NPORT-P false 0001027263 XXXXXXXX S000009055 C000024602 C000104169 C000024603 EQ Advisors Trust 811-07953 0001027263 549300Q691FLN6WHB832 1290 Avenue of the Americas New York 10104 212-314-5329 EQ/Quality Bond PLUS Portfolio S000009055 549300H58GWHDRBM0K71 2019-12-31 2019-12-31 N 1899655473.38 297083186.77 1602572286.61 0 0 0 0 0 0 0 0 0 0 0 0 0 7094650.16 CAD ZAR JPY RUB USD ARS GBP EUR MXN AUD UST United Technologies Corp. I07WOS4YJ0N7YRFE7309 913017DD8 301000.00000000 PA USD 327863.68000000 0.020458589153 Long DBT CORP US N 2 2025-08-16 Fixed 3.95000000 N N N N N N Bellemeade Re Ltd. 2549002JVH34IWRT3X93 07877DAB2 245000.00000000 PA USD 245617.23000000 0.015326436882 Long ABS-MBS CORP BM Y 2 2028-08-25 Floating 3.14200100 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RM2 638000.00000000 PA USD 713916.90000000 0.044548187059 Long DBT UST US N 2 2045-05-15 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140Q9ND1 358786.03000000 PA USD 380024.08000000 0.023713381491 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36225CC87 570.15670000 PA USD 581.68000000 0.000036296646 Long ABS-MBS USGA US N 2 2027-07-20 Variable 3.25000100 N N N N N N Choice Hotels International, Inc. 5493003CYRY5RFGTIR97 169905AF3 900000.00000000 PA USD 903498.48000000 0.056378017238 Long DBT CORP US N 2 2029-12-01 Fixed 3.70000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132Y3ZL1 1129497.51000000 PA USD 1209611.53000000 0.075479374010 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.50000000 N N N N N N Credit Suisse Group Funding Guernsey Ltd. 549300PXR5FKNXF0OH19 225433AC5 1800000.00000000 PA USD 1905369.84000000 0.118894470840 Long DBT CORP GG N 2 2025-03-26 Fixed 3.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402DP79 77634.31000000 PA USD 86896.04000000 0.005422285205 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.50000000 N N N N N N N/A N/A N/A 133.00000000 NC -378964.11000000 -0.02364723970 N/A DIR DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Long Federal Republic of Germany Euro-Bund 2020-03-06 22675170 EUR -378964.11 N N N FNMA B1V7KEBTPIMZEU4LTD58 31412N4Q6 110112.92530000 PA USD 119671.67000000 0.007467474072 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4.50000000 N N N N N N FHLMC Structured Agency Credit Risk Debt Notes N/A 3137G0JF7 31591.72000000 PA USD 31667.07000000 0.001976015076 Long ABS-MBS CORP US N 2 2028-09-25 Floating 4.54200100 N N N N N N FHLMC Structured Agency Credit Risk Debt Notes N/A 3137G0ET2 50293.87000000 PA USD 50611.86000000 0.003158163935 Long ABS-MBS CORP US N 2 2027-10-25 Floating 3.64200100 N N N N N N FHLB 2549001DPIFGXC1TOL40 3130A2UW4 20000000.00000000 PA USD 21019302.00000000 1.311597746674 Long DBT USGA US N 2 2024-09-13 Fixed 2.87500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31417JM64 56818.30940000 PA USD 61750.63000000 0.003853219634 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 4.50000000 N N N N N N GSR Mortgage Loan Trust N/A 36297TAB8 113841.78000000 PA USD 100594.95000000 0.006277092823 Long ABS-MBS CORP US N 2 2036-04-25 Variable 3.93805100 N N N N N N Hashemite Kingdom of Jordan 5493000JZ4MYPVMBVN50 418097AE1 7191000.00000000 PA USD 7329848.86000000 0.457380233094 Long DBT NUSS JO N 2 2022-06-30 Fixed 2.57800000 N N N N N N FNMA or FHLMC N/A 01F030629 20000000.00000000 PA USD 20275000.00000000 1.265153539057 Long ABS-MBS USGSE US N 2 2050-02-25 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828N30 3754000.00000000 PA USD 3811039.03000000 0.237807621025 Long DBT UST US N 2 2022-12-31 Fixed 2.12500000 N N N N N N Santander Holdings USA, Inc. 549300SMVCQN2P0O6I58 80282KAP1 405000.00000000 PA USD 436534.60000000 0.027239619931 Long DBT CORP US N 2 2027-07-13 Fixed 4.40000000 N N N N N N NTT Finance Corp. 3538007PR116187GD960 N/A 600000.00000000 PA USD 598376.40000000 0.037338496678 Long DBT CORP JP Y 2 2021-07-21 Fixed 1.90000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140Q9T29 690684.99000000 PA USD 731569.54000000 0.045649706170 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828R36 738500.00000000 PA USD 730895.00000000 0.045607615088 Long DBT UST US N 2 2026-05-15 Fixed 1.62500000 N N N N N N Occidental Petroleum Corp. IM7X0T3ECJW4C1T7ON55 674599CW3 280000.00000000 PA USD 283464.27000000 0.017688080117 Long DBT CORP US N 2 2024-08-15 Fixed 2.90000000 N N N N N N Centene Corp. 549300Z7JJ4TQSQGT333 15135BAQ4 53000.00000000 PA USD 54385.95000000 0.003393665949 Long DBT CORP US Y 2 2027-12-15 Fixed 4.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 23369.17000000 0.001458228761 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 382810.75000000 USD 7710000.00000000 MXN 2020-01-28 23369.17 N N N N/A N/A N/A 3.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Call Purchased United States of America U.S. Treasury 30 Year Bond 100000.00000000 200 USD 2020-02-21 XXXX -25.8 N N N Synchrony Financial 549300RS7EWPM9MA6C78 87165BAG8 326000.00000000 PA USD 352929.56000000 0.022022692077 Long DBT CORP US N 2 2025-07-23 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SJ8 420000.00000000 PA USD 408581.54000000 0.025495357895 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N Japan Bank for International Cooperation 549300TJ3QFYVCTSCJ29 471048BL1 800000.00000000 PA USD 808494.80000000 0.050449817880 Long DBT NUSS JP N 2 2022-07-21 Fixed 2.37500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 21H040616 3500000.00000000 PA USD 3623046.70000000 0.226076959540 Long ABS-MBS USGA US N 2 2050-01-15 Fixed 4.00000000 N N N N N N Cigna Corp. 549300VIWYMSIGT1U456 125523AF7 105000.00000000 PA USD 109867.59000000 0.006855702604 Long DBT CORP US N 2 2023-07-15 Fixed 3.75000000 N N N N N N Occidental Petroleum Corp. IM7X0T3ECJW4C1T7ON55 674599CR4 47000.00000000 PA USD 47658.33000000 0.002973864604 Long DBT CORP US N 2 2026-08-15 Fixed 3.20000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810QD3 200000.00000000 PA USD 268015.16000000 0.016724060576 Long DBT UST US N 2 2039-11-15 Fixed 4.37500000 N N N N N N CLNC Ltd. N/A 12565DAA1 800000.00000000 PA USD 800001.36000000 0.049919829931 Long ABS-CBDO CORP KY Y 2 2035-08-20 Floating 2.98325200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138WPG65 741792.07000000 PA USD 782663.92000000 0.048837979200 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128286B1 19422800.00000000 PA USD 20596123.57000000 1.285191547494 Long DBT UST US N 2 2029-02-15 Fixed 2.62500000 N N N N N N BRF GmbH 5299002S6DY5RA2IOQ11 N/A 225000.00000000 PA USD 231679.69000000 0.014456738827 Long DBT CORP AT Y 2 2026-09-29 Fixed 4.35000000 N N N N N N Barclays plc 213800LBQA1Y9L22JB70 06738EAR6 1300000.00000000 PA USD 1325669.93000000 0.082721381186 Long DBT CORP GB N 2 2021-08-10 Floating 4.01063000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810FP8 135000.00000000 PA USD 181294.01000000 0.011312688451 Long DBT UST US N 2 2031-02-15 Fixed 5.37500000 N N N N N N SoFi Consumer Loan Program LLC 549300O6TO32N91PEI50 83405LAB6 204675.95000000 PA USD 205389.37000000 0.012816231237 Long ABS-O CORP US Y 2 2026-09-25 Fixed 2.78000000 N N N N N N SoFi Consumer Loan Program LLC N/A 83402QAA0 17367.29000000 PA USD 17403.94000000 0.001086000309 Long ABS-O CORP US Y 2 2025-10-27 Fixed 3.09000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36179SB71 493419.96000000 PA USD 508934.22000000 0.031757333148 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.00000000 N N N N N N PNC Bank NA AD6GFRVSDT01YPT1CS68 69353RES3 250000.00000000 PA USD 250805.50000000 0.015650183276 Long DBT CORP US N 2 2020-07-21 Fixed 2.60000000 N N N N N N S&P Global, Inc. Y6X4K52KMJMZE7I7MY94 78409VAK0 316000.00000000 PA USD 350993.93000000 0.021901909382 Long DBT CORP US N 2 2026-02-15 Fixed 4.40000000 N N N N N N Oversea-Chinese Banking Corp. Ltd. 5493007O3QFXCPOGWK22 N/A 600000.00000000 PA USD 598599.00000000 0.037352386847 Long DBT CORP SG Y 2 2021-05-17 Floating 2.35413000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137EAEN5 34032000.00000000 PA USD 35333856.72000000 2.204821399647 Long DBT USGA US N 2 2023-06-19 Fixed 2.75000000 N N N N N Centene Corp. 549300Z7JJ4TQSQGT333 15135BAS0 60000.00000000 PA USD 63006.00000000 0.003931554322 Long DBT CORP US Y 2 2029-12-15 Fixed 4.62500000 N N N N N N Energy Transfer Operating LP 5493008K8W3OKZE54J59 29278NAH6 87000.00000000 PA USD 92457.42000000 0.005769313545 Long DBT CORP US N 2 2024-04-15 Fixed 4.50000000 N N N N N N FHLMC Structured Agency Credit Risk Debt Notes N/A 3137G0GF0 13475.97000000 PA USD 13498.97000000 0.000842331426 Long ABS-MBS CORP US N 2 2028-03-25 Floating 4.44200000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128285M8 12759300.00000000 PA USD 14039518.40000000 0.876061474250 Long DBT UST US N 2 2028-11-15 Fixed 3.12500000 N N N N N N Lloyds Banking Group plc 549300PPXHEU2JF0AM85 539439AM1 332000.00000000 PA USD 357980.53000000 0.022337870995 Long DBT CORP GB N 2 2025-12-10 Fixed 4.58200000 N N N N N N Daimler Finance North America LLC 549300423Z16BB673J12 233851BR4 775000.00000000 PA USD 774885.69000000 0.048352620126 Long DBT CORP US Y 2 2020-03-02 Fixed 2.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418CR89 1054577.40000000 PA USD 1094557.80000000 0.068300057922 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N CNH Industrial Capital LLC 549300PNSJ5B81UMVO28 12592BAF1 600000.00000000 PA USD 619666.62000000 0.038666999621 Long DBT CORP US N 2 2021-04-01 Fixed 4.87500000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46642NBF2 6912584.57000000 PA USD 226275.16000000 0.014119497877 Long ABS-MBS CORP US N 2 2047-09-15 Variable 0.85146500 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAE3 400000.00000000 PA USD 418716.60000000 0.026127782409 Long DBT CORP US Y 2 2023-12-15 Fixed 3.87500000 N N N N N N Mondelez International Holdings Netherlands BV 549300CW356R8I7N8D33 60920LAC8 700000.00000000 PA USD 698940.83000000 0.043613685063 Long DBT CORP NL Y 2 2021-10-28 Fixed 2.00000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 06742TQD1 900000.00000000 PA USD 899969.49000000 0.056157809386 Long STIV CORP GB N 2 2020-10-15 Floating 2.37336800 N N N N N N FHLMC Pool N/A 3133KGSG4 804220.31000000 PA USD 843002.87000000 0.052603110452 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.50000000 N N N N N N Danone SA 969500KMUQ2B6CBAF162 23636TAD2 900000.00000000 PA USD 913184.19000000 0.056982402455 Long DBT CORP FR Y 2 2023-11-02 Fixed 2.58900000 N N N N N N Eagle RE Ltd. 549300BLEDGL5R7YKU33 269826AA1 106247.91000000 PA USD 106395.54000000 0.006639047791 Long ABS-MBS CORP BM Y 2 2028-11-25 Floating 3.49200000 N N N N N N Royal Bank of Scotland Group plc 2138005O9XJIJN4JPN90 780097BB6 260000.00000000 PA USD 280800.00000000 0.017521830518 Long DBT CORP GB N 2 2021-08-15 Variable 8.62499900 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PAX9 900000.00000000 PA USD 1031625.00000000 0.064373071256 Long DBT NUSS QA Y 2 2028-04-23 Fixed 4.50000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276FAW4 400000.00000000 PA USD 450161.44000000 0.028089930405 Long ABS-MBS CORP US N 2 2051-05-15 Fixed 4.31340000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31417V3X9 40832.22610000 PA USD 44376.81000000 0.002769098802 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 4.50000000 N N N N N N TransDigm, Inc. 88Q84GB3X55CF5OC7582 893647BE6 127000.00000000 PA USD 137389.87000000 0.008573084106 Long DBT CORP US Y 2 2026-03-15 Fixed 6.25000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 90351DAB3 220000.00000000 PA USD 238071.09000000 0.014855560150 Long DBT CORP CH Y 2 2025-09-24 Fixed 4.12500000 N N N N N N GS Mortgage Securities Trust N/A 36255NAT2 510000.00000000 PA USD 559360.81000000 0.034903936295 Long ABS-MBS CORP US N 2 2051-03-10 Variable 3.99200000 N N N N N N Harley-Davidson Financial Services, Inc. RLUFFFFW4GRYU77BTS24 41283LAN5 600000.00000000 PA USD 600277.80000000 0.037457143432 Long DBT CORP US Y 2 2020-06-15 Fixed 2.40000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -281.63000000 -0.00001757362 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 85955.69000000 USD 9294690.00000000 JPY 2020-01-30 -281.63 N N N FHLMC Structured Agency Credit Risk Debt Notes N/A 3137G0CG2 105691.49000000 PA USD 106929.41000000 0.006672361109 Long ABS-MBS CORP US N 2 2024-09-25 Floating 3.99200000 N N N N N N NextEra Energy Capital Holdings, Inc. UMI46YPGBLUE4VGNNT48 65339KBF6 900000.00000000 PA USD 916919.01000000 0.057215454033 Long DBT CORP US N 2 2022-04-01 Fixed 2.90000000 N N N N N N TRTX Issuer Ltd. N/A 87276VAA3 800000.00000000 PA USD 799500.72000000 0.049888590154 Long ABS-CBDO CORP KY Y 2 2034-10-15 Floating 2.88974900 N N N N N N CSAIL Commercial Mortgage Trust 549300D5DIOOMKWXVZ20 12634NAT5 121432.00000000 PA USD 127167.76000000 0.007935227700 Long ABS-MBS CORP US N 2 2057-06-15 Fixed 3.50400000 N N N N N N FHLMC Pool N/A 31346YA29 221961.27000000 PA USD 232665.09000000 0.014518227473 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138AFFB1 3736.63440000 PA USD 4056.34000000 0.000253114323 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N Crimson Wine Group Ltd. N/A 22662X100 2.00000000 NS USD 14.80000000 0.000000923515 Long EC CORP US N 1 N N N Western Midstream Operating LP L6D8A6MLSY454J2JXJ60 958254AK0 64000.00000000 PA USD 64486.50000000 0.004023937050 Long DBT CORP US N 2 2028-08-15 Fixed 4.75000000 N N N N N N FNMA or FHLMC N/A 01F032625 19800000.00000000 PA USD 20366157.24000000 1.270841721784 Long ABS-MBS USGSE US N 2 2050-02-25 Fixed 3.50000000 N N N N N N Commercial Mortgage Trust N/A 12629NAF2 400000.00000000 PA USD 416794.60000000 0.026007850221 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.35000000 N N N N N N CHL Mortgage Pass-Through Trust N/A 12669GPN5 50061.41000000 PA USD 46156.11000000 0.002880126555 Long ABS-MBS CORP US N 2 2035-03-25 Floating 2.43200200 N N N N N N Aircraft Certificate Owner Trust N/A 009325AE1 49294.69000000 PA USD 51350.53000000 0.003204256708 Long ABS-O CORP US Y 2 2022-09-20 Fixed 7.00100000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828C57 6300000.00000000 PA USD 6347755.89000000 0.396097944725 Long DBT UST US N 2 2021-03-31 Fixed 2.25000000 N N N N N N Alfa SAB de CV 549300ZCGJ6T8YDJ4M34 015398AB6 235000.00000000 PA USD 253726.56000000 0.015832456490 Long DBT CORP MX Y 2 2024-03-25 Fixed 5.25000000 N N N N N N International Lease Finance Corp. N/A 459745GN9 500000.00000000 PA USD 544727.60000000 0.033990828654 Long DBT CORP US N 2 2022-08-15 Fixed 5.87500000 N N N N N N Standard Chartered plc U4LOSYZ7YG4W3S5F2G91 853254AA8 200000.00000000 PA USD 172500.00000000 0.010763945030 Long DBT CORP GB Y 2 2027-01-30 Floating 3.44549900 N N N N N N Citigroup Mortgage Loan Trust N/A 17307GTJ7 14189.21000000 PA USD 14392.69000000 0.000898099269 Long ABS-MBS CORP US N 2 2035-08-25 Variable 4.52128000 N N N N N N Panther BF Aggregator 2 LP N/A N/A 175000.00000000 PA 205344.85000000 0.012813453203 Long DBT CORP US Y 2 2026-05-15 Fixed 4.37500000 N N N N N N Cooperatieve Rabobank UA DG3RU1DBUFHT4ZF9WN62 N/A 300000.00000000 PA 341088.22000000 0.021283796234 Long DBT CORP NL Y 2 2020-03-19 Fixed 6.87500000 N N N N N N GS Mortgage Securities Trust N/A 36252RBJ7 350000.00000000 PA USD 344053.68000000 0.021468839993 Long ABS-MBS CORP US N 2 2047-01-10 Variable 4.99012900 N N N N N N Goldman Sachs Group, Inc. (The) 784F5XWPLTWKTBV3E584 38148BAD0 92000.00000000 PA USD 92885.04000000 0.005795996896 Long DBT CORP US N 2 2022-11-10 Variable 5.00000000 N N N N N N United States Small Business Administration N/A 83162CRX3 258808.85780000 PA USD 280194.85000000 0.017484069351 Long ABS-O CORP US N 2 2028-07-01 Fixed 5.87000000 N N N N N N Energy Transfer Operating LP 5493008K8W3OKZE54J59 29273RBG3 325000.00000000 PA USD 351713.80000000 0.021946829040 Long DBT CORP US N 2 2026-01-15 Fixed 4.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138EHUP5 132054.89000000 PA USD 139289.69000000 0.008691632269 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 3.50000000 N N N N N N Citigroup, Inc. 6SHGI4ZSSLCXXQSBB395 172967JZ5 225000.00000000 PA USD 229394.25000000 0.014314128099 Long DBT CORP US N 2 2020-08-15 Variable 5.95000100 N N N N N N Gilead Sciences, Inc. 549300WTZWR07K8MNV44 375558BB8 414000.00000000 PA USD 415079.84000000 0.025900849744 Long DBT CORP US N 2 2020-09-01 Fixed 2.55000000 N N N N N N Flagship Credit Auto Trust N/A 33845FAC0 390000.00000000 PA USD 389143.37000000 0.024282422281 Long ABS-O CORP US Y 2 2025-11-17 Fixed 2.53000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RW0 900000.00000000 PA USD 1030720.74000000 0.064316645720 Long DBT UST US N 2 2047-02-15 Fixed 0.87500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137EADR7 30198000.00000000 PA USD 30174086.20000000 1.882853363440 Long DBT USGA US N 2 2020-05-01 Fixed 1.37500000 N N N N N N Tesco Property Finance 5 plc 213800BN1HYPUZMXAF92 N/A 490640.24000000 PA 841047.99000000 0.052481126563 Long DBT CORP GB Y 2 2041-10-13 Fixed 5.66110000 N N N N N N Electricite de France SA 549300X3UK4GG3FNMO06 268317AN4 900000.00000000 PA USD 900999.72000000 0.056222095410 Long DBT CORP FR Y 2 2020-10-13 Fixed 2.35000000 N N N N N N OBP Depositor LLC Trust N/A 67087MAA4 4590000.00000000 PA USD 4594304.04000000 0.286683108049 Long ABS-MBS CORP US Y 2 2045-07-15 Fixed 4.64620000 N N N N N N General Motors Financial Co., Inc. 5493008B6JBRUJ90QL97 37045XBG0 47000.00000000 PA USD 51852.06000000 0.003235552020 Long DBT CORP US N 2 2026-03-01 Fixed 5.25000000 N N N N N N Sudbury Mill CLO Ltd. 2549002BXC788OTPUW39 864662AN1 364362.07000000 PA USD 363437.32000000 0.022678372953 Long ABS-CBDO CORP KY Y 2 2026-01-17 Floating 3.17212900 N N N N N N Allergan Funding SCS 222100FLFVOSKCBCAR54 00507UAR2 1000000.00000000 PA USD 1025203.00000000 0.063972340503 Long DBT CORP LU N 2 2022-03-15 Fixed 3.45000000 N N N N N N Goldman Sachs Group, Inc. (The) 784F5XWPLTWKTBV3E584 38141GGS7 310000.00000000 PA USD 332281.31000000 0.020734247857 Long DBT CORP US N 2 2022-01-24 Fixed 5.75000000 N N N N N N World Financial Network Credit Card Master Trust N/A 981464HD5 250000.00000000 PA USD 250762.18000000 0.015647480122 Long ABS-O CORP US N 2 2026-04-15 Fixed 3.04000000 N N N N N N Dexia Credit Local SA F4G136OIPBYND1F41110 25214BAT1 1400000.00000000 PA USD 1419682.46000000 0.088587733100 Long DBT NUSS FR Y 2 2022-09-20 Fixed 2.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128282R0 26294000.00000000 PA USD 27042306.20000000 1.687431289430 Long DBT UST US N 2 2027-08-15 Fixed 2.25000000 N N N N N N Bank of America Corp. 9DJT3UXIJIZJI4WXO774 06051GGJ2 600000.00000000 PA USD 606791.76000000 0.037863612460 Long DBT CORP US N 2 2023-04-24 Floating 2.93600200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132VLCK1 219963.29000000 PA USD 233196.59000000 0.014551392904 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N FHLB 2549001DPIFGXC1TOL40 3130AGLD5 10635000.00000000 PA USD 10687945.28000000 0.666924379592 Long DBT USGA US N 2 2021-07-07 Fixed 1.87500000 N N N N N N Terraform Global Operating LLC 549300LC7QMVR79H5O86 88104UAC7 70000.00000000 PA USD 72800.00000000 0.004542696801 Long DBT CORP US Y 2 2026-03-01 Fixed 6.12500000 N N N N N N Western Midstream Operating LP L6D8A6MLSY454J2JXJ60 958254AH7 100000.00000000 PA USD 98834.10000000 0.006167216344 Long DBT CORP US N 2 2028-03-01 Fixed 4.50000000 N N N N N N CNH Industrial Capital LLC 549300PNSJ5B81UMVO28 12592BAG9 500000.00000000 PA USD 514838.60000000 0.032125764578 Long DBT CORP US N 2 2021-10-15 Fixed 3.87500000 N N N N N N Broadcom Corp. N/A 11134LAH2 1089000.00000000 PA USD 1129936.27000000 0.070507663176 Long DBT CORP US N 2 2027-01-15 Fixed 3.87500000 N N N N N N N/A N/A N/A 61.