NPORT-P false 0001028621 XXXXXXXX S000001152 C000003074 C000003075 METROPOLITAN WEST FUNDS 811-07989 0001028621 549300KGDNJW6FXNDC82 865 South Figueroa Street SUITE 1800 Los Angeles 90017 800-241-4671 Metropolitan West Strategic Income Fund S000001152 549300W0V7N38CJDT435 2022-03-31 2021-09-30 N 34050695.82 3605235.47 30445460.35 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 180000.00000000 2912828.14000000 0.00000000 1245186.21000000 USD N OI EUROPEAN GROUP BV 72450053F5WRDY8CDZ66 67777LAC7 15000.00000000 PA USD 15325.13000000 0.050336338566 Long DBT CORP NL N 2 2023-03-15 Fixed 4.00000000 N N N N N N MIAMI-DADE CNTY FL AVIATION RE N/A 59333P6L7 15000.00000000 PA USD 15459.58000000 0.050777947918 Long DBT MUN US N 2 2035-10-01 Fixed 2.85700000 N N N N N N INTELSAT JACKSON HLDG 8XJ8KF85PBKK1TLMFN29 45824TAY1 71000.00000000 PA USD 40046.78000000 0.131536128997 Long DBT CORP LU N 2 2025-07-15 Fixed 9.75000000 Y N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FPJQ9 1991620.61000000 PA USD 94056.08000000 0.308933019631 Long ABS-MBS USGSE US N 2 2027-06-25 Variable 1.34037400 N N N N N N USA COM PART/USA COM FIN N/A 91740PAC2 32000.00000000 PA USD 33360.06000000 0.109573183050 Long DBT CORP US N 2 2026-04-01 Fixed 6.87500000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46641WAU1 57432.30000000 PA USD 57974.96000000 0.190422346496 Long ABS-MBS CORP US N 2 2047-04-15 Fixed 3.66940000 N N N N N N RUBY PIPELINE LLC 549300VXRTBPBK07QT94 781172AB7 34545.45641500 PA USD 32127.27000000 0.105524007949 Long DBT CORP US N 3 2022-04-01 Variable 8.00000000 N N N N N N Golub Capital Partners CLO Ltd N/A 381743AA1 90000.00000000 PA USD 90052.29000000 0.295782323422 Long ABS-CBDO CORP KY N 2 2033-08-05 Floating 1.65065000 N N N N N N Merrill Lynch Alternative Note N/A 59024HAE0 1696106.76000000 PA USD 126269.72000000 0.414740715194 Long ABS-MBS CORP US N 3 2037-04-25 Floating 0.41600000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBH8 85000.00000000 PA USD 87148.22000000 0.286243725659 Long DBT CORP US N 2 2026-03-13 Fixed 2.00500000 N N N N N N TRANSOCEAN PONTUS LTD N/A 89382PAA3 27470.00000000 PA USD 27556.81000000 0.090512049031 Long DBT CORP KY N 2 2025-08-01 Fixed 6.12500000 N N N N N N SEALED AIR CORP Q0M0CZB4YN6JZ65WXI09 81211KAY6 5000.00000000 PA USD 5343.75000000 0.017551877812 Long DBT CORP US N 2 2027-12-01 Fixed 4.00000000 N N N N N N Mid-State Trust 5493001662PV30WKJE68 59560UAD3 293042.19000000 PA USD 327174.32000000 1.074624315871 Long ABS-O CORP US N 2 2037-08-15 Fixed 8.90000000 N N N N N N COBALT CMBS Commercial Mortgag N/A 19075CBE2 280975.06000000 PA USD 1133.23000000 0.003722164115 Long ABS-MBS CORP US N 2 2047-04-15 Variable 0.64809000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CV9 100000.00000000 PA USD 99310.15000000 0.326190337929 Long DBT CORP GB N 2 2029-08-17 Fixed 2.20600000 N N N N N N LEXINGTON REALTY TRUST 549300S4MH2ICXDBFV43 529043AE1 35000.00000000 PA USD 35462.46000000 0.116478646052 Long DBT CORP US N 2 2030-09-15 Fixed 2.70000000 N N N N N N NCR CORP 549300YKTY8JX1DV2R67 62886EBA5 37000.00000000 PA USD 38198.72000000 0.125466061478 Long DBT CORP US N 2 2029-04-15 Fixed 5.12500000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAW1 59000.00000000 PA USD 60548.75000000 0.198876119145 Long DBT CORP US N 2 2030-10-15 Fixed 3.00000000 N N N N N N HSI Asset Loan Obligation N/A 40432BAR0 260648.18000000 PA USD 243116.91000000 0.798532547069 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397EBL8 9781085.13000000 PA USD 43765.47000000 0.143750396600 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 0.15000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133T4DA1 21440.63000000 PA USD 24048.78000000 0.078989707245 Long ABS-MBS USGSE US N 2 2024-02-15 Floating 16.67586400 N N N N N N SL GREEN OPERATING PARTN 2K1OXW4LY7IS2U150Y32 78444FAF3 40000.00000000 PA USD 41004.21000000 0.134680867126 Long DBT CORP US N 2 2022-10-15 Fixed 3.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378NEU3 2866415.15000000 PA USD 74836.65000000 0.245805611541 Long ABS-MBS USGA US N 2 2046-02-16 Variable 1.16003000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MQ1 25000.00000000 PA USD 26560.54000000 0.087239738518 Long DBT CORP US N 2 2026-04-08 Fixed 3.10600000 N N N N N N MOLINA HEALTHCARE INC 549300NQQCEQ46YHZ591 60855RAG5 43000.00000000 PA USD 44384.60000000 0.145783967428 Long DBT CORP US N 2 2022-11-15 Variable 5.37500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEC5 85000.00000000 PA USD 84638.54000000 0.278000526275 Long DBT CORP US N 2 2027-07-20 Fixed 1.51200000 N N N N N N Palmer Square Loan Funding Ltd N/A 69701FAC7 100000.00000000 PA USD 100025.20000000 0.328538963937 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.68425000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137BSPY3 10078739.07000000 PA USD 141602.25000000 0.465101359520 Long ABS-MBS USGSE US N 2 2023-08-25 Variable 1.03698300 N N N N N N Neuberger Berman CLO Ltd 549300LCOEVXWN75LP18 64134AAA0 85000.00000000 PA USD 85087.64000000 0.279475623038 Long ABS-CBDO CORP KY N 2 2035-07-17 Floating 1.24149000 N N N N N N SLM Student Loan Trust 549300EQOYJZL2D96G46 78445AAE6 340000.00000000 PA USD 341738.35000000 1.122460774353 Long ABS-O CORP US N 2 2073-04-25 Floating 1.97525000 N N N N N N JP Morgan Mortgage Trust N/A 46628YBB5 15119.01000000 PA USD 19083.99000000 0.062682547022 Long ABS-MBS CORP US N 2 2021-06-25 Fixed 5.87500000 N N N N N N JP Morgan Mortgage Acquisition N/A 46630KAF3 724326.71000000 PA USD 568449.79000000 1.867108539221 Long ABS-MBS CORP US N 2 2047-03-25 Variable 4.21955400 N N N N N N Global SC Finance SRL N/A 37952UAE3 86416.67000000 PA USD 88150.43000000 0.289535546471 Long ABS-O CORP BB N 2 2029-07-17 Fixed 3.09000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU 549300GADFYEKC4OLM57 92890PAL8 2468541.76000000 PA USD 19342.26000000 0.063530850831 Long ABS-MBS CORP US N 2 2046-06-15 Variable 0.80574800 N N N N N N AMSR Trust N/A 00180AAJ8 100000.00000000 PA USD 107930.82000000 0.354505462421 Long ABS-O CORP US N 2 2037-04-17 Fixed 8.19300000 N N N N N N Residential Asset Securities C N/A 76110W7F7 164736.00000000 PA USD 164695.89000000 0.540953850283 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.74600000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378NER0 6137884.55000000 PA USD 79225.97000000 0.260222604911 Long ABS-MBS USGA US N 2 2055-06-16 Variable 0.33741000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 313920B41 329.44000000 PA USD 366.33000000 0.001203233571 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 8.