NPORT-P false 0001003239 XXXXXXXX S000008053 C000021849 C000021851 C000021850 SEASONS SERIES TRUST 811-07725 0001003239 549300O318N6OBWGKN57 21650 Oxnard Street Woodland Hills 91367 800-445-7862 SA Multi-Managed Income Portfolio S000008053 57EOZO61N91VLDUYO830 2022-03-31 2021-12-31 N 58382995.67 16059957.56 42323038.11 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 5986338.07000000 0.00000000 0.00000000 0.00000000 EUR USD N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAT1 15000.00000000 PA USD 15581.90000000 0.036816591378 Long DBT CORP US N 2 2051-03-15 Fixed 2.95000000 N N N N N N Towd Point Mortgage Trust N/A 89175JAA8 49998.36000000 PA USD 50615.12000000 0.119592359765 Long ABS-MBS CORP US N 2 2057-10-25 Variable 2.75000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163BBF7 158690.07000000 PA USD 18177.23000000 0.042948783479 Long ABS-MBS CORP US N 2 2054-01-15 Variable 1.52000000 N N N N N N EVERGY INC 549300PGTHDQY6PSUI61 30034WAB2 25000.00000000 PA USD 25613.14000000 0.060518197992 Long DBT CORP US N 2 2029-09-15 Fixed 2.90000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBJ8 5000.00000000 PA USD 4787.47000000 0.011311735200 Long DBT US N 2 2028-01-31 Fixed 1.50000000 N N N N N N ESC LEHMAN BRTH HLDH PROD N/A 525ESC1H2 10000.00000000 PA USD 55.00000000 0.000129952863 Long DBT CORP US N 2 2016-04-04 None 0.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VCB7 5000.00000000 PA USD 4992.79000000 0.011796861054 Long DBT CORP US N 2 2053-02-15 Fixed 3.30000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 40000.00000000 PA USD 39995.93000000 0.094501557038 Long DBT CORP US N 2 2036-11-15 Fixed 3.19000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AK0 30000.00000000 PA USD 33150.00000000 0.078326135080 Long DBT CORP US N 2 2028-08-15 Fixed 4.75000000 N N N N N N DUQUESNE LIGHT H 4CUJ1D8WDXK9X7QI6B93 266233AJ4 20000.00000000 PA USD 19784.54000000 0.046746502338 Long DBT CORP US N 2 2032-01-07 Fixed 2.78000000 N N N N N N Sempra Energy PBBKGKLRK5S5C0Y4T545 816851BG3 30000.00000000 PA USD 31958.77000000 0.075511521448 Long DBT CORP US N 2 2028-02-01 Fixed 3.40000000 N N N N N N ENERGEAN ISRAEL FINANCE 98450044QACBL3F8EB03 000000000 30000.00000000 PA USD 29400.00000000 0.069465712559 Long DBT CORP IL N 2 2031-03-30 Fixed 5.88000000 N N N N N N Angel Oak Mortgage Trust N/A 034651AA7 32790.60000000 PA USD 32700.07000000 0.077263049772 Long ABS-MBS CORP US N 2 2053-04-25 Variable 0.99000000 N N N N N N Atrium XII 549300O252OCTN35RH57 04965CAJ7 224063.07000000 PA USD 224133.87000000 0.529578877153 Long ABS-CBDO CORP KY N 2 2027-04-22 Floating 0.96000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 1562180.85000000 OU Notional Amount USD 4719.35000000 0.011150782672 N/A DFE US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A 1.00000000 NC USD 4719.35000000 0.01000000 DFE US 11357054.78000000 CNY 1562180.85000000 USD 2022-11-10 1.00000000 7.27000000 USD 2022-11-10 XXXX -2780.08000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SN9 93000.00000000 PA USD 79355.16000000 0.187498732472 Long DBT UST US N 2 2050-05-15 Fixed 1.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A6AN4 10816.42000000 PA USD 11429.60000000 0.027005622730 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H032613 1035000.00000000 PA USD 1077936.33000000 2.546925689026 Long ABS-MBS USGA US N 2 2052-01-21 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RN0 190000.00000000 PA USD 223903.13000000 0.529033689448 Long DBT UST US N 2 2045-08-15 Fixed 2.88000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST 549300ZGMKIELA840327 07326TAA6 31190.19000000 PA USD 31294.47000000 0.073941927133 Long ABS-O CORP US N 2 2058-01-28 Variable 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36211BVH4 975.34000000 PA USD 1019.91000000 0.002409822275 Long ABS-MBS USGA US N 2 2030-02-15 Fixed 8.00000000 N N N N N N BOOZ ALLEN HAMILTON INC 549300D7XCH2480XU542 09951LAB9 5000.00000000 PA USD 5162.50000000 0.012197848336 Long DBT CORP US N 2 2029-07-01 Fixed 4.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SH5 120000.00000000 PA USD 126145.36000000 0.298053650288 Long DBT CORP US N 2 2026-10-23 Fixed 3.00000000 N N N N N N Asset Backed Securities Corp Home Equity Ln Trst N/A 04541GMD1 2252.49000000 PA USD 2352.62000000 0.005558721927 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.68000000 N N N N N N NiSource Inc 549300D8GOWWH0SJB189 65473QBE2 30000.00000000 PA USD 32223.09000000 0.076136051283 Long DBT CORP US N 2 2027-05-15 Fixed 3.49000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ARQA9 18314.24000000 PA USD 18922.25000000 0.044709101342 Long ABS-MBS USGSE US N 2 2046-03-25 Fixed 2.50000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBF9 10000.00000000 PA USD 12662.44000000 0.029918551610 Long DBT CORP US N 2 2054-10-15 Fixed 4.95000000 N N N N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833BA7 15000.00000000 PA USD 16794.37000000 0.039681390443 Long DBT CORP US N 2 2045-02-09 Fixed 3.45000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61761J3R8 16000.00000000 PA USD 16958.68000000 0.040069618716 Long DBT CORP US N 2 2026-07-27 Fixed 3.13000000 N N N N N N GS Mortgage Securities Trust N/A 36192HAA2 100000.00000000 PA USD 99995.52000000 0.236267348624 Long ABS-MBS CORP US N 2 2034-04-10 Fixed 3.55000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967KG5 45000.00000000 PA USD 48681.45000000 0.115023524241 Long DBT CORP US N 2 2026-01-12 Fixed 3.70000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162UAY6 962800.43000000 PA USD 34577.73000000 0.081699546025 Long ABS-MBS CORP US N 2 2052-01-15 Variable 0.64000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AG2 60000.00000000 PA USD 61207.20000000 0.144619107543 Long DBT CORP US N 2 2030-07-15 Fixed 4.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176HKG8 3336.77000000 PA USD 3561.04000000 0.008413951736 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 4.00000000 N N N N N N SS&C Technologies Inc 549300KY09TR3J12JU49 78466CAC0 50000.00000000 PA USD 52250.00000000 0.123455220450 Long DBT CORP US N 2 2027-09-30 Fixed 5.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCY5 25000.00000000 PA USD 26445.68000000 0.062485306303 Long DBT CORP US N 2 2039-11-01 Fixed 3.25000000 N N N N N N CSAIL Commercial Mortgage Trust 549300C2HE5FJAWYZL57 12636MAF5 76427.11000000 PA USD 78769.49000000 0.186114923496 Long ABS-MBS CORP US N 2 2049-01-15 Fixed 2.96000000 N N N N N N Twitter Inc 549300I8RX485XMK6836 90184L102 6881.00000000 NS USD 297396.82000000 0.702683061709 Long EC CORP US N 1 N N N Wells Fargo Commercial Mortgage Trust 549300ZVNWG0TX42H716 94989VAD1 60000.00000000 PA USD 63960.87000000 0.151125422125 Long ABS-MBS CORP US N 2 2057-09-15 Fixed 3.62000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMN9 5000.00000000 PA USD 5226.41000000 0.012348853563 Long DBT CORP US N 2 2057-12-01 Fixed 3.80000000 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3E9 35000.00000000 PA USD 34572.94000000 0.081688228312 Long DBT CORP US N 2 2031-10-04 Fixed 2.65000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAH9 10000.00000000 PA USD 10397.40000000 0.024566761896 Long DBT CORP US N 2 2025-03-01 Fixed 3.22000000 N N N N N N AES CORP/THE 2NUNNB7D43COUIRE5295 00130HCB9 25000.00000000 PA USD 25885.00000000 0.061160543183 Long DBT CORP US N 2 2025-07-15 Fixed 3.30000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAL4 5000.00000000 PA USD 6140.41000000 0.014508433879 Long DBT CORP US N 2 2047-03-01 Fixed 5.20000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAM8 65000.00000000 PA USD 69683.10000000 0.164645788940 Long DBT CORP US N 2 2029-01-23 Fixed 3.51000000 N N N N N N Duke Energy Progress LLC 0NIFZ782LS46WOC9QK20 26442RAB7 25000.00000000 PA USD 30094.03000000 0.071105552304 Long DBT CORP US N 2 2044-03-30 Fixed 4.38000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJW0 45000.00000000 PA USD 47430.42000000 0.112067616404 Long DBT CORP US N 2 2042-04-22 Fixed 3.31000000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599BG8 35000.00000000 PA USD 36073.12000000 0.085232822620 Long DBT CORP US N 2 2024-11-01 Fixed 2.70000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GS6 15000.00000000 PA USD 15515.95000000 0.036660766081 Long DBT CORP US N 2 2029-08-01 Fixed 2.85000000 N N N N N N IHS Markit Ltd 549300HLPTRASHS0E726 44962LAG2 35000.00000000 PA USD 36575.00000000 0.086418654315 Long DBT CORP BM N 2 2023-08-01 Fixed 4.13000000 N N N N N N New Residential Mortgage Loan Trust N/A 64829NAA2 35307.98000000 PA USD 37021.73000000 0.087474178729 Long ABS-MBS CORP US N 2 2057-05-25 Variable 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KJ66 1604.42000000 PA USD 1830.09000000 0.004324098840 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 7.00000000 N N N N N N Halliburton Co ENYF8GB5SMQZ25S06U51 406216BJ9 10000.00000000 PA USD 11769.10000000 0.027807786315 Long DBT CORP US N 2 2035-11-15 Fixed 4.85000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TA6 545000.00000000 PA USD 530097.66000000 1.252503798574 Long DBT UST US N 2 2041-08-15 Fixed 1.75000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFQ7 30000.00000000 PA USD 37493.18000000 0.088588111048 Long DBT CORP US N 2 2045-04-21 Fixed 4.75000000 N N N N N N HUNGARY 5299003F3UFKGCCMAP43 000000000 120000.00000000 PA 142441.60000000 0.336558069460 Long DBT NUSS HU N 2 2032-04-28 Fixed 1.63000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F82T9 99852.38000000 PA USD 6738.46000000 0.015921494063 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.88000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AR0 15000.00000000 PA USD 15080.85000000 0.035632720790 Long DBT CORP US N 2 2032-01-15 Fixed 3.25000000 N N N N N N Angel Oak Mortgage Trust N/A 03465LAA3 41988.53000000 PA USD 42085.43000000 0.099438584466 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.69000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RCP5 5000.00000000 PA USD 5783.94000000 0.013666173928 Long DBT CORP US N 2 2035-05-15 Fixed 4.50000000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BT8 20000.00000000 PA USD 26011.60000000 0.061459671048 Long DBT CORP US N 2 2040-05-01 Fixed 5.15000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCA1 15000.00000000 PA USD 15629.44000000 0.036928917908 Long DBT CORP US N 2 2051-03-25 Fixed 3.95000000 N N N N N N Sempra Energy PBBKGKLRK5S5C0Y4T545 816851BH1 10000.00000000 PA USD 10998.16000000 0.025986225212 Long DBT CORP US N 2 2038-02-01 Fixed 3.80000000 N N N N N N ION MEDIA ESCROW N/A 000000000 4.00000000 NS USD 24.05000000 0.000056824843 Long EC CORP US N 3 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYJ7 45000.00000000 PA USD 44358.58000000 0.104809536320 Long DBT CORP US N 2 2032-07-21 Fixed 2.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AWTK3 9256.43000000 PA USD 9451.73000000 0.022332352359 Long ABS-MBS USGSE US N 2 2047-05-25 Fixed 3.00000000 N N N N N N Chicago Transit Authority Sales Tax Receipts Fund N/A 16772PCX2 10000.00000000 PA USD 11105.20000000 0.026239137112 Long DBT MUN US N 2 2040-12-01 Fixed 3.91000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 01N050610 300000.00000000 PA USD 337546.88000000 0.797548793928 Long ABS-MBS USGA US N 2 2052-01-21 Fixed 5.00000000 N N N N N N County of Riverside CA 254900CB5HEOBAVTY629 76913CBB4 80000.00000000 PA USD 84353.73000000 0.199309250391 Long DBT MUN US N 2 2027-02-15 Fixed 2.96000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468L6 5000.00000000 PA USD 5120.51000000 0.012098635231 Long DBT CORP US N 2 2031-01-22 Fixed 2.70000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 1410101.93000000 OU Notional Amount USD 69.09000000 0.000163244424 N/A DFE US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A 1.00000000 NC USD 69.09000000 0.00000000 DFE US 10674471.61000000 CNY 1410101.93000000 USD 2022-03-30 1.00000000 7.57000000 USD 2022-03-30 XXXX -6934.98000000 N N N Deutsche Bank Securities Inc. 9J6MBOOO7BECTDTUZW19 000000000 15000.00000000 PA USD 15000.00000000 0.035441690081 Long RA CORP US N 2 Repurchase N 0.03000000 2022-01-03 15577.44551000 USD 15313.39254000 USD UST N N N Wells Fargo Mortgage Backed Securities Trust N/A 94984MAM6 11535.30000000 PA USD 11309.44000000 0.026721711164 Long ABS-MBS CORP US N 2 2036-10-25 Variable 2.54000000 N N N N N N CLEAN HARBORS INC 5493000SJVZVZJKHJF48 184496AN7 85000.00000000 PA USD 87550.00000000 0.206861331108 Long DBT CORP US N 2 2027-07-15 Fixed 4.88000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292GZZ2 985.19000000 PA USD 1099.93000000 0.002598891878 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AH7H5 198.25000000 PA USD 200.37000000 0.000473430096 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 2.00000000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAQ6 25000.00000000 PA USD 25875.25000000 0.061137506085 Long DBT CORP KY N 2 2030-07-08 Fixed 3.75000000 N N N N N N Verus Securitization Trust N/A 92538FAA2 74510.94000000 PA USD 73732.51000000 0.174213651223 Long ABS-MBS CORP US N 2 2066-02-25 Variable 1.03000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911363AM1 30000.00000000 PA USD 30450.00000000 0.071946630865 Long DBT CORP US N 2 2031-02-15 Fixed 3.