GMO Opportunistic Income Fund

Fund Profile

Fund profile

Tickers

GMODX, GMOHX, GMOLX, GAAAX

Fund manager

GMO Quality Fund

Total assets

$1.80 bn

Liabilities

$212.96 mm

Net assets

$1.58 bn

Number of holdings

332.00

Top 200 of 332 Holdings

As of Aug 2024

Security	$Holding	Balance	% of Fund	Category	Position	Country
REPO DAIWA	360.00 mm	360.00 mm principal	22.74	Repurchase agreement	Long	USA
U.S. Treasury Floating Rate Notes	103.77 mm	103.90 mm principal	6.55	Debt	Long	USA
Uniform Mortgage-Backed Security, TBA	65.20 mm	64.02 mm principal	4.12	ABS-mortgage backed security	Long	USA
U.S. Treasury Floating Rate Notes	52.92 mm	53.00 mm principal	3.34	Debt	Long	USA
U.S. Treasury Floating Rate Notes	45.00 mm	45.00 mm principal	2.84	Debt	Long	USA
Uniform Mortgage-Backed Security, TBA	39.89 mm	39.62 mm principal	2.52	ABS-mortgage backed security	Long	USA
Man GLG US CLO	17.42 mm	17.40 mm principal	1.10	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Benchmark 2019-B15 Mortgage Trust	17.09 mm	19.00 mm principal	1.08	ABS-mortgage backed security	Long	USA
COMM 2024-277P Mortgage Trust	16.22 mm	15.52 mm principal	1.02	ABS-mortgage backed security	Long	USA
COMM 2018-COR3 Mortgage Trust	15.64 mm	16.28 mm principal	0.99	ABS-mortgage backed security	Long	USA
Benchmark 2019-B9 Mortgage Trust	15.30 mm	16.00 mm principal	0.97	ABS-mortgage backed security	Long	USA
SLM Private Credit Student Loan Trust 2006-A	15.30 mm	15.73 mm principal	0.97	ABS-other	Long	USA
BBCMS 2018-TALL Mortgage Trust	14.50 mm	15.39 mm principal	0.92	ABS-mortgage backed security	Long	USA
American Express Credit Account Master Trust 2024-3	13.87 mm	13.70 mm principal	0.88	ABS-other	Long	USA
Benchmark 2022-B34 Mortgage Trust	13.12 mm	14.50 mm principal	0.83	ABS-mortgage backed security	Long	USA
Invitation Homes 2024-SFR1 Trust	13.01 mm	13.50 mm principal	0.82	ABS-other	Long	USA
SLM Private Credit Student Loan Trust 2007-A	12.39 mm	12.53 mm principal	0.78	ABS-other	Long	USA
SLM Private Credit Student Loan Trust 2005-A	12.38 mm	12.55 mm principal	0.78	ABS-other	Long	USA
MKT 2020-525M Mortgage Trust	12.25 mm	14.60 mm principal	0.77	ABS-mortgage backed security	Long	USA
National Collegiate Student Loan Trust 2007-1	12.21 mm	12.73 mm principal	0.77	ABS-other	Long	USA
Benchmark 2022-B32 Mortgage Trust	12.03 mm	13.88 mm principal	0.76	ABS-mortgage backed security	Long	USA
OCP CLO 2014-6 Ltd	11.99 mm	11.98 mm principal	0.76	ABS-collateralized bond/debt obligation	Long	Cayman Islands
SLM Student Loan Trust 2008-5	11.96 mm	11.94 mm principal	0.76	ABS-other	Long	USA
GMO US Treasury Fund	11.62 mm	2.32 mm shares	0.73	Common equity	Long	USA
EQT Trust 2024-EXTR	11.15 mm	10.95 mm principal	0.70	ABS-mortgage backed security	Long	USA
Tricon American Homes 2019-SFR1 Trust	10.80 mm	11.15 mm principal	0.68	ABS-other	Long	USA
Mountain View CLO IX Ltd	10.69 mm	10.69 mm principal	0.68	ABS-collateralized bond/debt obligation	Long	Cayman Islands