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FNB25 350000.00000000 PA USD 34585.18000000 0.113597165562 Long ABS-MBS USGSE US N 2 2029-06-25 Variable 1.75891300 N N N N N N COMM Mortgage Trust 549300MGZ5FI5VFL1177 12591KAF2 1767973.36000000 PA USD 33794.10000000 0.110998814310 Long ABS-MBS CORP US N 2 2046-10-10 Variable 1.28934200 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU 5493000F7E2NMQ4HIO61 92939FBA6 3682625.78000000 PA USD 86171.97000000 0.283037172075 Long ABS-MBS CORP US N 2 2047-08-15 Variable 1.17371000 N N N N N N Mid-State Trust 5493001662PV30WKJE68 59560UAB7 202670.00000000 PA USD 218380.08000000 0.717282896988 Long ABS-O CORP US N 2 2037-08-15 Fixed 6.49700000 N N N N N N Citigroup Commercial Mortgage N/A 17318UAK0 1345807.58000000 PA USD 12378.33000000 0.040657391472 Long ABS-MBS CORP US N 2 2045-09-10 Variable 1.89197100 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAA5 45000.00000000 PA USD 46717.65000000 0.153447014638 Long DBT CORP BM N 2 2022-11-01 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137B3NZ7 5999569.00000000 PA USD 149519.76000000 0.491106911444 Long ABS-MBS USGSE US N 2 2041-07-25 Variable 1.71546200 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137B5JN4 6160160.01000000 PA USD 8776.38000000 0.028826563629 Long ABS-MBS USGSE US N 2 2023-07-25 Variable 0.18674500 N N N N N N SLM Student Loan Trust 549300OORAXMFXOHG132 78444GAD6 340000.00000000 PA USD 321187.63000000 1.054960661811 Long ABS-O CORP US N 2 2083-04-26 Floating 1.32525000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAD2 105000.00000000 PA USD 112271.25000000 0.368761873557 Long DBT CORP US N 2 2025-03-20 Fixed 4.73800000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 1710.82000000 0.005619294240 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2053-09-28 0.00000000 USD 0.00000000 USD 70000.00000000 USD 1710.82000000 N N N COMM Mortgage Trust N/A 12624PAF2 7743432.81000000 PA USD 66609.78000000 0.218783947538 Long ABS-MBS CORP US N 2 2045-10-15 Variable 1.99355800 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AH2 65000.00000000 PA USD 73983.00000000 0.243001745250 Long DBT CORP US N 2 2026-04-15 Fixed 5.37500000 N N N N N N TCI-Flatiron CLO Ltd 549300EEOTVLW827QY91 87230AAN6 25000.00000000 PA USD 25014.50000000 0.082161674392 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 1.73388000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46642EBA3 497060.90000000 PA USD 11643.55000000 0.038243961057 Long ABS-MBS CORP US N 2 2047-08-15 Variable 1.12144100 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BQ5 40000.00000000 PA USD 42822.00000000 0.140651510956 Long DBT CORP US N 2 2029-11-15 Fixed 3.87500000 N N N N N N TRANSMONTAIGE PARTNERS N/A 89376VAA8 35000.00000000 PA USD 35962.50000000 0.118121058399 Long DBT CORP US N 2 2026-02-15 Fixed 6.12500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 75000.00000000 PA USD 77418.77000000 0.254286744591 Long DBT CORP US N 2 2028-06-02 Fixed 2.39300000 N N N N N N COMM Mortgage Trust N/A 12631DBC6 2748843.43000000 PA USD 56823.27000000 0.186639549367 Long ABS-MBS CORP US N 2 2047-05-10 Variable 1.12203000 N N N N N N CIM Trust N/A 12566LAB0 104624.58000000 PA USD 105098.80000000 0.345203517344 Long ABS-MBS CORP US N 2 2057-06-25 Variable 1.95100000 N N N N N N Dryden Senior Loan Fund 549300XS2BVK8BZTXN05 26246BAA2 200000.00000000 PA USD 200001.00000000 0.656915670516 Long ABS-CBDO CORP KY N 2 2032-10-15 Floating 1.47613000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CM9 25000.00000000 PA USD 24843.07000000 0.081598601940 Long DBT CORP GB N 2 2027-05-24 Fixed 1.58900000 N N N N N N Morgan Stanley Mortgage Loan T N/A 61748HCH2 149803.47000000 PA USD 149186.20000000 0.490011312967 Long ABS-MBS CORP US N 2 2034-09-25 Variable 2.05382300 N N N N N N BALL CORP 0BGI85ALH27ZJP15DY16 058498AS5 30000.00000000 PA USD 31687.50000000 0.104079556149 Long DBT CORP US N 2 2023-11-15 Fixed 4.00000000 N N N N N N Conseco Financial Corp N/A 393505PN6 3284.61000000 PA USD 3294.46000000 0.010820857895 Long ABS-O CORP US N 2 2026-09-15 Variable 7.70000000 N N N N N N Indymac Manufactured Housing C N/A 22540AFH6 121172.41000000 PA USD 127962.81000000 0.420301774152 Long ABS-O CORP US N 2 2028-09-25 Variable 6.96000000 N N N N N N CINEMARK USA INC 54930008H2137JSCPQ09 172441BF3 32000.00000000 PA USD 31600.00000000 0.103792156980 Long DBT CORP US N 2 2028-07-15 Fixed 5.25000000 N N N N N N Impac CMB Trust N/A 45254NHT7 112603.19000000 PA USD 112353.63000000 0.369032455769 Long ABS-MBS CORP US N 2 2034-09-25 Floating 0.70600000 N N N N N N VENTAS REALTY LP 32SXKSJ72K64GM3HOU64 92277GAN7 50000.00000000 PA USD 57205.10000000 0.187893693648 Long DBT CORP US N 2 2029-01-15 Fixed 4.40000000 N N N N N N SES GLOBAL AMERICAS HLDG 5299000YGN3VJ3R60481 78413KAB8 200000.00000000 PA USD 229163.26000000 0.752700919498 Long DBT CORP US N 2 2044-03-25 Fixed 5.30000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RCQ3 15000.00000000 PA USD 17975.11000000 0.059040361989 Long DBT CORP US N 2 2046-05-15 Fixed 4.75000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAJ4 65000.00000000 PA USD 70389.89000000 0.231199952934 Long DBT CORP GB N 2 2024-11-15 Fixed 4.79600000 N N N N N N NATIONAL CINEMEDIA LLC 7LJEQIVQVLNGS4X6T547 63530QAJ8 33000.00000000 PA USD 30254.07000000 0.099371366542 Long DBT CORP US N 2 2028-04-15 Fixed 5.87500000 N N N N N N CYRUSONE LP/CYRUSONE FIN N/A 23283PAQ7 80000.00000000 PA USD 83938.40000000 0.275700873085 Long DBT CORP US N 2 2024-11-15 Fixed 2.90000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACB9 10000.00000000 PA USD 10042.17000000 0.032984129274 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N ENDO LUX FIN CO I SARL N/A 29280BAA3 13000.00000000 PA USD 13011.41000000 0.042736781938 Long DBT CORP LU N 2 2029-04-01 Fixed 6.12500000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBF1 75000.00000000 PA USD 77820.03000000 0.255604707911 Long DBT CORP US N 2 2047-08-15 Fixed 4.54000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137AXHR7 8000000.00000000 PA USD 121822.80000000 0.400134531058 Long ABS-MBS USGSE US N 2 2040-11-25 Variable 1.71355100 N N N N N N JPMBB Commercial Mortgage Secu N/A 46643PBG4 4970300.43000000 PA USD 111167.23000000 0.365135651496 Long ABS-MBS CORP US N 2 2047-11-15 Variable 0.97978600 N N N N N N DIRECTV HOLDINGS/FING N/A 25461LAA0 30000.00000000 PA USD 31349.31000000 0.102968750150 Long DBT CORP US N 2 2027-08-15 Fixed 5.87500000 N N N N N N PILGRIM'S PRIDE CORP 549300ZSLGV64ZL3HD75 72147KAG3 30000.00000000 PA USD 30568.21000000 0.100403178827 Long DBT CORP US N 2 2032-03-01 Fixed 3.50000000 N N N N N N HARVEST COMMERCIAL CAPITAL LOA N/A 41753CAA4 71513.43000000 PA USD 71908.74000000 0.236188709821 Long ABS-MBS CORP US N 2 2046-09-25 Variable 3.29000000 N N N N N N JPMORGAN CHASE & 8I5DZWZKVSZI1NUHU748 46647PCK0 45000.00000000 PA USD 45061.89000000 0.148008568377 Long DBT CORP US N 2 2025-06-23 Fixed 0.96900000 N N N N N N MACQUARIE GROUP LTD ACMHD8HWFMFUIQQ8Y590 55607PAG0 30000.00000000 PA USD 29973.22000000 0.098448897324 Long DBT CORP AU N 2 2032-06-23 Fixed 2.69100000 N N N N N N Terwin Mortgage Trust N/A 881561FV1 64208.55000000 PA USD 64006.67000000 0.210233871533 Long ABS-MBS CORP US N 2 2034-07-25 Floating 1.18600000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550BN5 45000.00000000 PA USD 53215.35000000 0.174789112689 Long DBT CORP US N 2 2042-08-15 Fixed 5.00000000 N N N N N N WASTE PRO USA INC 549300BY1QXU5BI3UF28 94107JAA1 48000.00000000 PA USD 48546.72000000 0.159454708327 Long DBT CORP US N 2 2026-02-15 Fixed 5.50000000 N N N N N N Cedar Funding Ltd N/A 15033TAB1 180000.00000000 PA USD 180033.66000000 0.591331705713 Long ABS-CBDO CORP KY N 2 2032-10-25 Floating 1.39525000 N N N N N N Indymac Manufactured Housing C N/A 22540ABD9 23422.09000000 PA USD 23660.25000000 0.077713556398 Long ABS-O CORP US N 2 2028-02-25 Fixed 6.75000000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AD0 50000.00000000 PA USD 54756.50000000 0.179851115307 Long DBT CORP US N 2 2027-11-15 Fixed 3.62500000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AA6 