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AYMB6 14917.43000000 PA USD 15233.63000000 0.035993706218 Long ABS-MBS USGSE US N 2 2053-04-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGE26 1745.74000000 PA USD 2022.22000000 0.004778059634 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6.00000000 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CU9 10000.00000000 PA USD 10241.78000000 0.024199066176 Long DBT CORP US N 2 2023-07-01 Fixed 2.95000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCB9 15000.00000000 PA USD 15698.99000000 0.037093249211 Long DBT CORP US N 2 2061-03-25 Fixed 4.10000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BR2 15000.00000000 PA USD 14521.96000000 0.034312187046 Long DBT CORP US N 2 2032-02-03 Fixed 2.15000000 N N N N N N CSAIL Commercial Mortgage Trust 549300D5DIOOMKWXVZ20 12634NAV0 1089292.43000000 PA USD 21972.34000000 0.051915790976 Long ABS-MBS CORP US N 2 2057-06-15 Variable 0.74000000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JBD9 25000.00000000 PA USD 27328.44000000 0.064571073392 Long DBT CORP US N 2 2042-09-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B4EJ3 27388.49000000 PA USD 28923.96000000 0.068340935083 Long ABS-MBS USGSE US N 2 2057-11-25 Fixed 3.50000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBL3 30000.00000000 PA USD 33162.07000000 0.078354653826 Long DBT CORP US N 2 2030-04-06 Fixed 3.63000000 N N N N N N NMLT Trust N/A 62923JAA0 90859.52000000 PA USD 89552.39000000 0.211592536828 Long ABS-MBS CORP US N 2 2056-05-25 Variable 1.19000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3129084J2 1.62000000 PA USD 1.62000000 0.000003827702 Long ABS-MBS USGSE US N 2 2022-03-15 Fixed 7.75000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07331YAA8 28705.68000000 PA USD 29041.27000000 0.068618112727 Long ABS-O CORP US N 2 2055-01-28 Variable 3.50000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017DD8 30000.00000000 PA USD 32539.46000000 0.076883563782 Long DBT CORP US N 2 2025-08-16 Fixed 3.95000000 N N N N N N ENERGEAN ISRAEL FINANCE 98450044QACBL3F8EB03 000000000 10000.00000000 PA USD 9912.50000000 0.023421050195 Long DBT CORP IL N 2 2026-03-30 Fixed 4.88000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JN8 55000.00000000 PA USD 60090.51000000 0.141980615483 Long DBT CORP US N 2 2050-07-01 Fixed 4.95000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 92873AAA6 76281.22000000 PA USD 75873.28000000 0.179271818348 Long ABS-MBS CORP US N 2 2051-02-27 Variable 2.24000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CF9 17000.00000000 PA USD 18270.06000000 0.043168120285 Long DBT CORP US N 2 2062-03-17 Fixed 3.04000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61772BAB9 65000.00000000 PA USD 64340.92000000 0.152023396413 Long DBT CORP US N 2 2027-05-04 Fixed 1.59000000 N N N N N N Soundview Home Equity Loan Trust N/A 83612HAD0 190931.58000000 PA USD 187526.60000000 0.443083975948 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.60000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJCE8 2935.66000000 PA USD 3350.37000000 0.007916185013 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RK6 150000.00000000 PA USD 165568.36000000 0.391201500160 Long DBT UST US N 2 2045-02-15 Fixed 2.50000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAB4 10000.00000000 PA USD 11212.97000000 0.026493773842 Long DBT CORP XX N 2 2029-06-18 Fixed 4.30000000 N N N N N N XEROX HOLDINGS CORP 5493000Y33XDVO2CXC18 98421MAB2 20000.00000000 PA USD 21075.00000000 0.049795574564 Long DBT CORP US N 2 2028-08-15 Fixed 5.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDH1 30000.00000000 PA USD 33673.82000000 0.079563806153 Long DBT CORP US N 2 2040-04-01 Fixed 3.75000000 N N N N N N UMBS, TBA N/A 01F042616 425000.00000000 PA USD 455347.66000000 1.075886043002 Long ABS-MBS USGSE US N 2 2052-01-15 Fixed 4.50000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17307G3F3 21506.24000000 PA USD 21451.28000000 0.050684641174 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.50000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBQ0 30000.00000000 PA USD 32794.67000000 0.077486568697 Long DBT CORP US N 2 2042-07-15 Fixed 3.75000000 N N N N N N New Residential Mortgage Loan Trust N/A 64829GAA7 36470.31000000 PA USD 38077.36000000 0.089968399482 Long ABS-MBS CORP US N 2 2035-11-26 Variable 3.75000000 N N N N N N CLECO CORPORATE HOLDINGS 5493002H80P81B3HXL31 18551PAE9 20000.00000000 PA USD 20359.04000000 0.048103919069 Long DBT CORP US N 2 2029-09-15 Fixed 3.38000000 N N N N N N Credit Suisse Mortgage Trust N/A 22946DAA0 90632.23000000 PA USD 89129.38000000 0.210593057540 Long ABS-MBS CORP US N 2 2066-05-25 Variable 0.94000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ASLB3 46710.90000000 PA USD 52319.30000000 0.123618961058 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 4.50000000 N N N N N N Ball Corp 0BGI85ALH27ZJP15DY16 058498AS5 115000.00000000 PA USD 120031.25000000 0.283607357505 Long DBT CORP US N 2 2023-11-15 Fixed 4.00000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBC2 15000.00000000 PA USD 15907.70000000 0.037586384887 Long DBT CORP US N 2 2024-11-15 Fixed 3.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HNE96 10065.10000000 PA USD 10729.04000000 0.025350354036 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.00000000 N N N N N N EQUITABLE FINANCIAL LIFE 635400B4JJBON4TCHF02 29449WAF4 55000.00000000 PA USD 54129.32000000 0.127895638917 Long DBT CORP US N 2 2028-03-08 Fixed 1.80000000 N N N N N N Cloudflare Inc 5493007DY18BGNLDWU14 18915M107 578.00000000 NS USD 76007.00000000 0.179587769201 Long EC CORP US N 1 N N N Uber Technologies Inc 549300B2FTG34FILDR98 90353T100 9048.00000000 NS USD 379382.64000000 0.896397463277 Long EC CORP US N 1 N N N GLP CAPITAL LP / FIN II N/A 361841AQ2 40000.00000000 PA USD 42679.60000000 0.100842477066 Long DBT US N 2 2031-01-15 Fixed 4.00000000 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAF6 25000.00000000 PA USD 25253.72000000 0.059668967842 Long DBT US N 2 2029-08-15 Fixed 3.75000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162VAF5 314594.65000000 PA USD 21670.32000000 0.051202184360 Long ABS-MBS CORP US N 2 2062-03-15 Variable 1.23000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCH6 110000.00000000 PA USD 109503.85000000 0.258733434295 Long DBT CORP US N 2 2027-11-02 Fixed 1.88000000 N N N N N N Conagra Brands Inc 54930035UDEIH090K650 205887CE0 5000.00000000 PA USD 6755.48000000 0.015961708567 Long DBT CORP US N 2 2048-11-01 Fixed 5.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RT7 115000.00000000 PA USD 122075.20000000 0.288436760335 Long DBT UST US N 2 2046-08-15 Fixed 2.25000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AJ8 40000.00000000 PA USD 41550.22000000 0.098174001337 Long DBT CORP US N 2 2023-06-15 Fixed 3.85000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MY4 25000.00000000 PA USD 25158.23000000 0.059443346043 Long DBT CORP US N 2 2032-05-01 Fixed 2.56000000 N N N N N N Deutsche Bank Commercial Mortgage Trust N/A 23312LAQ1 73010.07000000 PA USD 75194.09000000 0.177667042249 Long ABS-MBS CORP US N 2 2049-05-10 Fixed 3.04000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KAT3 40000.00000000 PA USD 40171.28000000 0.094915870395 Long DBT CORP US N 2 2022-03-28 Fixed 3.70000000 N N N N N N GALAXY PIPELINE ASSETS 549300L82YB0C6JQIC26 36321PAD2 200000.00000000 PA USD 196024.03000000 0.463161527985 Long DBT CORP JE N 2 2034-03-31 Fixed 2.16000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W7F66 69909.93000000 PA USD 72076.55000000 0.170300983149 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 2.50000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 91086QBB3 86000.00000000 PA USD 93633.36000000 0.221234968426 Long DBT NUSS MX N 2 2044-03-08 Fixed 4.75000000 N N N N N N LSTAR Securities Investment Ltd N/A 54912JAA0 50713.93000000 PA USD 50042.83000000 0.118240164777 Long ABS-MBS CORP US N 2 2024-05-01 Floating 2.60000000 N N N N N N HOWARD UNIVERSITY N/A 442851AS0 5000.00000000 PA USD 5041.51000000 0.011911975664 Long DBT CORP US N 2 2028-10-01 Fixed 2.65000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCS8 440000.00000000 PA USD 430718.75000000 1.017693363317 Long DBT UST US N 2 2031-08-15 Fixed 1.25000000 N N N N N N MICROCHIP TECHNOLOGY INC 5493007PTFULNYZJ1R12 595017AZ7 50000.00000000 PA USD 51069.89000000 0.120666880924 Long DBT CORP US N 2 2023-09-01 Fixed 2.67000000 N N N N N N NORTH MACEDONIA 635400RD1N6RVNCE4958 000000000 100000.00000000 PA 116326.43000000 0.274853685356 Long DBT NUSS MK N 2 2025-01-18 Fixed 2.75000000 N N N N N N OPEN TEXT CORP 549300HP7ONDQODZJV16 683715AD8 50000.00000000 PA USD 50625.00000000 0.119615704024 Long DBT CORP CA N 2 2029-12-01 Fixed 3.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AXJT3 15553.90000000 PA USD 16013.65000000 0.037836721358 Long ABS-MBS USGSE US N 2 2053-07-25 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FREK3 184475.92000000 PA USD 14502.56000000 0.034266349127 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.13000000 N N N N N N Towd Point Mortgage Trust N/A 89173HAA4 16769.93000000 PA USD 16900.69000000 0.039932601142 Long ABS-O CORP US N 2 2057-04-25 Variable 2.75000000 N N N N N N FIRSTCASH INC 549300V2X3UU7K0DG350 31944TAA8 30000.00000000 PA USD 30564.00000000 0.072215987709 Long DBT CORP US N 2 2030-01-01 Fixed 5.63000000 N N N N N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 000000000 100000.00000000 PA 102331.99000000 0.241787911666 Long DBT NUSS CL N 2 2051-01-22 Fixed 1.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4M59 1071.82000000 PA USD 1227.31000000 0.002899862710 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.50000000 N N N N N N Spotify Technology SA 549300B4X0JHWV0DTD60 000000000 714.00000000 NS USD 167097.42000000 0.394814331536 Long EC CORP LU N 1 N N N Deutsche Bank Commercial Mortgage Trust N/A 23312VAF3 125000.00000000 PA USD 130132.00000000 0.307473200911 Long ABS-MBS CORP US N 2 2049-08-10 Fixed 2.89000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYN8 5000.00000000 PA USD 5037.24000000 0.011901886596 Long DBT CORP US N 2 2032-10-21 Fixed 2.65000000 N N N N N N Chicago Board of Education 54930099NR6T9V7LVB43 167505KH8 15000.00000000 PA USD 18524.22000000 0.043768644282 Long DBT MUN US N 2 2039-12-01 Fixed 6.14000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAG7 10000.00000000 PA USD 10045.96000000 0.023736386726 Long DBT CORP US N 2 2027-01-15 Fixed 2.15000000 N N N N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348AX4 5000.00000000 PA USD 6251.60000000 0.014771151314 Long DBT CORP US N 2 2047-06-01 Fixed 4.50000000 N N N N N N New Residential Mortgage Loan Trust N/A 64828FCQ3 46351.83000000 PA USD 46369.35000000 0.109560542131 Long ABS-MBS CORP US N 2 2048-01-25 Floating 0.85000000 N N N N N N First Horizon Alternative Mortgage Securities N/A 32051GLU7 38417.26000000 PA USD 39012.02000000 0.092176794819 Long ABS-MBS CORP US N 2 2035-05-25 Variable 2.21000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AE7 20000.00000000 PA USD 20254.70000000 0.047857386672 Long DBT CORP US N 2 2026-08-18 Fixed 3.50000000 N N N N N N Chicago Board of Education 54930099NR6T9V7LVB43 167505NG7 40000.00000000 PA USD 47538.90000000 0.112323930707 Long DBT MUN US N 2 2029-11-01 Fixed 6.32000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SU3 285000.00000000 PA USD 283263.28000000 0.669288625414 Long DBT UST US N 2 2051-02-15 Fixed 1.88000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CP5 25000.00000000 PA USD 24789.20000000 0.058571409584 Long DBT CORP US N 2 2027-12-02 Fixed 2.45000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AVEP3 6427.06000000 PA USD 7067.66000000 0.016699321021 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KXV1 279.92000000 PA USD 320.69000000 0.000757719706 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Mercury Financial Credit Card Master Trust N/A 58940BAA4 100000.00000000 PA USD 99909.08000000 0.236063109978 Long ABS-O CORP US N 2 2026-03-20 Fixed 1.54000000 N N N N N N UMBS, TBA N/A 01F040610 640000.00000000 PA USD 680900.00000000 1.608816451763 Long ABS-MBS USGSE US N 2 2052-01-15 Fixed 4.00000000 N N N N N N Morgan Stanley BAML Trust N/A 61690GAF8 25000.00000000 PA USD 26188.35000000 0.061877292296 Long ABS-MBS CORP US N 2 2047-02-15 Fixed 4.06000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CU7 15000.00000000 PA USD 16900.14000000 0.039931301614 Long DBT CORP US N 2 2027-05-01 Fixed 5.04000000 N N N N N N JERSEY CENTRAL PWR & LT 549300W9UGH9ZPLNPF79 476556DD4 15000.00000000 PA USD 15219.12000000 0.035959422290 Long DBT CORP US N 2 2032-03-01 Fixed 2.75000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07387AFX8 53045.00000000 PA USD 50354.05000000 0.118975508963 Long ABS-MBS CORP US N 2 2036-02-25 Variable 2.78000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410K2D5 927.50000000 PA USD 1024.67000000 0.002421069105 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4.50000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AN7 5000.00000000 PA USD 4837.50000000 0.011429945051 Long DBT CORP US N 2 2026-01-15 Fixed 1.60000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CN8 20000.00000000 PA USD 26076.06000000 0.061611975804 Long DBT CORP US N 2 2045-07-20 Fixed 5.13000000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599BJ2 30000.00000000 PA USD 32210.42000000 0.076106114868 Long DBT CORP US N 2 2025-07-15 Fixed 4.00000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DN5 55000.00000000 PA USD 53584.78000000 0.126609011056 Long DBT CORP US N 2 2025-11-13 Fixed 0.75000000 N N N N N N New Residential Mortgage Loan Trust N/A 64829JAA1 64293.87000000 PA USD 67756.08000000 0.160092665899 Long ABS-MBS CORP US N 2 2057-02-25 Variable 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B5PK5 28401.21000000 PA USD 29470.74000000 0.069632855570 Long ABS-MBS USGSE US N 2 2049-08-25 Fixed 3.00000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AL3 25000.00000000 PA USD 28380.00000000 0.067055677634 Long DBT CORP US N 2 2029-01-15 Fixed 5.30000000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAP1 35000.00000000 PA USD 37349.92000000 0.088249619280 Long DBT CORP US N 2 2049-12-15 Fixed 4.50000000 N N N N N N KAISER FOUNDATION HOSPIT DW4Z57L3G4IRMHYZYK62 48305QAG8 20000.00000000 PA USD 20663.64000000 0.048823621655 Long DBT CORP US N 2 2051-06-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KJQ2 3724.93000000 PA USD 4234.19000000 0.010004456648 Long ABS-MBS USGA US N 2 2033-05-15 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128QHSW1 393.30000000 PA USD 408.02000000 0.000964061225 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 1.68000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RC4 105000.00000000 PA USD 136651.76000000 0.322877955133 Long DBT UST US N 2 2043-08-15 Fixed 3.63000000 N N N N N N WF-RBS Commercial Mortgage Trust 549300FCX3YXSYSLU895 92938VAQ8 60000.00000000 PA USD 63087.17000000 0.149061061817 Long ABS-MBS CORP US N 2 2047-03-15 Fixed 4.10000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513ECN9 55000.00000000 PA USD 55008.49000000 0.129972923628 Long DBT CORP US N 2 2032-03-15 Fixed 2.38000000 N N N N N N UMBS, TBA N/A 01F012411 200000.00000000 PA USD 200625.00000000 0.474032604839 Long ABS-MBS USGSE US N 2 2037-01-15 Fixed 1.50000000 N N N N N N FAIR ISAAC CORP RI6HET5SJUEY30V1PS26 303250AF1 35000.00000000 PA USD 35964.25000000 0.084975586834 Long DBT CORP US N 2 2028-06-15 Fixed 4.00000000 N N N N N N ZoomInfo Technologies Inc N/A 98980F104 3010.00000000 NS USD 193242.00000000 0.456588204981 Long EC CORP US N 1 N N N Wayfair Inc 54930027N9ZAVYFDHK53 94419L101 725.00000000 NS USD 137728.25000000 0.325421463464 Long EC CORP US N 1 N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AP2 25000.00000000 PA USD 24093.75000000 0.056928214693 Long DBT CORP US N 2 2030-09-01 Fixed 2.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36210AN94 4025.66000000 PA USD 4433.22000000 0.010474720620 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBN2 10000.00000000 PA USD 9354.30000000 0.022102146768 Long DBT CORP US N 2 2051-02-04 Fixed 3.