NPORT-P false 0001028621 XXXXXXXX S000001146 C000058169 C000003063 C000003064 METROPOLITAN WEST FUNDS 811-07989 0001028621 549300KGDNJW6FXNDC82 865 South Figueroa Street SUITE 1800 Los Angeles 90017 800-241-4671 Metropolitan West Low Duration Bond Fund S000001146 549300D28XTSYBVUGU24 2020-03-31 2020-03-31 N 2215454149.55 313054338.56 1902399810.99 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 5000000.00000000 287041968.76000000 0.00000000 1311693.72000000 USD JPY N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 504.00000000 NC USD 2005504.78000000 0.105419731878 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2020-06-30 109067432.46000000 USD 2005504.78000000 N N N 321 Henderson Receivables LLC N/A 46617LAA9 3709230.08000000 PA USD 3552857.77000000 0.186756629677 Long ABS-O CORP US N 2 2073-01-17 Fixed 4.08000000 N N N N N N SS&C Technologies Inc 549300KY09TR3J12JU49 78466DBE3 190962.76840000 PA USD 180459.82000000 0.009485904012 Long LON CORP US N 2 2025-04-16 Floating 2.73938000 N N N N N N DELL INT LLC / EMC CORP N/A 25272KAD5 8020000.00000000 PA USD 8021028.81000000 0.421626871684 Long DBT CORP US N 2 2021-06-15 Fixed 4.42000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828ZF0 345000.00000000 PA USD 347115.80000000 0.018246206606 Long DBT UST US N 1 2025-03-31 Fixed 0.50000000 N N N N N N ALLERGAN FUNDING SCS 222100FLFVOSKCBCAR54 00507UAS0 2615000.00000000 PA USD 2680589.30000000 0.140905675269 Long DBT CORP LU N 2 2025-03-15 Fixed 3.80000000 N N N N N N Delos Finance Sarl 549300HX549YWOJQT076 000000000 3950654.89130000 PA USD 3604972.59000000 0.189496054886 Long LON CORP LU N 2 2023-10-06 Floating 3.20013000 N N N N N N Indymac Manufactured Housing C N/A 22540AFG8 439798.17000000 PA USD 447200.96000000 0.023507201662 Long ABS-O CORP US N 2 2028-09-25 Fixed 6.49000000 N N N N N N JP Morgan Mortgage Trust N/A 46630GAA3 854411.96000000 PA USD 743402.45000000 0.039077088091 Long ABS-MBS CORP US N 2 2035-07-25 Variable 4.53894000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AA7 1525000.00000000 PA USD 1558371.09000000 0.081916066275 Long DBT CORP US N 2 2021-02-15 Fixed 4.95000000 N N N N N N Credit Suisse First Boston Mor N/A 22541Q4Y5 1373856.76000000 PA USD 1313530.57000000 0.069045978790 Long ABS-MBS CORP US N 2 2034-02-25 Variable 3.75246000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAH8 1000000.00000000 PA USD 972962.75000000 0.051143967970 Long DBT CORP GB N 2 2024-01-05 Fixed 3.37300000 N N N N N N PFS Financing Corp. N/A 69335PCT0 1990000.00000000 PA USD 1994700.98000000 0.104851828121 Long ABS-O CORP US N 2 2022-04-15 Floating 1.18463000 N N N N N N Lamar Media Corp N/A 000000000 491250.00000000 PA USD 472828.13000000 0.024854298621 Long LON CORP US N 2 2027-02-05 Floating 2.51625000 N N N N N N JP Morgan Mortgage Acquisition N/A 46630KAU0 50000.00000000 PA USD 38782.79000000 0.002038624571 Long ABS-MBS CORP US N 2 2047-03-25 Floating 1.22663000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAK2 3795000.00000000 PA USD 3783884.37000000 0.198900585888 Long DBT CORP US N 2 2025-07-15 Fixed 3.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138NJAB4 9775524.32000000 PA USD 9904582.26000000 0.520636209212 Long ABS-MBS USGSE US N 2 2020-12-01 Fixed 3.78900000 N N N N N N NORTHWEST AIR 2001-1 A1 N/A 667294AW2 1376693.76000000 PA USD 1388075.58000000 0.072964451109 Long DBT CORP US N 2 2022-04-01 Fixed 7.04100000 N N N N N N SLM Student Loan Trust 549300AQ8DWMCQEZWX44 83149VAA7 16310.07000000 PA USD 16300.01000000 0.000856813058 Long ABS-O CORP US N 2 2026-03-25 Floating 1.46663000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36966TJA1 4936000.00000000 PA USD 4810354.12000000 0.252857159268 Long DBT CORP US N 2 2023-04-15 Floating 2.83125000 N N N N N N DIGITAL REALTY TRUST LP CD4SPTZ3YBTHY0C1AH38 25389JAS5 1030000.00000000 PA USD 1025538.46000000 0.053907619948 Long DBT CORP US N 2 2023-02-01 Fixed 2.75000000 N N N N N N SS&C Technologies Inc 549300KY09TR3J12JU49 78466DBD5 267616.45960000 PA USD 252897.55000000 0.013293606766 Long LON CORP US N 2 2025-04-16 Floating 2.73938000 N N N N N N STANFORD HEALTH CARE 5493005311WCPXQGDG42 85434VAB4 2330000.00000000 PA USD 2474207.26000000 0.130057164940 Long DBT CORP US N 2 2030-08-15 Fixed 3.31000000 N N N N N N Hostess Brands LLC 549300SW7FLS4O41LD19 44108HAJ0 648370.93000000 PA USD 614331.46000000 0.032292447489 Long LON CORP US N 2 2025-08-03 Floating 2.25000000 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565EAQ8 8000000.00000000 PA USD 7996648.08000000 0.420345294075 Long DBT CORP US N 2 2020-04-06 Floating 2.28025000 N N N N N N Morgan Stanley Capital Barclay N/A 61691BAA9 4565000.00000000 PA USD 4331900.60000000 0.227707160975 Long ABS-MBS CORP US N 2 2031-09-13 Fixed 2.20040000 N N N N N N Option One Mortgage Loan Trust N/A 68389FKL7 3332244.66000000 PA USD 3050081.35000000 0.160328093620 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.16663000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397VU4 1000000.00000000 PA USD 985000.00000000 0.051776708256 Long DBT CORP US N 2 2021-08-02 Fixed 5.87500000 N N N N N N Fannie Mae N/A 3136B9AC1 24654223.22000000 PA USD 24435801.84000000 1.284472469921 Long ABS-MBS USGSE US N 2 2050-03-25 Floating 1.44663000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDG3 8310000.00000000 PA USD 9018483.18000000 0.474058246216 Long DBT CORP US N 2 2030-04-01 Fixed 3.40000000 N N N N N N DSLA Mortgage Loan Trust N/A 23332UDC5 678089.54000000 PA USD 608616.62000000 0.031992045861 Long ABS-MBS CORP US N 2 2045-03-19 Floating 0.96000000 N N N N N N Accredited Mortgage Loan Trust N/A 00438QAD6 10839291.10000000 PA USD 10402659.52000000 0.546817733049 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.16663000 N N N N N N MPH Acquisition Holdings LLC 5493002WXOPRPTXWTU06 55328HAE1 250000.00000000 PA USD 225000.00000000 0.011827166860 Long LON CORP US N 2 2023-06-07 Floating 2.75000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AH6 825000.00000000 PA USD 858351.90000000 0.045119427317 Long DBT CORP US N 2 2025-03-27 Fixed 2.40000000 N N N N N N SLM Student Loan Trust 549300JQFJDGC1WO7674 78445CAD4 3010774.48000000 PA USD 2936998.46000000 0.154383870468 Long ABS-O CORP US N 2 2023-07-25 Floating 2.89413000 N N N N N N Goal Capital Funding Trust 5493009VZI2B6V83UU74 38021BAG5 2245133.66000000 PA USD 2027198.54000000 0.106560068408 Long ABS-MBS CORP US N 2 2042-08-25 Floating 2.12925000 N N N N N N Encore Credit Receivables Trus N/A 126673J29 1351267.19000000 PA USD 1354250.45000000 0.071186426858 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.63663000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBA7 3952000.00000000 PA USD 3872940.36000000 0.203581830571 Long DBT CORP US N 2 2021-08-28 Floating 2.16325000 N N N N N N JP Morgan Chase Commercial Mor N/A 46635GAE0 5094918.75000000 PA USD 4995047.64000000 0.262565608509 Long ABS-MBS CORP US N 2 2043-11-15 Fixed 4.06980000 N N N N N N RUBY PIPELINE LLC 549300VXRTBPBK07QT94 781172AB7 2876931.81522300 PA USD 2567563.83000000 0.134964470410 Long DBT CORP US N 2 2022-04-01 Fixed 6.50000000 N N N N N N Credit-Based Asset Servicing a N/A 12489WME1 2422526.29000000 PA USD 2373925.57000000 0.124785839248 Long ABS-O CORP US N 2 2035-07-25 Floating 1.39663000 N N N N N N Freddie Mac N/A 3128MBSV0 179970.32000000 PA USD 184315.33000000 0.009688569612 Long ABS-MBS USGSE US N 2 2022-09-01 Fixed 6.00000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 91911KAK8 5000000.00000000 PA USD 5124975.00000000 0.269395264359 Long DBT CORP US N 2 2024-03-15 Fixed 7.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148YAC2 726000.00000000 PA USD 730701.00000000 0.038409434009 Long DBT CORP US N 2 2022-10-31 Fixed 2.87600000 N N N N N N Fannie Mae N/A 31398FDH1 2623929.00000000 PA USD 2647443.47000000 0.139163358548 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 2.14663000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CE6 4100000.00000000 PA USD 4068799.16000000 0.213877184832 Long DBT CORP US N 2 2020-11-16 Floating 1.89175000 N N N N N N SLM Student Loan Trust 5493004WA7G168XIR344 78448AAA1 3010204.96000000 PA USD 2908022.35000000 0.152860735855 Long ABS-O CORP US N 2 2043-06-25 Floating 1.49663000 N N N N N N Vistra Operations Company LLC 549300ZH5GKBTJZ7NM23 88233FAK6 250000.00000000 PA USD 238906.25000000 0.012558151478 Long LON CORP US N 2 2025-12-31 Floating 1.75000000 N N N N N N Fannie Mae N/A 31398NEQ3 5143274.00000000 PA USD 1295434.88000000 0.068094775478 Long ABS-MBS USGSE US N 2 2040-09-25 Floating 5.65337000 N N N N N N AMER AIRLN PT TRS 11-1 N/A 023767AA4 650916.40200000 PA USD 639536.89000000 0.033617375606 Long DBT CORP US N 2 2021-01-31 Fixed 5.25000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F022659 19950000.00000000 PA USD 20629544.88000000 1.084395864677 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 2.50000000 N N N N N N Fannie Mae N/A 3136B72K6 8120195.52000000 PA USD 8056212.76000000 0.423476322561 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 1.44663000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAQ9 4000000.00000000 PA USD 3685793.72000000 0.193744432621 Long DBT CORP US N 2 2021-09-25 Fixed 4.37500000 N N N N N N Fannie Mae N/A 31396WVQ6 328909.84000000 PA USD 328019.28000000 0.017242394480 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 1.41663000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAY5 715000.00000000 PA USD 713353.67000000 0.037497568380 Long DBT CORP US N 2 2020-06-15 Fixed 2.80000000 N N N N N N BENCHMARK Mortgage Trust N/A 08161HAA8 2625611.38000000 PA USD 2673692.36000000 0.140543136335 Long ABS-MBS CORP US N 2 2051-07-15 Fixed 3.12500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50076QAZ9 