
Long
DBT
CORP
US
N
2
2027-05-28
Fixed
4.95000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493002EPQ51IPGGFX73
GS Mortgage Securities Trust 2015-GC28
36251FAW6
6500000.00000000
PA
USD
6482073.00000000
0.119051838990
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.39600000
N
N
N
N
N
N
FCI Funding, LLC
N/A
FCI Funding 2019-1 LLC
30259MAB2
263634.68000000
PA
USD
263783.19000000
0.004844726966
Long
ABS-O
CORP
US
N
2
2031-02-18
None
0.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300VOKB4Z9J8DIM89
Wells Fargo Commercial Mortgage Trust 2016-C32
94989YAY9
7443420.37000000
PA
USD
7409345.88000000
0.136082431149
Long
ABS-MBS
CORP
US
N
2
2059-01-15
Fixed
3.29400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CG32
34719.13000000
PA
USD
35348.43000000
0.000649220642
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413H6V5
502.06000000
PA
USD
511.64000000
0.000009396944
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200DBK8
119206.64000000
PA
USD
127422.55000000
0.002340283564
Long
ABS-MBS
USGA
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
Elm Trust
N/A
Elm 2020-3 Trust
289338AB1
1800000.00000000
PA
USD
1723213.44000000
0.031649092659
Long
ABS-O
CORP
US
N
2
2029-08-20
Fixed
2.95400000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-7
46592NBZ8
5493438.04000000
PA
USD
4717856.88000000
0.086649677912
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.80561600
N
N
N
N
N
N
INGEVITY CORP
5493009UTFC4B5IMGF87
Ingevity Corp
45688CAB3
2470000.00000000
PA
USD
2232460.10000000
0.041002080719
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MXB4
24158.72000000
PA
USD
25895.71000000
0.000475608944
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210A4U8
5087.38000000
PA
USD
5436.61000000
0.000099850529
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAF8
1945000.00000000
PA
USD
1743206.25000000
0.032016287042
Long
DBT
CORP
FR
N
2
2029-07-15
Fixed
5.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213CS27
14893.74000000
PA
USD
16109.90000000
0.000295879608
Long
ABS-MBS
USGA
US
N
2
2035-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209KU97
22862.40000000
PA
USD
24436.70000000
0.000448812297
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
6.50000000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CRY1
87500.20000000
PA
USD
91432.14000000
0.001679272110
Long
ABS-MBS
USGA
US
N
2
2028-08-01
Fixed
6.02000000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CSG9
25202.93000000
PA
USD
26053.18000000
0.000478501089
Long
ABS-MBS
USGA
US
N
2
2029-01-01
Fixed
5.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X64P3
210593.45000000
PA
USD
209269.12000000
0.003843504011
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSJR4
968324.36000000
PA
USD
1000983.10000000
0.018384377783
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212Q4S6
28552.62000000
PA
USD
28868.38000000
0.000530205958
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
7.00000000
N
N
N
N
N
N
Newark BSL CLO 1 Ltd.
549300R0C043JWD1XY94
Newark BSL CLO 1 Ltd
65023TAM4
2850000.00000000
PA
USD
2836875.75000000
0.052102973080
Long
ABS-CBDO
CORP
KY
N
2
2029-12-21
Floating
3.26757000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414CP44
6323.76000000
PA
USD
6448.24000000
0.000118430451
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KS12 Mortgage Trust
30311XAC2
5000000.00000000
PA
USD
4422821.00000000
0.081230953982
Long
ABS-MBS
USGSE
US
N
2
2029-08-25
Floating
7.14143000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-3
59980CAJ2
3196901.77000000
PA
USD
3013190.53000000
0.055341227077
Long
ABS-MBS
CORP
US
N
2
2061-01-25
Variable
3.25000000
N
N
N
N
N
N
Berwick Re 2019-1, 12/31/22
N/A
Berwick Re 2019-1, 12/31/22
000000000
7281734.00000000
PA
USD
870167.21000000
0.015981771044
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Cascade MH Asset Trust
N/A
Cascade MH Asset Trust 2019-MH1
14732FAA0
6942346.31000000
PA
USD
6948530.55000000
0.127618948484
Long
ABS-O
CORP
US
N
2
2044-11-25
Variable
4.00000000
N
N
N
N
N
N
Lorenz Re 2019, 6/30/22
N/A
Lorenz Re 2019, 6/30/22
000000000
2993180.00000000
PA
USD
347208.88000000
0.006376950040
Long
DBT
CORP
BM
Y
2
2022-06-30
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FRQB4
171225.95000000
PA
USD
178154.17000000
0.003272036825
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201Q7B3
16739.40000000
PA
USD
17886.99000000
0.000328518215
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ATKQ3
1245791.75000000
PA
USD
1280392.00000000
0.023516091569
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
4.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-1
89173FAF7
6130000.00000000
PA
USD
5983619.28000000
0.109897077539
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
3.75220300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJLC0
1679573.76000000
PA
USD
1787541.18000000
0.032830556636
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
Starwood Commercial Mortgage T
N/A
STWD 2022-FL3 Ltd
78485KAG0
11275000.00000000
PA
USD
11224393.29000000
0.206150819764
Long
ABS-O
CORP
KY
N
2
2038-11-15
Floating
1.99967000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176W3A7
1599.63000000
PA
USD
1676.05000000
0.000030782873
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
4.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE26 Mortgage Trust
12593QBD1
6206072.79000000
PA
USD
6165588.09000000
0.113239175271
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
3.35900000
N
N
N
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
000000000
250000.00000000
PA
USD
252600.00000000
0.004639332899
Long
DBT
NUSS
N/A
Y
2
2024-03-13
Floating
4.22286000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36211YQX5
1628.74000000
PA
USD
1643.53000000
0.000030185600
Long
ABS-MBS
USGA
US
N
2
2030-02-15
Fixed
7.75000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030645
320000000.00000000
PA
USD
313357798.40000000
5.755230180441
Long
ABS-MBS
USGSE
US
N
2
2051-04-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DNL1
3460.07000000
PA
USD
3778.29000000
0.000069393290
Long
ABS-MBS
USGA
US
N
2
2031-06-20
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LVQW6
32227.79000000
PA
USD
33025.90000000
0.000606564308
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290SGF2
11749.51000000
PA
USD
13014.29000000
0.000239024638
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
BOARDWALK PIPELINES LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AJ7
2470000.00000000
PA
USD
2355208.92000000
0.043256525054
Long
DBT
CORP
US
N
2
2032-09-01
Fixed
3.60000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAF3
3740000.00000000
PA
USD
3454825.00000000
0.063452427894
Long
DBT
CORP
N/A
N
2
2029-02-02
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213R6S1
26874.51000000
PA
USD
28712.22000000
0.000527337873
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
7.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
CITIGROUP MORTGAGE LOAN TRUST 2021-INV1
17329PDH2
3248775.48000000
PA
USD
2932537.40000000
0.053859925733
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.70633500
N
N
N
N
N
N
Tidewater Auto Receivables Tru
549300045J2AQZL8DT48
Tidewater Auto Receivables Trust 2018-A
88642MAE0
688830.58000000
PA
USD
688714.37000000
0.012649149783
Long
ABS-O
CORP
US
N
2
2024-11-15
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404SBE4
11879.37000000
PA
USD
13161.55000000
0.000241729263
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
Mello Mortgage Capital Accepta
N/A
Mello Mortgage Capital Acceptance 2021-MTG1
585495EJ9
4118600.54000000
PA
USD
3571102.61000000
0.065588019903
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.65193000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2021-1
74387YAJ2
7067454.27000000
PA
USD
6451278.27000000
0.118486253067
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D4R9
22269.88000000
PA
USD
24700.30000000
0.000453653659
Long
ABS-MBS
USGA
US
N
2
2034-03-20
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DQP9
4578.58000000
PA
USD
5055.10000000
0.000092843593
Long
ABS-MBS
USGA
US
N
2
2031-11-20
Fixed
7.00000000
N
N
N
N
N
N
Carnoustie Re 2022
N/A
Carnoustie Re 2022
000000000
1000000.00000000
PA
USD
1021301.90000000
0.018757559404
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176NYN5
4284.27000000
PA
USD
4477.47000000
0.000082234655
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JUWR1
106761.38000000
PA
USD
109855.99000000
0.002017650469
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
AUTODESK INC
FRKKVKAIQEF3FCSTPG55
Autodesk Inc
052769AH9
15525000.00000000
PA
USD
13973048.50000000
0.256633506013
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A8PV2
915805.44000000
PA
USD
987446.89000000
0.018135767394
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
5.00000000
N
N
N
N
N
N
United Wholesale Mortgage LLC
N/A
UWM Mortgage Trust 2021-INV4
918307BG3
8791361.64000000
PA
USD
7878947.53000000
0.144707286195
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
3.23365100
N
N
N
N
N
N
SUN COMMUNITIES OPER LP
549300PUNBPJCGT6X741
Sun Communities Operating LP
866677AF4
3725000.00000000
PA
USD
3381382.83000000
0.062103565362
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
2.30000000
N
N
N
N
N
N
Viribus Re 2018, 12/31/21
N/A
Viribus Re 2018, 12/31/21
000000000
1000000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210A4T1
19032.43000000
PA
USD
20648.89000000
0.000379244159
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
6.00000000
N
N
N
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LXP Industrial Trust
529043AE1
5320000.00000000
PA
USD
4909213.43000000
0.090164193898
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397NR31
80022.54000000
PA
USD
81598.87000000
0.001498671109
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Fixed
4.50000000
N
N
N
N
N
N
ALTURAS RE 2019-1, 3/10/23 (144A)
N/A
ALTURAS RE 2019-1, 3/10/23 (144A)
000000000
2200.00000000
PA
USD
10060.82000000
0.000184780258
Long
DBT
CORP
BM
Y
2
2023-03-10
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224YQD4
160.48000000
PA
USD
160.76000000
0.000002952569
Long
ABS-MBS
USGA
US
N
2
2023-03-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BQ66
72665.34000000
PA
USD
69943.21000000
0.001284599506
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225A6X3
2982.46000000
PA
USD
3083.29000000
0.000056628696
Long
ABS-MBS
USGA
US
N
2
2024-10-15
Fixed
6.50000000
N
N
N
N
N
N
EDEN RE II LTD
549300LKX8PCP3SC3F42
Eden Re II Ltd
27955HAB6
2250000.00000000
PA
USD
1946250.00000000
0.035745453905
Long
DBT
CORP
BM
Y
2
2025-03-21
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A3DS0
6537.86000000
PA
USD
6743.81000000
0.000123858984
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DEE9
197615.93000000
PA
USD
206672.23000000
0.003795808694
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
UNITED AIR 2020-1 B PTT
N/A
United Airlines 2020-1 Class B Pass Through Trust
90932VAA3
2587680.00000000
PA
USD
2555268.01000000
0.046930874691
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.87500000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAX4
5900000.00000000
PA
USD
5759335.74000000
0.105777813858
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
4.39700000
N
N
N
N
N
N
VITALITY RE XI LTD
N/A
Vitality Re XI Ltd
92851AAB0
1000000.00000000
PA
USD
980000.00000000
0.017998995415
Long
DBT
CORP
KY
Y
2
2024-01-09
Floating
2.33046500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292DDD1
46637.67000000
PA
USD
50998.31000000
0.000936651375
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297QUH0
48069.01000000
PA
USD
50652.53000000
0.000930300668
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201AY77
14892.02000000
PA
USD
16113.72000000
0.000295949767
Long
ABS-MBS
USGA
US
N
2
2032-10-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213XZG2
28649.04000000
PA
USD
30615.70000000
0.000562297799
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAL4
8468000.00000000
PA
USD
10433569.21000000
0.191626290182
Long
DBT
CORP
US
N
2
2037-06-15
Fixed
6.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DJQ7
157605.68000000
PA
USD
156736.70000000
0.002878676678
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36211ELM8
29539.57000000
PA
USD
31263.08000000
0.000574187789
Long
ABS-MBS
USGA
US
N
2
2029-11-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AQ2S1
1718.91000000
PA
USD
1814.08000000
0.000033317977
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KLT3
14382.54000000
PA
USD
16066.08000000
0.000295074796
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLGE1
237084.81000000
PA
USD
242786.88000000
0.004459101979
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
4.00000000
N
N
N
N
N
N
EDEN RE II LTD
549300LKX8PCP3SC3F42
Eden Re II Ltd
27954QAH4
640000.00000000
PA
USD
340480.00000000
0.006253365264
Long
DBT
CORP
BM
Y
2
2024-03-22
None
0.00000000
N
N
N
N
N
N
ENLINK MIDSTREAM LLC
54930000GY1H533OBE23
EnLink Midstream LLC
29336TAA8
510000.00000000
PA
USD
510000.00000000
0.009366824144
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJEN6
3909.62000000
PA
USD
4371.29000000
0.000080284519
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A8D59
580464.83000000
PA
USD
605856.96000000
0.011127363924
Long
ABS-MBS
USGA
US
N
2
2044-01-15
Fixed
3.50000000
N
N
N
N
N
N
INTERPUBLIC GROUP COS
5493008IUOJ5VWTRC333
Interpublic Group of Cos Inc/The
460690BR0
12959000.00000000
PA
USD
13915237.09000000
0.255571723050
Long
DBT
CORP
US
N
2
2030-03-30
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204RN87
974.93000000
PA
USD
1018.84000000
0.000018712343
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
7.50000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ACT7
600000.00000000
PA
USD
455035.94000000
0.008357336528
Long
DBT
CORP
BM
Y
2
2024-03-01
None
0.00000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2021-GR3
36263TBF8
2324029.68000000
PA
USD
2098816.33000000
0.038547536226
Long
ABS-MBS
CORP
US
N
2
2052-04-25
Variable
3.39504000
N
N
N
N
N
N
Oakmont Re 2020, 4/30/24
N/A
Oakmont Re 2020, 4/30/24
000000000
7255240.00000000
PA
USD
5858892.19000000
0.107606299661
Long
DBT
CORP
BM
Y
2
2024-04-30
Floating
0.01000000
N
N
N
N
N
N
USI INC/NY
N/A
USI Inc/NY
90351NAE5
811750.00000000
PA
USD
807873.89000000
0.014837671880
Long
LON
CORP
US
N
2
2024-05-16
Floating
4.00600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131YBED6
1467180.98000000
PA
USD
1501418.90000000
0.027575542753
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFPA8
1701402.63000000
PA
USD
1730385.89000000
0.031780824184
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFHG4
99472.02000000
PA
USD
95702.27000000
0.001757698692
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
2.50000000
N
N
N
N
N
N
SMITH & NEPHEW PLC
213800ZTMDN8S67S1H61
Smith & Nephew PLC
83192PAA6
11088000.00000000
PA
USD
9639667.14000000
0.177045229245
Long
DBT
CORP
GB
N
2
2030-10-14
Fixed
2.03200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31382D3B8
25695.70000000
PA
USD
25871.92000000
0.000475172009
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
5.72000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290N6N7
21922.24000000
PA
USD
23428.15000000
0.000430288943
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
5.50000000
N
N
N
N
N
N
Rate Mortgage Trust
N/A
RATE Mortgage Trust 2021-HB1
75409XDE3
4551324.55000000
PA
USD
3950379.49000000
0.072553941153
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.70792900
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
292480AL4
14441000.00000000
PA
USD
14980634.18000000
0.275139148906
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd
03880XAG1
12795000.00000000
PA
USD
12737500.55000000
0.233941034699
Long
ABS-CBDO
CORP
KY
N
2
2037-01-15
Floating
2.34967000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183B7C6
25882.59000000
PA
USD
26691.73000000
0.000490228903
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-1
03464MAD6
2320000.00000000
PA
USD
2274733.09000000
0.041778480059
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213USQ4
3162.65000000
PA
USD
3379.76000000
0.000062073759
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796U23
200000000.00000000
PA
USD
199982292.00000000
3.672939139695
Long
DBT
UST
US
N
2
2022-04-26
None
0.00000000
N
N
N
N
N
N
Pangaea Re 2021-1, 12/31/24
N/A
Pangaea Re 2021-1, 12/31/24
000000000
5000000.00000000
PA
USD
144254.41000000
0.002649422922
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YPCB6
103167.40000000
PA
USD
98811.76000000
0.001814808586
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJAX8
36354.62000000
PA
USD
39858.62000000
0.000732056243
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183XDR8
387072.79000000
PA
USD
399119.97000000
0.007330365826
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292SBU3
54571.09000000
PA
USD
57913.26000000
0.001063653572
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390NN99
38743.15000000
PA
USD
41602.43000000
0.000764083619
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-INV1
92537TAF2
970000.00000000
PA
USD
977588.21000000
0.017954699704
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Variable
5.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VIV5
05605VAA7
8300000.00000000
PA
USD
7832300.81000000
0.143850557522
Long
ABS-MBS
CORP
US
N
2
2044-03-09
Variable
2.84300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378GJK5
85006.58000000
PA
USD
85615.14000000
0.001572435216
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KKZC1
384956.45000000
PA
USD
395439.58000000
0.007262770599
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291LDU6
90458.38000000
PA
USD
96744.65000000
0.001776843379
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F0T20
104565.24000000
PA
USD
100256.85000000
0.001841349575
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
2.50000000
N
N
N
N
N
N
LSTAR Securities Investment Lt
N/A
LSTAR Securities Investment Ltd 2019-3
50220XAA4
5950337.37000000
PA
USD
5993882.53000000
0.110085575692
Long
ABS-MBS
CORP
US
N
2
2024-04-01
Floating
2.73057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374TYD5
310.25000000
PA
USD
336.81000000
0.000006185960
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
6.00000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
1185000.00000000
PA
USD
1057612.50000000
0.019424451570
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176MW74
125933.83000000
PA
USD
135528.63000000
0.002489162438
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.50000000
N
N
N
N
N
N
COMMERCIAL METALS CO
549300OQS2LO07ZJ7N73
Commercial Metals Co
201723AR4
3115000.00000000
PA
USD
2893056.25000000
0.053134802225
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.37500000
N
N
N
N
N
N
EDEN RE II LTD
549300LKX8PCP3SC3F42
Eden Re II Ltd
27954QAG6
210000.00000000
PA
USD
106470.00000000
0.001955462287
Long
DBT
CORP
BM
Y
2
2024-03-22
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A5GX7
2073049.67000000
PA
USD
2147439.54000000
0.039440565750
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
FRESENIUS MED CARE III
5299006ZHLMXOOUVTU44
Fresenius Medical Care US Finance III Inc
35805BAB4
16810000.00000000
PA
USD
14632792.17000000
0.268750570596
Long
DBT
CORP
US
N
2
2031-02-16
Fixed
2.37500000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2022-1 Ltd
69701CAG5
3000000.00000000
PA
USD
2982717.00000000
0.054781540417
Long
ABS-CBDO
CORP
KY
N
2
2030-04-15
Floating
2.83424000
N
N
N
N
N
N
American Credit Acceptance Rec
N/A
American Credit Acceptance Receivables Trust 2019-2
02530DAE6
4000000.00000000
PA
USD
4044075.20000000
0.074274786719
Long
ABS-O
CORP
US
N
2
2025-06-12
Fixed
4.29000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201LUD4
41620.43000000
PA
USD
46834.67000000
0.000860180623
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
7.00000000
N
N
N
N
N
N
DataBank Issuer LLC
N/A
DataBank Issuer
23802WAC5
2400000.00000000
PA
USD
2254706.40000000
0.041410663425
Long
ABS-O
CORP
US
N
2
2051-02-27
Fixed
2.65000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2021-PJ9
36263CBN8
3309670.45000000
PA
USD
2870447.06000000
0.052719554564
Long
ABS-MBS
CORP
US
N
2
2052-02-26
Variable
2.93950100
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2021-KG05 Mortgage Trust
30318WAL7
9000000.00000000
PA
USD
54035.10000000
0.000992426037
Long
ABS-MBS
CORP
US
N
2
2031-01-25
Fixed
0.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BVX3
126608.94000000
PA
USD
139362.02000000
0.002559567713
Long
ABS-MBS
USGA
US
N
2
2032-12-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R02
20754BAB7
12580000.00000000
PA
USD
12280359.50000000
0.225545035042
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
3.09900000
N
N
N
N
N
N
Vermillion Re 2022
N/A
Vermillion Re 2022
000000000
3000000.00000000
PA
USD
2899787.67000000
0.053258433651
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade RE 2021-3 Ltd
078777AE9
10690000.00000000
PA
USD
10162069.01000000
0.186639830126
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Floating
3.24900000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
20754KAJ0
1450000.00000000
PA
USD
1341177.36000000
0.024632495055
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
6.29900000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CS9
8075000.00000000
PA
USD
7106000.00000000
0.130511083084
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A47F7
234508.71000000
PA
USD
239937.16000000
0.004406763104
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.00000000
N
N
N
N
N
N
Pangaea Re 2020-3, 7/1/24
N/A
Pangaea Re 2020-3, 7/1/24
000000000
5000000.00000000
PA
USD
70390.71000000
0.001292818435
Long
DBT
CORP
BM
Y
2
2024-07-01
Floating
0.01000000
N
N
N
N
N
N
Republic Finance Issuance Trus
N/A
Republic Finance Issuance Trust 2021-A
76042UAA1
9010000.00000000
PA
USD
8556856.47000000
0.157157979974
Long
ABS-O
CORP
US
N
2
2031-12-22
Fixed
2.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230UEZ8
21243.12000000
PA
USD
22508.59000000
0.000413400008
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
PLANTRONICS INC
5493006O3W5M472F6668
Plantronics Inc
727493AC2
6224000.00000000
PA
USD
6409848.64000000
0.117725343148
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YVEW5
40650.93000000
PA
USD
38924.78000000
0.000714905037
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WTUN4
3020103.63000000
PA
USD
3018427.44000000
0.055437409851
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Versutus Re 2019-B, 12/31/21
N/A
Versutus Re 2019-B, 12/31/21
000000000
1734905.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200KSS7
7610.50000000
PA
USD
8123.24000000
0.000149194040
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAS5
8597000.00000000
PA
USD
8710783.79000000
0.159985058675
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DJ75
61940.82000000
PA
USD
67814.51000000
0.001245503116
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D2H4
1906883.44000000
PA
USD
1949471.66000000
0.035804623950
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
4.00000000
N
N
N
N
N
N
Pangaea Re 2022-1
N/A
Pangaea Re 2022-1
000000000
4727246.00000000
PA
USD
4727246.00000000
0.086822121512
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
AMER AIRLINE 21-1B PTT
N/A
American Airlines 2021-1 Class B Pass Through Trust
02376LAA3
1440000.00000000
PA
USD
1304378.78000000
0.023956640491
Long
DBT
CORP
US
N
2
2030-07-11
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KBT7
3685.76000000
PA
USD
4087.58000000
0.000075073809
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NYP0
111933.37000000
PA
USD
123844.29000000
0.002274564089
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
5.50000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
4090000.00000000
PA
USD
3885500.00000000
0.071362343558
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D4V1
196635.41000000
PA
USD
201042.33000000
0.003692408138
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
4.00000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2020-2
26208VAG1
1650000.00000000
PA
USD
1653914.79000000
0.030376331349
Long
ABS-O
CORP
US
N
2
2028-05-15
Fixed
3.05000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AS8
4988000.00000000
PA
USD
4766828.49000000
0.087549106263
Long
DBT
CORP
IT
N
2
2035-06-30
Fixed
5.45900000
N
N
N
N
N
N
Versutus Re 2018, 12/31/21
N/A
Versutus Re 2018, 12/31/21
000000000
2000000.00000000
PA
USD
2400.00000000
0.000044079172
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
JG Wentworth XXII LLC
46616MAA8
190398.27000000
PA
USD
191767.69000000
0.003522067115
Long
ABS-O
CORP
US
N
2
2048-12-15
Fixed
3.82000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBN9
9940000.00000000
PA
USD
10271052.00000000
0.188641446796
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AJK85
449273.12000000
PA
USD
461354.86000000
0.008473391847
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 Year US Treasury Note
000000000
1071.00000000
NC
USD
-2956154.28000000
-0.05429368095
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
229924483.48000000
USD
-2956154.28000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329KX25
131491.97000000
PA
USD
130987.92000000
0.002405766297
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31288GCW0
8341.14000000
PA
USD
8910.62000000
0.000163655314
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
ALGONQUIN PWR & UTILITY
549300K5VIUTJXQL7X75
Algonquin Power & Utilities Corp
015857AH8
6870000.00000000
PA
USD
6396313.50000000
0.117476752411
Long
DBT
CORP
CA
N
2
2082-01-18
Fixed
4.75000000
N
N
N
N
N
N
Alturas Re 2020-2, 3/10/23
N/A
Alturas Re 2020-2, 3/10/23
000000000
540698.00000000
PA
USD
255682.15000000
0.004695940658
Long
DBT
CORP
BM
Y
2
2023-03-10
Floating
0.01000000
N
N
N
N
N
N
INTERNATIONAL GAME TECH
549300UQ6KHRCZDRGZ76
International Game Technology PLC
460599AC7
3751000.00000000
PA
USD
3954998.14000000
0.072638768765
Long
DBT
CORP
GB
N
2
2025-02-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WED66
2811570.47000000
PA
USD
2800097.69000000
0.051427495393
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
ATLAS LUXCO 4 / ALL UNI
N/A
Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl
019579AA9
2115000.00000000
PA
USD
2009250.00000000
0.036902532182
Long
DBT
CORP
N/A
N
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
N
Four Seas LP
54930044TCFC01YWTN84
Four Seas LP
35100LAB4
4200000.00000000
PA
USD
3610094.04000000
0.066304149056
Long
ABS-O
CORP
CA
N
2
2027-08-28
Fixed
5.92700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBUV8
3791247.88000000
PA
USD
4137089.61000000
0.075983119310
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371K2H3
26838.35000000
PA
USD
29705.60000000
0.000545582610
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CSB0
73138.11000000
PA
USD
75663.54000000
0.001389660928
Long
ABS-MBS
USGA
US
N
2
2028-10-01
Fixed
5.63000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CJ1
4770000.00000000
PA
USD
4756640.14000000
0.087361983748
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
4.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HPR22
3255515.22000000
PA
USD
3258298.00000000
0.059842949759
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A93H2
149871.02000000
PA
USD
161547.76000000
0.002967038154
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
4.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-15
46654TCB2
3880039.67000000
PA
USD
3532382.68000000
0.064876877207
Long
ABS-MBS
CORP
US
N
2
2052-06-25
Variable
3.12488600
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYN8
7630000.00000000
PA
USD
6936615.74000000
0.127400117248
Long
DBT
CORP
US
N
2
2032-10-21
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBCV8
81712.15000000
PA
USD
85008.85000000
0.001561299899
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36194REE6
783634.12000000
PA
USD
793340.87000000
0.014570753757
Long
ABS-MBS
USGA
US
N
2
2046-08-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213JJR7
10506.79000000
PA
USD
11228.05000000
0.000206217980
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NHX2
82889.07000000
PA
USD
89891.34000000
0.001650973282
Long
ABS-MBS
USGA
US
N
2
2034-03-15
Fixed
6.00000000
N
N
N
N
N
N
PECF USS INTERMEDIATE HO
N/A
PECF USS Intermediate Holding III Corp
000000000
1117200.00000000
PA
USD
1108422.16000000
0.020357638139
Long
LON
CORP
US
N
2
2028-12-15
Floating
4.75786000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6ZF8
39783.53000000
PA
USD
43418.28000000
0.000797434104
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DZZ7
39637.73000000
PA
USD
44005.15000000
0.000808212748
Long
ABS-MBS
USGA
US
N
2
2033-10-20
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292HQ49
4386.42000000
PA
USD
4815.11000000
0.000088435860
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
CORPORATE OFFICE PROP LP
H0TWO5VRNEP6CQAWPX27
Corporate Office Properties LP
22003BAN6
4380000.00000000
PA
USD
3853963.93000000
0.070783141946
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AK4
13435000.00000000
PA
USD
12209990.92000000
0.224252623054
Long
DBT
CORP
CH
N
2
2033-02-11
Fixed
2.74600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XZSU6
723967.73000000
PA
USD
697178.51000000
0.012804604903
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
NCMF Trust
N/A
NCMF Trust 2022-MFP
628870AC1
17365000.00000000
PA
USD
17234090.47000000
0.316526852409
Long
ABS-MBS
CORP
US
N
2
2039-03-15
Floating
2.69016000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KJ24 Mortgage Trust
30312FAG1
3258836.84000000
PA
USD
2704847.94000000
0.049678107828
Long
ABS-MBS
CORP
US
N
2
2027-10-25
Variable
7.60000000
N
N
N
N
N
N
INTEGRITY RE LTD
N/A
Integrity Re Ltd
45869RAA3
3500000.00000000
PA
USD
3505250.00000000
0.064378549673
Long
DBT
CORP
BM
Y
2
2022-06-10
Floating
4.80300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290R6G3
11711.90000000
PA
USD
12522.49000000
0.000229992081
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XXZS3
1308595.48000000
PA
USD
1345135.37000000
0.024705189140
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A5BB4
62066.30000000
PA
USD
68289.00000000
0.001254217752
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181LT57
278702.49000000
PA
USD
291687.84000000
0.005357232749
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F040644
126000000.00000000
PA
USD
128716875.00000000
2.364055554112
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Cascade MH Asset Trust
N/A
Cascade MH Asset Trust 2021-MH1
14731QAD1
2076000.00000000
PA
USD
1943552.86000000
0.035695917364
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Fixed
3.69300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DAB7
26684.36000000
PA
USD
28900.90000000
0.000530803231
Long
ABS-MBS
USGA
US
N
2
2029-01-20
Fixed
7.00000000
N
N
N
N
N
N
Lion Rock Re 2020, 1/31/22
N/A
Lion Rock Re 2020, 1/31/22
000000000
500000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2023-01-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QPH8
82529.01000000
PA
USD
86767.67000000
0.001593602953
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Fixed
4.00000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BC0
690000.00000000
PA
USD
903809.45000000
0.016599655252
Long
DBT
CORP
US
N
2
2039-12-16
Fixed
6.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178GJ70
1027771.17000000
PA
USD
1084629.44000000