35000.00000000 PA USD 36452.48000000 0.119730428053 Long DBT CORP US N 2 2023-04-15 Fixed 3.75000000 N N N N N N Morgan Stanley Mortgage Loan T 549300E4V6DCTUJSC749 61749JAS5 966990.10000000 PA USD 395051.91000000 1.297572463869 Long ABS-MBS CORP US N 2 2036-06-25 Variable 5.96200000 N N N N N N SLM Student Loan Trust 549300SRMXHPGI3BJ386 78444YAE5 235000.00000000 PA USD 232757.16000000 0.764505306617 Long ABS-O CORP US N 2 2073-07-25 Floating 1.97525000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BK6 55000.00000000 PA USD 59361.40000000 0.194976194537 Long DBT CORP GB N 2 2025-03-22 Fixed 4.26900000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137AUPG8 1150000.00000000 PA USD 15829.06000000 0.051991527860 Long ABS-MBS USGSE US N 2 2040-07-25 Variable 2.03222100 N N N N N N Banc of California Multifamily S6XOOCT0IEG5ABCC6L87 3137FMUM2 2924136.43000000 PA USD 17566.31000000 0.057697633072 Long ABS-MBS CORP US N 2 2024-08-25 Fixed 0.36200000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BQ1 12000.00000000 PA USD 13608.75000000 0.044698782161 Long DBT CORP US N 2 2025-04-15 Fixed 5.25000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 40000.00000000 PA USD 40090.61000000 0.131680091347 Long DBT CORP US N 2 2027-04-22 Fixed 1.57800000 N N N N N N CALIFORNIA ST UNIV REVENUE N/A 13077DQP0 15000.00000000 PA USD 14695.08000000 0.048266900322 Long DBT MUN US N 2 2035-11-01 Fixed 2.37400000 N N N N N N FREMF Mortgage Trust N/A 35708TAQ0 25000000.00000000 PA USD 60187.50000000 0.197689571148 Long ABS-MBS USGSE US N 2 2049-07-25 Fixed 0.10000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F0226B6 700000.00000000 PA USD 720315.43000000 2.365920638805 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Colony American Finance Ltd N/A 21872UAC8 140000.00000000 PA USD 142753.39000000 0.468882350139 Long ABS-O CORP US N 2 2050-03-15 Fixed 2.29600000 N N N N N N Structured Receivables Finance N/A 86365FAC8 276897.64000000 PA USD 311839.93000000 1.024257562260 Long ABS-O CORP US N 2 2046-01-16 Fixed 7.61400000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -2822.89000000 -0.00927195702 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-07-24 0.00000000 USD 0.00000000 USD 490000.00000000 USD -2822.89000000 N N N NATIONWIDE MUTUAL INSURA Z7LVXXWM8HZPKF5T2355 638671AJ6 75000.00000000 PA USD 75089.04000000 0.246634602127 Long DBT CORP US N 2 2024-12-15 Floating 2.40600000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAG2 50000.00000000 PA USD 55564.50000000 0.182505041346 Long DBT CORP US N 2 2027-04-01 Fixed 4.30000000 N N N N N N MSILF Government Portfolio 549300BI6Y5SI6BYPB26 61747C707 7000.00000000 NS USD 7000.00000000 0.022991933508 Long STIV RF US N 1 N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92930RAF9 5936168.10000000 PA USD 73837.32000000 0.242523250268 Long ABS-MBS CORP US N 2 2045-11-15 Variable 2.01731000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 18.00000000 NC USD -6575.41000000 -0.02159734135 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 2021-12-31 2215934.83000000 USD -6575.41000000 N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBS8 48000.00000000 PA USD 59961.35000000 0.196946767467 Long DBT CORP GB N 2 2049-06-19 Fixed 4.87500000 N N N N N N INTL FLAVOR & FRAGRANCES BZLRL03D3GPGMOGFO832 459506AQ4 26000.00000000 PA USD 25795.48000000 0.084726851568 Long DBT CORP US N 2 2030-11-01 Fixed 2.30000000 N N N N N N SKYAF 2020-1 A N/A 000000000 72610.98000000 PA USD 72818.03000000 0.239175329139 Long ABS-MBS CORP US N 3 2038-05-10 Floating 3.22900000 N N N N N N Oakwood Mortgage Investors Inc N/A 67087TAD3 101979.65000000 PA USD 103064.68000000 0.338522324232 Long ABS-O CORP US N 2 2026-12-15 Fixed 6.99000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61772BAB9 40000.00000000 PA USD 40126.82000000 0.131799025334 Long DBT CORP US N 2 2027-05-04 Fixed 1.59300000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAX1 20000.00000000 PA USD 20584.16000000 0.067609948292 Long DBT CORP US N 2 2025-04-15 Fixed 2.85000000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAD1 39000.00000000 PA USD 40742.12000000 0.133820016290 Long DBT CORP US N 2 2028-09-15 Fixed 2.86600000 N N N N N N Structured Adjustable Rate Mor N/A 863579AN8 152339.29000000 PA USD 154833.11000000 0.508558938574 Long ABS-MBS CORP US N 2 2034-09-25 Variable 2.65855100 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMM1 93000.00000000 PA USD 91579.98000000 0.300800115837 Long DBT CORP US N 2 2033-12-01 Fixed 2.55000000 N N N N N N First Franklin Mtg Loan Asset N/A 32028TAE7 863050.52000000 PA USD 604246.96000000 1.984686560996 Long ABS-MBS CORP US N 2 2038-01-25 Floating 0.30600000 N N N N N N SLM Student Loan Trust 549300IZGFDRVV7YTH38 78444EAE9 215000.00000000 PA USD 196383.52000000 0.645033833426 Long ABS-O CORP US N 2 2070-10-27 Floating 0.87525000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DE2 60000.00000000 PA USD 60089.49000000 0.197367651233 Long DBT CORP US N 2 2024-02-04 Fixed 1.43300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394F3P8 406051.80000000 PA USD 29543.48000000 0.097037389680 Long ABS-MBS USGSE US N 2 2025-10-25 Floating 6.01400000 N N N N N N Credit Suisse Mortgage Trust N/A 12690CAE3 100000.00000000 PA USD 103284.66000000 0.339244862165 Long ABS-MBS CORP US N 2 2036-04-15 Fixed 4.53490000 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 085770AA3 25000.00000000 PA USD 26282.50000000 0.086326498919 Long DBT CORP US N 2 2026-07-15 Fixed 4.87500000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAR2 60000.00000000 PA USD 59059.97000000 0.193986129035 Long DBT CORP KY N 2 2027-11-18 Fixed 2.52800000 N N N N N N LUMEN TECHNOLOGIES INC 8M3THTGWLTYZVE6BBY25 550241AA1 42000.00000000 PA USD 42907.62000000 0.140932735149 Long DBT CORP US N 2 2029-06-15 Fixed 5.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XLU3 679592.73000000 PA USD 24756.54000000 0.081314388796 Long ABS-MBS USGA US N 2 2054-11-16 Variable 0.90034000 N N N N N N GRAPHIC PACKAGING INTERN SO75N4VY5NXGQSK8YQ65 38869PAL8 55000.00000000 PA USD 56874.95000000 0.186809295527 Long DBT CORP US N 2 2022-11-15 Fixed 4.87500000 N N N N N N COMM Mortgage Trust N/A 12624KAE6 16815849.24000000 PA USD 125717.81000000 0.412927932620 Long ABS-MBS CORP US N 2 2045-08-15 Variable 1.77332700 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397LXH7 758582.35000000 PA USD 138169.93000000 0.453827691917 Long ABS-MBS USGSE US N 2 2036-11-25 Floating 5.96400000 N N N N N N QWEST CORP 549300R2L4N683OO1509 912920AK1 70000.00000000 PA USD 83399.40000000 0.273930494205 Long DBT CORP US N 2 2025-09-15 Fixed 7.