SLM Student Loan Trust 2008-4	10.25 mm	10.22 mm principal	0.65	ABS-other	Long	USA
WaMu Commercial Mortgage Securities Trust 2007-SL3	10.09 mm	11.59 mm principal	0.64	ABS-mortgage backed security	Long	USA
WFRBS Commercial Mortgage Trust 2014-C21	9.62 mm	9.96 mm principal	0.61	ABS-mortgage backed security	Long	USA
Bravo Mortgage Asset Trust	9.62 mm	10.76 mm principal	0.61	ABS-other	Long	USA
AccessLex Institute	9.51 mm	9.76 mm principal	0.60	ABS-other	Long	USA
SLM Private Credit Student Loan Trust 2005-B	9.33 mm	9.51 mm principal	0.59	ABS-other	Long	USA
BA Credit Card Trust	9.26 mm	9.09 mm principal	0.58	ABS-other	Long	USA
Venture XXIV CLO Ltd	9.00 mm	9.00 mm principal	0.57	ABS-collateralized bond/debt obligation	Long	Cayman Islands
BBCMS 2018-CHRS Mortgage Trust	8.98 mm	11.04 mm principal	0.57	ABS-mortgage backed security	Long	USA
Taubman Centers Commercial Mortgage Trust 2022-DPM	8.94 mm	8.93 mm principal	0.56	ABS-mortgage backed security	Long	USA
Tricon American Homes 2020-SFR1	8.86 mm	9.32 mm principal	0.56	ABS-other	Long	USA
Citigroup Commercial Mortgage Trust 2014-GC23	8.72 mm	9.35 mm principal	0.55	ABS-mortgage backed security	Long	USA
ICG US CLO 2015-2R Ltd	8.04 mm	8.03 mm principal	0.51	ABS-collateralized bond/debt obligation	Long	Cayman Islands
BX Trust 2019-OC11	7.94 mm	9.00 mm principal	0.50	ABS-mortgage backed security	Long	USA
Zais Clo 13 Ltd	7.91 mm	7.90 mm principal	0.50	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Catskill Park CLO Ltd	7.80 mm	7.79 mm principal	0.49	ABS-collateralized bond/debt obligation	Long	Cayman Islands
OZLM XVIII Ltd	7.78 mm	7.77 mm principal	0.49	ABS-collateralized bond/debt obligation	Long	Cayman Islands
UBS Commercial Mortgage Trust 2018-C12	7.78 mm	8.01 mm principal	0.49	ABS-mortgage backed security	Long	USA
Wells Fargo Commercial Mortgage Trust 2018-C46	7.71 mm	7.94 mm principal	0.49	ABS-mortgage backed security	Long	USA
Federal Home Loan Banks	7.50 mm	7.50 mm principal	0.47	Debt	Long	USA
Benchmark 2018-B8 Mortgage Trust	7.50 mm	7.76 mm principal	0.47	ABS-mortgage backed security	Long	USA
SLM Private Credit Student Loan Trust 2006-B	7.36 mm	7.55 mm principal	0.46	ABS-other	Long	USA
BX Trust 2019-OC11	7.35 mm	8.00 mm principal	0.46	ABS-mortgage backed security	Long	USA
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust	7.29 mm	8.07 mm principal	0.46	ABS-mortgage backed security	Long	USA
GM Financial Consumer Automobile Receivables Trust 2021-3	7.23 mm	7.50 mm principal	0.46	ABS-other	Long	USA
Benchmark 2020-B19 Mortgage Trust	7.15 mm	8.62 mm principal	0.45	ABS-mortgage backed security	Long	USA
SLM Private Credit Student Loan Trust 2004-B	7.15 mm	7.23 mm principal	0.45	ABS-other	Long	USA
BX Commercial Mortgage Trust 2020-VIV4	7.13 mm	8.00 mm principal	0.45	ABS-mortgage backed security	Long	USA
