0000035402-26-002591.txt : 20260424
0000035402-26-002591.hdr.sgml : 20260424
20260424165956
ACCESSION NUMBER: 0000035402-26-002591
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20260228
FILED AS OF DATE: 20260424
DATE AS OF CHANGE: 20260424
PERIOD START: 20260831
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIDELITY ADVISOR SERIES II
CENTRAL INDEX KEY: 0000795422
ORGANIZATION NAME:
EIN: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04707
FILM NUMBER: 26895405
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY DIVERSIFIED TRUST
DATE OF NAME CHANGE: 19930706
FORMER COMPANY:
FORMER CONFORMED NAME: PLYMOUTH FUND
DATE OF NAME CHANGE: 19920130
FORMER COMPANY:
FORMER CONFORMED NAME: PLYMOUTH INVESTMENT SERIES
DATE OF NAME CHANGE: 19911204
0000795422
S000085243
Fidelity Limited Term Securitized Completion Fund
C000250211
Fidelity Limited Term Securitized Completion Fund
FLTGX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000795422
XXXXXXXX
S000085243
C000250211
Fidelity Advisor Series II
811-04707
0000795422
EIVUM2R16VT371T5KS40
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Limited Term Securitized Completion Fund
S000085243
2549001H0X8EQFWLH509
2026-08-31
2026-02-28
N
149317814.45
19327310.04
129990504.41
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
10365408.22000000
0.00000000
0.00000000
0.00000000
USD
N
Bloomberg ABS ex. Stranded Cost Utility Index
82982688
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
5930862.91900000
NS
USD
5932049.09000000
4.563448012548
Long
STIV
RF
US
N
1
N
N
N
CSAIL 2016-C6 COML MTG TR
N/A
CSAIL 2016-C6 A5 3.0898% 01/15/2049
12636MAE8
168366.70000000
PA
USD
167885.66000000
0.129152249052
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Fixed
0.03089800
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24
5493007OD9MH69ES1S63
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 2.684% 10/15/2049
95000HBE1
138049.13300000
PA
USD
137330.39000000
0.105646478274
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Fixed
0.02684000
N
N
N
N
N
N
HILTON USA TR 2016-HHV
N/A
HILTON USA TR 2016-HHV B CSTR 11/05/2038 144A
43300LAG5
102000.00000000
PA
USD
101779.72000000
0.078297811414
Long
ABS-MBS
CORP
US
N
2
2038-11-05
Variable
0.04193500
N
N
N
N
N
N
JPMCC COML MTG SECS TR 2016-JP4
N/A
JPMCC COML MTG SECS TR 2016-JP4 3.4743% 12/15/2049
46645UAU1
53037.39700000
PA
USD
52870.86000000
0.040672863175
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
0.03474300
N
N
N
N
N
N
COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR
N/A
COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR A4 3.514% 05/10/2050
12515DAR5
169000.00000000
PA
USD
167464.18000000
0.128828009984
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
0.03514000
N
N
N
N
N
N
GS MTG SECS TR 2017-GS6
N/A
GS MTG SECS TR 2017-GS6 3.164% 05/10/2050
36253PAB8
448077.16900000
PA
USD
442979.31000000
0.340778206847
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
0.03164000
N
N
N
N
N
N
CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8
N/A
CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 A3 3.3048% 06/15/2050
12532CAZ8
409763.43300000
PA
USD
405922.64000000
0.312270993825
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
0.03304800
N
N
N
N
N
N
UBS COML MTG TR 2017-C1
N/A
UBS COML MTG TR 2017-C1 3.196% 06/15/2050
90276EAD9
8852.18100000
PA
USD
8775.01000000
0.006750500769
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
0.03196000
N
N
N
N
N
N
BANK 2017-BNKS
N/A
BANK 2017-BNKS 3.131% 06/15/2060
06541WAW2
23532.13800000
PA
USD
23298.34000000
0.017923109157
Long
ABS-MBS
CORP
US
N
2
2060-06-15
Fixed
0.03131000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 A3 3.203% 09/15/2050
17326DAC6
400000.00000000
PA
USD
395973.28000000
0.304617080914
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
0.03203000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027
3137FBBX3
200000.00000000
PA
USD
198501.10000000
0.152704307826
Long
ABS-MBS
USGSE
US
N
2
2027-08-25
Fixed
0.03244000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2017
N/A
CITIGROUP COML MTG TR 2017-C4 3.471% 10/12/2050
17326FAD9
100000.00000000
PA
USD
99159.64000000
0.076282218035
Long
ABS-MBS
CORP
US
N
2
2050-10-12
Fixed
0.03471000
N
N
N
N
N
N
BANK 2017-BNK8
N/A
BANK 2017-BNK8 A3 3.229% 11/15/2050
06650AAD9
147579.72600000
PA
USD
145410.76000000
0.111862601549
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
0.03229000
N
N
N
N
N
N
UBS COML MTG TR 2017-C5
N/A
UBS COML MTG TR 2017-C5 3.345% 11/15/2050
90276TAC8
62517.41100000
PA
USD
62035.44000000
0.047723055065
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
0.03345000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.303% 11/25/2027
3137FCJK1
200000.00000000
PA
USD
198656.92000000
0.152824178121
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Fixed
0.03303000
N
N
N
N
N
N
CSAIL 2018-CX11 COML MTG TR
N/A
CSAIL 2018-CX11 A5 COML MTG TR VAR 04/15/2051
12652UAU3
1200000.00000000
PA
USD
1197490.20000000
0.921213595896
Long
ABS-MBS
CORP
US
N
2
2051-04-15
Variable
0.04033100
N
N
N
N
N
N
BENCHMARK 2018-B4 MTG TR
N/A
BENCHMARK 2018-B4 MTG TR 4.059% 07/15/2051
08161HAD2
11908.51100000
PA
USD
11916.28000000
0.009167038818
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Fixed
0.04059000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2018-C46
N/A
WELLS FARGO COML MTG TR 2018-C46 A4 4.152% 08/15/2051
95001QAU5
50000.00000000
PA
USD
50012.07000000
0.038473633306
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
0.04152000
N
N
N
N
N
N
GS MTG SECS TR 2018-GS10
N/A
GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051
36250SAE9
150000.00000000
PA
USD
150037.05000000
0.115421546120
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Fixed
0.04155000
N
N
N
N
N
N
GS MTG SECS TR 2018-GS10
N/A
GS MTG SECS TR 2018-GS10 AAB 4.106% 07/10/2051
36250SAF6
130000.80900000
PA
USD
129853.35000000
0.099894488900
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Fixed
0.04106000
N
N
N
N
N
N
CSAIL 2018-CX12 COML MTG TR
N/A
CSAIL 2018-CX12 COML MTG TR 3.9585% 08/15/2051
12595XAS2
500000.00000000
PA
USD
498785.70000000
0.383709334973
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
0.03958500
N
N
N
N
N
N
BENCHMARK 2018-B7 MTG TR
N/A
BENCHMARK 2018-B7 A4 4.51% 05/15/2053
08162TBB8
300000.00000000
PA
USD
302274.30000000
0.232535677411
Long
ABS-MBS
CORP
US
N
2
2053-05-15
Fixed
0.04510000
N
N
N
N
N
N
BENCHMARK 2018-B7 MTG TR
N/A
BENCHMARK 2018-B7 MTG TR 4.241% 11/15/2051
08162TBA0
1100000.00000000
PA
USD
1101432.53000000
0.847317682933
Long
ABS-MBS
CORP
US
N
2
2053-05-15
Fixed
0.04241000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2018-H4
N/A
MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051
61691RAE6
285000.00000000
PA
USD
286925.09000000
0.220727730307
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Fixed
0.04310000
N
N
N
N
N
N
FORD CR FLOORPLAN MAST OWN TR
N/A
FORD CR FLOORPLAN MAST OWN TR 4.06% 11/15/2030
34528PAK2
1905000.00000000
PA
USD
1920646.72000000
1.477528476958
Long
ABS-CBDO
CORP
US
N
2
2030-11-15
Fixed
0.04060000
N
N
N
N
N
N
ILPT TRUST 2019-SURF
N/A
ILPT TRUST 2019-SURF 4.145% 02/11/2041 144A
44965LAA2
600000.00000000
PA
USD
596026.80000000
0.458515645204
Long
ABS-MBS
CORP
US
N
2
2041-02-11
Fixed
0.04145000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-H7
N/A
MORGAN STANLEY CAP I TR 2019-H7 A4 3.261% 07/15/2052
61771MAW0
600000.00000000
PA
USD
584108.28000000
0.449346883182
Long
ABS-MBS
CORP
US
N
2
2052-07-15
Fixed
0.03261000
N
N
N
N
N
N
BENCHMARK 2019-B12 MTG TR
N/A
BENCHMARK 2019-B12 MTG TR 3.1156% 08/15/2052
08162FAE3
150000.00000000
PA
USD
145127.00000000
0.111644308681
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
0.03115600
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2019-C51
N/A
WELLS FARGO COML MTG TR 2019-C51 ASB 3.16% 06/15/2052
95001VAS9
66379.89300000
PA
USD
65467.14000000
0.050363017127
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Fixed
0.03160000
N
N
N
N
N
N
GS MTG SECS CORP TR 2019
5493005BBCF84ICNQ550
GS MTG SECS CORP TR 2019 3.16% 07/10/2052
36257HBP0
150000.00000000
PA
USD
144738.84000000
0.111345702254
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Fixed
0.03160000
N
N
N
N
N
N
CAPTIAL ONE MULTI-ASSET EXECUT
R42WS16M9R97TJJKGU15
CAPITAL ONE MULTI-ASST EXEC TR 2.06% 08/15/2028
14041NFV8
800000.00000000
PA
USD
793635.84000000
0.610533702905
Long
ABS-CBDO
CORP
US
N
2
2028-08-15
Fixed
0.02060000
N
N
N
N
N
N
BANK 2019-BNK21
N/A
BANK 2019-BNK20 2.6% 10/17/2052
06540BBC2
1260723.72400000
PA
USD
1206619.51000000
0.928236655036
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Fixed
0.02600000
N
N
N
N
N
N
ONEMAIN FINL ISSUANCE TR 2019-2
N/A
ONEMAIN FINL ISSUANCE TR 2019-2 3.14% 10/14/2036 144A
68269BAA6
600000.00000000
PA
USD
593670.30000000
0.456702820482
Long
ABS-CBDO
CORP
US
N
2
2036-10-14
Fixed
0.03140000
N
N
N
N
N
N
JPMDB COML MTG SECS TR 2019
N/A
JPMDB 2019-COR6 A4 3.0565% 11/13/52
48129RAX3
1500000.00000000
PA
USD
1385686.65000000
1.065990670848
Long
ABS-MBS
CORP
US
N
2
2052-11-13
Fixed
0.03056500
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST 2019
N/A
UBS COMMERCIAL MORTGAGE TRUST 2019-C18 3.0352% 12/15/2052
90278PBA7
200000.00000000
PA
USD
191621.78000000
0.147412136655
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
0.03035200
N
N
N
N
N
N
BANK 2020-BNK26
N/A
BANK 2020-BNK26 2.313% 03/15/2063
06540JBA9
656820.36000000
PA
USD
638786.44000000
0.491410078681
Long
ABS-MBS
CORP
US
N
2
2063-03-15
Fixed
0.02313000
N
N
N
N
N
N
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020 2.1798% 05/13/2053
46652JAW2
200000.00000000
PA
USD
176008.04000000
0.135400690072
Long
ABS-MBS
CORP
US
N
2
2053-05-13
Fixed
0.02179800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2035#MA4099
31418DRV6
244642.07700000
PA
USD
234075.55000000
0.180071268330
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.02500000
N
N
N
N
N
N
DBJPM 2020-C9
N/A
DBJPM 2020-C9 1.926% 08/15/2053
233063AT3
300000.00000000
PA
USD
272395.71000000
0.209550467733
Long
ABS-MBS
CORP
US
N
2
2053-08-15
Fixed
0.01926000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 01/01/2036#SB8083
3132D56U1
12301.76300000
PA
USD
11252.98000000
0.008656770778
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 12/01/2035#MA4205
31418DU75
12503.38200000
PA
USD
11464.76000000
0.008819690370
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.01500000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2020-C58
N/A
WELLS FARGO COML MTG TR 2020-C58 ASB 1.849% 07/15/2053
95002UAC5
744584.23800000
PA
USD
715176.21000000
0.550175732639
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Fixed
0.01849000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 03/01/2036#
31418DXG2
13980.05600000
PA
USD
12788.19000000
0.009837787812
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 12/01/2040#MA4202
31418DU42
324071.01400000
PA
USD
280663.16000000
0.215910509212
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 04/01/2036#SB8098
3132D57K2
12881.93700000
PA
USD
12030.34000000
0.009254783689
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.02000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST 2021-1 A
N/A
FORD CREDIT AUTO OWNER TRUST 2021-1 A 1.37% 10/17/2033 144A