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359ADZ9 351.07000000 PA USD 374.60000000 0.001230396898 Long ABS-MBS USGSE US N 2 2023-05-25 Floating 10.77265900 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DG7 55000.00000000 PA USD 30387.50000000 0.099809625640 Long DBT CORP US N 2 2036-10-10 None 0.00000000 N N N N N N Wells Fargo Commercial Mortgag 549300CFP9NBBMZH1008 95000KBE4 1536185.22000000 PA USD 77668.30000000 0.255106341330 Long ABS-MBS CORP US N 2 2049-11-15 Variable 1.73865900 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAC1 7000.00000000 PA USD 7710.22000000 0.025324695082 Long DBT CORP BM N 2 2026-03-01 Fixed 4.00000000 N N N N N N JETBLUE AIRWAYS CORP N/A 477164AA5 96728.15110000 PA USD 105934.34000000 0.347947900219 Long DBT CORP US N 2 2032-11-15 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137AVXQ5 5250000.00000000 PA USD 78633.98000000 0.258278177094 Long ABS-MBS USGSE US N 2 2040-08-25 Variable 1.87426200 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -265.52000000 -0.00087211688 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-09-28 0.00000000 USD 0.00000000 USD 830000.00000000 USD -265.52000000 N N N JPMBB Commercial Mortgage Secu N/A 46642NBF2 2466818.38000000 PA USD 49200.94000000 0.161603534433 Long ABS-MBS CORP US N 2 2047-09-15 Variable 0.97605600 N N N N N N SAN FRANCISCO CA CITY & CNTY P N/A 79771FAA5 35000.00000000 PA USD 35676.55000000 0.117181837915 Long DBT MUN US N 2 2041-11-01 Fixed 2.82500000 N N N N N N YUM! BRANDS INC 549300JE8XHZZ7OHN517 988498AP6 40000.00000000 PA USD 42725.04000000 0.140333039831 Long DBT CORP US N 2 2032-01-31 Fixed 4.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378BQJ1 7150273.78000000 PA USD 75911.24000000 0.249335168945 Long ABS-MBS USGA US N 2 2053-04-16 Variable 0.74265000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AC5 15000.00000000 PA USD 16183.40000000 0.053155379534 Long DBT CORP CH N 2 2025-03-26 Fixed 3.75000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AT5 30000.00000000 PA USD 29368.56000000 0.096462854108 Long DBT CORP CH N 2 2027-02-02 Fixed 1.30500000 N N N N N N MAUSER PACKAGING SOLUT 549300DNGHXL0OMHW304 12429TAD6 5000.00000000 PA USD 5050.00000000 0.016587037745 Long DBT CORP US N 2 2024-04-15 Fixed 5.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137BTU41 14607701.55000000 PA USD 71609.87000000 0.235207052797 Long ABS-MBS USGSE US N 2 2023-11-25 Variable 0.39297300 N N N N N N Fannie Mae or Freddie Mac N/A 01F0206B0 725000.00000000 PA USD 725521.44000000 2.383020101057 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -1649.11000000 -0.00541660392 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-07-24 0.00000000 USD 0.00000000 USD 330000.00000000 USD -1649.11000000 N N N MICHAELS COS INC/THE 549300H9LWMBP7HYLR98 55916AAB0 35000.00000000 PA USD 36416.63000000 0.119612676508 Long DBT CORP US N 2 2029-05-01 Fixed 7.87500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 25000.00000000 PA USD 27617.36000000 0.090710929256 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AT5H3 501288.89000000 PA USD 17548.80000000 0.057640120393 Long ABS-MBS USGSE US N 2 2039-07-25 Variable 2.96963000 N N N N N N GS Mortgage Securities Trust N/A 36192BAA5 2490862.32000000 PA USD 62.15000000 0.000204135523 Long ABS-MBS CORP US N 2 2045-01-10 Variable 1.71691800 N N N N N N MOLINA HEALTHCARE INC 549300NQQCEQ46YHZ591 60855RAK6 35000.00000000 PA USD 36954.20000000 0.121378358465 Long DBT CORP US N 2 2030-11-15 Fixed 3.87500000 N N N N N N GS Mortgage Securities Trust N/A 36192PAQ9 2646422.79000000 PA USD 41782.52000000 0.137237274521 Long ABS-MBS CORP US N 2 2045-11-10 Variable 2.07821200 N N N N N N Eaton Vance CDO Ltd 5493004NKU3QU5G6QW39 278300AJ7 90000.00000000 PA USD 90062.10000000 0.295814544975 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 1.25464000 N N N N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 92769XAP0 66000.00000000 PA USD 69646.50000000 0.228758242441 Long DBT CORP GB N 2 2029-05-15 Fixed 5.50000000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAJ9 65000.00000000 PA USD 80021.07000000 0.262834160101 Long DBT CORP US N 2 2046-02-01 Fixed 4.90000000 N N N N N N Citigroup Commercial Mortgage N/A 17322YAJ9 4274244.51000000 PA USD 104912.61000000 0.344591964759 Long ABS-MBS CORP US N 2 2047-10-10 Variable 1.11254900 N N N N N N MET TRANSPRTN AUTH NY REVENUE 5493000TKYODLXADQD60 59261AG76 5000.00000000 PA USD 6788.18000000 0.022296197600 Long DBT MUN US N 2 2049-11-15 Fixed 5.17500000 N N N N N N Highbridge Loan Management Ltd 2549009NI8GVCM3ROT27 40436TAS5 85000.00000000 PA USD 85095.20000000 0.279500454326 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.27425000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971XQW1 75000.00000000 PA USD 72320.02000000 0.237539584452 Long DBT MUN US N 2 2032-08-01 Fixed 1.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31358SZW4 66768.86000000 PA USD 8039.81000000 0.026407253848 Long ABS-MBS USGSE US N 2 2030-12-18 Floating 7.86262000 N N N N N N JP Morgan Chase Commercial Mor N/A 46640JAT4 6289890.22000000 PA USD 10650.99000000 0.034983836268 Long ABS-MBS CORP US N 2 2046-01-15 Variable 0.21313500 N N N N N N JPMBB Commercial Mortgage Secu N/A 46590JAT4 149322.31000000 PA USD 150714.90000000 0.495032422789 Long ABS-MBS CORP US N 2 2048-11-15 Fixed 2.81640000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796L98 800000.00000000 PA USD 799868.25000000 2.627216802783 Long DBT UST US N 1 2022-03-03 None 0.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379KJU3 618641.24000000 PA USD 15795.89000000 0.051882578940 Long ABS-MBS USGA US N 2 2056-10-16 Variable 0.43435000 N N N N N N PILGRIM'S PRIDE CORP 549300ZSLGV64ZL3HD75 72147KAF5 25000.00000000 PA USD 26750.50000000 0.087863673902 Long DBT CORP US N 2 2031-04-15 Fixed 4.25000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AQ1 90000.00000000 PA USD 91810.44000000 0.301557075979 Long DBT CORP CH N 2 2026-06-05 Fixed 2.19300000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBY1 75000.00000000 PA USD 76304.04000000 0.250625344871 Long DBT CORP US N 2 2022-06-30 Fixed 3.15000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2K8 50000.00000000 PA USD 51594.65000000 0.169465823169 Long DBT CORP US N 2 2026-02-11 Fixed 2.16400000 N N N N N N SMITHFIELD FOODS INC CVTIPZRZJC0JQEZLL598 832248BD9 45000.00000000 PA USD 43889.50000000 0.144157780816 Long DBT CORP US N 2 2031-09-13 Fixed 2.62500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50076QAE6 74000.00000000 PA USD 90906.91000000 0.298589375739 Long DBT CORP US N 2 2042-06-04 Fixed 5.00000000 N N N N N N Banc of America Commercial Mor N/A 06054AAA7 1500000.00000000 PA USD 56837.33000000 0.186685730307 Long ABS-MBS CORP US N 2 2048-09-15 Variable 1.25000000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAB2 25000.00000000 PA USD 27836.75000000 0.091431529298 Long DBT CORP N/A N 2 2030-01-15 Fixed 5.50000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAF9 75000.00000000 PA USD 77065.05000000 0.253124929345 Long DBT CORP US N 2 2025-02-01 Fixed 2.30000000 N N N N N N Morgan Stanley BAML Trust N/A 61690QAF6 3075209.42000000 PA USD 55098.22000000 0.180973515810 Long ABS-MBS CORP US N 2 2050-07-15 Variable 0.69921300 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137B1UJ9 5000000.00000000 PA USD 104371.85000000 0.342815805049 Long ABS-MBS USGSE US N 2 2041-01-25 Variable 1.76366700 N N N N N N ENDO DAC/FIN LLC/FINCO N/A 29273DAC4 47000.00000000 PA USD 33957.50000000 0.111535511730 Long DBT CORP N/A N 2 2028-06-30 Fixed 6.00000000 N N N N N N Fidelity Government Portfolio N/A 316175108 46121.70000000 NS USD 46121.70000000 0.151489579956 Long STIV RF US N 1 N N N JPMBB Commercial Mortgage Secu N/A 46643TBC5 2804111.03000000 PA USD 71122.35000000 0.233605763165 Long ABS-MBS CORP US N 2 2048-01-15 Variable 1.10079200 N N N N N N COMERICA INC I9Q57JVPWHHZ3ZGBW498 200340AU1 45000.00000000 PA USD 49668.75000000 0.163140085349 Long DBT CORP US N 2 N/A Fixed 5.62500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCM6 15000.00000000 