Nissan Auto Receivables 2023-B Owner Trust	7.12 mm	7.00 mm principal	0.45	ABS-other	Long	USA
Hyundai Auto Receivables Trust 2024-A	7.08 mm	7.00 mm principal	0.45	ABS-other	Long	USA
Towd Point Mortgage Trust 2017-5	7.07 mm	6.97 mm principal	0.45	ABS-mortgage backed security	Long	USA
BX Commercial Mortgage Trust 2020-VIVA	7.02 mm	8.00 mm principal	0.44	ABS-mortgage backed security	Long	USA
Chase Auto Owner Trust 2024-4	6.93 mm	6.85 mm principal	0.44	ABS-other	Long	USA
Towd Point Asset Trust 2018-SL1	6.69 mm	6.72 mm principal	0.42	ABS-other	Long	USA
Steele Creek CLO 2016-1 Ltd	6.61 mm	6.60 mm principal	0.42	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Bayview Commercial Asset Trust 2006-SP2	6.51 mm	6.80 mm principal	0.41	ABS-mortgage backed security	Long	USA
KeyCorp Student Loan Trust 2005-A	6.42 mm	6.66 mm principal	0.41	ABS-other	Long	USA
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3	6.40 mm	6.51 mm principal	0.40	ABS-mortgage backed security	Long	USA
GSR Mortgage Loan Trust 2007-OA2	6.34 mm	10.71 mm principal	0.40	ABS-mortgage backed security	Long	USA
FirstKey Homes 2021-SFR3 Trust	6.10 mm	6.47 mm principal	0.39	ABS-other	Long	USA
GM Financial Consumer Automobile Receivables Trust 2024-1	6.05 mm	6.00 mm principal	0.38	ABS-other	Long	USA
IndyMac INDX Mortgage Loan Trust 2006-AR2	6.04 mm	6.81 mm principal	0.38	ABS-mortgage backed security	Long	USA
World Omni Auto Receivables Trust 2024-C	6.00 mm	6.00 mm principal	0.38	ABS-other	Long	USA
Benchmark 2019-B11 Mortgage Trust	5.80 mm	6.24 mm principal	0.37	ABS-mortgage backed security	Long	USA
BX Commercial Mortgage Trust 2021-VINO	5.77 mm	5.83 mm principal	0.36	ABS-mortgage backed security	Long	USA
National Collegiate Student Loan Trust 2006-1	5.65 mm	5.85 mm principal	0.36	ABS-other	Long	USA
CSMC 2022-NQM1	5.64 mm	6.29 mm principal	0.36	ABS-mortgage backed security	Long	USA
Conseco Finance Securitizations Corp	5.55 mm	5.59 mm principal	0.35	ABS-other	Long	USA
BX Commercial Mortgage Trust 2021-ACNT	5.50 mm	5.56 mm principal	0.35	ABS-mortgage backed security	Long	USA
HarborView Mortgage Loan Trust 2007-4	5.49 mm	5.87 mm principal	0.35	ABS-mortgage backed security	Long	USA
ELP Commercial Mortgage Trust 2021-ELP	5.49 mm	5.56 mm principal	0.35	ABS-mortgage backed security	Long	USA
Conseco Finance Securitizations Corp	5.38 mm	5.33 mm principal	0.34	ABS-other	Long	USA
SLM Student Loan Trust 2007-7	5.37 mm	5.47 mm principal	0.34	ABS-other	Long	USA
Bank of America Auto Trust 2023-2	5.09 mm	5.00 mm principal	0.32	ABS-other	Long	USA
UBS Commercial Mortgage Trust 2018-C9	5.06 mm	5.27 mm principal	0.32	ABS-mortgage backed security	Long	USA
Tricon American Homes 2020-SFR2 Trust	5.05 mm	5.56 mm principal	0.32	ABS-other	Long	USA
GS Mortgage Securities Corp Trust 2023-SHIP	4.92 mm	5.00 mm principal	0.31	ABS-mortgage backed security	Long	USA
Bear Stearns Mortgage Funding Trust 2006-AR1	4.90 mm	5.39 mm principal	0.31	ABS-mortgage backed security	Long	USA