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Put Purchased United States of America U.S. Treasury 5 Year Note 100000.00000000 112.5 USD 2020-02-21 XXXX -524.6 N N N Provincia de Buenos Aires 549300L6AYROPOTQ4L07 N/A 240000.00000000 PA 1689.72000000 0.000105437989 Long DBT NUSS AR Y 3 2025-04-12 Floating 44.06250100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31412PA50 118946.36880000 PA USD 129271.94000000 0.008066527861 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4.50000000 N N N N N N Lloyds Banking Group plc 549300PPXHEU2JF0AM85 N/A 1100000.00000000 PA 767729.55000000 0.047906079271 Long DBT CORP GB N 2 2025-03-07 Floating 2.29110100 N N N N N N DuPont de Nemours, Inc. 5493004JF0SDFLM8GD76 26078JAB6 230000.00000000 PA USD 245894.91000000 0.015343764025 Long DBT CORP US N 2 2023-11-15 Fixed 4.20500000 N N N N N N Odebrecht Drilling Norbe VIII/IX Ltd. 549300YNW6BY570L6488 675757AC2 557.00000000 PA USD 300.07000000 0.000018724272 Long DBT CORP KY Y 2 2026-12-01 Fixed 7.35000000 N N Y N N N Brixmor Operating Partnership LP 549300CJHBL7JBUA6503 11120VAE3 800000.00000000 PA USD 835257.60000000 0.052119808072 Long DBT CORP US N 2 2027-03-15 Fixed 3.90000000 N N N N N N Svenska Handelsbanken AB NHBDILHZTYCNBV5UYZ31 86960BAT9 800000.00000000 PA USD 815476.64000000 0.050885482471 Long DBT CORP SE N 2 2021-05-24 Fixed 3.35000000 N N N N N N Hawksmoor Mortgages N/A N/A 2970849.33000000 PA 3944084.42000000 0.246109610964 Long ABS-MBS CORP GB Y 2 2053-05-25 Floating 1.76100100 N N N N N N Sabine Pass Liquefaction LLC 549300KJYBG7C6WJYZ11 785592AE6 600000.00000000 PA USD 617740.80000000 0.038546829067 Long DBT CORP US N 2 2021-02-01 Fixed 5.62500000 N N N N N N International Flavors & Fragrances, Inc. BZLRL03D3GPGMOGFO832 459506AJ0 800000.00000000 PA USD 807582.72000000 0.050392904379 Long DBT CORP US N 2 2020-09-25 Fixed 3.40000000 N N N N N N Kilroy Realty LP 5493008CT3N3JR7P1552 49427RAL6 1700000.00000000 PA USD 1848359.68000000 0.115337055023 Long DBT CORP US N 2 2025-10-01 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828N71 2500000.00000000 PA USD 2790285.54000000 0.174112928528 Long DBT UST US N 2 2026-01-15 Fixed 0.62500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3135G0U35 2327000.00000000 PA USD 2364823.29000000 0.147564219708 Long DBT USGA US N 2 2021-06-22 Fixed 2.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128285W6 5300000.00000000 PA USD 5737351.13000000 0.358008882216 Long DBT UST US N 2 2029-01-15 Fixed 0.87500000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 251526BP3 800000.00000000 PA USD 802893.20000000 0.050100279825 Long DBT CORP DE N 2 2021-01-22 Fixed 3.15000000 N N N N N N US Bancorp N1GZ7BBF3NP8GI976H15 902973AZ9 171000.00000000 PA USD 188100.00000000 0.011737380059 Long DBT CORP US N 2 2027-04-15 Variable 5.29999900 N N N N N N Volkswagen Group of America Finance LLC 5493002SQ1AVQBY41K40 928668AN2 700000.00000000 PA USD 711634.07000000 0.044405739194 Long DBT CORP US Y 2 2020-11-13 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828V23 41188000.00000000 PA USD 42129244.65000000 2.628851441024 Long DBT UST US N 2 2023-12-31 Fixed 2.25000000 N N N N N N PMT Credit Risk Transfer Trust N/A 69345WAA6 138990.66000000 PA USD 139857.23000000 0.008727046584 Long ABS-MBS CORP US Y 2 2023-05-27 Floating 4.55474900 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46642EAY2 510000.00000000 PA USD 540723.93000000 0.033741000921 Long ABS-MBS CORP US N 2 2047-08-15 Fixed 3.77480000 N N N N N N FHLB 2549001DPIFGXC1TOL40 3133XXP50 19000.00000000 PA USD 19093.87000000 0.001191451403 Long DBT USGA US N 2 2020-03-13 Fixed 4.12500000 N N N N N N Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 83051GAH1 800000.00000000 PA USD 800744.56000000 0.049966205374 Long DBT CORP SE Y 2 2021-05-17 Floating 2.33412800 N N N N N N Deutsche Telekom International Finance BV 529900ERDFHS6C1M4U58 25156PAW3 1100000.00000000 PA USD 1100065.23000000 0.068643719799 Long DBT CORP NL Y 2 2020-01-17 Fixed 2.22500000 N N N N N N Transocean Poseidon Ltd. N/A 89383JAA6 106000.00000000 PA USD 112360.00000000 0.007011228194 Long DBT CORP KY Y 2 2027-02-01 Fixed 6.87500000 N N N N N N Reynolds American, Inc. 02S2RPPVO9RP4NEU2740 761713BT2 160000.00000000 PA USD 162619.31000000 0.010147393122 Long DBT CORP US N 2 2020-05-01 Fixed 6.87500000 N N N N N N N/A N/A N/A 30.00000000 NC USD -1341.60000000 -0.00008371541 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury 2 Year Note 2020-03-31 6465000 USD -1341.6 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AG3 1000000.00000000 PA USD 1057404.30000000 0.065981691361 Long DBT CORP CH Y 2 2024-06-12 Variable 4.20700000 N N N N N N Ukraine Government AID Bonds N/A 903724BL5 11300000.00000000 PA USD 11252086.87000000 0.702126635036 Long DBT NUSS UA N 2 2021-09-29 Fixed 1.47100000 N N N N N N Braemar Hotels & Resorts Trust N/A 10482TAA0 300000.00000000 PA USD 298535.13000000 0.018628496979 Long ABS-MBS CORP US Y 2 2035-06-15 Floating 2.55975100 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RN0 1725000.00000000 PA USD 1890104.06000000 0.117941891033 Long DBT UST US N 2 2045-08-15 Fixed 2.87500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31385HWQ1 4361.10270000 PA USD 4510.73000000 0.000281468114 Long ABS-MBS USGSE US N 2 2040-12-01 Variable 4.35600000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128282L3 1100000.00000000 PA USD 1180395.60000000 0.073656309288 Long DBT UST US N 2 2027-07-15 Fixed 0.37500000 N N N N N N Barclays plc 213800LBQA1Y9L22JB70 06738EBE4 900000.00000000 PA USD 938934.90000000 0.058589238553 Long DBT CORP GB N 2 2023-02-15 Variable 4.61000200 N N N N N N Verizon Communications, Inc. 2S72QS2UO2OESLG6Y829 92343VCK8 168000.00000000 PA USD 208226.54000000 0.012993269741 Long DBT CORP US N 2 2046-08-21 Fixed 4.86200000 N N N N N N Marathon Oil Corp. 1FRVQX2CRLGC1XLP5727 565849AL0 210000.00000000 PA USD 222187.10000000 0.013864404236 Long DBT CORP US N 2 2025-06-01 Fixed 3.85000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3135G0F73 10455000.00000000 PA USD 10441112.62000000 0.651522100265 Long DBT USGA US N 2 2020-11-30 Fixed 1.50000000 N N N N N N Connecticut Avenue Securities Trust N/A 20753WAA4 206707.46000000 PA USD 206768.38000000 0.012902281022 Long ABS-MBS CORP US Y 2 2039-10-25 Floating 2.56200100 N N N N N N Banc of America Funding Trust N/A 05951EAM9 10829.75000000 PA USD 10501.40000000 0.000655284013 Long ABS-MBS CORP US N 2 2047-01-20 Variable 4.32077800 N N N N N N SGSP Australia Assets Pty. Ltd. 254900BJJ12X7PJT5072 N/A 1000000.00000000 PA USD 1024920.00000000 0.063954681393 Long DBT CORP AU Y 2 2023-04-09 Fixed 3.30000100 N N N N N N Bear Stearns Structured Products, Inc. Trust N/A 07402FAA3 71688.47000000 PA USD 63948.80000000 0.003990384741 Long ABS-MBS CORP US N 2 2036-01-26 Variable 4.00079900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31409CCZ6 175809.32590000 PA USD 183289.61000000 0.011437213255 Long ABS-MBS USGSE US N 2 2036-01-01 Variable 3.96600100 N N N N N N Orbia Advance Corp. SAB de CV 549300MVHZ20SBIOEQ79 59284BAB4 225000.00000000 PA USD 236882.81000000 0.014781411857 Long DBT CORP MX Y 2 2022-09-19 Fixed 4.87500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138AB6M6 13645.26180000 PA USD 14812.73000000 0.000924309631 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.50000000 N N N N N N Kinder Morgan Energy Partners LP 549300PDHUGWPWGOT525 494550BJ4 193000.00000000 PA USD 200964.74000000 0.012540135735 Long DBT CORP US N 2 2022-03-01 Fixed 4.15000000 N N N N N N Cooperatieve Rabobank UA DG3RU1DBUFHT4ZF9WN62 21688AAP7 800000.00000000 PA USD 802081.52000000 0.050049631252 Long DBT CORP NL N 2 2021-04-26 Floating 2.36562800 N N N N N N Minerva Luxembourg SA 222100NM3G3RCPGZ2Z17 N/A 200000.00000000 PA USD 209750.00000000 0.013088333159 Long DBT CORP LU Y 2 2028-01-19 Fixed 5.87500000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PAY7 800000.00000000 PA USD 1028000.00000000 0.064146872411 Long DBT NUSS QA Y 2 2048-04-23 Fixed 5.10300000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UXM7 659592.70000000 PA USD 663448.15000000 0.041398953141 Long ABS-MBS USGA US N 2 2066-05-20 Floating 2.57424800 N N N N N N BCAP LLC Trust N/A 05536LAH8 10854.90000000 PA USD 10836.46000000 0.000676191650 Long ABS-MBS CORP US Y 2 2037-08-26 Variable 3.79659200 N N N N N N AT&T, Inc. 549300Z40J86GGSTL398 00206RCT7 313000.00000000 PA USD 339286.90000000 0.021171394440 Long DBT CORP US N 2 2026-02-17 Fixed 4.12500000 N N N N N N N/A N/A N/A 161.00000000 NC -247447.26000000 -0.01544063017 N/A DIR DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Long Republic of Italy Euro-BTP 2020-03-06 22936060 EUR -247447.26 N N N American Express Co. R4PP93JZOLY261QX3811 025816BU2 800000.00000000 PA USD 814554.00000000 0.050827910029 Long DBT CORP US N 2 2021-05-17 Fixed 3.37500000 N N N N N N Altice Financing SA 549300DIYGW8HVDF7Q17 02154CAD5 1000000.00000000 PA USD 1017500.00000000 0.063491675757 Long DBT CORP LU Y 2 2023-02-15 Fixed 6.62500000 N N N N N N Cigna Corp. 549300VIWYMSIGT1U456 125523CA6 318000.00000000 PA USD 330174.82000000 0.020602803552 Long DBT CORP US Y 2 2027-03-01 Fixed 3.40000000 N N N N N N N/A N/A N/A -125.00000000 NC 114851.85000000 0.007166718840 N/A DIR GB N 1 ICE Clear Europe 5R6J7JCQRIPQR1EEP713 Short United Kingdom of Great Britain and Northern Ireland Long Gilt 2020-03-27 -16422500 GBP 114851.85 N N N Ford Motor Credit Co. LLC UDSQCVRUX5BONN0VY111 345397XQ1 1700000.00000000 PA USD 1707650.00000000 0.106556815830 Long DBT CORP US N 2 2021-01-15 Fixed 3.20000000 N N N N N N Israel Electric Corp. Ltd. 254900JW7GE35YNJGJ55 465077AK1 231000.00000000 PA USD 253739.06000000 0.015833236486 Long DBT NUSS IL Y 2 2024-11-12 Fixed 5.00000000 N N N N N N Charter Communications Operating LLC N/A 161175BB9 800000.00000000 PA USD 840648.00000000 0.052456167314 Long DBT CORP US N 2 2022-07-23 Fixed 4.46400000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 30711XCZ5 414.99000000 PA USD 415.16000000 0.000025905851 Long ABS-MBS CORP US N 2 2029-01-25 Floating 3.24200200 N N N N N N General Motors Financial Co., Inc. 5493008B6JBRUJ90QL97 37045XAZ9 70000.00000000 PA USD 73952.02000000 0.004614582482 Long DBT CORP US N 2 2025-07-13 Fixed 4.30000000 N N N N N N City of Chicago IL T5UYO5SYLC8K73MJQX30 167486D22 100000.00000000 PA USD 113259.00000000 0.007067325508 Long DBT MUN US N 2 2042-01-01 Fixed 7.75000000 N N N N N N Sunoco LP N/A 86765LAJ6 211000.00000000 PA USD 215487.97000000 0.013446380659 Long DBT CORP US N 2 2023-01-15 Fixed 4.87500000 N N N N N N Petrobras Global Finance BV 549300FNENFFSMO3GT38 71647NAR0 272000.00000000 PA USD 291210.00000000 0.018171411201 Long DBT CORP NL N 2 2022-01-17 Fixed 6.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828W71 12217000.00000000 PA USD 12444056.61000000 0.776505166972 Long DBT UST US N 2 2024-03-31 Fixed 2.12500000 N N N N N N Impac CMB Trust N/A 45254NFG7 2563.23430000 PA USD 2581.61000000 0.000161091641 Long ABS-MBS CORP US N 2 2033-10-25 Floating 2.69200100 N N N N N N Baker Hughes a GE Co. LLC N/A 05723KAF7 85000.00000000 PA USD 87062.10000000 0.005432647296 Long DBT CORP US N 2 2047-12-15 Fixed 4.08000000 N N N N N N WFRBS Commercial Mortgage Trust N/A 92939LAE6 400000.00000000 PA USD 422349.36000000 0.026354465475 Long ABS-MBS CORP US N 2 2047-11-15 Fixed 3.63100000 N N N N N N Royal Bank of Scotland Group plc 2138005O9XJIJN4JPN90 780097BD2 800000.00000000 PA USD 837097.68000000 0.052234628477 Long DBT CORP GB N 2 2023-09-12 Fixed 3.87500000 N N N N N N Embraer Netherlands Finance BV 724500PBR8LR26XBSP67 29082HAB8 240000.00000000 PA USD 270450.00000000 0.016875993816 Long DBT CORP NL N 2 2027-02-01 Fixed 5.40000000 N N N N N N CVP Cascade CLO-1 Ltd. 254900KC4K0L2UHEOP63 126612AJ9 243529.60000000 PA USD 243677.42000000 0.015205393356 Long ABS-CBDO CORP KY Y 2 2026-01-16 Floating 3.15087800 N N N N N N Microchip Technology, Inc. 5493007PTFULNYZJ1R12 595017AN4 900000.00000000 PA USD 919913.22000000 0.057402291783 Long DBT CORP US N 2 2021-06-01 Fixed 3.92200000 N N N N N N Republic of South Africa N/A N/A 19273730.00000000 PA 1283201.62000000 0.080071372175 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828XL9 1977800.00000000 PA USD 2189337.97000000 0.136613991661 Long DBT UST US N 2 2025-07-15 Fixed 0.37500000 N N N N N N Micron Technology, Inc. B3DXGBC8GAIYWI2Z0172 595112BM4 899000.00000000 PA USD 997440.77000000 0.062239986198 Long DBT CORP US N 2 2026-02-06 Fixed 4.97500000 N N N N N N CenterPoint Energy Resources Corp. 2JADVB0458J06WCD4N56 15189WAK6 800000.00000000 PA USD 829006.24000000 0.051729725200 Long DBT CORP US N 2 2023-04-01 Fixed 3.55000000 N N N N N N Bristol-Myers Squibb Co. HLYYNH7UQUORYSJQCN42 110122BF4 900000.00000000 PA USD 904547.25000000 0.056443460152 Long DBT CORP US Y 2 2021-08-15 Fixed 2.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128284N7 5240000.00000000 PA USD 5644023.91000000 0.352185293428 Long DBT UST US N 2 2028-05-15 Fixed 2.87500000 N N N N N N Charter Communications Operating LLC N/A 161175AY0 1983000.00000000 PA USD 2175727.77000000 0.135764719518 Long DBT CORP US N 2 2025-07-23 Fixed 4.90800000 N N N N N N Bacardi Ltd. 549300R32WTQNHNN5055 067316AE9 800000.00000000 PA USD 862920.00000000 0.053845933017 Long DBT CORP BM Y 2 2025-05-15 Fixed 4.45000000 N N N N N N Midwest Connector Capital Co. LLC N/A 59833CAB8 900000.00000000 PA USD 924761.79000000 0.057704841006 Long DBT CORP US Y 2 2022-04-01 Fixed 3.62500000 N N N N N N MetLife Capital Trust IV N/A 591560AA5 192000.00000000 PA USD 252480.00000000 0.015754671543 Long DBT CORP US Y 2 2037-12-15 Fixed 7.87500000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 17325FAY4 1000000.00000000 PA USD 1011477.00000000 0.063115842477 Long DBT CORP US N 2 2022-05-20 Variable 2.84400000 N N N N N N City of Chicago IL T5UYO5SYLC8K73MJQX30 1674856E6 475000.00000000 PA USD 482894.50000000 0.030132462918 Long DBT MUN US N 2 2022-01-01 Fixed 5.63000000 N N N N N N Eastman Chemical Co. FDPVHDGJ1IQZFK9KH630 277432AR1 110000.00000000 PA USD 115394.07000000 0.007200553195 Long DBT CORP US N 2 2025-03-15 Fixed 3.80000000 N N N N N N DBWF Mortgage Trust N/A 23307GAA4 203119.00000000 PA USD 202865.12000000 0.012658718841 Long ABS-MBS CORP US Y 2 2035-11-19 Floating 2.79388100 N N N N N N United States of America 254900HROIFWPRGM1V77 912828V98 12748000.00000000 PA USD 13107011.73000000 0.817873355199 Long DBT UST US N 2 2027-02-15 Fixed 2.25000000 N N N N N N AbbVie, Inc. FR5LCKFTG8054YNNRU85 00287YBD0 177000.00000000 PA USD 204501.13000000 0.012760805344 Long DBT CORP US N 2 2048-11-14 Fixed 4.87500000 N N N N N N Banc of America Funding Trust N/A 06051GAX7 35378.74580000 PA USD 36475.32000000 0.002276048344 Long ABS-MBS CORP US N 2 2034-09-20 Variable 4.75197500 N N N N N N CommScope, Inc. 549300Z6K4JXMFE8QY54 20338QAB9 82000.00000000 PA USD 85421.04000000 0.005330245675 Long DBT CORP US Y 2 2024-03-01 Fixed 5.50000000 N N N N N N Assurant, Inc. H3F39CAXWQRVWURFXL38 04621XAH1 1000000.00000000 PA USD 1040850.00000000 0.064948708317 Long DBT CORP US N 2 2023-09-27 Fixed 4.20000000 N N N N N N JP Morgan Chase Commercial Mortgage Securities Trust N/A 46634SAM7 189221.00000000 PA USD 181649.85000000 0.011334892754 Long ABS-MBS CORP US Y 2 2045-05-15 Variable 5.15706500 N N N N N N Citigroup Commercial Mortgage Trust N/A 17290YAR9 606000.00000000 PA USD 631652.89000000 0.039414939050 Long ABS-MBS CORP US N 2 2049-05-10 Fixed 3.20900000 N N N N N N ING Bank NV 3TK20IVIUJ8J3ZU0QE75 449786AY8 385000.00000000 PA USD 425884.34000000 0.026575047101 Long DBT CORP NL Y 2 2023-09-25 Fixed 5.80000000 N N N N N N Energy Transfer Operating LP 5493008K8W3OKZE54J59 29278NAL7 240000.00000000 PA USD 250709.76000000 0.015644209131 Long DBT CORP US N 2 2023-03-15 Fixed 4.25000000 N N N N N N FFCB N/A 3133EJJD2 50000000.00000000 PA USD 50546285.00000000 3.154072076643 Long DBT USGA US N 2 2021-04-05 Fixed 2.54000000 N N N N N N Wells Fargo & Co. PBLD0EJDB5FWOLXP3B76 949746SK8 318000.00000000 PA USD 323857.34000000 0.020208594813 Long DBT CORP US N 2 2023-01-24 Fixed 3.06900000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3135G0Q22 16816000.00000000 PA USD 16777757.05000000 1.046926693428 Long DBT USGA US N 2 2026-09-24 Fixed 1.87500000 N N N N N N Altice France SA 5493001ZMCICV4N02J21 67054KAA7 500000.00000000 PA USD 536420.00000000 0.033472437061 Long DBT CORP FR Y 2 2026-05-01 Fixed 7.37500000 N N N N N N UBS Commercial Mortgage Trust N/A 90291JAW7 510000.00000000 PA USD 565496.93000000 0.035286828227 Long ABS-MBS CORP US N 2 2051-03-15 Variable 4.11700000 N N N N N N Harley-Davidson Financial Services, Inc. RLUFFFFW4GRYU77BTS24 41283LAF2 800000.00000000 PA USD 799851.44000000 0.049910474970 Long DBT CORP US Y 2 2020-02-26 Fixed 2.15000000 N N N N N N Bear Stearns ARM Trust N/A 07384MB68 34610.25570000 PA USD 35613.08000000 0.002222244843 Long ABS-MBS CORP US N 2 2034-02-25 Variable 4.25256800 N N N N N N United States of America 254900HROIFWPRGM1V77 912828J27 23552800.00000000 PA USD 23892438.44000000 1.490880544960 Long DBT UST US N 2 2025-02-15 Fixed 2.00000000 N N N N N N JP Morgan Mortgage Trust N/A 46631NDT3 63175.69270000 PA USD 52454.12000000 0.003273120372 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 7.00000000 N N N N N N N/A N/A N/A -64.00000000 NC 53313.41000000 0.003326739794 N/A DIR GB N 1 ICE Clear Europe 5R6J7JCQRIPQR1EEP713 Short N/A 3 Month Euro Euribor 2020-09-14 -16060000 EUR 53313.41 N N N Kensington Mortgage Securities plc 549300YM966YWEFHQ247 N/A 801171.00000000 PA USD 780338.95000000 0.048692901812 Long ABS-MBS CORP GB Y 2 2040-06-14 Floating 2.06363200 N N N N N N Spirit Realty LP 549300GTBVIBJRX5BW73 84861TAF5 800000.00000000 PA USD 803125.04000000 0.050114746567 Long DBT CORP US N 2 2030-01-15 Fixed 3.40000000 N N N N N N FHLB 2549001DPIFGXC1TOL40 3130AFFX0 5410000.00000000 PA USD 5907012.37000000 0.368595689527 Long DBT USGA US N 2 2028-11-16 Fixed 3.25000000 N N N N N N Mylan NV 549300A0CD4KNFGIIS89 62854AAL8 60000.00000000 PA USD 60729.54000000 0.003789503943 Long DBT CORP NL N 2 2020-12-15 Fixed 3.75000000 N N N N N N Discover Bank X05BVSK68TQ7YTOSNR22 25466AAD3 800000.00000000 PA USD 850537.84000000 0.053073290178 Long DBT CORP US N 2 2023-08-08 Fixed 4.20000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Put Purchased United States of America U.S. Treasury 10 Year Note 100000.00000000 119 USD 2020-02-21 XXXX -8.6 N N N Bank of America Corp. 9DJT3UXIJIZJI4WXO774 06051GHF9 800000.00000000 PA USD 830233.12000000 0.051806282121 Long DBT CORP US N 2 2024-03-05 Variable 3.55000000 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 48128BAF8 234000.00000000 PA USD 243360.00000000 0.015185586449 Long DBT CORP US N 2 2024-08-01 Variable 5.00000000 N N N N N N GS Mortgage Securities Corp. Trust 5493006UCJFJVDKIY756 36251GAA2 800000.00000000 PA USD 804521.92000000 0.050201911434 Long ABS-MBS CORP US Y 2 2029-02-10 Fixed 3.20300000 N N N N N N Hertz Vehicle Financing II LP 549300FPK70TCB78NG05 42806DCD9 310000.00000000 PA USD 318248.79000000 0.019858623081 Long ABS-O CORP US Y 2 2023-03-25 Fixed 3.71000000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 2027A0JH3 346000.00000000 PA USD 346121.97000000 0.021597900630 Long DBT CORP AU Y 2 2020-03-10 Fixed 2.