0.019920653385
Long
ABS-MBS
USGA
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291BXZ5
65222.07000000
PA
USD
69481.54000000
0.001276120326
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
4.50000000
N
N
N
N
N
N
BANCO SANTANDER CHILE
3YJP8HORPAEXJ80D6368
Banco Santander Chile
05970FAC5
10258000.00000000
PA
USD
10026579.52000000
0.184151386545
Long
DBT
CORP
CL
N
2
2025-01-10
Fixed
2.70000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-KSW4 Mortgage Trust
302960AG4
5384768.25000000
PA
USD
5340929.24000000
0.098093225413
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Floating
2.69143000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-A
64035DAE6
5550000.00000000
PA
USD
5166657.06000000
0.094892486466
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
2.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184JAM2
313030.83000000
PA
USD
319332.53000000
0.005864964023
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DGM6
45857.64000000
PA
USD
50399.90000000
0.000925660784
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BND6
5910.53000000
PA
USD
6479.99000000
0.000119013581
Long
ABS-MBS
USGA
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
LONGPOINT RE LTD III
549300X8D4F49UZO0Y39
Long Point Re III Ltd
542799AD3
7900000.00000000
PA
USD
7896050.00000000
0.145021395664
Long
DBT
CORP
KY
Y
2
2022-06-01
Floating
3.28046500
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FXAJ7
7260482.18000000
PA
USD
1340204.42000000
0.024614625726
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
4.00000000
N
N
N
N
N
N
BRITISH AIR 19-1 A PTT
635400GSHSFIWYIDXC76
British Airways 2019-1 Class A Pass Through Trust
11043XAB9
5150923.59000000
PA
USD
4882399.76000000
0.089671725405
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417C3Y9
2148296.94000000
PA
USD
2148642.84000000
0.039462665945
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AKPX8
38532.52000000
PA
USD
38967.06000000
0.000715681565
Long
ABS-MBS
USGA
US
N
2
2025-06-15
Fixed
4.50000000
N
N
N
N
N
N
BSREP Commercial Mortgage Trus
N/A
BSREP Commercial Mortgage Trust 2021-DC
05591UAC1
1500000.00000000
PA
USD
1469954.10000000
0.026997650109
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
1.74700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHU67
1192208.47000000
PA
USD
1235663.60000000
0.022694595379
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
PUGET ENERGY INC
SYBSJ96YIDMIUY7WDR33
Puget Energy Inc
745310AK8
7830000.00000000
PA
USD
7816001.21000000
0.143551193823
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.10000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31298SJ47
969.64000000
PA
USD
1082.10000000
0.000019874196
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290VYP3
36539.54000000
PA
USD
39222.71000000
0.000720376915
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
6.00000000
N
N
N
N
N
N
CAPE LOOKOUT RE LTD
N/A
Cape Lookout Re Ltd
13947LAB8
3550000.00000000
PA
USD
3561005.00000000
0.065402563948
Long
DBT
CORP
BM
N
2
2022-05-09
Floating
6.76046500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213CXM7
34215.84000000
PA
USD
36683.47000000
0.000673740416
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YGW81
727749.20000000
PA
USD
700878.25000000
0.012872555518
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2020-1 Ltd
43731WAC9
4640000.00000000
PA
USD
4658654.66000000
0.085562350885
Long
ABS-MBS
CORP
BM
N
2
2030-10-25
Floating
4.60657000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AWT1
2983078.06000000
PA
USD
3043622.82000000
0.055900156310
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-INV1
46592PBH3
3700396.62000000
PA
USD
3219328.78000000
0.059127228522
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.99043000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAN1
6291000.00000000
PA
USD
5809801.41000000
0.106704682595
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201CZC1
7497.07000000
PA
USD
8011.72000000
0.000147145828
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WNN99
300678.64000000
PA
USD
305458.41000000
0.005610147470
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207KK82
1097.88000000
PA
USD
1173.25000000
0.000021548287
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2019-GS1
59981BAJ3
7800000.00000000
PA
USD
7229765.40000000
0.132784198255
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TWK1
35689.92000000
PA
USD
38811.33000000
0.000712821378
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389KKP5
3568.35000000
PA
USD
3831.70000000
0.000070374235
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MQY2
22718.07000000
PA
USD
25134.17000000
0.000461622255
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LUJZ9
86772.31000000
PA
USD
89607.27000000
0.001645755961
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FAD5
26026.38000000
PA
USD
27813.00000000
0.000510822509
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPWN0
3678950.70000000
PA
USD
3661426.72000000
0.067246941579
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.00000000
N
N
N
N
N
N
Carnoustie Re 2020, 12/31/23
N/A
Carnoustie Re 2020, 12/31/23
000000000
2000000.00000000
PA
USD
271200.00000000
0.004980946486
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
Amur Equipment Finance Receiva
5493008OAETJ1UTO4Q72
Amur Equipment Finance Receivables VII LLC
03237MAF7
2676000.00000000
PA
USD
2633260.80000000
0.048363315374
Long
ABS-O
CORP
US
N
2
2025-03-20
Fixed
4.47000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371L2N8
1456.64000000
PA
USD
1618.64000000
0.000029728463
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QLJX5
2378946.98000000
PA
USD
2442016.74000000
0.044850865416
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406AHJ4
29112.17000000
PA
USD
30050.22000000
0.000551912012
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.00000000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2021-J1
74387MAY5
3221561.99000000
PA
USD
2855172.78000000
0.052439022222
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.63949000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CV9
11160000.00000000
PA
USD
10057221.70000000
0.184714170685
Long
DBT
CORP
GB
N
2
2029-08-17
Fixed
2.20600000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXV Ltd
83614JAJ1
1750000.00000000
PA
USD
1726537.75000000
0.031710148007
Long
ABS-CBDO
CORP
KY
N
2
2033-04-25
Floating
0.01000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAC5
8264000.00000000
PA
USD
7663207.20000000
0.140744929858
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AWU8
3529123.41000000
PA
USD
3600576.69000000
0.066129350343
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D6F3
22829.38000000
PA
USD
25346.47000000
0.000465521425
Long
ABS-MBS
USGA
US
N
2
2034-06-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388JS97
1415.92000000
PA
USD
1520.42000000
0.000027924523
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJHU7
23575.64000000
PA
USD
26355.66000000
0.000484056534
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
SMITHFIELD FOODS INC
CVTIPZRZJC0JQEZLL598
Smithfield Foods Inc
832248BB3
728000.00000000
PA
USD
763228.39000000
0.014017698257
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
5.20000000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2021-3
74938DBB8
4045747.62000000
PA
USD
3698925.91000000
0.067935663772
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ARMD0
231648.83000000
PA
USD
248714.57000000
0.004567971842
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
4.50000000
N
N
N
N
N
N
MFRA Trust
N/A
MFA 2020-NQM1 Trust
552754AC7
210048.17000000
PA
USD
206545.64000000
0.003793483701
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
2.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AMK27
62766.23000000
PA
USD
67807.48000000
0.001245374001
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212UKQ3
3261.06000000
PA
USD
3310.70000000
0.000060805381
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
7.00000000
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650BY5
1513871.67000000
PA
USD
1674129.70000000
0.030747604893
Long
DBT
CORP
US
N
2
2034-01-10
Fixed
5.92600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DNZ0
13309.85000000
PA
USD
14929.94000000
0.000274208083
Long
ABS-MBS
USGA
US
N
2
2031-07-20
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292DB50
297574.38000000
PA
USD
329059.48000000
0.006043612318
Long
ABS-MBS
USGA
US
N
2
2035-09-15
Fixed
6.00000000
N
N
N
N
N
N
Harambee Re 2020, 12/31/23
N/A
Harambee Re 2020, 12/31/23
000000000
4000000.00000000
PA
USD
136400.00000000
0.002505166300
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202C3M3
6622.73000000
PA
USD
7090.24000000
0.000130221629
Long
ABS-MBS
USGA
US
N
2
2028-06-20
Fixed
7.00000000
N
N
N
N
N
N
LUNDIN ENERGY FI
549300JSNI1KL271GM17
Lundin Energy Finance BV
55037AAB4
20680000.00000000
PA
USD
19154131.16000000
0.351790937691
Long
DBT
CORP
NL
N
2
2031-07-15
Fixed
3.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GRPD0
690373.97000000
PA
USD
717792.72000000
0.013183212118
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-2
03463WAD5
6700000.00000000
PA
USD
6606017.76000000
0.121328248344
Long
ABS-MBS
CORP
US
N
2
2049-03-25
Variable
4.06500000
N
N
N
N
N
N
Lorenz Re 2020, 6/30/23
N/A
Lorenz Re 2020, 6/30/23
000000000
2480490.00000000
PA
USD
169913.57000000
0.003120687313
Long
DBT
CORP
BM
Y
2
2023-06-30
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YPZM7
257134.32000000
PA
USD
268557.69000000
0.004932416970
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184LS63
885068.68000000
PA
USD
925265.63000000
0.016993726359
Long
ABS-MBS
USGA
US
N
2
2045-05-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YBWS8
241503.38000000
PA
USD
231432.57000000
0.004250565067
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EDE72
873727.23000000
PA
USD
914709.87000000
0.016799855874
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FMN5
44804.76000000
PA
USD
42974.20000000
0.000789277988
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292HG40
172.53000000
PA
USD
185.41000000
0.000003405299
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183XNE6
497846.46000000
PA
USD
515327.31000000
0.009464667234
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
Icon Brand Holdings LLC
N/A
Icon Brand Holdings LLC
45112AAC1
183300.38000000
PA
USD
70478.78000000
0.001294435957
Long
ABS-O
CORP
US
N
2
2043-01-25
Fixed
4.35200000
N
N
N
N
N
N
AON CORP/AON GLOBAL HOLD
N/A
Aon Corp / Aon Global Holdings PLC
03740LAC6
1833000.00000000
PA
USD
1686567.59000000
0.030976043184
Long
DBT
CORP
US
N
2
2031-12-02
Fixed
2.60000000
N
N
N
N
N
N
Westlake Automobile Receivable
N/A
Westlake Automobile Receivables Trust 2020-2
96042PAF9
3220000.00000000
PA
USD
3206827.30000000
0.058897622317
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
2.76000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TA66
56455.87000000
PA
USD
62476.06000000
0.001147455426
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210XDQ7
4958.58000000
PA
USD
4977.93000000
0.000091426264
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295YY64
41374.45000000
PA
USD
44097.90000000
0.000809916224
Long
ABS-MBS
USGA
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JNUZ1
29278.37000000
PA
USD
28870.25000000
0.000530240303
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132VQH66
332972.75000000
PA
USD
340996.91000000
0.006262858999
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201VGB2
69977.05000000
PA
USD
74726.58000000
0.001372452419
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290YUV8
59308.56000000
PA
USD
63707.16000000
0.001170066204
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA1
35564KCP2
4150000.00000000
PA
USD
3687767.19000000
0.067730719129
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
5.09900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FVM2
3960.77000000
PA
USD
4360.31000000
0.000080082856
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QG7J0
273102.99000000
PA
USD
279637.11000000
0.005135905164
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201EJS0
48074.41000000
PA
USD
51731.94000000
0.000950125460
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296R6G8
28743.71000000
PA
USD
30904.18000000
0.000567596116
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.00000000
N
N
N
N
N
N
HIN Timeshare Trust 2020-A
N/A
HIN Timeshare Trust 2020-A
40439HAD1
646800.28000000
PA
USD
636268.11000000
0.011685904892
Long
ABS-O
CORP
US
N
2
2039-10-09
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LK50
287501.34000000
PA
USD
308338.65000000
0.005663046885
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202TFH4
37449.73000000
PA
USD
39996.87000000
0.000734595387
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209G2W6
3780.50000000
PA
USD
4040.02000000
0.000074200307
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403FS21
15381.97000000
PA
USD
17016.97000000
0.000312539147
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
292480AM2
3190000.00000000
PA
USD
3199786.31000000
0.058768305229
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
4.15000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAG4
3000000.00000000
PA
USD
2640884.76000000
0.048503339477
Long
DBT
CORP
ES
N
2
2030-12-03
Fixed
2.74900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KDUZ1
175190.97000000
PA
USD
179273.49000000
0.003292594616
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.00000000
N
N
N
N
N
N
Carlyle Global Market Strategi
N/A
CARLYLE US CLO 2019-4 LTD
14317VAY6
2750000.00000000
PA
USD
2735788.00000000
0.050246362928
Long
ABS-CBDO
CORP
KY
N
2
2035-04-15
Floating
3.43285000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCFG8
141186.71000000
PA
USD
145001.79000000
0.002663149544
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
4.00000000
N
N
N
N
N
N
Bantry RE 2019, 12/31/22
N/A
Bantry RE 2019, 12/31/22
000000000
5000000.00000000
PA
USD
169818.29000000
0.003118937370
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Bantry Re 2020, 12/31/23
N/A
Bantry Re 2020, 12/31/23
000000000
4776758.00000000
PA
USD
310863.70000000
0.005709422766
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
Carnoustie Re 2021, 12/31/24
N/A
Carnoustie Re 2021, 12/31/24
000000000
1853719.00000000
PA
USD
87865.46000000
0.001613765318
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BHE1
16797.85000000
PA
USD
18177.53000000
0.000333854366
Long
ABS-MBS
USGA
US
N
2
2028-11-15
Fixed
7.00000000
N
N
N
N
N
N
SCF Equipment Trust Llc
N/A
SCF Equipment Leasing 2019-2 LLC
784034AD2
4600000.00000000
PA
USD
4539596.94000000
0.083375698481
Long
ABS-O
CORP
US
N
2
2027-06-21
Fixed
3.11000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209JS51
2644.21000000
PA
USD
2828.54000000
0.000051949876
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
6.00000000
N
N
N
N
N
N
GRINDING MEDIA INC
254900IYFJ03EGFQ8C34
Grinding Media Inc
39854KAB6
3507375.00000000
PA
USD
3483261.80000000
0.063974707315
Long
LON
CORP
US
N
2
2028-10-12
Floating
4.79586000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAF6
2170000.00000000
PA
USD
2148300.00000000
0.039456369235
Long
DBT
CORP
US
N
2
2027-12-31
Fixed
6.50000000
N
N
N
N
N
N
BANQUE OUEST AFRICAINE D
529900LIZJABE4JJS826
Banque Ouest Africaine de Developpement
06675QAC7
7150000.00000000
PA
USD
7052045.00000000
0.129520128189
Long
DBT
NUSS
N/A
N
2
2031-10-22
Fixed
4.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WLZQ2
401314.42000000
PA
USD
415413.95000000
0.007629626307
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.00000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700BC9
1260000.00000000
PA
USD
1174950.00000000
0.021579509860
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.00000000
N
N
N
N
N
N
CORPORATE OFFICE PROP LP
H0TWO5VRNEP6CQAWPX27
Corporate Office Properties LP
22003BAP1
4850000.00000000
PA
USD
4282093.08000000
0.078646299710
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.90000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-HQA1
35564KTB5
5600000.00000000
PA
USD
5731540.08000000
0.105267309820
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389GP79
4887.68000000
PA
USD
5400.46000000
0.000099186586
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
6.00000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAZ1
6745000.00000000
PA
USD
5987546.48000000
0.109969205759
Long
DBT
CORP
AU
N
2
2033-01-14
Fixed
2.87100000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-RPL2
64830HAD6
10950000.00000000
PA
USD
10753432.17000000
0.197500996254
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
3.75000000
N
N
N
N
N
N
Bantry Re 2022
N/A
Bantry Re 2022
000000000
4171573.00000000
PA
USD
4243047.68000000
0.077929179326
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFFH4
4269595.90000000
PA
USD
4358266.87000000
0.080045332054
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re V Ltd
67401JAB8
2817203.57000000
PA
USD
2819129.97000000
0.051777048373
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
4.05657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DQA2
7409.27000000
PA
USD
8031.96000000
0.000147517562
Long
ABS-MBS
USGA
US
N
2
2031-10-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AMVK5
3498.33000000
PA
USD
3706.94000000
0.000068082853
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
4.00000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BF9
16130000.00000000
PA
USD
15356068.57000000
0.282034497747
Long
DBT
CORP
US
N
2
2032-10-15
Fixed
3.50000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK5
06541WBA9
7460000.00000000
PA
USD
7420601.50000000
0.136289155489
Long
ABS-MBS
CORP
US
N
2
2060-06-15
Fixed
3.62400000
N
N
N
N
N
N
United Wholesale Mortgage LLC
N/A
UWM Mortgage Trust 2021-INV5
90355DBG7
5559413.48000000
PA
USD
4996616.82000000
0.091769472690
Long
ABS-MBS
CORP
US
N
2
2052-01-25
Variable
3.24694000
N
N
N
N
N
N
ANGLOGOLD HOLDINGS PLC
213800745ZIXC4L6A131
AngloGold Ashanti Holdings PLC
03512TAE1
4457000.00000000
PA
USD
4169523.50000000
0.076578810573
Long
DBT
CORP
IM
N
2
2030-10-01
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F8M83
3950816.24000000
PA
USD
762257.45000000
0.013999865661
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Fixed
4.00000000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust 2019-1
252722AB9
584286.14000000
PA
USD
578556.75000000
0.010625959480
Long
ABS-O
CORP
US
N
2
2032-02-20
Fixed
3.53000000
N
N
N
N
N
N
Bantry RE 2016, 3/31/22
N/A
Bantry RE 2016, 3/31/22
000000000
2000000.00000000
PA
USD
120900.00000000
0.002220488311
Long
DBT
CORP
BM
Y
2
2023-03-31
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312938NF6
2340.18000000
PA
USD
2535.49000000
0.000046567625
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corportation Trust 2021-IP
36262MAG3
4250000.00000000
PA
USD
4118823.75000000
0.075647642646
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.49700000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2021-RPL1
36261WAJ6
6071000.00000000
PA
USD
5486223.07000000
0.100761738658
Long
ABS-MBS
CORP
US
N
2
2060-12-25
Variable
2.75000000
N
N
N
N
N
N
BELLEMEADE RE LT
2549009SOTYJD2MZFC61
Bellemeade Re 2018-3 Ltd
07877TAC5
7640000.00000000
PA
USD
7560293.41000000
0.138854782068
Long
ABS-MBS
CORP
BM
N
2
2028-10-25
Floating
3.20657000
N
N
N
N
N
N
Genworth Mortgage Insurance Co
N/A
Traingle Re 2021-1 Ltd
89600FAC7
14070000.00000000
PA
USD
14080676.32000000
0.258610233195
Long
ABS-MBS
CORP
BM
N
2
2033-08-25
Floating
3.85657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213EZ66
1756.48000000
PA
USD
1877.06000000
0.000034474688
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2018-B2
17327FAF3
3000000.00000000
PA
USD
3066551.40000000
0.056321269989
Long
ABS-MBS
CORP
US
N
2
2051-03-10
Variable
4.17900000
N
N
N
N
N
N
BELLEMEADE RE LT
2549009SOTYJD2MZFC61
Bellemeade Re 2018-3 Ltd
07877TAB7
3667247.92000000
PA
USD
3655128.40000000
0.067131264607
Long
ABS-MBS
CORP
BM
N
2
2028-10-25
Floating
2.30657000
N
N
N
N
N
N
Westgate Resorts
N/A
Westgate Resorts 2020-1 LLC
96034LAE1
3133120.36000000
PA
USD
3203380.27000000
0.058834313055
Long
ABS-O
CORP
US
N
2
2034-03-20
Fixed
6.21300000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
Cascade Funding Mortgage Trust 2021-HB6
12527LAC6
3900000.00000000
PA
USD
3693473.55000000
0.067835523973
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
3.73480000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176UCZ6
1342.68000000
PA
USD
1384.59000000
0.000025429825
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-2
46655DCJ9
4391992.56000000
PA
USD
4007763.92000000
0.073607882064
Long
ABS-MBS
CORP
US
N
2
2052-08-25
Variable
3.13776000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212XBL8
33525.79000000
PA
USD
36187.72000000
0.000664635312
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup COmmercial Mortgage Trust 2019-SMRT
29429MAA1
7700000.00000000
PA
USD
7791076.37000000
0.143093416189
Long
ABS-MBS
CORP
US
N
2
2036-01-10
Fixed
4.14900000
N
N
N
N
N
N
HEALTHCARE TRUST OF AMER
549300IYGAS4GE6VDL07
Healthcare Trust of America Holdings LP
42225UAG9
8904000.00000000
PA
USD
8465101.09000000
0.155472771133
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.10000000
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust 2019-A
038370AC6
5900000.00000000
PA
USD
5782477.90000000
0.106202850217
Long
ABS-O
CORP
US
N
2
2040-07-16
Fixed
4.01000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBQ3
15388000.00000000
PA
USD
13496296.99000000
0.247877334336
Long
DBT
CORP
US
N
2
2036-11-15
Fixed
3.18700000
N
N
N
N
N
N
Woodmont Trust
N/A
Woodmont 2020-7 Trust
97988WAA9
1500000.00000000
PA
USD
1497583.50000000
0.027505100562
Long
ABS-CBDO
CORP
US
N
2
2032-01-15
Floating
2.14129000
N
N
N
N
N
N
Rate Mortgage Trust
N/A
Rate Mortgage Trust 2021-J4
75410JDJ0
4481988.16000000
PA
USD
3808179.51000000
0.069942250553
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.63390300
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CPA5
2016.35000000
PA
USD
2115.31000000
0.000038850464
Long
ABS-MBS
USGA
US
N
2
2026-05-20
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YHU32
29705.38000000
PA
USD
28605.88000000
0.000525384798
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
2.50000000
N
N
N
N
N
N
ADAPTHEALTH LLC
N/A
AdaptHealth LLC
00653VAE1
1930000.00000000
PA
USD
1792487.50000000
0.032921402341
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292JBJ8
157428.07000000
PA
USD
174866.75000000
0.003211659011
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417CAY1
219414.55000000
PA
USD
223961.72000000
0.004113353032
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AVYP1
6026.76000000
PA
USD
6268.82000000
0.000115135165
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAD8
3500000.00000000
PA
USD
3123785.00000000
0.057372440708
Long
DBT
CORP
N/A
N
2
2032-05-15
Fixed
3.00000000
N
N
N
N
N
N
KENNAMETAL INC
549300GZDSG25XUV0Y08
Kennametal Inc
489170AF7
3879000.00000000
PA
USD
3537438.88000000
0.064969741004
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EE4A4
190594.25000000
PA
USD
196819.56000000
0.003614851385
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405HR75
11221.52000000
PA
USD
12244.68000000
0.000224889733
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.50000000
N
N
N
N
N
N
CLEARWAY ENERGY OP LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
18539UAE5
1040000.00000000
PA
USD
956800.00000000
0.017572896748
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.75000000
N
N
N
N
N
N
FARMERS INS EXCH
549300UWG2TLX1GZVT44
Farmers Insurance Exchange
309601AE2
9710000.00000000
PA
USD
10170348.28000000
0.186791889863
Long
DBT
CORP
US
N
2
2057-11-01
Fixed
4.74700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSJ5
1414417.71000000
PA
USD
1484661.91000000
0.027267778481
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.50000000
N
N
N
N
N
N
BANQUE OUEST AFRICAINE D
529900LIZJABE4JJS826
Banque Ouest Africaine de Developpement
06675QAB9
2230000.00000000
PA
USD
2245208.60000000
0.041236223773
Long
DBT
NUSS
N/A
N
2
2027-07-27
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H6VG1
1646516.53000000
PA
USD
1692473.05000000
0.031084504763
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AH9
2055000.00000000
PA
USD
1879626.30000000
0.034521821588
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
3.87500000
N
N
N
N
N
N
Rate Mortgage Trust
N/A
Rate Mortgage Trust 2021-J3
75409TDD4
4489857.50000000
PA
USD
3939759.71000000
0.072358894855
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.71463500
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415CNA1
19352.90000000
PA
USD
19744.66000000
0.000362636780
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
COLEM 2021-HLNE Mortgage Trust
N/A
COLEM 2022-HLNE Mortgage Trust
12659JAJ6
7140000.00000000
PA
USD
6216327.47000000
0.114171071055
Long
ABS-MBS
CORP
US
N
2
2042-04-12
Variable
2.54303000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HEJ37
238905.79000000
PA
USD
251663.53000000
0.004622133390
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
Imperial Fund LLC
N/A
Imperial Fund Mortgage Trust 2021-NQM2
452761AE9
1800000.00000000
PA
USD
1570398.84000000
0.028842450532
Long
ABS-MBS
CORP
US
N
2
2056-09-25
Variable
3.29500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183XDS6
141363.77000000
PA
USD
145787.80000000
0.002677585656
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EVK48
1757773.12000000
PA
USD
1820951.44000000
0.033444180225
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022642
53900000.00000000
PA
USD
51491343.75000000
0.945706591936
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182LCZ8
5973.96000000
PA
USD
6212.43000000
0.000114099488
Long
ABS-MBS
USGA
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21
61764XBP9
2863500.00000000
PA
USD
2543011.07000000
0.046705759786
Long
ABS-MBS
CORP
US
N
2
2048-03-15
Variable
4.13190000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335ACR7
2928214.39000000
PA
USD
2989956.58000000
0.054914504873
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AN9
3931962.09000000
PA
USD
3887731.06000000
0.071403319924
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
2.49657000
N
N
N
N
N
N
Lorenz Re 2018, 7/1/22
N/A
Lorenz Re 2018, 7/1/22
000000000
5000000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2022-07-01
Floating
0.01000000
N
N
N
N
N
N
Dingle Re 2020, 1/31/22
N/A
Dingle Re 2020, 1/31/22
000000000
750000.00000000
PA
USD
72204.99000000
0.001326140085
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
SKYWORKS SOLUTIONS INC
549300WZ3ORQ2BVKBD96
Skyworks Solutions Inc
83088MAL6
9347000.00000000
PA
USD
8374839.28000000
0.153814993680
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AHP6
2562078.40000000
PA
USD
2615074.38000000
0.048029297731
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292H5Q3
11735.08000000
PA
USD
13027.35000000
0.000239264502
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.00000000
N
N
N
N
N
N
FASST 22-S1 A2
N/A
FASST 22-S1 A2
000000000
8457407.32000000
PA
USD
8208970.98000000
0.150768603097
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Floating
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEHE2
613906.41000000
PA
USD
626175.92000000
0.011500548483
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131YA7G9
983039.42000000
PA
USD
1006855.61000000
0.018492234192
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.00000000
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd
03880RAJ8
10000000.00000000
PA
USD
9868610.00000000
0.181250067497
Long
ABS-CBDO
CORP
KY
N
2
2036-11-15
Floating
3.29657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290R2Q5
26925.26000000
PA
USD
29605.82000000
0.000543750018
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181VR81
3860.00000000
PA
USD
4090.45000000
0.000075126521
Long
ABS-MBS
USGA
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2020-2
43789XAD6
2380000.00000000
PA
USD
2311184.92000000
0.042447966101
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
3.89700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209YWT1
27010.95000000
PA
USD
28865.16000000
0.000530146818
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YPWD0
278036.20000000
PA
USD
267764.92000000
0.004917856701
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BD1
2475000.00000000
PA
USD
3101135.90000000
0.056956460048
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
7.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JNVE7
14333.30000000
PA
USD
14650.18000000
0.000269069921
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213ACG7
15411.06000000
PA
USD
16468.98000000
0.000302474587
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407QPU4
72386.42000000
PA
USD
77249.90000000
0.001418796526
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.00000000
N
N
N
N
N
N
Springcastle SPV
N/A
SpringCastle America Funding LLC
85022WAP9
6986077.67000000
PA
USD
6732469.78000000
0.123650706842
Long
ABS-O
CORP
US
N
2
2037-09-25
Fixed
1.97000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B34 Mortgage Trust
08161YBJ1
3300000.00000000
PA
USD
3355875.27000000
0.061635085306
Long
ABS-MBS
CORP
US
N
2
2055-04-15
Variable
3.83332100
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36211SC47
31066.22000000
PA
USD
33198.81000000
0.000609740029
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
6.50000000
N
N
N
N
N
N
Alturas Re 2021-2, 12/31/24
N/A
Alturas Re 2021-2, 12/31/24
000000000
3959302.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DKY6
2466.54000000
PA
USD
2765.24000000
0.000050787287
Long
ABS-MBS
USGA
US
N
2
2030-12-20
Fixed
7.50000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAH5
5950000.00000000
PA
USD
5622750.00000000
0.103269236196
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.37500000
N
N
N
N
N
N
Ballybunion Re 2020, 2/28/22
N/A
Ballybunion Re 2020, 2/28/22
000000000
8000000.00000000
PA
USD
903792.52000000
0.016599344310
Long
DBT
CORP
BM
Y
2
2023-02-28
Floating
0.01000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE3 Mortgage Trust
12624PAE5
2360325.20000000
PA
USD
2359086.97000000
0.043327750569
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
2.82200000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BB5
8020000.00000000
PA
USD
9966304.75000000
0.183044360719
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
7.50000000
N
N
N
N
N
N
Rate Mortgage Trust
N/A
RATE Mortgage Trust 2021-HB1
75409XDB9
3039177.48000000
PA
USD
2666624.47000000
0.048976083276
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.70792900
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6VZ8
112945.33000000
PA
USD
122274.46000000
0.002245732086
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.00000000
N
N
N
N
N
N
CORELOGIC INC
54930086CD8K2UIL0516
CoreLogic Inc
21871DAD5
3355000.00000000
PA
USD
3163094.00000000
0.058094402454
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
4.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-2
89171YAG6
5810000.00000000
PA
USD
5501312.96000000
0.101038884435
Long
ABS-O
CORP
US
N
2
2060-11-25
Variable
3.30591800
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.38.V1.5Y
000000000
1.00000000
NC
USD
-32385008.17000000
-0.59479348324
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.38.V1
Y
Default Event
2027-06-20