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B2TT7 17012.96000000 PA USD 17146.45000000 0.040513277793 Long ABS-MBS USGSE US N 2 2039-10-15 Fixed 1.70000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69358DAA2 93522.56000000 PA USD 92619.57000000 0.218839606361 Long ABS-MBS CORP US N 2 2026-06-25 Variable 1.79000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XEP5 23455.46000000 PA USD 24018.29000000 0.056749919364 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 3.65000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACA1 45000.00000000 PA USD 44703.76000000 0.105625120493 Long DBT CORP US N 2 2028-02-15 Fixed 2.05000000 N N N N N N Fannie Mae - CAS 549300Z5THZ1JXIHVK60 20754PAC4 18501.43000000 PA USD 18501.43000000 0.043714796541 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 2.25000000 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587DE4 5000.00000000 PA USD 5443.02000000 0.012860655196 Long DBT CORP US N 2 2030-04-30 Fixed 3.70000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBQ2 15000.00000000 PA USD 15479.09000000 0.036573674034 Long DBT CORP US N 2 2061-02-08 Fixed 3.38000000 N N N N N N Sempra Energy PBBKGKLRK5S5C0Y4T545 816851BJ7 5000.00000000 PA USD 5580.99000000 0.013186647861 Long DBT CORP US N 2 2048-02-01 Fixed 4.00000000 N N N N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 000000000 100000.00000000 PA 112958.29000000 0.266895513754 Long DBT NUSS PH N 2 2033-04-28 Fixed 1.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31306XCK7 2386.39000000 PA USD 2498.17000000 0.005902624460 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MQCM3 4680.32000000 PA USD 4911.33000000 0.011604389049 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38374L5Y3 887.91000000 PA USD 974.21000000 0.002301843259 Long ABS-MBS USGA US N 2 2035-09-16 Fixed 7.50000000 N N N N N N New Residential Mortgage Loan Trust N/A 64830BAA5 57869.19000000 PA USD 60597.99000000 0.143179678742 Long ABS-MBS CORP US N 2 2057-08-27 Variable 4.00000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AK5 10000.00000000 PA USD 11546.40000000 0.027281595357 Long DBT CORP US N 2 2028-06-01 Fixed 5.75000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBR0 5000.00000000 PA USD 5074.43000000 0.011989758360 Long DBT CORP US N 2 2041-06-17 Fixed 3.06000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 35000.00000000 PA USD 35000.00000000 0.082697276856 Long RA CORP US N 2 Repurchase N 0.04000000 2022-01-03 35698.58469000 USD 35669.13871000 USD UST N N N Farfetch Ltd 549300QFQ74Z0F96NS78 000000000 2837.00000000 NS USD 94840.91000000 0.224088142617 Long EC CORP KY N 1 N N N Sound Point CLO LTD N/A 83614VAC9 250000.00000000 PA USD 249937.00000000 0.590545979592 Long ABS-CBDO CORP KY N 2 2034-04-25 Floating 1.19000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H022614 325000.00000000 PA USD 333010.74000000 0.786830896058 Long ABS-MBS USGA US N 2 2052-01-21 Fixed 2.50000000 N N N N N N Freddie Mac - STACR N/A 35564XAH4 24822.92000000 PA USD 24885.19000000 0.058798212773 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 1.95000000 N N N N N N ASML Holding NV 724500Y6DUVHQD6OXN27 000000000 380.00000000 NS USD 302533.20000000 0.714819194249 Long EC CORP NL N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ALHN7 25387.00000000 PA USD 28864.50000000 0.068200444223 Long ABS-MBS USGA US N 2 2040-01-15 Fixed 5.00000000 N N N N N N MARVELL TECHNOLOGY INC N/A 573874AF1 35000.00000000 PA USD 35526.17000000 0.083940500461 Long DBT CORP US N 2 2028-04-15 Fixed 2.45000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967JU6 3000.00000000 PA USD 3794.78000000 0.008966227779 Long DBT CORP US N 2 2045-07-30 Fixed 4.65000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XDD5 30000.00000000 PA USD 29366.87000000 0.069387433680 Long DBT CORP US N 2 2026-01-08 Fixed 1.25000000 N N N N N N GRAPHIC PACKAGING INTERN SO75N4VY5NXGQSK8YQ65 38869AAA5 45000.00000000 PA USD 48600.00000000 0.114831075863 Long DBT CORP US N 2 2027-07-15 Fixed 4.75000000 N N N N N N Commonwealth Edison Co D8YOXB8L2ZDC8P7Q0771 202795JM3 5000.00000000 PA USD 5860.28000000 0.013846548503 Long DBT CORP US N 2 2048-03-01 Fixed 4.00000000 N N N N N N SUZANO AUSTRIA G 254900287ZNSGVP1R341 86964WAK8 30000.00000000 PA USD 29025.30000000 0.068580379141 Long DBT CORP AT N 2 2032-01-15 Fixed 3.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AJXW4 12828.86000000 PA USD 14144.87000000 0.033421206585 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 4.00000000 N N N N N N Block Inc 549300OHIIUWSTIZME52 852234103 1753.00000000 NS USD 283127.03000000 0.668966696729 Long EC CORP US N 1 N N N VCAT Asset Securitization, LLC N/A 91824MAA2 84077.52000000 PA USD 83204.96000000 0.196594960370 Long ABS-MBS CORP US N 2 2051-05-25 Variable 1.74000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07331UAA6 29464.22000000 PA USD 29883.79000000 0.070608801575 Long ABS-O CORP US N 2 2057-06-28 Variable 3.50000000 N N N N N N WENDYS FUNDING LLC 5493009DRVSTWJOXUL48 95058XAK4 79600.00000000 PA USD 77761.72000000 0.183733785362 Long ABS-O CORP US N 2 2051-06-15 Fixed 2.37000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 10000.00000000 PA USD 10000.00000000 0.023627793387 Long RA CORP US N 2 Repurchase N 0.05000000 2022-01-03 9585.25473300 USD 10192.40768000 USD UST N N N GAP INC/THE T2ZG1WRWZ4BUCMQL9224 364760AQ1 48000.00000000 PA USD 47340.00000000 0.111853973897 Long DBT CORP US N 2 2031-10-01 Fixed 3.88000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHW2 35000.00000000 PA USD 35955.07000000 0.084953896519 Long DBT CORP US N 2 2025-10-22 Fixed 2.46000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGZ6 115000.00000000 PA USD 121025.81000000 0.285957283325 Long DBT CORP US N 2 2026-01-23 Fixed 3.37000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GK3 5000.00000000 PA USD 5627.93000000 0.013297556724 Long DBT CORP US N 2 2048-03-01 Fixed 4.13000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -12.00000000 NC USD -19828.11000000 -0.04684944863 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Ultra 10-Year US Treasury Note Futures UXYH2 COMDTY 2022-03-22 -1737421.89000000 USD -19828.11000000 N N N NORTONLIFELOCK INC YF6ZV0M6AU4FY94MK914 871503AU2 70000.00000000 PA USD 70533.75000000 0.166655687185 Long DBT CORP US N 2 2025-04-15 Fixed 5.00000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAT8 80000.00000000 PA USD 86276.80000000 0.203853040454 Long DBT CORP US N 2 2029-12-15 Fixed 4.63000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A 03066NAG9 40000.00000000 PA USD 40661.41000000 0.096073939432 Long ABS-O CORP US N 2 2025-09-18 Fixed 2.58000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DK3 5000.00000000 PA USD 5755.18000000 0.013598220394 Long DBT CORP US N 2 2040-04-01 Fixed 4.13000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 20000.00000000 PA USD 20149.50000000 0.047608822286 Long DBT CORP US N 2 2031-03-25 Fixed 2.88000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBL2 31000.00000000 PA USD 32609.80000000 0.077049761681 Long DBT CORP US N 2 2055-09-15 Fixed 4.00000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BW9 15000.00000000 PA USD 15404.36000000 0.036397103534 Long DBT CORP US N 2 2051-08-12 Fixed 3.05000000 N N N N N N State Street Global Advisors 549300Q3FHSMZ70NLT76 857492870 176533.45000000 NS USD 176533.45000000 0.417109588260 Long STIV RF US N 1 N N N Nokia OYJ 549300A0JPRWG1KI7U06 654902AC9 20000.00000000 PA USD 27675.00000000 0.065389918200 Long DBT CORP FI N 2 2039-05-15 Fixed 6.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138L84W1 203429.77000000 PA USD 213268.15000000 0.503905578436 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 2.66000000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493002S7XBI8CVRR075 94989HBM1 10000.00000000 PA USD 10053.21000000 0.023753516876 Long ABS-MBS CORP US N 2 2048-05-15 Variable 4.15000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297B5Q1 3363.38000000 PA USD 3773.21000000 0.008915262628 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FL2N3 204634.80000000 PA USD 9663.08000000 0.022831725772 Long ABS-MBS USGSE US N 2 2034-01-25 Variable 0.48000000 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAG4 10000.00000000 PA USD 9904.65000000 0.023402502377 Long DBT US N 2 2031-11-15 Fixed 3.60000000 N N N N N N Workday Inc 549300J0DYC0N31V7G13 98138H101 264.00000000 NS USD 72119.52000000 0.170402511777 Long EC CORP US N 1 N N N Dupont De Nemours Inc 5493004JF0SDFLM8GD76 26078JAB6 55000.00000000 PA USD 58167.14000000 0.137436116586 Long DBT CORP US N 2 2023-11-15 Fixed 4.21000000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAJ4 55000.00000000 PA USD 59337.72000000 0.140201938825 Long DBT CORP US N 2 2030-05-01 Fixed 3.60000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833DP2 65000.00000000 PA USD 66592.31000000 0.157342934188 Long DBT CORP US N 2 2029-09-11 Fixed 2.20000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967ND9 30000.00000000 PA USD 29926.02000000 0.070708581747 Long DBT CORP US N 2 2025-11-03 Fixed 1.28000000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 59020USJ5 6599.28000000 PA USD 6693.18000000 0.015814507414 Long ABS-MBS CORP US N 2 2035-02-25 Variable 2.83000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292LYB5 2937.68000000 PA USD 3104.73000000 0.007335791896 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.00000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46652BAY5 25000.00000000 PA USD 25452.04000000 0.060137554241 Long ABS-MBS CORP US N 2 2037-01-16 Fixed 2.81000000 N N N N N N COLT Funding LLC N/A 19688EAA6 47169.49000000 PA USD 46610.36000000 0.110129995580 Long ABS-MBS CORP US N 2 2066-06-25 Variable 0.91000000 N N N N N N BAT INTL FINANCE PLC 21380041YBGOQDFAC823 05530QAN0 35000.00000000 PA USD 34376.07000000 0.081223067943 Long DBT CORP GB N 2 2026-03-25 Fixed 1.67000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RP5 202000.00000000 PA USD 243567.81000000 0.575496989055 Long DBT UST US N 2 2045-11-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36208PX52 5591.65000000 PA USD 6134.90000000 0.014495414965 Long ABS-MBS USGA US N 2 2028-11-15 Fixed 6.50000000 N N N N N N Chicago Board of Education 54930099NR6T9V7LVB43 167505KG0 5000.00000000 PA USD 5714.56000000 0.013502244298 Long DBT MUN US N 2 2029-12-01 Fixed 6.04000000 N N N N N N CAMB Commercial Mortgage Trust N/A 12482HAQ7 100000.00000000 PA USD 99779.23000000 0.235756303081 Long ABS-MBS CORP US N 2 2037-12-15 Floating 2.66000000 N N N N N N NEW YORK LIFE INSURANCE TAE73CY392TBWJ3O3305 64952GAT5 15000.00000000 PA USD 17134.26000000 0.040484475512 Long DBT CORP US N 2 2050-05-15 Fixed 3.75000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BG8 40000.00000000 PA USD 42035.00000000 0.099319429504 Long DBT CORP US N 2 2028-01-15 Fixed 4.88000000 N N N N N N AUTOZONE INC GA3JGKJ41LJKXDN23E90 053332AY8 10000.00000000 PA USD 10667.89000000 0.025205870080 Long DBT CORP US N 2 2025-04-15 Fixed 3.63000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AM9 60000.00000000 PA USD 58800.00000000 0.138931425119 Long DBT CORP US N 2 2050-03-01 Fixed 3.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SV1 26552.25000000 PA USD 31466.49000000 0.074348372435 Long DBT UST US N 2 2051-02-15 Fixed 0.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133T1EV0 634.88000000 PA USD 656.91000000 0.001552133375 Long ABS-MBS USGSE US N 2 2023-09-15 Fixed 6.50000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAG9 30000.00000000 PA USD 33804.31000000 0.079872125229 Long DBT CORP US N 2 2040-04-01 Fixed 3.50000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AS0 30000.00000000 PA USD 32431.50000000 0.076628478125 Long DBT CORP US N 2 2028-01-15 Fixed 4.38000000 N N N N N N Veeva Systems Inc 549300YZEXPDB92M2F02 922475108 1296.00000000 NS USD 331102.08000000 0.782321153645 Long EC CORP US N 1 N N N 1011778 BC / NEW RED FIN N/A 68245XAH2 80000.00000000 PA USD 81020.80000000 0.191434272250 Long DBT CORP CA N 2 2028-01-15 Fixed 3.88000000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 100000.00000000 PA 109783.47000000 0.259394114653 Long DBT NUSS ID N 2 2033-03-12 Fixed 1.10000000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 59020UQD0 7935.47000000 PA USD 8262.67000000 0.019522865959 Long ABS-MBS CORP US N 2 2034-12-25 Variable 2.45000000 N N N N N N Trade Desk Inc/The 549300GXPD31VT3E0P46 88339J105 1924.00000000 NS USD 176315.36000000 0.416594289714 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378JNS7 16057.54000000 PA USD 16285.54000000 0.038479137432 Long ABS-MBS USGA US N 2 2042-01-20 Fixed 2.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCQ5 45000.00000000 PA USD 52485.92000000 0.124012647351 Long DBT CORP US N 2 2034-11-01 Fixed 4.40000000 N N N N N N Option One Mortgage Loan Trust N/A 68389BAB9 35759.60000000 PA USD 22899.05000000 0.054105402217 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EMME8 642.06000000 PA USD 673.35000000 0.001590977467 Long ABS-MBS USGSE US N 2 2040-10-01 Floating 2.07000000 N N N N N N Coupa Software Inc 549300Q95ICR2GFL2K37 22266L106 1138.00000000 NS USD 179860.90000000 0.424971618371 Long EC CORP US N 1 N N N United States Treasury 254900HROIFWPRGM1V77 912828Y38 22031.60000000 PA USD 25237.80000000 0.059631352395 Long DBT UST US N 2 2028-07-15 Fixed 0.75000000 N N N N N N CDK Global Inc 5493000L10CYRTHIJ385 12508EAJ0 57000.00000000 PA USD 60420.00000000 0.142759127648 Long DBT CORP US N 2 2029-05-15 Fixed 5.25000000 N N N N N N Adyen NV 724500973ODKK3IFQ447 000000000 49.00000000 NS 128950.45000000 0.304681458984 Long EC CORP NL N 1 N N N ROYAL BANK OF SCOTLAND REPO ROYAL BANK OF SCOTLAND REPO 549300WHU4EIHRP28H10 000000000 15000.00000000 PA USD 15000.00000000 0.035441690081 Long RA CORP US N 2 Repurchase N 0.03000000 2022-01-03 15311.15089000 USD 15316.25287000 USD UST N N N ASTRAZENECA FINANCE LLC 549300C3HATU4Q460S18 04636NAE3 60000.00000000 PA USD 59695.56000000 0.141047435783 Long DBT CORP US N 2 2028-05-28 Fixed 1.75000000 N N N N N N PacifiCorp SGY07Y7FNYBNLM6Z1M11 695114CT3 5000.00000000 PA USD 5780.17000000 0.013657266250 Long DBT CORP US N 2 2049-01-15 Fixed 4.13000000 N N N N N N Willis North America Inc 5493004KVU1HWZCP0C66 970648AF8 20000.00000000 PA USD 20950.55000000 0.049501526675 Long DBT CORP US N 2 2024-05-15 Fixed 3.60000000 N N N N N N New Residential Mortgage Loan Trust N/A 64829LAA6 35880.25000000 PA USD 37845.95000000 0.089421628715 Long ABS-MBS CORP US N 2 2056-11-25 Variable 3.75000000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBE8 10000.00000000 PA USD 10275.00000000 0.024277557705 Long DBT CORP US N 2 2025-05-01 Fixed 4.13000000 N N N N N N SUTTER HEALTH 549300MJCC12LU768G81 86944BAJ2 15000.00000000 PA USD 15777.03000000 0.037277640511 Long DBT CORP US N 2 2050-08-15 Fixed 3.36000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042QAL4 30000.00000000 PA USD 30071.69000000 0.071052767813 Long ABS-O CORP US N 2 2026-02-17 Fixed 1.