345340AA1
1330000.00000000
PA
USD
1325486.91000000
1.019679795855
Long
ABS-CBDO
CORP
US
N
2
2033-10-17
Fixed
0.01370000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 10/01/2035#RC1599
3133L7X44
188755.07700000
PA
USD
176630.81000000
0.135879778912
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 06/36#SB8106
3132D6AF7
14750.98400000
PA
USD
13470.34000000
0.010362556912
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 04/01/2036#MA4302
31418DX80
69091.31300000
PA
USD
63092.99000000
0.048536614490
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 04/01/2036#SB8097
3132D57J5
83940.67300000
PA
USD
76653.17000000
0.058968284143
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.01500000
N
N
N
N
N
N
MSC 2021-L6
N/A
MORGAN STANLEY CAPITAL I L6 A4 CSTR 06/15/2054
61692CBE7
120000.00000000
PA
USD
109384.75000000
0.084148261826
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Variable
0.02444000
N
N
N
N
N
N
GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1
N/A
GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1 1.17% 06/12/2034 144A
36263HAA6
1000000.00000000
PA
USD
985737.10000000
0.758314697272
Long
ABS-CBDO
CORP
US
N
2
2034-06-12
Fixed
0.01170000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 02/01/2036#FM5367
3140X86D4
12693.92900000
PA
USD
11611.71000000
0.008932737089
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.01500000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A
05609PAA6
100000.00000000
PA
USD
99812.50000000
0.076784454720
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.04463580
N
N
N
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A
78472UAA6
545246.97600000
PA
USD
545076.59000000
0.419320313029
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.04504930
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 06/01/2036#MA4359
31418DZZ8
166854.95300000
PA
USD
152369.06000000
0.117215531004
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.01500000
N
N
N
N
N
N
BENCHMARK 2021-B31 MORTGAGE TRUST
N/A
BENCHMARK 2021-B31 MORTGAGE TRUST 2.669% 12/15/2054
08163MAE7
50000.00000000
PA
USD
45605.33000000
0.035083585687
Long
ABS-MBS
CORP
US
N
2
2054-12-15
Fixed
0.02669000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 2.525% 11/15/2054
95003QAE9
525000.00000000
PA
USD
503776.72000000
0.387548861577
Long
ABS-MBS
CORP
US
N
2
2054-11-15
Fixed
0.02525000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 02/01/2042#MA4540
31418EBJ8
392091.35500000
PA
USD
349005.46000000
0.268485349436
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.02000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-VINO
N/A
BX COMMERCIAL MORTGAGE TRUST 22-LP2 B TSFR1M+126.27 02/15/2039 144A
05610HAC7
70000.00000000
PA
USD
69978.13000000
0.053833262912
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
0.04971950
N
N
N
N
N
N
BINOM SECURITIZATION TRUST 2021
N/A
BINOM SECURITIZATION TRUST 2022 A1 VAR 02/25/2061 144A
05552CAA2
968011.05700000
PA
USD
921730.55000000
0.709075292986
Long
ABS-CBDO
CORP
US
N
2
2061-02-25
Variable
0.03000000
N
N
N
N
N
N
BBCMS Mortgage Trust 2022-C14
N/A
BBCMS Mortgage Trust 2022-C14 ASB 2.901% 02/15/2055
07336AAF4
190000.00000000
PA
USD
183012.24000000
0.140788929799
Long
ABS-MBS
CORP
US
N
2
2055-02-15
Fixed
0.02901000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.26% 01/25/2029
3137H5YC5
300000.00000000
PA
USD
288358.14000000
0.221830156986
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Fixed
0.02260000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2030#AL7320
3138EQD25
128568.63500000
PA
USD
126941.59000000
0.097654509901
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
0.03000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-SOAR
N/A
BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A
05609WAA1
465903.37600000
PA
USD
465903.38000000
0.358413394974
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.05150650
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 04/01/2041#RB5107
3133KYU80
172730.71400000
PA
USD
149051.91000000
0.114663690764
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 02/01/2041#RB5099
3133KYUY3
333140.01600000
PA
USD
288083.96000000
0.221619233887
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 01/01/2041#MA4231
31418DVZ2
80755.37500000
PA
USD
69889.34000000
0.053764957923
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.01500000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST 2023-1
N/A
TOWD POINT MORTGAGE TRUST 2023-1 A1 3.75% 01/25/2063 144A
89181JAA0
1272537.67000000
PA
USD
1244168.99000000
0.957122980364
Long
ABS-CBDO
CORP
US
N
2
2063-01-25
Fixed
0.03750000
N
N
N
N
N
N
DLLAD 2023-1A
N/A
DLLAD 2023-1A 4.79% 01/20/2028 144A
233258AC6
435270.18000000
PA
USD
436929.95000000
0.336124513081
Long
ABS-CBDO
CORP
US
N
2
2028-01-20
Fixed
0.04790000
N
N
N
N
N
N
BANK 2023-BNK45
N/A
BANK 2023-BNK45 5.203% 02/15/2056
06541BBK3
100000.00000000
PA
USD
103707.68000000
0.079780965902
Long
ABS-MBS
CORP
US
N
2
2056-02-15
Variable
0.05203000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 02/01/2036#SB8088
3132D56Z0
12616.58800000
PA
USD
11540.96000000
0.008878310036
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.01500000
N
N
N
N
N
N
BX 2021-LBA
N/A
BX 2021-LBA TSFR1M+91.45 02/15/2036 144A
05609BCD9
250000.00000000
PA
USD
249845.88000000
0.192203177558
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
0.04824480
N
N
N
N
N
N
ONEMAIN FINANCIAL ISSUANCE TRUST 2023-1
N/A
ONEMAIN FINANCIAL ISSUANCE TRUST 2023-1 5.5% 06/14/2038 144A
68269JAE1
1000000.00000000
PA
USD
1035992.00000000
0.796975136531
Long
ABS-CBDO
CORP
US
N
2
2038-06-14
Fixed
0.05500000
N
N
N
N
N
N
GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1
N/A
GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1 5.12% 04/11/2035 144A
38012RAA4
300000.00000000
PA
USD
308678.19000000
0.237462106483
Long
ABS-CBDO
CORP
US
N
2
2035-04-11
Fixed
0.05120000
N
N
N
N
N
N
DELL EQUIP FIN TR 2023-2
N/A
DELL EQUIP FIN TR 2023-2 5.65% 01/22/2029 144A
24703GAC8
21325.08000000
PA
USD
21350.03000000
0.016424299680
Long
ABS-CBDO
CORP
US
N
2
2029-01-22
Fixed
0.05650000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING TR 5.73% 06/15/2028 144A
361886CT9
115000.00000000
PA
USD
115492.33000000
0.088846743478
Long
ABS-CBDO
CORP
US
N
2
2028-06-15
Fixed
0.05730000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING TR 2023-1 A2 SOFR30A+115 06/15/2028 144A
361886CS1
400000.00000000
PA
USD
400855.16000000
0.308372647540
Long
ABS-CBDO
CORP
US
N
2
2028-06-15
Variable
0.04808190
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 09/01/2036#FM8733
3140XCV39
668062.15200000
PA
USD
624524.34000000
0.480438431125
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
0.02000000
N
N
N
N
N
N
CHASE ISSUANCE TR
5493008SHVCX2Y068L12
CHASE ISSUANCE TR 5.16% 09/15/2028
161571HT4
374000.00000000
PA
USD
376750.66000000
0.289829370006
Long
ABS-CBDO
CORP
US
N
2
2028-09-15
Fixed
0.05160000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC
5493000HT7H4OFOD6Z12
CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A
165183CZ5
61729.65300000
PA
USD
62378.58000000
0.047987028193
Long
ABS-CBDO
CORP
US
N
2
2035-10-15
Fixed
0.06160000
N
N
N
N
N
N
BRAVO RESIDENTIAL FDG TR 2023-RPL1
N/A
BRAVO RESIDENTIAL FDG TR 2023-RPL1 A1 5% 05/25/2063 144A
10569GAA4
67416.88500000
PA
USD
68183.73000000
0.052452854390
Long
ABS-CBDO
CORP
US
N
2
2063-05-25
Fixed
0.05000000
N
N
N
N
N
N
WHEELS FLEET LEASE FUNDING 1 LLC
549300BSFY0E0XXREF43
WHEELS FLEET LEASE FUNDING 1 LLC 6.46% 08/18/2038 144A
96328GBG1
69794.32000000
PA
USD
70560.28000000
0.054281103316
Long
ABS-CBDO
CORP
US
N
2
2038-08-18
Fixed
0.06460000
N
N
N
N
N
N
MERCHANTS FLEET FUNDING LLC
N/A
MERCHANTS FLEET FUNDING LLC 7.21% 05/20/2036 144A
588926AA3
40495.79900000
PA
USD
40627.40000000
0.031254129049
Long
ABS-CBDO
CORP
US
N
2
2036-05-20
Fixed
0.07210000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2
N/A
VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2 5.48% 12/20/2028
92867YAD6
811905.22000000
PA
USD
821499.91000000
0.631969168616
Long
ABS-CBDO
CORP
US
N
2
2028-12-20
Fixed
0.05480000
N
N
N
N
N
N
PRPM 2023-RCF2 LLC
N/A
PRPM 2023-RCF2 LLC A1 VAR 11/25/2053 144A
69380RAA3
449884.92300000
PA
USD
447136.35000000
0.343976163512
Long
ABS-CBDO
CORP
US
N
2
2053-11-25
Variable
0.04000000
N
N
N
N
N
N
BX COML MTG TR 2023-XL3
N/A
BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A
12434GAC9
70000.00100000
PA
USD
70000.00000000
0.053850087218
Long
ABS-MBS
CORP
US
N
2
2040-12-09
Variable
0.05850460
N
N
N
N
N
N
DTP COML MTG TR 2023-STE2
N/A
DTP COML MTG TR 2023-STE2 A CSTR 01/15/2041 144A
23346GAA7
503000.00000000
PA
USD
518802.05000000
0.399107652020
Long
ABS-MBS
CORP
US
N
2
2041-01-15
Variable
0.06038046
N
N
N
N
N
N
CITIZENS AUTO RECEIVABLES TRUST 2024-1
N/A
CITIZENS AUTO RECEIVABLES TRUST 2024-1 5.11% 04/17/2028 144A
17331QAD8
151278.73000000
PA
USD
152039.98000000
0.116962374051
Long
ABS-CBDO
CORP
US
N
2
2028-04-17
Fixed
0.05110000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2% 04/25/2043
3137FVHP0
489282.54000000
PA
USD
474176.82000000
0.364778044482
Long
ABS-CBDO
USGSE
US
N
2
2043-04-25
Fixed
0.02000000
N
N
N
N
N
N
BX COML MTG TR 2024-XL4
N/A
BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A
05611VAA9
359632.40800000
PA
USD
359632.41000000
0.276660523499
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
0.05101680
N
N
N
N
N
N
BX COML MTG TR 2024-XL4
N/A
BX COML MTG TR 2024-XL4 TSFR1M+194.132 02/15/2039 144A
05611VAC5
186209.66900000
PA
USD
186209.67000000
0.143248671004
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
0.05451190
N
N
N
N
N
N
CHASE ISSUANCE TR
5493008SHVCX2Y068L12
CHASE ISSUANCE TR VAR 01/16/2029
161571HV9
100000.00000000
PA
USD
100785.58000000
0.077533032476
Long
ABS-CBDO
CORP
US
N
2
2029-01-15
Variable
0.04600000
N
N
N
N
N
N
FORD CR AUTO OWNER TR 2024-REV1
N/A
FORD CR AUTO OWNER TR 24-1 A 4.87% 08/15/2036 144A
34533BAA8
400000.00000000
PA
USD
412155.80000000
0.317066082534
Long
ABS-CBDO
CORP
US
N
2
2036-08-15
Fixed
0.04870000
N
N
N
N
N
N
BLP COML MTG 2024-INDS
N/A
BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A
05625AAA9
85665.58700000
PA
USD
85665.59000000
0.065901421329
Long
ABS-MBS
CORP
US
N
2
2041-03-15
Variable
0.05001800
N
N
N
N
N
N
WELLS FARGO CARD ISSUANCE TRUST
N/A
WELLS FARGO CARD ISSUANCE TRUST 4.94% 02/15/2029
92970QAA3
400000.00000000
PA
USD
404629.44000000
0.311276151928
Long
ABS-CBDO
CORP
US
N
2
2029-02-15
Fixed
0.04940000
N
N
N
N
N
N
BX COML MTG TR 2024-XL5
N/A
BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2041 144A
05612GAA1
122257.13800000
PA
USD
122295.34000000
0.094080210362
Long
ABS-MBS
CORP
US
N
2
2041-03-15
Variable
0.05051300
N
N
N
N
N
N
AVIS BUDGET RENT CAR FDG AESOP LLC
IHXLB8SL0QWSSG2VG640
AVIS BUDGET RENTCAR FDG AE LLC 24-3A A 5.23% 12/20/2030 144A
05377RJK1
500000.00000000
PA
USD
518320.35000000
0.398737086491
Long
ABS-CBDO
CORP
US
N
2
2030-12-20
Fixed
0.05230000
N
N
N
N
N
N
GS MTG-BACKED SECS TR 2024-RPL2
N/A
GS MTG-BACKED SECS TR 2024-RPL2 A1 3.75% 07/25/2061 144A
36269MAA9
484491.67000000
PA
USD
476387.43000000
0.366478637929
Long
ABS-CBDO
CORP
US
N
2
2061-07-25
Fixed
0.03750000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING TR 5.13% 03/15/2029 144A
361886DA9