730896.36000000
USD
0.00000000
USD
-585330000.00000000
USD
-33115904.53000000
N
N
N
CIM Trust
N/A
CIM Trust 2020-R2
12558WAJ9
5170000.00000000
PA
USD
4518615.16000000
0.082990340356
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.00000000
N
N
N
N
N
N
Amur Equipment Finance Receiva
5493008OAETJ1UTO4Q72
Amur Equipment Finance Receivables VII LLC
03237MAC4
3833000.00000000
PA
USD
3829056.23000000
0.070325679111
Long
ABS-O
CORP
US
N
2
2025-03-20
Fixed
2.80000000
N
N
N
N
N
N
Whitebox CLO I Ltd
549300C89ZJ5IWOT1F21
Whitebox Clo II Ltd
96466EAE4
1800000.00000000
PA
USD
1719966.60000000
0.031589460151
Long
ABS-CBDO
CORP
KY
N
2
2034-10-24
Floating
7.35886000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pas
N/A
FRESB 2018-SB52 Mortgage Trust
30297CAG7
4348922.27000000
PA
USD
4342145.78000000
0.079749246926
Long
ABS-MBS
USGSE
US
N
2
2025-06-25
Variable
3.39000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36216UV87
10319.36000000
PA
USD
11027.75000000
0.000202539205
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297VYN2
13817.58000000
PA
USD
15128.29000000
0.000277851043
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335A5W4
610155.60000000
PA
USD
621960.68000000
0.011423130028
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796P29
40000000.00000000
PA
USD
39997616.80000000
0.734609103486
Long
DBT
UST
US
N
2
2022-04-14
None
0.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-8
46592TBW2
771580.79000000
PA
USD
684600.18000000
0.012573587246
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.85202400
N
N
N
N
N
N
Imperial Fund LLC
N/A
Imperial Fund Mortgage Trust 2021-NQM2
452761AD1
2250000.00000000
PA
USD
1982907.00000000
0.036418708165
Long
ABS-MBS
CORP
US
N
2
2056-09-25
Variable
2.48900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201JF61
2266.72000000
PA
USD
2422.32000000
0.000044489108
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WE3H0
564110.01000000
PA
USD
558842.24000000
0.010263876444
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
MIDAS OPCO HOLDINGS LLC
N/A
Stagwell Global LLC
59565JAA9
9105000.00000000
PA
USD
8629081.65000000
0.158484490876
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
5.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297ACB8
3848.34000000
PA
USD
4092.75000000
0.000075168763
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADPG7
50060.49000000
PA
USD
49291.73000000
0.000905307777
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401NN54
46082.74000000
PA
USD
49236.14000000
0.000904286794
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
6.00000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AW4
3835000.00000000
PA
USD
3406806.41000000
0.062570503015
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
2.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HJJS1
969129.77000000
PA
USD
993438.27000000
0.018245807007
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384WGV6
2913.39000000
PA
USD
3172.71000000
0.000058271013
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292HJR6
2583.92000000
PA
USD
2779.22000000
0.000051044049
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
PATTERN ENERGY OP LP/PAT
N/A
Pattern Energy Operations LP / Pattern Energy Operations Inc
70339PAA7
1255000.00000000
PA
USD
1217350.00000000
0.022358241907
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXKD3
1917147.14000000
PA
USD
1964028.92000000
0.036071987272
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
3.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-3INV
33852CAS2
4581448.52000000
PA
USD
4180411.42000000
0.076778781616
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EWBW4
1550142.35000000
PA
USD
1580320.26000000
0.029024670525
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZQ9
6885000.00000000
PA
USD
7081429.05000000
0.130059805108
Long
DBT
CORP
US
N
2
2024-03-18
Fixed
5.58400000
N
N
N
N
N
N
KUEHG CORP
549300YNT566T1NYJX62
KUEHG Corp
000000000
1066529.62640000
PA
USD
1053864.59000000
0.019355616249
Long
LON
CORP
US
N
2
2025-02-21
Floating
4.75600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHLH8
170170.22000000
PA
USD
172721.24000000
0.003172253884
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
Genworth Mortgage Insurance Co
N/A
Traingle Re 2020-1 Ltd
89600MAC2
4348358.85000000
PA
USD
4347282.63000000
0.079843591966
Long
ABS-MBS
CORP
BM
N
2
2030-10-25
Floating
4.95657000
N
N
N
N
N
N
ReadyCap Commercial Mortgage T
N/A
Ready Capital Mortgage Financing 2022-FL8 LLC
75574PAJ1
6850000.00000000
PA
USD
6842441.03000000
0.125670474214
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
3.80634000
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
Nomura Holdings Inc
65535HBA6
15610000.00000000
PA
USD
14381519.85000000
0.264135622294
Long
DBT
CORP
JP
N
2
2032-01-22
Fixed
2.99900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A25J7
1557229.42000000
PA
USD
1645564.93000000
0.030222975133
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Fixed
4.50000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ACS9
240014.00000000
PA
USD
35759.97000000
0.000656779118
Long
DBT
CORP
BM
Y
2
2023-12-01
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209PNZ6
1552.63000000
PA
USD
1659.21000000
0.000030473584
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387CE72
309.13000000
PA
USD
331.94000000
0.000006096516
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
6.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-INV6
46654FAP3
1047647.06000000
PA
USD
959398.51000000
0.017620621819
Long
ABS-MBS
CORP
US
N
2
2052-04-25
Variable
2.50000000
N
N
N
N
N
N
Hundred Acre Wood Trust
N/A
Hundred Acre Wood Trust 2021-INV3
44555QAC3
14102706.74000000
PA
USD
13084505.42000000
0.240314237826
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QS51
4525.94000000
PA
USD
5028.15000000
0.000092348621
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
AUTONATION INC
N/A
AutoNation Inc
05329RAA1
7990000.00000000
PA
USD
7735912.81000000
0.142080264492
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296RUW6
32978.06000000
PA
USD
35240.89000000
0.000647245528
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
ENERGY ACQUISITION LP
N/A
Energy Acquisition Co Inc
29279EAB8
1016954.42660000
PA
USD
996191.27000000
0.018296369491
Long
LON
CORP
US
N
2
2025-06-26
Floating
4.69943000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAE1
31428700.00000000
PA
USD
27322098.46000000
0.501806454005
Long
DBT
UST
US
N
2
2030-08-15
Fixed
0.62500000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAD2
13425000.00000000
PA
USD
12803691.00000000
0.235156709807
Long
DBT
NUSS
MX
N
2
2048-02-10
Fixed
4.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36211ETQ1
9818.00000000
PA
USD
10471.93000000
0.000192330836
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
7.50000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ACR1
1260000.00000000
PA
USD
153292.59000000
0.002815421045
Long
DBT
CORP
BM
Y
2
2023-12-01
None
0.00000000
N
N
N
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAG2
8316000.00000000
PA
USD
7027020.00000000
0.129060510984
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
5.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133D4PF4
2548780.59000000
PA
USD
2310936.87000000
0.042443410335
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183XRD4
1055932.58000000
PA
USD
1103802.58000000
0.020272793446
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
4.00000000
N
N
N
N
N
N
United Wholesale Mortgage LLC
N/A
UWM Mortgage Trust 2021-INV4
918307BF5
4370846.46000000
PA
USD
3931739.86000000
0.072211599709
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
3.23365100
N
N
N
N
N
N
Sequoia Mortgage Trust
549300FECQ7XLTBL1027
Sequoia Mortgage Trust 2018-CH3
81746WAA6
261657.40000000
PA
USD
263058.26000000
0.004831412669
Long
ABS-MBS
CORP
US
N
2
2048-08-25
Variable
4.50000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAN1
5175000.00000000
PA
USD
5443788.98000000
0.099982380504
Long
DBT
CORP
NL
N
2
2025-01-31
Fixed
7.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WP6E9
79943.73000000
PA
USD
76555.43000000
0.001406041666
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
2.50000000
N
N
N
N
N
N
Woburn Re 2019, 12/31/22
N/A
Woburn Re 2019, 12/31/22
000000000
4979452.00000000
PA
USD
1124566.79000000
0.020654155609
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Ballybunion Re 2021-3, 7/31/25
N/A
Ballybunion Re 2021-3, 7/31/25
000000000
2250000.00000000
PA
USD
2281500.00000000
0.041902763306
Long
DBT
CORP
BM
Y
2
2025-07-31
Floating
0.01000000
N
N
N
N
N
N
RMF Proprietary Issuance Trust
N/A
RMF Proprietary Issuance Trust 2021-2
74969VAA3
6144765.98000000
PA
USD
5667309.06000000
0.104087622234
Long
ABS-MBS
CORP
US
N
2
2061-09-25
Variable
2.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGCB8
519031.53000000
PA
USD
552483.94000000
0.010147097860
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31288FET7
12634.39000000
PA
USD
13497.85000000
0.000247905857
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6.00000000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNATIO
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80875AAP6
4810388.26460000
PA
USD
4793017.95000000
0.088030110315
Long
LON
CORP
US
N
2
2024-08-14
Floating
3.20743000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EBH2
17726981.30000000
PA
USD
16076347.44000000
0.295263371297
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MPDW2
110106.95000000
PA
USD
106432.27000000
0.001954769326
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CDH3
823.03000000
PA
USD
826.21000000
0.000015174438
Long
ABS-MBS
USGA
US
N
2
2024-11-20
Fixed
9.00000000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT 2021-HB7 LLC
12530BAD1
7600000.00000000
PA
USD
7273041.16000000
0.133579014791
Long
ABS-MBS
CORP
US
N
2
2031-10-27
Variable
3.84920000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCRV9
3849453.36000000
PA
USD
3927448.06000000
0.072132775129
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2020-4 Ltd
07876UAB5
5384752.89000000
PA
USD
5390745.58000000
0.099008168347
Long
ABS-MBS
CORP
BM
N
2
2030-06-25
Floating
4.05657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BCLK4
3169275.19000000
PA
USD
599998.94000000
0.011019773643
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Fixed
4.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-J2
12564ECG5
3396333.54000000
PA
USD
3107584.06000000
0.057074889030
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.67368700
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK7
06541XAJ9
10350000.00000000
PA
USD
10406443.73000000
0.191128094886
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
3.74800000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp
72147KAE8
1960000.00000000
PA
USD
1980864.20000000
0.036381189443
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
5.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202UA52
4059.25000000
PA
USD
4353.85000000
0.000079964210
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TBE8
5000000.00000000
PA
USD
5262868.00000000
0.096659527555
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Floating
7.49900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292HGC2
1222.56000000
PA
USD
1332.48000000
0.000024472756
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203EC30
2492.57000000
PA
USD
2541.35000000
0.000046675252
Long
ABS-MBS
USGA
US
N
2
2023-08-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291BKB2
25927.17000000
PA
USD
26678.81000000
0.000489991611
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA5
35566ABD0
4835000.00000000
PA
USD
4907583.99000000
0.090134267079
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Floating
4.89900000
N
N
N
N
N
N
NIPPON LIFE INSURANCE
549300Y0HHMFW3EVWY08
Nippon Life Insurance Co
654579AK7
11070000.00000000
PA
USD
10022781.43000000
0.184081629601
Long
DBT
CORP
JP
N
2
2051-09-16
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H6ZR3
3018032.95000000
PA
USD
3061174.04000000
0.056222507665
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFBK1
55118.74000000
PA
USD
53076.03000000
0.000974811449
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
2.50000000
N
N
N
N
N
N
Thopas Re 2020, 12/31/23
N/A
Thopas Re 2020, 12/31/23
000000000
6000000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
DANA INC
KVWHW7YLZPFJM8QYNJ51
Dana Inc
235825AH9
3130000.00000000
PA
USD
2864576.00000000
0.052611724787
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AVQD0
416189.20000000
PA
USD
434651.67000000
0.007982952464
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X3EE8
139665.60000000
PA
USD
135008.26000000
0.002479605155
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402Q2A8
3017.35000000
PA
USD
3361.23000000
0.000061733432
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
6.00000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADB5
200000.00000000
PA
USD
580037.92000000
0.010653163125
Long
DBT
CORP
BM
Y
2
2024-12-01
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GPS58
1338261.41000000
PA
USD
1389179.43000000
0.025514116522
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5TU7
492851.95000000
PA
USD
510346.29000000
0.009373184218
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CK9
14425000.00000000
PA
USD
13009207.74000000
0.238931296400
Long
DBT
CORP
US
N
2
2049-05-01
Fixed
3.90000000
N
N
N
N
N
N
AUTONATION INC
N/A
AutoNation Inc
05329WAR3
1825000.00000000
PA
USD
1636496.19000000
0.030056415736
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
1.95000000
N
N
N
N
N
N
Sussex Re 2020-1, 12/31/22
N/A
Sussex Re 2020-1, 12/31/22
000000000
3609700.00000000
PA
USD
77247.58000000
0.001418753916
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DG2
4595000.00000000
PA
USD
4767457.89000000
0.087560666026
Long
DBT
CORP
US
N
2
2062-02-22
Fixed
4.40000000
N
N
N
N
N
N
Brean Asset Backed Securities
N/A
Brean Asset Backed Securities Trust 2021-RM1
10638CAA0
3938389.31000000
PA
USD
3562946.60000000
0.065438223999
Long
ABS-MBS
CORP
US
N
2
2063-10-25
Variable
1.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCHD3
5046559.63000000
PA
USD
5158139.06000000
0.094736042136
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HBSJ8
160067.55000000
PA
USD
168417.20000000
0.003093204500
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
5.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-J1
12564KCD8
5826260.82000000
PA
USD
5230467.97000000
0.096064458176
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
2.66056600
N
N
N
N
N
N
Alturas Re 2019-2, 3/10/22
N/A
Alturas Re 2019-2, 3/10/22
000000000
34018.00000000
PA
USD
11715.80000000
0.000215176153
Long
DBT
CORP
BM
Y
2
2023-03-10
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A6DW8
434355.47000000
PA
USD
445957.53000000
0.008190599528
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FEL3
15006.19000000
PA
USD
16036.31000000
0.000294528030
Long
ABS-MBS
USGA
US
N
2
2032-10-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XWLY7
1851151.00000000
PA
USD
1912597.05000000
0.035127372994
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
NMEF Funding LLC
N/A
NMEF Funding 2021-A LLC
62919TAD8
2300000.00000000
PA
USD
2172893.49000000
0.039908061188
Long
ABS-O
CORP
US
N
2
2027-12-15
Fixed
2.58000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWCR2
3146508.21000000
PA
USD
3216141.03000000
0.059068681280
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
4.00000000
N
N
N
N
N
N
Torricelli Re 2021, 7/31/25
N/A
Torricelli Re 2021, 7/31/25
000000000
4228426.00000000
PA
USD
4127366.62000000
0.075804543746
Long
DBT
CORP
BM
Y
2
2025-07-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184BZL4
2122933.70000000
PA
USD
2176709.25000000
0.039978142665
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
3.50000000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-2 Ltd
26982AAC8
3130000.00000000
PA
USD
2974728.84000000
0.054634827299
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
3.54900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BY85
45262.97000000
PA
USD
50774.55000000
0.000932541727
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
MINERVA LUXEMBOURG SA
222100NM3G3RCPGZ2Z17
Minerva Luxembourg SA
603374AF6
5890000.00000000
PA
USD
5328683.00000000
0.097868307028
Long
DBT
CORP
LU
N
2
2031-03-18
Fixed
4.37500000
N
N
N
N
N
N
BROWN & BROWN INC
549300PC8KTJ71XKFY89
Brown & Brown Inc
115236AE1
6455000.00000000
PA
USD
6559616.25000000
0.120476023277
Long
DBT
CORP
US
N
2
2032-03-17
Fixed
4.20000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863BC3
4875000.00000000
PA
USD
5080174.56000000
0.093304121036
Long
DBT
CORP
GB
N
2
2052-03-16
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D6K3
42994773.80000000
PA
USD
38988168.22000000
0.716069245972
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
1.50000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2020-2
43789XAC8
4350000.00000000
PA
USD
4278165.41000000
0.078574162858
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
3.19600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419FB70
394660.02000000
PA
USD
413103.75000000
0.007587196431
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.00000000
N
N
N
N
N
N
PHOENICIAN RE LIMITED
N/A
Phoenician Re Ltd
71880VAC1
1000000.00000000
PA
USD
993600.00000000
0.018248777392
Long
DBT
CORP
BM
N
2
2024-12-14
Floating
3.03046500
N
N
N
N
N
N
BIMBO BAKERIES USA INC
549300HOXXHHT7926W92
Bimbo Bakeries USA Inc
09031WAA1
1930000.00000000
PA
USD
1804569.30000000
0.033143300569
Long
DBT
CORP
US
N
2
2051-05-17
Fixed
4.00000000
N
N
N
N
N
N
Berwick Re 2018-1, 12/31/21
N/A
Berwick Re 2018-1, 12/31/21
000000000
10192268.00000000
PA
USD
787862.32000000
0.014470132944
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650BP4
2407234.55000000
PA
USD
2580409.01000000
0.047392622389
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
6.03600000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CSU8
61492.39000000
PA
USD
62238.96000000
0.001143100771
Long
ABS-MBS
USGA
US
N
2
2029-09-01
Fixed
4.20000000
N
N
N
N
N
N
Gleneagles Re 2019, 12/31/22
N/A
Gleneagles Re 2019, 12/31/22
000000000
886832.00000000
PA
USD
19818.28000000
0.000363988909
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2018-C8
46591ABA2
7640000.00000000
PA
USD
7965629.02000000
0.146299306339
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Fixed
4.21060000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust 2007-2
07325XAN0
2670455.84000000
PA
USD
0.27000000
0.000000004958
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.01000000
N
N
N
N
N
N
Newtek Small Business Loan Tru
N/A
Newtek Small Business Loan Trust 2017-1
65252WAA5
1359943.49000000
PA
USD
1359942.54000000
0.024977142390
Long
ABS-O
CORP
US
N
2
2043-02-25
Floating
2.45657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KPG72
144412.04000000
PA
USD
147730.77000000
0.002713270869
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
4.00000000
N
N
N
N
N
N
PRMI Securitization Trust
N/A
PRMI Securitization Trust 2021-1
69359DBW2
3040213.42000000
PA
USD
2606171.57000000
0.047865785857
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.47893700
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WFDL0
1348787.92000000
PA
USD
1405679.07000000
0.025817154221
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.00000000
N
N
N
N
N
N
Pangaea Re 2019-1, 2/1/23
N/A
Pangaea Re 2019-1, 2/1/23
000000000
4017011.00000000
PA
USD
83704.37000000
0.001537341399
Long
DBT
CORP
BM
Y
2
2023-02-01
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DV5B7
4555866.23000000
PA
USD
4807280.80000000
0.088292066408
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-BCON
46590WAG3
5925000.00000000
PA
USD
5914262.12000000
0.108623241616
Long
ABS-MBS
CORP
US
N
2
2031-01-05
Variable
3.75570000
N
N
N
N
N
N
Oxford Finance Funding Trust
N/A
Oxford Finance Funding 2019-1 LLC
69145AAC2
2143082.01000000
PA
USD
2165117.61000000
0.039765246874
Long
ABS-O
CORP
US
N
2
2027-02-15
Fixed
5.43800000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAB0
16040000.00000000
PA
USD
16082424.68000000
0.295374987843
Long
DBT
CORP
IE
N
2
2025-04-10
Fixed
4.26300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405JVD3
38676.76000000
PA
USD
41317.25000000
0.000758845911
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
New York Mortgage Trust
N/A
NYMT Loan Trust 2022-CP1
62955VAC0
4550000.00000000
PA
USD
4318061.48000000
0.079306906921
Long
ABS-MBS
CORP
US
N
2
2061-07-25
Fixed
3.21450000
N
N
N
N
N
N
KEY COMMERCIAL MORTGAGE TRUST
N/A
Key Commercial Mortgage Securities Trust 2019-S2
49307XAC8
7150000.00000000
PA
USD
6911338.01000000
0.126935858323
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Fixed
3.46930000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210AMQ7
421.86000000
PA
USD
451.03000000
0.000008283762
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.00000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YBE9
2580000.00000000
PA
USD
2423356.72000000
0.044508149483
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-14
46653QCA1
10826042.70000000
PA
USD
9899129.92000000
0.181810606171
Long
ABS-MBS
CORP
US
N
2
2052-05-25
Variable
3.16669100
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JSVC0
33698.05000000
PA
USD
32763.92000000
0.000601752699
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFXA3
22576.10000000
PA
USD
24038.86000000
0.000441505439
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296YJZ7
27443.53000000
PA
USD
29319.53000000
0.000538491924
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GR5B6
130839.80000000
PA
USD
132234.35000000
0.002428658632
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
PRIMERICA INC
254900621R686KJR7022
Primerica Inc
74164MAB4
6524000.00000000
PA
USD
6019503.97000000
0.110556147306
Long
DBT
CORP
US
N
2
2031-11-19
Fixed
2.80000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE6 Trust
04002VAJ0
4750000.00000000
PA
USD
4655926.25000000
0.085512240029
Long
ABS-MBS
CORP
KY
N
2
2024-12-17
Floating
2.90000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-INV1
46592PBG5
6705620.69000000
PA
USD
5958678.25000000
0.109439002555
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.99043000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202W3G2
36244.40000000
PA
USD
38975.74000000
0.000715840985
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJ6G1
850729.86000000
PA
USD
847264.81000000
0.015561138194
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Multifamily Structured Credit
N/A
Freddie Mac Multifamily Structured Credit Risk
35563GAB5
7400000.00000000
PA
USD
7039299.58000000
0.129286041703
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Floating
4.09900000
N
N
N
N
N
N
LSF11 A5 HOLDCO LLC
254900FPK7P5WNA66Y10
LSF11 A5 HoldCo LLC
50216YAB6
1415000.00000000
PA
USD
1396133.81000000
0.025641842903
Long
LON
CORP
US
N
2
2028-10-13
Floating
4.11448000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBD0
1070000.00000000
PA
USD
947499.12000000
0.017402073792
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
2.74900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GVE92
950999.31000000
PA
USD
983903.83000000
0.018070694413
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2022-MM1
36266PAD9
8277755.94000000
PA
USD
7566241.43000000
0.138964025317
Long
ABS-MBS
CORP
US
N
2
2052-07-25
Variable
2.50000000
N
N
N
N
N
N
DOLLAR TREE INC
549300PMSTQITB1WHR43
Dollar Tree Inc
256746AJ7
12060000.00000000
PA
USD
11028068.01000000
0.202545046484
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
2.65000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage T
N/A
ReadyCap Commercial Mortgage Trust 2019-6
75575QAA7
358289.38000000
PA
USD
349805.16000000
0.006424634154
Long
ABS-MBS
CORP
US
N
2
2052-10-25
Fixed
2.83340000
N
N
N
N
N
N
Merion Re 2021-2, 12/31/24
N/A
Merion Re 2021-2, 12/31/24
000000000
9000000.00000000
PA
USD
1953900.00000000
0.035885956267
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJAW0
3959.52000000
PA
USD
4278.32000000
0.000078577002
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.00000000
N
N
N
N
N
N
COMM Mortgage Trust
5493004GWEVMOU8S3L34
COMM 2014-UBS4 Mortgage Trust
12591QAQ5
4100000.00000000
PA
USD
4068535.37000000
0.074724030074
Long
ABS-MBS
CORP
US
N
2
2047-08-10
Fixed
3.42000000
N
N
N
N
N
N
522 Funding CLO LTD
N/A
ASSURANT CLO LTD
04624XAA3
3000000.00000000
PA
USD
2841021.00000000
0.052179106076
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
6.40400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200QJB1
503.38000000
PA
USD
546.27000000
0.000010032970
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184CDG7
162988.50000000
PA
USD
164924.53000000
0.003029056999
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212CRN3
32413.84000000
PA
USD
32709.46000000
0.000600752469
Long
ABS-MBS
USGA
US
N
2
2031-01-15
Fixed
7.00000000
N
N
N
N
N
N
NGPL PIPECO LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62928CAA0
6860000.00000000
PA
USD
6405696.77000000
0.117649088568
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
3.25000000
N
N
N
N
N
N
Sussex Re 2021-1, 12/31/24
N/A
Sussex Re 2021-1, 12/31/24
000000000
1250000.00000000
PA
USD
192500.00000000
0.003535516956
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416M3A0
849388.62000000
PA
USD
884907.28000000
0.016252491914
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.00000000
N
N
N
N
N
N
Alturas Re 2020-3, 9/30/24
N/A
Alturas Re 2020-3, 9/30/24
000000000
225450.00000000
PA
USD
3428.07000000
0.000062961036
Long
DBT
CORP
BM
Y
2
2024-09-30
Floating
0.01000000
N
N
N
N
N
N
Foundation Finance Trust
5493002KPTN6JUQ40J20
Foundation Finance Trust 2019-1
35041JAB1
3750000.00000000
PA
USD
3781534.88000000
0.069452886702
Long
ABS-O
CORP
US
N
2
2034-11-15
Fixed
4.22000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACB9
4600000.00000000
PA
USD
4171878.00000000
0.076622054077
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
ALTA WIND HOLDINGS LLC
N/A
Alta Wind Holdings LLC
021345AA1
282761.68000000
PA
USD
308214.63000000
0.005660769094
Long
DBT
CORP
US
N
2
2035-06-30
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JN2Q2
15226.42000000
PA
USD
15565.42000000
0.000285879513
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KR29
1283.74000000
PA
USD
1420.49000000
0.000026089176
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CGN7
4.96000000
PA
USD
5.02000000
0.000000092198
Long
ABS-MBS
USGA
US
N
2
2025-05-20
Fixed
8.00000000
N
N
N
N
N
N
Formby Re 2018, 2/28/22
N/A
Formby Re 2018, 2/28/22
000000000
1500000.00000000
PA
USD
184200.00000000
0.003383076485
Long
DBT
CORP
BM
Y
2
2023-02-28
Floating
0.01000000
N
N
N
N
N
N
MIWD HLDCO II/MIWD FIN
N/A
MIWD Holdco II LLC / MIWD Finance Corp
55337PAA0
680000.00000000
PA
USD
632502.00000000
0.011616735304
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290TC72
15961.47000000
PA
USD
17217.10000000
0.000316214799
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WFWW5
1327200.75000000
PA
USD
1382510.04000000
0.025391624359
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205UNR7
504.83000000
PA
USD
510.52000000
0.000009376374
Long
ABS-MBS
USGA
US
N
2
2024-06-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176MYW7
108339.16000000
PA
USD
116283.39000000
0.002135698166
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
4.50000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796G45
300000000.00000000
PA
USD
299978751.00000000
5.509506289811
Long
DBT
UST
US
N
2
2022-04-21
None
0.00000000
N
N
N
N
N
N
Woburn Re 2018, 12/31/21
N/A
Woburn Re 2018, 12/31/21
000000000
1623326.00000000
PA
USD
89824.19000000
0.001649739983
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Multifamily Connecticut Avenue
549300HG8ZEWVWVSN227
Multifamily Connecticut Avenue Securities Trust 2019-01
62547NAA7
1163024.15000000
PA
USD
1140528.24000000
0.020947308737
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Floating
2.15657000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CSE4
64395.13000000
PA
USD
67577.09000000
0.001241142584
Long
ABS-MBS
USGA
US
N
2
2028-12-01
Fixed
6.22000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2020-3 Ltd
07877KAE0
6170000.00000000
PA
USD
6263000.41000000
0.115028281293
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
4.15657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213DWF1
9870.58000000
PA
USD
10548.16000000
0.000193730901
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36209DLL6
16095.52000000
PA
USD
17045.83000000
0.000313069200
Long
ABS-MBS
USGA
US
N
2
2028-01-20
Fixed
5.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400ELK4
4458.19000000
PA
USD
4759.50000000
0.000087414508
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6.00000000
N
N
N
N
N
N
MODIVCARE ESCROW ISSUER
N/A
ModivCare Escrow Issuer Inc
60783XAA2
2230000.00000000
PA
USD
2078828.30000000
0.038180429634
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
FASST 22-S1 A1
N/A
FASST 22-S1 A1
000000000
8127445.73000000
PA
USD
7761710.67000000
0.142554076292
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Floating
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36206DXF9
4111.84000000
PA
USD
4127.42000000
0.000075805524
Long
ABS-MBS
USGA
US
N
2
2025-08-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EU4L0
252572.72000000
PA
USD
261547.39000000
0.004803663544
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200E3X7
26888.21000000
PA
USD
29226.67000000
0.000536786427
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283HWM3
46.81000000
PA
USD
50.30000000
0.000000923825
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329Q5T4
210798.98000000
PA
USD
219923.26000000
0.004039181376
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YRW9
265690.65000000
PA
USD
286179.94000000
0.005256072885
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AVT1
570992.27000000
PA
USD
597938.68000000
0.010981934245
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-K66 Mortgage Trust
35708QAU7
2623000.00000000
PA
USD
2647243.34000000
0.048620123204
Long
ABS-MBS
CORP
US
N
2
2027-07-25
Variable
4.03630100
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-12
46592WBY1
4602610.19000000
PA
USD
4193039.56000000
0.077010714099
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
3.17467000
N
N
N
N
N
N
Mello Mortgage Capital Accepta
N/A
Mello Mortgage Capital Acceptance
585494CB1
5190561.19000000
PA
USD
4566189.62000000
0.083864108200
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.68231000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290XZF0
26209.68000000
PA
USD
28054.12000000
0.000515250997
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GRN34
237538.19000000
PA
USD
245174.84000000
0.004502960021
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
FLOODSMART RE LTD
549300KK1LNVFW95S875
FloodSmart Re Ltd
33975CAJ4
2000000.00000000
PA
USD
1989800.00000000
0.036545307222
Long
DBT
CORP
BM
Y
2
2025-02-25
Floating
11.78046500
N
N
N
N
N
N
Saluda Grade Alternative Mortg
N/A
Saluda Grade Alternative Mortgage Trust 2021-FIG2
79582DAB7
19499997.48000000
PA
USD
18914997.56000000
0.347398933028
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
3.50000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DS4
9555000.00000000
PA
USD
8435822.85000000
0.154935037554
Long
DBT
NUSS
CL
N
2
2041-05-07
Fixed
3.10000000