Verus Securitization Trust 2022-5	4.88 mm	5.08 mm principal	0.31	ABS-mortgage backed security	Long	USA
MHC Trust 2021-MHC2	4.86 mm	4.89 mm principal	0.31	ABS-mortgage backed security	Long	USA
SLC Student Loan Trust 2008-2	4.84 mm	4.89 mm principal	0.31	ABS-other	Long	USA
ILPT Commercial Mortgage Trust 2022-LPFX	4.79 mm	5.50 mm principal	0.30	ABS-mortgage backed security	Long	USA
Northwoods Capital XVII Ltd	4.71 mm	4.70 mm principal	0.30	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Velocity Commercial Capital Loan Trust 2021-4	4.68 mm	5.29 mm principal	0.30	ABS-mortgage backed security	Long	USA
Benchmark 2018-B2 Mortgage Trust	4.65 mm	4.85 mm principal	0.29	ABS-mortgage backed security	Long	USA
Conseco Finance Securitizations Corp	4.61 mm	4.72 mm principal	0.29	ABS-other	Long	USA
Oakwood Mortgage Investors Inc	4.58 mm	4.71 mm principal	0.29	ABS-other	Long	USA
MidOcean Credit CLO VI	4.56 mm	4.56 mm principal	0.29	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Whitehorse XII Ltd	4.55 mm	4.54 mm principal	0.29	ABS-collateralized bond/debt obligation	Long	Cayman Islands
WaMu Commercial Mortgage Securities Trust 2006-SL1	4.54 mm	4.55 mm principal	0.29	ABS-mortgage backed security	Long	USA
BX Trust 2019-OC11	4.50 mm	4.89 mm principal	0.28	ABS-mortgage backed security	Long	USA
Venture 32 CLO Ltd	4.38 mm	4.39 mm principal	0.28	ABS-collateralized bond/debt obligation	Long	Cayman Islands
FRESB 2019-SB63 Mortgage Trust	4.36 mm	115.91 mm principal	0.28	ABS-mortgage backed security	Long	USA
Fannie Mae REMICS	4.27 mm	4.94 mm principal	0.27	ABS-mortgage backed security	Long	USA
Verus Securitization Trust 2021-8	4.17 mm	4.65 mm principal	0.26	ABS-mortgage backed security	Long	USA
BX Trust 2019-OC11	4.16 mm	4.57 mm principal	0.26	ABS-mortgage backed security	Long	USA
National Collegiate Student Loan Trust 2007-2	4.12 mm	4.36 mm principal	0.26	ABS-other	Long	USA
Bayview Commercial Asset Trust 2007-2	4.00 mm	4.27 mm principal	0.25	ABS-mortgage backed security	Long	USA
Mountain View CLO 2013-1 Ltd	3.99 mm	4.00 mm principal	0.25	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Residential Asset Securitization Trust 2006-A7CB	3.99 mm	15.29 mm principal	0.25	ABS-mortgage backed security	Long	USA
Fannie Mae Pool	3.93 mm	4.14 mm principal	0.25	ABS-mortgage backed security	Long	USA
State Street Institutional Treasury Money Market Fund	3.93 mm	3.93 mm shares	0.25	Short-term investment vehicle	Long	USA
KeyCorp Student Loan Trust 2004-A	3.87 mm	4.13 mm principal	0.24	ABS-other	Long	USA
FRESB 2020-SB76 Mortgage Trust	3.86 mm	98.72 mm principal	0.24	ABS-mortgage backed security	Long	USA
AMSR 2020-SFR5 Trust	3.79 mm	3.95 mm principal	0.24	ABS-other	Long	USA
American Home Mortgage Assets Trust 2006-4	3.77 mm	6.74 mm principal	0.24	ABS-mortgage backed security	Long	USA
COLT 2021-RPL1 Trust	3.64 mm	4.02 mm principal	0.23	ABS-mortgage backed security	Long	USA