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402RRN1 22852.88230000 PA USD 25163.74000000 0.001570209357 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.00000000 N N N N N N Kinder Morgan, Inc. 549300WR7IX8XE0TBO16 49456BAM3 375000.00000000 PA USD 383822.63000000 0.023950409800 Long DBT CORP US N 2 2023-01-15 Fixed 3.15000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137EADB2 46804000.00000000 PA USD 47527622.60000000 2.965708504827 Long DBT USGA US N 2 2022-01-13 Fixed 2.37500000 N N N N N N Standard Chartered plc U4LOSYZ7YG4W3S5F2G91 853254AL4 200000.00000000 PA USD 216011.04000000 0.013479020060 Long DBT CORP GB Y 2 2024-01-26 Fixed 5.20000000 N N N N N N Ford Credit Floorplan Master Owner Trust A 5493001DTG5N7T8BG747 34528QFJ8 400000.00000000 PA USD 400081.56000000 0.024964961851 Long ABS-O CORP US N 2 2022-05-15 Fixed 2.07000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JPN92 829173.87000000 PA USD 880588.21000000 0.054948423690 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4.00000000 N N N N N N Truist Financial Corp. 549300DRQQI75D2JP341 05531FAU7 145000.00000000 PA USD 145351.23000000 0.009069870433 Long DBT CORP US N 2 2020-06-29 Fixed 2.62500000 N N N N N N Sabine Pass Liquefaction LLC 549300KJYBG7C6WJYZ11 785592AM8 133000.00000000 PA USD 149437.00000000 0.009324821179 Long DBT CORP US N 2 2025-03-01 Fixed 5.62500000 N N N N N N Evergreen Credit Card Trust 5493002G9KVV6J3CNU15 30023JBH0 1000000.00000000 PA USD 992447.70000000 0.061928420221 Long ABS-O CORP CA Y 2 2024-09-15 Fixed 1.90000000 N N N N N N Emerald Bay SA 2221008SU8XG8LZVS860 N/A 1054000.00000000 PA 1152715.00000000 0.071929048669 Long ABS-O CORP LU Y 2 2020-10-08 None 0.00000000 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 46647PAT3 1000000.00000000 PA USD 1003391.10000000 0.062611284893 Long DBT CORP US N 2 2022-06-18 Floating 2.50850200 N N N N N N FHLMC Structured Agency Credit Risk Debt Notes N/A 3137G0DW6 171733.83000000 PA USD 179272.81000000 0.011186566215 Long ABS-MBS CORP US N 2 2025-01-25 Floating 5.94200200 N N N N N N GMF Floorplan Owner Revolving Trust N/A 361886BL7 1000000.00000000 PA USD 1000568.10000000 0.062435130593 Long ABS-O CORP US Y 2 2023-03-15 Floating 2.11974800 N N N N N N Bank of America Corp. 9DJT3UXIJIZJI4WXO774 06053FAA7 900000.00000000 PA USD 958679.73000000 0.059821309653 Long DBT CORP US N 2 2023-07-24 Fixed 4.10000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138X6P58 981796.06000000 PA USD 1050037.46000000 0.065522002893 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31374FWF2 662.35000000 PA USD 732.62000000 0.000045715254 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 9.00000000 N N N N N N Delta Air Lines, Inc. Q2CCMS6R0AS67HJMBN42 247361ZL5 950000.00000000 PA USD 948461.00000000 0.059183664158 Long DBT CORP US N 2 2020-12-04 Fixed 2.60000000 N N N N N N Braskem Netherlands Finance BV N/A 10554TAD7 420000.00000000 PA USD 418950.00000000 0.026142346495 Long DBT CORP NL Y 2 2030-01-31 Fixed 4.50000000 N N N N N N SoFi Consumer Loan Program LLC N/A 78471FAA0 27926.44000000 PA USD 27973.85000000 0.001745559325 Long ABS-O CORP US Y 2 2025-12-26 Fixed 3.05000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140FMWS1 262430.16000000 PA USD 265602.97000000 0.016573540689 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 2.50000000 N N N N N N GSR Mortgage Loan Trust N/A 362290AC2 290680.57000000 PA USD 255017.47000000 0.015913008862 Long ABS-MBS CORP US N 2 2047-03-25 Variable 3.86037000 N N N N N N Exelon Generation Co. LLC S2PEWKCZFFECR4533P43 30161MAP8 259000.00000000 PA USD 259073.89000000 0.016166128178 Long DBT CORP US N 2 2020-01-15 Fixed 2.95000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 617474AA9 30000.00000000 PA USD 30459.00000000 0.001900631893 Long DBT CORP US N 2 2020-07-15 Variable 5.55000100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 30711XAP9 230957.63000000 PA USD 253657.76000000 0.015828163392 Long ABS-MBS CORP US N 2 2024-11-25 Floating 6.69200000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31335AY51 553894.62000000 PA USD 593968.29000000 0.037063432018 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.00000000 N N N N N N N/A N/A N/A -34.00000000 NC 14655.64000000 0.000914507265 N/A DIR DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Short Federal Republic of Germany Euro-Bobl 2020-03-06 -4543420 EUR 14655.64 N N N FNMA B1V7KEBTPIMZEU4LTD58 31412S4H5 72755.23010000 PA USD 79023.11000000 0.004931016882 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138WENA3 118191.16000000 PA USD 121221.85000000 0.007564204810 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 3.00000000 N N N N N N World Financial Network Credit Card Master Trust N/A 981464GL8 515000.00000000 PA USD 520874.04000000 0.032502374111 Long ABS-O CORP US N 2 2024-12-16 Fixed 3.07000000 N N N N N N Penske Truck Leasing Co. LP N/A 709599AS3 800000.00000000 PA USD 815054.40000000 0.050859134830 Long DBT CORP US Y 2 2022-02-01 Fixed 3.37500000 N N N N N N AerCap Delos fka Delos Finance SARL 549300HX549YWOJQT076 L2324EAE1 2100000.00000000 PA USD 2106749.40000000 0.131460491211 Long LON CORP LU N 2 2023-10-06 Variable 3.69463000 N N N N N N New York Life Global Funding 635400DPNHEAUHB7ZI15 64952WBY8 433000.00000000 PA USD 432963.76000000 0.027016800653 Long DBT CORP US Y 2 2020-02-11 Fixed 1.95000000 N N N N N N Navient Corp. 54930067J0ZNOEBRW338 63938CAD0 260000.00000000 PA USD 273975.00000000 0.017095952693 Long DBT CORP US N 2 2021-07-26 Fixed 6.62500000 N N N N N N CCUBS Commercial Mortgage Trust N/A 12508GAU0 470000.00000000 PA USD 500590.89000000 0.031236712014 Long ABS-MBS CORP US N 2 2050-11-15 Variable 3.54399800 N N N N N N Host Hotels & Resorts LP FXB7X4WXVA8QPMNOGS12 44107TAU0 12000.00000000 PA USD 12526.66000000 0.000781659592 Long DBT CORP US N 2 2023-10-15 Fixed 3.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RF7 400000.00000000 PA USD 521617.32000000 0.032548754546 Long DBT UST US N 2 2044-02-15 Fixed 1.37500000 N N N N N N PMT Credit Risk Transfer Trust N/A 69349MAA4 109376.25000000 PA USD 109887.72000000 0.006856958710 Long ABS-MBS CORP US Y 2 2022-10-27 Floating 4.61350100 N N N N N N United States of America 254900HROIFWPRGM1V77 912810FT0 490600.00000000 PA USD 651418.39000000 0.040648299951 Long DBT UST US N 2 2036-02-15 Fixed 4.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31295MYW4 2514.08820000 PA USD 2634.75000000 0.000164407560 Long ABS-MBS USGSE US N 2 2031-11-01 Variable 4.15000100 N Y N N N N Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 83051GAJ7 800000.00000000 PA USD 812280.16000000 0.050686023138 Long DBT CORP SE Y 2 2021-05-17 Fixed 3.25000000 N N N N N N Barclays plc 213800LBQA1Y9L22JB70 N/A 500000.00000000 PA 705475.33000000 0.044021435781 Long DBT CORP GB Y 2 2027-02-12 Fixed 3.25000000 N N N N N N Duke Energy Corp. I1BZKREC126H0VB1BL91 26441CAJ4 600000.00000000 PA USD 614921.58000000 0.038370910637 Long DBT CORP US N 2 2022-08-15 Fixed 3.05000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828M56 23230500.00000000 PA USD 23860836.39000000 1.488908587111 Long DBT UST US N 2 2025-11-15 Fixed 2.25000000 N N N N N N Commercial Mortgage Trust N/A 12623SAU4 250000.00000000 PA USD 244302.23000000 0.015244381301 Long ABS-MBS CORP US Y 2 2045-12-10 Variable 4.31761700 N N N N N N United States of America 254900HROIFWPRGM1V77 9128284V9 7089000.00000000 PA USD 7645823.23000000 0.477096933092 Long DBT UST US N 2 2028-08-15 Fixed 2.87500000 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 46647PAH9 400000.00000000 PA USD 414366.44000000 0.025856333811 Long DBT CORP US N 2 2025-03-01 Variable 3.21999800 N N N N N N NXP BV N/A 62947QAT5 800000.00000000 PA USD 843120.80000000 0.052610469246 Long DBT CORP NL Y 2 2022-06-15 Fixed 4.62500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 4160.66000000 0.000259623858 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 416660.59000000 USD 375000.00000000 EUR 2020-01-10 4160.66 N N N GSR Mortgage Loan Trust N/A 362341WE5 585036.75000000 PA USD 464656.02000000 0.028994387578 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 6.00000000 N N N N N N Commercial Mortgage Trust 5493004GWEVMOU8S3L34 12591QAR3 495000.00000000 PA USD 521710.05000000 0.032554540869 Long ABS-MBS CORP US N 2 2047-08-10 Fixed 3.69400000 N N N N N N SBA Tower Trust N/A 78403DAJ9 351000.00000000 PA USD 353867.67000000 0.022081229842 Long ABS-O CORP US Y 2 2020-10-08 Fixed 3.15600000 N N N N N N GE Capital European Funding Unlimited Co. YHZHHIVHTKEV7XROHS46 N/A 600000.00000000 PA 681099.60000000 0.042500397997 Long DBT CORP IE Y 2 2020-07-20 Fixed 2.25000000 N N N N N N Synchrony Bank 549300UATVPGSLE43Z27 87166FAC7 1000000.00000000 PA USD 1021299.80000000 0.063728782067 Long DBT CORP US N 2 2021-05-24 Fixed 3.65000000 N N N N N N American Tower Corp. 5493006ORUSIL88JOE18 03027XAT7 1000000.00000000 PA USD 1034198.00000000 0.064533625636 Long DBT CORP US N 2 2024-05-15 Fixed 3.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828YB0 33710000.00000000 PA USD 32868156.80000000 2.050962510373 Long DBT UST US N 2 2029-08-15 Fixed 1.62500000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 20271RAK6 250000.00000000 PA USD 250114.58000000 0.015607070089 Long DBT CORP AU N 2 2020-03-12 Fixed 2.30000000 N N N N N N UBS-Barclays Commercial Mortgage Trust N/A 90270RBE3 465583.00000000 PA USD 473239.09000000 0.029529968411 Long ABS-MBS CORP US N 2 2045-12-10 Fixed 2.85020000 N N N N N N Inversiones CMPC SA 549300G475ACIABB4385 N/A 205000.00000000 PA USD 212687.50000000 0.013271632223 Long DBT CORP CL Y 2 2023-05-15 Fixed 4.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828VB3 13464000.00000000 PA USD 13515557.70000000 0.843366493538 Long DBT UST US N 2 2023-05-15 Fixed 1.75000000 N N N N N N Boral Finance Pty. Ltd. 549300X2TYFVNPM0UT91 09952AAA4 1100000.00000000 PA USD 1099971.73000000 0.068637885428 Long DBT CORP AU Y 2 2022-11-01 Fixed 3.00000000 N N N N N N Banco Santander SA 5493006QMFDDMYWIAM13 05964HAC9 200000.00000000 PA USD 205063.96000000 0.012795925757 Long DBT CORP ES N 2 2022-04-11 Fixed 3.50000000 N N N N N N CGRBS Commercial Mortgage Trust N/A 125354AA8 630000.00000000 PA USD 655303.64000000 0.040890738313 Long ABS-MBS CORP US Y 2 2035-03-13 Fixed 3.36900000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140Q9T45 874432.51000000 PA USD 935584.72000000 0.058380188389 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 21H032621 7900000.00000000 PA USD 8146258.01000000 0.508323903892 Long ABS-MBS USGA US N 2 2050-02-15 Fixed 3.50000000 N N N N N N Sabine Pass Liquefaction LLC 549300KJYBG7C6WJYZ11 785592AS5 218000.00000000 PA USD 239821.80000000 0.014964803897 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N SoFi Consumer Loan Program Trust N/A 83405TAA1 239563.34000000 PA USD 240820.23000000 0.015027105610 Long ABS-O CORP US Y 2 2028-05-25 Fixed 2.90000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128283F5 11532000.00000000 PA USD 11861388.52000000 0.740146863832 Long DBT UST US N 2 2027-11-15 Fixed 2.25000000 N N N N N N Southern Co. (The) 549300FC3G3YU2FBZD92 842587CS4 1000000.00000000 PA USD 1004862.40000000 0.062703093545 Long DBT CORP US N 2 2021-07-01 Fixed 2.35000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416BS58 9734.33170000 PA USD 10527.02000000 0.000656882693 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 4.50000000 N N N N N N Ludgate Funding plc 213800LADM2GPWI3P269 N/A 761555.60000000 PA 947851.85000000 0.059145653392 Long ABS-MBS CORP GB Y 2 2061-01-01 Floating 0.91962800 N N N N N N Suzano Austria GmbH 254900287ZNSGVP1R341 86964WAF9 243000.00000000 PA USD 274665.94000000 0.017139067129 Long DBT CORP AT N 2 2029-01-15 Fixed 6.00000000 N N N N N N Citigroup, Inc. 6SHGI4ZSSLCXXQSBB395 172967JL6 722000.00000000 PA USD 766474.48000000 0.047827763303 Long DBT CORP US N 2 2025-03-26 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128283W8 11215000.00000000 PA USD 11957130.20000000 0.746121114155 Long DBT UST US N 2 2028-02-15 Fixed 2.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 6983.26000000 0.000435753198 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 388220.75000000 USD 298000.00000000 GBP 2020-02-14 6983.26 N N N United States of America 254900HROIFWPRGM1V77 912796WP0 500000.00000000 PA USD 499604.15000000 0.031175139753 Long STIV UST US N 2 2020-01-21 None 0.00000000 N N N N N N Sequoia Mortgage Trust N/A 81743VAB9 3309.52000000 PA USD 3218.89000000 0.000200857710 Long ABS-MBS CORP US N 2 2027-10-20 Floating 2.52463000 N N N N N N Mitsubishi UFJ Financial Group, Inc. 353800V2V8PUY9TK3E06 606822AS3 800000.00000000 PA USD 798838.56000000 0.049847271581 Long DBT CORP JP N 2 2023-03-02 Floating 2.64687800 N N N N N N Voya Financial, Inc. 549300T065Z4KJ686G75 45685EAG1 91000.00000000 PA USD 96005.00000000 0.005990681406 Long DBT CORP US N 2 2053-05-15 Variable 5.64999800 N N N N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 68389XBK0 1000000.00000000 PA USD 1000795.00000000 0.062449289081 Long DBT CORP US N 2 2021-09-15 Fixed 1.90000000 N N N N N N Carlyle Finance Subsidiary LLC N/A 14314DAA1 800000.00000000 PA USD 794175.12000000 0.049556274411 Long DBT CORP US Y 2 2029-09-19 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138WQKW1 77819.55000000 PA USD 82350.50000000 0.005138644957 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.50000000 N N N N N N Citigroup, Inc. 6SHGI4ZSSLCXXQSBB395 172967LH2 2100000.00000000 PA USD 2126012.28000000 0.132662488785 Long DBT CORP US N 2 2022-04-25 Floating 2.89963100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416B3Y2 49374.87190000 PA USD 53661.04000000 0.003348431796 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4.50000000 N N N N N N Inversiones CMPC SA 549300G475ACIABB4385 N/A 201000.00000000 PA USD 211929.38000000 0.013224325777 Long DBT CORP CL Y 2 2027-04-04 Fixed 4.37500000 N N N N N N GE Capital International Funding Co. Unlimited Co. 549300G6UZOB126GBY72 36164Q6M5 365000.00000000 PA USD 378639.58000000 0.023626989132 Long DBT CORP IE N 2 2025-11-15 Fixed 3.37300000 N N N N N N Plains All American Pipeline LP N/A 72650RBF8 314000.00000000 PA USD 323147.76000000 0.020164317247 Long DBT CORP US N 2 2024-11-01 Fixed 3.60000000 N N N N N N Sequoia Mortgage Trust N/A 81743PBW5 22945.05000000 PA USD 22562.58000000 0.001407897802 Long ABS-MBS CORP US N 2 2033-07-20 Floating 2.11462900 N N N N N N Los Angeles County Public Works Financing Authority N/A 54473ENQ3 255000.00000000 PA USD 270435.15000000 0.016875067181 Long DBT MUN US N 2 2021-08-01 Fixed 5.84100000 N N N N N N BAT International Finance plc 21380041YBGOQDFAC823 05530QAL4 600000.00000000 PA USD 616867.80000000 0.038492354145 Long DBT CORP GB Y 2 2022-06-15 Fixed 3.50000000 N N N N N N AT&T, Inc. 549300Z40J86GGSTL398 00206RHM7 76000.00000000 PA USD 78368.84000000 0.004890190642 Long DBT CORP US N 2 2022-06-15 Fixed 3.39999800 N N N N N N Broadcom, Inc. 549300WV6GIDOZJTV909 11135FAE1 147000.00000000 PA USD 156483.37000000 0.009764512422 Long DBT CORP US Y 2 2026-04-15 Fixed 4.25000000 N N N N N N Dell International LLC N/A 25272KAK9 190000.00000000 PA USD 218503.23000000 0.013634531922 Long DBT CORP US Y 2 2026-06-15 Fixed 6.02000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416NTU6 101825.59890000 PA USD 110664.94000000 0.006905456990 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4.50000000 N N N N N N Sprint Spectrum Co. LLC N/A 85208NAA8 350000.00000000 PA USD 353115.00000000 0.022034263474 Long DBT CORP US Y 2 2021-09-20 Fixed 3.35999900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3135G0U43 18290000.00000000 PA USD 19056137.01000000 1.189096876890 Long DBT USGA US N 2 2023-09-12 Fixed 2.87500000 N N N N N N GS Mortgage Securities Trust N/A 36197QAC3 507108.00000000 PA USD 515898.87000000 0.032191925088 Long ABS-MBS CORP US Y 2 2031-04-10 Variable 3.55700200 N N N N N N Japan N/A N/A 84000000.00000000 PA 772555.24000000 0.048207200789 Long STIV NUSS JP N 2 2020-01-20 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31417VPC1 74186.23000000 PA USD 81788.45000000 0.005103573216 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.00000000 N N N N N N Regents of the University of California Medical Center Pooled Revenue N/A 913366EK2 955000.00000000 PA USD 1027169.35000000 0.064095040116 Long DBT MUN US N 2 2022-05-15 Fixed 5.23500000 N N N N N N SoFi Consumer Loan Program LLC 5493005OV0CN2WE8D396 83405PAA9 43837.41000000 PA USD 44008.51000000 0.002746117000 Long ABS-O CORP US Y 2 2026-02-25 Fixed 3.28000000 N N N N N N Ally Master Owner Trust N/A 02005AGZ5 700000.00000000 PA USD 700138.95000000 0.043688447369 Long ABS-O CORP US N 2 2022-07-15 Floating 2.05975100 N N N N N N American Home Mortgage Investment Trust N/A 02660TBP7 1427.74000000 PA USD 1425.72000000 0.000088964473 Long ABS-MBS CORP US N 2 2034-10-25 Floating 3.47987900 N N N N N N JMP Credit Advisors CLO IIIR Ltd. 254900CF9PN2ZUP3VA26 46649DAA9 1000000.00000000 PA USD 995540.00000000 0.062121378755 Long ABS-CBDO CORP KY Y 2 2028-01-17 Floating 2.85212900 N N N N N N FHLB 2549001DPIFGXC1TOL40 313376C94 21470000.00000000 PA USD 21876787.80000000 1.365104587342 Long DBT USGA US N 2 2021-12-10 Fixed 2.62500000 N N N N N N Ford Motor Credit Co. LLC UDSQCVRUX5BONN0VY111 345397YM9 800000.00000000 PA USD 798480.00000000 0.049824897551 Long DBT CORP US N 2 2020-06-12 Fixed 2.42500000 N N N N N N JP Morgan Mortgage Trust N/A 46630GAJ4 72634.36000000 PA USD 74824.63000000 0.004669033067 Long ABS-MBS CORP US N 2 2035-07-25 Variable 4.49182100 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 93363DAA5 168235.74000000 PA USD 157501.46000000 0.009828040913 Long ABS-MBS CORP US N 2 2046-08-25 Floating 3.23947400 N N N N N N Chase Issuance Trust 5493008SHVCX2Y068L12 161571HJ6 800000.00000000 PA USD 800093.60000000 0.049925585677 Long ABS-O CORP US N 2 2022-01-15 Floating 2.03974900 N N N N N N Marlette Funding Trust 54930083FUKNQ9ZNFO83 57109DAB7 34635.43000000 PA USD 34641.38000000 0.002161611072 Long ABS-O CORP US Y 2 2024-12-15 Fixed 3.01000000 N N N N N N Goldman Sachs Group, Inc. (The) 784F5XWPLTWKTBV3E584 38148YAC2 1100000.00000000 PA USD 1114695.23000000 0.069556627137 Long DBT CORP US N 2 2022-10-31 Variable 2.87600000 N N N N N N ViacomCBS, Inc. 5KYC8KF17ROCY24M3H09 124857AT0 206000.00000000 PA USD 210268.63000000 0.013120695506 Long DBT CORP US N 2 2028-02-15 Fixed 3.37500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132Y3ZC1 328880.75000000 PA USD 357141.93000000 0.022285542623 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N General Motors Financial Co., Inc. 5493008B6JBRUJ90QL97 37045XBU9 900000.00000000 PA USD 901093.23000000 0.056227930404 Long DBT CORP US N 2 2020-04-13 Floating 2.91613000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 01N032618 1000000.00000000 PA USD 1039765.60000000 0.064881042102 Long ABS-MBS USGA US N 2 2050-01-15 Fixed 3.50000000 N N N N N N Ford Credit Floorplan Master Owner Trust A 5493001DTG5N7T8BG747 34528QDW1 447000.00000000 PA USD 446978.10000000 0.027891291003 Long ABS-O CORP US N 2 2022-01-15 Fixed 1.98000000 N N N N N N Williams Cos., Inc. (The) D71FAKCBLFS2O0RBPG08 96950FAG9 172000.00000000 PA USD 174043.05000000 0.010860230858 Long DBT CORP US N 2 2020-11-15 Fixed 4.12500000 N N N N N N BX Trust N/A 12433WAA9 290363.92000000 PA USD 289727.96000000 0.018078932377 Long ABS-MBS CORP US Y 2 2037-09-15 Floating 2.82737900 N N N N N N GNMA 549300M8ZYFG0OCMTT87 21H030617 1300000.00000000 PA USD 1335750.00000000 0.083350374342 Long ABS-MBS USGA US N 2 2050-01-15 Fixed 3.00000000 N N N N N N Volkswagen Group of America Finance LLC 5493002SQ1AVQBY41K40 928668AQ5 700000.00000000 PA USD 706907.53000000 0.044110804604 Long DBT CORP US Y 2 2021-11-12 Floating 2.84063000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 251526CB3 1800000.00000000 PA USD 1838969.10000000 0.114751085824 Long DBT CORP DE N 2 2025-11-26 Variable 3.96100100 N N N N N N General Motors Financial Co., Inc. 5493008B6JBRUJ90QL97 37045XCU8 800000.00000000 PA USD 820840.88000000 0.051220209338 Long DBT CORP US N 2 2022-07-08 Fixed 3.55000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402C4G4 18672.83000000 PA USD 20840.75000000 0.001300456158 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138YPS29 13500.63000000 PA USD 13680.73000000 0.000853673192 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 2.