N
N
N
N
N
N
J.G. Wentworth XLI LLC
N/A
J.G. Wentworth XLI LLC
46651TAA9
3337833.55000000
PA
USD
3416259.29000000
0.062744117652
Long
ABS-O
CORP
US
N
2
2072-10-17
Fixed
3.74000000
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust 2021-OVA
78449RAL9
17700000.00000000
PA
USD
15151674.36000000
0.278280527901
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Fixed
2.85061000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-K88 Mortgage Trust
302971AT3
5000000.00000000
PA
USD
5050296.50000000
0.092755370970
Long
ABS-MBS
CORP
US
N
2
2052-02-25
Variable
4.38182500
N
N
N
N
N
N
Denning Re 2021, 7/31/25
N/A
Denning Re 2021, 7/31/25
000000000
2000000.00000000
PA
USD
2003333.95000000
0.036793876103
Long
DBT
CORP
BM
Y
2
2025-07-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QT68
1192525.39000000
PA
USD
1274305.23000000
0.023404299992
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212S5S1
20129.11000000
PA
USD
21510.90000000
0.000395076112
Long
ABS-MBS
USGA
US
N
2
2031-04-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200Q3R3
2436.30000000
PA
USD
2603.54000000
0.000047817453
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
BINOM Securitization Trust
N/A
BINOM Securitization Trust 2022-RPL1
05552CAC8
13684000.00000000
PA
USD
12888446.45000000
0.236713355680
Long
ABS-MBS
CORP
US
N
2
2061-02-25
Variable
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213QZ51
63317.28000000
PA
USD
70248.87000000
0.001290213356
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2Q70
1418746.12000000
PA
USD
1496305.75000000
0.027481632994
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183B6T0
37277.96000000
PA
USD
38445.47000000
0.000706101875
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Marlette Funding Trust
549300Y3KZXU3NUCX480
Marlette Funding Trust 2019-2
57109HAC6
5950000.00000000
PA
USD
5940493.09000000
0.109105008054
Long
ABS-O
CORP
US
N
2
2029-07-16
Fixed
4.11000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AWNR0
925344.09000000
PA
USD
968682.28000000
0.017791130527
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAL9
4300000.00000000
PA
USD
3882857.00000000
0.071313801369
Long
DBT
CORP
KY
N
2
2030-06-18
Fixed
4.37500000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCD3
8500000.00000000
PA
USD
8156982.50000000
0.149813765941
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-P5
17325DAL7
4621000.00000000
PA
USD
3901481.65000000
0.071655867685
Long
ABS-MBS
CORP
US
N
2
2049-10-10
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DA68
270.74000000
PA
USD
289.35000000
0.000005314295
Long
ABS-MBS
USGA
US
N
2
2029-03-20
Fixed
6.50000000
N
N
N
N
N
N
AUTONATION INC
N/A
AutoNation Inc
05329WAQ5
4115000.00000000
PA
USD
4289479.91000000
0.078781968607
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.75000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300ZVNWG0TX42H716
Wells Fargo Commercial Mortgage Trust 2015-NXS3
94989VAD1
3810000.00000000
PA
USD
3838495.75000000
0.070499048374
Long
ABS-MBS
CORP
US
N
2
2057-09-15
Fixed
3.61700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BNA2
5499.96000000
PA
USD
6057.52000000
0.000111254361
Long
ABS-MBS
USGA
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
7310000.00000000
PA
USD
6590652.72000000
0.121046049074
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202XEG8
7694.51000000
PA
USD
8562.80000000
0.000157267140
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9Z54
1167926.88000000
PA
USD
1193023.72000000
0.021911457619
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
JETBLUE AIRWAYS CORP
N/A
JetBlue 2020-1 Class A Pass Through Trust
477164AA5
1819594.20000000
PA
USD
1820415.20000000
0.033434331468
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292CFL3
17184.06000000
PA
USD
18803.09000000
0.000345343602
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
5.50000000
N
N
N
N
N
N
AFRICAN EXPORT-IMPORT BA
21380068LJCDYA42GJ76
African Export-Import Bank/The
00831TAA9
6065000.00000000
PA
USD
5741031.96000000
0.105441640743
Long
DBT
NUSS
N/A
N
2
2029-09-21
Fixed
3.99400000
N
N
N
N
N
N
CHC Commercial Mortgage Trust
N/A
CHC Commercial Mortgage Trust 2019 - CHC
162665AL7
4194384.74000000
PA
USD
4078264.04000000
0.074902709958
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
2.44700000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-3
89177LBE2
10000000.00000000
PA
USD
9626743.00000000
0.176807860330
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFKT7
21904741.33000000
PA
USD
19862105.36000000
0.364793819712
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
1.50000000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAV6
5265000.00000000
PA
USD
5400863.33000000
0.099193994200
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9QP0
1476964.18000000
PA
USD
1547487.39000000
0.028421651467
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418VWV0
159660.58000000
PA
USD
172780.23000000
0.003173337313
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NEU1
7815.62000000
PA
USD
8329.65000000
0.000152985032
Long
ABS-MBS
USGA
US
N
2
2034-02-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413C3X5
209677.50000000
PA
USD
225837.05000000
0.004147795946
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
Radnor Re LTD
254900JBDDKUTX6TX151
Radnor RE 2019-1 Ltd
75049SAC7
3437000.00000000
PA
USD
3328334.43000000
0.061129261374
Long
ABS-MBS
CORP
BM
N
2
2029-02-25
Floating
3.65657000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297S6G5
48633.60000000
PA
USD
52009.74000000
0.000955227624
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202UZC0
55202.71000000
PA
USD
58524.88000000
0.001074886782
Long
ABS-MBS
USGA
US
N
2
2033-06-20
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JP51
16550.14000000
PA
USD
18322.25000000
0.000336512340
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620C6N27
103433.09000000
PA
USD
110228.69000000
0.002024495597
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297RD61
39436.45000000
PA
USD
42136.29000000
0.000773888663
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213DYB8
20173.78000000
PA
USD
21558.64000000
0.000395952920
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213TB44
19029.97000000
PA
USD
20771.55000000
0.000381496972
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296HAL3
12247.25000000
PA
USD
13108.08000000
0.000240747216
Long
ABS-MBS
USGA
US
N
2
2038-08-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DMB4
2098.25000000
PA
USD
2313.96000000
0.000042498934
Long
ABS-MBS
USGA
US
N
2
2031-03-20
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SNW3
1697218.12000000
PA
USD
1768486.99000000
0.032480601250
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201TFG7
29134.12000000
PA
USD
31114.98000000
0.000571467737
Long
ABS-MBS
USGA
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
03880KAG9
7600000.00000000
PA
USD
7497726.80000000
0.137705663571
Long
ABS-CBDO
CORP
KY
N
2
2034-08-15
Floating
2.24657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFMX6
26676641.74000000
PA
USD
25572670.00000000
0.469675887850
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NE7
8105000.00000000
PA
USD
7272545.26000000
0.133569906932
Long
DBT
CORP
US
N
2
2032-11-03
Fixed
2.52000000
N
N
N
N
N
N
Harambee Re 2018, 12/31/21
N/A
Harambee Re 2018, 12/31/21
000000000
2000000.00000000
PA
USD
1600.00000000
0.000029386114
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-INV1
465973BM6
9642706.36000000
PA
USD
9075820.33000000
0.166689437257
Long
ABS-MBS
CORP
US
N
2
2052-03-25
Variable
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415BE54
6943.61000000
PA
USD
7410.00000000
0.000136094444
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
6.00000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796T74
360000000.00000000
PA
USD
359994398.40000000
6.611772986153
Long
DBT
UST
US
N
2
2022-04-05
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378YHH5
427955.21000000
PA
USD
427600.61000000
0.007853450427
Long
ABS-MBS
USGA
US
N
2
2027-04-16
Fixed
3.25000000
N
N
N
N
N
N
BANCO DO BRASIL (CAYMAN)
QE0Q0253K88YAGNPE356
Banco do Brasil SA/Cayman
059578AF1
3980000.00000000
PA
USD
3830789.80000000
0.070357518416
Long
DBT
CORP
BR
N
2
2026-09-30
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36206JBC7
19222.52000000
PA
USD
20397.63000000
0.000374629437
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201TN94
15678.36000000
PA
USD
16754.63000000
0.000307720927
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413YL82
8659.09000000
PA
USD
9662.33000000
0.000177461462
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AMFJ9
616958.15000000
PA
USD
656966.13000000
0.012066051389
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BUJ5
2186.50000000
PA
USD
2383.35000000
0.000043773373
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.00000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546BA1
1900000.00000000
PA
USD
1671492.49000000
0.030699169045
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.30000000
N
N
N
N
N
N
TOPBUILD CORP
5493007YSKHOL4RWII46
TopBuild Corp
89055FAC7
3300000.00000000
PA
USD
2990625.00000000
0.054926781290
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
4.12500000
N
N
N
N
N
N
BRITISH AIR 20-1 B PTT
N/A
British Airways 2020-1 Class B Pass Through Trust
11042WAA4
1977751.04000000
PA
USD
2185405.41000000
0.040137859138
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
8.37500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746804
52347.00000000
NS
USD
69359775.00000000
1.273883951275
Long
EP
CORP
US
N
1
N
N
N
LIMESTONE RE LTD
5493004PN8HGYC184A27
Limestone Re Ltd
000000000
480000.00000000
PA
USD
20256.00000000
0.000372028215
Long
DBT
CORP
BM
Y
2
2024-03-01
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGJ90
1271411.74000000
PA
USD
1322732.12000000
0.024293723840
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKD0
12045000.00000000
PA
USD
10946507.32000000
0.201047076601
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
N
Fort Washington CLO 2019-1
N/A
Fort Washington CLO 2019-1
34919EAE8
1000000.00000000
PA
USD
976598.00000000
0.017936513188
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Floating
7.00400000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
5493007OD9MH69ES1S63
Wells Fargo Commercial Mortgage Trust 2016-LC24
95000HBE1
9319825.69000000
PA
USD
9068530.57000000
0.166555551178
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Fixed
2.68400000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VOLT
05609VAQ8
6650000.00000000
PA
USD
6414218.93000000
0.117805609301
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
2.79657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213GTY7
6249.52000000
PA
USD
6441.18000000
0.000118300784
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201AY51
4926.88000000
PA
USD
5261.00000000
0.000096625219
Long
ABS-MBS
USGA
US
N
2
2032-10-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292LF91
432485.47000000
PA
USD
440753.25000000
0.008095016047
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSJV5
341039.20000000
PA
USD
351116.92000000
0.006448726360
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
FannieMae Grantor Trust
N/A
Fannie Mae Grantor Trust 2004-T2
31393X7K7
240146.98000000
PA
USD
247539.52000000
0.004546390495
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Variable
3.32691000
N
N
N
N
N
N
Icon Brand Holdings LLC
N/A
Icon Brand Holdings LLC
45112AAA5
666243.34000000
PA
USD
254500.43000000
0.004674236809
Long
ABS-O
CORP
US
N
2
2043-01-25
Fixed
4.22900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290V4D3
82793.49000000
PA
USD
88503.37000000
0.001625481378
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213DZU5
11899.27000000
PA
USD
12613.85000000
0.000231670028
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
7.00000000
N
N
N
N
N
N
Signal Peak CLO, LLC
549300SC4HK60KIV1S28
Signal Peak CLO 2 LLC
56844XBN8
5000000.00000000
PA
USD
4981825.00000000
0.091497801363
Long
ABS-CBDO
CORP
US
N
2
2029-04-20
Floating
3.10400000
N
N
N
N
N
N
Madison Park Funding Ltd
254900YXXBTCF4NGD347
Madison Park Funding XXII Ltd
55819VAG1
4850000.00000000
PA
USD
4805200.55000000
0.088253859867
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
6.94129000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-4
89178BAW4
10300000.00000000
PA
USD
9450656.85000000
0.173573805425
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209GSA6
30766.60000000
PA
USD
32878.62000000
0.000603859316
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
6.50000000
N
N
N
N
N
N
Old Head Re 2022, 12/31/2027
N/A
Old Head Re 2022, 12/31/2027
000000000
250000.00000000
PA
USD
203515.56000000
0.003737832276
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181CEE4
22133.28000000
PA
USD
22886.12000000
0.000420333845
Long
ABS-MBS
USGA
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
OWENS & MINOR DISTRIBUTION
N/A
Owens & Minor Distribution Inc
000000000
2215000.00000000
PA
USD
2212231.25000000
0.040630551149
Long
LON
CORP
US
N
2
2029-03-29
Floating
0.00000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DF4
1835000.00000000
PA
USD
1896701.95000000
0.034835438472
Long
DBT
CORP
US
N
2
2052-02-22
Fixed
4.20000000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURA
Z7LVXXWM8HZPKF5T2355
Nationwide Mutual Insurance Co
638671AN7
15460000.00000000
PA
USD
15373341.75000000
0.282351742530
Long
DBT
CORP
US
N
2
2050-04-30
Fixed
4.35000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201F4Z7
23360.65000000
PA
USD
24970.80000000
0.000458621749
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212HFP0
4482.41000000
PA
USD
4888.31000000
0.000089780274
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201JEQ8
5145.04000000
PA
USD
5498.23000000
0.000100982261
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KF64 Mortgage Trust
35709DAG6
2902157.17000000
PA
USD
2890891.58000000
0.053095045199
Long
ABS-MBS
USGSE
US
N
2
2026-06-25
Floating
2.54143000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AVUV2
1992.93000000
PA
USD
2078.57000000
0.000038175685
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
4.00000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADE9
533.00000000
PA
USD
28829.93000000
0.000529499773
Long
DBT
CORP
BM
Y
2
2025-03-01
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBUP1
807305.43000000
PA
USD
871499.31000000
0.016006236821
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WKWL8
2710165.14000000
PA
USD
2692991.66000000
0.049460351573
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GPR8
43493.88000000
PA
USD
49240.57000000
0.000904368156
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAH3
6975000.00000000
PA
USD
7045457.96000000
0.129399148492
Long
DBT
CORP
US
N
2
2024-10-08
Fixed
3.86900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A2XH4
1197.04000000
PA
USD
1267.82000000
0.000023285190
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGF52
215392.01000000
PA
USD
223938.89000000
0.004112933729
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
Mello Mortgage Capital Accepta
N/A
Mello Mortgage Capital Acceptance 2021-INV2
58549XBM4
12131956.96000000
PA
USD
11086000.29000000
0.203609049384
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FBX0
57188.10000000
PA
USD
61067.09000000
0.001121577829
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
6.00000000
N
N
N
N
N
N
Finance of America HECM Buyout
N/A
Finance of America HECM Buyout 2022-HB1
31735JAD7
13700000.00000000
PA
USD
13482034.37000000
0.247615382467
Long
ABS-MBS
CORP
US
N
2
2032-02-25
Variable
5.08380000
N
N
N
N
N
N
Hundred Acre Wood Trust
N/A
Hundred Acre Wood Trust 2021-INV1
44590HBJ4
71098701.05000000
PA
USD
635465.97000000
0.011671172531
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
0.23110000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388FFW8
2216.94000000
PA
USD
2380.55000000
0.000043721947
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
6.50000000
N
N
N
N
N
N
J.G. Wentworth XLIII LLC
N/A
JG Wentworth XLIII LLC
46650XAA1
5418248.37000000
PA
USD
5548603.84000000
0.101907443958
Long
ABS-O
CORP
US
N
2
2071-08-17
Fixed
3.82000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trus
N/A
CFCRE Commercial Mortgage Trust 2016-C3
12531WBA9
3894660.83000000
PA
USD
3900246.55000000
0.071633183441
Long
ABS-MBS
CORP
US
N
2
2048-01-10
Fixed
3.59700000
N
N
N
N
N
N
FOUR LAKES RE LTD
549300MG4RRU6DT7MN54
Four Lakes Re Ltd
35087TAC2
500000.00000000
PA
USD
496000.00000000
0.009109695638
Long
DBT
CORP
BM
N
2
2025-01-07
Floating
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374Q4B8
7450.45000000
PA
USD
7475.58000000
0.000137298908
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
5.90000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAJ4
30345000.00000000
PA
USD
29659215.14000000
0.544730691157
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.29240000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796U98
200000000.00000000
PA
USD
199941222.00000000
3.672184834857
Long
DBT
UST
US
N
2
2022-05-17
None
0.00000000
N
N
N
N
N
N
PHOENIX ONE RE, 1/4/27
N/A
PHOENIX ONE RE, 1/4/27
000000000
1250000.00000000
PA
USD
1335000.00000000
0.024519039673
Long
DBT
CORP
BM
Y
2
2027-01-04
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409UCC7
77906.36000000
PA
USD
83795.67000000
0.001539018245
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.50000000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CPN7
58282.51000000
PA
USD
58843.45000000
0.001080737741
Long
ABS-MBS
USGA
US
N
2
2025-05-01
Fixed
4.84000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210VVK4
15805.23000000
PA
USD
16890.21000000
0.000310211033
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
HOA Funding LLC
N/A
HOA Funding LLC - HOA
40390GAA6
6467500.00000000
PA
USD
5991142.76000000
0.110035256195
Long
ABS-O
CORP
US
N
2
2051-08-20
Fixed
4.72300000
N
N
N
N
N
N
PG Receivables Finance LP
N/A
PG Receivables Finance
69356JAJ2
2350000.00000000
PA
USD
2313281.25000000
0.042486467973
Long
ABS-O
CORP
CA
N
2
2025-07-20
Fixed
4.70500000
N
N
N
N
N
N
First Eagle BSL CLO LLC
N/A
First Eagle BSL CLO 2019-1 Ltd
32010GAA3
1000000.00000000
PA
USD
967463.00000000
0.017768736838
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
7.95400000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADH2
3490.00000000
PA
USD
46927.21000000
0.000861880242
Long
DBT
CORP
BM
Y
2
2025-03-01
None
0.00000000
N
N
N
N
N
N
WEIR GROUP PLC (THE)
549300KDR56WHY9I3D10
Weir Group PLC/The
94876QAA4
5615000.00000000
PA
USD
5250631.14000000
0.096434781446
Long
DBT
CORP
GB
N
2
2026-05-13
Fixed
2.20000000
N
N
N
N
N
N
Lorenz Re 2020, 6/30/23
N/A
Lorenz Re 2020, 6/30/23
000000000
2019510.00000000
PA
USD
138538.39000000
0.002544440659
Long
DBT
CORP
BM
Y
2
2023-06-30
Floating
0.01000000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCG8
8905000.00000000
PA
USD
7982950.74000000
0.146617442624
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.45000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208PYY8
2933.51000000
PA
USD
3134.89000000
0.000057576398
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
Pangaea Re 2019-3, 7/1/23
N/A
Pangaea Re 2019-3, 7/1/23
000000000
4779537.00000000
PA
USD
171924.28000000
0.003157616660
Long
DBT
CORP
BM
Y
2
2023-07-01
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WDAJ0
72543.58000000
PA
USD
69736.32000000
0.001280799697
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
2.50000000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
Cleveland-Cliffs Inc
185899AL5
2380000.00000000
PA
USD
2348393.60000000
0.043131352694
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.87500000
N
N
N
N
N
N
ENEL SPA
WOCMU6HCI0OJWNPRZS33
Enel SpA
29265WAA6
4170000.00000000
PA
USD
4482750.00000000
0.082331629284
Long
DBT
CORP
IT
N
2
2073-09-24
Fixed
8.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042646
3000000.00000000
PA
USD
3103593.75000000
0.057001601712
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405JKS2
12228.84000000
PA
USD
13150.06000000
0.000241518234
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAA1
18960000.00000000
PA
USD
18322286.09000000
0.336513003404
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.20200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200FTM0
64156.35000000
PA
USD
69763.27000000
0.001281294670
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WDPA6
230963.66000000
PA
USD
239484.01000000
0.004398440406
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWQ3
7891000.00000000
PA
USD
7900040.40000000
0.145094684635
Long
DBT
CORP
US
N
2
2025-09-29
Fixed
3.27200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207VKC9
325.91000000
PA
USD
326.92000000
0.000006004317
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207ULV8
3169.46000000
PA
USD
3180.72000000
0.000058418127
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
7.00000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage T
N/A
Ready Capital Mortgage Financing 2021-FL7 LLC
75575WAJ5
6950000.00000000
PA
USD
6836154.83000000
0.125555019842
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
3.40657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291RNU2
49423.58000000
PA
USD
53599.08000000
0.000984417954
Long
ABS-MBS
USGA
US
N
2
2034-11-15
Fixed
6.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
985000.00000000
PA
USD
982618.01000000
0.018047078629
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
1011778 BC ULC
549300RHSHNRWI5LLA86
1011778 BC ULC
000000000
1383603.33520000
PA
USD
1356623.07000000
0.024916175936
Long
LON
CORP
CA
N
2
2026-11-19
Floating
2.20743000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-KW03 Mortgage Trust
30302YAN7
2500000.00000000
PA
USD
2455950.75000000
0.045106781928
Long
ABS-MBS
CORP
US
N
2
2027-07-25
Variable
4.06394300
N
N
N
N
N
N
Oceanview Mortgage Trust
N/A
Oceanview Mortgage Trust 2021-5
67647ECE5
3150501.08000000
PA
USD
2800834.53000000
0.051441028433
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.98091000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2019-SFR1 Trust
89612LAA4
9378165.67000000
PA
USD
9073005.79000000
0.166637744509
Long
ABS-O
CORP
US
N
2
2038-03-17
Fixed
2.75000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2021-R1
89179TAA2
12330903.20000000
PA
USD
11997117.98000000
0.220342930124
Long
ABS-MBS
CORP
US
N
2
2060-11-30
Variable
2.91808000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837BC6
2000000.00000000
PA
USD
2059060.04000000
0.037817359408
Long
DBT
CORP
NL
N
2
2033-03-28
Fixed
4.25200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGS81
26363.22000000
PA
USD
27002.32000000
0.000495933299
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKHA9
962049.03000000
PA
USD
983416.70000000
0.018061747627
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
4.00000000
N
N
N
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank NA - SBCLN
80290CAJ3
1925000.00000000
PA
USD
1849519.21000000
0.033968865083
Long
ABS-O
CORP
US
N
2
2031-12-15
Fixed
5.00400000
N
N
N
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAC1
4299000.00000000
PA
USD
3707887.50000000
0.068100255218
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.60000000
N
N
N
N
N
N
Bayview Opportunity Master Fun
N/A
Oceanview Mortgage Trust 2021-INV1
67647TCE2
8749938.01000000
PA
USD
7946143.33000000
0.145941425885
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
3.24587000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL2Trust
12656TAE8
2350000.00000000
PA
USD
2115339.11000000
0.038850998921
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
3.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XXBD2
579941.64000000
PA
USD
601963.21000000
0.011055850058
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31386FL60
3264.59000000
PA
USD
3426.00000000
0.000062923018
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BK2
2325000.00000000
PA
USD
1948024.50000000
0.035778044943
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
5.00000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAG7
19115000.00000000
PA
USD
18372177.91000000
0.337429332628
Long
DBT
CORP
US
N
2
2027-01-30
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KKY3
79350.13000000
PA
USD
88980.28000000
0.001634240461
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.00000000
N
N
N
N
N
N
OLIN CORP
549300GKK294V7W57P06
Olin Corp
680665AK2
10491000.00000000
PA
USD
10307407.50000000
0.189309163611
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
5.00000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55607PAG0
10745000.00000000
PA
USD
9458649.97000000
0.173720609640
Long
DBT
CORP
AU
N
2
2032-06-23
Fixed
2.69100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ARDX0
4764623.75000000
PA
USD
4558517.94000000
0.083723207656
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAG2
1440000.00000000
PA
USD
1417500.00000000
0.026034261226
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.37500000
N
N
N
N
N
N
Genworth Mortgage Insurance Co
N/A
Traingle Re 2020-1 Ltd
89600MAD0
3080000.00000000
PA
USD
3095107.71000000
0.056845744370
Long
ABS-MBS
CORP
BM
N
2
2030-10-25
Floating
6.05657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36209PLN5
27820.01000000
PA
USD
29259.39000000
0.000537387373
Long
ABS-MBS
USGA
US
N
2
2028-07-20
Fixed
5.90000000
N
N
N
N
N
N
HARBOUR ENERGY PLC
213800YPC42DYBKVPF97
Harbour Energy PLC
411618AB7
1425000.00000000
PA
USD
1407187.50000000
0.025844858531
Long
DBT
CORP
GB
N
2
2026-10-15
Fixed
5.50000000
N
N
N
N
N
N
Race Point CLO Ltd
5493008ABAJEYBWITR69
Race Point VIII CLO Ltd
74982LBE9
4000000.00000000
PA
USD
3956512.00000000
0.072666572805
Long
ABS-CBDO
CORP
KY
N
2
2030-02-20
Floating
3.97957000
N
N
N
N
N
N
VIRGINIA ST CMWLTH TRANSPRTN B
N/A
Virginia Commonwealth Transportation Board
927793XY0
2335000.00000000
PA
USD
2419340.20000000
0.044434380784
Long
DBT
MUN
US
N
2
2032-05-15
Fixed
4.00000000
N
N
N
N
N
N
RESORTS WORLD/RWLV CAP
N/A
Resorts World Las Vegas LLC / RWLV Capital Inc
76120HAC1
2900000.00000000
PA
USD
2544296.85000000
0.046729374835
Long
DBT
CORP
US
N
2
2031-04-06
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WF3D6
6077204.91000000
PA
USD
6203358.45000000
0.113932877859
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208WEG4
6649.57000000
PA
USD
7030.10000000
0.000129117079
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
7.00000000
N
N
N
N
N
N
HERBIE RE LTD
N/A
Herbie Re Ltd
42703VAC7
500000.00000000
PA
USD
510750.00000000
0.009380598886
Long
DBT
CORP
BM
Y
2
2025-01-08
Floating
9.53046500
N
N
N
N
N
N
Mello Mortgage Capital Accepta
N/A
Mello Mortgage Capital Acceptance 2021-MTG1
585495EC4
4307007.72000000
PA
USD
3773994.84000000
0.069314403901
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.65193000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200TEX2
7669.30000000
PA
USD
7857.44000000
0.000144312271
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201MGY2
5703.74000000
PA
USD
6095.28000000
0.000111947874
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AB3
2715000.00000000
PA
USD
2739866.90000000
0.050321277318
Long
DBT
CORP
N/A
N
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KC6S6
69899.27000000
PA
USD
71453.74000000
0.001312342386
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.00000000
N
N
N
N
N
N
Lion Rock Re 2019, 1/31/22
N/A
Lion Rock Re 2019, 1/31/22
000000000
500000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2023-01-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DAP6
710.32000000
PA
USD
765.03000000
0.000014050787
Long
ABS-MBS
USGA
US
N
2
2029-02-20
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406H7C5
120076.68000000
PA
USD
129550.38000000
0.002379363975
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BLL0
13191.39000000
PA
USD
14453.55000000
0.000265458551
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
7.00000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AR0
2130000.00000000
PA
USD
1932549.00000000
0.035493816929
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.25000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 7 Ltd
48661FAA3
3200000.00000000
PA
USD
3102947.20000000
0.056989726966
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
6.74129000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183E3W0
207583.27000000
PA
USD
219886.38000000
0.004038504026
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
BEACON ROOFING SUPPLY IN
549300HDXQWWCBOYXP31
Beacon Roofing Supply Inc
073685AH2
750000.00000000
PA
USD
692857.50000000
0.012725243842
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KPN3
11170000.00000000
PA
USD
10039541.27000000
0.184389446217
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
3.84900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFC24
959132.16000000
PA
USD
1018981.50000000
0.018714942190
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2020-NQM1
36259WAC5
259269.70000000
PA
USD
255389.81000000
0.004690571448
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
2.35200000
N
N
N
N
N
N
AXIS Equipment Finance Receiva
549300NOANH9X4RIOF97
Amur Equipment Finance Receivables VI LLC
03237JAD9
1675000.00000000
PA
USD
1682460.28000000
0.030900607006
Long
ABS-O
CORP
US
N
2
2023-01-20
Fixed
4.27000000
N
N
N
N
N
N
AXA SA
F5WCUMTUM4RKZ1MAIE39
AXA SA
054536AA5
2335000.00000000
PA
USD
3081312.70000000
0.056592380776
Long
DBT
CORP
FR
N
2
2030-12-15
Fixed
8.60000000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KBC9
6765000.00000000
PA
USD
6320877.75000000
0.116091275147
Long
DBT
CORP
US
N
2
2028-01-06
Fixed
2.49000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAS0
3225000.00000000
PA
USD
3277056.60000000
0.060187476244
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.30000000
N
N
N
N
N
N
La Hipotecaria SA
N/A
La Hipotecaria El Salvadorian Mortgage Trust 2016-1
50346VAA7
1364749.55000000
PA
USD
1422751.41000000
0.026130710312
Long
ABS-MBS
CORP
PA
N
2
2046-01-15
Fixed
3.35750000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2
46590MAR1
4597183.00000000
PA
USD
4497614.91000000
0.082604643006
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Fixed
2.82180000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202UYC1
57982.75000000
PA
USD
61147.45000000
0.001123053747
Long
ABS-MBS
USGA
US
N
2
2033-01-20
Fixed
6.45000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176N2L4
1622.30000000
PA
USD
1688.99000000
0.000031020533
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFAC0
879763.50000000
PA
USD
871815.39000000
0.016012042048
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292HYU2
73967.82000000
PA
USD
81090.49000000
0.001489334038
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HPHT7
105942.61000000
PA
USD
108856.89000000
0.001999300677
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183B7G7
55726.71000000
PA
USD
57516.51000000
0.001056366734
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182GUG1
3032.47000000
PA
USD
3127.48000000
0.000057440304
Long
ABS-MBS
USGA
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
Berwick Re 2022, 12/31/27
N/A
Berwick Re 2022, 12/31/27
000000000
4500000.00000000
PA
USD
4566216.23000000
0.083864596928
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MBS8
11891000.00000000
PA
USD
11399058.98000000
0.209358786043
Long
DBT
CORP
JP
N
2
2029-09-17
Fixed
3.20200000
N
N
N
N
N
N
Home Re 2018-1 Ltd.