AccessLex Institute	3.43 mm	3.72 mm principal	0.22	ABS-other	Long	USA
MHC Commercial Mortgage Trust 2021-MHC	3.42 mm	3.45 mm principal	0.22	ABS-mortgage backed security	Long	USA
Terwin Mortgage Trust 2006-7	3.41 mm	7.92 mm principal	0.22	ABS-other	Long	USA
CSMC 2021-RPL2Trust	3.40 mm	4.01 mm principal	0.21	ABS-mortgage backed security	Long	USA
Structured Adjustable Rate Mortgage Loan Trust	3.37 mm	4.22 mm principal	0.21	ABS-mortgage backed security	Long	USA
Oakwood Mortgage Investors Inc	3.27 mm	6.43 mm principal	0.21	ABS-other	Long	USA
Harvest Commercial Capital Loan Trust 2019-1	3.24 mm	3.50 mm principal	0.20	ABS-mortgage backed security	Long	USA
SLM Student Loan Trust 2008-6	3.19 mm	3.21 mm principal	0.20	ABS-other	Long	USA
Benchmark 2018-B7 Mortgage Trust	3.19 mm	3.24 mm principal	0.20	ABS-mortgage backed security	Long	USA
Oakwood Mortgage Investors Inc	3.16 mm	3.19 mm principal	0.20	ABS-other	Long	USA
Lehman ABS Manufactured Housing Contract Trust 2001-B	3.15 mm	3.39 mm principal	0.20	ABS-other	Long	USA
BofA Auto Trust 2024-1	3.05 mm	3.00 mm principal	0.19	ABS-other	Long	USA
BCMSC Trust 1999-A	3.00 mm	3.11 mm principal	0.19	ABS-other	Long	USA
Navient Private Education Refi Loan Trust 2022-A	2.98 mm	3.29 mm principal	0.19	ABS-other	Long	USA
COMM 2015-PC1 Mortgage Trust	2.87 mm	3.03 mm principal	0.18	ABS-mortgage backed security	Long	USA
SLM Private Credit Student Loan Trust 2004-A	2.83 mm	2.84 mm principal	0.18	ABS-other	Long	USA
Fieldstone Mortgage Investment Trust Series 2004-4	2.73 mm	4.29 mm principal	0.17	ABS-other	Long	USA
Midocean Credit Clo VIII	2.67 mm	2.67 mm principal	0.17	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Bayview Commercial Asset Trust 2006-3	2.57 mm	2.65 mm principal	0.16	ABS-mortgage backed security	Long	USA
RAMP Series 2005-RS1 Trust	2.54 mm	2.64 mm principal	0.16	ABS-other	Long	USA
OFSI BSL VIII Ltd	2.53 mm	2.53 mm principal	0.16	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Crestline Denali CLO XVI Ltd	2.51 mm	2.51 mm principal	0.16	ABS-collateralized bond/debt obligation	Long	Cayman Islands
SLM Private Credit Student Loan Trust 2006-C	2.49 mm	2.67 mm principal	0.16	ABS-other	Long	USA
Collegiate Funding Services Education Loan Trust 2005B	2.45 mm	2.70 mm principal	0.15	ABS-other	Long	USA
Citigroup Commercial Mortgage Trust 2014-GC23	2.39 mm	2.44 mm principal	0.15	ABS-mortgage backed security	Long	USA
FRESB 2020-SB77 Mortgage Trust	2.38 mm	83.30 mm principal	0.15	ABS-mortgage backed security	Long	USA
Oakwood Mortgage Investors Inc	2.37 mm	2.44 mm principal	0.15	ABS-other	Long	USA
SLM Private Credit Student Loan Trust 2003-A	2.34 mm	2.35 mm principal	0.15	ABS-other	Long	USA
Steele Creek CLO 2014-1 Ltd	2.34 mm	2.34 mm principal	0.15	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Bayview Commercial Asset Trust 2005-2	2.32 mm	2.39 mm principal	0.15	ABS-mortgage backed security	Long	USA