1000000.00000000
PA
USD
1013670.20000000
0.779803266862
Long
ABS-CBDO
CORP
US
N
2
2029-03-15
Fixed
0.05130000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING TR 5.06% 03/15/2031 144A
361886DF8
1382000.00000000
PA
USD
1431683.31000000
1.101375301602
Long
ABS-CBDO
CORP
US
N
2
2031-03-15
Fixed
0.05060000
N
N
N
N
N
N
BX 2024-CNYN
N/A
BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A
05612HAA9
327962.37000000
PA
USD
328064.86000000
0.252376018916
Long
ABS-MBS
CORP
US
N
2
2041-04-15
Variable
0.05101528
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST 24-1
N/A
DELL EQUIPMENT FINANCE TRUST 24-1 5.39% 03/22/2030 144A
24702GAE5
561932.56000000
PA
USD
565639.29000000
0.435138930006
Long
ABS-CBDO
CORP
US
N
2
2030-03-22
Fixed
0.05390000
N
N
N
N
N
N
WHEELS FLEET LEASE FUNDING 1 LLC
549300BSFY0E0XXREF43
WHEELS FLEET LEASE FUNDING 1 LLC 24-1A A1 5.49% 02/18/2039 144A
96328GBM8
555149.95800000
PA
USD
561345.93000000
0.431836104143
Long
ABS-CBDO
CORP
US
N
2
2039-02-18
Fixed
0.05490000
N
N
N
N
N
N
AMERICAN EXPRESS CR ACC MST TR
N/A
AMERICAN EXPRESS CR ACC MST TR 5.23% 04/15/2029
02582JKH2
625000.00000000
PA
USD
636016.38000000
0.489279107644
Long
ABS-CBDO
CORP
US
N
2
2029-04-15
Fixed
0.05230000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING 2024-2
N/A
ENTERPRISE FLEET FINANCING 2024-2 5.74% 12/20/2026 144A
29375RAB2
28305.33000000
PA
USD
28375.58000000
0.021828963683
Long
ABS-CBDO
CORP
US
N
2
2026-12-20
Fixed
0.05740000
N
N
N
N
N
N
BX COML MTG TR 2024-MDHS
N/A
BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A
12433BAA5
165643.85400000
PA
USD
165747.38000000
0.127507298130
Long
ABS-MBS
CORP
US
N
2
2041-05-15
Floating
0.05300950
N
N
N
N
N
N
FORD CR FLOORPLN MAST OWN TR A
5493001DTG5N7T8BG747
FORD CR FLOORPLN MAST OWN TR A 5.29% 04/15/2029 144A
34528QJA3
400000.00000000
PA
USD
406421.60000000
0.312654837247
Long
ABS-CBDO
CORP
US
N
2
2029-04-15
Fixed
0.05290000
N
N
N
N
N
N
DLLAD 2024-1 LLC
N/A
DLLAD 2024-1 LLC 5.3% 07/20/2029 144A
23346MAC0
400000.00000000
PA
USD
408295.56000000
0.314096450239
Long
ABS-CBDO
CORP
US
N
2
2029-07-20
Fixed
0.05300000
N
N
N
N
N
N
ARI FLEET LEASE TRUST 2024-B
N/A
ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A
04033HAB1
41084.20000000
PA
USD
41350.09000000
0.031810085042
Long
ABS-CBDO
CORP
US
N
2
2033-04-15
Fixed
0.05540000
N
N
N
N
N
N
ARI FLEET LEASE TRUST 2024-B
N/A
ARI FLEET LEASE TRUST 2024-B 5.26% 04/15/2033 144A
04033HAC9
896000.00000000
PA
USD
913370.93000000
0.702644346327
Long
ABS-CBDO
CORP
US
N
2
2033-04-15
Fixed
0.05260000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 10/01/2035#FM4516
3140X8AS6
180576.80200000
PA
USD
168977.85000000
0.129992456577
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 11/01/2035#QN4142
3133GAS72
16196.86400000
PA
USD
14851.43000000
0.011425011440
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 05/01/2036#BR1069
3140KYFK5
14416.35000000
PA
USD
13164.76000000
0.010127478202
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 06/01/2036#BR2059
3140L0JD0
14488.36600000
PA
USD
13230.53000000
0.010178074206
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 04/01/2036#FM6100
3140X9X67
727690.58700000
PA
USD
664514.46000000
0.511202308981
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.01500000
N
N
N
N
N
N
MERCHANTS FLEET FUNDING LLC
N/A
MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A
588926AF2
66162.27000000
PA
USD
66533.61000000
0.051183438591
Long
ABS-CBDO
CORP
US
N
2
2037-04-20
Fixed
0.05820000
N
N
N
N
N
N
FORDO 2024-B
N/A
FORDO 2024-B 5.1% 04/15/2029
34531QAD1
342000.00000000
PA
USD
345580.64000000
0.265850680069
Long
ABS-CBDO
CORP
US
N
2
2029-04-15
Fixed
0.05100000
N
N
N
N
N
N
CARMAX SELECT RECEIVABLES TRUST 2024-A
N/A
CARMAX SELECT RECEIVABLES TRUST 2024-A 5.4% 11/15/2028
14319FAD5
75000.00000000
PA
USD
75607.82000000
0.058164110019
Long
ABS-CBDO
CORP
US
N
2
2028-11-15
Fixed
0.05400000
N
N
N
N
N
N
HPEFS EQUIP TR 2024-2
N/A
HPEFS EQUIP TR 2024-2 5.36% 10/20/2031 144A
40444MAE1
76215.65000000
PA
USD
76628.92000000
0.058949628934
Long
ABS-CBDO
CORP
US
N
2
2031-10-20
Fixed
0.05360000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY885799 12/15/56 S
N/A
100000.00000000
NC
USD
-1174.77000000
-0.00090373524
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
2397.39000000
USD
100000.00000000
USD
1222.62000000
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY562346 11/18/64 S
N/A
99862.69720000
NC
USD
-42.62000000
-0.00003278701
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S15 PRC INDX
CY562346
Y
2064-11-18
0.00000000
USD
1466.84000000
USD
99862.70000000
USD
1424.22000000
N
N
N
KUBOTA CREDIT OWNER TRUST 2024-2
N/A
KUBOTA CREDIT OWNER TRUST 2024-2 5.26% 11/15/2028 144A
50117DAC0
1600000.00000000
PA
USD
1623584.64000000
1.249002492427
Long
ABS-CBDO
CORP
US
N
2
2028-11-15
Fixed
0.05260000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 07/01/2054#CB8857
3140QUZX7
82691.21000000
PA
USD
85143.95000000
0.065500130479
Long
ABS-MBS
USGSE
US
N
2
2054-07-01
Fixed
0.06000000
N
N
N
N
N
N
PRPM 2024-RCF4 LLC
N/A
PRPM 2024-RCF4 A1 LLC VAR 07/25/2054 144A
74448JAA1
96153.87000000
PA
USD
95435.88000000
0.073417578024
Long
ABS-CBDO
CORP
US
N
2
2054-07-25
Fixed
0.04000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING 2024-3 LLC
N/A
ENTERPRISE FLEET FINANCING 2024-3 LLC 4.98% 08/21/2028 144A
29375QAC2
250000.00000000
PA
USD
253278.05000000
0.194843501184
Long
ABS-CBDO
CORP
US
N
2
2028-08-21
Fixed
0.04980000
N
N
N
N
N
N
MFRA TRST
N/A
MFRA TRUST VAR 02/25/2066 144A
55287AAA3
83309.85000000
PA
USD
80637.05000000
0.062033031078
Long
ABS-CBDO
CORP
US
N
2
2066-02-25
Variable
0.04250000
N
N
N
N
N
N
AMUR EQUIPMENT FINANCE RECEIVABLES XIV LLC
N/A
AMUR EQUIPMENT FINANCE RECEIVABLES XIV LLC 2024-2A A2 5.19% 07/21/2031 144A
03238BAB9
455405.31100000
PA
USD
461691.54000000
0.355173281383
Long
ABS-CBDO
CORP
US
N
2
2031-07-21
Fixed
0.05190000
N
N
N
N
N
N
USAA AUTO OWNER TR 2024-A
N/A
USAA AUTO OWNER TR 2024-A 5.03% 03/15/2029 144A
90327VAC2
152888.85000000
PA
USD
154079.35000000
0.118531234800
Long
ABS-CBDO
CORP
US
N
2
2029-03-15
Fixed
0.05030000
N
N
N
N
N
N
EQT TR 2024-EXTR
N/A
EQT TR 2024-EXTR A VAR 07/05/2041 144A
29439DAA9
1000000.00000000
PA
USD
1025253.00000000
0.788713763865
Long
ABS-MBS
CORP
US
N
2
2041-07-05
Variable
0.05330800
N
N
N
N
N
N
DLLMT 2024-1 LLC
N/A
DLLMT 2024-1 LLC 4.84% 08/21/2028 144A
23347AAE1
750000.00000000
PA
USD
755974.58000000
0.581561386680
Long
ABS-CBDO
CORP
US
N
2
2028-08-21
Fixed
0.04840000
N
N
N
N
N
N
BENCHMARK 2024-V9 MORTGAGE TRUST
N/A
BENCHMARK 2024-V9 MORTGAGE TRUST 5.6019% 08/15/2057
081919AN2
100000.00000000
PA
USD
104506.37000000
0.080395387704
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
0.05601900
N
N
N
N
N
N
CFMT 2024-HB15 LLC
N/A
CFMT 2024-HB15 LLC VAR 08/25/2034 144A
15723AAA9
49221.67000000
PA
USD
49101.43000000
0.037773089829
Long
ABS-CBDO
CORP
US
N
2
2034-08-25
Variable
0.04000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885799 12/15/56 S
N/A
100000.00000000
NC
USD
-1174.77000000
-0.00090373524
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
1994.34000000
USD
100000.00000000
USD
819.57000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 3.455 08/29/2029
N/A
200000.00000000
NC
USD
6667.74000000
0.005129405436
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 08/31/34 3.455%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-08-31
0.00000000
USD
0.00000000
USD
200000.00000000
USD
1.00000000
3.45500000
USD
2029-08-29
XXXX
-1222.26000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 3.455 08/29/2029
N/A
200000.00000000
NC
USD
4901.72000000
0.003770829278
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 08/31/34 SOFRV3.455%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-08-31
0.00000000
USD
0.00000000
USD
200000.00000000
USD
1.00000000
3.45500000
USD
2029-08-29
XXXX
-2988.28000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2036#CA9140
3140QHEN1
54792.34200000
PA
USD
51221.51000000
0.039404039727
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.02000000
N
N
N
N
N
N
SBNA AUTO LEASE TRUST 2024-C
N/A
SBNA AUTO LEASE TRUST 2024-C 4.56% 02/22/2028 144A
78398DAC1
2974.40000000
PA
USD
2980.06000000
0.002292521298
Long
ABS-CBDO
CORP
US
N
2
2028-02-22
Fixed
0.04560000
N
N
N
N
N
N
ONITY LOAN INVESTMENT TRUST 2024-HB2
N/A
ONITY LOAN INVESTMENT TRUST 2024-HB2 A 5% 08/25/2037 144A
68278DAA1
170929.29000000
PA
USD
170929.17000000
0.131493581608
Long
ABS-CBDO
CORP
US
N
2
2037-08-25
Fixed
0.05000000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TR 2024-B
N/A
AFFIRM ASSET SECURITIZATION TR 2024-B A 4.62% 09/15/2029 144A
00835AAA6
320000.00000000
PA
USD
320841.63000000
0.246819282266
Long
ABS-CBDO
CORP
US
N
2
2029-09-15
Fixed
0.04620000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885799 12/15/56 S
N/A
200000.00000000
NC
USD
-2349.54000000
-0.00180747048
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
4010.12000000
USD
200000.00000000
USD
1660.58000000
N
N
N
MORGAN STANLEY CAP I TR 2024-NSTB
N/A
MORGAN STANLEY CAP I TR 2024-NSTB A VAR 07/20/2032 144A
61690BAA0
55310.05000000
PA
USD
54607.58000000
0.042008899225
Long
ABS-MBS
CORP
US
N
2
2057-09-24
Variable
0.03900000
N
N
N
N
N
N
FORD CR FLOORPLN MAST OWN TR A
5493001DTG5N7T8BG747
FORD CR FLOORPLN MAST OWN TR A 4.3% 09/15/2029 144A
34528QJK1
1000000.00000000
PA
USD
1007714.70000000
0.775221778370
Long
ABS-CBDO
CORP
US
N
2
2029-09-15
Fixed
0.04300000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING 2024-4 LLC
N/A
ENTERPRISE FLEET FINANCING 2024-4 LLC 4.56% 11/20/2028 144A
29374MAC2
50000.00000000
PA
USD
50553.66000000
0.038890271431
Long
ABS-CBDO
CORP
US
N
2
2028-11-20
Fixed
0.04560000
N
N
N
N
N
N
CFMT 2024-R1 LLC
N/A
CFMT 2024-R1 A1 LLC 4% 10/25/2054 144A
12530YAA7
353747.67000000
PA
USD
349389.64000000
0.268780894101
Long
ABS-CBDO
CORP
US
N
2
2054-10-25
Fixed
0.04000000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2024-GRP
N/A
WELLS FARGO COML MTG 2024-GRP A TSFR1M+179.132 10/15/2041 144A
95003YAA0
100000.00000000
PA
USD
99869.81000000
0.076828542556
Long
ABS-MBS
CORP
US
N
2
2041-10-15
Variable
0.05450970
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2024-GRP
N/A
WELLS FARGO COML MTG TR 2024-GRP TSFR1M+229.06 10/15/2041 144A
95003YAC6
100000.00000000
PA
USD
100034.78000000
0.076955451826
Long
ABS-MBS
CORP
US
N
2
2041-10-15
Variable
0.05950260
N
N
N
N
N
N
PRPM 2024-RCF6 LLC
N/A
PRPM 2024-RCF6 A1 LLC VAR 10/25/2054 144A
74390FAA7
158363.71000000
PA
USD
156918.09000000
0.120715040465
Long
ABS-CBDO
CORP
US
N
2
2064-10-25
Variable
0.04000000
N
N
N
N
N
N
GREENSKY HOME IMPROVEMENT TRUST 2024-2
N/A
GREENSKY HOME IMPROVEMENT TRUST 2024-2 5.25% 10/27/2059 144A
39571XAB0
17069.77000000
PA
USD
17103.64000000
0.013157607224
Long
ABS-CBDO
CORP
US
N
2
2059-10-27
Fixed
0.05250000
N
N
N
N
N
N
OPORTUN FUNDING TRUST 2024-3
N/A
OPORTUN FUNDING TRUST 2024-3 5.26% 08/15/2029 144A
68377NAA9
469.55000000
PA
USD
469.68000000
0.000361318699
Long
ABS-CBDO
CORP
US
N
2
2029-08-15
Fixed
0.05260000
N
N
N
N
N
N
WELLS FARGO CARD ISSUANCE TRUST
N/A
WELLS FARGO CARD ISSUANCE TRUST 4.29% 10/15/2029
92970QAE5
110000.00000000
PA
USD
111095.48000000
0.085464304107
Long
ABS-CBDO
CORP
US
N
2
2029-10-15
Fixed
0.04290000
N
N
N
N
N
N
BPR COML MTG TR 2024-PK