1445000.00000000 PA USD 1441946.28000000 0.075796174477 Long DBT CORP US N 2 2022-06-06 Fixed 3.50000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AP4 1245000.00000000 PA USD 1232508.73000000 0.064787050696 Long DBT CORP GB N 2 2023-11-07 Fixed 2.90700000 N N N N N N GCO Education Loan Funding Tru BMMMD49PLG3NGJVYVM66 36156YAW1 6930176.72000000 PA USD 6206683.60000000 0.326255478167 Long ABS-MBS CORP US N 2 2046-08-27 Floating 2.31088000 N N N N N N BX Trust N/A 056059AA6 2284450.10000000 PA USD 2188384.40000000 0.115032833127 Long ABS-MBS CORP US N 2 2035-11-15 Floating 1.45463000 N N N N N N FHLMC Multifamily Structured P N/A 3137FCWW0 285519.80000000 PA USD 287513.98000000 0.015113225849 Long ABS-MBS USGSE US N 2 2022-03-25 Fixed 2.45500000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 1000000.00000000 PA USD 1040966.04000000 0.054718573560 Long DBT CORP US N 2 2025-12-15 Fixed 4.25000000 N N N N N N JP Morgan Mortgage Trust N/A 46630GAS4 196842.91000000 PA USD 181113.23000000 0.009520250630 Long ABS-MBS CORP US N 2 2035-07-25 Variable 3.98299000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225CUP9 22957.38000000 PA USD 23125.60000000 0.001215601466 Long ABS-MBS USGA US N 2 2032-03-20 Floating 4.00000000 N N N N N N Mid-State Trust N/A 59548PAA7 4501380.48000000 PA USD 4708831.10000000 0.247520582834 Long ABS-O CORP US N 2 2040-10-15 Fixed 5.78700000 N N N N N N Fannie Mae N/A 31393UVF7 86562.80000000 PA USD 86250.14000000 0.004533754655 Long ABS-MBS USGSE US N 2 2033-12-25 Floating 1.39663000 N N N N N N Freddie Mac Multiclass Certifi N/A 3137FRV99 1950000.00000000 PA USD 331454.37000000 0.017422960625 Long ABS-MBS USGSE US N 2 2033-05-01 Variable 1.83575000 N N N N N N SLM Student Loan Trust N/A 78448EAC9 4844577.76000000 PA USD 4517505.93000000 0.237463539677 Long ABS-O CORP US N 2 2029-02-26 Floating 1.54663000 N N N N N N FHLMC Multifamily Structured P N/A 3137FJYA1 3125536.45000000 PA USD 3186410.02000000 0.167494235522 Long ABS-MBS USGSE US N 2 2023-05-25 Fixed 3.45400000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAA8 6712500.00000000 PA USD 6704109.38000000 0.352402756837 Long DBT CORP US N 2 2021-09-20 Variable 3.36000000 N N N N N N Banc of America Alternative Lo N/A 05948XTV3 7140174.99000000 PA USD 7110366.90000000 0.373757758959 Long ABS-MBS CORP US N 2 2033-10-25 Fixed 5.50000000 N N N N N N Banc of America Funding Corpor N/A 05990TBD8 2275638.78000000 PA USD 2248408.03000000 0.118187986405 Long ABS-MBS CORP US N 2 2036-03-27 Floating 1.16163000 N N N N N N JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRN4 261000.00000000 PA USD 260898.53000000 0.013714179768 Long DBT CORP US N 2 2021-04-26 Fixed 3.08600000 N N N N N N Credit-Based Asset Servicing a N/A 12464YAA7 2654166.03000000 PA USD 1612182.65000000 0.084744680938 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.00663000 N N N N N N Morgan Stanley Capital I Trust N/A 617459AD4 5052771.74000000 PA USD 5202994.18000000 0.273496357071 Long ABS-MBS CORP US N 2 2044-06-15 Fixed 4.66100000 N N N N N N COMM Mortgage Trust N/A 12591RAY6 4974213.97000000 PA USD 5120724.37000000 0.269171829203 Long ABS-MBS CORP US N 2 2047-02-10 Fixed 3.59500000 N N N N N N US TREASURY FRN 254900HROIFWPRGM1V77 9128287G9 10000000.00000000 PA USD 10010553.00000000 0.526206580875 Long DBT UST US N 1 2021-07-31 Floating 0.22000000 N N N N N N FHLMC Multifamily Structured P N/A 3137A6B27 8170229.40000000 PA USD 8188751.56000000 0.430443249242 Long ABS-MBS USGSE US N 2 2020-10-25 Variable 4.33300000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796SZ3 20000000.00000000 PA USD 19995951.40000000 1.051090905522 Long DBT UST US N 1 2020-07-16 None 0.00000000 N N N N N N Freddie Mac N/A 3137AR4C7 4555880.24000000 PA USD 4520757.09000000 0.237634437508 Long ABS-MBS USGSE US N 2 2041-02-15 Floating 1.05463000 N N N N N N ESSEX PORTFOLIO LP 5493003GN3O58H286O74 29717PAJ6 1405000.00000000 PA USD 1428315.05000000 0.075079646336 Long DBT CORP US N 2 2021-03-15 Fixed 5.20000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RCE0 1700000.00000000 PA USD 1778896.32000000 0.093508016018 Long DBT CORP US N 2 2024-03-11 Fixed 3.90000000 N N N N N N Grifols Worldwide Operations USA Inc N/A 39843PAG8 250000.00000000 PA USD 238541.25000000 0.012538965186 Long LON CORP US N 2 2027-11-15 Floating 2.00000000 N N N N N N SLM Student Loan Trust 5493000NQN5E3MSIIG77 78442GJG2 5704055.99000000 PA USD 5657050.01000000 0.297363886251 Long ABS-O CORP US N 2 2027-12-15 Floating 1.21050000 N N N N N N Fannie Mae N/A 31398GSH3 79598.85000000 PA USD 80438.25000000 0.004228251576 Long ABS-MBS USGSE US N 2 2039-12-25 Fixed 5.00000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BN8 4665000.00000000 PA USD 4840768.57000000 0.254455900491 Long DBT CORP US N 2 2024-03-15 Fixed 5.00000000 N N N N N N IQVIA INC 549300PLWY28YB00C717 000000000 450336.70000000 PA USD 419938.97000000 0.022074170086 Long LON CORP US N 2 2024-03-07 Floating 2.52290000 N N N N N N HEALTHCARE REALTY TRUST 549300CB86LH2IOKHH22 421946AH7 5000000.00000000 PA USD 4999981.00000000 0.262824931495 Long DBT CORP US N 2 2023-04-15 Fixed 3.75000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAP9 2820000.00000000 PA USD 3129498.02000000 0.164502645654 Long DBT CORP US N 2 2030-03-26 Fixed 3.35000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38373M4R8 2910844.93000000 PA USD 2966680.61000000 0.155944118205 Long ABS-MBS USGA US N 2 2044-03-16 Variable 5.55600000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XBE3 4170000.00000000 PA USD 3771718.17000000 0.198261067321 Long DBT CORP US N 2 2022-01-15 Fixed 3.50000000 N N N N N N EDUCATION LOAN ASSET-BACKED TR 5493000CKEJUMJ3IL355 28140DAD5 8375000.00000000 PA USD 8075205.99000000 0.424474705230 Long ABS-MBS CORP US N 2 2032-04-26 Floating 1.74663000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00772BAR2 1935000.00000000 PA USD 1753802.21000000 0.092188939457 Long DBT CORP IE N 2 2022-02-01 Fixed 3.95000000 N N N N N N Nelnet Student Loan Trust N/A 64033CAA8 2483940.39000000 PA USD 2382553.64000000 0.125239375352 Long ABS-O CORP US N 2 2041-06-25 Floating 1.54663000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92936TAB8 198020.00000000 PA USD 202507.18000000 0.010644827592 Long ABS-MBS CORP US N 2 2045-06-15 Fixed 3.43100000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174467P8 3450000.00000000 PA USD 3482791.15000000 0.183073564761 Long DBT CORP US N 2 2020-07-24 Fixed 5.50000000 N N N N N N GS Mortgage Securities Trust N/A 36249KAC4 4194564.90000000 PA USD 4180595.74000000 0.219753792859 Long ABS-MBS CORP US N 2 2043-08-10 Fixed 4.59200000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAC4 2070000.00000000 PA USD 1799191.94000000 0.094574859059 Long DBT CORP IE N 2 2023-03-15 Fixed 4.50000000 N N N N N N SLM Student Loan Trust 549300DP3T6QDZHB8271 78444CAD5 2670632.08000000 PA USD 2639624.57000000 0.138752356615 Long ABS-O CORP US N 2 2024-10-25 Floating 2.17413000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBF2 3000000.00000000 PA USD 2888078.22000000 0.151812368951 Long DBT CORP US N 2 2021-03-01 Fixed 4.20000000 N N N N N N Mid-State Trust N/A 59549RAG9 548774.30000000 PA USD 567833.89000000 0.029848294071 Long ABS-O CORP US N 2 2036-02-15 Fixed 5.82000000 N N N N N N Charter Communications Operating LLC 549300TPZNMN50BJ3745 16117LBX6 249373.43000000 PA USD 240645.36000000 0.012649568119 Long LON CORP US N 2 2027-02-01 Floating 1.75000000 N N N N N N ZIMMER BIOMET HOLDINGS 2P2YLDVPES3BXQ1FRB91 98956PAS1 3000000.00000000 PA USD 2953542.00000000 0.155253484726 Long DBT CORP US N 2 2026-01-15 Fixed 3.05000000 N N N N N N Morgan Stanley Capital I Trust N/A 61760RBB7 4279543.99000000 PA USD 4309480.26000000 0.226528631631 Long ABS-MBS CORP US N 2 2049-07-15 Fixed 4.11800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38373MYH7 1042999.86000000 PA USD 1052638.64000000 0.055332145951 Long ABS-MBS USGA US N 2 2041-04-16 Variable 5.27800000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17313JAE4 90000.00000000 PA USD 76218.87000000 0.004006459081 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.24663000 N N N N N N ALLERGAN FINANCE LLC 2549006TBOV0H6GV7T12 942683AF0 1500000.00000000 PA USD 1494812.03000000 0.078575072461 Long DBT CORP US N 2 2022-10-01 Fixed 3.25000000 N N N N N N COMM Mortgage Trust N/A 12622DAC8 4217705.48000000 PA USD 4223582.43000000 0.222013396216 Long ABS-MBS CORP US N 2 2046-07-10 Fixed 4.20500000 N N N N N N SL GREEN OPERATING PARTN 2K1OXW4LY7IS2U150Y32 78444FAG1 5000000.00000000 PA USD 4867014.00000000 0.255835496402 Long DBT CORP US N 2 2021-08-16 Floating 2.67175000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FAN8 11605000.00000000 PA USD 11600556.21000000 0.609785395424 Long DBT CORP US N 2 2020-05-01 Fixed 3.05000000 N N N N N N First Horizon Alternative Mort N/A 32051D6B3 3691.05000000 PA USD 3377.40000000 0.000177533659 Long ABS-MBS CORP US N 2 2034-09-25 Variable 3.53377000 N N N N N N Freddie Mac N/A 31392KC38 6133.09000000 PA USD 6241.41000000 0.000328080877 Long ABS-MBS USGSE US N 2 2031-06-15 Floating 1.70463000 N N N N N N Merrill Lynch Mortgage Investo N/A 59023WAC2 102887.66000000 PA USD 103357.94000000 0.005433029345 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.25663000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RQN2 11570.84000000 PA USD 12934.52000000 0.000679905450 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 6.50000000 N N N N N N Mid-State Trust 5493001662PV30WKJE68 59560UAD3 814688.04000000 PA USD 902617.24000000 0.047446243149 Long ABS-O CORP US N 2 2037-08-15 Fixed 8.90000000 N N N N N N NCUA Guaranteed Notes N/A 62888WAA4 6311929.74000000 PA USD 6299538.16000000 