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1	2.31 mm	2.51 mm principal	0.15	ABS-mortgage backed security	Long	USA
National Collegiate Student Loan Trust 2006-4	2.26 mm	2.32 mm principal	0.14	ABS-other	Long	USA
Shackleton 2014-V-R CLO Ltd	2.23 mm	2.23 mm principal	0.14	ABS-collateralized bond/debt obligation	Long	Cayman Islands
OZLM XXII Ltd	2.19 mm	2.19 mm principal	0.14	ABS-collateralized bond/debt obligation	Long	Cayman Islands
BankAmerica Manufactured Housing Contract Trust	2.17 mm	13.74 mm principal	0.14	ABS-other	Long	USA
Home Loan Trust 2006-HI4	2.15 mm	8.08 mm principal	0.14	ABS-mortgage backed security	Long	USA
UCFC Manufactured Housing Contract	2.13 mm	2.25 mm principal	0.13	ABS-other	Long	USA
Nelnet Student Loan Trust 2021-A	2.12 mm	2.29 mm principal	0.13	ABS-other	Long	USA
Alternative Loan Trust 2005-18CB	2.12 mm	2.18 mm principal	0.13	ABS-mortgage backed security	Long	USA
First Franklin Mortgage Loan Trust 2006-FF12	2.10 mm	2.20 mm principal	0.13	ABS-other	Long	USA
Bayview Commercial Asset Trust 2007-4	2.07 mm	2.17 mm principal	0.13	ABS-mortgage backed security	Long	USA
Ajax Mortgage Loan Trust 2021-A	2.07 mm	2.31 mm principal	0.13	ABS-mortgage backed security	Long	USA
CSMC Mortgage-Backed Trust 2007-4	2.06 mm	3.69 mm principal	0.13	ABS-mortgage backed security	Long	USA
GSAA Home Equity Trust 2006-9	2.05 mm	10.49 mm principal	0.13	ABS-mortgage backed security	Long	USA
Oakwood Mortgage Investors Inc	2.05 mm	11.75 mm principal	0.13	ABS-other	Long	USA
Harvest Commercial Capital Loan Trust 2024-1	2.04 mm	2.00 mm principal	0.13	ABS-mortgage backed security	Long	USA
SOUND POINT CLO XIX Ltd	2.02 mm	2.02 mm principal	0.13	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Home Equity Asset Trust 2006-2	2.02 mm	2.01 mm principal	0.13	ABS-mortgage backed security	Long	USA
Citigroup Mortgage Loan Trust 2006-AR5	2.01 mm	3.52 mm principal	0.13	ABS-mortgage backed security	Long	USA
Telos CLO 2014-5 Ltd	2.00 mm	2.00 mm principal	0.13	ABS-collateralized bond/debt obligation	Long	Cayman Islands
National Collegiate Student Loan Trust 2005-2	1.99 mm	2.05 mm principal	0.13	ABS-other	Long	USA
Sounds Point CLO IV-R LTD	1.93 mm	1.93 mm principal	0.12	ABS-collateralized bond/debt obligation	Long	Cayman Islands
Bayview Commercial Asset Trust 2007-3	1.92 mm	2.00 mm principal	0.12	ABS-mortgage backed security	Long	USA
MKT 2020-525M Mortgage Trust	1.90 mm	3.00 mm principal	0.12	ABS-mortgage backed security	Long	USA
Uniform Mortgage-Backed Security, TBA	1.90 mm	1.91 mm principal	0.12	ABS-mortgage backed security	Long	USA
Wells Fargo Commercial Mortgage Trust 2019-C51	1.88 mm	2.03 mm principal	0.12	ABS-mortgage backed security	Long	USA
Navient Student Loan Trust	1.87 mm	1.85 mm principal	0.12	ABS-other	Long	USA
Bayview Commercial Asset Trust 2006-2	1.79 mm	1.84 mm principal	0.11	ABS-mortgage backed security	Long	USA
