Banc of America Commercial Mortgage Trust 2016-UBS10

NPORT-P false 0001028621 XXXXXXXX S000001151 C000003072 C000003073 METROPOLITAN WEST FUNDS 811-07989 0001028621 549300KGDNJW6FXNDC82 865 South Figueroa Street SUITE 1800 Los Angeles 90017 800-241-4671 Metropolitan West Ultra Short Bond Fund S000001151 549300J7IQ5ZDUARGG56 2021-03-31 2020-12-31 N 292324319.73 33109734.85 259214584.88 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 31334519.56000000 0.00000000 11624018.28000000 JPY USD N Banc of America Commercial Mor N/A Banc of America Commercial Mortgage Trust 2016-UBS10 06054MAB9 1112336.71000000 PA USD 1120144.82000000 0.432130321879 Long ABS-MBS CORP US N 2 2049-07-15 Fixed 2.72300000 N N N N N N MASTR Asset Backed Securities N/A Mastr Asset Backed Securities Trust 2005-OPT1 57643LHR0 842285.11000000 PA USD 842769.42000000 0.325124228789 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.83800000 N N N N N N FHLMC Multifamily Structured P N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FMD66 463814.29000000 PA USD 488253.20000000 0.188358691400 Long ABS-MBS USGSE US N 2 2026-05-25 Fixed 2.28300000 N N N N N N Morgan Stanley Capital I Trust N/A Morgan Stanley Capital I Trust 2011-C3 61760RBB7 269501.86000000 PA USD 270745.73000000 0.104448493947 Long ABS-MBS CORP US N 2 2049-07-15 Fixed 4.11800000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137ATQ47 65947.20000000 PA USD 66060.31000000 0.025484796710 Long ABS-MBS USGSE US N 2 2039-05-15 Floating 0.55863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202KHQ1 6680.69000000 PA USD 6802.94000000 0.002624443375 Long ABS-MBS USGA US N 2 2023-12-20 Floating 3.12500000 N N N N N N FHLMC Multifamily Structured P N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FTQW0 912793.81000000 PA USD 919821.77000000 0.354849543063 Long ABS-MBS USGSE US N 2 2026-01-25 Fixed 0.73500000 N N N N N N COUNTRYWIDE ASSET-BACKED CERTI N/A CWABS ASSET-BACKED CERTIFICATES TRUST 2005-11 126670DC9 153905.95000000 PA USD 154125.65000000 0.059458710655 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.67800000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 31395V3F4 227234.10000000 PA USD 227563.15000000 0.087789485342 Long ABS-MBS USGSE US N 2 2034-10-15 Floating 0.47863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31390SY62 6283.70000000 PA USD 6666.93000000 0.002571973333 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 7.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC Holdings PLC 404280BR9 795000.00000000 PA USD 800648.73000000 0.308874876917 Long DBT CORP GB N 2 2024-05-18 Floating 1.22038000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A AerCap Ireland Capital DAC / AerCap Global Aviation Trust 00772BAR2 600000.00000000 PA USD 617140.67000000 0.238080997751 Long DBT CORP IE N 2 2022-02-01 Fixed 3.95000000 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 Becton Dickinson and Co 075887BK4 600000.00000000 PA USD 631812.00000000 0.243740914614 Long DBT CORP US N 2 2023-03-01 Fixed 3.30000000 N N N N N N Structured Asset Securities Co N/A Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1 86360RAA1 422181.63000000 PA USD 399650.41000000 0.154177439585 Long ABS-O CORP US N 2 2036-07-25 Floating 0.28300000 N N N N N N Merrill Lynch Mortgage Investo N/A Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A1 589929D88 151171.39000000 PA USD 147403.81000000 0.056865554099 Long ABS-MBS CORP US N 2 2032-12-25 Floating 1.95538000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137A9SE7 105173.05000000 PA USD 105224.96000000 0.040593765219 Long ABS-MBS USGSE US N 2 2026-02-15 Floating 0.40863000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 Nationwide Building Society 63861VAD9 500000.00000000 PA USD 519559.29000000 0.200435978647 Long DBT CORP GB N 2 2023-04-26 Fixed 3.62200000 N N N N N N Barclays Commercial Mortgage S N/A BBCMS MORTGAGE TRUST 2017-C1 07332VBA2 129539.24000000 PA USD 132334.94000000 0.051052273953 Long ABS-MBS CORP US N 2 2050-02-15 Fixed 3.18900000 N N N N N N EVERGY INC 549300PGTHDQY6PSUI61 Evergy Inc 391164AE0 325000.00000000 PA USD 327231.26000000 0.126239524736 Long DBT CORP US N 2 2021-06-01 Fixed 4.85000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 Ford Motor Credit Co LLC 345397XQ1 250000.00000000 PA USD 250437.50000000 0.096613969509 Long DBT CORP US N 2 2021-01-15 Fixed 3.20000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 Citigroup Inc 172967LV1 2450000.00000000 PA USD 2520444.26000000 0.972338906457 Long DBT CORP US N 2 2023-01-24 Fixed 3.14200000 N N N N N N Banc of California Multifamily N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FMUJ9 306095.81000000 PA USD 315457.12000000 0.121697288038 Long ABS-MBS CORP US N 2 2046-04-25 Variable 2.77729900 N N N N N N Residential Asset Securities C N/A RASC Series 2006-KS3 Trust 76113ABL4 780000.00000000 PA USD 764733.61000000 0.295019514567 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.64300000 N N N N N N First Franklin Mtg Loan Asset N/A FFMLT Trust 2005-FF8 362341QS1 1250000.00000000 PA USD 1247676.63000000 0.481329640682 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.92800000 N N N N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 Boston Properties LP 10112RAS3 500000.00000000 PA USD 502108.40000000 0.193703761010 Long DBT CORP US N 2 2021-05-15 Fixed 4.12500000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 USD/JPY FORWARD 000000000 1.00000000 NC USD -72470.55000000 -0.02795774398 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -995000000.00000000 JPY 9573613.39000000 USD 2021-03-22 -72470.55000000 N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 Nationwide Building Society 63861VAA5 680000.00000000 PA USD 723891.22000000 0.279263306243 Long DBT CORP GB N 2 2024-03-08 Fixed 3.76600000 N N N N N N Credit-Based Asset Servicing a N/A Credit-Based Asset Servicing and Securitization LLC 12489WMG6 1000000.00000000 PA USD 987969.00000000 0.381139433360 Long ABS-O CORP US N 2 2035-07-25 Floating 1.04800000 N N N N N N Fanniemae-Aces N/A Fannie Mae-Aces 3136A56Z4 3401238.41000000 PA USD 7034.10000000 0.002713620455 Long ABS-MBS USGSE US N 2 2022-04-25 Variable 0.43137000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 Gilead Sciences Inc 375558BV4 655000.00000000 PA USD 656881.97000000 0.253412426736 Long DBT CORP US N 2 2023-09-29 Floating 0.77100000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31397UDV8 1104503.91000000 PA USD 1118139.01000000 0.431356518969 Long ABS-MBS USGSE US N 2 2041-06-25 Floating 0.71800000 N N N N N N Morgan Stanley BAML Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 61763KAZ7 93808.80000000 PA USD 101187.93000000 0.039036356710 Long ABS-MBS CORP US N 2 2047-04-15 Fixed 3.77300000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 General Motors Financial Co Inc 37045XAQ9 545000.00000000 PA USD 559796.77000000 0.215958824330 Long DBT CORP US N 2 2021-09-25 Fixed 4.