PA USD 14943.23000000 0.049081964365 Long DBT CORP US N 2 2025-08-09 Fixed 0.76800000 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAB3 25000.00000000 PA USD 27689.25000000 0.090947056413 Long DBT CORP BM N 2 2025-02-15 Fixed 4.75000000 N N N N N N Credit-Based Asset Servicing a N/A 17311YAC7 906208.35000000 PA USD 479314.80000000 1.574339144456 Long ABS-MBS CORP US N 2 2037-03-25 Variable 3.40017900 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAM7 35000.00000000 PA USD 34943.99000000 0.114775699228 Long DBT CORP GB N 2 2026-08-21 Fixed 1.53200000 N N N N N N TRANSOCEAN PROTEUS LTD 5493000CTMQ2LH21VM89 893829AA9 10450.00000000 PA USD 10498.54000000 0.034483104802 Long DBT CORP KY N 2 2024-12-01 Fixed 6.25000000 N N N N N N GS Mortgage Securities Trust N/A 36248GAG5 45024000.00000000 PA USD 184265.22000000 0.605230526593 Long ABS-MBS CORP US N 2 2046-11-10 Variable 0.32675300 N N N N N N Indymac Manufactured Housing C N/A 22540ABC1 55638.58000000 PA USD 56168.90000000 0.184490230577 Long ABS-O CORP US N 2 2028-02-25 Fixed 6.61000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92938GAG3 5513675.05000000 PA USD 106240.52000000 0.348953567391 Long ABS-MBS CORP US N 2 2046-12-15 Variable 1.22416900 N N N N N N PRIMO WATER HOLDINGS INC 9845008F9A5F2E1D4832 74168LAA4 38000.00000000 PA USD 37946.99000000 0.124639238703 Long DBT CORP US N 2 2029-04-30 Fixed 4.37500000 N N N N N N COMM Mortgage Trust N/A 20049AAC2 1667987.25000000 PA USD 31678.41000000 0.104049699481 Long ABS-MBS CORP US N 2 2037-02-10 Variable 0.72186700 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CZ1 60000.00000000 PA USD 77407.00000000 0.254248085297 Long DBT CORP US N 2 2048-03-25 Fixed 5.05000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CT0 10000.00000000 PA USD 11137.85000000 0.036582958089 Long DBT CORP US N 2 2025-05-01 Fixed 4.87500000 N N N N N N COMM Mortgage Trust N/A 12623SAF7 4541598.45000000 PA USD 62768.52000000 0.206167091180 Long ABS-MBS CORP US N 2 2045-12-10 Variable 1.64779100 N N N N N N First Franklin Mtg Loan Asset N/A 32029AAC1 359712.01000000 PA USD 343351.77000000 1.127760152261 Long ABS-MBS CORP US N 2 2037-12-25 Floating 0.19600000 N N N N N N Credit-Based Asset Servicing a N/A 1248MBAJ4 274309.38000000 PA USD 219012.23000000 0.719359232812 Long ABS-MBS CORP US N 2 2037-02-25 Variable 3.66300900 N N N N N N DNB BANK ASA 549300GKFG0RYRRQ1414 23329PAF7 45000.00000000 PA USD 44540.51000000 0.146296063478 Long DBT CORP NO N 2 2026-09-16 Fixed 1.12700000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NA5 145000.00000000 PA USD 144279.72000000 0.473895675550 Long DBT CORP US N 2 2027-06-09 Fixed 1.46200000 N N N N N N UNIVERSAL HEALTH SVCS 549300YGMGQDO0NMJD09 913903AX8 15000.00000000 PA USD 14917.23000000 0.048996565755 Long DBT CORP US N 2 2026-09-01 Fixed 1.65000000 N N N N N N CONTL AIRLINES 2007-1 N/A 21079RAA0 113532.97415000 PA USD 114438.33000000 0.375879782024 Long DBT CORP US N 2 2022-04-19 Fixed 6.90300000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAD3 10000.00000000 PA USD 10934.43000000 0.035914812501 Long DBT CORP KY N 2 2024-05-15 Fixed 5.25000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAC4 35000.00000000 PA USD 36581.36000000 0.120153742395 Long DBT CORP KY N 2 2023-03-15 Fixed 4.50000000 N N N N N N Conseco Financial Corp N/A 3935053P5 78999.33000000 PA USD 45198.38000000 0.148456878235 Long ABS-O CORP US N 2 2030-03-01 Variable 7.86000000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAA5 50000.00000000 PA USD 52140.10000000 0.171257387474 Long DBT CORP GB N 2 2024-03-08 Fixed 3.76600000 N N N N N N JP Morgan Mortgage Trust N/A 46630RAB7 13251.59000000 PA USD 13197.90000000 0.043349319892 Long ABS-MBS CORP US N 2 2022-03-25 Fixed 5.50000000 N N N N N N INTELSAT JACKSON HLDG 8XJ8KF85PBKK1TLMFN29 45824TBA2 38000.00000000 PA USD 22040.00000000 0.072391744932 Long DBT CORP LU N 2 2024-10-15 Fixed 8.50000000 Y N N N N N USA COM PART/USA COM FIN N/A 91740PAF5 22000.00000000 PA USD 23322.31000000 0.076603571540 Long DBT CORP US N 2 2027-09-01 Fixed 6.87500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJS9 110000.00000000 PA USD 110603.15000000 0.363282895802 Long DBT CORP US N 2 2027-07-22 Fixed 1.73400000 N N N N N N ORGANON & CO/ORG 549300SH15FO4Y2G3V63 68622TAB7 35000.00000000 PA USD 36806.00000000 0.120891586387 Long DBT CORP US N 2 2031-04-30 Fixed 5.12500000 N N N N N N FRESENIUS MED CARE III 5299006ZHLMXOOUVTU44 35805BAC2 30000.00000000 PA USD 30150.17000000 0.099030100558 Long DBT CORP US N 2 2026-12-01 Fixed 1.87500000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660LR35 274757.79000000 PA USD 275582.39000000 0.905167426709 Long ABS-MBS CORP US N 2 2035-12-25 Variable 2.96615100 N N N N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAA1 45000.00000000 PA USD 46414.91000000 0.152452646359 Long DBT CORP US N 2 2029-08-15 Fixed 3.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378BQ77 3144498.94000000 PA USD 57025.02000000 0.187302209736 Long ABS-MBS USGA US N 2 2051-12-16 Variable 0.68563000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDF6 35000.00000000 PA USD 30455.25000000 0.100032154711 Long DBT CORP MX N 2 2060-01-28 Fixed 6.95000000 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A2X8 30000.00000000 PA USD 30148.43000000 0.099024385420 Long DBT CORP US N 2 2024-05-24 Floating 0.75000100 N N N N N N Residential Accredit Loans, In N/A 76110H2H1 122880.17000000 PA USD 73718.81000000 0.242133996834 Long ABS-MBS CORP US N 2 2035-03-25 Variable 3.40759600 N N N N N N UBS Commercial Mortgage Trust N/A 90269GAG6 1379112.19000000 PA USD 8645.93000000 0.028398092525 Long ABS-MBS CORP US N 2 2045-05-10 Variable 2.19631800 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 2689.49000000 0.008833796464 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2053-07-24 0.00000000 USD 0.00000000 USD 60000.00000000 USD 2689.49000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAV1 174000.00000000 PA USD 207696.87000000 0.682193232134 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N Mid-State Trust N/A 595481AA0 109638.16000000 PA USD 116979.17000000 0.384225328358 Long ABS-O CORP US N 2 2040-01-15 Fixed 5.74500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABR5 78000.00000000 PA USD 78977.02000000 0.259404913218 Long DBT CORP US N 2 2026-02-15 Fixed 2.25000000 N N N N N N Morgan Stanley BAML Trust N/A 61761DAD4 89977.40000000 PA USD 91150.44000000 0.299389265105 Long ABS-MBS CORP US N 2 2045-11-15 Fixed 2.85800000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137B2HQ6 2142000.00000000 PA USD 49523.79000000 0.162663955252 Long ABS-MBS USGSE US N 2 2041-06-25 Variable 1.71860200 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AQ7 50000.00000000 PA USD 50449.00000000 0.165702864795 Long DBT CORP US N 2 2030-04-15 Fixed 4.62500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -8.00000000 NC USD 20010.81000000 0.065726744709 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 2021-12-21 -1182010.81000000 USD 20010.81000000 N N N Oakwood Mortgage Investors Inc N/A 67087TDE8 134838.92000000 PA USD 137385.39000000 0.451250821700 Long ABS-O CORP US N 2 2024-05-15 Variable 6.03000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAQ2 50000.00000000 PA USD 54111.83000000 0.177733656768 Long DBT CORP US N 2 2025-05-14 Fixed 