N/A
BPR COML MTG TR 2024-PARK A VAR 11/05/2039 144A
05593UAA3
700000.00000000
PA
USD
720132.35000000
0.553988426515
Long
ABS-MBS
CORP
US
N
2
2039-11-05
Variable
0.05391892
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 3.805 11/05/29
N/A
300000.00000000
NC
USD
9633.92000000
0.007411249032
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 11/07/34 SOFRV3.805%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-11-07
0.00000000
USD
0.00000000
USD
300000.00000000
USD
1.00000000
3.80500000
USD
2029-11-05
XXXX
-2439.58000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 3.805 11/05/29
N/A
300000.00000000
NC
USD
8358.97000000
0.006430446622
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 11/07/34 3.805%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-11-07
0.00000000
USD
0.00000000
USD
300000.00000000
USD
1.00000000
3.80500000
USD
2029-11-05
XXXX
-3714.53000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP REC 3.87 11/07/29
N/A
300000.00000000
NC
USD
10067.66000000
0.007744919558
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS FSWP IRS 11/09/34 SOFRV3.87%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-11-09
0.00000000
USD
0.00000000
USD
300000.00000000
USD
1.00000000
3.87000000
USD
2029-11-07
XXXX
-1774.84000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP PAY 3.87 11/07/29
N/A
300000.00000000
NC
USD
8011.28000000
0.006162973238
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS FSWP IRS 11/09/34 3.87%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2034-11-09
0.00000000
USD
0.00000000
USD
300000.00000000
USD
1.00000000
3.87000000
USD
2029-11-07
XXXX
-3831.22000000
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.625% 11/15/2044
912810UF3
520000.00000000
PA
USD
524895.31000000
0.403795117483
Long
DBT
UST
US
N
2
2044-11-15
Fixed
0.04625000
N
N
N
N
N
N
BX TR 2021-ACNT
N/A
BX TR 2021-ACNT TSFR1M+136.448 11/15/2038 144A
05609QAC0
74705.31800000
PA
USD
74681.97000000
0.057451865687
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.05024480
N
N
N
N
N
N
VERIZON MASTER TRUST
N/A
VERIZON MASTER TRUST 4.62% 11/20/2030
92348KDM2
1305000.00000000
PA
USD
1325239.90000000
1.019489774283
Long
ABS-CBDO
CORP
US
N
2
2030-11-20
Fixed
0.04620000
N
N
N
N
N
N
PRPM 2024-RPL4 LLC
N/A
PRPM 2024-RPL4 A1 LLC STEP 12/25/2054 144A
74448MAA4
436009.52000000
PA
USD
429716.07000000
0.330574969264
Long
ABS-CBDO
CORP
US
N
2
2054-12-25
Variable
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 11/01/2036#FM9724
3140XDYW0
13907.92800000
PA
USD
12973.29000000
0.009980182828
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02000000
N
N
N
N
N
N
BX COML MTG TR 2024-GPA3
N/A
BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A
123910AA9
736293.43200000
PA
USD
736523.52000000
0.566597939859
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
0.04952470
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885799 12/15/56 S
N/A
100000.00000000
NC
USD
-1174.77000000
-0.00090373524
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
1538.99000000
USD
100000.00000000
USD
364.22000000
N
N
N
TCO COML MTG TR 2024-DPM
N/A
TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM A TSFR1M+139.27 12/15/2039 144A
87231EAA5
100000.00000000
PA
USD
100125.08000000
0.077024918438
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
0.04902560
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 10/01/2036#FS9362
3140XRML6
168050.56400000
PA
USD
154091.06000000
0.118540243150
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
0.01500000
N
N
N
N
N
N
OWN EQUIPMENT FUND I LLC
N/A
OWN EQUIPMENT FUND I LLC 5.7% 12/20/2032 144A
69121NAA6
157767.36000000
PA
USD
161009.94000000
0.123862847313
Long
ABS-CBDO
CORP
US
N
2
2032-12-20
Fixed
0.05700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 08/01/2036#RC2193
3133L8NJ0
90445.33700000
PA
USD
84890.16000000
0.065304893142
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 07/01/2036#FM7881
3140XBXK1
46717.81700000
PA
USD
43848.39000000
0.033731994655
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 12/20/2054#MB0092
3618N5C64
82590.35600000
PA
USD
83831.92000000
0.064490802909
Long
ABS-MBS
USGA
US
N
2
2054-12-20
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 6% 07/01/2039#SB1215
3132CXK43
98168.33400000
PA
USD
101683.60000000
0.078223867552
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.75% 10/25/2051
3137H3EQ1
180255.75600000
PA
USD
149351.65000000
0.114894276838
Long
ABS-CBDO
USGSE
US
N
2
2051-10-25
Fixed
0.01750000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA 2.25% 09/25/2046
3136BMBT4
85200.57600000
PA
USD
80081.51000000
0.061605661400
Long
ABS-CBDO
USGSE
US
N
2
2046-09-25
Fixed
0.02250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.5% 01/01/2055#CB9828
3140QV4N1
127638.06200000
PA
USD
135493.67000000
0.104233513528
Long
ABS-MBS
USGSE
US
N
2
2055-01-01
Fixed
0.06500000
N
N
N
N
N
N
EVERGREEN CR CARD TR
N/A
EVERGREEN CR CARD TR 5.24% 05/15/2029 144A
30023JCX4
700000.00000000
PA
USD
708517.88000000
0.545053566193
Long
ABS-CBDO
CORP
CA
N
2
2029-05-15
Fixed
0.05240000
N
N
N
N
N
N
DLLAA 2025-1 LLC
N/A
DLLAA 2025-1 LLC 4.95% 09/20/2029 144A
233249AC5
85000.00000000
PA
USD
86850.42000000
0.066812895598
Long
ABS-CBDO
CORP
US
N
2
2029-09-20
Fixed
0.04950000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TR
N/A
SANTANDER DRIVE AUTO RECEIVABLES TR 4.74% 01/16/2029
80288DAC0
18506.26000000
PA
USD
18553.38000000
0.014272873302
Long
ABS-CBDO
CORP
US
N
2
2029-01-16
Fixed
0.04740000
N
N
N
N
N
N
REACH ABS TRUST 2025-1
N/A
REACH ABS TRUST 2025-1 4.96% 08/16/2032 144A
75525PAA0
253450.75000000
PA
USD
254137.12000000
0.195504372533
Long
ABS-CBDO
CORP
US
N
2
2032-08-16
Fixed
0.04960000
N
N
N
N
N
N
BARINGS EQUIPMENT FINANCE LLC 2025-A
N/A
BARINGS EQUIPMENT FINANCE LLC 2025-A 4.64% 10/13/2028 144A
06764MAB0
299702.00000000
PA
USD
301450.37000000
0.231901838806
Long
ABS-CBDO
CORP
US
N
2
2028-10-13
Fixed
0.04640000
N
N
N
N
N
N
SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A
N/A
SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A 5.67% 07/25/2031 144A
81378RAB0
5701.16000000
PA
USD
5762.14000000
0.004432739165
Long
ABS-CBDO
CORP
CA
N
2
2031-07-25
Fixed
0.05038000
N
N
N
N
N
N
BX TRUST 2025-DIME
N/A
BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A
05613UAA9
1060000.00000000
PA
USD
1058567.30000000
0.814342020445
Long
ABS-MBS
CORP
US
N
2
2035-02-15
Variable
0.04809650
N
N
N
N
N
N
POST ROAD EQUIPMENT FINANCE 2025-1 LLC
N/A
POST ROAD EQUIPMENT FINANCE 2025-1 LLC 4.9% 05/15/2031 144A
73747LAB4
85642.23000000
PA
USD
86397.11000000
0.066464170126
Long
ABS-CBDO
CORP
US
N
2
2031-05-15
Fixed
0.04900000
N
N
N
N
N
N
PEAC SOLUTIONS RECEIVABLES 2025-1 LLC
N/A
PEAC SOLUTIONS RECEIVABLES 2025-1 LLC 4.94% 10/20/2028 144A
69392HAB9
44104.25000000
PA
USD
44366.34000000
0.034130446836
Long
ABS-CBDO
CORP
US
N
2
2028-10-20
Fixed
0.04940000
N
N
N
N
N
N
OPORTUN FUNDING TRUST 2025-1
N/A
OPORTUN FUNDING TRUST 2025-1 A 4.96% 08/16/2032 144A
68377PAA4
26486.49000000
PA
USD
26510.41000000
0.020394112724
Long
ABS-CBDO
CORP
US
N
2
2032-08-16
Fixed
0.04960000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA SOFR30A+153 07/25/2054
3136BSMZ5
62394.12500000
PA
USD
63222.34000000
0.048636121759
Long
ABS-CBDO
USGSE
US
N
2
2054-07-25
Variable
0.05197210
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053
3136BQRD3
149202.70900000
PA
USD
151022.19000000
0.116179401476
Long
ABS-CBDO
USGSE
US
N
2
2053-11-25
Variable
0.05117210
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055
3137HJYG6
123939.33000000
PA
USD
124828.61000000
0.096029021940
Long
ABS-CBDO
USGSE
US
N
2
2055-02-25
Variable
0.04817210
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054
3136BUGA2
130590.55400000
PA
USD
131654.71000000
0.101280251659
Long
ABS-CBDO
USGSE
US
N
2
2054-06-25
Variable
0.04867210
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTN TII 2.375% 02/15/2055
912810UH9
380000.00000000
PA
USD
384788.98000000
0.296013144765
Long
DBT
UST
US
N
2
2055-02-15
Fixed
0.02375000
N
N
N
N
N
N
BX TRUST 2025-ROIC
N/A
BX Trust 2025-ROIC VAR 03/15/2030 144A
05593VAA1
160066.56500000
PA
USD
159866.48000000
0.122983198446
Long
ABS-MBS
CORP
US
N
2
2030-03-15
Variable
0.04803480
N
N
N
N
N
N
BX TRUST 2025-ROIC
N/A
BX TRUST 2025-ROIC B TSFR1M+149.33 03/15/2030 144A
05593VAG8
21472.35000000
PA
USD
21418.67000000
0.016477103537
Long
ABS-MBS
CORP
US
N
2
2030-03-15
Variable
0.05053130
N
N
N
N
N
N
BX TRUST 2025-ROIC
N/A
BX TRUST 2025-ROIC C TSFR1M+169 03/15/2030 144A
05593VAJ2
585609.40000000
PA
USD
584148.36000000
0.449377716204
Long
ABS-MBS
CORP
US
N
2
2030-03-15
Floating
0.05202920
N
N
N
N
N
N
AFFIRM MASTER TRUST
N/A
AFFIRM MASTER TRUST 4.99% 02/15/2033 144A
00833BAA6
235000.00000000
PA
USD
237224.44000000
0.182493668346
Long
ABS-CBDO
CORP
US
N
2
2033-02-15
Fixed
0.04990000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885799 12/15/56 S
N/A
500000.00000000
NC
USD
-5873.85000000
-0.00451867621
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
6514.81000000
USD
500000.00000000
USD
640.96000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY885799 12/15/56 S
N/A
300000.00000000
NC
USD
-3524.31000000
-0.00271120572
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
4425.18000000
USD
300000.00000000
USD
900.87000000
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A
N/A
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.35% 12/15/2027
98164PAB6
118217.04000000
PA
USD
118428.54000000
0.091105531544
Long
ABS-CBDO
CORP
US
N
2
2027-12-15
Fixed
0.04350000
N
N
N
N
N
N
VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1
N/A
VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.41% 11/15/2027 144A
92887TAB7
120752.97000000
PA
USD
120971.12000000
0.093061505183
Long
ABS-CBDO
CORP
US
N
2
2027-11-15
Fixed
0.04410000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST 2025
N/A
JOHN DEERE OWNER TRUST 2025 4.23% 03/15/2028 REGS
47800DAB0
170222.85000000
PA
USD
170505.64000000
0.131167765502
Long
ABS-CBDO
CORP
US
N
2
2028-03-15
Fixed
0.04230000
N
N
N
N
N
N
ARI FLEET LEASE TRUST 2025-A
N/A
ARI FLEET LEASE TRUST 2025-A 4.38% 01/17/2034 144A
04033CAB2
87750.66000000
PA
USD
88047.60000000
0.067733870562
Long
ABS-CBDO
CORP
US
N
2
2034-01-17
Fixed
0.04380000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1
N/A
GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.52% 10/15/2027 144A
39154GAH9
128019.35000000
PA
USD
128414.17000000
0.098787346493
Long
ABS-CBDO
CORP
US
N
2
2027-10-15
Fixed
0.04520000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA GTD MTG PASS THRU 25-12 CTF SOFR30A+140 03/25/2055
3136BVFK9
154247.46000000
PA
USD
155738.35000000
0.119807481867
Long
ABS-CBDO
USGSE
US
N
2
2055-03-25
Variable
0.05067210
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885799 12/15/56 S
N/A
200000.00000000
NC
USD
-2349.54000000
-0.00180747048
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
3063.19000000
USD
200000.00000000
USD
713.65000000
N
N
N
GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1
N/A
GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.49% 04/16/2029 144A
39154GAJ5
150000.00000000
PA
USD
151806.57000000
0.116782814782
Long
ABS-CBDO
CORP
US
N
2
2029-04-16
Fixed
0.04490000
N
N
N
N
N
N
CCG RECEIVABLES TRUST.