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376V2F3 45840.35000000 PA USD 46136.33000000 0.017798508529 Long ABS-MBS USGA US N 2 2039-07-16 Floating 0.60313000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F022618 800000.00000000 PA USD 843374.99000000 0.325357846044 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N ZIMMER BIOMET HOLDINGS 2P2YLDVPES3BXQ1FRB91 Zimmer Biomet Holdings Inc 98956PAP7 106000.00000000 PA USD 106002.46000000 0.040893709761 Long DBT CORP US N 2 2021-03-19 Floating 0.98863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H020618 4800000.00000000 PA USD 5017986.24000000 1.935842553891 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.00000000 N N N N N N FHLMC Multifamily Structured P N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137BS6G3 3485896.60000000 PA USD 94428.48000000 0.036428690941 Long ABS-MBS USGSE US N 2 2025-09-25 Variable 0.65151600 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136B3NG1 82458.48000000 PA USD 82430.28000000 0.031800016205 Long ABS-MBS USGSE US N 2 2048-11-25 Floating 0.39800000 N N N N N N Educational Funding of the Sou N/A Educational Funding of the South Inc 28148WAB9 751638.11000000 PA USD 748362.98000000 0.288704040456 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.86475000 N N N N N N DIGNITY HEALTH TFVG45LTYVO3XKPZWP18 Dignity Health 254010AA9 150000.00000000 PA USD 155255.69000000 0.059894658347 Long DBT CORP US N 2 2022-11-01 Fixed 3.12500000 N N N N N N SLM Student Loan Trust 5493000NQN5E3MSIIG77 SLM Student Loan Trust 2003-10 78442GJG2 408718.88000000 PA USD 408731.43000000 0.157680722398 Long ABS-O CORP US N 2 2027-12-15 Floating 0.68650000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371KWH0 85951.63000000 PA USD 99896.14000000 0.038538008980 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 5.50000000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 American Campus Communities Operating Partnership LP 024836AA6 600000.00000000 PA USD 637349.19000000 0.245877055990 Long DBT CORP US N 2 2023-04-15 Fixed 3.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378BAF6 6709190.08000000 PA USD 13430.46000000 0.005181213088 Long ABS-MBS USGA US N 2 2051-10-16 Variable 0.15106000 N N N N N N Soundview Home Equity Loan Tru N/A Soundview Home Loan Trust 2006-1 83611MKY3 680693.00000000 PA USD 681247.26000000 0.262812086872 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.74800000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 Aviation Capital Group LLC 05369AAG6 250000.00000000 PA USD 248472.52000000 0.095855918028 Long DBT CORP US N 2 2021-06-01 Floating 1.17538000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GGK9 3600000.00000000 PA USD 3715615.40000000 1.433412939214 Long DBT CORP US N 2 2023-04-24 Fixed 2.88100000 N N N N N N SLM Student Loan Trust 549300FBYELJTA2VHZ52 SLM Student Loan Trust 2005-8 78442GQR0 110689.45000000 PA USD 110724.60000000 0.042715420527 Long ABS-O CORP US N 2 2028-01-25 Floating 0.76475000 N N N N N N Homebanc Mortgage Trust N/A HomeBanc Mortgage Trust 2005-4 43739EBS5 686879.24000000 PA USD 690883.54000000 0.266529578310 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.68800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38374FBV5 464205.71000000 PA USD 472970.47000000 0.182462908180 Long ABS-MBS USGA US N 2 2034-01-16 Floating 1.55475000 N N N N N N SOUNDVIEW HOME EQUITY LOAN TRU N/A SOUNDVIEW HOME LOAN TRUST 2006-OPT3 83611MPH5 550104.92000000 PA USD 546132.67000000 0.210687477424 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.31800000 N N N N N N Residential Asset Securities C N/A RASC Series 2006-KS7 Trust 75406XAD1 961150.23000000 PA USD 955347.29000000 0.368554605228 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.38800000 N N N N N N NUTRITION & BIOSCIENCES N/A Nutrition & Biosciences Inc 67079BAA8 375000.00000000 PA USD 376251.94000000 0.145150760006 Long DBT CORP US N 2 2022-09-15 Fixed 0.69700000 N N N N N N Higher Education Funding N/A Higher Education Funding I 429827AY4 337131.47000000 PA USD 338364.09000000 0.130534356373 Long ABS-MBS CORP US N 2 2034-05-25 Floating 1.25650000 N N N N N N JP Morgan Chase Commercial Mor N/A JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 46636VAC0 385836.41000000 PA USD 390635.56000000 0.150699683885 Long ABS-MBS CORP US N 2 2046-08-15 Fixed 4.17120000 N N N N N N CFCRE Commercial Mortgage Trus N/A CFCRE Commercial Mortgage Trust 2016-C4 12531YAL2 450000.00000000 PA USD 478408.64000000 0.184560849545 Long ABS-MBS CORP US N 2 2058-05-10 Fixed 3.09100000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36225CVG8 9090.27000000 PA USD 9496.11000000 0.003663416549 Long ABS-MBS USGA US N 2 2032-07-20 Floating 2.25000000 N N N N N N Countrywide Asset-Backed Certi N/A CWABS Asset-Backed Certificates Trust 2005-4 126673R38 800000.00000000 PA USD 785646.08000000 0.303087143172 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.15300000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 31394NT81 559846.95000000 PA USD 567940.85000000 0.219100653716 Long ABS-MBS USGSE US N 2 2033-10-15 Floating 0.75863000 N N N N N N SES SA 5493008JPA4HYMH1HX51 SES SA 78413HAA7 600000.00000000 PA USD 635099.78000000 0.245009276886 Long DBT CORP LU N 2 2023-04-04 Fixed 3.60000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38373QTW1 525603.86000000 PA USD 525644.23000000 0.202783431435 Long ABS-MBS USGA US N 2 2031-07-16 Floating 0.55313000 N N N N N N SUNOCO LOGISTICS PARTNER 5493006LL0CKP8WQW329 Sunoco Logistics Partners Operations LP 86765BAS8 900000.00000000 PA USD 1057204.67000000 0.407849222870 Long DBT CORP US N 2 2025-12-01 Fixed 5.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31386L3K6 6865.86000000 PA USD 7176.62000000 0.002768601930 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 8.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137ACNE5 115909.18000000 PA USD 116083.72000000 0.044782865923 Long ABS-MBS USGSE US N 2 2038-09-15 Floating 0.50863000 N N N N N N SLM Student Loan Trust 5493004WA7G168XIR344 SLM Student Loan Trust 2013-4 78448AAA1 121643.86000000 PA USD 120205.53000000 0.046372980924 Long ABS-O CORP US N 2 2043-06-25 Floating 0.70013000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36225CXR2 63151.92000000 PA USD 64871.88000000 0.025026323279 Long ABS-MBS USGA US N 2 2033-04-20 Floating 2.87500000 N N N N N N Citigroup Commercial Mortgage N/A Citigroup Commercial Mortgage Trust 2016-C2 17291CBP9 407000.00000000 PA USD 409283.81000000 0.157893819975 Long ABS-MBS CORP US N 2 2049-08-10 Fixed 1.84600000 N N N N N N Residential Asset Mortgage Pro N/A RAMP Series 2004-SL1 Trust 760985W31 34569.57000000 PA USD 10.86000000 0.000004189579 Long ABS-MBS CORP US N 2 2031-11-25 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38373VUE8 143725.04000000 PA USD 144559.46000000 0.055768258590 Long ABS-MBS USGA US N 2 2032-10-20 Floating 0.55163000 N N N N N N US TREASURY FRN 254900HROIFWPRGM1V77 United States Treasury Floating Rate Note 91282CAS0 7500000.00000000 PA USD 7499982.60000000 2.893349000200 Long DBT UST US N 1 2022-10-31 Floating 0.15002281 N N N N N N LoanCore 2018-CRE1 Issuer, Ltd N/A LoanCore 2018-CRE1 Issuer Ltd 53946MAA5 563742.92000000 PA USD 562178.67000000 0.216877715526 Long ABS-CBDO CORP KY N 2 2028-05-15 Floating 1.28863000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 