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B1WE0 23600.27000000 PA USD 24781.47000000 0.058553145300 Long ABS-MBS USGSE US N 2 2048-04-25 Fixed 3.50000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042HAL4 55000.00000000 PA USD 55935.95000000 0.132164306954 Long ABS-O CORP US N 2 2024-11-15 Fixed 2.72000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AWCM7 16568.06000000 PA USD 17079.79000000 0.040355774922 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 3.50000000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBH1 10000.00000000 PA USD 10242.50000000 0.024200767377 Long DBT CORP US N 2 2028-12-01 Fixed 3.28000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RM2 370000.00000000 PA USD 444144.53000000 1.049415518908 Long DBT UST US N 2 2045-05-15 Fixed 3.00000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAB8 35000.00000000 PA USD 36487.51000000 0.086211934750 Long DBT CORP US N 2 2029-08-15 Fixed 3.20000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200K3Z8 542.49000000 PA USD 610.16000000 0.001441673441 Long ABS-MBS USGA US N 2 2033-01-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B1R48 4043.41000000 PA USD 4073.94000000 0.009625821259 Long ABS-MBS USGSE US N 2 2045-03-25 Fixed 3.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -232.10000000 -0.00054840108 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 335000.00000000 BRL 58863.84000000 USD 2022-03-16 -232.10000000 N N N PUGET ENERGY INC SYBSJ96YIDMIUY7WDR33 745310AK8 20000.00000000 PA USD 21639.77000000 0.051130001451 Long DBT CORP US N 2 2030-06-15 Fixed 4.10000000 N N N N N N UMBS, TBA N/A 01F032617 725000.00000000 PA USD 763458.99000000 1.803885127565 Long ABS-MBS USGSE US N 2 2052-01-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MT80 4190.70000000 PA USD 4606.90000000 0.010885088135 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 6.00000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YBF1 5000.00000000 PA USD 4973.48000000 0.011751235785 Long DBT CORP US N 2 2051-12-10 Fixed 2.75000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07332CAA5 48261.26000000 PA USD 49032.45000000 0.115852859788 Long ABS-O CORP US N 2 2057-07-28 Variable 3.50000000 N N N N N N Pretium Mortgage Credit Partners LLC N/A 74140QAA6 89885.99000000 PA USD 88744.11000000 0.209682749544 Long ABS-MBS CORP US N 2 2061-02-25 Variable 1.99000000 N N N N N N MARVELL TECHNOLOGY INC N/A 573874AJ3 25000.00000000 PA USD 25501.18000000 0.060253661218 Long DBT CORP US N 2 2031-04-15 Fixed 2.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3Z94 25272.60000000 PA USD 26639.28000000 0.062942740383 Long ABS-MBS USGSE US N 2 2049-03-25 Fixed 3.50000000 N N N N N N Madison Park Funding Ltd N/A 55821KAC0 250000.00000000 PA USD 249936.75000000 0.590545388897 Long ABS-CBDO CORP KY N 2 2034-07-17 Floating 1.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A9VK1 33210.66000000 PA USD 33489.88000000 0.079129196521 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 1.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FVNJ7 214530.10000000 PA USD 17841.03000000 0.042154417066 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 1.12000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBM7 15000.00000000 PA USD 15577.81000000 0.036806927611 Long DBT CORP US N 2 2041-04-22 Fixed 3.11000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404121AJ4 35000.00000000 PA USD 40897.15000000 0.096630941034 Long DBT CORP US N 2 2028-09-01 Fixed 5.63000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691JAW4 109563.03000000 PA USD 5696.80000000 0.013460281337 Long ABS-MBS CORP US N 2 2050-06-15 Variable 1.34000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PBA3 55000.00000000 PA USD 59456.31000000 0.140482140827 Long DBT CORP US N 2 2027-01-29 Fixed 3.96000000 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAM5 20000.00000000 PA USD 19902.14000000 0.047024365189 Long DBT CORP GB N 2 2050-09-02 Fixed 3.55000000 N N N N N N Impac CMB Trust N/A 45254NPA9 27866.25000000 PA USD 27448.85000000 0.064855575652 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.64000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JG3 70000.00000000 PA USD 66715.08000000 0.157633012607 Long DBT CORP US N 2 2031-02-01 Fixed 2.50000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69360XAA4 92809.46000000 PA USD 92043.53000000 0.217478550950 Long ABS-MBS CORP US N 2 2026-10-25 Variable 2.36000000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AC1 25000.00000000 PA USD 26109.63000000 0.061691294306 Long DBT CORP US N 2 2028-07-01 Fixed 4.50000000 N N N N N N Freddie Mac - STACR 549300KB1O80CETXGJ21 35564TAH3 35784.88000000 PA USD 36028.18000000 0.085126639317 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 2.15000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBN5 5000.00000000 PA USD 5185.94000000 0.012253231884 Long DBT CORP US N 2 2051-04-22 Fixed 3.11000000 N N N N N N HOWARD UNIVERSITY N/A 442851AY7 15000.00000000 PA USD 14999.87000000 0.035441382920 Long DBT CORP US N 2 2041-10-01 Fixed 3.48000000 N N N N N N DUKE ENERGY INDIANA LLC 6URPHM2EAWGJ2C6ISB97 26443TAC0 30000.00000000 PA USD 29294.04000000 0.069215352460 Long DBT CORP US N 2 2050-04-01 Fixed 2.75000000 N N N N N N Bluemountain CLO Ltd N/A 09609NAL9 250000.00000000 PA USD 249134.25000000 0.588649258478 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.23000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -263.63000000 -0.00062289951 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 36000.00000000 EUR 40782.56000000 USD 2022-03-16 -263.63000000 N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBU1 45000.00000000 PA USD 59030.52000000 0.139476093012 Long DBT CORP US N 2 2039-01-23 Fixed 5.45000000 N N N N N N New Residential Mortgage Loan Trust N/A 64828MAA5 50993.56000000 PA USD 53446.43000000 0.126282120534 Long ABS-MBS CORP US N 2 2057-04-25 Variable 4.00000000 N N N N N N Puget Energy Inc SYBSJ96YIDMIUY7WDR33 745310AH5 30000.00000000 PA USD 31714.07000000 0.074933349344 Long DBT CORP US N 2 2025-05-15 Fixed 3.65000000 N N N N N N EVERGY INC 549300PGTHDQY6PSUI61 30034WAA4 15000.00000000 PA USD 15388.82000000 0.036360385943 Long DBT CORP US N 2 2024-09-15 Fixed 2.45000000 N N N N N N New York Transportation Development Corp N/A 650117AA2 90000.00000000 PA USD 98256.42000000 0.232158239076 Long DBT MUN US N 2 2035-09-01 Fixed 4.25000000 N N N N N N FIRSTCASH INC 549300V2X3UU7K0DG350 33767DAB1 50000.00000000 PA USD 49951.00000000 0.118023190750 Long DBT CORP US N 2 2028-09-01 Fixed 4.63000000 N N N N N N ALABAMA POWER CO 0RL818ELFOHP5JHOFU19 010392FT0 25000.00000000 PA USD 26588.40000000 0.062822522170 Long DBT CORP US N 2 2049-10-01 Fixed 3.45000000 N N N N N N Drive Auto Receivables Trust N/A 26209AAG6 35000.00000000 PA USD 35584.80000000 0.084079030214 Long ABS-O CORP US N 2 2027-02-16 Fixed 2.70000000 N N N N N N Airbnb Inc 549300HMUDNO0RY56D37 009066101 1401.00000000 NS USD 233252.49000000 0.551124164087 Long EC CORP US N 1 N N N Securitized Asset Backed Receivables LLC Trust N/A 81379EAA0 81177.36000000 PA USD 71261.44000000 0.168375058082 Long ABS-O CORP US N 2 2037-05-25 Floating 0.23000000 N N N N N N Freddie Mac - SCRT N/A 35563PLK3 18237.41000000 PA USD 19722.91000000 0.046600884248 Long ABS-MBS USGSE US N 2 2058-10-25 Fixed 3.50000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FN3 25000.00000000 PA USD 24833.01000000 0.058674922947 Long DBT CORP US N 2 2062-09-16 Fixed 2.97000000 N N N N N N Angel Oak Mortgage Trust N/A 03465EAA9 57578.29000000 PA USD 57066.03000000 0.134834436629 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.07000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AFLL6 16101.65000000 PA USD 16239.41000000 0.038370142421 Long ABS-MBS USGSE US N 2 2043-06-25 Fixed 1.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413JTJ3 501.18000000 PA USD 565.01000000 0.001334993954 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.50000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XEC4 37524.17000000 PA USD 38955.61000000 0.092043510436 Long ABS-MBS USGSE US N 2 2029-05-25 Floating 4.45000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -14.00000000 NC USD -20140.62000000 -0.04758784080 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT US Long Bond Future USH2 COMDTY 2022-03-22 -2225984.38000000 USD -20140.62000000 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCZ0 10000.00000000 PA USD 12281.12000000 0.029017576592 Long DBT CORP US N 2 2042-10-01 Fixed 4.63000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFE9 35000.00000000 PA USD 37070.07000000 0.087588395482 Long DBT CORP US N 2 2030-03-22 Fixed 3.15000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297AQY3 2692.49000000 PA USD 2964.41000000 0.007004246699 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.00000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513ECP4 5000.00000000 PA USD 5044.21000000 0.011918355168 Long DBT CORP US N 2 2052-03-15 Fixed 3.03000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FRK75 34468.40000000 PA USD 35495.95000000 0.083869097269 Long ABS-MBS USGSE US N 2 2042-12-15 Fixed 2.50000000 N N N N N N SBA Tower Trust N/A 78403DAN0 40000.00000000 PA USD 41046.06000000 0.096982782505 Long DBT US N 2 2025-01-15 Fixed 2.84000000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773DD9 110000.00000000 PA USD 108712.40000000 0.256863412587 Long DBT CORP US N 2 2027-11-01 Fixed 1.71000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBR5 35000.00000000 PA USD 34133.28000000 0.080649408748 Long DBT CORP US N 2 2028-03-25 Fixed 2.26000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SJ8 130000.00000000 PA USD 139734.77000000 0.330162427462 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N Dominos Pizza Master Issuer LLC N/A 25755TAJ9 58200.00000000 PA USD 59486.57000000 0.140553638529 Long ABS-O CORP US N 2 2048-07-25 Fixed 4.12000000 N N N N N N WF-RBS Commercial Mortgage Trust 549300QGM7D5K3CV2643 96221TAE7 130000.00000000 PA USD 136181.73000000 0.321767377961 Long ABS-MBS CORP US N 2 2047-03-15 Fixed 4.05000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BH4 10000.00000000 PA USD 12499.84000000 0.029534363689 Long DBT CORP US N 2 2039-03-15 Fixed 4.75000000 N N N N N N Summit Issuer, LLC N/A 86613XAA3 25000.00000000 PA USD 24776.28000000 0.058540882475 Long ABS-O CORP US N 2 2050-12-20 Fixed 2.29000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWM2 35000.00000000 PA USD 35395.09000000 0.083630787345 Long DBT CORP US N 2 2023-07-24 Fixed 2.91000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17322AAD4 75000.00000000 PA USD 78773.91000000 0.186125366981 Long ABS-MBS CORP US N 2 2047-03-10 Fixed 4.02000000 N N N N N N GSR Mortgage Loan Trust N/A 362290AC2 11914.45000000 PA USD 9139.86000000 0.021595472367 Long ABS-MBS CORP US N 2 2047-03-25 Variable 2.77000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAU0 40000.00000000 PA USD 41690.94000000 0.098506491645 Long DBT CORP US N 2 2024-07-23 Fixed 3.80000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828V49 103023.90000000 PA USD 113340.38000000 0.267798308111 Long DBT UST US N 2 2027-01-15 Fixed 0.38000000 N N N N N N BELLEMEADE RE LT 254900KXN235YISGF415 07876LAA7 6565.78000000 PA USD 6565.78000000 0.015513489326 Long ABS-MBS CORP BM N 2 2029-10-25 Floating 1.50000000 N N N N N N BRIGHTHOUSE FINANCIAL IN 5493003T8SZSHOGGAW52 10922NAG8 40000.00000000 PA USD 47773.73000000 0.112878782179 Long DBT CORP US N 2 2030-05-15 Fixed 5.63000000 N N N N N N Angel Oak Mortgage Trust N/A 03465MAA1 50000.00000000 PA USD 49923.40000000 0.117957978040 Long ABS-MBS CORP US N 2 2066-11-25 Variable 1.82000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BS2 5000.00000000 PA USD 5818.29000000 0.013747335398 Long DBT CORP US N 2 2049-07-01 Fixed 5.13000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 638585AP4 4000.00000000 PA USD 4755.38000000 0.011235913611 Long DBT CORP US N 2 2025-10-15 Fixed 7.25000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CC4 30000.00000000 PA USD 32613.03000000 0.077057393458 Long DBT CORP US N 2 2040-04-15 Fixed 3.30000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFK5 20000.00000000 PA USD 22151.68000000 0.052339531822 Long DBT CORP US N 2 2049-09-01 Fixed 3.63000000 N N N N N N Legacy Mortgage Asset Trust N/A 52474XAA3 92404.76000000 PA USD 91538.61000000 0.216285536407 Long ABS-MBS CORP US N 2 2061-07-25 Variable 1.75000000 N N N N N N SBA Tower Trust N/A 78403DAM2 70000.00000000 PA USD 70338.77000000 0.166194992470 Long DBT CORP US N 2 2023-03-15 Fixed 3.45000000 N N N N N N Morgan Stanley Mortgage Loan Trust N/A 61755GBF9 19684.89000000 PA USD 11181.26000000 0.026418850109 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.00000000 N N N N N N Hologic Inc 549300DYP6F5ZJL0LB74 436440AM3 70000.00000000 PA USD 73500.00000000 0.173664281399 Long DBT CORP US N 2 2028-02-01 Fixed 4.63000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 2.00000000 NC USD -218.75000000 -0.00051685798 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year US Treasury Note Future TUH2 COMDTY 2022-03-31 436562.50000000 USD -218.75000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 23.00000000 NC USD -1825.68000000 -0.00431367898 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year US Treasury Note TYH2 COMDTY 2022-03-22 3002606.93000000 USD -1825.68000000 N N N JPMDB Commercial Mortgage Securities Trust N/A 46646RAJ2 85000.00000000 PA USD 89506.59000000 0.211484321535 Long ABS-MBS CORP US N 2 2049-12-15 Fixed 3.14000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38374L5X5 34.09000000 PA USD 35.89000000 0.000084800150 Long ABS-MBS USGA US N 2 2035-09-16 Fixed 7.50000000 N N N N N N Angel Oak Mortgage Trust N/A 03465HAA2 68688.26000000 PA USD 67719.34000000 0.160005857386 Long ABS-MBS CORP US N 2 2066-07-25 Variable 0.95000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AD9 40000.00000000 PA USD 41300.00000000 0.097582786690 Long DBT CORP US N 2 2028-01-15 Fixed 4.75000000 N N N N N N TICP CLO Ltd N/A 87249FAC8 144132.82000000 PA USD 143811.55000000 0.339794959015 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 0.97000000 N N N N N N Cox Communications Inc 5493001NEDZNIFRP2R92 224044CH8 29000.00000000 PA USD 30228.11000000 0.071422353757 Long DBT CORP US N 2 2024-08-15 Fixed 3.15000000 N N N N N N CANADIAN PACIFIC RAILWAY 54930036474DURYNB481 13645RBF0 20000.00000000 PA USD 20383.44000000 0.048161570884 Long DBT CORP CA N 2 2031-12-02 Fixed 2.45000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468U6 70000.00000000 PA USD 66334.12000000 0.156732888191 Long DBT CORP US N 2 2032-02-13 Fixed 1.79000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2C6 40000.00000000 PA USD 42032.59000000 0.099313735206 Long DBT CORP US N 2 2024-01-24 Fixed 3.75000000 N N N N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59261AG76 95000.00000000 PA USD 130047.67000000 0.307273947730 Long DBT MUN US N 2 2049-11-15 Fixed 5.18000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F83S0 118777.04000000 PA USD 9077.70000000 0.021448602003 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 1.03000000 N N N N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111GC1 20000.00000000 PA USD 20066.37000000 0.047412404439 Long DBT CORP US N 2 2051-12-01 Fixed 3.20000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 335000.00000000 OU Notional Amount USD 1677.18000000 0.003962806251 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-12-15 0.00000000 USD -577.07000000 USD 335000.00000000 USD 2254.25000000 N N N Intuitive Surgical Inc 54930052SRG011710797 46120E602 492.00000000 NS USD 176775.60000000 0.417681735277 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3BD1 20515.73000000 PA USD 21328.95000000 0.050395602377 Long ABS-MBS USGSE US N 2 2056-10-25 Fixed 3.50000000 N N N N N N State of Illinois 54930048FV8RWPR02D67 452152KJ9 10000.00000000 PA USD 10382.65000000 0.024531910901 Long DBT MUN US N 2 2023-01-01 Fixed 5.00000000 N N N N N N SG Commercial Mortgage Securities Trust N/A 78397FAA1 90000.00000000 PA USD 91620.23000000 0.216478386456 Long ABS-MBS CORP US N 2 2037-03-15 Fixed 2.63000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05552EAA8 153000.00000000 PA USD 152859.21000000 0.361172583127 Long ABS-MBS CORP US N 2 2036-08-15 Floating 0.96000000 N N N N N N BENCHMARK Mortgage Trust N/A 08161HAG5 354807.56000000 PA USD 8544.09000000 0.020187799320 Long ABS-MBS CORP US N 2 2051-07-15 Variable 0.51000000 N N N N N N GCAT N/A 36167HAA3 82373.82000000 PA USD 81527.60000000 0.192631728818 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.09000000 N N N N N N Hanesbrands Inc GX5LWVWZLL5S4W1L2F20 410345AL6 40000.00000000 PA USD 42750.00000000 0.101008816732 Long DBT CORP US N 2 2026-05-15 Fixed 4.88000000 N N N N N N HOWARD UNIVERSITY N/A 442851AV3 10000.00000000 PA USD 10434.22000000 0.024653759432 Long DBT CORP US N 2 2031-10-01 Fixed 2.90000000 N N N N N N 510 Assets Backed Trust N/A 33835JAA8 89655.42000000 PA USD 88437.99000000 0.208959455533 Long ABS-MBS CORP US N 2 2061-06-25 Variable 2.12000000 N N N N N N PulteGroup Inc N/A 745867AW1 42000.00000000 PA USD 47754.84000000 0.112834149277 Long DBT CORP US N 2 2026-03-01 Fixed 5.