254900E6IUAJSN9WD709
Home Re 2018-1 Ltd
43730MAA6
671772.59000000
PA
USD
670639.78000000
0.012317186046
Long
ABS-MBS
CORP
BM
N
2
2028-10-25
Floating
2.05657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419JSC3
351916.22000000
PA
USD
358580.39000000
0.006585802852
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36198VMG9
704686.28000000
PA
USD
743660.89000000
0.013658315254
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Viribus Re 2020, 12/31/23
N/A
Viribus Re 2020, 12/31/23
000000000
4139570.00000000
PA
USD
182141.08000000
0.003345261697
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
Home Partners of America Trust
N/A
Home Partners of America 2019-2 Trust
43732TAJ0
4700659.07000000
PA
USD
4290664.77000000
0.078803730127
Long
ABS-O
CORP
US
N
2
2039-10-19
Fixed
3.32000000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CRS4
109294.83000000
PA
USD
113296.49000000
0.002080839800
Long
ABS-MBS
USGA
US
N
2
2028-04-01
Fixed
5.37000000
N
N
N
N
N
N
Eagle Re Ltd
254900L82OLW9QTLJ788
Eagle RE 2019-1 Ltd
269822AB8
6677368.80000000
PA
USD
6635672.64000000
0.121872899414
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
2.25657000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
549300C2HE5FJAWYZL57
CSAIL 2016-C6 Commercial Mortgage Trust
12636MAV0
2000000.00000000
PA
USD
1745432.20000000
0.032057169557
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Variable
4.92145800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FVMD5
1253406.87000000
PA
USD
1243625.35000000
0.022840823442
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CH1
18660000.00000000
PA
USD
17272445.39000000
0.317231291214
Long
DBT
CORP
GB
N
2
2033-01-12
Fixed
3.60300000
N
N
N
N
N
N
KENNEDY-WILSON INC
5EA4464UK7FM5QNNKL62
Kennedy-Wilson Inc
489399AN5
5590000.00000000
PA
USD
5315586.90000000
0.097627779840
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-HQA4
35565RBD4
4290000.00000000
PA
USD
4386603.94000000
0.080565779801
Long
ABS-MBS
CORP
US
N
2
2050-09-25
Floating
5.70657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201H5Z2
95497.69000000
PA
USD
102205.68000000
0.001877142414
Long
ABS-MBS
USGA
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
17361000.00000000
PA
USD
17013780.00000000
0.312480559409
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-UBS3 Mortgage Trust
12591YBB0
6301980.44000000
PA
USD
6260161.76000000
0.114976145733
Long
ABS-MBS
CORP
US
N
2
2047-06-10
Fixed
3.54600000
N
N
N
N
N
N
SCHWEITZER-MAUDUIT INTL INC
549300Z1FU4IDULG1R21
Schweitzer-Mauduit International Inc
000000000
4332262.50000000
PA
USD
4256447.91000000
0.078175292263
Long
LON
CORP
US
N
2
2028-02-09
Floating
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419JSV1
545856.90000000
PA
USD
579451.05000000
0.010642384482
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DJA0
4625.38000000
PA
USD
5174.77000000
0.000095041491
Long
ABS-MBS
USGA
US
N
2
2030-08-20
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QUC50
2609206.07000000
PA
USD
2661920.36000000
0.048889686077
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389FZ62
14046.17000000
PA
USD
15082.79000000
0.000277015375
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.50000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2019-2
61945LAA1
2186654.98000000
PA
USD
2123165.89000000
0.038994748082
Long
ABS-O
CORP
US
N
2
2040-09-20
Fixed
2.88000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183HNN1
566792.25000000
PA
USD
591684.79000000
0.010867073288
Long
ABS-MBS
USGA
US
N
2
2044-12-15
Fixed
4.00000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADK5
3326.00000000
PA
USD
161344.74000000
0.002963309424
Long
DBT
CORP
BM
Y
2
2025-12-01
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FTZ53
285844.54000000
PA
USD
299208.82000000
0.005495365489
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.50000000
N
N
N
N
N
N
Merion Re 2022-2
N/A
Merion Re 2022-2
000000000
6551154.00000000
PA
USD
6639302.58000000
0.121939568061
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ASVB2
104345.79000000
PA
USD
110124.66000000
0.002022584949
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296Q4E7
19164.77000000
PA
USD
20669.19000000
0.000379616995
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F032658
21000000.00000000
PA
USD
20973339.87000000
0.385203110376
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2018-C8
46591ABD6
45714000.00000000
PA
USD
331211.64000000
0.006083139581
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Variable
0.09959200
N
N
N
N
N
N
BELLEMEADE RE LT
254900K56RF3Z7VQ3U81
Bellemeade Re 2019-1 Ltd
07876RAC0
4060000.00000000
PA
USD
4018863.67000000
0.073811743645
Long
ABS-MBS
CORP
BM
N
2
2029-03-25
Floating
3.15657000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2021-2
74936RBX1
4276865.31000000
PA
USD
3694635.53000000
0.067856865272
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.56490400
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2020-1
91679UAC6
4000000.00000000
PA
USD
4000128.40000000
0.073467645646
Long
ABS-O
CORP
US
N
2
2030-04-22
Fixed
4.89900000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AZ3
6420000.00000000
PA
USD
5873723.55000000
0.107878697192
Long
DBT
CORP
GB
N
2
2028-03-17
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WLGR1
4333132.80000000
PA
USD
4426538.55000000
0.081299231702
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BEG9
20502.63000000
PA
USD
22241.50000000
0.000408494547
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YDZ93
360966.56000000
PA
USD
359253.42000000
0.006598163938
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.00000000
N
N
N
N
N
N
ALLIANCE DATA SYSTEMS CO
549300G8S4PO686J7H97
Alliance Data Systems Corp
018581AL2
9299000.00000000
PA
USD
9450108.75000000
0.173563738844
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QQY63
111020.30000000
PA
USD
113147.17000000
0.002078097340
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NMR9
17544.30000000
PA
USD
19259.12000000
0.000353719196
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291AWU9
38436.02000000
PA
USD
41049.29000000
0.000753924471
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
6.00000000
N
N
N
N
N
N
Radnor Re LTD
549300ED4YNDE7SVU538
Radnor Re 2018-1 Ltd
750496AA9
213138.63000000
PA
USD
213190.32000000
0.003915522032
Long
ABS-MBS
CORP
BM
N
2
2028-03-25
Floating
1.85657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCXR4
20284940.55000000
PA
USD
19405446.18000000
0.356406670235
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209BFM5
715.28000000
PA
USD
764.38000000
0.000014038849
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
Walton Health Re 2018, 6/15/22
N/A
Walton Health Re 2018, 6/15/22
000000000
553333.00000000
PA
USD
44047.54000000
0.000808991296
Long
DBT
CORP
BM
Y
2
2022-06-15
Floating
0.01000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2022-1
46654WCD1
7771925.55000000
PA
USD
7057250.36000000
0.129615731506
Long
ABS-MBS
CORP
US
N
2
2052-07-25
Variable
3.10508500
N
N
N
N
N
N
B3 SA-BRASIL BOLSA BALCA
4GTK5S46E6H318LMDS44
B3 SA - Brasil Bolsa Balcao
11778EAA4
7100000.00000000
PA
USD
6363446.00000000
0.116873097327
Long
DBT
CORP
BR
N
2
2031-09-20
Fixed
4.12500000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2014-GC19
17322AAG7
3400000.00000000
PA
USD
3461397.20000000
0.063573135034
Long
ABS-MBS
CORP
US
N
2
2047-03-10
Variable
4.80500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QK6R4
12389.24000000
PA
USD
12716.80000000
0.000233560841
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9XD9
533154.42000000
PA
USD
567803.51000000
0.010428462013
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B7GB8
3094888.00000000
PA
USD
3038026.46000000
0.055797371761
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200R6G2
2172.30000000
PA
USD
2321.42000000
0.000042635946
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFUB3
2732154.96000000
PA
USD
2793512.00000000
0.051306540491
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31383LNP6
4613.94000000
PA
USD
5023.53000000
0.000092263768
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BWW4
21725.49000000
PA
USD
24009.73000000
0.000440970428
Long
ABS-MBS
USGA
US
N
2
2032-11-15
Fixed
6.50000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2016-C4
46646RAJ2
6650000.00000000
PA
USD
6609816.05000000
0.121398008960
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.14130000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X3XH0
1870748.94000000
PA
USD
1865473.18000000
0.034261880831
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
PRMI Securitization Trust
N/A
PRMI Securitization Trust 2021-1
69359DBV4
7419801.07000000
PA
USD
6427282.48000000
0.118045538665
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.47893700
N
N
N
N
N
N
TRONOX INC
549300EPZ4YXC7E5P181
Tronox Inc
897051AC2
5820000.00000000
PA
USD
5441700.00000000
0.099944013625
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AYQJ8
136868.02000000
PA
USD
141502.54000000
0.002598881192
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R03
20753MAF5
524788.99000000
PA
USD
524788.57000000
0.009638435781
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Floating
2.60657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181CGT9
694081.18000000
PA
USD
725397.16000000
0.013322877711
Long
ABS-MBS
USGA
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBQ9
900000.00000000
PA
USD
797152.94000000
0.014640767461
Long
DBT
CORP
IT
N
2
2032-06-01
Fixed
4.19800000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAB9
8675000.00000000
PA
USD
8885780.99000000
0.163199113574
Long
DBT
CORP
GB
N
2
2026-03-24
Fixed
4.65000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176KBA4
24424.62000000
PA
USD
25379.15000000
0.000466121637
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.00000000
N
N
N
N
N
N
SANDERS RE II LTD
254900VRQU0N0MF3CT92
Sanders RE II Ltd
80001MAA0
2750000.00000000
PA
USD
2740100.00000000
0.050325558508
Long
DBT
CORP
BM
N
2
2025-04-07
Floating
3.78046500
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT
46645WAU7
6700000.00000000
PA
USD
6777195.39000000
0.124472151790
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
4.24750000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MBH74
522804.53000000
PA
USD
546048.98000000
0.010028911313
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565ECB9
6060000.00000000
PA
USD
6124417.80000000
0.112483028474
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
3.70000000
N
N
N
N
N
N
Gleneagles Re 2018, 12/31/21
N/A
Gleneagles Re 2018, 12/31/21
000000000
1000000.00000000
PA
USD
118300.00000000
0.002172735875
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGCP0
1121223.60000000
PA
USD
1146050.64000000
0.021048734913
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LUHN4
214750.89000000
PA
USD
220246.07000000
0.004045110208
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201RX71
73816.68000000
PA
USD
79081.37000000
0.001452433893
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
4.50000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 78 CLO Ltd
26253JAA5
4200000.00000000
PA
USD
4103773.80000000
0.075371230421
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Floating
6.84129000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YKFW8
2104597.53000000
PA
USD
2142923.03000000
0.039357614074
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
Palisades Center Trust
N/A
Palisades Center Trust 2016-PLSD
69640GAA3
2180000.00000000
PA
USD
2008315.84000000
0.036885375099
Long
ABS-MBS
CORP
US
N
2
2033-04-13
Fixed
2.71298000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297NDR4
12935.52000000
PA
USD
13824.25000000
0.000253900624
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCC7
3220000.00000000
PA
USD
3189914.25000000
0.058586991797
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032641
218000000.00000000
PA
USD
218549257.54000000
4.013946004629
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31288D7K9
34607.51000000
PA
USD
37331.00000000
0.000685633161
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-11
46654KBY2
4198582.39000000
PA
USD
3768960.77000000
0.069221946551
Long
ABS-MBS
CORP
US
N
2
2052-01-25
Variable
3.03274300
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212YMU4
12102.81000000
PA
USD
12424.84000000
0.000228198610
Long
ABS-MBS
USGA
US
N
2
2031-02-15
Fixed
7.50000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2014-SFR3 Trust
02665XAC3
2800000.00000000
PA
USD
2809569.28000000
0.051601453663
Long
ABS-O
CORP
US
N
2
2036-12-17
Fixed
4.59600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201BAJ5
2915.19000000
PA
USD
3115.31000000
0.000057216786
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AKL99
323960.41000000
PA
USD
331394.04000000
0.006086489598
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
4.00000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AE1
2525000.00000000
PA
USD
2455562.50000000
0.045099651204
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.87500000
N
N
N
N
N
N
La Hipotecaria SA
N/A
La Hipotecaria Panamanian Mortgage Trust 2010-1
50346RAA6
508766.22000000
PA
USD
517669.63000000
0.009507687037
Long
ABS-MBS
CORP
PA
N
2
2039-09-08
Floating
2.75000000
N
N
N
N
N
N
Lion Rock Re 2021, 12/31/24
N/A
Lion Rock Re 2021, 12/31/24
000000000
500000.00000000
PA
USD
320000.00000000
0.005877222992
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182UNQ6
96391.18000000
PA
USD
101148.02000000
0.001857717090
Long
ABS-MBS
USGA
US
N
2
2044-08-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHLM5
742932.35000000
PA
USD
759492.90000000
0.013949091046
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
4.00000000
N
N
N
N
N
N
BONANZA RE LTD
5493003F0CXUQ2C83105
Bonanza RE Ltd
09785EAJ0
250000.00000000
PA
USD
249875.00000000
0.004589284672
Long
DBT
CORP
BM
N
2
2025-03-16
Floating
5.75000000
N
N
N
N
N
N
Mello Mortgage Capital Accepta
N/A
Mello Mortgage Capital Acceptance 2022-INV1
585490BZ7
5354364.47000000
PA
USD
4781791.76000000
0.087823926496
Long
ABS-MBS
CORP
US
N
2
2052-03-25
Variable
3.32938000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LSWZ5
352666.80000000
PA
USD
360420.28000000
0.006619594864
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WMM50
737665.05000000
PA
USD
764821.55000000
0.014046958747
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
ABPCI Direct Lending Fund CLO
N/A
ABPCI Direct Lending Fund CLO X LP
000848AA9
2000000.00000000
PA
USD
1993226.00000000
0.036608230241
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
2.20400000
N
N
N
N
N
N
Commercial Mortgage Pass-throu
N/A
ILPT Trust 2019-SURF
44965LAA2
8951000.00000000
PA
USD
9238701.25000000
0.169680960657
Long
ABS-MBS
CORP
US
N
2
2041-02-11
Fixed
4.14500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200DHP1
4613.31000000
PA
USD
4935.09000000
0.000090639451
Long
ABS-MBS
USGA
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EB81
105832.65000000
PA
USD
112785.74000000
0.002071459201
Long
ABS-MBS
USGA
US
N
2
2035-01-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F040651
70000000.00000000
PA
USD
71238890.10000000
1.308396383999
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
HEALTHEQUITY INC
529900LRJU1RAFQHM467
HealthEquity Inc
42226AAA5
2095000.00000000
PA
USD
1985012.50000000
0.036457378456
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-R5
12558RAJ0
7514000.00000000
PA
USD
7313224.42000000
0.134317033478
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MJUD9
111933.48000000
PA
USD
113968.81000000
0.002093187845
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225AUH1
4570.70000000
PA
USD
4856.25000000
0.000089191450
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564ACB5
11220000.00000000
PA
USD
10883599.72000000
0.199891695372
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
4.65657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201TQW0
47364.24000000
PA
USD
50773.77000000
0.000932527401
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BPH5
1289.73000000
PA
USD
1423.35000000
0.000026141704
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31386DTM2
99.73000000
PA
USD
100.01000000
0.000001836815
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209YWS3
3241.37000000
PA
USD
3463.88000000
0.000063618734
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
6.50000000
N
N
N
N
N
N
NMEF Funding LLC
N/A
NMEF Funding 2019-A LLC
65489MAD6
3000000.00000000
PA
USD
2976801.00000000
0.054672885257
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
4.39000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MRBR1
209733.43000000
PA
USD
214086.82000000
0.003931987440
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
Hardee's Funding
N/A
Hardee's Funding LLC
411707AD4
4183275.00000000
PA
USD
4209361.90000000
0.077310495449
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
4.95900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201GWG6
31304.36000000
PA
USD
33473.26000000
0.000614780666
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMHQ7
159042.66000000
PA
USD
153728.70000000
0.002823430782
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NQU8
7268.79000000
PA
USD
7849.18000000
0.000144160566
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201P4W2
3219.77000000
PA
USD
3441.52000000
0.000063208063
Long
ABS-MBS
USGA
US
N
2
2032-11-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DLF6
4016.57000000
PA
USD
4409.33000000
0.000080983173
Long
ABS-MBS
USGA
US
N
2
2031-01-20
Fixed
7.00000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C9
90291JBB2
1774000.00000000
PA
USD
1769620.35000000
0.032501416905
Long
ABS-MBS
CORP
US
N
2
2051-03-15
Variable
4.88022800
N
N
N
N
N
N
TELEDYNE TECHNOLOGIES IN
549300VSMO9KYQWDND94
Teledyne Technologies Inc
879360AD7
15199000.00000000
PA
USD
14077386.00000000
0.258549802119
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212YJX2
4944.40000000
PA
USD
5063.80000000
0.000093003380
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419CNW9
167032.12000000
PA
USD
176507.40000000
0.003241791717
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KH6Q4
8948.85000000
PA
USD
9674.16000000
0.000177678736
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202XTP2
25754.91000000
PA
USD
27513.68000000
0.000505325102
Long
ABS-MBS
USGA
US
N
2
2035-06-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201L2D5
38700.04000000
PA
USD
41406.49000000
0.000760484922
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KQY8
3060000.00000000
PA
USD
2776788.43000000
0.050999390021
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
3.49900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200Q3L6
12937.94000000
PA
USD
14159.84000000
0.000260064178
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
GoldenTree Loan Management US
549300MI5PVR6JHGVV87
Goldentree Loan Management US Clo 6 Ltd
38137WAW5
3000000.00000000
PA
USD
2970303.00000000
0.054553540897
Long
ABS-CBDO
CORP
KY
N
2
2035-04-20
Floating
3.34061000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-INV4
46654DAU7
5457554.02000000
PA
USD
4651298.65000000
0.085427248038
Long
ABS-MBS
CORP
US
N
2
2052-01-25
Variable
3.23231900
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DMR9
4780.71000000
PA
USD
5209.85000000
0.000095685781
Long
ABS-MBS
USGA
US
N
2
2031-04-20
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MYV9
22783.86000000
PA
USD
25186.84000000
0.000462589609
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
5.50000000
N
N
N
N
N
N
BRITISH AIR 20-1 A PTT
N/A
British Airways 2020-1 Class A Pass Through Trust
11044MAA4
1559239.74000000
PA
USD
1559314.43000000
0.028638870690
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.25000000
N
N
N
N
N
N
FORD MOTOR CREDI
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B69
6700000.00000000
PA
USD
6073751.00000000
0.111552465718
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
3.62500000
N
N
N
N
N
N
Pangaea Re 2018-1, 12/31/21
N/A
Pangaea Re 2018-1, 12/31/21
000000000
3800000.00000000
PA
USD
80007.04000000
0.001469435047
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
NOVA CHEMICALS CORP
549300ZOD6N7RI2FJP09
NOVA Chemicals Corp
66977WAR0
3493000.00000000
PA
USD
3497261.46000000
0.064231829577
Long
DBT
CORP
CA
N
2
2027-06-01
Fixed
5.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201TLS4
11285.21000000
PA
USD
12048.59000000
0.000221288281
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBK7
3375000.00000000
PA
USD
2936904.01000000
0.053940124297
Long
DBT
CORP
FR
N
2
2043-01-21
Fixed
4.02700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A1L90
145468.29000000
PA
USD
153279.52000000
0.002815180997
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
GARDA WORLD SECURITY
549300ZF1NDXLMCHNO20
Garda World Security Corp
36485MAK5
7255000.00000000
PA
USD
6950652.75000000
0.127657925492
Long
DBT
CORP
CA
N
2
2027-02-15
Fixed
4.62500000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AG2
6255000.00000000
PA
USD
5754600.00000000
0.105690835733
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ABQR0
397153.90000000
PA
USD
424683.57000000
0.007799875132
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
4.50000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAF4
3367000.00000000
PA
USD
3537908.92000000
0.064978373909
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.60000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ACW0
1914.00000000
PA
USD
45432.53000000
0.000834428468
Long
DBT
CORP
BM
Y
2
2024-03-01
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M0AH3
1066507.64000000
PA
USD
1087604.11000000
0.019975287132
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BT5
10275000.00000000
PA
USD
9030784.22000000
0.165862289566
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WHUT0
52384.09000000
PA
USD
53591.56000000
0.000984279839
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
4.00000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAV2
2800000.00000000
PA
USD
2545037.29000000
0.046742973995
Long
DBT
CORP
NL
N
2
2037-03-13
Fixed
3.32400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412TMK6
77499.61000000
PA
USD
85380.46000000
0.001568125008
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201LL85
11106.22000000
PA
USD
11998.79000000
0.000220373638
Long
ABS-MBS
USGA
US
N
2
2035-02-15
Fixed
5.50000000
N
N
N
N
N
N
Mercury Financial Credit Card
N/A
Mercury Financial Credit Card Master Trust
58940BAA4
7550000.00000000
PA
USD
7326771.42000000
0.134565842040
Long
ABS-O
CORP
US
N
2
2026-03-20
Fixed
1.54000000
N
N
N
N
N
N
M360 2019-CRE2, LLC
N/A
M360 2019-CRE2 LLC
55379VAA6
802455.47000000
PA
USD
789284.13000000
0.014496246364
Long
ABS-CBDO
CORP
KY
N
2
2034-09-15
Floating
1.56415000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KCHU4
27433.12000000
PA
USD
29342.69000000
0.000538917288
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4ZB5
10047181.76000000
PA
USD
10502643.92000000
0.192894938538
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
Viribus Re 2019, 12/31/22
N/A
Viribus Re 2019, 12/31/22
000000000
3650000.00000000
PA
USD
95630.00000000
0.001756371358
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
EDGEWELL PERSONAL CARE
549300CY8QZDL4Z3RU59
Edgewell Personal Care Co
28035QAA0
3825000.00000000
PA
USD
3818440.13000000
0.070130700402
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-HY2
89177HAE2
2000000.00000000
PA
USD
2038602.40000000
0.037441627807
Long
ABS-O
CORP
US
N
2
2058-05-25
Floating
2.70657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQFY3
4024310.54000000
PA
USD
4118307.01000000
0.075638152033
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-INV4
46654DAT0
5149585.69000000
PA
USD
4551082.30000000
0.083586642299
Long
ABS-MBS
CORP
US
N
2
2052-01-25
Variable
3.23231900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E2SV8
305621.16000000
PA
USD
316724.26000000
0.005817059697
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390YPN2
211.56000000
PA
USD
234.04000000
0.000004298453
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
6.00000000
N
N
N
N
N
N
Gleneagles Re 2020, 12/31/23
N/A
Gleneagles Re 2020, 12/31/23
000000000
1250000.00000000
PA
USD
124928.75000000
0.002294481631
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FMM7
1312426.06000000
PA
USD
1268464.07000000
0.023297019368
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230M3Y1
17916.63000000
PA
USD
18982.07000000
0.000348630807
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
4.00000000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CPH0
54743.23000000
PA
USD
55145.77000000
0.001012824960
Long
ABS-MBS
USGA
US
N
2
2025-02-01
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209CH41
13961.85000000
PA
USD
14920.28000000
0.000274030664
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
6.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAE3
4085000.00000000
PA
USD
4526209.53000000
0.083129821000
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201DJE3
7024.27000000
PA
USD
7506.46000000
0.000137866060
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AQ2
8153000.00000000
PA
USD
8636386.32000000
0.158618650796
Long
DBT
CORP
IT
N
2
2034-04-02
Fixed
7.29600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213UQT0
8463.90000000
PA
USD
9044.92000000
0.000166121911
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
6.50000000
N
N
N
N
N
N
Thopas Re 2022
N/A
Thopas Re 2022
000000000
4000000.00000000
PA
USD
4082400.00000000
0.074978672331
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202SGX0
48097.13000000
PA
USD
52553.92000000
0.000965222209
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312932ZG4
1041.12000000
PA
USD
1127.99000000
0.000020717027
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Residential Mor
N/A
Morgan Stanley Residential Mortgage Loan Trust 2021-1
61772ABB0
8957745.15000000
PA
USD
8004427.87000000
0.147011898506
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
2.95126600
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CW82
6985.83000000
PA
USD
7499.88000000
0.000137745209
Long
ABS-MBS
USGA
US
N
2
2027-08-20
Fixed
7.00000000
N
N
N
N
N
N
HIGHWOODS REALTY LP
JUJNVZX73BIYHLR58F51
Highwoods Realty LP
431282AM4
3390000.00000000
PA
USD
3405657.49000000
0.062549401581
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.62500000
N
N
N
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank NA - SBCLN
80290CAG9
1076650.24000000
PA
USD
1058368.72000000
0.019438340550
Long
ABS-O
CORP
US
N
2
2031-12-15
Fixed
3.26800000
N
N
N
N
N
N
EDEN RE II LTD
549300LKX8PCP3SC3F42
Eden Re II Ltd
27954TAB1
59061.00000000
PA
USD
116208.42000000
0.002134321243
Long
DBT
CORP
BM
Y
2
2023-03-22
None
0.00000000
N
N
N
N
N
N
UNITED WHOLESALE MTGE LL
549300HW662MN1WU8550
United Wholesale Mortgage LLC
913229AA8
9329000.00000000
PA
USD
8312325.58000000
0.152666846946
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.50000000
N
N
N
N
N
N
ELEMENT FLEET MANAGEMENT
5493000PGBS1C22ELQ16
Element Fleet Management Corp
286181AF9
4375000.00000000
PA
USD
4222388.89000000
