NPORT-P false 0001126087 XXXXXXXX S000011100 C000030635 C000030638 C000030636 Brighthouse Funds Trust I 811-10183 0001126087 549300LQX1AREJYGF247 Brighthouse Investment Advisers, LLC 11225 North Community House Road Charlotte 28277 980-949-5089 PIMCO Total Return Portfolio S000011100 TY07AK2IOS83GROMUB16 2024-12-31 2024-03-31 N 7405601246.25 3484348484.06 3921252762.19 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 2882595038.13000000 0.00000000 0.00000000 0.00000000 CAD EUR GBP JPY MXN NZD USD N Bloomberg US Aggregate LBUSTRUU Freddie Mac S6XOOCT0IEG5ABCC6L87 31349ULF3 14604.37000000 PA USD 14871.70000000 0.000379258897 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.23800000 N N N N N N Morgan Stanley Capital Inc N/A 61744CXM3 802930.32000000 PA USD 774877.78000000 0.019760975050 Long ABS-O CORP US N 2 2035-12-25 Floating 6.06400000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 58003UAA6 5786948.24000000 PA USD 5790565.08000000 0.147671303819 Long ABS-CBDO CORP US N 2 2035-11-15 Floating 7.14000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417JA26 17.78000000 PA USD 17.66000000 0.000000450366 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 4.00000000 N N N N N N GSR Mortgage Loan Trust N/A 362341RX9 6395.24000000 PA USD 5934.58000000 0.000151343980 Long ABS-MBS CORP US N 2 2035-09-25 Variable 5.06300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSPN5 5309826.17000000 PA USD 5206244.47000000 0.132769928024 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRB29 6436854.02000000 PA USD 6283496.36000000 0.160242063979 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CLK0 1365.38000000 PA USD 1337.30000000 0.000034103896 Long ABS-MBS USGA US N 2 2029-10-20 Floating 3.75000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 13300000.00000000 PA USD 12330626.97000000 0.314456315820 Long DBT CORP US N 2 2027-04-22 Fixed 1.57800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GDY6 4445.68000000 PA USD 4429.44000000 0.000112959818 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.89200000 N N N N N N SBA TOWER TRUST N/A 78403DAR1 13000000.00000000 PA USD 11424444.20000000 0.291346793814 Long DBT US N 2 2028-01-15 Fixed 2.32800000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 8600000.00000000 PA USD 6844325.14000000 0.174544349856 Long DBT CORP US N 2 2036-11-15 Fixed 3.18700000 N N N N N N Bear Stearns Alt-A Trust N/A 07386HQ87 962845.08000000 PA USD 458152.11000000 0.011683819885 Long ABS-MBS CORP US N 2 2036-05-25 Variable 4.41100000 N N N N N N WEC ENERGY GROUP INC 549300IGLYTZUK3PVP70 92939UAD8 4525000.00000000 PA USD 3986146.66000000 0.101654927691 Long DBT CORP US N 2 2027-10-15 Fixed 1.37500000 N N N N N N GS Mortgage-Backed Securities Trust N/A 36262RAB3 11493825.36000000 PA USD 9208531.05000000 0.234836456828 Long ABS-MBS CORP US N 2 2052-01-25 Variable 2.50000000 N N N N N N Park Place Securities Inc N/A 70069FCY1 3492978.85000000 PA USD 3397466.14000000 0.086642365234 Long ABS-O CORP US N 2 2034-12-25 Floating 7.24400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128JM6N2 4000.81000000 PA USD 4004.25000000 0.000102116600 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.05600000 N N N N N N FEDERAL REALTY OP LP 549300LI6XZ51GOCJ427 313747BA4 4900000.00000000 PA USD 4421900.19000000 0.112767537778 Long DBT US N 2 2030-06-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CEG7 725.39000000 PA USD 709.36000000 0.000018090137 Long ABS-MBS USGA US N 2 2027-11-20 Floating 3.75000000 N N N N N N Option One Mortgage Loan Trust N/A 68400XBS8 6806.56000000 PA USD 6628.42000000 0.000169038325 Long ABS-MBS CORP US N 2 2033-08-25 Floating 6.08400000 N N N N N N Residential Asset Securitization Trust N/A 76112FAF8 2843992.42000000 PA USD 1156537.10000000 0.029494071668 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6.00000000 N N N N N N Huntington Auto Trust N/A 446144AC1 6000000.00000000 PA USD 5999152.20000000 0.152990703834 Long ABS-O CORP US N 2 2027-03-15 Fixed 5.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 255835.82000000 0.006524338917 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 381840221.30000000 ZAR 20390912.17000000 USD 2024-04-19 255835.82000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8700000.00000000 OU Notional Amount USD 58376.13000000 0.001488711224 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-06-20 0.00000000 USD -73294.47000000 USD 8700000.00000000 USD 131670.60000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QA4X5 58931.58000000 PA USD 59417.15000000 0.001515259372 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RN0 3100000.00000000 PA USD 2413035.16000000 0.061537353145 Long DBT UST US N 2 2045-08-15 Fixed 2.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XDUV5 201588.76000000 PA USD 193534.53000000 0.004935528050 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F040651 253800000.00000000 PA USD 235118355.59000000 5.996001019293 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00084DBC3 7500000.00000000 PA USD 7573536.68000000 0.193140741984 Long DBT CORP NL N 2 2026-10-13 Fixed 6.57500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TE8 2215460.00000000 PA USD 1302837.83000000 0.033225040797 Long DBT UST US N 2 2052-02-15 Fixed 0.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LANZ9 33609.46000000 PA USD 34178.28000000 0.000871616344 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7T48 263204.10000000 PA USD 269007.22000000 0.006860236672 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGL7 5700000.00000000 PA USD 5453783.88000000 0.139082691444 Long DBT CORP US N 2 2028-04-24 Fixed 3.70500000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 32027NNS6 1506643.44000000 PA USD 1495458.57000000 0.038137265325 Long ABS-O CORP US N 2 2034-10-25 Floating 6.86900000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -14376.41000000 -0.00036662798 N/A DFE TW N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 607271.00000000 USD 18802932.00000000 TWD 2024-06-20 -14376.41000000 N N N Bear Stearns Asset Backed Securities Trust N/A 07384YBM7 5256.08000000 PA USD 5212.76000000 0.000132936087 Long ABS-MBS CORP US N 2 2032-10-27 Floating 6.24400000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -16448.66000000 -0.00041947461 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 7345925.69000000 CAD 5409151.83000000 USD 2024-05-02 -16448.66000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7300000.00000000 OU Notional Amount USD 74800.18000000 0.001907558235 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-31 0.00000000 USD 0.00000000 USD 7300000.00000000 USD 74800.18000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AKXW4 1541.60000000 PA USD 1497.14000000 0.000038180145 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QR5B5 4824569.03000000 PA USD 4599495.26000000 0.117296576858 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4.50000000 N N N N N N Sequoia Mortgage Trust N/A 81743XAA7 78057.09000000 PA USD 74728.83000000 0.001905738663 Long ABS-MBS CORP US N 2 2027-04-19 Floating 6.08100000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17307GW79 443805.30000000 PA USD 428078.97000000 0.010916893043 Long ABS-MBS CORP US N 2 2035-10-25 Floating 7.78000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397E58 200000.00000000 PA USD 200795.78000000 0.005120704840 Long DBT CORP US N 2 2029-03-08 Fixed 5.80000000 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114DD7 7900000.00000000 PA USD 7925422.36000000 0.202114549626 Long DBT CORP US N 2 2034-02-15 Fixed 5.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312931ST6 33818.74000000 PA USD 34565.46000000 0.000881490230 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CJ6 5200000.00000000 PA USD 4768400.16000000 0.121603998752 Long DBT CORP US N 2 2029-03-15 Fixed 3.37500000 N N N N N N UMBS, TBA N/A 01F050650 176376218.00000000 PA USD 172138899.30000000 4.389895519100 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DA66 2919.62000000 PA USD 2995.11000000 0.000076381457 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6.00000000 N N N N N N MASTR Asset Backed Securities Trust N/A 55291KAD9 2996677.22000000 PA USD 1040478.40000000 0.026534336425 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.76400000 N N N N N N Countrywide Home Loans N/A 12544TAB0 915843.97000000 PA USD 444575.94000000 0.011337599664 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 5.75000000 N N N N N N Louisiana Local Government Environmental Facilities & Community Development Auth 5493004WIZ1HV87IVF85 54627RAS9 5900000.00000000 PA USD 5959001.77000000 0.151966785397 Long DBT MUN US N 2 2034-12-01 Fixed 5.04800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CGG5 1073.47000000 PA USD 1068.32000000 0.000027244354 Long ABS-MBS USGA US N 2 2028-05-20 Floating 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418WMN7 157633.09000000 PA USD 156866.85000000 0.004000426891 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406RFE0 189260.46000000 PA USD 187433.41000000 0.004779936958 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 5.69100000 N N N N N N Onslow Bay Financial LLC N/A 670855AA3 6678786.25000000 PA USD 6674181.23000000 0.170205330662 Long ABS-MBS CORP US N 2 2062-11-25 Variable 6.12000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAU5 7900000.00000000 PA USD 7861780.83000000 0.200491559886 Long DBT CORP KY N 2 2029-03-01 Fixed 5.75000000 N N N N N N Countrywide Asset-Backed Certificates N/A 12669LAD2 1909171.62000000 PA USD 1940625.22000000 0.049489929308 Long ABS-O CORP US N 2 2037-09-25 Floating 5.66400000 N N N N N N Texas Natural Gas Securitization Finance Corp N/A 88258MAB1 5900000.00000000 PA USD 5989612.74000000 0.152747428009 Long DBT MUN US N 2 2041-04-01 Fixed 5.16900000 N N N N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAD3 3800000.00000000 PA USD 4095427.20000000 0.104441805932 Long DBT CORP US N 2 2032-02-01 Fixed 9.87500000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -11172.01000000 -0.00028490920 N/A DFE ID N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 2201217.00000000 USD 34797058458.00000000 IDR 2024-06-20 -11172.01000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HMB6 195375.95000000 PA USD 199434.25000000 0.005085983028 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410FXA8 18858.41000000 PA USD 19250.51000000 0.000490927547 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418SSA8 2211.87000000 PA USD 2192.68000000 0.000055917843 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.50000000 N N N N N N Anchorage Capital CLO LTD 549300NPGT86ACOLIL14 03330NAJ3 12000000.00000000 PA USD 12000168.00000000 0.306028933296 Long ABS-CBDO CORP KY N 2 2032-07-22 Floating 6.71900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405TTX0 1629.63000000 PA USD 1646.39000000 0.000041986326 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -1500000.00000000 NC -0.16000000 -0.00000000408 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 1500000.00000000 OU Notional Amount N/A -0.16000000 0.00000000 DIR US N/A N/A 2034-04-03 0.00000000 N/A 0.00000000 N/A 1500000.00000000 EUR 1.00000000 2.97000000 EUR 2024-03-28 XXXX 4749.95000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -15770.53000000 -0.00040218090 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 4198593.58000000 USD 6413474.00000000 AUD 2024-05-02 -15770.53000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1151.40000000 -0.00002936306 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 231906.39000000 USD 7797040.69000000 TRY 2024-05-08 -1151.40000000 N N N TSTAT 2022-1 Ltd N/A 872899AN9 1441934.80000000 PA USD 1444505.77000000 0.036837864264 Long ABS-CBDO CORP BM N 2 2031-07-20 Floating 6.91800000 N N N N N N NATIONAL FUEL GAS CO 8JB38FFW1Y3C1HM8E841 636180BS9 6400000.00000000 PA USD 6401397.57000000 0.163248787013 Long DBT CORP US N 2 2026-10-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SM1 11154513.00000000 PA USD 7038860.89000000 0.179505411073 Long DBT UST US N 2 2050-02-15 Fixed 0.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KVW5 18464.21000000 PA USD 18666.83000000 0.000476042508 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 5.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KQ9 5700000.00000000 PA USD 5749771.43000000 0.146630981951 Long DBT CORP US N 2 2029-05-15 Fixed 5.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YRP4 23551.17000000 PA USD 22921.91000000 0.000584555788 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4T94 1295.26000000 PA USD 1323.81000000 0.000033759874 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407YPX1 197967.65000000 PA USD 202078.21000000 0.005153409439 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N UMBS, TBA N/A 01F060659 31900000.00000000 PA USD 32184185.62000000 0.820762842179 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 6.00000000 N N N N N N Structured Asset Investment Loan Trust N/A 86361KAC1 600135.88000000 PA USD 583000.14000000 0.014867701098 Long ABS-O CORP US N 2 2036-09-25 Floating 5.59400000 N N N N N N GSR Mortgage Loan Trust N/A 36228FNB8 46.69000000 PA USD 45.80000000 0.000001167994 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10900000.00000000 OU Notional Amount -177082.05000000 -0.00451595601 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-12-20 0.00000000 CAD -54381.05000000 CAD 10900000.00000000 CAD -137160.78000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296UUE8 47918.67000000 PA USD 48444.76000000 0.001235440889 Long ABS-MBS USGA US N 2 2039-03-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405R7C4 187823.21000000 PA USD 191719.66000000 0.004889245137 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5.50000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308HW0 1600000.00000000 PA USD 1486773.84000000 0.037915786871 Long DBT CORP US N 2 2027-12-01 Fixed 3.30000000 N N N N N N DTE ENERGY CO 549300IX8SD6XXD71I78 233331BK2 3000000.00000000 PA USD 2987902.20000000 0.076197643488 Long DBT CORP US N 2 2029-03-01 Fixed 5.10000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCM1 17142748.00000000 PA USD 15165866.53000000 0.386760748407 Long DBT UST US N 2 2031-07-15 Fixed 0.12500000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 9360.98000000 0.000238724218 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 9905865.00000000 TWD 321713.00000000 USD 2024-06-20 9360.98000000 N N N BGC GROUP INC 2549001IGRCG4F0RLD36 088929AA2 1100000.00000000 PA USD 1084544.80000000 0.027658120141 Long DBT CORP US N 2 2024-10-01 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410REW5 894.75000000 PA USD 908.01000000 0.000023156120 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N Carlyle Global Market Strategies 549300R4G5ROMXQ5CG20 14309YBQ6 13500000.00000000 PA USD 13508100.00000000 0.344484296708 Long ABS-CBDO CORP KY N 2 2032-04-22 Floating 6.65900000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397A86 4700000.00000000 PA USD 4459932.08000000 0.113737429094 Long DBT CORP US N 2 2027-08-17 Fixed 4.12500000 N N N N N N SPRINT LLC 549300ZTTY7CXOLJ6539 85207UAH8 1000000.00000000 PA USD 1001713.00000000 0.025545739097 Long DBT CORP US N 2 2024-06-15 Fixed 7.12500000 N N N N N N Drive Auto Receivables Trust N/A 26208WAB0 7800000.00000000 PA USD 7805426.46000000 0.199054407694 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.83000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 45880.24000000 0.001170040361 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 3275000.00000000 GBP 4179420.73000000 USD 2024-04-02 45880.24000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406TLC3 18873.29000000 PA USD 19363.70000000 0.000493814124 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.92500000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CL2 8100000.00000000 PA USD 8190591.62000000 0.208876910434 Long DBT CORP GB N 2 2025-11-16 Fixed 7.77600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EDD9 69404504.69000000 PA USD 59780080.00000000 1.524514833025 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.00000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBC1 7400000.00000000 PA USD 7479121.76000000 0.190732967589 Long DBT CORP US N 2 2026-12-04 Fixed 5.48800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31382D4Z4 4019.24000000 PA USD 4104.26000000 0.000104667060 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BH21 40237.38000000 PA USD 40080.63000000 0.001022138393 Long ABS-MBS USGA US N 2 2062-12-20 Floating 5.78400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415VGJ8 6838.74000000 PA USD 6958.29000000 0.000177450687 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133CEV25 11608547.61000000 PA USD 11734497.57000000 0.299253791623 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.00000000 N N N N N N United Wholesale Mortgage LLC N/A 918307AC3 11492506.05000000 PA USD 9207474.06000000 0.234809501411 Long ABS-MBS CORP US N 2 2051-12-25 Variable 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QE1 12800000.00000000 PA USD 13262000.00000000 0.338208241199 Long DBT UST US N 2 2040-02-15 Fixed 4.62500000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AZ1 10650000.00000000 PA USD 11228190.20000000 0.286341913693 Long DBT CORP CH N 2 2033-08-12 Fixed 6.53700000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579HD3 129265.97000000 PA USD 126604.24000000 0.003228668175 Long ABS-MBS CORP US N 2 2035-01-25 Variable 4.41400000 N N N N N N Toyota Auto Loan Extended Note Trust 5493000KI9FC40RVHF71 89231WAA1 3900000.00000000 PA USD 3906043.44000000 0.099612131043 Long ABS-O CORP US N 2 2036-06-25 Fixed 4.93000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CD9 13000000.00000000 PA USD 11448321.04000000 0.291955702279 Long DBT CORP DE N 2 2031-09-18 Fixed 3.54700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7ZZ2 24952.08000000 PA USD 25502.57000000 0.000650367919 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.50000000 N N N N N N L3Harris Technologies Inc 549300UTE50ZMDBG8A20 50248BD17 750000.00000000 PA USD 749547.86000000 0.019115010060 Long STIV CORP US N 2 2024-04-01 None 0.00000000 N N N N N N WALGREENS BOOTS ALLIANCE 549300RPTUOIXG4LIH86 931427AQ1 1500000.00000000 PA USD 1430546.73000000 0.036481880071 Long DBT CORP US N 2 2026-06-01 Fixed 3.45000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 376.13000000 0.000009592087 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 20357.00000000 USD 706033.69000000 TRY 2024-05-15 376.13000000 N N N MEXICAN UDIBONOS 254900EGTWEU67VP6075 000000000 211033082.00000000 PA 10871355.03000000 0.277241883890 Long DBT NUSS MX N 2 2031-11-27 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QTA74 444044.99000000 PA USD 441806.20000000 0.011266965604 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.50000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAY1 3800000.00000000 PA USD 4015856.99000000 0.102412602133 Long DBT CORP ES N 2 2028-11-07 Fixed 6.60700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AM95 2285.47000000 PA USD 2264.06000000 0.000057738180 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.50000000 N N N N N N Catamaran CLO Ltd 549300C8Q7ISEHHDRH76 14889DAJ7 9308646.04000000 PA USD 9320263.23000000 0.237685856924 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 6.67900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406A2U5 11888.36000000 PA USD 11950.88000000 0.000304771988 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3200000.00000000 OU Notional Amount USD 33698.24000000 0.000859374338 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-31 0.00000000 USD 0.00000000 USD 3200000.00000000 USD 33698.24000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 20700000.00000000 OU Notional Amount USD 205242.57000000 0.005234107119 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-05-31 0.00000000 USD 0.00000000 USD 20700000.00000000 USD 205242.57000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418PLN3 6666.11000000 PA USD 6622.97000000 0.000168899339 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7PU1 87908.23000000 PA USD 85609.87000000 0.002183227534 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHNG8 452788.09000000 PA USD 424737.46000000 0.010831677674 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140A4XN6 11657520.86000000 PA USD 11770882.09000000 0.300181671620 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416B2P2 14765.29000000 PA USD 15072.81000000 0.000384387615 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N US AIRWAYS 2013-1A PTT N/A 90346WAA1 481194.00000000 PA USD 469644.86000000 0.011976908617 Long DBT CORP US N 2 2025-11-15 Fixed 3.95000000 N N N N N N AREIT CRE Trust N/A 04002VAA9 11622972.18000000 PA USD 11490773.66000000 0.293038331290 Long ABS-CBDO CORP KY N 2 2037-01-20 Floating 6.56900000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GA46 5600000.00000000 PA USD 5891870.60000000 0.150254802669 Long DBT CORP US N 2 2029-10-24 Fixed 6.48400000 N N N N N N UMBS, TBA N/A 01F032658 293000000.00000000 PA USD 262382191.48000000 6.691284836569 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404RSK4 618.73000000 PA USD 614.41000000 0.000015668717 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7KW5 22141.28000000 PA USD 22629.63000000 0.000577102048 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.50000000 N N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAQ2 700000.00000000 PA USD 687031.87000000 0.017520723902 Long DBT CORP US N 2 2025-05-14 Fixed 3.60000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F5BX6 3773339.66000000 PA USD 3676257.29000000 0.093752112219 Long ABS-MBS USGSE US N 2 2043-10-15 Floating 5.62300000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -16953.37000000 -0.00043234575 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 595604.00000000 USD 19232648.76000000 TRY 2024-04-24 -16953.37000000 N N N ICE Futures Europe - Financial Products Division N/A 000000000 -165.00000000 NC -65047.29000000 -0.00165883950 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Short ICF Long Gilt Futures G M4 Comdty 2024-06-26 -16438563.10000000 GBP -65047.29000000 N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCG3 9800000.00000000 PA USD 8586513.14000000 0.218973722448 Long DBT CORP JP N 2 2028-09-17 Fixed 1.90200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A3DC1 1411799.27000000 PA USD 1389719.07000000 0.035440690878 Long ABS-MBS USGA US N 2 2048-03-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407GUK2 4097.51000000 PA USD 4182.44000000 0.000106660811 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AWTT0 68484.06000000 PA USD 66960.15000000 0.001707621366 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 57000000.00000000 OU Notional Amount USD 8332586.61000000 0.212498074348 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2032-06-15 7215656.75000000 USD 0.00000000 USD 57000000.00000000 USD 1116929.86000000 N N N FHLMC Structured Pass Through Securities S6XOOCT0IEG5ABCC6L87 31395A3J2 1347385.87000000 PA USD 1248696.46000000 0.031844324651 Long ABS-MBS USGSE US N 2 2044-07-25 Floating 6.48900000 N N N N N N Banc of America Funding Corporation N/A 058927AA2 374111.00000000 PA USD 345335.50000000 0.008806764596 Long ABS-MBS CORP US N 2 2036-02-20 Variable 5.72100000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5400000.00000000 OU Notional Amount USD 53803.98000000 0.001372112007 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-31 0.00000000 USD 0.00000000 USD 5400000.00000000 USD 53803.98000000 N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YBH1 12400000.00000000 PA USD 10371111.50000000 0.264484646335 Long DBT CORP JP N 2 2031-07-10 Fixed 2.20100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6GG7 17375.04000000 PA USD 17758.32000000 0.000452873636 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.50000000 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAQ0 13500000.00000000 PA USD 11106806.67000000 0.283246384346 Long DBT US N 2 2031-10-15 Fixed 2.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415QB96 3578.63000000 PA USD 3679.91000000 0.000093845263 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6.00000000 N N N N N N Fixed Income Clearing Corp. 549300H47WTHXPU08X20 000000000 6120959.91000000 PA USD 6120959.91000000 0.156097050642 Long RA CORP US N 2 Repurchase N 2.50000000 2024-04-01 6319100.00000000 USD 6243453.11000000 USD UST N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZT0 6900000.00000000 PA USD 6884907.98000000 0.175579295637 Long DBT CORP CA N 2 2027-01-19 Fixed 4.87500000 N N N N N N IndyMac ARM Trust N/A 45660UAT6 4759.90000000 PA USD 4455.12000000 0.000113614711 Long ABS-MBS CORP US N 2 2032-01-25 Variable 5.54500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312930TR1 607.83000000 PA USD 621.25000000 0.000015843151 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N OMEGA HLTHCARE INVESTORS 549300OJ7ENK42CZ8E73 681936BK5 8900000.00000000 PA USD 8592397.40000000 0.219123783165 Long DBT US N 2 2028-01-15 Fixed 4.75000000 N N N N N N Accredited Mortgage Loan Trust N/A 004375AW1 2808690.69000000 PA USD 2729211.20000000 0.069600491616 Long ABS-MBS CORP US N 2 2034-07-25 Floating 6.02400000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CS7 5500000.00000000 PA USD 5655907.13000000 0.144237249496 Long DBT CORP GB N 2 2029-01-09 Fixed 6.30100000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17312VAE8 468664.79000000 PA USD 398030.35000000 0.010150591510 Long ABS-MBS CORP US N 2 2046-10-25 Variable 4.24700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CA30 1623.29000000 PA USD 1596.56000000 0.000040715559 Long ABS-MBS USGA US N 2 2026-11-20 Floating 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376KNN2 58809.76000000 PA USD 60030.18000000 0.001530892896 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.50000000 N N N N N N Society of Lloyd's 213800O2FTUPFGPH3J11 000000000 1600000.00000000 PA 2005913.42000000 0.051154912515 Long DBT CORP GB Y 2 2024-10-30 Fixed 4.75000000 N N N N N N IXIS Real Estate Capital Trust N/A 45071KAE4 1462053.76000000 PA USD 1451775.23000000 0.037023250426 Long ABS-MBS CORP US N 2 2035-02-25 Floating 6.38900000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 8769000.00000000 PA USD 7084487.55000000 0.180668984624 Long DBT CORP US N 2 2035-11-15 Fixed 3.13700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9TL1 72970.19000000 PA USD 70210.49000000 0.001790511712 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ADS48 632.99000000 PA USD 630.11000000 0.000016069099 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6XR7 71537.45000000 PA USD 68678.44000000 0.001751441290 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DPP8 2504.34000000 PA USD 2556.36000000 0.000065192430 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5.50000000 N N N N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAH6 3500000.00000000 PA USD 3528933.07000000 0.089995041993 Long DBT CORP US N 2 2026-11-21 Fixed 6.12500000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55282XAA8 2705051.73000000 PA USD 2691702.30000000 0.068643937619 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 6.29000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A2UF4 30667.18000000 PA USD 30075.86000000 0.000766996208 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410CME9 1140.85000000 PA USD 1166.11000000 0.000029738200 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.00000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397YT4 1632000.00000000 PA USD 1528849.00000000 0.038988789877 Long DBT CORP US N 2 2027-11-02 Fixed 3.81500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CXW9 176393.66000000 PA USD 170213.41000000 0.004340791586 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 3.50000000 N N N N N N IndyMac Residential Asset Backed Trust N/A 43710BAA4 2033252.62000000 PA USD 1514999.91000000 0.038635609634 Long ABS-O CORP US N 2 2037-04-25 Floating 5.66400000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 3977000.00000000 OU Notional Amount USD -239331.88000000 -0.00610345454 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.S35 2I65BRYO2 Y buy protection 2025-12-20 0.00000000 USD -6762.20000000 USD 3977000.00000000 USD -232569.68000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SW9 16800000.00000000 PA USD 11712093.79000000 0.298682449214 Long DBT UST US N 2 2041-02-15 Fixed 1.87500000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -3300000.00000000 NC USD -8097.71000000 -0.00020650823 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 3300000.00000000 OU Notional Amount N/A -8097.71000000 0.00000000 DIR US N/A N/A 2034-04-10 0.00000000 N/A 0.00000000 N/A 3300000.00000000 USD 1.00000000 3.90000000 USD 2024-04-08 XXXX 4277.29000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -55420.86000000 -0.00141334576 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 31990000.00000000 AUD 20790864.02000000 USD 2024-04-02 -55420.86000000 N N N LEASEPLAN CORPORATION NV 724500C60L930FVHS484 52206AAD2 13100000.00000000 PA USD 12886512.71000000 0.328632544024 Long DBT CORP NL N 2 2024-10-24 Fixed 2.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38383KKU5 15703859.23000000 PA USD 15739354.66000000 0.401385873712 Long ABS-MBS USGA US N 2 2073-12-20 Floating 6.21900000 N Y N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3200000.00000000 OU Notional Amount -20930.03000000 -0.00053375875 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2034-01-08 0.00000000 EUR 0.00000000 EUR 3200000.00000000 EUR -20930.03000000 N N N Sales Tax Securitization Corp N/A 79467BDH5 2000000.00000000 PA USD 1706805.20000000 0.043527038513 Long DBT MUN US N 2 2034-01-01 Fixed 3.05700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407MZ40 285.72000000 PA USD 290.92000000 0.000007419057 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UWB4 111386.29000000 PA USD 111099.17000000 0.002833257041 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ADP69 318827.65000000 PA USD 306085.39000000 0.007805806168 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7CQ7 180738.24000000 PA USD 184723.61000000 0.004710831491 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 129192000.00000000 OU Notional Amount USD -1512000.00000000 -0.03855910576 N/A DCR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 iShares iBoxx $ Investment Grade Corporate Bond ETF iShares iBoxx $ Investment Grade Corporate Bond ETF Y equity-performance leg 2024-06-28 0.00000000 USD 0.00000000 USD 129192000.00000000 USD -1512000.00000000 N N N HUNTINGTON INGALLS INDUS 5TZLZ6WJTBVJ0QWBG121 446413AZ9 13800000.00000000 PA USD 12049042.06000000 0.307275322217 Long DBT CORP US N 2 2028-08-16 Fixed 2.04300000 N N N N N N Countrywide Asset-Backed Certificates N/A 23245CAA8 5540460.37000000 PA USD 5005106.74000000 0.127640502756 Long ABS-O CORP US N 2 2037-07-25 Floating 5.58400000 N N N N N N NYO Commercial Mortgage Trust N/A 62955HAA5 14000000.00000000 PA USD 13545236.60000000 0.345431356290 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.53500000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -411933.66000000 -0.01050515447 N/A DFE GB N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 141367557.74000000 USD 111679000.00000000 GBP 2024-04-02 -411933.66000000 N N N Tesla Auto Lease Trust N/A 88167PAB4 3301800.14000000 PA USD 3306166.77000000 0.084314043763 Long ABS-O CORP US N 2 2025-08-20 Fixed 5.86000000 N N N N N N GS Mortgage Securities Trust N/A 36251PAZ7 13346000.00000000 PA USD 11904672.04000000 0.303593590160 Long ABS-MBS CORP US N 2 2049-10-10 Variable 3.60200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418NYJ3 1346.59000000 PA USD 1333.46000000 0.000034005969 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N Natixis Commercial Mortgage Securities N/A 63875JAA6 9080211.22000000 PA USD 9074514.30000000 0.231418754422 Long ABS-MBS CORP US N 2 2035-03-15 Floating 7.14900000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 4697.82000000 0.000119804059 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 226000.00000000 GBP 289943.67000000 USD 2024-04-02 4697.82000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622ABJW3 1967380.13000000 PA USD 2016805.03000000 0.051432670942 Long ABS-MBS USGA US N 2 2049-01-15 Fixed 5.00000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07387AET8 464951.11000000 PA USD 439912.98000000 0.011218684606 Long ABS-MBS CORP US N 2 2035-10-25 Variable 5.80000000 N N N N N N Countrywide Asset-Backed Certificates N/A 12666VAC5 432308.20000000 PA USD 419710.22000000 0.010703472728 Long ABS-O CORP US N 2 2047-03-25 Floating 5.74400000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816DL0 5000000.00000000 PA USD 5065975.50000000 0.129192781165 Long DBT CORP US N 2 2026-10-30 Fixed 6.33800000 N N N N N N Soundview Home Equity Loan Trust N/A 83612NAC9 2022711.31000000 PA USD 546106.77000000 0.013926844381 Long ABS-O CORP US N 2 2037-02-25 Floating 5.55400000 N N N N N N LCM Ltd Partnership 549300WD241FFLNM0E69 50184KBL1 77536.10000000 PA USD 77534.78000000 0.001977296152 Long ABS-CBDO CORP KY N 2 2027-07-19 Floating 6.44100000 N N N N N N MortgageIT Trust N/A 61915RBY1 1289354.57000000 PA USD 1182948.78000000 0.030167623760 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.90400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DAZ5 117352.55000000 PA USD 113923.50000000 0.002905283257 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L1WN6 2555.65000000 PA USD 2605.44000000 0.000066444071 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.50000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BE7 5800000.00000000 PA USD 5983922.06000000 0.152602303980 Long DBT CORP CH N 2 2029-09-22 Fixed 6.24600000 N N N N N N Structured Asset Investment Loan Trust N/A 86358EYF7 3828107.33000000 PA USD 3673538.31000000 0.093682772644 Long ABS-O CORP US N 2 2035-11-25 Floating 6.07400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWKN2 35898.39000000 PA USD 35717.39000000 0.000910866811 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403NZ83 85995.60000000 PA USD 87781.03000000 0.002238596574 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.50000000 N N N N N N Nomura Asset Acceptance Corporation N/A 65535VLL0 587641.20000000 PA USD 300106.19000000 0.007653324286 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.47600000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PLR2 300634.63000000 PA USD 269766.10000000 0.006879589670 Long ABS-MBS CORP US N 2 2035-05-19 Floating 5.88100000 N N N N N N Goldman Sachs Capital Markets LP N/A 000000000 10100000.00000000 OU Notional Amount 56663.58000000 0.001445037681 N/A DFE US N 2 Goldman Sachs Capital Markets LP N/A Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 1.00000000 NC USD 56663.58000000 0.00000000 DFE GB 12120000.00000000 USD 10100000.00000000 GBP 2024-09-26 1.00000000 1.20000000 GBP 2024-09-26 XXXX -276540.12000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6AX6 9512.28000000 PA USD 9722.03000000 0.000247931734 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YLN5 1881.60000000 PA USD 1866.57000000 0.000047601369 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 24512.67000000 0.000625123435 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1000521.00000000 USD 39976817.08000000 TRY 2024-09-09 24512.67000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount USD 1194.40000000 0.000030459653 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2024-09-13 586.24000000 USD 0.00000000 USD 1000000.00000000 USD 608.16000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617JV7F0 286001.18000000 PA USD 291693.55000000 0.007438784686 Long ABS-MBS USGA US N 2 2049-05-15 Fixed 5.00000000 N N N N N N Towd Point Mortgage Funding 635400655NWVVZHH1395 000000000 8363036.38000000 PA 10557483.85000000 0.269237524084 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 6.36600000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAF4 10200000.00000000 PA USD 9929078.11000000 0.253211886918 Long DBT CORP CH N 2 2026-04-15 Fixed 4.12500000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBA5 5500000.00000000 PA USD 5552711.95000000 0.141605560435 Long DBT CORP US N 2 2025-09-29 Fixed 5.86400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418TE60 6289.49000000 PA USD 6217.61000000 0.000158561826 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -20043.63000000 -0.00051115373 N/A DFE BR N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 8107000.00000000 USD 40559321.00000000 BRL 2024-04-02 -20043.63000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404R3C9 681.29000000 PA USD 695.43000000 0.000017734893 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297BXM8 15690.37000000 PA USD 15862.67000000 0.000404530668 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128K2F61 11189.44000000 PA USD 11435.94000000 0.000291639960 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJJT8 46377.01000000 PA USD 47401.75000000 0.001208841991 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406MYP5 9411.46000000 PA USD 9372.95000000 0.000239029477 Long ABS-MBS USGSE US N 2 2035-03-01 Floating 4.52300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407DTL9 2403.98000000 PA USD 2429.06000000 0.000061946019 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131YBXS2 352586.98000000 PA USD 337403.19000000 0.008604474397 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 3.50000000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668BA9 13300000.00000000 PA USD 13112198.02000000 0.334387983004 Long DBT CORP US N 2 2024-09-26 Fixed 2.85000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCT5 2900000.00000000 PA USD 2909761.17000000 0.074204886715 Long DBT CORP JP N 2 2026-01-13 Fixed 5.46400000 N N N N N N Legacy Mortgage Asset Trust 2020-GSL N/A 52474PAA0 8781141.10000000 PA USD 8779225.93000000 0.223888294441 Long ABS-MBS CORP US N 2 2059-10-25 Variable 6.88200000 N N N N N N ReadyCap Commercial Mortgage Trust N/A 755931AA0 8978656.43000000 PA USD 9015120.55000000 0.229904091797 Long ABS-CBDO CORP US N 2 2039-10-25 Floating 7.88100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371FB50 65.28000000 PA USD 65.27000000 0.000001664519 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 8.00000000 N N N N N N Lehman XS Trust N/A 52524HAF7 9518891.97000000 PA USD 8033551.69000000 0.204872069647 Long ABS-MBS CORP US N 2 2047-03-25 Floating 5.84400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376R6V3 4915869.02000000 PA USD 4948494.66000000 0.126196778430 Long ABS-MBS USGA US N 2 2067-09-20 Floating 5.65900000 N N N N N N Republic of Peru 254900STKLK2DBJJZ530 715638BE1 3600000.00000000 PA 972119.05000000 0.024791032584 Long DBT NUSS PE Y 2 2031-08-12 Fixed 6.95000000 N N N N N N WEC ENERGY GROUP INC 549300IGLYTZUK3PVP70 92939UAE6 5000000.00000000 PA USD 4114629.05000000 0.104931492549 Long DBT CORP US N 2 2030-10-15 Fixed 1.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407PFB9 56587.56000000 PA USD 57762.17000000 0.001473053983 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312929LV2 2322.70000000 PA USD 2368.04000000 0.000060389884 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.50000000 N N N N N N Elevation CLO Ltd N/A 28621YAA3 7400000.00000000 PA USD 7398098.20000000 0.188666700380 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 6.89600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415VYQ2 17696.67000000 PA USD 18064.75000000 0.000460688231 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.50000000 N N N N N N JP Morgan Mortgage Trust N/A 465973AC9 11242859.70000000 PA USD 9387349.38000000 0.239396691550 Long ABS-MBS CORP US N 2 2052-03-25 Variable 3.00000000 N N N N N N AMER AIRLN 15-2 AA PTT N/A 02377BAB2 931515.56000000 PA USD 880840.28000000 0.022463236455 Long DBT CORP US N 2 2027-09-22 Fixed 3.60000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 25659975.00000000 PA 27880034.16000000 0.710998138881 Long DBT NUSS IT Y 2 2028-05-15 Fixed 1.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MMU55 6425235.78000000 PA USD 5531476.68000000 0.141064017431 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VBJ8 10438.29000000 PA USD 10157.31000000 0.000259032268 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L16J4 1899.44000000 PA USD 1932.96000000 0.000049294450 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.50000000 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAF6 2500000.00000000 PA USD 2207817.05000000 0.056303869806 Long DBT US N 2 2029-08-15 Fixed 3.75000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BZ6 10500000.00000000 PA USD 9610806.45000000 0.245095305833 Long DBT CORP JP N 2 2027-10-13 Fixed 1.64000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DR7 5900000.00000000 PA USD 6277090.54000000 0.160078702411 Long DBT CORP GB N 2 2028-11-03 Fixed 7.39000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M44E0 4009.09000000 PA USD 4097.48000000 0.000104494156 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384WFN5 78679.89000000 PA USD 77799.66000000 0.001984051136 Long ABS-MBS USGSE US N 2 2031-02-01 Floating 6.02500000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCA6 6500000.00000000 PA USD 6187662.13000000 0.157798094263 Long DBT CORP JP N 2 2025-07-08 Fixed 1.47400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5PM6 14033.74000000 PA USD 14342.82000000 0.000365771371 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBG3 5100000.00000000 PA USD 5113044.53000000 0.130393138113 Long DBT CORP JP N 2 2026-01-09 Fixed 5.70900000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86359LPD5 29669.26000000 PA USD 27222.79000000 0.000694237062 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.94100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410K2B9 11315.95000000 PA USD 11551.33000000 0.000294582642 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -11012.57000000 -0.00028084315 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 517879.00000000 USD 16387245.20000000 TRY 2024-03-29 -11012.57000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGRS5 21.14000000 PA USD 21.02000000 0.000000536053 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 852.00000000 NC USD 196454.11000000 0.005009983337 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year U.S. Treasury Notes TYM4 Comdty 2024-06-18 94202483.39000000 USD 196454.11000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36206GNM8 320.92000000 PA USD 320.29000000 0.000008168052 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 7.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -3200000.00000000 NC USD -7662.46000000 -0.00019540846 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 3200000.00000000 OU Notional Amount N/A -7662.46000000 0.00000000 DIR US N/A N/A 2034-04-22 0.00000000 N/A 0.00000000 N/A 3200000.00000000 USD 1.00000000 3.68500000 USD 2024-04-18 XXXX 4977.54000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 48500000.00000000 OU Notional Amount -152859.77000000 -0.00389823812 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-12-18 0.00000000 CAD -47675.95000000 CAD 48500000.00000000 CAD -117495.49000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7100000.00000000 OU Notional Amount -19462.11000000 -0.00049632378 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-03-09 0.00000000 EUR 0.00000000 EUR 7100000.00000000 EUR -19462.11000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410MQS2 2598.05000000 PA USD 2639.35000000 0.000067308846 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 6.00000000 N N N N N N TOYOTA MOTOR CREDIT CORP Z2VZBHUMB7PWWJ63I008 89236TKY0 5800000.00000000 PA USD 5807859.00000000 0.148112334302 Long DBT CORP US N 2 2024-08-22 Floating 5.85000000 N N N N N N Chase Mortgage Finance Corporation N/A 16162WPB9 181347.65000000 PA USD 166210.45000000 0.004238707884 Long ABS-MBS CORP US N 2 2035-12-25 Variable 4.73400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415PZX9 9077.74000000 PA USD 9266.49000000 0.000236314529 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7N33 17610.99000000 PA USD 17157.70000000 0.000437556593 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.00000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -3300000.00000000 NC USD -13150.04000000 -0.00033535303 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 3300000.00000000 OU Notional Amount N/A -13150.04000000 0.00000000 DIR US N/A N/A 2034-04-22 0.00000000 N/A 0.00000000 N/A 3300000.00000000 USD 1.00000000 3.75000000 USD 2024-04-18 XXXX -1641.29000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413Y7J4 12812.70000000 PA USD 13272.89000000 0.000338485958 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CTR7 3309.74000000 PA USD 3203.83000000 0.000081704245 Long ABS-MBS USGA US N 2 2031-10-20 Floating 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KFH2 495332.50000000 PA USD 505647.84000000 0.012895058560 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 143891.01000000 0.003669516318 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 19990065.40000000 SGD 14960283.46000000 USD 2024-04-19 143891.01000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BKP0 5006.56000000 PA USD 4961.77000000 0.000126535326 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 3.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -31929.93000000 -0.00081427880 N/A DFE IN N 2 Citibank NA E57ODZWZ7FF32TWEFA76 9868000.00000000 USD 822280704.00000000 INR 2024-06-20 -31929.93000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -12334.29000000 -0.00031454973 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 449868.00000000 USD 14577972.54000000 TRY 2024-04-26 -12334.29000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810QX9 39000000.00000000 PA USD 30604335.84000000 0.780473427652 Long DBT UST US N 2 2042-08-15 Fixed 2.75000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAS0 6300000.00000000 PA USD 6427201.03000000 0.163906828245 Long DBT CORP KY N 2 2028-05-04 Fixed 6.37500000 N N N N N N Regatta Funding 254900TUAAER6MTE4E64 75887XAA5 9866663.03000000 PA USD 9873549.96000000 0.251795805034 Long ABS-CBDO CORP KY N 2 2031-07-17 Floating 6.64800000 N N N N N N JPN BANK FOR INT'L COOP 549300TJ3QFYVCTSCJ29 471048BM9 11200000.00000000 PA USD 10575858.72000000 0.269706121012 Long DBT NUSS JP N 2 2027-07-21 Fixed 2.87500000 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 06428CAB0 7100000.00000000 PA USD 7179784.12000000 0.183099242905 Long DBT CORP US N 2 2026-08-18 Floating 6.37600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B92J2 1941463.02000000 PA USD 1737558.98000000 0.044311323073 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CNP7 3054.96000000 PA USD 3016.84000000 0.000076935616 Long ABS-MBS USGA US N 2 2030-04-20 Floating 4.00000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAZ3 2400000.00000000 PA USD 2404935.05000000 0.061330783702 Long DBT NUSS MX N 2 2036-05-07 Fixed 6.00000000 N N N N N N Castlelake LP N/A 000000000 6556437.73000000 PA USD 5820303.46000000 0.148429693594 Long LON CORP US N 3 2031-05-13 Floating 2.95000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382YQ30 7311715.78000000 PA USD 7287773.57000000 0.185853195699 Long ABS-MBS USGA US N 2 2073-01-20 Floating 6.11900000 N Y N N N N Banc of America Alternative Loan Trust N/A 06050AAH6 311421.27000000 PA USD 272384.71000000 0.006946369604 Long ABS-MBS CORP US N 2 2046-11-25 Floating 6.62400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CLA2 3041.36000000 PA USD 2963.68000000 0.000075579927 Long ABS-MBS USGA US N 2 2029-09-20 Floating 3.62500000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07384MSJ2 1921.41000000 PA USD 1409.01000000 0.000035932649 Long ABS-MBS CORP US N 2 2033-02-25 Variable 3.25000000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 32027NLS8 3615116.16000000 PA USD 3546665.74000000 0.090447261502 Long ABS-O CORP US N 2 2034-10-25 Floating 6.37400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411CKM2 32413.00000000 PA USD 33491.93000000 0.000854113010 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388JK53 11175.17000000 PA USD 11099.23000000 0.000283053163 Long ABS-MBS USGSE US N 2 2031-09-01 Floating 6.10900000 N N N N N N VIRGIN MONEY UK PLC 213800ZK9VGCYYR6O495 000000000 500000.00000000 PA 610751.75000000 0.015575424157 Long DBT CORP GB Y 2 2027-09-03 Fixed 4.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 23872.79000000 0.000608805181 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 10023056.21000000 USD 50546272.47000000 BRL 2024-05-03 23872.79000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YN52 3365.07000000 PA USD 3273.40000000 0.000083478423 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 4.00000000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251MAD6 27202251.68000000 PA USD 8048379.17000000 0.205250200844 Long ABS-O CORP US N 2 2036-05-25 Floating 5.76400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404BR61 12922.48000000 PA USD 12911.41000000 0.000329267476 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWKV4 2358594.91000000 PA USD 2346702.64000000 0.059845737633 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 5.50000000 N N N N N N Renaissance Home Equity Loan Trust N/A 759950AW8 62442.62000000 PA USD 56692.23000000 0.001445768315 Long ABS-MBS CORP US N 2 2033-08-25 Floating 4.30400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L9WD1 7812.67000000 PA USD 7985.03000000 0.000203634666 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H020659 8600000.00000000 PA USD 7053104.67000000 0.179868656721 Long ABS-MBS USGA US N 2 2054-05-20 Fixed 2.00000000 N N N N N N CHEVY CHASE MORTGAGE FUNDING CORP. 549300TC8R2SGZ2KM445 16678RBU0 7794.47000000 PA USD 7232.01000000 0.000184431110 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.69400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8GS7 795.10000000 PA USD 812.64000000 0.000020723989 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2900000.00000000 OU Notional Amount -8855.69000000 -0.00022583828 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-12-21 2461.56000000 NZD 0.00000000 NZD 2900000.00000000 NZD -10307.76000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 32255.10000000 0.000822571304 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1652391.65000000 USD 59762048.81000000 TRY 2024-06-20 32255.10000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -159.00000000 NC -333749.76000000 -0.00851130442 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 10 Year Euro BUND Futures RXM4 Comdty 2024-06-06 -20898063.01000000 EUR -333749.76000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404KFX5 35728.65000000 PA USD 35422.75000000 0.000903352886 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.00000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AF4 7000000.00000000 PA USD 7259644.00000000 0.185135833884 Long DBT CORP US N 2 2029-01-15 Fixed 6.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385WSM2 16958.20000000 PA USD 16876.29000000 0.000430380060 Long ABS-MBS USGSE US N 2 2032-11-01 Floating 6.13500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9VH7 223578.30000000 PA USD 214644.06000000 0.005473864425 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128QLPH8 59515.02000000 PA USD 60885.88000000 0.001552715004 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 5.87900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385W2N8 2470.64000000 PA USD 2525.75000000 0.000064411813 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6.00000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XCE8 1200000.00000000 PA USD 1228596.68000000 0.031331738975 Long DBT US N 2 2028-11-15 Fixed 5.80000000 N N N N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AD3 14700000.00000000 PA USD 13726506.47000000 0.350054110317 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M66J2 10839.46000000 PA USD 11078.55000000 0.000282525781 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N COOPERAT RABOBANK UA/NY DG3RU1DBUFHT4ZF9WN62 21688AAW2 8400000.00000000 PA USD 8430293.09000000 0.214989790285 Long DBT CORP NL N 2 2025-07-18 Fixed 5.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -3200000.00000000 NC USD -2317.31000000 -0.00005909616 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 3200000.00000000 OU Notional Amount N/A -2317.31000000 0.00000000 DIR US N/A N/A 2034-04-17 0.00000000 N/A 0.00000000 N/A 3200000.00000000 USD 1.00000000 4.08000000 USD 2024-04-15 XXXX 8578.69000000 N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 891160TD5 1100000.00000000 PA USD 1092765.93000000 0.027867775842 Long DBT CORP CA N 2 2026-06-05 Fixed 4.70100000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AY5 3500000.00000000 PA USD 3532970.25000000 0.090097998376 Long DBT CORP GB N 2 2027-08-07 Fixed 5.98500000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 073879G69 3658485.87000000 PA USD 3569516.62000000 0.091030005880 Long ABS-MBS CORP US N 2 2035-06-25 Floating 6.44900000 N N N N N N Venture CDO Ltd 549300SNYYGJ2M6QEK53 92329YAL0 2315691.73000000 PA USD 2315098.91000000 0.059039777601 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 6.45600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617AYBE1 17568.96000000 PA USD 17346.38000000 0.000442368320 Long ABS-MBS USGA US N 2 2047-09-15 Fixed 5.00000000 N N N N N N Ares European CLO 635400SFL7VSI4HNPI68 000000000 9930017.73000000 PA 10638157.66000000 0.271294871949 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.72200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416JPK1 29432.61000000 PA USD 29967.68000000 0.000764237395 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 6.00000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -7393.81000000 -0.00018855734 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 943217.00000000 USD 30913465.57000000 TRY 2024-04-19 -7393.81000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CZC1 111602.50000000 PA USD 107143.28000000 0.002732373720 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3300000.00000000 OU Notional Amount USD 66990.66000000 0.001708399434 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2034-01-09 0.00000000 USD 0.00000000 USD 3300000.00000000 USD 66990.66000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406BB90 10789.27000000 PA USD 10959.71000000 0.000279495117 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.94000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABC4 12000000.00000000 PA USD 11578729.56000000 0.295281387408 Long DBT CORP DK N 2 2028-04-01 Fixed 4.29800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M53F5 28298.44000000 PA USD 28922.43000000 0.000737581373 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BNS1 42672.26000000 PA USD 42170.79000000 0.001075441767 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KQB96 365.01000000 PA USD 373.06000000 0.000009513796 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 3273.96000000 0.000083492704 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 186098.00000000 USD 6413030.13000000 TRY 2024-05-10 3273.96000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31349UCW6 9648.10000000 PA USD 9838.26000000 0.000250895838 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 6.20800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4AH6 69401.48000000 PA USD 70931.03000000 0.001808886962 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.50000000 N N N N N N AES CORP/THE 2NUNNB7D43COUIRE5295 00130HCG8 5000000.00000000 PA USD 4090789.95000000 0.104323546531 Long DBT CORP US N 2 2031-01-15 Fixed 2.45000000 N N N N N N IndyMac ARM Trust N/A 45660UAQ2 208.81000000 PA USD 198.44000000 0.000005060627 Long ABS-MBS CORP US N 2 2032-01-25 Variable 5.68600000 N N N N N N Argent Securities Inc. N/A 040104PT2 3593779.96000000 PA USD 2749259.28000000 0.070111758836 Long ABS-O CORP US N 2 2036-02-25 Floating 6.20400000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 5700000.00000000 OU Notional Amount USD 30061.80000000 0.000766637649 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Verizon Communications, Inc. Verizon Communications, Inc. Y sell protection 2024-12-20 11174.42000000 USD 0.00000000 USD 5700000.00000000 USD 18887.38000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405U2C2 57541.09000000 PA USD 57009.49000000 0.001453859097 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 5.58500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408GFA0 2125.83000000 PA USD 2202.30000000 0.000056163173 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128JMZG5 7421.63000000 PA USD 7442.84000000 0.000189807708 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.14000000 N N N N N N Park Place Securities Inc N/A 70069FAZ0 2398806.32000000 PA USD 2347164.82000000 0.059857524172 Long ABS-O CORP US N 2 2034-10-25 Floating 6.49400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MLB1 40510.97000000 PA USD 41353.13000000 0.001054589757 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YBQ9 9214.96000000 PA USD 8983.72000000 0.000229103313 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 4.00000000 N N N N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAJ2 7900000.00000000 PA USD 8037613.58000000 0.204975656185 Long DBT CORP US N 2 2029-01-21 Fixed 6.25000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDZ6 2100000.00000000 PA USD 2122379.66000000 0.054125040866 Long DBT CORP US N 2 2028-01-23 Floating 6.55000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -3300000.00000000 NC USD -1639.08000000 -0.00004179990 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 3300000.00000000 OU Notional Amount N/A -1639.08000000 0.00000000 DIR US N/A N/A 2034-04-22 0.00000000 N/A 0.00000000 N/A 3300000.00000000 USD 1.00000000 4.15000000 USD 2024-04-18 XXXX 9869.67000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X9NM7 181481.17000000 PA USD 171949.97000000 0.004385077433 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 78900000.00000000 OU Notional Amount USD 1238595.87000000 0.031586738859 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-05-31 0.00000000 USD 0.00000000 USD 78900000.00000000 USD 1238595.87000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9200000.00000000 OU Notional Amount -550924.29000000 -0.01404970103 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-05-18 0.00000000 EUR -264700.79000000 EUR 9200000.00000000 EUR -277356.20000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AEG67 338424.71000000 PA USD 323855.84000000 0.008258989145 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -22574.73000000 -0.00057570198 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 100368000.00000000 MXN 5940279.73000000 USD 2024-06-20 -22574.73000000 N N N AREIT CRE Trust N/A 04002PAA2 8968752.80000000 PA USD 8923710.83000000 0.227572956174 Long ABS-CBDO CORP KY N 2 2038-11-17 Floating 6.52100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CKL9 1981.55000000 PA USD 1947.00000000 0.000049652499 Long ABS-MBS USGA US N 2 2029-07-20 Floating 3.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6WA5 2460456.39000000 PA USD 2356538.42000000 0.060096570226 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407MZ99 5617.30000000 PA USD 5733.92000000 0.000146226737 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N Long Beach Mortgage Loan Trust N/A 542514ND2 7110354.59000000 PA USD 6909032.72000000 0.176194526061 Long ABS-O CORP US N 2 2035-08-25 Floating 6.22400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WFJ6 1813.72000000 PA USD 1798.42000000 0.000045863404 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402YEW0 561.63000000 PA USD 564.57000000 0.000014397694 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.00000000 N N N N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 000000000 4500000.00000000 PA 4441357.60000000 0.113263741700 Long DBT CORP LU Y 2 2027-07-15 Fixed 1.62500000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBX2 10600000.00000000 PA USD 7658244.96000000 0.195300977122 Long DBT CORP US N 2 2050-04-01 Fixed 3.60000000 N N N N N N Ace Securities Corp. N/A 00441VAA6 7714045.38000000 PA USD 2482968.38000000 0.063320793903 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.74400000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 22500000.00000000 OU Notional Amount USD 225814.50000000 0.005758733590 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-08-15 0.00000000 USD 0.00000000 USD 22500000.00000000 USD 225814.50000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CW26 83011.92000000 PA USD 79900.21000000 0.002037619476 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416VB37 7894.53000000 PA USD 7936.04000000 0.000202385321 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 5.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BBAR3 20723445.57000000 PA USD 1552741.46000000 0.039598096684 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.24200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385HJD5 2765.34000000 PA USD 2753.52000000 0.000070220415 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.69100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410G2H5 365549.95000000 PA USD 373163.90000000 0.009516445958 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N AREIT CRE Trust N/A 00217VAA8 11500000.00000000 PA USD 11509453.00000000 0.293514692829 Long ABS-CBDO CORP US N 2 2039-06-17 Floating 7.56900000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -4533.63000000 -0.00011561687 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1623547.86000000 USD 57769079.95000000 TRY 2024-06-25 -4533.63000000 N N N Merrill Lynch First Franklin Mortgage Loan Trust N/A 59025RAV9 8879840.62000000 PA USD 7294018.30000000 0.186012449142 Long ABS-O CORP US N 2 2037-10-25 Floating 6.69400000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 52863.45000000 0.001348126560 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 70067092.00000000 TWD 2262221.00000000 USD 2024-06-20 52863.45000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418TZ83 22.20000000 PA USD 22.08000000 0.000000563085 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D54A7 30245.84000000 PA USD 28942.91000000 0.000738103656 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418VVZ2 49232.46000000 PA USD 50002.65000000 0.001275170284 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1784.00000000 NC USD 176177.45000000 0.004492886857 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes FVM4 Comdty 2024-06-28 190739697.55000000 USD 176177.45000000 N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACG0 2000000.00000000 PA USD 2006335.00000000 0.051165663671 Long DBT CORP US N 2 2026-06-26 Fixed 5.65000000 N N N N N N UMBS, TBA N/A 01F042442 100000.00000000 PA USD 98448.70000000 0.002510644071 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.50000000 N N N N N N Countrywide Home Loans N/A 170256AD3 1094246.91000000 PA USD 934039.86000000 0.023819935021 Long ABS-MBS CORP US N 2 2036-09-20 Variable 4.17200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385XHR1 4892.93000000 PA USD 4996.19000000 0.000127413107 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 6.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SH2 6300000.00000000 PA USD 4792183.58000000 0.122210524815 Long DBT UST US N 2 2049-05-15 Fixed 2.87500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3296900000.00000000 OU Notional Amount 2638726.56000000 0.067292947433 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2042-03-15 103383874.00000000 JPY 0.00000000 JPY 3296900000.00000000 JPY 1817913.81000000 N N N KREF 2022-Fl3 Ltd 549300DG0FGL1EU1CT79 48275EAA4 12500000.00000000 PA USD 12422662.50000000 0.316803410883 Long ABS-CBDO CORP KY N 2 2039-02-17 Floating 6.77600000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11800000.00000000 OU Notional Amount 179075.46000000 0.004566792065 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2034-03-20 0.00000000 AUD -502775.14000000 AUD 11800000.00000000 AUD 502103.70000000 N N N SUN COMMUNITIES OPER LP 549300PUNBPJCGT6X741 866677AE7 13200000.00000000 PA USD 10870160.53000000 0.277211421686 Long DBT US N 2 2031-07-15 Fixed 2.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416CC61 5.38000000 PA USD 5.35000000 0.000000136435 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31349UJM1 32054.85000000 PA USD 32775.62000000 0.000835845633 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 6.37300000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -493.36000000 -0.00001258169 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1800000.00000000 USD 60804000.00000000 TRY 2024-05-08 -493.36000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 3200000.00000000 OU Notional Amount USD -488.19000000 -0.00001244984 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y sell protection 2027-06-20 0.00000000 USD -72735.87000000 USD 3200000.00000000 USD 72247.68000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312929FV9 1068956.51000000 PA USD 1092562.70000000 0.027862593060 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402BEZ3 8821.04000000 PA USD 8867.30000000 0.000226134364 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N MASTR Asset Securitization Trust N/A 55274QAP0 156196.17000000 PA USD 88798.12000000 0.002264534458 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418U2L7 1052.68000000 PA USD 1047.73000000 0.000026719267 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQRQ1 7633080.32000000 PA USD 7576126.93000000 0.193206798680 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RL4 23440050.00000000 PA USD 17979175.61000000 0.458505908707 Long DBT UST US N 2 2045-02-15 Fixed 0.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D53V2 73429.48000000 PA USD 70266.65000000 0.001791943908 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.50000000 N N N N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAK9 6900000.00000000 PA USD 7055314.79000000 0.179925019321 Long DBT CORP US N 2 2030-11-21 Fixed 6.37500000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DY2 6700000.00000000 PA USD 6800260.81000000 0.173420618930 Long DBT CORP GB N 2 2027-08-14 Floating 6.92300000 N N N N N N Countrywide Alternative Loan Trust N/A 23245LAD2 7429666.15000000 PA USD 3171145.71000000 0.080870729389 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31336R7E4 27276.78000000 PA USD 27183.39000000 0.000693232281 Long ABS-MBS USGSE US N 2 2032-08-01 Floating 6.21100000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579PM4 1267059.77000000 PA USD 1140546.39000000 0.029086275717 Long ABS-MBS CORP US N 2 2035-04-25 Variable 6.04900000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 412929.28000000 0.010530544829 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 111679000.00000000 GBP 141390898.65000000 USD 2024-05-02 412929.28000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CHF6 232.22000000 PA USD 227.28000000 0.000005796106 Long ABS-MBS USGA US N 2 2028-10-20 Floating 3.75000000 N N N N N N Dryden Senior Loan Fund N/A 26245JAQ1 1400000.00000000 PA USD 1399965.00000000 0.035701983139 Long ABS-CBDO CORP KY N 2 2033-01-17 Floating 6.56700000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAP6 1900000.00000000 PA USD 1980905.34000000 0.050517155106 Long DBT CORP US N 2 2028-10-25 Fixed 6.75000000 N N N N N N Wells Fargo & Co. PBLD0EJDB5FWOLXP3B76 000000000 2600000.00000000 PA 2557355.44000000 0.065217816730 Long DBT CORP US Y 2 2030-05-04 Fixed 1.74100000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 414600000.00000000 PA 22459324.18000000 0.572758899823 Long DBT NUSS ZA N 2 2026-12-21 Fixed 10.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6NG9 471478.41000000 PA USD 481864.69000000 0.012288539383 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.50000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 465981AA6 5800000.00000000 PA USD 6057089.64000000 0.154468227562 Long ABS-MBS CORP US N 2 2040-10-05 Fixed 7.23500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 5400000.00000000 PA USD 4942641.82000000 0.126047518988 Long DBT CORP US N 2 2028-06-02 Fixed 2.39300000 N N N N N N CVS Pass-Through Trust N/A 126650BQ2 466966.35000000 PA USD 478327.14000000 0.012198324591 Long DBT CORP US N 2 2030-01-10 Fixed 6.94300000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AV9 4000000.00000000 PA USD 3994956.88000000 0.101879606398 Long DBT CORP US N 2 2026-03-29 Fixed 5.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GUV3 477.22000000 PA USD 487.13000000 0.000012422815 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.50000000 N N N N N N ING Groep NV 549300NYKK9MWM7GGW15 456837AH6 1100000.00000000 PA USD 1062897.77000000 0.027106076411 Long DBT CORP NL N 2 2027-03-29 Fixed 3.95000000 N N N N N N Chase Mortgage Finance Corporation N/A 161927AC2 7094667.40000000 PA USD 6214544.11000000 0.158483639971 Long ABS-MBS CORP US N 2 2063-09-25 Variable 3.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ADRY6 157882.68000000 PA USD 151573.69000000 0.003865440439 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376KPE0 5955.18000000 PA USD 6153.21000000 0.000156919494 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6.00000000 N N N N N N Mill City Mortgage Trust N/A 59981TAH8 8400000.00000000 PA USD 7156500.12000000 0.182505453078 Long ABS-MBS CORP US N 2 2059-08-25 Variable 3.25000000 N N N N N N Amcor Flexibles North America Inc PTVU09TE3QPJPL7K4E13 02343BDF1 550000.00000000 PA USD 548456.43000000 0.013986765538 Long STIV CORP US N 2 2024-04-15 None 0.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JM0 5000000.00000000 PA USD 4752609.45000000 0.121201303211 Long DBT CORP US N 2 2030-07-01 Fixed 4.55000000 N N N N N N Lloyds Bank PLC H7FNTJ4851HG0EXQ1Z70 000000000 13000000.00000000 PA USD 8402208.75000000 0.214273581928 Long DBT CORP GB Y 2 2032-04-02 Variable 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AGKX5 2942.17000000 PA USD 2894.50000000 0.000073815695 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.00000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -2717.37000000 -0.00006929851 N/A DFE MY N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 307923.77000000 USD 1437265.00000000 MYR 2024-06-20 -2717.37000000 N N N STARWOOD PROPERTY TRUST BUGSFQZERKRBFWIG5267 85571BAY1 13300000.00000000 PA USD 12510651.38000000 0.319047308060 Long DBT US N 2 2027-01-15 Fixed 4.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417BEN3 19283.91000000 PA USD 18864.16000000 0.000481074828 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 4.50000000 N N N N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 025537AY7 1700000.00000000 PA USD 1703996.41000000 0.043455408598 Long DBT CORP US N 2 2029-01-15 Fixed 5.20000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397D83 6900000.00000000 PA USD 6925516.82000000 0.176614904470 Long DBT CORP US N 2 2027-03-05 Fixed 5.80000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 58100000.00000000 OU Notional Amount 137513.27000000 0.003506870848 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-07-14 0.00000000 CAD 0.00000000 CAD 58100000.00000000 CAD 137513.27000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 74402.39000000 0.001897413773 N/A DFE AU N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 39783053.72000000 USD 61163897.00000000 AUD 2024-04-02 74402.39000000 N N N Extended Stay America Trust N/A 30227FAA8 12799580.44000000 PA USD 12795558.81000000 0.326313032747 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.51900000 N N N N N N BENCHMARK Mortgage Trust N/A 08163PBG4 13000000.00000000 PA USD 11579542.00000000 0.295302106297 Long ABS-MBS CORP US N 2 2055-03-15 Fixed 3.45800000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810FR4 12760098.00000000 PA USD 12747536.45000000 0.325088363925 Long DBT UST US N 2 2025-01-15 Fixed 2.37500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3500000.00000000 OU Notional Amount USD 49610.75000000 0.001265176029 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2034-01-08 0.00000000 USD 0.00000000 USD 3500000.00000000 USD 49610.75000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408DRS5 64557.04000000 PA USD 65897.09000000 0.001680511152 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Starwood Commercial Mortgage Trust N/A 78485WAA7 633462.01000000 PA USD 628816.83000000 0.016036120804 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 6.52000000 N N N N N N BCAP LLC Trust N/A 05533XAC6 1878167.61000000 PA USD 729554.11000000 0.018605128367 Long ABS-MBS CORP US N 2 2036-02-26 Variable 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407UMR5 367071.79000000 PA USD 377634.89000000 0.009630465387 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.39400000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 21100000.00000000 OU Notional Amount USD 322344.70000000 0.008220451971 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 AT&T, Inc. AT&T, Inc. Y sell protection 2028-06-20 0.00000000 USD -104224.14000000 USD 21100000.00000000 USD 426568.84000000 N N N UDR Inc P3CH2EG5X6Z1XWU1OO74 90265EAM2 1000000.00000000 PA USD 943128.46000000 0.024051712990 Long DBT US N 2 2027-07-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKMD9 2503143.34000000 PA USD 2241673.62000000 0.057167281885 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.50000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACU9 4500000.00000000 PA USD 4505963.45000000 0.114911323581 Long DBT CORP US N 2 2029-01-08 Fixed 5.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408EXX5 288.96000000 PA USD 294.96000000 0.000007522085 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YU54 8046.98000000 PA USD 7964.66000000 0.000203115190 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 4.50000000 N N N N N N Hyundai Auto Lease Securitization Trust N/A 448988AD7 1300000.00000000 PA USD 1293705.92000000 0.032992158334 Long ABS-O CORP US N 2 2027-03-15 Fixed 5.02000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128NCBW3 5436.86000000 PA USD 5440.16000000 0.000138735254 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.03200000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 1103795.04000000 0.028149040802 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 136860724.00000000 EUR 148755973.83000000 USD 2024-04-02 1103795.04000000 N N N GSR Mortgage Loan Trust N/A 3623414A4 1165715.63000000 PA USD 1055522.98000000 0.026918004117 Long ABS-MBS CORP US N 2 2036-01-25 Variable 4.71300000 N N N N N N American Electric Power Co Inc 1B4S6S7G0TW5EE83BO58 0255E2EF3 5000000.00000000 PA USD 4962813.35000000 0.126561934437 Long STIV CORP US N 2 2024-05-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411YCM3 17298.95000000 PA USD 17682.07000000 0.000450929105 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 6.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1708.07000000 0.000043559293 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 8585793.77000000 PEN 2306521.00000000 USD 2024-06-20 1708.07000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -3670.85000000 -0.00009361421 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 172626.00000000 USD 5462404.52000000 TRY 2024-03-29 -3670.85000000 N N N First Horizon Mortgage Pass-Through Trust N/A 32051GQL2 55236.91000000 PA USD 38265.89000000 0.000975858796 Long ABS-MBS CORP US N 2 2035-08-25 Variable 5.46200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BN53 304914.39000000 PA USD 311249.18000000 0.007937493420 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M46E8 3230.27000000 PA USD 3301.51000000 0.000084195286 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERM72 3583951.16000000 PA USD 3423227.19000000 0.087299324925 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KKS6 664.64000000 PA USD 669.45000000 0.000017072350 Long ABS-MBS USGA US N 2 2036-03-15 Fixed 5.00000000 N N N N N N BRIXMOR OPERATING PART 549300CJHBL7JBUA6503 11120VAC7 5500000.00000000 PA USD 5354403.56000000 0.136548289149 Long DBT US N 2 2026-06-15 Fixed 4.12500000 N N N N N N Morgan Stanley Capital I Trust N/A 61770YAA3 7500000.00000000 PA USD 6071799.75000000 0.154843365583 Long ABS-MBS CORP US N 2 2042-04-05 Variable 2.42800000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLS6 9700000.00000000 PA USD 9945786.55000000 0.253637986459 Long DBT CORP US N 2 2029-09-15 Fixed 5.81900000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YER2 5400000.00000000 PA USD 5247349.83000000 0.133818199137 Long DBT CORP US N 2 2028-04-20 Fixed 4.21000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 36500000.00000000 OU Notional Amount -1853373.84000000 -0.04726483989 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2054-09-18 0.00000000 EUR -1577585.76000000 EUR 36500000.00000000 EUR -129786.41000000 N N N Arbor Multifamily Mortgage Securities Trust N/A 03881BAE3 7500000.00000000 PA USD 6619930.50000000 0.168821825612 Long ABS-MBS CORP US N 2 2053-05-15 Fixed 2.75600000 N N N N N N AMERICAN HONDA FINANCE B6Q2VFHD1797Q7NZ3E43 02665WEP2 2200000.00000000 PA USD 2205024.71000000 0.056232659400 Long DBT CORP US N 2 2025-01-10 Floating 6.01800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31381BDB2 2875.58000000 PA USD 2901.15000000 0.000073985284 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291GAK2 2535.78000000 PA USD 2554.19000000 0.000065137091 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MFY8 106603.02000000 PA USD 109818.34000000 0.002800593245 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133CHD77 1072887.90000000 PA USD 1082583.15000000 0.027608094036 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SV1 23095995.00000000 PA USD 13800305.77000000 0.351936144057 Long DBT UST US N 2 2051-02-15 Fixed 0.12500000 N N N N N N UMBS, TBA N/A 01F052649 23400000.00000000 PA USD 23283848.72000000 0.593785969231 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 5.50000000 N N N N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334KS9 5200000.00000000 PA USD 5148062.50000000 0.131286168278 Long DBT CORP US N 2 2028-05-16 Fixed 4.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312928XM1 17396.67000000 PA USD 17780.59000000 0.000453441567 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RQ33 907895.70000000 PA USD 908290.54000000 0.023163274470 Long ABS-MBS USGA US N 2 2066-06-20 Floating 6.09400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ASRC8 150065.02000000 PA USD 145805.05000000 0.003718328270 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412YBH4 7809.67000000 PA USD 8090.92000000 0.000206335079 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.00000000 N N N N N N Goldman Sachs Capital Markets LP N/A 000000000 -24900000.00000000 NC USD -1723.83000000 -0.00004396120 N/A DIR US N 2 Goldman Sachs Capital Markets LP N/A Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 24900000.00000000 OU Notional Amount N/A -1723.83000000 0.00000000 DIR US N/A N/A 2026-05-31 0.00000000 N/A 0.00000000 N/A 24900000.00000000 USD 1.00000000 3.19500000 USD 2024-05-29 XXXX 53056.17000000 N N N Goldman Sachs Capital Markets LP N/A 000000000 -20200000.00000000 OU Notional Amount -8668.44000000 -0.00022106302 N/A DFE US N 2 Goldman Sachs Capital Markets LP N/A Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 1.00000000 NC USD -8668.44000000 0.00000000 DFE US -20200000.00000000 GBP -22220000.00000000 USD 2024-09-26 1.00000000 1.10000000 GBP 2024-09-26 XXXX 198372.90000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M06E5 89969.28000000 PA USD 86917.71000000 0.002216580140 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407CFZ5 9686.57000000 PA USD 9823.78000000 0.000250526568 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413D2T3 8365.94000000 PA USD 8667.02000000 0.000221026812 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.00000000 N N N N N N UNITED AIR 2016-1 A PTT N/A 90931MAA4 1905369.89000000 PA USD 1728371.13000000 0.044077014026 Long DBT CORP US N 2 2028-07-07 Fixed 3.45000000 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AM9 3300000.00000000 PA USD 3413917.82000000 0.087061916867 Long DBT CORP US N 2 2028-12-12 Fixed 7.20000000 N N N N N N MASSMUTUAL GLOBAL FUNDIN 549300K1IE3K7YU6VG29 57629TBQ9 3800000.00000000 PA USD 3830756.36000000 0.097692155857 Long DBT CORP US N 2 2026-07-10 Floating 6.32800000 N N N N N N ReadyCap Commercial Mortgage Trust N/A 75575WAA4 6777175.44000000 PA USD 6686691.34000000 0.170524364164 Long ABS-CBDO CORP US N 2 2036-11-25 Floating 6.64400000 N N N N N N PACIFIC LIFE GF II 6354003EUPCHXTWUU869 6944PL2U2 5500000.00000000 PA USD 5587512.70000000 0.142493051044 Long DBT CORP US N 2 2028-07-18 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296QY37 738439.96000000 PA USD 745548.02000000 0.019013005924 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 5.00000000 N N N N N N MEXICAN UDIBONOS 254900EGTWEU67VP6075 000000000 51216105.67000000 PA 2861564.54000000 0.072975773650 Long DBT NUSS MX N 2 2026-12-03 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31400QJ87 1234.51000000 PA USD 1232.51000000 0.000031431536 Long ABS-MBS USGSE US N 2 2033-03-01 Floating 5.64000000 N N N N N N Metlife Securitization Trust N/A 59166DAA5 3235683.41000000 PA USD 3045670.49000000 0.077670853543 Long ABS-MBS CORP US N 2 2057-03-25 Variable 3.75000000 N N N N N N WEYERHAEUSER CO 08IRJODWFYBI7QWRGS31 962166CC6 12000000.00000000 PA USD 11888388.96000000 0.303178338173 Long DBT US N 2 2026-05-15 Fixed 4.75000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2H5 6400000.00000000 PA USD 6278088.38000000 0.160104149381 Long DBT CORP US N 2 2025-10-30 Fixed 2.40600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CJ56 1976.68000000 PA USD 1958.92000000 0.000049956483 Long ABS-MBS USGA US N 2 2029-05-20 Floating 3.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CMN3 4164.65000000 PA USD 4120.92000000 0.000105091924 Long ABS-MBS USGA US N 2 2030-01-20 Floating 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4K69 179.04000000 PA USD 182.99000000 0.000004666620 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AECH7 521934.84000000 PA USD 499465.96000000 0.012737407922 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QESP8 343321.12000000 PA USD 321360.12000000 0.008195343159 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 3.50000000 N N N N N N Saranac CLO LTD 5493000RC2FP2JRHW627 80317EAA7 1360945.45000000 PA USD 1361393.20000000 0.034718323009 Long ABS-CBDO CORP JE N 2 2029-11-20 Floating 6.81100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CY83 14343.41000000 PA USD 14146.28000000 0.000360759197 Long ABS-MBS USGA US N 2 2033-09-20 Floating 3.62500000 N N N N N N Countrywide Alternative Loan Trust N/A 02150EBP7 2526905.16000000 PA USD 1112582.70000000 0.028373144183 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJNP4 1605018.42000000 PA USD 1506685.70000000 0.038423580201 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406PD71 68526.30000000 PA USD 70793.97000000 0.001805391651 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 5.27800000 N N N N N N Morgan Stanley ReRemic Trust N/A 61759HAZ0 1181744.65000000 PA USD 1131304.24000000 0.028850581908 Long ABS-MBS CORP US N 2 2037-03-26 Variable 3.72900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31409HAJ3 20544.08000000 PA USD 21282.30000000 0.000542742365 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 6.00000000 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBU3 7000000.00000000 PA USD 7204157.17000000 0.183720805745 Long DBT CORP US N 2 2030-01-03 Fixed 6.84800000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLE7 1900000.00000000 PA USD 1890432.51000000 0.048209912103 Long DBT CORP US N 2 2027-01-20 Fixed 5.08000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4V42 47893.00000000 PA USD 48948.92000000 0.001248298004 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416CLT1 22212.21000000 PA USD 23012.04000000 0.000586854288 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6E87 46214.00000000 PA USD 47234.50000000 0.001204576773 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KCH5 38523.70000000 PA USD 39092.27000000 0.000996933183 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 5000000.00000000 OU Notional Amount 31497.03000000 0.000803238962 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y sell protection 2024-12-20 0.00000000 EUR -63429.27000000 EUR 5000000.00000000 EUR 133860.46000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -3300000.00000000 NC USD -4922.84000000 -0.00012554253 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 3300000.00000000 OU Notional Amount N/A -4922.84000000 0.00000000 DIR US N/A N/A 2034-04-29 0.00000000 N/A 0.00000000 N/A 3300000.00000000 USD 1.00000000 4.07800000 USD 2024-04-25 XXXX 4523.41000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KNKP7 2474.50000000 PA USD 2529.08000000 0.000064496734 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418NYE4 10040.89000000 PA USD 9970.54000000 0.000254269250 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 3800000.00000000 OU Notional Amount USD 610139.40000000 0.015559807974 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 AES Corp. AES Corp. Y sell protection 2028-12-20 429162.29000000 USD 0.00000000 USD 3800000.00000000 USD 180977.11000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 23300000.00000000 OU Notional Amount 70109.00000000 0.001787923509 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-07-13 0.00000000 CAD 0.00000000 CAD 23300000.00000000 CAD 70109.00000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFH3 4900000.00000000 PA USD 5137958.31000000 0.131028490678 Long DBT CORP US N 2 2029-11-01 Fixed 6.40700000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 319803.81000000 0.008155654057 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 302809448.00000000 TWD 9868000.00000000 USD 2024-06-20 319803.81000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HMV2 493199.86000000 PA USD 510949.39000000 0.013030258975 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.00000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92927XAA2 2926998.63000000 PA USD 2464779.89000000 0.062856950048 Long ABS-MBS CORP US N 2 2037-06-25 Variable 3.81100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GD83 1134.64000000 PA USD 1160.62000000 0.000029598194 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 5.99100000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJG5 4800000.00000000 PA USD 4688795.62000000 0.119573919468 Long DBT CORP US N 2 2025-09-25 Fixed 0.98100000 N N N N N N Marble Point CLO Ltd. 254900N4UCG37B1HFL93 56608KAW3 8100000.00000000 PA USD 8099854.20000000 0.206562919842 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 6.53100000 N N N N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AC5 5600000.00000000 PA USD 5323709.33000000 0.135765523236 Long DBT CORP JP N 2 2027-09-17 Fixed 4.34500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407YDU0 2348.38000000 PA USD 2397.13000000 0.000061131738 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86359LPE3 25039.67000000 PA USD 24277.58000000 0.000619128158 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.94100000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 1207.33000000 0.000030789394 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 751104.00000000 USD 25845864.19000000 TRY 2024-05-23 1207.33000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405UTZ2 1735.64000000 PA USD 1722.57000000 0.000043929073 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 5.60000000 N N N N N N EXPEDIA GROUP INC N/A 30212PBH7 2561000.00000000 PA USD 2234896.81000000 0.056994459310 Long DBT CORP US N 2 2031-03-15 Fixed 2.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AU62 27303.52000000 PA USD 28285.94000000 0.000721349571 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36292DP48 1259.66000000 PA USD 1268.81000000 0.000032357261 Long ABS-MBS USGA US N 2 2035-11-15 Fixed 5.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -2712.94000000 -0.00006918554 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 408358.00000000 USD 2052178.63000000 BRL 2024-07-02 -2712.94000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416CEW2 2693.35000000 PA USD 2679.70000000 0.000068337854 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128JMY68 5468.30000000 PA USD 5489.92000000 0.000140004236 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402GP80 23149.06000000 PA USD 22921.86000000 0.000584554513 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296SRY4 806.72000000 PA USD 824.47000000 0.000021025678 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6SS8 62210.87000000 PA USD 63583.23000000 0.001621502969 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A8SR8 1825.42000000 PA USD 1797.70000000 0.000045845042 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 -7633696.43000000 PA USD -7633696.43000000 -0.19467493918 Short RA CORP US N 2 Reverse repurchase N 5.25000000 2026-02-25 7500000.00000000 USD 7938970.00000000 USD CDS N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410FSD8 576.48000000 PA USD 588.46000000 0.000015006938 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -9603.60000000 -0.00024491152 N/A DFE IN N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 9755000.00000000 USD 814700521.25000000 INR 2024-06-20 -9603.60000000 N N N Securitized Asset Backed Receivables LLC Trust N/A 81376VAC1 13438521.55000000 PA USD 8055061.91000000 0.205420624440 Long ABS-O CORP US N 2 2036-03-25 Floating 5.94400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D54W9 119666.91000000 PA USD 114287.91000000 0.002914576461 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F050643 76223782.00000000 PA USD 74368737.54000000 1.896555566554 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7C95 87870.58000000 PA USD 89808.65000000 0.002290305049 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 500000.00000000 OU Notional Amount USD 10385.50000000 0.000264851582 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 GENERAL ELECTRIC CO GENERAL ELECTRIC CO Y sell protection 2026-12-20 3012.17000000 USD 0.00000000 USD 500000.00000000 USD 7373.33000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407UEQ6 962.70000000 PA USD 977.71000000 0.000024933613 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWQ3 4900000.00000000 PA USD 4841014.58000000 0.123455815617 Long DBT CORP US N 2 2025-09-29 Fixed 3.27200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KMNX9 4573.96000000 PA USD 4674.95000000 0.000119220827 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -978.91000000 -0.00002496421 N/A DFE TR N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 962393.00000000 USD 32412915.04000000 TRY 2024-05-06 -978.91000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RGB6 1586061.25000000 PA USD 1576771.69000000 0.040210916909 Long ABS-MBS USGA US N 2 2065-08-20 Floating 6.04400000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCS2 10775000.00000000 PA USD 10636433.61000000 0.271250905133 Long DBT CORP US N 2 2028-05-10 Fixed 4.92700000 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3R0 7800000.00000000 PA USD 7764616.47000000 0.198013669123 Long DBT CORP US N 2 2027-01-15 Fixed 5.33900000 N N N N N N Asset Backed Securities Corp Home Equity Ln Trst N/A 04544TAB7 17245.25000000 PA USD 11910.40000000 0.000303739664 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.52400000 N N N N N N Countrywide Alternative Loan Trust N/A 02150BAA7 3783248.17000000 PA USD 1813482.61000000 0.046247531592 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.00000000 N N N N N N Palmer Square European Loan Funding 549300GCCYFLLIG4W475 000000000 7346393.53000000 PA 7881993.51000000 0.201007024744 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 4.72200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C2X1 89382.29000000 PA USD 85810.26000000 0.002188337891 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 3.50000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PBA3 3200000.00000000 PA USD 3123610.34000000 0.079658479813 Long DBT CORP US N 2 2027-01-29 Fixed 3.96000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -10013.38000000 -0.00025536175 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 449868.00000000 USD 14350789.20000000 TRY 2024-04-09 -10013.38000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31395CEC1 2754.56000000 PA USD 2733.73000000 0.000069715730 Long ABS-MBS USGSE US N 2 2034-07-15 Floating 5.68300000 N N N N N N Credit Suisse First Boston Mortgage Securities N/A 225470FG3 757355.09000000 PA USD 557492.34000000 0.014217199803 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 6.00000000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBH1 4700000.00000000 PA USD 4782542.72000000 0.121964663082 Long DBT CORP JP N 2 2028-01-18 Fixed 5.84200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CDH6 4968.72000000 PA USD 4882.71000000 0.000124519134 Long ABS-MBS USGA US N 2 2027-08-20 Floating 3.62500000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -5013.34000000 -0.00012785046 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 13407000.00000000 MXN 799324.48000000 USD 2024-04-19 -5013.34000000 N N N New Residential Mortgage Loan Trust N/A 64831HAM5 7010363.07000000 PA USD 7090329.58000000 0.180817968389 Long ABS-MBS CORP US N 2 2063-10-25 Variable 6.86400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406PQ85 10171.91000000 PA USD 10382.88000000 0.000264784767 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AD4R6 81911.59000000 PA USD 79040.25000000 0.002015688729 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 3081.52000000 0.000078585089 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 162523935.00000000 KRW 124325.06000000 USD 2024-06-20 3081.52000000 N N N Countrywide Home Loans N/A 12669GN64 478030.86000000 PA USD 448065.97000000 0.011426602598 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.78400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XZBR1 21921.59000000 PA USD 21123.14000000 0.000538683458 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31295MNX4 32736.05000000 PA USD 32489.61000000 0.000828551791 Long ABS-MBS USGSE US N 2 2029-01-01 Floating 6.50900000 N N N N N N Bayview Opportunity Master Fund N/A 07336JAD0 11376040.48000000 PA USD 9498550.14000000 0.242232539345 Long ABS-MBS CORP US N 2 2051-11-25 Variable 3.00000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 2600000.00000000 PA USD 2600000.00000000 0.066305340606 Long RA CORP US N 2 Repurchase N 5.26000000 2024-04-01 2647000.00000000 USD 2695475.00000000 USD UST N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CUV6 1566.33000000 PA USD 1560.06000000 0.000039784734 Long ABS-MBS USGA US N 2 2032-04-20 Floating 3.87500000 N N N N N N J.P. Morgan Alternative Loan Trust N/A 46628GAA7 812585.57000000 PA USD 628707.04000000 0.016033320934 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.80400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DLN0 32135.04000000 PA USD 30690.65000000 0.000782674616 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 3.50000000 N N N N N N Countrywide Home Loans N/A 126694M62 1155692.20000000 PA USD 987588.91000000 0.025185545790 Long ABS-MBS CORP US N 2 2046-04-25 Floating 5.64400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2D58 144063.61000000 PA USD 145202.60000000 0.003702964557 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412LGJ3 5918.89000000 PA USD 6151.50000000 0.000156875885 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6.00000000 N N N N N N TESCO PROPERTY FIN 6 PLC 213800FORYFOB97FHO66 000000000 533966.60000000 PA 664978.32000000 0.016958313078 Long DBT CORP GB Y 2 2044-07-13 Fixed 5.41100000 N N N N N N Ripon Mortgages PLC 213800MQYZ3GZ4HK1I88 000000000 13223000.00000000 PA 16514134.25000000 0.421144344716 Long ABS-MBS CORP GB N 2 2056-08-28 Floating 6.72200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JGYY5 477998.32000000 PA USD 458896.74000000 0.011702809480 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.50000000 N N N N N N TAPESTRY INC 549300LJNVY5SW3VTN33 876030AE7 500000.00000000 PA USD 533206.84000000 0.013597869669 Long DBT CORP US N 2 2030-11-27 Fixed 7.70000000 N N N N N N Morgan Stanley Capital Inc 5493005XH7EPFP4PGZ13 61755CAA0 90302.25000000 PA USD 78893.61000000 0.002011949108 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.50400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YTV9 33939.49000000 PA USD 33010.21000000 0.000841828160 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 4.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1219.92000000 -0.00003111046 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 861000.00000000 GBP 1085491.03000000 USD 2024-04-02 -1219.92000000 N N N American Homes 4 Rent 549300N4PXZ37U8QKI55 02666TAA5 1900000.00000000 PA USD 1823734.68000000 0.046508980435 Long DBT US N 2 2028-02-15 Fixed 4.25000000 N N N N N N EVERGY INC 549300PGTHDQY6PSUI61 30034WAA4 13500000.00000000 PA USD 13289648.67000000 0.338913339077 Long DBT CORP US N 2 2024-09-15 Fixed 2.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31400ED49 3357.93000000 PA USD 3401.12000000 0.000086735546 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CD86 24669.94000000 PA USD 24180.21000000 0.000616645023 Long ABS-MBS USGA US N 2 2027-09-20 Floating 3.62500000 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 000000000 1.91000000 PA 0.22000000 0.000000005610 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 63100000.00000000 OU Notional Amount USD 1050684.41000000 0.026794610644 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2054-06-20 1785888.36000000 USD 0.00000000 USD 63100000.00000000 USD -735203.95000000 N N N GS Mortgage-Backed Securities Trust N/A 36267EAD3 11173342.64000000 PA USD 8951769.27000000 0.228288504029 Long ABS-MBS CORP US N 2 2052-06-25 Variable 2.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8000000.00000000 OU Notional Amount USD 76314.40000000 0.001946173955 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-31 0.00000000 USD 0.00000000 USD 8000000.00000000 USD 76314.40000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDW3 7500000.00000000 PA USD 7652450.25000000 0.195153200114 Long DBT CORP US N 2 2027-10-22 Fixed 6.07000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BZ6 13300000.00000000 PA USD 8930630.40000000 0.227749419423 Long DBT CORP US N 2 2041-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31392CRD8 919.34000000 PA USD 922.84000000 0.000023534315 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 6.33500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AK89 1641.25000000 PA USD 1626.94000000 0.000041490311 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AXL6 134032.07000000 PA USD 138860.66000000 0.003541232060 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407M2K0 598792.96000000 PA USD 611216.40000000 0.015587273686 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MMG9 7458.36000000 PA USD 7613.26000000 0.000194153768 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N Voya CLO Ltd 549300KSCKXTOBY0IP86 92917NAJ7 7645692.85000000 PA USD 7651656.49000000 0.195132957604 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.63600000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAM7 4000000.00000000 PA USD 3953931.32000000 0.100833370348 Long DBT CORP IE N 2 2024-08-14 Fixed 2.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406AV25 239578.94000000 PA USD 237814.71000000 0.006064763595 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 5.51100000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 58300000.00000000 OU Notional Amount USD 1071886.31000000 0.027335302644 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-31 0.00000000 USD 0.00000000 USD 58300000.00000000 USD 1071886.31000000 N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46651QAA5 3558083.40000000 PA USD 2999206.35000000 0.076485922532 Long ABS-MBS CORP US N 2 2031-12-15 Floating 6.82300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RA8 1609476.00000000 PA USD 1235204.38000000 0.031500248897 Long DBT UST US N 2 2043-02-15 Fixed 0.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410LET5 5562.67000000 PA USD 5678.11000000 0.000144803468 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Goldman Sachs Capital Markets LP N/A 000000000 -24300000.00000000 NC USD -208593.39000000 -0.00531955991 N/A DIR US N 2 Goldman Sachs Capital Markets LP N/A Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 24300000.00000000 OU Notional Amount N/A -208593.39000000 -0.01000000 DIR US N/A N/A 2030-03-03 0.00000000 N/A 0.00000000 N/A 24300000.00000000 USD 1.00000000 4.24400000 USD 2025-02-27 XXXX 70856.61000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418QTK9 790.11000000 PA USD 780.12000000 0.000019894662 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.50000000 N N N N N N Novastar Home Equity Loan N/A 66989EAA3 2638894.75000000 PA USD 2534135.38000000 0.064625657505 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.64400000 N N N N N N Starwood Commercial Mortgage Trust N/A 78485KAA3 13000000.00000000 PA USD 12754049.10000000 0.325254449878 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 6.66900000 N N N N N N MASSMUTUAL GLOBAL FUNDIN 549300K1IE3K7YU6VG29 57629WDL1 7900000.00000000 PA USD 7909712.50000000 0.201713915926 Long DBT CORP US N 2 2027-12-07 Fixed 5.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417QNC4 5599.71000000 PA USD 5608.52000000 0.000143028780 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.00000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 13684.22000000 0.000348975718 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 800984.00000000 USD 27711483.25000000 TRY 2024-05-14 13684.22000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411AR80 854.09000000 PA USD 867.76000000 0.000022129662 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 574917.03000000 0.014661565190 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 136860724.00000000 EUR 148398630.48000000 USD 2024-05-02 574917.03000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXQD5 9761.50000000 PA USD 9976.60000000 0.000254423792 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 5.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 5900000.00000000 OU Notional Amount USD -20006.90000000 -0.00051021704 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Boeing Co. Boeing Co. Y sell protection 2029-06-20 33645.40000000 USD 0.00000000 USD 5900000.00000000 USD -53652.30000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KXK5 50879.94000000 PA USD 51939.52000000 0.001324564447 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410X6R2 18980.47000000 PA USD 19400.89000000 0.000494762545 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 929227QB5 22104.98000000 PA USD 20123.60000000 0.000513193135 Long ABS-MBS CORP US N 2 2042-06-25 Floating 6.48900000 N N N N N N Bear Stearns Alt-A Trust N/A 073868BE0 1293354.95000000 PA USD 672568.76000000 0.017151884889 Long ABS-MBS CORP US N 2 2036-11-25 Variable 4.57600000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3E1 7900000.00000000 PA USD 7993632.22000000 0.203854041164 Long DBT CORP US N 2 2029-07-25 Fixed 5.57400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312935LP2 16633.35000000 PA USD 16914.38000000 0.000431351433 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSMW8 4324983.75000000 PA USD 4239734.82000000 0.108121946661 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.00000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAS8 1800000.00000000 PA USD 1811544.25000000 0.046198099430 Long DBT CORP US N 2 2025-12-01 Fixed 5.95000000 N N N N N N Asset Backed Funding Certificates N/A 04542BQB1 4980399.98000000 PA USD 4625442.39000000 0.117958281970 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.26900000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AV0 7000000.00000000 PA USD 7206713.08000000 0.183785986700 Long DBT CORP CH N 2 2028-08-11 Fixed 6.44200000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RR1 1952115.00000000 PA USD 1562129.78000000 0.039837518128 Long DBT UST US N 2 2046-02-15 Fixed 1.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407CC54 17309.18000000 PA USD 17195.94000000 0.000438531791 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 285000000.00000000 OU Notional Amount 179893.21000000 0.004587646369 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2042-04-19 0.00000000 JPY 0.00000000 JPY 285000000.00000000 JPY 179893.21000000 N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400HS5 3000000.00000000 PA USD 3079713.15000000 0.078539011300 Long DBT CORP US N 2 2027-11-01 Fixed 5.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402HGD7 22458.09000000 PA USD 22575.73000000 0.000575727487 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406XZH8 426.26000000 PA USD 435.10000000 0.000011095943 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -44797.19000000 -0.00114242036 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1759825.15000000 USD 57002496.43000000 TRY 2024-04-24 -44797.19000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31382F2C2 23.73000000 PA USD 24.19000000 0.000000616894 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KQRY4 20798.17000000 PA USD 21125.16000000 0.000538734972 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31401AME4 16335.38000000 PA USD 16578.98000000 0.000422798044 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 5.50000000 N N N N N N UMBS, TBA N/A 01F042657 95000000.00000000 PA USD 90501946.65000000 2.307985537750 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 4.50000000 N N N N N N WELLTOWER OP LLC T6IZ0MBEG5ACZDTR7D06 95040QAC8 1102000.00000000 PA USD 1080108.60000000 0.027544987928 Long DBT US N 2 2026-04-01 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408JB83 5791.33000000 PA USD 5892.11000000 0.000150260907 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A2XZ4 227116.28000000 PA USD 228631.65000000 0.005830576702 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 5.00000000 N N N N N N Capital Four US CLO N/A 14016CAN6 8200000.00000000 PA USD 8261836.20000000 0.210693793566 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 7.49400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406DG67 13456.58000000 PA USD 13782.94000000 0.000351493281 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 5.92000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407FPF1 1410.11000000 PA USD 1439.38000000 0.000036707146 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Marathon CLO LTD N/A 56579ABJ8 8000000.00000000 PA USD 8001440.00000000 0.204053155592 Long ABS-CBDO CORP KY N 2 2032-04-15 Floating 1.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1500000.00000000 OU Notional Amount USD 11995.95000000 0.000305921365 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-08-15 0.00000000 USD 0.00000000 USD 1500000.00000000 USD 11995.95000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565ASK0 12500000.00000000 PA USD 10311585.00000000 0.262966598313 Long DBT CORP FR N 2 2031-02-25 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A2VH9 1743.61000000 PA USD 1694.20000000 0.000043205580 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 4.00000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163RBQ8 11000000.00000000 PA USD 10290030.30000000 0.262416909188 Long ABS-MBS CORP US N 2 2055-05-15 Variable 4.44400000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -15726.29000000 -0.00040105269 N/A DFE ID N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 2276907.00000000 USD 35927315553.00000000 IDR 2024-06-20 -15726.29000000 N N N Barclays Capital, Inc. G5GSEF7VJP5I7OUK5573 000000000 2400000.00000000 OU Notional Amount USD 7945.90000000 0.000202636771 N/A DCR GB N 2 Barclays Capital, Inc. G5GSEF7VJP5I7OUK5573 Republic of Colombia Republic of Colombia Y sell protection 2026-12-20 0.00000000 USD -61672.31000000 USD 2400000.00000000 USD 69618.21000000 N N N JACKSON NATL LIFE GLOBAL 635400PQXLYXWJI5QD78 46849CJL6 6300000.00000000 PA USD 6311716.49000000 0.160961735261 Long DBT CORP US N 2 2024-06-28 Floating 6.51600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202KYM1 999.37000000 PA USD 979.95000000 0.000024990737 Long ABS-MBS USGA US N 2 2026-02-20 Floating 3.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404HTN9 391.97000000 PA USD 400.11000000 0.000010203626 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A9YS1 1547046.65000000 PA USD 1520034.29000000 0.038763996665 Long ABS-MBS USGSE US N 2 2042-11-25 Floating 5.81500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SJ8 8900000.00000000 PA USD 5934839.87000000 0.151350607316 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LAFY1 15609.86000000 PA USD 15953.69000000 0.000406851865 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N LCM Ltd Partnership 549300FY8UGGJMQNCO13 50189PAY8 7596937.28000000 PA USD 7592622.22000000 0.193627462458 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.41800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FNHA5 42181.30000000 PA USD 40731.24000000 0.001038730285 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 3.50000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2W3 9200000.00000000 PA USD 9220109.54000000 0.235131732106 Long DBT CORP FR N 2 2030-05-20 Fixed 5.49700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X7XA6 117021.11000000 PA USD 111839.77000000 0.002852143862 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 3.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDA1 500000.00000000 PA USD 488460.43000000 0.012456744301 Long DBT CORP US N 2 2028-04-26 Fixed 4.32300000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACB9 8900000.00000000 PA USD 7581177.98000000 0.193335610830 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAW8 5700000.00000000 PA USD 5881595.62000000 0.149992769573 Long DBT CORP US N 2 2029-02-01 Fixed 5.95000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CU1 8600000.00000000 PA USD 8990469.24000000 0.229275432756 Long DBT CORP DE N 2 2029-11-20 Fixed 6.81900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31380YAM2 6343.07000000 PA USD 6449.27000000 0.000164469632 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 6.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAM2 4900000.00000000 PA USD 4915881.44000000 0.125365074330 Long DBT CORP US N 2 2026-08-10 Fixed 5.79800000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BN2 7500000.00000000 PA USD 8265769.43000000 0.210794099010 Long DBT CORP US N 2 2053-09-01 Fixed 6.62500000 N N N N N N JP Morgan Mortgage Trust N/A 466247ZP1 184087.08000000 PA USD 82810.54000000 0.002111838869 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75000000 N N N N N N DC Office Trust N/A 23312BAA8 1000000.00000000 PA USD 852777.30000000 0.021747572822 Long ABS-MBS CORP US N 2 2045-09-15 Fixed 2.96500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 36700000.00000000 OU Notional Amount 825791.88000000 0.021059389182 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2034-09-18 549230.89000000 EUR 0.00000000 EUR 36700000.00000000 EUR 226459.71000000 N N N Countrywide Asset-Backed Certificates N/A 12667HAA9 1500561.00000000 PA USD 1434116.76000000 0.036572923169 Long ABS-O CORP US N 2 2047-04-25 Floating 5.72400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292HS88 378.59000000 PA USD 384.89000000 0.000009815485 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -6900000.00000000 NC USD -295.94000000 -0.00000754707 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 6900000.00000000 OU Notional Amount N/A -295.94000000 0.00000000 DIR US N/A N/A 2029-04-04 0.00000000 N/A 0.00000000 N/A 6900000.00000000 USD 1.00000000 3.75000000 USD 2024-04-02 XXXX 16143.31000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -84553.23000000 -0.00215628104 N/A DFE BR N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 4399048.70000000 USD 21638920.56000000 BRL 2024-04-02 -84553.23000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YUM7 10172.74000000 PA USD 9888.97000000 0.000252189047 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M54E7 13786.25000000 PA USD 14090.30000000 0.000359331592 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N REPUBLIC OF POLAND 259400R9L8QEP0TPXS31 731011AY8 3900000.00000000 PA USD 3882684.00000000 0.099016417340 Long DBT NUSS PL N 2 2034-09-18 Fixed 5.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L8VF9 7086.19000000 PA USD 7205.91000000 0.000183765506 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N American Home Mortgage Investment Trust N/A 026929AA7 9369865.92000000 PA USD 7451773.79000000 0.190035538179 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.80400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412RB71 70.09000000 PA USD 69.52000000 0.000001772902 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -8267.87000000 -0.00021084766 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 299912.00000000 USD 9717148.80000000 TRY 2024-04-26 -8267.87000000 N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBW4 6400000.00000000 PA USD 5044945.79000000 0.128656480363 Long DBT CORP US N 2 2040-04-01 Fixed 3.60000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17311BAS2 5390808.41000000 PA USD 2911942.74000000 0.074260521231 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.76400000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 88369.25000000 0.002253597392 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 20900000.00000000 BRL 4219579.66000000 USD 2024-07-02 88369.25000000 N N N Wells Fargo Mortgage Backed Securities Trust N/A 949802AA0 61003.42000000 PA USD 58831.81000000 0.001500332000 Long ABS-MBS CORP US N 2 2033-09-25 Variable 6.16800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JJMK2 168348.54000000 PA USD 161618.62000000 0.004121606787 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 3.50000000 N N N N N N Tobacco Settlement Finance Authority N/A 88880LAH6 2250000.00000000 PA USD 2076900.53000000 0.052965229633 Long DBT MUN US N 2 2026-06-01 Fixed 1.82000000 N N N N N N Saxon Asset Securities Trust N/A 80557BAD6 1647482.97000000 PA USD 1528235.52000000 0.038973144876 Long ABS-O CORP US N 2 2047-09-25 Floating 5.84400000 N N N N N N UMBS, TBA N/A 01F032641 87300000.00000000 PA USD 78122793.53000000 1.992291705428 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414L2H0 78960.48000000 PA USD 80601.02000000 0.002055491570 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N HONEYWELL INTERNATIONAL ISRPG12PN4EIEOEMW547 000000000 1760000.00000000 PA 2002236.33000000 0.051061139167 Long DBT CORP US N 2 2034-11-02 Fixed 4.12500000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 4900000.00000000 OU Notional Amount USD 88582.20000000 0.002259028054 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Verizon Communications, Inc. Verizon Communications, Inc. Y sell protection 2028-06-20 3185.31000000 USD 0.00000000 USD 4900000.00000000 USD 85396.89000000 N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XCB5 6200000.00000000 PA USD 5113306.78000000 0.130399826027 Long DBT US N 2 2032-01-15 Fixed 2.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CQT6 642.37000000 PA USD 632.71000000 0.000016135404 Long ABS-MBS USGA US N 2 2030-10-20 Floating 4.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -3300000.00000000 NC USD -10440.67000000 -0.00026625853 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 3300000.00000000 OU Notional Amount N/A -10440.67000000 0.00000000 DIR US N/A N/A 2034-04-29 0.00000000 N/A 0.00000000 N/A 3300000.00000000 USD 1.00000000 3.67800000 USD 2024-04-25 XXXX -994.42000000 N N N BCAP LLC Trust N/A 05530NAA5 3705741.08000000 PA USD 3459370.81000000 0.088221061476 Long ABS-MBS CORP US N 2 2047-05-25 Floating 5.86400000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -8366.78000000 -0.00021337007 N/A DFE ID N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1591278.00000000 USD 25150467046.00000000 IDR 2024-06-20 -8366.78000000 N N N GreenPoint Mortgage Funding Trust N/A 39538RAB5 12692.36000000 PA USD 11352.83000000 0.000289520484 Long ABS-MBS CORP US N 2 2045-06-25 Floating 5.88400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CXJ0 1032.65000000 PA USD 1037.89000000 0.000026468326 Long ABS-MBS USGA US N 2 2033-03-20 Floating 3.62500000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -45.79000000 -0.00000116773 N/A DFE IN N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 57000.00000000 USD 4761286.72000000 INR 2024-06-20 -45.79000000 N N N TCI-Symphony CLO 5493005WLG3H3B8NI222 87229WAQ4 12739349.61000000 PA USD 12742407.05000000 0.324957553689 Long ABS-CBDO CORP KY N 2 2032-10-13 Floating 6.59600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408B5A2 4756.84000000 PA USD 4715.27000000 0.000120249070 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 5.66300000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 194115.04000000 0.004950332247 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 279363090.00000000 TWD 9003000.00000000 USD 2024-06-20 194115.04000000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CH0 7300000.00000000 PA USD 6903960.04000000 0.176065162301 Long DBT CORP US N 2 2027-03-15 Fixed 3.12500000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 19400000.00000000 PA 1128828.05000000 0.028787433977 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N Citigroup Mortgage Loan Trust Inc 549300R1KUK063S4I339 17307GXP8 258750.90000000 PA USD 255784.61000000 0.006523032956 Long ABS-MBS CORP US N 2 2035-09-25 Floating 7.56000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 9203.72000000 0.000234713765 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3663000.00000000 NZD 2197747.62000000 USD 2024-05-02 9203.72000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KXE9 196397.25000000 PA USD 200481.94000000 0.005112701275 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6NC8 34578.66000000 PA USD 35341.45000000 0.000901279569 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128QLPD7 144652.80000000 PA USD 148002.95000000 0.003774379234 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 5.71000000 N N N N N N MASTR Alternative Loans Trust N/A 5764342H6 610825.13000000 PA USD 63324.12000000 0.001614895132 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.84400000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -28945.79000000 -0.00073817710 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1417328.91000000 USD 45241138.81000000 TRY 2024-04-08 -28945.79000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CFQ4 2438.14000000 PA USD 2396.72000000 0.000061121283 Long ABS-MBS USGA US N 2 2028-03-20 Floating 3.62500000 N N N N N N BENCHMARK Mortgage Trust N/A 08160JAE7 13000000.00000000 PA USD 12145177.20000000 0.309726965757 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 4.01600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407UK97 41885.40000000 PA USD 41807.94000000 0.001066188346 Long ABS-MBS USGSE US N 2 2035-10-01 Floating 6.14300000 N N N N N N MP Clo VII, LTD 5493005EOEZ6JX072G15 55320RAQ0 13369256.07000000 PA USD 13377611.86000000 0.341156581105 Long ABS-CBDO CORP KY N 2 2028-10-18 Floating 6.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MPJH5 208770.15000000 PA USD 186859.70000000 0.004765306174 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 43180.76000000 0.001101198076 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 718391490.00000000 JPY 4789521.51000000 USD 2024-04-02 43180.76000000 N N N SG Commercial Mortgage Securities Trust N/A 78397FAA1 7100000.00000000 PA USD 6488108.51000000 0.165460094094 Long ABS-MBS CORP US N 2 2037-03-15 Fixed 2.63200000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55285BAA3 10700000.00000000 PA USD 10749476.80000000 0.274133738677 Long ABS-CBDO CORP US N 2 2037-09-17 Floating 7.96100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CQZ2 3189.49000000 PA USD 3108.66000000 0.000079277215 Long ABS-MBS USGA US N 2 2030-11-20 Floating 3.75000000 N N N N N N Wind River CLO Ltd 549300QKM4OHZM4I5C40 97314JAA3 4000000.00000000 PA USD 4000048.00000000 0.102009440415 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.65600000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HBA2 7800000.00000000 PA USD 7801672.32000000 0.198958669413 Long DBT CORP ES N 2 2028-03-14 Fixed 5.55200000 N N N N N N Countrywide Alternative Loan Trust N/A 12667F2Y0 6630334.60000000 PA USD 5214040.10000000 0.132968732601 Long ABS-MBS CORP US N 2 2035-03-25 Fixed 6.00000000 N N N N N N ALLIANT ENERGY FINANCE 54930033ER6EOI5DL570 01882YAE6 3800000.00000000 PA USD 3913733.35000000 0.099808239543 Long DBT CORP US N 2 2029-03-30 Fixed 5.95000000 N N N N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081GR2 6900000.00000000 PA USD 6833512.08000000 0.174268594615 Long DBT CORP US N 2 2026-05-15 Fixed 4.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FBM9 43058.31000000 PA USD 43317.72000000 0.001104690838 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382YJ20 5022979.40000000 PA USD 5064416.47000000 0.129153022698 Long ABS-MBS USGA US N 2 2072-12-20 Floating 6.33900000 N N N N N N Countrywide Asset-Backed Certificates N/A 12666UAG8 564250.04000000 PA USD 550449.05000000 0.014037581441 Long ABS-O CORP US N 2 2046-10-25 Variable 4.34200000 N N N N N N BRITISH AIR 18-1 A PTT N/A 11043HAA6 1188174.23000000 PA USD 1095656.57000000 0.027941493100 Long DBT CORP US N 2 2031-09-20 Fixed 4.12500000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 3050000.00000000 PA 3306944.66000000 0.084333881556 Long DBT NUSS RO N 2 2031-03-22 Fixed 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CZ49 16321.94000000 PA USD 15669.77000000 0.000399611321 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QYY1 104956.55000000 PA USD 107137.04000000 0.002732214587 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M43N1 550.35000000 PA USD 562.45000000 0.000014343630 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5GF1 3155.47000000 PA USD 3225.04000000 0.000082245144 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 5.50000000 N N N N N N GoodLeap Sustainable Home Improvement Loan Trust N/A 38237KAA8 9986722.91000000 PA USD 8917324.65000000 0.227410095467 Long ABS-O CORP US N 2 2049-04-20 Fixed 4.00000000 N N N N N N Sunrun Demeter Issuer LLC N/A 86772HAA5 11918718.71000000 PA USD 9723715.03000000 0.247974706546 Long ABS-O CORP US N 2 2057-01-30 Fixed 2.27000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TH1 28700000.00000000 PA USD 24396121.02000000 0.622151197577 Long DBT UST US N 2 2042-05-15 Fixed 3.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 22600000.00000000 OU Notional Amount 350961.66000000 0.008950243233 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 AUD -412898.08000000 AUD 22600000.00000000 AUD 614256.48000000 N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 45262BAA1 9326000.00000000 PA USD 9244866.50000000 0.235763085438 Long DBT CORP GB N 2 2024-07-26 Fixed 3.12500000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JL2 3600000.00000000 PA USD 3501877.46000000 0.089305068364 Long DBT CORP US N 2 2025-07-01 Fixed 3.45000000 N N N N N N Chase Mortgage Finance Corporation N/A 161630BK3 480133.70000000 PA USD 449020.70000000 0.011450950174 Long ABS-MBS CORP US N 2 2037-03-25 Variable 4.34500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406AWU2 2019.17000000 PA USD 2061.03000000 0.000052560498 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N GSR Mortgage Loan Trust N/A 36297TAB8 867349.86000000 PA USD 568138.36000000 0.014488695181 Long ABS-MBS CORP US N 2 2036-04-25 Variable 4.36600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBP36 982271.97000000 PA USD 1010373.26000000 0.025766593516 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 6.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 1491.96000000 0.000038048044 N/A DFE TR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 89439.20000000 USD 4256778.23000000 TRY 2025-03-13 1491.96000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385HJE3 10838.17000000 PA USD 10716.93000000 0.000273303728 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 5.11600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411XMB8 11574.30000000 PA USD 11773.83000000 0.000300256849 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288JQP4 69.09000000 PA USD 70.43000000 0.000001796109 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412EAP1 4359.51000000 PA USD 4444.27000000 0.000113338013 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RH77 56950.08000000 PA USD 56741.07000000 0.001447013835 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 6.28100000 N N N N N N Countrywide Home Loans N/A 12669GPR6 207966.31000000 PA USD 191880.82000000 0.004893355048 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.08400000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAR1 3800000.00000000 PA USD 3874879.00000000 0.098817373808 Long DBT CORP US N 2 2026-12-01 Fixed 6.05000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382YN82 5489767.41000000 PA USD 5500308.31000000 0.140269159974 Long ABS-MBS USGA US N 2 2073-01-20 Floating 6.21900000 N N N N N N State of Illinois 54930048FV8RWPR02D67 452152FA4 5280000.01000000 PA USD 5565524.46000000 0.141932305758 Long DBT MUN US N 2 2035-04-01 Fixed 6.72500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5040000000.00000000 OU Notional Amount 5152915.58000000 0.131409931787 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2052-06-15 4408797.00000000 JPY 0.00000000 JPY 5040000000.00000000 JPY 5119130.39000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 8469.20000000 0.000215981996 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 7976658.22000000 DKK 1162190.82000000 USD 2024-04-02 8469.20000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385XK48 3108.00000000 PA USD 3129.19000000 0.000079800772 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 5.75500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LJY3 114549.43000000 PA USD 118628.20000000 0.003025262771 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 5.00000000 N N N N N N LETRA TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 30100000.00000000 PA 5858913.33000000 0.149414324587 Long DBT NUSS BR N 2 2024-07-01 None 0.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1700000.00000000 OU Notional Amount USD 5628.34000000 0.000143534231 N/A DCR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y sell protection 2026-12-20 0.00000000 USD -46511.41000000 USD 1700000.00000000 USD 52139.75000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617YFGP6 6812828.37000000 PA USD 6702812.57000000 0.170935488643 Long ABS-MBS USGA US N 2 2052-04-15 Fixed 5.00000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 456610AA2 1916544.51000000 PA USD 1848033.22000000 0.047128643116 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.68400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EJE38 436.34000000 PA USD 432.23000000 0.000011022752 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419L3Z4 1901.15000000 PA USD 1867.63000000 0.000047628401 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 4.00000000 N N N N N N Deutsche Bank Securities, Inc. 9J6MBOOO7BECTDTUZW19 000000000 -27917125.00000000 PA USD -27917125.00000000 -0.71194403148 Short RA CORP US N 2 Reverse repurchase N 5.42000000 2024-04-18 33700000.00000000 USD 27791043.00000000 USD UST N N N VMWARE LLC 549300BUDHS3LRWBE814 928563AJ4 13500000.00000000 PA USD 12328974.77000000 0.314414181326 Long DBT CORP US N 2 2026-08-15 Fixed 1.40000000 N N N N N N UMBS, TBA N/A 01F030652 365000000.00000000 PA USD 314319257.25000000 8.015786696557 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 751731.28000000 0.019170691755 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 103521000.00000000 GBP 131410737.54000000 USD 2024-04-02 751731.28000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128NCBF0 4636.97000000 PA USD 4636.40000000 0.000118237723 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.92700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407FUW8 57630.36000000 PA USD 58447.67000000 0.001490535641 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 6.22300000 N N N N N N Hyatt Hotels Corp T27JQIMTYSH41TCD5186 448579AF9 2700000.00000000 PA USD 2669603.48000000 0.068080372317 Long DBT CORP US N 2 2026-03-15 Fixed 4.85000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 2100.57000000 0.000053568849 N/A DFE MX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 231261.58000000 USD 3928000.00000000 MXN 2024-06-20 2100.57000000 N N N Lehman Mortgage Trust N/A 52520RAB8 2794868.13000000 PA USD 1969862.47000000 0.050235539238 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6.00000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QDP4 3000000.00000000 PA USD 2987698.80000000 0.076192456370 Long DBT CORP MX N 2 2033-02-07 Fixed 10.00000000 N N N N N N HUDSON PACIFIC PROPERTIE 5493007NTUGLGZ8T3526 44409MAB2 2400000.00000000 PA USD 2044585.44000000 0.052141128460 Long DBT US N 2 2029-04-01 Fixed 4.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402JYY7 623.45000000 PA USD 626.72000000 0.000015982647 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RHU6 44467.54000000 PA USD 44141.16000000 0.001125690249 Long ABS-MBS USGSE US N 2 2042-08-01 Floating 6.28100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AEPK3 5876.00000000 PA USD 5695.89000000 0.000145256894 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -3200000.00000000 NC USD -5993.15000000 -0.00015283763 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 3200000.00000000 OU Notional Amount N/A -5993.15000000 0.00000000 DIR US N/A N/A 2034-04-17 0.00000000 N/A 0.00000000 N/A 3200000.00000000 USD 1.00000000 3.68000000 USD 2024-04-15 XXXX 4902.85000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WEW8 8187.10000000 PA USD 8029.19000000 0.000204760837 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.50000000 N N N N N N HSI Asset Securitization Corporation Trust N/A 44328BAE8 8406446.74000000 PA USD 2151266.88000000 0.054861724312 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.78400000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -6900000.00000000 NC USD -85.49000000 -0.00000218017 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 6900000.00000000 OU Notional Amount N/A -85.49000000 0.00000000 DIR US N/A N/A 2029-04-04 0.00000000 N/A 0.00000000 N/A 6900000.00000000 USD 1.00000000 4.25000000 USD 2024-04-02 XXXX 16353.76000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412QBP3 5471.77000000 PA USD 5529.20000000 0.000141005957 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418MYZ9 120873.00000000 PA USD 125218.54000000 0.003193329978 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 6.00000000 N N N N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AH0 1300000.00000000 PA USD 1246817.52000000 0.031796407822 Long DBT CORP US N 2 2027-07-15 Fixed 4.15000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297VKR8 3855.75000000 PA USD 3920.80000000 0.000099988453 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 40076.58000000 0.001022035110 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 3663000.00000000 NZD 2228536.23000000 USD 2024-04-02 40076.58000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BPF52 383793.19000000 PA USD 376597.52000000 0.009604010321 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 500000.00000000 OU Notional Amount USD 8658.00000000 0.000220796784 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Verizon Communications, Inc. Verizon Communications, Inc. Y sell protection 2027-12-20 0.00000000 USD -6414.22000000 USD 500000.00000000 USD 15072.22000000 N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CJ7 6000000.00000000 PA USD 5892859.56000000 0.150280023180 Long DBT CORP GB N 2 2026-03-30 Fixed 3.97100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YPE1 6300.25000000 PA USD 6245.77000000 0.000159279964 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.50000000 N N N N N N Social Professional Loan Program LLC N/A 78471AAB9 1119339.56000000 PA USD 1076883.23000000 0.027462734368 Long ABS-O CORP US N 2 2040-02-25 Fixed 3.02000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 11928.73000000 0.000304207117 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 7696169.00000000 AUD 5027137.59000000 USD 2024-04-02 11928.73000000 N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YBL2 9800000.00000000 PA USD 8047125.25000000 0.205218223308 Long DBT CORP JP N 2 2031-09-08 Fixed 1.97900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LVF0 7456.12000000 PA USD 7532.68000000 0.000192098812 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 5.00000000 N N N N N N MASTR Asset Backed Securities Trust N/A 55291KAB3 4628351.34000000 PA USD 1591624.77000000 0.040589700958 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.54400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410UF72 7481.76000000 PA USD 7637.58000000 0.000194773978 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.50000000 N N N N N N NATIONAL RURAL UTIL COOP 4NYF266XZC35SCTGX023 63743HFG2 3600000.00000000 PA USD 3595836.35000000 0.091701213058 Long DBT CORP US N 2 2028-03-15 Fixed 4.80000000 N N N N N N Goldman Sachs Capital Markets LP N/A 000000000 6400000.00000000 NC USD 207503.10000000 0.005291755277 N/A DIR US N 2 Goldman Sachs Capital Markets LP N/A Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 6400000.00000000 OU Notional Amount N/A 207503.10000000 0.01000000 DIR US N/A N/A 2055-03-03 0.00000000 N/A 0.00000000 N/A 6400000.00000000 USD 1.00000000 3.92000000 USD 2025-02-27 XXXX -72176.90000000 N N N Morgan Stanley BAML Trust N/A 61766RAW6 4506856.87000000 PA USD 4386981.24000000 0.111877032827 Long ABS-MBS CORP US N 2 2049-11-15 Fixed 2.95200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CMP8 646.22000000 PA USD 634.66000000 0.000016185133 Long ABS-MBS USGA US N 2 2030-01-20 Floating 3.62500000 N N N N N N CSAIL Commercial Mortgage Trust 5493006MX7HG5PC85C29 12637UAX7 1152403.49000000 PA USD 1130356.74000000 0.028826418712 Long ABS-MBS CORP US N 2 2049-11-15 Fixed 3.31400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31409WA76 1090.47000000 PA USD 1115.51000000 0.000028447796 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6.00000000 N N N N N N Banc of America Mortgage Securities N/A 05952FAN3 4295749.16000000 PA USD 3225561.63000000 0.082258447124 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376KPN0 377.50000000 PA USD 385.33000000 0.000009826706 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EW30 75942.29000000 PA USD 75559.55000000 0.001926923730 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KLY8 2808.99000000 PA USD 2882.20000000 0.000073502020 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 570000000.00000000 OU Notional Amount 176361.49000000 0.004497580255 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2038-10-22 0.00000000 JPY -42624942.00000000 JPY 570000000.00000000 JPY 564536.35000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WH3F7 27782.84000000 PA USD 27166.79000000 0.000692808947 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419BWX9 2986.23000000 PA USD 2938.72000000 0.000074943396 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412PRP8 4028.93000000 PA USD 4008.39000000 0.000102222178 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.00000000 N N N N N N BSPDF 2021-FL1 Issuer Ltd N/A 055731AA1 11205159.48000000 PA USD 10944581.26000000 0.279109303167 Long ABS-CBDO CORP KY N 2 2036-10-15 Floating 6.64000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668BDC4 361368.70000000 PA USD 327583.36000000 0.008354048562 Long ABS-MBS CORP US N 2 2036-01-25 Floating 6.56900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128JNAL9 9384.82000000 PA USD 9565.26000000 0.000243933777 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.21600000 N N N N N N BOSTON PROPERTIES LP BVHHEFJI6SHNOKQT2572 10112RBF0 1811000.00000000 PA USD 1364008.24000000 0.034785011901 Long DBT US N 2 2033-10-01 Fixed 2.45000000 N N N N N N Neuberger Berman CLO Ltd 549300Z5ZNFT7IECFZ07 64129JBE9 14181825.30000000 PA USD 14184902.76000000 0.361744157295 Long ABS-CBDO CORP KY N 2 2030-01-28 Floating 6.61100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291AGX1 2199.07000000 PA USD 2215.03000000 0.000056487814 Long ABS-MBS USGA US N 2 2033-10-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417MXZ1 1541.33000000 PA USD 1524.35000000 0.000038874056 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M55D8 7089.91000000 PA USD 7246.29000000 0.000184795279 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N Ace Securities Corp. N/A 00442PAA8 1687050.54000000 PA USD 1614205.38000000 0.041165552895 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.74400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406H3D7 27952.29000000 PA USD 28282.99000000 0.000721274340 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 7.35300000 N N N N N N BANQUE FED CRED MUTUEL VBHFXSYT7OG62HNT8T76 06675FBA4 5900000.00000000 PA USD 5978433.72000000 0.152462340036 Long DBT CORP FR N 2 2026-07-13 Fixed 5.89600000 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6G7 7300000.00000000 PA USD 7406327.64000000 0.188876568004 Long DBT CORP US N 2 2026-12-11 Floating 6.43100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWJ53 20871699.90000000 PA USD 21060308.89000000 0.537081136239 Long ABS-MBS USGSE US N 2 2053-12-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406BJF8 11880.80000000 PA USD 12111.66000000 0.000308872208 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.93000000 N N N N N N CarMax Auto Owner Trust N/A 14319BAB8 5509918.04000000 PA USD 5512803.58000000 0.140587815025 Long ABS-O CORP US N 2 2026-11-16 Fixed 5.72000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L3H58 29373.89000000 PA USD 30022.60000000 0.000765637968 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LN77 58987.20000000 PA USD 59634.86000000 0.001520811424 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617NR7A5 393449.76000000 PA USD 388463.19000000 0.009906609279 Long ABS-MBS USGA US N 2 2050-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LJB3 8888.68000000 PA USD 8941.71000000 0.000228031971 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 5.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308HK6 4500000.00000000 PA USD 4450274.78000000 0.113491148107 Long DBT CORP US N 2 2024-08-15 Fixed 3.40000000 N N N N N N SOUTHERN CALIF GAS CO XY0N0J73VHV5F4CUJV89 842434CW0 12500000.00000000 PA USD 11793140.00000000 0.300749294044 Long DBT CORP US N 2 2027-04-15 Fixed 2.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390NF56 11422.11000000 PA USD 11404.24000000 0.000290831545 Long ABS-MBS USGSE US N 2 2032-07-01 Floating 5.90300000 N N N N N N Venture CDO Ltd 549300KIDQKDB48YU144 92330EAP2 2300000.00000000 PA USD 2302079.20000000 0.058707748253 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 6.83600000 N N N N N N Towd Point Mortgage Trust N/A 89170VAA6 5509392.74000000 PA USD 5124642.09000000 0.130688899716 Long ABS-MBS CORP US N 2 2062-07-25 Variable 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DB43 126720.78000000 PA USD 121265.20000000 0.003092511688 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410FDB8 3742.80000000 PA USD 3800.00000000 0.000096907805 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6.00000000 N N N N N N BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 000000000 500000.00000000 OU Notional Amount USD -3403.47000000 -0.00008679547 N/A DCR FR N 2 BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 Colombia Government International Bond Colombia Government International Bond Y sell protection 2027-12-20 0.00000000 USD -31866.82000000 USD 500000.00000000 USD 28463.35000000 N N N BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 000000000 2400000.00000000 OU Notional Amount USD -366.14000000 -0.00000933732 N/A DCR FR N 2 BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y sell protection 2027-06-20 0.00000000 USD -70682.66000000 USD 2400000.00000000 USD 70316.52000000 N N N JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRV6 7700000.00000000 PA USD 7824480.51000000 0.199540325108 Long DBT CORP US N 2 2026-12-08 Floating 6.36100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPYV4 2449558.45000000 PA USD 2274419.53000000 0.058002369853 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404LAU4 192608.13000000 PA USD 191042.45000000 0.004871974891 Long ABS-MBS USGSE US N 2 2034-05-01 Floating 5.41000000 N N N N N N OSD CLO 2021-23 Ltd 2549004IE8HHQL34D058 671026AA0 11071774.87000000 PA USD 11066892.22000000 0.282228483884 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 6.44800000 N N N N N N JP Morgan Mortgage Trust N/A 466247RN5 39964.52000000 PA USD 39720.71000000 0.001012959694 Long ABS-MBS CORP US N 2 2035-07-25 Variable 5.52900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RC53 5838338.52000000 PA USD 5942913.67000000 0.151556505800 Long ABS-MBS USGA US N 2 2066-09-20 Variable 6.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419FWM4 52881.69000000 PA USD 51407.64000000 0.001311000415 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 4.00000000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 32027LAF2 16312000.00000000 PA USD 12509607.55000000 0.319020688251 Long ABS-O CORP US N 2 2036-10-25 Floating 5.75400000 N N N N N N Ripon Mortgages PLC 213800MQYZ3GZ4HK1I88 000000000 5777000.00000000 PA 7248696.81000000 0.184856658053 Long ABS-MBS CORP GB N 2 2056-08-28 Floating 6.37200000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TU2 24000000.00000000 PA USD 23715000.00000000 0.604781212490 Long DBT UST US N 2 2043-08-15 Fixed 4.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416MSW5 11.35000000 PA USD 11.25000000 0.000000286898 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -229.77000000 -0.00000585960 N/A DFE ID N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 15960.32000000 USD 249938611.00000000 IDR 2024-06-20 -229.77000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297DK89 347.01000000 PA USD 345.65000000 0.000008814784 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 5.00000000 N N N N N N TER FINANCE LTD JERSEY 213800GREUULZ8RPOM16 000000000 1900000.00000000 PA USD 1795448.04000000 0.045787613012 Long DBT CORP JE N 3 2025-01-02 None 0.00000000 N N N N N N Symphony CLO Ltd N/A 87169TAA8 7700000.00000000 PA USD 7720389.60000000 0.196885793092 Long ABS-CBDO CORP BM N 2 2034-04-25 Floating 7.00200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312930QW3 4861.38000000 PA USD 4968.67000000 0.000126711291 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405UMM8 4044.97000000 PA USD 4035.68000000 0.000102918129 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 5.84500000 N N N N N N Madison Park Funding Ltd N/A 55819MAN6 7300000.00000000 PA USD 7304752.30000000 0.186286188190 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 6.56900000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -2536.46000000 -0.00006468494 N/A DFE JP N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 4735294.24000000 USD 716335613.00000000 JPY 2024-04-02 -2536.46000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408DLD4 112447.33000000 PA USD 114638.58000000 0.002923519266 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405JC36 77083.42000000 PA USD 78685.04000000 0.002006630145 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406GCS6 14526.65000000 PA USD 14602.87000000 0.000372403180 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402GW58 676.23000000 PA USD 671.96000000 0.000017136360 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371HHR2 622.62000000 PA USD 633.77000000 0.000016162436 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 6.00000000 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U7Z7 7900000.00000000 PA USD 7998750.00000000 0.203984555066 Long DBT CORP US N 2 2028-01-14 Floating 6.42700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HKL30 52511.42000000 PA USD 50414.04000000 0.001285661574 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DFK3 284325.53000000 PA USD 272080.83000000 0.006938620040 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YTF4 662.76000000 PA USD 659.60000000 0.000016821154 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 4.50000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 80413TBE8 6000000.00000000 PA USD 5358360.00000000 0.136649186496 Long DBT NUSS SA N 2 2053-01-18 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M66H6 17771.18000000 PA USD 18163.12000000 0.000463196868 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N Dryden Senior Loan Fund 54930064P37IJ78XTR63 26244RAF8 7800000.00000000 PA USD 7800000.00000000 0.198916021818 Long ABS-CBDO CORP KY N 2 2029-10-19 Floating 6.47900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241K4C9 20321.52000000 PA USD 20544.63000000 0.000523930265 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 5.00000000 N N N N N N NEW YORK LIFE GLOBAL FDG 635400DPNHEAUHB7ZI15 64953BBK3 7800000.00000000 PA USD 7822866.01000000 0.199499152042 Long DBT CORP US N 2 2026-01-16 Floating 5.92900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A8NL3 11549.81000000 PA USD 11577.07000000 0.000295239065 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 5.00000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AJ8 5000000.00000000 PA USD 4967809.00000000 0.126689333773 Long DBT US N 2 2025-06-01 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417MUQ4 3155.38000000 PA USD 3141.07000000 0.000080103737 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BMS4 21367.77000000 PA USD 22137.57000000 0.000564553507 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N AMEREN CORP XRZQ5S7HYJFPHJ78L959 023608AQ5 7200000.00000000 PA USD 7160612.18000000 0.182610319055 Long DBT CORP US N 2 2029-01-15 Fixed 5.00000000 N N N N N N Towd Point Mortgage Funding 6354008RRKZLZQWJ8D70 000000000 18189556.82000000 PA 22967403.62000000 0.585715969178 Long ABS-MBS CORP GB Y 2 2045-05-20 Floating 6.57200000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 33042.16000000 0.000842642951 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3601894.15000000 USD 61184000.00000000 MXN 2024-06-20 33042.16000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5R93 26996.72000000 PA USD 27593.26000000 0.000703684808 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6D4 4700000.00000000 PA USD 4731582.83000000 0.120665081211 Long DBT CORP US N 2 2026-08-07 Fixed 5.45000000 N N N N N N Countrywide Alternative Loan Trust N/A 02147RAJ9 1597295.14000000 PA USD 1436501.19000000 0.036633731032 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6.00000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 20998.83000000 0.000535513298 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 7353201.00000000 CAD 5449597.27000000 USD 2024-04-02 20998.83000000 N N N Countrywide Alternative Loan Trust N/A 12667GDJ9 371026.76000000 PA USD 14618.19000000 0.000372793871 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.00000000 N N N N N N Structured Asset Securities Corporation N/A 86364LAC6 64657.47000000 PA USD 63712.66000000 0.001624803700 Long ABS-O CORP US N 2 2037-08-25 Floating 7.24400000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 265900000.00000000 OU Notional Amount -1132031.36000000 -0.02886912496 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2024-05-24 0.00000000 EUR -33114.29000000 EUR 265900000.00000000 EUR -1092983.11000000 N N N UMBS, TBA N/A 01F030645 116250000.00000000 PA USD 99999546.19000000 2.550193834843 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 3.00000000 N N N N N N NISSAN MOTOR ACCEPTANCE 7D6DIU2QXTUJRFNNJA49 65480CAC9 13500000.00000000 PA USD 12215560.59000000 0.311521886775 Long DBT CORP US N 2 2026-09-16 Fixed 1.85000000 N N N N N N Osaka Exchange 3538001249AILNPRUX57 000000000 -85.00000000 NC -138607.97000000 -0.00353478794 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Short OSE Japanese 10 Year Bond Futures JBM4 Comdty 2024-06-13 -12378817525.00000000 JPY -138607.97000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LQL8 470.67000000 PA USD 472.15000000 0.000012040794 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KNH3 73898.22000000 PA USD 75437.06000000 0.001923799983 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N Goldman Sachs Capital Markets LP N/A 000000000 -34500000.00000000 NC USD -775190.85000000 -0.01976895897 N/A DIR US N 2 Goldman Sachs Capital Markets LP N/A Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 34500000.00000000 OU Notional Amount N/A -775190.85000000 -0.02000000 DIR US N/A N/A 2025-04-04 0.00000000 N/A 0.00000000 N/A 34500000.00000000 USD 1.00000000 2.69700000 USD 2024-04-02 XXXX -504581.47000000 N N N UMBS, TBA N/A 01F020653 -19300000.00000000 PA USD -15290943.78000000 -0.38995047520 Short ABS-MBS USGSE US N 2 2054-05-01 Fixed 2.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11300000.00000000 OU Notional Amount USD 81687.70000000 0.002083204143 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-08-15 0.00000000 USD 0.00000000 USD 11300000.00000000 USD 81687.70000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406BZG8 2522.79000000 PA USD 2572.36000000 0.000065600463 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407HPR1 72848.05000000 PA USD 74360.15000000 0.001896336566 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N Venture CDO Ltd 54930010DKR017G3JK24 92331AAU8 9724646.54000000 PA USD 9727155.50000000 0.248062445598 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.56900000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFF7 7900000.00000000 PA USD 7969277.94000000 0.203232956998 Long DBT CORP US N 2 2029-07-20 Fixed 5.44900000 N N N N N N TAPESTRY INC 549300LJNVY5SW3VTN33 876030AC1 1900000.00000000 PA USD 1957616.36000000 0.049923238279 Long DBT CORP US N 2 2026-11-27 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CN36 6278.73000000 PA USD 6185.46000000 0.000157741935 Long ABS-MBS USGA US N 2 2030-05-20 Floating 4.00000000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 320275AD2 4442154.49000000 PA USD 1817047.30000000 0.046338438509 Long ABS-O CORP US N 2 2036-12-25 Floating 5.72400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LDQQ0 6035.25000000 PA USD 6121.61000000 0.000156113629 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5NL0 17893.90000000 PA USD 18288.37000000 0.000466391000 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411ENM5 1161.77000000 PA USD 1173.92000000 0.000029937371 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.50000000 N N N N N N COREBRIDGE GLOB FUNDING 54930057MDZ7KOVOTV71 00138CAU2 2600000.00000000 PA USD 2602626.23000000 0.066372314865 Long DBT CORP US N 2 2026-07-02 Fixed 5.75000000 N N N N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 460.00000000 NC 219831.68000000 0.005606159391 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long Montreal Exchange 10 Year Canadian Bond Futures CNM4 Comdty 2024-06-19 55058627.00000000 CAD 219831.68000000 N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122EF1 7800000.00000000 PA USD 7832832.15000000 0.199753309083 Long DBT CORP US N 2 2029-02-22 Fixed 4.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CLS1 257021.18000000 PA USD 247255.54000000 0.006305524152 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 3.50000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 4900000.00000000 PA 4874556.73000000 0.124311209341 Long DBT NUSS CI N 2 2031-10-17 Fixed 5.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411FE42 29235.96000000 PA USD 30288.97000000 0.000772430950 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6.00000000 N N N N N N UNITED AIR 2020-1 A PTT N/A 90931GAA7 7666826.66000000 PA USD 7640912.02000000 0.194858951549 Long DBT CORP US N 2 2027-10-15 Fixed 5.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MFY56 6554097.47000000 PA USD 5645308.74000000 0.143966968781 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412PG70 11577.74000000 PA USD 11354.55000000 0.000289564348 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.50000000 N N N N N N Banc of America Funding Corporation N/A 06051GDM8 192318.00000000 PA USD 175533.68000000 0.004476469400 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.15700000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 19858.40000000 0.000506429990 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3351706.73000000 USD 113795471.04000000 TRY 2024-05-07 19858.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGVH4 91313.41000000 PA USD 93215.00000000 0.002377173971 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 5.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -6584.58000000 -0.00016792031 N/A DFE ID N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 817724.00000000 USD 12887984419.00000000 IDR 2024-06-20 -6584.58000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KVV7 172258.01000000 PA USD 174148.87000000 0.004441153900 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412QSK6 17760.58000000 PA USD 17005.00000000 0.000433662429 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 4.00000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 80413TBF5 7800000.00000000 PA USD 7710346.80000000 0.196629681063 Long DBT NUSS SA N 2 2030-01-16 Fixed 4.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CUH7 113.79000000 PA USD 113.04000000 0.000002882752 Long ABS-MBS USGA US N 2 2032-03-20 Floating 3.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406AZX3 685.73000000 PA USD 699.93000000 0.000017849652 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N Flex Ltd 549300EAQH74YHD07T53 33938XAA3 8160000.00000000 PA USD 8002622.40000000 0.204083309221 Long DBT CORP SG N 2 2029-06-15 Fixed 4.87500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 37669.77000000 0.000960656511 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1981000.00000000 GBP 2537988.46000000 USD 2024-04-02 37669.77000000 N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAY5 1300000.00000000 PA USD 1254736.52000000 0.031998358588 Long DBT CORP US N 2 2026-05-14 Fixed 3.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RW0 4981977.00000000 PA USD 3839781.05000000 0.097922303989 Long DBT UST US N 2 2047-02-15 Fixed 0.87500000 N N N N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 -2815671.00000000 PA USD -2815671.00000000 -0.07180539411 Short RA CORP US N 2 Reverse repurchase N 5.30000000 2024-05-03 3000000.00000000 USD 2970902.00000000 USD CDS N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411DS67 402.55000000 PA USD 410.91000000 0.000010479049 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 16480.73000000 0.000420292467 N/A DFE CA N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 5409151.83000000 USD 7349183.62000000 CAD 2024-04-02 16480.73000000 N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBK4 3900000.00000000 PA USD 4132384.74000000 0.105384299115 Long DBT CORP JP N 2 2033-01-18 Fixed 6.18100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AKPF2 7647260.00000000 PA USD 7020226.74000000 0.179030201972 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 3.50000000 N N N N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AB7 8100000.00000000 PA USD 7808128.89000000 0.199123325210 Long DBT CORP JP N 2 2025-09-17 Fixed 3.52200000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -2100000.00000000 NC -10697.43000000 -0.00027280643 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 2100000.00000000 OU Notional Amount N/A -10697.43000000 0.00000000 DIR US N/A N/A 2034-04-22 0.00000000 N/A 0.00000000 N/A 2100000.00000000 EUR 1.00000000 2.56000000 EUR 2024-04-18 XXXX -4454.48000000 N N N Banc of America Funding Corporation N/A 05951EAM9 53019.78000000 PA USD 44796.51000000 0.001142403020 Long ABS-MBS CORP US N 2 2047-01-20 Variable 5.21400000 N N N N N N Harvest CLO 635400EXPHDZLGQCVU09 000000000 10478871.29000000 PA 11199087.16000000 0.285599726393 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 4.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410RH93 302.14000000 PA USD 308.01000000 0.000007854887 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LXP6 40357.54000000 PA USD 40524.84000000 0.001033466661 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 5.00000000 N N N N N N Manhattan West N/A 563136AA8 12300000.00000000 PA USD 10922803.44000000 0.278553924024 Long ABS-MBS CORP US N 2 2039-09-10 Fixed 2.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376KR32 42974.79000000 PA USD 43866.13000000 0.001118676419 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CS23 591.04000000 PA USD 581.62000000 0.000014832504 Long ABS-MBS USGA US N 2 2031-08-20 Floating 3.62500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 13200000.00000000 OU Notional Amount USD 103546.08000000 0.002640637731 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-08-15 0.00000000 USD 0.00000000 USD 13200000.00000000 USD 103546.08000000 N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AS6 3800000.00000000 PA USD 3268466.11000000 0.083352599493 Long DBT CORP US N 2 2028-02-01 Fixed 5.37500000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 59023EAE8 8599786.03000000 PA USD 2001756.71000000 0.051048907872 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.94400000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -275460.77000000 -0.00702481545 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 309705731.63000000 MXN 18231711.62000000 USD 2024-05-14 -275460.77000000 N N N Countrywide Asset-Backed Certificates N/A 12668WAC1 1023328.53000000 PA USD 1020423.20000000 0.026022887630 Long ABS-O CORP US N 2 2032-10-25 Variable 4.41600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XNR71 2391446.74000000 PA USD 2379396.00000000 0.060679485468 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1284.20000000 0.000032749737 N/A DFE TR N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1187616.00000000 USD 40530958.85000000 TRY 2024-05-16 1284.20000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CR40 2552.51000000 PA USD 2528.74000000 0.000064488064 Long ABS-MBS USGA US N 2 2031-04-20 Floating 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414UZ68 3563.84000000 PA USD 3682.52000000 0.000093911824 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407DZ40 24664.49000000 PA USD 25177.41000000 0.000642075671 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394VL73 181260.22000000 PA USD 184060.82000000 0.004693928985 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 5.75000000 N N N N N N Countrywide Asset-Backed Certificates N/A 12666TAG1 320175.25000000 PA USD 317069.61000000 0.008085926341 Long ABS-O CORP US N 2 2046-09-25 Floating 5.74400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CFH4 1825.64000000 PA USD 1784.09000000 0.000045497959 Long ABS-MBS USGA US N 2 2028-02-20 Floating 3.62500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QB7 9600000.00000000 PA USD 9579374.98000000 0.244293738785 Long DBT UST US N 2 2039-05-15 Fixed 4.25000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -1433.95000000 -0.00003656867 N/A DFE CN N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 89882.13000000 USD 638639.50000000 CNY 2024-04-11 -1433.95000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403JR81 126.91000000 PA USD 127.58000000 0.000003253552 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KRVH4 1545.64000000 PA USD 1571.71000000 0.000040081833 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YPM3 24165.26000000 PA USD 23503.86000000 0.000599396708 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 4.00000000 N N N N N N Bear Stearns Alt-A Trust N/A 07386HSY8 329080.29000000 PA USD 308260.86000000 0.007861285122 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.13800000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579VM7 38561.50000000 PA USD 32565.92000000 0.000830497852 Long ABS-MBS CORP US N 2 2035-08-25 Variable 4.72800000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -51357.95000000 -0.00130973321 N/A DFE IN N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 14856219.53000000 USD 1237664220.93000000 INR 2024-06-20 -51357.95000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UYN4 5145576.42000000 PA USD 5146243.29000000 0.131239774686 Long ABS-MBS USGA US N 2 2067-01-20 Floating 6.44400000 N N N N N N COMM Mortgage Trust N/A 12635WAA5 11600000.00000000 PA USD 10951232.88000000 0.279278933140 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 3.54500000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KBB1 4800000.00000000 PA USD 4665905.23000000 0.118990167504 Long DBT CORP US N 2 2025-06-02 Fixed 3.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413TJC7 2336.52000000 PA USD 2388.06000000 0.000060900435 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5ED8 48637.32000000 PA USD 49709.72000000 0.001267699967 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GDF7 5386.59000000 PA USD 5417.13000000 0.000138147942 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 5.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWJA3 192034.93000000 PA USD 190061.98000000 0.004846970892 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417SAP5 519.78000000 PA USD 517.04000000 0.000013185582 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 4.50000000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YBD0 5900000.00000000 PA USD 5687582.24000000 0.145045029864 Long DBT CORP JP N 2 2026-05-25 Fixed 2.22600000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7300000.00000000 OU Notional Amount USD -324028.02000000 -0.00826338008 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2029-09-08 0.00000000 USD 0.00000000 USD 7300000.00000000 USD -324028.02000000 N N N Citicorp Mortgage Securities, Inc. N/A 17312XAQ7 682557.30000000 PA USD 592221.05000000 0.015102853244 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 50200000.00000000 OU Notional Amount USD -3091647.32000000 -0.07884335714 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-15 0.00000000 USD 0.00000000 USD 50200000.00000000 USD -3091647.32000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416XMX5 23797.27000000 PA USD 22547.54000000 0.000575008584 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297HXT0 242573.74000000 PA USD 243593.36000000 0.006212131040 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A9TG6 3607.11000000 PA USD 3631.29000000 0.000092605353 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 5.00000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAW1 3900000.00000000 PA USD 3343847.52000000 0.085274980287 Long DBT CORP US N 2 2030-10-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296NVD6 1320.00000000 PA USD 1342.24000000 0.000034229877 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.50000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAQ8 1900000.00000000 PA USD 1940066.93000000 0.049475691766 Long DBT CORP FR N 2 2027-10-19 Fixed 6.61200000 N N N N N N Santander Drive Auto Receivables Trust N/A 80286PAB7 6054859.68000000 PA USD 6070177.87000000 0.154802004311 Long ABS-O CORP US N 2 2027-07-15 Fixed 6.31000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202KZ40 1334.10000000 PA USD 1318.99000000 0.000033636954 Long ABS-MBS USGA US N 2 2026-05-20 Floating 3.87500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 27000000.00000000 OU Notional Amount -1875254.64000000 -0.04782284524 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-04-12 0.00000000 EUR 0.00000000 EUR 27000000.00000000 EUR -1875254.64000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410FYT6 133118.83000000 PA USD 137910.38000000 0.003516997968 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 294000000.00000000 PA 16597838.13000000 0.423278965590 Long DBT NUSS MX N 2 2026-09-03 Fixed 7.00000000 N N N N N N Amcor Flexibles North America Inc PTVU09TE3QPJPL7K4E13 02343BDA2 250000.00000000 PA USD 249497.76000000 0.006362705368 Long STIV CORP US N 2 2024-04-10 None 0.00000000 N N N N N N Goldman Sachs Capital Markets LP N/A 000000000 49800000.00000000 NC USD 33634.42000000 0.000857746797 N/A DIR US N 2 Goldman Sachs Capital Markets LP N/A Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 49800000.00000000 OU Notional Amount N/A 33634.42000000 0.00000000 DIR US N/A N/A 2025-05-31 0.00000000 N/A 0.00000000 N/A 49800000.00000000 USD 1.00000000 4.97500000 USD 2024-05-29 XXXX -21145.58000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312944HJ3 138744.04000000 PA USD 131647.79000000 0.003357289060 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412RB63 2527.68000000 PA USD 2507.25000000 0.000063940025 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296TBZ5 302.08000000 PA USD 303.07000000 0.000007728907 Long ABS-MBS USGA US N 2 2039-03-15 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -74009.27000000 -0.00188738840 N/A DFE TW N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 2444947.00000000 USD 75191411.00000000 TWD 2024-06-20 -74009.27000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CGW5 23953565.00000000 PA USD 23268521.55000000 0.593395094913 Long DBT UST US N 2 2028-04-15 Fixed 1.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384USH8 33985.42000000 PA USD 33868.64000000 0.000863719888 Long ABS-MBS USGSE US N 2 2028-10-01 Floating 5.11800000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -3300000.00000000 NC USD -182.52000000 -0.00000465463 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 3300000.00000000 OU Notional Amount N/A -182.52000000 0.00000000 DIR US N/A N/A 2034-04-10 0.00000000 N/A 0.00000000 N/A 3300000.00000000 USD 1.00000000 3.50000000 USD 2024-04-08 XXXX 12192.48000000 N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 000000000 2.34000000 PA 0.26000000 0.000000006630 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMRF5 89900.77000000 PA USD 89506.54000000 0.002282600623 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 -5300000.00000000 NC -3066.80000000 -0.00007820969 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 5300000.00000000 OU Notional Amount N/A -3066.80000000 0.00000000 DIR US N/A N/A 2029-04-24 0.00000000 N/A 0.00000000 N/A 5300000.00000000 EUR 1.00000000 2.86000000 EUR 2024-04-22 XXXX 5060.65000000 N N N JP Morgan Mortgage Trust N/A 46632GAA1 4631742.37000000 PA USD 3901305.48000000 0.099491303330 Long ABS-MBS CORP US N 2 2037-12-26 Variable 4.11100000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 36100000.00000000 OU Notional Amount USD -553033.23000000 -0.01410348333 N/A DCR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 REPUBLIC OF SOUTH AFRICA REPUBLIC OF SOUTH AFRICA Y sell protection 2026-12-20 0.00000000 USD -952728.13000000 USD 36100000.00000000 USD 399694.90000000 N N N United Wholesale Mortgage LLC N/A 90355RAE2 5296695.21000000 PA USD 4577474.45000000 0.116735000970 Long ABS-MBS CORP US N 2 2051-11-25 Variable 2.50000000 N N N N N N Bear Stearns Structured Products Inc. N/A 07402FAC9 295625.66000000 PA USD 222206.58000000 0.005666724219 Long ABS-MBS CORP US N 2 2046-12-26 Variable 4.19800000 N N N N N N CADILLAC FAIRVIEW PRP TR N/A 68327LAB2 1700000.00000000 PA USD 1614635.89000000 0.041176531785 Long DBT CORP CA N 2 2027-03-20 Fixed 3.87500000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 2900000.00000000 OU Notional Amount USD 6058.10000000 0.000154493993 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 GENERAL ELECTRIC CO GENERAL ELECTRIC CO Y sell protection 2024-06-20 2543.23000000 USD 0.00000000 USD 2900000.00000000 USD 3514.87000000 N N N Sales Tax Securitization Corp N/A 79467BDG7 10100000.00000000 PA USD 8735861.68000000 0.222782416992 Long DBT MUN US N 2 2033-01-01 Fixed 3.00700000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3300000.00000000 OU Notional Amount USD -2092.20000000 -0.00005335539 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-12-29 0.00000000 USD 0.00000000 USD 3300000.00000000 USD -2092.20000000 N N N Ripon Mortgages PLC 213800MQYZ3GZ4HK1I88 000000000 12650201.16000000 PA 15955431.62000000 0.406896280031 Long ABS-MBS CORP GB N 2 2056-08-28 Floating 5.92200000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -5236.56000000 -0.00013354303 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1181187.00000000 USD 40089486.78000000 TRY 2024-05-16 -5236.56000000 N N N UMBS, TBA N/A 01F052656 352100000.00000000 PA USD 350352270.67000000 8.934702553434 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 5.50000000 N N N N N N Ameriquest Mortgage Securities Inc. N/A 03072SQC2 279471.77000000 PA USD 278242.63000000 0.007095758597 Long ABS-O CORP US N 2 2034-05-25 Floating 6.22400000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 165.16000000 0.000004211919 N/A DFE MX N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 18747.00000000 USD 318333.43000000 MXN 2024-06-20 165.16000000 N N N Avangrid Inc 549300OX0Q38NLSKPB49 05351WAA1 7800000.00000000 PA USD 7666885.82000000 0.195521336801 Long DBT CORP US N 2 2024-12-01 Fixed 3.15000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -6394.14000000 -0.00016306370 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 923652.05000000 USD 30150773.87000000 TRY 2024-04-15 -6394.14000000 N N N American Tower Corp 5493006ORUSIL88JOE18 03027XAT7 12000000.00000000 PA USD 11964192.48000000 0.305111483640 Long DBT US N 2 2024-05-15 Fixed 3.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YYC5 7816.57000000 PA USD 7700.23000000 0.000196371681 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F042640 7000000.00000000 PA USD 6665556.66000000 0.169985386412 Long ABS-MBS USGSE US N 2 2054-04-01 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3300000.00000000 OU Notional Amount USD 52767.33000000 0.001345675303 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2034-01-08 0.00000000 USD 0.00000000 USD 3300000.00000000 USD 52767.33000000 N N N Sequoia Mortgage Trust N/A 81743PBW5 51623.29000000 PA USD 49874.33000000 0.001271897860 Long ABS-MBS CORP US N 2 2033-07-20 Floating 6.14300000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3300000.00000000 OU Notional Amount USD -105920.76000000 -0.00270119694 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-11-22 0.00000000 USD 0.00000000 USD 3300000.00000000 USD -105920.76000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31295MZJ2 4212.57000000 PA USD 4168.02000000 0.000106293071 Long ABS-MBS USGSE US N 2 2031-11-01 Floating 6.33800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DBG3 5923.33000000 PA USD 6046.50000000 0.000154198169 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.50000000 N N N N N N Asset Backed Funding Certificates N/A 04542BJY9 1006901.26000000 PA USD 975630.43000000 0.024880579987 Long ABS-MBS CORP US N 2 2034-06-25 Floating 6.14400000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 7566000.00000000 OU Notional Amount USD -527266.97000000 -0.01344639078 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.S36 2I65BRYP9 Y buy protection 2026-06-20 0.00000000 USD -85554.83000000 USD 7566000.00000000 USD -441712.14000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128L4R55 4492.98000000 PA USD 4592.11000000 0.000117108237 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.50000000 N N N N N N MASTR Alternative Loans Trust N/A 576434D92 2141288.49000000 PA USD 2145033.18000000 0.054702752158 Long ABS-MBS CORP US N 2 2035-02-25 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403VKB4 313.27000000 PA USD 323.45000000 0.000008248639 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 6.00000000 N N N N N N UNITED AIR 2016-2 AA PTT N/A 90932EAA1 3439250.80000000 PA USD 3115091.09000000 0.079441221439 Long DBT CORP US N 2 2028-10-07 Fixed 2.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241L6G6 7792.33000000 PA USD 7848.23000000 0.000200145985 Long ABS-MBS USGA US N 2 2033-12-15 Fixed 5.00000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 073852AC9 3933239.65000000 PA USD 6090492.98000000 0.155320081345 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.69400000 N N N N N N Chile Government International Bonds 549300FLZTJM5YJF8D34 168863DY1 12500000.00000000 PA USD 10890301.75000000 0.277725064168 Long DBT NUSS CL N 2 2042-03-07 Fixed 4.34000000 N N N N N N Goldman Sachs Capital Markets LP N/A 000000000 -34500000.00000000 NC USD -279.45000000 -0.00000712654 N/A DIR US N 2 Goldman Sachs Capital Markets LP N/A Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 34500000.00000000 OU Notional Amount N/A -279.45000000 0.00000000 DIR US N/A N/A 2025-04-04 0.00000000 N/A 0.00000000 N/A 34500000.00000000 USD 1.00000000 2.69700000 USD 2024-04-02 XXXX 270329.93000000 N N N Spirit AeroSystems Inc ZD2NBKV6GCC3UMGBM518 85205TAK6 1600000.00000000 PA USD 1499920.96000000 0.038251065436 Long DBT CORP US N 2 2028-06-15 Fixed 4.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MGQD0 35454.48000000 PA USD 35452.84000000 0.000904120242 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 5.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 36100000.00000000 NC USD 356525.41000000 0.009092130286 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Purchased Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 36100000.00000000 OU Notional Amount N/A 356525.41000000 0.01000000 DIR US N/A N/A 2035-02-18 0.00000000 N/A 0.00000000 N/A 36100000.00000000 USD 1.00000000 4.50000000 USD 2025-02-13 XXXX -187025.73000000 N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EBD6 2000000.00000000 PA USD 1960043.26000000 0.049985129214 Long DBT CORP GB N 2 2029-05-16 Fixed 4.97200000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 75.40000000 0.000001922854 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 245000.00000000 GBP 309302.09000000 USD 2024-04-02 75.40000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -46663.28000000 -0.00119000949 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 7762968.03000000 USD 39037171.55000000 BRL 2024-07-02 -46663.28000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132FCAZ8 5871.24000000 PA USD 6000.59000000 0.000153027370 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407YHH5 57054.68000000 PA USD 56945.08000000 0.001452216509 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.85400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128JMW45 2335.59000000 PA USD 2333.33000000 0.000059504707 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RLJ3 2125168.47000000 PA USD 2125298.74000000 0.054199483402 Long ABS-MBS USGA US N 2 2065-10-20 Floating 6.04400000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 123732.35000000 0.003155429081 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 14607000.00000000 AUD 9642384.53000000 USD 2024-04-02 123732.35000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 90500000.00000000 OU Notional Amount USD 1276149.55000000 0.032544434837 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-06-21 1046203.91000000 USD 0.00000000 USD 90500000.00000000 USD 229945.64000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402YJD7 72079.90000000 PA USD 73576.85000000 0.001876360807 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9ZZ8 39825.83000000 PA USD 39107.20000000 0.000997313929 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371HNM6 728.70000000 PA USD 743.57000000 0.000018962562 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 6.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DA0 12000000.00000000 PA USD 11375660.64000000 0.290102712829 Long DBT CORP US N 2 2026-02-01 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407JHM7 5600.89000000 PA USD 5720.42000000 0.000145882460 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.00000000 N N N N N N BAT INTL FINANCE PLC 21380041YBGOQDFAC823 05530QAQ3 8300000.00000000 PA USD 8519341.69000000 0.217260712498 Long DBT CORP GB N 2 2029-02-02 Fixed 5.93100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RDH9 218255.96000000 PA USD 224749.25000000 0.005731567527 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AQ0 2900000.00000000 PA USD 2860795.74000000 0.072956167671 Long DBT CORP US N 2 2024-11-15 Fixed 3.55000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -3600000.00000000 NC -5488.24000000 -0.00013996139 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 3600000.00000000 OU Notional Amount N/A -5488.24000000 0.00000000 DIR US N/A N/A 2029-05-02 0.00000000 N/A 0.00000000 N/A 3600000.00000000 EUR 1.00000000 2.78000000 EUR 2024-04-29 XXXX -225.10000000 N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 124857AR4 300000.00000000 PA USD 274401.37000000 0.006997798577 Long DBT CORP US N 2 2027-01-15 Fixed 2.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292KZ75 3618.04000000 PA USD 3698.00000000 0.000094306595 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 5.50000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAD3 10500000.00000000 PA USD 10222729.97000000 0.260700612533 Long DBT CORP US N 2 2025-08-01 Fixed 4.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GDV2 76586.42000000 PA USD 78567.46000000 0.002003631613 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.09200000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RF7 6880172.00000000 PA USD 6031811.57000000 0.153823584854 Long DBT UST US N 2 2044-02-15 Fixed 1.37500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 23700000.00000000 OU Notional Amount -1414925.64000000 -0.03608351018 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-05-13 0.00000000 EUR 0.00000000 EUR 23700000.00000000 EUR -1414925.64000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810QD3 57100000.00000000 PA USD 57604085.65000000 1.469022507435 Long DBT UST US N 2 2039-11-15 Fixed 4.37500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RMG8 11156803.68000000 PA USD 11158431.46000000 0.284562922533 Long ABS-MBS USGA US N 2 2065-12-20 Floating 6.44400000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAZ6 5900000.00000000 PA USD 5901300.60000000 0.150495287039 Long DBT CORP GB N 2 2028-01-05 Fixed 5.46200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1400000.00000000 OU Notional Amount USD -9529.73000000 -0.00024302768 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Colombia Government International Bond Colombia Government International Bond Y sell protection 2027-12-20 0.00000000 USD -89207.00000000 USD 1400000.00000000 USD 79677.27000000 N N N GCT Commercial Mortgage Trust N/A 36167RAA1 4000000.00000000 PA USD 3341066.80000000 0.085204066216 Long ABS-MBS CORP US N 2 2038-02-15 Floating 6.24000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 109.00000000 NC USD 141188.24000000 0.003600590131 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CME Ultra Long Term U.S. Treasury Bond Futures WNM4 Comdty 2024-06-18 13919811.76000000 USD 141188.24000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CA55 510.39000000 PA USD 498.60000000 0.000012715324 Long ABS-MBS USGA US N 2 2027-01-20 Floating 3.62500000 N N N N N N AMERICAN HONDA FINANCE B6Q2VFHD1797Q7NZ3E43 02665WEU1 3000000.00000000 PA USD 3008400.00000000 0.076720379492 Long DBT CORP US N 2 2024-11-22 Floating 6.05700000 N N N N N N FHLMC Structured Pass Through Securities S6XOOCT0IEG5ABCC6L87 31395HHV5 284512.38000000 PA USD 257756.44000000 0.006573318672 Long ABS-MBS USGSE US N 2 2044-10-25 Floating 6.28900000 N N N N N N UNITED KINGDOM GILT ECTRVYYCEF89VWYS6K36 000000000 9380000.00000000 PA 11752540.39000000 0.299713920595 Long DBT NUSS GB Y 2 2054-07-31 Fixed 4.37500000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -1500000.00000000 NC -12993.78000000 -0.00033136808 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 1500000.00000000 OU Notional Amount N/A -12993.78000000 0.00000000 DIR US N/A N/A 2034-04-03 0.00000000 N/A 0.00000000 N/A 1500000.00000000 EUR 1.00000000 2.67000000 EUR 2024-03-28 XXXX -8243.67000000 N N N Countrywide Alternative Loan Trust N/A 12668BJZ7 1339129.17000000 PA USD 916418.18000000 0.023370545985 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 3200000.00000000 OU Notional Amount USD 10594.53000000 0.000270182277 N/A DCR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y sell protection 2026-12-20 0.00000000 USD -45178.37000000 USD 3200000.00000000 USD 55772.90000000 N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CT0 5900000.00000000 PA USD 5834460.74000000 0.148790733315 Long DBT CORP US N 2 2025-05-01 Fixed 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BJS6 12198.20000000 PA USD 12103.73000000 0.000308669977 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKT49 38423891.80000000 PA USD 38183707.13000000 0.973762964177 Long ABS-MBS USGSE US N 2 2027-10-01 Floating 5.85400000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 13400000.00000000 OU Notional Amount USD 86281.26000000 0.002200349358 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-08-15 0.00000000 USD 0.00000000 USD 13400000.00000000 USD 86281.26000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAN0 4900000.00000000 PA USD 4919844.22000000 0.125466133360 Long DBT CORP US N 2 2026-08-10 Floating 6.41900000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -62124.51000000 -0.00158430261 N/A DFE ID N 2 Citibank NA E57ODZWZ7FF32TWEFA76 2709962.01000000 USD 42070805224.00000000 IDR 2024-06-20 -62124.51000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31391LV69 38004.30000000 PA USD 37926.27000000 0.000967197788 Long ABS-MBS USGSE US N 2 2032-09-01 Floating 5.49700000 N N N N N N BGC GROUP INC 2549001IGRCG4F0RLD36 088929AC8 4000000.00000000 PA USD 4249405.68000000 0.108368573456 Long DBT CORP US N 2 2028-05-25 Fixed 8.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411UWK3 14446.79000000 PA USD 14927.65000000 0.000380685737 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418MXQ0 1001.72000000 PA USD 993.62000000 0.000025339350 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410RHZ5 172.54000000 PA USD 175.58000000 0.000004477650 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.00000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DJ6 3900000.00000000 PA USD 3634109.08000000 0.092677246288 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418RFS5 7280.98000000 PA USD 7239.55000000 0.000184623395 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 4.50000000 N N N N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 85172FAM1 1100000.00000000 PA USD 1111500.50000000 0.028345545860 Long DBT CORP US N 2 2025-03-15 Fixed 6.87500000 N N N N N N Adagio CLO 6354009XYAVGD2ZFCM19 000000000 10927286.44000000 PA 11659660.18000000 0.297345284456 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.66200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MAF4 38454.48000000 PA USD 39253.51000000 0.001001045134 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CKZ8 2189.89000000 PA USD 2150.21000000 0.000054834771 Long ABS-MBS USGA US N 2 2029-08-20 Floating 3.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GDL4 17049.12000000 PA USD 17471.50000000 0.000445559137 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.32900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415VQA6 265228.68000000 PA USD 274783.42000000 0.007007541636 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NG2 8100000.00000000 PA USD 7619036.50000000 0.194301080855 Long DBT CORP US N 2 2028-02-24 Fixed 3.07000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7PY3 4887.46000000 PA USD 4760.16000000 0.000121393857 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4.00000000 N N N N N N Gemgarto 635400KLHB2FIID9TE45 000000000 2949615.58000000 PA 3716747.41000000 0.094784693448 Long ABS-MBS CORP GB N 2 2067-12-16 Floating 5.81200000 N N N N N N CHOICE HOTELS INTL INC 5493003CYRY5RFGTIR97 169905AF3 2500000.00000000 PA USD 2237115.43000000 0.057051038677 Long DBT CORP US N 2 2029-12-01 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404NBP0 7017.69000000 PA USD 7170.29000000 0.000182857123 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 5.96900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312928T46 96220.35000000 PA USD 98344.26000000 0.002507980636 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 4700000.00000000 OU Notional Amount USD 83730.50000000 0.002135299739 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 GENERAL ELECTRIC CO GENERAL ELECTRIC CO Y sell protection 2026-06-20 21872.26000000 USD 0.00000000 USD 4700000.00000000 USD 61858.24000000 N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 80413TBC2 6000000.00000000 PA USD 5985180.00000000 0.152634384034 Long DBT NUSS SA N 2 2028-01-18 Fixed 4.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 870000000.00000000 OU Notional Amount 284226.44000000 0.007248358043 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2038-11-12 0.00000000 JPY -63820245.00000000 JPY 870000000.00000000 JPY 865361.69000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 22809.45000000 0.000581687827 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1303000.00000000 GBP 1667390.60000000 USD 2024-04-02 22809.45000000 N N N Morgan Stanley Capital I Trust N/A 61691UBE8 800000.00000000 PA USD 709327.44000000 0.018089306734 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 3.12700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KLJU2 6068.08000000 PA USD 6201.81000000 0.000158158894 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128JM7E1 10198.34000000 PA USD 10360.70000000 0.000264219131 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.03800000 N N N N N N Morgan Stanley Capital Inc N/A 61749KAA1 2593214.75000000 PA USD 2232724.45000000 0.056939059668 Long ABS-O CORP US N 2 2036-07-25 Floating 5.69400000 N N N N N N PRP Advisors, LLC N/A 74390KAK4 5616263.64000000 PA USD 5598455.03000000 0.142772102935 Long ABS-MBS CORP US N 2 2068-08-25 Variable 6.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36291KBJ5 454.98000000 PA USD 451.25000000 0.000011507801 Long ABS-MBS USGA US N 2 2034-07-15 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SF6 11000000.00000000 PA USD 8576132.84000000 0.218709003476 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31392CRC0 7814.39000000 PA USD 7844.12000000 0.000200041172 Long ABS-MBS USGSE US N 2 2032-04-25 Floating 6.33500000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -3700000.00000000 NC -944.21000000 -0.00002407929 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 3700000.00000000 OU Notional Amount N/A -944.21000000 0.00000000 DIR US N/A N/A 2029-04-10 0.00000000 N/A 0.00000000 N/A 3700000.00000000 EUR 1.00000000 2.50000000 EUR 2024-04-08 XXXX 5860.45000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 01N040645 3050000.00000000 PA USD 2857664.35000000 0.072876310794 Long ABS-MBS USGA US N 2 2054-04-15 Fixed 4.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -21456.67000000 -0.00054718915 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 971334.00000000 USD 30990896.94000000 TRY 2024-04-09 -21456.67000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 23000000.00000000 OU Notional Amount USD 350950.10000000 0.008949948429 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-05-31 0.00000000 USD 0.00000000 USD 23000000.00000000 USD 350950.10000000 N N N DLLAD LLC N/A 233258AB8 4460540.18000000 PA USD 4448290.20000000 0.113440537240 Long ABS-O CORP US N 2 2026-04-20 Fixed 5.19000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DJS0 1283.39000000 PA USD 1310.04000000 0.000033408710 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 5.50000000 N N N N N N CK HUTCHISON INTL 23 2549003AJI1YI8883K46 12570FAA9 2700000.00000000 PA USD 2680426.03000000 0.068356369572 Long DBT CORP KY N 2 2028-04-21 Fixed 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31283H6F7 9356.89000000 PA USD 9563.10000000 0.000243878693 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288H7A2 424.46000000 PA USD 429.43000000 0.000010951347 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 12648WAW2 7997531.26000000 PA USD 7008354.21000000 0.178727428070 Long ABS-MBS CORP US N 2 2036-10-27 Variable 5.73500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UUM2 53072.92000000 PA USD 52772.38000000 0.001345804088 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 5.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 1200000.00000000 OU Notional Amount USD 21596.40000000 0.000550752560 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Verizon Communications, Inc. Verizon Communications, Inc. Y sell protection 2028-12-20 0.00000000 USD -2680.56000000 USD 1200000.00000000 USD 24276.96000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385JRN0 1123.54000000 PA USD 1148.60000000 0.000029291659 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382YN90 7080607.38000000 PA USD 7092082.21000000 0.180862664054 Long ABS-MBS USGA US N 2 2073-01-20 Floating 6.21900000 N Y N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 62900000.00000000 OU Notional Amount USD 20611948.20000000 0.525647017676 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2052-12-21 11244653.52000000 USD 0.00000000 USD 62900000.00000000 USD 9367294.68000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M75R3 94975.34000000 PA USD 97069.83000000 0.002475480054 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EE48 2200770.86000000 PA USD 1970765.19000000 0.050258560452 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KDK95 11551.67000000 PA USD 11757.39000000 0.000299837595 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 5.50000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBV1 1500000.00000000 PA USD 1456125.78000000 0.037134198387 Long DBT CORP US N 2 2033-03-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DKG6 42528.52000000 PA USD 41260.61000000 0.001052230307 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AADC5 1550070.59000000 PA USD 1525484.94000000 0.038902999437 Long ABS-MBS USGA US N 2 2048-04-15 Fixed 5.00000000 N N N N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 00135TAD6 6700000.00000000 PA USD 6984513.09000000 0.178119430538 Long DBT CORP IE N 2 2029-09-13 Fixed 6.60800000 N N N N N N WRKCo Inc 549300JEB576INN13W07 92940PAB0 14700000.00000000 PA USD 14516037.14000000 0.370188764161 Long DBT CORP US N 2 2026-03-15 Fixed 4.65000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -4498.14000000 -0.00011471180 N/A DFE GB N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 1344901.19000000 USD 1062000.00000000 GBP 2024-04-02 -4498.14000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -1588.00000000 NC USD -1596802.64000000 -0.04072174727 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Ultra 10-Year U.S. Treasury Notes Futures UXYM4 Comdty 2024-06-18 -180402884.86000000 USD -1596802.64000000 N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAJ6 7500000.00000000 PA USD 7694416.50000000 0.196223425691 Long DBT CORP GB N 2 2027-10-18 Fixed 6.55700000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACA3 13500000.00000000 PA USD 11834726.27000000 0.301809829351 Long DBT CORP US N 2 2028-09-15 Fixed 2.10000000 N N N N N N Small Business Administration Participation Certs N/A 83162CSE4 370509.31000000 PA USD 370091.82000000 0.009438101607 Long ABS-O USGA US N 2 2028-12-01 Fixed 6.22000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7B88 15054.88000000 PA USD 15387.01000000 0.000392400361 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.50000000 N N N N N N CAIXABANK SA 7CUNS533WID6K7DGFI87 12803RAB0 6300000.00000000 PA USD 6436547.15000000 0.164145173503 Long DBT CORP ES N 2 2027-09-13 Fixed 6.68400000 N N N N N N Toro European CLO 635400B4VLIGNRNR9O61 000000000 15000000.00000000 PA 16024173.79000000 0.408649346568 Long ABS-CBDO CORP IE N 2 2034-02-15 Floating 4.71100000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 2447.93000000 0.000062427243 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 713078678.00000000 JPY 4735294.24000000 USD 2024-05-02 2447.93000000 N N N Qatar Government International Bonds 52990074F6OJOAXK4P65 000000000 1500000.00000000 PA USD 1456952.40000000 0.037155278895 Long DBT NUSS QA Y 2 2048-04-23 Fixed 5.10300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128NHK36 42632.96000000 PA USD 43078.93000000 0.001098601202 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 5.58500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5000000.00000000 OU Notional Amount -67663.84000000 -0.00172556690 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2024-08-10 0.00000000 EUR 0.00000000 EUR 5000000.00000000 EUR -67663.84000000 N N N BMW Vehicle Lease Trust N/A 055979AB4 6818241.20000000 PA USD 6826206.27000000 0.174082281454 Long ABS-O CORP US N 2 2025-08-25 Fixed 5.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWEG4 6472173.48000000 PA USD 5573179.00000000 0.142127512251 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -2010.19000000 -0.00005126397 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 418605.00000000 USD 13514243.82000000 TRY 2024-04-04 -2010.19000000 N N N Ford Credit Auto Lease Trust N/A 345290AE0 1400000.00000000 PA USD 1394693.30000000 0.035567543960 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.05000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308HM2 2700000.00000000 PA USD 2630132.86000000 0.067073790431 Long DBT CORP US N 2 2025-06-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406ABY7 34843.49000000 PA USD 35566.34000000 0.000907014726 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWD67 6517111.98000000 PA USD 5611898.68000000 0.143114943624 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 3.00000000 N N N N N N Bear Stearns Alt-A Trust N/A 073868AV3 1467343.29000000 PA USD 806558.55000000 0.020568899760 Long ABS-MBS CORP US N 2 2036-11-25 Variable 4.33300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410UK68 13698.16000000 PA USD 13722.77000000 0.000349958822 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 7.35500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 313920ZH6 21519.40000000 PA USD 21492.72000000 0.000548108507 Long ABS-MBS USGSE US N 2 2031-09-18 Floating 5.83300000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 46250000.00000000 OU Notional Amount -68353.24000000 -0.00174314802 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2032-06-01 0.00000000 CAD -480516.49000000 CAD 46250000.00000000 CAD 291565.66000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 2695.03000000 0.000068728800 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 2034562.06000000 BRL 408358.00000000 USD 2024-04-02 2695.03000000 N N N WAMU Mortgage Pass-Through Certificates N/A 92922FH84 3532056.93000000 PA USD 3364758.58000000 0.085808255270 Long ABS-MBS CORP US N 2 2045-02-25 Floating 5.94400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RH3 116300000.00000000 PA USD 95247883.39000000 2.429016673151 Long DBT UST US N 2 2044-08-15 Fixed 3.12500000 N N N N N N MidOcean Credit CLO 549300EKSLXKVD2RWW61 59863KAS6 2657012.10000000 PA USD 2657014.76000000 0.067759334099 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 6.61100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBRJ9 268726.20000000 PA USD 257323.07000000 0.006562266846 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410QD40 3580.35000000 PA USD 3662.76000000 0.000093407903 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.00000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86359LPF0 137292.48000000 PA USD 127881.36000000 0.003261237358 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.94100000 N N N N N N MMAF Equipment Finance LLC N/A 55318CAB0 7800000.00000000 PA USD 7778557.80000000 0.198369201674 Long ABS-O CORP US N 2 2027-09-13 Fixed 5.20000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -12036.58000000 -0.00030695751 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 5031424.36000000 USD 7696169.00000000 AUD 2024-05-02 -12036.58000000 N N N Towd Point Mortgage Funding N/A 000000000 6878334.00000000 PA 8685594.01000000 0.221500488153 Long ABS-MBS CORP GB N 2 2045-07-20 Floating 6.57200000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAE6 1675000.00000000 PA USD 1643808.47000000 0.041920492497 Long DBT CORP US N 2 2025-05-22 Fixed 3.75000000 N N N N N N KOREA DEVELOPMENT BANK 549300ML2LNRZUCS7149 500630DY1 1700000.00000000 PA USD 1704937.94000000 0.043479419547 Long DBT NUSS KR N 2 2026-10-23 Floating 6.05000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5ZZ6 2483.20000000 PA USD 2537.95000000 0.000064722938 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 45262BAC7 12800000.00000000 PA USD 12005521.54000000 0.306165459563 Long DBT CORP GB N 2 2029-07-26 Fixed 3.87500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1650.76000000 -0.00004209777 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1391054.16000000 USD 46462600.00000000 TRY 2024-04-29 -1650.76000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 635.83000000 0.000016214971 N/A DFE TR N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 535042.57000000 USD 18504447.28000000 TRY 2024-05-28 635.83000000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BH0 9900000.00000000 PA USD 9950099.05000000 0.253747964067 Long DBT CORP CH N 2 2035-02-08 Fixed 5.69900000 N N N N N N INTL FLAVOR & FRAGRANCES BZLRL03D3GPGMOGFO832 459506AQ4 7000000.00000000 PA USD 5815216.89000000 0.148299975611 Long DBT CORP US N 2 2030-11-01 Fixed 2.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402YGE8 5212.87000000 PA USD 5240.18000000 0.000133635353 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 112100000.00000000 OU Notional Amount -239298.65000000 -0.00610260711 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2024-06-14 0.00000000 NZD -65197.11000000 NZD 112100000.00000000 NZD -189304.89000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416PFG7 78.43000000 PA USD 78.09000000 0.000001991455 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 6200000.00000000 OU Notional Amount 12695.47000000 0.000323760562 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 ROLLS-ROYCE PLC ROLLS-ROYCE PLC Y sell protection 2024-06-20 0.00000000 EUR -22241.26000000 EUR 6200000.00000000 EUR 69813.24000000 N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAH6 3000000.00000000 PA USD 2823719.28000000 0.072010641783 Long DBT CORP GB N 2 2025-09-02 Fixed 1.20000000 N N N N N N Galaxy CLO Ltd 549300BW4412X0TZDD77 36320WAL0 2930556.17000000 PA USD 2932979.74000000 0.074797007942 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.59900000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 69500000.00000000 OU Notional Amount USD -12794.95000000 -0.00032629750 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2024-10-18 0.00000000 USD 0.00000000 USD 69500000.00000000 USD -12794.95000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382Y3J0 8028040.04000000 PA USD 8034321.18000000 0.204891693222 Long ABS-MBS USGA US N 2 2073-03-20 Floating 6.19900000 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBW4 2700000.00000000 PA USD 2750156.85000000 0.070134648715 Long DBT CORP CA N 2 2026-11-15 Fixed 5.90000000 N N N N N N Countrywide Asset-Backed Certificates N/A 23243LAA0 2127002.06000000 PA USD 1972531.94000000 0.050303616207 Long ABS-O CORP US N 2 2037-02-25 Floating 5.72400000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -165172.39000000 -0.00421223522 N/A DFE BR N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 5929889.75000000 USD 28912363.45000000 BRL 2024-04-02 -165172.39000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3500000.00000000 OU Notional Amount USD -29079.40000000 -0.00074158443 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-12-19 0.00000000 USD 0.00000000 USD 3500000.00000000 USD -29079.40000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCK0 4500000.00000000 PA USD 4447737.50000000 0.113426442255 Long DBT CORP US N 2 2025-06-23 Fixed 0.96900000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1300000.00000000 OU Notional Amount USD -198.33000000 -0.00000505782 N/A DCR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y sell protection 2027-06-20 0.00000000 USD -30896.44000000 USD 1300000.00000000 USD 30698.11000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417AKJ7 2754.72000000 PA USD 2658.63000000 0.000067800526 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A8WX0 8668.94000000 PA USD 8530.21000000 0.000217537876 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4.00000000 N N N N N N Home Equity Loan Trust N/A 43710XAD0 5015651.26000000 PA USD 4841405.03000000 0.123465772894 Long ABS-O CORP US N 2 2037-04-25 Floating 5.67400000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CBB9 5000000.00000000 PA USD 5033187.30000000 0.128356614715 Long DBT CORP US N 2 2025-11-30 Fixed 5.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390STH4 89717.87000000 PA USD 89388.61000000 0.002279593166 Long ABS-MBS USGSE US N 2 2042-07-01 Floating 6.28100000 N N N N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6B8 3100000.00000000 PA USD 3114501.30000000 0.079426180582 Long DBT CORP US N 2 2025-08-01 Fixed 5.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XDR85 151147.98000000 PA USD 145849.61000000 0.003719464641 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -2191.32000000 -0.00005588316 N/A DFE TR N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 851962.00000000 USD 29097910.15000000 TRY 2024-05-20 -2191.32000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810QU5 15800000.00000000 PA USD 13221390.70000000 0.337172620635 Long DBT UST US N 2 2042-02-15 Fixed 3.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414AWK4 2541.69000000 PA USD 2594.53000000 0.000066165844 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.50000000 N N N N N N Credit Suisse First Boston Mortgage Securities N/A 22540VK43 20170.78000000 PA USD 18662.90000000 0.000475942285 Long ABS-MBS CORP US N 2 2032-03-25 Variable 6.06500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407JEZ1 5747.59000000 PA USD 5953.75000000 0.000151832854 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 15712.73000000 0.000400706890 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 6413474.00000000 AUD 4195053.34000000 USD 2024-04-02 15712.73000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 -5300000.00000000 NC -9674.64000000 -0.00024672319 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 5300000.00000000 OU Notional Amount N/A -9674.64000000 0.00000000 DIR US N/A N/A 2029-04-24 0.00000000 N/A 0.00000000 N/A 5300000.00000000 EUR 1.00000000 2.56000000 EUR 2024-04-22 XXXX -1547.19000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418SSR1 9809.65000000 PA USD 9779.69000000 0.000249402183 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N CONSUMERS 23 SECURE FUND N/A 21071BAB1 7700000.00000000 PA USD 7796215.43000000 0.198819507509 Long DBT CORP US N 2 2030-09-01 Fixed 5.21000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31349UEJ3 16280.76000000 PA USD 16673.77000000 0.000425215384 Long ABS-MBS USGSE US N 2 2034-11-01 Floating 6.37500000 N N N N N N New York State Urban Development Corp 54930039Y2EMGXN6LM88 650036AU0 8100000.00000000 PA USD 7571377.80000000 0.193085686110 Long DBT MUN US N 2 2026-03-15 Fixed 1.34600000 N N N N N N DSLA Mortgage Loan Trust N/A 23332UBF0 145771.96000000 PA USD 132556.42000000 0.003380460991 Long ABS-MBS CORP US N 2 2044-07-19 Variable 6.14300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5NM8 18901.44000000 PA USD 19318.26000000 0.000492655311 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.50000000 N N N N N N Flagship Credit Auto Trust N/A 33844XAE8 9062868.45000000 PA USD 8995454.30000000 0.229402562026 Long ABS-O CORP US N 2 2026-12-15 Fixed 4.03000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YMK0 17422.73000000 PA USD 16941.10000000 0.000432032848 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8640000000.00000000 OU Notional Amount -322901.31000000 -0.00823464666 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-06-18 154288643.00000000 JPY 0.00000000 JPY 8640000000.00000000 JPY -1818393.22000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ET67 1045315.14000000 PA USD 1040044.82000000 0.026523279244 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 5.50000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBQ4 5000000.00000000 PA USD 5045734.85000000 0.128676603014 Long DBT CORP FR N 2 2027-01-12 Fixed 6.44700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385XAS6 4754.05000000 PA USD 4852.96000000 0.000123760448 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8Y24 25443.66000000 PA USD 26004.98000000 0.000663180406 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412RBR7 128741.49000000 PA USD 131420.51000000 0.003351492953 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912834LB2 21300000.00000000 PA USD 9293993.22000000 0.237015917709 Long DBT UST US N 2 2042-02-15 None 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 35800000.00000000 OU Notional Amount USD 260083.42000000 0.006632661441 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-12-18 25906.31000000 USD 0.00000000 USD 35800000.00000000 USD 234177.11000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 15600000.00000000 OU Notional Amount USD -161215.08000000 -0.00411131568 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2024-11-22 0.00000000 USD 0.00000000 USD 15600000.00000000 USD -161215.08000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617LC4N5 1891706.07000000 PA USD 1671341.72000000 0.042622646928 Long ABS-MBS USGA US N 2 2049-11-15 Fixed 3.00000000 N N N N N N Venture CDO Ltd 549300JZGSLL2771YV05 92331LBC3 11342269.40000000 PA USD 11329906.33000000 0.288935883941 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.62900000 N N N N N N Realty Income Corp 549300CUWDAUZSH43859 756109AV6 10700000.00000000 PA USD 10535248.25000000 0.268670470610 Long DBT US N 2 2025-04-15 Fixed 3.87500000 N N N N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759BB5 3800000.00000000 PA USD 3805933.59000000 0.097059124234 Long DBT CORP US N 2 2029-04-01 Fixed 4.87500000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -696.08000000 -0.00001775146 N/A DFE TW N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 23024.00000000 USD 708103.00000000 TWD 2024-06-20 -696.08000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 152400000.00000000 OU Notional Amount -700507.82000000 -0.01786438830 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-06-21 0.00000000 CAD -1526521.22000000 CAD 152400000.00000000 CAD 473460.07000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397C35 3190000.00000000 PA USD 3345583.03000000 0.085319239357 Long DBT CORP US N 2 2027-11-04 Fixed 7.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417VY64 3951.06000000 PA USD 3875.45000000 0.000098831935 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.50000000 N N N N N N PRKCM Trust N/A 69377TAA4 6723820.86000000 PA USD 6620881.85000000 0.168846086991 Long ABS-MBS CORP US N 2 2057-08-25 Variable 5.33500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31401V5J6 3759.33000000 PA USD 3837.33000000 0.000097859797 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.50000000 N N N N N N TCW CLO N/A 87240UAR1 9775367.94000000 PA USD 9776110.87000000 0.249310908092 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 6.55600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5B33 21633.36000000 PA USD 22110.43000000 0.000563861381 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RHT9 50672.33000000 PA USD 50324.96000000 0.001283389851 Long ABS-MBS USGSE US N 2 2042-08-01 Floating 6.28100000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAY5 500000.00000000 PA USD 439966.34000000 0.011220045395 Long DBT CORP JP N 2 2028-07-14 Fixed 2.17200000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 07387UBT7 703255.60000000 PA USD 697915.71000000 0.017798284179 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.03600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406BQQ6 13945.92000000 PA USD 14207.43000000 0.000362318648 Long ABS-MBS USGSE US N 2 2035-01-01 Floating 5.91500000 N N N N N N JDE PEET'S NV 724500EHG519SE5ZRT89 000000000 2200000.00000000 PA 2464307.22000000 0.062844895992 Long DBT CORP NL Y 2 2034-01-23 Fixed 4.50000000 N N N N N N COLUMBIA PIPELINES OPCO N/A 19828TAA4 3000000.00000000 PA USD 3077913.03000000 0.078493104542 Long DBT CORP US N 2 2030-08-15 Fixed 5.92700000 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06368D8Z0 8950000.00000000 PA USD 8905218.50000000 0.227101363775 Long DBT CORP CA N 2 2028-06-28 Fixed 4.68900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6NA2 4849.71000000 PA USD 4956.64000000 0.000126404501 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 3856.72000000 0.000098354282 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 215507.88000000 USD 7453555.54000000 TRY 2024-05-13 3856.72000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SP4 34100000.00000000 PA USD 18007730.55000000 0.459234118331 Long DBT UST US N 2 2050-08-15 Fixed 1.37500000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397B51 2685000.00000000 PA USD 2427392.37000000 0.061903491491 Long DBT CORP US N 2 2028-02-16 Fixed 2.90000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAR6 7500000.00000000 PA USD 7846559.33000000 0.200103380370 Long DBT CORP FR N 2 2029-10-19 Fixed 6.71400000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAS8 9600000.00000000 PA USD 8225190.24000000 0.209759246313 Long DBT CORP JP N 2 2030-07-16 Fixed 2.67900000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 400000.00000000 OU Notional Amount USD -61.02000000 -0.00000155613 N/A DCR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y sell protection 2027-06-20 0.00000000 USD -8903.98000000 USD 400000.00000000 USD 8842.96000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6RH3 20600.44000000 PA USD 21054.89000000 0.000536942943 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.50000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AN8 7800000.00000000 PA USD 7908678.88000000 0.201687556493 Long DBT CORP GB N 2 2035-03-01 Fixed 5.77800000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 -2200000.00000000 NC -7270.06000000 -0.00018540146 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 2200000.00000000 OU Notional Amount N/A -7270.06000000 0.00000000 DIR US N/A N/A 2034-04-29 0.00000000 N/A 0.00000000 N/A 2200000.00000000 EUR 1.00000000 2.48000000 EUR 2024-04-25 XXXX -1029.89000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371L5Q8 213.52000000 PA USD 211.43000000 0.000005391899 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297D6G8 12479.92000000 PA USD 12754.41000000 0.000325263653 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416CE28 100.89000000 PA USD 100.46000000 0.000002561936 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.50000000 N N N N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 22535WAH0 4000000.00000000 PA USD 3706930.32000000 0.094534337488 Long DBT CORP FR N 2 2027-01-26 Fixed 1.24700000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CT4 1400000.00000000 PA USD 1174449.05000000 0.029950863186 Long DBT CORP GB N 2 2032-05-24 Fixed 2.80400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410G4B6 125275.44000000 PA USD 129787.46000000 0.003309846823 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A7VK4 12151.10000000 PA USD 11953.88000000 0.000304848494 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CKU7 150833.41000000 PA USD 145133.59000000 0.003701204660 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 3.50000000 N N N N N N Elmwood CLO VII Ltd. N/A 29002QAJ8 5000000.00000000 PA USD 5014930.00000000 0.127891016063 Long ABS-CBDO CORP KY N 2 2034-01-17 Floating 6.94700000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 780082AQ6 1300000.00000000 PA USD 1298260.35000000 0.033108305654 Long DBT CORP CA N 2 2026-12-14 Fixed 4.85100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5VU1 501.40000000 PA USD 512.46000000 0.000013068782 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EK2C8 144.96000000 PA USD 143.81000000 0.000003667450 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 4.50000000 N N N N N N GSAA Home Equity Trust N/A 36242DZQ9 36731.85000000 PA USD 36347.10000000 0.000926925709 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.10400000 N N N N N N Banco Espirito Santo SA 635400JV7IJL16OWIT96 000000000 1700000.00000000 PA 513532.55000000 0.013096134861 Long DBT CORP PT Y 2 2017-05-08 None 0.00000000 Y N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEZ0 18148401.00000000 PA USD 16456100.72000000 0.419664370495 Long DBT UST US N 2 2032-07-15 Fixed 0.62500000 N N N N N N 1211 Avenue of the Americas Trust N/A 90117PAA3 12100000.00000000 PA USD 11630807.98000000 0.296609494091 Long ABS-MBS CORP US N 2 2035-08-10 Fixed 3.90100000 N N N N N N GS Mortgage Securities Trust N/A 36257CAA5 8623773.15000000 PA USD 6039659.53000000 0.154023723954 Long ABS-MBS CORP US N 2 2034-05-10 Fixed 2.85600000 N N N N N N Liberty Street Trust N/A 902055AA0 11600000.00000000 PA USD 10749677.08000000 0.274138846229 Long ABS-MBS CORP US N 2 2036-02-10 Fixed 3.59700000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 46.91000000 0.000001196301 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 590332.49000000 ZAR 31176.13000000 USD 2024-04-19 46.91000000 N N N Park Place Securities Inc N/A 70069FKG1 3954123.31000000 PA USD 3842137.00000000 0.097982385554 Long ABS-O CORP US N 2 2035-09-25 Floating 6.17900000 N N N N N N Ally Auto Receivables Trust N/A 02007WAB4 6509110.92000000 PA USD 6514513.48000000 0.166133475067 Long ABS-O CORP US N 2 2026-11-15 Fixed 5.76000000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VAZ4 12500000.00000000 PA USD 11691693.00000000 0.298162187164 Long DBT US N 2 2027-03-15 Fixed 2.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406XDV1 14.35000000 PA USD 14.43000000 0.000000367994 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CEE2 1863.05000000 PA USD 1817.18000000 0.000046341822 Long ABS-MBS USGA US N 2 2027-11-20 Floating 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSYM7 393420.64000000 PA USD 391437.01000000 0.009982447797 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417SX39 846.54000000 PA USD 842.69000000 0.000021490325 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.50000000 N N N N N N Adjustable Rate Mortgage Trust N/A 007036QH2 120439.92000000 PA USD 84251.52000000 0.002148586819 Long ABS-MBS CORP US N 2 2035-11-25 Variable 4.52300000 N N N N N N ReadyCap Commercial Mortgage Trust N/A 75575RAA5 1282824.97000000 PA USD 1283592.10000000 0.032734235149 Long ABS-CBDO CORP US N 2 2039-10-25 Floating 7.70300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376KTH9 2116.89000000 PA USD 2192.62000000 0.000055916313 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SG4 2695968.00000000 PA USD 2111548.59000000 0.053848826333 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CMM5 2263.40000000 PA USD 2214.39000000 0.000056471493 Long ABS-MBS USGA US N 2 2030-01-20 Floating 3.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CPA8 2269.71000000 PA USD 2231.04000000 0.000056896102 Long ABS-MBS USGA US N 2 2030-06-20 Floating 3.87500000 N N N N N N ING Groep NV 549300NYKK9MWM7GGW15 45685NAA4 6800000.00000000 PA USD 6724598.34000000 0.171491070528 Long DBT CORP NL N 2 2026-01-06 Fixed 4.62500000 N N N N N N Citigroup Mortgage Loan Trust Inc 549300R1KUK063S4I339 17307GXQ6 46684.72000000 PA USD 45360.61000000 0.001156788729 Long ABS-MBS CORP US N 2 2035-09-25 Floating 6.23600000 N N N N N N Bear Stearns Alt-A Trust N/A 07386HVS7 361965.66000000 PA USD 212588.62000000 0.005421446483 Long ABS-MBS CORP US N 2 2035-09-25 Variable 4.87000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 25500000.00000000 OU Notional Amount USD 97920.00000000 0.002497161135 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-07-17 0.00000000 USD -2168.62000000 USD 25500000.00000000 USD 100088.62000000 N N N DBGS Mortgage Trust N/A 23307EAA9 12550000.00000000 PA USD 11035301.60000000 0.281422858184 Long ABS-MBS CORP US N 2 2037-04-10 Fixed 3.84300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DPM8 3907797.37000000 PA USD 3657030.81000000 0.093261797486 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DP79 94994.14000000 PA USD 96966.63000000 0.002472848242 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -979.74000000 -0.00002498538 N/A DFE CN N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 63166.31000000 USD 449017.71000000 CNY 2024-04-11 -979.74000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418MWY4 840.01000000 PA USD 846.59000000 0.000021589783 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -369.99000000 -0.00000943550 N/A DFE TH N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 25320.00000000 USD 909096.88000000 THB 2024-04-19 -369.99000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417KN94 47116.40000000 PA USD 45017.36000000 0.001148035149 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410F2H7 304.91000000 PA USD 311.25000000 0.000007937514 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1600000.00000000 OU Notional Amount USD 20868.16000000 0.000532180944 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2034-01-03 0.00000000 USD 0.00000000 USD 1600000.00000000 USD 20868.16000000 N N N IndyMac INDX Mortgage Loan Trust N/A 45661EAV6 3026430.83000000 PA USD 2618324.20000000 0.066772645345 Long ABS-MBS CORP US N 2 2046-05-25 Floating 5.86400000 N N N N N N COTIVITI CORPORATION N/A 000000000 3100000.00000000 PA USD 3105167.70000000 0.079188154610 Long LON CORP US N 2 2031-02-21 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406BEZ9 7965.86000000 PA USD 7977.18000000 0.000203434475 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 5.92000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RB6 83700000.00000000 PA USD 66505534.95000000 1.696027748868 Long DBT UST US N 2 2043-05-15 Fixed 2.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AN52 9545.73000000 PA USD 9361.59000000 0.000238739774 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -3600000.00000000 NC -4850.09000000 -0.00012368725 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 3600000.00000000 OU Notional Amount N/A -4850.09000000 0.00000000 DIR US N/A N/A 2029-05-02 0.00000000 N/A 0.00000000 N/A 3600000.00000000 EUR 1.00000000 2.48000000 EUR 2024-04-29 XXXX 413.05000000 N N N DOLP Trust N/A 23345LAA7 13200000.00000000 PA USD 11075300.28000000 0.282442906685 Long ABS-MBS CORP US N 2 2041-05-10 Fixed 2.95600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128QLPS4 32919.42000000 PA USD 33238.67000000 0.000847654359 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.26900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292JBM1 5596.08000000 PA USD 5474.70000000 0.000139616095 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405DH59 5141.44000000 PA USD 5248.06000000 0.000133836309 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5.50000000 N N N N N N NYKREDIT REALKREDIT AS LIU16F6VZJSD6UKHD557 000000000 1.91000000 PA 0.21000000 0.000000005355 Long DBT CORP DK Y 2 2052-10-01 Fixed 1.50000000 N N N N N N FRESENIUS MED CARE III 5299006ZHLMXOOUVTU44 35805BAC2 12100000.00000000 PA USD 10947551.47000000 0.279185049623 Long DBT CORP US N 2 2026-12-01 Fixed 1.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CCW4 835.69000000 PA USD 830.62000000 0.000021182516 Long ABS-MBS USGA US N 2 2027-06-20 Floating 3.87500000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -3200000.00000000 NC USD -2873.73000000 -0.00007328601 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 3200000.00000000 OU Notional Amount N/A -2873.73000000 0.00000000 DIR US N/A N/A 2034-04-22 0.00000000 N/A 0.00000000 N/A 3200000.00000000 USD 1.00000000 4.08500000 USD 2024-04-18 XXXX 9766.27000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPXK8 6553502.89000000 PA USD 5644799.36000000 0.143953978545 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418UC69 2700.51000000 PA USD 2675.85000000 0.000068239671 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.50000000 N N N N N N 10 RENEW POWER SUBSIDIAR N/A 75973PAA7 13100000.00000000 PA USD 11982960.38000000 0.305590103640 Long DBT CORP IN N 2 2028-07-14 Fixed 4.50000000 N N N N N N Chase Mortgage Finance Corporation N/A 16163CAN2 818147.48000000 PA USD 647723.76000000 0.016518286355 Long ABS-MBS CORP US N 2 2036-09-25 Variable 4.36500000 N N N N N N GOODMAN US FIN THREE N/A 38239JAA9 10800000.00000000 PA USD 10022648.72000000 0.255598129675 Long DBT US N 2 2028-03-15 Fixed 3.70000000 N N N N N N VOLKSWAGEN BANK GMBH 529900GJD3OQLRZCKW37 000000000 2000000.00000000 PA 2095842.87000000 0.053448298212 Long DBT CORP DE Y 2 2026-07-31 Fixed 2.50000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 104500000.00000000 PA 6078405.67000000 0.155011830112 Long DBT NUSS MX N 2 2029-03-01 Fixed 8.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B7VG0 1599049.33000000 PA USD 1431150.27000000 0.036497271581 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382YNR0 3979051.43000000 PA USD 3874595.36000000 0.098810140406 Long ABS-MBS USGA US N 2 2072-01-20 Floating 5.81900000 N Y N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CU38 3615.44000000 PA USD 3567.85000000 0.000090987503 Long ABS-MBS USGA US N 2 2032-05-20 Floating 3.87500000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAG0 3000000.00000000 PA USD 2952069.99000000 0.075283848530 Long DBT CORP IE N 2 2025-10-01 Fixed 4.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JPME2 4853507.33000000 PA USD 4644584.27000000 0.118446439229 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.50000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MBD6 4900000.00000000 PA USD 4980189.28000000 0.127005056343 Long DBT CORP IE N 2 2027-01-15 Fixed 6.10000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAS0 12400000.00000000 PA USD 11651150.73000000 0.297128276002 Long DBT CORP US N 2 2032-11-15 Fixed 4.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376RZX7 4042324.54000000 PA USD 4033296.41000000 0.102857343165 Long ABS-MBS USGA US N 2 2066-09-20 Floating 6.29400000 N N N N N N Citimortgage Alternative Loan Trust N/A 18974BAE9 3577996.61000000 PA USD 2835622.07000000 0.072314187377 Long ABS-MBS CORP US N 2 2036-10-25 Floating 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GPF4 65240.06000000 PA USD 66596.62000000 0.001698350604 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DDA7 241352.52000000 PA USD 230960.36000000 0.005889963590 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297USC5 8150.86000000 PA USD 8330.50000000 0.000212444861 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412PPU9 22536.30000000 PA USD 22101.98000000 0.000563645889 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N AMERICAN HONDA FINANCE B6Q2VFHD1797Q7NZ3E43 02665WEN7 11700000.00000000 PA USD 11707528.95000000 0.298566036417 Long DBT CORP US N 2 2024-06-07 Floating 5.94700000 N N N N N N Bear Stearns Structured Products Inc. N/A 07402FAA3 289233.72000000 PA USD 211544.27000000 0.005394813413 Long ABS-MBS CORP US N 2 2036-01-26 Variable 5.11500000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 207.00000000 NC USD -16643.36000000 -0.00042443986 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year U.S. Treasury Notes Futures TUM4 Comdty 2024-06-28 42344909.19000000 USD -16643.36000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 14000000.00000000 PA USD 14000000.00000000 0.357028757110 Long RA CORP US N 2 Repurchase N 5.43000000 2024-04-01 15441000.00000000 USD 14320460.00000000 USD UST N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAG0 9000000.00000000 PA USD 8978545.98000000 0.228971365135 Long DBT CORP US N 2 2027-06-30 Fixed 5.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31349ULB2 13221.59000000 PA USD 13524.56000000 0.000344904060 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.48200000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CDX6 18354765.00000000 PA USD 16033353.25000000 0.408883441654 Long DBT UST US N 2 2032-01-15 Fixed 0.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414LB98 3625.77000000 PA USD 3701.15000000 0.000094386927 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHY8 5900000.00000000 PA USD 5715759.28000000 0.145763602262 Long DBT CORP US N 2 2026-02-13 Fixed 2.01500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 22900000.00000000 OU Notional Amount USD -1606238.06000000 -0.04096236987 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-04-22 0.00000000 USD 0.00000000 USD 22900000.00000000 USD -1606238.06000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 41800000.00000000 OU Notional Amount -538134.60000000 -0.01372353767 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-06-15 0.00000000 NZD -598017.47000000 NZD 41800000.00000000 NZD -154123.40000000 N N N Onslow Bay Financial LLC N/A 67112FAD2 4660727.06000000 PA USD 4476784.01000000 0.114167187924 Long ABS-MBS CORP US N 2 2057-06-25 Floating 6.09400000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -2100000.00000000 NC -799.79000000 -0.00002039628 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 2100000.00000000 OU Notional Amount N/A -799.79000000 0.00000000 DIR US N/A N/A 2034-04-22 0.00000000 N/A 0.00000000 N/A 2100000.00000000 EUR 1.00000000 2.85000000 EUR 2024-04-18 XXXX 5443.16000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 3100000.00000000 OU Notional Amount USD -47490.39000000 -0.00121110249 N/A DCR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 REPUBLIC OF SOUTH AFRICA REPUBLIC OF SOUTH AFRICA Y sell protection 2026-12-20 0.00000000 USD -82949.02000000 USD 3100000.00000000 USD 35458.63000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617YD2W1 6634486.54000000 PA USD 6233303.52000000 0.158962043459 Long ABS-MBS USGA US N 2 2052-03-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LBU97 847.23000000 PA USD 863.76000000 0.000022027654 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N Marathon Static CLO Ltd N/A 56586PAW8 4100000.00000000 PA USD 4100000.00000000 0.104558421725 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.48300000 N N N N N N AMER AIRLN 14-1 A PTT N/A 02377AAA6 2482291.64000000 PA USD 2381085.38000000 0.060722568128 Long DBT CORP US N 2 2026-10-01 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RH69 24790.00000000 PA USD 24466.26000000 0.000623939885 Long ABS-MBS USGSE US N 2 2044-10-01 Floating 6.28100000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QC5 15100000.00000000 PA USD 15471011.68000000 0.394542576524 Long DBT UST US N 2 2039-08-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QWA5 83860.30000000 PA USD 85602.23000000 0.002183032698 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSSK8 3214810.27000000 PA USD 3198601.16000000 0.081570899760 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828H45 14971965.00000000 PA USD 14716079.60000000 0.375290257794 Long DBT UST US N 2 2025-01-15 Fixed 0.25000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CV9 4700000.00000000 PA USD 4693175.69000000 0.119685620250 Long DBT CORP DE N 2 2028-02-08 Fixed 5.70600000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDU7 7900000.00000000 PA USD 7958688.78000000 0.202962911667 Long DBT CORP US N 2 2029-07-24 Fixed 5.29900000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -22782.40000000 -0.00058099799 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 50383898.96000000 BRL 10023056.21000000 USD 2024-04-02 -22782.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406VHE9 13000.91000000 PA USD 13328.41000000 0.000339901832 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418PKB0 302.02000000 PA USD 299.57000000 0.000007639650 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N AIR CANADA 2017-1AA PTT N/A 00908PAA5 933919.99000000 PA USD 845199.65000000 0.021554327182 Long DBT CORP CA N 2 2030-01-15 Fixed 3.30000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVX9 7500000.00000000 PA USD 7725240.00000000 0.197009488255 Long DBT CORP US N 2 2027-10-28 Floating 7.33100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LXA42 18335.22000000 PA USD 17942.22000000 0.000457563464 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 4.50000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JP3 10900000.00000000 PA USD 10478914.80000000 0.267233851922 Long DBT CORP US N 2 2026-01-01 Fixed 3.15000000 N N N N N N Anchorage Capital CLO LTD 54930064GO7DB3TVDY21 03328QBL4 9800000.00000000 PA USD 9801724.80000000 0.249964115920 Long ABS-CBDO CORP KY N 2 2034-04-22 Floating 1.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YSY4 708.00000000 PA USD 688.64000000 0.000017561734 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810ST6 62400000.00000000 PA USD 40126125.31000000 1.023298617648 Long DBT UST US N 2 2040-11-15 Fixed 1.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9VC8 5368.59000000 PA USD 5154.08000000 0.000131439626 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.50000000 N N N N N N BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 000000000 49800000.00000000 NC USD 21459.32000000 0.000547256739 N/A DIR US N 2 BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 Put Purchased BNP Paribas SA R0MUWSFPU8MPRO8K5P83 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 N/A 49800000.00000000 OU Notional Amount N/A 21459.32000000 0.00000000 DIR US N/A N/A 2025-05-30 0.00000000 N/A 0.00000000 N/A 49800000.00000000 USD 1.00000000 5.05000000 USD 2024-05-28 XXXX -35810.68000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4AZ6 212.41000000 PA USD 217.09000000 0.000005536240 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.50000000 N N N N N N GS Mortgage-Backed Securities Trust N/A 36267BAB3 13476366.33000000 PA USD 11240111.58000000 0.286645933370 Long ABS-MBS CORP US N 2 2052-08-26 Variable 3.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 14280000.00000000 OU Notional Amount USD 15835.38000000 0.000403834717 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 REPUBLIC OF SOUTH AFRICA REPUBLIC OF SOUTH AFRICA Y sell protection 2024-06-20 0.00000000 USD -24922.36000000 USD 14280000.00000000 USD 40757.74000000 N N N Nelnet Student Loan Trust N/A 64032PAB8 3262233.54000000 PA USD 3272787.52000000 0.083462804325 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBK1 2900000.00000000 PA USD 2712053.49000000 0.069162934767 Long DBT US N 2 2025-09-15 Fixed 1.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -30507.48000000 -0.00077800340 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1088859.00000000 USD 35262698.72000000 TRY 2024-04-26 -30507.48000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HNQ2 656475.88000000 PA USD 670146.30000000 0.017090107183 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.50000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DV8 7500000.00000000 PA USD 7903990.50000000 0.201567993173 Long DBT CORP GB N 2 2034-03-09 Fixed 6.25400000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 11193.73000000 0.000285463107 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 625490.00000000 USD 21633197.14000000 TRY 2024-05-13 11193.73000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ADYF9 51665.26000000 PA USD 49600.17000000 0.001264906217 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 3.50000000 N N N N N N Residential Asset Securities Corporation N/A 76110WRS7 468898.29000000 PA USD 437394.28000000 0.011154452582 Long ABS-MBS CORP US N 2 2033-06-25 Floating 6.02400000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 86361PAJ5 5039337.68000000 PA USD 2303441.44000000 0.058742488171 Long ABS-MBS CORP US N 2 2036-10-25 Variable 4.99300000 N N N N N N FHLMC Structured Pass Through Securities S6XOOCT0IEG5ABCC6L87 31395M2F5 25681.12000000 PA USD 24526.42000000 0.000625474089 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 6.28900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M55N6 12159.37000000 PA USD 12427.53000000 0.000316927542 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N BLUE OWL FINANCE LLC 254900OF2NO2GYFV5T41 09581JAA4 13000000.00000000 PA USD 10884843.32000000 0.277585862991 Long DBT CORP US N 2 2031-06-10 Fixed 3.12500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -5374.36000000 -0.00013705721 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1207745.00000000 USD 41035551.87000000 TRY 2024-05-17 -5374.36000000 N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 2792.90000000 0.000071224686 N/A DFE TR N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 77617.00000000 USD 3760931.74000000 TRY 2025-03-12 2792.90000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JVPM8 2270044.90000000 PA USD 1978866.60000000 0.050465163048 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NLQZ5 889425.83000000 PA USD 873078.09000000 0.022265284666 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N Countrywide Alternative Loan Trust 549300WJBLP6N8ETXD40 02147HAF9 4290033.23000000 PA USD 3542340.93000000 0.090336969964 Long ABS-MBS CORP US N 2 2046-06-25 Floating 5.96400000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 29638.74000000 0.000755848750 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 1329000.00000000 GBP 1707035.78000000 USD 2024-04-02 29638.74000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BN61 35755.23000000 PA USD 36497.72000000 0.000930766829 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B9Z56 5744546.46000000 PA USD 4944359.06000000 0.126091312135 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756CH1 7800000.00000000 PA USD 7713867.95000000 0.196719477621 Long DBT NUSS BR N 2 2034-03-15 Fixed 6.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KZ35 15666.89000000 PA USD 15813.43000000 0.000403274947 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 5.00000000 N N N N N N Morgan Stanley Capital Inc N/A 61748LAD4 152464.83000000 PA USD 127217.28000000 0.003244301954 Long ABS-O CORP US N 2 2036-06-25 Floating 5.74400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6ND6 15604.70000000 PA USD 15948.93000000 0.000406730475 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163NBK0 12646000.00000000 PA USD 11529963.94000000 0.294037763930 Long ABS-MBS CORP US N 2 2055-01-15 Variable 2.95500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YNW3 4413.00000000 PA USD 4339.76000000 0.000110672794 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10400000.00000000 OU Notional Amount USD 74184.24000000 0.001891850500 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-08-15 0.00000000 USD 0.00000000 USD 10400000.00000000 USD 74184.24000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 14114.24000000 0.000359942111 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 14819783.00000000 TWD 479775.41000000 USD 2024-05-20 14114.24000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419EZC6 20199.65000000 PA USD 19658.01000000 0.000501319634 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297VZW1 20089.81000000 PA USD 20384.92000000 0.000519857332 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9J78 767203.92000000 PA USD 784127.10000000 0.019996851709 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.50000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECE3 9300000.00000000 PA USD 10330037.87000000 0.263437184402 Long DBT CORP GB N 2 2033-11-02 Fixed 7.43700000 N N N N N N Dewolf Park clo, ltd N/A 25211AAE9 1466292.00000000 PA USD 1467028.08000000 0.037412229432 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 6.49600000 N N N N N N MEXICAN UDIBONOS 254900EGTWEU67VP6075 000000000 16233314.00000000 PA 903639.34000000 0.023044659316 Long DBT NUSS MX N 2 2034-08-24 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4XA6 10276.58000000 PA USD 10503.55000000 0.000267862100 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571900BB4 2600000.00000000 PA USD 2597528.34000000 0.066242308199 Long DBT CORP US N 2 2024-04-15 Fixed 3.60000000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668AT9 10900000.00000000 PA USD 10765944.72000000 0.274553704464 Long DBT CORP US N 2 2025-11-13 Fixed 4.62500000 N N N N N N GSAMP Trust N/A 3622MAAD3 2272676.92000000 PA USD 1078207.70000000 0.027496511074 Long ABS-O CORP US N 2 2036-12-25 Floating 5.61400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QR4E0 289842.62000000 PA USD 277026.97000000 0.007064756770 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 4.50000000 N N N N N N Madison Park Funding Ltd N/A 55820CAN5 8500000.00000000 PA USD 8501521.50000000 0.216806261049 Long ABS-CBDO CORP KY N 2 2030-10-18 Floating 6.48900000 N N N N N N Securitized Asset Backed Receivables LLC Trust N/A 813765AC8 6451093.94000000 PA USD 3400617.40000000 0.086722728837 Long ABS-O CORP US N 2 2036-05-25 Floating 5.94400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405RDJ2 179952.62000000 PA USD 181469.41000000 0.004627842707 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 6.06000000 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAR3 13100000.00000000 PA USD 9707087.69000000 0.247550675222 Long DBT US N 2 2033-11-15 Fixed 2.65000000 N N N N N N MEXICAN UDIBONOS 254900EGTWEU67VP6075 000000000 96344718.59000000 PA 5528237.87000000 0.140981421124 Long DBT NUSS MX N 2 2028-11-30 Fixed 4.00000000 N N N N N N Specialty Underwriting & Residential Finance N/A 84752EAD5 2393197.53000000 PA USD 1697590.98000000 0.043292056976 Long ABS-O CORP US N 2 2037-04-25 Floating 5.71400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414SXK4 1046.88000000 PA USD 1068.66000000 0.000027253025 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 46280.01000000 0.001180235317 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 38702277.11000000 BRL 7762968.03000000 USD 2024-04-02 46280.01000000 N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081GN1 4400000.00000000 PA USD 4352474.37000000 0.110997036762 Long DBT CORP US N 2 2028-05-15 Fixed 4.40000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACK1 5000000.00000000 PA USD 5022645.55000000 0.128087778437 Long DBT CORP US N 2 2025-07-11 Fixed 6.00000000 N N N N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAL8 12600000.00000000 PA USD 10280799.27000000 0.262181498962 Long DBT CORP US N 2 2031-08-15 Fixed 2.00000000 N N N N N N DAIMLER TRUCK FINAN NA 5493003HSDTSCZRXBA58 233853AV2 3200000.00000000 PA USD 3190958.59000000 0.081375998527 Long DBT CORP US N 2 2027-01-15 Fixed 5.00000000 N N N N N N GSAMP Trust N/A 36242DRX3 3772556.07000000 PA USD 3216341.34000000 0.082023310790 Long ABS-O CORP US N 2 2034-12-25 Floating 6.76400000 N N N N N N United Wholesale Mortgage LLC N/A 90355RAC6 15760093.49000000 PA USD 12626545.62000000 0.322002849236 Long ABS-MBS CORP US N 2 2051-11-25 Variable 2.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 4000000.00000000 OU Notional Amount USD 4762.80000000 0.000121461183 N/A DCR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Banco do Brasil SA Banco do Brasil SA Y sell protection 2024-12-20 0.00000000 USD -35447.62000000 USD 4000000.00000000 USD 40210.42000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31391XDM8 228163.89000000 PA USD 227561.14000000 0.005803276498 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 6.33100000 N N N N N N BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 000000000 -24900000.00000000 NC USD -2640.40000000 -0.00006733562 N/A DIR US N 2 BNP Paribas Suisse SA R0MUWSFPU8MPRO8K5P83 Call Written BNP Paribas SA R0MUWSFPU8MPRO8K5P83 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 N/A 24900000.00000000 OU Notional Amount N/A -2640.40000000 0.00000000 DIR US N/A N/A 2026-05-30 0.00000000 N/A 0.00000000 N/A 24900000.00000000 USD 1.00000000 3.35000000 USD 2024-05-28 XXXX 54629.60000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6WG9 2208712.81000000 PA USD 2257436.48000000 0.057569267193 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QY7 2800000.00000000 PA USD 2191546.87000000 0.055888946796 Long DBT UST US N 2 2042-11-15 Fixed 2.75000000 N N N N N N GS Mortgage Securities Trust N/A 36251XAS6 1202471.11000000 PA USD 1174043.49000000 0.029940520573 Long ABS-MBS CORP US N 2 2049-11-10 Variable 3.27800000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KF3 5000000.00000000 PA USD 5014370.70000000 0.127876752765 Long DBT CORP US N 2 2027-06-15 Fixed 5.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C4C5 32704.11000000 PA USD 31884.30000000 0.000813115142 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225CUU8 319.74000000 PA USD 317.02000000 0.000008084661 Long ABS-MBS USGA US N 2 2032-04-20 Floating 3.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296XX41 5460.94000000 PA USD 5494.06000000 0.000140109815 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 5.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 7000000.00000000 OU Notional Amount USD 1230495.00000000 0.031380150034 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 T-Mobile USA, Inc. T-Mobile USA, Inc. Y sell protection 2028-06-20 1018663.78000000 USD 0.00000000 USD 7000000.00000000 USD 211831.22000000 N N N Option One Mortgage Loan Trust N/A 68400DAA2 4011945.65000000 PA USD 2538624.00000000 0.064740126535 Long ABS-MBS CORP US N 2 2037-01-25 Floating 5.58400000 N N N N N N RBSSP Resecuritization Trust N/A 74930PAL8 2640379.28000000 PA USD 2584895.14000000 0.065920135649 Long ABS-MBS CORP US N 2 2036-06-27 Floating 5.03600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DSK6 41925.58000000 PA USD 43434.28000000 0.001107663357 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N Nelnet Student Loan Trust N/A 64032PAA0 3099121.86000000 PA USD 3099086.84000000 0.079033080190 Long ABS-O CORP US N 2 2041-02-20 Floating 7.51900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YCJ4 25808.21000000 PA USD 25168.79000000 0.000641855843 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388FNB5 47151.10000000 PA USD 46353.17000000 0.001182101048 Long ABS-MBS USGSE US N 2 2041-08-01 Floating 6.28100000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 -2200000.00000000 NC -3221.51000000 -0.00008215512 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 2200000.00000000 OU Notional Amount N/A -3221.51000000 0.00000000 DIR US N/A N/A 2034-04-29 0.00000000 N/A 0.00000000 N/A 2200000.00000000 EUR 1.00000000 2.77000000 EUR 2024-04-25 XXXX 3018.66000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417ACL1 24048.40000000 PA USD 23513.31000000 0.000599637703 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385W2D0 2250.89000000 PA USD 2299.50000000 0.000058641973 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6.00000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACB1 5900000.00000000 PA USD 5909614.58000000 0.150707310607 Long DBT CORP US N 2 2026-03-30 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RG5 18000000.00000000 PA USD 15359765.58000000 0.391705572466 Long DBT UST US N 2 2044-05-15 Fixed 3.37500000 N N N N N N UMBS, TBA N/A 01F022659 20600000.00000000 PA USD 17047613.64000000 0.434749164970 Long ABS-MBS USGSE US N 2 2054-05-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGSJ4 1076690.12000000 PA USD 1099117.92000000 0.028029764635 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -3700000.00000000 NC -591.13000000 -0.00001507502 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 3700000.00000000 OU Notional Amount N/A -591.13000000 0.00000000 DIR US N/A N/A 2029-04-10 0.00000000 N/A 0.00000000 N/A 3700000.00000000 EUR 1.00000000 2.85000000 EUR 2024-04-08 XXXX 6213.53000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 4667.67000000 0.000119035172 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 7960104.62000000 DKK 1157664.86000000 USD 2024-05-02 4667.67000000 N N N Long Beach Mortgage Loan Trust N/A 542514NT7 449992.14000000 PA USD 432419.86000000 0.011027594654 Long ABS-O CORP US N 2 2045-08-25 Floating 5.96400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GRN5 272458.89000000 PA USD 278124.68000000 0.007092750630 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406QVM6 1924.88000000 PA USD 1964.80000000 0.000050106435 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128LCUJ3 3830.08000000 PA USD 3914.59000000 0.000099830085 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418RR45 1486.70000000 PA USD 1474.19000000 0.000037594873 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 33403.17000000 0.000851849447 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 9200000.00000000 BRL 1851926.41000000 USD 2024-07-02 33403.17000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2X0 1700000.00000000 PA USD 1668479.06000000 0.042549643218 Long DBT CORP US N 2 2026-04-25 Fixed 3.90800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133CCNP7 763317.42000000 PA USD 746983.16000000 0.019049604942 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWKH5 3430033.12000000 PA USD 3461028.92000000 0.088263346687 Long ABS-MBS USGSE US N 2 2054-01-01 Fixed 6.00000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AU2 4000000.00000000 PA USD 4012347.60000000 0.102323105480 Long DBT CORP CH N 2 2027-01-12 Fixed 5.71100000 N N N N N N NYKREDIT REALKREDIT AS LIU16F6VZJSD6UKHD557 000000000 1.93000000 PA 0.22000000 0.000000005610 Long DBT CORP DK Y 2 2052-10-01 Fixed 1.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C5ZJ3 497329.81000000 PA USD 485236.86000000 0.012374536644 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 3400000.00000000 OU Notional Amount USD 18849.60000000 0.000480703518 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Boeing Co. Boeing Co. Y sell protection 2027-12-20 0.00000000 USD -107429.53000000 USD 3400000.00000000 USD 126279.13000000 N N N PIEDMONT OPERATING PARTN 549300WKGDPAS39FBD10 720198AE0 12900000.00000000 PA USD 10120828.39000000 0.258101912929 Long DBT US N 2 2030-08-15 Fixed 3.15000000 N N N N N N 2024-04-30 Brighthouse Funds Trust I Alan Otis Alan Otis Treasurer XXXX