0.331136395389 Long ABS-MBS USGA US N 2 2020-12-08 Floating 1.57625000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGY9 9705000.00000000 PA USD 9735949.54000000 0.511771998911 Long DBT CORP US N 2 2022-01-23 Fixed 2.73800000 N N N N N N Freddie Mac N/A 31398QDH7 142113.15000000 PA USD 160444.51000000 0.008433795518 Long ABS-MBS USGSE US N 2 2040-05-15 Fixed 6.00000000 N N N N N N Fanniemae-Aces N/A 3136B9DY0 4515000.00000000 PA USD 429512.85000000 0.022577422869 Long ABS-MBS USGSE US N 2 2028-11-25 Variable 1.43810000 N N N N N N Chase Funding Mortgage Loan As N/A 161551FY7 19669.97000000 PA USD 19472.48000000 0.001023574533 Long ABS-MBS CORP US N 2 2032-02-25 Floating 1.84663000 N N N N N N LG&E AND KU ENERGY LLC N/A 50188FAD7 3400000.00000000 PA USD 3377093.96000000 0.177517572304 Long DBT CORP US N 2 2020-11-15 Fixed 3.75000000 N N N N N N FHLMC Multifamily Structured P N/A 3137FPJ48 11456353.24000000 PA USD 11993349.18000000 0.630432630970 Long ABS-MBS USGSE US N 2 2025-07-25 Fixed 2.13500000 N N N N N N CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 000000000 -893.00000000 NC USD -1017674.17000000 -0.05349423208 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2020-06-30 -110928252.17000000 USD -1017674.17000000 N N N Toyota Auto Receivables Owner N/A 89232HAB1 8510000.00000000 PA USD 8485474.18000000 0.446040528966 Long ABS-O CORP US N 2 2022-11-15 Fixed 1.67000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BQ6 1720000.00000000 PA USD 1775579.32000000 0.093333657296 Long DBT CORP US N 2 2024-02-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202CXQ1 6275.72000000 PA USD 6990.24000000 0.000367443266 Long ABS-MBS USGA US N 2 2027-09-20 Fixed 8.50000000 N N N N N N GSR Mortgage Loan Trust N/A 362341WZ8 291806.21000000 PA USD 269814.88000000 0.014182869365 Long ABS-MBS CORP US N 2 2035-11-25 Variable 4.15353800 N N N N N N FORD MOTOR CREDIT CO N/A 000000000 3625000.00000000 PA USD 3570186.74000000 0.187667530209 Long DBT CORP US N 2 2020-10-08 None 0.00000000 N N N N N N GRACE MORTGAGE TRUST N/A 38406HAE2 9800000.00000000 PA USD 9852549.56000000 0.517901100656 Long ABS-MBS CORP US N 2 2028-06-10 Fixed 3.52000000 N N N N N N NCUA Guaranteed Notes N/A 62888WAB2 2916587.10000000 PA USD 2917087.59000000 0.153337251883 Long ABS-MBS USGA US N 2 2020-12-08 Floating 1.57625000 N N N N N N FHLMC Multifamily Structured P N/A 3137FARM2 3194060.83000000 PA USD 3195094.27000000 0.167950724739 Long ABS-MBS USGSE US N 2 2044-05-25 Floating 2.70585000 N N N N N N Honda Auto Receivables Owner T N/A 43815HAC1 2516755.57000000 PA USD 2543347.86000000 0.133691553442 Long ABS-O CORP US N 2 2022-08-22 Fixed 2.95000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CU2 4330000.00000000 PA USD 4386276.01000000 0.230565414518 Long DBT CORP US N 2 2026-06-01 Fixed 2.87500000 N N N N N N Change Healthcare Holdings LLC 549300GHXFJ3EKF50583 15911AAC7 1000000.00000000 PA USD 955000.00000000 0.050199752674 Long LON CORP US N 2 2024-03-01 Floating 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378CLK1 281516.76000000 PA USD 281225.91000000 0.014782692280 Long ABS-MBS USGA US N 2 2038-07-20 Floating 1.07288000 N N N N N N Morgan Stanley Mortgage Loan T N/A 61748HBF7 101238.84000000 PA USD 100313.26000000 0.005272985174 Long ABS-MBS CORP US N 2 2034-07-25 Floating 1.84663000 N N N N N N DOLLAR TREE INC 549300PMSTQITB1WHR43 256746AE8 2334000.00000000 PA USD 2333512.38000000 0.122661512397 Long DBT CORP US N 2 2020-04-17 Floating 2.53613000 N N N N N N CIGNA HOLDING CO 45RS2W538ZOGNWLVIX82 125509BM0 1725000.00000000 PA USD 1737229.13000000 0.091317772424 Long DBT CORP US N 2 2020-06-15 Fixed 5.12500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWM2 6814000.00000000 PA USD 6801065.67000000 0.357499282259 Long DBT CORP US N 2 2023-07-24 Fixed 2.90500000 N N N N N N Freddie Mac N/A 3137FRTX9 10232791.28000000 PA USD 10113200.34000000 0.531602257400 Long ABS-MBS USGSE US N 2 2050-03-25 Floating 1.15463000 N N N N N N Navient Student Loan Trust N/A 63940GAA3 9614212.78000000 PA USD 9310215.22000000 0.489393195174 Long ABS-O CORP US N 2 2066-03-25 Floating 2.09663000 N N N N N N First Franklin Mtg Loan Asset N/A 32027NKU4 678609.28000000 PA USD 694228.02000000 0.036492225030 Long ABS-MBS CORP US N 2 2034-08-25 Floating 1.94663000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHC6 2801000.00000000 PA USD 2861662.49000000 0.150423821189 Long DBT CORP US N 2 2023-12-20 Fixed 3.00400000 N N N N N N REYNOLDS GRP ISS/REYNOLD N/A 761735AR0 550000.00000000 PA USD 539962.50000000 0.028383229270 Long DBT CORP US N 2 2021-07-15 Floating 5.33125000 N N N N N N Residential Accredit Loans, In N/A 76110H2H1 2077458.39000000 PA USD 1139438.15000000 0.059894778343 Long ABS-MBS CORP US N 2 2035-03-25 Variable 3.68848800 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBK7 9690000.00000000 PA USD 10715323.90000000 0.563252994354 Long DBT CORP US N 2 2030-03-19 Fixed 3.48200000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397VR1 5241000.00000000 PA USD 5136180.00000000 0.269984257269 Long DBT CORP US N 2 2021-02-01 Fixed 5.75000000 N N N N N N GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 000000000 300000.00000000 NC USD 3864.00000000 0.000203111878 N/A DIR CORP US N 2 GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 Call Purchased GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2023-12-24 0.00000000 USD 0.00000000 USD 0.00000000 USD 300000.00000000 USD 313.00000000 USD 2023-12-24 XXXX -935136.00000000 N N N Brazos Higher Education Author N/A 10620NCL0 5075000.00000000 PA USD 4642667.20000000 0.244042665121 Long ABS-MBS CORP US N 2 2036-10-27 Floating 2.79413000 N N N N N N NATIONWIDE MUTUAL INSURA Z7LVXXWM8HZPKF5T2355 638671AJ6 3550000.00000000 PA USD 3576210.01000000 0.187984144517 Long DBT CORP US N 2 2024-12-15 Floating 3.03050000 N N N N N N BCAP LLC Trust N/A 05542MAE5 2449591.90000000 PA USD 2402048.51000000 0.126264126821 Long ABS-MBS CORP US N 2 2037-03-26 Variable 3.35096000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109AN4 3000000.00000000 PA USD 3015986.58000000 0.158535895692 Long DBT CORP US N 2 2022-10-15 Fixed 3.25000000 N N N N N N Freddie Mac N/A 31397JE91 1847567.75000000 PA USD 1816323.72000000 0.095475394262 Long ABS-MBS USGSE US N 2 2035-08-15 Floating 1.00463000 N N N N N N FRESENIUS MED CARE II 5493008GJ5TVVTY4UM62 35802XAH6 3353000.00000000 PA USD 3339252.70000000 0.175528439432 Long DBT CORP US N 2 2020-10-15 Fixed 4.12500000 N N N N N N IQVIA Inc 549300PLWY28YB00C717 44969CBJ8 740615.48000000 PA USD 714693.94000000 0.037568019922 Long LON CORP US N 2 2025-06-11 Floating 3.20013000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 939336V91 541436.91000000 PA USD 507762.95000000 0.026690653934 Long ABS-MBS CORP US N 2 2035-01-25 Variable 3.87480900 N N N N N N American Money Management Corp 549300MYS7FLQJZMYD18 00176PAJ1 2200000.00000000 PA USD 2140012.60000000 0.112490160461 Long ABS-CBDO CORP KY N 2 2028-10-16 Floating 2.97125000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F022451 79375000.00000000 PA USD 82303524.75000000 4.326300090787 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 2.50000000 N N N N N N Intelsat Jackson Holdings SA 8XJ8KF85PBKK1TLMFN29 000000000 4252053.75000000 PA USD 3991615.46000000 0.209820009282 Long LON CORP LU N 2 2024-01-02 Fixed 6.62500000 N N N N N N BROADCOM CRP / CAYMN FI N/A 11134LAD1 6160000.00000000 PA USD 6096161.33000000 0.320445854482 Long DBT CORP US N 2 2022-01-15 Fixed 3.00000000 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 075887AW9 875000.00000000 PA USD 870638.13000000 0.045765255282 Long DBT CORP US N 2 2020-11-12 Fixed 3.25000000 N N N N N N Honda Auto Receivables Owner T 54930055DOVJH2UEOS50 43814UAC3 1628377.08000000 PA USD 1635980.62000000 0.085995625659 Long ABS-O CORP US N 2 2022-02-15 Fixed 2.64000000 N N N N N N NGPL PIPECO LLC 549300K3NT1HSQFEM073 62912XAE4 4699000.00000000 PA USD 4490065.26000000 0.236021115753 Long DBT CORP US N 2 2022-08-15 Fixed 4.37500000 N N N N N N SLM Student Loan Trust N/A 78447KAC6 9809218.31000000 PA USD 9004326.83000000 0.473314115044 Long ABS-O CORP US N 2 2026-05-26 Floating 1.59663000 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J5P8 8635000.00000000 PA USD 8651034.07000000 0.454743215386 Long DBT CORP US N 2 2021-07-23 Fixed 3.32500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418MS45 243362.77000000 PA USD 256615.82000000 0.013489058320 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 6.00000000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC USD 1371501.01000000 0.072093205753 N/A DFE CORP US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 -5490000000.00000000 JPY 52375900.58000000 USD 2020-06-08 1371501.01000000 N N N HUMANA INC 529900YLDW34GJAO4J06 444859BH4 5675000.00000000 PA USD 5694410.77000000 0.299327761551 Long DBT CORP US N 2 2020-12-15 Fixed 2.50000000 N N N N N N Frontier Communications Corporation 549300ZCZ76HYCS0H445 35906EAJ9 1691304.34780000 PA USD 1616514.87000000 0.084972404888 Long LON CORP US N 2 2024-06-17 Floating 5.34953000 N N N N N N MASTR Seasoned Securitization N/A 55265WBD4 198930.53000000 PA USD 179405.32000000 0.009430474023 Long ABS-MBS CORP US N 2 2032-10-25 Variable 4.46503700 N N N N N N Freddie Mac N/A 31398CKM9 331044.66000000 PA USD 333975.35000000 0.017555476407 Long ABS-MBS USGSE US N 2 2038-06-15 Floating 1.64463000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 2708705.36000000 0.142383601194 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2023-01-21 20825.86000000 USD 0.00000000 USD 110270000.00000000 USD 2687879.50000000 N N N Freddie Mac N/A 3133TLMU9 361692.56000000 PA USD 408523.61000000 0.021474119564 Long ABS-MBS USGSE US