N/A
CCG RECEIVABLES TRUST. 4.48% 10/14/2032 144A
12515XAB6
84290.25000000
PA
USD
84712.44000000
0.065168175463
Long
ABS-CBDO
CORP
US
N
2
2032-10-14
Fixed
0.04480000
N
N
N
N
N
N
CCG RECEIVABLES TRUST.
N/A
CCG RECEIVABLES TRUST. 4.69% 10/14/2032 144A
12515XAC4
250000.00000000
PA
USD
253917.10000000
0.195335114016
Long
ABS-CBDO
CORP
US
N
2
2032-10-14
Fixed
0.04690000
N
N
N
N
N
N
GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1
N/A
GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1 4.8% 12/11/2037 144A
36271NAB1
250000.00000000
PA
USD
256176.35000000
0.197073125581
Long
ABS-CBDO
CORP
US
N
2
2037-12-11
Fixed
0.04800000
N
N
N
N
N
N
ARI FLEET LEASE TRUST 2025-A
N/A
ARI FLEET LEASE TRUST 2025-A 4.7% 01/17/2034 144A
04033CAD8
250000.00000000
PA
USD
254401.13000000
0.195707471983
Long
ABS-CBDO
CORP
US
N
2
2034-01-17
Fixed
0.04700000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A
N/A
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.68% 05/15/2030
98164PAF7
250000.00000000
PA
USD
253018.33000000
0.194643701975
Long
ABS-CBDO
CORP
US
N
2
2030-05-15
Fixed
0.04680000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TR 2025-N1
N/A
CARVANA AUTO RECEIVABLES TR 2025-N1 A3 4.91% 08/10/2029 144A
14688XAC1
100000.00000000
PA
USD
100823.09000000
0.077561888429
Long
ABS-CBDO
CORP
US
N
2
2029-08-10
Fixed
0.04910000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2025-VTT
N/A
WELLS FARGO COML MTG TR 2025-VTT A VAR 03/15/2038 144A
94990GAA7
100000.00000000
PA
USD
100953.02000000
0.077661841884
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.05270382
N
N
N
N
N
N
BANKERS HEALTHCARE GROUP SECURITIZATION TRUST
N/A
BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 4.82% 04/17/2036 144A
08860AAA7
120701.34000000
PA
USD
122583.22000000
0.094301672692
Long
ABS-CBDO
CORP
US
N
2
2036-04-17
Fixed
0.04820000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TR 2025-P1
N/A
CARVANA AUTO RECEIVABLES TR 2025-P1 4.98% 05/12/2031
14689MAE0
200000.00000000
PA
USD
206586.68000000
0.158924439087
Long
ABS-CBDO
CORP
US
N
2
2031-05-12
Fixed
0.04980000
N
N
N
N
N
N
DEXT ABS 2025-1 LLC
N/A
DEXT ABS 2025-1 LLC 4.77% 08/15/2035 144A
252154AC3
1460000.00000000
PA
USD
1476267.32000000
1.135673199131
Long
ABS-CBDO
CORP
US
N
2
2035-08-15
Fixed
0.04770000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 4.87% 05/15/2031
80287NAD7
200000.00000000
PA
USD
202552.10000000
0.155820689302
Long
ABS-CBDO
CORP
US
N
2
2031-05-15
Fixed
0.04870000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TR
N/A
GMF FLOORPLAN OWNER REVOLVING TR 4.79% 03/15/2029 144A
361886DZ4
100000.00000000
PA
USD
100701.40000000
0.077468273899
Long
ABS-CBDO
CORP
US
N
2
2029-03-15
Fixed
0.04790000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 04/01/2036#MA4321
31418DYT3
449207.83900000
PA
USD
408664.68000000
0.314380409442
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.01500000
N
N
N
N
N
N
BMO 2025-5C9 MTG TR
N/A
BMO 2025-5C9 MTG TR 5.7785% 04/15/2058
096933AC0
1400000.00000000
PA
USD
1477452.48000000
1.136584927265
Long
ABS-MBS
CORP
US
N
2
2058-04-15
Variable
0.05778500
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2025-SPOT
N/A
BX COMMERCIAL MORTGAGE TRUST 2025-SPOT TSFR1M+144.34 04/15/2040 144A
12433FAA6
90664.21000000
PA
USD
90777.54000000
0.069833977806
Long
ABS-MBS
CORP
US
N
2
2040-04-15
Variable
0.05103010
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 3.94 03/21/30
N/A
400000.00000000
NC
USD
13998.86000000
0.010769140456
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 03/25/35 SOFRV3.94%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-03-25
0.00000000
USD
0.00000000
USD
400000.00000000
USD
1.00000000
3.94000000
USD
2030-03-21
XXXX
-1429.14000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 3.94 03/21/30
N/A
400000.00000000
NC
USD
11100.07000000
0.008539139108
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 03/25/35 3.94%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-03-25
0.00000000
USD
0.00000000
USD
400000.00000000
USD
1.00000000
3.94000000
USD
2030-03-21
XXXX
-4327.93000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2036#FS4058
3140XKQL7
97398.82000000
PA
USD
93191.99000000
0.071691382707
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.02500000
N
N
N
N
N
N
TOWD PT MTG TR 2018-1
N/A
TOWD PT MTG TR 2018-1 3.25% 01/25/2058 144A
89176EAB6
700000.00000000
PA
USD
688351.86000000
0.529540109967
Long
ABS-CBDO
CORP
US
N
2
2058-01-25
Fixed
0.03250000
N
N
N
N
N
N
BANK5 2025-5YR14
N/A
BANK5 2025-5YR14 5.646% 04/15/2058
06604MAC2
200000.00000000
PA
USD
210940.34000000
0.162273652954
Long
ABS-MBS
CORP
US
N
2
2058-04-15
Fixed
0.05646000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY885799 12/15/56 S
N/A
100000.00000000
NC
USD
-1174.77000000
-0.00090373524
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
2665.63000000
USD
100000.00000000
USD
1490.86000000
N
N
N
DELL EQUIP FIN TR 2025-1
N/A
DELL EQUIP FIN TR 2025-1 4.61% 02/24/2031 144A
24703UAE3
300000.00000000
PA
USD
303622.68000000
0.233572968562
Long
ABS-CBDO
CORP
US
N
2
2031-02-24
Fixed
0.04610000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP REC 4.03 04/25/30
N/A
200000.00000000
NC
USD
7447.06000000
0.005728926150
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 04/29/35 SOFRV4.03%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-04-29
0.00000000
USD
0.00000000
USD
200000.00000000
USD
1.00000000
4.03000000
USD
2030-04-25
XXXX
-442.94000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP PAY 4.03 04/25/30
N/A
200000.00000000
NC
USD
5400.06000000
0.004154195742
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 04/29/35 4.03%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-04-29
0.00000000
USD
0.00000000
USD
200000.00000000
USD
1.00000000
4.03000000
USD
2030-04-25
XXXX
-2489.94000000
N
N
N
AFFIRM ASSET SECURITIZATION TR 2025-X1
N/A
AFFIRM ASSET SECURITIZATION TR 2025-X1 A 5.24% 04/15/2030 144A
00834MAA1
18860.95000000
PA
USD
18885.35000000
0.014528253494
Long
ABS-CBDO
CORP
US
N
2
2030-04-15
Fixed
0.05080000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.5% 03/01/2040#FA1061
3140W1FB4
779765.55700000
PA
USD
802545.24000000
0.617387588149
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
0.05500000
N
N
N
N
N
N
AFFIRM ASSET SECURITIZATION TR 2025-X1
N/A
AFFIRM ASSET SECURITIZATION TR 2025-X1 5.19% 04/15/2030 144A
00834MAB9
400000.00000000
PA
USD
400782.80000000
0.308316981935
Long
ABS-CBDO
CORP
US
N
2
2030-04-15
Fixed
0.05190000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 03/01/2037#FS7773
3140XPT74
19670.43600000
PA
USD
18376.21000000
0.014136578731
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.02000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 4.065 05/02/30
N/A
1620000.00000000
NC
USD
43185.09000000
0.033221726614
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 05/06/35 4.065%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-05-06
0.00000000
USD
0.00000000
USD
1620000.00000000
USD
1.00000000
4.06500000
USD
2030-05-02
XXXX
-21776.91000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 4.065 05/02/30
N/A
1620000.00000000
NC
USD
61829.57000000
0.047564681959
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 05/06/35 SOFRV4.065%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-05-06
0.00000000
USD
0.00000000
USD
1620000.00000000
USD
1.00000000
4.06500000
USD
2030-05-02
XXXX
-3132.43000000
N
N
N
BOFA AUTO TRUST 2025-1
N/A
BOFA AUTO TRUST 2025-1 4.35% 11/20/2029 144A
05594BAD8
200000.00000000
PA
USD
201434.28000000
0.154960764953
Long
ABS-CBDO
CORP
US
N
2
2029-11-20
Fixed
0.04350000
N
N
N
N
N
N
VERUS 2025-4
N/A
VERUS 2025-4 A1 5.448% 05/25/2070 144A
92540UAC1
167081.14000000
PA
USD
168820.91000000
0.129871724681
Long
ABS-CBDO
CORP
US
N
2
2070-05-25
Fixed
0.05448000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 10/25/2053
3137HAT48
212965.19400000
PA
USD
216077.02000000
0.166225233897
Long
ABS-CBDO
USGSE
US
N
2
2053-10-25
Variable
0.05117210
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 4.01 05/07/30
N/A
410000.00000000
NC
USD
11310.84000000
0.008701281721
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 05/09/35 4.01%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-05-09
0.00000000
USD
0.00000000
USD
410000.00000000
USD
1.00000000
4.01000000
USD
2030-05-07
XXXX
-5206.01000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 4.01 05/07/30
N/A
410000.00000000
NC
USD
15109.62000000
0.011623633640
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 05/09/35 SOFRV4.01%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-05-09
0.00000000
USD
0.00000000
USD
410000.00000000
USD
1.00000000
4.01000000
USD
2030-05-07
XXXX
-1407.23000000
N
N
N
RCO VIII MORTGAGE LLC 2025-3
N/A
RCO VIII MORTGAGE LLC 2025-3 VAR 05/25/2030 144A
74939GAA3
111343.40000000
PA
USD
111499.21000000
0.085774888332
Long
ABS-CBDO
CORP
US
N
2
2030-05-25
Variable
0.06434500
N
N
N
N
N
N
AUTONATION FINANCE TRUST 2025-1
N/A
AUTONATION FINANCE TRUST 2025-1 4.72% 04/10/2028 144A
05330QAB8
53204.89000000
PA
USD
53308.20000000
0.041009303134
Long
ABS-CBDO
CORP
US
N
2
2028-04-10
Fixed
0.04720000
N
N
N
N
N
N
CROSS 2025-H4 MTG TR
N/A
CROSS 2025-H4 MTG TR A1 VAR 06/25/2070 144A
22790AAA3
85441.92000000
PA
USD
86538.47000000
0.066572916531
Long
ABS-CBDO
CORP
US
N
2
2070-06-25
Variable
0.05596000
N
N
N
N
N
N
BRAVO RESIDENTIAL FDG TR 2025-NQM5
N/A
BRAVO RESIDENTIAL FDG TR 2025-NQM5 A1 VAR 02/25/2065 144A
10569RAC6
112125.83000000
PA
USD
113346.56000000
0.087196030598
Long
ABS-CBDO
CORP
US
N
2
2065-02-25
Variable
0.05496000
N
N
N
N
N
N
ALA TRUST 2025-OANA
N/A
ALA TRUST 2025-OANA A VAR 06/15/2040 144A
009920AA7
141000.00000000
PA
USD
141707.40000000
0.109013654992
Long
ABS-MBS
CORP
US
N
2
2040-06-15
Variable
0.05402630
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 XB CSTR 05/15/2058
949931AE9
2000000.00000000
PA
USD
43595.00000000
0.033537065032
Long
ABS-MBS
CORP
US
N
2
2058-05-15
Variable
0.00514698
N
N
N
N
N
N
AVIS BUDGET RENT CAR FDG AESOP LLC
IHXLB8SL0QWSSG2VG640
AVIS BUDGET RENTCAR FDG AE LLC 4.8% 08/20/2029 144A
05377RKL7
100000.00000000
PA
USD
101759.14000000
0.078281979489
Long
ABS-CBDO
CORP
US
N
2
2029-08-20
Fixed
0.04800000
N
N
N
N
N
N
VERD 2025-1A A2
N/A
VERD 2025-1A A2 4.85% 03/13/2028 144A
92340GAB6
85667.85000000
PA
USD
86035.89000000
0.066186288291
Long
ABS-CBDO
CORP
US
N
2
2028-03-13
Fixed
0.04850000
N
N
N
N
N
N
AMUR EQUIP FIN RECEIVABLES XV LLC
N/A
AMUR EQUIP FIN RECEIVABLES XV LLC 4.7% 09/22/2031 144A
03237FAB1
1184650.25800000
PA
USD
1197504.90000000
0.921224904415
Long
ABS-CBDO
CORP
US
N
2
2031-09-22
Fixed
0.04700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 02/01/2037#SB1503