National Collegiate 2007-3 Commutation Trust	1.71 mm	8.78 mm principal	0.11	ABS-other	Long	USA
Conseco Finance Corp	1.71 mm	1.70 mm principal	0.11	ABS-other	Long	USA
Grace Trust 2020-GRCE	1.70 mm	2.00 mm principal	0.11	ABS-mortgage backed security	Long	USA
Oakwood Mortgage Investors Inc	1.64 mm	1.76 mm principal	0.10	ABS-other	Long	USA
SLM Private Credit Student Loan Trust 2006-B	1.62 mm	1.68 mm principal	0.10	ABS-other	Long	USA
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust	1.55 mm	1.87 mm principal	0.10	ABS-mortgage backed security	Long	USA
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust	1.52 mm	1.81 mm principal	0.10	ABS-mortgage backed security	Long	USA
Bayview Commercial Asset Trust 2006-1	1.52 mm	1.60 mm principal	0.10	ABS-mortgage backed security	Long	USA
SLM Private Credit Student Loan Trust 2003-C	1.50 mm	5.40 mm principal	0.09	ABS-other	Long	USA
Bear Stearns Asset Backed Securities I Trust 2004-AC5	1.49 mm	1.59 mm principal	0.09	ABS-mortgage backed security	Long	USA
National Collegiate II Commutation Trust	1.49 mm	7.63 mm principal	0.09	ABS-other	Long	USA
FRESB 2020-SB74 Mortgage Trust	1.48 mm	48.46 mm principal	0.09	ABS-mortgage backed security	Long	USA
Bear Stearns ALT-A Trust 2007-1	1.44 mm	1.76 mm principal	0.09	ABS-mortgage backed security	Long	USA
Residential Asset Securitization Trust 2005-A8CB	1.42 mm	2.56 mm principal	0.09	ABS-mortgage backed security	Long	USA
National Collegiate Student Loan Trust 2004-2	1.41 mm	1.43 mm principal	0.09	ABS-other	Long	USA
Velocity Commercial Capital Loan Trust 2022-1	1.40 mm	1.57 mm principal	0.09	ABS-mortgage backed security	Long	USA
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust	1.38 mm	4.01 mm principal	0.09	ABS-mortgage backed security	Long	USA
Conseco Finance Corp	1.36 mm	1.39 mm principal	0.09	ABS-other	Long	USA
GMACM Home Equity Loan Trust 2007-HE3	1.36 mm	1.40 mm principal	0.09	ABS-mortgage backed security	Long	USA
Progress Residential 2021-SFR10 Trust	1.34 mm	1.47 mm principal	0.08	ABS-other	Long	USA
Oakwood Mortgage Investors Inc	1.32 mm	2.72 mm principal	0.08	ABS-other	Long	USA
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2	1.31 mm	1.31 mm principal	0.08	ABS-mortgage backed security	Long	USA
Home Loan Trust 2007-HI1	1.27 mm	8.74 mm principal	0.08	ABS-mortgage backed security	Long	USA
Bayview Commercial Asset Trust 2008-1	1.24 mm	1.27 mm principal	0.08	ABS-mortgage backed security	Long	USA
TRSWAP: IBOXIG INDEX Morgan Stanley Capital Services LLC	1.21 mm	22.88 mm other units	0.08	Equity derivative	N/A	UK
Velocity Commercial Capital Loan Trust 2021-4	1.17 mm	1.45 mm principal	0.07	ABS-mortgage backed security	Long	USA
Bayview Commercial Asset Trust 2005-4	1.14 mm	1.18 mm principal	0.07	ABS-mortgage backed security	Long	USA
Steele Creek Clo 2017-1 Ltd	1.09 mm	1.09 mm principal	0.07	ABS-collateralized bond/debt obligation	Long	Cayman Islands