N 2 2029-07-15 Fixed 6.00000000 N N N N N N Recette CLO LLC 549300392I5L5XOJ0016 75620TAR9 3775596.96000000 PA USD 3715564.97000000 0.195309363916 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 2.73913000 N N N N N N ZIMMER BIOMET HOLDINGS 2P2YLDVPES3BXQ1FRB91 98956PAP7 2685000.00000000 PA USD 2652926.04000000 0.139451550860 Long DBT CORP US N 2 2021-03-19 Floating 1.80188000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDC1 3000000.00000000 PA USD 2888400.00000000 0.151829283377 Long DBT CORP US N 2 2024-09-01 Fixed 4.62500000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZM8 1662000.00000000 PA USD 1616295.00000000 0.084960847381 Long DBT CORP US N 2 2022-01-07 Fixed 5.59600000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AJ5 1715000.00000000 PA USD 1591848.17000000 0.083675795214 Long DBT CORP US N 2 2024-05-15 Fixed 5.75000000 N N N N N N MET LIFE GLOB FUNDING I 635400MMSOCXNNNZDZ82 59217GCS6 1550000.00000000 PA USD 1575169.46000000 0.082799075720 Long DBT CORP US N 2 2022-01-11 Fixed 3.37500000 N N N N N N Chase Mortgage Finance Corpora N/A 16163LAF9 1232931.21000000 PA USD 1130398.43000000 0.059419603779 Long ABS-MBS CORP US N 2 2035-06-25 Variable 4.13307000 N N N N N N UBS-Barclays Commercial Mortga N/A 90270RBD5 13800000.00000000 PA USD 14027447.46000000 0.737355385495 Long ABS-MBS CORP US N 2 2045-12-10 Fixed 2.79190000 N N N N N N BX Trust N/A 05607QAA6 5429000.00000000 PA USD 5130109.12000000 0.269665140332 Long ABS-MBS CORP US N 2 2036-12-15 Floating 1.50463000 N N N N N N Fannie Mae N/A 31398MDK9 6748879.55000000 PA USD 1478178.74000000 0.077700740478 Long ABS-MBS USGSE US N 2 2036-11-25 Floating 5.28337000 N N N N N N Freddie Mac N/A 3137A63Z3 295269.91000000 PA USD 295519.18000000 0.015534020677 Long ABS-MBS USGSE US N 2 2040-11-15 Floating 1.10463000 N N N N N N SHIRE ACQ INV IRELAND DA 549300XK5HGW68R8K327 82481LAB5 6137000.00000000 PA USD 6090383.04000000 0.320142117593 Long DBT CORP IE N 2 2021-09-23 Fixed 2.40000000 N N N N N N GFL Environmental Inc 549300FYK4MBXWIVZU26 000000000 1359461.19000000 PA USD 1324910.48000000 0.069644165876 Long LON CORP CA N 2 2025-05-30 Floating 3.00000000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 124857AS2 2095000.00000000 PA USD 2006171.27000000 0.105454766049 Long DBT CORP US N 2 2023-02-15 Fixed 2.50000000 N N N N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 025537AL5 5000000.00000000 PA USD 5063648.70000000 0.266171635990 Long DBT CORP US N 2 2021-12-01 Fixed 3.65000000 N N N N N N Transdigm Inc 88Q84GB3X55CF5OC7582 89364MBQ6 897750.00000000 PA USD 827424.75000000 0.043493735923 Long LON CORP US N 2 2025-05-30 Floating 2.25000000 N N N N N N CONTL AIRLINES 2000-2 N/A 210805DD6 351816.04500000 PA USD 347438.13000000 0.018263149943 Long DBT CORP US N 2 2021-04-02 Fixed 7.70700000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29273RAY5 4292000.00000000 PA USD 3837471.84000000 0.201717421218 Long DBT CORP US N 2 2024-02-01 Fixed 4.90000000 N N N N N N GRACE MORTGAGE TRUST N/A 38406HAA0 4400000.00000000 PA USD 4356726.44000000 0.229012135873 Long ABS-MBS CORP US N 2 2028-06-10 Fixed 3.36870000 N N N N N N Toyota Auto Receivables Owner N/A 89237RAE8 4505000.00000000 PA USD 4511806.15000000 0.237163929681 Long ABS-O CORP US N 2 2022-12-15 Fixed 1.98000000 N N N N N N Morgan Stanley Capital I Trust N/A 617458AG9 962096.22000000 PA USD 973812.63000000 0.051188642070 Long ABS-MBS CORP US N 2 2047-09-15 Variable 5.03300000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HJD3 5267000.00000000 PA USD 5478580.92000000 0.287982625331 Long DBT CORP US N 2 2022-01-24 Fixed 4.50000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AF7 3988000.00000000 PA USD 4109251.95000000 0.216003593264 Long DBT CORP US N 2 2023-07-15 Fixed 3.75000000 N N N N N N GE BUSINESS LOAN TRUST 54930088DNNKVNIBN966 36160RAA8 565339.65000000 PA USD 516209.77000000 0.027134662599 Long ABS-MBS CORP US N 2 2035-04-15 Floating 0.87463000 N N N N N N Fanniemae-Aces N/A 3136AY2G7 12156933.02000000 PA USD 13212503.71000000 0.694517715659 Long ABS-MBS USGSE US N 2 2027-11-25 Variable 2.87583900 N N N N N N Berry Global Inc 549300AP2Q7ERHX6RI89 08579JBF8 1347000.00000000 PA USD 1287509.75000000 0.067678189545 Long LON CORP US N 2 2026-07-01 Floating 2.86263000 N N N N N N SLM Student Loan Trust 549300EQOYJZL2D96G46 78445AAD8 4448970.78000000 PA USD 4136068.44000000 0.217413207050 Long ABS-O CORP US N 2 2022-07-25 Floating 3.44413000 N N N N N N KANSAS CITY POWER & LT 1128SIJQ26096WL7IO82 485134BP4 2555000.00000000 PA USD 2662314.62000000 0.139945063315 Long DBT CORP US N 2 2025-08-15 Fixed 3.65000000 N N N N N N MortgageIT Trust N/A 61915RAK2 254187.59000000 PA USD 232235.29000000 0.012207491225 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.54663000 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887BW1 8203000.00000000 PA USD 8089485.74000000 0.425225322945 Long DBT CORP US N 2 2020-10-09 Floating 2.37800000 N N N N N N PENNSYLVANIA ELECTRIC CO O1PLQWO3TX952VMBJ146 708696BX6 500000.00000000 PA USD 537292.15000000 0.028242861826 Long DBT CORP US N 2 2025-04-15 Fixed 4.15000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202CRF2 382.39000000 PA USD 423.84000000 0.000022279228 Long ABS-MBS USGA US N 2 2026-09-20 Fixed 8.50000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36966TLF7 7000000.00000000 PA USD 6909013.65000000 0.363173587911 Long DBT CORP US N 2 2021-02-15 Fixed 2.00000000 N N N N N N Student Loan Consolidation Cen 5493008KMDJ3GC7JUA63 86386MAX2 3500000.00000000 PA USD 3194663.50000000 0.167928081234 Long ABS-O CORP US N 2 2042-07-01 Floating 0.01000000 N N N N N N Navient Student Loan Trust N/A 63939RAA2 2756402.44000000 PA USD 2705160.64000000 0.142197272327 Long ABS-O CORP US N 2 2066-12-27 Floating 1.99663000 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 539473AH1 2000000.00000000 PA USD 2058142.40000000 0.108186638166 Long DBT CORP GB N 2 2021-01-21 Fixed 6.37500000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92937EAD6 8050000.00000000 PA USD 7993129.17000000 0.420160321916 Long ABS-MBS CORP US N 2 2045-03-15 Fixed 3.03700000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 5490000000.00000000 PA 50875007.94000000 2.674254257496 Long DBT NUSS JP N 2 2020-06-08 None 0.00000000 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBJ8 3000000.00000000 PA USD 3212295.30000000 0.168854900081 Long DBT CORP GB N 2 2025-05-30 Fixed 4.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404KNR9 167887.48000000 PA USD 170012.48000000 0.008936737641 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 4.42800000 N N N N N N BLACK HILLS CORP 3MGELCRSTNSAMJ962671 092113AH2 4050000.00000000 PA USD 4268861.60000000 0.224393504211 Long DBT CORP US N 2 2023-11-30 Fixed 4.25000000 N N N N N N SLM Student Loan Trust 5493007HR3ICKG09D287 784439AD3 5256383.16000000 PA USD 4974523.28000000 0.261486741707 Long ABS-O CORP US N 2 2022-01-25 Floating 2.44413000 N N N N N N ALLERGAN FUNDING SCS 222100FLFVOSKCBCAR54 00507UAF8 2500000.00000000 PA USD 2622787.00000000 0.137867286616 Long DBT CORP LU N 2 2024-06-15 Fixed 3.85000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202KRU1 10551.45000000 PA USD 10637.91000000 0.000559183718 Long ABS-MBS USGA US N 2 2025-02-20 Floating 4.00000000 N N N N N N Impac CMB Trust N/A 45254NPU5 2170139.32000000 PA USD 1867066.56000000 0.098142701088 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.58663000 N N N N N N INGERSOLL-RAND CO XRCBIIVYC7OYQ5IGZZ62 456866AG7 1100000.00000000 PA USD 1229975.43000000 0.064653887310 Long DBT CORP US N 2 2021-08-15 Fixed 9.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EG5M2 1096072.63000000 PA USD 1265043.77000000 0.066497261127 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FD47 314815.13000000 PA USD 282900.43000000 0.014870713735 Long ABS-MBS CORP US N 2 2045-01-25 Floating 1.27663000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225CB54 13347.60000000 PA USD 13801.53000000 0.000725479992 Long ABS-MBS USGA US N 2 2027-04-20 Floating 3.87500000 N N N N N N DIGITAL REALTY TRUST LP CD4SPTZ3YBTHY0C1AH38 25389JAK2 2430000.00000000 PA USD 2482653.85000000 0.130501161514 Long DBT CORP US N 2 2022-10-01 Fixed 3.62500000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -2522945.73000000 -0.13261911168 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2026-01-21 0.00000000 USD -14424.70000000 USD 44855000.00000000 USD -2508521.03000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397YP2 2700000.00000000 PA USD 2230875.00000000 0.117266359422 Long DBT CORP US N 2 2022-08-03 Floating 2.84325000 N N N N N N COMM Mortgage Trust N/A 20048EAW1 6785542.79000000 PA USD 6843960.88000000 0.359754076953 Long ABS-MBS CORP US N 2 2046-01-10 Fixed 2.47800000 N N N N N N MASTR Alternative Loans Trust N/A 576434FF6 3400585.34000000 PA USD 3564173.90000000 0.187351464156 Long ABS-MBS CORP US N 2 2033-07-25 Fixed 5.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHT2 1400000.00000000 PA USD 1445899.66000000 0.076003984632 Long DBT CORP US N 2 2026-01-15 Fixed 3.