3.60000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMN9 136000.00000000 PA USD 139417.38000000 0.457925018696 Long DBT CORP US N 2 2057-12-01 Fixed 3.80000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92937FAJ0 5283890.15000000 PA USD 62617.00000000 0.205669414356 Long ABS-MBS CORP US N 2 2048-03-15 Variable 1.24405400 N N N N N N Park Avenue Institutional Advi N/A 70015QAC2 40000.00000000 PA USD 40030.28000000 0.131481933726 Long ABS-CBDO CORP KY N 2 2034-01-20 Floating 1.88425000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 70000.00000000 PA USD 79312.68000000 0.260507409276 Long DBT CORP US N 2 2028-12-15 Fixed 4.37500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABD6 10000.00000000 PA USD 11022.03000000 0.036202540126 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 12649AAE9 9783816.76000000 PA USD 182518.08000000 0.599491937063 Long ABS-MBS CORP US N 2 2037-09-15 Variable 0.68591600 N N N N N N DIAMOND SPORTS GR/DIAMON N/A 25277LAA4 85000.00000000 PA USD 56491.71000000 0.185550520013 Long DBT CORP US N 2 2026-08-15 Fixed 5.37500000 N N N N N N Crystal River 5493002U1CTJPBWAAZ92 229395AA6 419900.13000000 PA USD 48580.77000000 0.159566547661 Long ABS-CBDO CORP KY N 3 2046-03-02 Floating 2.68125000 N N N N N N MODIVCARE ESCROW ISSUER N/A 60783XAA2 15000.00000000 PA USD 15567.00000000 0.051130775560 Long DBT CORP US N 2 2029-10-01 Fixed 5.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 1108.11000000 0.003639655919 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2053-07-24 0.00000000 USD 0.00000000 USD 30000.00000000 USD 1108.11000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHQ5 25000.00000000 PA USD 28011.22000000 0.092004586818 Long DBT CORP US N 2 2030-02-07 Fixed 3.97400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396PDC2 600271.42000000 PA USD 124610.94000000 0.409292349557 Long ABS-MBS USGSE US N 2 2037-01-25 Floating 7.11400000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 706451BG5 15000.00000000 PA USD 14306.25000000 0.046989764107 Long DBT CORP MX N 2 2035-06-15 Fixed 6.62500000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JBB3 100000.00000000 PA USD 122749.68000000 0.403178925819 Long DBT CORP US N 2 2041-09-01 Fixed 5.50000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAN3 35000.00000000 PA USD 41342.61000000 0.135792362883 Long DBT CORP US N 2 2038-06-25 Fixed 4.62500000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBS3 25000.00000000 PA USD 24656.50000000 0.080985801221 Long DBT CORP US N 2 2031-03-25 Fixed 2.72600000 N N N N N N JERSEY CENTRAL PWR & LT 549300W9UGH9ZPLNPF79 476556DB8 55000.00000000 PA USD 59326.76000000 0.194862417312 Long DBT CORP US N 2 2024-04-01 Fixed 4.70000000 N N N N N N GS Mortgage Securities Trust N/A 36192BAC1 5745339.73000000 PA USD 3537.41000000 0.011618842215 Long ABS-MBS CORP US N 2 2045-01-10 Variable 0.31960000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376GXY1 1541741.83000000 PA USD 17825.62000000 0.058549352826 Long ABS-MBS USGA US N 2 2050-09-16 Variable 0.28798000 N N N N N N GS Mortgage Securities Trust N/A 36253GAG7 2855962.97000000 PA USD 52652.96000000 0.172941907905 Long ABS-MBS CORP US N 2 2047-09-10 Variable 0.85169000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -3905.62000000 -0.01282825076 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-07-24 0.00000000 USD 0.00000000 USD 660000.00000000 USD -3905.62000000 N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAY7 46000.00000000 PA USD 46250.73000000 0.151913386982 Long DBT CORP US N 2 2028-07-15 Fixed 2.45000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38374FGE8 13625.41000000 PA USD 15192.08000000 0.049899327602 Long ABS-MBS USGA US N 2 2023-11-26 Floating 14.12224000 N N N N N N JPMBB Commercial Mortgage Secu 549300UOGMFS1M8XVM16 46640NAG3 7617675.23000000 PA USD 130161.69000000 0.427524131688 Long ABS-MBS CORP US N 2 2045-11-15 Variable 1.20136600 N N N N N N Conseco Financial Corp N/A 393505F98 11874.48000000 PA USD 11942.23000000 0.039224994014 Long ABS-O CORP US N 2 2030-04-01 Variable 6.87000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BZ1 110000.00000000 PA USD 140641.47000000 0.461945618109 Long DBT CORP US N 2 2049-06-15 Fixed 5.25000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJQ3 100000.00000000 PA USD 100672.76000000 0.330665914861 Long DBT CORP US N 2 2027-03-11 Fixed 1.65800000 N N N N N N ENTERGY TEXAS INC LWXX58X12AJXISQ28573 29365TAF1 150000.00000000 PA USD 161677.59000000 0.531040057011 Long DBT CORP US N 2 2027-12-01 Fixed 3.45000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWQ3 15000.00000000 PA USD 16044.00000000 0.052697511601 Long DBT CORP US N 2 2025-09-29 Fixed 3.27200000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378BN62 9528417.45000000 PA USD 72166.80000000 0.237036323873 Long ABS-MBS USGA US N 2 2053-02-16 Variable 0.20586000 N N N N N N LUMEN TECHNOLOGIES INC 8M3THTGWLTYZVE6BBY25 156700BC9 24000.00000000 PA USD 24539.54000000 0.080601638858 Long DBT CORP US N 2 2027-02-15 Fixed 4.00000000 N N N N N N Merrill Lynch Mortgage Investo N/A 59020UKY0 629457.71000000 PA USD 611677.76000000 2.009093483784 Long ABS-MBS CORP US N 2 2035-08-25 Floating 1.24600000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BP7 10000.00000000 PA USD 10535.62000000 0.034604896358 Long DBT CORP US N 2 2027-03-01 Fixed 3.40000000 N N N N N N SUNOCO LP/FINANCE CORP N/A 86765LAT4 56000.00000000 PA USD 57114.07000000 0.187594699976 Long DBT CORP US N 2 2029-05-15 Fixed 4.50000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AJ8 10000.00000000 PA USD 11163.30000000 0.036666550190 Long DBT CORP US N 2 2025-06-01 Fixed 5.25000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -7.00000000 NC USD 41028.79000000 0.134761601658 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 2021-12-21 -1378466.29000000 USD 41028.79000000 N N N Citigroup Commercial Mortgage N/A 17320DAL2 4310824.38000000 PA USD 70323.34000000 0.230981365338 Long ABS-MBS CORP US N 2 2046-04-10 Variable 1.50131000 N N N N N N TRANSOCEAN POSEIDON LTD N/A 89383JAA6 20000.00000000 PA USD 19931.10000000 0.065464932278 Long DBT CORP KY N 2 2027-02-01 Fixed 6.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31393USG9 3317.21000000 PA USD 3880.28000000 0.012745019964 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 9.80000000 N N N N N N Morgan Stanley BAML Trust N/A 61764PBV3 2848889.15000000 PA USD 71477.77000000 0.234773162167 Long ABS-MBS CORP US N 2 2047-12-15 Variable 1.11561100 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 10000.00000000 PA USD 10311.10000000 0.033867446514 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAW6 20000.00000000 PA USD 20215.62000000 0.066399455838 Long DBT CORP US N 2 2022-04-10 Fixed 3.45000000 N N N N N N SCRIPPS ESCROW II INC N/A 81105DAB1 25000.00000000 PA USD 24615.63000000 0.080851561175 Long DBT CORP US N 2 2031-01-15 Fixed 5.37500000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBD6 20000.00000000 PA USD 21508.21000000 0.070645047743 Long DBT CORP US N 2 2037-08-15 Fixed 4.39000000 N N N N N N BX Trust N/A 12433AAN9 120556.97000000 PA USD 122313.08000000 0.401744886081 Long ABS-MBS CORP US N 2 2032-11-15 Floating 4.83400000 N N N N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313385MZ6 1000000.00000000 PA USD 999996.11000000 3.284549152826 Long DBT USGSE US N 2 2021-10-15 None 0.00000000 N N N N N N BCRR Trust N/A 81753WAJ7 88635.51000000 PA USD 82139.06000000 0.269790829423 Long ABS-MBS CORP US N 2 2026-05-26 Floating 2.02445500 N N N N N N COMMSCOPE INC 549300Z6K4JXMFE8QY54 203372AX5 24000.00000000 PA USD 24000.00000000 0.078829486314 Long DBT CORP US N 2 2029-09-01 Fixed 4.75000000 N N N N N N CYRUSONE LP/CYRUSONE FIN N/A 23283PAT1 5000.00000000 PA USD 4704.65000000 0.015452714282 Long DBT CORP US N 2 2030-11-01 Fixed 2.15000000 N N N N N N GSR Mortgage Loan Trust N/A 3622N6AJ8 268897.49000000 PA USD 255116.82000000 0.837946994616 Long ABS-MBS CORP US N 2 2037-05-25 Variable 2.95283300 N N N N N N SLM Student Loan Trust 549300MHMWVKFEDI8G73 784442AD7 340000.00000000 PA USD 326582.08000000 1.072679066913 Long ABS-O CORP US N 2 2083-01-25 Floating 1.32525000 N N N N N N GS Mortgage Securities Trust N/A 36258PAC1 940000.00000000 PA USD 10688.74000000 0.035107828481 Long ABS-MBS CORP US N 2 2037-02-10 Variable 0.44589700 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397FPJ5 530186.40000000 PA USD 97004.65000000 0.318617780400 Long ABS-MBS USGSE US N 2 2037-03-15 Floating 6.03625000 N N N N N N Credit Suisse Mortgage Trust N/A 12597HAA4 100000.00000000 PA USD 100182.76000000 0.329056479515 Long ABS-MBS CORP US N 2 2021-12-15 Floating 4.02351100 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137BEVK7 1100000.00000000 PA USD 64195.34000000 0.210853569832 Long ABS-MBS USGSE US N 2 2042-11-25 Variable 2.10438500 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AR2 5000.00000000 PA USD 5619.49000000 0.018457562918 Long DBT CORP CH N 2 2026-04-17 Fixed 4.55000000 N N N N N N HEALTHEQUITY INC 529900LRJU1RAFQHM467 42226AAA5 30000.00000000 PA USD 30513.32000000 0.100222889222 Long DBT CORP US N 2 2029-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398RAW5 703010.39000000 PA USD 142803.56000000 0.469047136611 Long ABS-MBS USGSE US N 2 2040-05-25 Floating 6.33400000 N N N N N N Ladder Capital Commercial Mort N/A 50184BAE8 1466860.86000000 PA USD 88976.11000000 0.292247543565 Long ABS-MBS CORP US N 2 2036-02-15 Variable 1.33786600 N N N N N N CSAIL Commercial Mortgage Trus 549300UFJ8EKD81Y8R30 126281BB9 1711482.56000000 PA USD 38505.02000000 0.126472122797 Long ABS-MBS CORP US N 2 2050-04-15 Variable 0.96568300 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAH3 15000.00000000 PA USD 18152.15000000 0.059621860833 Long DBT CORP US N 2 2036-02-01 Fixed 4.70000000 N N N N N N Colony American Finance Ltd N/A 21872FAB3 508121.16000000 PA USD 30704.90000000 0.100852145597 Long ABS-O CORP US N 2 2052-03-15 Variable 2.33399500 N N N N N N Oak Hill Credit Partners N/A 67098WAA9 180000.00000000 PA USD 180027.00000000 0.591309830531 Long ABS-CBDO CORP KY N 2 2032-10-19 Floating 1.38388000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAN4 28000.00000000 PA USD 28800.09000000 0.094595679188 Long DBT CORP CA N 2 2029-06-15 Fixed 4.75000000 N N N N N N Mid-State Trust N/A 59549WAD5 6071.10000000 PA USD 6712.97000000 0.022049165697 Long ABS-O CORP US N 2 2038-07-15 Fixed 8.22100000 N N N N N N TENCENT HOLDINGS LTD 254900N4SLUMW4XUYY11 88032WAN6 25000.00000000 PA USD 27472.13000000 0.090233912327 Long DBT CORP KY N 2 2029-04-11 Fixed 3.97500000 N N N N N N FREMF Mortgage Trust N/A 35708QAQ6 26821246.31000000 PA USD 124480.09000000 0.408862564628 Long ABS-MBS CORP US N 2 2027-06-25 Fixed 0.10000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AS6 5000.00000000 PA USD 5231.25000000 0.017182364595 Long DBT CORP US N 2 2028-02-01 Fixed 5.37500000 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAB7 40000.00000000 PA USD 40035.73000000 0.131499834588 Long DBT CORP US N 2 2026-01-15 Fixed 1.57000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 9127964V8 1000000.00000000 PA USD 999995.00000000 3.284545506962 Long DBT UST US N 1 2021-10-07 None 0.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYA6 10000.00000000 PA USD 9974.02000000 0.032760286378 Long DBT CORP US N 2 2027-03-09 Fixed 1.43100000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCA1 49000.00000000 PA USD 51967.88000000 0.170691720218 Long DBT CORP US N 2 2051-03-25 Fixed 3.95000000 N N N N N N Wells Fargo Commercial Mortgag N/A 94989MAH2 3412264.71000000 PA USD 69395.23000000 0.227932930565 Long ABS-MBS CORP US N 2 2058-07-15 Variable 0.80288800 N N N N N N JP Morgan Chase Commercial Mor N/A 46641BAF0 5428686.92000000 PA USD 82184.89000000 0.269941360896 Long ABS-MBS CORP US N 2 2046-12-15 Variable 1.07531700 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCC4 50000.00000000 PA USD 43685.00000000 0.143486087902 Long DBT CORP MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N Indymac Manufactured Housing C N/A 22540AFG8 50272.01000000 PA USD 51998.01000000 0.170790684069 Long ABS-O CORP US N 2 2028-09-25 Fixed 6.49000000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 45262BAA1 25000.00000000 PA USD 26284.80000000 0.086334053411 Long DBT CORP GB N 2 2024-07-26 Fixed 3.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133T1E99 3705.17000000 PA USD 3869.06000000 0.012708167180 Long ABS-MBS USGSE US N 2 2023-10-15 Floating 10.09375000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38373M8V5 4569733.57000000 PA USD 428.18000000 0.001406383727 Long ABS-MBS USGA US N 2 2049-10-16 Variable 0.02549000 N N N N N N JP Morgan Chase Commercial Mor N/A 46639EAG6 1615603.27000000 PA USD 19261.38000000 0.063265195462 Long ABS-MBS CORP US N 2 2047-12-15 Variable 1.54276100 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCP9 45000.00000000 PA USD 44702.68000000 0.146828720886 Long DBT CORP US N 2 2027-09-22 Fixed 1.47000000 N N N N N N OCP CLO Ltd N/A 671000AE7 50000.00000000 PA USD 50069.50000000 0.164456373542 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 1.82900000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92937UAU2 10000000.00000000 PA USD 70034.50000000 0.230032652470 Long ABS-MBS CORP US N 2 2045-05-15 Variable 0.59278600 N N N N N N Structured Receivables Finance N/A 86365LAB7 303825.65000000 PA USD 363685.08000000 1.194546168194 Long ABS-O CORP US N 2 2036-08-15 Fixed 7.97000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XDR9 1079211.60000000 PA USD 16196.59000000 0.053198702906 Long ABS-MBS USGA US N 2 2055-05-16 Variable 0.25920000 N N N N N N Dryden Senior Loan Fund 549300XS2BVK8BZTXN05 26246BAL8 150000.00000000 PA USD 150075.00000000 0.492930631610 Long ABS-CBDO CORP KY N 2 2035-10-15 Floating 0.01000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBR6 15000.00000000 PA USD 15323.72000000 0.050331707334 Long DBT CORP US N 2 2028-06-01 Fixed 2.18200000 N N N N N N SLM Student Loan Trust 549300JQFJDGC1WO7674 78445CAE2 340000.00000000 PA USD 341952.48000000 1.123164097599 Long ABS-O CORP US N 2 2083-07-26 Floating 1.97525000 N N N N N N FREMF Mortgage Trust N/A 30290WAA3 59177346.03000000 PA USD 47549.00000000 0.156177635198 Long ABS-MBS CORP US N 2 2045-10-25 Fixed 0.12500000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAQ8 45000.00000000 PA USD 44845.13000000 0.147296606733 Long DBT CORP GB N 2 2027-06-14 Fixed 1.67300000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABU8 38000.00000000 PA USD 38877.16000000 0.127694439673 Long DBT CORP US N 2 2026-04-15 Fixed 2.62500000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397XA6 30000.00000000 PA USD 30112.50000000 0.098906371110 Long DBT CORP US N 2 2022-01-09 Fixed 3.21900000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJZ3 55000.00000000 PA USD 54962.86000000 0.180528917507 Long DBT CORP US N 2 2029-06-14 Fixed 2.08700000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BZ1 5000.00000000 PA USD 5334.81000000 0.017522513828 Long DBT CORP GB N 2 2025-03-11 Fixed 3.80300000 N N N N N N GMAC Mortgage Corporation Loan N/A 36185MDN9 214646.15000000 PA USD 189232.02000000 0.621544288785 Long ABS-MBS CORP US N 2 2036-04-19 Variable 2.98407800 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FMCG5 2268663.71000000 PA USD 97358.68000000 0.319780613860 Long ABS-MBS USGSE US N 2 2026-12-25 Variable 1.40487900 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36192CAG0 3918280.28000000 PA USD 60264.72000000 0.197943205020 Long ABS-MBS CORP US N 2 2046-02-10 Variable 1.62519100 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BF3 65000.00000000 PA USD 78567.20000000 0.258058834048 Long DBT CORP US N 2 2047-05-15 Fixed 4.27000000 N N N N N N Impac CMB Trust N/A 45254NKD8 144127.25000000 PA USD 144701.54000000 0.475281169463 Long ABS-MBS CORP US N 2 2034-10-25 Floating 0.86600000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 1470.27000000 0.004829192868 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2053-07-24 0.00000000 USD 0.00000000 USD 35000.00000000 USD 1470.27000000 N N N ATHENE GLOBAL FU 549300LM1QSI4MSIL320 04685A2Z3 30000.00000000 PA USD 29990.87000000 0.098506869842 Long DBT CORP US N 2 2026-06-29 Fixed 1.60800000 N N N N N N BAUSCH HEALTH AMERICAS KOO0397YRO83WY5MGD97 91911XAV6 7000.00000000 PA USD 7498.75000000 0.024630108770 Long DBT CORP US N 2 2026-04-01 Fixed 9.25000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 36962GX74 325000.00000000 PA USD 283716.75000000 0.931885235888 Long DBT CORP US N 2 2036-08-15 Floating 0.60475000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92938JAH5 7047923.88000000 PA USD 118073.16000000 0.387818606263 Long ABS-MBS CORP US N 2 2046-03-15 Variable 1.11792300 N N N N N N WILLIS NORTH AMERICA INC 5493004KVU1HWZCP0C66 970648AG6 25000.00000000 PA USD 28610.54000000 0.093973090474 Long DBT CORP US N 2 2028-09-15 Fixed 4.50000000 N N N N N N Freddie Mac Multiclass Certifi N/A 3137FQKX0 535000.00000000 PA USD 57103.47000000 0.187559883619 Long ABS-MBS USGSE US N 2 2033-07-25 Variable 1.13753300 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AZ0 12000.00000000 PA USD 13010.40000000 0.042733464531 Long DBT CORP US N 2 2029-02-01 Fixed 6.50000000 N N N N N N TITAN ACQ/CO-BORROWER N/A 88827AAA1 34000.00000000 PA USD 34832.32000000 0.114408912197 Long DBT CORP N/A N 2 2026-04-15 Fixed 7.75000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAF0 40000.00000000 PA USD 41206.83000000 0.135346385064 Long DBT CORP US N 2 2030-10-01 Fixed 2.78200000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAT4 100000.00000000 PA USD 103500.00000000 0.339952159731 Long DBT CORP US N 2 2030-05-15 Fixed 4.80000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXM1 60000.00000000 PA USD 59150.43000000 0.194283250507 Long DBT CORP US N 2 2026-12-09 Fixed 1.09300000 N N N N N N GreenPoint Mortgage Funding Tr N/A 39538RAB5 136700.73000000 PA USD 130202.17000000 0.427657090755 Long ABS-MBS CORP US N 2 2045-06-25 Floating 0.52600000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 10000.00000000 PA USD 11025.18000000 0.036212886496 Long DBT CORP GB N 2 2026-09-12 Fixed 4.29200000 N N N N N N SMITHFIELD FOODS INC CVTIPZRZJC0JQEZLL598 832248AY4 75000.00000000 PA USD 75722.18000000 0.248714189667 Long DBT CORP US N 2 2022-02-01 Fixed 3.35000000 N N N N N N Allegro CLO Ltd 254900E0ZQX4DLP7HF87 01750TAG1 45000.00000000 PA USD 45029.25000000 0.147901360276 Long ABS-CBDO CORP KY N 2 2032-01-21 Floating 1.83425000 N N N N N N Morgan Stanley BAML Trust 549300PFVBG5704L7K74 61762DAE1 12532749.00000000 PA USD 60211.71000000 0.197769090392 Long ABS-MBS CORP US N 2 2046-05-15 Variable 0.39444000 N N N N N N INTERTAPE POLYMER GROUP 549300ESFR3Z1YNR6O65 460919AB9 27000.00000000 PA USD 27484.44000000 0.090274345285 Long DBT CORP CA N 2 2029-06-15 Fixed 4.37500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAN3 3000.00000000 PA USD 3521.74000000 0.011567373130 Long DBT CORP US N 2 2027-06-01 Fixed 5.50000000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAC0 27000.00000000 PA USD 28318.80000000 0.093014852376 Long DBT CORP N/A N 2 2031-12-01 Fixed 3.75000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYG3 90000.00000000 PA USD 89762.89000000 0.294831771200 Long DBT CORP US N 2 2027-09-10 Fixed 1.54200000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397YJ6 115000.00000000 PA USD 115089.36000000 0.378018130377 Long DBT CORP US N 2 2022-03-28 Floating 1.40225000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137AWQK4 4050000.00000000 PA USD 57304.26000000 0.188219390809 Long ABS-MBS USGSE US N 2 2040-10-25 Variable 1.74547300 N N N N N N First Franklin Mtg Loan Asset N/A 32029GAC8 611006.82000000 PA USD 380048.01000000 1.248291225131 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.18600000 N N N N N N SLC Student Loan Trust 25490083RPF52FIUZ551 784423AH8 135308.87000000 PA USD 126610.70000000 0.415860685121 Long ABS-O CORP US N 2 2031-08-15 Floating 0.41475000 N N N N N N CIM Trust N/A 12592SAC1 115000.00000000 PA USD 103358.31000000 0.339486770151 Long ABS-MBS CORP US N 2 2061-08-25 Variable 2.00000000 N N N N N N PRIME HEALTHCARE SERVICE N/A 74165HAB4 43000.00000000 PA USD 46117.50000000 0.151475784796 Long DBT CORP US N 2 2025-11-01 Fixed 7.25000000 N N N N N N BACARDI LTD 549300R32WTQNHNN5055 067316AH2 40000.00000000 PA USD 52252.39000000 0.171626210933 Long DBT CORP BM N 2 2048-05-15 Fixed 5.30000000 N N N N N N CABLE ONE INC 549300648QS85T0XSH18 12685JAC9 37000.00000000 PA USD 36815.00000000 0.120921147444 Long DBT CORP US N 2 2030-11-15 Fixed 4.00000000 N N N N N N HCRX INVESTMENTS HOLDCO N/A 40390FAA8 30000.00000000 PA USD 30187.65000000 0.099153205939 Long DBT CORP US N 2 2029-08-01 Fixed 4.50000000 N N N N N N SINCLAIR TELEVISION GROU 549300CQGEN0CH65UD62 829259BA7 52000.00000000 PA USD 50895.00000000 0.167167779415 Long DBT CORP US N 2 2030-12-01 Fixed 4.12500000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00772BAR2 75000.00000000 PA USD 75631.67000000 0.248416903967 Long DBT CORP IE N 2 2022-02-01 Fixed 3.95000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378KSP5 3405385.00000000 PA USD 55801.32000000 0.183282891303 Long ABS-MBS USGA US N 2 2053-12-16 Variable 0.57267000 N N N N N N FARMERS EXCHANGE CAP II N/A 30958PAA1 50000.00000000 PA USD 64372.17000000 0.211434378918 Long DBT CORP US N 2 2053-11-01 Fixed 6.15100000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AK5 25000.00000000 PA USD 29362.50000000 0.096442949662 Long DBT CORP US N 2 2028-06-01 Fixed 5.75000000 N N N N N N AGNC Investment Corp 5TRACI5HRMELWV32OF39 00123Q104 4500.00000000 NS USD 70965.00000000 0.233088937346 Long EC CORP US N 1 N N N DBUBS Mortgage Trust N/A 23305YAL3 175257.18000000 PA USD 175968.72000000 0.577980158542 Long ABS-MBS CORP US N 2 2044-08-10 Variable 5.54535500 N N N N N N Conseco Financial Corp N/A 393505F56 23980.67000000 PA USD 24106.67000000 0.079179850535 Long ABS-O CORP US N 2 2030-04-01 Variable 6.53000000 N N N N N N 2021-11-17 METROPOLITAN WEST FUNDS Eric Chan Eric Chan Senior Vice President