0.077549753340
Long
DBT
CORP
CA
N
2
2024-04-06
Fixed
1.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210PUD4
506.14000000
PA
USD
540.88000000
0.000009933976
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36223RCG8
37.75000000
PA
USD
37.70000000
0.000000692410
Long
ABS-MBS
USGA
US
N
2
2022-06-15
Fixed
9.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DG62
4683.61000000
PA
USD
5181.79000000
0.000095170422
Long
ABS-MBS
USGA
US
N
2
2030-05-20
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030641
78000000.00000000
PA
USD
77160963.36000000
1.417163087527
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
3.00000000
N
N
N
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LXP Industrial Trust
529537AA0
8575000.00000000
PA
USD
7607283.12000000
0.139717810205
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
2.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213M3E6
2974.08000000
PA
USD
3180.23000000
0.000058409127
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J9P69
1218947.17000000
PA
USD
1218733.18000000
0.022383645836
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417CSN6
9238573.01000000
PA
USD
9240067.07000000
0.169706045747
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6VG0
116891.58000000
PA
USD
126551.43000000
0.002324284294
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FH22
78036.92000000
PA
USD
83324.87000000
0.001530371380
Long
ABS-MBS
USGA
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
LIMESTONE RE LTD
5493004PN8HGYC184A27
Limestone Re Ltd
000000000
20000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2022-09-09
None
0.00000000
N
N
N
N
N
N
EDEN RE II LTD
549300LKX8PCP3SC3F42
Eden Re II Ltd
27955KAB9
5200000.00000000
PA
USD
5200000.00000000
0.095504873633
Long
DBT
CORP
BM
Y
2
2026-03-20
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7KG3
7070678.39000000
PA
USD
7387606.98000000
0.135683167515
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210UQ89
8399.30000000
PA
USD
8431.45000000
0.000154854724
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BNR5
10540.06000000
PA
USD
11714.61000000
0.000215154297
Long
ABS-MBS
USGA
US
N
2
2031-06-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFG88
1432086.58000000
PA
USD
1298570.90000000
0.023849971097
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QRZ6
551509.68000000
PA
USD
579830.14000000
0.010649346971
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
4.00000000
N
N
N
N
N
N
FWD Securitization Trust
N/A
FWDSecuritization Trust 2019-INV1
302980AD9
2150000.00000000
PA
USD
2132952.65000000
0.039174494866
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
3.48000000
N
N
N
N
N
N
INVERSIONES CMPC SA
549300G475ACIABB4385
Inversiones CMPC SA
46128MAN1
2728000.00000000
PA
USD
2650279.28000000
0.048675882255
Long
DBT
CORP
CL
N
2
2030-01-13
Fixed
3.85000000
N
N
N
N
N
N
CORPORATE OFFICE PROP LP
H0TWO5VRNEP6CQAWPX27
Corporate Office Properties LP
22003BAM8
5715000.00000000
PA
USD
5131156.97000000
0.094240480387
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.75000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBT6
8420000.00000000
PA
USD
8789584.03000000
0.161432329245
Long
DBT
CORP
US
N
2
2052-03-14
Fixed
4.95000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAQ2
5230000.00000000
PA
USD
5386590.23000000
0.098931849852
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
5.35000000
N
N
N
N
N
N
PHILLIPS 66 PARTNERS LP
549300TL5L4IG0H4FX64
Phillips 66 Partners LP
718549AF5
12125000.00000000
PA
USD
12171740.06000000
0.223550095448
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31288E6E2
1406.74000000
PA
USD
1510.82000000
0.000027748206
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620C6PG4
183604.57000000
PA
USD
197082.81000000
0.003619686320
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ASPX1
44585.91000000
PA
USD
47035.53000000
0.000863869682
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.00000000
N
N
N
N
N
N
HILLENBRAND INC
U246OE781574J2BUD366
Hillenbrand Inc
431571AE8
1437000.00000000
PA
USD
1314855.00000000
0.024149050119
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335ABN7
399724.22000000
PA
USD
439972.00000000
0.008080667358
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LVD8
4397.99000000
PA
USD
4891.50000000
0.000089838863
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KND7
4320000.00000000
PA
USD
4089844.66000000
0.075115403352
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
3.74900000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2019-C51
95001VAU4
3045000.00000000
PA
USD
3028779.59000000
0.055627540770
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Fixed
3.31100000
N
N
N
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank NA - SBCLN
80290CAE4
4521931.02000000
PA
USD
4441585.35000000
0.081575586073
Long
ABS-O
CORP
US
N
2
2031-12-15
Fixed
1.83300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225AZF0
10052.79000000
PA
USD
10366.99000000
0.000190403474
Long
ABS-MBS
USGA
US
N
2
2024-09-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210VNN7
14163.50000000
PA
USD
14824.85000000
0.000272277966
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138NWT66
110407.36000000
PA
USD
106407.38000000
0.001954312188
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
2.50000000
N
N
N
N
N
N
BELLEMEADE RE LT
254900K56RF3Z7VQ3U81
Bellemeade Re 2019-1 Ltd
07876RAB2
2484216.07000000
PA
USD
2484760.36000000
0.045635908498
Long
ABS-MBS
CORP
BM
N
2
2029-03-25
Floating
2.20657000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-8
46592TBZ5
10085592.95000000
PA
USD
8680336.02000000
0.159425845132
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.85202400
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201MTW2
27107.18000000
PA
USD
28991.50000000
0.000532467219
Long
ABS-MBS
USGA
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
GENTING NY LLC/GENNY CAP
N/A
Genting New York LLC / GENNY Capital Inc
37255JAA0
2780000.00000000
PA
USD
2632496.48000000
0.048349277627
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
3.30000000
N
N
N
N
N
N
BXG Receivables Note Trust
549300R4HW4HQYM9LE23
BXG Receivables Note Trust 2015-A
05606XAA2
320543.59000000
PA
USD
320551.92000000
0.005887359733
Long
ABS-O
CORP
US
N
2
2030-05-02
Fixed
2.88000000
N
N
N
N
N
N
TEVA PHARMACEUTICAL INDU
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAP6
2965000.00000000
PA
USD
2860298.44000000
0.052533161743
Long
DBT
CORP
NL
N
2
2027-05-09
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FV4S8
3803969.95000000
PA
USD
698410.78000000
0.012827237170
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Fixed
4.00000000
N
N
N
N
N
N
Pine Valley Re 2022
N/A
Pine Valley Re 2022
000000000
1000000.00000000
PA
USD
923050.00000000
0.016953033386
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DV32
35222.79000000
PA
USD
39088.29000000
0.000717908114
Long
ABS-MBS
USGA
US
N
2
2033-01-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210F7C4
3895.37000000
PA
USD
4096.21000000
0.000075232311
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MWG4
23192.75000000
PA
USD
25726.74000000
0.000472505587
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617AVXD5
1022708.96000000
PA
USD
1070558.70000000
0.019662225646
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.00000000
N
N
N
N
N
N
BSST Mortgage Trust
N/A
Beast 2021-1818 Mortgage Trust
07403PAA0
6200000.00000000
PA
USD
6102810.04000000
0.112086173400
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
1.44700000
N
N
N
N
N
N
Accelerated Assets
N/A
Accelerated 2021-1H LLC
00439KAC0
3393232.10000000
PA
USD
3215721.95000000
0.059060984322
Long
ABS-O
CORP
US
N
2
2040-10-20
Fixed
2.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292HVC5
52667.37000000
PA
USD
58355.53000000
0.001071776445
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Austin Fairmont Hotel Trust
N/A
Austin Fairmont Hotel Trust 2019-FAIR
05223HAA0
11600000.00000000
PA
USD
11476878.76000000
0.210788049169
Long
ABS-MBS
CORP
US
N
2
2032-09-15
Floating
1.44700000
N
N
N
N
N
N
PUGET ENERGY INC
SYBSJ96YIDMIUY7WDR33
Puget Energy Inc
745310AN2
2310000.00000000
PA
USD
2314981.19000000
0.042517689618
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.22400000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-10
46654ABS7
131605791.49000000
PA
USD
693707.29000000
0.012740851359
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
0.12997200
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YUSH5
65416.86000000
PA
USD
67258.17000000
0.001235285197
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.00000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-4
33852FBA3
198558859.30000000
PA
USD
1859781.70000000
0.034157349277
Long
ABS-MBS
CORP
US
N
2
2051-06-01
Variable
0.21413600
N
N
N
N
N
N
Welk Resorts LLC
N/A
Welk Resorts 2019-A LLC
94946DAD3
548079.47000000
PA
USD
544630.84000000
0.010002865298
Long
ABS-O
CORP
US
N
2
2038-06-15
Fixed
4.03000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RRS0
7864.65000000
PA
USD
8577.69000000
0.000157540615
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2020-1 Ltd
43731WAD7
4580000.00000000
PA
USD
4624898.20000000
0.084942368876
Long
ABS-MBS
CORP
BM
N
2
2030-10-25
Floating
5.70657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201JGG8
1841.39000000
PA
USD
1967.80000000
0.000036141248
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-8
46592TBS1
114489184.09000000
PA
USD
569331.81000000
0.010456531263
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
0.12702400
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A83E5
268309.26000000
PA
USD
274416.82000000
0.005040027637
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
4.00000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADC3
99999.00000000
PA
USD
290016.06000000
0.005326528300
Long
DBT
CORP
BM
Y
2
2024-12-01
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201KHW9
4636.58000000
PA
USD
4950.27000000
0.000090918252
Long
ABS-MBS
USGA
US
N
2
2032-11-15
Fixed
6.00000000
N
N
N
N
N
N
OLIN CORP
549300GKK294V7W57P06
Olin Corp
680665AL0
900000.00000000
PA
USD
917059.05000000
0.016843001670
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
5.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207MRT5
3575.24000000
PA
USD
3616.18000000
0.000066415925
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290XPM6
498.10000000
PA
USD
530.34000000
0.000009740395
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MMSR5
847022.03000000
PA
USD
856687.64000000
0.015734200923
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
OWS CRE FUNDING I LLC
549300GGW5CBE4FDT866
OWS Cre Funding I LLC
67114QAA2
3000000.00000000
PA
USD
2989795.50000000
0.054911546426
Long
DBT
CORP
US
N
2
2023-09-01
Floating
5.13057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EAV2
14446486.64000000
PA
USD
13100399.28000000
0.240606149574
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
1.50000000
N
N
N
N
N
N
LUNDIN ENERGY FI
549300JSNI1KL271GM17
Lundin Energy Finance BV
55037AAA6
2810000.00000000
PA
USD
2620149.29000000
0.048122505162
Long
DBT
CORP
NL
N
2
2026-07-15
Fixed
2.00000000
N
N
N
N
N
N
Shadow Creek Re 2021, 7/31/25
N/A
Shadow Creek Re 2021, 7/31/25
000000000
500000.00000000
PA
USD
7592.65000000
0.000139449053
Long
DBT
CORP
BM
Y
2
2025-07-31
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KHZ7
8510.11000000
PA
USD
9473.39000000
0.000173991329
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
7.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
6827.00000000
NC
USD
-16103929.47000000
-0.29576995173
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
799075491.97000000
USD
-16103929.47000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9LM0
610045.35000000
PA
USD
608160.38000000
0.011169669277
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAT8
5337000.00000000
PA
USD
5506194.69000000
0.101128543859
Long
DBT
CORP
DK
N
2
2024-01-12
Fixed
5.37500000
N
N
N
N
N
N
Continental Credit Card llc
5493002QR2K2E0R56Z02
Continental Credit Card ABS 2019-1 LLC
21134LAA6
5463232.60000000
PA
USD
5480785.97000000
0.100661879130
Long
ABS-O
CORP
US
N
2
2026-08-15
Fixed
3.83000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D5D9
60382.48000000
PA
USD
67000.89000000
0.001230559910
Long
ABS-MBS
USGA
US
N
2
2034-04-20
Fixed
5.50000000
N
N
N
N
N
N
Adare Re 2022 12/31/27
N/A
Adare Re 2022 12/31/27
000000000
1006000.00000000
PA
USD
1018070.60000000
0.018698212308
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
SOHO Trust 2021-SOHO
N/A
Soho Trust 2021-SOHO
83410JAA6
4650000.00000000
PA
USD
4193083.56000000
0.077011522217
Long
ABS-MBS
CORP
US
N
2
2038-08-10
Variable
2.69658900
N
N
N
N
N
N
AUTONATION INC
N/A
AutoNation Inc
05329WAS1
1825000.00000000
PA
USD
1589132.47000000
0.029186518410
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.40000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AZ6
16969000.00000000
PA
USD
14444861.25000000
0.265298970833
Long
DBT
CORP
NL
N
2
N/A
Fixed
4.25000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AR9
2295000.00000000
PA
USD
2122875.00000000
0.038989405502
Long
DBT
CORP
CH
N
2
N/A
Fixed
5.25000000
N
N
N
N
N
N
DYCOM INDUSTRIES INC
549300F56EKTHQI3WT60
Dycom Industries Inc
267475AD3
6385000.00000000
PA
USD
6017862.50000000
0.110525999539
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.50000000
N
N
N
N
N
N
Merion Re 2022-1
N/A
Merion Re 2022-1
000000000
250000.00000000
PA
USD
222804.00000000
0.004092089974
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620AR2D2
38524.91000000
PA
USD
40935.50000000
0.000751834568
Long
ABS-MBS
USGA
US
N
2
2037-10-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295PUZ3
15406.64000000
PA
USD
17153.05000000
0.000315038437
Long
ABS-MBS
USGA
US
N
2
2037-11-15
Fixed
6.00000000
N
N
N
N
N
N
FMG RESOURCES AUG 2006
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty Ltd
30251GBC0
7821000.00000000
PA
USD
7397883.90000000
0.135871916735
Long
DBT
CORP
AU
N
2
2031-04-01
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WF4J5
1259887.16000000
PA
USD
1307987.23000000
0.024022914445
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210AN86
66176.26000000
PA
USD
71263.87000000
0.001308855172
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-10
46654ABW8
10868252.97000000
PA
USD
9610454.84000000
0.176508706741
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.81747200
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
11725000.00000000
PA
USD
11739656.25000000
0.215614305126
Long
DBT
CORP
CH
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDS2
1750000.00000000
PA
USD
1573162.66000000
0.028893211740
Long
DBT
CORP
US
N
2
2032-01-12
Fixed
3.10000000
N
N
N
N
N
N
CAELUS RE V LTD
N/A
Caelus Re V Ltd
12765KAB1
100000.00000000
PA
USD
75000.00000000
0.001377474138
Long
DBT
CORP
KY
Y
2
2024-06-05
Floating
0.63046500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201NLT5
5567.32000000
PA
USD
6019.62000000
0.000110558278
Long
ABS-MBS
USGA
US
N
2
2032-12-15
Fixed
6.00000000
N
N
N
N
N
N
Welk Resorts LLC
N/A
Welk Resorts 2019-A LLC
94946DAC5
1141986.60000000
PA
USD
1130205.18000000
0.020757712095
Long
ABS-O
CORP
US
N
2
2038-06-15
Fixed
3.34000000
N
N
N
N
N
N
Berwick Re 2020-1, 12/31/23
N/A
Berwick Re 2020-1, 12/31/23
000000000
3000000.00000000
PA
USD
300.00000000
0.000005509896
Long
DBT
CORP
BM
Y
2
2023-12-31
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210BG82
657.86000000
PA
USD
703.02000000
0.000012911891
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D9G99
8691240.24000000
PA
USD
7880209.86000000
0.144730470554
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
1.50000000
N
N
N
N
N
N
PG Receivables Finance LP
N/A
PG Receivables Finance
69356JAG8
5000000.00000000
PA
USD
4921875.00000000
0.090396740368
Long
ABS-O
CORP
CA
N
2
2025-07-20
Fixed
3.96800000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2021-1
749350BK9
5265274.13000000
PA
USD
4684520.71000000
0.086037415085
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
2.72335200
N
N
N
N
N
N
BOSTON GAS COMPANY
FN7P4E7K9JOBORDEUX61
Boston Gas Co
100743AK9
3060000.00000000
PA
USD
2963016.39000000
0.054419712673
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
3.15000000
N
N
N
N
N
N
Foundation Finance Trust
549300MQ65NOVQXYNB21
Foundation Finance Trust 2021-1
35041LAA8
4390820.02000000
PA
USD
4149932.17000000
0.076218989900
Long
ABS-O
CORP
US
N
2
2041-05-15
Fixed
1.27000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296RZ76
7191.93000000
PA
USD
7682.89000000
0.000141106430
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184NEC1
622690.38000000
PA
USD
631460.23000000
0.011597601821
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAE6
5870000.00000000
PA
USD
5749078.00000000
0.105589416903
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.25000000
N
N
N
N
N
N
SUMMIT MATERIALS LLC/FIN
N/A
Summit Materials LLC / Summit Materials Finance Corp
86614RAN7
400000.00000000
PA
USD
396304.00000000
0.007278646815
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ECMS9
111114.28000000
PA
USD
116090.17000000
0.002132149426
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210UXJ7
21313.83000000
PA
USD
22786.76000000
0.000418508968
Long
ABS-MBS
USGA
US
N
2
2029-02-15
Fixed
6.00000000
N
N
N
N
N
N
Multifamily Structured Credit
N/A
Freddie Mac Multifamily Structured Credit Risk
35563FAA9
1030479.37000000
PA
USD
996004.48000000
0.018292938846
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
2.09900000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBV9
25000000.00000000
PA
USD
30467129.50000000
0.559569106322
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2021-KG05 Mortgage Trust
30318WAN3
9000000.00000000
PA
USD
4424031.00000000
0.081253177231
Long
ABS-MBS
CORP
US
N
2
2031-01-25
None
0.00000000
N
N
N
N
N
N
CVS PASS THRU TR 2009
N/A
CVS Pass-Through Trust Series 2009
126659AA9
3927784.14000000
PA
USD
4714966.44000000
0.086596591161
Long
DBT
CORP
US
N
2
2031-07-10
Fixed
8.35300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36211RHK8
7529.30000000
PA
USD
8015.05000000
0.000147206987
Long
ABS-MBS
USGA
US
N
2
2035-03-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JUYX6
34044.24000000
PA
USD
34515.45000000
0.000633921863
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
465976AD0
7754000.00000000
PA
USD
6907167.83000000
0.126859267455
Long
ABS-MBS
CORP
US
N
2
2052-07-25
Variable
3.52882900
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWD7
12066857.65000000
PA
USD
10940809.63000000
0.200942430992
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
1.50000000
N
N
N
N
N
N
Home Re Ltd
254900GFKVQN72ENGJ20
Home RE 2019-1 Ltd
43731AAA1
1942129.02000000
PA
USD
1941130.96000000
0.035651435969
Long
ABS-MBS
CORP
BM
N
2
2029-05-25
Floating
2.10657000
N
N
N
N
N
N
LIMESTONE RE LTD
5493004PN8HGYC184A27
Limestone Re Ltd
000000000
1420000.00000000
PA
USD
59924.00000000
0.001100583470
Long
DBT
CORP
BM
Y
2
2024-03-01
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022648
49000000.00000000
PA
USD
47575937.50000000
0.873794980564
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DUW9
16075.14000000
PA
USD
17843.71000000
0.000327723320
Long
ABS-MBS
USGA
US
N
2
2032-10-20
Fixed
6.50000000
N
N
N
N
N
N
Bayview Opportunity Master Fun
N/A
Oceanview Mortgage Trust 2021-INV1
67647TCD4
4772246.48000000
PA
USD
4378862.57000000
0.080423599308
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
3.24587000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2R4
7930000.00000000
PA
USD
7068704.14000000
0.129826095316
Long
DBT
CORP
FR
N
2
2029-09-15
Fixed
2.15900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418U4W1
149624.93000000
PA
USD
160912.78000000
0.002955375907
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FXC5
434395.35000000
PA
USD
463246.85000000
0.008508140744
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HJXW6
108036.15000000
PA
USD
110929.56000000
0.002037368001
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201C5U4
33082.17000000
PA
USD
35372.94000000
0.000649670800
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31298M7E1
3893.77000000
PA
USD
4184.37000000
0.000076851486
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176EBG5
314673.22000000
PA
USD
338648.84000000
0.006219733590
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
4.50000000
N
N
N
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2022-FL8 Issuer Ltd
055983AG5
5425000.00000000
PA
USD
5400514.26000000
0.099187583068
Long
ABS-CBDO
CORP
KY
N
2
2037-02-15
Floating
2.34967000
N
N
N
N
N
N
ISTAR INC
QFFLKWYYS3UPWD86E794
iStar Inc
45031UCG4
1289000.00000000
PA
USD
1274131.39000000
0.023401107191
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ7F9
2297051.80000000
PA
USD
2415305.27000000
0.044360273961
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617A4H92
230647.54000000
PA
USD
241057.40000000
0.004427337793
Long
ABS-MBS
USGA
US
N
2
2045-08-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W12A4
46202.36000000
PA
USD
44214.58000000
0.000812059206
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DBJ9
8917.47000000
PA
USD
9496.99000000
0.000174424774
Long
ABS-MBS
USGA
US
N
2
2029-04-20
Fixed
6.50000000
N
N
N
N
N
N
Horizon Funding Trust
N/A
Horizon Funding 2019-1 LLC
44053UAA5
3052886.25000000
PA
USD
3058133.40000000
0.056166662292
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
4.21000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200KKJ5
15020.34000000
PA
USD
16107.97000000
0.000295844161
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
Westgate Resorts
N/A
Westgate Resorts 2022-1 LLC
96034JAC0
13938112.74000000
PA
USD
13533617.56000000
0.248562775937
Long
ABS-O
CORP
US
N
2
2036-08-20
Fixed
2.48800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391HZF4
25614.72000000
PA
USD
27380.28000000
0.000502875034
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290N6R8
2077.20000000
PA
USD
2218.10000000
0.000040738338
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200Q2S2
8137.86000000
PA
USD
8893.75000000
0.000163345474
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
EDEN RE II LTD
549300LKX8PCP3SC3F42
Eden Re II Ltd
27954TAA3
6000.00000000
PA
USD
12199.80000000
0.000224065453
Long
DBT
CORP
BM
Y
2
2023-03-22
None
0.00000000
N
N
N
N
N
N
Alturas Re 2019-3, 9/12/23
N/A
Alturas Re 2019-3, 9/12/23
000000000
24550.00000000
PA
USD
5775.09000000
0.000106067161
Long
DBT
CORP
BM
Y
2
2023-09-12
Floating
0.01000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL2Trust
12656TAD0
2490163.00000000
PA
USD
2217365.15000000
0.040724842009
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417CJP1
1022066.75000000
PA
USD
1043242.97000000
0.019160536157
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAR1
5715000.00000000
PA
USD
5310949.50000000
0.097542607859
Long
DBT
NUSS
MX
N
2
2034-02-12
Fixed
3.50000000
N
N
N
N
N
N
JETBLUE 2019-1 CLASS AA
N/A
JetBlue 2019-1 Class AA Pass Through Trust
477143AH4
4745204.20000000
PA
USD
4446712.35000000
0.081669750206
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NPP4
13771.72000000
PA
USD
14227.94000000
0.000261314925
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617GSGY9
1370367.51000000
PA
USD
1434470.77000000
0.026345951849
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201TF77
42595.56000000
PA
USD
46492.62000000
0.000853898422
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
Nordea Bank Abp
65559CAD3
11906000.00000000
PA
USD
10219276.98000000
0.187690530115
Long
DBT
CORP
FI
N
2
N/A
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D6T4
96094.95000000
PA
USD
98429.82000000
0.001807793754
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292FSB4
53765.40000000
PA
USD
57456.21000000
0.001055259245
Long
ABS-MBS
USGA
US
N
2
2035-07-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7UG8
303326.17000000
PA
USD
310125.68000000
0.005695868053
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292HZK3
41359.82000000
PA
USD
45867.43000000
0.000842415981
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GT5R4
65031.67000000
PA
USD
68060.96000000
0.001250029496
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
Gleneagles Re 2022
N/A
Gleneagles Re 2022
000000000
1250000.00000000
PA
USD
1266316.77000000
0.023257581365
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405SFS8
53038.68000000
PA
USD
55950.71000000
0.001027608747
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
4.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2018-COR3 Mortgage Trust
12595VAG2
1500000.00000000
PA
USD
1519893.90000000
0.027914860549
Long
ABS-MBS
CORP
US
N
2
2051-05-10
Variable
4.51272700
N
N
N
N
N
N
FASST 2021-S2 A2 Mtge
N/A
FASST 2021-S2 A2 Mtge
31740FAB2
5883274.46000000
PA
USD
5578933.26000000
0.102464483847
Long
DBT
CORP
US
N
2
2051-09-25
Fixed
1.75000000
N
N
N
N
N
N
Pangaea Re 2016-2, 11/30/21
N/A
Pangaea Re 2016-2, 11/30/21
000000000
3000000.00000000
PA
USD
5349.88000000
0.000098257617
Long
DBT
CORP
BM
Y
2
2022-11-30
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WLK62
568720.26000000
PA
USD
562896.46000000
0.010338337554
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AA5
3971000.00000000
PA
USD
4017976.93000000
0.073795457492
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B5 Mortgage Trust
08160BAC8
4200000.00000000
PA
USD
4308197.46000000
0.079125741154
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Fixed
3.94360000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210PXH2
4694.48000000
PA
USD
5016.74000000
0.000092139061
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DXE7
603947.28000000
PA
USD
617325.44000000
0.011337997718
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
Walton Health Re 2019, 6/30/22
N/A
Walton Health Re 2019, 6/30/22
000000000
350000.00000000
PA
USD
292110.00000000
0.005364986276
Long
DBT
CORP
BM
Y
2
2022-06-30
Floating
0.01000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2015-SFR1
02666AAC2
1300000.00000000
PA
USD
1294430.41000000
0.023773925525
Long
ABS-O
CORP
US
N
2
2052-04-17
Fixed
4.11000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAR2
44400000.00000000
PA
USD
44132906.47000000
0.810559164519
Long
DBT
UST
US
N
2
2022-10-31
Fixed
0.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203N6C7
5570.27000000
PA
USD
5714.54000000
0.000104955080
Long
ABS-MBS
USGA
US
N
2
2023-10-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176WYC9
3037608.88000000
PA
USD
3117724.54000000
0.057261132349
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E5FZ6
121798.56000000
PA
USD
127503.92000000
0.002341778032
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2015-GC33
29425AAG8
6052000.00000000
PA
USD
6046645.19000000
0.111054631688
Long
ABS-MBS
CORP
US
N
2
2058-09-10
Variable
4.57520900
N
N
N
N
N
N
HGI CRE CLO Ltd
N/A
HGI CRE CLO 2021-FL2 Ltd
40390JAE2
3750000.00000000
PA
USD
3700777.50000000
0.067969670669
Long
ABS-CBDO
CORP
KY
N
2
2036-09-17
Floating
2.23057000
N
N
N
N
N
N
IBC CAPITAL LTD
5493003ZYID1KN87T037
IBC Capital Ltd
44928QAE9
2640000.00000000
PA
USD
2588300.88000000