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NE7 30000.00000000 PA USD 30000.22000000 0.070883899974 Long DBT CORP US N 2 2032-11-03 Fixed 2.52000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AD2H1 23355.56000000 PA USD 23565.34000000 0.055679698462 Long ABS-MBS USGSE US N 2 2041-08-25 Fixed 1.50000000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JAY4 45000.00000000 PA USD 56289.81000000 0.133000400050 Long DBT CORP US N 2 2040-11-15 Fixed 5.88000000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AE7 25000.00000000 PA USD 25560.00000000 0.060392639898 Long DBT CORP US N 2 2030-10-01 Fixed 3.75000000 N N N N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAE1 55000.00000000 PA USD 51700.00000000 0.122155691814 Long DBT CORP NL N 2 2026-10-01 Fixed 3.15000000 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CV7 30000.00000000 PA USD 31751.58000000 0.075021977197 Long DBT CORP US N 2 2026-07-01 Fixed 3.25000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CK6 10000.00000000 PA USD 10037.22000000 0.023715736034 Long DBT CORP NL N 2 2041-11-26 Fixed 2.88000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GG2 7000.00000000 PA USD 7743.87000000 0.018297056038 Long DBT CORP US N 2 2047-04-01 Fixed 4.00000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBT7 10000.00000000 PA USD 10686.58000000 0.025250030426 Long DBT CORP US N 2 2036-07-15 Fixed 3.20000000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAX6 15000.00000000 PA USD 16955.07000000 0.040061089083 Long DBT CORP XX N 2 2026-03-01 Fixed 5.35000000 N N N N N N MFRA Trust N/A 55283FAA6 59613.10000000 PA USD 59267.62000000 0.140036307993 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.15000000 N N N N N N Snap Inc 549300JNC0L6VP8A2Q35 83304A106 3806.00000000 NS USD 178996.18000000 0.422928475821 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GSEB1 1972.15000000 PA USD 2130.88000000 0.005034799237 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F020620 1550000.00000000 PA USD 1542923.32000000 3.645587341792 Long ABS-MBS USGSE US N 2 2052-02-15 Fixed 2.00000000 N N N N N N Pretium Mortgage Credit Partners LLC N/A 74143FAA7 96170.21000000 PA USD 95323.47000000 0.225228325415 Long ABS-O CORP US N 2 2051-07-25 Variable 1.74000000 N N N N N N Towd Point Mortgage Trust N/A 89179TAA2 97644.04000000 PA USD 97418.97000000 0.230179529519 Long ABS-MBS CORP US N 2 2060-11-30 Variable 2.92000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAV5 5000.00000000 PA USD 4851.79000000 0.011463709168 Long DBT CORP US N 2 2046-09-16 Fixed 3.88000000 N N N N N N AMERICAN WATER CAPITAL C 5IDHQUFVC8Q2KIBBFF06 03040WAV7 10000.00000000 PA USD 11844.41000000 0.027985727227 Long DBT CORP US N 2 2049-06-01 Fixed 4.15000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300ZVNWG0TX42H716 94989VAG4 571683.45000000 PA USD 16342.77000000 0.038614359294 Long ABS-MBS CORP US N 2 2057-09-15 Variable 0.90000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128283W8 200000.00000000 PA USD 216328.12000000 0.511135612329 Long DBT UST US N 2 2028-02-15 Fixed 2.75000000 N N N N N N LEIDOS INC 5493006I78VIN6J1BQ95 52532XAD7 20000.00000000 PA USD 21238.40000000 0.050181652708 Long DBT CORP US N 2 2025-05-15 Fixed 3.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AY6G6 5912.64000000 PA USD 6386.22000000 0.015089228668 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 4.00000000 N N N N N N Bayview Koitere Fund Trust N/A 500274AA3 30094.42000000 PA USD 30492.75000000 0.072047639682 Long ABS-O CORP US N 2 2053-11-28 Variable 4.00000000 N N N N N N Oglethorpe Power Corp 3EERXCUSWMS9GV5D9M98 677050AN6 20000.00000000 PA USD 25317.79000000 0.059820351115 Long DBT CORP US N 2 2048-10-01 Fixed 5.05000000 N N N N N N Oaktown Re Ltd 2549008N2FD0KB1Y5E03 67400KAA8 7561.27000000 PA USD 7564.00000000 0.017872062918 Long ABS-MBS CORP US N 2 2029-07-25 Floating 1.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BA1 20000.00000000 PA USD 27388.30000000 0.064712509363 Long DBT CORP US N 2 2045-10-23 Fixed 6.48000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307AFP2 2457.84000000 PA USD 2556.07000000 0.006039429384 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 2.50000000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BJ3 30000.00000000 PA USD 32700.00000000 0.077262884377 Long DBT CORP US N 2 2027-11-15 Fixed 4.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H040616 650000.00000000 PA USD 684582.03000000 1.617516276172 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RD2 105000.00000000 PA USD 139313.67000000 0.329167461083 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N N Bank N/A 06540AAE1 989537.31000000 PA USD 54510.64000000 0.128796613934 Long ABS-MBS CORP US N 2 2062-09-15 Variable 0.83000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F9YZ8 270710.34000000 PA USD 15489.26000000 0.036597703500 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 0.72000000 N N N N N N New Residential Mortgage Loan Trust N/A 64830GAB2 42980.18000000 PA USD 45237.82000000 0.106886986426 Long ABS-MBS CORP US N 2 2057-12-25 Variable 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371NFP5 6656.11000000 PA USD 7869.62000000 0.018594175539 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GRB83 1679.61000000 PA USD 1814.77000000 0.004287901060 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 3.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCD6 65000.00000000 PA USD 68047.45000000 0.160781108915 Long DBT CORP US N 2 2042-04-22 Fixed 3.16000000 N N N N N N Municipal Electric Authority of Georgia JA0WNILDDF2KUPS83B16 626207YF5 19000.00000000 PA USD 28926.49000000 0.068346912914 Long DBT MUN US N 2 2057-04-01 Fixed 6.64000000 N N N N N N PacifiCorp SGY07Y7FNYBNLM6Z1M11 695114CV8 5000.00000000 PA USD 5936.22000000 0.014025977966 Long DBT CORP US N 2 2050-02-15 Fixed 4.15000000 N N N N N N SERVICE CORP INTL 549300RKVM2ME20JHZ15 817565CF9 50000.00000000 PA USD 49132.50000000 0.116089255861 Long DBT CORP US N 2 2030-08-15 Fixed 3.38000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163AAF0 99818.46000000 PA USD 10520.80000000 0.024858328867 Long ABS-MBS CORP US N 2 2053-07-15 Variable 1.79000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 4905100.00000000 PA 242156.30000000 0.572161902391 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.75000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -4.00000000 NC 10383.12000000 0.024533021407 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 10 Year Euro BUND Future RXH2 COMDTY 2022-03-08 -694600.00000000 EUR 10383.12000000 N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBL1 75000.00000000 PA USD 75021.75000000 0.177259840857 Long DBT CORP US N 2 2026-09-01 Fixed 3.13000000 N N N N N N LSTAR Securities Investment Ltd N/A 54912MAA3 53846.11000000 PA USD 54000.00000000 0.127590084293 Long ABS-MBS CORP US N 2 2026-02-01 Floating 1.90000000 N N N N N N GS Mortgage Securities Trust N/A 36228CUV3 40000.00000000 PA USD 44544.00000000 0.105247642865 Long ABS-MBS CORP US N 2 2032-05-03 Fixed 5.37000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A14P7 1434.94000000 PA USD 1448.79000000 0.003423171078 Long ABS-MBS USGSE US N 2 2040-08-25 Fixed 2.00000000 N N N N N N NGPL PIPECO LLC 549300K3NT1HSQFEM073 62928CAA0 15000.00000000 PA USD 15253.50000000 0.036040654643 Long DBT CORP US N 2 2031-07-15 Fixed 3.25000000 N N N N N N Legacy Mortgage Asset Trust N/A 52474VAA7 71821.95000000 PA USD 71934.11000000 0.169964428860 Long ABS-MBS CORP US N 2 2059-06-25 Variable 3.00000000 N N N N N N BLACK KNIGHT INFOSERV LL 549300H5PS5C68DAUX66 092174AA9 114000.00000000 PA USD 113850.66000000 0.269003987152 Long DBT CORP US N 2 2028-09-01 Fixed 3.63000000 N N N N N N CIM Trust N/A 12553HAA6 24430.45000000 PA USD 24657.59000000 0.058260444195 Long ABS-MBS CORP US N 2 2057-04-25 Variable 3.00000000 N N N N N N IPALCO Enterprises Inc 5493000YFVK2DZX0JV43 462613AM2 30000.00000000 PA USD 31386.09000000 0.074158404976 Long DBT CORP US N 2 2024-09-01 Fixed 3.70000000 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370DA5 15000.00000000 PA USD 15360.00000000 0.036292290643 Long DBT CORP US N 2 2032-02-12 Fixed 3.25000000 N N N N N N New Residential Mortgage Loan Trust N/A 64829KBV1 66484.85000000 PA USD 69963.92000000 0.165309304634 Long ABS-MBS CORP US N 2 2057-03-25 Variable 4.00000000 N N N N N N BUILDERS FIRSTSOURCE INC 549300W0SKP6L3H7DP63 12008RAN7 51000.00000000 PA USD 54697.50000000 0.129238122882 Long DBT CORP US N 2 2030-03-01 Fixed 5.00000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AP4 30000.00000000 PA USD 29166.00000000 0.068912822194 Long DBT CORP CO N 2 2031-11-02 Fixed 4.63000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JPP97 4718.37000000 PA USD 5183.83000000 0.012248246419 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.00000000 N N N N N N ITC HOLDINGS CORP 549300HTO5U9D3SLE207 465685AQ8 25000.00000000 PA USD 25551.45000000 0.060372438135 Long DBT CORP US N 2 2030-05-14 Fixed 2.95000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YBE4 20000.00000000 PA USD 20071.99000000 0.047425683259 Long DBT CORP US N 2 2031-12-10 Fixed 2.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A36C0 7671.92000000 PA USD 7781.09000000 0.018384998685 Long ABS-MBS USGSE US N 2 2041-09-25 Fixed 2.00000000 N N N N N N LEVIATHAN BOND LTD 254900D9T8VKYVQNZ220 000000000 50000.00000000 PA USD 53556.00000000 0.126541010266 Long DBT CORP IL N 2 2027-06-30 Fixed 6.50000000 N N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CBL8 15000.00000000 PA USD 15034.61000000 0.035523465874 Long DBT CORP US N 2 2031-06-15 Fixed 2.55000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 65000.00000000 PA USD 68219.38000000 0.161187341567 Long DBT CORP US N 2 2033-04-15 Fixed 3.42000000 N N N N N N Match Group Inc 15OMOPB0A8K0EFUVD031 57667L107 559.00000000 NS USD 73927.75000000 0.174674960261 Long EC CORP US N 1 N N N Towd Point Mortgage Trust N/A 89173FAA8 39128.23000000 PA USD 39465.56000000 0.093248409760 Long ABS-O CORP US N 2 2056-10-25 Variable 2.75000000 N N N N N N County of Riverside CA 254900CB5HEOBAVTY629 76913CBC2 80000.00000000 PA USD 84982.78000000 0.200795556734 Long DBT MUN US N 2 2028-02-15 Fixed 3.07000000 N N N N N N UMBS, TBA N/A 01F022618 1525000.00000000 PA USD 1556631.84000000 3.677977549613 Long ABS-MBS USGSE US N 2 2052-01-15 Fixed 2.50000000 N N N N N N BAXTER INTERNATIONAL INC J5OIVXX3P24RJRW5CK77 071813CQ0 110000.00000000 PA USD 111256.61000000 0.262874819408 Long DBT CORP US N 2 2032-02-01 Fixed 2.54000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBF5 10000.00000000 PA USD 11333.04000000 0.026777472757 Long DBT CORP US N 2 2045-03-15 Fixed 5.15000000 N N N N N N Domino's Pizza Inc 25490005ZWM1IF9UXU57 25754A201 330.00000000 NS USD 186228.90000000 0.440017797200 Long EC CORP US N 1 N N N MARATHON PETROLEUM CORP 3BNYRYQHD39K4LCKQF12 56585ABH4 25000.00000000 PA USD 27283.93000000 0.064465906084 Long DBT CORP US N 2 2025-05-01 Fixed 4.70000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBX6 15000.00000000 PA USD 16052.89000000 0.037929436819 Long DBT CORP US N 2 2029-11-21 Fixed 3.20000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCE1 80000.00000000 PA USD 81855.20000000 0.193405775330 Long DBT CORP US N 2 2030-08-15 Fixed 4.50000000 N N N N N N Dominican Republic 254900EHU7Q8FGVPI369 25714PEB0 150000.00000000 PA USD 157501.50000000 0.372141290024 Long DBT NUSS DO N 2 2049-06-05 Fixed 6.40000000 N N N N N N UMBS, TBA N/A 01F030611 1125000.00000000 PA USD 1166000.97000000 2.755003000893 Long ABS-MBS USGSE US N 2 2052-01-15 Fixed 3.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCR5 40000.00000000 PA USD 40324.83000000 0.095278675163 Long DBT CORP US N 2 2032-11-08 Fixed 2.55000000 N N N N N N Boston Scientific Corp Y6ZDD9FP4P8JSSJMW954 101137AW7 60000.00000000 PA USD 64487.07000000 0.152368716613 Long DBT CORP US N 2 2026-03-01 Fixed 3.75000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162PAY7 207808.33000000 PA USD 5107.37000000 0.012067588311 Long ABS-MBS CORP US N 2 2051-01-15 Variable 0.