3132CXU42
2686535.58000000
PA
USD
2450359.28000000
1.885029442051
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
0.01500000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST 2025-5
N/A
VERUS SECURITIZATION TRUST 2025-5 A1 VAR 06/25/2070 144A
92540XAA9
426787.83000000
PA
USD
431161.25000000
0.331686727393
Long
ABS-CBDO
CORP
US
N
2
2070-06-25
Variable
0.05427000
N
N
N
N
N
N
OBX 2025-NQM10
N/A
OBX 2025-NQM10 A1 STEP 05/25/2056 144A
67121LAA4
406923.25000000
PA
USD
411332.59000000
0.316432797816
Long
ABS-CBDO
CORP
US
N
2
2065-05-25
Variable
0.05453000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885799 12/15/56 S
N/A
600000.00000000
NC
USD
-7048.62000000
-0.00542241145
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S17 PRC CORP
CY885799
Y
2056-12-15
0.00000000
USD
10112.94000000
USD
600000.00000000
USD
3064.32000000
N
N
N
OPORTUN ISSUANCE TRUST 2025-B
N/A
OPORTUN ISSUANCE TRUST 2025-B 4.88% 05/09/2033 144A
68378QAA1
100000.00000000
PA
USD
100585.88000000
0.077379405870
Long
ABS-CBDO
CORP
US
N
2
2033-05-09
Fixed
0.04880000
N
N
N
N
N
N
PRET 2025-RPL3
N/A
PRET 2025-RPL3 A1 STEP 4.15% 04/25/2065 144A
69382RAA1
93050.97000000
PA
USD
91766.31000000
0.070594625674
Long
ABS-CBDO
CORP
US
N
2
2065-04-25
Variable
0.04150000
N
N
N
N
N
N
SCLP 2025-2
N/A
SCLP 2025-2 4.82% 06/25/2034 144A
83407HAA5
202229.03000000
PA
USD
203300.14000000
0.156396146720
Long
ABS-CBDO
CORP
US
N
2
2034-06-25
Fixed
0.04820000
N
N
N
N
N
N
WESTF 2025-A
N/A
WESTF 2025-A 5.582% 06/15/2050 144A
97063RAA8
244081.99000000
PA
USD
249922.80000000
0.192262351111
Long
ABS-CBDO
CORP
US
N
2
2050-06-15
Fixed
0.05582000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 S
N/A
150000.00000000
NC
USD
-25110.51000000
-0.01931718790
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
0.00000000
USD
24327.44000000
USD
150000.00000000
USD
-783.07000000
N
N
N
ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1
N/A
ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1 4.82% 07/14/2038 144A
68270DAA9
1000000.00000000
PA
USD
1019062.60000000
0.783951569866
Long
ABS-CBDO
CORP
US
N
2
2038-07-14
Fixed
0.04820000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5330 FA SOFR30A+105 08/25/2053
3137HAFW1
187167.18000000
PA
USD
188443.74000000
0.144967311924
Long
ABS-CBDO
USGSE
US
N
2
2053-08-25
Variable
0.04717210
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054
3137HCYX4
131893.32000000
PA
USD
133109.94000000
0.102399741122
Long
ABS-CBDO
USGSE
US
N
2
2054-06-25
Variable
0.04867210
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY885802 12/15/56 S
N/A
100000.00000000
NC
USD
-13303.29000000
-0.01023404752
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S17 PRC INDX
CY885802
Y
2056-12-15
0.00000000
USD
11945.76000000
USD
100000.00000000
USD
-1357.53000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+105 04/25/2055
3137HKUC6
169115.94700000
PA
USD
170072.79000000
0.130834779641
Long
ABS-CBDO
USGSE
US
N
2
2055-04-25
Variable
0.04717210
N
N
N
N
N
N
PRPM 2025-RCF3 LLC
N/A
PRPM 2025-RCF3 A1 LLC VAR 07/25/2055 144A
69392PAA3
163246.15000000
PA
USD
164070.51000000
0.126217303905
Long
ABS-CBDO
CORP
US
N
2
2055-07-25
Variable
0.05250000
N
N
N
N
N
N
OCWEN LOAN INVESTMENT TRUST
N/A
OCWEN LOAN INVESTMENT TRUST HB1 A VAR 06/25/2038 144A
68278EAA9
46040.30000000
PA
USD
45333.53000000
0.034874493491
Long
ABS-CBDO
CORP
US
N
2
2038-06-25
Variable
0.03000000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY873248 04/17/65 S
N/A
100000.00000000
NC
USD
-16740.34000000
-0.01287812527
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
0.00000000
USD
15318.73000000
USD
100000.00000000
USD
-1421.61000000
N
N
N
CENT TRUST 2025-CITY
N/A
CENT TRUST 2025-CITY A VAR 07/10/2040 144A
12517TAA5
100000.00000000
PA
USD
102514.01000000
0.078862691136
Long
ABS-MBS
CORP
US
N
2
2040-07-10
Variable
0.04919988
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 07/01/2055#CC0730
3140Y6Y46
194274.52600000
PA
USD
200455.06000000
0.154207463775
Long
ABS-MBS
USGSE
US
N
2
2055-07-01
Fixed
0.06000000
N
N
N
N
N
N
CENT TRUST 2025-CITY
N/A
CENT TRUST 2025-CITY VAR 07/10/2040 144A
12517TAC1
1571000.00000000
PA
USD
10270.57000000
0.007901015575
Long
ABS-MBS
CORP
US
N
2
2040-07-10
Fixed
0.00208179
N
N
N
N
N
N
FHLMC MFD HSG COP GTD (FREDMAC
N/A
FHLMC REMI 30YR 6% 04/01/2055#RJ4028
3142GUPN7
67333.47900000
PA
USD
70398.55000000
0.054156686536
Long
ABS-MBS
USGSE
US
N
2
2055-04-01
Fixed
0.06000000
N
N
N
N
N
N
NYMT LOAN TRUST 2025-CP1
N/A
NYMT LOAN TRUST 2025-CP1 A1 3.75% 11/25/2069 144A
67121VAA2
462996.86000000
PA
USD
453406.39000000
0.348799623524
Long
ABS-CBDO
CORP
US
N
2
2069-11-25
Fixed
0.03750000
N
N
N
N
N
N
REACH ABS TR 2025-2
N/A
REACH ABS TR 2025-2 4.93% 08/18/2032 144A
75525QAA8
63684.70000000
PA
USD
63976.19000000
0.049216048734
Long
ABS-CBDO
CORP
US
N
2
2032-08-18
Fixed
0.04930000
N
N
N
N
N
N
WHEELS FLEET LEASE FUNDING 1 LLC
549300BSFY0E0XXREF43
WHEELS FLEET LEASE FUNDING 1 LLC 4.41% 05/18/2040 144A
96328GCK1
2300000.00000000
PA
USD
2322893.05000000
1.786971333439
Long
ABS-CBDO
CORP
US
N
2
2040-05-18
Fixed
0.04410000
N
N
N
N
N
N
EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2
N/A
EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 4.43% 08/15/2030
30185EAC7
1505000.00000000
PA
USD
1517088.46000000
1.167076369836
Long
ABS-CBDO
CORP
US
N
2
2030-08-15
Fixed
0.04430000
N
N
N
N
N
N
DLLAD LLC
N/A
DLLAD LLC 4.42% 09/20/2030 144A
23347BAC3
100000.00000000
PA
USD
101598.21000000
0.078158178138
Long
ABS-CBDO
CORP
US
N
2
2030-09-20
Fixed
0.04420000
N
N
N
N
N
N
RCKT TRUST 2025-1A
N/A
RCKT TRUST 2025-1A 4.9% 07/25/2034 144A
74939RAA9
47811.40000000
PA
USD
47924.89000000
0.036867992948
Long
ABS-CBDO
CORP
US
N
2
2034-07-25
Fixed
0.04900000
N
N
N
N
N
N
BENCHMARK 2025-V16 MORTGAGE TRUST
N/A
BENCHMARK 2025-V16 MORTGAGE TRUST VAR 08/15/2057 144A
08164RAE5
1000000.00000000
PA
USD
14685.40000000
0.011297286726
Long
ABS-MBS
CORP
US
N
2
2058-08-15
Variable
0.00326728
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+53 06/25/2030
3137HMCF5
300000.00000000
PA
USD
299882.52000000
0.230695712245
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
0.04209240
N
N
N
N
N
N
SCG 2025-FLWR
N/A
SCG 2025-FLWR 5.65% 08/15/2030 144A
78438AAA3
1000000.00000000
PA
USD
1002494.30000000
0.771205792723
Long
ABS-MBS
CORP
US
N
2
2042-08-15
Variable
0.04909650
N
N
N
N
N
N
BHG 2025-2CON
N/A
BHG 2025-2CON 4.84% 09/17/2036 144A
05494LAA3
1816247.49000000
PA
USD
1845355.40000000
1.419607846262
Long
ABS-CBDO
CORP
US
N
2
2036-09-17
Fixed
0.04840000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.75% 08/15/2055
912810UM8
390000.00000000
PA
USD
397129.69000000
0.305506692048
Long
DBT
UST
US
N
2
2055-08-15
Fixed
0.04750000
N
N
N
N
N
N
OBX 2025-NQM14 A1
N/A
OBX 2025-NQM14 STEP 08/25/2064 144A
673924AC0
419945.76000000
PA
USD
422947.53000000
0.325368019702
Long
ABS-CBDO
CORP
US
N
2
2065-07-25
Variable
0.05162000
N
N
N
N
N
N
OCCU AUTO RECEIVABLES TRUST 2025-1
N/A
OCCU AUTO RECEIVABLES TRUST 2025-1 4.81% 11/15/2029 144A
67098SAC4
2200000.00000000
PA
USD
2220420.40000000
1.708140460011
Long
ABS-CBDO
CORP
US
N
2
2029-11-15
Fixed
0.04810000
N
N
N
N
N
N
FORDR 2025-2
N/A
FORDR 2025-2 STEP 02/15/2038 144A
34536BAB3
1700000.00000000
PA
USD
1741375.79000000
1.339617688156
Long
ABS-CBDO
CORP
US
N
2
2038-02-15
Variable
0.04670000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 08/01/2055#RJ4642
3142GVEQ0
192782.76000000
PA
USD
201934.91000000
0.155345893083
Long
ABS-MBS
USGSE
US
N
2
2055-08-01
Fixed
0.06000000
N
N
N
N
N
N
OPORTUN ISSUANCE TRUST 2025-C
N/A
OPORTUN ISSUANCE TRUST 2025-C 4.49% 07/08/2033 144A
68378RAA9
1100000.00000000
PA
USD
1102988.92000000
0.848514993465
Long
ABS-CBDO
CORP
US
N
2
2033-07-08
Fixed
0.04490000
N
N
N
N
N
N
BANK5 2025-5YR16
N/A
BANK5 2025-5YR16 VAR 08/15/2063
065934BE0
1000000.00000000
PA
USD
17703.60000000
0.013619148629
Long
ABS-MBS
CORP
US
N
2
2063-08-15
Variable
0.00346754
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM 2025-3
N/A
SOFI CONSUMER LOAN PROGRAM 2025-3 4.47% 08/15/2034 144A
83390JAA0
62926.01000000
PA
USD
63103.15000000
0.048544430446
Long
ABS-CBDO
CORP
US
N
2
2034-08-15
Fixed
0.04470000
N
N
N
N
N
N
BENCHMARK 2025-B41 MTG TR
N/A
BENCHMARK 2025-B41 MTG TR 5.40721% 07/15/2068
081935AW8
300000.00000000
PA
USD
318560.85000000
0.245064707953
Long
ABS-MBS
CORP
US
N
2
2068-07-15
Fixed
0.05407210
N
N
N
N
N
N
MHP 2025-MHIL2
N/A
MHP 2025-MHIL2 A 5.85/VAR 09/15/2030 144A
59317DAA3
1625000.00000000
PA
USD
1626349.56000000
1.251129509329
Long
ABS-MBS
CORP
US
N
2
2040-09-15
Variable
0.05159650
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TR 2025-4
N/A
EXETER AUTOMOBILE RECEIVABLES TR 2025-4 4.4% 05/15/2030
30167KAD3
145000.00000000
PA
USD
146169.64000000
0.112446398037
Long
ABS-CBDO
CORP
US
N
2
2030-05-15
Fixed
0.04400000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TR 2025-4
N/A
EXETER AUTOMOBILE RECEIVABLES TR 2025-4 4.39% 09/17/2029
30167KAC5
170000.00000000
PA
USD
170921.37000000
0.131487581170
Long
ABS-CBDO
CORP
US
N
2
2029-09-17
Fixed
0.04390000
N
N
N
N
N
N
UPX HIL 2025-1 ISSUER TR
N/A
UPX HIL 2025-1 ISSUER TR 6.22% 01/25/2047 144A
916925AB6
500000.00000000
PA
USD
509278.70000000
0.391781463047
Long
ABS-CBDO
CORP
US
N
2
2047-01-25
Fixed
0.06070000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+110 FB 11/25/2054
3137HHF97
693893.00700000
PA
USD
697877.34000000
0.536867937521
Long
ABS-CBDO
USGSE
US
N
2
2054-11-25
Variable
0.04767210
N
N
N
N
N
N
CARMAX SELECT RECEIVABLES TRUST 2025-B
N/A
CARMAX SELECT RECEIVABLES TRUST 2025-B 4.12% 03/15/2030
14320BAC3
1000000.00000000
PA
USD
1004979.10000000
0.773117316962
Long
ABS-CBDO
CORP
US
N
2
2030-03-15
Fixed
0.04120000
N
N
N
N
N
N
WORLD OMNI SELECT AUTO TRUST 2025-A
N/A
WORLD OMNI SELECT AUTO TRUST 2025-A 4.08% 08/15/2031
98164UAE9
40000.00000000
PA
USD
40210.77000000
0.030933621022
Long
ABS-CBDO
CORP
US
N
2
2031-08-15
Fixed
0.04080000
N
N
N
N
N
N
AFFIRM MASTER TRUST
N/A
AFFIRM MASTER TRUST 4.45% 10/16/2034 144A
00833BAN8
1000000.00000000
PA
USD
1007439.40000000
0.775009993670
Long
ABS-CBDO
CORP
US
N
2
2034-10-16
Fixed
0.04450000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP REC 3.853 09/16/30
N/A
400000.00000000
NC
USD
12881.13000000
0.009909285342
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS FSWP IRS 09/18/35 SOFRV3.853%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-09-18
0.00000000
USD
0.00000000
USD
400000.00000000
USD
1.00000000
3.85300000
USD
2030-09-16
XXXX
-348.87000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP PAY 3.853 09/16/30
N/A
400000.00000000
NC
USD
12541.03000000
0.009647650847