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38373SQB6 703613.64000000 PA USD 699111.11000000 0.036748905564 Long ABS-MBS USGA US N 2 2033-02-16 Floating 1.00463000 N N N N N N Babson CLO Ltd N/A 06760PAC5 3877000.00000000 PA USD 3732736.83000000 0.196212005932 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 2.76913000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAK1 718000.00000000 PA USD 603170.80000000 0.031705785319 Long DBT CORP IE N 2 2024-01-16 Fixed 4.87500000 N N N N N N GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 000000000 -300000.00000000 NC USD -2919.00000000 -0.00015343777 N/A DIR CORP US N 2 GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 Call Written GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2023-12-24 0.00000000 USD 0.00000000 USD 0.00000000 USD -300000.00000000 USD 180.00000000 USD 2023-12-24 XXXX 537081.00000000 N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307GDP0 29525.06000000 PA USD 28585.43000000 0.001502598446 Long ABS-MBS CORP US N 2 2034-02-25 Variable 2.93516700 N N N N N N SPECTRA ENERGY PARTNERS 2HKVXE7U4NF5B6UGSU72 84756NAB5 1725000.00000000 PA USD 1702239.78000000 0.089478550731 Long DBT CORP US N 2 2021-06-15 Fixed 4.60000000 N N N N N N SLM Student Loan Trust 5493001M3I3E3XROS356 78442GJS6 3210302.86000000 PA USD 3174254.69000000 0.166855288339 Long ABS-O CORP US N 2 2025-12-15 Floating 1.29050000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAD9 7715000.00000000 PA USD 7678428.59000000 0.403618027380 Long DBT CORP GB N 2 2023-04-26 Fixed 3.62200000 N N N N N N UBS Commercial Mortgage Trust N/A 90276XAQ8 2116253.31000000 PA USD 2137972.44000000 0.112382919071 Long ABS-MBS CORP US N 2 2051-06-15 Fixed 3.21120000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397YY3 1205000.00000000 PA USD 1085590.77000000 0.057064280795 Long DBT CORP US N 2 2021-04-05 Floating 2.71025000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EJNY0 6197239.31000000 PA USD 6421381.93000000 0.337541135827 Long ABS-MBS USGSE US N 2 2022-07-01 Fixed 3.73400000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCP9 7405000.00000000 PA USD 6959141.91000000 0.365808589224 Long DBT CORP US N 2 2021-11-06 Fixed 4.20000000 N N N N N N Bayview Commercial Asset Trust N/A 07324SBE1 192391.91000000 PA USD 166462.79000000 0.008750147526 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.39663000 N N N N N N Magnetite CLO Ltd 549300B54XJTQC6DWJ15 55951PBA4 5685000.00000000 PA USD 5518952.52000000 0.290104765997 Long ABS-CBDO CORP KY N 2 2028-01-15 Floating 2.63125000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DAV7 8530000.00000000 PA USD 8393749.37000000 0.441218997263 Long DBT CORP US N 2 2022-08-15 Fixed 2.76400000 N N N N N N NORTHSTAR EDU FIN INC DE 25490059JOHYRUHEXW19 66704JBT4 929326.42000000 PA USD 927274.19000000 0.048742340313 Long ABS-MBS CORP US N 2 2030-04-28 Variable 1.89400000 N N N N N N HSI Asset Securitization Corpo N/A 40430HAG3 1605526.82000000 PA USD 1622891.40000000 0.085307588374 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.71163000 N N N N N N Fannie Mae N/A 31398NTE4 1158751.43000000 PA USD 1143736.79000000 0.060120737154 Long ABS-MBS USGSE US N 2 2040-10-25 Floating 1.34663000 N N N N N N Park Place Securities Inc N/A 70069FAY3 3951487.35000000 PA USD 3927165.16000000 0.206432167271 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.92163000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZG1 2500000.00000000 PA USD 2299370.23000000 0.120866823930 Long DBT CORP US N 2 2021-10-12 Floating 2.72788000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RCN0 2655000.00000000 PA USD 2766684.04000000 0.145431261295 Long DBT CORP US N 2 2025-05-15 Fixed 3.40000000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAD2 4650000.00000000 PA USD 4783664.25000000 0.251454201286 Long DBT CORP US N 2 2025-03-20 Fixed 4.73800000 N N N N N N Broadcom Inc 549300WV6GIDOZJTV909 11134NAL9 1218750.00000000 PA USD 1163906.25000000 0.061180948572 Long LON CORP US N 2 2022-11-04 Floating 2.13013000 N N N N N N Nelnet Student Loan Trust N/A 64033NAA4 8009713.98000000 PA USD 7427439.01000000 0.390424713411 Long ABS-O CORP US N 2 2046-07-25 Floating 1.49663000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 3128HVR92 2054516.80000000 PA USD 2022700.00000000 0.106323601816 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 1.00463000 N N N N N N Countrywide Home Loans N/A 12669FT52 11627.76000000 PA USD 9850.80000000 0.000517809134 Long ABS-MBS CORP US N 2 2034-08-25 Variable 3.79095500 N N N N N N CenturyLink Inc 8M3THTGWLTYZVE6BBY25 000000000 897750.00000000 PA USD 843328.40000000 0.044329714244 Long LON CORP US N 2 2027-03-15 Floating 2.25000000 N N N N N N Wells Fargo Commercial Mortgag 549300NYO16WLNMVJJ46 94989KAT0 753985.11000000 PA USD 752997.20000000 0.039581437910 Long ABS-MBS CORP US N 2 2048-06-15 Fixed 2.55200000 N N N N N N VICI PROPERTIES INC 549300XI4XP4JVS3XU20 92565EAB9 250000.00000000 PA USD 232656.25000000 0.012229619066 Long LON CORP US N 2 2024-12-22 Floating 2.67490000 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBH2 668000.00000000 PA USD 700333.64000000 0.036813168081 Long DBT CORP GB N 2 2024-01-16 Fixed 3.75000000 N N N N N N New Century Home Equity Loan T N/A 64352VPK1 7784548.12000000 PA USD 7271071.70000000 0.382205236669 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.16663000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397YM9 2500000.00000000 PA USD 2443750.00000000 0.128456173401 Long DBT CORP US N 2 2020-06-12 Fixed 2.42500000 N N N N N N FHLMC Multifamily Structured P N/A 3137FBTF3 3232275.96000000 PA USD 3384502.58000000 0.177907007793 Long ABS-MBS USGSE US N 2 2024-10-25 Fixed 2.40400000 N N N N N N MASTR Alternative Loans Trust N/A 576434KX1 3601787.25000000 PA USD 3685439.48000000 0.193725811930 Long ABS-MBS CORP US N 2 2033-11-25 Fixed 5.25000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAA8 3950000.00000000 PA USD 3575037.48000000 0.187922510260 Long DBT CORP IE N 2 2022-08-15 Fixed 5.25000000 N N N N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 53944VAP4 6475000.00000000 PA USD 6520588.86000000 0.342755966560 Long DBT CORP GB N 2 2021-05-07 Fixed 3.30000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCK6 6470000.00000000 PA USD 4529000.00000000 0.238067727605 Long DBT CORP MX N 2 2028-02-12 Fixed 5.35000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 3128HXMD4 3013178.02000000 PA USD 2956975.02000000 0.155433942061 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 1.20463000 N N N N N N AMRESCO Residential Securities N/A 03215PDM8 9082.45000000 PA USD 8827.69000000 0.000464029167 Long ABS-MBS CORP US N 2 2027-10-25 Variable 6.59115400 N N N N N N JP Morgan Chase Commercial Mor N/A 46634SAD7 7876477.89000000 PA USD 7997251.86000000 0.420377031883 Long ABS-MBS CORP US N 2 2045-05-15 Fixed 3.14440000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397XK4 3260000.00000000 PA USD 3211589.00000000 0.168817773290 Long DBT CORP US N 2 2020-08-04 Fixed 3.15700000 N N N N N N HEALTHPEAK PROPERTIES PZ9HF5U52KPF0MH0QN75 40414LAJ8 3412000.00000000 PA USD 3230387.53000000 0.169805921517 Long DBT CORP US N 2 2023-11-15 Fixed 4.25000000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAU2 9720000.00000000 PA USD 9815682.32000000 0.515963167326 Long DBT CORP NL N 2 2021-06-01 Fixed 4.12500000 N N N N N N Toyota Auto Receivables Owner N/A 89238BAD4 1565652.19000000 PA USD 1569749.97000000 0.082514199219 Long ABS-O CORP US N 2 2022-05-16 Fixed 2.35000000 N N N N N N Fannie Mae N/A 31398FXF3 1894787.44000000 PA USD 1916823.06000000 0.100758160767 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 1.84663000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397XA6 1090000.00000000 PA USD 1021875.00000000 0.053715049491 Long DBT CORP US N 2 2022-01-09 Fixed 3.21900000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122BG2 2278000.00000000 PA USD 2351614.60000000 0.123613058959 Long DBT CORP US N 2 2022-08-15 Fixed 3.25000000 N N N N N N Navient Student Loan Trust N/A 63939GAC2 5058794.83000000 PA USD 4848590.27000000 0.254867049607 Long ABS-O CORP US N 2 2040-11-26 Floating 1.51663000 N N N N N N ALLERGAN FUNDING SCS 222100FLFVOSKCBCAR54 00507UAR2 3000000.00000000 PA USD 3117450.06000000 0.163869342395 Long DBT CORP LU N 2 2022-03-15 Fixed 3.45000000 N N N N N N Fidelity Government Portfolio N/A 316175108 22871.63000000 NS USD 22871.63000000 0.001202251486 Long STIV RF US N 1 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZH9 1005000.00000000 PA USD 969201.90000000 0.050946278190 Long DBT CORP US N 2 2021-10-12 Fixed 3.81300000 N N N N N N JP Morgan Chase Commercial Mor N/A 46590WAA6 9665000.00000000 PA USD 9720451.00000000 0.510957315273 Long ABS-MBS CORP US N 2 2031-01-05 Fixed 3.73450000 N N N N N N Sprint Communications, Inc. 549300JKU50UT08ZWD77 85208EAB6 783838.38800000 PA USD 780898.99000000 0.041048100693 Long LON CORP US N 2 2024-02-02 Floating 3.50000000 N N N N N N GMAC Mortgage Corporation Loan N/A 361856AN7 136026.24000000 PA USD 106197.79000000 0.005582306589 Long ABS-MBS CORP US N 2 2030-06-25 Floating 2.84438000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660N2J3 756241.94000000 PA USD 612307.39000000 0.032186051873 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.74663000 N N N N N N Banc of America Funding Corpor N/A 05970XAA0 7175113.36000000 PA USD 7053790.80000000 0.370783825736 Long ABS-MBS CORP US N 2 2040-03-25 Variable 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419ACV7 920837.23000000 PA USD 1062801.37000000 0.055866351744 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 6.00000000 N N N N N N Freddie Mac N/A 31394NT81 2648502.17000000 PA USD 2646048.47000000 0.139090030114 Long ABS-MBS USGSE US N 2 2033-10-15 Floating 1.30463000 N N N N N N CenturyLink Inc 8M3THTGWLTYZVE6BBY25 15669GAF1 592500.00000000 PA USD 555963.49000000 0.029224324287 Long LON CORP US N 2 2025-01-31 Floating 2.98938000 N N N N N N Palmer Square CLO Ltd 549300A8L0VCZ9626397 69703PAA7 2375000.00000000 PA USD 2262767.00000000 0.118942768335 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 2.84913000 N N N N N N Bear Stearns Adjustable Rate M N/A 07384MR20 685306.76000000 PA USD 637977.08000000 0.033535383903 Long ABS-MBS CORP US N 2 2034-07-25 Variable 4.34278200 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BD3 