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148YAA6 10000.00000000 PA USD 11464.47000000 0.027088012845 Long DBT CORP US N 2 2038-10-31 Fixed 4.02000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKA9 15000.00000000 PA USD 15592.13000000 0.036840762611 Long DBT CORP US N 2 2051-06-01 Fixed 3.65000000 N N N N N N Starwood Mortgage Residential Trust N/A 85573RAA6 100000.00000000 PA USD 99859.48000000 0.235945916123 Long ABS-MBS CORP US N 2 2066-11-25 Variable 1.92000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371NBJ3 6403.41000000 PA USD 7041.70000000 0.016637983269 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 6.00000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 000000000 100000.00000000 PA 120177.97000000 0.283954024490 Long DBT NUSS SA N 2 2039-07-09 Fixed 2.00000000 N N N N N N GTP ACQUISITION PARTNERS N/A 36246MAU3 160000.00000000 PA USD 166349.46000000 0.393047067102 Long DBT CORP US N 2 2025-06-16 Fixed 3.48000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 10000.00000000 PA USD 10000.00000000 0.023627793387 Long RA CORP US N 2 Repurchase N 0.05000000 2022-01-03 7775.09504400 USD 10192.11000000 USD UST N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAV3 20000.00000000 PA USD 20404.20000000 0.048210622183 Long DBT CORP US N 2 2030-02-15 Fixed 3.38000000 N N N N N N XCEL ENERGY INC LGJNMI9GH8XIDG5RCM61 98388MAB3 110000.00000000 PA USD 109079.90000000 0.257731733994 Long DBT CORP US N 2 2027-03-15 Fixed 1.75000000 N N N N N N Vodafone Group PLC 213800TB53ELEUKM7Q61 92857WAQ3 30000.00000000 PA USD 40747.92000000 0.096278343473 Long DBT CORP GB N 2 2037-02-27 Fixed 6.15000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCA1 40000.00000000 PA USD 42099.65000000 0.099472183189 Long DBT CORP US N 2 2024-01-29 Fixed 3.90000000 N N N N N N Angel Oak Mortgage Trust N/A 03463WAA1 6012.57000000 PA USD 6033.95000000 0.014256892391 Long ABS-MBS CORP US N 2 2049-03-25 Variable 3.63000000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36250SAG4 1113236.14000000 PA USD 23321.07000000 0.055102542353 Long ABS-MBS CORP US N 2 2051-07-10 Variable 0.32000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174468C6 50000.00000000 PA USD 54210.78000000 0.128088110922 Long DBT CORP US N 2 2025-07-23 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030617 1000000.00000000 PA USD 1035039.06000000 2.445568905780 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 3.00000000 N N N N N N Navient Corp 54930067J0ZNOEBRW338 63938CAE8 27000.00000000 PA USD 29092.50000000 0.068739157912 Long DBT CORP US N 2 2023-09-25 Fixed 7.25000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 000000000 100000.00000000 PA 105117.21000000 0.248368771936 Long DBT NUSS EG N 2 2031-04-11 Fixed 6.38000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07333NAA0 40900.30000000 PA USD 41394.85000000 0.097806896311 Long ABS-O CORP US N 2 2064-10-28 Variable 4.00000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBQ7 5000.00000000 PA USD 5208.34000000 0.012306158141 Long DBT CORP US N 2 2047-11-15 Fixed 4.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBP0 5000.00000000 PA USD 5182.14000000 0.012244253322 Long DBT CORP US N 2 2031-05-13 Fixed 2.96000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBP4 15000.00000000 PA USD 14455.30000000 0.034154684175 Long DBT CORP US N 2 2051-06-04 Fixed 2.94000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A4TG4 13965.53000000 PA USD 14172.60000000 0.033486726456 Long ABS-MBS USGSE US N 2 2041-12-25 Fixed 2.00000000 N N N N N N COX COMMUNICATIONS INC 5493001NEDZNIFRP2R92 224044CN5 25000.00000000 PA USD 25000.28000000 0.059070145047 Long DBT CORP US N 2 2031-06-15 Fixed 2.60000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307BV64 5302.93000000 PA USD 5520.30000000 0.013043250783 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 2.50000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 10140000.00000000 PA 114755.81000000 0.271142656871 Long DBT NUSS RU N 2 2031-03-12 Fixed 5.90000000 N N N N N N KINGDOM OF MOROCCO 529900F3MBW9XY5K1X07 000000000 100000.00000000 PA 110579.05000000 0.261273894640 Long DBT NUSS MA N 2 2030-09-30 Fixed 2.00000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BF8 25000.00000000 PA USD 26445.05000000 0.062483817752 Long DBT CORP US N 2 2024-03-15 Fixed 3.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RW0 143187.50000000 PA USD 193490.50000000 0.457175355646 Long DBT UST US N 2 2047-02-15 Fixed 0.88000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXR0 15000.00000000 PA USD 14397.94000000 0.034019155152 Long DBT CORP US N 2 2032-01-27 Fixed 1.99000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDV0 16000.00000000 PA USD 15257.18000000 0.036049349671 Long DBT CORP US N 2 2063-11-01 Fixed 2.99000000 N N N N N N Deutsche Bank Commercial Mortgage Trust N/A 233063AW6 99801.44000000 PA USD 9332.71000000 0.022051134362 Long ABS-MBS CORP US N 2 2053-09-15 Variable 1.71000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017CW7 15000.00000000 PA USD 18121.30000000 0.042816633231 Long DBT CORP US N 2 2038-11-16 Fixed 4.45000000 N N N N N N Freddie Mac - STACR 549300D2VO9JVX6KU482 3137G0VC0 11026.38000000 PA USD 11029.69000000 0.026060723644 Long ABS-MBS USGSE US N 2 2043-04-25 Floating 1.75000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FBBX3 82000.00000000 PA USD 89249.23000000 0.210876236644 Long ABS-MBS USGSE US N 2 2027-08-25 Fixed 3.24000000 N N N N N N State of Illinois 54930048FV8RWPR02D67 452152GE5 20000.00000000 PA USD 20261.97000000 0.047874564078 Long DBT MUN US N 2 2022-04-01 Fixed 5.95000000 N N N N N N COMM Mortgage Trust 549300CJNWCNIHR7IT87 12625CAC7 155000.00000000 PA USD 158885.85000000 0.375412203601 Long ABS-MBS CORP US N 2 2031-03-10 Fixed 3.42000000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109BH6 10000.00000000 PA USD 10792.69000000 0.025500744941 Long DBT US N 2 2028-01-15 Fixed 3.40000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 755000.00000000 PA 130008.17000000 0.307180617946 Long DBT NUSS BR N 2 2031-01-01 Fixed 10.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38374L5Z0 840.98000000 PA USD 945.26000000 0.002233440797 Long ABS-MBS USGA US N 2 2035-09-16 Fixed 7.50000000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBF5 89000.00000000 PA USD 89794.77000000 0.212165227285 Long DBT CORP US N 2 2029-02-15 Fixed 3.25000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AH0 35000.00000000 PA USD 33715.15000000 0.079661459823 Long DBT CORP US N 2 2031-01-15 Fixed 3.38000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YBD6 5000.00000000 PA USD 5024.94000000 0.011872824410 Long DBT CORP US N 2 2028-12-10 Fixed 1.90000000 N N N N N N Snowflake Inc 254900CJNSY1K7T53Z16 833445109 1337.00000000 NS USD 452908.75000000 1.070123436845 Long EC CORP US N 1 N N N Baxalta Inc 5493000JW8DCO3T45R55 07177MAL7 2000.00000000 PA USD 2016.80000000 0.004765253370 Long DBT CORP US N 2 2022-06-23 Fixed 3.60000000 N N N N N N COLT Funding LLC N/A 19688FAA3 96282.05000000 PA USD 94754.59000000 0.223884187504 Long ABS-MBS CORP US N 2 2066-09-27 Variable 0.96000000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAZ1 55000.00000000 PA USD 59090.83000000 0.139618592234 Long DBT CORP XX N 2 2024-03-01 Fixed 4.88000000 N N N N N N Lululemon Athletica Inc 549300D9GZ4BMLDW5T40 550021109 162.00000000 NS USD 63414.90000000 0.149835415489 Long EC CORP US N 1 N N N Bank N/A 06650AAF4 981536.12000000 PA USD 35882.90000000 0.084783374734 Long ABS-MBS CORP US N 2 2050-11-15 Variable 0.73000000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAK3 25000.00000000 PA USD 25384.18000000 0.059977216035 Long DBT CORP US N 2 2030-02-15 Fixed 2.57000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCV1 220000.00000000 PA USD 215926.56000000 0.510186814658 Long DBT UST US N 2 2028-08-31 Fixed 1.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371LSB6 261.06000000 PA USD 301.46000000 0.000712283459 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36208WEK5 33876.77000000 PA USD 37168.03000000 0.087819853346 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 6.50000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 52000.00000000 PA 66744.31000000 0.157702076648 Long DBT NUSS RO N 2 2049-04-03 Fixed 4.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HLZ4 904.81000000 PA USD 1038.36000000 0.002453415554 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 6.00000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61744YAK4 20000.00000000 PA USD 21576.19000000 0.050979775941 Long DBT CORP US N 2 2028-07-22 Fixed 3.59000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CH3 15000.00000000 PA USD 16019.84000000 0.037851346962 Long DBT CORP NL N 2 2050-04-06 Fixed 3.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1597329.46000000 OU Notional Amount USD 1990.27000000 0.004702568834 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC USD 1990.27000000 0.00000000 DFE US 11620571.82000000 CNY 1597329.46000000 USD 2022-07-22 1.00000000 7.27500000 USD 2022-07-22 XXXX -5451.43000000 N N N Philadelphia Authority for Industrial Development 549300DIY68KQZEW7M79 71781LBH1 95000.00000000 PA USD 119380.35000000 0.282069424434 Long DBT MUN US N 2 2028-10-15 Fixed 6.55000000 N N N N N N Conagra Brands Inc 54930035UDEIH090K650 205887CA8 10000.00000000 PA USD 10642.74000000 0.025146446179 Long DBT CORP US N 2 2024-05-01 Fixed 4.30000000 N N N N N N PMT Credit Risk Transfer Trust N/A 73021CAA3 30929.22000000 PA USD 30928.53000000 0.073077291662 Long ABS-MBS CORP US N 2 2024-03-27 Floating 2.10000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBR0 15000.00000000 PA USD 14685.45000000 0.034698477840 Long DBT US N 2 2026-09-15 Fixed 1.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136APKJ0 20403.22000000 PA USD 21016.03000000 0.049656241466 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.00000000 N N N N N N Hess Corp UASVRYNXNK17ULIGK870 023551AM6 3000.00000000 PA USD 4012.95000000 0.009481715347 Long DBT CORP US N 2 2033-03-15 Fixed 7.13000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CP1 25000.00000000 PA USD 27400.86000000 0.064742185872 Long DBT CORP US N 2 2029-07-26 Fixed 3.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408E5T5 1622.04000000 PA USD 1852.13000000 0.004376174496 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AGX9 540.00000000 PA USD 592.46000000 0.001399852247 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 5.50000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBG9 35000.00000000 PA USD 36065.85000000 0.085215645214 Long DBT CORP US N 2 2024-09-06 Fixed 2.79000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B5H81 60672.98000000 PA USD 62480.48000000 0.147627587220 Long ABS-MBS USGSE US N 2 2049-09-25 Fixed 2.50000000 N N N N N N UMBS, TBA N/A 01F060618 300000.00000000 PA USD 330140.63000000 0.780049459450 Long ABS-MBS USGSE US N 2 2052-01-15 Fixed 6.00000000 N N N N N N Fannie Mae - CAS N/A 20753TAB9 3936.45000000 PA USD 3938.95000000 0.009306869676 Long ABS-MBS USGSE US N 2 2039-06-25 Floating 2.20000000 N N N N N N LYB INT FINANCE III N/A 50249AAF0 10000.00000000 PA USD 9835.44000000 0.023238974419 Long DBT CORP US N 2 2025-10-01 Fixed 1.25000000 N N N N N N Exeter Automobile Receivables Trust N/A 30167HAG3 25000.00000000 PA USD 25511.44000000 0.060277903334 Long ABS-O CORP US N 2 2025-12-15 Fixed 2.73000000 N N N N N N CROATIA 74780000O00QGQ7CER13 000000000 100000.00000000 PA 117806.70000000 0.278351236727 Long DBT NUSS HR N 2 2031-06-17 Fixed 1.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 12651RAA5 30278.20000000 PA USD 31205.17000000 0.073730930938 Long ABS-MBS CORP US N 2 2047-04-25 Variable 3.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RE0 105000.00000000 PA USD 137098.83000000 0.323934282892 Long DBT UST US N 2 2044-02-15 Fixed 3.63000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DS4 20000.00000000 PA USD 18997.40000000 0.044886664210 Long DBT CORP US N 2 2050-11-13 Fixed 2.55000000 N N N N N N 1211 Avenue of the Americas Trust N/A 90117PAC9 120000.00000000 PA USD 127656.23000000 0.301623502708 Long ABS-MBS CORP US N 2 2035-08-10 Fixed 3.90000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YED3 25000.00000000 PA USD 24480.53000000 0.057842090485 Long DBT CORP US N 2 2032-07-21 Fixed 2.24000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1373859.25000000 OU Notional Amount USD 1.37000000 0.000003237007 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Purchased BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC USD 1.37000000 0.00000000 DFE US 10234427.10000000 CNY 1373859.25000000 USD 2022-01-06 1.00000000 7.44940000 USD 2022-01-06 XXXX -7332.26000000 N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AT8 10000.00000000 PA USD 11776.20000000 0.027824562049 Long DBT CORP US N 2 2031-01-15 Fixed 5.75000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAZ8 15000.00000000 PA USD 17616.51000000 0.041623925849 Long DBT CORP US N 2 2050-04-15 Fixed 4.50000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAB9 5000.00000000 PA USD 5321.62000000 0.012573813784 Long DBT CORP US N 2 2029-10-01 Fixed 3.35000000 N N N N N N COMM Mortgage Trust N/A 12631DBB8 75000.00000000 PA USD 79150.48000000 0.187015118797 Long ABS-MBS CORP US N 2 2047-05-10 Fixed 3.98000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAZ3 20000.00000000 PA USD 20543.77000000 0.048540395296 Long DBT US N 2 2025-03-15 Fixed 2.40000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CC1 5000.00000000 PA USD 4928.02000000 0.011643823837 Long DBT CORP US N 2 2031-07-15 Fixed 2.38000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RLJ9 137000.00000000 PA USD 138046.86000000 0.326174268589 Long DBT CORP US N 2 2055-09-15 Fixed 3.55000000 N N N N N N HOWARD UNIVERSITY N/A 442851AU5 15000.00000000 PA USD 15383.81000000 0.036348548419 Long DBT CORP US N 2 2030-10-01 Fixed 2.80000000 N N N N N N Georgia Power Co D981X4Z4RWS7PDMJUZ03 373334JW2 30000.00000000 PA USD 34248.95000000 0.080922711434 Long DBT CORP US N 2 2042-03-15 Fixed 4.30000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAC0 60000.00000000 PA USD 63246.29000000 0.149437027265 Long DBT CORP US N 2 2025-01-23 Fixed 3.50000000 N N N N N N Freddie Mac - STACR 549300Y6KOVOWQ8OJC33 35564LAH0 41801.73000000 PA USD 42227.34000000 0.099773886482 Long ABS-MBS USGSE US N 2 2049-03-25 Floating 2.55000000 N N N N N N EVERGY METRO 1128SIJQ26096WL7IO82 30037DAA3 5000.00000000 PA USD 4976.68000000 0.011758796679 Long DBT CORP US N 2 2030-06-01 Fixed 2.25000000 N N N N N N LAMAR MEDIA CORP N/A 513075BZ3 10000.00000000 PA USD 9738.00000000 0.023008745200 Long DBT CORP US N 2 2031-01-15 Fixed 3.63000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XDK9 80000.00000000 PA USD 78752.80000000 0.186075488709 Long DBT CORP US N 2 2026-06-10 Fixed 1.50000000 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAN3 30000.00000000 PA USD 28373.44000000 0.067040177801 Long DBT CORP GB N 2 2031-09-02 Fixed 2.15000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBR6 15000.00000000 PA USD 14736.73000000 0.034819641164 Long DBT US N 2 2028-05-15 Fixed 2.