NPORT-P false 0001028621 XXXXXXXX S000001147 C000003066 C000058170 C000218401 C000102908 C000003065 METROPOLITAN WEST FUNDS 811-07989 0001028621 549300KGDNJW6FXNDC82 865 South Figueroa Street SUITE 1800 Los Angeles 90017 800-241-4671 Metropolitan West Total Return Bond Fund S000001147 549300APUP7QV16M4J34 2021-03-31 2021-03-31 N 130805128946.03 44028023932.59 86777105013.44 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 24751373.20000000 38610756769.49000000 0.00000000 680248051.05000000 USD N Long Beach Mortgage Loan Trust N/A 542514HT4 112429.12000000 PA USD 111728.69000000 0.000128753649 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.00863000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 836205BB9 8800000.00000000 PA USD 8128560.00000000 0.009367171212 Long DBT NUSS ZA N 2 2049-09-30 Fixed 5.75000000 N N N N N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 168863DN5 9095000.00000000 PA USD 9197136.85000000 0.010598575336 Long DBT NUSS CL N 2 2032-01-27 Fixed 2.55000000 N N N N N N First Horizon Alternative Mort N/A 32051GA54 10703282.36000000 PA USD 10223735.71000000 0.011781604961 Long ABS-MBS CORP US N 2 2035-12-25 Variable 2.53157300 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XUF3 3750000.00000000 PA USD 4329929.63000000 0.004989714313 Long DBT MUN US N 2 2043-05-01 Fixed 4.00000000 N N N N N N BB-UBS Trust N/A 05538UAA1 8640000.00000000 PA USD 9057137.47000000 0.010437243174 Long ABS-MBS CORP US N 2 2036-11-05 Fixed 3.43020000 N N N N N N Churchill Downs Incorporated 529900FODTBQC8MIS994 17148PAD3 11602688.91350000 PA USD 11573682.19000000 0.013337253170 Long LON CORP US N 2 2024-12-27 Floating 2.11000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45661ECW2 3625584.51000000 PA USD 3478737.82000000 0.004008819860 Long ABS-MBS CORP US N 2 2036-05-25 Variable 2.87322000 N N N N N N GRAPHIC PACKAGING INTERN SO75N4VY5NXGQSK8YQ65 38869AAB3 2540000.00000000 PA USD 2534384.29000000 0.002920567918 Long DBT CORP US N 2 2028-03-15 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3128KHMD5 2589786.95000000 PA USD 2959165.03000000 0.003410075767 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.00000000 N N N N N N Palmer Square CLO Ltd 549300IUW4WDDDVSMS20 69701RAA5 32300000.00000000 PA USD 32395931.00000000 0.037332348198 Long ABS-CBDO CORP KY N 2 2031-11-15 Floating 1.59588000 N N N N N N N TX TOLLWAY AUTH REVENUE PQGZGRE0F2WPMYQQ1B78 66285WA55 6065000.00000000 PA USD 5898001.01000000 0.006796724791 Long DBT MUN US N 2 2032-01-01 Fixed 2.22700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DGV8 15298296.51000000 PA USD 15658585.93000000 0.018044605115 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.00000000 N N N N N N Structured Asset Securities Co N/A 86359A5M1 987201.11000000 PA USD 1006377.59000000 0.001159727084 Long ABS-MBS CORP US N 2 2033-11-25 Variable 2.44034000 N N N N N N Credit Suisse Mortgage Trust N/A 12649MAY9 75744.41000000 PA USD 76259.71000000 0.000087879988 Long ABS-MBS CORP US N 2 2035-09-27 Variable 2.74842000 N N N N N N Merrill Lynch First Franklin M N/A 59025CAC4 28076396.30000000 PA USD 24696579.37000000 0.028459787136 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.22863000 N N N N N N First Horizon Mortgage Pass-Th N/A 32051GBD6 138113.25000000 PA USD 142000.77000000 0.000163638519 Long ABS-MBS CORP US N 2 2034-12-25 Variable 3.14572900 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406RKY0 169268.47000000 PA USD 171408.79000000 0.000197527665 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 1.95300000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAR8 84805000.00000000 PA USD 86800118.19000000 0.100026519871 Long DBT CORP US N 2 2029-07-15 Fixed 4.95000000 N N N N N N Freddie Mac N/A 3132A5JM8 2229855.85000000 PA USD 2361349.56000000 0.002721166556 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381RME6 18046659.37000000 PA USD 19255615.91000000 0.022189742221 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 3.50000000 N N N N N N First Horizon Alternative Mort N/A 32051D6B3 18283.72000000 PA USD 18184.85000000 0.000020955815 Long ABS-MBS CORP US N 2 2034-09-25 Variable 2.28607000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZG1 58605000.00000000 PA USD 58328085.51000000 0.067215984562 Long DBT CORP US N 2 2021-10-12 Floating 1.10438000 N N N N N N LOS ANGELES CA DEPT OF ARPTS A N/A 544445NU9 185000.00000000 PA USD 224598.49000000 0.000258822289 Long DBT MUN US N 2 2044-05-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403MW54 6108.85000000 PA USD 6796.60000000 0.000007832250 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 4.50000000 N N N N N N PERUSAHAAN PENERBIT SBSN 254900G208H6Q0L5B953 71567PAP5 17340000.00000000 PA USD 17398956.00000000 0.020050168759 Long DBT NUSS ID N 2 2030-06-23 Fixed 2.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CMJ0 15035.94000000 PA USD 15916.88000000 0.000018342257 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 3.00000000 N N N N N N PERUSAHAAN LISTRIK NEGAR 254900OYVDRYS9J51J61 71568QAF4 8400000.00000000 PA USD 10242498.00000000 0.011803226206 Long DBT CORP ID N 2 2048-05-21 Fixed 6.15000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAD8 4173000.00000000 PA USD 4401670.55000000 0.005072386949 Long DBT CORP US N 2 2026-06-01 Fixed 3.00000000 N N N N N N Countrywide Alternative Loan T N/A 02149MAP4 582884.54000000 PA USD 138230.49000000 0.000159293733 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.30863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376TY63 8079527.32000000 PA USD 1488165.71000000 0.001714928966 Long ABS-MBS USGA US N 2 2040-01-16 Floating 5.69387000 N N N N N N JERSEY CENTRAL PWR & LT 549300W9UGH9ZPLNPF79 476556DC6 6945000.00000000 PA USD 7598916.75000000 0.008756822146 Long DBT CORP US N 2 2026-01-15 Fixed 4.30000000 N N N N N N Ace Securities Corp. N/A 00441TAD5 2919925.75000000 PA USD 2437467.88000000 0.002808883610 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.40863000 N N N N N N Structured Adjustable Rate Mor N/A 863579CC0 4980836.27000000 PA USD 5038262.32000000 0.005805981104 Long ABS-MBS CORP US N 2 2034-10-25 Variable 2.49852500 N N N N N N Freddie Mac N/A 3132XCR31 190422776.69000000 PA USD 205260058.63000000 0.236537112638 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N SLM Student Loan Trust 549300EQOYJZL2D96G46 78445AAE6 8849000.00000000 PA USD 8781822.64000000 0.010119976506 Long ABS-O CORP US N 2 2073-04-25 Floating 2.06775000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ETE69 521624.13000000 PA USD 558870.48000000 0.000644029873 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.00000000 N N N N N N SLM Student Loan Trust 5493006Z6MTP02OKOJ80 78443VAJ1 4007523.29000000 PA USD 3680859.25000000 0.004241740087 Long ABS-O CORP US N 2 2042-01-27 Floating 0.43775000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29273RBL2 6591000.00000000 PA USD 6980854.55000000 0.008044581055 Long DBT CORP US N 2 2047-04-15 Fixed 5.30000000 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBM1 67026500.00000000 PA USD 83876966.79000000 0.096657945407 Long DBT CORP GB N 2 2048-05-30 Fixed 5.25000000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAF8 5860000.00000000 PA USD 5904637.96000000 0.006804373064 Long DBT CORP US N 2 2021-08-09 Fixed 3.20000000 N N N N N N Banc of America Mortgage Secur N/A 05949AHR4 28511.81000000 PA USD 29109.00000000 0.000033544562 Long ABS-MBS CORP US N 2 2034-07-25 Variable 2.88500100 N N N N N N Residential Accredit Loans, In N/A 74924DAJ8 62107900.69000000 PA USD 1170206.01000000 0.001348519301 Long ABS-MBS CORP US N 3 2037-09-25 Variable 0.47059600 N N N N N N Structured Asset Mortgage Inve N/A 86364RAA7 116278166.08000000 PA USD 114011474.39000000 0.131384279727 Long ABS-MBS CORP US N 2 2047-08-25 Floating 1.75903000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 3132HTWM4 3580672.58000000 PA USD 3619071.35000000 0.004170537089 Long ABS-MBS USGSE US N 2 2043-11-15 Floating 0.60600000 N N N N N N Fannie Mae N/A 3136B2EW8 36888932.64000000 PA USD 38949767.91000000 0.044884843650 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JADM7 9693867.24000000 PA USD 10196797.19000000 0.011750561612 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.00000000 N N N N N N USA COM PART/USA COM FIN N/A 91740PAC2 22772000.00000000 PA USD 23398230.00000000 0.026963598285 Long DBT CORP US N 2 2026-04-01 Fixed 6.87500000 N N N N N N Freddie Mac N/A 31297BTM4 101020.79000000 PA USD 113554.87000000 0.000130858099 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 6.50000000 N N N N N N Freddie Mac N/A 3132XCR56 446188601.84000000 PA USD 479909653.45000000 0.553037178845 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36241LDW3 13664192.30000000 PA USD 15617513.18000000 0.017997273794 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 4.50000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAF9 41695000.00000000 PA USD 42625675.76000000 0.049120877855 Long DBT CORP US N 2 2025-02-01 Fixed 2.30000000 N N N N N N JP Morgan Mortgage Trust N/A 466247K93 3324.76000000 PA USD 3343.25000000 0.000003852686 Long ABS-MBS CORP US N 2 2033-11-25 Variable 2.53442500 N N N N N N MID-AMERICA APARTMENTS 549300FXWGE3QSYCUJ38 59523UAA5 9636000.00000000 PA USD 10420814.23000000 0.012008713851 Long DBT CORP US N 2 2023-10-15 Fixed 4.30000000 N N N N N N Merrill Lynch Mortgage Investo N/A 5899294H8 284201.69000000 PA USD 286689.42000000 0.000330374492 Long ABS-MBS CORP US N 2 2033-10-25 Variable 2.57445500 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179U3T7 6553755.34000000 PA USD 6719272.07000000 0.007743139240 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.50000000 N N N N N N SLM Student Loan Trust 549300MTK92VF84VT259 78445JAA5 61096477.29000000 PA USD 61424215.29000000 0.070783895453 Long ABS-O CORP US N 2 2023-04-25 Floating 1.71775000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAF0 11678000.00000000 PA USD 13076138.51000000 0.015068650317 Long DBT CORP US N 2 2028-06-15 Fixed 4.95000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 30000.00000000 NC USD 12750000.00000000 0.014692815573 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long INTERCONTENTIAL EXCHANGE EURIBOR 3 MONTH 2024-12-16 0.00000000 USD 1000000.00000000 98.50000000 USD 2021-12-10 XXXX -4458100.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8KD6 5525730.51000000 PA USD 5855034.21000000 0.006747210809 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAK9 10835000.00000000 PA USD 11066005.67000000 0.012752218074 Long DBT CORP GB N 2 2023-03-17 Fixed 2.85800000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582BF8 11450000.00000000 PA USD 13347964.02000000 0.015381895971 Long DBT CORP NL N 2 2045-05-11 Fixed 4.37500000 N N N N N N Grifols Worldwide Operations USA Inc N/A 39843PAG8 52020208.33000000 PA USD 51503127.46000000 0.059351055156 Long LON CORP US N 2 2027-11-15 Floating 2.08088000 N N N N N N SLM Student Loan Trust 549300JLVVUXV7DNSJ85 78442GGN0 4712797.58000000 PA USD 4591428.01000000 0.005291059213 Long ABS-O CORP US N 2 2033-03-15 Floating 0.93388000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416XAD2 29237613.41000000 PA USD 32419616.85000000 0.037359643243 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N Sequoia Mortgage Trust N/A 81743PDX1 1222.62000000 PA USD 1205.91000000 0.000001389663 Long ABS-MBS CORP US N 2 2034-01-20 Floating 0.75088000 N N N N N N Freddie Mac N/A 3128MJZG8 70673284.48000000 PA USD 75685144.05000000 0.087217871624 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3128M6R34 130699.10000000 PA USD 150630.91000000 0.000173583700 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.50000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582BQ4 13253000.00000000 PA USD 14609919.01000000 0.016836144750 Long DBT CORP NL N 2 2046-05-10 Fixed 4.00000000 N N N N N N INTELSAT JACKSON HLDG 8XJ8KF85PBKK1TLMFN29 45824TAY1 45708000.00000000 PA USD 28677221.14000000 0.033046989912 Long DBT CORP LU N 2 2025-07-15 Fixed 9.75000000 Y N N N N N Popular ABS Mortgage Pass-Thro N/A 73316PJF8 22910000.00000000 PA USD 20882465.00000000 0.024064486821 Long ABS-MBS CORP US N 2 2036-01-25 Variable 3.47951800 N N N N N N MASTR Adjustable Rate Mortgage N/A 576438AH8 5716727.04000000 PA USD 3839656.87000000 0.004424734922 Long ABS-MBS CORP US N 2 2036-05-25 Variable 3.41740000 N N N N N N First Horizon Alternative Mort N/A 32051GSQ9 10284887.23000000 PA USD 10084028.52000000 0.011620609512 Long ABS-MBS CORP US N 2 2035-09-25 Variable 2.37636600 N N N N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 01626PAH9 10510000.00000000 PA USD 11432381.77000000 0.013174421718 Long DBT CORP CA N 2 2027-07-26 Fixed 3.55000000 N N N N N N SLM Student Loan Trust 5493006Z6MTP02OKOJ80 78443VAG7 32050000.00000000 PA USD 31077253.98000000 0.035812734217 Long ABS-O CORP US N 2 2042-01-27 Floating 0.35775000 N N N N N N Residential Accredit Loans, In N/A 74923HBG5 39815207.15000000 PA USD 499015.94000000 0.000575054837 Long ABS-MBS CORP US N 3 2037-03-25 Variable 0.37418600 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAM2 98754000.00000000 PA USD 94082935.80000000 0.108419076420 Long DBT NUSS MX N 2 2031-05-24 Fixed 2.65900000 N N N N N N Fannie Mae N/A 3136B1ZL1 101021793.00000000 PA USD 103651673.13000000 0.119445875860 Long ABS-MBS USGSE US N 2 2046-11-25 Fixed 3.50000000 N N N N N N NYU HOSPITALS CENTER N/A 62954RAA4 4300000.00000000 PA USD 4217837.97000000 0.004860542385 Long DBT CORP US N 2 2055-07-01 Fixed 3.38000000 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370CA6 200000.00000000 PA USD 252335.84000000 0.000290786192 Long DBT CORP US N 2 2031-07-16 Fixed 7.45000000 N N N N N N Residential Accredit Loans, In N/A 751151AN1 194663.34000000 PA USD 152961.66000000 0.000176269604 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.48863000 N N N N N N Credit Suisse Mortgage Trust N/A 22946BAP1 22806601.89000000 PA USD 22829714.10000000 0.026308453245 Long ABS-MBS CORP US N 2 2060-02-25 Variable 3.46230400 N N N N N N Bear Stearns Alt-A Trust N/A 07386HVG3 141922.15000000 PA USD 143521.14000000 0.000165390560 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.64863000 N N N N N N Freddie Mac N/A 3128MJYT1 21097800.64000000 PA USD 22199975.06000000 0.025582756023 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660HAA6 137266.46000000 PA USD 130531.76000000 0.000150421888 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.22863000 N N N N N N Fannie Mae N/A 31358G5J2 1.94000000 PA USD 1.94000000 0.000000002235 Long ABS-MBS USGSE US N 2 2021-06-25 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202KSU0 2619.47000000 PA USD 2683.19000000 0.000003092048 Long ABS-MBS USGA US N 2 2025-05-20 Floating 2.87500000 N N N N N N GCO Education Loan Funding Tru N/A 36156HAY4 25000000.00000000 PA USD 24538639.00000000 0.028277780177 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.41750000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962GXZ2 33228000.00000000 PA USD 44559539.49000000 0.051349419277 Long DBT CORP US N 2 2032-03-15 Fixed 6.75000000 N N N N N N Rockford Tower CLO Ltd 549300V5ZF7112UGSH89 77341DAA5 1880000.00000000 PA USD 1880470.00000000 0.002167011678 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 1.41400000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36241L7C4 16408.98000000 PA USD 18410.73000000 0.000021216114 Long ABS-MBS USGA US N 2 2041-07-20 Fixed 4.50000000 N N N N N N BCAP LLC Trust N/A 05530NAT4 258364.67000000 PA USD 184637.11000000 0.000212771686 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6.00000000 N N N N N N CHURCHILL DOWNS INC 529900FODTBQC8MIS994 171484AE8 5550000.00000000 PA USD 5752852.50000000 0.006629458886 Long DBT CORP US N 2 2028-01-15 Fixed 4.75000000 N N N N N N Freddie Mac N/A 3128MJYM6 206008908.47000000 PA USD 216771061.06000000 0.249802135052 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N Goal Capital Funding Trust N/A 38021FAA9 17905518.03000000 PA USD 17843771.39000000 0.020562764092 Long ABS-MBS CORP US N 2 2041-09-25 Floating 0.75863000 N N N N N N Avantor Funding Inc 5493003VM0XB4U8YD238 05350NAG9 67231500.00000000 PA USD 67340751.19000000 0.077601979438 Long LON CORP US N 2 2027-11-08 Floating 3.50000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAM7 37259000.00000000 PA USD 36976786.92000000 0.042611224371 Long DBT CORP GB N 2 2026-08-21 Fixed 1.53200000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225DUX0 15053.70000000 PA USD 15777.89000000 0.000018182088 Long ABS-MBS USGA US N 2 2035-10-20 Floating 2.12500000 N N N N N N Countrywide Alternative Loan T 549300WJBLP6N8ETXD40 02147HAC6 27065.27000000 PA USD 40347.99000000 0.000046496123 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.44863000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AQ1 12426000.00000000 PA USD 12614817.42000000 0.014537034184 Long DBT CORP CH N 2 2026-06-05 Fixed 2.19300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TNR2 13477300.01000000 PA USD 14355386.13000000 0.016542826737 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 3.50000000 N N N N N N NORTHWEST AIR 2001-1 A1 N/A 667294AW2 2741402.28181000 PA USD 2828573.94000000 0.003259585508 Long DBT CORP US N 2 2022-04-01 Fixed 7.04100000 N N N N N N Intelsat Jackson Holdings SA 8XJ8KF85PBKK1TLMFN29 000000000 25379651.32000000 PA USD 25964525.38000000 0.029920939833 Long LON CORP LU N 2 2024-01-02 Fixed 8.62500000 N N N N N N Ameriquest Mortgage Securities N/A 03072SX42 10506773.16000000 PA USD 10535366.29000000 0.012140721090 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.49863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QLK5 8777.85000000 PA USD 9751.31000000 0.000011237192 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402WNN4 1448.65000000 PA USD 1691.93000000 0.000001949742 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.50000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969PAA1 208392.60000000 PA USD 214205.04000000 0.000246845109 Long ABS-MBS CORP US N 2 2059-07-25 Variable 2.86000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBW4 25000000.00000000 PA USD 25158616.25000000 0.028992228129 Long DBT CORP US N 2 2040-04-01 Fixed 3.60000000 N N N N N N Residential Accredit Loans, In N/A 74923WAQ1 32403321.45000000 PA USD 401791.46000000 0.000463015515 Long ABS-MBS CORP US N 3 2037-06-25 Variable 0.39019200 N N N N N N Citigroup Mortgage Loan Trust N/A 17323LAA5 1006904.78000000 PA USD 1012652.29000000 0.001166957908 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.65763000 N N N N N N Freddie Mac N/A 3137FKV52 12217444.70000000 PA USD 12644608.23000000 0.014571364449 Long ABS-MBS USGSE US N 2 2048-10-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DUA8 53901299.75000000 PA USD 54651823.06000000 0.062979541725 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 2.00000000 N N N N N N TCI-Flatiron CLO Ltd 549300EEOTVLW827QY91 87230AAL0 52015000.00000000 PA USD 52069095.60000000 0.060003264215 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 1.38622000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EP3A0 61691.15000000 PA USD 65581.85000000 0.000075575060 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 3.00000000 N N N N N N AMER AIRLINE 17-2 AA PTT N/A 02376AAA7 17246329.68501000 PA USD 17634372.10000000 0.020321457021 Long DBT CORP US N 2 2029-10-15 Fixed 3.35000000 N N N N N N Freddie Mac N/A 3128MBLD7 187393.46000000 PA USD 192157.40000000 0.000221437901 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 6.00000000 N N N N N N One Bryant Park Trust N/A 68236JAA9 147667000.00000000 PA USD 149763664.67000000 0.172584306248 Long ABS-MBS CORP US N 2 2054-09-15 Fixed 2.51641000 N N N N N N LOS ANGELES CA UNIF SCH DIST N/A 544646ZR6 12165000.00000000 PA USD 17198031.53000000 0.019818627882 Long DBT MUN US N 2 2034-07-01 Fixed 6.75800000 N N N N N N Babson CLO Ltd 549300Q89L7I93JSRH83 06762BAC4 19110000.00000000 PA USD 19139047.20000000 0.022055411040 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 1.44400000 N N N N N N JP Morgan Mortgage Trust N/A 46629CAE7 363323.55000000 PA USD 339388.74000000 0.000391104012 Long ABS-MBS CORP US N 2 2036-08-25 Variable 3.23640600 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179MVU1 54843.47000000 PA USD 61540.93000000 0.000070918394 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 4.50000000 N N N N N N Countrywide Home Loans N/A 12669FYX5 19203.73000000 PA USD 19853.14000000 0.000022878315 Long ABS-MBS CORP US N 2 2034-06-20 Variable 3.63021400 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BG4 590000.00000000 PA USD 637168.05000000 0.000734258246 Long DBT CORP US N 2 2047-12-08 Fixed 3.73400000 N N N N N N UNITED AIR 2018-1 AA PTT N/A 909318AA5 30854890.22967500 PA USD 32011948.61000000 0.036889855457 Long DBT CORP US N 2 2030-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EJYT9 122108.44000000 PA USD 132590.79000000 0.000152794668 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.50000000 N N N N N N Commscope Inc 549300Z6K4JXMFE8QY54 20337EAQ4 32486758.38960000 PA USD 32352425.64000000 0.037282213591 Long LON CORP US N 2 2026-04-06 Floating 3.35850000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RGD8 50000.00000000 PA USD 51090.00000000 0.000058874976 Long DBT CORP US N 2 2024-06-12 Floating 1.36413000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TQN8 601170.11000000 PA USD 634913.46000000 0.000731660107 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 3.00000000 N N N N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081FP7 1340000.00000000 PA USD 1449350.03000000 0.001670198642 Long DBT CORP US N 2 2047-12-01 Fixed 3.70000000 N N N N N N Treman Park CLO Ltd 549300E4DX3Q8L455K94 89473LAH7 19764171.43000000 PA USD 19767136.06000000 0.022779206631 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.29400000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAH8 20560000.00000000 PA USD 21036111.42000000 0.024241545528 Long DBT CORP IE N 2 2021-12-16 Fixed 4.45000000 N N N N N N Freddie Mac N/A 3137A1EA7 3228708.24000000 PA USD 84651.89000000 0.000097550949 Long ABS-MBS USGSE US N 2 2038-12-15 Fixed 5.00000000 N N N N N N First Horizon Alternative Mort N/A 32051GV28 14209574.25000000 PA USD 11716723.28000000 0.013502090532 Long ABS-MBS CORP US N 2 2036-03-25 Variable 2.35771300 N N N N N N Impac CMB Trust N/A 45254NPB7 3885703.14000000 PA USD 3718416.78000000 0.004285020547 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.35863000 N N N N N N First Franklin Mtg Loan Asset N/A 32027EAB7 18249727.55000000 PA USD 18033289.98000000 0.020781161087 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.40863000 N N N N N N Equity One ABS Inc N/A 294751BE1 8916.85000000 PA USD 9063.82000000 0.000010444943 Long ABS-MBS CORP US N 2 2033-02-25 Variable 5.22100000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 80413TAR0 4255000.00000000 PA USD 4188515.63000000 0.004826751974 Long DBT NUSS SA N 2 2055-01-21 Fixed 3.75000000 N N N N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 025537AG6 4511000.00000000 PA USD 4664806.79000000 0.005375619282 Long DBT CORP US N 2 2022-12-15 Fixed 2.95000000 N N N N N N SLM Student Loan Trust N/A 78446WAC1 611364.64000000 PA USD 604669.77000000 0.000696807954 Long ABS-O CORP US N 2 2028-09-25 Floating 1.05863000 N N N N N N Freddie Mac N/A 31335ALZ9 118944.42000000 PA USD 130783.98000000 0.000150712541 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAB7 68891000.00000000 PA USD 73497669.52000000 0.084697074774 Long DBT CORP KY N 2 2023-10-01 Fixed 5.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SJV0 5030235.04000000 PA USD 5586678.63000000 0.006437963825 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381WC71 23261389.11000000 PA USD 24331757.28000000 0.028039374298 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 2.50000000 N N N N N N CIM Trust N/A 12558VAA0 195313240.55000000 PA USD 164638046.12000000 0.189725211614 Long ABS-MBS CORP US N 2 2059-10-27 Variable 2.85000000 N N N N N N Structured Adjustable Rate Mor N/A 86362RAA9 23271820.95000000 PA USD 23082074.16000000 0.026599267348 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.42863000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAE0 299325000.00000000 PA USD 341978812.50000000 0.394088754685 Long DBT CORP US N 2 2028-03-20 Fixed 5.15200000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAN4 11040000.00000000 PA USD 12365973.22000000 0.014250271679 Long DBT CORP US N 2 2042-09-30 Fixed 4.00000000 N N N N N N METROPOLITAN EDISON CO N/A 591894CC2 16746000.00000000 PA USD 18458845.69000000 0.021271561994 Long DBT CORP US N 2 2029-01-15 Fixed 4.30000000 N N N N N N Fannie Mae N/A 3136B2ZR6 113934.64000000 PA USD 117844.97000000 0.000135801914 Long ABS-MBS USGSE US N 2 2046-05-25 Fixed 3.50000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AJ9 35478000.00000000 PA USD 42479885.93000000 0.048952872907 Long DBT CORP US N 2 2038-08-15 Fixed 4.80000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAD7 16075000.00000000 PA USD 16664110.81000000 0.019203349555 Long DBT CORP IE N 2 2023-01-23 Fixed 3.30000000 N N N N N N Soundview Home Equity Loan Tru N/A 83611MDH8 16353485.38000000 PA USD 16317741.57000000 0.018804201370 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.78363000 N N N N N N SOUTHERN GAS CORRIDOR 213800DG58KG59XY6318 000000000 27592000.00000000 PA USD 32682724.00000000 0.037662842053 Long DBT CORP AZ N 2 2026-03-24 Fixed 6.87500000 N N N N N N Saxon Asset Securities Trust N/A 80556YAD7 198988.25000000 PA USD 169060.76000000 0.000194821848 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.34863000 N N N N N N Banc of America Funding Corpor N/A 05950MAB6 1562500.49000000 PA USD 1563462.05000000 0.001801698788 Long ABS-MBS CORP US N 2 2036-07-20 Floating 0.55088000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAC1 5095000.00000000 PA USD 6064382.34000000 0.006988458924 Long DBT CORP US N 2 2040-01-15 Fixed 6.00000000 N N N N N N Nelnet Student Loan Trust 54930035ESY1D7J97S77 64033HAA7 12058190.46000000 PA USD 11921760.84000000 0.013738371242 Long ABS-O CORP US N 2 2036-08-23 Floating 0.62525000 N N N N N N Ameriquest Mortgage Securities N/A 03072SU94 1541774.48000000 PA USD 1543629.54000000 0.001778844246 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.78363000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDL3 21000000.00000000 PA USD 25045644.96000000 0.028862042535 Long DBT CORP US N 2 2048-06-15 Fixed 4.25000000 N N N N N N Mellon Residential Funding Cor N/A 585525FC7 878527.88000000 PA USD 894838.63000000 0.001031192075 Long ABS-MBS CORP US N 2 2031-11-15 Floating 0.80600000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92925CCE0 20560588.71000000 PA USD 20632931.14000000 0.023776929567 Long ABS-MBS CORP US N 2 2046-01-25 Floating 1.32903000 N N N N N N Securitized Asset Backed Recei N/A 81378AAC5 31862422.39000000 PA USD 22612751.61000000 0.026058430511 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.25863000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550BW5 5000000.00000000 PA USD 5867124.60000000 0.006761143505 Long DBT CORP US N 2 2044-09-01 Fixed 5.40000000 N N N N N N Freddie Mac N/A 3137FLUD4 2424887.55000000 PA USD 2508420.93000000 0.002890648322 Long ABS-MBS USGSE US N 2 2049-04-15 Fixed 3.00000000 N N N N N N INDONESIA ASAHAN ALUMINI 2549008P48EB9SN2OI80 74445PAC6 9000000.00000000 PA USD 10858275.00000000 0.012512833884 Long DBT CORP ID N 2 2028-11-15 Fixed 6.53000000 N N N N N N SLM Student Loan Trust 549300MHMWVKFEDI8G73 784442AC9 83836531.79000000 PA USD 82618355.96000000 0.095207550363 Long ABS-O CORP US N 2 2023-04-25 Floating 0.96775000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAM5 2423000.00000000 PA USD 2371211.16000000 0.002732530843 Long DBT CORP US N 2 2027-01-28 Fixed 1.12200000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAQ8 54708000.00000000 PA USD 55186695.00000000 0.063595916217 Long DBT CORP US N 2 2024-04-15 Fixed 6.00000000 N N N N N N NORTH CAROLINA ST EDU ASSISTAN N/A 658262GA2 16170497.61000000 PA USD 16346733.40000000 0.018837610908 Long DBT MUN US N 2 2041-10-25 Floating 1.11775000 N N N N N N KINDER MORGAN INC/DELAWA 549300WR7IX8XE0TBO16 28336LBD0 5465000.00000000 PA USD 6670169.13000000 0.007686554107 Long DBT CORP US N 2 2028-06-01 Fixed 6.95000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92926WAA5 10349174.84000000 PA USD 9655617.64000000 0.011126918371 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.95903000 N N N N N N PETROLEOS DEL PERU SA 549300ZMGDLC9JT2OR80 000000000 21996000.00000000 PA USD 23237234.28000000 0.026778070409 Long DBT CORP PE N 2 2032-06-19 Fixed 4.75000000 N N N N N N Citigroup Mortgage Loan Trust N/A 17306SAC7 2217402.91000000 PA USD 2156423.66000000 0.002485014520 Long ABS-MBS CORP US N 2 2036-06-25 Variable 3.81075000 N N N N N N Freddie Mac N/A 3132XCR80 84328681.36000000 PA USD 92601697.73000000 0.106712130711 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A 3128MJZY9 21751.72000000 PA USD 23549.19000000 0.000027137561 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N Residential Accredit Loans, In N/A 761118SZ2 113504.81000000 PA USD 95309.19000000 0.000109832184 Long ABS-MBS CORP US N 2 2036-01-25 Variable 3.81309100 N N N N N N Freddie Mac N/A 3128MABS7 11630820.50000000 PA USD 12623732.02000000 0.014547307170 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 3.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BN3 26342000.00000000 PA USD 32163845.42000000 0.037064897953 Long DBT CORP US N 2 2048-04-01 Fixed 5.75000000 N N N N N N Fannie Mae N/A 3136B5RG2 40872858.67000000 PA USD 43264709.75000000 0.049857286369 Long ABS-MBS USGSE US N 2 2049-08-25 Fixed 3.00000000 N N N N N N BX Trust 2019-OC11 N/A 05606FAA1 42270000.00000000 PA USD 44284833.37000000 0.051032854072 Long ABS-MBS CORP US N 2 2041-12-09 Fixed 3.20200000 N N N N N N MortgageIT Trust N/A 61915RAU0 729764.97000000 PA USD 732972.07000000 0.000844660662 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.62863000 N N N N N N NEW YORK ST URBAN DEV CORP REV 54930039Y2EMGXN6LM88 650036DL7 63215000.00000000 PA USD 71975967.48000000 0.082943499289 Long DBT MUN US N 2 2046-03-15 Fixed 4.00000000 N N N N N N GS Mortgage-Backed Securities N/A 36256BAC4 36888027.80000000 PA USD 37416116.81000000 0.043117498335 Long ABS-MBS CORP US N 2 2057-10-25 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGKC7 444058.15000000 PA USD 443924.81000000 0.000511569048 Long ABS-MBS USGSE US N 2 2021-04-01 Variable 4.61000000 N N N N N N Residential Accredit Loans, In N/A 761118QM3 4710510.87000000 PA USD 4462501.53000000 0.005142487214 Long ABS-MBS CORP US N 2 2046-01-25 Floating 1.25903000 N N N N N N VENTAS REALTY LP 32SXKSJ72K64GM3HOU64 92277GAE7 12540000.00000000 PA USD 13554178.90000000 0.015619533398 Long DBT CORP US N 2 2025-02-01 Fixed 3.50000000 N N N N N N New Century Home Equity Loan T N/A 64352VPK1 203241.79000000 PA USD 201709.96000000 0.000232446058 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.32863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WXWK9 182738.52000000 PA USD 203721.31000000 0.000234763893 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAU9 3639000.00000000 PA USD 3732249.38000000 0.004300960926 Long DBT CORP US N 2 2026-02-01 Fixed 4.50000000 N N N N N N SFAVE Commercial Mortgage Secu 549300FIGODFFTOAAU64 78413MAA6 56465000.00000000 PA USD 56216062.75000000 0.064782136649 Long ABS-MBS CORP US N 2 2043-01-05 Variable 3.87200000 N N N N N N Washington Mutual Mortgage Pas N/A 93935PAP4 76800.51000000 PA USD 78179.06000000 0.000090091804 Long ABS-MBS CORP US N 2 2022-01-25 Fixed 6.00000000 N N N N N N BENCHMARK Mortgage Trust N/A 08161CAE1 7085000.00000000 PA USD 7895862.31000000 0.009099015585 Long ABS-MBS CORP US N 2 2051-02-15 Variable 3.88190000 N N N N N N Residential Accredit Loans, In N/A 751155AS1 20480546.76000000 PA USD 412834.57000000 0.000475741348 Long ABS-MBS CORP US N 3 2036-08-25 Variable 0.56390000 N N N N N N Bear Stearns Mortgage Funding N/A 07400NAA8 392792.70000000 PA USD 372926.50000000 0.000429752179 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.27863000 N N N N N N LIFE STORAGE LP X0MIGH67XZCB7HL1A534 53227JAA2 6960000.00000000 PA USD 7714954.89000000 0.008890541910 Long DBT CORP US N 2 2027-12-15 Fixed 3.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UCB6 11214616.38000000 PA USD 12099948.21000000 0.013943710392 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.00000000 N N N N N N First Horizon Alternative Mort N/A 32051GWF8 12054398.27000000 PA USD 9621454.25000000 0.011087549242 Long ABS-MBS CORP US N 2 2035-10-25 Variable 2.33793600 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAA1 11885000.00000000 PA USD 11873986.76000000 0.013683317458 Long DBT CORP GB N 2 2023-09-02 Fixed 0.75000000 N N N N N N Freddie Mac N/A 3132DVKQ7 29078102.01000000 PA USD 31256258.31000000 0.036019014814 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.50000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BL3 17760000.00000000 PA USD 21489346.39000000 0.024763843397 Long DBT CORP US N 2 2040-03-25 Fixed 4.60000000 N N N N N N IQVIA INC 549300PLWY28YB00C717 46266TAA6 4072000.00000000 PA USD 4307198.72000000 0.004963519720 Long DBT CORP US N 2 2027-05-15 Fixed 5.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYA6 114075000.00000000 PA USD 113041749.72000000 0.130266790650 Long DBT CORP US N 2 2027-03-09 Fixed 1.43100000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAA4 3000000.00000000 PA USD 3394648.44000000 0.003911917134 Long DBT CORP N/A N 2 2029-04-15 Fixed 6.50000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15137TAA8 1000000.00000000 PA USD 1049450.00000000 0.001209362768 Long DBT CORP US N 2 2026-06-01 Fixed 5.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381XHZ2 21672389.14000000 PA USD 22612324.99000000 0.026057938884 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 3.00000000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAC3 13175000.00000000 PA USD 13994846.65000000 0.016127349083 Long DBT CORP US N 2 2049-04-01 Fixed 4.55000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179RZV4 341723.55000000 PA USD 382557.41000000 0.000440850625 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3128M8RU0 7755725.20000000 PA USD 8551313.39000000 0.009854342788 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.00000000 N N N N N N Structured Asset Securities Co N/A 863572QM8 668.13000000 PA USD 691.31000000 0.000000796650 Long ABS-MBS CORP US N 2 2030-03-28 Fixed 7.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TQQ1 83037301.15000000 PA USD 89746615.44000000 0.103421997571 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 4.00000000 N N N N N N Securitized Asset Backed Recei N/A 81378GAC2 16822857.68000000 PA USD 14784174.63000000 0.017036953039 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.24863000 N N N N N N New Century Home Equity Loan T N/A 64352VFD8 114082.21000000 PA USD 113455.90000000 0.000130744048 Long ABS-MBS CORP US N 2 2034-01-25 Floating 1.18863000 N N N N N N Fannie Mae N/A 3136AGZR6 15527977.32000000 PA USD 13694988.11000000 0.015781798791 Long ABS-MBS USGSE US N 2 2043-10-25 None 0.00000000 N N N N N N Freddie Mac N/A 3128MJ5K2 6448486.48000000 PA USD 7155189.53000000 0.008245480796 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N Delos Finance Sarl 549300HX549YWOJQT076 000000000 40728731.27300000 PA USD 40692279.06000000 0.046892874628 Long LON CORP LU N 2 2023-10-06 Floating 1.75000000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PEX7 2144.10000000 PA USD 2240.19000000 0.000002581544 Long ABS-MBS CORP US N 2 2034-06-19 Variable 2.94452800 N N N N N N Churchill Downs Incorporated 529900FODTBQC8MIS994 17148PAF8 13000000.00000000 PA USD 12951250.00000000 0.014924731584 Long LON CORP US N 2 2028-03-17 Floating 2.12000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389HCB2 6885.73000000 PA USD 7846.56000000 0.000009042200 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 7.00000000 N N N N N N CIT EDUCATION LOAN TRUST N/A 17284LAB0 12019115.67000000 PA USD 10951119.41000000 0.012619825711 Long ABS-MBS CORP US N 2 2042-06-25 Floating 0.50063000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179R4E6 41734981.84000000 PA USD 44869237.24000000 0.051706308055 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 3.50000000 N N N N N N Securitized Asset Backed Recei N/A 81378KAC3 30106454.86000000 PA USD 18183672.52000000 0.020954458571 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.37863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385HUQ3 2181.69000000 PA USD 2486.90000000 0.000002865848 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7.00000000 N N N N N N LUCALI CLO LTD N/A 54929JAC7 11550000.00000000 PA USD 11566632.00000000 0.013329128689 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 1.44837000 N N N N N N Freddie Mac N/A 3133TTK67 5867.67000000 PA USD 6736.91000000 0.000007763464 Long ABS-MBS USGSE US N 2 2031-05-15 Fixed 6.50000000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AE8 21300000.00000000 PA USD 22914151.49000000 0.026405757009 Long DBT CORP US N 2 2026-07-15 Fixed 3.30000000 N N N N N N Conseco Financial Corp N/A 393505PN6 875041.97000000 PA USD 890450.58000000 0.001026135384 Long ABS-O CORP US N 2 2026-09-15 Variable 7.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TE43 30493857.12000000 PA USD 34123550.69000000 0.039323218589 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 5.