3990000.00000000 PA USD 4064773.76000000 0.213665588932 Long DBT CORP US N 2 2024-10-01 Fixed 3.85000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962GX74 2182000.00000000 PA USD 1664306.43000000 0.087484577131 Long DBT CORP US N 2 2036-08-15 Floating 2.17175000 N N N N N N Freddie Mac N/A 31396GCZ2 1548345.84000000 PA USD 1541008.93000000 0.081003421105 Long ABS-MBS USGSE US N 2 2034-12-15 Floating 1.20463000 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887BX9 1572000.00000000 PA USD 1555504.20000000 0.081765367669 Long DBT CORP US N 2 2020-10-22 Floating 2.55213000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FTX6 3174084.94000000 PA USD 3215111.57000000 0.169002937838 Long ABS-MBS CORP US N 2 2034-07-25 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225DKP8 9819.30000000 PA USD 9950.57000000 0.000523053563 Long ABS-MBS USGA US N 2 2035-01-20 Floating 4.50000000 N N N N N N Freddie Mac N/A 31397FRW4 216594.07000000 PA USD 252659.41000000 0.013281088893 Long ABS-MBS USGSE US N 2 2037-03-15 Fixed 5.50000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AK9 4000000.00000000 PA USD 4227202.24000000 0.222203672202 Long DBT CORP US N 2 2030-03-27 Fixed 2.85000000 N N N N N N Lehman ABS Manufactured Housin N/A 52519SAK9 97688539.09000000 PA USD 1711942.80000000 0.089988591783 Long ABS-O CORP US N 3 2040-04-15 Variable 0.55000000 N N N N N N Freddie Mac N/A 3137AUK73 312354.24000000 PA USD 312381.51000000 0.016420392190 Long ABS-MBS USGSE US N 2 2032-05-15 Floating 1.10463000 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDE6 4600000.00000000 PA USD 4658298.70000000 0.244864337826 Long DBT CORP US N 2 2025-03-15 Fixed 3.30000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962GW75 7674000.00000000 PA USD 6239206.42000000 0.327965046251 Long DBT CORP US N 2 2026-05-05 Floating 2.12100000 N N N N N N KIMCO REALTY CORP 549300EA7I6T15IBYS12 49446RAN9 4000000.00000000 PA USD 3929010.32000000 0.206529158450 Long DBT CORP US N 2 2022-11-01 Fixed 3.40000000 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAM4 1558000.00000000 PA USD 1657057.87000000 0.087103555226 Long DBT CORP US N 2 2024-12-15 Fixed 3.45000000 N N N N N N Intelsat Jackson Holdings SA 8XJ8KF85PBKK1TLMFN29 000000000 488919.05000000 PA USD 455672.55000000 0.023952512367 Long LON CORP LU N 2 2024-01-02 Floating 6.43200000 N N N N N N BCAP LLC Trust N/A 05531EAA4 2731981.64000000 PA USD 2670074.39000000 0.140352957069 Long ABS-MBS CORP US N 2 2038-04-25 Floating 2.59663000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAE1 2860000.00000000 PA USD 2538944.92000000 0.133460112082 Long DBT CORP IE N 2 2022-05-01 Fixed 3.62500000 N N N N N N CHEVY CHASE MORTGAGE FUNDING C 549300QD5ZVFK417DY24 16678RDK0 679356.28000000 PA USD 553381.21000000 0.029088586258 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.12663000 N N N N N N SLC Student Loan Trust N/A 784424AD5 3798916.61000000 PA USD 3564904.87000000 0.187389887730 Long ABS-O CORP US N 2 2029-05-15 Floating 1.75175000 N N N N N N Fannie Mae or Freddie Mac N/A 01F032658 39375000.00000000 PA USD 41597535.66000000 2.186582201054 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.50000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BA9 2000000.00000000 PA USD 2008821.32000000 0.105594066420 Long DBT CORP US N 2 2022-12-01 Fixed 3.15000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGP8 18025000.00000000 PA USD 18007512.15000000 0.946568226403 Long DBT CORP US N 2 2021-07-21 Fixed 2.36900000 N N N N N N Fanniemae-Aces N/A 3136B9ED5 3555000.00000000 PA USD 381098.13000000 0.020032494105 Long ABS-MBS USGSE US N 2 2028-11-25 Variable 1.55436000 N N N N N N Freddie Mac N/A 31397GQR4 716431.68000000 PA USD 704316.18000000 0.037022511037 Long ABS-MBS USGSE US N 2 2035-08-15 Floating 1.00463000 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAA5 7046000.00000000 PA USD 7429238.92000000 0.390519326015 Long DBT CORP GB N 2 2022-11-01 Fixed 5.00000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAA1 1825000.00000000 PA USD 1831942.96000000 0.096296422519 Long DBT CORP US N 2 2021-06-25 Fixed 3.50000000 N N N N N N MASTR Adjustable Rate Mortgage N/A 576433GH3 6839.63000000 PA USD 6696.54000000 0.000352004870 Long ABS-MBS CORP US N 2 2034-01-25 Variable 3.93440800 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDC0 5000000.00000000 PA USD 4928921.30000000 0.259089665144 Long DBT CORP US N 2 2023-01-15 Fixed 2.45000000 N N N N N N AETNA INC 549300QKBENKLBXQ8968 00817YAQ1 3136000.00000000 PA USD 3184212.08000000 0.167378700397 Long DBT CORP US N 2 2024-11-15 Fixed 3.50000000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAF0 2500000.00000000 PA USD 2489089.75000000 0.130839465795 Long DBT CORP US N 2 2021-08-27 Fixed 4.66200000 N N N N N N CYRUSONE LP/CYRUSONE FIN N/A 23283PAQ7 6440000.00000000 PA USD 6186553.80000000 0.325197351485 Long DBT CORP US N 2 2024-11-15 Fixed 2.90000000 N N N N N N Freddie Mac N/A 31398CV47 314869.76000000 PA USD 315846.85000000 0.016602548432 Long ABS-MBS USGSE US N 2 2039-05-15 Floating 1.60463000 N N N N N N Fannie Mae N/A 31398GE54 1412726.40000000 PA USD 1425795.25000000 0.074947192580 Long ABS-MBS USGSE US N 2 2040-02-25 Floating 1.70663000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAV0 1590000.00000000 PA USD 1642907.04000000 0.086359714215 Long DBT CORP NL N 2 2023-06-01 Fixed 4.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376JDD3 4307168.37000000 PA USD 638664.77000000 0.033571532456 Long ABS-MBS USGA US N 2 2037-05-20 Floating 6.02712000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KAY6 10650000.00000000 PA USD 10469689.75000000 0.550341189560 Long DBT CORP US N 2 2021-05-04 Floating 2.23113000 N N N N N N FHLMC Multifamily Structured P N/A 3137FMD66 13163087.89000000 PA USD 13623053.96000000 0.716098365932 Long ABS-MBS USGSE US N 2 2026-05-25 Fixed 2.28300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31381RWZ3 13090000.00000000 PA USD 13284825.28000000 0.698319312441 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 4.16000000 N N N N N N Structured Asset Securities Co N/A 86359AS95 517239.42000000 PA USD 487343.50000000 0.025617301746 Long ABS-MBS CORP US N 2 2033-09-25 Variable 3.82303300 N N N N N N WEA FINANCE LLC/WESTFIEL N/A 92890HAE2 4000000.00000000 PA USD 3942183.20000000 0.207221593338 Long DBT CORP US N 2 2020-10-05 Fixed 3.25000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RGD8 475000.00000000 PA USD 441752.64000000 0.023220809708 Long DBT CORP US N 2 2024-06-12 Floating 1.96413000 N N N N N N Terwin Mortgage Trust N/A 881561FV1 113281.79000000 PA USD 100208.04000000 0.005267454265 Long ABS-MBS CORP US N 2 2034-07-25 Floating 1.49663000 N N N N N N BEMIS COMPANY INC PTVU09TE3QPJPL7K4E13 081437AM7 6947000.00000000 PA USD 7239521.50000000 0.380546794536 Long DBT CORP US N 2 2021-10-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BRB6 0.60000000 PA USD 0.60000000 0.000000031539 Long ABS-MBS USGSE US N 2 2020-06-01 Fixed 5.50000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660N5H4 244523.60000000 PA USD 178037.29000000 0.009358563272 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.72663000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -1052846.02000000 -0.05534304691 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2026-01-21 0.00000000 USD 0.00000000 USD 18850000.00000000 USD -1052846.02000000 N N N Argent Securities Inc. N/A 040104NW7 204328.93000000 PA USD 205293.77000000 0.010791305214 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.20663000 N N N N N N SLM Student Loan Trust N/A 78446YAA1 2490123.58000000 PA USD 2385362.09000000 0.125387002049 Long ABS-O CORP US N 2 2029-01-25 Floating 1.64663000 N N N N N N JP Morgan Chase Commercial Mor N/A 46639YAQ0 2900000.00000000 PA USD 2981706.92000000 0.156733978986 Long ABS-MBS CORP US N 2 2046-04-15 Fixed 2.95990000 N N N N N N Fannie Mae N/A 313921X45 654556.16000000 PA USD 664956.14000000 0.034953543212 Long ABS-MBS USGSE US N 2 2031-10-25 Floating 1.89663000 N N N N N N HIGHWOODS REALTY LP JUJNVZX73BIYHLR58F51 431282AN2 2895000.00000000 PA USD 2936300.30000000 0.154347171558 Long DBT CORP US N 2 2021-06-15 Fixed 3.20000000 N N N N N N MASTR Adjustable Rate Mortgage N/A 576433KT2 105503.61000000 PA USD 93678.68000000 0.004924237242 Long ABS-MBS CORP US N 2 2034-04-25 Variable 3.62867600 N N N N N N Freddie Mac Multiclass Certifi N/A 3137FRV73 2485000.00000000 PA USD 331627.23000000 0.017432047043 Long ABS-MBS USGSE US N 2 2028-10-01 Variable 1.87800000 N N N N N N SLM Student Loan Trust 5493001H0EO1146OG159 78443KAE6 754433.95000000 PA USD 752249.41000000 0.039542130190 Long ABS-O CORP US N 2 2026-01-26 Floating 1.89413000 N N N N N N Elanco Animal Health Inc 549300SHPNDCE059M934 000000000 2500000.00000000 PA USD 2393750.00000000 0.125827914099 Long LON CORP US N 2 2027-02-04 Floating 1.75000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00772BAM3 1000000.00000000 PA USD 924918.89000000 0.048618533531 Long DBT CORP IE N 2 2021-10-01 Fixed 5.00000000 N N N N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10112RAS3 1495000.00000000 PA USD 1521355.50000000 0.079970334900 Long DBT CORP US N 2 2021-05-15 Fixed 4.12500000 N N N N N N BAE SYSTEMS HOLDINGS INC MF62XBVMNYTYMC18DL76 05523UAM2 1070000.00000000 PA USD 1067302.97000000 0.056102979186 Long DBT CORP US N 2 2020-12-15 Fixed 2.85000000 N N N N N N MASTR Adjustable Rate Mortgage N/A 576433UF1 680859.67000000 PA USD 650408.22000000 0.034188829090 Long ABS-MBS CORP US N 2 2034-11-21 Variable 4.68385800 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397XQ1 5000000.00000000 PA USD 4875000.00000000 0.256255281977 Long DBT CORP US N 2 2021-01-15 Fixed 3.20000000 N N N N N N Freddie