Bayer US Finance II LLC 07274NAE3 1140000.00000000 PA USD 1243014.16000000 0.479530949454 Long DBT CORP US N 2 2023-12-15 Fixed 3.87500000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31398MDK9 315101.20000000 PA USD 72010.68000000 0.027780334981 Long ABS-MBS USGSE US N 2 2036-11-25 Floating 6.08200000 N N N N N N NORTHWEST AIR 2001-1 A1 N/A Northwest Airlines 2001-1 Class A-1 Pass Through Trust 667294AW2 292947.45000000 PA USD 283935.27000000 0.109536764735 Long DBT CORP US N 2 2022-04-01 Fixed 7.04100000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137A2MB4 65518.93000000 PA USD 65573.23000000 0.025296890616 Long ABS-MBS USGSE US N 2 2039-02-15 Floating 0.45863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376CR76 111985.39000000 PA USD 114404.68000000 0.044135124592 Long ABS-MBS USGA US N 2 2039-10-16 Floating 0.95313000 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 IHS Markit Ltd 44962LAA5 880000.00000000 PA USD 942308.24000000 0.363524390587 Long DBT CORP BM N 2 2022-11-01 Fixed 5.00000000 N N N N N N BEMIS COMPANY INC PTVU09TE3QPJPL7K4E13 Bemis Co Inc 081437AR6 385000.00000000 PA USD 393375.54000000 0.151756715457 Long DBT CORP US N 2 2021-10-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38373MYH7 167995.57000000 PA USD 169666.76000000 0.065454171908 Long ABS-MBS USGA US N 2 2041-04-16 Variable 5.27800000 N N N N N N DBRR Trust N/A DBRR 2011-LC2 Trust 23305UAA5 1685404.00000000 PA USD 1691291.45000000 0.652467703845 Long ABS-MBS CORP US N 2 2044-07-12 Variable 4.53700000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 NextEra Energy Capital Holdings Inc 65339KBA7 250000.00000000 PA USD 250083.73000000 0.096477491849 Long DBT CORP US N 2 2021-08-28 Floating 0.77438000 N N N N N N UBS Commercial Mortgage Trust N/A UBS Commercial Mortgage Trust 2012-C1 90269GAG6 2162542.46000000 PA USD 35109.63000000 0.013544619804 Long ABS-MBS CORP US N 2 2045-05-10 Variable 2.05929800 N N N N N N Freddie Mac N/A Freddie Mac REMICS 312916FL8 769.67000000 PA USD 811.18000000 0.000312937638 Long ABS-MBS USGSE US N 2 2023-06-15 Fixed 6.50000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 Park Aerospace Holdings Ltd 70014LAD2 100000.00000000 PA USD 100283.60000000 0.038687483594 Long DBT CORP KY N 2 2021-03-15 Fixed 3.62500000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A IndyMac INDX Mortgage Loan Trust 2004-AR6 45660NY25 108193.43000000 PA USD 106619.93000000 0.041131917808 Long ABS-MBS CORP US N 2 2034-10-25 Variable 3.09074900 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136B72K6 189579.35000000 PA USD 191220.23000000 0.073769085982 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 0.64800000 N N N N N N WAMU Mortgage Pass-Through Cer N/A WaMu Mortgage Pass-Through Certificates Series 2003-AR6 Trust 9292274D5 45973.54000000 PA USD 46938.95000000 0.018108143884 Long ABS-MBS CORP US N 2 2033-06-25 Variable 3.10197300 N N N N N N JP Morgan Mortgage Acquisition N/A JP Morgan Mortgage Acquisition Trust 2006-CH1 46629TAF7 318347.56000000 PA USD 318251.10000000 0.122775151771 Long ABS-O CORP US N 2 2036-07-25 Floating 0.36800000 N N N N N N Citigroup Mortgage Loan Trust N/A Citigroup Mortgage Loan Trust 2007-AMC4 17313BAE1 500000.00000000 PA USD 469778.45000000 0.181231488273 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.41800000 N N N N N N GSAA Home Equity Trust N/A GSAA Home Equity Trust 2005-MTR1 362341UC1 906396.51000000 PA USD 906197.01000000 0.349593372772 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.88800000 N N N N N N Progress Residential Trust N/A Progress Residential 2018-SFR3 Trust 74331MAA4 1996576.25000000 PA USD 2036932.17000000 0.785809244083 Long ABS-O CORP US N 2 2035-10-17 Fixed 3.88000000 N N N N N N Structured Asset Securities Co N/A Structured Asset Securities Corp Mortgage Loan Trust 2006-OPT1 86359UAA7 718664.99000000 PA USD 677818.12000000 0.261489190630 Long ABS-O CORP US N 2 2036-04-25 Floating 0.32800000 N N N N N N Wells Fargo Commercial Mortgag 5493007OD9MH69ES1S63 Wells Fargo Commercial Mortgage Trust 2016-LC24 95000HBD3 171139.55000000 PA USD 173341.17000000 0.066871688597 Long ABS-MBS CORP US N 2 2049-10-15 Fixed 2.50100000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 Humana Inc 444859BA9 600000.00000000 PA USD 626902.93000000 0.241847089850 Long DBT CORP US N 2 2022-12-01 Fixed 3.15000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137A6XY3 34771.82000000 PA USD 34794.87000000 0.013423191452 Long ABS-MBS USGSE US N 2 2025-08-15 Floating 0.55863000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 31396EPS9 120821.83000000 PA USD 120870.64000000 0.046629567566 Long ABS-MBS USGSE US N 2 2035-04-15 Floating 0.45863000 N N N N N N Countrywide Asset-Backed Certi N/A CWABS Asset-Backed Certificates Trust 2005-3 126673B84 453572.14000000 PA USD 454207.67000000 0.175224580904 Long ABS-O CORP US N 2 2035-08-25 Floating 1.15300000 N N N N N N FHLMC Multifamily Structured P N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137BS5V1 596833.93000000 PA USD 598618.58000000 0.230935531763 Long ABS-MBS USGSE US N 2 2023-07-25 Floating 0.65338000 N N N N N N US TREASURY FRN 254900HROIFWPRGM1V77 United States Treasury Floating Rate Note 9128287G9 10100000.00000000 PA USD 10114105.66000000 3.901827385477 Long DBT UST US N 1 2021-07-31 Floating 0.31502281 N N N N N N Credit Suisse Mortgage Trust N/A CSMC Trust 2017-LSTK 12651PAA9 310000.00000000 PA USD 309526.97000000 0.119409550254 Long ABS-MBS CORP US N 2 2033-04-05 Fixed 2.76074000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 CVS Health Corp 126650CK4 600000.00000000 PA USD 626490.82000000 0.241688105740 Long DBT CORP US N 2 2022-07-20 Fixed 3.50000000 N N N N N N DELTA AIR LINES 2002-1G1 N/A Delta Air Lines 2002-1 Class G-1 Pass Through Trust 247367AX3 147940.71000000 PA USD 152923.12000000 0.058994797715 Long DBT CORP US N 2 2023-01-02 Fixed 6.71800000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 9127963W7 3000000.00000000 PA USD 2999825.70000000 1.157275043527 Long DBT UST US N 1 2021-02-04 None 0.00000000 N N N N N N GE Capital Mtg Services Inc N/A GE Mortgage Services LLC 36158GBB3 1.50000000 PA USD 1.55000000 0.000000597960 Long ABS-MBS CORP US N 2 2028-06-25 Fixed 6.46500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36225CVC7 88440.66000000 PA USD 92492.23000000 0.035681722941 Long ABS-MBS USGA US N 2 2032-06-20 Floating 2.87500000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 Broadcom Inc 11135FAX9 600000.00000000 PA USD 628163.20000000 0.242333277770 Long DBT CORP US N 2 2022-10-15 Fixed 3.12500000 N N N N N N JP Morgan Mortgage Acquisition N/A JP Morgan Mortgage Acquisition Trust 2006-NC2 46629FAD2 313499.08000000 PA USD 306341.66000000 0.118180718936 Long ABS-O CORP US N 2 2036-07-25 Floating 0.39800000 N N N N N N CSAIL Commercial Mortgage Trus N/A CSAIL 2017-CX9 Commercial Mortgage Trust 12595FAB8 950000.00000000 PA USD 981261.27000000 0.378551720172 Long ABS-MBS CORP US N 2 2050-09-15 Fixed 3.05380000 N N N N N N SLM Student Loan Trust 5493001IJLRQI58G5Z31 SLM Student Loan Trust 2003-14 78442GKN5 199561.70000000 PA USD 198957.73000000 0.076754064626 Long ABS-O CORP US N 2 2025-07-25 Floating 0.51475000 N N N N N N Nomura Resecuritization Trust N/A Nomura Resecuritization Trust 2015-9R 65541DAD2 812777.29000000 PA USD 812777.29000000 0.313553842032 Long ABS-MBS CORP US N 2 2036-05-25 Variable 3.00000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 9127964P1 20000000.00000000 PA USD 19996254.00000000 7.714170099362 Long DBT UST US N 1 2021-04-01 None 0.00000000 N N N N N N Centex Home Equity N/A Centex Home Equity Loan Trust 2006-A 15231AAD8 120752.47000000 PA USD 120015.94000000 0.046299840749 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.39800000 N N N N N N SL GREEN OPERATING PARTN 2K1OXW4LY7IS2U150Y32 SL Green Operating Partnership LP 78444FAF3 600000.00000000 PA USD 619221.44000000 0.238883718787 Long DBT CORP US N 2 2022-10-15 Fixed 3.25000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 31397JE91 68018.55000000 PA USD 68352.46000000 0.026369064083 Long ABS-MBS USGSE US N 2 2035-08-15 Floating 0.45863000 N N N N N N Fanniemae-Aces N/A Fannie Mae-Aces 3136AT5G5 223357.76000000 PA USD 231573.62000000 0.089336647514 Long ABS-MBS USGSE US N 2 2039-07-25 Fixed 2.94400000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 Citigroup Mortgage Loan Trust Inc 17307GDP0 13289.97000000 PA USD 13206.01000000 0.005094624596 Long ABS-MBS CORP US N 2 2034-02-25 Variable 2.48018600 N N N N N N FHLMC Multifamily Structured P N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FREB3 236950.37000000 PA USD 243466.14000000 0.093924552938 Long ABS-MBS USGSE US N 2 2025-02-25 Fixed 1.76600000 N N N N N N Fanniemae-Aces N/A Fannie Mae-Aces 3136B9DS3 204823.29000000 PA USD 27445.76000000 0.010588046198 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 1.79642000 N N N N N N FIRST FRANKLIN MTG LOAN ASSET N/A FIRST FRANKLIN MORTGAGE LOAN TRUST 2005-FF9 32027NVS7 1541449.10000000 PA USD 1542688.07000000 0.595139378717 Long ABS-O CORP US N 2 2035-10-25 Floating 0.72800000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU 549300FCX3YXSYSLU895 WFRBS Commercial Mortgage Trust 2014-C19 92938VAN5 1596781.95000000 PA USD 1624537.37000000 0.626715264016 Long ABS-MBS CORP US N 2 2047-03-15 Fixed 3.66000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136B9AC1 773589.12000000 PA USD 779343.09000000 0.300655570889 Long ABS-MBS USGSE US N 2 2050-03-25 Floating 0.64800000 N N N N N N SPRINT SPECTRUM / SPEC I N/A Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC 85208NAD2 710000.00000000 PA USD 771212.65000000 0.297519003553 Long DBT CORP US N 2 2025-03-20 Fixed 4.73800000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 HCA Inc 404122BA0 1246843.43000000 PA USD 1248289.77000000 0.481566178298 Long LON CORP US N 2 2025-03-13 Floating 1.89400000 N N N N N N FHLMC Multifamily Structured P N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137AUPF0 9012334.29000000 PA USD 147108.33000000 0.056751563600 Long ABS-MBS USGSE US N 2 2022-06-25 Variable 1.40440000 N N N N N N DBWF Mortgage Trust N/A DBWF 2018-AMXP Mortgage Trust 23306PAA5 1500000.00000000 PA USD 1529049.00000000 0.589877687903 Long ABS-MBS CORP US N 2 2035-05-05 Variable 3.74675000 N N N N N N Barings CLO Ltd N/A Barings CLO Ltd 2013-I 06760EAA4 1294782.08000000 PA USD 1292282.63000000 0.498537777339 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 1.01838000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136A4MA4 247642.57000000 PA USD 248583.28000000 0.095898647105 Long ABS-MBS USGSE US N 2 2039-12-25 Floating 0.64800000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 CBOT 5 Year US Treasury Note 000000000 -44.00000000 NC USD -10666.89000000 -0.00411508094 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2021-03-31 -5540551.75000000 USD -10666.89000000 N N N Freddie Mac N/A Freddie Mac REMICS 3137AECS2 68013.11000000 PA USD 68222.68000000 0.026318997455 Long ABS-MBS USGSE US N 2 2026-05-15 Floating 0.50863000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 31398WZU1 10917.83000000 PA USD 10929.92000000 0.004216552862 Long ABS-MBS USGSE US N 2 2032-07-15 Floating 0.90863000 N N N N N N Morgan Stanley BAML Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 61762XAV9 2797646.85000000 PA USD 36474.74000000 0.014071252980 Long ABS-MBS CORP US N 2 2046-10-15 Variable 0.58932500 N N N N N N PERNOD RICARD SA 52990097YFPX9J0H5D87 Pernod Ricard SA 714264AH1 600000.00000000 PA USD 633665.33000000 0.244455893673 Long DBT CORP FR N 2 2022-07-15 Fixed 4.25000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31393USG9 12602.02000000 PA USD 15161.92000000 0.005849177046 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 9.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404KNR9 80092.20000000 PA USD 81832.03000000 0.031569222865 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 3.30800000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 General Electric Co 36962GW75 150000.00000000 PA USD 144369.63000000 0.055695025828 Long DBT CORP US N 2 2026-05-05 Floating 0.60475000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31335HQ30 1287.00000000 PA USD 1294.74000000 0.000499485783 Long ABS-MBS USGSE US N 2 2021-08-01 Fixed 7.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137AGJJ0 311115.29000000 PA USD 311797.78000000 0.120285585066 Long ABS-MBS USGSE US N 2 2041-04-15 Floating 0.50863000 N N N N N N Ajax Mortgage Loan Trust N/A Ajax Mortgage Loan Trust 2019-F 00969PAA1 288035.38000000 PA USD 298804.27000000 0.115272938881 Long ABS-MBS CORP US N 2 2059-07-25 Variable 2.86000000 N N N N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 Boston Properties LP 10112RAU8 600000.00000000 PA USD 638926.55000000 0.246485571132 Long DBT CORP US N 2 2023-02-01 Fixed 3.85000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912796B81 18000000.00000000 PA USD 17998709.94000000 6.943556030356 Long DBT UST US N 1 2021-02-16 None 0.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31392CH49 92978.91000000 PA USD 94824.57000000 0.036581494842 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 1.14800000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 Japan Treasury Discount Bill 000000000 1995000000.00000000 PA 19327220.69000000 7.456069919424 Long DBT NUSS JP N 2 2021-03-22 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EG5M2 58051.50000000 PA USD 68475.08000000 0.026416368520 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co 46647PBB1 2400000.00000000 PA USD 2487607.94000000 0.959671285916 Long DBT CORP US N 2 2023-04-01 Fixed 3.20700000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137AGZ37 302172.44000000 PA USD 302525.74000000 0.116708610412 Long ABS-MBS USGSE US N 2 2040-05-15 Floating 0.50863000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 JPY/USD FORWARD 000000000 1.00000000 NC USD -22036.39000000 -0.00850121531 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -260000000.00000000 JPY 2498330.43000000 USD 2021-03-15 -22036.39000000 N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 Anthem Inc 94973VAW7 500000.00000000 PA USD 506110.14000000 0.195247555315 Long DBT CORP US N 2 2021-08-15 Fixed 3.70000000 N N N N N N NATIONWIDE MUTUAL INSURA Z7LVXXWM8HZPKF5T2355 Nationwide Mutual Insurance Co 638671AJ6 500000.00000000 PA USD 499914.07000000 0.192857230711 Long DBT CORP US N 2 2024-12-15 Floating 2.50650000 N N N N N N BX Trust N/A BX Commercial Mortgage Trust 2020-BXLP 05607QAA6 249771.39000000 PA USD 250436.23000000 0.096613479567 Long ABS-MBS CORP US N 2 2036-12-15 Floating 0.95900000 N N N N N N Irvine Core Office Trust N/A Irvine Core Office Trust 2013-IRV 46361TAA0 531895.72000000 PA USD 539380.55000000 0.208082639427 Long ABS-MBS CORP US N 2 2048-05-15 Fixed 2.06800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404AD68 19653.04000000 PA USD 22244.95000000 0.008581673755 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 6.50000000 N N N N N N Banc of America Funding Corpor N/A Banc of America Funding 2003-2 Trust 05946XCR2 2856.31000000 PA USD 2932.72000000 0.001131386955 Long ABS-MBS CORP US N 2 2032-06-25 Fixed 6.50000000 N N N N N N Nomura Resecuritization Trust N/A Nomura Resecuritization Trust 2014-8R 65540QAD4 579254.66000000 PA USD 579254.66000000 0.223465303955 Long ABS-MBS CORP US N 2 2035-09-26 Variable 3.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 313921X45 83131.64000000 PA USD 84850.20000000 0.032733574786 Long ABS-MBS USGSE US N 2 2031-10-25 Floating 1.09800000 N N N N N N SMITHFIELD FOODS INC CVTIPZRZJC0JQEZLL598 Smithfield Foods Inc 832248AY4 400000.00000000 PA USD 407005.20000000 0.157014776073 Long DBT CORP US N 2 2022-02-01 Fixed 3.35000000 N N N N N N Aames Mortgage Investment Trus N/A Aames Mortgage Investment Trust 2006-1 00252GAD1 343128.85000000 PA USD 340644.87000000 0.131414237419 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.70800000 N N N N N N UBS-Barclays Commercial Mortga N/A UBS-Barclays Commercial Mortgage Trust 2013-C5 90270YAC3 3747235.97000000 PA USD 54495.68000000 0.021023384940 Long ABS-MBS CORP US N 2 2046-03-10 Variable 0.93746300 N N N N N N Washington Mutual Mortgage Pas N/A Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust 9393366H1 129976.64000000 PA USD 105746.65000000 0.040795023184 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.64800000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F022626 1600000.00000000 PA USD 1684062.56000000 0.649678937155 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376G2H2 1334340.30000000 PA USD 1393391.80000000 0.537543749957 Long ABS-MBS USGA US N 2 2052-04-16 Variable 3.77542000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 Morgan Stanley 61744YAN8 2350000.00000000 PA USD 2481941.01000000 0.957485093344 Long DBT CORP US N 2 2023-01-23 Fixed 3.12500000 N N N N N N VIATRIS INC 254900ZZTSW7NL773X71 Viatris Inc 91533BAA8 550000.00000000 PA USD 555217.18000000 0.214192106611 Long DBT CORP US N 2 2022-06-22 Fixed 1.12500000 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 Daimler Finance North America LLC 233851DV3 290000.00000000 PA USD 292230.58000000 0.112736935745 Long DBT CORP US N 2 2022-02-15 Floating 1.12100000 N N N N N N PFS Financing Corp. N/A PFS Financing Corp 69335PCQ6 300000.00000000 PA USD 300634.83000000 0.115979133712 Long ABS-O CORP US N 2 2023-02-15 Fixed 2.89000000 N N N N N N BX Trust N/A BX Commercial Mortgage Trust 2018-IND 056059AA6 78889.26000000 PA USD 79042.58000000 0.030493106719 Long ABS-MBS CORP US N 2 2035-11-15 Floating 0.90900000 N N N N N N MASTR Adjustable Rate Mortgage N/A MASTR Adjustable Rate Mortgages Trust 2004-5 576433MW3 5740.72000000 PA USD 5963.62000000 0.002300649866 Long ABS-MBS CORP US N 2 2034-06-25 Variable 4.12501800 N N N N N N FHLMC Multifamily Structured P N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FARM2 189415.70000000 PA USD 189567.65000000 0.073131552411 Long ABS-MBS USGSE US N 2 2044-05-25 Floating 1.34943000 N N N N N N SOUTHERN CO GAS CAPITAL E8CD46SWUD2TSN8PA636 Southern Co Gas Capital Corp 001192AL7 1000000.00000000 PA USD 1123967.99000000 0.433605227314 Long DBT CORP US N 2 2025-11-15 Fixed 3.87500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 Citigroup Inc 172967LN9 308000.00000000 PA USD 310874.82000000 0.119929524854 Long DBT CORP US N 2 2023-07-24 Floating 1.16475000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A WFRBS Commercial Mortgage Trust 2012-C9 92930RAF9 1432198.09000000 PA USD 36920.06000000 0.014243048868 Long ABS-MBS CORP US N 2 2045-11-15 Variable 1.87813300 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418MS45 21158.78000000 PA USD 22243.86000000 0.008581253254 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 6.00000000 N N N N N N NXP BV/NXP FUNDING LLC N/A NXP BV / NXP Funding LLC 62947QAW8 600000.00000000 PA USD 632513.60000000 0.244011578396 Long DBT CORP NL N 2 2022-09-01 Fixed 3.87500000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31394BWQ3 10048.75000000 PA USD 11671.70000000 0.004502717316 Long ABS-MBS USGSE US N 2 2034-12-25 Floating 7.00000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 Freddie Mac Strips 3128HXMD4 301163.44000000 PA USD 303535.49000000 0.117098152536 Long ABS-MBS USGSE US N 2 2042-06-15 Floating 0.65863000 N N N N N N Park Place Securities Inc N/A Park Place Securities Inc Asset Backed Pass Through Certificates Ser 2005-WHQ3 70069FJS7 548000.00000000 PA USD 550545.02000000 0.212389677168 Long ABS-O CORP US N 2 2035-06-25 Floating 1.09300000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31398NEX8 84072.90000000 PA USD 84608.19000000 0.032640211984 Long ABS-MBS USGSE US N 2 2040-09-25 Floating 0.54800000 N N N N N N MortgageIT Trust N/A MortgageIT Trust 2005-1 61913PAP7 902895.69000000 PA USD 919234.67000000 0.354623051178 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.78800000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912796B65 10000000.00000000 PA USD 9999460.30000000 3.857599411170 Long DBT UST US N 1 2021-02-02 None 0.00000000 N N N N N N Citigroup Commercial Mortgage N/A Citigroup Commercial Mortgage Trust 2016-P5 17325DAB9 760000.00000000 PA USD 766951.53000000 0.295875145434 Long ABS-MBS CORP US N 2 2049-10-10 Fixed 2.40000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 AbbVie Inc 00287YAP4 600000.00000000 PA USD 628119.82000000 0.242316542601 Long DBT CORP US N 2 2022-11-06 Fixed 3.20000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 Park Aerospace Holdings Ltd 70014LAC4 100000.00000000 PA USD 104845.40000000 0.040447338273 Long DBT CORP KY N 2 2023-03-15 Fixed 4.50000000 N N N N N N FANNIE MAE N/A Fannie Mae REMICS 31394EC97 153185.32000000 PA USD 153313.11000000 0.059145248355 Long ABS-MBS USGSE US N 2 2035-08-25 Floating 0.39800000 N N N N N N Wells Fargo Commercial Mortgag 549300FWFHJGIW2B2U59 Wells Fargo Commercial Mortgage Trust 2016-C34 95000DBB6 533904.04000000 PA USD 536903.25000000 0.207126944746 Long ABS-MBS CORP US N 2 2049-06-15 Fixed 2.60300000 N N N N N N SPRINT SPECTRUM / SPEC I N/A Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC 85208NAA8 1132500.00000000 PA USD 1143825.00000000 0.441265679756 Long DBT CORP US N 2 2021-09-20 Variable 3.36000000 N N N N N N Aames Mortgage Trust N/A Aames Mortgage Trust 2002-1 00253CHQ3 17622.14000000 PA USD 17926.47000000 0.006915687251 Long ABS-MBS CORP US N 2 2032-06-25 Variable 7.39600000 N N N N N N Credit Suisse First Boston Mor N/A Credit Suisse First Boston Mortgage Securities Corp 22541NST7 19523.32000000 PA USD 19400.50000000 0.007484339667 Long ABS-MBS CORP US N 2 2032-11-25 Variable 2.52040800 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 Santander UK Group Holdings PLC 80281LAF2 750000.00000000 PA USD 772924.03000000 0.298179221033 Long DBT CORP GB N 2 2023-01-10 Fixed 3.57100000 N N N N N N COMM Mortgage Trust N/A COMM 2015-CCRE22 Mortgage Trust 12592XAZ9 1640066.85000000 PA USD 1646309.85000000 0.635114667935 Long ABS-MBS CORP US N 2 2048-03-10 Fixed 2.85600000 N N N N N N Bear Stearns Alt-A Trust N/A Bear Stearns ALT-A Trust 2005-2 07386HQS3 560764.12000000 PA USD 562108.72000000 0.216850730162 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.89800000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38148YAC2 2450000.00000000 PA USD 2498930.91000000 0.964039469907 Long DBT CORP US N 2 2022-10-31 Fixed 2.87600000 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 Wells Fargo Bank NA 94988J6A0 600000.00000000 PA USD 607142.78000000 0.234224004131 Long DBT CORP US N 2 2022-09-09 Fixed 2.08200000 N N N N N N ALLIANT ENERGY FINANCE 54930033ER6EOI5DL570 Alliant Energy Finance LLC 01882YAA4 725000.00000000 PA USD 777313.10000000 0.299872439801 Long DBT CORP US N 2 2023-06-15 Fixed 3.75000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828T34 3000000.00000000 PA USD 3022968.75000000 1.166203186984 Long DBT UST US N 1 2021-09-30 Fixed 1.12500000 N N N N N N JP Morgan Chase Commercial Mor N/A JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 46636DAJ5 272166.02000000 PA USD 274191.37000000 0.105777755571 Long ABS-MBS CORP US N 2 2046-07-15 Fixed 4.38780000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 2 YEAR US TREASURY NOTE 000000000 -140.00000000 NC USD -10767.93000000 -0.00415406023 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2021-03-31 -30925950.77000000 USD -10767.93000000 N N N JP Morgan Chase Commercial Mor N/A JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 46634SAD7 259954.42000000 PA USD 265040.27000000 0.102247437243 Long ABS-MBS CORP US N 2 2045-05-15 Fixed 3.14440000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co 48128BAC5 200000.00000000 PA USD 201882.99000000 0.077882573657 Long DBT CORP US N 2 2023-01-15 Floating 1.23688000 N N N N N N Long Beach Mortgage Loan Trust N/A Long Beach Mortgage Loan Trust 2005-WL1 542514LK8 718370.38000000 PA USD 718553.49000000 0.277204112697 Long ABS-O CORP US N 2 2035-06-25 Floating 1.04800000 N N N N N N SLM Student Loan Trust 549300DP3T6QDZHB8271 SLM Student Loan Trust 2007-6 78444CAD5 94269.81000000 PA USD 94255.89000000 0.036362109039 Long ABS-O CORP US N 2 2024-10-25 Floating 0.59475000 N N N N N N Residential Asset Securitizati N/A Residential Asset Securitization Trust 2004-IP2 45660LAP4 63592.43000000 PA USD 63273.62000000 0.024409745319 Long ABS-MBS CORP US N 2 2034-12-25 Variable 3.12166000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 313920B41 1120.43000000 PA USD 1267.20000000 0.000488861381 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38373VUD0 97433.22000000 PA USD 97998.89000000 0.037806086430 Long ABS-MBS USGA US N 2 2032-10-20 Floating 0.55163000 N N N N N N ENCORE CREDIT RECEIVABLES TRUS N/A ENCORE CREDIT RECEIVABLES TRUST 2005-3 29256PAH7 1250000.00000000 PA USD 1231361.25000000 0.475035480958 Long ABS-O CORP US N 2 2035-10-25 Floating 1.04800000 N N N N N N Terwin Mortgage Trust N/A Terwin NIMs Trust TMTS 2004-13ALT 881561JL9 1452387.18000000 PA USD 20928.68000000 0.008073882111 Long ABS-MBS CORP US N 3 2034-08-25 Fixed 0.34000000 N N N N N N HIGHWOODS REALTY LP JUJNVZX73BIYHLR58F51 Highwoods Realty LP 431282AN2 131000.00000000 PA USD 131512.94000000 0.050735162167 Long DBT CORP US N 2 2021-06-15 Fixed 3.20000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 Air Lease Corp 00914AAD4 600000.00000000 PA USD 616459.60000000 0.237818254048 Long DBT CORP US N 2 2023-01-15 Fixed 2.25000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 31339GNR8 62850.99000000 PA USD 64008.88000000 0.024693394482 Long ABS-MBS USGSE US N 2 2031-10-15 Floating 1.10863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419AP50 62973.05000000 PA USD 73727.29000000 0.028442570094 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H022614 16650000.00000000 PA USD 17625585.94000000 6.799611969426 Long ABS-MBS USGA US N 2 2052-08-01 Fixed 2.50000000 N N N N N N DENVER CITY & CNTY CO ARPT REV N/A City & County of Denver CO Airport System Revenue 249182PK6 965000.00000000 PA USD 968740.82000000 0.373721571434 Long DBT MUN US N 2 2023-11-15 Fixed 0.87700000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AJNY8 56128.10000000 PA USD 56148.13000000 0.021660868359 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 0.54800000 N N N N N N OPTION ONE MORTGAGE LOAN TRUST N/A OPTION ONE MORTGAGE LOAN TRUST 2005-5 ASSET-BACKED CERTIFICATES SERIES 2005-5 68389FJY1 1291794.19000000 PA USD 1297495.14000000 0.500548663417 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.73300000 N N N N N N QWEST CORP 549300R2L4N683OO1509 Qwest Corp 912920AK1 400000.00000000 PA USD 473000.00000000 0.182474300286 Long DBT CORP US N 2 2025-09-15 Fixed 7.25000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 Ford Motor Credit Co LLC 345397YY3 480000.00000000 PA USD 479983.57000000 0.185168427240 Long DBT CORP US N 2 2021-04-05 Floating 1.04400000 N N N N N N GSAMP Trust N/A GSAMP Trust 2006-HE3 36244KAD7 1197092.38000000 PA USD 1190972.96000000 0.459454455678 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.46800000 N N N N N N MASTR Seasoned Securitization N/A MASTR Seasoned Securitization Trust 2004-1 55265WBD4 28237.61000000 PA USD 28630.13000000 0.011044953359 Long ABS-MBS CORP US N 2 2032-10-25 Variable 2.69279700 N N N N N N Morgan Stanley Capital Inc N/A Morgan Stanley ABS Capital I Inc Trust 2005-WMC3 61744CQA7 599626.10000000 PA USD 600569.31000000 0.231688085868 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.07800000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 31396FRL9 363818.62000000 PA USD 369485.31000000 0.142540324330 Long ABS-MBS USGSE US N 2 2035-08-15 Floating 0.85863000 N N N N N N CONTL AIRLINES 2007-1 N/A Continental Airlines 2007-1 Class A Pass Through Trust 21079NAA9 259388.10000000 PA USD 262629.08000000 0.101317246528 Long DBT CORP US N 2 2022-04-19 Fixed 5.98300000 N N N N N N PNM RESOURCES INC 5493003JOBJGLZSDDQ28 PNM Resources Inc 69349HAC1 400000.00000000 PA USD 401587.24000000 0.154924631338 Long DBT CORP US N 2 2021-03-09 Fixed 3.25000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 Lloyds Banking Group PLC 539439AP4 1345000.00000000 PA USD 1403219.20000000 0.541334971814 Long DBT CORP GB N 2 2023-11-07 Fixed 2.90700000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Wells Fargo & Co 95000U2C6 805000.00000000 PA USD 879065.90000000 0.339126712490 Long DBT CORP US N 2 2024-01-24 Fixed 3.75000000 N N N N N N Structured Asset Investment Lo N/A Structured Asset Investment Loan Trust 2005-HE3 86358EWX0 470872.90000000 PA USD 469353.20000000 0.181067435004 Long ABS-O CORP US N 2 2035-09-25 Floating 0.86800000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 Ford Motor Credit Co LLC 345397ZH9 1150000.00000000 PA USD 1165093.75000000 0.449470754332 Long DBT CORP US N 2 2021-10-12 Fixed 3.81300000 N N N N N N Carrington Mortgage Loan Trust N/A Carrington Mortgage Loan Trust Series 2005-NC4 78514RAE5 487169.73000000 PA USD 490198.76000000 0.189109251019 Long ABS-O CORP US N 2 2035-09-25 Floating 0.89800000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 General Electric Co 36966TJA1 750000.00000000 PA USD 753505.17000000 0.290687798431 Long DBT CORP US N 2 2023-04-15 Floating 1.23688000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377WLC6 1586437.73000000 PA USD 20698.09000000 0.007984924926 Long ABS-MBS USGA US N 2 2037-06-16 Floating 0.60000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 AbbVie Inc 00287YCT4 200000.00000000 PA USD 208489.24000000 0.080431137814 Long DBT CORP US N 2 2022-10-01 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385WUX5 13093.45000000 PA USD 13066.45000000 0.005040785033 Long ABS-MBS USGSE US N 2 2032-11-01 Floating 1.94600000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912796UC1 9000000.00000000 PA USD 8999609.85000000 3.471876342979 Long DBT UST US N 1 2021-01-28 None 0.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 31397GQR4 338593.17000000 PA USD 340255.36000000 0.131263971954 Long ABS-MBS USGSE US N 2 2035-08-15 Floating 0.45863000 N N N N N N MASTR Adjustable Rate Mortgage N/A MASTR Adjustable Rate Mortgages Trust 2004-12 576433UC8 137637.48000000 PA USD 137637.48000000 0.053097891873 Long ABS-MBS CORP US N 2 2034-10-25 Variable 2.94843800 N N N N N N MIAMI-DADE CNTY FL AVIATION RE N/A County of Miami-Dade FL Aviation Revenue 59333P2E7 755000.00000000 PA USD 776380.54000000 0.299512676093 Long DBT MUN US N 2 2022-10-01 Fixed 2.32400000 N N N N N N Countrywide Alternative Loan T N/A Alternative Loan Trust 2004-J6 12667FRG2 56292.78000000 PA USD 58803.00000000 0.022685066130 Long ABS-MBS CORP US N 2 2031-11-25 Fixed 6.50000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F020620 1075000.00000000 PA USD 1115438.44000000 0.430314691018 Long ABS-MBS USGSE US N 2 2051-01-02 Fixed 2.00000000 N N N N N N FHLMC Multifamily Structured P N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FPJ48 1052431.56000000 PA USD 1094017.97000000 0.422051085785 Long ABS-MBS USGSE US N 2 2025-07-25 Fixed 2.13500000 N N N N N N FRESENIUS US FINANCE II TRJSJR7WPAPZ2OYFQZ47 Fresenius US Finance II Inc 35804GAK4 585000.00000000 PA USD 618480.98000000 0.238598063564 Long DBT CORP US N 2 2023-01-15 Fixed 4.50000000 N N N N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust 2005-A2 466247PC1 130410.45000000 PA USD 130510.68000000 0.050348509541 Long ABS-MBS CORP US N 2 2035-04-25 Variable 3.68368000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 Bausch Health Cos Inc 91911KAK8 280000.00000000 PA USD 288330.00000000 0.111232167022 Long DBT CORP CA N 2 2024-03-15 Fixed 7.00000000 N N N N N N FORD MOTOR CREDIT CO N/A FORD MOTOR CREDIT CO 000000000 150000.00000000 PA USD 149969.17000000 0.057855220634 Long DBT CORP US N 2 2021-01-08 None 0.00000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 Bayer US Finance II LLC 07274NAV5 600000.00000000 PA USD 611684.25000000 0.235976015887 Long DBT CORP US N 2 2022-07-15 Fixed 2.20000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376GM80 979759.57000000 PA USD 1020329.06000000 0.393623321956 Long ABS-MBS USGA US N 2 2051-08-16 Variable 3.61603000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378BT58 2645991.63000000 PA USD 56567.33000000 0.021822587655 Long ABS-MBS USGA US N 2 2053-01-16 Variable 0.54657000 N N N N N N COMM Mortgage Trust 549300C72XVZH4MIKU63 COMM 2013-CCRE9 Mortgage Trust 12625UBA0 322304.67000000 PA USD 335528.78000000 0.129440548322 Long ABS-MBS CORP US N 2 2045-07-10 Fixed 3.83400000 N N N N N N Fanniemae-Aces N/A Fannie Mae-Aces 3136AY7K3 377223.25000000 PA USD 405094.99000000 0.156277853804 Long ABS-MBS USGSE US N 2 2027-12-25 Variable 2.98468200 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 JAPAN TREASURY DISCOUNT BILL 000000000 1300000000.00000000 PA 12594141.12000000 4.858577354291 Long DBT NUSS JP N 2 2021-03-22 None 0.00000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 Air Lease Corp 00912XBE3 200000.00000000 PA USD 205853.31000000 0.079414246731 Long DBT CORP US N 2 2022-01-15 Fixed 3.50000000 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 549300R1KUK063S4I339 CITIGROUP MORTGAGE LOAN TRUST INC 17309SAF7 800000.00000000 PA USD 774413.36000000 0.298753775895 Long ABS-O CORP US N 2 2036-11-25 Floating 0.43800000 N N N N N N SLM Student Loan Trust 549300ACL5XN4G87UX85 SLM Student Loan Trust 2007-8 78444XAD9 123035.04000000 PA USD 122579.42000000 0.047288782016 Long ABS-O CORP US N 2 2026-01-26 Floating 0.68475000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 USD/JPY FORWARD 000000000 1.00000000 NC USD -65750.37000000 -0.02536522782 N/A DFE CORP US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 -2300000000.00000000 JPY 22231730.11000000 USD 2021-03-22 -65750.37000000 N N N Adjustable Rate Mortgage Trust N/A Adjustable Rate Mortgage Trust 2005-1 007036FN1 50601.27000000 PA USD 50261.73000000 0.019390008484 Long ABS-MBS CORP US N 2 2035-05-25 Variable 3.55151500 N N N N N N HSI Asset Securitization Corpo N/A HSI Asset Securitization Corp Trust 2006-OPT1 40430HDE5 292746.11000000 PA USD 288502.29000000 0.111298633189 Long ABS-O CORP US N 2 2035-12-25 Floating 0.50800000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC Holdings PLC 404280BS7 1000000.00000000 PA USD 1079036.89000000 0.416271673331 Long DBT CORP GB N 2 2024-05-18 Fixed 3.95000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A AerCap Ireland Capital DAC / AerCap Global Aviation Trust 00774MAH8 100000.00000000 PA USD 103001.20000000 0.039735881392 Long DBT CORP IE N 2 2021-12-16 Fixed 4.45000000 N N N N N N DSLA Mortgage Loan Trust N/A DSLA Mortgage Loan Trust 2004-AR3 23332UBG8 115525.01000000 PA USD 109012.51000000 0.042054929143 Long ABS-MBS CORP US N 2 2044-07-19 Floating 0.89163000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 Park Aerospace Holdings Ltd 70014LAA8 445000.00000000 PA USD 467204.14000000 0.180238369000 Long DBT CORP KY N 2 2022-08-15 Fixed 5.25000000 N N N N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 Alimentation Couche-Tard Inc 01626PAJ5 600000.00000000 PA USD 620511.07000000 0.239381233230 Long DBT CORP CA N 2 2022-07-26 Fixed 2.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376GYM6 476321.23000000 PA USD 490520.90000000 0.189233526434 Long ABS-MBS USGA US N 2 2044-09-16 Variable 4.29131000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385XAZ0 56462.40000000 PA USD 65093.34000000 0.025111758287 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36225CTC0 7015.06000000 PA USD 7317.66000000 0.002823012448 Long ABS-MBS USGA US N 2 2031-10-20 Floating 3.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202KUH6 15522.58000000 PA USD 16048.42000000 0.006191171691 Long ABS-MBS USGA US N 2 2025-08-20 Floating 2.25000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 NextEra Energy Capital Holdings Inc 65339KAS9 250000.00000000 PA USD 253470.63000000 0.097784092711 Long DBT CORP US N 2 2021-09-01 Fixed 2.40300000 N N N N N N WAMU Mortgage Pass-Through Cer N/A WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust 929227QB5 18438.55000000 PA USD 17843.76000000 0.006883779324 Long ABS-MBS CORP US N 2 2042-06-25 Floating 2.00943000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31396WJ80 81696.23000000 PA USD 19417.94000000 0.007491067683 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 6.55200000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137AGJL5 153512.27000000 PA USD 153750.24000000 0.059313884699 Long ABS-MBS USGSE US N 2 2039-10-15 Floating 0.50863000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 Kraft Heinz Foods Co 50077LAS5 600000.00000000 PA USD 643660.24000000 0.248311737666 Long DBT CORP US N 2 2023-06-15 Fixed 4.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31359ADZ9 354.57000000 PA USD 388.44000000 0.000149852679 Long ABS-MBS USGSE US N 2 2023-05-25 Floating 10.69688100 N N N N N N IndyMac INDX Mortgage Loan Tru N/A IndyMac INDX Mortgage Loan Trust 2004-AR12 45660N5H4 353452.71000000 PA USD 294798.43000000 0.113727562874 Long ABS-MBS CORP US N 2 2034-12-25 Floating 0.92800000 N N N N N N COMM Mortgage Trust N/A COMM 2013-LC6 Mortgage Trust 20048EAZ4 2702130.00000000 PA USD 54851.75000000 0.021160749895 Long ABS-MBS CORP US N 2 2046-01-10 Variable 1.32391700 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38373M4R8 185385.67000000 PA USD 188331.17000000 0.072654542215 Long ABS-MBS USGA US N 2 2044-03-16 Variable 5.55600000 N N N N N N Palmer Square Loan Funding Ltd N/A Palmer Square Loan Funding Ltd 69701EAA4 1099855.78000000 PA USD 1097650.79000000 0.423452557852 Long ABS-CBDO CORP KY N 2 2028-02-20 Floating 1.02375000 N N N N N N UBS Commercial Mortgage Trust N/A UBS Commercial Mortgage Trust 2018-C11 90276XAQ8 31055.72000000 PA USD 31409.97000000 0.012117362151 Long ABS-MBS CORP US N 2 2051-06-15 Fixed 3.21120000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31394AWL6 294661.51000000 PA USD 296689.67000000 0.114457166882 Long ABS-MBS USGSE US N 2 2034-04-25 Floating 0.59800000 N N N N N N Wells Fargo Commercial Mortgag 549300BSYX29G4VVM177 Wells Fargo Commercial Mortgage Trust 2016-C36 95000MBM2 210000.00000000 PA USD 211737.39000000 0.081684211595 Long ABS-MBS CORP US N 2 2059-11-15 Fixed 2.50400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31381RWZ3 630000.00000000 PA USD 630000.00000000 0.243041879874 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 4.16000000 N N N N N N DUQUESNE LIGHT HOLDINGS 4CUJ1D8WDXK9X7QI6B93 Duquesne Light Holdings Inc 266233AD7 450000.00000000 PA USD 469368.24000000 0.181073237147 Long DBT CORP US N 2 2021-12-01 Fixed 5.90000000 N N N N N N Fannie Mae or Freddie Mac N/A Fannie Mae or Freddie Mac 01F020612 2375000.00000000 PA USD 2468144.53000000 0.952162676780 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N Fidelity Government Portfolio N/A Fidelity Government Portfolio 316175108 20726.89000000 NS USD 20726.89000000 0.007996035411 Long STIV RF US N 1 N N N Freddie Mac N/A Freddie Mac REMICS 3137A63Z3 58510.06000000 PA USD 58223.62000000 0.022461552472 Long ABS-MBS USGSE US N 2 2040-11-15 Floating 0.55863000 N N N N N N SHIRE ACQ INV IRELAND DA 549300XK5HGW68R8K327 Shire Acquisitions Investments Ireland DAC 82481LAB5 82000.00000000 PA USD 83079.87000000 0.032050615530 Long DBT CORP IE N 2 2021-09-23 Fixed 2.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138L5CS7 476919.48000000 PA USD 508904.66000000 0.196325627369 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 3.43000000 N N N N N N FRESENIUS MED CARE II 5493008GJ5TVVTY4UM62 Fresenius Medical Care US Finance II Inc 35802XAF0 200000.00000000 PA USD 210666.68000000 0.081271152276 Long DBT CORP US N 2 2022-01-31 Fixed 5.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179MLL2 64329.55000000 PA USD 67224.87000000 0.025934061554 Long ABS-MBS USGA US N 2 2042-08-20 Floating 2.25000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 Santander UK Group Holdings PLC 80281LAD7 500000.00000000 PA USD 500112.97000000 0.192933962505 Long DBT CORP GB N 2 2021-01-08 Fixed 3.12500000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 Reynolds American Inc 761713AY2 600000.00000000 PA USD 670888.17000000 0.258815749241 Long DBT CORP US N 2 2023-09-15 Fixed 4.85000000 N N N N N N SPRINT SPECTRUM / SPEC I N/A Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC 85208NAE0 200000.00000000 PA USD 232000.00000000 0.089501136715 Long DBT CORP US N 2 2028-03-20 Fixed 5.15200000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31398NTE4 58938.11000000 PA USD 59388.34000000 0.022910879041 Long ABS-MBS USGSE US N 2 2040-10-25 Floating 0.54800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31390SZQ7 12061.86000000 PA USD 12961.74000000 0.005000389930 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 7.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137ACUF4 227323.86000000 PA USD 230601.63000000 0.088961672471 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 0.65863000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 Japan Treasury Discount Bill 000000000 260000000.00000000 PA 2518777.86000000 0.971696041395 Long DBT NUSS JP N 2 2021-03-15 None 0.00000000 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 Dominion Energy Inc 25746UBP3 350000.00000000 PA USD 362418.73000000 0.139814173715 Long DBT CORP US N 2 2022-09-15 Fixed 2.75000000 N N N N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 FEDERAL HOME LOAN BANK DISCOUNT NOTES 313385BL9 10000000.00000000 PA USD 9999397.20000000 3.857575068404 Long DBT USGSE US N 2 2021-02-04 None 0.00000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A WFRBS Commercial Mortgage Trust 2011-C5 92936JAA2 6878829.39000000 PA USD 40345.02000000 0.015564332546 Long ABS-MBS CORP US N 2 2044-11-15 Variable 1.67257000 N N N N N N FHLMC Multifamily Structured P N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FARK6 121383.76000000 PA USD 121408.89000000 0.046837214061 Long ABS-MBS USGSE US N 2 2046-01-25 Variable 2.77874400 N N N N N N BAE SYSTEMS PLC 8SVCSVKSGDWMW2QHOH83 BAE Systems PLC 05523RAB3 250000.00000000 PA USD 258228.62000000 0.099619633717 Long DBT CORP GB N 2 2021-10-11 Fixed 4.75000000 N N N N N N Option One Mortgage Loan Trust N/A Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4 68389FJH8 539859.39000000 PA USD 540605.79000000 0.208555313448 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.80800000 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 Daimler Finance North America LLC 233851CK8 65000.00000000 PA USD 65917.48000000 0.025429695644 Long DBT CORP US N 2 2021-10-30 Fixed 2.20000000 N N N N N N Nelnet Student Loan Trust N/A Nelnet Student Loan Trust 2012-5 64033BAA0 331593.73000000 PA USD 328179.89000000 0.126605487940 Long ABS-O CORP US N 2 2036-10-27 Floating 0.74800000 N N N N N N 2021-02-18 METROPOLITAN WEST FUNDS Eric Chan Eric Chan Senior Vice President XXXX