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12653VAA4 14000000.00000000 PA USD 14017395.98000000 0.016153334428 Long ABS-MBS CORP US N 2 2036-05-15 Floating 1.08600000 N N N N N N TC PIPELINES LP 6HL0C5LCIE4TN8UZHL06 87233QAB4 8000000.00000000 PA USD 8862479.60000000 0.010212923787 Long DBT CORP US N 2 2025-03-13 Fixed 4.37500000 N N N N N N Navient Student Loan Trust N/A 63940GAA3 58176275.02000000 PA USD 59011779.41000000 0.068003858161 Long ABS-O CORP US N 2 2066-03-25 Floating 1.25863000 N N N N N N Credit-Based Asset Servicing a N/A 1248P1AA2 13938214.73000000 PA USD 12134052.22000000 0.013983011092 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.24863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8YA5 55886295.45000000 PA USD 59029554.19000000 0.068024341421 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.00000000 N N N N N N GreenPoint Mortgage Funding Tr N/A 39538WBZ0 13385583.57000000 PA USD 12548763.73000000 0.014460915385 Long ABS-MBS CORP US N 2 2045-10-25 Floating 0.30863000 N N N N N N Asset Backed Securities Corp H N/A 04544PAA7 5746636.37000000 PA USD 5521246.40000000 0.006362561183 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.23363000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SEK9 580867.89000000 PA USD 645123.38000000 0.000743425791 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 4.50000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796C64 750000000.00000000 PA USD 749968935.00000000 0.864247470440 Long DBT UST US N 1 2021-08-05 None 0.00000000 N N N N N N New Century Home Equity Loan T N/A 64352VKA8 423472.18000000 PA USD 421497.95000000 0.000485724834 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.78363000 N N N N N N HOMER CITY HOLDINGS LLC (PLACEHOLDER) N/A 000000000 1180703.00000000 NS USD 0.00000000 0.000000 Long EC CORP US N 3 N N N POWERTEAM SERVICES LLC 549300J2G34D0WX8Z443 73939VAA2 9305000.00000000 PA USD 10270885.05000000 0.011835938809 Long DBT CORP US N 2 2025-12-04 Fixed 9.03300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TCX1 86640395.48000000 PA USD 92145222.97000000 0.106186099381 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 3.50000000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971M4P4 25000000.00000000 PA USD 32691082.50000000 0.037672474202 Long DBT MUN US N 2 2037-08-01 Fixed 5.50800000 N N N N N N Bayview Commercial Asset Trust N/A 07324SAR3 184206.12000000 PA USD 182344.98000000 0.000210130287 Long ABS-MBS CORP US N 2 2034-08-25 Floating 0.75363000 N N N N N N Vistra Operations Company LLC 549300ZH5GKBTJZ7NM23 88233FAK6 27182794.44710000 PA USD 27027444.78000000 0.031145824438 Long LON CORP US N 2 2025-12-31 Floating 1.85830000 N N N N N N Banc of America Mortgage Secur N/A 05954CAA6 267210.02000000 PA USD 266909.33000000 0.000307580357 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.00000000 N N N N N N Fannie Mae N/A 31394VYX2 45321.11000000 PA USD 49809.11000000 0.000057398907 Long ABS-MBS USGSE US N 2 2036-02-25 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376JFY5 8612030.96000000 PA USD 1010805.27000000 0.001164829444 Long ABS-MBS USGA US N 2 2036-03-20 Floating 6.13912000 N N N N N N Bausch Health Companies Inc KOO0397YRO83WY5MGD97 91911UAH3 4292763.16100000 PA USD 4274261.35000000 0.004925563429 Long LON CORP US N 2 2025-11-27 Floating 2.85850000 N N N N N N DIAMOND SPORTS GR/DIAMON N/A 25277LAA4 28766000.00000000 PA USD 20775106.09000000 0.023940768808 Long DBT CORP US N 2 2026-08-15 Fixed 5.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179R7J2 105632556.31000000 PA USD 113565455.66000000 0.130870297692 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 3.50000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796A25 300000000.00000000 PA USD 299994750.00000000 0.345707257638 Long DBT UST US N 1 2021-05-13 None 0.00000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BK9 57474000.00000000 PA USD 60025845.60000000 0.069172445417 Long DBT NUSS PA N 2 2030-01-23 Fixed 3.16000000 N N N N N N Structured Adjustable Rate Mor N/A 863579DE5 1746071.09000000 PA USD 1666721.94000000 0.001920693182 Long ABS-MBS CORP US N 2 2034-10-25 Variable 2.75163700 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CL1 180117000.00000000 PA USD 177104685.47000000 0.204091488696 Long DBT CORP GB N 2 2028-09-22 Fixed 2.01300000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AB4 4095000.00000000 PA USD 4481679.34000000 0.005164587294 Long DBT CORP US N 2 2024-07-01 Fixed 4.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5SG9 280695921.30000000 PA USD 301897473.70000000 0.347899913984 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.50000000 N N N N N N NEW YORK ST DORM AUTH ST PERSO 549300C8XO7EXTX2XU71 64990FLF9 9870000.00000000 PA USD 11122749.75000000 0.012817608686 Long DBT MUN US N 2 2048-03-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERQ29 6833478.81000000 PA USD 7509344.92000000 0.008653601567 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.00000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AC2 24630000.00000000 PA USD 27127920.91000000 0.031261610888 Long DBT CORP CH N 2 2028-01-09 Fixed 4.28200000 N N N N N N Reynolds Group Holdings Inc. 5493002QNV81KCX40V06 76173FAU1 11617245.71670000 PA USD 11581871.20000000 0.013346690003 Long LON CORP US N 2 2023-02-06 Floating 2.85850000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAG7 2000000.00000000 PA USD 1961619.42000000 0.002260526459 Long DBT CORP US N 2 2030-02-01 Fixed 3.00000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BV0 34281000.00000000 PA USD 43061735.34000000 0.049623383187 Long DBT CORP US N 2 2047-06-15 Fixed 5.50000000 N N N N N N Freddie Mac N/A 3132DVKY0 28893054.74000000 PA USD 31093466.00000000 0.035831416587 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.50000000 N N N N N N Homer City Generation LP 549300WURUOM5UICZI86 43741UAB3 5860181.03750000 PA USD 4248631.25000000 0.004896027874 Long LON CORP US N 3 2023-04-05 Floating 11.00000000 N N N N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 28470RAH5 19342000.00000000 PA USD 20643137.31000000 0.023788690930 Long DBT CORP US N 2 2025-07-01 Fixed 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQ4X7 171165.51000000 PA USD 188651.63000000 0.000217397929 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 4.50000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 93934FPN6 4035809.62000000 PA USD 4040596.09000000 0.004656292796 Long ABS-MBS CORP US N 2 2046-05-25 Floating 1.31916000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SLS4 24801638.70000000 PA USD 26625464.40000000 0.030682591215 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.50000000 N N N N N N Nationstar Home Equity Loan Tr N/A 63860HAD1 115546.70000000 PA USD 114698.09000000 0.000132175520 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.33863000 N N N N N N MOLINA HEALTHCARE INC 549300NQQCEQ46YHZ591 60855RAG5 16345000.00000000 PA USD 17169033.18000000 0.019785210831 Long DBT CORP US N 2 2022-11-15 Variable 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERDL1 44279426.25000000 PA USD 49443631.23000000 0.056977737644 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.50000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAA9 14689000.00000000 PA USD 15594046.43000000 0.017970231235 Long DBT CORP KY N 2 2023-01-15 Fixed 5.50000000 N N N N N N Sequoia Mortgage Trust N/A 81744FBF3 97778.91000000 PA USD 95173.24000000 0.000109675518 Long ABS-MBS CORP US N 2 2034-05-20 Floating 0.77750000 N N N N N N Freddie Mac N/A 3132XCSE6 107424961.99000000 PA USD 117661486.62000000 0.135590472396 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AVV7 44520123.79000000 PA USD 47132390.14000000 0.054314314971 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.00000000 N N N N N N Level 3 Financing Inc N/A 52729KAP1 22889876.37000000 PA USD 22622865.96000000 0.026070086063 Long LON CORP US N 2 2027-03-01 Floating 1.85850000 N N N N N N Fannie Mae N/A 31359PXA9 1081.61000000 PA USD 1202.42000000 0.000001385641 Long ABS-MBS USGSE US N 2 2023-10-25 Floating 2.53253700 N N N N N N Structured Adjustable Rate Mor N/A 863579CB2 101855.25000000 PA USD 101855.25000000 0.000117375717 Long ABS-MBS CORP US N 2 2034-10-25 Variable 2.68912900 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SGN1 5136834.48000000 PA USD 5692228.00000000 0.006559596565 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3137AYKS9 17557348.86000000 PA USD 18359163.13000000 0.021156690036 Long ABS-MBS USGSE US N 2 2041-12-15 Fixed 2.50000000 N N N N N N SLM Student Loan Trust 54930067BGNOZYMNWK87 78445FAE5 17206000.00000000 PA USD 17183580.58000000 0.019801974930 Long ABS-O CORP US N 2 2083-07-26 Floating 2.06775000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAN4 5000000.00000000 PA USD 5818856.30000000 0.006705520193 Long DBT CORP US N 2 2044-03-04 Fixed 5.40000000 N N N N N N CALI Mortgage Trust 2019-101C N/A 129890AA7 80255000.00000000 PA USD 89859802.03000000 0.103552431273 Long ABS-MBS CORP US N 2 2039-03-10 Fixed 3.95700000 N N N N N N Credit-Based Asset Servicing a N/A 1248MBAK1 22340123.50000000 PA USD 18261158.75000000 0.021043751974 Long ABS-MBS CORP US N 2 2037-02-25 Variable 3.79314400 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773DA5 75000.00000000 PA USD 78111.50000000 0.000090013950 Long DBT CORP US N 2 2027-05-05 Fixed 2.55000000 N N N N N N Freddie Mac N/A 3132XCSA4 813838.47000000 PA USD 893870.93000000 0.001030076919 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417AP78 9367543.84000000 PA USD 10205577.99000000 0.011760680410 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 3.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RCP5 48155000.00000000 PA USD 54513586.04000000 0.062820240467 Long DBT CORP US N 2 2035-05-15 Fixed 4.50000000 N N N N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313385EC6 300000000.00000000 PA USD 300000666.00000000 0.345714075104 Long DBT USGSE US N 2 2021-04-09 None 0.00000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48126PAA0 1800000.00000000 PA USD 1847340.00000000 0.002128833405 Long DBT CORP KZ N 2 2033-04-14 Fixed 3.50000000 N N N N N N NEW YORK ST DORM AUTH ST PERSO 549300C8XO7EXTX2XU71 64990FYQ1 155000.00000000 PA USD 176565.92000000 0.000203470627 Long DBT MUN US N 2 2047-03-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8DA0 53986.54000000 PA USD 58065.28000000 0.000066913133 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TEZ4 6604341.29000000 PA USD 7021894.16000000 0.008091874186 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 3.50000000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XEC8 15000000.00000000 PA USD 16484676.00000000 0.018996572883 Long DBT MUN US N 2 2031-05-01 Fixed 3.90000000 N N N N N N JPMorgan US Government Money Market Fund 549300NQ5E5B7ZV4T516 4812C2684 1204314000.00000000 NS USD 1204314000.00000000 1.387824587848 Long STIV RF US N 1 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABU8 109831000.00000000 PA USD 111554095.72000000 0.128552451366 Long DBT CORP US N 2 2026-04-15 Fixed 2.62500000 N N N N N N Residential Accredit Loans, In N/A 751152AB5 20270031.12000000 PA USD 19037876.74000000 0.021938824459 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.47863000 N N N N N N Educational Funding of the Sou N/A 28148WAD5 9922772.77000000 PA USD 9983646.00000000 0.011504930935 Long ABS-MBS CORP US N 2 2036-03-25 Floating 1.15863000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 836205AU8 19507000.00000000 PA USD 19251458.30000000 0.022184951084 Long DBT NUSS ZA N 2 2028-10-12 Fixed 4.30000000 N N N N N N JP Morgan Mortgage Acquisition N/A 46628SAJ2 4579229.44000000 PA USD 2069205.87000000 0.002384506684 Long ABS-MBS CORP US N 2 2036-07-25 Variable 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38374CK26 5379922.91000000 PA USD 6047861.59000000 0.006969420781 Long ABS-MBS USGA US N 2 2033-10-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390TVV8 110363.18000000 PA USD 133042.04000000 0.000153314679 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 7.00000000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBN1 5000000.00000000 PA USD 5098030.60000000 0.005874856736 Long DBT CORP US N 2 2030-09-15 Fixed 3.80000000 N N N N N N CIM Trust N/A 12559NAB5 193344253.19000000 PA USD 181358939.61000000 0.208993996264 Long ABS-MBS CORP US N 2 2060-01-26 Variable 4.00000000 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 075887BV0 2235000.00000000 PA USD 2397570.64000000 0.002762906920 Long DBT CORP US N 2 2024-06-06 Fixed 3.36300000 N N N N N N Equity One ABS Inc N/A 294751BP6 36213.49000000 PA USD 37483.08000000 0.000043194665 Long ABS-MBS CORP US N 2 2032-11-25 Variable 5.80300000 N N N N N N WALGREENS BOOTS ALLIANCE 549300RPTUOIXG4LIH86 931427AC2 13354000.00000000 PA USD 14784952.14000000 0.017037849024 Long DBT CORP US N 2 2044-11-18 Fixed 4.80000000 N N N N N N Residential Accredit Loans, In N/A 75116CEX0 86936084.97000000 PA USD 816555.87000000 0.000940980768 Long ABS-MBS CORP US N 3 2037-04-25 Variable 0.33396000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CV27 113426943.59000000 PA USD 120286276.94000000 0.138615222207 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAH4 15316000.00000000 PA USD 18436001.68000000 0.021245237067 Long DBT CORP US N 2 2045-06-01 Fixed 5.55000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SNY9 6326727.62000000 PA USD 7276527.60000000 0.008385308081 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 5.00000000 N N N N N N Credit Suisse First Boston Mor N/A 225458YA0 2923.59000000 PA USD 3051.83000000 0.000003516860 Long ABS-MBS CORP US N 2 2020-07-25 Fixed 4.50000000 N N N N N N CATALENT PHARMA SOLUTION 549300HALRZ339MSTH85 14879EAE8 13935000.00000000 PA USD 14620462.65000000 0.016848295005 Long DBT CORP US N 2 2027-07-15 Fixed 5.00000000 N N N N N N J.P. Morgan Alternative Loan T N/A 46628GAF6 549486.86000000 PA USD 436977.01000000 0.000503562558 Long ABS-MBS CORP US N 2 2036-05-25 Variable 3.07967300 N N N N N N FANNIE MAE N/A 3136ASXS0 10825222.67000000 PA USD 10942076.19000000 0.012609404506 Long ABS-MBS USGSE US N 2 2046-07-25 Floating 0.60863000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91086QBB3 8694000.00000000 PA USD 9137394.00000000 0.010529729009 Long DBT NUSS MX N 2 2044-03-08 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q83U7 179686.11000000 PA USD 195898.83000000 0.000225749441 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N Palmer Square Loan Funding Ltd N/A 69700VAA7 8123809.78000000 PA USD 8129212.11000000 0.009367922689 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 1.27400000 N N N N N N Popular ABS Mortgage Pass-Thro N/A 73316NAC9 23015500.00000000 PA USD 21464846.80000000 0.024735610616 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.41863000 N N N N N N Freddie Mac N/A 3132XCR64 318958054.31000000 PA USD 343810494.02000000 0.396199543608 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Fannie Mae N/A 3136A1ZR9 10100000.00000000 PA USD 11165045.00000000 0.012866348788 Long ABS-MBS USGSE US N 2 2041-10-25 Fixed 4.00000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCA5 2025000.00000000 PA USD 2260595.20000000 0.002605059479 Long DBT CORP US N 2 2039-11-21 Fixed 4.05000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380Y2X2 1375971.00000000 PA USD 1477423.27000000 0.001702549618 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBBB3 31362474.21000000 PA USD 33858757.80000000 0.039018077169 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AJ5 6616000.00000000 PA USD 7481082.69000000 0.008621032804 Long DBT CORP US N 2 2024-05-15 Fixed 5.75000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BN8 70701000.00000000 PA USD 78790961.22000000 0.090796946046 Long DBT CORP US N 2 2024-03-15 Fixed 5.00000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAF1 34760000.00000000 PA USD 44735765.45000000 0.051552498142 Long DBT CORP US N 2 2040-04-15 Fixed 6.30000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SEL7 2913534.26000000 PA USD 3350985.93000000 0.003861601432 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 5.00000000 N N N N N N SLM Student Loan Trust 549300R59P5DXM48DO55 78445GAE3 625000.00000000 PA USD 628982.81000000 0.000724825758 Long ABS-O CORP US N 2 2075-10-25 Floating 2.46775000 N N N N N N Freddie Mac N/A 31397GRJ1 456795.72000000 PA USD 86522.91000000 0.000099707071 Long ABS-MBS USGSE US N 2 2035-08-15 Floating 7.09400000 N N N N N N MGM GROWTH/MGM FINANCE N/A 55303XAF2 1322000.00000000 PA USD 1371178.40000000 0.001580115400 Long DBT CORP US N 2 2028-01-15 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3132KGJX9 5710677.48000000 PA USD 6146918.13000000 0.007083571327 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.50000000 N N N N N N MAUSER PACKAGING SOLUT 549300DNGHXL0OMHW304 12429TAD6 2344000.00000000 PA USD 2379160.00000000 0.002741690909 Long DBT CORP US N 2 2024-04-15 Fixed 5.50000000 N N N N N N VENTAS REALTY LP 32SXKSJ72K64GM3HOU64 92277GAM9 2000000.00000000 PA USD 2211676.58000000 0.002548686752 Long DBT CORP US N 2 2028-03-01 Fixed 4.00000000 N N N N N N SLM Student Loan Trust 549300JQFJDGC1WO7674 78445CAE2 31424000.00000000 PA USD 30967880.64000000 0.035686694820 Long ABS-O CORP US N 2 2083-07-26 Floating 2.06775000 N N N N N N Freddie Mac N/A 3137A2XC0 47288083.44000000 PA USD 52375344.91000000 0.060356179088 Long ABS-MBS USGSE US N 2 2040-11-15 Fixed 4.50000000 N N N N N N First Franklin Mtg Loan Asset N/A 30247DAE1 795871.58000000 PA USD 660944.29000000 0.000761657455 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.58863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CPE8 2372000.09000000 PA USD 2516323.49000000 0.002899755055 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N SBA COMMUNICATIONS CORP 5299001HX8ZN8Y8QIT49 78388JAV8 2524000.00000000 PA USD 2591819.88000000 0.002986755411 Long DBT CORP US N 2 2024-09-01 Fixed 4.87500000 N N N N N N IndyMac INDA Mortgage Loan Tru N/A 45670NAA1 2210849.30000000 PA USD 2143579.79000000 0.002470213531 Long ABS-MBS CORP US N 2 2037-11-25 Variable 2.86479000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AH2 98421000.00000000 PA USD 110696559.23000000 0.127564245445 Long DBT CORP US N 2 2026-04-15 Fixed 5.37500000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 3132HTQF6 20941681.20000000 PA USD 18250323.35000000 0.021031265501 Long ABS-MBS USGSE US N 2 2043-08-15 None 0.00000000 N N N N N N FARMERS EXCHANGE CAP III N/A 30958QAA9 64140000.00000000 PA USD 78088801.60000000 0.089987792964 Long DBT CORP US N 2 2054-10-15 Fixed 5.45400000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397VU4 21050000.00000000 PA USD 21359435.00000000 0.024614136409 Long DBT CORP US N 2 2021-08-02 Fixed 5.87500000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072UAH5 24804182.81385000 PA USD 24501943.85000000 0.028235493505 Long LON CORP US N 2 2026-01-15 Floating 2.35600000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XUE6 3150000.00000000 PA USD 3655732.50000000 0.004212784581 Long DBT MUN US N 2 2042-05-01 Fixed 4.00000000 N N N N N N Credit Suisse First Boston Mor N/A 22541SJE9 81911.96000000 PA USD 86335.57000000 0.000099491184 Long ABS-MBS CORP US N 2 2034-06-25 Variable 2.98118700 N N N N N N First Franklin Mtg Loan Asset N/A 30247DAD3 12621348.21000000 PA USD 10344829.32000000 0.011921150536 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.42863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TC29 25538928.03000000 PA USD 28424321.23000000 0.032755553697 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 5.00000000 N N N N N N Credit-Based Asset Servicing a N/A 12479DAA6 47739361.60000000 PA USD 41691567.41000000 0.048044432230 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.24863000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AK5 34128000.00000000 PA USD 39468178.80000000 0.045482248795 Long DBT CORP US N 2 2028-06-01 Fixed 5.75000000 N N N N N N Chase Mortgage Finance Corpora N/A 16163CAB8 559276.98000000 PA USD 508068.18000000 0.000585486436 Long ABS-MBS CORP US N 2 2036-09-25 Variable 3.37168600 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JLYN8 32714.44000000 PA USD 35347.38000000 0.000040733532 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.00000000 N N N N N N SLM Student Loan Trust 549300SRMXHPGI3BJ386 78444YAE5 37199000.00000000 PA USD 36609823.64000000 0.042188344073 Long ABS-O CORP US N 2 2073-07-25 Floating 2.06775000 N N N N N N Merrill Lynch First Franklin M N/A 59024QAD2 32701291.28000000 PA USD 19178260.89000000 0.022100600022 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.34863000 N N N N N N United AirLines Inc K1OQBWM7XEOO08LDNP29 90932RAE4 18263853.24840000 PA USD 17820315.57000000 0.020535734128 Long LON CORP US N 2 2024-04-01 Floating 1.86513000 N N N N N N Bausch Health Companies Inc KOO0397YRO83WY5MGD97 000000000 56271433.00610000 PA USD 56159452.85000000 0.064716900663 Long LON CORP US N 2 2025-06-02 Floating 3.10850000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAY7 23465000.00000000 PA USD 25538943.94000000 0.029430509275 Long DBT CORP US N 2 2024-10-15 Fixed 3.62500000 N N N N N N OCP CLO Ltd 254900ZMV4RGFPV8TK42 670881AA9 16640000.00000000 PA USD 16680768.00000000 0.019222544929 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 1.97400000 N N N N N N Freddie Mac N/A 3128M1RU5 30.73000000 PA USD 30.83000000 0.000000035527 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 6.00000000 N N N N N N SLM Student Loan Trust 549300AQ8DWMCQEZWX44 83149VAB5 2721509.95000000 PA USD 2775978.79000000 0.003198976031 Long ABS-O CORP US N 2 2034-10-25 Floating 1.25863000 N N N N N N Residential Funding Mtg Sec I N/A 74958CAB6 68614.81000000 PA USD 67048.32000000 0.000077264988 Long ABS-MBS CORP US N 2 2036-11-25 Variable 4.70024600 N N N N N N SERVICE CORP INTL 549300RKVM2ME20JHZ15 817565CD4 1922000.00000000 PA USD 2028911.25000000 0.002338072063 Long DBT CORP US N 2 2027-12-15 Fixed 4.62500000 N N N N N N Fannie Mae N/A 31395DXX2 1423634.55000000 PA USD 2274431.88000000 0.002621004560 Long ABS-MBS USGSE US N 2 2036-04-25 Floating 28.56548000 N N N N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10112RBD5 42590000.00000000 PA USD 44135318.52000000 0.050860556494 Long DBT CORP US N 2 2031-01-30 Fixed 3.25000000 N N N N N N Freddie Mac N/A 3128MJZF0 84037306.08000000 PA USD 88427515.79000000 0.101901896561 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Credit-Based Asset Servicing a N/A 79549AYY9 66636.24000000 PA USD 66061.92000000 0.000076128282 Long ABS-MBS CORP US N 2 2033-11-25 Floating 1.12863000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92553PBB7 2913000.00000000 PA USD 3101569.82000000 0.003574179870 Long DBT CORP US N 2 2026-10-04 Fixed 3.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QYC9 14215.28000000 PA USD 16650.14000000 0.000019187249 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TLV5 2159737.85000000 PA USD 2406092.45000000 0.002772727264 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 5.00000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AT5 51400000.00000000 PA USD 49759388.07000000 0.057341608782 Long DBT CORP CH N 2 2027-02-02 Fixed 1.30500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202D5P2 1252.60000000 PA USD 1405.84000000 0.000001620058 Long ABS-MBS USGA US N 2 2034-05-20 Fixed 4.50000000 N N N N N N OI EUROPEAN GROUP BV 72450053F5WRDY8CDZ66 67777LAC7 3364000.00000000 PA USD 3458612.50000000 0.003985627890 Long DBT CORP NL N 2 2023-03-15 Fixed 4.00000000 N N N N N N Caesars Resort Collection LLC 549300V3UCT773B1KR38 12769LAD1 4975000.00000000 PA USD 4991392.63000000 0.005751969519 Long LON CORP US N 2 2025-07-21 Floating 4.60850000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDR0 150594000.00000000 PA USD 182178590.13000000 0.209938543238 Long DBT CORP US N 2 2037-03-01 Fixed 5.25000000 N N N N N N Citigroup Commercial Mortgage N/A 17323YAD1 10000000.00000000 PA USD 10971687.50000000 0.012643527919 Long ABS-MBS CORP US N 2 2048-06-10 Fixed 3.76200000 N N N N N N UNIV OF CALIFORNIA CA RGTS MED N/A 913366KB5 70090000.00000000 PA USD 67345975.80000000 0.077608000162 Long DBT MUN US N 2 2050-05-15 Fixed 3.00600000 N N N N N N KKR Industrial Portfolio Trust N/A 48253QAQ8 25927492.29000000 PA USD 26004997.86000000 0.029967579416 Long ABS-MBS CORP US N 2 2037-03-15 Floating 3.53500000 N N N N N N First Horizon Alternative Mort N/A 32051GQ81 12202585.51000000 PA USD 10128400.64000000 0.011671742953 Long ABS-MBS CORP US N 2 2036-02-25 Variable 2.37670400 N N N N N N VMED O2 UK FINANCING I 213800MRR46ECNGZ7L69 92858RAA8 11534000.00000000 PA USD 11241035.25000000 0.012953918257 Long DBT CORP GB N 2 2031-01-31 Fixed 4.25000000 N N N N N N Citigroup Mortgage Loan Trust N/A 17312VAH1 289366.44000000 PA USD 255980.32000000 0.000294986010 Long ABS-MBS CORP US N 2 2037-03-25 Variable 2.05123000 N N N N N N Residential Asset Mortgage Pro N/A 76112BN30 202236.01000000 PA USD 202158.74000000 0.000232963222 Long ABS-O CORP US N 2 2035-11-25 Floating 0.88863000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BF3 7038000.00000000 PA USD 6642311.89000000 0.007654452045 Long DBT CORP US N 2 2031-02-15 Fixed 3.37500000 N N N N N N LCM Ltd Partnership 549300WD241FFLNM0E69 50184KBE7 25575000.00000000 PA USD 25588682.63000000 0.029487827032 Long ABS-CBDO CORP KY N 2 2027-07-19 Floating 1.36338000 N N N N N N Countrywide Home Loans N/A 126694UN6 119708.86000000 PA USD 113760.97000000 0.000131095604 Long ABS-MBS CORP US N 2 2036-01-25 Variable 2.52660400 N N N N N N SLM Student Loan Trust 549300OORAXMFXOHG132 78444GAD6 2260000.00000000 PA USD 2115614.70000000 0.002437987185 Long ABS-O CORP US N 2 2083-04-26 Floating 1.41775000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F9WL5 87211.00000000 PA USD 92982.07000000 0.000107150463 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBM7 31220000.00000000 PA USD 31356623.09000000 0.036134672947 Long DBT CORP US N 2 2021-07-06 Fixed 3.20000000 N N N N N N LCM Ltd Partnership 549300VQTTD2PAP2Y421 50188WAE8 6021166.08000000 PA USD 6020262.91000000 0.006937616677 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 1.26400000 N N N N N N GreenPoint Mortgage Funding Tr N/A 39538RBW8 1314674.60000000 PA USD 1263162.36000000 0.001455640125 Long ABS-MBS CORP US N 2 2045-08-25 Floating 0.58863000 N N N N N N Fannie Mae N/A 31394F3P8 2524925.94000000 PA USD 179879.79000000 0.000207289457 Long ABS-MBS USGSE US N 2 2025-10-25 Floating 5.99137000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AU4 63922000.00000000 PA USD 72595388.25000000 0.083657305966 Long DBT CORP US N 2 2060-06-01 Fixed 4.60000000 N N N N N N GTR ORLANDO FL AVIATION AUTH A 549300CP6PUG5S184F61 3922742E5 610000.00000000 PA USD 746328.89000000 0.000860052763 Long DBT MUN US N 2 2044-10-01 Fixed 5.00000000 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 075887BK4 10000000.00000000 PA USD 10428173.50000000 0.012017194510 Long DBT CORP US N 2 2023-03-01 Fixed 3.30000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABA2 32711000.00000000 PA USD 35413909.93000000 0.040810199792 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EG4U5 14223207.66000000 PA USD 14297915.77000000 0.016476599176 Long ABS-MBS USGSE US N 2 2021-10-01 Variable 4.07800000 N N N N N N OWNIT Mortgage Loan Asset-Back N/A 69121QAA9 15742756.27000000 PA USD 14699179.98000000 0.016939007100 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.38863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TAM7 597295.85000000 PA USD 656135.70000000 0.000756116143 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.50000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36966TJA1 10789000.00000000 PA USD 10881666.18000000 0.012539789358 Long DBT CORP US N 2 2023-04-15 Floating 1.24125000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 42307TAG3 3475000.00000000 PA USD 4537732.39000000 0.005229181578 Long DBT CORP US N 2 2032-03-15 Variable 6.75000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50076QAR7 2639000.00000000 PA USD 3654487.20000000 0.004211349525 Long DBT CORP US N 2 2039-01-26 Fixed 6.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EHTB8 1723400.61000000 PA USD 1733722.54000000 0.001997903179 Long ABS-MBS USGSE US N 2 2021-11-01 Variable 3.88000000 N N N N N N CenturyLink Inc 8M3THTGWLTYZVE6BBY25 15669GAH7 49883337.13340000 PA USD 49438128.35000000 0.056971396248 Long LON CORP US N 2 2027-03-15 Floating 2.35850000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HNM1 7983.10000000 PA USD 8999.01000000 0.000010370258 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.50000000 N N N N N N CIM Trust N/A 12563GAB4 365529611.68000000 PA USD 363333180.80000000 0.418697052343 Long ABS-MBS CORP US N 2 2061-12-27 Variable 2.25000000 N N N N N N AMCOR FINANCE USA INC 549300ZMT7FVT8R77U18 02343UAG0 11781000.00000000 PA USD 12893608.71000000 0.014858307047 Long DBT CORP US N 2 2026-04-28 Fixed 3.62500000 N N N N N N Merrill Lynch Mortgage Investo N/A 59020UZ65 7666.81000000 PA USD 7573.87000000 0.000008727958 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.52863000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAD9 59361000.00000000 PA USD 68620668.37000000 0.079076927444 Long DBT CORP US N 2 2041-02-15 Fixed 5.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EMDB4 44618549.89000000 PA USD 49708692.07000000 0.057283187843 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.00000000 N N N N N N GSAA Home Equity Trust N/A 362341QG7 87936.56000000 PA USD 87479.54000000 0.000100809470 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.74863000 N N N N N N Fannie Mae N/A 3136A7N65 10085386.28000000 PA USD 10913340.52000000 0.012576290161 Long ABS-MBS USGSE US N 2 2042-08-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CRC0 51153193.80000000 PA USD 54294062.82000000 0.062567266805 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3128MMUS0 32822.71000000 PA USD 34788.87000000 0.000040089917 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 3.00000000 N N N N N N Fannie Mae N/A 31359VHQ9 23545.16000000 PA USD 24932.59000000 0.000028731760 Long ABS-MBS USGSE US N 2 2029-03-25 Fixed 5.50000000 N N N N N N CIM Trust N/A 12553JAA2 84469425.99000000 PA USD 78847001.62000000 0.090861525753 Long ABS-MBS CORP US N 2 2055-05-25 Variable 3.65000000 N N N N N N Telenet Financing USD LLC N/A 000000000 28600000.00000000 PA USD 28284542.00000000 0.032594475231 Long LON CORP US N 2 2028-04-30 Floating 2.10600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31381RA53 1834577.92000000 PA USD 1833942.42000000 0.002113394333 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 4.33000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 000000000 6100000.00000000 PA USD 6260430.00000000 0.007214379874 Long DBT CORP KZ N 2 2033-04-14 Fixed 3.50000000 N N N N N N Sinclair Television Group Inc 549300CQGEN0CH65UD62 829229AQ6 12850000.00000000 PA USD 12792175.00000000 0.014741417103 Long LON CORP US N 2 2024-01-03 Floating 2.36000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ASR20 16554424.07000000 PA USD 18332968.49000000 0.021126503917 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.00000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660LDG1 367445.63000000 PA USD 371971.05000000 0.000428651140 Long ABS-MBS CORP US N 2 2035-03-25 Variable 2.90531000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 9127964Y2 25000000.00000000 PA USD 24999903.75000000 0.028809331385 Long DBT UST US N 1 2021-04-15 None 0.00000000 N N N N N N Bear Stearns Mortgage Funding N/A 07400HAA1 1363404.01000000 PA USD 1267792.17000000 0.001460975414 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.28863000 N N N N N N Ameriquest Mortgage Securities N/A 03072SVL6 11463887.90000000 PA USD 11078867.49000000 0.012767039748 Long ABS-MBS CORP US N 2 2034-11-25 Floating 0.76863000 N N N N N N First Franklin Mtg Loan Asset N/A 32029GAD6 14104354.69000000 PA USD 8623567.48000000 0.009937606790 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.25863000 N N N N N N Freddie Mac N/A 3128MMYK3 25765503.97000000 PA USD 27501881.22000000 0.031692554407 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 3.50000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638DF6 5450000.00000000 PA USD 5470165.00000000 0.006303696117 Long DBT NUSS PE N 2 2031-01-23 Fixed 2.78300000 N N N N N N HIGHWOODS REALTY LP JUJNVZX73BIYHLR58F51 431282AN2 25000.00000000 PA USD 25122.95000000 0.000028951127 Long DBT CORP US N 2 2021-06-15 Fixed 3.20000000 N N N N N N Carrington Mortgage Loan Trust N/A 144531FN5 146623.73000000 PA USD 145605.74000000 0.000167792806 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.45863000 N N N N N N Structured Asset Securities Co N/A 86359AS95 119620.03000000 PA USD 122915.99000000 0.000141645644 Long ABS-MBS CORP US N 2 2033-09-25 Variable 2.39683200 N N N N N N SPECTRUM BRANDS INC 549300VU3EH2E73C1Q04 84762LAX3 8675000.00000000 PA USD 8500329.66000000 0.009795590275 Long DBT CORP US N 2 2031-03-15 Fixed 3.87500000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBG6 86745000.00000000 PA USD 99736290.32000000 0.114933876054 Long DBT CORP US N 2 2050-03-19 Fixed 4.32700000 N N N N N N UNIV OF CALIFORNIA CA REVENUES N/A 91412GXE0 30115000.00000000 PA USD 32995840.05000000 0.038023670004 Long DBT MUN US N 2 2045-05-15 Fixed 3.93100000 N N N N N N Freddie Mac N/A 3128MFSL3 33709405.49000000 PA USD 35101045.37000000 0.040449661652 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 2.50000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962G4B7 4273000.00000000 PA USD 6019746.68000000 0.006937021785 Long DBT CORP US N 2 2039-01-10 Fixed 6.87500000 N N N N N N Freddie Mac N/A 3128MJ4L1 20310767.21000000 PA USD 22488252.88000000 0.025914960952 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 5.00000000 N N N N N N APPALACHIAN POWER CO 3SCHO1ABYYIG382BEI70 037735CV7 100000.00000000 PA USD 112505.43000000 0.000129648747 Long DBT CORP US N 2 2045-06-01 Fixed 4.45000000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAB2 3000000.00000000 PA USD 3326250.00000000 0.003833096298 Long DBT CORP N/A N 2 2030-01-15 Fixed 5.50000000 N N N N N N Impac Secured Assets Corp. N/A 45254TQU1 542353.19000000 PA USD 546434.61000000 0.000629699054 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.00863000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AN9 33037000.00000000 PA USD 35067123.65000000 0.040410571019 Long DBT CORP US N 2 2024-09-01 Fixed 3.35000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD -5318.93000000 -0.00000612941 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -971184.06000000 USD 700000.00000000 GBP 2021-04-23 -5318.93000000 N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAJ9 62554000.00000000 PA USD 74892748.98000000 0.086304733222 Long DBT CORP US N 2 2046-02-01 Fixed 4.90000000 N N N N N N SLM Student Loan Trust 549300IZGFDRVV7YTH38 78444EAD1 279039.95000000 PA USD 272114.49000000 0.000313578667 Long ABS-O CORP US N 2 2022-01-25 Floating 0.54775000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAH8 72705000.00000000 PA USD 76023183.50000000 0.087607420745 Long DBT CORP GB N 2 2024-01-05 Fixed 3.37300000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDA5 24999000.00000000 PA USD 26203951.80000000 0.030196849498 Long DBT CORP US N 2 2027-11-01 Fixed 5.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DHY1 92101.33000000 PA USD 94345.77000000 0.000108721960 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N NUTRITION & BIOSCIENCES N/A 67079BAD2 5950000.00000000 PA USD 5772278.62000000 0.006651845114 Long DBT CORP US N 2 2030-11-01 Fixed 2.30000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SQY6 8785000.69000000 PA USD 9852501.62000000 0.011353803077 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 4.50000000 N N N N N N Crown Finance US Inc N/A 22834KAB7 7847638.17040000 PA USD 6727937.16000000 0.007753124696 Long LON CORP US N 2 2025-02-28 Floating 3.50000000 N N N N N N Ace Securities Corp. N/A 004421FD0 163341.05000000 PA USD 160104.53000000 0.000184500888 Long ABS-MBS CORP US N 2 2034-05-25 Floating 0.74863000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBD2 973572000.00000000 PA USD 973248744.89000000 1.121550142447 Long DBT UST US N 1 2022-12-31 Fixed 0.12500000 N N N N N N Freddie Mac N/A 3128MJXE5 40862485.11000000 PA USD 43788118.91000000 0.050460451409 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TAN5 531917.42000000 PA USD 592783.10000000 0.000683110020 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 5.00000000 N N N N N N Countrywide Alternative Loan T N/A 12667GY98 391847.49000000 PA USD 369767.16000000 0.000426111426 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.75903000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AN4 10230000.00000000 PA USD 10789887.90000000 0.012434026115 Long DBT CORP US N 2 2028-01-15 Fixed 5.62500000 N N N N N N Morgan Stanley Mortgage Loan T N/A 61754HAB8 4997564.00000000 PA USD 2063867.49000000 0.002378354854 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.22863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TLT0 72790302.15000000 PA USD 78738342.76000000 0.090736309707 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N Residential Accredit Loans, In N/A 74923JAR8 42076598.80000000 PA USD 345941.17000000 0.000398654887 Long ABS-MBS CORP US N 3 2037-03-25 Variable 0.26564900 N N N N N N NEW YORK ST DORM AUTH ST PERSO 549300C8XO7EXTX2XU71 64990FYF5 55645000.00000000 PA USD 59006191.71000000 0.067997419020 Long DBT MUN US N 2 2038-03-15 Fixed 3.00000000 N N N N N N Credit-Based Asset Servicing a N/A 81376WAC9 252444.18000000 PA USD 197971.65000000 0.000228138113 Long ABS-O CORP US N 2 2036-06-25 Floating 0.38863000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XQZ4 4055000.00000000 PA USD 3737552.70000000 0.004307072354 Long DBT MUN US N 2 2035-08-01 Fixed 2.00000000 N N N N N N METROPOLITAN EDISON CO N/A 591894BY5 10715000.00000000 PA USD 11146428.22000000 0.012844895226 Long DBT CORP US N 2 2023-03-15 Fixed 3.50000000 N N N N N N GRAPHIC PACKAGING INTERN SO75N4VY5NXGQSK8YQ65 38869AAA5 6346000.00000000 PA USD 6925072.50000000 0.007980299064 Long DBT CORP US N 2 2027-07-15 Fixed 4.75000000 N N N N N N CONTL AIRLINES 2007-1 N/A 21079RAA0 171674.40750000 PA USD 171204.47000000 0.000197292212 Long DBT CORP US N 2 2022-04-19 Fixed 6.90300000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DD4 12010000.00000000 PA USD 12064260.34000000 0.013902584487 Long DBT CORP US N 2 2023-02-04 Fixed 1.16700000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29273RBK4 17685000.00000000 PA USD 19297485.76000000 0.022237992102 Long DBT CORP US N 2 2027-04-15 Fixed 4.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388SEP6 7820.60000000 PA USD 9169.70000000 0.000010566957 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UVX7 36273347.02000000 PA USD 37189439.47000000 0.042856280425 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 3.50000000 N N N N N N Washington Mutual Mortgage Pas N/A 9393365G4 2025016.31000000 PA USD 1698306.25000000 0.001957090236 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.65863000 N N N N N N JP Morgan Mortgage Acquisition N/A 46631KAE5 196161.59000000 PA USD 194708.01000000 0.000224377167 Long ABS-O CORP US N 2 2037-06-25 Floating 0.36863000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBU1 2000000.00000000 PA USD 2503107.30000000 0.002884525013 Long DBT CORP US N 2 2039-01-23 Fixed 5.45000000 N N N N N N Freddie Mac N/A 3132XCRY3 364308178.67000000 PA USD 394611879.43000000 0.454741926881 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.50000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAF8 35499000.00000000 PA USD 37133129.73000000 0.042791390337 Long DBT CORP KY N 2 2024-07-01 Fixed 3.95000000 N N N N N N N TX TOLLWAY AUTH REVENUE PQGZGRE0F2WPMYQQ1B78 66285WA71 10000000.00000000 PA USD 9738750.50000000 0.011222718824 Long DBT MUN US N 2 2034-01-01 Fixed 2.42700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138L7QY5 161398.46000000 PA USD 180621.61000000 0.000208144314 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 3.77000000 N N N N N N Freddie Mac N/A 3128M9R53 17740527.50000000 PA USD 19388274.79000000 0.022342615355 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404121AF2 8906000.00000000 PA USD 9602133.04000000 0.011065283911 Long DBT CORP US N 2 2023-05-01 Fixed 4.75000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397YL1 48646000.00000000 PA USD 49315372.37000000 0.056829934995 Long DBT CORP US N 2 2022-03-28 Fixed 3.33900000 N N N N N N NEW YORK NY 549300ABYZD2SFD5JB29 64966HMX5 4420000.00000000 PA USD 4895166.35000000 0.005641080500 Long DBT MUN US N 2 2023-10-01 Fixed 4.76900000 N N N N N N DENVER CITY & CNTY CO ARPT REV N/A 249182PV2 9000000.00000000 PA USD 8839463.67000000 0.010186400743 Long DBT MUN US N 2 2033-11-15 Fixed 2.61700000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BL7 95317000.00000000 PA USD 110838163.88000000 0.127727427485 Long DBT CORP US N 2 2047-05-01 Fixed 5.37500000 N N N N N N JERSEY CITY NJ MUNI UTILITIES N/A 476624BH3 400000.00000000 PA USD 441350.24000000 0.000508602170 Long DBT MUN US N 2 2027-05-15 Fixed 5.47000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDF6 34555000.00000000 PA USD 29652509.38000000 0.034170890323 Long DBT CORP MX N 2 2060-01-28 Fixed 6.95000000 N N N N N N DELTA AIR LINES 2020-AA N/A 247361ZV3 87450908.19000000 PA USD 87702347.04000000 0.101066228271 Long DBT CORP US N 2 2028-06-10 Fixed 2.00000000 N N N N N N BCAP LLC Trust N/A 05531AAA2 17523247.48000000 PA USD 17952251.62000000 0.020687774289 Long ABS-MBS CORP US N 2 2047-09-25 Floating 1.40863000 N N N N N N Magnetite CLO Ltd 549300WFCL37N4TDUR08 55955GAA1 27025000.00000000 PA USD 27062645.83000000 0.031186389342 Long ABS-CBDO CORP KY N 2 2032-01-25 Floating 1.45474000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AQ7 46710000.00000000 PA USD 46885162.50000000 0.054029415354 Long DBT CORP US N 2 2030-04-15 Fixed 4.62500000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660LW54 807474.92000000 PA USD 801684.28000000 0.000923843080 Long ABS-MBS CORP US N 2 2036-01-25 Variable 2.87783200 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAD2 109491000.00000000 PA USD 117574173.08000000 0.135489854221 Long DBT CORP US N 2 2025-03-20 Fixed 4.73800000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PMG5 294465.55000000 PA USD 294195.11000000 0.000339023881 Long ABS-MBS CORP US N 2 2035-06-19 Floating 0.59025000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419ARC3 6367128.00000000 PA USD 7259551.28000000 0.008365744949 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.50000000 N N N N N N Voya CLO Ltd N/A 92918HAA8 44530000.00000000 PA USD 44617234.27000000 0.051415905454 Long ABS-CBDO CORP KY N 2 2031-07-19 Floating 1.82338000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CS47 75154019.81000000 PA USD 79609307.93000000 0.091739990539 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Mid-State Trust N/A 59549WAA1 185170.92000000 PA USD 197619.04000000 0.000227731773 Long ABS-O CORP US N 2 2038-07-15 Fixed 4.86400000 N N N N N N US TREASURY FRN 254900HROIFWPRGM1V77 912828ZK9 170000000.00000000 PA USD 170183397.70000000 0.196115551070 Long DBT UST US N 1 2022-04-30 Floating 0.13400101 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DTJ1 217833655.37000000 PA USD 220463635.15000000 0.254057375059 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 2.00000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962GX74 11550000.00000000 PA USD 9358613.88000000 0.010784657864 Long DBT CORP US N 2 2036-08-15 Floating 0.67375000 N N N N N N Countrywide Home Loans N/A 12669FT52 815008.32000000 PA USD 794812.41000000 0.000915924090 Long ABS-MBS CORP US N 2 2034-08-25 Variable 2.66185000 N N N N N N Freddie Mac N/A 3128MJYZ7 45614840.27000000 PA USD 48785136.90000000 0.056218903468 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N AMER AIRLN 13-1 A PASS T N/A 023772AB2 12527620.87500000 PA USD 11579890.07000000 0.013344406993 Long DBT CORP US N 2 2025-07-15 Fixed 4.00000000 N N N N N N Bear Stearns Adjustable Rate M N/A 073882AC6 364881.85000000 PA USD 334345.76000000 0.000385292595 Long ABS-MBS CORP US N 2 2036-10-25 Variable 2.95298800 N N N N N N Residential Asset Securitizati N/A 45660LAN9 211470.21000000 PA USD 213306.22000000 0.000245809329 Long ABS-MBS CORP US N 2 2034-12-25 Variable 2.79453100 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBZ7 69940000.00000000 PA USD 70844657.11000000 0.081639802455 Long DBT CORP US N 2 2041-03-25 Fixed 3.65000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 14916RAD6 2860000.00000000 PA USD 3174231.66000000 0.003657913754 Long DBT CORP US N 2 2042-11-01 Fixed 4.35000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46590KAE4 8610000.00000000 PA USD 9559342.04000000 0.011015972517 Long ABS-MBS CORP US N 2 2049-01-15 Fixed 3.91400000 N N N N N N BALL CORP 0BGI85ALH27ZJP15DY16 058498AS5 9532000.00000000 PA USD 10163495.00000000 0.011712184911 Long DBT CORP US N 2 2023-11-15 Fixed 4.00000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AM9 31804000.00000000 PA USD 27974968.55000000 0.032237729693 Long DBT CORP US N 2 2050-03-01 Fixed 3.40000000 N N N N N N TRANSOCEAN POSEIDON LTD N/A 89383JAA6 31359000.00000000 PA USD 29044235.42000000 0.033469928981 Long DBT CORP KY N 2 2027-02-01 Fixed 6.87500000 N N N N N N Lehman XS Trust N/A 52522CAG8 34651.44000000 PA USD 38295.73000000 0.000044131144 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.34863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SUX3 233435.63000000 PA USD 257653.36000000 0.000296913984 Long ABS-MBS USGA US N 2 2047-01-20 Fixed 4.50000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AR2 2715000.00000000 PA USD 3039505.62000000 0.003502658471 Long DBT CORP CH N 2 2026-04-17 Fixed 4.55000000 N N N N N N Clear Creek CLO Ltd N/A 18452LAG3 27190000.00000000 PA USD 27196797.50000000 0.031340982734 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 1.42400000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UXH0 6060.11000000 PA USD 6185.84000000 0.000007128424 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 3.00000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BQ1 7749000.00000000 PA USD 8855155.88000000 0.010204484095 Long DBT CORP US N 2 2025-04-15 Fixed 5.25000000 N N N N N N ECMC Group Student Loan Trust N/A 26827XAA1 35752461.28000000 PA USD 36766057.86000000 0.042368384903 Long ABS-O CORP US N 2 2066-07-26 Floating 1.45863000 N N N N N N INTELSAT JACKSON HLDG 8XJ8KF85PBKK1TLMFN29 45824TAP0 33006000.00000000 PA USD 20298690.00000000 0.023391757534 Long DBT CORP LU N 2 2023-08-01 Fixed 5.50000000 Y N N N N N Freddie Mac N/A 31329NVV7 771017.99000000 PA USD 816966.50000000 0.000941453969 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307GZG6 450322.50000000 PA USD 317441.38000000 0.000365812364 Long ABS-MBS CORP US N 2 2035-10-25 Variable 2.80019000 N N N N N N Freddie Mac N/A 3128M96X5 149112696.70000000 PA USD 165393086.35000000 0.190595303132 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4.00000000 N N N N N N FEDERAL REALTY INVS TRST 549300LI6XZ51GOCJ427 313747AF4 18825000.00000000 PA USD 23677615.69000000 0.027285556122 Long DBT CORP US N 2 2026-08-15 Fixed 7.48000000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AM6 2991000.00000000 PA USD 3145186.05000000 0.003624442241 Long DBT CORP US N 2 2027-03-01 Fixed 5.75000000 N N N N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 92769XAP0 71116000.00000000 PA USD 75584929.44000000 0.087102386543 Long DBT CORP GB N 2 2029-05-15 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QYV7 2632257.07000000 PA USD 3094771.57000000 0.003566345719 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 19992000.00000000 PA USD 22266895.88000000 0.025659874083 Long DBT CORP US N 2 2025-12-15 Fixed 4.25000000 N N N N N N NEW YORK NY 549300ABYZD2SFD5JB29 64966MYR4 3145000.00000000 PA USD 3387395.53000000 0.003903559042 Long DBT MUN US N 2 2031-04-01 Fixed 3.62000000 N N N N N N FARMERS EXCHANGE CAPITAL N/A 309588AC5 13283000.00000000 PA USD 15935480.01000000 0.018363691675 Long DBT CORP US N 2 2028-07-15 Fixed 7.05000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMG4 273699000.00000000 PA USD 260741131.39000000 0.300472263219 Long DBT CORP US N 2 2057-12-01 Fixed 3.80000000 N N N N N N WAMU Asset-Backed Certificates N/A 933631AD5 43424316.73000000 PA USD 25240540.43000000 0.029086635727 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.25863000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2D4 16758000.00000000 PA USD 18903588.24000000 0.021784073387 Long DBT CORP US N 2 2029-01-24 Fixed 4.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBN53 56914618.75000000 PA USD 59354881.41000000 0.068399241252 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.50000000 N N N N N N JP Morgan Mortgage Trust N/A 46630GAS4 1127484.98000000 PA USD 1155261.70000000 0.001331297811 Long ABS-MBS CORP US N 2 2035-07-25 Variable 2.57816000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8X57 40903213.88000000 PA USD 43181131.45000000 0.049760972601 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 3.00000000 N N N N N N AMERICA WEST AIR 2001-1 N/A 023650AH7 1379639.41150000 PA USD 1393368.62000000 0.001605686914 Long DBT CORP US N 2 2021-04-02 Fixed 7.10000000 N N N N N N Residential Asset Mortgage Pro N/A 76112BA42 418356.03000000 PA USD 418274.99000000 0.000482010767 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.93363000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAM1 93376000.00000000 PA USD 108451248.93000000 0.124976799944 Long DBT CORP US N 2 2042-11-06 Fixed 4.40000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660LXA2 22368814.19000000 PA USD 19917614.93000000 0.022952615124 Long ABS-MBS CORP US N 2 2035-10-25 Variable 2.81144200 N N N N N N First Franklin Mtg Loan Asset N/A 32029AAD9 18779379.30000000 PA USD 17506518.60000000 0.020174121500 Long ABS-MBS CORP US N 2 2037-12-25 Floating 0.26863000 N N N N N N SEALED AIR CORP Q0M0CZB4YN6JZ65WXI09 81211KAU4 3800000.00000000 PA USD 4037101.00000000 0.004652265133 Long DBT CORP US N 2 2023-04-01 Fixed 5.25000000 N N N N N N GSR Mortgage Loan Trust N/A 362341SF7 74530.87000000 PA USD 75854.75000000 0.000087413321 Long ABS-MBS CORP US N 2 2035-09-25 Variable 2.97806000 N N N N N N AETNA INC 549300QKBENKLBXQ8968 00817YAM0 6375000.00000000 PA USD 6980603.01000000 0.008044291185 Long DBT CORP US N 2 2042-11-15 Fixed 4.12500000 N N N N N N SLM Student Loan Trust N/A 78446YAA1 12874478.45000000 PA USD 12503056.18000000 0.014408243024 Long ABS-O CORP US N 2 2029-01-25 Floating 0.80863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WYK2 23417801.31000000 PA USD 25974815.86000000 0.029932798352 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.00000000 N N N N N N Residential Asset Securitizati N/A 45660LAR0 325630.33000000 PA USD 342828.89000000 0.000395068365 Long ABS-MBS CORP US N 2 2034-12-25 Variable 2.77713800 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCX5 26713000.00000000 PA USD 29199126.82000000 0.033648422375 Long DBT CORP US N 2 2025-03-15 Fixed 3.80000000 N N N N N N J.P. Morgan Alternative Loan T N/A 46628GAQ2 5644014.68000000 PA USD 4102762.39000000 0.004727931854 Long ABS-MBS CORP US N 2 2036-05-25 Variable 3.43522000 N N N N N N Wells Fargo Alternative Loan T N/A 949922AA6 122455.02000000 PA USD 119815.89000000 0.000138073158 Long ABS-MBS CORP US N 2 2037-11-25 Fixed 6.25000000 N N N N N N DENVER CITY & CNTY CO ARPT REV N/A 249182PT7 6010000.00000000 PA USD 5891919.31000000 0.006789716376 Long DBT MUN US N 2 2031-11-15 Fixed 2.38700000 N N N N N N DSLA Mortgage Loan Trust N/A 23332UDU5 125895.91000000 PA USD 122089.85000000 0.000140693619 Long ABS-MBS CORP US N 2 2045-07-19 Floating 0.35025000 N N N N N N Merrill Lynch First Franklin M N/A 59024QAE0 16149317.50000000 PA USD 9602316.36000000 0.011065495165 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.42863000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAG2 15205000.00000000 PA USD 16611766.60000000 0.019143029255 Long DBT CORP US N 2 2027-04-01 Fixed 4.30000000 N N N N N N Freddie Mac N/A 3131XVRE7 25362400.95000000 PA USD 26676177.38000000 0.030741031722 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 31283HVG7 449803.35000000 PA USD 507197.04000000 0.000584482554 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.00000000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XGJ1 6450000.00000000 PA USD 7084736.12000000 0.008164291858 Long DBT MUN US N 2 2033-08-01 Fixed 4.00000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAE1 15545000.00000000 PA USD 15855121.04000000 0.018271087791 Long DBT CORP KY N 2 2022-05-01 Fixed 3.62500000 N N N N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111FW8 4740000.00000000 PA USD 4761722.00000000 0.005487302208 Long DBT CORP US N 2 2059-11-15 Fixed 3.70000000 N N N N N N COMM Mortgage Trust 549300MGZ5FI5VFL1177 12591KAE5 440000.00000000 PA USD 473315.74000000 0.000545438500 Long ABS-MBS CORP US N 2 2046-10-10 Fixed 4.04600000 N N N N N N DENVER CITY & CNTY CO ARPT REV N/A 249182PQ3 14000000.00000000 PA USD 13892171.58000000 0.016009028623 Long DBT MUN US N 2 2028-11-15 Fixed 2.03700000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TAL9 10656938.46000000 PA USD 11554744.39000000 0.013315429672 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50076QAE6 45154000.00000000 PA USD 50885063.53000000 0.058638812071 Long DBT CORP US N 2 2042-06-04 Fixed 5.00000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660NS48 16520.57000000 PA USD 15715.76000000 0.000018110491 Long ABS-MBS CORP US N 2 2034-08-25 Floating 0.90863000 N N N N N N Fannie Mae N/A 3136A2HP1 14369417.04000000 PA USD 15789871.99000000 0.018195896241 Long ABS-MBS USGSE US N 2 2041-11-25 Fixed 4.00000000 N N N N N N SUNOCO LOGISTICS PARTNER 5493006LL0CKP8WQW329 86765BAV1 119561000.00000000 PA USD 128254654.54000000 0.147797802796 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAW9 15404000.00000000 PA USD 17844137.63000000 0.020563186139 Long DBT CORP US N 2 2046-05-14 Fixed 4.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417VFV0 11707.55000000 PA USD 13034.26000000 0.000015020390 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202DYY1 1296.75000000 PA USD 1454.49000000 0.000001676121 Long ABS-MBS USGA US N 2 2033-08-20 Fixed 4.50000000 N N N N N N HarborView Mortgage Loan Trust N/A 411640AA3 22714124.94000000 PA USD 20823333.04000000 0.023996344469 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.10863000 N N N N N N Nomura Home Equity Loan Inc N/A 65536MAD9 14343704.97000000 PA USD 14285047.82000000 0.016461770437 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.37863000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBR6 1290000.00000000 PA USD 1304939.67000000 0.001503783365 Long DBT CORP US N 2 2028-06-01 Fixed 2.18200000 N N N N N N SG Mortgage Securities Trust N/A 78420RAB4 13872898.00000000 PA USD 10525610.49000000 0.012129478724 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.34863000 N N N N N N Freddie Mac N/A 31292MBP7 15419409.52000000 PA USD 16407499.47000000 0.018907636371 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N Educational Funding of the Sou N/A 28148WAB9 14932.71000000 PA USD 14899.38000000 0.000017169713 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.86775000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HXWW6 126370000.00000000 PA USD 124292699.61000000 0.143232134317 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 2.45500000 N N N N N N Residential Funding Mtg Sec I N/A 74958XAC8 1333415.41000000 PA USD 1226699.51000000 0.001413621150 Long ABS-MBS CORP US N 2 2037-04-25 Variable 3.46659000 N N N N N N BX Trust N/A 056057AN2 18054000.00000000 PA USD 18083470.63000000 0.020838988149 Long ABS-MBS CORP US N 2 2037-03-15 Floating 2.05705000 N N N N N N Chase Funding Mortgage Loan As N/A 161546JS6 5668.19200000 PA USD 5135.98000000 0.000005918588 Long ABS-MBS CORP US N 2 2035-02-26 Floating 0.60863000 N N N N N N JP Morgan Mortgage Acquisition N/A 46630KAU0 240000.00000000 PA USD 215385.26000000 0.000248205168 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.38863000 N N N N N N Countrywide Alternative Loan T N/A 12668BAT0 39025.67000000 PA USD 33121.48000000 0.000038168454 Long ABS-MBS CORP US N 2 2036-02-25 Variable 2.33848500 N N N N N N GoldenTree Loan Management US 549300LOEERRNVSKVY31 38136NAB2 10025000.00000000 PA USD 10066102.50000000 0.011599951967 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 1.77400000 N N N N N N WALGREENS BOOTS ALLIANCE 549300RPTUOIXG4LIH86 931427AQ1 42647000.00000000 PA USD 45924986.17000000 0.052922929570 Long DBT CORP US N 2 2026-06-01 Fixed 3.45000000 N N N N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 92769XAM7 19102000.00000000 PA USD 19856146.96000000 0.022881780807 Long DBT CORP GB N 2 2026-08-15 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381BZB3 19384131.13000000 PA USD 20529297.14000000 0.023657504058 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 3.50000000 N N N N N N Countrywide Asset-Backed Certi N/A 126673S52 2945932.20000000 PA USD 2944669.57000000 0.003393371522 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.56863000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAN4 1080000.00000000 PA USD 990025.48000000 0.001140883277 Long DBT CORP US N 2 2032-09-15 Fixed 1.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AXN3 43065781.93000000 PA USD 46551417.36000000 0.053644814899 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.50000000 N N N N N N Structured Asset Mortgage Inve N/A 86361XAA7 17930669.98000000 PA USD 17083686.09000000 0.019686858748 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.22863000 N N N N N N American Money Management Corp 549300MYS7FLQJZMYD18 00176PAJ1 63810000.00000000 PA USD 63811914.30000000 0.073535426527 Long ABS-CBDO CORP KY N 2 2028-10-16 Floating 1.38125000 N N N N N N Freddie Mac N/A 31297VAM0 32027.53000000 PA USD 37032.55000000 0.000042675484 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.50000000 N N N N N N Freddie Mac N/A 31298SNE0 4542.33000000 PA USD 4977.04000000 0.000005735429 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 7.50000000 N N N N N N CONTL AIRLINES 2007-1 N/A 21079NAA9 47257917.25616700 PA USD 48251132.18000000 0.055603528341 Long DBT CORP US N 2 2022-04-19 Fixed 5.98300000 N N N N N N INTELSAT JACKSON HLDG 8XJ8KF85PBKK1TLMFN29 45824TBA2 118259000.00000000 PA USD 75168376.88000000 0.086622360665 Long DBT CORP LU N 2 2024-10-15 Fixed 8.50000000 Y N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LN3Y5 130662171.85000000 PA USD 147211822.94000000 0.169643620765 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 3.63000000 N N N N N N Global SC Finance SRL N/A 37952UAE3 29681666.66000000 PA USD 29973571.01000000 0.034540874583 Long ABS-O CORP BB N 2 2029-07-17 Fixed 3.09000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45661LAG3 18734943.62000000 PA USD 17796257.37000000 0.020508009995 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.30863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SGP6 223861.98000000 PA USD 256873.35000000 0.000296015118 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 5.00000000 N N N N N N MINEJESA CAPITAL BV 549300KS7ERCP10BKC35 602736AB6 4400000.00000000 PA USD 4620000.00000000 0.005323984937 Long DBT CORP NL N 2 2037-08-10 Fixed 5.62500000 N N N N N N Queens Center Mortgage Trust N/A 74824DAA8 15810000.00000000 PA USD 16455569.73000000 0.018963031467 Long ABS-MBS CORP US N 2 2037-01-11 Fixed 3.27500000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 93363CAB5 8682119.03000000 PA USD 8183427.66000000 0.009430399480 Long ABS-MBS CORP US N 2 2046-07-25 Floating 1.23903000 N N N N N N JP Morgan Mortgage Trust N/A 46631JAE8 415389.49000000 PA USD 372047.13000000 0.000428738813 Long ABS-MBS CORP US N 2 2037-06-25 Variable 3.51489800 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31378CTK8 538.43000000 PA USD 604.98000000 0.000000697165 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 6.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BZ1 189251000.00000000 PA USD 232131289.08000000 0.267502919167 Long DBT CORP US N 2 2049-06-15 Fixed 5.25000000 N N N N N N HUDSON PACIFIC PROPERTIE 5493007NTUGLGZ8T3526 44409MAA4 12607000.00000000 PA USD 13530868.44000000 0.015592670944 Long DBT CORP US N 2 2027-11-01 Fixed 3.95000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAB2 3582000.00000000 PA USD 3760000.72000000 0.004332940951 Long DBT CORP US N 2 2046-06-01 Fixed 4.37500000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBL5 5091000.00000000 PA USD 5597453.70000000 0.006450380776 Long DBT CORP US N 2 2026-12-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178DBV2 148163.87000000 PA USD 158328.97000000 0.000182454773 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 3.50000000 N N N N N N Freddie Mac N/A 31335AAY4 14710492.78000000 PA USD 16022050.90000000 0.018463454038 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 3.50000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBU8 13755000.00000000 PA USD 12923322.49000000 0.014892548544 Long DBT CORP US N 2 2050-09-25 Fixed 3.98400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WLCJ0 57782251.14000000 PA USD 62611928.60000000 0.072152589776 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N EMPRESAS PUBLIC MEDELLIN 549300SU25TO8EMXB434 000000000 1000000.00000000 PA USD 1007000.00000000 0.001160444335 Long DBT CORP CO N 2 2031-02-15 Fixed 4.37500000 N N N N N N BLACK HILLS CORP 3MGELCRSTNSAMJ962671 092113AQ2 1285000.00000000 PA USD 1443914.07000000 0.001663934363 Long DBT CORP US N 2 2033-05-01 Fixed 4.35000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UXJ6 13640108.81000000 PA USD 13984593.17000000 0.016115533201 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 3.50000000 N N N N N N Freddie Mac N/A 312906JY7 90.60000000 PA USD 91.15000000 0.000000105039 Long ABS-MBS USGSE US N 2 2021-07-15 Fixed 6.50000000 N N N N N N DSLA Mortgage Loan Trust N/A 23333YAC9 7597538.93000000 PA USD 6942561.48000000 0.008000452975 Long ABS-MBS CORP US N 2 2037-03-19 Floating 0.25025000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBB0 30503000.00000000 PA USD 32482012.98000000 0.037431547151 Long DBT CORP US N 2 2027-08-15 Fixed 3.55700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410G2R3 2585932.83000000 PA USD 3021839.21000000 0.003482300094 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.50000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAA1 11198000.00000000 PA USD 11888346.85000000 0.013699865705 Long DBT CORP US N 2 2024-10-01 Fixed 2.76000000 N N N N N N Securitized Asset Backed Recei N/A 81378PAB4 40758514.65000000 PA USD 22246567.92000000 0.025636448596 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.33863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179T7L3 6545763.61000000 PA USD 7163737.83000000 0.008255331667 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.50000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCE1 68186000.00000000 PA USD 69750868.70000000 0.080379345092 Long DBT CORP US N 2 2030-08-15 Fixed 4.50000000 N N N N N N Bear Stearns Adjustable Rate M N/A 07384MH47 6663.14000000 PA USD 6677.57000000 0.000007695082 Long ABS-MBS CORP US N 2 2034-04-25 Variable 3.01075700 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABE4 209012000.00000000 PA USD 227114529.32000000 0.261721717133 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N GTR ORLANDO FL AVIATION AUTH A 549300CP6PUG5S184F61 3922742J4 1425000.00000000 PA USD 1716419.95000000 0.001977964060 Long DBT MUN US N 2 2054-10-01 Fixed 5.00000000 N N N N N N Citigroup Mortgage Loan Trust N/A 17311LAA9 74711.61000000 PA USD 74995.28000000 0.000086422887 Long ABS-MBS CORP US N 2 2037-04-25 Variable 2.87431000 N N N N N N Freddie Mac N/A 3128MJZX1 27756461.47000000 PA USD 29690140.34000000 0.034214255402 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.50000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922F5T1 20803350.90000000 PA USD 20217466.13000000 0.023298156958 Long ABS-MBS CORP US N 2 2045-11-25 Floating 0.62863000 N N N N N N OWNIT Mortgage Loan Asset-Back N/A 69121QAE1 18761807.13000000 PA USD 17134278.52000000 0.019745160336 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.58863000 N N N N N N Freddie Mac N/A 3128MS2X7 4394.84000000 PA USD 5046.38000000 0.000005815335 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.50000000 N N N N N N RUBY PIPELINE LLC 549300VXRTBPBK07QT94 781172AB7 59593999.99984600 PA USD 49915934.40000000 0.057522009281 Long DBT CORP US N 3 2022-04-01 Variable 8.00000000 N N N N N N Freddie Mac N/A 3133TLMU9 12023.00000000 PA USD 13551.90000000 0.000015616907 Long ABS-MBS USGSE US N 2 2029-07-15 Fixed 6.00000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBS3 25230000.00000000 PA USD 24545057.73000000 0.028285176978 Long DBT CORP US N 2 2031-03-25 Fixed 2.72600000 N N N N N N MASTR Adjustable Rate Mortgage N/A 576433GH3 35508.05000000 PA USD 38441.62000000 0.000044299265 Long ABS-MBS CORP US N 2 2034-01-25 Variable 3.14283200 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407YQ28 4697.73000000 PA USD 4726.23000000 0.000005446402 Long ABS-MBS USGSE US N 2 2035-12-01 Floating 1.99400000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 03846JW30 4700000.00000000 PA USD 4918080.00000000 0.005667485679 Long DBT NUSS EG N 2 2023-02-21 Fixed 5.57700000 N N N N N N Banc of America Funding Corpor N/A 05970XAG7 23780000.00000000 PA USD 21415535.58000000 0.024678785466 Long ABS-MBS CORP US N 2 2040-03-25 Variable 3.50000000 N N N N N N Residential Funding Mtg Sec I N/A 749575AJ5 248083.60000000 PA USD 171732.18000000 0.000197900333 Long ABS-MBS CORP US N 2 2036-09-25 Variable 4.24922000 N N N N N N SLC Student Loan Trust 5493007QNQ56NU0MGE13 78444LAD5 12401167.02000000 PA USD 12715202.39000000 0.014652715584 Long ABS-O CORP US N 2 2032-12-15 Floating 1.78388000 N N N N N N Credit Suisse Mortgage Trust N/A 126384AQ9 1418286.18000000 PA USD 1094594.41000000 0.001261386179 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 5.50000000 N N N N N N CYRUSONE LP/CYRUSONE FIN N/A 23283PAR5 7045000.00000000 PA USD 7264017.99000000 0.008370892286 Long DBT CORP US N 2 2029-11-15 Fixed 3.45000000 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAA1 60000.00000000 PA USD 65763.70000000 0.000075784620 Long DBT CORP GB N 2 2023-11-07 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ETJA5 428119.31000000 PA USD 471778.08000000 0.000543666535 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 4.50000000 N N N N N N IQVIA Inc 549300PLWY28YB00C717 44969CBJ8 6369381.34800000 PA USD 6345496.17000000 0.007312408231 Long LON CORP US N 2 2025-06-11 Floating 1.95250000 N N N N N N Navient Student Loan Trust N/A 63939GAC2 119750739.40000000 PA USD 119322874.80000000 0.137505019073 Long ABS-O CORP US N 2 2040-11-26 Floating 0.67863000 N N N N N N Equity One ABS Inc N/A 294751AG7 47252.41000000 PA USD 47304.84000000 0.000054513042 Long ABS-MBS CORP US N 2 2029-11-25 Variable 7.48000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BF0 13200000.00000000 PA USD 14460600.00000000 0.016664072853 Long DBT NUSS PA N 2 2028-03-17 Fixed 3.87500000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660NT96 49583.89000000 PA USD 47967.95000000 0.000055277195 Long ABS-MBS CORP US N 2 2034-09-25 Floating 0.96863000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAD9 11735000.00000000 PA USD 12108146.13000000 0.013953157492 Long DBT CORP GB N 2 2023-04-26 Fixed 3.62200000 N N N N N N Deutsche Alt-A Securities INC N/A 25151AAA9 2897964.67000000 PA USD 2833007.66000000 0.003264694828 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.48863000 N N N N N N Madison Avenue Trust N/A 556227AA4 1362500.00000000 PA USD 1471424.78000000 0.001695637092 Long ABS-MBS CORP US N 2 2035-09-10 Variable 3.55480000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378AMF5 103569.72000000 PA USD 19421.54000000 0.000022380949 Long ABS-MBS USGA US N 2 2041-11-16 Fixed 5.00000000 N N N N N N Nomura Resecuritization Trust N/A 65540PBX1 285287.63000000 PA USD 287634.95000000 0.000331464099 Long ABS-MBS CORP US N 2 2037-03-26 Floating 1.12678100 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJTV0 26501301.29000000 PA USD 29133794.80000000 0.033573135212 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 4.50000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FD21 813263.86000000 PA USD 811532.58000000 0.000935192041 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.72863000 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAC1 41762000.00000000 PA USD 46097522.03000000 0.053121756047 Long DBT CORP BM N 2 2026-03-01 Fixed 4.00000000 N N N N N N Credit-Based Asset Servicing a N/A 1248MGAN4 12997566.56000000 PA USD 6026425.98000000 0.006944718862 Long ABS-MBS CORP US N 2 2037-01-25 Variable 3.32661800 N N N N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 718286CJ4 4565000.00000000 PA USD 4624915.63000000 0.005329649599 Long DBT NUSS PH N 2 2030-05-05 Fixed 2.45700000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CM0 22450000.00000000 PA USD 26692602.80000000 0.030759960010 Long DBT CORP US N 2 2035-07-20 Fixed 4.87500000 N N N N N N Fannie Mae N/A 31396WVQ6 3661.11000000 PA USD 3707.70000000 0.000004272670 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.57863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERYU8 139567106.70000000 PA USD 155844488.98000000 0.179591712532 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 4.50000000 N N N N N N Countrywide Home Loans N/A 12544BAA1 757848.90000000 PA USD 713439.48000000 0.000822151741 Long ABS-MBS CORP US N 2 2047-09-25 Variable 3.45790800 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072UAE2 11016308.05011400 PA USD 10890226.40000000 0.012549653964 Long LON CORP US N 2 2025-07-17 Floating 2.35600000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38374TDP6 45511.47000000 PA USD 4226.35000000 0.000004870351 Long ABS-MBS USGA US N 2 2038-08-16 Floating 6.19387000 N N N N N N JP Morgan Mortgage Trust N/A 46628LAA6 388622.72000000 PA USD 337934.78000000 0.000389428501 Long ABS-MBS CORP US N 2 2036-06-25 Variable 3.29666200 N N N N N N LOS ANGELES CA CMNTY CLG DIST N/A 54438CYQ9 15630000.00000000 PA USD 15515461.64000000 0.017879671876 Long DBT MUN US N 2 2033-08-01 Fixed 2.33600000 N N N N N N Dreyfus Government Cash Management 5493000Q69I5Q3QZIA91 262006208 1290653000.00000000 NS USD 1290653000.00000000 1.487319725404 Long STIV RF US N 1 N N N SMBC AVIATION CAPITAL FI 549300OD7VKRVNWB2J98 78448TAB8 20315000.00000000 PA USD 20817579.90000000 0.023989714679 Long DBT CORP IE N 2 2022-07-15 Fixed 3.00000000 N N N N N N American Money Management Corp 549300ICO4ZE2FVC2Y46 00177JAA3 11960000.00000000 PA USD 11984876.80000000 0.013811104666 Long ABS-CBDO CORP KY N 2 2031-10-17 Floating 1.63541000 N N N N N N METROPOLITAN EDISON CO N/A 591894CB4 35719000.00000000 PA USD 37943003.89000000 0.043724671253 Long DBT CORP US N 2 2025-04-15 Fixed 4.00000000 N N N N N N Deutsche Alt-A Securities INC N/A 25150RAF2 551645.06000000 PA USD 538258.51000000 0.000620277099 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.48863000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAT1 28655000.00000000 PA USD 29952431.06000000 0.034516513376 Long DBT CORP US N 2 2023-09-15 Fixed 3.00000000 N N N N N N GRAPHIC PACKAGING INTERN SO75N4VY5NXGQSK8YQ65 38869PAL8 5665000.00000000 PA USD 5939837.48000000 0.006844936206 Long DBT CORP US N 2 2022-11-15 Fixed 4.87500000 N N N N N N HEALTHCARE REALTY TRUST 549300CB86LH2IOKHH22 421946AM6 5590000.00000000 PA USD 5253879.11000000 0.006054453083 Long DBT CORP US N 2 2031-03-15 Fixed 2.05000000 N N N N N N Credit Suisse Mortgage Trust N/A 12650EAJ6 5230826.08000000 PA USD 5183856.92000000 0.005973761073 Long ABS-MBS CORP US N 2 2046-11-27 Floating 0.33000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAR0 18713000.00000000 PA USD 21995474.28000000 0.025347093886 Long DBT CORP US N 2 2035-05-14 Fixed 4.50000000 N N N N N N American Airlines Inc IWUQB36BXD6OWD6X4T14 02376CAX3 8019000.33000000 PA USD 7340111.76000000 0.008458581049 Long LON CORP US N 2 2027-01-29 Floating 1.85913000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 453140AF2 9808000.00000000 PA USD 10796798.33000000 0.012441989541 Long DBT CORP GB N 2 2025-07-21 Fixed 4.25000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAD4 18850000.00000000 PA USD 19356829.00000000 0.022306377928 Long DBT CORP US N 2 2023-01-15 Fixed 2.25000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAH4 43160000.00000000 PA USD 43281160.91000000 0.049876244319 Long DBT CORP KY N 2 2025-02-15 Fixed 2.87500000 N N N N N N JP Morgan Mortgage Trust N/A 466247VQ3 1898773.02000000 PA USD 1658224.68000000 0.001910901129 Long ABS-MBS CORP US N 2 2020-09-25 Fixed 5.50000000 N N N N N N JP Morgan Mortgage Acquisition N/A 46628SAE3 32838355.92000000 PA USD 14637605.20000000 0.016868049697 Long ABS-MBS CORP US N 2 2036-07-25 Variable 6.33000000 N N N N N N Sequoia Mortgage Trust N/A 81744WAA8 72658.65000000 PA USD 71065.14000000 0.000081893882 Long ABS-MBS CORP US N 2 2043-02-25 Variable 1.45000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F020455 1505125000.00000000 PA USD 1542889082.94000000 1.777990960520 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 2.00000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAM6 18683000.00000000 PA USD 21377290.94000000 0.024634713196 Long DBT CORP US N 2 2041-12-15 Fixed 4.25000000 N N N N N N Clean Harbors Inc 5493000SJVZVZJKHJF48 18449EAE0 2916666.65920000 PA USD 2923652.08000000 0.003369151436 Long LON CORP US N 2 2024-06-30 Floating 1.85850000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AM2 2780000.00000000 PA USD 3163666.22000000 0.003645738377 Long DBT CORP US N 2 2038-04-15 Fixed 4.37500000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAE3 37890000.00000000 PA USD 40850156.25000000 0.047074808780 Long DBT CORP US N 2 2023-08-28 Variable 5.27200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417AWY1 5176990.62000000 PA USD 5533268.22000000 0.006376414860 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3128M8RT3 17301851.86000000 PA USD 19191487.28000000 0.022115841819 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.00000000 N N N N N N SOUTHWESTERN ELEC POWER R64UBJHEC74EB3HGQ410 845437BM3 15882000.00000000 PA USD 16181237.53000000 0.018646897159 Long DBT CORP US N 2 2022-02-15 Fixed 3.55000000 N N N N N N SL GREEN OPERATING PARTN 2K1OXW4LY7IS2U150Y32 78444FAF3 49011000.00000000 PA USD 50815181.17000000 0.058558281198 Long DBT CORP US N 2 2022-10-15 Fixed 3.25000000 N N N N N N Deutsche Alt-A Securities INC N/A 25151KAA7 28665768.78000000 PA USD 26409663.85000000 0.030433907475 Long ABS-MBS CORP US N 2 2047-10-25 Floating 1.81513000 N N N N N N Merrill Lynch Mortgage Investo N/A 59020U6K6 29655389.45000000 PA USD 10608666.95000000 0.012225191135 Long ABS-MBS CORP US N 2 2037-03-25 Variable 3.79362000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AXL7 14464585.61000000 PA USD 15804237.67000000 0.018212450931 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 3.50000000 N N N N N N Academic Loan Funding Trust N/A 00400VAB3 20650772.20000000 PA USD 20955451.63000000 0.024148594985 Long ABS-MBS CORP US N 2 2044-12-27 Floating 1.20863000 N N N N N N Fannie Mae N/A 31358U6E1 808.20000000 PA USD 846.21000000 0.000000975153 Long ABS-MBS USGSE US N 2 2023-05-25 Fixed 7.20000000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAF0 20850000.00000000 PA USD 21071531.25000000 0.024282362550 Long DBT CORP US N 2 2021-08-27 Variable 4.91200000 N N N N N N AmWINS Group Inc 549300SJE7MUB8NMRG61 03234TAW8 51307895.70000000 PA USD 50999278.71000000 0.058770431097 Long LON CORP US N 2 2028-02-19 Floating 3.00000000 N N N N N N Freddie Mac N/A 3132A5GA7 25953358.51000000 PA USD 27297746.63000000 0.031457314260 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Washington Mutual Mortgage Pas N/A 9393366H1 4007607.92000000 PA USD 3292100.42000000 0.003793743084 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.60863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388JKV6 2243.99000000 PA USD 2268.01000000 0.000002613604 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TUB9 132977.13000000 PA USD 143477.88000000 0.000165340708 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PCR1 3910000.00000000 PA USD 4910545.23000000 0.005658802778 Long DBT CORP US N 2 2045-07-15 Fixed 4.75000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BU2 2431000.00000000 PA USD 2728642.11000000 0.003144426297 Long DBT CORP US N 2 2027-02-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ER5G1 144337741.79000000 PA USD 161171511.98000000 0.185730455003 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4.50000000 N N N N N N Citigroup Mortgage Loan Trust N/A 17323NAT0 6388082.16000000 PA USD 6326181.01000000 0.007290149871 Long ABS-MBS CORP US N 2 2047-03-25 Floating 1.07916000 N N N N N N Fannie Mae N/A 3136AGZD7 9307579.79000000 PA USD 8110086.86000000 0.009345883178 Long ABS-MBS USGSE US N 2 2043-10-25 None 0.00000000 N N N N N N IQVIA Inc 549300PLWY28YB00C717 44969CBH2 8883932.72160000 PA USD 8849507.48000000 0.010197975005 Long LON CORP US N 2 2025-01-01 Floating 1.85850000 N N N N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111FZ1 1854000.00000000 PA USD 1625400.65000000 0.001873075449 Long DBT CORP US N 2 2060-12-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 31292HUR3 405659.37000000 PA USD 457961.48000000 0.000527744593 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UH47 18294.66000000 PA USD 19637.87000000 0.000022630243 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 4.00000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BK7 19729000.00000000 PA USD 20600879.95000000 0.023739994491 Long DBT CORP US N 2 2029-08-15 Fixed 3.12500000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAA8 21535500.00000000 PA USD 21750855.00000000 0.025065200085 Long DBT CORP US N 2 2021-09-20 Variable 3.36000000 N N N N N N Freddie Mac N/A 31298EX91 9953.10000000 PA USD 11187.59000000 0.000012892329 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 6.50000000 N N N N N N PENNSYLVANIA ELECTRIC CO O1PLQWO3TX952VMBJ146 708696BY4 125000.00000000 PA USD 128560.32000000 0.000148150044 Long DBT CORP US N 2 2028-03-15 Fixed 3.25000000 N N N N N N Aames Mortgage Trust N/A 00253CHQ3 33111.51000000 PA USD 33601.37000000 0.000038721469 Long ABS-MBS CORP US N 2 2032-06-25 Variable 7.39600000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -30000.00000000 NC USD -14437500.00000000 -0.01663745292 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short INTERCONTENTIAL EXCHANGE EURIBOR 3 MONTH 2024-12-16 0.00000000 USD 1000000.00000000 97.75000000 USD 2021-12-10 XXXX -5270600.00000000 N N N HarborView Mortgage Loan Trust N/A 41161VAA8 68253613.76000000 PA USD 65704334.46000000 0.075716209304 Long ABS-MBS CORP US N 2 2046-09-19 Floating 0.53025000 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBS8 154972500.00000000 PA USD 184437777.86000000 0.212541980781 Long DBT CORP GB N 2 2049-06-19 Fixed 4.87500000 N N N N N N 1011778 BC Unlimited Liability Company 549300RHSHNRWI5LLA86 000000000 23730304.98550000 PA USD 23337331.13000000 0.026893419786 Long LON CORP CA N 2 2026-11-19 Floating 1.85850000 N N N N N N INDONESIA ASAHAN ALUMINI 2549008P48EB9SN2OI80 000000000 13119000.00000000 PA USD 16337090.70000000 0.018826498876 Long DBT CORP ID N 2 2048-11-15 Fixed 6.75700000 N N N N N N Freddie Mac N/A 3133TAXN7 14046.89000000 PA USD 14986.59000000 0.000017270211 Long ABS-MBS USGSE US N 2 2023-12-15 Fixed 6.50000000 N N N N N N Wells Fargo Mortgage Backed Se N/A 94983JAA0 1811569.07000000 PA USD 1781535.61000000 0.002053001894 Long ABS-MBS CORP US N 2 2036-03-25 Variable 2.65881900 N N N N N N Popular ABS Mortgage Pass-Thro 5493008HBHIV1FF22L18 73316QAC2 46421.68000000 PA USD 45996.34000000 0.000053005156 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.36863000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FJ25 102694.37000000 PA USD 101375.78000000 0.000116823187 Long ABS-MBS CORP US N 2 2045-04-25 Floating 0.56863000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BX0 17785000.00000000 PA USD 19546593.58000000 0.022525058397 Long DBT CORP US N 2 2040-05-01 Fixed 4.25000000 N N N N N N Fannie Mae N/A 31397LDB2 267467.70000000 PA USD 304368.91000000 0.000350747942 Long ABS-MBS USGSE US N 2 2037-06-25 Fixed 6.75000000 N N N N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313385FK7 350000000.00000000 PA USD 350000000.00000000 0.403332192224 Long DBT USGSE US N 2 2021-05-10 None 0.00000000 N N N N N N Lehman XS Trust N/A 525221JT5 25723570.14000000 PA USD 24710169.52000000 0.028475448122 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.52863000 N N N N N N GSAA Home Equity Trust N/A 362341NV7 1765936.07000000 PA USD 1770706.57000000 0.002040522750 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.66863000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 93363EAD7 9957939.54000000 PA USD 9799795.51000000 0.011293065732 Long ABS-MBS CORP US N 2 2036-09-25 Variable 3.01491500 N N N N N N DSLA Mortgage Loan Trust N/A 23332QAC7 16437982.95000000 PA USD 14051131.94000000 0.016192210996 Long ABS-MBS CORP US N 2 2036-10-19 Floating 0.31025000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DRP9 224327732.17000000 PA USD 226620956.06000000 0.261152934319 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SLU9 2664479.26000000 PA USD 2974598.93000000 0.003427861449 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 4.50000000 N N N N N N TEGNA INC 549300YC5EDBGX85AO10 364725BC4 148000.00000000 PA USD 150636.62000000 0.000173590280 Long DBT CORP US N 2 2024-09-15 Fixed 5.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SW9 1143021000.00000000 PA USD 1064884804.54000000 1.227149493377 Long DBT UST US N 1 2041-02-15 Fixed 1.87500000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AJ8 72507000.00000000 PA USD 81435511.98000000 0.093844467348 Long DBT CORP US N 2 2025-06-01 Fixed 5.25000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45661ECY8 23237902.55000000 PA USD 18428358.51000000 0.021236429248 Long ABS-MBS CORP US N 2 2036-05-25 Variable 3.15238000 N N N N N N Banc of America Funding Corpor N/A 05990TAA5 15602587.36000000 PA USD 14953474.48000000 0.017232050409 Long ABS-MBS CORP US N 2 2036-08-27 Floating 0.24863000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 5000.00000000 NC USD 2125000.00000000 0.002448802595 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long INTERCONTENTIAL EXCHANGE EURIBOR 3 MONTH 2024-12-16 0.00000000 USD 1000000.00000000 98.50000000 USD 2021-12-10 XXXX -950800.00000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179S2R7 3273555.09000000 PA USD 3598847.60000000 0.004147231691 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3137AFGJ5 9215000.00000000 PA USD 10726490.38000000 0.012360968228 Long ABS-MBS USGSE US N 2 2041-09-15 Fixed 4.50000000 N N N N N N Navient Student Loan Trust N/A 63939AAA9 81279202.75000000 PA USD 80845873.25000000 0.093164980829 Long ABS-O CORP US N 2 2083-03-25 Floating 0.71863000 N N N N N N NRPL Trust Series N/A 62890JAA9 63818745.25000000 PA USD 63663806.10000000 0.073364749941 Long ABS-MBS CORP US N 2 2059-07-25 Variable 3.00000000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 44150000000.00000000 PA 399632415.16000000 0.460527480258 Long DBT NUSS JP N 2 2021-04-05 None 0.00000000 N N N N N N Zayo Group Holdings,Inc 529900Z6OTS7RT0V0I47 98919XAB7 51032236.84000000 PA USD 50689045.05000000 0.058412924748 Long LON CORP US N 2 2027-03-09 Floating 3.10850000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TLS2 208373701.28000000 PA USD 221949866.79000000 0.255770075246 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.50000000 N N N N N N HEALTHCARE TRUST OF AMER 549300IYGAS4GE6VDL07 42225UAF1 18945000.00000000 PA USD 20995724.64000000 0.024195004704 Long DBT CORP US N 2 2027-07-01 Fixed 3.75000000 N N N N N N Securitized Asset Backed Recei N/A 81378KAB5 6081727.78000000 PA USD 3597195.47000000 0.004145327813 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.21863000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DQ5 2102000.00000000 PA USD 2321459.31000000 0.002675197921 Long DBT NUSS CO N 2 2049-05-15 Fixed 5.20000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAA0 5000000.00000000 PA USD 5426252.35000000 0.006253092159 Long DBT CORP US N 2 2024-02-01 Fixed 4.25000000 N N N N N N MASSACHUSETTS ST 5493001N1YCXNI1O7K10 57582RA97 9350000.00000000 PA USD 9795292.82000000 0.011287876933 Long DBT MUN US N 2 2049-03-01 Fixed 3.00000000 N N N N N N Morgan Stanley Mortgage Loan T 54930082QRSQQM7E0E88 61751JAB7 74120.42000000 PA USD 74085.42000000 0.000085374385 Long ABS-MBS CORP US N 2 2047-02-25 Variable 5.50000000 N N N N N N Freddie Mac N/A 3128MMXW8 21281729.62000000 PA USD 22716769.63000000 0.026178298557 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 3.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KY6 15592000.00000000 PA USD 16767109.32000000 0.019322042740 Long DBT CORP US N 2 2026-10-21 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31374F2P3 827.37000000 PA USD 906.54000000 0.000001044676 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 7.50000000 N N N N N N Credit-Based Asset Servicing a N/A 12464YAB5 24935108.50000000 PA USD 18960033.13000000 0.021849119219 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.27863000 N N N N N N Freddie Mac N/A 3128M5XN5 18121.47000000 PA USD 21509.48000000 0.000024787044 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6.00000000 N N N N N N Freddie Mac N/A 3128MJYY0 225044516.68000000 PA USD 236801112.28000000 0.272884319249 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAT3 2000000.00000000 PA USD 2247997.64000000 0.002590542332 Long DBT CORP US N 2 2029-01-30 Fixed 4.62500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SS8 679736000.00000000 PA USD 566623681.25000000 0.652964490071 Long DBT UST US N 1 2050-11-15 Fixed 1.62500000 N N N N N N Structured Adjustable Rate Mor N/A 863579AN8 4383460.58000000 PA USD 4465628.99000000 0.005146091229 Long ABS-MBS CORP US N 2 2034-09-25 Variable 2.70503800 N N N N N N INTL FLAVOR & FRAGRANCES BZLRL03D3GPGMOGFO832 459506AL5 116549000.00000000 PA USD 144009095.90000000 0.165952869570 Long DBT CORP US N 2 2048-09-26 Fixed 5.00000000 N N N N N N Freddie Mac N/A 3132XCSB2 128615.45000000 PA USD 140871.22000000 0.000162336851 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.00000000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAP4 40257000.00000000 PA USD 39191540.52000000 0.045163457013 Long DBT CORP CA N 2 2029-02-15 Fixed 3.50000000 N N N N N N EDUCATION LOAN ASSET-BACKED TR 5493000CKEJUMJ3IL355 28140DAD5 12135850.99000000 PA USD 12175716.17000000 0.014031023699 Long ABS-MBS CORP US N 2 2032-04-26 Floating 0.90863000 N N N N N N SOUTHWESTERN ELEC POWER R64UBJHEC74EB3HGQ410 845437BP6 36488000.00000000 PA USD 38427853.87000000 0.044283401553 Long DBT CORP US N 2 2026-10-01 Fixed 2.75000000 N N N N N N CIM Trust N/A 17181FAA9 41924024.11000000 PA USD 42132906.37000000 0.048553021402 Long ABS-MBS CORP US N 2 2057-12-26 Variable 4.07000000 N N N N N N Freddie Mac N/A 3128MJZ45 22362709.37000000 PA USD 24121368.52000000 0.027796926984 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHK1 4620000.00000000 PA USD 5378532.48000000 0.006198100846 Long DBT CORP US N 2 2039-03-01 Fixed 4.85000000 N N N N N N Freddie Mac N/A 3131XU6Q5 22632249.38000000 PA USD 23804603.52000000 0.027431894065 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 31335AHP6 47989873.04000000 PA USD 52086083.69000000 0.060022840911 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.50000000 N N N N N N GreenPoint Mortgage Funding Tr N/A 39539KAG8 399162.61000000 PA USD 589402.63000000 0.000679214442 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.26863000 N N N N N N MASTR Asset Backed Securities N/A 576457AC9 26667811.97000000 PA USD 25942167.47000000 0.029895175076 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.31863000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162BZ2 1260000.00000000 PA USD 1463270.12000000 0.001686239843 Long DBT CORP US N 2 2045-05-01 Fixed 4.40000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TAK1 72357.11000000 PA USD 76999.65000000 0.000088732678 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 3.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RCQ3 151527000.00000000 PA USD 174730867.43000000 0.201355953742 Long DBT CORP US N 2 2046-05-15 Fixed 4.75000000 N N N N N N CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 000000000 1.00000000 NC USD 1457232.46000000 0.001679282179 N/A DCR CORP US N 2 CREDIT SUISSE SECURITIES (USA) LLC 1V8Y6QCX6YMJ2OELII46 Y Default Event 2021-12-20 1309993.72000000 USD 0.00000000 USD 60665000.00000000 USD 147238.74000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SB71 4073471.28000000 PA USD 4298606.66000000 0.004953618421 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3128MBSV0 21858.86000000 PA USD 22102.97000000 0.000025470969 Long ABS-MBS USGSE US N 2 2022-09-01 Fixed 6.00000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCP9 132055000.00000000 PA USD 134939131.38000000 0.155500844789 Long DBT CORP US N 2 2021-11-06 Fixed 4.20000000 N N N N N N BACARDI LTD 549300R32WTQNHNN5055 067316AH2 39836000.00000000 PA USD 49102994.90000000 0.056585195936 Long DBT CORP BM N 2 2048-05-15 Fixed 5.30000000 N N N N N N CIT Mortgage Loan Trust N/A 12559QAA0 38714777.68000000 PA USD 38955196.45000000 0.044891099379 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.45863000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAD3 15255000.00000000 PA USD 16483314.90000000 0.018995004382 Long DBT CORP US N 2 2023-08-08 Fixed 4.20000000 N N N N N N Madison Park Funding Ltd 549300FFTJ3WPTJK8589 55821TAA5 7077500.00000000 PA USD 7062446.16000000 0.008138605406 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 0.99125000 N N N N N N MASTR Seasoned Securitization N/A 55265WBD4 9158.54000000 PA USD 9540.54000000 0.000010994305 Long ABS-MBS CORP US N 2 2032-10-25 Variable 2.69076100 N N N N N N Residential Accredit Loans, In N/A 74922UAU7 80258724.43000000 PA USD 1398925.62000000 0.001612090677 Long ABS-MBS CORP US N 3 2037-06-25 Variable 0.40744900 N N N N N N Bayview Commercial Asset Trust N/A 07324SAX0 1152339.97000000 PA USD 1134799.28000000 0.001307717375 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.66363000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAV8 79250000.00000000 PA USD 84509031.59000000 0.097386322782 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N Apidos CLO 5493003SQW0Q40KVFQ19 03765XAG1 21475000.00000000 PA USD 21470833.85000000 0.024742509958 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.28400000 N N N N N N NEW YORK NY 549300ABYZD2SFD5JB29 64966QCL2 15185000.00000000 PA USD 15355343.81000000 0.017695155660 Long DBT MUN US N 2 2034-08-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3132XCRV9 35992872.09000000 PA USD 39009308.72000000 0.044953457152 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.50000000 N N N N N N First Horizon Alternative Mort N/A 32052DAG6 9634.73000000 PA USD 6148.09000000 0.000007084921 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6.00000000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687FX9 48892000.00000000 PA USD 49969283.88000000 0.057583488032 Long DBT CORP US N 2 2031-01-13 Fixed 2.65000000 N N N N N N Freddie Mac N/A 3132ACJW1 2821794.22000000 PA USD 3031403.02000000 0.003493321215 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N Voya CLO Ltd 5493000X4YEVJOIVRG48 92912QAG1 3855820.83000000 PA USD 3855886.38000000 0.004443437447 Long ABS-CBDO CORP KY N 2 2026-07-25 Floating 0.93775000 N N N N N N RBSCF Trust N/A 74932QAA8 48830000.00000000 PA USD 51009278.51000000 0.058781954643 Long ABS-MBS CORP US N 2 2032-01-15 Variable 3.83360000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9N25 44773373.79000000 PA USD 48831274.65000000 0.056272071582 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A 31294LU35 2457.80000000 PA USD 2515.26000000 0.000002898529 Long ABS-MBS USGSE US N 2 2022-10-01 Fixed 6.00000000 N N N N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313385KJ4 300000000.00000000 PA USD 299977668.00000000 0.345687572722 Long DBT USGSE US N 2 2021-08-13 None 0.00000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NBA0 3820000.00000000 PA USD 4574383.72000000 0.005271417753 Long DBT CORP US N 2 2035-07-30 Fixed 5.50000000 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 233851DV3 54915000.00000000 PA USD 55290035.95000000 0.063715004022 Long DBT CORP US N 2 2022-02-15 Floating 1.09375000 N N N N N N Morgan Stanley ReRemic Trust N/A 61764KAV5 1266375.62000000 PA USD 1268531.12000000 0.001461826964 Long ABS-MBS CORP US N 2 2047-06-26 Floating 1.33916000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XBE3 48195000.00000000 PA USD 49289324.83000000 0.056799918391 Long DBT CORP US N 2 2022-01-15 Fixed 3.50000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AP4 136630000.00000000 PA USD 141518676.05000000 0.163082965291 Long DBT CORP GB N 2 2023-11-07 Fixed 2.90700000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 28370TAF6 5000000.00000000 PA USD 5399148.10000000 0.006221857826 Long DBT CORP US N 2 2042-11-01 Fixed 4.70000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397WF6 19823000.00000000 PA USD 20537420.92000000 0.023666865720 Long DBT CORP US N 2 2022-09-20 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WK4Q5 57464139.16000000 PA USD 61974646.55000000 0.071418200158 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N Fannie Mae N/A 31398NQJ6 3223701.21000000 PA USD 488460.69000000 0.000562891202 Long ABS-MBS USGSE US N 2 2040-10-25 Floating 6.49137000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AJ7 8794000.00000000 PA USD 9245375.09000000 0.010654164008 Long DBT CORP US N 2 2022-11-21 Fixed 3.85000000 N N N N N N GMAC Mortgage Corporation Loan N/A 36185MBL5 355001.55000000 PA USD 348887.39000000 0.000402050045 Long ABS-MBS CORP US N 2 2035-11-19 Variable 3.04182700 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AM0 24760000.00000000 PA USD 25704264.69000000 0.029621021219 Long DBT CORP CH N 2 2025-09-11 Fixed 2.59300000 N N N N N N Freddie Mac N/A 3133KYUA5 130606249.82000000 PA USD 132183112.62000000 0.152324870251 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 2.00000000 N N N N N N Magnetite CLO Ltd 549300BDVLRWS2SODX97 55953TAJ6 20600000.00000000 PA USD 20616150.40000000 0.023757591817 Long ABS-CBDO CORP KY N 2 2028-11-15 Floating 1.27375000 N N N N N N FannieMae Whole Loan N/A 31392JAQ2 22450.44000000 PA USD 25927.87000000 0.000029878698 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 5.90000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225DSW5 19181.11000000 PA USD 20094.55000000 0.000023156511 Long ABS-MBS USGA US N 2 2035-08-20 Floating 2.25000000 N N N N N N Freddie Mac N/A 3128M7Z74 13225842.29000000 PA USD 15032836.62000000 0.017323505569 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.50000000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307GK31 124359.40000000 PA USD 107459.73000000 0.000123834195 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.36863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8J97 85674867.64000000 PA USD 90871718.34000000 0.104718541055 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAC4 10746000.00000000 PA USD 11227924.04000000 0.012938809191 Long DBT CORP KY N 2 2023-03-15 Fixed 4.50000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZN6 12075000.00000000 PA USD 12220251.99000000 0.014082345784 Long DBT CORP US N 2 2022-01-07 Floating 3.37688000 N N N N N N Dryden Senior Loan Fund 549300ENU7ZZLTPT3E22 26250UAQ8 22948000.00000000 PA USD 22906555.91000000 0.026397004032 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.14125000 N N N N N N MARICOPA CNTY AZ INDL DEV AUTH N/A 56682HCZ0 6590000.00000000 PA USD 6827203.10000000 0.007867516551 Long DBT MUN US N 2 2049-01-01 Fixed 3.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBB1 7510000.00000000 PA USD 7714943.02000000 0.008890528231 Long DBT CORP US N 2 2023-04-01 Fixed 3.20700000 N N N N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 000000000 38500000.00000000 PA USD 39578231.00000000 0.045609070496 Long DBT NUSS AE N 2 2029-09-30 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -345.00000000 NC USD 69260.68000000 0.000079814462 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 2021-06-30 -76219924.57000000 USD 69260.68000000 N N N BX Trust N/A 056054AA7 200435168.10000000 PA USD 200793943.04000000 0.231390460662 Long ABS-MBS CORP US N 2 2036-10-15 Floating 1.02600000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38374TLH5 1866.21000000 PA USD 1877.91000000 0.000002164061 Long ABS-MBS USGA US N 2 2038-08-16 Fixed 4.00000000 N N N N N N Merrill Lynch Mortgage Investo N/A 59020UZK4 78322.18000000 PA USD 78742.21000000 0.000090740766 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.78863000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAC1 104478000.00000000 PA USD 112863168.16000000 0.130060997244 Long DBT CORP GB N 2 2024-08-01 Fixed 4.36300000 N N N N N N Clarios Global LP 549300474L1ZLXZY2P98 000000000 21089742.17890000 PA USD 20905206.93000000 0.024090694114 Long LON CORP CA N 2 2026-04-30 Floating 3.35850000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LG4P8 23130000.00000000 PA USD 25366235.46000000 0.029231483875 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3.22000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417AJJ9 7588571.42000000 PA USD 8260148.84000000 0.009518811256 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 3.50000000 N N N N N N INDONESIA ASAHAN ALUMINI 2549008P48EB9SN2OI80 000000000 2067000.00000000 PA USD 2493783.83000000 0.002873780854 Long DBT CORP ID N 2 2028-11-15 Fixed 6.53000000 N N N N N N AMRESCO Residential Securities N/A 03215PDM8 23049.90000000 PA USD 23504.26000000 0.000027085784 Long ABS-MBS CORP US N 2 2027-10-25 Variable 7.40497800 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EG5M2 10667067.66000000 PA USD 12403253.99000000 0.014293233207 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 6.00000000 N N N N N N LOS ANGELES CA UNIF SCH DIST N/A 544646XZ0 10755000.00000000 PA USD 14234914.69000000 0.016403998137 Long DBT MUN US N 2 2034-07-01 Fixed 5.75000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAM7 48736000.00000000 PA USD 49101520.00000000 0.056583496294 Long DBT CORP US N 2 2023-03-01 Fixed 6.00000000 N N N N N N Freddie Mac N/A 3128M6HP6 3959680.40000000 PA USD 4556350.46000000 0.005250636627 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 1.00000000 NC USD -486.79000000 -0.00000056096 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2021-06-30 123885.23000000 USD -486.79000000 N N N Saxon Asset Securities Trust N/A 80556BAD7 3346217.45000000 PA USD 3272042.52000000 0.003770628807 Long ABS-MBS CORP US N 2 2047-01-25 Floating 0.25863000 N N N N N N GSR Mortgage Loan Trust N/A 36242DBU6 158766.74000000 PA USD 160293.92000000 0.000184719137 Long ABS-MBS CORP US N 2 2034-08-25 Variable 2.93927600 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCB3 47988000.00000000 PA USD 54389778.68000000 0.062677567627 Long DBT CORP US N 2 2049-11-21 Fixed 4.25000000 N N N N N N Countrywide Asset-Backed Certi N/A 126670GR3 207948.44000000 PA USD 208713.15000000 0.000240516378 Long ABS-MBS CORP US N 2 2036-04-25 Variable 5.80500000 N N N N N N Bayview Commercial Asset Trust N/A 07324SBE1 2390559.68000000 PA USD 2304983.62000000 0.002656211704 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.55863000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDD1 112817000.00000000 PA USD 104581359.00000000 0.120517225118 Long DBT CORP MX N 2 2050-01-23 Fixed 7.69000000 N N N N N N MET TRANSPRTN AUTH NY REVENUE 5493000TKYODLXADQD60 59261AG76 19375000.00000000 PA USD 24081091.59000000 0.027750512749 Long DBT MUN US N 2 2049-11-15 Fixed 5.17500000 N N N N N N American Home Mortgage Assets N/A 02660UAF7 40328103.34000000 PA USD 33832254.09000000 0.038987534885 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.40903000 N N N N N N Aegis Asset Backed Securities N/A 00764MHC4 96511.68000000 PA USD 96576.38000000 0.000111292465 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.80863000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828ZG8 79520000.00000000 PA USD 79764019.84000000 0.091918277093 Long DBT UST US N 1 2022-03-31 Fixed 0.37500000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NBF9 59691000.00000000 PA USD 65812538.88000000 0.075840901663 Long DBT CORP US N 2 2044-07-15 Fixed 4.40000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 80413TAQ2 3080000.00000000 PA USD 3087730.80000000 0.003558232093 Long DBT NUSS SA N 2 2032-02-03 Fixed 2.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SYV3 6827049.62000000 PA USD 7755986.33000000 0.008937825626 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 5.00000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAF0 17835000.00000000 PA USD 18191794.35000000 0.020963817987 Long DBT CORP US N 2 2030-10-01 Fixed 2.78200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RH44 3094651.61000000 PA USD 3499235.34000000 0.004032440745 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 4.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967ML2 20000000.00000000 PA USD 20150514.80000000 0.023221003739 Long DBT CORP US N 2 2031-01-29 Fixed 2.66600000 N N N N N N Residential Accredit Loans, In N/A 761118TB4 11121370.88000000 PA USD 9334603.65000000 0.010756989010 Long ABS-MBS CORP US N 2 2036-01-25 Variable 4.25440800 N N N N N N Chase Mortgage Finance Corpora N/A 16163LAF9 1359690.48000000 PA USD 1386243.88000000 0.001597476523 Long ABS-MBS CORP US N 2 2035-06-25 Variable 2.74550900 N N N N N N Morgan Stanley Mortgage Loan T 549300M91PFQR7JLJ570 61745M4E0 1848099.12000000 PA USD 1800264.96000000 0.002074585179 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.36863000 N N N N N N LCM Ltd Partnership 549300PYL1KC7BYM8G75 50188QAJ0 16800903.14000000 PA USD 16802751.24000000 0.019363115694 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.48125000 N N N N N N Navient Student Loan Trust N/A 63938EAC8 757376.39000000 PA USD 746984.81000000 0.000860808631 Long ABS-O CORP US N 2 2031-06-25 Floating 0.61863000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404122BA0 14775000.00000000 PA USD 14785564.13000000 0.017038554268 Long LON CORP US N 2 2025-03-13 Floating 1.85850000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AS6 621000.00000000 PA USD 654378.75000000 0.000754091473 Long DBT CORP US N 2 2028-02-01 Fixed 5.37500000 N N N N N N Citigroup Mortgage Loan Trust N/A 17309LAF2 251474.04000000 PA USD 252067.54000000 0.000290477009 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.39863000 N N N N N N CROATIA 74780000O00QGQ7CER13 000000000 18065000.00000000 PA USD 20673947.30000000 0.023824195675 Long DBT NUSS HR N 2 2024-01-26 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FV94 41660.03000000 PA USD 46742.24000000 0.000053864714 Long ABS-MBS USGA US N 2 2041-08-20 Fixed 4.50000000 N N N N N N CIM Trust N/A 12554EAA2 79547269.48000000 PA USD 78819388.10000000 0.090829704549 Long ABS-MBS CORP US N 2 2058-09-25 Floating 1.19113000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AP9 12748000.00000000 PA USD 13666812.10000000 0.015749329385 Long DBT CORP US N 2 2029-12-15 Fixed 5.50000000 N N N N N N SS&C Technologies Inc 549300KY09TR3J12JU49 78466DBE3 5914786.85040000 PA USD 5863416.93000000 0.006756870869 Long LON CORP US N 2 2025-04-16 Floating 1.85850000 N N N N N N Countrywide Home Loans N/A 12669GYY1 3059049.78000000 PA USD 2644290.05000000 0.003047220864 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.70863000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 453140AB1 4800000.00000000 PA USD 4998920.69000000 0.005760644687 Long DBT CORP GB N 2 2023-02-11 Fixed 3.50000000 N N N N N N JP Morgan Mortgage Acquisition N/A 46630KAA4 126173.17000000 PA USD 81464.20000000 0.000093877526 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.20863000 N N N N N N Freddie Mac N/A 3133N3VW1 10641398.22000000 PA USD 10879569.21000000 0.012537372856 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N Countrywide Home Loans N/A 12669EW69 39439.48000000 PA USD 39833.03000000 0.000045902695 Long ABS-MBS CORP US N 2 2023-09-25 Fixed 5.25000000 N N N N N N FHLMC Multifamily Structured P N/A 3137FHQ71 300000.00000000 PA USD 352063.62000000 0.000405710261 Long ABS-MBS USGSE US N 2 2033-08-25 Variable 3.99000000 N N N N N N HUDSON PACIFIC PROPERTIE 5493007NTUGLGZ8T3526 44409MAB2 9585000.00000000 PA USD 10742123.72000000 0.012378983740 Long DBT CORP US N 2 2029-04-01 Fixed 4.65000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CY4 23581000.00000000 PA USD 27879372.27000000 0.032127566672 Long DBT CORP US N 2 2038-03-25 Fixed 4.78000000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAG8 12539000.00000000 PA USD 14255275.63000000 0.016427461630 Long DBT CORP US N 2 2028-08-28 Variable 5.90000000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AD0 7095000.00000000 PA USD 7749395.97000000 0.008930231042 Long DBT CORP US N 2 2027-11-15 Fixed 3.62500000 N N N N N N Citicorp Residential Mortgage N/A 173109AE9 519577.60000000 PA USD 535110.89000000 0.000616649852 Long ABS-MBS CORP US N 2 2037-03-25 Variable 5.13341000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAN3 52203000.00000000 PA USD 60278977.94000000 0.069464149478 Long DBT CORP US N 2 2027-06-01 Fixed 5.50000000 N N N N N N Navient Student Loan Trust N/A 63938QAA5 94795088.08000000 PA USD 94306885.79000000 0.108677151393 Long ABS-O CORP US N 2 2083-03-25 Floating 0.72863000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAN5 171185000.00000000 PA USD 171376437.90000000 0.197490383982 Long DBT CORP GB N 2 2025-03-15 Fixed 1.08900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPBS2 43108.84000000 PA USD 47112.61000000 0.000054291520 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GAW2 2129000.00000000 PA USD 2353527.02000000 0.002712152035 Long DBT CORP US N 2 2046-03-01 Fixed 4.11400000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BT5 37878000.00000000 PA USD 43624141.08000000 0.050271487016 Long DBT CORP US N 2 2026-06-15 Fixed 5.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UEB4 11223320.87000000 PA USD 12261606.00000000 0.014130001223 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 5.00000000 N N N N N N FARMERS EXCHANGE CAP II N/A 30958PAA1 48520000.00000000 PA USD 61549987.78000000 0.070928832864 Long DBT CORP US N 2 2053-11-01 Fixed 6.15100000 N N N N N N Palmer Square Loan Funding Ltd N/A 69701FAA1 32262229.59000000 PA USD 32280264.18000000 0.037199056335 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.22400000 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAF4 2767000.00000000 PA USD 3201183.81000000 0.003688972810 Long DBT CORP BM N 2 2028-08-01 Fixed 4.75000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 000000000 19590000.00000000 PA USD 20630718.75000000 0.023774380058 Long DBT NUSS SA N 2 2030-10-22 Fixed 3.25000000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 455780CQ7 12786000.00000000 PA USD 13044277.20000000 0.015031934054 Long DBT NUSS ID N 2 2030-02-14 Fixed 2.85000000 N N N N N N CIM Trust N/A 12559PAA2 165255345.31000000 PA USD 163129913.69000000 0.187987273445 Long ABS-MBS CORP US N 2 2058-06-25 Variable 2.63000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BY4 65000.00000000 PA USD 78208.89000000 0.000090126180 Long DBT CORP US N 2 2039-06-15 Fixed 5.12500000 N N N N N N PIPELINE FUNDING CO LLC N/A 724060AA6 22556032.00000000 PA USD 28258975.30000000 0.032565012736 Long DBT CORP US N 2 2030-01-15 Fixed 7.50000000 N N N N N N NEW YORK ST URBAN DEV CORP REV 54930039Y2EMGXN6LM88 650035TD0 150000.00000000 PA USD 182817.47000000 0.000210674774 Long DBT MUN US N 2 2039-03-15 Fixed 5.77000000 N N N N N N Flatiron CLO Ltd 549300KJ14TBCW7CDB30 33883EAL6 3096820.18000000 PA USD 3098610.14000000 0.003570769201 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.13125000 N N N N N N JERSEY CENTRAL PWR & LT 549300W9UGH9ZPLNPF79 476556CP8 11630000.00000000 PA USD 14479866.37000000 0.016686274988 Long DBT CORP US N 2 2036-05-15 Fixed 6.40000000 N N N N N N Merrill Lynch Mortgage Backed N/A 59025GAA9 3067777.50000000 PA USD 2925944.33000000 0.003371792974 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.49000000 N N N N N N Barclays Commercial Mortgage S N/A 05548WAE7 18000000.00000000 PA USD 17627853.60000000 0.020313945247 Long ABS-MBS CORP US N 2 2037-03-15 Floating 1.22700000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAD1 36945000.00000000 PA USD 37305354.51000000 0.042989858332 Long DBT CORP US N 2 2028-09-15 Fixed 2.86600000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBQ3 6531325000.00000000 PA USD 6403249831.48000000 7.378962262555 Long DBT UST US N 1 2026-02-28 Fixed 0.50000000 N N N N N N Freddie Mac N/A 3132GMDH2 30801823.26000000 PA USD 34255870.11000000 0.039475700537 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWL4 6397000.00000000 PA USD 6987580.64000000 0.008052332051 Long DBT CORP US N 2 2028-06-05 Fixed 3.69100000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AP4 30000.00000000 PA USD 31227.00000000 0.000035985298 Long DBT CORP US N 2 2030-01-15 Fixed 4.00000000 N N N N N N Fannie Mae N/A 3136B72K6 136570.41000000 PA USD 138169.26000000 0.000159223172 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 0.60863000 N N N N N N Structured Asset Mortgage Inve N/A 86359LRW1 510926.42000000 PA USD 490944.29000000 0.000565753247 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.66863000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGB4 7680000.00000000 PA USD 7682677.17000000 0.008853345786 Long DBT CORP US N 2 2051-03-22 Fixed 3.55000000 N N N N N N JP Morgan Mortgage Acquisition N/A 46630KAC0 6946746.44000000 PA USD 5434211.19000000 0.006262263749 Long ABS-MBS CORP US N 2 2035-05-25 Variable 4.21185500 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 20000000.00000000 PA USD 21950395.60000000 0.025295146221 Long DBT CORP GB N 2 2028-03-13 Fixed 4.04100000 N N N N N N Argent Securities Inc. N/A 040104PC9 19840000.00000000 PA USD 19466529.86000000 0.022432794752 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.76863000 N N N N N N Goldentree Loan Opportunities 549300IOBSI2NBFBJX90 38123HAN4 5283000.00000000 PA USD 5283792.45000000 0.006088924548 Long ABS-CBDO CORP KY N 2 2029-10-29 Floating 1.32150000 N N N N N N Impac Secured Assets Corp. N/A 45255RAA5 6690620.84000000 PA USD 6358749.32000000 0.007327680865 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.27863000 N N N N N N ENCOMPASS HEALTH CORP 549300FVRPM9DRQZRG64 29261AAA8 2950000.00000000 PA USD 3027437.50000000 0.003488751439 Long DBT CORP US N 2 2028-02-01 Fixed 4.50000000 N N N N N N SLM Student Loan Trust 549300MHMWVKFEDI8G73 784442AD7 38874000.00000000 PA USD 36649002.68000000 0.042233493125 Long ABS-O CORP US N 2 2083-01-25 Floating 1.41775000 N N N N N N SES GLOBAL AMERICAS HLDG 5299000YGN3VJ3R60481 78413KAB8 51100000.00000000 PA USD 57619206.16000000 0.066399087813 Long DBT CORP US N 2 2044-03-25 Fixed 5.30000000 N N N N N N DELTA AIR LINES 2002-1G1 N/A 247367AX3 15128850.30529000 PA USD 15620537.94000000 0.018000759460 Long DBT CORP US N 2 2023-01-02 Fixed 6.71800000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAB9 37085000.00000000 PA USD 39664944.86000000 0.045708997613 Long DBT CORP US N 2 2029-10-01 Fixed 3.34700000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29273RBJ7 16239000.00000000 PA USD 18636271.66000000 0.021476023724 Long DBT CORP US N 2 2045-12-15 Fixed 6.12500000 N N N N N N First Horizon Alternative Mort N/A 32051GNK7 12173623.50000000 PA USD 11898747.95000000 0.013711851701 Long ABS-MBS CORP US N 2 2035-06-25 Variable 2.31719700 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 91911KAK8 37526000.00000000 PA USD 38426624.00000000 0.044281984279 Long DBT CORP CA N 2 2024-03-15 Fixed 7.00000000 N N N N N N CEDAR FUNDING LTD N/A 15033TAB1 4970000.00000000 PA USD 4977057.40000000 0.005735449919 Long ABS-CBDO CORP KY N 2 2032-10-25 Floating 1.51000000 N N N N N N EVERGY MISSOURI WEST INC EZIFUDC0VSUS6T6LCG85 918005AT6 75000.00000000 PA USD 78316.18000000 0.000090249818 Long DBT CORP US N 2 2021-11-15 Fixed 8.27000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C4X9 28691046.01000000 PA USD 31256660.17000000 0.036019477908 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N APPALACHIAN POWER CO 3SCHO1ABYYIG382BEI70 037735CY1 9450000.00000000 PA USD 9634280.20000000 0.011102329581 Long DBT CORP US N 2 2050-05-01 Fixed 3.70000000 N N N N N N Aimco N/A 00140LAB0 48385000.00000000 PA USD 48454190.55000000 0.055837528277 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 1.43560000 N N N N N N College Loan Corporation Trust 254900YONY6CBMNY7P79 194266AE2 2330339.28000000 PA USD 2147459.85000000 0.002474684825 Long ABS-MBS CORP US N 2 2037-01-15 Floating 0.73125000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397YJ6 77615000.00000000 PA USD 77121522.28000000 0.088873121854 Long DBT CORP US N 2 2022-03-28 Floating 1.46300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9SR5 41140993.10000000 PA USD 45145435.62000000 0.052024592907 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FD62 2887895.31000000 PA USD 2888024.69000000 0.003328095226 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.86863000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17313CAC3 196705.21000000 PA USD 195860.69000000 0.000225705489 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.35863000 N N N N N N JP Morgan Mortgage Trust N/A 46630UAM6 330923.93000000 PA USD 332368.71000000 0.000383014286 Long ABS-MBS CORP US N 2 2037-05-25 Variable 3.58493400 N N N N N N Fannie Mae N/A 31396PZH7 1211699.30000000 PA USD 166892.25000000 0.000192322905 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 6.29137000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BA3 34320000.00000000 PA USD 40726267.30000000 0.046932041917 Long DBT CORP US N 2 2035-08-15 Fixed 5.70000000 N N N N N N JP Morgan Mortgage Trust N/A 46630UAE4 2018156.67000000 PA USD 1790872.87000000 0.002063761944 Long ABS-MBS CORP US N 2 2037-05-25 Variable 2.96657800 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBX6 8097000.00000000 PA USD 8619708.47000000 0.009933159752 Long DBT CORP US N 2 2029-11-21 Fixed 3.20000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 000000000 19530000.00000000 PA USD 19862010.00000000 0.022888537243 Long DBT NUSS DO N 2 2032-09-23 Fixed 4.87500000 N N N N N N Park Avenue Institutional Advi N/A 70015QAA6 50000000.00000000 PA USD 50321000.00000000 0.057988797842 Long ABS-CBDO CORP KY N 2 2034-01-20 Floating 1.59463000 N N N N N N Barings CLO Ltd 54930079SUKCXYW8DR07 06760EAA4 24394454.57000000 PA USD 24355423.44000000 0.028066646653 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 1.02400000 N N N N N N Freddie Mac N/A 3133TGYT0 220801.65000000 PA USD 244911.95000000 0.000282231067 Long ABS-MBS USGSE US N 2 2028-01-15 Fixed 6.00000000 N N N N N N ALLIANT ENERGY FINANCE 54930033ER6EOI5DL570 01882YAA4 31081000.00000000 PA USD 33133425.13000000 0.038182219981 Long DBT CORP US N 2 2023-06-15 Fixed 3.75000000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 25944249.81000000 0.029897574718 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -44150000000.00000000 JPY 425513457.19000000 USD 2021-04-05 25944249.81000000 N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NAY4 1910000.00000000 PA USD 1921937.50000000 0.002214797900 Long DBT CORP US N 2 2022-08-01 Fixed 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9XX6 12245363.20000000 PA USD 13319397.88000000 0.015348976988 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NBE8 25818000.00000000 PA USD 26837811.00000000 0.030927294700 Long DBT CORP NL N 2 2030-01-15 Fixed 5.09300000 N N N N N N Freddie Mac N/A 3128MJ4T4 12465726.90000000 PA USD 13802644.95000000 0.015905860131 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGGT5 17527545.63000000 PA USD 19871144.99000000 0.022899064202 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TG41 84233666.13000000 PA USD 89559255.44000000 0.103206088087 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 3.50000000 N N N N N N CenturyLink Inc 8M3THTGWLTYZVE6BBY25 15669GAF1 13403506.06110000 PA USD 13336488.53000000 0.015368671872 Long LON CORP US N 2 2025-01-31 Floating 2.10850000 N N N N N N Bear Stearns Asset Backed Secu N/A 073879B31 1342026.10000000 PA USD 781860.11000000 0.000900998149 Long ABS-MBS CORP US N 2 2020-08-25 Floating 0.35863000 N N N N N N First Franklin Mtg Loan Asset N/A 32029GAC8 24602735.36000000 PA USD 14921706.61000000 0.017195441824 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.20863000 N N N N N N Fannie Mae N/A 31394VCF5 2743674.16000000 PA USD 2853900.03000000 0.003288770729 Long ABS-MBS USGSE US N 2 2035-11-25 Fixed 5.50000000 N N N N N N Hudson Yards N/A 44421GAA1 84915000.00000000 PA USD 90671540.70000000 0.104487860808 Long ABS-MBS CORP US N 2 2039-07-10 Fixed 3.22800000 N N N N N N Indymac Manufactured Housing C N/A 22540ABC1 39928.97000000 PA USD 40304.66000000 0.000046446191 Long ABS-O CORP US N 2 2028-02-25 Fixed 6.61000000 N N N N N N WASTE PRO USA INC 549300BY1QXU5BI3UF28 94107JAA1 44027000.00000000 PA USD 45200539.69000000 0.052088093608 Long DBT CORP US N 2 2026-02-15 Fixed 5.50000000 N N N N N N Auris Luxembourg III SARL 213800VO63L2OE6QXG55 000000000 1473688.20800000 PA USD 1433161.78000000 0.001651543664 Long LON CORP LU N 2 2026-02-27 Floating 3.85850000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAW6 24235000.00000000 PA USD 24824782.23000000 0.028607525252 Long DBT CORP US N 2 2022-04-10 Fixed 3.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QPF2 1362838.75000000 PA USD 1520714.84000000 0.001752437857 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 4.50000000 N N N N N N ANTERO RESOURCES CORP APVBKPOULHUX7YZLKU17 03674XAQ9 3775000.00000000 PA USD 4020194.56000000 0.004632782528 Long DBT CORP US N 2 2029-02-01 Fixed 7.62500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABJ3 38653000.00000000 PA USD 37916273.82000000 0.043693868116 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922F3L0 838356.25000000 PA USD 835869.69000000 0.000963237584 Long ABS-MBS CORP US N 2 2035-10-25 Variable 2.90618700 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A5FW7 11719735.01000000 PA USD 13061572.12000000 0.015051864334 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.00000000 N N N N N N Fannie Mae N/A 31358N4F6 179.16000000 PA USD 184.52000000 0.000000212636 Long ABS-MBS USGSE US N 2 2022-07-25 Fixed 7.50000000 N N N N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 42217KBA3 175000.00000000 PA USD 184867.20000000 0.000213036837 Long DBT CORP US N 2 2023-03-15 Fixed 3.75000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F022659 3080625000.00000000 PA USD 3154752385.03000000 3.635466272516 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BM5 2030000.00000000 PA USD 2415822.61000000 0.002783940083 Long DBT CORP US N 2 2038-04-01 Fixed 5.37500000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAN3 36299000.00000000 PA USD 41847136.99000000 0.048223707144 Long DBT CORP US N 2 2038-06-25 Fixed 4.62500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAV8 8345000.00000000 PA USD 9449567.32000000 0.010889470579 Long DBT CORP US N 2 2029-07-23 Fixed 4.20300000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45669FAA1 3136082.93000000 PA USD 3018826.98000000 0.003478828867 Long ABS-MBS CORP US N 2 2037-06-25 Variable 2.99858100 N N N N N N Lehman ABS Mortgage Loan Trust N/A 52521MAC6 232140.64000000 PA USD 185055.09000000 0.000213253357 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.30863000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 15318000.00000000 PA USD 16669660.32000000 0.019209744687 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N CIM Trust N/A 12553UAA7 92548321.36000000 PA USD 93932797.97000000 0.108246060934 Long ABS-MBS CORP US N 2 2058-07-25 Variable 3.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375KPF3 9638954.25000000 PA USD 1971696.48000000 0.002272139039 Long ABS-MBS USGA US N 2 2037-06-16 Floating 6.64387000 N N N N N N Goal Capital Funding Trust 5493009VZI2B6V83UU74 38021BAG5 2105387.35000000 PA USD 1977792.24000000 0.002279163656 Long ABS-MBS CORP US N 2 2042-08-25 Floating 0.63750000 N N N N N N Freddie Mac N/A 3128MJYG9 153534909.99000000 PA USD 161555757.93000000 0.186173251464 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.00000000 N N N N N N GLOBAL BANK CORPORATION 5493005ROG3FS85TE513 37954JAC0 2400000.00000000 PA USD 2508000.00000000 0.002890163251 Long DBT CORP PA N 2 2029-04-16 Fixed 5.25000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00772BAR2 103630000.00000000 PA USD 106052356.43000000 0.122212369741 Long DBT CORP IE N 2 2022-02-01 Fixed 3.95000000 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAC7 16295000.00000000 PA USD 15909166.99000000 0.018333369138 Long DBT CORP GB N 2 2027-09-02 Fixed 1.75000000 N N N N N N Freddie Mac N/A 3128M1RN1 5113.04000000 PA USD 5124.35000000 0.000005905186 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 5.50000000 N N N N N N Navient Student Loan Trust N/A 63939BAA7 39412709.03000000 PA USD 39230404.76000000 0.045208243296 Long ABS-O CORP US N 2 2083-03-25 Floating 0.71863000 N N N N N N Galaxy CLO Ltd 549300BSLQRD3CFUV847 36321HAA6 3612701.06000000 PA USD 3614641.08000000 0.004165431745 Long ABS-CBDO CORP KY N 2 2026-11-15 Floating 0.98375000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBT7 5412234000.00000000 PA USD 5365511266.32000000 6.183095489863 Long DBT UST US N 1 2026-03-31 Fixed 0.75000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 26000000.00000000 PA USD 26087945.00000000 0.030063165849 Long DBT NUSS RO N 2 2031-02-14 Fixed 3.00000000 N N N N N N SLM Student Loan Trust 549300SSKEO0UXU85O97 78445RAA7 158548737.54000000 PA USD 160592446.62000000 0.185063153000 Long ABS-O CORP US N 2 2045-01-25 Floating 0.85863000 N N N N N N JP Morgan ReRemic N/A 46644BAF7 2431859.67000000 PA USD 2439227.23000000 0.002810911045 Long ABS-MBS CORP US N 2 2046-12-27 Floating 0.30763000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TV69 29513602.00000000 PA USD 31740347.20000000 0.036576868051 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.00000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00772BAP6 3030000.00000000 PA USD 3164608.63000000 0.003646824389 Long DBT CORP IE N 2 2022-07-01 Fixed 4.62500000 N N N N N N Residential Funding Mtg Sec I N/A 76111XZA4 3446126.73000000 PA USD 2479832.79000000 0.002857703987 Long ABS-MBS CORP US N 2 2035-11-25 Variable 3.38183100 N N N N N N Citigroup Mortgage Loan Trust N/A 17323NAA1 766860.60000000 PA USD 767815.34000000 0.000884813269 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.31763000 N N N N N N Recette CLO LLC 549300392I5L5XOJ0016 75620TAW8 42760000.00000000 PA USD 42678798.76000000 0.049182095615 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.18924000 N N N N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 025537AM3 8480000.00000000 PA USD 9541883.58000000 0.010995853777 Long DBT CORP US N 2 2028-12-01 Fixed 4.30000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBF1 118090000.00000000 PA USD 119083957.63000000 0.137229696256 Long DBT CORP US N 2 2047-08-15 Fixed 4.54000000 N N N N N N US AIRWAYS 2012-1A PTT N/A 90345WAA2 32353053.01487100 PA USD 33485409.87000000 0.038587839344 Long DBT CORP US N 2 2024-10-01 Fixed 5.90000000 N N N N N N Brazos Higher Education Author N/A 10620NCH9 16050000.00000000 PA USD 16200956.67000000 0.018669621056 Long ABS-MBS CORP US N 2 2033-11-25 Floating 1.23750000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AS9 46730000.00000000 PA USD 52971572.36000000 0.061043258301 Long DBT CORP US N 2 2040-06-01 Fixed 4.35000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SB89 30619148.20000000 PA USD 32870773.19000000 0.037879545745 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.50000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAQ7 26209000.00000000 PA USD 26761751.22000000 0.030839645106 Long DBT CORP US N 2 2022-02-01 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AYE2 30409500.08000000 PA USD 32870914.96000000 0.037879709117 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 3.50000000 N N N N N N ANTERO RESOURCES CORP APVBKPOULHUX7YZLKU17 03674XAN6 5607000.00000000 PA USD 6195735.00000000 0.007139826799 Long DBT CORP US N 2 2026-07-15 Fixed 8.37500000 N N N N N N Freddie Mac N/A 3128M4RD7 1835172.27000000 PA USD 2127314.00000000 0.002451469197 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6.00000000 N N N N N N Banc of America Funding Corpor N/A 05950PAH6 986436.22000000 PA USD 915662.78000000 0.001055189361 Long ABS-MBS CORP US N 2 2046-09-20 Variable 3.08663400 N N N N N N Credit-Based Asset Servicing a N/A 79549ARU5 11263.38000000 PA USD 11504.89000000 0.000013257978 Long ABS-MBS CORP US N 2 2033-01-25 Variable 3.95000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FNJ3 22081.02000000 PA USD 22738.78000000 0.000026203662 Long ABS-MBS CORP US N 2 2034-06-25 Variable 3.54446500 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CJE5 44879728.95000000 PA USD 48402453.77000000 0.055777907966 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922F4F2 3172628.16000000 PA USD 3220514.54000000 0.003711249112 Long ABS-MBS CORP US N 2 2035-12-25 Variable 3.08254300 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BFY7 66464.73000000 PA USD 71162.82000000 0.000082006446 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 3.50000000 N N N N N N NUTRITION & BIOSCIENCES N/A 67079BAE0 15000000.00000000 PA USD 14812702.05000000 0.017069827401 Long DBT CORP US N 2 2040-11-15 Fixed 3.26800000 N N N N N N MortgageIT Trust N/A 61913PAP7 3682347.99000000 PA USD 3796575.16000000 0.004375088520 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.74863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376JDD3 21410468.74000000 PA USD 3132253.09000000 0.003609538586 Long ABS-MBS USGA US N 2 2037-05-20 Floating 6.68912000 N N N N N N WAMU Asset-Backed Certificates N/A 933631AC7 3529826.92000000 PA USD 2233469.39000000 0.002573800300 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.21863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UD90 52209722.45000000 PA USD 56272632.41000000 0.064847326263 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 4.00000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660GAB6 13101369.43000000 PA USD 9994933.86000000 0.011517938813 Long ABS-MBS CORP US N 2 2036-08-25 Variable 3.21822500 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERG38 27404344.20000000 PA USD 29556178.25000000 0.034059880478 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N FREDDIE MAC N/A 3137FQA52 10342286.77000000 PA USD 10398078.55000000 0.011982513761 Long ABS-MBS USGSE US N 2 2049-12-25 Floating 0.55863000 N N N N N N LG&E AND KU ENERGY LLC N/A 50188FAE5 14595000.00000000 PA USD 14713514.46000000 0.016955525835 Long DBT CORP US N 2 2021-10-01 Fixed 4.37500000 N N N N N N SUNOCO LOGISTICS PARTNER 5493006LL0CKP8WQW329 86765BAP4 6630000.00000000 PA USD 6998571.51000000 0.008064997684 Long DBT CORP US N 2 2044-04-01 Fixed 5.30000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828WG1 277000000.00000000 PA USD 277481503.56000000 0.319763494664 Long DBT UST US N 1 2021-04-30 Fixed 2.25000000 N N N N N N FRONTIER COMMUNICATIONS 549300ZCZ76HYCS0H445 35906ABF4 6605000.00000000 PA USD 6729869.04000000 0.007755350952 Long DBT CORP US N 2 2028-05-01 Fixed 5.00000000 N N N N N N HEALTHCARE TRUST OF AMER 549300IYGAS4GE6VDL07 42225UAG9 5095000.00000000 PA USD 5275255.75000000 0.006079087046 Long DBT CORP US N 2 2030-02-15 Fixed 3.10000000 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 817826AA8 58715000.00000000 PA USD 58772015.20000000 0.067727559234 Long DBT CORP US N 2 2023-02-10 Fixed 0.62500000 N N N N N N Palmer Square Loan Funding Ltd N/A 69689HAA3 50596840.11000000 PA USD 50626034.49000000 0.058340312784 Long ABS-CBDO CORP KY N 2 2027-10-24 Floating 1.11775000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 79350000.00000000 NC USD 5565442.37000000 0.006413491633 N/A DIR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP GB US 2024-01-19 0.00000000 USD 0.00000000 USD 0.00000000 USD 79350000.00000000 USD 2.75000000 USD 2024-01-19 XXXX 3224617.37000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAA3 24610000.00000000 PA USD 25265742.06000000 0.029115677523 Long DBT CORP IE N 2 2022-05-26 Fixed 3.50000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F012452 1096500000.00000000 PA USD 1099510495.58000000 1.267051367304 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 1.50000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAL7 7745000.00000000 PA USD 8435089.34000000 0.009720408786 Long DBT CORP GB N 2 2025-07-09 Fixed 3.87000000 N N N N N N Structured Adjustable Rate Mor N/A 86364JAD9 612455.37000000 PA USD 518940.36000000 0.000598015294 Long ABS-MBS CORP US N 2 2047-10-25 Variable 3.17881300 N N N N N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 168863DP0 2200000.00000000 PA USD 2214058.00000000 0.002551431048 Long DBT NUSS CL N 2 2031-01-31 Fixed 2.45000000 N N N N N N Freddie Mac N/A 3137GA2W6 1877.54000000 PA USD 1891.79000000 0.000002180056 Long ABS-MBS USGSE US N 2 2039-09-15 Fixed 3.00000000 N N N N N N First Franklin Mtg Loan Asset N/A 32029AAC1 6828641.98000000 PA USD 6342695.33000000 0.007309180605 Long ABS-MBS CORP US N 2 2037-12-25 Floating 0.21863000 N N N N N N CAESARS RESORT / FINCO N/A 12770RAA1 7000000.00000000 PA USD 7395850.00000000 0.008522812553 Long DBT CORP US N 2 2025-07-01 Fixed 5.75000000 N N N N N N Securitized Asset Backed Recei N/A 81379EAA0 16903992.29000000 PA USD 14449799.69000000 0.016651626817 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.23863000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDC1 37212000.00000000 PA USD 38361722.79000000 0.044207193572 Long DBT CORP US N 2 2024-09-01 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CUA0 30660940.38000000 PA USD 32520766.18000000 0.037476205474 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N CSAB Mortgage Backed Trust N/A 12628LAK6 5268015.78000000 PA USD 459261.14000000 0.000529242292 Long ABS-MBS CORP US N 2 2036-12-25 Variable 6.28280000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BS7 4734000.00000000 PA USD 5053955.15000000 0.005824065171 Long DBT CORP GB N 2 2024-05-18 Fixed 3.95000000 N N N N N N NEW YORK ST DORM AUTH ST PERSO 549300C8XO7EXTX2XU71 6499022E2 44990000.00000000 PA USD 53977895.25000000 0.062202922351 Long DBT MUN US N 2 2033-03-15 Fixed 5.28900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DSS2 183371542.00000000 PA USD 185585448.97000000 0.213864531366 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 2.00000000 N N N N N N Impac Secured Assets Corp. N/A 452570AB0 48125642.91000000 PA USD 40352307.25000000 0.046501098698 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.35863000 N N N N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 718286CK1 8405000.00000000 PA USD 7960241.69000000 0.009173204947 Long DBT NUSS PH N 2 2031-06-10 Fixed 1.64800000 N N N N N N SINCLAIR TELEVISION GROU 549300CQGEN0CH65UD62 829259BA7 6088000.00000000 PA USD 5878725.00000000 0.006774511547 Long DBT CORP US N 2 2030-12-01 Fixed 4.12500000 N N N N N N TEXAS ST A & M UNIV REVENUES N/A 88213AKC8 350000.00000000 PA USD 376726.62000000 0.000434131352 Long DBT MUN US N 2 2025-05-15 Fixed 2.68600000 N N N N N N Residential Accredit Loans, In N/A 76110H4L0 315820.70000000 PA USD 273542.13000000 0.000315223848 Long ABS-MBS CORP US N 2 2035-04-25 Variable 3.45929700 N N N N N N GRUPO AVAL LTD 549300J4FW1ELLQ80113 40053FAC2 1175000.00000000 PA USD 1188559.50000000 0.001369669453 Long DBT CORP KY N 2 2030-02-04 Fixed 4.37500000 N N N N N N FARMERS INS EXCH 549300UWG2TLX1GZVT44 309601AE2 18570000.00000000 PA USD 19442036.06000000 0.022404568643 Long DBT CORP US N 2 2057-11-01 Fixed 4.74700000 N N N N N N 321 Henderson Receivables LLC N/A 46617LAA9 624521.28000000 PA USD 687895.70000000 0.000792715659 Long ABS-O CORP US N 2 2073-01-17 Fixed 4.08000000 N N N N N N Freddie Mac N/A 3137BVBM7 182451.95000000 PA USD 207687.66000000 0.000239334626 Long ABS-MBS USGSE US N 2 2047-02-15 Fixed 4.00000000 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAB3 35821000.00000000 PA USD 40153549.95000000 0.046272055219 Long DBT CORP BM N 2 2025-02-15 Fixed 4.75000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MS7 20955000.00000000 PA USD 20955615.03000000 0.024148783284 Long DBT CORP US N 2 2031-06-03 Fixed 2.57200000 N N N N N N Oakwood Mortgage Investors Inc N/A 67087TBD2 21095033.27000000 PA USD 9150644.67000000 0.010544998785 Long ABS-O CORP US N 2 2029-09-15 Variable 8.16000000 N N N N N N Freddie Mac N/A 31292MCJ0 19106050.37000000 PA USD 20355368.64000000 0.023457072734 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179R7M5 9152652.49000000 PA USD 10526984.13000000 0.012131061676 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 5.00000000 N N N N N N CIM Trust N/A 12556FAA7 151007469.50000000 PA USD 147687087.06000000 0.170191304534 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.00000000 N N N N N N Structured Asset Mortgage Inve N/A 86359LRZ4 16481497.32000000 PA USD 16366341.10000000 0.018860206384 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.49910000 N N N N N N ChaseFlex Trust N/A 16165TBG7 342751.95000000 PA USD 219150.15000000 0.000252543744 Long ABS-MBS CORP US N 2 2020-05-25 Fixed 5.50000000 N N N N N N Sequoia Mortgage Trust N/A 81744FAZ0 243665.51000000 PA USD 243665.78000000 0.000280795009 Long ABS-MBS CORP US N 2 2034-05-20 Floating 0.75750000 N N N N N N Lehman XS Trust N/A 52524HAD2 24145484.70000000 PA USD 22663239.27000000 0.026116611364 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.34863000 N N N N N N DSLA Mortgage Loan Trust N/A 23332UBV5 2003173.54000000 PA USD 1772568.40000000 0.002042668281 Long ABS-MBS CORP US N 2 2045-01-19 Floating 0.83025000 N N N N N N Merrill Lynch First Franklin M N/A 59025CAD2 20580696.06000000 PA USD 18177920.38000000 0.020947829934 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.26863000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AS8 29990000.00000000 PA USD 32368383.64000000 0.037300603235 Long DBT CORP GB N 2 2023-08-16 Fixed 4.05000000 N N N N N N Citigroup Mortgage Loan Trust N/A 17322TAE1 10249289.96000000 PA USD 9457451.34000000 0.010898555948 Long ABS-MBS CORP US N 2 2036-02-20 Floating 2.20650000 N N N N N N FANNIE MAE N/A 3136B64Y6 47034545.16000000 PA USD 47418198.89000000 0.054643674599 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 0.55863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CR89 88874695.59000000 PA USD 94318671.52000000 0.108690733005 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164QNA2 391382000.00000000 PA USD 448455534.55000000 0.516790153901 Long DBT CORP IE N 2 2035-11-15 Fixed 4.41800000 N N N N N N Fannie Mae N/A 3136B1Q80 56243.08000000 PA USD 58887.00000000 0.000067860065 Long ABS-MBS USGSE US N 2 2047-06-25 Fixed 3.50000000 N N N N N N Conseco Financial Corp N/A 393505K27 285324.46000000 PA USD 287134.07000000 0.000330886896 Long ABS-O CORP US N 2 2030-06-01 Variable 6.66000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2K8 84665000.00000000 PA USD 87389429.11000000 0.100705628629 Long DBT CORP US N 2 2026-02-11 Fixed 2.16400000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NBG7 10790000.00000000 PA USD 11085740.95000000 0.012774960570 Long DBT CORP US N 2 2045-04-15 Fixed 3.95000000 N N N N N N BX Trust N/A 05608MAA4 180165000.00000000 PA USD 183168982.93000000 0.211079849807 Long ABS-MBS CORP US N 2 2044-03-09 Fixed 2.84300000 N N N N N N BWay Holding Company 549300DNGHXL0OMHW304 05604XAP1 4226092.55870000 PA USD 4142098.97000000 0.004773262451 Long LON CORP US N 2 2024-04-03 Floating 3.44263000 N N N N N N SLM Student Loan Trust 549300MTK92VF84VT259 78445JAB3 45100000.00000000 PA USD 45451093.58000000 0.052376826321 Long ABS-O CORP US N 2 2083-10-25 Floating 2.46775000 N N N N N N Freddie Mac N/A 3128MJ5J5 2573965.60000000 PA USD 2806355.78000000 0.003233981796 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.50000000 N N N N N N NEW YORK NY 549300ABYZD2SFD5JB29 64966QKD1 7000000.00000000 PA USD 7894692.40000000 0.009097667407 Long DBT MUN US N 2 2050-03-01 Fixed 4.00000000 N N N N N N Fannie Mae N/A 31359HJE5 4129.49000000 PA USD 4434.67000000 0.000005110414 Long ABS-MBS USGSE US N 2 2024-03-25 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KLM1 1574.36000000 PA USD 1598.39000000 0.000001841948 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 6.50000000 N N N N N N Lehman XS Trust N/A 525221EM5 361732.04000000 PA USD 356403.04000000 0.000410710912 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.64863000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29273RBF5 81000000.00000000 PA USD 83854128.15000000 0.096631626668 Long DBT CORP US N 2 2045-03-15 Fixed 5.15000000 N N N N N N NGPL PIPECO LLC 549300K3NT1HSQFEM073 62912XAE4 22454000.00000000 PA USD 23313671.60000000 0.026866155072 Long DBT CORP US N 2 2022-08-15 Fixed 4.37500000 N N N N N N DC Office Trust N/A 23312BAA8 31135000.00000000 PA USD 32541595.24000000 0.037500208418 Long ABS-MBS CORP US N 2 2045-09-15 Fixed 2.96500000 N N N N N N Morgan Stanley ReRemic Trust N/A 61764KAJ2 7551104.86000000 PA USD 7494017.00000000 0.008635938014 Long ABS-MBS CORP US N 2 2047-06-26 Floating 1.12916000 N N N N N N JP Morgan Mortgage Acquisition N/A 46630CAA2 31294426.17000000 PA USD 29545133.47000000 0.034047152720 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.25863000 N N N N N N GS Mortgage Securities Trust N/A 36256QAA5 10000000.00000000 PA USD 10018403.50000000 0.011544984703 Long ABS-MBS CORP US N 2 2038-06-15 Floating 1.30600000 N N N N N N Deutsche Alt-A Securities INC N/A 251510LF8 759522.13000000 PA USD 684086.01000000 0.000788325457 Long ABS-MBS CORP US N 2 2036-02-25 Variable 3.03977900 N N N N N N Horizon Therapeutics USA Inc N/A 44055UAD7 40995476.00000000 PA USD 40933982.79000000 0.047171408614 Long LON CORP US N 2 2028-02-26 Floating 2.00000000 N N N N N N CYRUSONE LP/CYRUSONE FIN N/A 23283PAT1 7265000.00000000 PA USD 6731749.00000000 0.007757517376 Long DBT CORP US N 2 2030-11-01 Fixed 2.15000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBL4 2500739000.00000000 PA USD 2363393787.75000000 2.723522278582 Long DBT UST US N 1 2031-02-15 Fixed 1.12500000 N N N N N N First Horizon Alternative Mort N/A 32051GAA3 946998.49000000 PA USD 980174.50000000 0.001129531228 Long ABS-MBS CORP US N 2 2034-10-25 Variable 2.36591400 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DE2 174540000.00000000 PA USD 174863485.45000000 0.201508779790 Long DBT CORP US N 2 2024-02-04 Fixed 1.43300000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AM8 2940000.00000000 PA USD 3365556.71000000 0.003878392474 Long DBT CORP US N 2 2025-03-01 Fixed 5.62500000 N N N N N N Merrill Lynch Mortgage Investo N/A 59020ULQ6 1051976.55000000 PA USD 1068030.34000000 0.001230774338 Long ABS-MBS CORP US N 2 2034-08-25 Variable 3.18684500 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FC97 11737840.92000000 PA USD 11709266.32000000 0.013493497297 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.76863000 N N N N N N C&W SENIOR FINANCING DAC 5493009O8OIWZPZRY516 12674TAA4 3150000.00000000 PA USD 3370500.00000000 0.003884089011 Long DBT CORP IE N 2 2027-09-15 Fixed 6.87500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWQ3 120490000.00000000 PA USD 129126681.03000000 0.148802706670 Long DBT CORP US N 2 2025-09-29 Fixed 3.27200000 N N N N N N PowerTeam Services LLC 549300J2G34D0WX8Z443 73937UAF5 2534653.29000000 PA USD 2519217.25000000 0.002903089760 Long LON CORP US N 2 2025-03-06 Floating 4.25000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAR4 29535000.00000000 PA USD 30666352.06000000 0.035339220011 Long DBT CORP US N 2 2050-05-15 Fixed 5.00000000 N N N N N N Freddie Mac N/A 3128MJ5D8 13918342.66000000 PA USD 15171107.63000000 0.017482845996 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N GRAPHIC PACKAGING INTERN SO75N4VY5NXGQSK8YQ65 38869PAM6 1325000.00000000 PA USD 1410985.88000000 0.001625988651 Long DBT CORP US N 2 2024-08-15 Fixed 4.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202EQK8 692.59000000 PA USD 798.36000000 0.000000920012 Long ABS-MBS USGA US N 2 2037-12-20 Fixed 5.00000000 N N N N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAG8 2055000.00000000 PA USD 2216412.87000000 0.002554144747 Long DBT CORP US N 2 2024-10-08 Fixed 3.37500000 N N N N N N Morgan Stanley ReRemic Trust N/A 61690PAD3 4057516.51000000 PA USD 4069429.78000000 0.004689520097 Long ABS-MBS CORP US N 2 2046-12-26 Floating 0.59763000 N N N N N N Freddie Mac N/A 3128MJZM5 28719430.34000000 PA USD 30219767.84000000 0.034824586318 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3128M8MJ0 17657.20000000 PA USD 19686.42000000 0.000022686191 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.00000000 N N N N N N ARDAGH PKG FIN/HLDGS USA N/A 03969AAN0 7959000.00000000 PA USD 8190208.95000000 0.009438214087 Long DBT CORP N/A N 2 2026-08-15 Fixed 4.12500000 N N N N N N FANNIE MAE N/A 3136ATE26 17452376.25000000 PA USD 17614726.98000000 0.020298818423 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 0.60863000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PCY7 4284.34000000 PA USD 4247.48000000 0.000004894701 Long ABS-MBS CORP US N 2 2034-04-19 Variable 2.18822500 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAA5 83285000.00000000 PA USD 87859148.79000000 0.101246923109 Long DBT CORP BM N 2 2022-11-01 Fixed 5.00000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660NQ24 995302.78000000 PA USD 991588.11000000 0.001142684017 Long ABS-MBS CORP US N 2 2034-08-25 Variable 2.86792700 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179R4H9 14527.30000000 PA USD 16669.66000000 0.000019209744 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 5.00000000 N N N N N N LCM Ltd Partnership N/A 50189CAN1 28348750.78000000 PA USD 28364597.73000000 0.032686729668 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.10400000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962G3P7 102907000.00000000 PA USD 132086377.61000000 0.152213394984 Long DBT CORP US N 2 2038-01-14 Fixed 5.87500000 N N N N N N Morgan Stanley ReRemic Trust N/A 61763TAN5 227991.98000000 PA USD 229651.03000000 0.000264644723 Long ABS-MBS CORP US N 2 2034-08-26 Variable 3.09467200 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403CZL8 18734.33000000 PA USD 20863.57000000 0.000024042712 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 4.50000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAH6 27591000.00000000 PA USD 29979084.37000000 0.034547228056 Long DBT CORP GB N 2 2024-03-12 Fixed 3.90000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBF2 17850000.00000000 PA USD 19675283.34000000 0.022673357606 Long DBT CORP US N 2 2031-03-01 Fixed 4.25000000 N N N N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313385EZ5 300000000.00000000 PA USD 300002418.00000000 0.345716094070 Long DBT USGSE US N 2 2021-04-30 None 0.00000000 N N N N N N Residential Accredit Loans, In N/A 761118VE5 68444860.66000000 PA USD 944634.90000000 0.001088576185 Long ABS-MBS CORP US N 3 2036-02-25 Variable 0.46498100 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAB7 63580000.00000000 PA USD 62648018.93000000 0.072194179467 Long DBT CORP US N 2 2026-01-15 Fixed 1.57000000 N N N N N N TELEFLEX INC UUL85LWXB4NGSWWXIQ25 879369AG1 75000.00000000 PA USD 77812.50000000 0.000089669389 Long DBT CORP US N 2 2028-06-01 Fixed 4.25000000 N N N N N N Fannie Mae N/A 3136B3A34 4179708.15000000 PA USD 4349532.20000000 0.005012303878 Long ABS-MBS USGSE US N 2 2049-02-25 Fixed 3.25000000 N N N N N N New Century Home Equity Loan T N/A 64352VPP0 65988.95000000 PA USD 62838.72000000 0.000072413939 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.43863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TNS0 48606532.79000000 PA USD 52506728.76000000 0.060507582906 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 4.00000000 N N N N N N Residential Asset Securities C N/A 76113ABL4 764963.28000000 PA USD 762291.57000000 0.000878447800 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.60363000 N N N N N N CIM Trust N/A 12552CAF7 17925052.73000000 PA USD 17962137.87000000 0.020699166983 Long ABS-MBS CORP US N 2 2057-05-25 Variable 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202F2N5 13227.29000000 PA USD 14840.94000000 0.000017102368 Long ABS-MBS USGA US N 2 2042-01-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DNP3 38971363.78000000 PA USD 40014939.35000000 0.046112323456 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.00000000 N N N N N N SLM Student Loan Trust 549300DP3T6QDZHB8271 78444CAF0 4256179.98000000 PA USD 4029386.88000000 0.004643375553 Long ABS-O CORP US N 2 2043-04-27 Floating 1.06775000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBN2 995000.00000000 PA USD 908898.86000000 0.001047394770 Long DBT CORP US N 2 2051-02-04 Fixed 3.70000000 N N N N N N Freddie Mac N/A 3128ME6W6 3914024.54000000 PA USD 4113445.97000000 0.004740243373 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 2.50000000 N N N N N N Asset Backed Funding Certifica N/A 04545EAC7 19670380.62000000 PA USD 18398875.41000000 0.021202453581 Long ABS-MBS CORP US N 2 2037-06-25 Floating 1.10863000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XBA1 19930000.00000000 PA USD 20977479.94000000 0.024173979918 Long DBT CORP US N 2 2025-03-01 Fixed 3.25000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2M4 87489000.00000000 PA USD 112389071.06000000 0.129514658322 Long DBT CORP US N 2 2051-04-04 Fixed 5.01300000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDV1 10320000.00000000 PA USD 11570802.89000000 0.013333935129 Long DBT CORP US N 2 2059-08-15 Fixed 3.87500000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 000000000 1758000.00000000 PA 2908319.13000000 0.003351482086 Long DBT CORP GB N 2 2024-03-15 Fixed 8.12500000 N N N N N N FHLMC Multifamily Structured P N/A 3137FG6T7 125000.00000000 PA USD 144047.58000000 0.000165997217 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 3.75000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523BZ2 6097000.00000000 PA USD 6945705.33000000 0.008004075877 Long DBT CORP US N 2 2026-02-25 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HMY6 553090.98000000 PA USD 647021.06000000 0.000745612635 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.50000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922F4M7 3912220.23000000 PA USD 3912661.14000000 0.004508863414 Long ABS-MBS CORP US N 2 2045-10-25 Floating 0.68863000 N N N N N N Merrill Lynch First Franklin M N/A 59024VAH2 17208288.23000000 PA USD 15914195.70000000 0.018339164111 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.35863000 N N N N N N SEALED AIR CORP Q0M0CZB4YN6JZ65WXI09 81211KAV2 6050000.00000000 PA USD 6311263.62000000 0.007272959404 Long DBT CORP US N 2 2022-12-01 Fixed 4.87500000 N N N N N N Option One Mortgage Loan Trust N/A 68389FKL7 9318663.56000000 PA USD 8920573.05000000 0.010279869383 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.54863000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 45262BAB9 20350000.00000000 PA USD 21757965.83000000 0.025073394447 Long DBT CORP GB N 2 2026-07-26 Fixed 3.50000000 N N N N N N Credit-Based Asset Servicing a N/A 12465MAC8 27614111.88000000 PA USD 16643607.89000000 0.019179722448 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.25863000 N N N N N N NEW YORK LIFE INSURANCE TAE73CY392TBWJ3O3305 64952GAT5 47125000.00000000 PA USD 50002513.29000000 0.057621780862 Long DBT CORP US N 2 2050-05-15 Fixed 3.75000000 N N N N N N Freddie Mac N/A 3128MJYH7 11936860.07000000 PA USD 12794564.05000000 0.014744170190 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N Avolon TLB Borrower 1 (US) LLC 635400O84AGITYFZQB55 05400KAE0 6520458.93000000 PA USD 6507385.41000000 0.007498965780 Long LON CORP US N 2 2025-01-15 Floating 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381TVA0 8012845.66000000 PA USD 8352814.68000000 0.009625597303 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 3.50000000 N N N N N N 321 Henderson Receivables LLC 549300LO0ZO1XMWP1R84 46618AAA2 41020786.04000000 PA USD 44606737.01000000 0.051403808646 Long ABS-O CORP US N 2 2073-01-17 Fixed 3.61000000 N N N N N N SUNOCO LOGISTICS PARTNER 5493006LL0CKP8WQW329 86765BAU3 12583000.00000000 PA USD 13539771.68000000 0.015602930839 Long DBT CORP US N 2 2027-10-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A 3128M5B25 1074338.86000000 PA USD 1244331.61000000 0.001433939988 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PKF9 260486.73000000 PA USD 248166.38000000 0.000285981400 Long ABS-MBS CORP US N 2 2035-01-19 Floating 0.79025000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CU77 40297641.62000000 PA USD 42750152.87000000 0.049264322500 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N SLM Student Loan Trust 5493004VD0DNOS6SFM54 78443YAD8 2338980.60000000 PA USD 2262906.40000000 0.002607722854 Long ABS-O CORP US N 2 2022-01-25 Floating 0.27775000 N N N N N N GSR Mortgage Loan Trust N/A 362341MC0 2297428.57000000 PA USD 1736928.23000000 0.002001597344 Long ABS-MBS CORP US N 2 2035-10-25 Variable 2.93473800 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TG74 602551.64000000 PA USD 668839.19000000 0.000770755362 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 5.00000000 N N N N N N MASTR Asset Backed Securities N/A 576449AC6 14159223.17000000 PA USD 6734745.30000000 0.007760970245 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.40863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ET5W2 33126803.41000000 PA USD 36990304.31000000 0.042626801509 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4.50000000 N N N N N N SFAVE Commercial Mortgage Secu 549300FIGODFFTOAAU64 78413MAE8 8710000.00000000 PA USD 8416165.54000000 0.009698601421 Long ABS-MBS CORP US N 2 2043-01-05 Variable 4.14400000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBJ0 50090000.00000000 PA USD 55188410.65000000 0.063597893293 Long DBT CORP US N 2 2025-10-15 Fixed 4.65000000 N N N N N N BAT INTL FINANCE PLC 21380041YBGOQDFAC823 000000000 11770000.00000000 PA 11902937.15000000 0.013716679241 Long DBT CORP GB N 2 2052-09-09 Fixed 2.25000000 N N N N N N Bayview Commercial Asset Trust N/A 07324SAL6 19186.44000000 PA USD 19193.06000000 0.000022117654 Long ABS-MBS CORP US N 2 2034-04-25 Floating 0.64863000 N N N N N N JBS USA LUX SA P77IMDGVZE8EFBTF2M92 46611VAU9 1124827.05840000 PA USD 1119793.46000000 0.001290425003 Long LON CORP LU N 2 2026-05-01 Floating 2.11450000 N N N N N N KINDER MORGAN INC/DELAWA 549300WR7IX8XE0TBO16 28368EAD8 150000.00000000 PA USD 208428.68000000 0.000240188561 Long DBT CORP US N 2 2031-08-01 Fixed 7.80000000 N N N N N N Freddie Mac N/A 3128MFR42 54411775.53000000 PA USD 58655800.98000000 0.067593636559 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.50000000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307GDP0 31266.36000000 PA USD 31276.90000000 0.000036042801 Long ABS-MBS CORP US N 2 2034-02-25 Variable 2.06143300 N N N N N N Freddie Mac N/A 3128MJ2M1 110471.05000000 PA USD 117305.09000000 0.000135179768 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AT5 15905000.00000000 PA USD 17144893.36000000 0.019757392641 Long DBT CORP US N 2 2026-07-01 Fixed 3.20000000 N N N N N N Freddie Mac N/A 3128MFWQ7 51867167.13000000 PA USD 55630963.09000000 0.064107880853 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 3.50000000 N N N N N N Babson CLO Ltd 549300Z33CTC4YAKLT16 06761CAA7 47401234.80000000 PA USD 47398864.74000000 0.054621394355 Long ABS-CBDO CORP KY N 2 2028-07-20 Floating 1.30400000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCH7 10000000.00000000 PA USD 9928020.20000000 0.011440829004 Long DBT CORP US N 2 2021-04-09 Floating 1.07475000 N N N N N N Freddie Mac N/A 3132KGLJ7 12378417.20000000 PA USD 13284961.72000000 0.015309293526 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.50000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AN0 29578000.00000000 PA USD 33950056.99000000 0.039123288319 Long DBT CORP US N 2 2048-04-15 Fixed 4.60000000 N N N N N N FANNIE MAE N/A 3136ATJ96 24165368.64000000 PA USD 24430925.02000000 0.028153652989 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 0.60863000 N N N N N N MOLINA HEALTHCARE INC 549300NQQCEQ46YHZ591 60855RAJ9 28929000.00000000 PA USD 29812645.27000000 0.034355427350 Long DBT CORP US N 2 2028-06-15 Fixed 4.37500000 N N N N N N Charter Communications Operating LLC 549300TPZNMN50BJ3745 16117LBX6 7949122.80280000 PA USD 7920823.93000000 0.009127780799 Long LON CORP US N 2 2027-02-01 Floating 1.87000000 N N N N N N Credit Suisse First Boston Mor N/A 22541SAL2 19767.07000000 PA USD 20338.42000000 0.000023437541 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 6.50000000 N N N N N N Countrywide Alternative Loan T N/A 02149DAN9 1213183.07000000 PA USD 1211361.96000000 0.001395946499 Long ABS-MBS CORP US N 2 2037-02-25 Variable 3.03787800 N N N N N N SEALED AIR CORP Q0M0CZB4YN6JZ65WXI09 81211KAW0 3255000.00000000 PA USD 3533709.38000000 0.004072167859 Long DBT CORP US N 2 2024-12-01 Fixed 5.12500000 N N N N N N US AIRWAYS 2011-1A PTT N/A 903436AA1 2525940.29695000 PA USD 2602337.56000000 0.002998875751 Long DBT CORP US N 2 2023-10-22 Fixed 7.12500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50076QAN6 6240000.00000000 PA USD 8168254.22000000 0.009412913946 Long DBT CORP US N 2 2040-02-09 Fixed 6.50000000 N N N N N N Banc of America Mortgage Secur N/A 05952HAZ2 615388.91000000 PA USD 610604.38000000 0.000703646866 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GAM5 193892.10000000 PA USD 222672.94000000 0.000256603328 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 7.00000000 N N N N N N SLM Student Loan Trust 5493007HR3ICKG09D287 784439AD3 36873744.43000000 PA USD 36201474.86000000 0.041717772048 Long ABS-O CORP US N 2 2022-01-25 Floating 0.86775000 N N N N N N SLC Student Loan Trust 25490083RPF52FIUZ551 784423AH8 280335.00000000 PA USD 258988.16000000 0.000298452178 Long ABS-O CORP US N 2 2031-08-15 Floating 0.48763000 N N N N N N MARICOPA CNTY AZ INDL DEV AUTH N/A 56682HCW7 17830000.00000000 PA USD 18479942.73000000 0.021295873752 Long DBT MUN US N 2 2048-01-01 Fixed 3.00000000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XXC7 3090000.00000000 PA USD 2915873.25000000 0.003360187286 Long DBT MUN US N 2 2033-02-01 Fixed 1.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385JH92 508.05000000 PA USD 600.68000000 0.000000692210 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 7.00000000 N N N N N N UNITED AIR 2013-1 A PTT N/A 909319AA3 12771304.14000000 PA USD 13292904.64000000 0.015318446769 Long DBT CORP US N 2 2025-08-15 Fixed 4.30000000 N N N N N N LEVEL 3 FINANCING INC N/A 527298BR3 22250000.00000000 PA USD 22523452.28000000 0.025955523955 Long DBT CORP US N 2 2028-07-01 Fixed 4.25000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAY1 5000000.00000000 PA USD 5620700.00000000 0.006477169293 Long DBT CORP US N 2 2050-04-15 Fixed 4.50000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBX2 29020000.00000000 PA USD 28158065.37000000 0.032448726384 Long DBT CORP US N 2 2050-04-01 Fixed 3.60000000 N N N N N N JP Morgan Mortgage Trust N/A 46628KAJ9 470644.70000000 PA USD 429441.64000000 0.000494878965 Long ABS-MBS CORP US N 2 2036-05-25 Variable 3.25252400 N N N N N N Freddie Mac N/A 31283HC52 511.57000000 PA USD 584.55000000 0.000000673622 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 7.00000000 N N N N N N SKYAF 2020-1 A N/A 000000000 32044697.30000000 PA USD 31559019.86000000 0.036367910470 Long ABS-MBS CORP US N 3 2038-05-10 Floating 3.22900000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638DP4 5140000.00000000 PA USD 4702072.00000000 0.005418562879 Long DBT NUSS PE N 2 2032-12-01 Fixed 1.86200000 N N N N N N Merrill Lynch First Franklin M N/A 59023LAA0 163534878.42000000 PA USD 97771134.12000000 0.112669273888 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.24863000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGH1 22160000.00000000 PA USD 22241858.60000000 0.025631021680 Long DBT CORP US N 2 2028-03-22 Fixed 2.10000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 10000000.00000000 PA USD 11258810.40000000 0.012974401944 Long DBT CORP GB N 2 2029-06-19 Fixed 4.58300000 N N N N N N Residential Asset Securitizati N/A 45660LAP4 12739.89000000 PA USD 12701.63000000 0.000014637075 Long ABS-MBS CORP US N 2 2034-12-25 Variable 3.00637800 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92925GAG8 535938.12000000 PA USD 518030.12000000 0.000596966354 Long ABS-MBS CORP US N 2 2036-12-25 Variable 3.17295200 N N N N N N N TX TOLLWAY AUTH REVENUE PQGZGRE0F2WPMYQQ1B78 66285WA63 8765000.00000000 PA USD 8523570.00000000 0.009822371924 Long DBT MUN US N 2 2033-01-01 Fixed 2.32700000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SJS7 31584426.49000000 PA USD 33330056.05000000 0.038408813067 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3137FKVT0 5580545.37000000 PA USD 5889665.73000000 0.006787119401 Long ABS-MBS USGSE US N 2 2049-02-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376PW71 3466737.88000000 PA USD 773767.92000000 0.000891672889 Long ABS-MBS USGA US N 2 2039-12-20 Floating 6.36912000 N N N N N N BAUSCH HEALTH AMERICAS KOO0397YRO83WY5MGD97 91911XAV6 2722000.00000000 PA USD 3019514.60000000 0.003479621265 Long DBT CORP US N 2 2026-04-01 Fixed 9.25000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAL0 34302000.00000000 PA USD 39651396.90000000 0.045693385247 Long DBT CORP US N 2 2035-07-15 Fixed 5.00000000 N N N N N N Banc of America Funding Corpor N/A 05950DAD2 51376.05000000 PA USD 50017.26000000 0.000057638774 Long ABS-MBS CORP US N 2 2036-06-20 Variable 3.44836600 N N N N N N Merrill Lynch First Franklin M N/A 59023LAC6 31547890.52000000 PA USD 17578285.85000000 0.020256824478 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.27863000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBM3 31332000.00000000 PA USD 31436380.68000000 0.036226583815 Long DBT CORP US N 2 2029-12-15 Fixed 3.55000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29273RBE8 5160000.00000000 PA USD 5483528.13000000 0.006319095490 Long DBT CORP US N 2 2035-03-15 Fixed 4.90000000 N N N N N N YUM! BRANDS INC 549300JE8XHZZ7OHN517 988498AP6 11110000.00000000 PA USD 11356531.12000000 0.013087013121 Long DBT CORP US N 2 2032-01-31 Fixed 4.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SCB1 4822610.42000000 PA USD 5533774.88000000 0.006376998724 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138L5MT4 1750217.52000000 PA USD 1965536.51000000 0.002265040427 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 4.07000000 N N N N N N Chase Funding Mortgage Loan As N/A 161546GR1 3059.28000000 PA USD 2858.81000000 0.000003294428 Long ABS-MBS CORP US N 2 2033-07-25 Floating 0.70863000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAV7 16028000.00000000 PA USD 17148357.20000000 0.019761384292 Long DBT CORP US N 2 2028-02-01 Fixed 4.75000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 000000000 24942000.00000000 PA USD 27154230.69000000 0.031291929692 Long DBT NUSS SA N 2 2028-03-04 Fixed 3.62500000 N N N N N N Citicorp Mortgage Securities, 549300ISEJNGWSXAKR30 172973N96 144878.74000000 PA USD 147043.49000000 0.000169449637 Long ABS-MBS CORP US N 2 2035-02-25 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJR34 190723.88000000 PA USD 203571.72000000 0.000234591508 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 3.00000000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JBB3 30584000.00000000 PA USD 36313457.62000000 0.041846818483 Long DBT CORP US N 2 2041-09-01 Fixed 5.50000000 N N N N N N Freddie Mac N/A 3128MJX47 1411.92000000 PA USD 1516.07000000 0.000001747085 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.50000000 N N N N N N NEW YORK NY 549300ABYZD2SFD5JB29 64966H4K3 6075000.00000000 PA USD 7907160.47000000 0.009112035333 Long DBT MUN US N 2 2037-10-01 Fixed 5.51700000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 4188.00000000 NC USD -18638881.04000000 -0.02147903071 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2021-06-21 777583006.04000000 USD -18638881.04000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225DCE2 10305.23000000 PA USD 10701.66000000 0.000012332354 Long ABS-MBS USGA US N 2 2034-07-20 Floating 2.25000000 N N N N N N Adjustable Rate Mortgage Trust N/A 00703QAG7 2424504.54000000 PA USD 2451180.15000000 0.002824685324 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.50863000 N N N N N N CODELCO INC 549300UVMBCBCIPSUI70 000000000 30738000.00000000 PA USD 32032069.80000000 0.036913042668 Long DBT CORP CL N 2 2030-01-14 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417ACR8 9887009.27000000 PA USD 10750830.25000000 0.012389016951 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 3.50000000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BB1 96522000.00000000 PA USD 113532814.31000000 0.130832682528 Long DBT CORP US N 2 2045-08-15 Fixed 5.85000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397YP2 11865000.00000000 PA USD 11746350.00000000 0.013536231703 Long DBT CORP US N 2 2022-08-03 Floating 1.27550000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SQZ3 1596993.86000000 PA USD 1832435.61000000 0.002111657919 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 5.00000000 N N N N N N JERSEY CENTRAL PWR & LT 549300W9UGH9ZPLNPF79 476556DB8 49765000.00000000 PA USD 54164398.19000000 0.062417844178 Long DBT CORP US N 2 2024-04-01 Fixed 4.70000000 N N N N N N NEW JERSEY ST TURNPIKE AUTH 5493005YN67D71KSMI84 646139X83 285000.00000000 PA USD 437081.70000000 0.000503683200 Long DBT MUN US N 2 2041-01-01 Fixed 7.10200000 N N N N N N Deutsche Alt-A Securities INC N/A 25150WAA2 41053460.84000000 PA USD 38962127.75000000 0.044899086854 Long ABS-MBS CORP US N 2 2047-07-25 Floating 0.24863000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 939336X40 497982.43000000 PA USD 495595.70000000 0.000571113428 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.74863000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417DCX9 323091.61000000 PA USD 342688.33000000 0.000394906386 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJA8 174751000.00000000 PA USD 195536093.64000000 0.225331432305 Long DBT CORP US N 2 2051-03-20 Fixed 4.08300000 N N N N N N Fannie Mae N/A 3136B3WS5 10836494.40000000 PA USD 11319728.90000000 0.013044603064 Long ABS-MBS USGSE US N 2 2048-12-25 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3128MMUW1 38020992.45000000 PA USD 40301509.07000000 0.046442560009 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 3.00000000 N N N N N N Mid-State Trust N/A 595481AA0 11551345.50000000 PA USD 12423787.44000000 0.014316895496 Long ABS-O CORP US N 2 2040-01-15 Fixed 5.74500000 N N N N N N Residential Asset Securitizati N/A 76113NAC7 1985727.35000000 PA USD 1981802.76000000 0.002283785290 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.25000000 N N N N N N LUMEN TECHNOLOGIES INC 8M3THTGWLTYZVE6BBY25 156700BC9 15364000.00000000 PA USD 15713410.24000000 0.018107783426 Long DBT CORP US N 2 2027-02-15 Fixed 4.00000000 N N N N N N STATE OF QATAR 52990074F6OJOAXK4P65 000000000 30438000.00000000 PA USD 35574412.50000000 0.040995159373 Long DBT NUSS QA N 2 2028-04-23 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179U3S9 10552103.58000000 PA USD 10875546.66000000 0.012532737360 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3128MAD55 14474709.05000000 PA USD 15658276.48000000 0.018044248511 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 3.50000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAN4 5554000.00000000 PA USD 6042197.16000000 0.006962893218 Long DBT CORP US N 2 2024-09-15 Fixed 4.25000000 N N N N N N Freddie Mac N/A 3132ADRY6 30116963.36000000 PA USD 32150213.16000000 0.037049188440 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AHY7 34309338.76000000 PA USD 37842692.87000000 0.043609075071 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SCA3 140750.95000000 PA USD 156320.79000000 0.000180140591 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 4.50000000 N N N N N N Banc of America Funding Corpor N/A 05946XCR2 11840.04000000 PA USD 12100.72000000 0.000013944599 Long ABS-MBS CORP US N 2 2032-06-25 Fixed 6.50000000 N N N N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313385FS0 300000000.00000000 PA USD 300000000.00000000 0.345713307621 Long DBT USGSE US N 2 2021-05-17 None 0.00000000 N N N N N N Bear Stearns Adjustable Rate M N/A 07384M4F6 2099280.35000000 PA USD 2133480.36000000 0.002458575173 Long ABS-MBS CORP US N 2 2035-01-25 Variable 2.64053600 N N N N N N CIM Trust N/A 12564MAE4 135222000.00000000 PA USD 135222000.00000000 0.155826816277 Long ABS-MBS CORP US N 2 2057-01-25 Variable 2.50000000 N N N N N N Nelnet Student Loan Trust N/A 64032FAG9 20750441.38000000 PA USD 20653567.94000000 0.023800710955 Long ABS-O CORP US N 2 2026-03-25 Floating 0.55063000 N N N N N N Brazos Education Loan Authorit N/A 10620WAA6 35318.18000000 PA USD 35098.85000000 0.000040447131 Long ABS-MBS CORP US N 2 2035-12-26 Floating 0.80863000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CY9 7000000.00000000 PA USD 5853889.93000000 0.006745892167 Long DBT CORP US N 2 2049-08-15 Fixed 4.40000000 N N N N N N HEALTHCARE TRUST OF AMER 549300IYGAS4GE6VDL07 42225UAH7 17940000.00000000 PA USD 16726157.35000000 0.019274850604 Long DBT CORP US N 2 2031-03-15 Fixed 2.00000000 N N N N N N EVERGY INC 549300PGTHDQY6PSUI61 391164AE0 2521000.00000000 PA USD 2521000.00000000 0.002905144161 Long DBT CORP US N 2 2021-06-01 Fixed 4.85000000 N N N N N N Securitized Asset Backed Recei N/A 81379EAC6 12748844.81000000 PA USD 11080101.34000000 0.012768461610 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.45863000 N N N N N N Lehman Brothers Small Balance N/A 52521GAD7 1178787.61000000 PA USD 1216043.19000000 0.001401341044 Long ABS-MBS CORP US N 2 2037-03-25 Variable 5.62000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5R88 15266281.27000000 PA USD 15954415.92000000 0.018385512996 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3128MXT25 188319.75000000 PA USD 216195.53000000 0.000249138905 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.50000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAF2 2815000.00000000 PA USD 2987553.45000000 0.003442789949 Long DBT CORP IE N 2 2023-07-03 Fixed 4.12500000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 118083.84000000 0.000136077183 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -48865000.00000000 GBP 67542369.06000000 USD 2021-04-23 118083.84000000 N N N Structured Asset Securities Co N/A 863576AH7 1378473.65000000 PA USD 1372043.07000000 0.001581111826 Long ABS-MBS CORP US N 2 2035-04-25 Fixed 5.50000000 N N N N N N Fannie Mae N/A 3136B1S96 32096089.86000000 PA USD 33553618.24000000 0.038666441148 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 3.00000000 N N N N N N Aimco N/A 00900LAG9 3471611.74000000 PA USD 3473587.09000000 0.004002884273 Long ABS-CBDO CORP KY N 2 2028-01-15 Floating 1.09125000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BN3 11400000.00000000 PA USD 10807200.00000000 0.012453976193 Long DBT NUSS PA N 2 2032-09-29 Fixed 2.25200000 N N N N N N NEW YORK CITY NY MUNI WTR FINA N/A 64972GXN9 5575000.00000000 PA USD 7098981.94000000 0.008180708424 Long DBT MUN US N 2 2050-06-15 Fixed 5.00000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BF9 6416000.00000000 PA USD 6894608.83000000 0.007945193411 Long DBT CORP US N 2 2042-10-09 Fixed 4.12500000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660LGD5 482596.68000000 PA USD 433061.51000000 0.000499050423 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.58863000 N N N N N N MASTR Adjustable Rate Mortgage N/A 576433UF1 2817427.04000000 PA USD 2848649.48000000 0.003282720113 Long ABS-MBS CORP US N 2 2034-11-21 Variable 3.17818200 N N N N N N DSLA Mortgage Loan Trust N/A 23332UCM4 140905.96000000 PA USD 140306.36000000 0.000161685919 Long ABS-MBS CORP US N 2 2045-02-19 Floating 0.36025000 N N N N N N KNDL Mortgage Trust N/A 482598AN9 26449000.00000000 PA USD 26457865.70000000 0.030489454212 Long ABS-MBS CORP US N 2 2036-05-15 Floating 1.90600000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DK8 16521000.00000000 PA USD 14092097.94000000 0.016239419300 Long DBT CORP US N 2 2044-07-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179NJA7 50749.38000000 PA USD 54905.69000000 0.000063272092 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 3.50000000 N N N N N N SUNOCO LOGISTICS PARTNER 5493006LL0CKP8WQW329 86765BAQ2 4421000.00000000 PA USD 4673141.30000000 0.005385223786 Long DBT CORP US N 2 2045-05-15 Fixed 5.35000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWJ9 4605000.00000000 PA USD 4727081.54000000 0.005447383315 Long DBT CORP US N 2 2023-06-05 Fixed 2.90800000 N N N N N N PUBLIC SERVICE CO OF NEW OFZN1UT56PNG1CGSR346 744542AC5 14390000.00000000 PA USD 15477140.04000000 0.017835510919 Long DBT CORP US N 2 2025-08-01 Fixed 3.85000000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XEQ7 3135000.00000000 PA USD 3468951.17000000 0.003997541943 Long DBT MUN US N 2 2031-08-01 Fixed 3.88000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376FLM2 30648.29000000 PA USD 4230.89000000 0.000004875583 Long ABS-MBS USGA US N 2 2039-07-16 Floating 6.69387000 N N N N N N Carrington Mortgage Loan Trust N/A 144531DN7 238359.53000000 PA USD 238862.52000000 0.000275259839 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.82863000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PCZ3 13825000.00000000 PA USD 16308879.41000000 0.018793988814 Long DBT CORP US N 2 2047-04-15 Fixed 4.25000000 N N N N N N HSI Asset Securitization Corpo N/A 44328AAA8 58026066.32000000 PA USD 25622146.51000000 0.029526390061 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.24863000 N N N N N N LEVEL 3 FINANCING INC N/A 527298BN2 33755000.00000000 PA USD 34800223.58000000 0.040103001332 Long DBT CORP US N 2 2027-09-15 Fixed 4.62500000 N N N N N N NEW YORK NY 549300ABYZD2SFD5JB29 64966QRN2 30000000.00000000 PA USD 28596309.00000000 0.032953748567 Long DBT MUN US N 2 2029-08-01 Fixed 1.72300000 N N N N N N SBA Senior Finance II LLC 549300PVT2ADFWMYEW87 78404XAH8 43840300.00010000 PA USD 43401020.19000000 0.050014367480 Long LON CORP US N 2 2025-04-11 Floating 1.86000000 N N N N N N Freddie Mac N/A 3128MJYU8 52352201.30000000 PA USD 56113884.96000000 0.064664389243 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3137AUNJ4 11181426.97000000 PA USD 11628496.20000000 0.013400419613 Long ABS-MBS USGSE US N 2 2041-09-15 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179S5P8 26499017.12000000 PA USD 29532394.85000000 0.034032473018 Long ABS-MBS USGA US N 2 2047-05-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H022655 901450000.00000000 PA USD 928145495.23000000 1.069574163699 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179MX62 55238.53000000 PA USD 61868.41000000 0.000071295775 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 4.50000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AQ0 3945000.00000000 PA USD 4146045.29000000 0.004777810102 Long DBT CORP US N 2 2027-04-15 Fixed 5.50000000 N N N N N N Fannie Mae N/A 31394VED8 41508.11000000 PA USD 4974.88000000 0.000005732940 Long ABS-MBS USGSE US N 2 2035-11-25 Floating 6.49137000 N N N N N N First Horizon Alternative Mort N/A 32051GXE0 12617060.39000000 PA USD 11518735.19000000 0.013273933473 Long ABS-MBS CORP US N 2 2035-11-25 Variable 2.29366900 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LP4 5220000.00000000 PA USD 5714647.98000000 0.006585432850 Long DBT CORP US N 2 2028-07-24 Fixed 3.66800000 N N N N N N SLM Student Loan Trust 549300JQFJDGC1WO7674 78445CAD4 12716419.34000000 PA USD 12691517.54000000 0.014625421691 Long ABS-O CORP US N 2 2023-07-25 Floating 1.31775000 N N N N N N LIVE NATION ENTERTAINMEN 5493007B9BM9ZXJINO78 538034AN9 14000000.00000000 PA USD 14548962.96000000 0.016765900357 Long DBT CORP US N 2 2026-03-15 Fixed 5.62500000 N N N N N N Babson CLO Ltd 5493000D71NBEM2WZE67 06760PAC5 35811000.00000000 PA USD 35793953.96000000 0.041248154054 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.17400000 N N N N N N CPT MORTGAGE TRUST N/A 12654YAA7 32645000.00000000 PA USD 33887814.74000000 0.039051561739 Long ABS-MBS CORP US N 2 2039-11-13 Fixed 2.86500000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAH3 13275000.00000000 PA USD 15593583.76000000 0.017969698064 Long DBT CORP US N 2 2036-02-01 Fixed 4.70000000 N N N N N N Lehman XS Trust N/A 86359DUR6 5981504.78000000 PA USD 5920059.17000000 0.006822144123 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.40863000 N N N N N N SAUDI ARABIAN OIL CO 5586006WD91QHB7J4X50 000000000 5663000.00000000 PA USD 6120826.82000000 0.007053504284 Long DBT CORP SA N 2 2039-04-16 Fixed 4.25000000 N N N N N N Dryden Senior Loan Fund 549300AS2O1RYPD2ED41 26249BAQ4 18924694.88000000 PA USD 18934119.38000000 0.021819256792 Long ABS-CBDO CORP KY N 2 2028-11-15 Floating 1.01375000 N N N N N N PT PERTAMINA (PERSERO) 254900NDAKGNZ2IBBL45 69370PAH4 44071000.00000000 PA USD 44475878.95000000 0.051253010737 Long DBT CORP ID N 2 2030-08-27 Fixed 3.10000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379DHE7 10255048.59000000 PA USD 10578577.94000000 0.012190517231 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 2.62500000 N N N N N N Nationstar Home Equity Loan Tr N/A 63860FAD5 4837720.85000000 PA USD 4781502.18000000 0.005510096446 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.38863000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2Q5 117700000.00000000 PA USD 115665242.42000000 0.133290045112 Long DBT CORP US N 2 2041-04-30 Fixed 3.06800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179RD97 1324986.07000000 PA USD 1486025.94000000 0.001712463143 Long ABS-MBS USGA US N 2 2045-05-20 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3128MFPH5 31710960.46000000 PA USD 34202593.68000000 0.039414305967 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378WRW5 51184000.00000000 PA USD 53990109.06000000 0.062216997273 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 3.00000000 N N N N N N Banc of America Mortgage Secur N/A 05949AY87 282505.28000000 PA USD 288623.36000000 0.000332603121 Long ABS-MBS CORP US N 2 2035-04-25 Variable 3.36031500 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAE5 5015000.00000000 PA USD 5240557.40000000 0.006039101441 Long DBT CORP IE N 2 2028-01-23 Fixed 3.87500000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550BN5 5775000.00000000 PA USD 6518136.12000000 0.007511354658 Long DBT CORP US N 2 2042-08-15 Fixed 5.00000000 N N N N N N Freddie Mac N/A 3128M4FU2 682097.70000000 PA USD 793320.07000000 0.000914204351 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBH3 257043000.00000000 PA USD 250657087.97000000 0.288851636536 Long DBT UST US N 1 2026-01-31 Fixed 0.37500000 N N N N N N Bear Stearns Asset Backed Secu N/A 07384YPH3 558608.99000000 PA USD 568221.98000000 0.000654806333 Long ABS-MBS CORP US N 2 2034-01-25 Variable 5.50000000 N N N N N N Change Healthcare Holdings LLC 549300GHXFJ3EKF50583 15911AAC7 26791800.82850000 PA USD 26793274.38000000 0.030875971693 Long LON CORP US N 2 2024-03-01 Floating 3.50000000 N N N N N N Fannie Mae N/A 31359BPX9 6255.53000000 PA USD 6251.42000000 0.000007203996 Long ABS-MBS USGSE US N 2 2022-10-25 None 0.00000000 N N N N N N MGM RESORTS INTL 54930066VBP7DZEGGJ87 552953CC3 30000.00000000 PA USD 32179.08000000 0.000037082453 Long DBT CORP US N 2 2023-03-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179RBZ1 30095.62000000 PA USD 33760.23000000 0.000038904535 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 4.50000000 N N N N N N DP WORLD CRESCENT LTD 21380096JRTWB8TL9236 26139PAB9 7600000.00000000 PA USD 8512000.00000000 0.009809038914 Long DBT CORP KY N 2 2028-09-26 Fixed 4.84800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H020659 1727625000.00000000 PA USD 1740952849.44000000 2.006235226642 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 2.00000000 N N N N N N First Franklin Mtg Loan Asset N/A 32028TAD9 65419780.81000000 PA USD 45868130.73000000 0.052857410630 Long ABS-MBS CORP US N 2 2038-01-25 Floating 0.24863000 N N N N N N BECTON DICKINSON AND CO ICE2EP6D98PQUILVRZ91 075887CJ6 14175000.00000000 PA USD 14581156.84000000 0.016802999867 Long DBT CORP US N 2 2030-05-20 Fixed 2.82300000 N N N N N N US AIRWAYS 2012-2A PTT N/A 90345WAD6 7893.61000000 PA USD 7454.66000000 0.000008590583 Long DBT CORP US N 2 2025-06-03 Fixed 4.62500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -5000.00000000 NC USD -1250000.00000000 -0.00144047211 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long INTERCONTENTIAL EXCHANGE EURIBOR 3 MONTH 2024-12-16 0.00000000 USD 1000000.00000000 98.75000000 USD 2021-12-10 XXXX 424200.00000000 N N N WAMU Mortgage Pass-Through Cer N/A 93364FAM3 214972.63000000 PA USD 215240.36000000 0.000248038189 Long ABS-MBS CORP US N 2 2037-07-25 Variable 3.32454600 N N N N N N CIM Trust N/A 12553QAA6 54823285.57000000 PA USD 55984297.48000000 0.064515055522 Long ABS-MBS CORP US N 2 2057-08-25 Variable 3.69000000 N N N N N N Bear Stearns Alt-A Trust N/A 073871BN4 1636368.31000000 PA USD 1055305.87000000 0.001216110942 Long ABS-MBS CORP US N 2 2036-07-25 Variable 3.17886100 N N N N N N SS&C Technologies Inc 549300KY09TR3J12JU49 78466DBD5 7921735.33210000 PA USD 7852935.06000000 0.009049547180 Long LON CORP US N 2 2025-04-16 Floating 1.85850000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABR5 3845000.00000000 PA USD 3855886.69000000 0.004443437804 Long DBT CORP US N 2 2026-02-15 Fixed 2.25000000 N N N N N N Banc of America Funding Corpor N/A 05970XAA0 8973801.06000000 PA USD 9056090.82000000 0.010436037038 Long ABS-MBS CORP US N 2 2040-03-25 Variable 2.50000000 N N N N N N Freddie Mac N/A 3128KRJH8 8574.31000000 PA USD 9701.66000000 0.000011179976 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.00000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638BU5 31282000.00000000 PA USD 35047101.52000000 0.040387497963 Long DBT NUSS PE N 2 2027-08-25 Fixed 4.12500000 N N N N N N UNIV OF CALIFORNIA CA RGTS MED N/A 913366KC3 40075000.00000000 PA USD 40129300.82000000 0.046244111063 Long DBT MUN US N 2 2060-05-15 Fixed 3.25600000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AS5 9915000.00000000 PA USD 11309779.54000000 0.013033137644 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N JP Morgan Mortgage Trust N/A 466247AW3 81548.80000000 PA USD 81011.21000000 0.000093355511 Long ABS-MBS CORP US N 2 2033-11-25 Variable 2.30939000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687FY7 50500000.00000000 PA USD 53508638.00000000 0.061662160764 Long DBT CORP US N 2 2040-05-13 Fixed 3.50000000 N N N N N N Countrywide Home Loans N/A 12669FXJ7 65464.82000000 PA USD 66290.41000000 0.000076391589 Long ABS-MBS CORP US N 2 2034-06-25 Variable 3.48756400 N N N N N N PETRONAS CAPITAL LTD 549300G7YFX3540OYR85 716743AP4 21707000.00000000 PA USD 23265562.60000000 0.026810715333 Long DBT CORP MY N 2 2030-04-21 Fixed 3.50000000 N N N N N N Nelnet Student Loan Trust N/A 64033MAB4 11630000.00000000 PA USD 11836261.77000000 0.013639844021 Long ABS-O CORP US N 2 2048-11-25 Floating 1.05863000 N N N N N N MOLINA HEALTHCARE INC 549300NQQCEQ46YHZ591 60855RAK6 46518000.00000000 PA USD 47907668.50000000 0.055207728458 Long DBT CORP US N 2 2030-11-15 Fixed 3.87500000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796D48 505000000.00000000 PA USD 504960736.25000000 0.581905487826 Long DBT UST US N 1 2021-08-19 None 0.00000000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAA7 24625000.00000000 PA USD 28848276.15000000 0.033244109889 Long DBT CORP US N 2 2044-07-15 Fixed 5.45000000 N N N N N N Freddie Mac N/A 3128MJ2S8 96026.77000000 PA USD 101879.97000000 0.000117404204 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.50000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523CF5 38613000.00000000 PA USD 46385191.45000000 0.053453259869 Long DBT CORP US N 2 2046-07-15 Fixed 4.80000000 N N N N N N Freddie Mac N/A 3132L5MD2 31278764.82000000 PA USD 34060380.06000000 0.039250422164 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAR2 75412000.00000000 PA USD 79418360.54000000 0.091519947027 Long DBT CORP US N 2 2027-12-15 Fixed 4.25000000 N N N N N N SUNOCO LOGISTICS PARTNER 5493006LL0CKP8WQW329 86765BAT6 18019000.00000000 PA USD 19368430.30000000 0.022319747008 Long DBT CORP US N 2 2026-07-15 Fixed 3.90000000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AE7 6750000.00000000 PA USD 6687427.50000000 0.007706442268 Long DBT CORP US N 2 2030-10-01 Fixed 3.75000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 706451BG5 47662000.00000000 PA USD 45414498.39000000 0.052334654841 Long DBT CORP MX N 2 2035-06-15 Fixed 6.62500000 N N N N N N GALAXY PIPELINE ASSETS 549300L82YB0C6JQIC26 36321PAD2 10313000.00000000 PA USD 10016486.30000000 0.011542775365 Long DBT CORP JE N 2 2034-03-31 Fixed 2.16000000 N N N N N N ChaseFlex Trust N/A 16165MAD0 6593036.06000000 PA USD 5581514.01000000 0.006432012233 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.30863000 N N N N N N Freddie Mac N/A 3132XCR72 287473869.34000000 PA USD 307918053.64000000 0.354837896000 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N First Franklin Mtg Loan Asset N/A 32029GAA2 58818158.46000000 PA USD 39142081.64000000 0.045106461703 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.24863000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92553PAU6 11842000.00000000 PA USD 15176048.67000000 0.017488539941 Long DBT CORP US N 2 2043-09-01 Fixed 5.85000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SSS7 27940500.31000000 PA USD 31181683.84000000 0.035933076858 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 4.50000000 N N N N N N TUCSON ELECTRIC POWER CO YLF139GXSRKPBBTNZL03 898813AQ3 8755000.00000000 PA USD 10640568.29000000 0.012261953528 Long DBT CORP US N 2 2048-12-01 Fixed 4.85000000 N N N N N N HarborView Mortgage Loan Trust N/A 41162CAA9 64405085.43000000 PA USD 55153868.11000000 0.063558087241 Long ABS-MBS CORP US N 2 2036-11-19 Floating 0.31025000 N N N N N N FARMERS EXCHANGE CAPITAL N/A 309588AE1 18415000.00000000 PA USD 24724823.33000000 0.028492334845 Long DBT CORP US N 2 2048-07-15 Fixed 7.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CLH5 32196632.96000000 PA USD 34723829.10000000 0.040014966038 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N Credit-Based Asset Servicing a N/A 04542BDT6 2248506.51000000 PA USD 2202945.92000000 0.002538625735 Long ABS-MBS CORP US N 2 2033-03-25 Floating 1.14363000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBG5 3494369000.00000000 PA USD 3492731014.53000000 4.024945305549 Long DBT UST US N 1 2023-01-31 Fixed 0.12500000 N N N N N N SLM Student Loan Trust 5493008U32QWNGB0TW72 78443HAF0 32989000.00000000 PA USD 32348756.09000000 0.037277984884 Long ABS-O CORP US N 2 2041-01-25 Floating 0.37775000 N N N N N N CIM Trust N/A 12563RAC8 140138088.76000000 PA USD 140356788.26000000 0.161744031721 Long ABS-MBS CORP US N 2 2056-08-25 Variable 2.40000000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BE6 19950000.00000000 PA USD 21215271.89000000 0.024448006057 Long DBT CORP US N 2 2054-09-15 Fixed 4.37500000 N N N N N N Intelsat Jackson Holdings SA 8XJ8KF85PBKK1TLMFN29 000000000 5901830.70000000 PA USD 5987407.25000000 0.006899754548 Long LON CORP LU N 2 2021-07-14 Floating 6.50000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDE9 11085000.00000000 PA USD 10628298.00000000 0.012247813519 Long DBT CORP MX N 2 2031-01-28 Fixed 5.95000000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687FR2 46500000.00000000 PA USD 56735745.54000000 0.065381007503 Long DBT CORP US N 2 2040-03-23 Fixed 4.62500000 N N N N N N SOUTHERN CO GAS CAPITAL E8CD46SWUD2TSN8PA636 8426EPAC2 50000.00000000 PA USD 55472.48000000 0.000063925248 Long DBT CORP US N 2 2047-05-30 Fixed 4.40000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922F2G2 25027571.46000000 PA USD 24879796.16000000 0.028670922078 Long ABS-MBS CORP US N 2 2045-08-25 Floating 0.74863000 N N N N N N SAN FRANCISCO CA CITY & CNTY P N/A 79771FAA5 16975000.00000000 PA USD 16895556.66000000 0.019470062590 Long DBT MUN US N 2 2041-11-01 Fixed 2.82500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376T2W1 44437.40000000 PA USD 9356.17000000 0.000010781841 Long ABS-MBS USGA US N 2 2040-01-16 Floating 6.29387000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 118100000.00000000 PA USD 133473414.77000000 0.153811785665 Long DBT CORP US N 2 2028-12-15 Fixed 4.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DLY6 31700384.21000000 PA USD 32409887.94000000 0.037348431864 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N Deutsche Alt-A Securities INC N/A 251510KC6 343752.72000000 PA USD 335432.46000000 0.000386544884 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.50000000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AR5 12870000.00000000 PA USD 12772831.89000000 0.014719126534 Long DBT CORP US N 2 2031-09-15 Fixed 4.50000000 N N N N N N PENNSYLVANIA ELECTRIC CO O1PLQWO3TX952VMBJ146 708696BX6 28335000.00000000 PA USD 30270930.79000000 0.034883545360 Long DBT CORP US N 2 2025-04-15 Fixed 4.15000000 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 817826AH3 26990000.00000000 PA USD 27019092.79000000 0.031136199791 Long DBT CORP US N 2 2022-08-10 Floating 0.64538000 N N N N N N Freddie Mac N/A 3133TAG22 53781.51000000 PA USD 61250.82000000 0.000070584078 Long ABS-MBS USGSE US N 2 2027-07-15 Fixed 7.00000000 N N N N N N Credit-Based Asset Servicing a N/A 1248MBAJ4 30513088.17000000 PA USD 24948388.82000000 0.028749966729 Long ABS-MBS CORP US N 2 2037-02-25 Variable 3.79314400 N N N N N N GSAMP Trust N/A 362334EC4 83718.54000000 PA USD 82696.08000000 0.000095297117 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.68863000 N N N N N N Madison Park Funding Ltd N/A 55821UAA2 30825000.00000000 PA USD 30840258.38000000 0.035539625774 Long ABS-CBDO CORP KY N 2 2033-04-19 Floating 1.29208000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 000000000 15807000.00000000 PA USD 18797842.47000000 0.021662214321 Long DBT CORP KZ N 2 2047-04-19 Fixed 5.75000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962GW75 9790000.00000000 PA USD 9538555.11000000 0.010992018123 Long DBT CORP US N 2 2026-05-05 Floating 0.57513000 N N N N N N LIVE NATION ENTERTAINMEN 5493007B9BM9ZXJINO78 538034AR0 6140000.00000000 PA USD 6195659.10000000 0.007139739334 Long DBT CORP US N 2 2027-10-15 Fixed 4.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179QGE5 13615.06000000 PA USD 15274.73000000 0.000017602258 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 4.50000000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAA5 51430000.00000000 PA USD 54356959.47000000 0.062639747502 Long DBT CORP GB N 2 2024-03-08 Fixed 3.76600000 N N N N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111FT5 14546000.00000000 PA USD 17293006.86000000 0.019928075334 Long DBT CORP US N 2 2048-12-01 Fixed 4.65000000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AA6 45679000.00000000 PA USD 48317514.97000000 0.055680026387 Long DBT CORP US N 2 2023-04-15 Fixed 3.75000000 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAM4 28590000.00000000 PA USD 30611005.66000000 0.035275440054 Long DBT CORP US N 2 2024-12-15 Fixed 3.45000000 N N N N N N Freddie Mac N/A 312945ZB7 9261453.08000000 PA USD 10178010.93000000 0.011728912745 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.00000000 N N N N N N Scholar Funding Trust N/A 80705WAB5 20161808.59000000 PA USD 20519132.29000000 0.023645790311 Long ABS-MBS CORP US N 2 2046-03-28 Floating 1.20913000 N N N N N N Impac Secured Assets Corp. N/A 45254TQB3 208534.23000000 PA USD 211798.96000000 0.000244072396 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.00863000 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 085770AA3 48410000.00000000 PA USD 51275872.00000000 0.059089171034 Long DBT CORP US N 2 2026-07-15 Fixed 4.87500000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAB5 23330000.00000000 PA USD 25432256.97000000 0.029307565591 Long DBT CORP US N 2 2025-01-15 Fixed 4.35000000 N N N N N N USA COM PART/USA COM FIN N/A 91740PAF5 18450000.00000000 PA USD 19034680.50000000 0.021935141183 Long DBT CORP US N 2 2027-09-01 Fixed 6.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FXC5 44865.43000000 PA USD 50338.76000000 0.000058009264 Long ABS-MBS USGA US N 2 2041-09-20 Fixed 4.50000000 N N N N N N Berry Global Inc 549300AP2Q7ERHX6RI89 08579JBG6 79560418.41950000 PA USD 79038104.27000000 0.091081748184 Long LON CORP US N 2 2026-07-01 Floating 1.89813000 N N N N N N JP Morgan Mortgage Acquisition N/A 46630KAB2 8253997.80000000 PA USD 6456862.29000000 0.007440744063 Long ABS-MBS CORP US N 2 2047-03-25 Variable 4.21185500 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SUV7 20086.19000000 PA USD 21513.04000000 0.000024791147 Long ABS-MBS USGA US N 2 2047-01-20 Fixed 3.50000000 N N N N N N SLM Student Loan Trust N/A 78447AAA2 15089266.45000000 PA USD 15102195.39000000 0.017403433068 Long ABS-O CORP US N 2 2038-12-27 Floating 0.75863000 N N N N N N Impac CMB Trust N/A 45254NML8 3407492.05000000 PA USD 3322135.74000000 0.003828355116 Long ABS-MBS CORP US N 2 2035-04-25 Floating 0.62863000 N N N N N N Lehman XS Trust N/A 52522HAA0 34292699.17000000 PA USD 31373773.20000000 0.036154436351 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.42863000 N N N N N N Rockford Tower CLO Ltd 549300G18KVCW7VUKI86 77340GAJ0 26680000.00000000 PA USD 26643848.60000000 0.030703776757 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 1.26125000 N N N N N N SLM Student Loan Trust 549300OORAXMFXOHG132 78444GAC8 17322.64000000 PA USD 17225.88000000 0.000019850719 Long ABS-O CORP US N 2 2021-10-25 Floating 1.21775000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CLK8 34160990.70000000 PA USD 36189842.68000000 0.041704367383 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 3.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BJ2 100000.00000000 PA USD 108447.14000000 0.000124972064 Long DBT CORP US N 2 2028-02-15 Fixed 3.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SSQ1 82650224.80000000 PA USD 88280088.67000000 0.101732004837 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 3.50000000 N N N N N N JP Morgan Mortgage Trust N/A 46628LAD0 1252795.45000000 PA USD 1089669.21000000 0.001255710489 Long ABS-MBS CORP US N 2 2036-06-25 Variable 3.29666200 N N N N N N Sequoia Mortgage Trust N/A 81743PAP1 42671.58000000 PA USD 42510.20000000 0.000048987806 Long ABS-MBS CORP US N 2 2033-06-20 Floating 0.77088000 N N N N N N Nomura Resecuritization Trust N/A 65540CAC7 542367.53000000 PA USD 546038.38000000 0.000629242448 Long ABS-MBS CORP US N 2 2036-11-26 Floating 0.32419000 N N N N N N Freddie Mac N/A 3132H7DB7 46119433.47000000 PA USD 50209241.19000000 0.057860009483 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N HEALTHCARE REALTY TRUST 549300CB86LH2IOKHH22 421946AJ3 20446000.00000000 PA USD 22193712.83000000 0.025575539569 Long DBT CORP US N 2 2025-05-01 Fixed 3.87500000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 45520000.00000000 NC USD 3192677.21000000 0.003679169994 N/A DIR CORP US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 Put Purchased CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2024-01-19 0.00000000 USD 0.00000000 USD 0.00000000 USD 45520000.00000000 USD 2.75000000 USD 2024-01-19 XXXX 1842637.21000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202EZF9 1002.82000000 PA USD 1110.61000000 0.000001279842 Long ABS-MBS USGA US N 2 2039-01-20 Fixed 5.00000000 N N N N N N SLM Student Loan Trust 549300SRMXHPGI3BJ386 78444YAD7 29891430.60000000 PA USD 30111725.66000000 0.034700080920 Long ABS-O CORP US N 2 2023-07-25 Floating 1.91775000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SSP3 210725835.42000000 PA USD 222372374.19000000 0.256256963349 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416XLH1 9850742.24000000 PA USD 10516241.15000000 0.012118681705 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q75Y9 4653033.42000000 PA USD 4933237.23000000 0.005684952533 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N CIM Trust N/A 12559WAB5 105566995.57000000 PA USD 104766322.69000000 0.120730373148 Long ABS-MBS CORP US N 2 2060-06-25 Variable 3.30000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523CJ7 4157000.00000000 PA USD 4171539.07000000 0.004807188565 Long DBT CORP US N 2 2040-03-15 Fixed 3.20000000 N N N N N N Citicorp Residential Mortgage N/A 17310EAE8 215078.12000000 PA USD 219142.51000000 0.000252534939 Long ABS-MBS CORP US N 2 2036-09-25 Variable 5.21997300 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAK0 10268000.00000000 PA USD 10441272.50000000 0.012032289505 Long DBT CORP CA N 2 2025-08-01 Fixed 3.75000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XBF0 2000000.00000000 PA USD 2202691.64000000 0.002538332708 Long DBT CORP US N 2 2028-10-01 Fixed 4.62500000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92556HAD9 48485000.00000000 PA USD 54279666.35000000 0.062550676634 Long DBT CORP US N 2 2032-05-19 Fixed 4.20000000 N N N N N N Countrywide Home Loans N/A 12669GJY8 94017.61000000 PA USD 91132.26000000 0.000105018783 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.76863000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BX6 10936000.00000000 PA USD 12122176.52000000 0.013969325800 Long DBT CORP US N 2 2029-06-15 Fixed 4.12500000 N N N N N N First Franklin Mtg Loan Asset N/A 32029GAE4 26261934.53000000 PA USD 16237223.63000000 0.018711414292 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.32863000 N N N N N N Merrill Lynch Mortgage Investo N/A 59020U6M2 23210252.96000000 PA USD 8302850.60000000 0.009568019812 Long ABS-MBS CORP US N 2 2037-03-25 Variable 3.79362000 N N N N N N Deutsche Alt-A Securities INC N/A 25150PAA7 1688678.87000000 PA USD 838403.90000000 0.000966157951 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.36863000 N N N N N N Asset Backed Securities Corp H N/A 04544NAR5 18411000.00000000 PA USD 16969617.54000000 0.019555408696 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.33863000 N N N N N N Citigroup Mortgage Loan Trust N/A 17307G6K9 9030615.97000000 PA USD 8057437.06000000 0.009285210723 Long ABS-MBS CORP US N 2 2036-03-25 Variable 2.82457000 N N N N N N ANTERO RESOURCES CORP APVBKPOULHUX7YZLKU17 03674XAJ5 2404000.00000000 PA USD 2409457.08000000 0.002776604588 Long DBT CORP US N 2 2025-03-01 Fixed 5.00000000 N N N N N N Residential Accredit Loans, In N/A 748940AG8 33441724.46000000 PA USD 642960.63000000 0.000740933486 Long ABS-MBS CORP US N 3 2036-06-25 Variable 0.68612600 N N N N N N Brazos Higher Education Author N/A 10620NCL0 24361000.00000000 PA USD 24511599.70000000 0.028246620691 Long ABS-MBS CORP US N 2 2036-10-27 Floating 1.21775000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 28000000000.00000000 PA 253411544.62000000 0.292025810933 Long DBT NUSS JP N 2 2021-04-12 None 0.00000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCJ3 65795000.00000000 PA USD 65818263.14000000 0.075847498173 Long DBT CORP US N 2 2021-04-09 Fixed 3.55000000 N N N N N N CABLE ONE INC 549300648QS85T0XSH18 12685JAC9 16432000.00000000 PA USD 16241881.76000000 0.018716782217 Long DBT CORP US N 2 2030-11-15 Fixed 4.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922F7P7 10285805.57000000 PA USD 9950096.42000000 0.011466269148 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.64863000 N N N N N N SPRINT CORP 549300ZTTY7CXOLJ6539 85207UAF2 12820000.00000000 PA USD 14669285.00000000 0.016904556792 Long DBT CORP US N 2 2023-09-15 Fixed 7.87500000 N N N N N N Countrywide Home Loans N/A 22239EAA4 1105224.62000000 PA USD 974860.39000000 0.001123407366 Long ABS-MBS CORP US N 2 2037-03-25 Variable 3.09176700 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179RGB9 497900.20000000 PA USD 558442.49000000 0.000643536667 Long ABS-MBS USGA US N 2 2045-06-20 Fixed 4.50000000 N N N N N N ENDEAVOR ENERGY RESOURCE N/A 29260FAD2 2377000.00000000 PA USD 2472793.10000000 0.002849591605 Long DBT CORP US N 2 2026-01-30 Fixed 5.50000000 N N N N N N Freddie Mac N/A 3137AEXB6 32095702.00000000 PA USD 35135286.94000000 0.040489120874 Long ABS-MBS USGSE US N 2 2041-09-15 Fixed 4.00000000 N N N N N N SLM Student Loan Trust 549300EQOYJZL2D96G46 78445AAD8 2041917.78000000 PA USD 2076271.41000000 0.002392648855 Long ABS-O CORP US N 2 2022-07-25 Floating 1.86775000 N N N N N N DENVER CITY & CNTY CO ARPT REV N/A 249182PU4 13450000.00000000 PA USD 13207802.08000000 0.015220376478 Long DBT MUN US N 2 2032-11-15 Fixed 2.51700000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 000000000 500000000.00000000 PA USD 500000000.00000000 0.576188846035 Long RA CORP US N 2 Repurchase Y 0.01000000 2021-04-01 500000000.43920000 USD 500000000.43920000 USD UST N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAY9 13932000.00000000 PA USD 15778507.16000000 0.018182799665 Long DBT CORP US N 2 2025-08-15 Fixed 5.50000000 N N N N N N Gentiva Health Services Inc 549300STP29LPEN7S547 37249UAU0 53127717.88090000 PA USD 52906440.94000000 0.060968202306 Long LON CORP US N 2 2025-07-02 Floating 2.75000000 N N N N N N Countrywide Home Loans N/A 12669GUJ8 656413.40000000 PA USD 652499.27000000 0.000751925602 Long ABS-MBS CORP US N 2 2035-04-25 Variable 3.19832000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGJ7 114750000.00000000 PA USD 114661975.28000000 0.132133902441 Long DBT CORP US N 2 2031-03-21 Fixed 2.55000000 N N N N N N EMPRESA DE TRANSPORTE ME 959800T4M5QUPYMSCH69 29246QAD7 9660000.00000000 PA USD 10498198.20000000 0.012097889412 Long DBT CORP CL N 2 2030-05-07 Fixed 3.65000000 N N N N N N SS&C TECHNOLOGIES INC 549300KY09TR3J12JU49 78466CAC0 3053000.00000000 PA USD 3255413.90000000 0.003751466356 Long DBT CORP US N 2 2027-09-30 Fixed 5.50000000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550AT3 9835000.00000000 PA USD 12045562.30000000 0.013881037282 Long DBT CORP US N 2 2035-03-15 Fixed 5.80000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179RLR8 50845.00000000 PA USD 56926.41000000 0.000065600724 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 4.50000000 N N N N N N Neuberger Berman CLO Ltd 549300MZGBBYK103F794 64133KAU5 25455000.00000000 PA USD 25484298.71000000 0.029367537331 Long ABS-CBDO CORP KY N 2 2033-04-20 Floating 1.47400000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JBD9 18977000.00000000 PA USD 20310740.00000000 0.023405643685 Long DBT CORP US N 2 2042-09-15 Fixed 4.50000000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 45262BAA1 13985000.00000000 PA USD 14799491.57000000 0.017054603939 Long DBT CORP GB N 2 2024-07-26 Fixed 3.12500000 N N N N N N Argent Securities Inc. N/A 040104NX5 12354349.46000000 PA USD 12123538.09000000 0.013970894843 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.62863000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YC8 300000000.00000000 PA USD 301816410.00000000 0.347806497984 Long DBT UST US N 1 2021-08-31 Fixed 1.50000000 N N N N N N Saxon Asset Securities Trust N/A 80557BAD6 32174000.00000000 PA USD 30856252.70000000 0.035558057272 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.50863000 N N N N N N WEA FINANCE LLC 3CYEJKBUJZO3UW777J80 92928QAC2 6330000.00000000 PA USD 6456990.05000000 0.007440891291 Long DBT CORP US N 2 2022-04-05 Fixed 3.15000000 N N N N N N MACQUARIE GROUP LTD ACMHD8HWFMFUIQQ8Y590 55608JAR9 31770000.00000000 PA USD 31194815.90000000 0.035948209951 Long DBT CORP AU N 2 2027-01-12 Fixed 1.34000000 N N N N N N GSAMP Trust N/A 362341C56 25693000.00000000 PA USD 25210626.77000000 0.029052163892 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.45863000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 836205BA1 29185000.00000000 PA USD 29411256.71000000 0.033892876128 Long DBT NUSS ZA N 2 2029-09-30 Fixed 4.85000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92925CDA7 12411670.98000000 PA USD 12086122.66000000 0.013927778137 Long ABS-MBS CORP US N 2 2046-02-25 Floating 1.25903000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAQ6 34900000.00000000 PA USD 36078199.57000000 0.041575712354 Long DBT CORP US N 2 2030-05-15 Fixed 3.75000000 N N N N N N Credit-Based Asset Servicing a N/A 81375WHH2 6631125.11000000 PA USD 5423552.80000000 0.006249981258 Long ABS-MBS CORP US N 2 2036-01-25 Variable 3.07008100 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5UN1 24262242.55000000 PA USD 26284369.45000000 0.030289521004 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N Fannie Mae N/A 3136B2TU6 31512698.98000000 PA USD 32695094.84000000 0.037677097933 Long ABS-MBS USGSE US N 2 2047-01-25 Fixed 3.50000000 N N N N N N Bear Stearns Asset Backed Secu N/A 07387UGR6 352056.78000000 PA USD 369373.64000000 0.000425657942 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6.00000000 N N N N N N Freddie Mac N/A 3137FKBE5 31553724.94000000 PA USD 33276826.53000000 0.038347472556 Long ABS-MBS USGSE US N 2 2047-11-15 Fixed 4.00000000 N N N N N N Credit Suisse First Boston Mor N/A 22541QNF5 10824.11000000 PA USD 11511.66000000 0.000013265780 Long ABS-MBS CORP US N 2 2033-08-25 Variable 3.11065800 N N N N N N HOLLYFRONTIER CORP 549300J3U2WK73C9ZK26 436106AA6 15800000.00000000 PA USD 17887629.51000000 0.020613305211 Long DBT CORP US N 2 2026-04-01 Fixed 5.87500000 N N N N N N CIM Trust N/A 12553GAA8 41163059.19000000 PA USD 41224165.75000000 0.047505808984 Long ABS-MBS CORP US N 2 2057-06-25 Variable 3.01500000 N N N N N N Nelnet Student Loan Trust N/A 64031MAA8 109144921.97000000 PA USD 108337400.17000000 0.124845603172 Long ABS-O CORP US N 2 2046-04-25 Floating 0.69863000 N N N N N N SS&C Technologies Inc 549300KY09TR3J12JU49 78466DBF0 5365980.82610000 PA USD 5320155.35000000 0.006130828343 Long LON CORP US N 2 2025-04-16 Floating 1.85850000 N N N N N N First Horizon Mortgage Pass-Th N/A 32056JAA2 131450.59000000 PA USD 96268.96000000 0.000110938201 Long ABS-MBS CORP US N 2 2037-11-25 Variable 2.93726600 N N N N N N Freddie Mac N/A 3128MJXK1 26926709.39000000 PA USD 28854582.62000000 0.033251377325 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A 31335HT60 10950.19000000 PA USD 11336.47000000 0.000013063895 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 6.50000000 N N N N N N Countrywide Alternative Loan T N/A 12667FRG2 6775.71000000 PA USD 6999.39000000 0.000008065940 Long ABS-MBS CORP US N 2 2031-11-25 Fixed 6.50000000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAR2 10000000.00000000 PA USD 10078992.50000000 0.011614806115 Long DBT CORP US N 2 2030-02-06 Fixed 2.70000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45667SAN7 40262651.68000000 PA USD 39413617.04000000 0.045419373040 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.30863000 N N N N N N FNBA Mortgage Pass Through Cer N/A 30251YAB4 640.76000000 PA USD 641.24000000 0.000000738950 Long ABS-MBS CORP US N 2 2034-08-19 Floating 0.91025000 N N N N N N Eaton Vance CDO Ltd 5493004NKU3QU5G6QW39 278300AA6 34575000.00000000 PA USD 34692900.75000000 0.039979324897 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.89125000 N N N N N N Fidelity Government Portfolio N/A 316175108 4177529933.05000000 NS USD 4177529933.05000000 4.814092302806 Long STIV RF US N 1 N N N Ace Securities Corp. N/A 00442UAA7 36996780.75000000 PA USD 31323132.04000000 0.036096078608 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.48863000 N N N N N N Impac Secured Assets Corp. N/A 452570AA2 5919982.10000000 PA USD 5060729.26000000 0.005831871504 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.21863000 N N N N N N EFS Volunteer No 2 LLC N/A 26845BAB5 12401392.50000000 PA USD 12668409.49000000 0.014598792490 Long ABS-MBS CORP US N 2 2036-03-25 Floating 1.45863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SQW0 77157309.79000000 PA USD 82638295.03000000 0.095230527703 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 3.50000000 N N N N N N Structured Asset Mortgage Inve N/A 86361HAA2 19127214.80000000 PA USD 18307537.14000000 0.021097197396 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.31863000 N N N N N N Morgan Stanley ReRemic Trust N/A 61763LAJ1 1091764.31000000 PA USD 1097745.10000000 0.001265016964 Long ABS-MBS CORP US N 2 2046-12-26 Floating 1.19916000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMC3 41103000.00000000 PA USD 38055974.19000000 0.043854855706 Long DBT CORP US N 2 2053-09-15 Fixed 3.50000000 N N N N N N GSR Mortgage Loan Trust N/A 3622N6AC3 1654123.59000000 PA USD 1331815.79000000 0.001534754806 Long ABS-MBS CORP US N 2 2037-05-25 Variable 3.05249700 N N N N N N JETBLUE AIRWAYS CORP N/A 477164AA5 10650000.00000000 PA USD 11571017.11000000 0.013334181992 Long DBT CORP US N 2 2032-11-15 Fixed 4.00000000 N N N N N N Citigroup Mortgage Loan Trust N/A 17309BAL1 38091711.34000000 PA USD 26951603.71000000 0.031058426880 Long ABS-MBS CORP US N 2 2036-05-25 Variable 7.25000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F020653 9975100000.00000000 PA USD 9938862456.72000000 11.45332337968 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Countrywide Asset-Backed Certi N/A 126670CJ5 548500.24000000 PA USD 548736.10000000 0.000632351240 Long ABS-MBS CORP US N 2 2034-03-25 Variable 5.21000000 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 233851DN1 5103000.00000000 PA USD 5204402.12000000 0.005997436903 Long DBT CORP US N 2 2021-11-05 Fixed 3.75000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CZ1 123050000.00000000 PA USD 151183130.69000000 0.174220067224 Long DBT CORP US N 2 2048-03-25 Fixed 5.05000000 N N N N N N AEP TRANSMISSION CO LLC 549300X123Z1I0LA3Y84 00115AAM1 1460000.00000000 PA USD 1555629.82000000 0.001792673101 Long DBT CORP US N 2 2050-04-01 Fixed 3.65000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBM3 7866000.00000000 PA USD 7958196.84000000 0.009170848507 Long DBT CORP US N 2 2051-04-15 Fixed 3.45200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AJX7 43420032.94000000 PA USD 47129079.84000000 0.054310500255 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.50000000 N N N N N N HarborView Mortgage Loan Trust N/A 411640AB1 18733576.36000000 PA USD 18892054.92000000 0.021770782647 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.10863000 N N N N N N CONTL AIRLINES 2000-2 N/A 210805DD6 461482.97829400 PA USD 461482.98000000 0.000531802691 Long DBT CORP US N 2 2021-04-02 Fixed 7.70700000 N N N N N N CYRUSONE LP/CYRUSONE FIN N/A 23283PAQ7 86883000.00000000 PA USD 91956532.79000000 0.105968657027 Long DBT CORP US N 2 2024-11-15 Fixed 2.90000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179RVA4 10424.89000000 PA USD 11032.45000000 0.000012713549 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 3.00000000 N N N N N N Residential Funding Mtg Sec I N/A 749575AG1 505377.01000000 PA USD 480765.20000000 0.000554023091 Long ABS-MBS CORP US N 2 2036-09-25 Variable 4.29881000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCK7 56199000.00000000 PA USD 56245364.18000000 0.064815902963 Long DBT CORP US N 2 2031-02-01 Fixed 4.25000000 N N N N N N Freddie Mac N/A 3128MJ5A4 1979779.98000000 PA USD 2193463.37000000 0.002527698255 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 5.00000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 917288BK7 10570000.00000000 PA USD 12289263.35000000 0.014161872936 Long DBT NUSS UY N 2 2031-01-23 Fixed 4.37500000 N N N N N N NEW JERSEY ST TURNPIKE AUTH TU 5493005YN67D71KSMI84 646140CK7 300000.00000000 PA USD 328662.45000000 0.000378743275 Long DBT MUN US N 2 2036-01-01 Fixed 3.72900000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAK1 36460000.00000000 PA USD 39712957.55000000 0.045764326366 Long DBT CORP IE N 2 2024-01-16 Fixed 4.87500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBH8 103935000.00000000 PA USD 106862697.20000000 0.123146188367 Long DBT CORP US N 2 2026-03-13 Fixed 2.00500000 N N N N N N Fannie Mae N/A 31398SP80 3028.98000000 PA USD 3054.64000000 0.000003520098 Long ABS-MBS USGSE US N 2 2040-01-25 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SW29 1259964.65000000 PA USD 1445696.63000000 0.001665988545 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 5.00000000 N N N N N N JP Morgan Mortgage Acquisition N/A 46630KAD8 3157612.03000000 PA USD 2470069.80000000 0.002846453335 Long ABS-MBS CORP US N 2 2047-03-25 Variable 4.21185500 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 03846JW71 3550000.00000000 PA USD 3788613.25000000 0.004365913393 Long DBT NUSS EG N 2 2029-03-01 Fixed 7.60030000 N N N N N N Mid-State Trust N/A 59548PAA7 9083874.53000000 PA USD 9666077.31000000 0.011138971861 Long ABS-O CORP US N 2 2040-10-15 Fixed 5.78700000 N N N N N N Freddie Mac N/A 3128MMYN7 78283.04000000 PA USD 83558.66000000 0.000096291135 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 3.50000000 N N N N N N JP Morgan Mortgage Acquisition N/A 46626LBJ8 1692771.44000000 PA USD 1696515.85000000 0.001955027019 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.76863000 N N N N N N JBS USA LUX/JBS USA FIN N/A 472141AA8 2000000.00000000 PA USD 2195000.00000000 0.002529469034 Long DBT CORP N/A N 2 2028-02-15 Fixed 6.75000000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC USD 16223590.70000000 0.018695704007 N/A DFE CORP US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 -28000000000.00000000 JPY 269650281.60000000 USD 2021-04-12 16223590.70000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376TSB9 1561693.99000000 PA USD 117775.15000000 0.000135721455 Long ABS-MBS USGA US N 2 2039-09-16 Floating 6.39387000 N N N N N N Freddie Mac N/A 31335ACR7 155170973.46000000 PA USD 168061232.60000000 0.193670015350 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.50000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAF7 11767000.00000000 PA USD 13068606.71000000 0.015059970839 Long DBT NUSS MX N 2 2029-04-22 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LL2P9 100000.00000000 PA USD 108286.67000000 0.000124787142 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 2.95000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCC4 148565000.00000000 PA USD 126616006.90000000 0.145909461810 Long DBT CORP MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N Student Loan Consolidation Cen 5493008KMDJ3GC7JUA63 86386MAX2 17450000.00000000 PA USD 16096508.20000000 0.018549256969 Long ABS-O CORP US N 2 2042-07-01 Floating 1.60700000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAM8 23261000.00000000 PA USD 26960584.36000000 0.031068775981 Long DBT CORP US N 2 2045-07-15 Fixed 5.20000000 N N N N N N FRESENIUS MED CARE II 5493008GJ5TVVTY4UM62 35802XAF0 8964000.00000000 PA USD 9329391.37000000 0.010750982495 Long DBT CORP US N 2 2022-01-31 Fixed 5.87500000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AF4 4216000.00000000 PA USD 4334575.00000000 0.004995067534 Long DBT CORP US N 2 2021-11-15 Fixed 6.75000000 N N N N N N MASTR Asset Backed Securities N/A 576449AD4 3933117.55000000 PA USD 1813213.99000000 0.002089507353 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.52863000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBF8 96653000.00000000 PA USD 108877594.12000000 0.125468110630 Long DBT CORP US N 2 2040-03-19 Fixed 4.22700000 N N N N N N Freddie Mac N/A 3128MABR9 85864378.54000000 PA USD 93734535.75000000 0.108017587974 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 3.50000000 N N N N N N Chase Mortgage Finance Corpora N/A 16162XAH0 1524159.84000000 PA USD 955111.56000000 0.001100649255 Long ABS-MBS CORP US N 2 2021-11-25 Fixed 5.50000000 N N N N N N CIM Trust N/A 12560YAB8 222884134.04000000 PA USD 220260186.00000000 0.253822924797 Long ABS-MBS CORP US N 2 2060-12-25 Variable 2.25000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAG6 13970000.00000000 PA USD 16514644.86000000 0.019031108329 Long DBT CORP US N 2 2034-12-01 Fixed 5.30000000 N N N N N N US AIRWAYS 2010-1A PTT N/A 90345KAA8 13172519.71206700 PA USD 13313354.23000000 0.015342012421 Long DBT CORP US N 2 2023-04-22 Fixed 6.25000000 N N N N N N SLM Student Loan Trust SCSW2GRYW6ZPGKE5DL61 78442GRA6 58614816.65000000 PA USD 58484842.98000000 0.067396628374 Long ABS-O CORP US N 2 2041-01-25 Floating 0.81775000 N N N N N N Washington Mutual MSC Mortgage N/A 939335N68 220721.02000000 PA USD 225600.94000000 0.000259977490 Long ABS-MBS CORP US N 2 2030-11-25 Variable 3.16070400 N N N N N N Merrill Lynch First Franklin M N/A 59023LAD4 66087842.67000000 PA USD 37335943.41000000 0.043025108298 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.35863000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CM9 21085000.00000000 PA USD 20765442.91000000 0.023929633175 Long DBT CORP GB N 2 2027-05-24 Fixed 1.58900000 N N N N N N Hostess Brands LLC 549300SW7FLS4O41LD19 44108HAJ0 16502882.14000000 PA USD 16443306.74000000 0.018948899871 Long LON CORP US N 2 2025-08-03 Floating 3.00000000 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAG2 28228000.00000000 PA USD 30293583.90000000 0.034909650299 Long DBT CORP BM N 2 2023-08-01 Fixed 4.12500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SU3 3493522000.00000000 PA USD 3101046637.81000000 3.573576967484 Long DBT UST US N 1 2051-02-15 Fixed 1.87500000 N N N N N N Structured Adjustable Rate Mor N/A 863579DQ8 29630.29000000 PA USD 28327.45000000 0.000032643921 Long ABS-MBS CORP US N 2 2034-11-25 Variable 1.29537200 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FD47 69162.76000000 PA USD 68980.79000000 0.000079491923 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.76863000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBN0 5839461000.00000000 PA USD 5836039426.22000000 6.725321644823 Long DBT UST US N 1 2023-02-28 Fixed 0.12500000 N N N N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756CC2 22393000.00000000 PA USD 21762860.98000000 0.025079035508 Long DBT NUSS BR N 2 2030-06-12 Fixed 3.87500000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CN8 110220000.00000000 PA USD 135135896.73000000 0.155727592789 Long DBT CORP US N 2 2045-07-20 Fixed 5.12500000 N N N N N N MONG DUONG FIN HLDGS BV 549300995KGQFMWSV879 000000000 13350000.00000000 PA USD 13429265.63000000 0.015475586132 Long DBT CORP NL N 2 2029-05-07 Fixed 5.12500000 N N N N N N Freddie Mac N/A 3137FGVJ1 2726317.67000000 PA USD 2839616.59000000 0.003272310812 Long ABS-MBS USGSE US N 2 2048-04-15 Fixed 3.00000000 N N N N N N NEW YORK NY 549300ABYZD2SFD5JB29 64966HMV9 6420000.00000000 PA USD 7736582.14000000 0.008915464671 Long DBT MUN US N 2 2031-10-01 Fixed 5.20600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389R7K6 26404.86000000 PA USD 31481.31000000 0.000036278359 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 7.50000000 N N N N N N PILGRIM'S PRIDE CORP 549300ZSLGV64ZL3HD75 72147KAF5 13780000.00000000 PA USD 13741220.60000000 0.015835076081 Long DBT CORP US N 2 2031-04-15 Fixed 4.25000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072UAK8 14560730.48000000 PA USD 14413885.51000000 0.016610240117 Long LON CORP US N 2 2027-04-15 Floating 2.60600000 N N N N N N JP Morgan Mortgage Trust N/A 46628KAC4 694083.95000000 PA USD 640707.85000000 0.000738337433 Long ABS-MBS CORP US N 2 2036-05-25 Variable 3.05663100 N N N N N N First Franklin Mtg Loan Asset N/A 320278AD6 30688194.14000000 PA USD 29655579.37000000 0.034174428111 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.56863000 N N N N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 92769XAR6 70910000.00000000 PA USD 71679152.26000000 0.082601456050 Long DBT CORP GB N 2 2030-08-15 Fixed 4.50000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CR8 34075000.00000000 PA 47458882.51000000 0.054690557495 Long DBT CORP GB N 2 2027-07-24 Fixed 1.75000000 N N N N N N Brazos Higher Education Author N/A 10620NCE6 12315000.00000000 PA USD 12608321.38000000 0.014529548292 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.38750000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381WDY1 4685160.73000000 PA USD 4866935.13000000 0.005608547472 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 3.00000000 N N N N N N Banc of America Funding Corpor N/A 058933AG7 3533856.22000000 PA USD 3413126.62000000 0.003933210977 Long ABS-MBS CORP US N 2 2036-05-20 Variable 3.57208900 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SJW8 1051920.64000000 PA USD 1201749.17000000 0.001384868934 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 5.00000000 N N N N N N Morgan Stanley Mortgage Loan T N/A 61748HCH2 573060.79000000 PA USD 570616.51000000 0.000657565736 Long ABS-MBS CORP US N 2 2034-09-25 Variable 2.16830400 N N N N N N PERUSAHAAN PENERBIT SBSN 254900G208H6Q0L5B953 71567RAH9 5100000.00000000 PA USD 5634684.00000000 0.006493284143 Long DBT NUSS ID N 2 2027-03-29 Fixed 4.15000000 N N N N N N KFC Holding Co 549300G2LG4YUB3MM115 72584DAF1 1346439.74000000 PA USD 1348964.31000000 0.001554516378 Long LON CORP US N 2 2028-03-15 Floating 1.85600000 N N N N N N RAYMOND JAMES FINANCIAL RGUZHJ05YTITL6D76949 754730AF6 51716000.00000000 PA USD 63350172.54000000 0.073003325623 Long DBT CORP US N 2 2046-07-15 Fixed 4.95000000 N N N N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111FY4 1515000.00000000 PA USD 1645804.45000000 0.001896588333 Long DBT CORP US N 2 2050-04-01 Fixed 3.95000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TG58 216675.58000000 PA USD 233914.78000000 0.000269558174 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 4.00000000 N N N N N N Conseco Financial Corp N/A 393505E40 309459.54000000 PA USD 309980.98000000 0.000357215166 Long ABS-O CORP US N 2 2030-03-01 Variable 6.76000000 N N N N N N Freddie Mac N/A 312905UN0 5.11000000 PA USD 5.12000000 0.000000005900 Long ABS-MBS USGSE US N 2 2021-05-15 Fixed 7.00000000 N N N N N N Merrill Lynch First Franklin M N/A 59024VAG4 12884267.35000000 PA USD 9551308.38000000 0.011006714707 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.28863000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523BK5 32722000.00000000 PA USD 35060909.99000000 0.040403410536 Long DBT CORP US N 2 2047-10-15 Fixed 3.87500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABC8 7651000.00000000 PA USD 8362060.83000000 0.009636252360 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N SLM Student Loan Trust 549300R59P5DXM48DO55 78445GAD5 2660068.65000000 PA USD 2675766.83000000 0.003083494004 Long ABS-O CORP US N 2 2023-04-25 Floating 1.71775000 N N N N N N Structured Adjustable Rate Mor N/A 863579XP8 12573152.50000000 PA USD 9783632.65000000 0.011274440013 Long ABS-MBS CORP US N 2 2035-09-25 Variable 2.95989100 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FSL3 564322.33000000 PA USD 570343.54000000 0.000657251172 Long ABS-MBS CORP US N 2 2044-05-25 Floating 0.94863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179S2P1 51381834.98000000 PA USD 54678570.59000000 0.063010364982 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 3.50000000 N N N N N N PILGRIM'S PRIDE CORP 549300ZSLGV64ZL3HD75 72147KAE8 4269000.00000000 PA USD 4580049.46000000 0.005277946826 Long DBT CORP US N 2 2027-09-30 Fixed 5.87500000 N N N N N N Transdigm Inc 88Q84GB3X55CF5OC7582 89364MBR4 5403749.99990000 PA USD 5299052.34000000 0.006106509705 Long LON CORP US N 2 2025-12-09 Floating 2.35850000 N N N N N N Rockford Tower CLO Ltd N/A 77341EAA3 23840000.00000000 PA USD 23888156.80000000 0.027528179001 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 1.52963000 N N N N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 01626PAN6 54072000.00000000 PA USD 54839186.51000000 0.063195455185 Long DBT CORP CA N 2 2050-01-25 Fixed 3.80000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAR1 8685000.00000000 PA USD 8709254.86000000 0.010036351015 Long DBT CORP US N 2 2021-09-10 Floating 1.08250000 N N N N N N Suntrust Adjustable Rate Mortg N/A 85554NAG5 1882892.26000000 PA USD 1568172.28000000 0.001807126752 Long ABS-MBS CORP US N 2 2037-06-25 Variable 3.79377000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAP8 31375000.00000000 PA USD 31194382.60000000 0.035947710626 Long DBT CORP GB N 2 2027-05-11 Fixed 1.62700000 N N N N N N Saxon Asset Securities Trust N/A 805564JM4 304.15000000 PA USD 674.72000000 0.000000777532 Long ABS-MBS CORP US N 2 2016-06-25 Variable 6.81200000 N N N N N N Fannie Mae N/A 31398RAW5 11304260.90000000 PA USD 2302650.82000000 0.002653523437 Long ABS-MBS USGSE US N 2 2040-05-25 Floating 6.31137000 N N N N N N Bear Stearns Asset Backed Secu N/A 07389MAE7 6436633.96000000 PA USD 6054966.35000000 0.006977608147 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.24863000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBK0 20502000.00000000 PA USD 21127033.81000000 0.024346322462 Long DBT CORP US N 2 2049-09-06 Fixed 4.75800000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRS1 1765000.00000000 PA USD 1909350.56000000 0.002200292991 Long DBT CORP US N 2 2026-06-15 Fixed 3.20000000 N N N N N N Credit Suisse Mortgage Trust N/A 12649QAN4 1609049.72000000 PA USD 1619699.38000000 0.001866505433 Long ABS-MBS CORP US N 2 2047-06-27 Variable 0.33000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCB7 18207000.00000000 PA USD 19547763.48000000 0.022526406564 Long DBT CORP US N 2 2029-06-01 Fixed 5.37500000 N N N N N N Nationstar Home Equity Loan Tr N/A 63860KAE2 7837868.24000000 PA USD 7657319.81000000 0.008824124530 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.35863000 N N N N N N IndyMac INDA Mortgage Loan Tru N/A 45669AAB0 481379.90000000 PA USD 468303.94000000 0.000539663013 Long ABS-MBS CORP US N 2 2037-03-25 Variable 3.07334600 N N N N N N Adjustable Rate Mortgage Trust N/A 007036TP1 261786.78000000 PA USD 257625.86000000 0.000296882293 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.64863000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBQ7 5356000.00000000 PA USD 5903571.78000000 0.006803144422 Long DBT CORP US N 2 2050-04-02 Fixed 5.28200000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAE2 5000000.00000000 PA USD 5031476.85000000 0.005798161680 Long DBT CORP US N 2 2029-10-01 Fixed 3.25000000 N N N N N N Elanco Animal Health Inc 549300SHPNDCE059M934 28414BAF3 94342377.92400000 PA USD 93247062.92000000 0.107455835160 Long LON CORP US N 2 2027-08-01 Floating 1.86513000 N N N N N N Credit-Based Asset Servicing a N/A 1248MBAL9 4062516.76000000 PA USD 3321430.83000000 0.003827542794 Long ABS-MBS CORP US N 2 2037-02-25 Variable 3.79314400 N N N N N N Lehman XS Trust N/A 525226AG1 12434868.15000000 PA USD 12256332.04000000 0.014123923629 Long ABS-MBS CORP US N 2 2046-08-25 Floating 0.50863000 N N N N N N Freddie Mac N/A 31329NU48 303096.93000000 PA USD 321522.59000000 0.000370515460 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Structured Adjustable Rate Mor N/A 863579GZ5 461684.63000000 PA USD 469625.14000000 0.000541185534 Long ABS-MBS CORP US N 2 2035-01-25 Variable 2.66487200 N N N N N N First Horizon Alternative Mort N/A 32051D4P4 5360552.15000000 PA USD 5384803.82000000 0.006205327798 Long ABS-MBS CORP US N 2 2034-08-25 Variable 2.13411800 N N N N N N Freddie Mac N/A 3128MJ3A6 82036.36000000 PA USD 87077.59000000 0.000100346272 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PMW0 38695.63000000 PA USD 35200.18000000 0.000040563902 Long ABS-MBS CORP US N 2 2035-07-19 Variable 2.71644200 N N N N N N SL GREEN REALTY CORP 549300VQZPJU97H3GT17 75625AAD6 15845000.00000000 PA USD 16595423.48000000 0.019124195808 Long DBT CORP US N 2 2022-12-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3128MMXV0 14643588.76000000 PA USD 15475452.82000000 0.017833566604 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 3.00000000 N N N N N N NARRAGANSETT ELECTRIC VAI0KZ806W8MCH0BCZ61 631005BJ3 6655000.00000000 PA USD 7091955.12000000 0.008172610873 Long DBT CORP US N 2 2030-04-09 Fixed 3.39500000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XUX4 17295000.00000000 PA USD 17171028.58000000 0.019787510285 Long DBT MUN US N 2 2032-11-01 Fixed 2.40000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCY4 4522000.00000000 PA USD 4707402.00000000 0.005424705052 Long DBT CORP US N 2 2026-01-01 Fixed 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GX92 19847414.40000000 PA USD 21514223.28000000 0.024792510970 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.50000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAN0 21481000.00000000 PA USD 19165348.20000000 0.022085719726 Long DBT NUSS MX N 2 2061-05-24 Fixed 3.77100000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225DMR2 15779.20000000 PA USD 15969.16000000 0.000018402503 Long ABS-MBS USGA US N 2 2035-03-20 Floating 3.00000000 N N N N N N IQVIA Inc 549300PLWY28YB00C717 44969CBF6 13182323.12000000 PA USD 13142776.15000000 0.015145442047 Long LON CORP US N 2 2024-03-07 Floating 1.85850000 N N N N N N Countrywide Home Loans N/A 12669FV75 689007.25000000 PA USD 694080.62000000 0.000799843022 Long ABS-MBS CORP US N 2 2034-09-20 Variable 2.86550000 N N N N N N Freddie Mac N/A 31396EJS6 2725024.31000000 PA USD 3146896.77000000 0.003626413636 Long ABS-MBS USGSE US N 2 2035-11-15 Fixed 5.50000000 N N N N N N Fannie Mae N/A 3136B3SX9 2604467.51000000 PA USD 2716154.37000000 0.003130035704 Long ABS-MBS USGSE US N 2 2047-05-25 Fixed 4.00000000 N N N N N N Residential Accredit Loans, In N/A 76110H7A1 3002932.39000000 PA USD 2594659.41000000 0.002990027622 Long ABS-MBS CORP US N 2 2035-07-25 Variable 3.32987600 N N N N N N Freddie Mac N/A 3137FKHV1 920174.82000000 PA USD 964355.23000000 0.001111301454 Long ABS-MBS USGSE US N 2 2047-06-15 Fixed 4.00000000 N N N N N N Fannie Mae N/A 31396P6P1 2422498.86000000 PA USD 462584.88000000 0.000533072496 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 6.00137000 N N N N N N TRANSOCEAN PONTUS LTD N/A 89382PAA3 17737850.00000000 PA USD 16795526.72000000 0.019354790318 Long DBT CORP KY N 2 2025-08-01 Fixed 6.12500000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XDS4 5000000.00000000 PA USD 5594049.85000000 0.006446458255 Long DBT MUN US N 2 2043-05-01 Fixed 4.00000000 N N N N N N CALI Mortgage Trust 2019-101C N/A 129890AC3 272551000.00000000 PA USD 6441947.30000000 0.007423556362 Long ABS-MBS CORP US N 2 2039-03-10 Variable 0.29915800 N N N N N N MIAMI-DADE CNTY FL AVIATION RE N/A 59333P5G9 2160000.00000000 PA USD 2153519.35000000 0.002481667658 Long DBT MUN US N 2 2030-10-01 Fixed 2.52900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q83V5 18525590.17000000 PA USD 20215299.99000000 0.023295660747 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N Eaton Vance CDO Ltd 5493001O5CL3BBUIEH94 27830BBN3 23950000.00000000 PA USD 24025442.50000000 0.027686383979 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 1.41011000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RBH4 30960000.00000000 PA USD 34012806.16000000 0.039195599063 Long DBT CORP US N 2 2042-12-15 Fixed 4.30000000 N N N N N N GSAA Home Equity Trust N/A 36242D3X9 127010.46000000 PA USD 127562.31000000 0.000146999960 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.75363000 N N N N N N JP Morgan Mortgage Trust N/A 466247EF6 201179.75000000 PA USD 198442.72000000 0.000228680963 Long ABS-MBS CORP US N 2 2034-09-25 Variable 2.88747500 N N N N N N Freddie Mac N/A 3128M6RY6 3075178.46000000 PA USD 3536240.95000000 0.004075085184 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N Banc of America Merrill Lynch N/A 05491YAA8 122930000.00000000 PA USD 138163601.15000000 0.159216651821 Long ABS-MBS CORP US N 2 2038-08-10 Variable 4.09075000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAB1 16845000.00000000 PA USD 17690284.46000000 0.020385889178 Long DBT CORP IE N 2 2027-07-21 Fixed 3.65000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMF6 114000.00000000 PA USD 108292.02000000 0.000124793308 Long DBT CORP US N 2 2033-12-01 Fixed 2.55000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAD3 22545000.00000000 PA USD 24385897.32000000 0.028101764072 Long DBT CORP KY N 2 2024-05-15 Fixed 5.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202KS97 3541.95000000 PA USD 3591.48000000 0.000004138741 Long ABS-MBS USGA US N 2 2025-06-20 Floating 2.87500000 N N N N N N MASTR Adjustable Rate Mortgage N/A 576433MW3 245.16000000 PA USD 249.99000000 0.000000288082 Long ABS-MBS CORP US N 2 2034-06-25 Variable 4.12499200 N N N N N N Frontier Communications Corporation 549300ZCZ76HYCS0H445 35906EAL4 13775000.00000000 PA USD 13757781.25000000 0.015854160204 Long LON CORP US N 2 2021-10-08 Floating 5.75000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAQ6 93846000.00000000 PA USD 112565022.42000000 0.129717420744 Long DBT CORP US N 2 2048-06-25 Fixed 4.87500000 N N N N N N Freddie Mac N/A 3137AE6P5 11408744.15000000 PA USD 12817482.19000000 0.014770580544 Long ABS-MBS USGSE US N 2 2041-08-15 Fixed 4.50000000 N N N N N N Asset Backed Funding Certifica N/A 04542BKS0 1472646.55000000 PA USD 1473231.78000000 0.001697719438 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.73863000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAM9 44867000.00000000 PA USD 48680695.00000000 0.056098546952 Long DBT CORP US N 2 2040-04-15 Fixed 6.87500000 N N N N N N Freddie Mac N/A 3128MFWR5 4840494.81000000 PA USD 5217856.06000000 0.006012940923 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 3.50000000 N N N N N N GMAC Mortgage Corporation Loan N/A 36185MET5 1562446.19000000 PA USD 925377.04000000 0.001066383857 Long ABS-MBS CORP US N 2 2036-05-19 Variable 3.27494700 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407SGS5 3690.46000000 PA USD 3688.62000000 0.000004250683 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.28700000 N N N N N N Countrywide Home Loans N/A 12669B2W1 8340.16000000 PA USD 8392.51000000 0.000009671341 Long ABS-MBS CORP US N 2 2031-06-19 Variable 2.06953500 N N N N N N Hudson Yards N/A 44421MAA8 81025000.00000000 PA USD 84803066.11000000 0.097725161604 Long ABS-MBS CORP US N 2 2041-12-10 Variable 2.94280000 N N N N N N STATE OF QATAR 52990074F6OJOAXK4P65 000000000 11215000.00000000 PA USD 13304354.50000000 0.015331641333 Long DBT NUSS QA N 2 2046-06-02 Fixed 4.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179S2S5 12469109.06000000 PA USD 13915863.62000000 0.016036330801 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 5.00000000 N N N N N N Residential Asset Mortgage Pro N/A 76112BBS8 21164.01000000 PA USD 12704.45000000 0.000014640324 Long ABS-MBS CORP US N 2 2031-12-25 Fixed 8.50000000 N N N N N N Banc of America Mortgage Secur N/A 05950GAB9 88878.03000000 PA USD 85987.77000000 0.000099090387 Long ABS-MBS CORP US N 2 2046-07-25 Floating 6.00000000 N N N N N N Intelsat Jackson Holdings SA 8XJ8KF85PBKK1TLMFN29 000000000 2000000.00000000 PA USD 2046250.00000000 0.002358052852 Long LON CORP LU N 2 2024-01-02 Floating 6.50000000 N N N N N N Freddie Mac N/A 3132DVKP9 13884847.40000000 PA USD 14850063.40000000 0.017112881788 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.50000000 N N N N N N Magnetite CLO Ltd 5493003N6WY184N72D84 55955EAA6 1660000.00000000 PA USD 1663529.16000000 0.001917013894 Long ABS-CBDO CORP KY N 2 2033-07-20 Floating 1.77400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RJ75 175.94000000 PA USD 179.89000000 0.000000207301 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 6.50000000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BF3 13496000.00000000 PA USD 15218032.24000000 0.017536920870 Long DBT CORP US N 2 2047-05-15 Fixed 4.27000000 N N N N N N SLM Student Loan Trust N/A 78447KAC6 22289848.72000000 PA USD 21885651.29000000 0.025220536323 Long ABS-O CORP US N 2 2026-05-26 Floating 0.75863000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAB6 96095000.00000000 PA USD 104526307.07000000 0.120453784502 Long DBT CORP KY N 2 2024-02-15 Fixed 5.50000000 N N N N N N DRYDEN SENIOR LOAN FUND N/A 26246EAC2 29220000.00000000 PA USD 29264414.40000000 0.033723658326 Long ABS-CBDO CORP KY N 2 2032-01-18 Floating 1.45725000 N N N N N N Morgan Stanley Institutional Liquidity Funds - Government Portfolio 549300BI6Y5SI6BYPB26 61747C707 1120441000.00000000 NS USD 1120441000.00000000 1.291171213681 Long STIV RF US N 1 N N N Transdigm Inc 88Q84GB3X55CF5OC7582 89364MBQ6 15382725.56200000 PA USD 15091299.83000000 0.017390877268 Long LON CORP US N 2 2025-05-30 Floating 2.35850000 N N N N N N BACARDI LTD 549300R32WTQNHNN5055 067316AG4 12881000.00000000 PA USD 15430013.10000000 0.017781202884 Long DBT CORP BM N 2 2038-05-15 Fixed 5.15000000 N N N N N N SES SA 5493008JPA4HYMH1HX51 78413HAA7 16882000.00000000 PA USD 17776459.51000000 0.020485195383 Long DBT CORP LU N 2 2023-04-04 Fixed 3.60000000 N N N N N N Credit-Based Asset Servicing a N/A 1248MGAM6 6916402.23000000 PA USD 3204736.97000000 0.003693067393 Long ABS-MBS CORP US N 2 2037-01-25 Variable 3.32661800 N N N N N N Carrington Mortgage Loan Trust N/A 144531EX4 33341223.40000000 PA USD 33219241.20000000 0.038281112506 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.41863000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAY2 205535000.00000000 PA USD 223074767.01000000 0.257066385166 Long DBT CORP US N 2 2024-12-05 Fixed 4.02300000 N N N N N N TRANSOCEAN PROTEUS LTD 5493000CTMQ2LH21VM89 893829AA9 17928000.00000000 PA USD 17076420.00000000 0.019678485468 Long DBT CORP KY N 2 2024-12-01 Fixed 6.25000000 N N N N N N LOS ANGELES CA DEPT OF WTR & P N/A 544525NZ7 350000.00000000 PA USD 453449.05000000 0.000522544569 Long DBT MUN US N 2 2039-07-01 Fixed 6.00800000 N N N N N N LOS ANGELES CA DEPT WTR & PWR N/A 544495VX9 12625000.00000000 PA USD 15404275.08000000 0.017751542964 Long DBT MUN US N 2 2027-07-01 Fixed 5.51600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31381RRG1 555698.97000000 PA USD 555518.31000000 0.000640166907 Long ABS-MBS USGSE US N 2 2021-08-01 Fixed 3.84000000 N N N N N N Pennsylvania Higher Education N/A 69340QAA4 116494532.73000000 PA USD 115912569.15000000 0.133575058919 Long ABS-MBS CORP US N 2 2041-10-25 Floating 0.70863000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397YY3 13740000.00000000 PA USD 13740000.00000000 0.015833669489 Long DBT CORP US N 2 2021-04-05 Floating 1.04838000 N N N N N N Banc of America Funding Corpor 549300E1FT0BGZPIQZ07 05990WAB6 34877878.04000000 PA USD 34299770.24000000 0.039526290067 Long ABS-MBS CORP US N 2 2036-10-26 Floating 0.23863000 N N N N N N Accredited Mortgage Loan Trust N/A 00438QAD6 27600061.63000000 PA USD 27314290.59000000 0.031476379150 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.32863000 N N N N N N Freddie Mac N/A 3128MJ4Y3 5945371.42000000 PA USD 6612642.87000000 0.007620262129 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 5.00000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 000000000 8741000.00000000 PA USD 9649189.90000000 0.011119511187 Long DBT NUSS SA N 2 2046-10-26 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406N4F8 30752.30000000 PA USD 34271.74000000 0.000039493988 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A 31335AEK0 118013392.45000000 PA USD 128535230.49000000 0.148121132261 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.50000000 N N N N N N Wachovia Mortgage Loan Trust, N/A 92978EAC8 15959518.96000000 PA USD 8059265.02000000 0.009287317223 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.58863000 N N N N N N Structured Adjustable Rate Mor N/A 86359BGD7 19189.98000000 PA USD 19058.08000000 0.000021962106 Long ABS-MBS CORP US N 2 2034-02-25 Variable 2.45969200 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AWX2 27847485.19000000 PA USD 29481466.46000000 0.033973784278 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.00000000 N N N N N N GSAA Home Equity Trust N/A 362341NY1 123859.30000000 PA USD 122839.43000000 0.000141557418 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.74863000 N N N N N N TRANSOCEAN PHOENIX 2 LTD N/A 893828AA1 18728400.00000000 PA USD 18213369.00000000 0.020988680133 Long DBT CORP KY N 2 2024-10-15 Fixed 7.75000000 N N N N N N Impac Secured Assets Corp. N/A 45257EAC8 9328287.15000000 PA USD 8759924.88000000 0.010094742015 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.37863000 N N N N N N Fannie Mae N/A 3136B4WS3 11624129.19000000 PA USD 11996144.33000000 0.013824089116 Long ABS-MBS USGSE US N 2 2049-06-25 Fixed 3.00000000 N N N N N N ALTA WIND HOLDINGS LLC N/A 021345AA1 3938019.62309800 PA USD 4502619.56000000 0.005188718336 Long DBT CORP US N 3 2035-06-30 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ASW9 64934.06000000 PA USD 68744.14000000 0.000079219213 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2G7 167798000.00000000 PA USD 173042632.20000000 0.199410469124 Long DBT CORP US N 2 2030-10-30 Fixed 2.87900000 N N N N N N Thornburg Mortgage Securities N/A 885220GD9 87675.47000000 PA USD 88869.73000000 0.000102411494 Long ABS-MBS CORP US N 2 2044-12-25 Variable 2.07191200 N N N N N N SLM Student Loan Trust GX18J72G8XB30P3MQA62 78442GKD7 53263.22000000 PA USD 50728.88000000 0.000058458829 Long ABS-O CORP US N 2 2038-03-15 Floating 0.77388000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AF6 36796000.00000000 PA USD 40280023.74000000 0.046417800794 Long DBT CORP US N 2 2023-11-01 Fixed 5.37500000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AG3 9260000.00000000 PA USD 9994027.70000000 0.011516894575 Long DBT CORP US N 2 2031-01-30 Fixed 3.87500000 N N N N N N Freddie Mac N/A 3128MAD63 9796892.49000000 PA USD 10804306.45000000 0.012450641731 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 4.00000000 N N N N N N FANNIE DISCOUNT NOTE N/A 313589GJ6 100000000.00000000 PA USD 99998278.00000000 0.115235784812 Long DBT USGSE US N 2 2021-06-02 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AEL7 49400.03000000 PA USD 55670.03000000 0.000064152900 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 4.50000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AK5 12890000.00000000 PA USD 13994504.79000000 0.016126955131 Long DBT CORP US N 2 2024-05-28 Fixed 3.95000000 N N N N N N Caesars Resort Collection LLC 549300V3UCT773B1KR38 12769LAB5 55581378.87000000 PA USD 54844091.88000000 0.063201108024 Long LON CORP US N 2 2024-12-23 Floating 2.85850000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAJ4 114250000.00000000 PA USD 125798442.56000000 0.144967318903 Long DBT CORP GB N 2 2024-11-15 Fixed 4.79600000 N N N N N N Nelnet Student Loan Trust N/A 64033NAA4 58498607.76000000 PA USD 58383535.15000000 0.067279883491 Long ABS-O CORP US N 2 2046-07-25 Floating 0.65863000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381YZE7 18507648.96000000 PA USD 19145642.04000000 0.022063010787 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 3.00000000 N N N N N N Fannie Mae N/A 313921MN5 92233.11000000 PA USD 106437.77000000 0.000122656511 Long ABS-MBS USGSE US N 2 2031-10-25 Fixed 6.50000000 N N N N N N CLECO POWER LLC TM1ZH54SJKLNHFCBFK92 185508AG3 1545000.00000000 PA USD 1971902.74000000 0.002272376728 Long DBT CORP US N 2 2040-12-01 Fixed 6.00000000 N N N N N N Morgan Stanley Mortgage Loan T N/A 61748HGR6 99527.75000000 PA USD 96412.60000000 0.000111103729 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.42863000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -5000.00000000 NC USD -2406250.00000000 -0.00277290882 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short INTERCONTENTIAL EXCHANGE EURIBOR 3 MONTH 2024-12-16 0.00000000 USD 1000000.00000000 97.75000000 USD 2021-12-10 XXXX -794550.00000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H022663 291400000.00000000 PA USD 299505693.13000000 0.345143679411 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 2.50000000 N N N N N N Freddie Mac N/A 31392TS40 24589.47000000 PA USD 27043.96000000 0.000031164856 Long ABS-MBS USGSE US N 2 2032-08-15 Fixed 6.50000000 N N N N N N Impac CMB Trust N/A 45254NKR7 193585.79000000 PA USD 196428.58000000 0.000226359913 Long ABS-MBS CORP US N 2 2034-10-25 Floating 0.80863000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJQ3 178260000.00000000 PA USD 178860941.20000000 0.206115358621 Long DBT CORP US N 2 2027-03-11 Fixed 1.65800000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAT4 5125000.00000000 PA USD 5076953.13000000 0.005850567530 Long DBT CORP US N 2 2030-05-15 Fixed 4.80000000 N N N N N N Fannie Mae N/A 3136B53X1 13294248.25000000 PA USD 13688119.60000000 0.015773883673 Long ABS-MBS USGSE US N 2 2049-09-25 Fixed 3.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBU4 4681942000.00000000 PA USD 4678924347.92000000 5.391888041431 Long DBT UST US N 1 2023-03-31 Fixed 0.12500000 N N N N N N JP Morgan Mortgage Trust N/A 46631JAA6 2830593.23000000 PA USD 2573735.86000000 0.002965915790 Long ABS-MBS CORP US N 2 2037-06-25 Variable 3.48579600 N N N N N N FHLMC Multifamily Structured P N/A 3137FDES7 750000.00000000 PA USD 842572.35000000 0.000970961580 Long ABS-MBS USGSE US N 2 2032-04-25 Fixed 3.42400000 N N N N N N Credit Suisse Mortgage Trust N/A 12649HAA2 2738371.99000000 PA USD 2756278.75000000 0.003176274144 Long ABS-MBS CORP US N 2 2036-08-27 Floating 1.86513000 N N N N N N JP Morgan Mortgage Trust N/A 466247SQ7 96935.52000000 PA USD 98641.66000000 0.000113672448 Long ABS-MBS CORP US N 2 2035-08-25 Variable 2.90749500 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FR67 118147.51000000 PA USD 115852.93000000 0.000133506332 Long ABS-MBS CORP US N 2 2045-07-25 Floating 0.64863000 N N N N N N WAMU Asset-Backed Certificates N/A 933631AE3 10937989.85000000 PA USD 6447336.86000000 0.007429767170 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.33863000 N N N N N N Freddie Mac N/A 3128M4TL7 2722030.68000000 PA USD 3124862.45000000 0.003601021778 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.50000000 N N N N N N Fannie Mae N/A 31358UAK2 540.90000000 PA USD 559.91000000 0.000000645227 Long ABS-MBS USGSE US N 2 2023-03-25 Fixed 7.00000000 N N N N N N Residential Accredit Loans, In N/A 761118MY1 4049947.29000000 PA USD 2447573.09000000 0.002820528628 Long ABS-MBS CORP US N 2 2035-12-25 Variable 3.52595700 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCC7 14440000.00000000 PA USD 14546686.91000000 0.016763277488 Long DBT CORP US N 2 2026-03-25 Fixed 1.65000000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971MT44 13135000.00000000 PA USD 15764871.31000000 0.018167086016 Long DBT MUN US N 2 2027-05-01 Fixed 5.26700000 N N N N N N Residential Accredit Loans, In N/A 75115AAG6 80387033.80000000 PA USD 1892833.29000000 0.002181258858 Long ABS-MBS CORP US N 3 2036-08-25 Variable 0.79126800 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UCC4 62525.11000000 PA USD 67893.15000000 0.000078238551 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.50000000 N N N N N N Mid-State Trust 5493001662PV30WKJE68 59560UAA9 197013.01000000 PA USD 209616.76000000 0.000241557678 Long ABS-O CORP US N 2 2037-08-15 Fixed 6.00500000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DS1 14363000.00000000 PA USD 14104825.08000000 0.016254085772 Long DBT NUSS CO N 2 2031-04-15 Fixed 3.12500000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AL3 34755000.00000000 PA USD 39094161.75000000 0.045051239890 Long DBT CORP US N 2 2029-01-15 Fixed 5.30000000 N N N N N N MortgageIT Trust N/A 61913PAZ5 4207649.89000000 PA USD 4168853.25000000 0.004804093486 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.66863000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBY1 11161000.00000000 PA USD 11473275.29000000 0.013221546499 Long DBT CORP US N 2 2022-06-30 Fixed 3.15000000 N N N N N N N TX TOLLWAY AUTH REVENUE PQGZGRE0F2WPMYQQ1B78 66285WA89 8000000.00000000 PA USD 7803720.08000000 0.008992832935 Long DBT MUN US N 2 2035-01-01 Fixed 2.52700000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBD6 66445000.00000000 PA USD 69742487.28000000 0.080369686531 Long DBT CORP US N 2 2037-08-15 Fixed 4.39000000 N N N N N N First Horizon Mortgage Pass-Th N/A 32053AAB2 70919.72000000 PA USD 57726.01000000 0.000066522166 Long ABS-MBS CORP US N 2 2037-01-25 Variable 2.87670000 N N N N N N CIM Trust N/A 12555VAA3 227881444.99000000 PA USD 212092587.92000000 0.244410766972 Long ABS-MBS CORP US N 2 2058-10-25 Variable 3.25000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AL1 6225000.00000000 PA USD 5928907.00000000 0.006832340165 Long DBT CORP US N 2 2030-03-01 Fixed 2.65000000 N N N N N N Freddie Mac N/A 3128MJ5E6 16549313.22000000 PA USD 18323539.27000000 0.021115637894 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 5.00000000 N N N N N N Freddie Mac N/A 3137ADUY1 5347080.85000000 PA USD 559061.36000000 0.000644249839 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 5.84400000 N N N N N N VENTAS REALTY LP 32SXKSJ72K64GM3HOU64 92277GAD9 9705000.00000000 PA USD 10480330.31000000 0.012077298854 Long DBT CORP US N 2 2024-05-01 Fixed 3.75000000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PEC3 49404.89000000 PA USD 49954.14000000 0.000057566036 Long ABS-MBS CORP US N 2 2034-05-19 Variable 2.72336000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ATR9 31214.37000000 PA USD 33045.91000000 0.000038081369 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TCZ6 99514.08000000 PA USD 109293.94000000 0.000125947898 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.50000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAF1 3974000.00000000 PA USD 4191040.57000000 0.004829661659 Long DBT CORP CA N 2 2026-12-15 Fixed 5.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FAV8 19759.36000000 PA USD 21883.78000000 0.000025218379 Long ABS-MBS USGA US N 2 2039-08-20 Fixed 5.00000000 N N N N N N TRIVIUM PACKAGING FIN 724500GMZWW3PVYET548 89686QAA4 28140000.00000000 PA USD 29591521.70000000 0.034100609481 Long DBT CORP NL N 2 2026-08-15 Fixed 5.50000000 N N N N N N TRANSMONTAIGE PARTNERS N/A 89376VAA8 28675000.00000000 PA USD 28890062.50000000 0.033292263547 Long DBT CORP US N 2 2026-02-15 Fixed 6.12500000 N N N N N N Navient Student Loan Trust N/A 63938JAA1 63205520.09000000 PA USD 62905663.62000000 0.072491083460 Long ABS-O CORP US N 2 2083-03-25 Floating 0.72863000 N N N N N N SL GREEN OPERATING PARTN 2K1OXW4LY7IS2U150Y32 78444FAG1 21735000.00000000 PA USD 21735712.47000000 0.025047750171 Long DBT CORP US N 2 2021-08-16 Floating 1.17375000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SWZ6 70161784.65000000 PA USD 77440704.97000000 0.089240940865 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 4.50000000 N N N N N N Fannie Mae N/A 31398MGB6 6422010.63000000 PA USD 1152796.70000000 0.001328457200 Long ABS-MBS USGSE US N 2 2040-03-25 Floating 6.24137000 N N N N N N MKT 2020-525M Mortgage Trust N/A 55316PAA5 70000.00000000 PA USD 71541.17000000 0.000082442448 Long ABS-MBS CORP US N 2 2040-02-12 Fixed 2.69400000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWB6 140000.00000000 PA USD 153642.34000000 0.000177054005 Long DBT CORP US N 2 2027-01-26 Fixed 3.85000000 N N N N N N GMAC Mortgage Corporation Loan N/A 361856AN7 13457.57000000 PA USD 10547.70000000 0.000012154934 Long ABS-MBS CORP US N 2 2030-06-25 Floating 0.61163000 N N N N N N Argent Securities Inc. N/A 040104ND9 241663.22000000 PA USD 241600.24000000 0.000278414726 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.84363000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638DA7 28449000.00000000 PA USD 28947284.24000000 0.033358204604 Long DBT NUSS PE N 2 2030-06-20 Fixed 2.84400000 N N N N N N Morgan Stanley Mortgage Loan T 549300E4V6DCTUJSC749 61749JAS5 730478.12000000 PA USD 292738.89000000 0.000337345766 Long ABS-MBS CORP US N 2 2036-06-25 Variable 5.96200000 N N N N N N LEVEL 3 FINANCING INC N/A 527298BQ5 67121000.00000000 PA USD 70884138.87000000 0.081685300355 Long DBT CORP US N 2 2029-11-15 Fixed 3.87500000 N N N N N N SEALED AIR CORP Q0M0CZB4YN6JZ65WXI09 81211KAY6 6930000.00000000 PA USD 7120575.00000000 0.008205591784 Long DBT CORP US N 2 2027-12-01 Fixed 4.00000000 N N N N N N American Home Mortgage Assets N/A 026930AA5 18790364.13000000 PA USD 17581677.72000000 0.020260733193 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.23363000 N N N N N N NEW YORK ST DORM AUTH ST PERSO 549300C8XO7EXTX2XU71 64990FMV3 21400000.00000000 PA USD 26908385.68000000 0.031008623387 Long DBT MUN US N 2 2039-03-15 Fixed 5.42700000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SNX1 3025863.37000000 PA USD 3375713.09000000 0.003890096459 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 4.50000000 N N N N N N GE CAPITAL FUNDING LLC 549300XAGH9TOLX5XM67 36166NAB9 59925000.00000000 PA USD 67894705.60000000 0.078240344143 Long DBT CORP US N 2 2030-05-15 Fixed 4.40000000 N N N N N N NATIONWIDE MUTUAL INSURA Z7LVXXWM8HZPKF5T2355 638671AJ6 35439000.00000000 PA USD 35419557.46000000 0.040816707879 Long DBT CORP US N 2 2024-12-15 Floating 2.47388000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202DXR7 3841.22000000 PA USD 4301.63000000 0.000004957102 Long ABS-MBS USGA US N 2 2033-05-20 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3132XCR49 451554945.76000000 PA USD 489914637.74000000 0.564566699550 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N MGM GROWTH/MGM FINANCE N/A 55303XAC9 10000.00000000 PA USD 10752.43000000 0.000012390860 Long DBT CORP US N 2 2024-05-01 Fixed 5.62500000 N N N N N N Freddie Mac N/A 3128MBN29 587491.38000000 PA USD 605857.80000000 0.000698177013 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179QT76 334522.72000000 PA USD 381960.82000000 0.000440163128 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 5.00000000 N N N N N N MASTR Adjustable Rate Mortgage N/A 576433QR0 2441844.10000000 PA USD 2433016.10000000 0.002803753478 Long ABS-MBS CORP US N 2 2034-09-25 Variable 2.59171600 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXP4 14350000.00000000 PA USD 14335363.00000000 0.016519752528 Long DBT CORP US N 2 2023-01-27 Fixed 0.48100000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660LUW7 3671546.56000000 PA USD 3048259.31000000 0.003512746028 Long ABS-MBS CORP US N 2 2035-09-25 Variable 2.89457500 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9W23 56784433.96000000 PA USD 61448872.04000000 0.070812309341 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N NEW YORK CITY NY MUNI WTR FINA N/A 64972GXP4 10400000.00000000 PA USD 12147616.10000000 0.013998641805 Long DBT MUN US N 2 2050-06-15 Fixed 4.00000000 N N N N N N Navient Student Loan Trust N/A 63939FAB6 60224616.05000000 PA USD 59987085.95000000 0.069127779661 Long ABS-O CORP US N 2 2040-04-25 Floating 0.70863000 N N N N N N Wachovia Mortgage Loan Trust, N/A 92978GAC3 13233573.14000000 PA USD 7213154.90000000 0.008312278796 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.56863000 N N N N N N Oak Hill Credit Partners N/A 67098WAA9 14400000.00000000 PA USD 14417856.00000000 0.016614815621 Long ABS-CBDO CORP KY N 2 2032-10-19 Floating 1.47475000 N N N N N N Credit Suisse Mortgage Trust N/A 225470YX5 3452248.34000000 PA USD 1119400.15000000 0.001289971761 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.80863000 N N N N N N Freddie Mac N/A 3133TVPR1 7361.32000000 PA USD 11240.75000000 0.000012953589 Long ABS-MBS USGSE US N 2 2032-02-15 Floating 20.65440000 N N N N N N Avolon TLB Borrower 1 (US) LLC 635400O84AGITYFZQB55 05400KAG5 3000000.00000000 PA USD 3003045.00000000 0.003460642066 Long LON CORP US N 2 2027-12-01 Floating 3.25000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CE7 66815000.00000000 PA USD 69954313.47000000 0.080613790306 Long DBT CORP GB N 2 2025-11-07 Fixed 2.63300000 N N N N N N HACKENSACK MERIDIAN HLTH 5493001CB3OCWTEJY668 404530AC1 25000000.00000000 PA USD 23356229.25000000 0.026915197558 Long DBT CORP US N 2 2041-09-01 Fixed 2.67500000 N N N N N N QWEST CORP 549300R2L4N683OO1509 912920AK1 9409000.00000000 PA USD 11043813.75000000 0.012726644600 Long DBT CORP US N 2 2025-09-15 Fixed 7.25000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 9127964B2 750000000.00000000 PA USD 749958450.00000000 0.864235387760 Long DBT UST US N 1 2021-08-12 None 0.00000000 N N N N N N Freddie Mac N/A 3128MJY61 136891058.33000000 PA USD 144042411.49000000 0.165991261713 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3137FMLW0 2306598.21000000 PA USD 2378469.04000000 0.002740894662 Long ABS-MBS USGSE US N 2 2049-01-15 Fixed 3.00000000 N N N N N N First Franklin Mtg Loan Asset N/A 32029AAE7 13610682.62000000 PA USD 12734203.66000000 0.014674612224 Long ABS-MBS CORP US N 2 2037-12-25 Floating 0.31863000 N N N N N N LEVEL 3 FINANCING INC N/A 527298BS1 27865000.00000000 PA USD 27070140.01000000 0.031195025468 Long DBT CORP US N 2 2029-01-15 Fixed 3.62500000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397XA6 107389000.00000000 PA USD 108833382.05000000 0.125417161627 Long DBT CORP US N 2 2022-01-09 Fixed 3.21900000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PED6 25047000.00000000 PA USD 25257707.89000000 0.029106419125 Long DBT NUSS DO N 2 2030-01-30 Fixed 4.50000000 N N N N N N Countrywide Asset-Backed Certi N/A 126698AD1 9877132.57000000 PA USD 9809522.61000000 0.011304275025 Long ABS-MBS CORP US N 2 2047-10-25 Floating 0.90863000 N N N N N N DENVER CITY & CNTY CO ARPT REV N/A 249182PW0 5000000.00000000 PA USD 4913063.05000000 0.005661704258 Long DBT MUN US N 2 2034-11-15 Fixed 2.71700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CW26 14411297.32000000 PA USD 15421160.33000000 0.017771001150 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AR26 87504.06000000 PA USD 95608.06000000 0.000110176595 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TLR4 178221120.61000000 PA USD 188261745.67000000 0.216948635980 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CWS7 760084.51000000 PA USD 887914.87000000 0.001023213288 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.50000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAW5 6315000.00000000 PA USD 7022658.90000000 0.008092755455 Long DBT CORP US N 2 2040-04-15 Fixed 4.37500000 N N N N N N Freddie Mac N/A 31297CWX4 1447826.71000000 PA USD 1667342.58000000 0.001921408394 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N Structured Adjustable Rate Mor N/A 863579SU3 1431875.62000000 PA USD 1369498.25000000 0.001578179232 Long ABS-MBS CORP US N 2 2035-06-25 Variable 2.75782700 N N N N N N HOLOGIC INC 549300DYP6F5ZJL0LB74 436440AP6 10792000.00000000 PA USD 10677335.00000000 0.012304322664 Long DBT CORP US N 2 2029-02-15 Fixed 3.25000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 9292274D5 2285234.07000000 PA USD 2374620.09000000 0.002736459218 Long ABS-MBS CORP US N 2 2033-06-25 Variable 3.07160100 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZM8 24123000.00000000 PA USD 24842589.09000000 0.028628045480 Long DBT CORP US N 2 2022-01-07 Fixed 5.59600000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 142391000.00000000 PA USD 146019067.15000000 0.168269115600 Long DBT CORP US N 2 2028-06-02 Fixed 2.39300000 N N N N N N Freddie Mac N/A 3128M5RC6 1222278.95000000 PA USD 1406104.69000000 0.001620363677 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.50000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCP5 80000.00000000 PA USD 80954.80000000 0.000093290505 Long DBT CORP MX N 2 2029-01-23 Fixed 6.50000000 N N N N N N GSR Mortgage Loan Trust N/A 36242DBK8 2365.37000000 PA USD 2372.19000000 0.000002733658 Long ABS-MBS CORP US N 2 2034-08-25 Variable 3.06894300 N N N N N N NEW YORK ST URBAN DEV CORP REV 54930039Y2EMGXN6LM88 650036DH6 18715000.00000000 PA USD 21381326.42000000 0.024639363593 Long DBT MUN US N 2 2043-03-15 Fixed 4.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92925CBB7 10749860.36000000 PA USD 10613954.18000000 0.012231284021 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.68863000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -30000.00000000 NC USD -7500000.00000000 -0.00864283269 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long INTERCONTENTIAL EXCHANGE EURIBOR 3 MONTH 2024-12-16 0.00000000 USD 1000000.00000000 98.75000000 USD 2021-12-10 XXXX 2041900.00000000 N N N VICI Properties 1 LLC 549300XI4XP4JVS3XU20 92565EAB9 19528636.36000000 PA USD 19335498.15000000 0.022281796733 Long LON CORP US N 2 2024-12-20 Floating 1.86088000 N N N N N N Freddie Mac N/A 3128MFRD2 5504063.16000000 PA USD 5875205.50000000 0.006770455754 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.50000000 N N N N N N BEAR STEARNS MORTGAGE FUNDING TRUST 2006 N/A 07401NAA7 18510764.58000000 PA USD 17298559.77000000 0.019934474383 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.26863000 N N N N N N Freddie Mac N/A 31395XW84 1033188.50000000 PA USD 236355.20000000 0.000272370459 Long ABS-MBS USGSE US N 2 2035-08-15 Floating 7.09400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CGD0 67644.05000000 PA USD 71153.51000000 0.000081995717 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N Nelnet Student Loan Trust N/A 64033BAA0 10607698.10000000 PA USD 10533679.39000000 0.012138777144 Long ABS-O CORP US N 2 2036-10-27 Floating 0.70863000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 244250000.00000000 NC USD 17131182.08000000 0.019741592067 N/A DIR CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2024-01-19 0.00000000 USD 0.00000000 USD 0.00000000 USD 244250000.00000000 USD 2.75000000 USD 2024-01-19 XXXX 9925807.08000000 N N N Fannie Mae N/A 3136B3D80 2796484.96000000 PA USD 2968777.68000000 0.003421153171 Long ABS-MBS USGSE US N 2 2049-02-25 Fixed 3.50000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397YZ0 23000000.00000000 PA USD 23000000.00000000 0.026504686917 Long DBT CORP US N 2 2021-04-05 Fixed 3.47000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202C4Q3 1338.84000000 PA USD 1510.87000000 0.000001741092 Long ABS-MBS USGA US N 2 2028-08-20 Fixed 7.00000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DR3 35959000.00000000 PA USD 35284588.96000000 0.040661173191 Long DBT NUSS CO N 2 2030-01-30 Fixed 3.00000000 N N N N N N ENDEAVOR ENERGY RESOURCE N/A 29260FAE0 2109000.00000000 PA USD 2230942.38000000 0.002570888231 Long DBT CORP US N 2 2028-01-30 Fixed 5.75000000 N N N N N N American Home Mortgage Investm N/A 02660TBL6 5111385.92000000 PA USD 5216107.99000000 0.006010926487 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.72013000 N N N N N N REPUBLIC OF PARAGUAY 529900UXKJTJPCU0HK83 699149AJ9 3477000.00000000 PA USD 3946429.77000000 0.004547777630 Long DBT NUSS PY N 2 2031-04-28 Fixed 4.95000000 N N N N N N SLM Student Loan Trust 5493007758ACJK074H95 78442GRX6 33053617.99000000 PA USD 32184962.30000000 0.037089232574 Long ABS-O CORP US N 2 2041-01-25 Floating 0.38775000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SUY1 5104464.93000000 PA USD 5857006.85000000 0.006749484036 Long ABS-MBS USGA US N 2 2047-01-20 Fixed 5.00000000 N N N N N N MASTR Adjustable Rate Mortgage N/A 576433HK5 558380.31000000 PA USD 558319.00000000 0.000643394360 Long ABS-MBS CORP US N 2 2033-11-25 Variable 1.99950400 N N N N N N Navient Student Loan Trust N/A 63938GAA7 36887504.08000000 PA USD 36701817.92000000 0.042294356229 Long ABS-O CORP US N 2 2083-03-25 Floating 0.74863000 N N N N N N FANNIE MAE N/A 3136AT2W3 16971713.55000000 PA USD 17129178.81000000 0.019739283544 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 0.60863000 N N N N N N Countrywide Alternative Loan T N/A 12668BDE0 45605016.21000000 PA USD 44928458.04000000 0.051774552784 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.25903000 N N N N N N Freddie Mac N/A 3128M5MZ0 1753327.14000000 PA USD 2018424.65000000 0.002325987539 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.50000000 N N N N N N MASS MUTUAL LIFE INS CO R6ZXK5P01NP6HXSY1S07 575767AQ1 2805000.00000000 PA USD 2774822.21000000 0.003197643214 Long DBT CORP US N 2 2050-04-15 Fixed 3.37500000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 77575000.00000000 PA USD 79009558.79000000 0.091048853009 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BG1 145045000.00000000 PA USD 141389475.83000000 0.162934077840 Long DBT CORP US N 2 2050-05-15 Fixed 3.30000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SNU7 12666505.33000000 PA USD 13366566.36000000 0.015403332892 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.00000000 N N N N N N Asset Backed Funding Certifica N/A 00075VAD3 47745743.08000000 PA USD 28716161.52000000 0.033091863937 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.42863000 N N N N N N MASTR Adjustable Rate Mortgage N/A 576433VU7 222822.18000000 PA USD 226973.71000000 0.000261559440 Long ABS-MBS CORP US N 2 2034-10-25 Variable 3.14054600 N N N N N N Structured Asset Securities Co N/A 86359BU33 268574.55000000 PA USD 268039.20000000 0.000308882394 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.55863000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCQ5 9800000.00000000 PA USD 11234331.82000000 0.012946193374 Long DBT CORP US N 2 2034-11-01 Fixed 4.40000000 N N N N N N Sixth Street CLO XVI, LTD. N/A 83012FAA6 41060000.00000000 PA USD 41155875.10000000 0.047427112362 Long ABS-CBDO CORP KY N 2 2034-01-20 Floating 1.43255000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAW1 132991000.00000000 PA USD 132936473.69000000 0.153193026742 Long DBT CORP US N 2 2030-10-15 Fixed 3.00000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCD3 6192000.00000000 PA USD 6424200.00000000 0.007403104769 Long DBT CORP US N 2 2030-03-01 Fixed 4.75000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDG2 10872000.00000000 PA USD 11157172.56000000 0.012857276764 Long DBT CORP US N 2 2028-06-15 Fixed 4.62500000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GAN2 1433000.00000000 PA USD 1464426.76000000 0.001687572729 Long DBT CORP US N 2 2045-03-06 Fixed 3.56700000 N N N N N N Aimco 549300VLRW0CEQ83RF89 00140NAA8 7100000.00000000 PA USD 7112425.00000000 0.008196199906 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 1.60461000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X3EM0 31368758.10000000 PA USD 34306002.82000000 0.039533472353 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N PUBLIC SERVICE CO OF NEW OFZN1UT56PNG1CGSR346 744542AB7 5065000.00000000 PA USD 5126093.78000000 0.005907196119 Long DBT CORP US N 2 2021-10-01 Fixed 5.35000000 N N N N N N Freddie Mac N/A 3128MFNT1 92239.24000000 PA USD 98968.53000000 0.000114049126 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBK1 32845000.00000000 PA USD 33771923.67000000 0.038918011455 Long DBT CORP US N 2 2026-04-22 Fixed 2.08300000 N N N N N N SEALED AIR CORP Q0M0CZB4YN6JZ65WXI09 81211KAX8 9161000.00000000 PA USD 10045553.18000000 0.011576271389 Long DBT CORP US N 2 2025-09-15 Fixed 5.50000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AC5 10000000.00000000 PA USD 10786952.90000000 0.012430643887 Long DBT CORP CH N 2 2025-03-26 Fixed 3.75000000 N N N N N N Nelnet Student Loan Trust N/A 64033TAD5 8890000.00000000 PA USD 8958408.55000000 0.010323470169 Long ABS-O CORP US N 2 2054-06-25 Floating 1.00863000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAQ9 91205000.00000000 PA USD 92902449.09000000 0.107058709870 Long DBT CORP US N 2 2021-09-25 Fixed 4.37500000 N N N N N N Bear Stearns Alt-A Trust N/A 07386HSW2 11928.97000000 PA USD 12014.26000000 0.000013844965 Long ABS-MBS CORP US N 2 2035-05-25 Variable 3.11450700 N N N N N N Bear Stearns Asset Backed Secu N/A 07384YPJ9 503623.65000000 PA USD 512839.16000000 0.000590984407 Long ABS-MBS CORP US N 2 2034-01-25 Variable 5.75000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCD5 70000000.00000000 PA USD 70864126.20000000 0.081662238200 Long DBT CORP US N 2 2028-03-25 Fixed 2.30000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TJ22 7488007.65000000 PA USD 8299489.03000000 0.009564146013 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 5.00000000 N N N N N N Bluemountain CLO Ltd 549300XC3G26BPOECZ28 09629CAL9 28145000.00000000 PA USD 28159100.65000000 0.032449919417 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.17000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179S5N3 170560993.87000000 PA USD 187456305.41000000 0.216020464592 Long ABS-MBS USGA US N 2 2047-05-20 Fixed 4.50000000 N N N N N N Asset Backed Funding Certifica N/A 04545EAB9 26925992.58000000 PA USD 24886380.95000000 0.028678510243 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.85863000 N N N N N N Morgan Stanley ReRemic Trust N/A 61690WAD8 3532266.92000000 PA USD 3492020.62000000 0.004024126662 Long ABS-MBS CORP US N 2 2047-08-26 Floating 0.91763000 N N N N N N HEATHROW FUNDING LTD 7TI96JO3DYEIQWZ7Z726 000000000 2697000.00000000 PA 4009278.93000000 0.004620203600 Long DBT CORP JE N 2 2023-02-15 Fixed 5.22500000 N N N N N N GFL Environmental Inc 549300FYK4MBXWIVZU26 000000000 16190474.56600000 PA USD 16220831.71000000 0.018692524609 Long LON CORP CA N 2 2025-05-30 Floating 3.50000000 N N N N N N Fannie Mae N/A 31358NF64 3.12000000 PA USD 3.21000000 0.000000003699 Long ABS-MBS USGSE US N 2 2022-07-25 Fixed 7.00000000 N N N N N N Fannie Mae N/A 31359T6P8 2631.98000000 PA USD 2779.02000000 0.000003202480 Long ABS-MBS USGSE US N 2 2028-06-17 Fixed 6.00000000 N N N N N N 2021-05-19 METROPOLITAN WEST FUNDS Eric Chan Eric Chan Senior Vice President