Mac N/A 31396EFY7 2552225.71000000 PA USD 2536483.84000000 0.133330744954 Long ABS-MBS USGSE US N 2 2035-04-15 Floating 1.00463000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CW8 4000000.00000000 PA USD 4243379.60000000 0.223054038141 Long DBT CORP US N 2 2025-03-25 Fixed 4.10000000 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 06050TMJ8 1015000.00000000 PA USD 1038460.70000000 0.054586879897 Long DBT CORP US N 2 2023-01-25 Fixed 3.33500000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAE3 9065000.00000000 PA USD 9293546.87000000 0.488517020255 Long DBT CORP US N 2 2023-12-15 Fixed 3.87500000 N N N N N N MASTR Alternative Loans Trust N/A 576434BZ6 2092318.43000000 PA USD 2171416.44000000 0.114140909153 Long ABS-MBS CORP US N 2 2032-12-25 Fixed 6.25000000 N N N N N N GSAMP Trust N/A 362334EC4 6152498.25000000 PA USD 5640770.36000000 0.296508143420 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.23663000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBD3 5422000.00000000 PA USD 4705898.89000000 0.247366450670 Long DBT CORP US N 2 2023-10-15 Fixed 3.85000000 N N N N N N BERRY PREFERRED STOCK N/A 000000000 106501.00000000 NS USD 5857.56000000 0.000307903731 Long EC CORP US N 3 N N N Morgan Stanley Capital Inc N/A 61744CFQ4 1078145.31000000 PA USD 968800.03000000 0.050925153819 Long ABS-MBS CORP US N 2 2034-07-25 Floating 1.87663000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072UAH5 1188000.00000000 PA USD 1146420.00000000 0.060261780587 Long LON CORP US N 2 2026-01-15 Floating 2.86163000 N N N N N N UBS-Barclays Commercial Mortga 549300G1IXWLFE766Q13 90349GBF1 5170000.00000000 PA USD 5240501.74000000 0.275467948941 Long ABS-MBS CORP US N 2 2046-04-10 Fixed 3.24430000 N N N N N N FANNIE MAE-ACES N/A 3136B9DS3 3760000.00000000 PA USD 570588.27000000 0.029993078568 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 1.92290000 N N N N N N Residential Asset Mortgage Pro N/A 76112BMQ0 393887.12000000 PA USD 372400.58000000 0.019575305771 Long ABS-MBS CORP US N 2 2032-05-25 Fixed 6.50000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAG6 2135000.00000000 PA USD 2038777.51000000 0.107168719121 Long DBT CORP US N 2 2021-06-01 Floating 2.53038000 N N N N N N DELTA AIR LINES 2020-AA N/A 247361ZV3 1570000.00000000 PA USD 1429280.90000000 0.075130416421 Long DBT CORP US N 2 2028-06-10 Fixed 2.00000000 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 233851DV3 8195000.00000000 PA USD 7597779.87000000 0.399378712408 Long DBT CORP US N 2 2022-02-15 Floating 2.59175000 N N N N N N Pennsylvania Higher Education N/A 69343FAA5 8337329.09000000 PA USD 7847142.50000000 0.412486505447 Long ABS-MBS CORP US N 2 2065-09-25 Floating 2.09663000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962G4Y7 1030000.00000000 PA USD 1017468.92000000 0.053483443076 Long DBT CORP US N 2 2021-01-07 Fixed 4.62500000 N N N N N N Freddie Mac N/A 3128K6NM8 2754.96000000 PA USD 3015.39000000 0.000158504536 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 7.00000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 3132HTWM4 13603096.38000000 PA USD 13353916.90000000 0.701951126301 Long ABS-MBS USGSE US N 2 2043-11-15 Floating 1.20463000 N N N N N N Fanniemae-Aces N/A 3136B9DV6 8915000.00000000 PA USD 1299212.37000000 0.068293339943 Long ABS-MBS USGSE US N 2 2030-12-01 Variable 1.82640000 N N N N N N Citibank Credit Card Issuance R8AG6FXVDQAMDKCSJJ64 17305EGK5 9950000.00000000 PA USD 10039113.20000000 0.527707853102 Long ABS-O CORP US N 2 2023-01-20 Fixed 2.49000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202CG56 248.31000000 PA USD 254.31000000 0.000013367852 Long ABS-MBS USGA US N 2 2025-06-20 Fixed 8.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31386L3K6 13132.03000000 PA USD 13964.45000000 0.000734043912 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 8.00000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAA9 2525000.00000000 PA USD 2498258.36000000 0.131321415486 Long DBT CORP US N 2 2021-04-15 Fixed 3.12500000 N N N N N N COMM Mortgage Trust N/A 12624PAE5 10852512.16000000 PA USD 10978593.39000000 0.577091804077 Long ABS-MBS CORP US N 2 2045-10-15 Fixed 2.82200000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922F4M7 2018763.46000000 PA USD 1854100.39000000 0.097461131949 Long ABS-MBS CORP US N 2 2045-10-25 Floating 1.23663000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796TJ8 3693000.00000000 PA USD 3691271.68000000 0.194032382608 Long DBT UST US N 1 2020-09-10 None 0.00000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAD2 860000.00000000 PA USD 863665.49000000 0.045398737164 Long DBT CORP IE N 2 2021-03-15 Fixed 3.62500000 N N N N N N Fanniemae-Aces N/A 3136B9EK9 4305000.00000000 PA USD 189936.17000000 0.009984030113 Long ABS-MBS USGSE US N 2 2027-12-25 Variable 0.77572000 N N N N N N Chase Mortgage Finance Corpora N/A 161630AW8 6014872.35000000 PA USD 5506068.28000000 0.289427503524 Long ABS-MBS CORP US N 2 2037-02-25 Variable 4.25788300 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AY0 2200000.00000000 PA USD 2350326.00000000 0.123545323460 Long DBT CORP US N 2 2025-07-23 Fixed 4.90800000 N N N N N N Merrill Lynch Mortgage Investo N/A 59020ULQ6 926090.44000000 PA USD 853691.10000000 0.044874431497 Long ABS-MBS CORP US N 2 2034-08-25 Variable 4.32242100 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397YN7 2080000.00000000 PA USD 2018364.94000000 0.106095728581 Long DBT CORP US N 2 2020-06-12 Floating 1.57413000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCP5 955000.00000000 PA USD 692470.50000000 0.036399840664 Long DBT CORP MX N 2 2029-01-23 Fixed 6.50000000 N N N N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164QMS4 17475000.00000000 PA USD 17391829.49000000 0.914204752835 Long DBT CORP IE N 2 2020-11-15 Fixed 2.34200000 N N N N N N Residential Asset Mortgage Pro N/A 76112BGM6 174099.67000000 PA USD 169697.40000000 0.008920175402 Long ABS-MBS CORP US N 2 2032-07-25 Fixed 6.50000000 N N N N N N AMERICAN AIRLINES 2013-2 N/A 02377UAB0 943631.26946300 PA USD 962507.29000000 0.050594374770 Long DBT CORP US N 2 2023-01-15 Fixed 4.95000000 N N N N N N Level 3 Financing Inc N/A 52729KAP1 1250000.00000000 PA USD 1178906.25000000 0.061969426362 Long LON CORP US N 2 2027-03-01 Floating 1.75000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46636VAC0 1696220.75000000 PA USD 1725593.95000000 0.090706167022 Long ABS-MBS CORP US N 2 2046-08-15 Fixed 4.17120000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378MVN2 1860271.28000000 PA USD 1885960.70000000 0.099135875072 Long ABS-MBS USGA US N 2 2026-12-20 Fixed 1.50000000 N N N N N N PFS Financing Corp. N/A 69335PCQ6 7020000.00000000 PA USD 6981840.68000000 0.367001754292 Long ABS-O CORP US N 2 2023-02-15 Fixed 2.89000000 N N N N N N FANNIEMAE-ACES N/A 3136B9EN3 3795000.00000000 PA USD 189863.85000000 0.009980228598 Long ABS-MBS USGSE US N 2 2027-12-25 Variable 0.98800000 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAH0 2090000.00000000 PA USD 2084566.00000000 0.109575599616 Long DBT CORP GB N 2 2024-05-01 Fixed 3.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202CBS1 233.53000000 PA USD 234.54000000 0.000012328638 Long ABS-MBS USGA US N 2 2024-08-20 Fixed 8.50000000 N N N N N N SPECTRA ENERGY PARTNERS 2HKVXE7U4NF5B6UGSU72 84756NAD1 4519000.00000000 PA USD 4495583.90000000 0.236311204092 Long DBT CORP US N 2 2024-03-15 Fixed 4.75000000 N N N N N N Zayo Group Holdings,Inc 529900Z6OTS7RT0V0I47 98919XAB7 800000.00000000 PA USD 760000.00000000 0.039949541395 Long LON CORP US N 2 2027-03-09 Floating 3.00000000 N N N N N N Fanniemae-Aces N/A 3136B9EF0 3750000.00000000 PA USD 381417.00000000 0.020049255566 Long ABS-MBS USGSE US N 2 2028-08-25 Variable 1.49710000 N N N N N N Merrill Lynch First Franklin M N/A 59024VAG4 10498682.67000000 PA USD 8129883.80000000 0.427348854485 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.12663000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747WAL3 5260000.00000000 PA USD 5471271.32000000 0.287598394848 Long DBT CORP US N 2 2021-07-28 Fixed 5.50000000 N N N N N N MortgageIT Trust N/A 61913PAZ5 7628175.30000000 PA USD 6957348.22000000 0.365714303576 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.22663000 N N N N N N Babson CLO Ltd 549300Z33CTC4YAKLT16 06761CAA7 5500000.00000000 PA USD 5408243.50000000 0.284285325763 Long ABS-CBDO CORP KY N 2 2028-07-20 Floating 2.89913000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 929227ZC3 94886.73000000 PA USD 84181.85000000 0.004425034607 Long ABS-MBS CORP US N 2 2033-01-25 Variable 4.10033900 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAR4 2250000.00000000 PA USD 2190471.68000000 0.115142551389 Long DBT CORP GB N 2 2021-01-05 Fixed 2.50000000 N N N N N N PNM RESOURCES INC 5493003JOBJGLZSDDQ28 69349HAC1 10732000.00000000 PA USD 10803393.02000000 0.567882364032 Long DBT CORP US N 2 2021-03-09 Fixed 3.25000000 N N N N N N Access Group Inc N/A 00435TAA9 1695278.90000000 PA USD 1610503.09000000 0.084656394554 Long ABS-MBS CORP US N 2 2056-07-25 Floating 1.64663000 N N N N N N FANNIE DISCOUNT NOTE N/A 313589AQ6 90000000.00000000 PA USD 89891624.70000000 4.725169976400 Long DBT USGSE US N 2 2021-01-15 None 0.00000000 N N N N N N One Lincoln Street Commercial N/A 68241FAA0 7998717.59000000 PA USD 8249146.24000000 0.433617906832 Long ABS-MBS CORP US N 2 2030-10-15 Variable 5.72400000 N N N N N N Freddie Mac N/A 31298EX91 5883.93000000 PA USD 6584.71000000 0.000346126506 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 6.50000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAU7 635000.00000000 PA USD 628819.21000000 0.033053998763 Long DBT CORP US N 2 2021-07-15 Fixed 2.75000000 N N N N N N COX COMMUNICATIONS INC 5493001NEDZNIFRP2R92 