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140HBFG8 1323581.64000000 PA USD 1388237.01000000 0.086625547040 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.50000000 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 48127FAA1 300000.00000000 PA USD 303000.00000000 0.018907103444 Long DBT CORP US N 2 2020-04-01 Floating 5.41863000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 30711XBU7 225868.06000000 PA USD 246799.39000000 0.015400203289 Long ABS-MBS CORP US N 2 2028-08-25 Floating 8.74199900 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 06738CAG4 51000.00000000 PA USD 61832.91000000 0.003858353879 Long DBT CORP GB Y 2 2032-06-15 Variable 6.86000200 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 05579TED4 200000.00000000 PA USD 200330.84000000 0.012500580577 Long DBT CORP FR N 2 2020-05-21 Fixed 2.37500000 N N N N N N GS Mortgage Securities Trust 549300L45M7638EL0H21 36250GAQ8 1000000.00000000 PA USD 1024876.30000000 0.063951954527 Long ABS-MBS CORP US N 2 2050-05-10 Fixed 3.12000000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 83368JKF6 236000.00000000 PA USD 248012.31000000 0.015475889111 Long DBT CORP FR Y 2 2026-08-19 Fixed 4.25000000 N N N N N MUFG Bank Ltd. C3GTMMZIHMY46P4OIX74 064255BP6 200000.00000000 PA USD 200061.62000000 0.012483781335 Long DBT CORP JP Y 2 2020-03-05 Fixed 2.30000000 N N N N N N Plains All American Pipeline LP N/A 72650RBB7 397000.00000000 PA USD 401729.46000000 0.025067790286 Long DBT CORP US N 2 2023-01-31 Fixed 2.85000000 N N N N N N Goldman Sachs Group, Inc. (The) 784F5XWPLTWKTBV3E584 38148LAE6 234000.00000000 PA USD 248012.41000000 0.015475895351 Long DBT CORP US N 2 2025-05-22 Fixed 3.75000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RJ9 483700.00000000 PA USD 540416.24000000 0.033721801164 Long DBT UST US N 2 2044-11-15 Fixed 3.00000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RCD4 207000.00000000 PA USD 209137.01000000 0.013050082779 Long ABS-O CORP US Y 2 2022-06-20 Fixed 2.99000000 N N N N N N Goldman Sachs Group, Inc. (The) 784F5XWPLTWKTBV3E584 38141EC23 315000.00000000 PA USD 334311.93000000 0.020860957898 Long DBT CORP US N 2 2024-07-08 Fixed 3.85000000 N N N N N NCUA Guaranteed Notes N/A 62889KAE1 20000.00000000 PA USD 20415.02000000 0.001273890742 Long DBT USGA US N 2 2021-06-12 Fixed 3.45000000 N N N N N N Shire Acquisitions Investments Ireland DAC 549300XK5HGW68R8K327 82481LAD1 409000.00000000 PA USD 421497.04000000 0.026301280979 Long DBT CORP IE N 2 2026-09-23 Fixed 3.20000000 N N N N N N Cigna Corp. 549300VIWYMSIGT1U456 125523AH3 165000.00000000 PA USD 183969.19000000 0.011479618831 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N Japan International Cooperation Agency 254900XEIG78M2AJB031 47109LAB0 900000.00000000 PA USD 925337.97000000 0.057740794454 Long DBT NUSS JP N 2 2027-04-27 Fixed 2.75000000 N N N N N N Imperial Brands Finance plc 2138008L3B3MCG1DFS50 45262BAA1 800000.00000000 PA USD 806267.60000000 0.050310841310 Long DBT CORP GB Y 2 2024-07-26 Fixed 3.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SK5 75000.00000000 PA USD 74777.35000000 0.004666082811 Long DBT UST US N 2 2049-11-15 Fixed 2.37500000 N N N N N N Flagship Credit Auto Trust N/A 33844KAA4 9502.99000000 PA USD 9499.25000000 0.000592750172 Long ABS-O CORP US Y 2 2021-10-15 Fixed 1.88000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416PM61 72164.22920000 PA USD 78428.70000000 0.004893925887 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.50000000 N N N N N N Duke Energy Corp. I1BZKREC126H0VB1BL91 26441CBA2 800000.00000000 PA USD 802157.36000000 0.050054363644 Long DBT CORP US Y 2 2021-05-14 Floating 2.40925000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174467X1 300000.00000000 PA USD 337694.19000000 0.021072009844 Long DBT CORP US N 2 2025-11-24 Fixed 5.00000000 N N N N N N Marathon Petroleum Corp. 3BNYRYQHD39K4LCKQF12 56585ABC5 150000.00000000 PA USD 170280.98000000 0.010625478889 Long DBT CORP US N 2 2026-12-15 Fixed 5.12500000 N N N N N N GS Mortgage Securities Corp. Trust N/A 36256QAA5 303566.00000000 PA USD 303470.65000000 0.018936471854 Long ABS-MBS CORP US Y 2 2038-06-15 Floating 2.93974900 N N N N N N AT&T, Inc. 549300Z40J86GGSTL398 00206RHJ4 1115000.00000000 PA USD 1247580.52000000 0.077848626887 Long DBT CORP US N 2 2029-03-01 Fixed 4.35000000 N N N N N N AbbVie, Inc. FR5LCKFTG8054YNNRU85 00287YBU2 1050000.00000000 PA USD 1068141.17000000 0.066651668628 Long DBT CORP US Y 2 2026-11-21 Fixed 2.95000000 N N N N N N Lam Research Corp. 549300I4GMO6D34U1T02 512807AR9 133000.00000000 PA USD 134220.28000000 0.008375302700 Long DBT CORP US N 2 2021-06-15 Fixed 2.80000000 N N N N N N Adani Ports & Special Economic Zone Ltd. 335800QOAXP5TM7OYP69 00652MAC6 245000.00000000 PA USD 250512.50000000 0.015631900170 Long DBT CORP IN Y 2 2022-01-19 Fixed 3.95000000 N N N N N N Cabela's Credit Card Master Note Trust 549300XS4BMJOXLZFV07 126802CL9 615000.00000000 PA USD 624268.42000000 0.038954150475 Long ABS-O CORP US Y 2 2026-02-17 Fixed 2.71000000 N N N N N N CVS Health Corp. 549300EJG376EN5NQE29 126650CW8 205000.00000000 PA USD 220596.58000000 0.013765156295 Long DBT CORP US N 2 2025-03-25 Fixed 4.10000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140QB4Q8 835220.24000000 PA USD 868450.56000000 0.054191038198 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.50000000 N N N N N N National Australia Bank Ltd. F8SB4JFBSYQFRQEH3Z21 63254ABA5 800000.00000000 PA USD 839696.80000000 0.052396812737 Long DBT CORP AU N 2 2023-06-20 Fixed 3.62500000 N N N N N United States of America 254900HROIFWPRGM1V77 912810RC4 3827300.00000000 PA USD 4703614.68000000 0.293504057152 Long DBT UST US N 2 2043-08-15 Fixed 3.62500000 N N N N N N Newfield Exploration Co. T8W3X1PFLPW2YE0UIP44 651290AQ1 155000.00000000 PA USD 170352.29000000 0.010629928610 Long DBT CORP US N 2 2024-07-01 Fixed 5.62500000 N N N N N N WFRBS Commercial Mortgage Trust 549300GADFYEKC4OLM57 92890PAJ3 265000.00000000 PA USD 270434.36000000 0.016875017885 Long ABS-MBS CORP US N 2 2046-06-15 Variable 3.97679400 N N N N N N TICP CLO III-2 Ltd. N/A 87249FAC8 600000.00000000 PA USD 598268.40000000 0.037331757512 Long ABS-CBDO CORP KY Y 2 2028-04-20 Floating 2.80588000 N N N N N N CLNY Trust N/A 12564NAL6 250000.00000000 PA USD 247669.80000000 0.015454516596 Long ABS-MBS CORP US Y 2 2038-11-15 Floating 3.76475000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3574.07000000 -0.00022302082 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 301000.00000000 EUR 334205.12000000 USD 2020-01-10 -3574.07 N N N Tennessee Valley Authority 549300HE1ISW43LNKM54 880591EL2 818000.00000000 PA USD 837192.33000000 0.052240534607 Long DBT USGA US N 2 2021-02-15 Fixed 3.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828Y38 9050000.00000000 PA USD 9762545.70000000 0.609179740693 Long DBT UST US N 2 2028-07-15 Fixed 0.75000000 N N N N N N United States Small Business Administration N/A 83162CPH0 19761.64300000 PA USD 20484.28000000 0.001278212544 Long ABS-O CORP US N 2 2025-02-01 Fixed 4.62500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RX8 7588000.00000000 PA USD 8545901.53000000 0.533261532188 Long DBT UST US N 2 2047-05-15 Fixed 3.00000000 N N N N N N Nomura Resecuritization Trust N/A 65540RAE0 349217.02000000 PA USD 347801.36000000 0.021702694031 Long ABS-MBS CORP US Y 2 2035-12-26 Floating 1.90800000 N N N N N N GLP Capital LP N/A 361841AJ8 600000.00000000 PA USD 657114.00000000 0.041003704200 Long DBT CORP US N 2 2025-06-01 Fixed 5.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828WJ5 22875000.00000000 PA USD 23670736.61000000 1.477046421417 Long DBT UST US N 2 2024-05-15 Fixed 2.50000000 N N N N N N Flagship Credit Auto Trust N/A 33844FAE7 170000.00000000 PA USD 173275.39000000 0.010812329119 Long ABS-O CORP US Y 2 2022-11-15 Fixed 3.89000000 N N N N N N BAT Capital Corp. 2138005GYEXN7XRHFA84 05526DBJ3 348000.00000000 PA USD 350404.44000000 0.021865125394 Long DBT CORP US N 2 2026-09-06 Fixed 3.21500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RH3 4359100.00000000 PA USD 4970343.46000000 0.310147848027 Long DBT UST US N 2 2044-08-15 Fixed 3.12500000 N N N N N N CVS Pass-Through Trust N/A 126650AQ3 211977.58570000 PA USD 226130.38000000 0.014110463652 Long ABS-O CORP US Y 2 2026-01-10 Fixed 5.78900000 N N N N N N Alternative Loan Trust N/A 12668ASY2 550419.18000000 PA USD 363070.09000000 0.022655457918 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.33200100 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2959.56000000 0.000184675600 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 559257.63000000 USD 501000.00000000 EUR 2020-01-10 2959.56 N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JBD9 290000.00000000 PA USD 296269.80000000 0.018487141109 Long DBT CORP US N 2 2042-09-15 Fixed 4.50000000 N N N N N N Textron, Inc. 3PPKBHUG1HD6BO7RNR87 883203BV2 100000.00000000 PA USD 106018.81000000 0.006615539959 Long DBT CORP US N 2 2025-03-01 Fixed 3.87500000 N N N N N N Odebrecht Drilling Norbe VIII/IX Ltd. 549300YNW6BY570L6488 N/A 63336.46000000 PA USD 62960.40000000 0.003928708896 Long DBT CORP KY Y 2 2021-12-01 Fixed 6.35000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 06740L8C2 900000.00000000 PA USD 1011375.00000000 0.063109477709 Long DBT CORP GB N 2 2022-11-21 Fixed 7.62500000 N N N N N N Cox Communications, Inc. 5493001NEDZNIFRP2R92 224044CA3 125000.00000000 PA USD 127121.15000000 0.007932319250 Long DBT CORP US Y 2 2023-06-30 Fixed 2.95000000 N N N N N N Noble Energy, Inc. 02VFQXG2D1LR5ZH3K186 655044AH8 234000.00000000 PA USD 247875.50000000 0.015467352210 Long DBT CORP US N 2 2024-11-15 Fixed 3.90000000 N N N N N N Kingdom of Spain 9598007A56S18711AH60 N/A 2100000.00000000 PA 2387888.41000000 0.149003475846 Long DBT NUSS ES Y 2 2029-10-31 Fixed 0.60000000 N N N N N N CHL Mortgage Pass-Through Trust N/A 12669GUM1 94894.55000000 PA USD 86833.67000000 0.005418393337 Long ABS-MBS CORP US N 2 2035-04-25 Variable 2.91195400 N N N N N N Volkswagen Group of America Finance LLC 5493002SQ1AVQBY41K40 928668AV4 700000.00000000 PA USD 702319.03000000 0.043824483667 Long DBT CORP US Y 2 2020-11-13 Floating 2.67463100 N N N N N N United States Small Business Administration N/A 83162CNM1 14251.42350000 PA USD 14788.47000000 0.000922795815 Long ABS-O CORP US N 2 2024-01-01 Fixed 4.93000000 N N N N N N SoFi Consumer Loan Program LLC N/A 83404JAA4 54218.11000000 PA USD 54358.44000000 0.003391949333 Long ABS-O CORP US Y 2 2026-05-25 Fixed 2.77000000 N N N N N N N/A N/A N/A -29.00000000 NC 65828.11000000 0.004107653086 N/A DIR DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Short French Republic Euro-OAT 2020-03-06 -4720330 EUR 65828.11 N N N Morgan Stanley Capital I Trust N/A 61763QAG6 800000.00000000 PA USD 814070.56000000 0.050797743527 Long ABS-MBS CORP US Y 2 2029-07-13 Variable 3.44549900 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 46647PAS5 1000000.00000000 PA USD 1021558.90000000 0.063744949824 Long DBT CORP US N 2 2022-06-18 Variable 3.51400000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828B66 27247000.00000000 PA USD 28421754.41000000 1.773508418152 Long DBT UST US N 2 2024-02-15 Fixed 2.75000000 N N N N N N LSTAR Commercial Mortgage Trust N/A 50219QAC8 271069.00000000 PA USD 272828.21000000 0.017024393363 Long ABS-MBS CORP US Y 2 2049-03-10 Fixed 2.57900000 N N N N N N ONEOK, Inc. 2T3D6M0JSY48PSZI1Q41 682680AS2 245000.00000000 PA USD 260436.74000000 0.016251169583 Long DBT CORP US N 2 2027-07-13 Fixed 4.00000000 N N N N N N Dell International LLC N/A 25272KAD5 1000000.00000000 PA USD 1028203.00000000 0.064159539547 Long DBT CORP US Y 2 2021-06-15 Fixed 4.42000000 N N N N N N CRH America Finance, Inc. 549300WEVUODRJ4CWK56 12636YAD4 1000000.00000000 PA USD 1088403.00000000 0.067916000363 Long DBT CORP US Y 2 2048-04-04 Fixed 4.50000000 N N N N N N UDR, Inc. P3CH2EG5X6Z1XWU1OO74 90265EAQ3 800000.00000000 PA USD 813836.88000000 0.050783161970 Long DBT CORP US N 2 2030-01-15 Fixed 3.20000000 N N N N N N CVS Health Corp. 549300EJG376EN5NQE29 126650CV0 900000.00000000 PA USD 936531.63000000 0.058439275271 Long DBT CORP US N 2 2023-03-09 Fixed 3.70000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810QW1 1010500.00000000 PA USD 1125958.72000000 0.070259465323 Long DBT UST US N 2 2042-05-15 Fixed 3.00000000 N N N N N N Constellation Brands, Inc. 5493005GKEG8QCVY7037 21036PAV0 1000000.00000000 PA USD 1001616.40000000 0.062500544179 Long DBT CORP US N 2 2020-11-06 Fixed 2.25000000 N N N N N N Lloyds Banking Group plc 549300PPXHEU2JF0AM85 539439AK5 400000.00000000 PA USD 406221.76000000 0.025348108375 Long DBT CORP GB N 2 2021-07-06 Fixed 3.10000000 N N N N N N FHLB 2549001DPIFGXC1TOL40 3133732Y7 9050000.00000000 PA USD 9261684.93000000 0.577926188252 Long DBT USGA US N 2 2021-03-12 Fixed 3.62500000 N N N N N N Alternative Loan Trust N/A 02150BAA7 482552.96080000 PA USD 347859.88000000 0.021706345661 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416L3D6 207583.98150000 PA USD 225604.06000000 0.014077621451 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N N/A N/A N/A -12.00000000 NC 999.70000000 0.000062380961 N/A DIR SG N 1 Singapore Exchange Derivatives Clearing 549300ZLWT3FK3F0FW61 Short Japan Japan 10 Year Bond Mini 2020-03-12 -182316000 JPY 999.7 N N N FNMA B1V7KEBTPIMZEU4LTD58 3140Q9T37 567023.70000000 PA USD 606677.71000000 0.037856495776 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.50000000 N N N N N N N/A N/A N/A -11.00000000 NC 1473.54000000 0.000091948426 N/A DIR JP N 1 Japan Securities Clearing 549300JHM7D8P3TS4S86 Short Japan Japan 10 Year Bond 2020-03-13 -1673980000 JPY 1473.54 N N N BFLD N/A 054970AL2 123000.00000000 PA USD 122809.18000000 0.007663253696 Long ABS-MBS CORP US Y 2 2034-10-15 Floating 3.57975000 N N N N N N Springleaf Finance Corp. 5493008I795YYBFWFU90 85172FAK5 700000.00000000 PA USD 753375.00000000 0.047010359925 Long DBT CORP US N 2 2022-05-15 Fixed 6.12500000 N N N N N N Expedia Group, Inc. CI7MUJI4USF3V0NJ1H64 30212PAP0 281000.00000000 PA USD 286620.00000000 0.017884996664 Long DBT CORP US N 2 2028-02-15 Fixed 3.80000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828U24 10469300.00000000 PA USD 10588185.18000000 0.660699381142 Long DBT UST US N 2 2026-11-15 Fixed 2.00000000 N N N N N N CSAIL Commercial Mortgage Trust 54930025J96YEH8FQE77 12635RAX6 400000.00000000 PA USD 427200.36000000 0.026657166329 Long ABS-MBS CORP US N 2 2048-11-15 Fixed 3.80790000 N N N N N N N/A N/A N/A 108.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Call Purchased United States of America U.S. Treasury 30 Year Bond 100000.00000000 195 USD 2020-02-21 XXXX -928.8 N N N Argentine Republic 549300KPBYGYF7HCHO27 N/A 150000.00000000 PA 1247.14000000 0.000077821138 Long DBT NUSS AR N 3 2022-04-03 Floating 52.56354100 N N N N N N United States of America 254900HROIFWPRGM1V77 912810QH4 1000000.00000000 PA USD 1344608.80000000 0.083903160639 Long DBT UST US N 2 2040-05-15 Fixed 4.37500000 N N N N N N SoFi Consumer Loan Program LLC N/A 83405QAB5 117393.06000000 PA USD 117728.63000000 0.007346228995 Long ABS-O CORP US Y 2 2026-11-25 Fixed 2.82000000 N N N N N N ViacomCBS, Inc. 5KYC8KF17ROCY24M3H09 124857AX1 22000.00000000 PA USD 22965.89000000 0.001433064217 Long DBT CORP US N 2 2028-06-01 Fixed 3.70000000 N N N N N N Odebrecht Drilling Norbe VIII/IX Ltd. 549300YNW6BY570L6488 N/A 223077.00000000 PA USD 120178.41000000 0.007499094487 Long DBT CORP KY Y 2 2026-12-01 Fixed 7.35000000 N N Y N N N Harley-Davidson Financial Services, Inc. RLUFFFFW4GRYU77BTS24 41284VAB8 800000.00000000 PA USD 813267.44000000 0.050747629095 Long DBT CORP US Y 2 2021-05-21 Fixed 3.55000000 N N N N N N Alternative Loan Trust N/A 12668BE33 48754.96140000 PA USD 46481.39000000 0.002900423923 Long ABS-MBS CORP US N 2 2046-07-25 Floating 2.00200000 N N N N N N Syngenta Finance NV 54930042S3BYCEGOCN86 87164KAH7 700000.00000000 PA USD 731133.20000000 0.045622478693 Long DBT CORP NL Y 2 2023-04-24 Fixed 4.44100000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 90352JAF0 200000.00000000 PA USD 218910.00000000 0.013659914240 Long DBT CORP CH Y 2 2024-01-31 Variable 6.99999800 N N N N N N American Express Co. R4PP93JZOLY261QX3811 025816BS7 1000000.00000000 PA USD 1038563.00000000 0.064806000245 Long DBT CORP US N 2 2023-02-27 Fixed 3.40000000 N N N N N N Oaktown Re III Ltd. 2549008N2FD0KB1Y5E03 67400KAB6 160794.00000000 PA USD 160505.13000000 0.010015468964 Long ABS-MBS CORP BM Y 2 2029-07-25 Floating 3.74199800 N N N N N N Goldman Sachs Group, Inc. (The) 784F5XWPLTWKTBV3E584 38141EA66 243000.00000000 PA USD 247463.72000000 0.015441657269 Long DBT CORP US N 2 2020-06-15 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132Y16H6 548023.21000000 PA USD 580821.80000000 0.036243095232 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N Merrill Lynch Mortgage Investors Trust MLMI N/A 589929F37 19019.61000000 PA USD 18672.20000000 0.001165139329 Long ABS-MBS CORP US N 2 2032-12-25 Floating 3.40688200 N N N N N N PMT Credit Risk Transfer Trust N/A 73021CAA3 109061.27000000 PA USD 108961.89000000 0.006799187213 Long ABS-MBS CORP US Y 2 2024-03-27 Floating 3.69950000 N N N N N N Cooperatieve Rabobank UA DG3RU1DBUFHT4ZF9WN62 21684AAC0 445000.00000000 PA USD 481664.62000000 0.030055718798 Long DBT CORP NL N 2 2025-08-04 Fixed 4.37500000 N N N N N N LYB International Finance BV 549300J6QSW38QNOJK61 50247VAA7 345000.00000000 PA USD 363710.49000000 0.022695418674 Long DBT CORP NL N 2 2023-07-15 Fixed 4.00000000 N N N N N N Credit Agricole SA 969500TJ5KRTCJQWXH05 225313AG0 250000.00000000 PA USD 250934.53000000 0.015658234707 Long DBT CORP FR Y 2 2020-06-10 Fixed 2.75000000 N N N N N N FHLMC Structured Agency Credit Risk Debt Notes N/A 3137G0FT1 52710.68000000 PA USD 52861.69000000 0.003298552610 Long ABS-MBS CORP US N 2 2027-12-25 Floating 4.39200000 N N N N N N Marlette Funding Trust 549300W2612MGSLICQ35 57109MAA9 255303.03000000 PA USD 255977.00000000 0.015972883228 Long ABS-O CORP US Y 2 2029-09-17 Fixed 2.69000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UZZ6 1624037.17000000 PA USD 1644350.46000000 0.102606944706 Long ABS-MBS USGA US N 2 2067-04-20 Floating 3.62900200 N N N N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HBJ5 800000.00000000 PA USD 803534.56000000 0.050140300485 Long DBT CORP IT Y 2 2024-09-23 Fixed 3.25000000 N N N N N N Marlette Funding Trust 549300JRCMNFIBT50883 57109GAA2 105488.52000000 PA USD 106329.73000000 0.006634941268 Long ABS-O CORP US Y 2 2028-12-15 Fixed 3.71000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132Y3BL7 496920.18000000 PA USD 532010.89000000 0.033197310002 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 30711XAB0 161631.15000000 PA USD 178399.91000000 0.011132097534 Long ABS-MBS CORP US N 2 2023-10-25 Floating 7.04200000 N N N N N N Bank of Nova Scotia (The) L3I9ZG2KFGXZ61BMYR72 064159KT2 87000.00000000 PA USD 87472.08000000 0.005458229917 Long DBT CORP CA N 2 2021-01-08 Fixed 2.50000000 N N N N N N FHLMC Pool N/A 3133KGXA1 568662.25000000 PA USD 593952.82000000 0.037062466695 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.50000000 N N N N N N Rumo Luxembourg SARL 222100HOIQFT7YOSPB46 781467AB1 255000.00000000 PA USD 272610.94000000 0.017010835784 Long DBT CORP LU Y 2 2025-01-18 Fixed 5.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SH2 5565000.00000000 PA USD 6150681.75000000 0.383800581190 Long DBT UST US N 2 2049-05-15 Fixed 2.87500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36180NWH4 271228.18530000 PA USD 279899.68000000 0.017465650837 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.00000000 N N N N N N ONEOK, Inc. 2T3D6M0JSY48PSZI1Q41 682680AW3 208000.00000000 PA USD 225959.34000000 0.014099790810 Long DBT CORP US N 2 2029-03-15 Fixed 4.35000000 N N N N N N Seagate HDD Cayman 529900BD50TRWEG1SF63 81180WAL5 84000.00000000 PA USD 89962.83000000 0.005613651923 Long DBT CORP KY N 2 2025-01-01 Fixed 4.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3135G0U84 5167000.00000000 PA USD 5217603.53000000 0.325576797601 Long DBT USGA US N 2 2020-10-30 Fixed 2.