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TC2 305000.00000000 PA USD 309479.69000000 0.731232217298 Long DBT UST US N 2 2041-11-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B32G4 22626.15000000 PA USD 23698.64000000 0.055994656948 Long ABS-MBS USGSE US N 2 2057-11-25 Fixed 3.50000000 N N N N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 071734AC1 50000.00000000 PA USD 51900.00000000 0.122628247681 Long DBT CORP CA N 2 2027-08-15 Fixed 5.75000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWV2 30000.00000000 PA USD 32657.90000000 0.077163411367 Long DBT CORP US N 2 2029-04-23 Fixed 3.81000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BK5 5000.00000000 PA USD 5019.01000000 0.011858813129 Long DBT CORP US N 2 2060-02-15 Fixed 3.10000000 N N N N N N Commonwealth Edison Co D8YOXB8L2ZDC8P7Q0771 202795JJ0 25000.00000000 PA USD 27774.71000000 0.065625510928 Long DBT CORP US N 2 2046-06-15 Fixed 3.65000000 N N N N N N Zoom Video Communications Inc 549300T9GCHU0ODOM055 98980L101 1003.00000000 NS USD 184461.73000000 0.435842364436 Long EC CORP US N 1 N N N EPR Properties 549300YSSXFHMPOWZ492 26884UAE9 35000.00000000 PA USD 37793.48000000 0.089297653683 Long DBT US N 2 2028-04-15 Fixed 4.95000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDT6 10000.00000000 PA USD 11116.69000000 0.026266285447 Long DBT CORP US N 2 2039-08-15 Fixed 3.50000000 N N N N N N Datadog Inc 549300F6JNO0KRPO1K63 23804L103 1547.00000000 NS USD 275536.17000000 0.651031169557 Long EC CORP US N 1 N N N United States Treasury 254900HROIFWPRGM1V77 912810PU6 256000.00000000 PA USD 373400.00000000 0.882261805094 Long DBT UST US N 2 2037-05-15 Fixed 5.00000000 N N N N N N Home Re 2018-1 Ltd. 254900E6IUAJSN9WD709 43730MAA6 17756.10000000 PA USD 17756.10000000 0.041953746217 Long ABS-MBS CORP BM N 2 2028-10-25 Floating 1.70000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -7.00000000 NC USD -6326.17000000 -0.01494734376 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CME Ultra Long Term US Treasury Bond Future WNH2 COMDTY 2022-03-22 -1373548.83000000 USD -6326.17000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138L9BK7 70860.86000000 PA USD 74676.26000000 0.176443524224 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 2.78000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACP8 40000.00000000 PA USD 40300.86000000 0.095222039342 Long DBT CORP US N 2 2032-03-15 Fixed 2.70000000 N N N N N N COMM Mortgage Trust N/A 12592RBF5 141668.38000000 PA USD 147184.78000000 0.347765157164 Long ABS-MBS CORP US N 2 2047-12-10 Fixed 3.53000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412AS96 5235.74000000 PA USD 5257.60000000 0.012422548651 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 5.50000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EF3 20000.00000000 PA USD 19741.86000000 0.046645658916 Long DBT CORP US N 2 2051-02-08 Fixed 2.65000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BX1 35000.00000000 PA USD 33263.82000000 0.078595066624 Long DBT CORP US N 2 2032-02-01 Fixed 2.30000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -8426.08000000 -0.01990896773 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 1382000.00000000 EUR 1567291.65000000 USD 2022-03-16 -8426.08000000 N N N LAMAR MEDIA CORP N/A 513075BW0 40000.00000000 PA USD 41750.00000000 0.098646037393 Long DBT CORP US N 2 2029-01-15 Fixed 4.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418WG20 4356.55000000 PA USD 4938.00000000 0.011667404374 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.00000000 N N N N N N UMBS, TBA N/A 01F052615 200000.00000000 PA USD 219281.25000000 0.518113206878 Long ABS-MBS USGSE US N 2 2052-01-15 Fixed 5.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CY9 35000.00000000 PA USD 40816.36000000 0.096440052091 Long DBT CORP US N 2 2030-05-01 Fixed 5.15000000 N N N N N N Sensata Technologies BV PUCKW5P5O3XMOZVH7T53 81725WAJ2 30000.00000000 PA USD 32550.00000000 0.076908467476 Long DBT CORP NL N 2 2025-10-01 Fixed 5.00000000 N N N N N N Shopify Inc 549300HGQ43STJLLP808 82509L107 346.00000000 NS USD 476576.94000000 1.126046147163 Long EC CORP CA N 1 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGL2 15000.00000000 PA USD 14841.78000000 0.035067851134 Long DBT CORP US N 2 2041-09-03 Fixed 2.85000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RH3 440000.00000000 PA USD 536181.25000000 1.266877979332 Long DBT UST US N 2 2044-08-15 Fixed 3.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312930TN0 374.48000000 PA USD 414.33000000 0.000978970363 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F020612 3130000.00000000 PA USD 3121930.48000000 7.376432835199 Long ABS-MBS USGSE US N 2 2052-01-15 Fixed 2.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SB5 33639.90000000 PA USD 47197.70000000 0.111517750397 Long DBT UST US N 2 2048-02-15 Fixed 1.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABB0 45000.00000000 PA USD 47695.39000000 0.112693682046 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAY4 10000.00000000 PA USD 11985.44000000 0.028318949997 Long DBT CORP XX N 2 2028-12-01 Fixed 5.55000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AP5 5000.00000000 PA USD 6205.96000000 0.014663314065 Long DBT CORP US N 2 2058-04-15 Fixed 4.75000000 N N N N N N UMBS, TBA N/A 01F020414 225000.00000000 PA USD 230484.38000000 0.544583730971 Long ABS-MBS USGSE US N 2 2037-01-15 Fixed 2.00000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967KY6 35000.00000000 PA USD 37109.80000000 0.087682268705 Long DBT CORP US N 2 2026-10-21 Fixed 3.20000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBH3 10000.00000000 PA USD 11718.77000000 0.027688867631 Long DBT CORP US N 2 2033-01-15 Fixed 4.25000000 N N N N N N Legacy Mortgage Asset Trust N/A 52474MAA7 81078.98000000 PA USD 81309.92000000 0.192117399012 Long ABS-MBS CORP US N 2 2059-11-25 Variable 3.25000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -2.00000000 NC 21494.87000000 0.050787634725 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 30 Year Euro BUXL Future UBH2 COMDTY 2022-03-08 -432360.00000000 EUR 21494.87000000 N N N Anthem Inc 8MYN82XMYQH89CTMTH67 94973VBF3 10000.00000000 PA USD 13241.23000000 0.031286104663 Long DBT CORP US N 2 2044-01-15 Fixed 5.10000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EH9 35000.00000000 PA USD 34292.06000000 0.081024570851 Long DBT CORP US N 2 2028-08-05 Fixed 1.40000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 524.95000000 0.001240341013 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 5460000.00000000 RUB 72512.37000000 USD 2022-03-16 524.95000000 N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 000000000 100000.00000000 PA 113049.82000000 0.267111778946 Long DBT NUSS PH N 2 2041-04-28 Fixed 1.75000000 N N N N N N GO DADDY OPCO/FINCO N/A 38016LAA3 112000.00000000 PA USD 115780.00000000 0.273562591842 Long DBT CORP US N 2 2027-12-01 Fixed 5.25000000 N N N N N N NRP Mortgage Trust N/A 62942KAA4 4380.85000000 PA USD 4434.93000000 0.010478760972 Long ABS-MBS CORP US N 2 2043-07-25 Variable 3.25000000 N N N N N N Unity Software Inc 549300D1ESJMGNQNG432 91332U101 1836.00000000 NS USD 262529.64000000 0.620299609204 Long EC CORP US N 1 N N N CDW LLC/CDW FINANCE N/A 12513GBG3 10000.00000000 PA USD 10242.20000000 0.024200058543 Long DBT CORP US N 2 2026-12-01 Fixed 2.67000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371LNG0 3676.31000000 PA USD 4238.22000000 0.010013978649 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 6.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FUZE7 99713.70000000 PA USD 11379.11000000 0.026886326001 Long ABS-MBS USGSE US N 2 2030-05-25 Variable 1.57000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAY2 10000.00000000 PA USD 10544.89000000 0.024915248221 Long DBT CORP US N 2 2024-12-05 Fixed 4.02000000 N N N N N N Nokia OYJ 549300A0JPRWG1KI7U06 654902AE5 50000.00000000 PA USD 54000.00000000 0.127590084293 Long DBT CORP FI N 2 2027-06-12 Fixed 4.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416JAW1 4476.54000000 PA USD 5108.83000000 0.012071037969 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31395QFB1 21462.12000000 PA USD 22423.05000000 0.052980719252 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AWNN3 17208.47000000 PA USD 17545.73000000 0.041456688327 Long ABS-MBS USGSE US N 2 2053-04-25 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 728856.28000000 OU Notional Amount USD 981.77000000 0.002319705871 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC USD 981.77000000 0.00000000 DFE US 5327939.41000000 CNY 728856.28000000 USD 2022-08-05 1.00000000 7.31000000 USD 2022-08-05 XXXX -3968.62000000 N N N Pinterest Inc N/A 72352L106 1465.00000000 NS USD 53252.75000000 0.125824497432 Long EC CORP US N 1 N N N BRIGHTHOUSE FINANCIAL IN 5493003T8SZSHOGGAW52 10922NAH6 15000.00000000 PA USD 14902.57000000 0.035211484490 Long DBT CORP US N 2 2051-12-22 Fixed 3.85000000 N N N N N N ROBLOX Corp N/A 771049103 3677.00000000 NS USD 379319.32000000 0.896247852089 Long EC CORP US N 1 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKD0 20000.00000000 PA USD 20119.94000000 0.047538978529 Long DBT CORP US N 2 2032-10-20 Fixed 2.57000000 N N N N N N AON CORP LTS3U8DGK38SETRUWX71 037389BD4 30000.00000000 PA USD 30387.03000000 0.071797846650 Long DBT CORP US N 2 2022-11-15 Fixed 2.20000000 N N N N N N Fannie Mae - CAS N/A 20753MAF5 5863.17000000 PA USD 5885.61000000 0.013906397704 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 2.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292LGJ7 36232.89000000 PA USD 39890.55000000 0.094252567351 Long ABS-MBS USGA US N 2 2036-04-15 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QZ4 380000.00000000 PA USD 459503.13000000 1.085704501661 Long DBT UST US N 2 2043-02-15 Fixed 3.13000000 N N N N N N Twilio Inc 5493004W8TRGD63APX93 90138F102 1161.00000000 NS USD 305737.74000000 0.722390815152 Long EC CORP US N 1 N N N State of Illinois 54930048FV8RWPR02D67 452151LE1 35636.37000000 PA USD 37001.77000000 0.087427017653 Long DBT MUN US N 2 2023-06-01 Fixed 4.95000000 N N N N N N WMG ACQUISITION CORP 549300NAS11NXI33CP80 92933BAQ7 65000.00000000 PA USD 66056.25000000 0.156076342696 Long DBT CORP US N 2 2030-07-15 Fixed 3.88000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GT4 5000.00000000 PA USD 5310.03000000 0.012546429172 Long DBT CORP US N 2 2050-02-01 Fixed 3.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4TY9 1084.61000000 PA USD 1240.73000000 0.002931571208 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.50000000 N N N N N N Angel Oak Mortgage Trust N/A 03465DAA1 33358.09000000 PA USD 32969.83000000 0.077900433126 Long ABS-MBS CORP US N 2 2066-04-25 Variable 0.99000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A6Y57 12929.03000000 PA USD 13164.76000000 0.031105422927 Long ABS-MBS USGSE US N 2 2041-12-25 Fixed 2.50000000 N N N N N N Hess Corp UASVRYNXNK17ULIGK870 023551AJ3 30000.00000000 PA USD 39983.87000000 0.094473061919 Long DBT CORP US N 2 2031-08-15 Fixed 7.30000000 N N N N N N MortgageIT Trust N/A 61913PAZ5 36305.75000000 PA USD 36450.03000000 0.086123377781 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.66000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SP4 20000.00000000 PA USD 17603.13000000 0.041592311861 Long DBT UST US N 2 2050-08-15 Fixed 1.38000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBQ5 10000.00000000 PA USD 11356.88000000 0.026833801416 Long DBT CORP US N 2 2048-02-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3BA7 13173.07000000 PA USD 13541.90000000 0.031996521527 Long ABS-MBS USGSE US N 2 2047-12-25 Fixed 3.50000000 N N N N N N Vimeo Inc N/A 92719V100 1902.00000000 NS USD 34159.92000000 0.080712353189 Long EC CORP US N 1 N N N HEICO Corp 529900O1DTDLCJ7L0I14 422806208 1391.00000000 NS USD 178771.32000000 0.422397181259 Long EC CORP US N 1 N N N ENERGEAN ISRAEL FINANCE 98450044QACBL3F8EB03 000000000 10000.00000000 PA USD 10050.00000000 0.023745932354 Long DBT CORP IL N 2 2024-03-30 Fixed 4.50000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAB6 30000.00000000 PA USD 30750.00000000 0.072655464666 Long DBT CORP US N 2 2026-12-01 Fixed 4.13000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FU7 45000.00000000 PA USD 45920.40000000 0.108499772347 Long DBT CORP US N 2 2031-05-20 Fixed 2.38000000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 30161NAN1 35000.00000000 PA USD 37407.17000000 0.088384888397 Long DBT CORP US N 2 2025-06-15 Fixed 3.95000000 N N N N N N Venture CLO 43 Limited 549300OLN5VHTMLSN650 92290CAB5 100000.00000000 PA USD 99921.90000000 0.236093400809 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 1.36000000 N N N N N N WILLIAM CARTER TGI2A0HXEYNQPU7TYV27 96926JAC1 95000.00000000 PA USD 98206.25000000 0.232039698437 Long DBT CORP US N 2 2027-03-15 Fixed 5.63000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 000000000 130000.00000000 PA 137324.91000000 0.324468460045 Long DBT NUSS MX N 2 2033-10-25 Fixed 1.45000000 N N N N N N WENDYS FUNDING LLC 5493009DRVSTWJOXUL48 95058XAE8 48000.00000000 PA USD 49833.22000000 0.117744902600 Long ABS-O CORP US N 2 2048-03-15 Fixed 3.88000000 N N N N N N NEW YORK LIFE GLOBAL FDG 635400DPNHEAUHB7ZI15 64952WDL4 15000.00000000 PA USD 15315.80000000 0.036187855796 Long DBT CORP US N 2 2025-01-22 Fixed 2.00000000 N N N N N N Chewy Inc N/A 16679L109 1285.00000000 NS USD 75776.45000000 0.179043030424 Long EC CORP US N 1 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDY5 25000.00000000 PA USD 25452.38000000 0.060138357586 Long DBT CORP US N 2 2040-05-15 Fixed 2.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KJT6 2469.59000000 PA USD 2817.12000000 0.006656232930 Long ABS-MBS USGA US N 2 2033-01-15 Fixed 7.00000000 N N N N N N Dominos Pizza Master Issuer LLC N/A 25755TAN0 49750.00000000 PA USD 49959.40000000 0.118043038097 Long ABS-O CORP US N 2 2051-04-25 Fixed 2.66000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B1PJ7 13013.51000000 PA USD 13450.52000000 0.031780610751 Long ABS-MBS USGSE US N 2 2056-05-25 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 462613.86000000 OU Notional Amount USD 511.19000000 0.001207829170 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC USD 511.19000000 0.00000000 DFE US 3411777.22000000 CNY 462613.86000000 USD 2022-07-27 1.00000000 7.37500000 USD 2022-07-27 XXXX -1942.98000000 N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAJ1 20000.00000000 PA USD 20131.25000000 0.047565701563 Long DBT CORP NO N 2 2026-01-22 Fixed 1.75000000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAP8 25000.00000000 PA USD 28937.75000000 0.068373517810 Long DBT CORP KY N 2 2026-08-10 Fixed 6.25000000 N N N N N N IAC/InterActiveCorp 549300TO56L57RP6P031 44891N208 1172.00000000 NS USD 153192.12000000 0.361959175997 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JNEF0 30617.76000000 PA USD 32536.33000000 0.076876168283 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JNZP5 10488.51000000 PA USD 11318.42000000 0.026742928923 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 3.50000000 N N N N N N COMM Mortgage Trust N/A 12591UAF0 149000.00000000 PA USD 156243.62000000 0.369169197149 Long ABS-MBS CORP US N 2 2047-03-10 Fixed 3.96000000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109BL7 5000.00000000 PA USD 5195.07000000 0.012274804059 Long DBT US N 2 2032-12-15 Fixed 2.85000000 N N N N N N Morgan Stanley BAML Trust N/A 61764PBV3 220267.17000000 PA USD 5002.64000000 0.011820134431 Long ABS-MBS CORP US N 2 2047-12-15 Variable 0.97000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748AX0 15000.00000000 PA USD 15882.09000000 0.037525874108 Long DBT CORP US N 2 2025-03-10 Fixed 3.50000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 693583AA4 87916.72000000 PA USD 86992.87000000 0.205544955855 Long ABS-MBS CORP US N 2 2026-04-25 Variable 1.87000000 N N N N N N CLEAN HARBORS INC 5493000SJVZVZJKHJF48 184496AP2 45000.00000000 PA USD 47700.00000000 0.112704574459 Long DBT CORP US N 2 2029-07-15 Fixed 5.13000000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AV7 25000.00000000 PA USD 26267.08000000 0.062063313913 Long DBT CORP US N 2 2050-04-15 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B0AP1 29133.36000000 PA USD 30139.18000000 0.071212231791 Long ABS-MBS USGSE US N 2 2054-12-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W3AJ2 62800.41000000 PA USD 64737.86000000 0.152961278043 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 2.50000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CBB9 15000.00000000 PA USD 15416.00000000 0.036424606286 Long DBT CORP US N 2 2031-04-15 Fixed 2.55000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKF8 5000.00000000 PA USD 4937.83000000 0.011667002702 Long DBT CORP US N 2 2061-02-01 Fixed 3.