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS FSWP IRS 09/18/35 3.853%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-09-18
0.00000000
USD
0.00000000
USD
400000.00000000
USD
1.00000000
3.85300000
USD
2030-09-16
XXXX
-688.97000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 3.853 09/16/30
N/A
540000.00000000
NC
USD
16914.13000000
0.013011819653
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 09/18/35 3.853%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-09-18
0.00000000
USD
0.00000000
USD
540000.00000000
USD
1.00000000
3.85300000
USD
2030-09-16
XXXX
-824.87000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 3.853 09/16/30
N/A
540000.00000000
NC
USD
17373.27000000
0.013365030068
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 09/18/35 SOFRV3.853%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-09-18
0.00000000
USD
0.00000000
USD
540000.00000000
USD
1.00000000
3.85300000
USD
2030-09-16
XXXX
-365.73000000
N
N
N
HAVN TR 2025-MOB
N/A
HAVN TR 2025-MOB A TSFR1M+175 10/15/2027 144A
40408XAA9
15000.00000000
PA
USD
14971.88000000
0.011517672054
Long
ABS-MBS
CORP
US
N
2
2035-10-15
Variable
0.05359650
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT FUT JUN26 WNM6
N/A
2.00000000
NC
USD
3496.76000000
0.002690011871
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
UNITED STATES TREASURY BOND
UNITED STATES TREASURY BOND 0% 06/30/2040
2026-06-18
239628.24000000
USD
3496.76000000
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 10YR NOTE FUT (CBT)JUN26 TYM6
N/A
-23.00000000
NC
USD
-17522.14000000
-0.01347955381
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
UST NOTES
UST NOTES 0% 06/30/2040
2026-06-18
-2599446.61000000
USD
-17522.14000000
N
N
N
BMO 2025-5C12 MTG TR
N/A
BMO 2025-5C12 MTG TR VAR 10/15/2058
09663VAE0
2900000.00000000
PA
USD
97622.12000000
0.075099423948
Long
ABS-MBS
CORP
US
N
2
2058-10-15
Variable
0.00749246
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) FUT JUN26 FVM6
N/A
-16.00000000
NC
USD
-9277.56000000
-0.00713710593
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
UST NOTES
UST NOTES 0% 06/30/2040
2026-06-30
-1752597.44000000
USD
-9277.56000000
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) FUT JUN26 TUM6
N/A
142.00000000
NC
USD
42848.54000000
0.032962823088
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
UST NOTES
UST NOTES 0% 06/30/2040
2026-06-30
29668432.71000000
USD
42848.54000000
N
N
N
EXTENDED STAY AMERICA TRUST 2025-ESH
N/A
EXTENDED STAY AMERICA TRUST 2025-ESH VAR 10/15/2042 144A
30227TAA8
645000.00000000
PA
USD
645806.25000000
0.496810326978
Long
ABS-MBS
CORP
US
N
2
2042-10-15
Variable
0.04959650
N
N
N
N
N
N
EXTENDED STAY AMERICA TRUST 2025-ESH
N/A
EXTENDED STAY AMERICA TRUST 2025-ESH B TSFR1M+160 10/15/2042 144A
30227TAC4
25000.00000000
PA
USD
25046.83000000
0.019268199714
Long
ABS-MBS
CORP
US
N
2
2042-10-15
Variable
0.05259650
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 08/01/2055#RJ4643
3142GVER8
169838.29800000
PA
USD
177795.04000000
0.136775405870
Long
ABS-MBS
USGSE
US
N
2
2055-08-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 03/01/2056 #TBA
21H052637
-600000.00000000
PA
USD
-607725.54000000
-0.46751533333
Short
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 03/01/2056 #TBA
21H052637
650000.00000000
PA
USD
658369.34000000
0.506474948295
Long
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 4.5% 03/01/2041 #TBA
01F042434
950000.00000000
PA
USD
953748.04000000
0.733705930543
Long
ABS-MBS
USGA
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 5% 03/01/2041 #TBA
01F050437
4725000.00000000
PA
USD
4796797.79000000
3.690113990842
Long
ABS-MBS
USGA
US
N
2
2041-03-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 5% 03/01/2041 #TBA
01F050437
-3275000.00000000
PA
USD
-3324764.61000000
-2.55769806040
Short
ABS-MBS
USGA
US
N
2
2041-03-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6.5% 03/01/2056 #TBA
01F062630
50000.00000000
PA
USD
51923.83000000
0.039944325345
Long
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 6.5% 03/01/2056 #TBA
01F062630
-50000.00000000
PA
USD
-51923.83000000
-0.03994432534
Short
ABS-MBS
USGA
US
N
2
2056-03-01
Fixed
0.06500000
N
N
N
N
N
N
EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3
N/A
EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3 A3 4.4% 12/16/2030
30185FAC4
40000.00000000
PA
USD
40226.74000000
0.030945906535
Long
ABS-CBDO
CORP
US
N
2
2030-12-16
Fixed
0.04180000
N
N
N
N
N
N
INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA
N/A
INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA VAR 11/05/2037 144A
44989YAA6
100000.00000000
PA
USD
102070.47000000
0.078521481598
Long
ABS-MBS
CORP
US
N
2
2037-11-05
Variable
0.05041458
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST 2025-4
N/A
CARMAX AUTO OWNER TRUST 2025-4 3.97% 12/16/2030
14320HAD8
100000.00000000
PA
USD
100499.83000000
0.077313208727
Long
ABS-CBDO
CORP
US
N
2
2030-12-16
Fixed
0.03970000
N
N
N
N
N
N
PRPM 2025-RCF5 LLC
N/A
PRPM 2025-RCF5 LLC 4.839% 10/25/2055 144A
69384AAA6
919723.67000000
PA
USD
921213.99000000
0.708677910114
Long
ABS-CBDO
CORP
US
N
2
2055-10-25
Fixed
0.04839000
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST 2025-2
N/A
HPEFS EQUIPMENT TRUST 2025-2A A3 4.5% 11/22/2032 144A
442927AC3
500000.00000000
PA
USD
501979.75000000
0.386166475988
Long
ABS-CBDO
CORP
US
N
2
2032-11-22
Fixed
0.04030000
N
N
N
N
N
N
OPORTUN ISSUANCE TRUST 2025-D
N/A
OPORTUN ISSUANCE TRUST 2025-D 4.53% 02/08/2033 144A
68379HAA0
1000000.00000000
PA
USD
1003111.80000000
0.771680827421
Long
ABS-CBDO
CORP
US
N
2
2033-02-08
Fixed
0.04530000
N
N
N
N
N
N
EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3
N/A
EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3 4.67% 03/15/2032
30185FAD2
1000000.00000000
PA
USD
1009963.90000000
0.776952058601
Long
ABS-CBDO
CORP
US
N
2
2032-03-15
Fixed
0.04420000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST 2025-4
N/A
CARMAX AUTO OWNER TRUST 2025-4 4.42% 07/15/2031
14320HAF3
1000000.00000000
PA
USD
1017623.10000000
0.782844181287
Long
ABS-CBDO
CORP
US
N
2
2031-07-15
Fixed
0.04420000
N
N
N
N
N
N
OBX 2025-NQM19 TR
N/A
OBX 2025-NQM19 TR VAR 10/25/2065 144A
67449LAA9
940436.95000000
PA
USD
943400.83000000
0.725745956815
Long
ABS-CBDO
CORP
US
N
2
2065-10-25
Variable
0.04869000
N
N
N
N
N
N
RCKTL 2025-2
N/A
RCKTL 2025-2 4.6% 11/25/2034 144A
74939HAB9
1000000.00000000
PA
USD
1002692.60000000
0.771358342327
Long
ABS-CBDO
CORP
US
N
2
2034-11-27
Fixed
0.04600000
N
N
N
N
N
N
RCKTL 2025-2
N/A
RCKTL 2025-2 4.48% 11/25/2034 144A
74939HAA1
70357.87000000
PA
USD
70428.57000000
0.054179780530
Long
ABS-CBDO
CORP
US
N
2
2034-11-27
Fixed
0.04480000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
B1V7KEBTPIMZEU4LTD58
FEDERAL NAT MTG ASN GTD REM PA SOFR30A+70 09/25/2052
3136BNY91
273095.00200000
PA
USD
271534.13000000
0.208887665474
Long
ABS-CBDO
USGSE
US
N
2
2052-09-25
Variable
0.04367210
N
N
N
N
N
N
WHEELS FLEET LEASE FUNDING 1 LLC
549300BSFY0E0XXREF43
WHEELS FLEET LEASE FUNDING 1 LLC 25-3A A1 0% 09/18/2040 144A
96328GCP0
190000.00000000
PA
USD
190812.86000000
0.146789845047
Long
ABS-CBDO
CORP
US
N
2
2040-09-18
Fixed
0.04080000
N
N
N
N
N
N
ONSLOW BAY FINANCIAL LLC
N/A
ONSLOW BAY FINANCIAL LLC VAR 10/25/2065 144A
67126GAC6
187327.78000000
PA
USD
188392.81000000
0.144928132139
Long
ABS-CBDO
CORP
US
N
2
2065-10-25
Variable
0.05021000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 3.874 10/28/30
N/A
300000.00000000
NC
USD
9504.17000000
0.007311434049
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 10/30/35 3.874%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-10-30
0.00000000
USD
0.00000000
USD
300000.00000000
USD
1.00000000
3.87400000
USD
2030-10-28
XXXX
-560.83000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 3.874 10/28/30
N/A
300000.00000000
NC
USD
9808.39000000
0.007545466528
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 10/30/35 SOFRV3.874%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2035-10-30
0.00000000
USD
0.00000000
USD
300000.00000000
USD
1.00000000
3.87400000
USD
2030-10-28
XXXX
-256.61000000
N
N
N
WILLIS ENGINE STRUCTURED TRUST III
N/A
WILLIS ENGINE STRUCTURED TRUST III VAR 08/15/2042 144A
97063QAA0
632971.82300000
PA
USD
630847.70000000
0.485302909518
Long
ABS-CBDO
CORP
US
N
2
2042-08-15
Variable
0.04690000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 04/01/2056 #TBA
21H052645
600000.00000000
PA
USD
607092.72000000
0.467028513163
Long
ABS-MBS
USGA
US
N
2
2056-04-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 5% 04/01/2041 #TBA
01F050445
3275000.00000000
PA
USD
3322845.46000000
2.556221683331
Long
ABS-MBS
USGA
US
N
2
2041-04-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 03/01/2038#FA2621
3140W24F5
652567.58400000
PA
USD
610039.56000000
0.469295478749
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 10/01/2036#FA2627
3140W24M0
561894.34000000
PA
USD
513112.19000000
0.394730516916
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
0.01500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.625% 11/15/2055
912810UP1
80000.00000000
PA
USD
79862.50000000
0.061437179863
Long
DBT
UST
US
N
2
2055-11-15
Fixed
0.04625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 11/15/2028
91282CPK1
1070000.00000000
PA
USD
1073051.17000000
0.825484272770
Long
DBT
UST
US
N
2
2028-11-15
Fixed
0.03500000
N
N
N
N
N
N
SCMS 2025-BNC1
N/A
SCMS 2025-BNC1 A2 4.6047% 04/15/2028 144A
78398LAC3
155000.00000000
PA
USD
155607.65000000
0.119706936061
Long
ABS-MBS
CORP
US
N
2
2057-12-15
Fixed
0.04501600
N
N
N
N
N
N
OCWEN LOAN INVESTMENT TRUST
N/A
OCWEN LOAN INVESTMENT TRUST 25-HB2 A VAR 11/25/2038 144A
68278FAA6
74482.33000000
PA
USD
72195.72000000
0.055539225982
Long
ABS-CBDO
CORP
US
N
2
2038-11-25
Variable
0.03000000
N
N
N
N
N
N
STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-C
N/A
STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-CA A3 4.41% 04/20/2029 144A
85855EAC0
2500000.00000000
PA
USD
2517841.25000000
1.936942441625
Long
ABS-CBDO
CORP
US
N
2
2029-04-20
Fixed
0.04110000
N
N
N
N
N
N
MERCHANTS FLEET FUNDING LLC
N/A
MERCHANTS FLEET FUNDING LLC 4.66% 01/20/2039 144A
588926AL9
110000.00000000
PA
USD
110921.88000000
0.085330755891
Long
ABS-CBDO
CORP
US
N
2
2039-01-20
Fixed
0.04490000
N
N
N
N
N
N
MERCHANTS FLEET FUNDING LLC
N/A
MERCHANTS FLEET FUNDING LLC 5.03% 01/20/2039 144A
588926AM7
1200000.00000000
PA
USD
1214936.04000000
0.934634453119
Long
ABS-CBDO
CORP
US
N
2
2039-01-20
Fixed
0.04910000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.5% MAC 03/18/28
N/A
-5325000.00000000
NC
USD
-12688.07000000
-0.00976076680
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2028-03-18