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RB6 1900000.00000000 PA USD 2074408.22000000 0.129442411885 Long DBT UST US N 2 2043-05-15 Fixed 2.87500000 N N N N N N Credit Suisse Group Funding Guernsey Ltd. 549300PXR5FKNXF0OH19 225433AH4 800000.00000000 PA USD 831204.80000000 0.051866914643 Long DBT CORP GG N 2 2022-09-15 Fixed 3.80000000 N N N N N N Barclays plc 213800LBQA1Y9L22JB70 06738EBF1 700000.00000000 PA USD 707452.27000000 0.044144796207 Long DBT CORP GB N 2 2023-02-15 Floating 3.33987800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M43N1 39023.98000000 PA USD 43552.92000000 0.002717688329 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JXTG3 603134.24000000 PA USD 629957.91000000 0.039309172838 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.50000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDC5 365000.00000000 PA USD 385565.96000000 0.024059193037 Long ABS-O CORP US Y 2 2025-03-20 Fixed 4.00000000 N N N N N N AerCap Ireland Capital DAC N/A 00774MAD7 800000.00000000 PA USD 815393.84000000 0.050880315778 Long DBT CORP IE N 2 2023-01-23 Fixed 3.30000000 N N N N N N Starbucks Corp. OQSJ1DU9TAOC51A47K68 855244AS8 115000.00000000 PA USD 132439.52000000 0.008264183844 Long DBT CORP US N 2 2048-11-15 Fixed 4.50000000 N N N N N N Barclays plc 213800LBQA1Y9L22JB70 06738EAS4 925000.00000000 PA USD 947433.38000000 0.059119540997 Long DBT CORP GB N 2 2023-01-10 Fixed 3.68400000 N N N N N N Alternative Loan Trust N/A 12668BGC1 654930.55000000 PA USD 623774.26000000 0.038923315048 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6.00000000 N N N N N N Becton Dickinson and Co. ICE2EP6D98PQUILVRZ91 075887BF5 90000.00000000 PA USD 95201.10000000 0.005940518302 Long DBT CORP US N 2 2024-12-15 Fixed 3.73400000 N N N N N N FFCB N/A 3133EJZU6 3500000.00000000 PA USD 3571470.00000000 0.222858589895 Long DBT USGA US N 2 2021-09-20 Fixed 2.85000000 N N N N N N Standard Chartered plc U4LOSYZ7YG4W3S5F2G91 N/A 200000.00000000 PA USD 215000.00000000 0.013415931486 Long DBT CORP GB Y 2 2022-04-02 Variable 7.49999900 N N N N N N Dorchester Park CLO DAC 549300UGHN2HEE8W3M89 25820NAA2 800000.00000000 PA USD 799992.00000000 0.049919245870 Long ABS-CBDO CORP IE Y 2 2028-04-20 Floating 2.86588100 N N N N N N FNMA or FHLMC N/A 01F040628 19700000.00000000 PA USD 20501851.07000000 1.279308973535 Long ABS-MBS USGSE US N 2 2050-02-25 Fixed 4.00000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 038461AK5 210000.00000000 PA USD 218137.50000000 0.013611710487 Long DBT NUSS EG Y 2 2022-01-31 Fixed 6.12500000 N N N N N N N/A N/A N/A -69.00000000 NC 58702.67000000 0.003663027901 N/A DIR GB N 1 ICE Clear Europe 5R6J7JCQRIPQR1EEP713 Short N/A 3 Month Euro Euribor 2020-12-14 -17312962.5 EUR 58702.67 N N N United States of America 254900HROIFWPRGM1V77 912828TE0 4163300.00000000 PA USD 4678443.75000000 0.291933399141 Long DBT UST US N 2 2022-07-15 Fixed 0.12500000 N N N N N N Argentine Republic 549300KPBYGYF7HCHO27 N/A 700000.00000000 PA 6999.20000000 0.000436747849 Long STIV NUSS AR N 3 2020-02-26 None 0.00000000 N N N N N N Eni SpA BUCRF72VH5RBN7X3VL35 26874RAJ7 325000.00000000 PA USD 355118.73000000 0.022159295587 Long DBT CORP IT Y 2 2029-05-09 Fixed 4.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128286T2 29523000.00000000 PA USD 30707967.60000000 1.916167392670 Long DBT UST US N 2 2029-05-15 Fixed 2.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -10349.88000000 -0.00064582921 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 3265350.17000000 ZAR 222158.66000000 USD 2020-01-23 -10349.88 N N N FHLB 2549001DPIFGXC1TOL40 3130A8QS5 36525000.00000000 PA USD 36225933.30000000 2.260486693965 Long DBT USGA US N 2 2021-07-14 Fixed 1.12500000 N N N N N N Zoetis, Inc. 549300HD9Q1LOC9KLJ48 98978VAJ2 152000.00000000 PA USD 153715.82000000 0.009591818184 Long DBT CORP US N 2 2020-11-13 Fixed 3.45000000 N N N N N N Enel Chile SA 549300YM5CWCAUVOPB53 29278DAA3 226000.00000000 PA USD 251001.25000000 0.015662398014 Long DBT CORP CL N 2 2028-06-12 Fixed 4.87500000 N N N N N N Towd Point Mortgage Funding N/A N/A 1400000.00000000 PA 1849008.32000000 0.115377529952 Long ABS-MBS CORP GB Y 2 2045-07-20 Floating 1.61000000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JAW8 867000.00000000 PA USD 865517.43000000 0.054008011821 Long DBT CORP US N 2 2020-02-01 Fixed 5.00000000 N N N N N N Jackson National Life Global Funding 635400PQXLYXWJI5QD78 46849LTM3 900000.00000000 PA USD 899399.70000000 0.056122254672 Long DBT CORP US Y 2 2022-09-15 Fixed 2.37500000 N N N N N N Tyson Foods, Inc. WD6L6041MNRW1JE49D58 902494BJ1 38000.00000000 PA USD 41139.08000000 0.002567065482 Long DBT CORP US N 2 2026-03-01 Fixed 4.00000000 N N N N N N N/A N/A N/A 6.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Put Purchased United States of America U.S. Treasury 10 Year Note 100000.00000000 118.5 USD 2020-02-21 XXXX -51.6 N N N BBVA USA C90VT034M03BN29IRA40 20449EBT2 543000.00000000 PA USD 547267.65000000 0.034149326964 Long DBT CORP US N 2 2020-04-01 Fixed 5.50000000 N N N N N N Alternative Loan Trust N/A 23245PAA9 137756.45290000 PA USD 133645.91000000 0.008339462195 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.95199900 N N N N N N MortgageIT Mortgage Loan Trust N/A 61915RBY1 411083.27000000 PA USD 396239.92000000 0.024725244740 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.02200100 N N N N N N FFCB N/A 3133EKBV7 4370000.00000000 PA USD 4447183.81000000 0.277502852580 Long DBT USGA US N 2 2022-03-01 Fixed 2.55000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SF6 656500.00000000 PA USD 742466.05000000 0.046329644921 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 19531.46000000 0.001218756879 N/A DFE N/A N 2 Citibank MBNUM2BPBDO7JBLYG310 545000000.00000000 JPY 5043083.67000000 USD 2020-01-30 19531.46 N N N Broadcom, Inc. 549300WV6GIDOZJTV909 11135FAD3 930000.00000000 PA USD 964519.55000000 0.060185712560 Long DBT CORP US Y 2 2024-10-15 Fixed 3.62500000 N N N N N N TransCanada PipeLines Ltd. 5BV01I6231JPDAPMGH09 893526BY8 145000.00000000 PA USD 155906.67000000 0.009728526525 Long DBT CORP CA N 2 2021-01-01 Fixed 9.87500000 N N N N N N Eurosail-UK plc 213800KHTEEB5PS3G589 N/A 838607.00000000 PA 1103714.02000000 0.068871403132 Long ABS-MBS CORP GB Y 2 2045-06-13 Floating 1.72862900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31412EJ72 55576.47000000 PA USD 57669.31000000 0.003598546566 Long ABS-MBS USGSE US N 2 2037-02-01 Variable 4.46600200 N N N N N N United States of America 254900HROIFWPRGM1V77 912828D56 10998000.00000000 PA USD 11334733.46000000 0.707283755915 Long DBT UST US N 2 2024-08-15 Fixed 2.37500000 N N N N N N Bank of America Corp. 9DJT3UXIJIZJI4WXO774 06051GFB0 1700000.00000000 PA USD 1827340.37000000 0.114025456777 Long DBT CORP US N 2 2024-01-22 Fixed 4.12500000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128282N9 10000000.00000000 PA USD 10194876.00000000 0.636157013644 Long DBT UST US N 2 2024-07-31 Fixed 2.12500000 N N N N N N Daimler Finance North America LLC 549300423Z16BB673J12 233851DU5 1000000.00000000 PA USD 1006347.00000000 0.062795732111 Long DBT CORP US Y 2 2022-08-15 Fixed 2.55000000 N N N N N N RALI Trust N/A 74922MAA9 731602.17000000 PA USD 682599.75000000 0.042594006879 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.98200200 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SB5 1400000.00000000 PA USD 1620518.46000000 0.101119835500 Long DBT UST US N 2 2048-02-15 Fixed 1.00000000 N N N N N N GS Mortgage Securities Corp. Trust N/A 36259NAA9 300000.00000000 PA USD 300732.66000000 0.018765622150 Long ABS-MBS CORP US Y 2 2032-08-15 Floating 2.88974900 N N N N N N N/A N/A N/A 157.00000000 NC USD -176314.05000000 -0.01100194053 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury 10 Year Note 2020-03-20 20162234.38 USD -176314.05 N N N Penske Truck Leasing Co. LP N/A 709599AU8 500000.00000000 PA USD 501961.35000000 0.031322228282 Long DBT CORP US Y 2 2020-07-15 Fixed 3.20000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 902674XK1 900000.00000000 PA USD 902990.88000000 0.056346343159 Long DBT CORP CH Y 2 2020-12-01 Fixed 2.45000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AD0 900000.00000000 PA USD 914481.09000000 0.057063328602 Long DBT CORP CH Y 2 2023-12-14 Variable 2.99700000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174467Y9 891000.00000000 PA USD 973079.63000000 0.060719858825 Long DBT CORP US N 2 2026-09-08 Fixed 4.35000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371K3A7 50063.63000000 PA USD 55762.04000000 0.003479533526 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.50000000 N N N N N N AT&T, Inc. 549300Z40J86GGSTL398 00206RCS9 150000.00000000 PA USD 156781.95000000 0.009783143719 Long DBT CORP US N 2 2023-02-17 Fixed 3.60000000 N N N N N N Consumer Loan Underlying Bond Credit Trust N/A 21051TAA8 50509.44000000 PA USD 50687.45000000 0.003162880727 Long ABS-O CORP US Y 2 2025-07-15 Fixed 3.39000000 N N N N N N Goldman Sachs Group, Inc. (The) 784F5XWPLTWKTBV3E584 38141GWT7 800000.00000000 PA USD 822973.92000000 0.051353310354 Long DBT CORP US N 2 2023-02-23 Fixed 3.20000000 N N N N N N Commercial Mortgage Trust N/A 12594MBA5 1500000.00000000 PA USD 1534024.80000000 0.095722658679 Long ABS-MBS CORP US N 2 2049-10-10 Fixed 2.97200000 N N N N N N Nationwide Mutual Insurance Co. Z7LVXXWM8HZPKF5T2355 638671AK3 100000.00000000 PA USD 170112.05000000 0.010614937711 Long DBT CORP US Y 2 2039-08-15 Fixed 9.37500000 N N N N N N Keurig Dr Pepper, Inc. DYTQ8KRTKO7Y2BVU5K74 49271VAE0 800000.00000000 PA USD 817221.44000000 0.050994357435 Long DBT CORP US N 2 2021-05-25 Fixed 3.55100000 N N N N N N SoFi Consumer Loan Program Trust N/A 83405XAB0 199000.00000000 PA USD 201003.43000000 0.012542549979 Long ABS-O CORP US Y 2 2027-08-25 Fixed 3.67000000 N N N N N N Crown Castle International Corp. 54930012H97VSM0I2R19 228227BE3 656000.00000000 PA USD 696097.02000000 0.043436232225 Long DBT CORP US N 2 2022-04-15 Fixed 4.87500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3135G0T60 23405000.00000000 PA USD 23386549.84000000 1.459313257529 Long DBT USGA US N 2 2020-07-30 Fixed 1.50000000 N N N N N N Mountain Hawk III CLO Ltd. 549300LQ6MVS0NGUT623 62405CAN4 248775.90000000 PA USD 248835.36000000 0.015527247168 Long ABS-CBDO CORP KY Y 2 2025-04-18 Floating 3.20325100 N N N N N N AGFC Capital Trust I N/A 00846NAA5 1070000.00000000 PA USD 553331.67000000 0.034527719880 Long DBT CORP US Y 2 2067-01-15 Floating 3.75088000 N N N N N N Chugoku Electric Power Co., Inc. (The) 353800MV866ELME96Q46 N/A 800000.00000000 PA USD 800328.00000000 0.049940212163 Long DBT CORP JP Y 2 2020-03-16 Fixed 2.70100000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128MJ4W7 551497.60000000 PA USD 575714.63000000 0.035924409451 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N CCO Holdings LLC N/A 1248EPBR3 173000.00000000 PA USD 181366.28000000 0.011317198076 Long DBT CORP US Y 2 2026-05-01 Fixed 5.50000000 N N N N N N AT&T, Inc. 549300Z40J86GGSTL398 00206RHS4 320000.00000000 PA USD 338422.40000000 0.021117449916 Long DBT CORP US N 2 2025-07-15 Fixed 3.60000000 N N N N N N AbbVie, Inc. FR5LCKFTG8054YNNRU85 00287YAL3 800000.00000000 PA USD 817213.84000000 0.050993883198 Long DBT CORP US N 2 2022-11-06 Fixed 2.90000000 N N N N N N Credit Agricole SA 969500TJ5KRTCJQWXH05 22535WAE7 800000.00000000 PA USD 834650.00000000 0.052081894025 Long DBT CORP FR Y 2 2023-04-24 Fixed 3.75000000 N N N N N N Bristol-Myers Squibb Co. HLYYNH7UQUORYSJQCN42 110122BE7 800000.00000000 PA USD 807274.16000000 0.050373650333 Long DBT CORP US Y 2 2021-02-19 Fixed 2.87500000 N N N N N N Altice Finco SA 549300IGQP5SEZB5Z419 02154EAD1 200000.00000000 PA USD 207000.00000000 0.012916734036 Long DBT CORP LU Y 2 2025-02-15 Fixed 7.62500000 N N N N N N Takeda Pharmaceutical Co. Ltd. 549300ZLMVP4X0OGR454 874060AT3 390000.00000000 PA USD 420499.01000000 0.026239004225 Long DBT CORP JP N 2 2023-11-26 Fixed 4.40000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138MFS99 1150284.86000000 PA USD 1213304.71000000 0.075709827265 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.50000000 N N N N N N Exeter Automobile Receivables Trust N/A 30167LAA7 188749.90000000 PA USD 189334.36000000 0.011814403729 Long ABS-O CORP US Y 2 2022-07-15 Fixed 2.93000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418CPE8 805082.78000000 PA USD 835604.51000000 0.052141455145 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 251526BR9 1000000.00000000 PA USD 1023176.00000000 0.063845856349 Long DBT CORP DE N 2 2023-02-27 Fixed 3.95000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 50.89000000 0.000003175519 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 5297.18000000 USD 4763.89000000 EUR 2020-01-16 50.89 N N N Vodafone Group plc 213800TB53ELEUKM7Q61 92857WBH2 800000.00000000 PA USD 844232.96000000 0.052679867676 Long DBT CORP GB N 2 2024-01-16 Fixed 3.75000000 N N N N N N Noble Energy, Inc. 02VFQXG2D1LR5ZH3K186 655044AP0 307000.00000000 PA USD 323897.07000000 0.020211073953 Long DBT CORP US N 2 2028-01-15 Fixed 3.85000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31379KVP5 14240.09770000 PA USD 14660.98000000 0.000914840480 Long ABS-MBS USGSE US N 2 2028-01-01 Variable 4.46500100 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AS6 500000.00000000 PA USD 535625.00000000 0.033422829314 Long DBT CORP US Y 2 2028-02-01 Fixed 5.37500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -151518.43000000 -0.00945470174 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 8773000.00000000 EUR 9693454.39000000 USD 2020-01-10 -151518.43 N N N Anheuser-Busch InBev Worldwide, Inc. 549300CRGMZK3K53BF92 03523TBV9 445000.00000000 PA USD 578371.22000000 0.036090179821 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36225CC61 468.99290000 PA USD 478.47000000 0.000029856375 Long ABS-MBS USGA US N 2 2027-07-20 Variable 3.25000100 N N N N N N Bank of America Corp. 9DJT3UXIJIZJI4WXO774 06051GFP9 850000.00000000 PA USD 905497.35000000 0.056502746089 Long DBT CORP US N 2 2025-04-21 Fixed 3.95000000 N N N N N N RALI Trust N/A 761118HU5 414303.16000000 PA USD 397063.14000000 0.024776613405 Long ABS-MBS CORP US N 2 2045-09-25 Floating 3.59947400 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SA7 1898100.00000000 PA USD 2139122.64000000 0.133480571071 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N Capital One Financial Corp. ZUE8T73ROZOF6FLBAR73 14040HBT1 398000.00000000 PA USD 413614.73000000 0.025809427347 Long DBT CORP US N 2 2024-10-30 Fixed 3.30000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828B90 4600000.00000000 PA USD 4618882.08000000 0.288216769913 Long DBT UST US N 2 2021-02-28 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31419LZY2 254276.65000000 PA USD 272506.81000000 0.017004338105 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N Wells Fargo Bank NA KB1H1DSPRFMYMCUFXT09 94988J5U7 600000.00000000 PA USD 602317.26000000 0.037584405086 Long DBT CORP US N 2 2021-10-22 Floating 2.46325000 N N N N N N Berkshire Hathaway Energy Co. 549300JD0S5IZJE9LY15 59562VAM9 229000.00000000 PA USD 312763.21000000 0.019516324637 Long DBT CORP US N 2 2036-04-01 Fixed 6.12500000 N N N N N N Nationwide Building Society 549300XFX12G42QIKN82 63859WAE9 435000.00000000 PA USD 448943.88000000 0.028013955049 Long DBT CORP GB Y 2 2026-09-14 Fixed 4.00000000 N N N N N N Impac Secured Assets CMN Owner Trust N/A 45254TRS5 293389.94000000 PA USD 237347.80000000 0.014810427085 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.06200100 N N N N N N Bear Stearns Mortgage Funding Trust N/A 07401NAA7 651998.27000000 PA USD 637745.39000000 0.039795109108 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.95199900 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132VLMD6 400153.32000000 PA USD 424102.06000000 0.026463833397 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.00000000 N N N N N N FHLMC Structured Agency Credit Risk Debt Notes N/A 3137G0LH0 182866.57000000 PA USD 183232.03000000 0.011433620282 Long ABS-MBS CORP US N 2 2029-03-25 Floating 3.09200000 N N N N N N Venture XVII CLO Ltd. 549300SNYYGJ2M6QEK53 92329YAL0 800000.00000000 PA USD 797167.20000000 0.049742979250 Long ABS-CBDO CORP KY Y 2 2027-04-15 Floating 2.88087800 N N N N N N NBC GLOBAL FINANCE LIMITED 549300KWU8YQOYSK5Y64 N/A 100000.00000000 PA USD 100000.00000000 0.006239968133 Long RA CORP IE N 2 Repurchase Y 1.71000000 2020-01-02 1066.34500000 USD 82106.34554000 USD EQT 26415.80000000 USD 26782.56615000 USD UST N N Odebrecht Offshore Drilling Finance Ltd. 549300L7LF2PIRAWID66 N/A 147595.37060000 PA USD 144551.22000000 0.009019950064 Long DBT CORP KY Y 2 2022-12-01 Fixed 6.72000000 N N N N N N Mitsubishi UFJ Financial Group, Inc. 353800V2V8PUY9TK3E06 606822AT1 1000000.00000000 PA USD 1036963.40000000 0.064706185715 Long DBT CORP JP N 2 2023-03-02 Fixed 3.45500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31418CRC0 565879.45000000 PA USD 587332.68000000 0.036649372069 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138WJGA0 684770.82000000 PA USD 693049.77000000 0.043246084796 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N World Financial Network Credit Card Master Trust N/A 981464GT1 240000.00000000 PA USD 244975.22000000 0.015286375662 Long ABS-O CORP US N 2 2025-07-15 Fixed 3.81000000 N N N N N N N/A N/A N/A 555.00000000 NC USD -210940.01000000 -0.01316258940 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury 5 Year Note 2020-03-31 65828203.13 USD -210940.01 N N N GNMA 549300M8ZYFG0OCMTT87 38376RFJ0 594878.67000000 PA USD 593987.01000000 0.037064600140 Long ABS-MBS USGA US N 2 2065-08-20 Floating 2.37425000 N N N N N N FHLB 2549001DPIFGXC1TOL40 3130A3GE8 17950000.00000000 PA USD 18805723.17000000 1.173471133073 Long DBT USGA US N 2 2024-12-13 Fixed 2.75000000 N N N N N N JP Morgan Chase Commercial Mortgage Securities Trust N/A 46639EAP6 455400.00000000 PA USD 448830.58000000 0.028006885165 Long ABS-MBS CORP US Y 2 2047-12-15 Variable 4.41770800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140F4MJ2 473192.57000000 PA USD 479357.13000000 0.029911732157 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 2.50000000 N N N N N N Zimmer Biomet Holdings, Inc. 2P2YLDVPES3BXQ1FRB91 98956PAK8 171000.00000000 PA USD 171120.21000000 0.010677846573 Long DBT CORP US N 2 2020-04-01 Fixed 2.70000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810EJ3 355000.00000000 PA USD 386134.46000000 0.024094667256 Long DBT UST US N 2 2021-05-15 Fixed 8.12500000 N N N N N N Alternative Loan Trust N/A 23243VAC4 218252.00000000 PA USD 222902.36000000 0.013909036232 Long ABS-MBS CORP US N 2 2046-07-25 Floating 1.96200000 N N N N N N Tennessee Valley Authority 549300HE1ISW43LNKM54 880591EN8 850000.00000000 PA USD 855749.06000000 0.053398468646 Long DBT USGA US N 2 2022-08-15 Fixed 1.87500000 N N N N N N GSR Mortgage Loan Trust N/A 362341RX9 82062.80000000 PA USD 84116.87000000 0.005248865882 Long ABS-MBS CORP US N 2 2035-09-25 Variable 4.26933000 N N N N N N Imperial Brands Finance plc 2138008L3B3MCG1DFS50 453140AD7 700000.00000000 PA USD 702662.80000000 0.043845934805 Long DBT CORP GB Y 2 2020-07-21 Fixed 2.95000000 N N N N N N Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust N/A 258258AA0 239191.11320000 PA USD 245477.68000000 0.015317729006 Long DBT CORP GG Y 2 2022-11-30 Fixed 5.12500000 N N N N N N Structured Asset Mortgage Investments II Trust N/A 86359LPD5 90131.27700000 PA USD 89451.75000000 0.005581760694 Long ABS-MBS CORP US N 2 2035-07-19 Floating 2.01388000 N N N N N N Radnor RE Ltd. 254900JBDDKUTX6TX151 75049TAB7 250000.00000000 PA USD 250295.85000000 0.015618381279 Long ABS-MBS CORP BM Y 2 2029-06-25 Floating 3.54200000 N N N N N N JP Morgan Chase Commercial Mortgage Securities Trust N/A 46638UAH9 400000.00000000 PA USD 409312.40000000 0.025540963326 Long ABS-MBS CORP US Y 2 2045-10-15 Fixed 3.42390000 N N N N N N EPR Properties 549300YSSXFHMPOWZ492 26884UAB5 800000.00000000 PA USD 839255.20000000 0.052369257038 Long DBT CORP US N 2 2025-04-01 Fixed 4.50000000 N N N N N N Kraft Heinz Foods Co. 5493003STKEZ2S0RNU91 50077LAK2 26000.00000000 PA USD 27416.00000000 0.001710749663 Long DBT CORP US N 2 2025-07-15 Fixed 3.95000000 N N N N N N Diamond Sports Group LLC N/A 25277LAA4 106000.00000000 PA USD 107091.80000000 0.006682494193 Long DBT CORP US Y 2 2026-08-15 Fixed 5.37500000 N N N N N N HSBC Holdings plc MLU0ZO3ML4LN2LL2TL39 404280AP4 200000.00000000 PA USD 212180.38000000 0.013239988097 Long DBT CORP GB N 2 2024-03-14 Fixed 4.25000000 N N N N N N Wells Fargo & Co. PBLD0EJDB5FWOLXP3B76 949746SJ1 1600000.00000000 PA USD 1628318.88000000 0.101606579222 Long DBT CORP US N 2 2023-10-31 Floating 3.15713200 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36179UMN9 2924879.26000000 PA USD 3083279.61000000 0.192395665129 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3132Y06A3 155803.19000000 PA USD 162644.73000000 0.010148979322 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.00000000 N N N N N N DEUTSCHE BANK AG, LONDON BRANCH 7LTWFZYICNSX8D621K86 N/A 100000.00000000 PA USD 100000.00000000 0.006239968133 Long RA CORP DE N 2 Repurchase Y 2.75000000 2020-01-02 100481.00000100 USD 102000.72185200 USD AMBS N N CIFC Funding Ltd. 549300H3BLEZ8XSDXO87 12547UAL2 1000000.00000000 PA USD 1000026.00000000 0.062401303726 Long ABS-CBDO CORP KY Y 2 2027-10-25 Floating 2.79963000 N N N N N N United States Small Business Administration N/A 83162CNQ2 200180.78940000 PA USD 205244.06000000 0.012807163939 Long ABS-O CORP US N 2 2024-03-01 Fixed 4.34000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3135G0U27 11000000.00000000 PA USD 11113936.90000000 0.693506120931 Long DBT USGA US N 2 2021-04-13 Fixed 2.50000000 N N N N N N FFCB N/A 3133EKFP6 4000000.00000000 PA USD 4039247.20000000 0.252047738111 Long DBT USGA US N 2 2021-04-05 Fixed 2.23000000 N N N N N N Commercial Mortgage Trust N/A 12625EAA7 118792.46000000 PA USD 118270.77000000 0.007380058359 Long ABS-MBS CORP US Y 2 2035-04-12 Fixed 1.87260000 N N N N N N General Electric Co. 3C7474T6CDKPR9K6YT90 369604BS1 310000.00000000 PA 348644.65000000 0.021755315058 Long DBT CORP US N 2 2025-05-17 Fixed 0.87500000 N N N N N N Teva Pharmaceutical Finance Netherlands II BV 549300HSQCIKJAOYIT23 N/A 600000.00000000 PA 625698.28000000 0.039043373283 Long DBT CORP NL Y 2 2023-03-31 Fixed 1.25000000 N N N N N N Mitsubishi Corp. KVIPTY4PULAPGC1VVD26 N/A 800000.00000000 PA USD 806942.48000000 0.050352953607 Long DBT CORP JP Y 2 2022-07-14 Fixed 2.62500000 N N N N N N Syngenta Finance NV 54930042S3BYCEGOCN86 87164KAD6 900000.00000000 PA USD 902282.40000000 0.056302134233 Long DBT CORP NL Y 2 2020-04-24 Fixed 3.69800000 N N N N N N Alternative Loan Trust N/A 02150KAZ2 92955.26690000 PA USD 80344.77000000 0.005013488044 Long ABS-MBS CORP US N 2 2047-04-25 Floating 2.00200000 N N N N N N FHLB 2549001DPIFGXC1TOL40 3133XFKF2 150000.00000000 PA USD 158308.01000000 0.009878369376 Long DBT USGA US N 2 2021-06-11 Fixed 5.62500000 N N N N N N Edison International 549300I7ROF15MAEVP56 281020AQ0 600000.00000000 PA USD 617738.94000000 0.038546713003 Long DBT CORP US N 2 2024-11-15 Fixed 3.55000000 N N N N N Crown Castle International Corp. 54930012H97VSM0I2R19 22822VAC5 800000.00000000 PA USD 844972.80000000 0.052726033456 Long DBT CORP US N 2 2026-06-15 Fixed 3.70000000 N N N N N N Banc of America Funding Trust N/A 05950PAL7 172037.66000000 PA USD 156830.86000000 0.009786195687 Long ABS-MBS CORP US N 2 2046-09-20 Variable 4.28203100 N N N N N N Bear Stearns ALT-A Trust N/A 073871AN5 60539.03000000 PA USD 53674.78000000 0.003349289167 Long ABS-MBS CORP US N 2 2036-08-25 Variable 3.92266100 N N N N N N Residential Asset Securitization Trust N/A 45660L4G1 17404.28000000 PA USD 11774.15000000 0.000734703207 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.75000000 N N N N N N eBay, Inc. OML71K8X303XQONU6T67 278642AE3 700000.00000000 PA USD 706940.99000000 0.044112892498 Long DBT CORP US N 2 2022-07-15 Fixed 2.60000000 N N N N N N Goldman Sachs Group, Inc. (The) 784F5XWPLTWKTBV3E584 38145GAG5 234000.00000000 PA USD 234520.35000000 0.014633995106 Long DBT CORP US N 2 2021-11-15 Fixed 2.35000000 N N N N N N FFCB N/A 3133EHP31 5450000.00000000 PA USD 5476890.30000000 0.341756209424 Long DBT USGA US N 2 2021-11-02 Fixed 1.95000000 N N N N N N Credit Agricole SA 969500TJ5KRTCJQWXH05 22535WAA5 320000.00000000 PA USD 326952.74000000 0.020401746787 Long DBT CORP FR Y 2 2022-01-10 Fixed 3.37500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140H9JH7 381441.17000000 PA USD 404020.27000000 0.025210736100 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.00000000 N N N N N N Bank of New York Mellon Corp. (The) WFLLPEPC7FZXENRZV188 064058AD2 309000.00000000 PA USD 312090.00000000 0.019474316547 Long DBT CORP US N 2 2020-06-20 Variable 4.95000000 N N N N N N Dell International LLC N/A 25272KAG8 860000.00000000 PA USD 935303.32000000 0.058362629119 Long DBT CORP US Y 2 2023-06-15 Fixed 5.45000000 N N N N N N Sudbury Mill CLO Ltd. 2549002BXC788OTPUW39 864662AM3 364362.07000000 PA USD 365148.73000000 0.022785164391 Long ABS-CBDO CORP KY Y 2 2026-01-17 Floating 3.15213100 N N N N N N Credit Suisse Group Funding Guernsey Ltd. 549300PXR5FKNXF0OH19 225433AT8 255000.00000000 PA USD 266954.71000000 0.016657888834 Long DBT CORP GG N 2 2023-06-09 Fixed 3.80000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AJ7 200000.00000000 PA USD 219240.00000000 0.013680506135 Long DBT CORP CH Y 2 2023-07-17 Variable 7.49999900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31412PFF3 130390.99780000 PA USD 141710.06000000 0.008842662585 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 90261AAB8 960000.00000000 PA USD 1077600.00000000 0.067241896606 Long DBT CORP CH N 2 2022-08-17 Fixed 7.62500000 N N N N N N Standard Chartered plc U4LOSYZ7YG4W3S5F2G91 853254BM1 800000.00000000 PA USD 827914.24000000 0.051661584748 Long DBT CORP GB Y 2 2023-01-20 Variable 4.24699900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31417DRX3 206269.07000000 PA USD 217569.79000000 0.013576285564 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.50000000 N N N N N N GS Mortgage Securities Trust N/A 36249KAC4 4623000.00000000 PA USD 4650352.44000000 0.290180510349 Long ABS-MBS CORP US Y 2 2043-08-10 Fixed 4.59200000 N N N N N N Octagon Investment Partners XIX Ltd. 2549008P71BPJX6F5757 67590LAN8 205369.58000000 PA USD 205565.91000000 0.012827247277 Long ABS-CBDO CORP KY Y 2 2026-04-15 Floating 3.10088200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416M2B9 3702.47850000 PA USD 4023.89000000 0.000251089453 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -6297.09000000 -0.00039293640 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 1188495.60000000 MYR 283765.63000000 USD 2020-03-18 -6297.09 N N N N/A N/A N/A 5.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Call Purchased United States of America U.S. Treasury 30 Year Bond 100000.00000000 194 USD 2020-02-21 XXXX -43 N N N BAMLL Commercial Mortgage Securities Trust N/A 054966AA4 565000.00000000 PA USD 565398.55000000 0.035280689347 Long ABS-MBS CORP US Y 2 2033-11-15 Floating 2.73975100 N N N N N N Lloyds Banking Group plc 549300PPXHEU2JF0AM85 N/A 1300000.00000000 PA 973853.52000000 0.060768149314 Long DBT CORP GB N 2 2025-03-07 Fixed 4.00000000 N N N N N N N/A N/A N/A 50.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Put Purchased United States of America U.S. Treasury 5 Year Note 100000.00000000 112 USD 2020-02-21 XXXX -430 N N N Nationwide Building Society 549300XFX12G42QIKN82 63861VAA5 1000000.00000000 PA USD 1034510.80000000 0.064553144257 Long DBT CORP GB Y 2 2024-03-08 Variable 3.76600000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140FQET0 24327.29000000 PA USD 24606.20000000 0.001535419038 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 2.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140FKHG8 583383.88000000 PA USD 590072.43000000 0.036820331596 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 2.50000000 N N N N N N Discover Bank X05BVSK68TQ7YTOSNR22 25466AAN1 250000.00000000 PA USD 261656.20000000 0.016327263499 Long DBT CORP US N 2 2028-08-09 Variable 4.68200200 N N N N N N Wells Fargo & Co. PBLD0EJDB5FWOLXP3B76 95000U2C6 314000.00000000 PA USD 331814.95000000 0.020705147142 Long DBT CORP US N 2 2024-01-24 Fixed 3.75000000 N N N N N N JP Morgan Mortgage Trust N/A 46628KAT7 60958.09000000 PA USD 61328.54000000 0.003826881352 Long ABS-MBS CORP US N 2 2034-08-25 Variable 4.16090200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31368HNM1 34940.75500000 PA USD 37973.91000000 0.002369559883 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 05581KAA9 200000.00000000 PA USD 215149.58000000 0.013425265231 Long DBT CORP FR Y 2 2025-09-28 Fixed 4.37500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 21H030625 1800000.00000000 PA USD 1847812.50000000 0.115302911165 Long ABS-MBS USGA US N 2 2050-02-15 Fixed 3.00000000 N N N N N N LoanCore Issuer Ltd. N/A 53946MAA5 800000.00000000 PA USD 800382.24000000 0.049943596721 Long ABS-CBDO CORP KY Y 2 2028-05-15 Floating 2.86975100 N N N N N N Cigna Corp. 549300VIWYMSIGT1U456 125523AG5 124000.00000000 PA USD 133999.86000000 0.008361548562 Long DBT CORP US N 2 2025-11-15 Fixed 4.12500000 N N N N N N Citigroup Mortgage Loan Trust N/A 17315MAK1 469257.69690000 PA USD 373530.30000000 0.023308171688 Long ABS-MBS CORP US Y 2 2035-12-25 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -56822.26000000 -0.00354569091 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 2481000.00000000 AUD 1684529.53000000 USD 2020-01-10 -56822.26 N N N Mizuho Financial Group, Inc. 353800CI5L6DDAN5XZ33 60687YAS8 900000.00000000 PA USD 944580.87000000 0.058941545282 Long DBT CORP JP N 2 2024-09-11 Variable 3.92199800 N N N N N N Hess Corp. UASVRYNXNK17ULIGK870 42809HAG2 300000.00000000 PA USD 317619.00000000 0.019819324385 Long DBT CORP US N 2 2027-04-01 Fixed 4.30000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RWY8 826735.79000000 PA USD 831376.92000000 0.051877654876 Long ABS-MBS USGA US N 2 2066-07-20 Floating 2.57424800 N N N N N N CVS Health Corp. 549300EJG376EN5NQE29 126650DG2 88000.00000000 PA USD 89616.36000000 0.005592032306 Long DBT CORP US N 2 2029-08-15 Fixed 3.25000000 N N N N N N Resolution Funding Corp. N/A 76116FAD9 4157000.00000000 PA USD 4117886.37000000 0.256954797259 Long DBT USGA US N 2 2020-07-15 None 0.00000000 N N N N N N Plains All American Pipeline LP N/A 72650RBD3 175000.00000000 PA USD 181256.78000000 0.011310365311 Long DBT CORP US N 2 2023-10-15 Fixed 3.85000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Put Purchased United States of America U.S. Treasury 5 Year Note 100000.00000000 113 USD 2020-02-21 XXXX -8.6 N N N Barclays plc 213800LBQA1Y9L22JB70 06738EBB0 200000.00000000 PA USD 210564.22000000 0.013139140228 Long DBT CORP GB N 2 2024-05-16 Variable 4.33800000 N N N N N N Volkswagen Group of America Finance LLC 5493002SQ1AVQBY41K40 928668AP7 700000.00000000 PA USD 723593.01000000 0.045151973239 Long DBT CORP US Y 2 2021-11-12 Fixed 4.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828R69 13213000.00000000 PA USD 13214728.26000000 0.824594832346 Long DBT UST US N 2 2023-05-31 Fixed 1.62500000 N N N N N N Tyson Foods, Inc. WD6L6041MNRW1JE49D58 902494AX1 277000.00000000 PA USD 296235.52000000 0.018485002047 Long DBT CORP US N 2 2024-08-15 Fixed 3.95000000 N N N N N N Japan N/A N/A 280900000.00000000 PA 2584094.90000000 0.161246698298 Long STIV NUSS JP N 2 2020-03-16 None 0.00000000 N N N N N N FHLMC Pool N/A 31346YAV5 298880.63000000 PA USD 312079.59000000 0.019473666967 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.50000000 N N N N N N FHLB 2549001DPIFGXC1TOL40 313378JP7 30000000.00000000 PA USD 30376503.00000000 1.895484107257 Long DBT USGA US N 2 2021-09-10 Fixed 2.37500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31370Q6L8 18122.85490000 PA USD 18112.56000000 0.001130217972 Long ABS-MBS USGSE US N 2 2033-03-01 Variable 2.40500200 N N N N N N Figueroa CLO Ltd. 5493001NPRHSX8R16822 31683VAY6 539633.78000000 PA USD 539762.21000000 0.033680989900 Long ABS-CBDO CORP KY Y 2 2027-06-20 Floating 2.75800000 N N N N N N CITIGROUP GLOBAL MARKETS LTD XKZZ2JZF41MRHTR1V493 N/A 100000.00000000 PA USD 100000.00000000 0.006239968133 Long RA CORP US N 2 Repurchase Y 1.70000000 2020-01-02 99010.10000000 USD 102000.02095900 USD UST N N Manufacturers & Traders Trust Co. WWB2V0FCW3A0EE3ZJN75 55279HAR1 286000.00000000 PA USD 287842.76000000 0.017961296498 Long DBT CORP US N 2 2021-01-25 Fixed 2.62500000 N N N N N N Central Nippon Expressway Co. Ltd. 3538005TH2GJERPBFN83 N/A 1600000.00000000 PA USD 1611577.18000000 0.100561902477 Long DBT NUSS JP Y 2 2021-05-28 Floating 2.91375000 N N N N N N JP Morgan Chase Commercial Mortgage Securities Trust N/A 46638UAM8 405000.00000000 PA USD 418958.04000000 0.026142848188 Long ABS-MBS CORP US Y 2 2045-10-15 Variable 4.60101200 N N N N N N BBVA USA C90VT034M03BN29IRA40 20453KAB1 410000.00000000 PA USD 416327.37000000 0.025978695218 Long DBT CORP US N 2 2022-06-29 Fixed 2.87500000 N N N N N N Staniford Street CLO Ltd. 549300VQ0AVDB6585K37 854432AE1 119346.24000000 PA USD 119591.38000000 0.007462464002 Long ABS-CBDO CORP KY Y 2 2025-06-15 Floating 3.07363000 N N N N N N Jefferies Financial Group, Inc. 549300HOF34RGOJ5YL07 47233W109 29.00000000 NS USD 619.73000000 0.000038670954 Long EC CORP US N 1 N N N Altice Luxembourg SA 2221006ZDZREFLFIFQ42 02154VAB7 500000.00000000 PA USD 519375.00000000 0.032408834493 Long DBT CORP LU Y 2 2025-02-15 Fixed 7.62500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31407LFM4 18886.33720000 PA USD 20398.53000000 0.001272861771 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 4.50000000 N N N N N N N/A N/A N/A -120.00000000 NC USD 433894.56000000 0.027074882276 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short United States of America U.S. Treasury Long Bond 2020-03-20 -18708750 USD 433894.56 N N N Rockwell Collins, Inc. XO75O7GICH1NPWLBRL05 774341AH4 800000.00000000 PA USD 811364.80000000 0.050628904966 Long DBT CORP US N 2 2022-03-15 Fixed 2.80000000 N N N N N N Woolworths Group Ltd. QNWEWQBS7HP85QHXQL92 980888AF8 600000.00000000 PA USD 615438.30000000 0.038403153801 Long DBT CORP AU Y 2 2021-04-12 Fixed 4.55000000 N N N N N N Argentine Republic 549300KPBYGYF7HCHO27 N/A 250000.00000000 PA 2279.87000000 0.000142263161 Long STIV NUSS AR N 3 2020-05-13 None 0.00000000 N N N N N N FHLB 2549001DPIFGXC1TOL40 3130AFW94 2365000.00000000 PA USD 2435087.25000000 0.151948668421 Long DBT USGA US N 2 2024-02-13 Fixed 2.50000000 N N N N N N Ford Motor Credit Co. LLC UDSQCVRUX5BONN0VY111 345397XF5 800000.00000000 PA USD 799992.00000000 0.049919245870 Long DBT CORP US N 2 2020-03-27 Fixed 2.45900000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RE0 1055000.00000000 PA USD 1299159.92000000 0.081067165010 Long DBT UST US N 2 2044-02-15 Fixed 3.62500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138EKQZ1 50701.12560000 PA USD 55102.42000000 0.003438373448 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 4.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 17325FAN8 1100000.00000000 PA USD 1103998.72000000 0.068889168321 Long DBT CORP US N 2 2020-05-01 Fixed 3.05000000 N N N N N N Ludgate Funding plc 213800LADM2GPWI3P269 N/A 114037.20000000 PA 146477.96000000 0.009140178026 Long ABS-MBS CORP GB Y 2 2061-01-01 Floating 1.35800100 N N N N N N Bank of America Corp. 9DJT3UXIJIZJI4WXO774 060505EL4 129000.00000000 PA USD 145959.63000000 0.009107834399 Long DBT CORP US N 2 2024-10-23 Variable 6.50000200 N N N N N N Occidental Petroleum Corp. IM7X0T3ECJW4C1T7ON55 674599DB8 400000.00000000 PA USD 468908.76000000 0.029259757198 Long DBT CORP US N 2 2024-07-01 Fixed 6.95000000 N N N N N N Simon Property Group LP MR92GTD0MJTTTTQDVG45 828807DF1 800000.00000000 PA USD 785678.32000000 0.049026076799 Long DBT CORP US N 2 2029-09-13 Fixed 2.45000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810QE1 4400300.00000000 PA USD 6091620.87000000 0.380115201098 Long DBT UST US N 2 2040-02-15 Fixed 4.62500000 N N N N N N Cenovus Energy, Inc. 549300EIRQ0Z2B9C1W06 15135UAG4 225000.00000000 PA USD 227835.23000000 0.014216845748 Long DBT CORP CA N 2 2022-08-15 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RT7 270000.00000000 PA USD 263019.20000000 0.016412314264 Long DBT UST US N 2 2046-08-15 Fixed 2.25000000 N N N N N N Private Export Funding Corp. CYQE6SAYPFKNQJ6FMH60 742651DR0 79000.00000000 PA USD 79659.78000000 0.004970744887 Long DBT CORP US N 2 2022-11-15 Fixed 2.05000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3135G0V34 3545000.00000000 PA USD 3649512.63000000 0.227728425138 Long DBT USGA US N 2 2024-02-05 Fixed 2.50000000 N N N N N N Kingdom of Spain 9598007A56S18711AH60 N/A 1600000.00000000 PA 2054846.71000000 0.128221779895 Long DBT NUSS ES Y 2 2035-07-30 Fixed 1.85000000 N N N N N N BHMS Mortgage Trust N/A 05549GAA9 267464.00000000 PA USD 266962.16000000 0.016658353712 Long ABS-MBS CORP US Y 2 2035-07-15 Floating 2.98975000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140H36P6 1687479.81000000 PA USD 1763583.12000000 0.110047024694 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N Pernod Ricard SA 52990097YFPX9J0H5D87 714264AH1 900000.00000000 PA USD 946458.63000000 0.059058716908 Long DBT CORP FR Y 2 2022-07-15 Fixed 4.25000000 N N N N N N GE Capital UK Funding Unlimited Co. BR7Z6BPTFF652NNO9651 N/A 600000.00000000 PA 877739.53000000 0.054770666966 Long DBT CORP IE Y 2 2023-05-24 Fixed 5.12500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416YT81 3223.53190000 PA USD 3495.30000000 0.000218105606 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N General Motors Financial Co., Inc. 5493008B6JBRUJ90QL97 37045XAY2 1100000.00000000 PA USD 1104398.79000000 0.068914132562 Long DBT CORP US N 2 2020-07-13 Fixed 3.20000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCC4 188000.00000000 PA USD 189645.00000000 0.011833787566 Long DBT NUSS MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N B&M CLO Ltd. 549300501PWQXBETQS11 05509RAJ4 310174.70000000 PA USD 310213.78000000 0.019357241017 Long ABS-CBDO CORP KY Y 2 2026-04-16 Floating 2.73088100 N N N N N N Residential Asset Securitization Trust N/A 76113XAA9 187851.12000000 PA USD 119899.88000000 0.007481714304 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6.25000000 N N N N N N Santander UK Group Holdings plc 549300F5XIFGNNW4CF72 80281LAE5 800000.00000000 PA USD 807857.28000000 0.050410036835 Long DBT CORP GB N 2 2021-08-05 Fixed 2.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828VS6 15093000.00000000 PA USD 15545927.35000000 0.970060912689 Long DBT UST US N 2 2023-08-15 Fixed 2.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810QB7 200000.00000000 PA USD 263570.12000000 0.016446691497 Long DBT UST US N 2 2039-05-15 Fixed 4.25000000 N N N N N N FHLMC 5493005LAQ76UDHPEE03 35565CAA4 250000.00000000 PA USD 250039.85000000 0.015602406960 Long ABS-MBS CORP US Y 2 2049-11-25 Floating 2.56200100 N N N N N N Ford Motor Credit Co. LLC UDSQCVRUX5BONN0VY111 345397ZX4 200000.00000000 PA USD 203458.00000000 0.012695714364 Long DBT CORP US N 2 2024-11-01 Fixed 4.06300000 N N N N N N Bellemeade Re Ltd. 254900SCWI9IDKK5LV64 07877GAB5 170392.00000000 PA USD 170573.35000000 0.010643722684 Long ABS-MBS CORP BM Y 2 2029-07-25 Floating 3.39199900 N N N N N N Santander UK plc PTCQB104N23FMNK2RZ28 80283LAA1 795000.00000000 PA USD 855591.88000000 0.053388660664 Long DBT CORP GB Y 2 2023-11-07 Fixed 5.00000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A 61690FAM5 400000.00000000 PA USD 416378.64000000 0.025981894450 Long ABS-MBS CORP US N 2 2048-04-15 Fixed 3.30600000 N N N N N N AT&T, Inc. 549300Z40J86GGSTL398 00206RCN0 625000.00000000 PA USD 654159.81000000 0.040819363685 Long DBT CORP US N 2 2025-05-15 Fixed 3.40000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828K74 615900.00000000 PA USD 624224.07000000 0.038951383049 Long DBT UST US N 2 2025-08-15 Fixed 2.00000000 N N N N N N VMware, Inc. 549300BUDHS3LRWBE814 928563AB1 800000.00000000 PA USD 814670.64000000 0.050835188328 Long DBT CORP US N 2 2022-08-21 Fixed 2.95000000 N N N N N N Penske Truck Leasing Co. LP N/A 709599AH7 750000.00000000 PA USD 797153.48000000 0.049742123126 Long DBT CORP US Y 2 2022-07-11 Fixed 4.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810FB9 4347000.00000000 PA USD 5710949.93000000 0.356361455749 Long DBT UST US N 2 2027-11-15 Fixed 6.12500000 N N N N N N Aircastle Ltd. 549300PNK8AKY3OIKP58 00928QAM3 900000.00000000 PA USD 929913.30000000 0.058026293588 Long DBT CORP BM N 2 2021-03-15 Fixed 5.12500000 N N N N N N GS Mortgage Securities Trust N/A 36192BAG2 230000.00000000 PA USD 243265.94000000 0.015179717135 Long ABS-MBS CORP US Y 2 2045-01-10 Variable 5.65115800 N N N N N N Lehman XS Trust N/A 525221KM8 123650.07000000 PA USD 123444.84000000 0.007702918678 Long ABS-MBS CORP US N 2 2046-04-25 Floating 2.02200100 N N N N N N United States of America 254900HROIFWPRGM1V77 912810QS0 94000.00000000 PA USD 116892.73000000 0.007294069102 Long DBT UST US N 2 2041-08-15 Fixed 3.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402C4H2 26385.15000000 PA USD 29447.54000000 0.001837517112 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.50000000 N N N N N N American Express Co. R4PP93JZOLY261QX3811 025816BL2 125000.00000000 PA USD 125625.00000000 0.007838959967 Long DBT CORP US N 2 2020-03-15 Variable 4.90000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45660KAA9 706465.54000000 PA USD 689504.15000000 0.043024839238 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.97200100 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 85571XAA5 511436.70000000 PA USD 510045.85000000 0.031826698505 Long ABS-MBS CORP US Y 2 2027-11-15 Floating 3.20974900 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 83368RAL6 800000.00000000 PA USD 847959.92000000 0.052912428792 Long DBT CORP FR Y 2 2023-09-14 Fixed 4.25000000 N N N N N N Kraft Heinz Foods Co. 5493003STKEZ2S0RNU91 50077LAU0 263000.00000000 PA USD 270557.23000000 0.016882684934 Long DBT CORP US Y 2 2030-04-01 Fixed 3.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2408.86000000 -0.00015031209 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 3133000.00000000 MXN 162808.90000000 USD 2020-01-22 -2408.86 N N N Reperforming Loan REMIC Trust N/A 12669UCN8 352234.79000000 PA USD 344016.73000000 0.021466534325 Long ABS-MBS CORP US Y 2 2036-01-25 Floating 2.13199900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140QB4P0 836504.56000000 PA USD 873707.10000000 0.054519044619 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.50000000 N N N N N N Lima Metro Line 2 Finance Ltd. 5493009BVQNQT1UKQ352 532522AB5 200000.00000000 PA USD 211312.50000000 0.013185832662 Long DBT CORP KY Y 2 2036-04-05 Fixed 4.35000000 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AF5 137000.00000000 PA USD 143036.73000000 0.008925446371 Long DBT CORP US Y 2 2023-05-30 Fixed 4.12500000 N N N N N N Enel Finance International NV 0YQH6LCEF474UTUV4B96 29278GAH1 800000.00000000 PA USD 847903.12000000 0.052908884490 Long DBT CORP NL Y 2 2023-09-14 Fixed 4.25000000 N N N N N N JP Morgan Chase Commercial Mortgage Securities Trust N/A 46649VAA9 898570.66000000 PA USD 898006.18000000 0.056035299468 Long ABS-MBS CORP US Y 2 2032-06-15 Floating 2.73975100 N N N N N N FHLMC Structured Agency Credit Risk Debt Notes N/A 3137G0KB4 67654.99000000 PA USD 67908.06000000 0.004237441304 Long ABS-MBS CORP US N 2 2028-11-25 Floating 4.04200100 N N N N N N UBS Commercial Mortgage Trust N/A 90276VAE9 335000.00000000 PA USD 367633.62000000 0.022940220735 Long ABS-MBS CORP US N 2 2051-02-15 Fixed 3.98300000 N N N N N N Broadcom Corp. N/A 11134LAF6 64000.00000000 PA USD 66280.21000000 0.004135863982 Long DBT CORP US N 2 2024-01-15 Fixed 3.62500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 30711XAV6 65081.22000000 PA USD 67615.47000000 0.004219183781 Long ABS-MBS CORP US N 2 2025-02-25 Floating 6.34200100 N N N N N N General Motors Financial Co., Inc. 5493008B6JBRUJ90QL97 37045XCR5 243000.00000000 PA USD 263453.63000000 0.016439422558 Long DBT CORP US N 2 2024-01-17 Fixed 5.10000000 N N N N N N HCA, Inc. L3CJ6J7LJ2DX62FTXD46 404121AH8 186000.00000000 PA USD 207049.62000000 0.012919830308 Long DBT CORP US N 2 2026-09-01 Fixed 5.37500000 N N N N N N BOC Aviation Ltd. 254900H06V5RMEB3KE72 09681LAD2 100000.00000000 PA USD 100202.83000000 0.006252624660 Long DBT CORP SG Y 2 2022-09-18 Fixed 2.75000000 N N N N N N WEA Finance LLC N/A 92890HAE2 800000.00000000 PA USD 805644.48000000 0.050271958820 Long DBT CORP US Y 2 2020-10-05 Fixed 3.25000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AF4 65000.00000000 PA USD 69956.25000000 0.004365247707 Long DBT CORP US N 2 2021-11-15 Fixed 6.75000000 N N N N N N BOC Aviation Ltd. 254900H06V5RMEB3KE72 09681LAJ9 700000.00000000 PA USD 719728.03000000 0.044910799719 Long DBT CORP SG Y 2 2024-10-10 Fixed 3.50000000 N N N N N N Celulosa Arauco y Constitucion SA 549300QEKV8G0AMNQD28 151191BJ1 205000.00000000 PA USD 206089.06000000 0.012859891670 Long DBT CORP CL Y 2 2030-01-29 Fixed 4.20000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828YH7 28585000.00000000 PA USD 28346158.03000000 1.768791228129 Long DBT UST US N 2 2024-09-30 Fixed 1.50000000 N N N N N N WhiteHorse X Ltd. 549300UT33WDDDZEYN84 96525WAN3 615214.24000000 PA USD 615217.32000000 0.038389364719 Long ABS-CBDO CORP KY Y 2 2027-04-17 Floating 2.93213200 N N N N N N Ambac LSNI LLC N/A 02315QAA6 1227211.28000000 PA USD 1247153.46000000 0.077821978479 Long DBT CORP KY Y 2 2023-02-12 Floating 6.94463000 N N N N N N Komatsu Finance America, Inc. 549300SRAAFEEQ8Z4D68 N/A 1000000.00000000 PA USD 1002756.20000000 0.062571667336 Long DBT CORP US Y 2 2022-09-11 Fixed 2.43700000 N N N N N N Phillips 66 5493005JBO5YSIGK1814 718546AS3 1000000.00000000 PA USD 1004362.80000000 0.062671918664 Long DBT CORP US N 2 2021-02-26 Floating 2.51725000 N N N N N N BAT International Finance plc 21380041YBGOQDFAC823 05530QAF7 600000.00000000 PA USD 612919.68000000 0.038245992715 Long DBT CORP GB Y 2 2022-06-07 Fixed 3.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371PCG3 19789.39640000 PA USD 21507.29000000 0.001342048042 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N Flagship Credit Auto Trust N/A 33843RAA0 29854.58000000 PA USD 29840.25000000 0.001862022090 Long ABS-O CORP US Y 2 2022-04-15 Fixed 2.07000000 N N N N N N Hertz Vehicle Financing II LP 549300FPK70TCB78NG05 428040CU1 420000.00000000 PA USD 422110.67000000 0.026339571295 Long ABS-O CORP US Y 2 2021-10-25 Fixed 2.96000000 N N N N N N Welltower, Inc. T6IZ0MBEG5ACZDTR7D06 42217KBF2 230000.00000000 PA USD 247118.76000000 0.015420131875 Long DBT CORP US N 2 2025-06-01 Fixed 4.00000000 N N N N N N FHLMC Structured Agency Credit Risk Debt Notes N/A 3137G0HT9 56705.56000000 PA USD 56941.16000000 0.003553110238 Long ABS-MBS CORP US N 2 2028-07-25 Floating 4.69199900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416CCH7 8215.36600000 PA USD 8928.53000000 0.000557137426 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.50000000 N N N N N N Crown Castle International Corp. 54930012H97VSM0I2R19 22822VAD3 500000.00000000 PA USD 501163.00000000 0.031272411496 Long DBT CORP US N 2 2021-09-01 Fixed 2.25000000 N N N N N N BX Commercial Mortgage Trust N/A 05608BAA8 205649.00000000 PA USD 205392.93000000 0.012816453380 Long ABS-MBS CORP US Y 2 2034-04-15 Floating 2.73975100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617A2FM9 661615.31000000 PA USD 681527.42000000 0.042527093828 Long ABS-MBS USGA US N 2 2045-07-15 Fixed 3.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31335A6X1 423624.90000000 PA USD 453876.55000000 0.028321752085 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N Global Payments, Inc. 549300NOMHGVQBX6S778 891906AE9 139000.00000000 PA USD 146478.67000000 0.009140222330 Long DBT CORP US N 2 2023-06-01 Fixed 4.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -59887.11000000 -0.00373693658 N/A DFE N/A N 2 Morgan Stanley Capital Services I7331LVCZKQKX5T7XV54 14484435.42000000 ZAR 971473.93000000 USD 2020-01-23 -59887.11 N N N Banco Santander SA 5493006QMFDDMYWIAM13 05971KAA7 400000.00000000 PA USD 446634.84000000 0.027869871688 Long DBT CORP ES N 2 2025-11-19 Fixed 5.17900000 N N N N N N CPI Property Group SA 222100CO2ZOTEPGJO223 N/A 700000.00000000 PA 817824.46000000 0.051031985691 Long DBT CORP LU Y 2 2024-10-04 Fixed 2.12500000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17323CAE7 596977.00000000 PA USD 617041.34000000 0.038503182986 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.13700000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140Q8QG3 1874490.25000000 PA USD 1966056.85000000 0.122681320925 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Pennsylvania Higher Education Assistance Agency N/A 709163HT9 322730.23000000 PA USD 325391.95000000 0.020304353988 Long ABS-O CORP US N 2 2029-07-25 Floating 2.83963000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAT8 800000.00000000 PA USD 875441.44000000 0.054627266883 Long DBT CORP DK Y 2 2024-01-12 Fixed 5.37500000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61761J3R8 800000.00000000 PA USD 824266.64000000 0.051433975670 Long DBT CORP US N 2 2026-07-27 Fixed 3.12500000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17320DAQ1 235000.00000000 PA USD 242160.12000000 0.015110714319 Long ABS-MBS CORP US N 2 2046-04-10 Variable 3.73200100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31417EJG7 212426.64000000 PA USD 224131.09000000 0.013985708593 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.50000000 N N N N N N FHLB 2549001DPIFGXC1TOL40 3130AABG2 30000000.00000000 PA USD 30155406.00000000 1.881687724913 Long DBT USGA US N 2 2021-11-29 Fixed 1.87500000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300CFP9NBBMZH1008 95000KBH7 275000.00000000 PA USD 289323.62000000 0.018053701690 Long ABS-MBS CORP US N 2 2049-11-15 Variable 4.31338000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 30711XCK8 6985.85000000 PA USD 6995.17000000 0.000436496378 Long ABS-MBS CORP US N 2 2028-10-25 Floating 3.79199900 N N N N N N CSAIL Commercial Mortgage Trust 549300ZAGI6FKGY8O078 12635FAT1 302887.00000000 PA USD 320836.66000000 0.020020105344 Long ABS-MBS CORP US N 2 2048-08-15 Fixed 3.71820000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828XB1 30428000.00000000 PA USD 31053684.88000000 1.937740040774 Long DBT UST US N 2 2025-05-15 Fixed 2.12500000 N N N N N N NextEra Energy Capital Holdings, Inc. UMI46YPGBLUE4VGNNT48 65339KAQ3 1000000.00000000 PA USD 1008574.30000000 0.062934714922 Long DBT CORP US N 2 2020-09-01 Fixed 3.34200000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810QV3 1500000.00000000 PA USD 1775525.23000000 0.110792208553 Long DBT UST US N 2 2042-02-15 Fixed 0.75000000 N N N N N N Biogen, Inc. W8J5WZB5IY3K0NDQT671 09062XAF0 360000.00000000 PA USD 392459.40000000 0.024489341496 Long DBT CORP US N 2 2025-09-15 Fixed 4.05000000 N N N N N N N/A N/A N/A 96.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Put Purchased United States of America U.S. Treasury 5 Year Note 100000.00000000 110.75 USD 2020-02-21 XXXX -825.6 N N N United States of America 254900HROIFWPRGM1V77 912828G38 19474000.00000000 PA USD 19984238.27000000 1.247010099761 Long DBT UST US N 2 2024-11-15 Fixed 2.25000000 N N N N N N FHLB 2549001DPIFGXC1TOL40 3130ACE26 13230000.00000000 PA USD 13205520.53000000 0.824020272928 Long DBT USGA US N 2 2020-09-28 Fixed 1.37500000 N N N N N N Argentine Republic 549300KPBYGYF7HCHO27 N/A 660000.00000000 PA 5633.24000000 0.000351512380 Long DBT NUSS AR N 3 2020-06-21 Floating 81.78099800 N N N N N N Jamestown CLO IV Ltd. 2549008V3F2S2MZWTX88 470474AU1 230262.56000000 PA USD 229799.96000000 0.014339444274 Long ABS-CBDO CORP KY Y 2 2026-07-15 Floating 2.69088100 N N N N N N JPMCC Commercial Mortgage Securities Trust N/A 465968AG0 2298820.33670000 PA USD 135652.93000000 0.008464699604 Long ABS-MBS CORP US N 2 2050-09-15 Variable 1.07208400 N N N N N N Barclays plc 213800LBQA1Y9L22JB70 N/A 400000.00000000 PA 539308.23000000 0.033652661693 Long DBT CORP GB Y 2 2023-10-06 Variable 2.37500000 N N N N N N UniCredit SpA 549300TRUWO2CD2G5692 904678AG4 1600000.00000000 PA USD 1859893.60000000 0.116056767956 Long DBT CORP IT Y 2 2023-12-04 Fixed 7.83000000 N N N N N N CLUB Credit Trust N/A 21051CAC1 3967.92300000 PA USD 3968.12000000 0.000247609423 Long ABS-O CORP US Y 2 2024-01-15 Fixed 2.61000000 N N N N N N Pertamina Persero PT 254900NDAKGNZ2IBBL45 69370RAA5 225000.00000000 PA USD 289687.50000000 0.018076407686 Long DBT NUSS ID Y 2 2044-05-30 Fixed 6.45000000 N N N N N N Daimler Finance North America LLC 549300423Z16BB673J12 233851DG6 800000.00000000 PA USD 802003.52000000 0.050044764077 Long DBT CORP US Y 2 2020-05-04 Fixed 3.10000000 N N N N N N Arrow Electronics, Inc. 549300YNNLBXT8N8R512 042735BD1 800000.00000000 PA USD 820050.08000000 0.051170863670 Long DBT CORP US N 2 2022-04-01 Fixed 3.50000000 N N N N N N Structured Asset Mortgage Investments II Trust N/A 86360KAA6 585446.35000000 PA USD 592096.49000000 0.036946632295 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.00200000 N N N N N N VEREIT Operating Partnership LP 5493005TQOUJE1LCS698 92340LAD1 800000.00000000 PA USD 868147.76000000 0.054172143575 Long DBT CORP US N 2 2025-11-01 Fixed 4.62500000 N N N N N N US Bank NA 6BYL5QZYBDK8S7L73M02 90331HNP4 1000000.00000000 PA USD 1013271.50000000 0.063227818705 Long DBT CORP US N 2 2021-04-26 Fixed 3.15000000 N N N N N N HCA, Inc. L3CJ6J7LJ2DX62FTXD46 404119BT5 47000.00000000 PA USD 52510.75000000 0.003276654066 Long DBT CORP US N 2 2026-06-15 Fixed 5.25000000 N N N N N N Marlette Funding Trust 549300ICATMFOKQ20083 57109FAA4 36417.65000000 PA USD 36507.61000000 0.002278063230 Long ABS-O CORP US Y 2 2028-09-15 Fixed 3.20000000 N N N N N N ING Groep NV 549300NYKK9MWM7GGW15 N/A 200000.00000000 PA USD 213500.00000000 0.013322331964 Long DBT CORP NL Y 2 2022-04-16 Variable 6.87499900 N N N N N N Sprint Spectrum Co. LLC N/A 85208NAD2 340000.00000000 PA USD 359628.20000000 0.022440685078 Long DBT CORP US Y 2 2025-03-20 Fixed 4.73800000 N N N N N N Enterprise Products Operating LLC 5493004LGN656HWLDA30 29379VBH5 382000.00000000 PA USD 406957.09000000 0.025393992732 Long DBT CORP US N 2 2026-02-15 Fixed 3.70000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45660LQH5 477410.56000000 PA USD 430428.78000000 0.026858618709 Long ABS-MBS CORP US N 2 2035-08-25 Variable 3.80686300 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31412N3U8 118895.18380000 PA USD 129216.31000000 0.008063056567 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N FHLB 2549001DPIFGXC1TOL40 313380GJ0 16060000.00000000 PA USD 16215399.77000000 1.011835778359 Long DBT USGA US N 2 2022-09-09 Fixed 2.00000000 N N N N N N Iraq Government AID Bond N/A 462652AD0 7460000.00000000 PA USD 7545226.02000000 0.470819699244 Long DBT NUSS IQ N 2 2022-01-18 Fixed 2.14900000 N N N N N N CSMC Mortgage-Backed Trust N/A 22942JAH6 522608.62000000 PA USD 426525.46000000 0.026615052785 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402QYV7 285032.17000000 PA USD 318544.29000000 0.019877062186 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N Baker Hughes a GE Co. LLC N/A 05723KAE0 471000.00000000 PA USD 490309.82000000 0.030595176523 Long DBT CORP US N 2 2027-12-15 Fixed 3.33700000 N N N N N N Venture XII CLO Ltd. 549300C7PSULF5Z6ZE61 92329JAY5 777103.72000000 PA USD 776651.45000000 0.048462802987 Long ABS-CBDO CORP KY Y 2 2026-02-28 Floating 2.71374800 N N N N N N Sprint Communications, Inc. 549300JKU50UT08ZWD77 852061AR1 800000.00000000 PA USD 817000.00000000 0.050980539650 Long DBT CORP US N 2 2020-08-15 Fixed 7.00000000 N N N N N N HarborView Mortgage Loan Trust N/A 41162KAA1 85718.03000000 PA USD 72828.77000000 0.004544492039 Long ABS-MBS CORP US N 2 2046-11-19 Floating 1.94388100 N N N N N N Japan N/A N/A 184150000.00000000 PA 1693851.88000000 0.105695817539 Long STIV NUSS JP N 2 2020-02-17 None 0.00000000 N N N N N N Evans Grove CLO Ltd. 549300O71GCRFBJILJ09 29915RAA1 800000.00000000 PA USD 795102.40000000 0.049614136388 Long ABS-CBDO CORP KY Y 2 2028-05-28 Floating 2.83375100 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 1000000.00000000 PA USD 1076167.00000000 0.067152477862 Long DBT CORP US Y 2 2025-12-15 Fixed 4.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -324257.89000000 -0.02023358900 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 8496000.00000000 GBP 10943034.91000000 USD 2020-02-14 -324257.89 N N N Morgan Stanley Capital I Trust N/A 61765VAA6 131298.12000000 PA USD 130896.26000000 0.008167884911 Long ABS-MBS CORP US Y 2 2026-11-15 Floating 3.68975200 N N N N N N Rio Oil Finance Trust 549300V5D1W52HY8NO65 N/A 288397.28000000 PA USD 320841.97000000 0.020020436686 Long DBT CORP US Y 2 2024-07-06 Fixed 9.25000000 N N N N N N Lloyds Banking Group plc 549300PPXHEU2JF0AM85 53944YAF0 800000.00000000 PA USD 872997.92000000 0.054474792013 Long DBT CORP GB N 2 2025-05-08 Fixed 4.45000000 N N N N N N Campbell Soup Co. 5493007JDSMX8Z5Z1902 134429BD0 1000000.00000000 PA USD 1013470.00000000 0.063240205042 Long DBT CORP US N 2 2021-03-15 Fixed 3.30000000 N N N N N N Australia & New Zealand Banking Group Ltd. JHE42UYNWWTJB8YTTU19 052528AK2 240000.00000000 PA USD 255244.61000000 0.015927182326 Long DBT CORP AU Y 2 2026-05-19 Fixed 4.40000000 N N N N N N CommScope, Inc. 549300Z6K4JXMFE8QY54 20338QAD5 110000.00000000 PA USD 117012.50000000 0.007301542712 Long DBT CORP US Y 2 2026-03-01 Fixed 6.00000000 N N N N N N Mortgage Insurance-Linked Notes N/A 89600TAA1 170151.00000000 PA USD 170768.09000000 0.010655874398 Long ABS-MBS CORP US Y 2 2029-11-26 Floating 3.67400200 N N N N N N N/A N/A N/A 1.00000000 NC N/A -7018.99000000 -0.00043798273 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 413084.76000000 EUR 456720.56000000 USD 2020-01-16 -7018.99 N N N United States of America 254900HROIFWPRGM1V77 9128282Y5 4700000.00000000 PA USD 4793761.71000000 0.299129203097 Long DBT UST US N 2 2024-09-30 Fixed 2.12500000 N N N N N N N/A N/A N/A 20.00000000 NC USD -95162.42000000 -0.00593810468 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury Ultra Bond 2020-03-20 3633125 USD -95162.42 N N N N/A N/A N/A 112.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Put Purchased United States of America U.S. Treasury 5 Year Note 100000.00000000 110 USD 2020-02-21 XXXX -963.2 N N N Commercial Mortgage Trust N/A 12593ABA2 300000.00000000 PA USD 315871.02000000 0.019710250990 Long ABS-MBS CORP US N 2 2048-05-10 Fixed 3.49700000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828S50 1180500.00000000 PA USD 1271674.32000000 0.079352072329 Long DBT UST US N 2 2026-07-15 Fixed 0.12500000 N N N N N N LeasePlan Corp. NV 724500C60L930FVHS484 52206AAD2 800000.00000000 PA USD 797241.28000000 0.049747601818 Long DBT CORP NL Y 2 2024-10-24 Fixed 2.87500000 N N N N N N DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 N/A 200000.00000000 PA USD 200000.00000000 0.012479936266 Long RA CORP DE N 2 Repurchase Y 1.59000000 2020-01-07 194719.90000000 USD 204000.00083000 USD UST N N Telstra Corp. Ltd. PCTXNQGRJVR3OG33JG65 87969NAC9 800000.00000000 PA USD 838133.60000000 0.052299269555 Long DBT CORP AU Y 2 2021-10-12 Fixed 4.80000000 N N N N N N World Omni Auto Receivables Trust N/A 98162QAB6 104464.75000000 PA USD 104502.09000000 0.006520897114 Long ABS-O CORP US N 2 2021-07-15 Fixed 2.57000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RD2 421000.00000000 PA USD 527509.59000000 0.032916430316 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -47950.01000000 -0.00299206534 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 12695902.12000000 USD 1371000000.00000000 JPY 2020-02-14 -47950.01 N N N GNMA 549300M8ZYFG0OCMTT87 21H050615 5700000.00000000 PA USD 6002812.50000000 0.374573587110 Long ABS-MBS USGA US N 2 2050-01-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140GYJX8 2551659.90000000 PA USD 2646004.46000000 0.165109835113 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Hertz Vehicle Financing II LP 549300FPK70TCB78NG05 42806DCH0 330000.00000000 PA USD 339945.41000000 0.021212485255 Long ABS-O CORP US Y 2 2025-05-25 Fixed 3.42000000 N N N N N N Energy Transfer Operating LP 5493008K8W3OKZE54J59 29278NAN3 192000.00000000 PA USD 215667.84000000 0.013457604490 Long DBT CORP US N 2 2027-06-01 Fixed 5.50000000 N N N N N N Verizon Communications, Inc. 2S72QS2UO2OESLG6Y829 92343VDS0 210000.00000000 PA USD 268958.07000000 0.016782897860 Long DBT CORP US N 2 2049-04-15 Fixed 5.01200000 N N N N N N SoFi Professional Loan Program Trust N/A 83404RAA6 288626.49000000 PA USD 289157.27000000 0.018043321503 Long ABS-O CORP US Y 2 2047-08-25 Fixed 2.64000000 N N N N N N Continental Airlines Pass-Through Trust N/A 21079VAA1 273521.86260000 PA USD 279071.79000000 0.017413990765 Long ABS-O CORP US N 2 2021-01-12 Fixed 4.75000000 N N N N N N EMF-NL Prime BV 724500YACYYG8XY5LM10 N/A 239463.78660000 PA 254134.55000000 0.015857914936 Long ABS-MBS CORP NL Y 2 2041-04-17 Floating 0.38200000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SG4 1800000.00000000 PA USD 2049143.77000000 0.127865918256 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N Healthcare Trust of America Holdings LP 549300IYGAS4GE6VDL07 42225UAD6 800000.00000000 PA USD 833314.56000000 0.051998562995 Long DBT CORP US N 2 2026-08-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 30711XAR5 164647.45000000 PA USD 177910.13000000 0.011101535418 Long ABS-MBS CORP US N 2 2024-11-25 Floating 6.79200100 N N N N N N Bear Stearns ALT-A Trust N/A 07386HVS7 160458.19320000 PA USD 131924.30000000 0.008232034280 Long ABS-MBS CORP US N 2 2035-09-25 Variable 4.10330200 N N N N N N AIB Group plc 635400AKJBGNS5WNQL34 00135TAB0 330000.00000000 PA USD 348921.64000000 0.021772599146 Long DBT CORP IE Y 2 2025-04-10 Variable 4.26300100 N N N N N N GUSAP III LP 549300WY05UJ7WTHIN64 36258GAA5 250000.00000000 PA USD 255312.50000000 0.015931418640 Long DBT CORP US Y 2 2030-01-21 Fixed 4.25000000 N N N N N N Citigroup, Inc. 6SHGI4ZSSLCXXQSBB395 172967GD7 115000.00000000 PA USD 121890.80000000 0.007605947077 Long DBT CORP US N 2 2023-01-30 Variable 5.95000100 N N N N N N Park Aerospace Holdings Ltd. 635400CPI3EOIFF6OC33 70014LAC4 800000.00000000 PA USD 840332.80000000 0.052436498934 Long DBT CORP KY Y 2 2023-03-15 Fixed 4.50000000 N N N N N N WaMu Mortgage Pass-Through Certificates Trust N/A 93363PAD2 500378.62000000 PA USD 481291.08000000 0.030032410021 Long ABS-MBS CORP US N 2 2036-11-25 Variable 3.26808400 N N N N N N HSBC Bank USA NA 1IE8VN30JCEQV1H4R804 4042Q1AE7 250000.00000000 PA USD 254429.58000000 0.015876324714 Long DBT CORP US N 2 2020-08-24 Fixed 4.87500000 N N N N N N Wells Fargo Bank NA KB1H1DSPRFMYMCUFXT09 94988J5R4 900000.00000000 PA USD 943317.99000000 0.058862741973 Long DBT CORP US N 2 2023-08-14 Fixed 3.55000000 N N N N N N Tokyo Metropolitan Government 353800FABE4GGB1BMO18 889124AK9 1400000.00000000 PA USD 1414586.46000000 0.088269744324 Long DBT NUSS JP Y 2 2022-06-08 Fixed 2.50000000 N N N N N N FHLMC Structured Agency Credit Risk Debt Notes N/A 3137G0FF1 130584.26000000 PA USD 131867.64000000 0.008228498714 Long ABS-MBS CORP US N 2 2025-05-25 Floating 3.74199800 N N N N N N LP Credit Card ABS Master Trust N/A 50214FAA1 780845.65000000 PA USD 771986.10000000 0.048171686634 Long ABS-O CORP US Y 2 2024-08-20 Floating 3.82150100 N N N N N N JPMorgan Prime Money Market Fund, IM Shares N/A N/A 0.33300000 NS USD 0.33000000 0.000000020591 Long STIV RF US N 1 N N N JP Morgan Chase Commercial Mortgage Securities Trust N/A 46635GAQ3 330600.00000000 PA USD 333589.71000000 0.020815891600 Long ABS-MBS CORP US Y 2 2043-11-15 Variable 5.59949000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 90351DAD9 1000000.00000000 PA USD 1011770.00000000 0.063134125583 Long DBT CORP CH Y 2 2021-04-15 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128282A7 10635000.00000000 PA USD 10428260.92000000 0.650720158281 Long DBT UST US N 2 2026-08-15 Fixed 1.50000000 N N N N N N Bank of America Corp. 9DJT3UXIJIZJI4WXO774 060505EU4 83000.00000000 PA USD 96288.30000000 0.006008359236 Long DBT CORP US N 2 2026-03-10 Variable 6.30000000 N N N N N PayPal Holdings, Inc. 5493005X2GO78EFZ3E94 70450YAC7 1000000.00000000 PA USD 1009396.30000000 0.062986007460 Long DBT CORP US N 2 2024-10-01 Fixed 2.40000000 N N N N N N Ashford Hospitality Trust N/A 04410RAA4 250103.03000000 PA USD 248540.71000000 0.015508861102 Long ABS-MBS CORP US Y 2 2035-04-15 Floating 2.63975000 N N N N N N BCAP LLC Trust N/A 05544GAC0 128507.96760000 PA USD 127726.66000000 0.007970102881 Long ABS-MBS CORP US Y 2 2036-01-26 Floating 2.15799800 N N N N N N United States of America 254900HROIFWPRGM1V77 912810EL8 265000.00000000 PA USD 295792.60000000 0.018457363981 Long DBT UST US N 2 2021-11-15 Fixed 8.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SE9 260000.00000000 PA USD 314467.53000000 0.019622673662 Long DBT UST US N 2 2048-11-15 Fixed 3.37500000 N N N N N N Duke Energy Corp. I1BZKREC126H0VB1BL91 26441CAN5 600000.00000000 PA USD 635832.60000000 0.039675751622 Long DBT CORP US N 2 2024-04-15 Fixed 3.75000000 N N N N N N Ashford Hospitality Trust N/A 04410CAA7 350000.00000000 PA USD 349344.07000000 0.021798958644 Long ABS-MBS CORP US Y 2 2035-05-15 Floating 2.73975100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31417JHS2 304181.73500000 PA USD 330587.33000000 0.020628544045 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31385XJW8 49734.43000000 PA USD 55392.18000000 0.003456454380 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.50000000 N N N N N N N/A N/A N/A 43.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Put Purchased United States of America U.S. Treasury 5 Year Note 100000.00000000 113.5 USD 2020-02-21 XXXX -369.8 N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A 61690AAB0 800000.00000000 PA USD 830492.32000000 0.051822456118 Long ABS-MBS CORP US N 2 2047-12-15 Fixed 3.55700000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828F21 8100000.00000000 PA USD 8171800.83000000 0.509917767721 Long DBT UST US N 2 2021-09-30 Fixed 2.12500000 N N N N N N Emirate of Abu Dhabi United Arab Emirates 213800FER4348CINTA77 29135LAD2 425000.00000000 PA USD 423406.25000000 0.026420415075 Long DBT NUSS AE Y 2 2024-09-30 Fixed 2.12500000 N N N N N N Exeter Automobile Receivables Trust N/A 30167EAB1 350000.00000000 PA USD 351356.64000000 0.021924542370 Long ABS-O CORP US Y 2 2023-08-15 Fixed 2.58000000 N N N N N N Banco Espirito Santo SA 635400JV7IJL16OWIT96 N/A 1700000.00000000 PA 324171.30000000 0.020228185817 Long DBT CORP PT Y 3 2019-01-21 Fixed 4.00000000 Y N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 2027A0HR3 240000.00000000 PA USD 259836.48000000 0.016213713551 Long DBT CORP AU Y 2 2025-12-09 Fixed 4.50000000 N N N N N N Republic of Panama 549300SHS4T08CL0LP14 698299AK0 190000.00000000 PA USD 289928.13000000 0.018091422921 Long DBT NUSS PA N 2 2029-04-01 Fixed 9.37500000 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 46625HRY8 263000.00000000 PA USD 282811.63000000 0.017647355589 Long DBT CORP US N 2 2028-02-01 Variable 3.78200200 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410F4V4 27033.49380000 PA USD 29763.13000000 0.001857209827 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 5.00000000 N N N N N N Williams Cos., Inc. (The) D71FAKCBLFS2O0RBPG08 96950FAL8 675000.00000000 PA USD 718796.70000000 0.044852685024 Long DBT CORP US N 2 2023-11-15 Fixed 4.50000000 N N N N N N Ally Auto Receivables Trust N/A 02007JAB3 76905.76000000 PA USD 76921.70000000 0.004799889567 Long ABS-O CORP US N 2 2021-05-17 Fixed 2.72000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128285Z9 7580900.00000000 PA USD 7830797.55000000 0.488639271715 Long DBT UST US N 2 2024-01-31 Fixed 2.50000000 N N N N N N Service Properties Trust 529900IS770AG1K9QG27 44106MBB7 800000.00000000 PA USD 806594.00000000 0.050331208566 Long DBT CORP US N 2 2029-10-01 Fixed 4.95000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 17325FAL2 500000.00000000 PA USD 505080.25000000 0.031516846648 Long DBT CORP US N 2 2021-02-12 Fixed 2.85000000 N N N N N N FNMA or FHLMC N/A 01F032617 34645000.00000000 PA USD 35643749.52000000 2.224158611615 Long ABS-MBS USGSE US N 2 2050-01-25 Fixed 3.50000000 N N N N N N Spectrum Brands, Inc. 549300VU3EH2E73C1Q04 84762LAU9 227000.00000000 PA USD 236931.25000000 0.014784434498 Long DBT CORP US N 2 2025-07-15 Fixed 5.75000000 N N N N N N KeyBank NA HUX2X73FUCYHUVH1BK78 49327M2G8 250000.00000000 PA USD 250126.63000000 0.015607822005 Long DBT CORP US N 2 2020-03-16 Fixed 2.25000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 251526BL2 1100000.00000000 PA USD 1108982.27000000 0.069200140253 Long DBT CORP DE N 2 2022-11-16 Fixed 3.30000000 N N N N N N Mylan NV 549300A0CD4KNFGIIS89 62854AAN4 325000.00000000 PA USD 338657.80000000 0.021132138801 Long DBT CORP NL N 2 2026-06-15 Fixed 3.95000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3135G0J20 40097000.00000000 PA USD 39968028.00000000 2.493992210769 Long DBT USGA US N 2 2021-02-26 Fixed 1.37500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140FKHL7 16906.22000000 PA USD 17100.05000000 0.001067037670 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 2.50000000 N N N N N N Mid-America Apartments LP 549300FXWGE3QSYCUJ38 59523UAN7 800000.00000000 PA USD 846767.20000000 0.052838003444 Long DBT CORP US N 2 2027-06-01 Fixed 3.60000000 N N N N N N CITIGROUP GLOBAL MARKETS LTD XKZZ2JZF41MRHTR1V493 N/A 908962.50000000 PA USD 908962.50000000 0.056718970345 Long RA CORP US N 2 Repurchase Y 1.70000000 2020-01-02 855866.36452500 USD 927142.47730400 USD UST N N United States of America 254900HROIFWPRGM1V77 912828Q60 2260000.00000000 PA USD 2448262.97000000 0.152770829151 Long DBT UST US N 2 2021-04-15 Fixed 0.12500000 N N N N N N Japan N/A N/A 171535035.00000000 PA 1619366.35000000 0.101047944203 Long DBT NUSS JP N 2 2027-03-10 Fixed 0.10000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410G3J0 7965.44640000 PA USD 8607.27000000 0.000537090905 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828U57 11046000.00000000 PA USD 11243237.38000000 0.701574429680 Long DBT UST US N 2 2023-11-30 Fixed 2.12500000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAV3 335000.00000000 PA USD 338633.95000000 0.021130650569 Long DBT CORP DK Y 2 2025-12-20 Variable 3.24400000 N N N N N N Odebrecht Offshore Drilling Finance Ltd. 549300L7LF2PIRAWID66 N/A 655134.00000000 PA USD 154190.83000000 0.009621458656 Long DBT CORP KY Y 2 2026-12-01 Fixed 7.72000000 N N Y N N N Delta Air Lines, Inc. Q2CCMS6R0AS67HJMBN42 247361ZJ0 800000.00000000 PA USD 818266.64000000 0.051059577582 Long DBT CORP US N 2 2022-03-15 Fixed 3.62500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140E6KU5 907048.93000000 PA USD 929457.39000000 0.057997844950 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RS9 1429700.00000000 PA USD 1462865.18000000 0.091282321067 Long DBT UST US N 2 2046-05-15 Fixed 2.50000000 N N N N N N Rio Oil Finance Trust 549300V5D1W52HY8NO65 76716XAA0 288396.93000000 PA USD 320841.58000000 0.020020412350 Long DBT CORP US Y 2 2024-07-06 Fixed 9.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3135G0A78 2831000.00000000 PA USD 2831032.84000000 0.176655547063 Long DBT USGA US N 2 2020-01-21 Fixed 1.62500000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46644YAU4 329944.00000000 PA USD 353104.29000000 0.022033595173 Long ABS-MBS CORP US N 2 2048-08-15 Fixed 3.80140000 N N N N N N N/A N/A N/A 17.00000000 NC 190.69000000 0.000011898995 N/A DIR DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Put Purchased Federal Republic of Germany Euro-Bund 100000.00000000 157 EUR 2020-02-21 XXXX -9.58 N N N N/A N/A N/A 17.00000000 NC USD -34601.58000000 -0.00215912756 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury 10 Year Ultra Note 2020-03-20 2391953.13 USD -34601.58 N N N FHLMC Structured Agency Credit Risk Debt Notes N/A 3137G0GT0 68207.13000000 PA USD 68861.99000000 0.004296966232 Long ABS-MBS CORP US N 2 2028-04-25 Floating 4.64199800 N N N N N N NextEra Energy Capital Holdings, Inc. UMI46YPGBLUE4VGNNT48 65339KBN9 800000.00000000 PA USD 799389.36000000 0.049881641326 Long DBT CORP US N 2 2022-09-01 Fixed 1.95000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128MJBE9 55528.23000000 PA USD 62340.98000000 0.003890057286 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138WJGB8 118834.20000000 PA USD 120270.92000000 0.007504867081 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Waha Aerospace BV 724500LWXEPYZZML5113 92928BAA9 111500.00000000 PA USD 111500.00000000 0.006957564468 Long DBT NUSS NL Y 2 2020-07-28 Fixed 3.92500000 N N N N N N DuPont de Nemours, Inc. 5493004JF0SDFLM8GD76 26078JAC4 230000.00000000 PA USD 253016.40000000 0.015788142732 Long DBT CORP US N 2 2025-11-15 Fixed 4.49300000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2173.50000000 0.000135625707 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 202065.08000000 USD 182000.00000000 EUR 2020-01-10 2173.5 N N N Entergy Arkansas LLC 549300A0I5ONUIFMLP35 29364DAQ3 1530000.00000000 PA USD 1551793.32000000 0.096831408665 Long DBT CORP US N 2 2021-02-15 Fixed 3.75000000 N N N N N N Alpek SAB de CV 549300PWKJTP62D4IQ66 020564AD2 200000.00000000 PA USD 204000.00000000 0.012729534992 Long DBT CORP MX Y 2 2029-09-18 Fixed 4.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3303.46000000 -0.00020613485 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 316000.00000000 EUR 351308.58000000 USD 2020-01-10 -3303.46 N N N Radnor RE Ltd. 254900JBDDKUTX6TX151 75049SAB9 235000.00000000 PA USD 234713.49000000 0.014646046980 Long ABS-MBS CORP BM Y 2 2029-02-25 Floating 3.74199800 N N N N N N Commercial Mortgage Trust N/A 12593QBC3 3000000.00000000 PA USD 3103781.70000000 0.193674989011 Long ABS-MBS CORP US N 2 2048-10-10 Fixed 3.37300000 N N N N N N Natixis Commercial Mortgage Securities Trust N/A 63875FAA4 170000.00000000 PA USD 170004.54000000 0.010608229121 Long ABS-MBS CORP US Y 2 2036-07-15 Floating 3.24000000 N N N N N N CVS Health Corp. 549300EJG376EN5NQE29 126650CX6 205000.00000000 PA USD 224023.26000000 0.013978980035 Long DBT CORP US N 2 2028-03-25 Fixed 4.30000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -182.53000000 -0.00001138981 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 99722.50000000 USD 10798989.00000000 JPY 2020-01-30 -182.53 N N N N/A N/A N/A -28.00000000 NC USD -2187.50000000 -0.00013649930 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Call Written United States of America U.S. Treasury 10 Year Note 100000.00000000 130 USD 2020-01-24 XXXX 6527.5 N N N Loomis Sayles CLO II Ltd. 549300SUQAYPCZFFGP18 54347LAN2 1000000.00000000 PA USD 993591.00000000 0.061999761776 Long ABS-CBDO CORP KY Y 2 2028-04-15 Floating 2.90088000 N N N N N N FFCB N/A 3133EJK24 5000000.00000000 PA USD 5121843.50000000 0.319601402245 Long DBT USGA US N 2 2021-10-19 Fixed 3.00000000 N N N N N N Odebrecht Oil & Gas Finance Ltd. N/A 67576JAB7 207137.00000000 PA USD 1553.53000000 0.000096939776 Long DBT CORP KY Y 2 2020-01-31 None 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1313.02000000 -0.00008193202 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 78000.00000000 EUR 86251.78000000 USD 2020-01-16 -1313.02 N N N Boston Properties LP BVHHEFJI6SHNOKQT2572 10112RBB9 800000.00000000 PA USD 832294.96000000 0.051934940280 Long DBT CORP US N 2 2029-06-21 Fixed 3.40000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 48125LRN4 700000.00000000 PA USD 702387.00000000 0.043828724973 Long DBT CORP US N 2 2021-04-26 Variable 3.08599900 N N N N N N N/A N/A N/A 1.00000000 NC N/A -4496.01000000 -0.00028054959 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 4520000.00000000 MXN 233864.75000000 USD 2020-01-22 -4496.01 N N N Sumitomo Mitsui Financial Group, Inc. 35380028MYWPB6AUO129 86562MBT6 1000000.00000000 PA USD 1003977.00000000 0.062647844867 Long DBT CORP JP N 2 2024-09-27 Fixed 2.44800000 N N N N N N Adjustable Rate Mortgage Trust N/A 007036LJ3 84935.50000000 PA USD 82223.75000000 0.005130735798 Long ABS-MBS CORP US N 2 2035-09-25 Variable 6.04888600 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138EJXL7 128216.55220000 PA USD 139346.85000000 0.008695199034 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.50000000 N N N N N N Washington Prime Group LP 549300K4BNOIQ154O537 939648AE1 400000.00000000 PA USD 370500.00000000 0.023119081934 Long DBT CORP US N 2 2024-08-15 Fixed 6.45000100 N N N N N N/A N/A N/A 139.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Put Purchased United States of America U.S. Treasury 5 Year Note 100000.00000000 111 USD 2020-02-21 XXXX -1195.4 N N N National Australia Bank Ltd. F8SB4JFBSYQFRQEH3Z21 63254AAL2 250000.00000000 PA USD 250831.58000000 0.015651810660 Long DBT CORP AU N 2 2020-07-23 Fixed 2.62500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -6220.43000000 -0.00038815284 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 180000.00000000 GBP 232493.40000000 USD 2020-02-14 -6220.43 N N N N/A N/A N/A 155.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Put Purchased United States of America U.S. Treasury 10 Year Note 100000.00000000 117.5 USD 2020-02-21 XXXX -1333 N N N CHL Mortgage Pass-Through Trust N/A 12669FN58 2139.86000000 PA USD 2052.72000000 0.000128089073 Long ABS-MBS CORP US N 2 2034-08-25 Variable 3.87826900 N N N N N N FFCB N/A 3133EJYF0 4300000.00000000 PA USD 4376101.40000000 0.273067332847 Long DBT USGA US N 2 2021-08-27 Fixed 2.70000000 N N N N N N KLA Corp. 549300H0BF5JCG96TJ81 482480AE0 312000.00000000 PA USD 343769.93000000 0.021451134084 Long DBT CORP US N 2 2024-11-01 Fixed 4.65000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828UN8 32925000.00000000 PA USD 33309310.48000000 2.078490359424 Long DBT UST US N 2 2023-02-15 Fixed 2.00000000 N N N N N N N/A N/A N/A -80.00000000 NC 9069.58000000 0.000565938901 N/A DIR DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Short Federal Republic of Germany Euro-Schatz 2020-03-06 -8952400 EUR 9069.58 N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61746BEA0 1000000.00000000 PA USD 1006316.00000000 0.062793797721 Long DBT CORP US N 2 2021-04-21 Fixed 2.50000000 N N N N N N AT&T, Inc. 549300Z40J86GGSTL398 00206RDK5 190000.00000000 PA USD 210832.11000000 0.013155856479 Long DBT CORP US N 2 2049-03-09 Fixed 4.55000000 N N N N N N Morgan Stanley Capital I Trust N/A 61745M2L6 37022.25000000 PA USD 37003.95000000 0.002309034688 Long ABS-MBS CORP US N 2 2056-07-15 Fixed 5.00000000 N N N N N N OneMain Direct Auto Receivables Trust N/A 68268XAA9 800000.00000000 PA USD 809710.32000000 0.050525665941 Long ABS-O CORP US Y 2 2024-12-16 Fixed 3.43000000 N N N N N N Banque Federative du Credit Mutuel SA VBHFXSYT7OG62HNT8T76 06675FAF4 255000.00000000 PA USD 256439.40000000 0.016001736841 Long DBT CORP FR Y 2 2020-10-15 Fixed 2.75000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 21H040624 28000000.00000000 PA USD 29009531.60000000 1.810185527503 Long ABS-MBS USGA US N 2 2050-02-15 Fixed 4.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 8462.49000000 0.000528056679 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 198770132.00000000 JPY 1840631.55000000 USD 2020-01-30 8462.49 N N N 2020-01-30 EQ Advisors Trust Brian Walsh Brian Walsh Chief Financial Officer and Treasurer