0.047537567013
Long
LON
CORP
KY
N
2
2023-09-18
Floating
4.66643000
N
N
N
N
N
N
LIMESTONE RE LTD
5493004PN8HGYC184A27
Limestone Re Ltd
000000000
167000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2023-03-01
None
0.00000000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BG3
8301000.00000000
PA
USD
8294614.70000000
0.152341563223
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.40000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BWG9
62892.76000000
PA
USD
70538.77000000
0.001295537752
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ATPH8
804862.80000000
PA
USD
827130.87000000
0.015191351772
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NRJ2
29846.62000000
PA
USD
32838.46000000
0.000603121725
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36186PNV2
189392.44000000
PA
USD
200606.09000000
0.003684396014
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
4.00000000
N
N
N
N
N
N
BOWLINE RE 2018
5493000WTDK6ETSBYF03
Bowline Re Ltd Series 2018-1
10260PAA6
2000000.00000000
PA
USD
2004800.00000000
0.036820802050
Long
DBT
CORP
BM
Y
2
2022-05-23
Floating
5.29046500
N
N
N
N
N
N
First Eagle BSL CLO LLC
N/A
First Eagle BSL CLO 2019-1 Ltd
32010FAC1
4500000.00000000
PA
USD
4470750.00000000
0.082111233422
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
4.60400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHU59
1094199.22000000
PA
USD
1136195.38000000
0.020867730036
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAK8
6795000.00000000
PA
USD
6282965.29000000
0.115394962704
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
3.12500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
9.00000000
NC
USD
-38348.64000000
-0.00070432346
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
1388911.14000000
USD
-38348.64000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HMRK9
587698.65000000
PA
USD
588199.06000000
0.010803053249
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
FWD Securitization Trust
N/A
FWDSecuritization Trust 2019-INV1
302980AA5
2145164.38000000
PA
USD
2138623.77000000
0.039278652481
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
2.81000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-C4
17326FAD9
4000000.00000000
PA
USD
4009370.80000000
0.073637394539
Long
ABS-MBS
CORP
US
N
2
2050-10-12
Fixed
3.47100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M9GP3
208476.91000000
PA
USD
212596.66000000
0.003904618682
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-3
46654UCS2
7875000.00000000
PA
USD
6868338.59000000
0.126146117136
Long
ABS-MBS
CORP
US
N
2
2052-08-25
Variable
3.12189000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
1068000.00000000
PA
USD
941191.32000000
0.017286222708
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4D52
941894.68000000
PA
USD
960077.40000000
0.017633090531
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387DM71
1623.39000000
PA
USD
1743.20000000
0.000032016172
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWG0
1693847.26000000
PA
USD
1535779.26000000
0.028206616183
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGTB3
100666.97000000
PA
USD
103319.82000000
0.001897605067
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291UEC5
31462.06000000
PA
USD
33621.74000000
0.000617507698
Long
ABS-MBS
USGA
US
N
2
2035-02-15
Fixed
5.50000000
N
N
N
N
N
N
Oakmont Re 2017, 4/30/23
N/A
Oakmont Re 2017, 4/30/23
000000000
1000000.00000000
PA
USD
29400.00000000
0.000539969862
Long
DBT
CORP
BM
Y
2
2023-04-30
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382BHB2
18579656.74000000
PA
USD
2919941.69000000
0.053628588869
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBE4
3400000.00000000
PA
USD
3127841.90000000
0.057446951039
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Floating
5.74900000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EH6
9690000.00000000
PA
USD
9802341.98000000
0.180032967714
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DAR2
2499.82000000
PA
USD
2680.10000000
0.000049223579
Long
ABS-MBS
USGA
US
N
2
2029-02-20
Fixed
7.00000000
N
N
N
N
N
N
FWD Securitization Trust
N/A
FWD Securitization Trust 2020-INV1
302985AD8
1800000.00000000
PA
USD
1746868.32000000
0.032083545799
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Variable
2.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YD4G1
142415.26000000
PA
USD
137173.07000000
0.002519364753
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BJZ0
90111.43000000
PA
USD
93881.31000000
0.001724254355
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4D60
1432266.79000000
PA
USD
1461708.62000000
0.026846210969
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAH6
6130000.00000000
PA
USD
5732216.88000000
0.105279740147
Long
DBT
CORP
FR
N
2
2037-01-14
Fixed
3.64800000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2022-PJ1
36263NAD7
11069219.62000000
PA
USD
10109130.86000000
0.185667551024
Long
ABS-MBS
CORP
US
N
2
2052-05-28
Variable
2.50000000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2021-J1
74387MAZ2
3046091.36000000
PA
USD
2673899.81000000
0.049109704512
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.63949000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2020-1 Ltd
69701DAA6
4000000.00000000
PA
USD
3958992.00000000
0.072712121283
Long
ABS-CBDO
CORP
KY
N
2
2028-02-20
Floating
5.32957000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M83Q5
4635212.30000000
PA
USD
4855946.58000000
0.089185877787
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
SAN DIEGO G & E
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co
797440CA0
4560000.00000000
PA
USD
4003194.45000000
0.073523957707
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
2.95000000
N
N
N
N
N
N
SMITHFIELD FOODS INC
CVTIPZRZJC0JQEZLL598
Smithfield Foods Inc
832248BD9
6615000.00000000
PA
USD
5801779.29000000
0.106557345757
Long
DBT
CORP
US
N
2
2031-09-13
Fixed
2.62500000
N
N
N
N
N
N
TEAM HEALTH HOLDINGS INC
549300PVTQ4UDTTMQT11
Team Health Holdings Inc
87817JAG3
934018.66000000
PA
USD
892279.23000000
0.016387887520
Long
LON
CORP
US
N
2
2027-02-17
Floating
6.25000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-IG3 Mortgage Trust
08162QAN9
2850000.00000000
PA
USD
2661963.84000000
0.048890484645
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Variable
3.28943800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FRF91
3332595.66000000
PA
USD
3393480.38000000
0.062325752859
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389AW90
58888.43000000
PA
USD
63234.45000000
0.001161384260
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225A3W8
3035.55000000
PA
USD
3268.73000000
0.000060034547
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
6.50000000
N
N
N
N
N
N
AVOLON TLB BORROWER 1 US
635400O84AGITYFZQB55
Avolon TLB Borrower 1 US LLC
05400KAF7
619232.35140000
PA
USD
606239.62000000
0.011134391980
Long
LON
CORP
US
N
2
2027-02-12
Floating
2.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
-2288.00000000
NC
USD
8666615.66000000
0.159173852584
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
-318619115.66000000
USD
8666615.66000000
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83370RAA6
4960000.00000000
PA
USD
4619000.00000000
0.084834040637
Long
DBT
CORP
FR
N
2
N/A
Fixed
5.37500000
N
N
N
N
N
N
Freddie Mac - STACR
549300RWLR7W4OBRM426
Freddie Mac STACR Trust 2019-HRP1
35564RBF0
6940000.00000000
PA
USD
6774876.58000000
0.124429563780
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Floating
2.70657000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAJ5
8375000.00000000
PA
USD
8217740.11000000
0.150929659761
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
2.54700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EBT5
19990.89000000
PA
USD
21267.08000000
0.000390598036
Long
ABS-MBS
USGA
US
N
2
2034-12-20
Fixed
4.50000000
N
N
N
N
N
N
Perimeter Master Note Business
5493005H6EB040833X54
Perimeter Master Note Business Trust
71384PAF8
5500000.00000000
PA
USD
5464878.10000000
0.100369710069
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
5.21000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225AF62
2947.21000000
PA
USD
3028.62000000
0.000055624609
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
7.00000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
682691AB6
4380000.00000000
PA
USD
4051500.00000000
0.074411152985
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225ASV3
11434.02000000
PA
USD
12249.68000000
0.000224981565
Long
ABS-MBS
USGA
US
N
2
2027-03-15
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGF45
1765648.95000000
PA
USD
1836683.06000000
0.033733112221
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
VITALITY RE X LTD
N/A
Vitality Re X Ltd
92850FAA2
2500000.00000000
PA
USD
2477750.00000000
0.045507153970
Long
DBT
CORP
KY
Y
2
2023-01-10
Floating
2.28046500
N
N
N
N
N
N
Bantry Re 2021, 12/31/24
N/A
Bantry Re 2021, 12/31/24
000000000
5000000.00000000
PA
USD
757000.00000000
0.013903305642
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-13
46592XBZ6
4391847.53000000
PA
USD
4007408.03000000
0.073601345673
Long
ABS-MBS
CORP
US
N
2
2052-04-25
Variable
3.14978300
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213JS97
29012.89000000
PA
USD
31004.53000000
0.000569439176
Long
ABS-MBS
USGA
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WBD3
8479926.54000000
PA
USD
8777867.91000000
0.161217147214
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Floating
5.55657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D4N9
6695709.09000000
PA
USD
6845067.39000000
0.125718710787
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405NMQ5
1298.56000000
PA
USD
1394.56000000
0.000025612937
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201GTL9
6511.02000000
PA
USD
6969.95000000
0.000128012344
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201QYY3
6864.48000000
PA
USD
7578.23000000
0.000139184211
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
Republic Finance Issuance Trus
N/A
Republic Finance Issuance Trust 2021-A
76042UAC7
2300000.00000000
PA
USD
2166246.49000000
0.039785980247
Long
ABS-O
CORP
US
N
2
2031-12-22
Fixed
3.53000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYV63
15715888.61000000
PA
USD
14248888.04000000
0.261699663784
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
1.50000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CP5
9635000.00000000
PA
USD
8894840.55000000
0.163365504368
Long
DBT
CORP
US
N
2
2027-12-02
Fixed
2.45000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290R6J7
713.32000000
PA
USD
762.29000000
0.000014000463
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
6.50000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AU3
21025000.00000000
PA
USD
19449738.46000000
0.357220156505
Long
DBT
CORP
IT
N
2
2026-09-22
Fixed
2.56900000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F030652
9000000.00000000
PA
USD
8790106.77000000
0.161441930056
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
3.00000000
N
N
N
N
N
N
RMF Buyout Issuance Trust
N/A
RMF Buyout Issuance Trust 2021-HB1
74969TAD2
3000000.00000000
PA
USD
2794800.00000000
0.051330196313
Long
ABS-MBS
CORP
US
N
2
2031-11-25
Variable
3.68950000
N
N
N
N
N
N
Pangaea Re 2018-3, 7/1/22
N/A
Pangaea Re 2018-3, 7/1/22
000000000
6500000.00000000
PA
USD
134832.11000000
0.002476369928
Long
DBT
CORP
BM
Y
2
2022-07-01
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PHBV2
2092.50000000
PA
USD
2099.27000000
0.000038555868
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564ABF7
3135000.00000000
PA
USD
3127165.32000000
0.057434524753
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
2.85657000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAU0
12700000.00000000
PA
USD
12381127.13000000
0.227395765767
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
3.54700000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2021-1 Ltd
437307AD3
6975000.00000000
PA
USD
6412287.69000000
0.117770139526
Long
ABS-MBS
CORP
BM
N
2
2033-07-25
Floating
3.30657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ABKD0
483990.62000000
PA
USD
506644.27000000
0.009305191727
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DHK0
1618.96000000
PA
USD
1768.15000000
0.000032474411
Long
ABS-MBS
USGA
US
N
2
2030-06-20
Fixed
7.50000000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re V Ltd
67401JAC6
3550000.00000000
PA
USD
3573740.27000000
0.065636464016
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
5.70657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DXQ0
146462.93000000
PA
USD
132844.05000000
0.002439856578
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
1.50000000
N
N
N
N
N
N
NMEF Funding LLC
N/A
NMEF Funding 2019-A LLC
65489MAC8
3000000.00000000
PA
USD
2984544.00000000
0.054815095687
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
3.30000000
N
N
N
N
N
N
Merion Re 2018-2, 12/31/21
N/A
Merion Re 2018-2, 12/31/21
000000000
7000000.00000000
PA
USD
1158500.00000000
0.021277383866
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
9870000.00000000
PA
USD
9020046.92000000
0.165665084858
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.54500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202X4K0
18393.15000000
PA
USD
19992.46000000
0.000367187954
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CRQ9
94442.62000000
PA
USD
96127.54000000
0.001765509338
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2021-2
74936RBU7
6007275.19000000
PA
USD
5243609.34000000
0.096305816807
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.56490400
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200A3A5
161534.73000000
PA
USD
180303.15000000
0.003311505683
Long
ABS-MBS
USGA
US
N
2
2035-07-15
Fixed
5.50000000
N
N
N
N
N
N
Eagle Re 2018-1 Ltd.
549300BLEDGL5R7YKU33
Eagle RE 2018-1 Ltd
269826AA1
1882383.66000000
PA
USD
1878802.43000000
0.034506690126
Long
ABS-MBS
CORP
US
N
2
2028-11-25
Floating
1.88686000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HERF1
176503.31000000
PA
USD
180653.98000000
0.003317949140
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Cascade MH Asset Trust
N/A
Cascade MH Asset Trust 2021-MH1
14731QAC3
4113000.00000000
PA
USD
3775485.16000000
0.069341775598
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Fixed
2.99200000
N
N
N
N
N
N
MATTERHORN RE LTD
549300QRZ77PO1BYWT39
Matterhorn Re Ltd
577092AQ2
1000000.00000000
PA
USD
999500.00000000
0.018357138691
Long
DBT
CORP
BM
Y
2
2025-03-24
Floating
8.03000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2016-C4
46646RAB9
2000000.00000000
PA
USD
1712876.20000000
0.031459235582
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
3.07065600
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWCY7
514969.72000000
PA
USD
527612.89000000
0.009690308151
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
4.00000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
Cenovus Energy Inc
15135UAF6
13089000.00000000
PA
USD
16173925.86000000
0.297055527965
Long
DBT
CORP
CA
N
2
2039-11-15
Fixed
6.75000000
N
N
N
N
N
N
La Hipotecaria SA
N/A
La Hipotecaria Panamanian Mortgage Trust 2021-1
50347JAA3
8781685.47000000
PA
USD
8869502.32000000
0.162900134281
Long
ABS-MBS
CORP
PA
N
2
2052-07-13
Fixed
4.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J6WD2
454208.17000000
PA
USD
454128.41000000
0.008340668540
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
ATKORE INC
52990002TI38AM4RPV48
Atkore Inc
047649AA6
2055000.00000000
PA
USD
1911150.00000000
0.035100796008
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FPJ6
204068.66000000
PA
USD
223670.09000000
0.004107996861
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
LIBERTY MUTUAL INSURANCE
CNC20I6IOMGF7KY49D67
Liberty Mutual Insurance Co
53079QAD9
18482000.00000000
PA
USD
25015132.50000000
0.459435974680
Long
DBT
CORP
US
N
2
2097-10-15
Fixed
7.69700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LPN0
2089.59000000
PA
USD
2210.55000000
0.000040599672
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
4.00000000
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650BV1
2148373.88000000
PA
USD
2351645.80000000
0.043191083646
Long
DBT
CORP
US
N
2
2033-01-10
Fixed
5.77300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418B3E4
555661.62000000
PA
USD
561620.50000000
0.010314902862
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GMR5
35544.72000000
PA
USD
37930.04000000
0.000696635322
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296SQT6
3459.04000000
PA
USD
3750.24000000
0.000068878114
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2021-4
74938VBR3
16117468.25000000
PA
USD
14503461.76000000
0.266375246661
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
3.01678500
N
N
N
N
N
N
Benefit Street Partners CLO Lt
N/A
Benefit Street Partners CLO XIX Ltd
08183PAA4
2000000.00000000
PA
USD
1967184.00000000
0.036129934487
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
7.26129000
N
N
N
N
N
N
ATLAS LUXCO 4 / ALL UNI
N/A
Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl
049362AA4
1230000.00000000
PA
USD
1149681.00000000
0.021115411273
Long
DBT
CORP
N/A
N
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-DC1 Mortgage Trust
12629NAJ4
4500000.00000000
PA
USD
4452985.80000000
0.081784970407
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Variable
4.03500000
N
N
N
N
N
N
Thopas Re 2019, 12/31/22
N/A
Thopas Re 2019, 12/31/22
000000000
3000000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
52729KAP1
809586.81000000
PA
USD
795780.12000000
0.014615553807
Long
LON
CORP
US
N
2
2027-03-01
Floating
2.20743000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300RVQJTKIK3XGD11
Wells Fargo Commercial Mortgage Trust 2018-C43
95001LAU6
10050000.00000000
PA
USD
10371719.60000000
0.190490340338
Long
ABS-MBS
CORP
US
N
2
2051-03-15
Variable
4.01200000
N
N
N
N
N
N
PUGET ENERGY INC
SYBSJ96YIDMIUY7WDR33
Puget Energy Inc
745310AM4
7485000.00000000
PA
USD
6855941.29000000
0.125918424334
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
2.37900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202SVV7
19724.86000000
PA
USD
21179.87000000
0.000388996309
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
4.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAN5
9000000.00000000
PA
USD
8140002.84000000
0.149501912040
Long
DBT
CORP
ES
N
2
2027-09-14
Fixed
1.72200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WASW8
27378.74000000
PA
USD
28591.15000000
0.000525114263
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225A2B5
12392.33000000
PA
USD
13596.70000000
0.000249721368
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XWP72
1638436.30000000
PA
USD
1692823.21000000
0.031090935914
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
STARWOOD PROPERTY TRUST
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571BAY1
1979000.00000000
PA
USD
1919630.00000000
0.035256542417
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BQF8
7956.74000000
PA
USD
8739.15000000
0.000160506041
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382CAZ4
15582154.19000000
PA
USD
858696.68000000
0.015771099598
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Floating
2.90143000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WDSH8
53292.47000000
PA
USD
54521.21000000
0.001001354090
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MF4D6
280117.91000000
PA
USD
285938.07000000
0.005251630623
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
UDR INC
P3CH2EG5X6Z1XWU1OO74
UDR Inc
90265EAP5
5300000.00000000
PA
USD
5569442.41000000
0.102290171841
Long
DBT
CORP
US
N
2
2029-01-26
Fixed
4.40000000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT 2021-HB5 LLC
12526PAD6
3800000.00000000
PA
USD
3628778.08000000
0.066647306148
Long
ABS-MBS
CORP
US
N
2
2031-02-25
Variable
2.91030000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DKX8
734.31000000
PA
USD
797.76000000
0.000014651916
Long
ABS-MBS
USGA
US
N
2
2030-12-20
Fixed
7.00000000
N
N
N
N
N
N
Versutus Re 2019-A, 12/31/21
N/A
Versutus Re 2019-A, 12/31/21
000000000
1765095.00000000
PA
USD
1059.06000000
0.000019451036
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Harambee Re 2019, 12/31/22
N/A
Harambee Re 2019, 12/31/22
000000000
5000000.00000000
PA
USD
4000.00000000
0.000073465287
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Ballybunion Re 2022
N/A
Ballybunion Re 2022
000000000
1750000.00000000
PA
USD
1767500.00000000
0.032462473874
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJUZ2
5217058.04000000
PA
USD
5307289.62000000
0.097475389325
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
GRIFOLS ESCROW ISSUER
959800HLB3PGTGSLVV62
Grifols Escrow Issuer SA
39843UAA0
4355000.00000000
PA
USD
4099143.75000000
0.075286193432
Long
DBT
CORP
ES
N
2
2028-10-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5E70
1216347.49000000
PA
USD
1259381.62000000
0.023130208168
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
Gullane Re 2022
N/A
Gullane Re 2022
000000000
6000000.00000000
PA
USD
6223273.68000000
0.114298647383
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAL4
9114000.00000000
PA
USD
8755446.13000000
0.160805341586
Long
ABS-O
CORP
US
N
2
2049-10-25
Fixed
3.66800000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216AS0
2250000.00000000
PA
USD
2680898.47000000
0.049238244154
Long
DBT
CORP
US
N
2
2096-08-15
Fixed
7.60000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
527298BN2
2913000.00000000
PA
USD
2763461.15000000
0.050754616908
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.62500000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2021-1
81747KCD3
2923740.52000000
PA
USD
2503760.69000000
0.045984874674
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
2.66471800
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2020-1
61946NAA6
956956.46000000
PA
USD
905165.88000000
0.016624567882
Long
ABS-O
CORP
US
N
2
2046-04-20
Fixed
2.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31386NP44
258.51000000
PA
USD
277.59000000
0.000005098307
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFRH4
299134.91000000
PA
USD
305759.31000000
0.005615673896
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond
000000000
2189.00000000
NC
USD
-14415210.21000000
-0.26475439028
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
402141835.21000000
USD
-14415210.21000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E4ZL8
713691.76000000
PA
USD
745400.65000000
0.013690268247
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-KSW4 Mortgage Trust
302960AH2
2896009.81000000
PA
USD
2786753.21000000
0.051182406378
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Floating
5.24143000
N
N
N
N
N
N
Welk Resorts LLC
549300MEV7EEC7NFNW78
Welk Resorts 2017-A LLC
94945PAB1
662941.46000000
PA
USD
650369.70000000
0.011944899233
Long
ABS-O
CORP
US
N
2
2033-06-15
Fixed
3.41000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31302PAE4
70145.59000000
PA
USD
70074.49000000
0.001287010636
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
7.00000000
N
N
N
N
N
N
NMEF Funding LLC
N/A
NMEF Funding 2019-A LLC
65489MAB0
1221419.18000000
PA
USD
1222773.00000000
0.022457842470
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
3.06000000
N
N
N
N
N
N
FLOODSMART RE LTD
549300KK1LNVFW95S875
FloodSmart Re Ltd
33975CAF2
750000.00000000
PA
USD
730425.00000000
0.013415220639
Long
DBT
CORP
BM
Y
2
2023-02-27
Floating
15.61046500
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2014-C25
92939LAU0
1750000.00000000
PA
USD
1575011.90000000
0.028927175477
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
3.80300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7JF7
1347975.94000000
PA
USD
1412974.72000000
0.025951148477
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379U5F9
18935215.68000000
PA
USD
799249.77000000
0.014679278516
Long
ABS-MBS
USGA
US
N
2
2058-10-16
Variable
0.65158000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36183HVJ1
156627.63000000
PA
USD
163057.03000000
0.002994757893
Long
ABS-MBS
USGA
US
N
2
2044-11-15
Fixed
4.00000000
N
N
N
N
N
N
HIGHWOODS REALTY LP
JUJNVZX73BIYHLR58F51
Highwoods Realty LP
431282AQ5
7105000.00000000
PA
USD
7213592.39000000
0.132487159548
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.12500000
N
N
N
N
N
N
AKIBARE RE LTD
N/A
Akibare Re Ltd
00973XAB6
500000.00000000
PA
USD
498500.00000000
0.009155611443
Long
DBT
CORP
BM
Y
2
2022-04-07
Floating
2.13438000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202C4P5
14812.22000000
PA
USD
15875.71000000
0.000291578399
Long
ABS-MBS
USGA
US
N
2
2028-08-20
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205VU97
7659.05000000
PA
USD
8184.82000000
0.000150325038
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178GJ62
237523.63000000
PA
USD
250668.67000000
0.004603861471
Long
ABS-MBS
USGA
US
N
2
2044-03-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YSZ1
3334.76000000
PA
USD
3432.26000000
0.000063037991
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
4.00000000
N
N
N
N
N
N
Gleneagles Re 2021, 12/31/24
N/A
Gleneagles Re 2021, 12/31/24
000000000
1250000.00000000
PA
USD
299430.06000000
0.005499428854
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2021-KG05 Mortgage Trust
30318WAJ2
110999571.00000000
PA
USD
745783.92000000
0.013697307507
Long
ABS-MBS
CORP
US
N
2
2031-01-25
Fixed
0.10000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F042640
282000000.00000000
PA
USD
292530937.50000000
5.372717349972
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.50000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAS1
5355000.00000000
PA
USD
4795254.01000000
0.088071178512
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XWYN7
378420.28000000
PA
USD
390919.06000000
0.007179745274
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YWH42
526241.96000000
PA
USD
535716.43000000
0.009839140375
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BXY9
1351.11000000
PA
USD
1473.94000000
0.000027070856
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213BC67
10926.39000000
PA
USD
10969.51000000
0.000201469551
Long
ABS-MBS
USGA
US
N
2
2031-02-15
Fixed
7.50000000
N
N
N
N
N
N
Orange Lake Timeshare Trust
N/A
Orange Lake Timeshare Trust 2019-A
68504UAD3
2792912.60000000
PA
USD
2683288.55000000
0.049282141132
Long
ABS-O
CORP
US
N
2
2038-04-09
Fixed
4.93000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAK6
7044000.00000000
PA
USD
8181556.90000000
0.150265107280
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
IMS Ecuadorian Mortagage Trust
N/A
IMS ECUADORIAN MORTGAGE 2021-1 TRUST
44970EAA1
15150000.00000000
PA
USD
15453000.00000000
0.283814771588
Long
ABS-MBS
CORP
US
N
2
2043-08-18
Fixed
3.40000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182WBS1
16095.65000000
PA
USD
16595.46000000
0.000304797559
Long
ABS-MBS
USGA
US
N
2
2044-10-15
Fixed
4.00000000
N
N
N
N
N
N
FITNESS & SPORTS CLUBS LLC
N/A
Fitness International LLC
33818XAH3
190786.64000000
PA
USD
177383.88000000
0.003257889431
Long
LON
CORP
US
N
2
2025-04-18
Floating
4.25600000
N
N
N
N
N
N
Gullane Re 2018, 12/31/21
N/A
Gullane Re 2018, 12/31/21
000000000
2118314.00000000
PA
USD
131133.07000000
0.002408432169
Long
DBT
CORP
BM
Y
2
2022-12-31
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J7B76
1107648.15000000
PA
USD
1108592.29000000
0.020360762801
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
Home Partners of America Trust
N/A
Home Partners of America 2019-1 Trust
43731QAG3
3247295.42000000
PA
USD
3035950.72000000
0.055759248052
Long
ABS-O
CORP
US
N
2
2039-09-17
Fixed
3.40600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210ARN9
64399.76000000
PA
USD
70510.16000000
0.001295012292
Long
ABS-MBS
USGA
US
N
2
2035-01-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECF5
4805493.01000000
PA
USD
4357464.69000000
0.080030598957
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133D4M91
3304741.44000000
PA
USD
2996351.16000000
0.055031949788
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
1.50000000
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650AW0
308498.83000000
PA
USD
320817.77000000
0.005892242419
Long
DBT
CORP
US
N
2
2027-01-11
Fixed
5.29800000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
321 Henderson Receivables III LLC
88576RAB5
500000.00000000
PA
USD
551078.15000000
0.010121278668
Long
ABS-O
CORP
US
N
2
2046-01-15
Fixed
8.37000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DHW4
2146.11000000
PA
USD
2317.12000000
0.000042556971
Long
ABS-MBS
USGA
US
N
2
2030-07-20
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31339SP82
1109565.82000000
PA
USD
1171162.51000000
0.021509947600
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
5.00000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAW0
17800000.00000000
PA
USD
16301454.85000000
0.299397766440
Long
DBT
CORP
NL
N
2
2029-12-13
Fixed
2.47000000
N
N
N
N
N
N
EASTERN POWER LLC
5493000R3E1L1VM1V279
Eastern Power LLC
87264NAB3
729422.32000000
PA
USD
523725.23000000
0.009618906136
Long
LON
CORP
US
N
2
2025-10-02
Floating
4.75600000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BD8
5800000.00000000
PA
USD
4850482.00000000
0.089085513552
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X65A5
1480344.23000000
PA
USD
1546129.47000000
0.028396711471
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296QCV0
5033.68000000
PA
USD
5482.79000000
0.000100698685
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207NE26
3081.23000000
PA
USD
3128.57000000
0.000057460323
Long
ABS-MBS
USGA
US
N
2
2027-02-15
Fixed
7.50000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAE1
9309000.00000000
PA
USD
8437491.42000000
0.154965683048
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AE8
5000000.00000000
PA
USD
5235000.00000000
0.096147694898
Long
DBT
CORP
CA
N
2
2027-02-01
Fixed
7.12500000
N
N
N
N
N
N
CNO GLOBAL FUNDING
6354008GTNR4833ULD48
CNO Global Funding
18977W2C3
15230000.00000000
PA
USD
14092192.44000000
0.258821741962
Long
DBT
CORP
US
N
2
2029-01-06
Fixed
2.65000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290YUW6
72282.53000000
PA
USD
77619.08000000
0.001425577005
Long
ABS-MBS
USGA
US
N
2
2033-10-15
Fixed
4.50000000
N
N
N
N
N
N
FARMERS EXCHANGE CAP III
N/A
Farmers Exchange Capital III
30958QAA9
2960000.00000000
PA
USD
3365484.21000000
0.061811566190
Long
DBT
CORP
US
N
2
2054-10-15
Fixed
5.45400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405QSE9
33890.07000000
PA
USD
36215.89000000
0.000665152691
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
ExteNet Systems
N/A
ExteNet LLC 2019-1
30227XAC5
4000000.00000000
PA
USD
4001097.60000000
0.073485446285
Long
ABS-O
CORP
US
N
2
2049-07-26
Fixed
5.21900000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2021-2
74388JAV7
3842451.32000000
PA
USD
3261952.99000000
0.059910078482
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.36526000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213UH29
3828.29000000
PA
USD
4091.09000000
0.000075138275
Long
ABS-MBS
USGA
US
N
2
2031-06-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WAF93
1336514.45000000
PA
USD
1396379.93000000
0.025646363222
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.00000000
N
N
N
N
N
N
Alturas Re 2022-2, 12/31/2027
N/A
Alturas Re 2022-2, 12/31/2027
000000000
3752400.00000000
PA
USD
3782043.96000000
0.069462236630
Long
DBT
CORP
BM
Y
2
2027-12-31
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA5
35566AAH2
4076512.44000000
PA
USD
4084274.93000000
0.075013107898
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Floating
2.89900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36192S4A5
751109.37000000
PA
USD
766368.19000000
0.014075364835
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
MATTERHORN RE LTD
549300QRZ77PO1BYWT39
Matterhorn Re Ltd
577092AP4
2000000.00000000
PA
USD
1999000.00000000
0.036714277383
Long
DBT
CORP
BM
Y
2
2025-03-24
Floating
5.53000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
8710000.00000000
PA
USD
10052999.52000000
0.184636624768
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
MVW 2020-1 LLC
N/A
MVW 2020-1 LLC
55400EAC3
572813.29000000
PA
USD
563329.51000000
0.010346291089
Long
ABS-O
CORP
US
N
2
2037-10-20
Fixed
4.21000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184QTQ7
828444.84000000
PA
USD
873991.55000000
0.016052010103
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WYP1
3291654.22000000
PA
USD
3447126.62000000
0.063311036969
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XAH3
427720.48000000
PA
USD
428226.64000000
0.007864948296
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
4.20657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201EAG5
12535.05000000
PA
USD
14038.84000000
0.000257841853
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200JAM2
47189.26000000
PA
USD
52950.77000000
0.000972510884
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2021-J2
12564ECD2
6671613.51000000
PA
USD
6182977.86000000
0.113558561384
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.67368700
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184XM22
237283.54000000
PA
USD
241642.96000000
0.004438092376
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYV97
16855997.57000000
PA
USD
15282522.22000000
0.280683721812
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388FFT5
2273.41000000
PA
USD
2441.19000000
0.000044835681
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FB93
10647.22000000
PA
USD
11554.69000000
0.000212217155
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BD4
140000.00000000
PA
USD
148802.82000000
0.002732960484
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312943UP6
920767.21000000
PA
USD
979023.79000000
0.017981066028
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2020-2
24380NAD1
1450000.00000000
PA
USD
1450501.27000000
0.026640373172
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
4.11200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292H3K8
15134.98000000
PA
USD
16696.02000000
0.000306644476
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417BZ91
1386332.36000000
PA
USD
1451372.20000000
0.026656368953
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Blackbird Capital Aircraft
N/A
Blackbird Capital Aircraft
09229CAA7
10046874.59000000
PA
USD
9188928.77000000
0.168766823270
Long
ABS-O
CORP
US
N
2
2046-07-15
Fixed
2.44300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WMEP5
2016102.21000000
PA
USD
2097949.47000000
0.038531615196
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAF0
12500000.00000000
PA
USD
11315131.75000000
0.207817351525
Long
DBT
CORP
FR
N
2
2032-10-19
Fixed
3.11600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416X4Z0
1370638.05000000
PA
USD
1460103.49000000
0.026816730635
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225AQL7
2009.77000000
PA
USD
2124.47000000
0.000039018699
Long
ABS-MBS
USGA
US
N
2
2026-11-15
Fixed
7.00000000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2020-2 Ltd
269820AD8
6229867.38000000
PA
USD
6245835.15000000
0.114713018603
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
6.05657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391SRV4
903.28000000
PA
USD
967.85000000
0.000017775844
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290VYQ1
39991.95000000
PA
USD
42762.98000000
0.000785398654
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
6.00000000
N
N
N
N
N
N
FASST 2020-JR2
N/A
FASST 2020-JR2
31735AAA2
6201294.26000000
PA
USD
6363917.62000000
0.116881759252
Long
DBT
CORP
US
N
2
2050-05-25
Fixed
2.00000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2022-1 Ltd
078774AC0
4410000.00000000
PA
USD
4235981.84000000
0.077799405835
Long
ABS-MBS
CORP
BM
N
2
2032-01-26
Floating
3.79900000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2020-1 Ltd
69701EAE6
4000000.00000000
PA
USD
3923700.00000000
0.072063937053
Long
ABS-CBDO
CORP
KY
N
2
2028-02-20
Floating
2.37957000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GVB76
28022.22000000
PA
USD
29188.11000000
0.000536078222
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
SMITHFIELD FOODS INC
CVTIPZRZJC0JQEZLL598
Smithfield Foods Inc
832248BC1
6465000.00000000
PA
USD
5868174.41000000
0.107776779901
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
Tricolor Auto Securitization T
N/A
Tricolor Auto Securitization Trust 2021-1
89615BAD7
3700000.00000000
PA
USD
3612051.00000000
0.066340091214
Long
ABS-O
CORP
US
N
2
2026-05-15
Fixed
1.92000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200FVR6
41643.88000000
PA
USD
44525.15000000
0.000817763235
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417BA31
2218125.90000000
PA
USD
2322223.64000000
0.042650706785
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409X4Y2
53417.72000000
PA
USD
57284.35000000
0.001052102809
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADF6
959.00000000
PA
USD
51872.61000000
0.000952709050
Long
DBT
CORP
BM
Y
2
2025-03-01
None
0.00000000
N
N
N
N
N
N
FASST 2021-S2 A1 Mtge
N/A
FASST 2021-S2 A1 Mtge
31740FAA4
7433357.79000000
PA
USD
7047688.43000000
0.129440114022
Long
DBT
CORP
US
N
2
2051-09-25
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBE8
7470000.00000000
PA
USD
6497648.03000000
0.119337895003
Long
ABS-MBS
CORP
US
N
2
2051-01-25
Floating
4.84900000
N
N
N
N
N
N
Thopas Re 2021, 12/31/24
N/A
Thopas Re 2021, 12/31/24
000000000
7000000.00000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
2
2024-12-31
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31379HKG4
28823.69000000
PA
USD
28985.98000000
0.000532365837
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
5.90000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADV1
500000.00000000
PA
USD
509343.36000000
0.009354764083
Long
DBT
CORP
BM
Y
2
2026-12-01
Floating
0.53046500
N
N
N
N
N
N
ADANIREN KODSOPAR WARSOM
N/A
Adani Renewable Energy RJ Ltd/Kodangal Solar Parks Pvt Ltd/Wardha Solar Maharash
00654CAA0
5106043.75000000
PA
USD
4448089.16000000
0.081695037141
Long
DBT
CORP
IN
N
2
2039-10-15
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FM7M2
652150.37000000
PA
USD
676085.93000000
0.012417211790
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
FLOODSMART RE LTD
549300KK1LNVFW95S875
FloodSmart Re Ltd
33975CAG0
1250000.00000000
PA
USD
1226875.00000000
0.022533181122
Long
DBT
CORP
BM
Y
2
2024-03-01
Floating
14.11046500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210AMT1
2459.70000000
PA
USD
2628.55000000
0.000048276795
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
6.50000000
N
N
N
N
N
N
MATTERHORN RE LTD
549300QRZ77PO1BYWT39
Matterhorn Re Ltd
577092AN9
250000.00000000
PA
USD
248275.00000000
0.004559898557
Long
DBT
CORP
BM
Y
2
2025-12-08
Floating
6.08718200
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31298HRL4
138.77000000
PA
USD
149.13000000
0.000002738969
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200RG48
56265.68000000
PA
USD
62062.68000000
0.001139863155
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EC23
17328.78000000
PA
USD
18464.93000000
0.000339132847
Long
ABS-MBS
USGA
US
N
2
2035-03-20
Fixed
4.50000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2016-C2
46590LAY8
3450000.00000000
PA
USD
3271777.14000000
0.060090511983
Long
ABS-MBS
CORP
US
N
2
2049-06-15
Variable
3.99010000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBH4
2395000.00000000
PA
USD
2244713.75000000
0.041227135199
Long
DBT
CORP
FR
N
2
2028-01-19
Fixed
2.79700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4X43
13521.06000000
PA
USD
13831.61000000
0.000254035800
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.00000000
N
N
N
N
N
N
Radnor Re LTD
254900JBDDKUTX6TX151
Radnor RE 2019-1 Ltd
75049SAB9
7125976.89000000
PA
USD
7135454.44000000
0.131052052809
Long
ABS-MBS
CORP
BM
N
2
2029-02-25
Floating
2.40657000
N
N
N
N
N
N
Bunker Hill Loan Depositary Tr
N/A
Bunker Hill Loan Depositary Trust 2020-1
12062RAC4
3250000.00000000
PA
USD
3198558.03000000
0.058745746243
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
3.25300000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822CB8
3805000.00000000
PA
USD
3423668.30000000
0.062880193914
Long
DBT
CORP
JP
N
2
2032-10-13
Fixed
2.49400000
N
N
N
N
N
N
Chase Auto Credit Linked Notes
N/A
JPMorgan Chase Bank NA - CACLN
46591HCH1
1950000.00000000
PA
USD
1836515.85000000
0.033730041188
Long
ABS-O
CORP
US
N
2
2029-02-26
Fixed
3.69400000
N
N
N
N
N
N
Commerical Equipment Finance 2
N/A
Commercial Equipment Finance 2021-A LLC
20166QAC4
4800000.00000000
PA
USD
4567744.80000000
0.083892671137
Long
ABS-O
CORP
US
N
2
2028-12-15
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJA8
1230000.00000000
PA
USD
1146729.12000000
0.021061196095
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
3.14900000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAQ5
8420000.00000000
PA
USD
7376610.95000000
0.135481210889
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
2.10000000
N
N
N
N
N
N
Avid Automobile Receivables Tr
N/A
Avid Automobile Receivables Trust 2019-1
05369DAC9
2000000.00000000
PA
USD
2003397.40000000
0.036795041447
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
3.14000000
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADW9
4199987.00000000
PA
USD
4278471.01000000
0.078579775606
Long
DBT
CORP
BM
Y
2
2026-12-01
Floating
0.53046500
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131YATM2
49166.32000000
PA
USD
50351.70000000
0.000924775528
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200AZ36
5280.97000000
PA
USD
5726.74000000
0.000105179150
Long
ABS-MBS
USGA
US
N
2
2035-06-15
Fixed
6.50000000
N
N
N
N
N
N
EDWARDS LIFESCIENCES COR
YA13X31F3V31L8TMPR58
Edwards Lifesciences Corp
28176EAD0
2329000.00000000
PA
USD
2430352.21000000
0.044636630904
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.30000000
N
N
N
N
N
N
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
HSBC Bank PLC
597433AC5
1305000.00000000
PA
USD
1443459.46000000
0.026511041023
Long
DBT
CORP
GB
N
2
2025-05-01
Fixed
7.65000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2021-4
81748WAA4
1591195.78000000
PA
USD
1467465.99000000
0.026951952680
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208LXN2
3245.15000000
PA
USD
3467.92000000
0.000063692934
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291R3A8
195100.88000000
PA
USD
214674.64000000
0.003942783531
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207KLU2
1181.09000000
PA
USD
1262.17000000
0.000023181420
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2020-3 Ltd
07877KAG5
5350000.00000000
PA
USD
5438628.64000000
0.099887604039
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
5.30657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FMSE7
1626549.39000000
PA
USD
1648826.69000000
0.030282881667
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177JNB1
12675.66000000
PA
USD
13234.50000000
0.000243069086
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
4.00000000
N
N
N
N
N
N
BROADRIDGE FINANCIAL SOL
549300KZDJZQ2YIHRC28
Broadridge Financial Solutions Inc
11133TAE3
13527000.00000000
PA
USD
12249693.95000000
0.224981821681
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
2.60000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-MP
61691DAA5
6900000.00000000
PA
USD
7053523.62000000
0.129547284999
Long
ABS-MBS
CORP
US
N
2
2040-07-11
Variable
4.27600000
N
N
N
N
N
N
AIR CANADA 2017-1AA PTT
N/A
Air Canada 2017-1 Class AA Pass Through Trust
00908PAA5
5680756.78000000
PA
USD
5426225.93000000
0.099659811875
Long
DBT
CORP
CA
N
2
2030-01-15
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210P5E0
15319.99000000
PA
USD
15645.60000000
0.000287352125
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MHU31
5427143.00000000
PA
USD
5327429.83000000
0.097845290905
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177Q7M9
340410.17000000
PA
USD
350670.92000000
0.006440534981
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.50000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJB7
19370000.00000000
PA
USD
17362021.54000000
0.318876475615
Long
DBT
CORP
US
N
2
2036-11-03
Fixed
2.49100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209SAN1
1361.42000000
PA
USD
1377.50000000
0.000025299608
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QJT9
2288313.08000000
PA
USD
2405912.46000000
0.044187762589
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJM24
759836.82000000
PA
USD
756577.06000000
0.013895537790
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HB6J2
36465.53000000
PA
USD
37348.16000000
0.000685948327
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
Air Canada
008911BK4
810000.00000000
PA
USD
764437.50000000
0.014039905161
Long
DBT
CORP
CA
N
2
2026-08-15
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D4P3
74222.52000000
PA
USD
82405.72000000
0.001513489976
Long
ABS-MBS
USGA
US
N
2
2034-03-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DDB3
213097.00000000
PA
USD
233377.63000000
0.004286288665
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CQ6
21700000.00000000
PA
USD
19312171.28000000
0.354693553401
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291QBM5
148934.74000000
PA
USD
165299.76000000
0.003035948594
Long
ABS-MBS
USGA
US
N
2
2034-11-15
Fixed
5.50000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2020-SFR2 Trust
89613JAJ9
5650000.00000000
PA
USD
5056662.43000000
0.092872289689
Long
ABS-O
CORP
US
N
2
2039-11-17
Fixed
2.73000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2022-INV1
465973BX2
6659070.21000000
PA
USD
6028787.88000000
0.110726658585
Long
ABS-MBS
CORP
US
N
2
2052-03-25
Variable
3.30167900
N
N
N
N
N
N
A10 Securitization
N/A
A10 Bridge Asset Financing 2019-B LLC
000299AA5
1318473.19000000
PA
USD
1318616.90000000
0.024218142385
Long
ABS-CBDO
CORP
US
N
2
2040-08-15
Fixed
3.08500000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KRN1
18000000.00000000
PA
USD
17600848.20000000
0.323262842920
Long
ABS-MBS
CORP
US
N
2
2042-02-25
Floating
3.84900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418QBH5
331215.80000000
PA
USD
358420.95000000
0.006582874526
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2019-2
61945LAC7
523203.70000000
PA
USD
521939.59000000
0.009586110497
Long
ABS-O
CORP
US
N
2
2040-09-20
Fixed
4.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPAL8
3544480.08000000
PA
USD
3834492.81000000
0.070425529090
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
5.00000000
N
N
N
N
N
N
HAT HOLDINGS I LLC/HAT
N/A
HAT Holdings I LLC / HAT Holdings II LLC
418751AE3
6000000.00000000
PA
USD
5700000.00000000
0.104688034559
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H7PW1
14093.36000000
PA
USD
14407.31000000
0.000264609292
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032647
38000000.00000000
PA
USD
38238242.14000000
0.702295862221
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210NUQ0
32197.53000000
PA
USD
34378.62000000
0.000631408799
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KLT6
2134.52000000
PA
USD
2363.11000000
0.000043401638
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.00000000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
Cascade Funding Mortgage Trust 2018-RM2
14727QAC9
3418817.77000000
PA
USD
3378488.37000000
0.062050404778
Long
ABS-MBS
CORP
US
N
2
2068-10-25
Variable
4.00000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2021-FL7 Ltd
55284AAJ7
10500000.00000000
PA
USD
10247548.50000000
0.188209773951
Long
ABS-CBDO
CORP
KY
N
2
2036-10-16
Floating
2.98057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F9VT9
4196628.67000000
PA
USD
4263349.02000000
0.078302040271
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WARA7
1076534.76000000
PA
USD
1146888.59000000
0.021064124973
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
-1102.00000000
NC
USD
4224774.14000000
0.077593561609
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
-139633024.14000000
USD
4224774.14000000
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAQ4
2965000.00000000
PA
USD
2849720.80000000
0.052338889402
Long
DBT
CORP
NL
N
2
2029-05-09
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DV4M4
2912072.63000000
PA
USD
3073122.56000000
0.056441958029
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417ACQ0
282855.26000000
PA
USD
288763.20000000
0.005303517870
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WMG57
953333.26000000
PA
USD
985841.93000000
0.018106290182
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
MIDWEST CONNECTOR CAPIT
N/A
Midwest Connector Capital Co LLC
59833CAC6
11489000.00000000
PA
USD
11611493.88000000
0.213260433789
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
4.62500000
N
N
N
N
N
N
AXIS Equipment Finance Receiva
549300NOANH9X4RIOF97
Amur Equipment Finance Receivables VI LLC
03237JAE7
5784000.00000000
PA
USD
5802002.70000000
0.106561448977
Long
ABS-O
CORP
US
N
2
2023-06-20
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELBM4
1479661.57000000
PA
USD
1574613.78000000
0.028919863477
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401HES7
4892.60000000
PA
USD
5220.90000000
0.000095888729
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.50000000
N
N
N
N
N
N
ALTURAS RE LTD
549300FZNJS17ZR1BR73
Alturas RE Ltd
000000000
363577.00000000
PA
USD
12507.05000000
0.000229708505
Long
DBT
CORP
BM
Y
2
2023-03-10
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200FWD6
21324.06000000
PA
USD
23188.45000000
0.000425886535
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAG2
3450000.00000000
PA
USD
3576615.00000000
0.065689262232
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.37500000
N
N
N
N
N
N
ALTURAS RE LTD
549300FZNJS17ZR1BR73
Alturas RE Ltd
000000000
285668.00000000
PA
USD
9826.98000000
0.000180485477
Long
DBT
CORP
BM
Y
2
2023-03-10
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200KTF4
15988.44000000
PA
USD
17088.44000000
0.000313851788
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACP8
5720000.00000000
PA
USD
5194306.26000000
0.095400300572
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ATFZ0
6381060.10000000
PA
USD
1184872.25000000
0.021761745097
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Floating
6.15343000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BXX1
140469.74000000
PA
USD
155560.47000000
0.002857073659
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203KKR4
1887.92000000
PA
USD
2010.13000000
0.000036918694
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
6.00000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796T82
200000000.00000000
PA
USD
199991138.00000000
3.673101608178
Long
DBT
UST
US
N
2
2022-04-12
None
0.00000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAL3
18600000.00000000
PA
USD
16696469.86000000
0.306652739251
Long
DBT
CORP
ES
N
2
2032-11-22
Fixed
3.22500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209FPE3
16044.10000000
PA
USD
16252.83000000
0.000298504706
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHNU2
1292397.76000000
PA
USD
1339042.94000000
0.024593293610
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.00000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2012-6
81744NAJ9
710041.82000000
PA
USD
708089.63000000
0.013005002045
Long
ABS-MBS
CORP
US
N
2
2042-12-25
Variable
3.70417300
N
N
N
N
N
N
SECTOR RE V LTD
549300QS6XPZQHTCEJ97
Sector Re V Ltd
81369ADL3
5986.00000000
PA
USD
290381.73000000
0.005333244313
Long
DBT
CORP
BM
Y
2
2025-12-01
None
0.00000000
N
N
N
N
N
N
STAPLES INC
XQM2JINI1UL7642TU573
Staples Inc
855031AR1
520287.50000000
PA
USD
507713.71000000
0.009324833406
Long
LON
CORP
US
N
2
2024-09-12
Floating
4.81657000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CY3
12000000.00000000
PA
USD
10909721.88000000
0.200371463370
Long
DBT
CORP
GB
N
2
2032-11-22
Fixed
2.87100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283HVL6
17099.95000000
PA
USD
18937.10000000
0.000347804873
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6.00000000
N
N
N
N
N
N
NAKILAT INC
2549006RMTDJWLLWF072
Nakilat Inc
62983PAB1
1673317.58000000
PA
USD
2009989.08000000
0.036916106363
Long
DBT
CORP
MH
N
2
2033-12-31
Fixed
6.26700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36182AWB3
8119.36000000
PA
USD
8376.32000000
0.000153842189
Long
ABS-MBS
USGA
US
N
2
2043-11-15
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505682
8805.00000000
NS
USD
11556562.50000000
0.212251546384
Long
EP
CORP
US
N
1
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202C6L2
27356.90000000
PA
USD
29305.17000000
0.000538228184
Long
ABS-MBS
USGA
US
N
2
2028-11-20
Fixed
7.00000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Funding XIV LLC
68377BAC1
2700000.00000000
PA
USD
2617638.39000000
0.048076389164
Long
ABS-O
CORP
US
N
2
2028-03-08
Fixed
3.44000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HPET7
16952.37000000
PA
USD
17619.52000000
0.000323605775
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
Race Point CLO Ltd
5493008ABAJEYBWITR69
Race Point VIII CLO Ltd
74982LBC3
8500000.00000000
PA
USD
8316179.00000000
0.152737620097
Long
ABS-CBDO
CORP
KY
N
2
2030-02-20
Floating
2.52957000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BV85
2214.78000000
PA
USD
2263.17000000
0.000041566108
Long
ABS-MBS
USGA
US
N
2
2024-01-20
Fixed
6.50000000
N
N
N
N
N
N
MATTERHORN RE LTD
549300QRZ77PO1BYWT39
Matterhorn Re Ltd
577092AD1
1250000.00000000
PA
USD
1194625.00000000
0.021940867243
Long
DBT
CORP
BM
Y
2
2024-01-08
Floating
5.53046500
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388UGC8
11800.20000000
PA
USD
12056.71000000
0.000221437416
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
7.00000000
N
N
N
N
N
N
FCI Funding, LLC
N/A
FCI Funding 2019-1 LLC
30259MAA4
214203.18000000
PA
USD
214523.86000000
0.003940014257
Long
ABS-O
CORP
US
N
2
2031-02-18
Fixed
3.63000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374LR94
254492.20000000
PA
USD
258681.04000000
0.004751019237
Long
ABS-MBS
USGA
US
N
2
2035-08-16
Fixed
5.25000000
N
N
N
N
N
N
2022-05-20
Pioneer Bond Fund
Anthony J. Koenig, Jr
Anthony J. Koenig, Jr
Managing Director, Chief Operations Officer & Treasurer of the Funds
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