224044AG2 900000.00000000 PA USD 1065890.84000000 0.056028750310 Long DBT CORP US N 2 2025-06-15 Fixed 7.62500000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 9127962C2 111180000.00000000 PA USD 111175830.75000000 5.843978227276 Long DBT UST US N 1 2020-04-21 None 0.00000000 N N N N N N CIM Trust N/A 12554EAA2 6740546.66000000 PA USD 6428651.46000000 0.337923260024 Long ABS-MBS CORP US N 2 2058-09-25 Floating 2.65713000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AB6 3410000.00000000 PA USD 3274487.55000000 0.172124047273 Long DBT CORP US N 2 2021-09-17 Floating 1.49313000 N N N N N N JP Morgan Mortgage Acquisition N/A 46626LBX7 460267.76000000 PA USD 460078.87000000 0.024184131397 Long ABS-MBS CORP US N 2 2035-10-25 Variable 3.19950100 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 1132100.10000000 0.059509052380 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2023-01-21 0.00000000 USD 0.00000000 USD 46340000.00000000 USD 1132100.10000000 N N N Barings CLO Ltd N/A 06760EAA4 6700000.00000000 PA USD 6325094.80000000 0.332479784925 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 2.61913000 N N N N N N Credit-Based Asset Servicing a N/A 81375WHH2 1927348.59000000 PA USD 1486844.78000000 0.078156272483 Long ABS-MBS CORP US N 2 2036-01-25 Variable 3.29504000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828ZA1 14790000.00000000 PA USD 15047091.76000000 0.790953177826 Long DBT UST US N 1 2022-02-28 Fixed 1.12500000 N N N N N N Fannie Mae N/A 31396WWQ5 754891.32000000 PA USD 750715.79000000 0.039461515169 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 1.22663000 N N N N N N JPMorgan US Government Money Market Fund 549300NQ5E5B7ZV4T516 4812C2684 94238000.00000000 NS USD 94238000.00000000 4.953638002674 Long STIV RF US N 1 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6A0 5105000.00000000 PA USD 5082623.41000000 0.267169045152 Long DBT CORP US N 2 2022-09-09 Fixed 2.08200000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CP3 671000.00000000 PA USD 678498.88000000 0.035665419859 Long DBT CORP US N 2 2022-05-11 Fixed 2.65000000 N N N N N N TC PIPELINES LP 6HL0C5LCIE4TN8UZHL06 87233QAA6 4900000.00000000 PA USD 4794967.77000000 0.252048372918 Long DBT CORP US N 2 2021-06-15 Fixed 4.65000000 N N N N N N Countrywide Asset-Backed Certi N/A 126670DB1 359871.60000000 PA USD 359484.59000000 0.018896374354 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.43663000 N N N N N N AMERICA WEST AIR 2001-1 N/A 023650AH7 54850.06819100 PA USD 54949.26000000 0.002888418075 Long DBT CORP US N 2 2021-04-02 Fixed 7.10000000 N N N N N N Fannie Mae N/A 31358LPD2 151.21000000 PA USD 156.23000000 0.000008212259 Long ABS-MBS USGSE US N 2 2022-01-25 Fixed 7.75000000 N N N N N N PENNSYLVANIA ELECTRIC CO O1PLQWO3TX952VMBJ146 708696BW8 1262000.00000000 PA USD 1261998.67000000 0.066337194879 Long DBT CORP US N 2 2020-04-01 Fixed 5.20000000 N N N N N N UBS-Barclays Commercial Mortga N/A 90269CAD2 12000000.00000000 PA USD 12120194.40000000 0.637100273558 Long ABS-MBS CORP US N 2 2063-05-10 Fixed 3.52500000 N N N N N N PFS Financing Corp. N/A 69335PCL7 5780000.00000000 PA USD 5789559.54000000 0.304329274348 Long ABS-O CORP US N 2 2022-10-17 Fixed 2.40000000 N N N N N N MASTR Adjustable Rate Mortgage N/A 576433MW3 30664.42000000 PA USD 29100.88000000 0.001529693171 Long ABS-MBS CORP US N 2 2034-06-25 Variable 4.12497500 N N N N N N Panther BF Aggregator 2 LP 549300474L1ZLXZY2P98 000000000 598500.00000000 PA USD 550620.00000000 0.028943442741 Long LON CORP US N 2 2026-04-30 Floating 4.44088000 N N N N N N Banc of America Funding Corpor 549300R847L762RQF071 05990RAG6 2959964.27000000 PA USD 2874248.14000000 0.151085388223 Long ABS-MBS CORP US N 2 2036-07-27 Floating 1.76675000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAS5 11326000.00000000 PA USD 11435601.36000000 0.601114513044 Long DBT CORP US N 2 2023-06-15 Fixed 4.00000000 N N N N N N Fannie Mae N/A 31398RCR4 911059.45000000 PA USD 1018495.95000000 0.053537429099 Long ABS-MBS USGSE US N 2 2040-05-25 Fixed 5.00000000 N N N N N N Wells Fargo Commercial Mortgag N/A 94987MAB7 5147538.70000000 PA USD 5165797.02000000 0.271541081436 Long ABS-MBS CORP US N 2 2043-11-15 Fixed 4.39300000 N N N N N N SUTTER HEALTH 549300MJCC12LU768G81 86944BAC7 1525000.00000000 PA USD 1525427.02000000 0.080184355107 Long DBT CORP US N 2 2053-08-15 Fixed 2.28600000 N N N N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 036752AJ2 6000000.00000000 PA USD 5953009.56000000 0.312921055059 Long DBT CORP US N 2 2025-01-15 Fixed 2.37500000 N N N N N N Palmer Square Loan Funding Ltd N/A 69701FAA1 5000000.00000000 PA USD 4849995.00000000 0.254940889500 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 0.01000000 N N N N N N Saxon Asset Securities Trust N/A 805564ST9 5408209.51000000 PA USD 5313080.73000000 0.279283077053 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.93354200 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAD3 170000.00000000 PA USD 134902.69000000 0.007091184998 Long DBT CORP IE N 2 2024-05-15 Fixed 5.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225CVC7 8393.95000000 PA USD 8710.61000000 0.000457874835 Long ABS-MBS USGA US N 2 2032-06-20 Floating 3.87500000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAX1 2300000.00000000 PA USD 2102854.47000000 0.110536936444 Long DBT CORP US N 2 2025-04-15 Fixed 2.85000000 N N N N N N Morgan Stanley Institutional Liquidity Funds - Government Portfolio 549300BI6Y5SI6BYPB26 61747C707 20714000.00000000 NS USD 20714000.00000000 1.088835263772 Long STIV RF US N 1 N N N SPRINT SPECTRUM / SPEC I N/A 85208NAE0 1175000.00000000 PA USD 1261412.44000000 0.066306379590 Long DBT CORP US N 2 2028-03-20 Fixed 5.15200000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAE5 13000000.00000000 PA USD 12939933.11000000 0.680189991359 Long DBT CORP GB N 2 2021-08-05 Fixed 2.87500000 N N N N N N Fanniemae-Aces N/A 3136B9EB9 3900000.00000000 PA USD 335872.68000000 0.017655209912 Long ABS-MBS USGSE US N 2 2032-07-25 Variable 0.99930000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAV5 1455000.00000000 PA USD 1413380.74000000 0.074294621552 Long DBT CORP US N 2 2022-07-15 Fixed 2.20000000 N N N N N N DBUBS Mortgage Trust N/A 23305XAD3 7768038.37000000 PA USD 7888864.61000000 0.414679635922 Long ABS-MBS CORP US N 2 2044-07-10 Fixed 4.53700000 N N N N N N Higher Education Funding N/A 429827AY4 1009525.71000000 PA USD 988800.25000000 0.051976469104 Long ABS-MBS CORP US N 2 2034-05-25 Floating 2.72925000 N N N N N N Merrill Lynch Mortgage Investo N/A 590218AB9 1327302.09000000 PA USD 933458.40000000 0.049067414462 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6.00000000 N N N N N N NCUA Guaranteed Notes N/A 62888VAA6 5584210.70000000 PA USD 5541331.22000000 0.291281106525 Long ABS-MBS USGA US N 2 2020-10-07 Floating 1.46625000 N N N N N N AMERICAN AIRLINES INC IWUQB36BXD6OWD6X4T14 000000000 250000.00000000 PA USD 207656.25000000 0.010915489415 Long LON CORP US N 2 2027-01-29 Floating 2.73450000 N N N N N N Freddie Mac N/A 3128MCCL7 27644.30000000 PA USD 28722.45000000 0.001509800927 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 6.00000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AF6 7673000.00000000 PA USD 7005768.66000000 0.368259533013 Long DBT CORP US N 2 2023-11-01 Fixed 5.37500000 N N N N N N Madison Avenue Trust N/A 556227AA4 3600000.00000000 PA USD 3648509.28000000 0.191784569096 Long ABS-MBS CORP US N 2 2035-09-10 Variable 3.55480000 N N N N N N Dreyfus Government Cash Management 549300F7IDB6WRO7VJ11 262006208 58768000.00000000 NS USD 58768000.00000000 3.089150853595 Long STIV RF US N 1 N N N Brazos Higher Education Author N/A 10620NCG1 78832.36000000 PA USD 76239.19000000 0.004007527206 Long ABS-MBS CORP US N 2 2030-02-25 Floating 2.47925000 N N N N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 94973VAW7 1478000.00000000 PA USD 1509045.05000000 0.079323233806 Long DBT CORP US N 2 2021-08-15 Fixed 3.70000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276YAA1 8694844.92000000 PA USD 8665102.46000000 0.455482722924 Long ABS-MBS CORP US N 2 2052-04-15 Fixed 2.73870000 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 075887BR9 2260000.00000000 PA USD 2253040.24000000 0.118431479386 Long DBT CORP US N 2 2020-06-05 Fixed 2.40400000 N N N N N N Bausch Health Companies Inc. KOO0397YRO83WY5MGD97 000000000 659999.99900000 PA USD 631676.10000000 0.033204171717 Long LON CORP US N 2 2025-06-02 Floating 3.61163000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVU5 1880000.00000000 PA USD 1881933.26000000 0.098924171939 Long DBT CORP US N 2 2021-04-25 Fixed 2.62500000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796TS8 60000000.00000000 PA USD 59998308.00000000 3.153822222510 Long DBT UST US N 1 2020-04-30 None 0.00000000 N N N N N N Fannie Mae N/A 31359QS96 12777.32000000 PA USD 12565.24000000 0.000660494178 Long ABS-MBS USGSE US N 2 2027-09-17 Floating 1.25013000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36250SAA7 5776681.80000000 PA USD 5909559.35000000 0.310637086687 Long ABS-MBS CORP US N 2 2051-07-10 Fixed 3.19900000 N N N N N N MASTR Alternative Loans Trust N/A 576434TC8 3362368.11000000 PA USD 3514414.40000000 0.184735846781 Long ABS-MBS CORP US N 2 2034-07-25 Fixed 5.50000000 N N N N N N Aegis Asset Backed Securities N/A 00764MHD2 2806025.60000000 PA USD 2778197.12000000 0.146036448487 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.19663000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225DCE2 283334.67000000 PA USD 292802.44000000 0.015391214733 Long ABS-MBS USGA US N 2 2034-07-20 Floating 3.25000000 N N N N N N 2020-05-20 METROPOLITAN WEST FUNDS Eric Chan Eric Chan Senior Vice President