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CA5 10000.00000000 PA USD 10568.75000000 0.024971624136 Long DBT CORP US N 2 2030-09-01 Fixed 3.50000000 N N N N N N New Residential Mortgage Loan Trust N/A 64830MAG8 48331.77000000 PA USD 49582.65000000 0.117152860981 Long ABS-MBS CORP US N 2 2059-08-25 Variable 3.50000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 20000.00000000 PA 20311.02000000 0.047990458405 Long DBT NUSS RO N 2 2041-04-14 Fixed 2.75000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PBD7 45000.00000000 PA USD 49222.56000000 0.116302047769 Long DBT CORP US N 2 2030-05-06 Fixed 3.70000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYL2 30000.00000000 PA USD 29874.24000000 0.070586237033 Long DBT CORP US N 2 2024-10-21 Fixed 0.93000000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36192RAA0 160000.00000000 PA USD 161536.27000000 0.381674561216 Long ABS-MBS CORP US N 2 2034-11-05 Fixed 2.95000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAR7 50000.00000000 PA USD 55230.41000000 0.130497271619 Long DBT CORP US N 2 2029-04-23 Fixed 4.01000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZQ6 1300000.00000000 PA USD 1216769.53000000 2.874957905520 Long DBT UST US N 2 2030-05-15 Fixed 0.63000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 20000.00000000 PA 22841.95000000 0.053970487517 Long DBT NUSS RO N 2 2038-02-08 Fixed 3.38000000 N N N N N N Freddie Mac - STACR 54930047IR7X5WWFY307 35563MAH9 65152.79000000 PA USD 65686.60000000 0.155202941313 Long ABS-MBS USGSE US N 2 2049-02-25 Floating 2.45000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300PX4QZK7CUM8D08 94988XAU0 80000.00000000 PA USD 83833.58000000 0.198080250718 Long ABS-MBS CORP US N 2 2050-08-15 Fixed 3.82000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBE7 15000.00000000 PA USD 15834.90000000 0.037414374551 Long DBT CORP US N 2 2029-08-01 Fixed 3.15000000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AG2 15000.00000000 PA USD 15165.75000000 0.035833320756 Long DBT CORP US N 2 2029-06-15 Fixed 3.63000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJA8 90000.00000000 PA USD 108509.20000000 0.256383295825 Long DBT CORP US N 2 2051-03-20 Fixed 4.08000000 N N N N N N BENIN INTL GOV BOND 635400Q11P6AE5A5Y230 000000000 100000.00000000 PA 108673.20000000 0.256770791637 Long DBT NUSS BJ N 2 2035-01-22 Fixed 4.95000000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BY8 60000.00000000 PA USD 57569.91000000 0.136024993882 Long DBT CORP US N 2 2030-10-01 Fixed 1.65000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAS0 15000.00000000 PA USD 16876.71000000 0.039875941694 Long DBT CORP US N 2 2032-11-15 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418U4W1 4162.48000000 PA USD 4652.76000000 0.010993445196 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.00000000 N N N N N N BOOZ ALLEN HAMILTON INC 549300D7XCH2480XU542 09951LAA1 105000.00000000 PA USD 106837.50000000 0.252433437605 Long DBT CORP US N 2 2028-09-01 Fixed 3.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404YEG3 1695.61000000 PA USD 1874.93000000 0.004430045865 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -4.00000000 NC 7923.96000000 0.018722568969 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-BTP Italian Bond Futures IKH2 COMDTY 2022-03-08 -595000.00000000 EUR 7923.96000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBJ7 65000.00000000 PA USD 81076.42000000 0.191565690036 Long DBT CORP US N 2 2045-12-15 Fixed 6.13000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBY0 70000.00000000 PA USD 69403.37000000 0.163984848676 Long DBT CORP US N 2 2060-04-01 Fixed 3.85000000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBJ7 10000.00000000 PA USD 10400.00000000 0.024572905123 Long DBT CORP US N 2 2031-12-01 Fixed 3.57000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416L4C7 645.74000000 PA USD 674.80000000 0.001594403497 Long ABS-MBS USGSE US N 2 2037-05-01 Floating 1.85000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017DB2 2000.00000000 PA USD 2079.49000000 0.004913376007 Long DBT CORP US N 2 2023-08-16 Fixed 3.65000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325DL6 200000.00000000 PA USD 201500.00000000 0.476100036760 Long DBT NUSS CO N 2 2027-04-25 Fixed 3.88000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYB4 70000.00000000 PA USD 70582.54000000 0.166770967189 Long DBT CORP US N 2 2032-04-22 Fixed 2.62000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -5007.82000000 -0.01183237362 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 3540000.00000000 MXN 165714.82000000 USD 2022-03-16 -5007.82000000 N N N Countrywide Home Loans N/A 126694TD0 24536.07000000 PA USD 17438.78000000 0.041203989077 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.75000000 N N N N N N Cent CLO LP 549300066YASG4MIU864 19736RAS0 250000.00000000 PA USD 249937.50000000 0.590547160982 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 1.35000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEH4 5000.00000000 PA USD 5001.04000000 0.011816353984 Long DBT CORP US N 2 2032-10-20 Fixed 2.51000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BXR20 357308.01000000 PA USD 10125.43000000 0.023924156800 Long ABS-MBS USGSE US N 2 2027-03-25 Variable 0.60000000 N N N N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59261AG35 35000.00000000 PA USD 41934.24000000 0.099081355858 Long DBT MUN US N 2 2045-11-15 Fixed 4.75000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 55000.00000000 PA USD 61781.78000000 0.145976713296 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N Wellfleet CLO Ltd 254900A99ZMAJM1OOV76 94949WAM8 250000.00000000 PA USD 250040.25000000 0.590789936559 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 1.30000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468X0 50000.00000000 PA USD 47831.43000000 0.113015114547 Long DBT CORP US N 2 2032-04-28 Fixed 1.93000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B4FP8 29964.90000000 PA USD 32053.06000000 0.075734307912 Long ABS-MBS USGSE US N 2 2049-04-25 Fixed 3.50000000 N N N N N N Kellogg Co LONOZNOJYIBXOHXWDB86 487836BU1 40000.00000000 PA USD 43122.61000000 0.101889211941 Long DBT CORP US N 2 2027-11-15 Fixed 3.40000000 N N N N N N CHUBB INA HOLDINGS INC CZCBJZWDMLTHWJDXU843 171239AJ5 45000.00000000 PA USD 46126.81000000 0.108987473631 Long DBT CORP US N 2 2061-12-15 Fixed 3.05000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H020618 625000.00000000 PA USD 630957.04000000 1.490812257759 Long ABS-MBS USGA US N 2 2052-01-21 Fixed 2.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCB5 985000.00000000 PA USD 998543.75000000 2.359338541351 Long DBT UST US N 2 2031-05-15 Fixed 1.63000000 N N N N N N Towd Point Mortgage Trust N/A 89172PAJ8 5685.89000000 PA USD 5699.29000000 0.013466164657 Long ABS-O CORP US N 2 2055-08-25 Variable 2.75000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CL4 10000.00000000 PA USD 10201.42000000 0.024103704402 Long DBT CORP NL N 2 2051-11-26 Fixed 3.00000000 N N N N N N Royalty Pharma PLC 549300FGFN7VOK8BZR03 000000000 5101.00000000 NS USD 203274.85000000 0.480293615670 Long EC CORP GB N 1 N N N GAP INC/THE T2ZG1WRWZ4BUCMQL9224 364760AP3 32000.00000000 PA USD 31651.20000000 0.074784801407 Long DBT CORP US N 2 2029-10-01 Fixed 3.63000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCC8 15000.00000000 PA USD 15209.98000000 0.035937826487 Long DBT CORP US N 2 2032-04-22 Fixed 2.58000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCD5 35000.00000000 PA USD 34915.43000000 0.082497456608 Long DBT CORP US N 2 2028-03-25 Fixed 2.30000000 N N N N N N New Residential Mortgage Loan Trust N/A 64828NAA3 34958.88000000 PA USD 35377.45000000 0.083589107918 Long ABS-MBS CORP US N 2 2057-06-25 Floating 1.60000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132J65D2 12549.72000000 PA USD 13260.89000000 0.031332556905 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAH5 15000.00000000 PA USD 17233.87000000 0.040719831962 Long DBT CORP NO N 2 2050-04-06 Fixed 3.70000000 N N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAG7 10000.00000000 PA USD 11137.63000000 0.026315762046 Long DBT CORP NO N 2 2040-04-06 Fixed 3.63000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 60000.00000000 PA 60778.12000000 0.143605286184 Long DBT NUSS RO N 2 2040-12-02 Fixed 2.63000000 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAK9 5000.00000000 PA USD 4844.91000000 0.011447453246 Long DBT CORP GB N 2 2030-09-02 Fixed 2.20000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 92872VAA1 76975.90000000 PA USD 76647.54000000 0.181101223879 Long ABS-MBS CORP US N 2 2051-04-25 Variable 2.12000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAM1 11000.00000000 PA USD 11539.78000000 0.027265953757 Long DBT CORP US N 2 2024-03-13 Fixed 3.80000000 N N N N N N Alabama Power Co 0RL818ELFOHP5JHOFU19 010392FL7 15000.00000000 PA USD 17591.53000000 0.041564903621 Long DBT CORP US N 2 2044-08-15 Fixed 4.15000000 N N N N N N Coinbase Global Inc 5493004G3J2SC154DU06 19260Q107 251.00000000 NS USD 63344.87000000 0.149669950052 Long EC CORP US N 1 N N N WF-RBS Commercial Mortgage Trust 549300UVB571ELWL8972 92890FAU0 145000.00000000 PA USD 151903.51000000 0.358914474913 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 4.00000000 N N N N N N TRANE TECHNOLOGIES LUX 549300GHBOWCVY92IS29 456873AF5 5000.00000000 PA USD 6207.22000000 0.014666291167 Long DBT CORP LU N 2 2049-03-21 Fixed 4.50000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBF8 25000.00000000 PA USD 29636.44000000 0.070024368106 Long DBT CORP US N 2 2040-03-19 Fixed 4.23000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967MF5 135000.00000000 PA USD 140985.40000000 0.333117390187 Long DBT CORP US N 2 2025-04-24 Fixed 3.35000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MFE9 20000.00000000 PA USD 20590.05000000 0.048649744724 Long DBT CORP US N 2 2023-04-01 Fixed 3.35000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CD4 8000.00000000 PA USD 8010.96000000 0.018928130771 Long DBT CORP US N 2 2060-06-01 Fixed 2.68000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ASMM5 8755.69000000 PA USD 9239.47000000 0.021830828817 Long ABS-MBS USGSE US N 2 2046-01-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36210AMT1 1823.14000000 PA USD 2000.27000000 0.004726196627 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 6.50000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBG3 10000.00000000 PA USD 12560.12000000 0.029676792028 Long DBT CORP US N 2 2049-05-15 Fixed 5.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4Z48 5649.89000000 PA USD 6473.29000000 0.015294955865 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N SERVICE CORP INTL 549300RKVM2ME20JHZ15 817565CE2 62000.00000000 PA USD 66495.00000000 0.157113012131 Long DBT CORP US N 2 2029-06-01 Fixed 5.13000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523CP3 65000.00000000 PA USD 64124.06000000 0.151511004085 Long DBT CORP US N 2 2026-03-15 Fixed 1.25000000 N N N N N N State Board of Administration Finance Corp 549300S34SOJ0RULXM35 341271AD6 70000.00000000 PA USD 69658.62000000 0.164587948102 Long DBT MUN US N 2 2025-07-01 Fixed 1.26000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AJ6L1 2671.54000000 PA USD 2888.19000000 0.006824155658 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379LUL8 19671.60000000 PA USD 19775.98000000 0.046726276947 Long ABS-MBS USGA US N 2 2040-04-16 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416TDL0 11276.06000000 PA USD 12085.58000000 0.028555558720 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.50000000 N N N N N N Duke Energy Progress LLC 0NIFZ782LS46WOC9QK20 26442UAC8 15000.00000000 PA USD 16770.03000000 0.039623880394 Long DBT CORP US N 2 2046-10-15 Fixed 3.70000000 N N N N N N KAISER FOUNDATION HOSPIT DW4Z57L3G4IRMHYZYK62 48305QAF0 15000.00000000 PA USD 15124.69000000 0.035736305037 Long DBT CORP US N 2 2041-06-01 Fixed 2.81000000 N N N N N N GS Mortgage Securities Trust N/A 36252WAX6 140000.00000000 PA USD 146483.85000000 0.346109014242 Long ABS-MBS CORP US N 2 2047-04-10 Fixed 4.00000000 N N N N N N GSR Mortgage Loan Trust N/A 36297TAE2 4737.43000000 PA USD 3705.32000000 0.008754853539 Long ABS-MBS CORP US N 2 2036-04-25 Variable 2.32000000 N N N N N N BAIN CAPITAL SPECIALTY F 549300V2JL72R0EYBK64 05684BAC1 75000.00000000 PA USD 72935.51000000 0.172330516090 Long DBT CORP US N 2 2026-10-13 Fixed 2.55000000 N N N N N N BOSTON SCIENTIFIC CORP Y6ZDD9FP4P8JSSJMW954 101137AZ0 20000.00000000 PA USD 20232.33000000 0.047804531299 Long DBT CORP US N 2 2025-06-01 Fixed 1.90000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RG5 1185000.00000000 PA USD 1496942.00000000 3.536943628927 Long DBT UST US N 2 2044-05-15 Fixed 3.38000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ABM24 11713.03000000 PA USD 12255.79000000 0.028957727392 Long ABS-MBS USGSE US N 2 2041-05-15 Fixed 3.00000000 N N N N N N Exeter Automobile Receivables Trust N/A 30167GAG5 80000.00000000 PA USD 81298.29000000 0.192089919888 Long ABS-O CORP US N 2 2025-09-15 Fixed 2.58000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379QW43 10393.87000000 PA USD 10487.58000000 0.024779837337 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 1.70000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SS8 70000.00000000 PA USD 65523.83000000 0.154818351720 Long DBT UST US N 2 2050-11-15 Fixed 1.63000000 N N N N N N Venture CDO Ltd 5493005OM8P21GK6YE73 923260AC7 100000.00000000 PA USD 99709.30000000 0.235591073922 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 1.25000000 N N N N N N KYNDRYL HOLDINGS INC 549300LQ4LWX2R8ZV130 50155QAE0 30000.00000000 PA USD 29133.76000000 0.068836646188 Long DBT CORP US N 2 2031-10-15 Fixed 3.15000000 N N N N N N 2022-01-28 SEASONS SERIES TRUST Donna McManus Donna McManus Assistant Treasurer XXXX