0.00000000
USD
0.00000000
USD
-5343257.00000000
USD
-12688.07000000
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.75% MAC 03/18/33
N/A
-1810000.00000000
NC
USD
-15999.68000000
-0.01230834519
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2033-03-18
0.00000000
USD
0.00000000
USD
-1838112.99000000
USD
-15999.68000000
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.5% MAC 03/18/30
N/A
-1154000.00000000
NC
USD
-9266.97000000
-0.00712895918
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2030-03-18
0.00000000
USD
0.00000000
USD
-1158099.25000000
USD
-9266.97000000
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.5% MAC 03/18/29
N/A
-4026000.00000000
NC
USD
-24531.62000000
-0.01887185538
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2029-03-18
0.00000000
USD
0.00000000
USD
-4039832.09000000
USD
-24531.62000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT K763 A2 VAR 10/25/2032
3137HPET6
200000.00000000
PA
USD
201881.46000000
0.155304774695
Long
ABS-MBS
USGSE
US
N
2
2032-10-25
Variable
0.04170000
N
N
N
N
N
N
DEXT ABS 2025-2 LLC
N/A
DEXT ABS 2025-2 A3 LLC 4.31% 04/15/2036 144A
252153AC5
100000.00000000
PA
USD
100331.33000000
0.077183583874
Long
ABS-CBDO
CORP
US
N
2
2036-04-15
Fixed
0.04230000
N
N
N
N
N
N
BANK5 2025-5YR19
N/A
BANK5 2025-5YR19 XB VAR 12/15/2030
05494RBS0
1000000.00000000
PA
USD
28605.20000000
0.022005607355
Long
ABS-MBS
CORP
US
N
2
2058-12-15
Variable
0.00599775
N
N
N
N
N
N
WILLIS ENGINE SECURITIZATION TRUST 2025-B
N/A
WILLIS ENGINE SECURITIZATION TRUST 2025-B A 0% 12/15/2050 144A
970910AA3
248191.92000000
PA
USD
250916.22000000
0.193026576163
Long
ABS-CBDO
CORP
US
N
2
2050-12-15
Fixed
0.05159000
N
N
N
N
N
N
BMO MORTGAGE TRUST
N/A
BMO MORTGAGE TRUST 5.3161% 12/15/2058
09664JAC0
1200000.00000000
PA
USD
1249835.64000000
0.961482260317
Long
ABS-MBS
CORP
US
N
2
2058-12-15
Fixed
0.05227000
N
N
N
N
N
N
STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-C
N/A
STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-C 4.13% 12/20/2029 144A
85855EAD8
1500000.00000000
PA
USD
1512108.45000000
1.163245313081
Long
ABS-CBDO
CORP
US
N
2
2029-12-20
Fixed
0.04130000
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-1
N/A
WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-1A A3 4.41% 07/16/2029 144A
96043BAD4
1500000.00000000
PA
USD
1502696.55000000
1.156004861139
Long
ABS-CBDO
CORP
US
N
2
2029-07-16
Fixed
0.04010000
N
N
N
N
N
N
VERSUS SECURITIZATION TR 2026-1
N/A
VERSUS SECURITIZATION TR 2026-1 STEP 01/25/2071 144A
92541JAC5
990602.65000000
PA
USD
992029.81000000
0.763155597020
Long
ABS-CBDO
CORP
US
N
2
2071-01-25
Variable
0.04743000
N
N
N
N
N
N
REACH ABS TR 2026-1A
N/A
REACH ABS TR 2026-1A B 0% 02/15/2033 144A
75526XAB0
300000.00000000
PA
USD
300576.39000000
0.231229497388
Long
ABS-CBDO
CORP
US
N
2
2033-02-15
Fixed
0.04370000
N
N
N
N
N
N
VCAT ASSET SECURITIZATION LLC
N/A
VCAT ASSET SECURITIZATION LLC VAR 01/25/2056 144A
91825GAA4
800000.00000000
PA
USD
797771.52000000
0.613715227601
Long
ABS-CBDO
CORP
US
N
2
2056-01-25
Variable
0.05101000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRUST
N/A
SOFI CONSUMER LOAN PROGRAM TRUST 4.81% 12/26/2035 144A
83408AAB7
250000.00000000
PA
USD
251846.68000000
0.193742366908
Long
ABS-CBDO
CORP
US
N
2
2035-12-26
Fixed
0.04440000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRUST
N/A
SOFI CONSUMER LOAN PROGRAM TRUST 4.37% 12/26/2035 144A
83408AAA9
1000000.00000000
PA
USD
1000584.80000000
0.769736839272
Long
ABS-CBDO
CORP
US
N
2
2035-12-26
Fixed
0.04060000
N
N
N
N
N
N
CARMX 2026-1
N/A
CARMX 2026-1 A3 4.38% 03/17/2031
14320XAD3
200000.00000000
PA
USD
201609.46000000
0.155095528642
Long
ABS-CBDO
CORP
US
N
2
2031-03-17
Fixed
0.04040000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TR 2026-1
N/A
EXETER AUTOMOBILE RECEIVABLES TR 2026-1A A3 4.17% 03/15/2030
30168HAC1
25000.00000000
PA
USD
25060.91000000
0.019279031275
Long
ABS-CBDO
CORP
US
N
2
2030-03-15
Fixed
0.04030000
N
N
N
N
N
N
DLLMT 2026-1 LLC
N/A
DLLMT 2026-1 LLC 4.37% 07/20/2028 144A
23347JAB8
75000.00000000
PA
USD
75104.76000000
0.057777112521
Long
ABS-CBDO
CORP
US
N
2
2028-07-20
Fixed
0.04030000
N
N
N
N
N
N
DLLMT 2026-1 LLC
N/A
DLLMT 2026-1 LLC 4.44% 12/20/2029 144A
23347JAC6
40000.00000000
PA
USD
40278.61000000
0.030985809450
Long
ABS-CBDO
CORP
US
N
2
2029-12-20
Fixed
0.04200000
N
N
N
N
N
N
PEAC SOLUTIONS RECEIVABLES 2026-1 LLC
N/A
PEAC SOLUTIONS RECEIVABLES 2026-1 LLC 4.65% 07/20/2033 144A
704583AC7
15000.00000000
PA
USD
15156.67000000
0.011659828591
Long
ABS-CBDO
CORP
US
N
2
2033-07-20
Fixed
0.04390000
N
N
N
N
N
N
PEAC SOLUTIONS RECEIVABLES 2026-1 LLC
N/A
PEAC SOLUTIONS RECEIVABLES 2026-1A A2 LLC 4.49% 10/20/2028 144A
704583AB9
75000.00000000
PA
USD
75181.28000000
0.057835978359
Long
ABS-CBDO
CORP
US
N
2
2028-10-20
Fixed
0.04270000
N
N
N
N
N
N
EFF 2026-1
N/A
EFF 2026-1 A3 4.42% 03/20/2030 144A
29376JAC7
100000.00000000
PA
USD
100878.49000000
0.077604506927
Long
ABS-CBDO
CORP
US
N
2
2030-03-20
Fixed
0.04120000
N
N
N
N
N
N
EXTENDED STAY AMER TR 2026-ESH2
N/A
EXTENDED STAY AMER TR 2026-ESH2 A TSFR1M+130 02/15/2043 144A
30227WAA1
143000.00000000
PA
USD
143044.69000000
0.110042414751
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Variable
0.04870000
N
N
N
N
N
N
EXTENDED STAY AMER TR 2026-ESH2
N/A
EXTENDED STAY AMERICA TRUST 2026-ESH B TSFR1M+155 02/15/2043 144A
30227WAC7
15000.00000000
PA
USD
15028.13000000
0.011560944446
Long
ABS-MBS
CORP
US
N
2
2043-02-15
Variable
0.05059650
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+52 11/25/2030
3137HPUB7
1699838.39000000
PA
USD
1699837.20000000
1.307662592521
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
0.04179240
N
N
N
N
N
N
AUTONATION FINANCE TRUST 2026-1
N/A
AUTONATION FINANCE TRUST 2026-1A A3 4.23% 08/12/2030 144A
05330WAC3
65000.00000000
PA
USD
65363.10000000
0.050282980512
Long
ABS-CBDO
CORP
US
N
2
2030-08-12
Fixed
0.04030000
N
N
N
N
N
N
VERUS SECURITIZATION TR 2026-R1
N/A
VERUS SECURITIZATION TR 2026-R1 A1FC VAR 10/25/2067 144A
924932AD8
394993.25000000
PA
USD
396213.38000000
0.304801786713
Long
ABS-CBDO
CORP
US
N
2
2067-10-25
Variable
0.04675000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 3.964 01/26/27
N/A
1300000.00000000
NC
USD
55562.49000000
0.042743499036
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 01/28/37 SOFRV3.964%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2037-01-28
0.00000000
USD
0.00000000
USD
1300000.00000000
USD
1.00000000
3.96400000
USD
2027-01-26
XXXX
24882.49000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 3.964 01/26/27
N/A
1300000.00000000
NC
USD
17074.54000000
0.013135220974
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 01/28/37 3.964%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2037-01-28
0.00000000
USD
0.00000000
USD
1300000.00000000
USD
1.00000000
3.96400000
USD
2027-01-26
XXXX
-13605.46000000
N
N
N
BENCHMARK 2026-V20 MTG TR
N/A
BENCHMARK 2026-V20 MTG TR 5.228% 02/15/2059
08164KAW0
200000.00000000
PA
USD
208633.08000000
0.160498707922
Long
ABS-MBS
CORP
US
N
2
2059-02-15
Fixed
0.05184000
N
N
N
N
N
N
CSTL COMMERCIAL MORTGAGE TRUST 2026-GATE3
N/A
CSTL COMMERCIAL MORTGAGE TRUST 2026-GATE3 4.7579% 02/10/2043 144A
228920AA2
100000.00000000
PA
USD
101217.11000000
0.077865002878
Long
ABS-MBS
CORP
US
N
2
2043-02-10
Variable
0.04694500
N
N
N
N
N
N
OPTN 2026-A
N/A
OPTN 2026-A A 0% 01/09/2034 144A
68390VAA4
100000.00000000
PA
USD
100320.00000000
0.077174867853
Long
ABS-CBDO
CORP
US
N
2
2034-01-09
Fixed
0.04320000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY562348 11/18/64 S
N/A
100000.00000000
NC
USD
-24993.06000000
-0.01922683515
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BB CDSI S15 PRC Corp
CY562348
Y
2064-11-18
0.00000000
USD
24143.11000000
USD
100000.00000000
USD
-849.95000000
N
N
N
BANK5 2026-5YR20
N/A
BANK5 2026-5YR20 A3 5.244% 02/15/2057
06650JAG3
1300000.00000000
PA
USD
1349360.09000000
1.038045121929
Long
ABS-MBS
CORP
US
N
2
2059-02-15
Fixed
0.05104000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY562349 11/18/64 S
N/A
100000.00000000
NC
USD
-15113.65000000
-0.01162673386
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
MARKIT CMBX.NA.BBB 15
CY562349
Y
2064-11-18
0.00000000
USD
13980.23000000
USD
100000.00000000
USD
-1133.42000000
N
N
N
NISSAN AUTO LEASE TR 2026-A
N/A
NISSAN AUTO LEASE TR 2026-A A3 4.3% 03/15/2029
65481HAD5
55000.00000000
PA
USD
55096.73000000
0.042385195941
Long
ABS-CBDO
CORP
US
N
2
2029-03-15
Fixed
0.03870000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST 2026-1A
N/A
KUBOTA CREDIT OWNER TRUST 2026-1A A3 0% 05/15/2030 144A
50118HAC0
200000.00000000
PA
USD
200679.78000000
0.154380337941
Long
ABS-CBDO
CORP
US
N
2
2030-05-15
Fixed
0.03870000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1 A3 4.18% 07/15/2030
80288FAC5
85000.00000000
PA
USD
85178.80000000
0.065526940130
Long
ABS-CBDO
CORP
US
N
2
2030-07-15
Fixed
0.03930000
N
N
N
N
N
N
CARMAX SELECT RECEIVABLES TRUST 2026-A
N/A
CARMAX SELECT RECEIVABLES TRUST 2026-A 4.56% 05/17/2032
142929AD0
70000.00000000
PA
USD
70195.66000000
0.054000605904
Long
ABS-CBDO
CORP
US
N
2
2032-05-17
Fixed
0.03990000
N
N
N
N
N
N
CARMAX SELECT RECEIVABLES TRUST 2026-A
N/A
CARMAX SELECT RECEIVABLES TRUST 2026-A A2A 4.37% 12/17/2029
142929AB4
115000.00000000
PA
USD
115016.35000000
0.088480578271
Long
ABS-CBDO
CORP
US
N
2
2029-12-17
Fixed
0.04030000
N
N
N
N
N
N
SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1
N/A
SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1 4.05% 08/20/2029 144A
81885FAB2
100000.00000000
PA
USD
100069.92000000
0.076982484570
Long
ABS-CBDO
CORP
US
N
2
2029-08-20
Fixed
0.03910000
N
N
N
N
N
N
SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1
N/A
SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1A A3 4.13% 07/21/2031 144A
81885FAD8
100000.00000000
PA
USD
100309.34000000
0.077166667254
Long
ABS-CBDO
CORP
US
N
2
2031-07-21
Fixed
0.03960000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1
N/A
SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1 B 4.49% 04/15/2032
80288FAD3
500000.00000000
PA
USD
501634.55000000
0.385900918129
Long
ABS-CBDO
CORP
US
N
2
2032-04-15
Fixed
0.04070000
N
N
N
N
N
N
VCAT ASSET SECURITIZATION LLC
N/A
VCAT ASSET SECURITIZATION LLC STEP 02/25/2056 144A
921968AA1
1000000.00000000
PA
USD
999999.10000000
0.769286267899
Long
ABS-CBDO
CORP
US
N
2
2056-02-25
Variable
0.04987000
N
N
N
N
N
N
BARINGS ISSUER LLC 2026-SBP
N/A
BARINGS ISSUER LLC 2026-SBP 4.82% 02/25/2059
06764UAA4
100000.00000000
PA
USD
100137.08000000
0.077034149882
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Fixed
0.04820000
N
N
N
N
N
N
2026-03-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer