NPORT-P false 0001667919 XXXXXXXX S000068300 C000218639 First Trust Exchange-Traded Fund VIII 811-23147 0001667919 549300NT36PJKGP5Y765 120 East Liberty Drive Suite 400 Wheaton 60187 630-765-8000 First Trust TCW Securitized Plus ETF S000068300 549300HEXD4P8KFVEV63 2022-08-31 2021-11-30 N 592071451.67 309397794.67 282673657.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 8737619.00000000 287455364.79000000 0.00000000 1077318.93000000 JPY USD N COMM Mortgage Trust N/A 12591YAA3 11151000.00000000 PA USD 85470.18000000 0.030236344237 Long ABS-MBS CORP US N 2 2047-06-10 Variable 0.42483100 N N N N N N Rockford Tower CLO Ltd 5493000QG193Z8ZVLY16 77341KAA9 775000.00000000 PA USD 775170.20000000 0.274227958921 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 1.30150000 N N N N N N UBS Commercial Mortgage Trust N/A 90269GAG6 1575004.40000000 PA USD 248.54000000 0.000087924712 Long ABS-MBS CORP US N 2 2045-05-10 Variable 2.16507900 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 2.00000000 NC USD 1840.84000000 0.000651224461 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2022-03-31 240956.04000000 USD 1840.84000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H022614 13400000.00000000 PA USD 13746515.69000000 4.863033873014 Long ABS-MBS USGA US N 2 2052-01-15 Fixed 2.50000000 N N N N N N HSI Asset Securitization Corpo N/A 40430MAE7 221443.68000000 PA USD 131753.36000000 0.046609705834 Long ABS-O CORP US N 2 2036-07-25 Floating 0.59163000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DU67 171960.70000000 PA USD 174304.08000000 0.061662654330 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 2.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137AXHR7 3200000.00000000 PA USD 39569.92000000 0.013998446271 Long ABS-MBS USGSE US N 2 2040-11-25 Variable 1.71354500 N N N N N N Soundview Home Equity Loan Tru N/A 83611MNJ3 95549.90000000 PA USD 95445.33000000 0.033765201544 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.61663000 N N N N N N Residential Accredit Loans, In N/A 748940AB9 244315.27000000 PA USD 238845.42000000 0.084495110911 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6.00000000 N N N N N N Morgan Stanley Capital Inc N/A 617451DR7 198040.43000000 PA USD 196077.29000000 0.069365250402 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.67163000 N N N N N N Banc of America Merrill Lynch N/A 05493DAA2 563000.00000000 PA USD 571687.43000000 0.202242910098 Long ABS-MBS CORP US N 2 2030-11-15 Floating 2.84000000 N N N N N N TRP LLC N/A 87267CAA6 288020.32000000 PA USD 285747.00000000 0.101087240683 Long ABS-O CORP US N 2 2051-06-19 Fixed 2.07000000 N N N N N N GreenPoint Mortgage Funding Tr N/A 39538WBZ0 179479.75000000 PA USD 169149.33000000 0.059839085040 Long ABS-MBS CORP US N 2 2045-10-25 Floating 0.29163000 N N N N N N COMM Mortgage Trust N/A 12591VAF8 33006360.24000000 PA USD 654281.78000000 0.231461886807 Long ABS-MBS CORP US N 2 2047-04-10 Variable 1.11496400 N N N N N N Barclays Commercial Mortgage S N/A 05493BAA6 500000.00000000 PA USD 501130.45000000 0.177282331618 Long ABS-MBS CORP US N 2 2037-10-15 Floating 2.23000000 N N N N N N Nelnet Student Loan Trust N/A 64031QCL3 389963.61000000 PA USD 364528.04000000 0.128957202403 Long ABS-O CORP US N 2 2035-09-22 Floating 0.40538000 N N N N N N Bear Stearns Alt-A Trust N/A 07386HB83 759093.85000000 PA USD 635258.77000000 0.224732214788 Long ABS-MBS CORP US N 2 2036-02-25 Variable 2.96497600 N N N N N N Nelnet Student Loan Trust N/A 64033TAD5 370000.00000000 PA USD 366960.52000000 0.129817728292 Long ABS-O CORP US N 2 2054-06-25 Floating 0.99200000 N N N N N N SLM Student Loan Trust 549300EQOYJZL2D96G46 78445AAE6 65000.00000000 PA USD 64965.43000000 0.022982484710 Long ABS-O CORP US N 2 2073-04-25 Floating 1.97388000 N N N N N N Specialty Underwriting & Resid N/A 84751XAD4 1351583.50000000 PA USD 1125277.87000000 0.398083741492 Long ABS-O CORP US N 2 2037-09-25 Floating 0.33163000 N N N N N N Natixis Commercial Mortgage Se N/A 63875DAA9 75000.00000000 PA USD 77285.34000000 0.027340835654 Long ABS-MBS CORP US N 2 2038-12-15 Fixed 2.96600000 N N N N N N Oakwood Mortgage Investors Inc N/A 67087TAK7 968953.33000000 PA USD 903825.81000000 0.319741789734 Long ABS-O CORP US N 2 2027-08-15 Fixed 7.47500000 N N N N N N GS Mortgage Securities Trust N/A 36192HAA2 735000.00000000 PA USD 738205.19000000 0.261151038209 Long ABS-MBS CORP US N 2 2034-04-10 Fixed 3.55100000 N N N N N N Wells Fargo Commercial Mortgag 549300TRQQDPEF728F16 95000PAP9 5823000.00000000 PA USD 403761.00000000 0.142836444076 Long ABS-MBS CORP US N 2 2049-12-15 Variable 1.60000000 N N N N N N BDS Ltd N/A 05492XAE1 662000.00000000 PA USD 672923.43000000 0.238056647068 Long ABS-MBS CORP KY N 2 2035-09-15 Floating 2.41215000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45667QAC5 550260.21000000 PA USD 545202.05000000 0.192873313978 Long ABS-MBS CORP US N 2 2036-11-25 Variable 3.05881900 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FU6Z2 74054.25000000 PA USD 72778.24000000 0.025746382161 Long ABS-MBS USGSE US N 2 2058-10-25 None 0.00000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F012411 5525000.00000000 PA USD 5544208.05000000 1.961345853320 Long ABS-MBS USGSE US N 2 2037-01-15 Fixed 1.50000000 N N N N N N WAMU Asset-Backed Certificates N/A 933631AE3 1150309.05000000 PA USD 721312.56000000 0.255175019722 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.32163000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17313CAD1 160000.00000000 PA USD 157792.62000000 0.055821480386 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.35163000 N N N N N N AIG CLO LTD 549300BOP4S1F44PKE29 00141UAG8 320000.00000000 PA USD 320398.26000000 0.113345638005 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 1.83150000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92939KAH1 4945639.11000000 PA USD 104276.82000000 0.036889472159 Long ABS-MBS CORP US N 2 2047-11-15 Variable 0.99616500 N N N N N N Securitized Asset Backed Recei N/A 81378GAC2 399179.94000000 PA USD 382019.03000000 0.135144899618 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.23163000 N N N N N N Wells Fargo Commercial Mortgag 549300S7ENI2U7O0XH56 94989JBC9 29247045.76000000 PA USD 511741.41000000 0.181036116145 Long ABS-MBS CORP US N 2 2048-05-15 Variable 0.73893800 N N N N N N Dryden Senior Loan Fund N/A 26252NAQ2 615000.00000000 PA USD 615063.59000000 0.217587870241 Long ABS-CBDO CORP KY N 2 2032-05-15 Floating 1.80600000 N N N N N N Citigroup Commercial Mortgage N/A 17318UAK0 1103314.66000000 PA USD 6932.90000000 0.002452616233 Long ABS-MBS CORP US N 2 2045-09-10 Variable 1.88875600 N N N N N N Lehman XS Trust N/A 525221EM5 927083.75000000 PA USD 916263.85000000 0.324141930919 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.63163000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJXK1 68166.22000000 PA USD 72766.74000000 0.025742313865 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130AQ4B6 4230000.00000000 PA USD 4235312.75000000 1.498304721759 Long DBT USGSE US N 2 2024-12-23 Fixed 1.20000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45661EGH1 63134.48000000 PA USD 58064.14000000 0.020541050983 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.44200000 N N N N N N Last Mile Logistics Pan Euro F 635400NOPX1IKIAX7N90 000000000 716787.92000000 PA 815671.42000000 0.288555866385 Long ABS-MBS CORP IE N 2 2033-08-17 Floating 2.70000000 N N N N N N Argent Securities Inc. N/A 040104PD7 600000.00000000 PA USD 579891.90000000 0.205145363085 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.78163000 N N N N N N COMM Mortgage Trust N/A 12630DAV6 664046.71000000 PA USD 667619.55000000 0.236180320828 Long ABS-MBS CORP US N 2 2047-02-10 Fixed 3.14700000 N N N N N N Credit Suisse Mortgage Trust N/A 12656DAE3 182000.00000000 PA USD 188753.95000000 0.066774510226 Long ABS-MBS CORP US N 2 2041-12-15 Variable 3.39277400 N N N N N N Credit-Based Asset Servicing a N/A 12479DAE8 220875.49000000 PA USD 187965.33000000 0.066495524200 Long ABS-O CORP US N 2 2036-10-25 Floating 0.33163000 N N N N N N Preston Ridge Partners Mortgag N/A 69357PAA6 1593990.92000000 PA USD 1589608.88000000 0.562347725242 Long ABS-MBS CORP US N 2 2026-04-25 Variable 1.86700000 N N N N N N Fannie Mae or Freddie Mac N/A 01F020414 10775000.00000000 PA USD 11031327.23000000 3.902495671890 Long ABS-MBS USGSE US N 2 2037-01-15 Fixed 2.00000000 N N N N N N Merrill Lynch First Franklin M N/A 59024VAF6 749826.13000000 PA USD 706429.34000000 0.249909859835 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.22163000 N N N N N N SLM Student Loan Trust 549300SRMXHPGI3BJ386 78444YAD7 684773.95000000 PA USD 691913.54000000 0.244774680224 Long ABS-O CORP US N 2 2023-07-25 Floating 1.82388000 N N N N N N Credit-Based Asset Servicing a N/A 17311YAC7 899362.72000000 PA USD 465106.33000000 0.164538264702 Long ABS-MBS CORP US N 2 2037-03-25 Variable 3.34444200 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6FL0 83306.07000000 PA USD 87641.46000000 0.031004466751 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.00000000 N N N N N N BX Trust 2019-ATL N/A 05608FAA9 127000.00000000 PA USD 127123.51000000 0.044971827707 Long ABS-MBS CORP US N 2 2032-11-15 Floating 0.96600000 N N N N N N Credit Suisse Mortgage Trust N/A 126390AA1 800000.00000000 PA USD 805872.80000000 0.285089459185 Long ABS-MBS CORP US N 2 2035-12-15 Floating 3.25000000 N N N N N N Structured Adjustable Rate Mor N/A 86362RAA9 503102.41000000 PA USD 509539.30000000 0.180257087062 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.41163000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCR31 167236.95000000 PA USD 179506.97000000 0.063503253859 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDK4 12760000.00000000 PA USD 12825295.34000000 4.537138506684 Long DBT UST US N 2 2026-11-30 Fixed 1.25000000 N N N N N N CSAIL Commercial Mortgage Trus 549300FU8TZDHFLQZL50 12636LBA7 2983328.22000000 PA USD 91845.64000000 0.032491757801 Long ABS-MBS CORP US N 2 2048-11-15 Variable 1.08146000 N N N N N N GCI Funding I LLC N/A 36166VAE5 1020898.91000000 PA USD 1021974.94000000 0.361538797370 Long ABS-O CORP US N 2 2046-06-18 Fixed 2.38000000 N N N N N N Hilton USA Trust N/A 43289VAL7 700000.00000000 PA USD 700694.19000000 0.247880965434 Long ABS-MBS CORP US N 2 2035-11-05 Fixed 4.12223800 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 3132J0US4 136154.81000000 PA USD 140935.06000000 0.049857868432 Long ABS-MBS USGSE US N 2 2047-11-15 Fixed 2.50000000 N N N N N N Argent Securities Inc. N/A 04012MAQ2 792297.76000000 PA USD 330013.17000000 0.116747055067 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.39163000 N N N N N N One Bryant Park Trust N/A 68236JAA9 125000.00000000 PA USD 128200.23000000 0.045352733381 Long ABS-MBS CORP US N 2 2054-09-15 Fixed 2.51641000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 97.70000000 0.000034562824 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -16000.00000000 EUR 18272.80000000 USD 2022-01-07 97.70000000 N N N Gracechurch Mortgage Finance P N/A 38406JAC2 1000000.00000000 PA USD 25585.00000000 0.009051073337 Long ABS-MBS CORP US N 2 2040-12-10 Variable 0.39024200 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XU6Q5 95286.41000000 PA USD 100333.02000000 0.035494294397 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N GreenPoint Mortgage Funding Tr N/A 39538RBW8 40579.26000000 PA USD 39318.40000000 0.013909467340 Long ABS-MBS CORP US N 2 2045-08-25 Floating 0.57163000 N N N N N N Residential Accredit Loans, In N/A 749241AA3 441936.20000000 PA USD 423882.62000000 0.149954765682 Long ABS-MBS CORP US N 2 2037-11-25 Variable 1.32402000 N N N N N N Countrywide Alternative Loan T 549300WVYUN6JZ4UKU34 02150XAA9 412513.61000000 PA USD 402281.29000000 0.142312974710 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.25163000 N N N N N N Soundview Home Equity Loan Tru N/A 83612KAE1 700000.00000000 PA USD 648515.77000000 0.229422075223 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.34163000 N N N N N N Deutsche Alt-A Securities INC N/A 25151KAC3 212398.30000000 PA USD 199463.05000000 0.070563013234 Long ABS-MBS CORP US N 2 2047-10-25 Floating 0.84200000 N N N N N N TAL Advantage VII LLC N/A 87407RAA4 504562.50000000 PA USD 503224.25000000 0.178023044432 Long ABS-O CORP US N 2 2045-09-20 Fixed 2.05000000 N N N N N N Accredited Mortgage Loan Trust N/A 004375CU3 111204.32000000 PA USD 111414.06000000 0.039414376699 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.12663000 N N N N N N Ace Securities Corp. N/A 00443LAA6 1557470.53000000 PA USD 1044806.21000000 0.369615697864 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.39163000 N N N N N N GSAMP Trust N/A 36244KAE5 300000.00000000 PA USD 295678.98000000 0.104600825962 Long ABS-O CORP US N 2 2046-05-25 Floating 0.59163000 N N N N N N Ace Securities Corp. N/A 00441YAA0 100072.76000000 PA USD 98187.97000000 0.034735451135 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.24663000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCR72 217048.20000000 PA USD 231768.60000000 0.081991580842 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Impac CMB Trust N/A 452550AA4 260764.56000000 PA USD 260848.27000000 0.092278945540 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.59163000 N N N N N N American Money Management Corp 549300MYS7FLQJZMYD18 00176PAJ1 135048.37000000 PA USD 135122.57000000 0.047801613858 Long ABS-CBDO CORP KY N 2 2028-10-16 Floating 1.26375000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45670AAA9 909499.44000000 PA USD 911701.97000000 0.322528098187 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.33163000 N N N N N N Lehman XS Trust N/A 525229AG5 480596.96000000 PA USD 423455.13000000 0.149803534752 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.69163000 N N N N N N Soundview Home Equity Loan Tru N/A 83612TAA0 1495678.52000000 PA USD 1293577.95000000 0.457622391746 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.29163000 N N N N N N Residential Asset Securitizati N/A 761119AS5 259420.31000000 PA USD 180790.43000000 0.063957296876 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.00000000 N N N N N N Nomura Home Equity Loan Inc N/A 65536HCS5 46468.07000000 PA USD 46479.74000000 0.016442897613 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.70663000 N N N N N N Saxon Asset Securities Trust N/A 805564RN3 83383.00000000 PA USD 82553.47000000 0.029204514802 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.81163000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FG7J8 1000000.00000000 PA USD 71660.00000000 0.025350788170 Long ABS-MBS USGSE US N 2 2046-05-25 Variable 2.24744700 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVKP9 77942.82000000 PA USD 83043.83000000 0.029377986927 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.50000000 N N N N N N Option One Mortgage Loan Trust N/A 68403FAD8 380234.95000000 PA USD 268149.82000000 0.094861977180 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.33163000 N N N N N N UBS-Barclays Commercial Mortga N/A 90349DAJ1 606152.53000000 PA USD 5019.79000000 0.001775825187 Long ABS-MBS CORP US N 2 2049-08-10 Variable 1.97868300 N N N N N N Residential Asset Securities C N/A 76110W7F7 576000.00000000 PA USD 573846.80000000 0.203006819273 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.75163000 N N N N N N Madison Park Funding Ltd N/A 55820BAL1 825000.00000000 PA USD 825983.27000000 0.292203836312 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 1.82375000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDM0 14095000.00000000 PA USD 14088392.97000000 4.983978033014 Long DBT UST US N 2 2023-11-30 Fixed 0.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B2LX8 160025.53000000 PA USD 165355.28000000 0.058496883563 Long ABS-MBS USGSE US N 2 2048-07-25 Fixed 3.00000000 N N N N N N Citigroup Commercial Mortgage N/A 17328TAA3 151378.78000000 PA USD 152860.98000000 0.054076839569 Long ABS-MBS CORP US N 2 2039-02-15 Floating 2.03950000 N N N N N N BPR Trust N/A 05591VAA3 288513.04000000 PA USD 289044.71000000 0.102253854521 Long ABS-MBS CORP US N 2 2038-06-15 Floating 1.84000000 N N N N N N Aimco N/A 00140LAB0 850000.00000000 PA USD 850905.73000000 0.301020526295 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 1.33225000 N N N N N N Lehman XS Trust N/A 52525BAA0 464478.44000000 PA USD 466387.82000000 0.164991610802 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.56163000 N N N N N N CSAIL Commercial Mortgage Trus 549300D5DIOOMKWXVZ20 12634NAV0 21721347.59000000 PA USD 451625.91000000 0.159769366128 Long ABS-MBS CORP US N 2 2057-06-15 Variable 0.88296000 N N N N N N GS Mortgage Securities Trust N/A 36263JAA2 175000.00000000 PA USD 176116.85000000 0.062303948613 Long ABS-MBS CORP US N 2 2037-11-15 Floating 2.09000000 N N N N N N Deutsche Alt-A Securities INC N/A 25150VAM8 347478.11000000 PA USD 335270.16000000 0.118606793274 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.49200000 N N N N N N MASTR Adjustable Rate Mortgage N/A 57645TAB3 1800000.00000000 PA USD 880708.86000000 0.311563825701 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.19163000 N N N N N N Wells Fargo Commercial Mortgag 549300JPCJUA5JJLRW54 95000LBC6 3928528.81000000 PA USD 229060.34000000 0.081033493687 Long ABS-MBS CORP US N 2 2059-03-15 Variable 1.77305200 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H020618 8125000.00000000 PA USD 8215136.64000000 2.906226468779 Long ABS-MBS USGA US N 2 2052-01-15 Fixed 2.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 93364CAA6 1148688.13000000 PA USD 1116822.14000000 0.395092401553 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.85317000 N N N N N N JP Morgan Chase Commercial Mor N/A 46647TAU2 12254790.74000000 PA USD 488442.87000000 0.172793911956 Long ABS-MBS CORP US N 2 2050-03-15 Variable 1.10947100 N N N N N N Washington Mutual Mortgage Pas N/A 93935FAC5 717262.04000000 PA USD 474204.53000000 0.167756887936 Long ABS-MBS CORP US N 2 2046-08-25 Floating 1.04317000 N N N N N N Countrywide Home Loans N/A 12669GKF7 235496.72000000 PA USD 221526.91000000 0.078368431056 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.77163000 N N N N N N Credit-Based Asset Servicing a N/A 17311YAD5 1034267.12000000 PA USD 534674.21000000 0.189148934384 Long ABS-O CORP US N 2 2037-03-25 Variable 3.34444200 N N N N N N WACHOVIA STUDENT LOAN TRUST N/A 92978JAH6 642529.29000000 PA USD 606600.27000000 0.214593845226 Long ABS-O CORP US N 2 2040-04-25 Floating 0.36388000 N N N N N N Lehman XS Trust N/A 86359DUR6 113623.24000000 PA USD 113183.86000000 0.040040469706 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.39163000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU 549300QGM7D5K3CV2643 96221TAH0 30296533.11000000 PA USD 664536.28000000 0.235089568321 Long ABS-MBS CORP US N 2 2047-03-15 Variable 1.42466300 N N N N N N BX Trust N/A 056059AS7 35000.00000000 PA USD 34899.38000000 0.012346173453 Long ABS-MBS CORP US N 2 2035-11-15 Floating 2.14000000 N N N N N N Countrywide Asset-Backed Certi N/A 126670PH5 6998.96000000 PA USD 7005.17000000 0.002478182818 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.78200000 N N N N N N Luminent Mortgage Trust N/A 550279AA1 685400.83000000 PA USD 676255.25000000 0.239235327825 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.61163000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -7.00000000 NC USD -32367.04000000 -0.01145032060 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2022-03-22 -1371570.46000000 USD -32367.04000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 57.00000000 NC USD -1002.86000000 -0.00035477660 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2022-03-31 12468862.29000000 USD -1002.86000000 N N N Carvana Auto Receivables Trust N/A 14687GAG0 750000.00000000 PA USD 750176.10000000 0.265385925226 Long ABS-O CORP US N 2 2028-06-12 Fixed 2.53000000 N N N N N N Structured Asset Mortgage Inve N/A 86363NAY5 52829.95000000 PA USD 50896.73000000 0.018005473357 Long ABS-MBS CORP US N 2 2047-09-25 Floating 0.28163000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DTJ1 105390.00000000 PA USD 107407.47000000 0.037996986043 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 2.00000000 N N N N N N Credit-Based Asset Servicing a N/A 1248MGAX2 1019634.61000000 PA USD 448732.73000000 0.158745860778 Long ABS-O CORP US N 2 2037-01-25 Variable 3.25071500 N N N N N N Morgan Stanley Capital Inc N/A 617451EF2 27426.84000000 PA USD 27432.67000000 0.009704714012 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.67163000 N N N N N N Oakwood Mortgage Investors Inc N/A 67087TCK5 582661.59000000 PA USD 97758.50000000 0.034583519751 Long ABS-O CORP US N 2 2031-06-15 Variable 5.92000000 N N N N N N COMM Mortgage Trust N/A 12593FAG9 7000000.00000000 PA USD 253843.80000000 0.089801010357 Long ABS-MBS CORP US N 2 2048-07-10 Variable 1.22823200 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ3A6 35738.04000000 PA USD 37823.00000000 0.013380447404 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Natixis Commercial Mortgage Se N/A 63875FAJ5 330000.00000000 PA USD 330468.27000000 0.116908053444 Long ABS-MBS CORP US N 2 2036-07-15 Floating 2.84000000 N N N N N N Eaton Vance CDO Ltd 5493007R7GEORNX00105 27830XAL0 575000.00000000 PA USD 576640.54000000 0.203995146247 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 1.22375000 N N N N N N SLG Office Trust N/A 78449RAQ8 385000.00000000 PA USD 345365.37000000 0.122178123587 Long ABS-MBS CORP US N 2 2041-07-15 Fixed 2.85061000 N N N N N N BFLD Trust N/A 05493AAQ3 450000.00000000 PA USD 452680.56000000 0.160142464212 Long ABS-MBS CORP US N 2 2035-10-15 Floating 4.28900000 N N N N N N American Home Mortgage Assets N/A 02660WAA4 389839.80000000 PA USD 369435.94000000 0.130693444844 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.51163000 N N N N N N Countrywide Alternative Loan T 549300QTQ6MX6ER06N64 126680AA5 193097.22000000 PA USD 185315.98000000 0.065558277331 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.45163000 N N N N N N IndyMac IMSC Mortgage Loan Tru N/A 45670JAD4 1188728.74000000 PA USD 1162779.98000000 0.411350669298 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.00000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45668RAA6 118028.62000000 PA USD 111915.41000000 0.039591736700 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.25163000 N N N N N N Textainer Marine Containers Li N/A 88315LAJ7 89383.38000000 PA USD 89228.22000000 0.031565806643 Long ABS-O CORP BM N 2 2045-09-20 Fixed 2.11000000 N N N N N N Opteum Mortgage Acceptance Cor N/A 68383NCH4 300000.00000000 PA USD 297054.69000000 0.105087503785 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.84163000 N N N N N N J.P. Morgan Alternative Loan T N/A 46627MCS4 458739.11000000 PA USD 449632.86000000 0.159064295121 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.55200000 N N N N N N Morgan Stanley BAML Trust N/A 61764RBG2 10789805.69000000 PA USD 327576.34000000 0.115884990301 Long ABS-MBS CORP US N 2 2048-02-15 Variable 1.41181500 N N N N N N Residential Accredit Loans, In N/A 74922KAD7 117783.17000000 PA USD 115544.97000000 0.040875747399 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6.00000000 N N N N N N MASTR Adjustable Rate Mortgage N/A 576429AA2 662118.28000000 PA USD 648091.17000000 0.229271866674 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.39163000 N N N N N N BX Trust N/A 12433AAL3 990294.34000000 PA USD 992696.00000000 0.351180937953 Long ABS-MBS CORP US N 2 2032-11-15 Floating 4.34000000 N N N N N N GSAA Home Equity Trust N/A 36245RAD1 1567404.82000000 PA USD 1286130.89000000 0.454987883784 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.51163000 N N N N N N Residential Funding Mtg Sec I N/A 74958DAA6 669779.12000000 PA USD 662016.71000000 0.234198233052 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SZ2 151000.00000000 PA USD 158337.66000000 0.056014296372 Long DBT UST US N 2 2051-08-15 Fixed 2.00000000 N N N N N N DBGS Mortgage Trust N/A 23306GAJ6 556883.36000000 PA USD 555589.66000000 0.196548085129 Long ABS-MBS CORP US N 2 2035-05-15 Floating 1.78950000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 26732.97000000 0.009457184756 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -720000.00000000 EUR 844612.49000000 USD 2022-01-07 26732.97000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DY71 214302.21000000 PA USD 218678.72000000 0.077360841587 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 2.00000000 N N N N N N GS Mortgage Securities Trust N/A 36191YAE8 168202.22000000 PA USD 169061.35000000 0.059807960810 Long ABS-MBS CORP US N 2 2044-08-10 Variable 5.20900000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 320000000.00000000 PA 2832087.96000000 1.001893133607 Long DBT NUSS JP N 2 2022-03-07 None 0.00000000 N N N N N N Soundview Home Equity Loan Tru N/A 83612KAA9 222719.21000000 PA USD 211725.28000000 0.074900959023 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.26163000 N N N N N N Securitized Asset Backed Recei N/A 81376EAC9 87414.76000000 PA USD 86834.76000000 0.030719084658 Long ABS-O CORP US N 2 2036-03-25 Floating 0.57163000 N N N N N N Credit Suisse Mortgage Trust N/A 12662GAC2 565992.45000000 PA USD 567941.95000000 0.200917890979 Long ABS-MBS CORP US N 2 2060-12-27 Variable 1.79561000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660LU98 156327.56000000 PA USD 150573.80000000 0.053267715710 Long ABS-MBS CORP US N 2 2036-01-25 Variable 3.05528000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TB4 1305000.00000000 PA USD 1332323.44000000 0.471329183674 Long DBT UST US N 2 2051-11-15 Fixed 1.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179S2P1 79286.56000000 PA USD 83635.40000000 0.029587263591 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 3.50000000 N N N N N N BFLD Trust N/A 05553JAA6 320000.00000000 PA USD 320691.36000000 0.113449326478 Long ABS-MBS CORP US N 2 2028-11-15 Floating 2.14000000 N N N N N N DC Office Trust N/A 23312BAA8 75000.00000000 PA USD 79073.18000000 0.027973310579 Long ABS-MBS CORP US N 2 2045-09-15 Fixed 2.96500000 N N N N N N SFAVE Commercial Mortgage Secu 549300FIGODFFTOAAU64 78413MAE8 340000.00000000 PA USD 373161.87000000 0.132011547860 Long ABS-MBS CORP US N 2 2043-01-05 Variable 4.14400000 N N N N N N Countrywide Alternative Loan T N/A 02150EAL7 149942.60000000 PA USD 112916.97000000 0.039946053409 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDA6 13355000.00000000 PA USD 13304136.28000000 4.706535593445 Long DBT UST US N 2 2023-09-30 Fixed 0.25000000 N N N N N N COMM Mortgage Trust N/A 12656KAL1 35000.00000000 PA USD 32843.90000000 0.011619016907 Long ABS-MBS CORP US N 2 2046-11-10 Variable 2.77294800 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45661XAD4 671994.93000000 PA USD 586020.91000000 0.207313591305 Long ABS-MBS CORP US N 2 2036-07-25 Variable 2.88499400 N N N N N N Nelnet Student Loan Trust N/A 64033MAB4 215000.00000000 PA USD 220161.76000000 0.077885488989 Long ABS-O CORP US N 2 2048-11-25 Floating 1.04200000 N N N N N N Lehman XS Trust N/A 525221KP1 1317341.66000000 PA USD 1260613.37000000 0.445960682498 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.75163000 N N N N N N Natixis Commercial Mortgage Se N/A 63873VAA1 435000.00000000 PA USD 438916.39000000 0.155273184865 Long ABS-MBS CORP US N 2 2036-08-15 Fixed 3.04690000 N N N N N N Structured Asset Mortgage Inve N/A 86359LRY7 258959.30000000 PA USD 256847.10000000 0.090863472290 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.97910000 N N N N N N JP Morgan Mortgage Acquisition N/A 46626LFN5 186919.53000000 PA USD 186679.11000000 0.066040504793 Long ABS-O CORP US N 2 2035-05-25 Floating 0.67663000 N N N N N N MASTR Adjustable Rate Mortgage N/A 55275NAA9 1232448.93000000 PA USD 1128212.34000000 0.399121853791 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.88317000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DUA8 163163.65000000 PA USD 165942.12000000 0.058704486920 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 2.00000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92890KBD6 1027222.89000000 PA USD 18230.95000000 0.006449469042 Long ABS-MBS CORP US N 2 2057-09-15 Variable 0.93953700 N N N N N N CIM Trust N/A 12564UAA4 133395.65000000 PA USD 133596.33000000 0.047261683815 Long ABS-MBS CORP US N 2 2057-06-25 Variable 2.56600000 N N N N N N American Money Management Corp 549300R4YQWFRASHVE93 00176DAQ2 450000.00000000 PA USD 449533.37000000 0.159029099057 Long ABS-CBDO CORP KY N 2 2029-07-24 Floating 1.17488000 N N N N N N Structured Adjustable Rate Mor N/A 863579VM7 940906.14000000 PA USD 905620.00000000 0.320376511066 Long ABS-MBS CORP US N 2 2035-08-25 Variable 2.85293600 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796K65 14435000.00000000 PA USD 14434473.12000000 5.106409020632 Long DBT UST US N 2 2022-01-06 None 0.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRU1 137971.35000000 PA USD 145860.09000000 0.051600170864 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N American Home Mortgage Assets N/A 02660UAA8 134540.35000000 PA USD 129485.66000000 0.045807473315 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.05317000 N N N N N N COMM Mortgage Trust N/A 12624QAS2 4639796.38000000 PA USD 44903.95000000 0.015885438521 Long ABS-MBS CORP US N 2 2045-10-15 Variable 1.83893500 N N N N N N CSMC 2021-RP11 PT N/A 000000000 950000.00000000 PA USD 995695.00000000 0.352241878697 Long ABS-MBS CORP US N 2 2061-10-01 Floating 0.01000000 N N N N N N Structured Asset Mortgage Inve N/A 86361HAA2 178123.24000000 PA USD 180916.82000000 0.064002009214 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.51163000 N N N N N N Palmer Square CLO Ltd 549300A8L0VCZ9626397 69703PAA7 400000.00000000 PA USD 400217.15000000 0.141582754561 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 1.15225000 N N N N N N DROP Mortgage Trust 2021-FILE N/A 26210YAG1 386000.00000000 PA USD 386500.76000000 0.136730378098 Long ABS-MBS CORP US N 2 2026-04-15 Floating 1.79000000 N N N N N N Morgan Stanley BAML Trust N/A 61763BAV6 1853993.79000000 PA USD 27696.26000000 0.009797962885 Long ABS-MBS CORP US N 2 2046-11-15 Variable 1.10796100 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31395NXU6 147308.53000000 PA USD 148786.76000000 0.052635523797 Long ABS-MBS USGSE US N 2 2036-07-25 Floating 0.52200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335AWU8 125522.21000000 PA USD 134670.30000000 0.047641616636 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.50000000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130APYA7 2770000.00000000 PA USD 2770804.05000000 0.980213041217 Long DBT USGSE US N 2 2024-06-14 Fixed 1.04000000 N N N N N N One Market Plaza Trust N/A 68245HAE4 1055000.00000000 PA USD 1058853.70000000 0.374585205865 Long ABS-MBS CORP US N 2 2032-02-10 Fixed 4.01630000 N N N N N N Fannie Mae or Freddie Mac N/A 01F030611 3650000.00000000 PA USD 3785669.48000000 1.339236743946 Long ABS-MBS USGSE US N 2 2052-01-15 Fixed 3.00000000 N N N N N N Structured Asset Securities Co N/A 86359UAA7 87039.58000000 PA USD 86382.13000000 0.030558960080 Long ABS-O CORP US N 2 2036-04-25 Floating 0.27163000 N N N N N N BWAY Mortgage Trust N/A 05604FAE5 19314228.50000000 PA USD 297066.35000000 0.105091628683 Long ABS-MBS CORP US N 2 2033-03-10 Variable 0.72536200 N N N N N N JPMDB Commercial Mortgage Secu N/A 46590LAV4 6157732.49000000 PA USD 312214.28000000 0.110450433660 Long ABS-MBS CORP US N 2 2049-06-15 Variable 1.70796400 N N N N N N USQ Rail II LLC / USQ Canada R 25490077I8NB6ADB4I38 90354PAA5 1176393.84000000 PA USD 1179967.72000000 0.417431087326 Long ABS-O CORP US N 2 2051-06-28 Fixed 2.21000000 N N N N N N CALI Mortgage Trust 2019-101C N/A 129890AA7 100000.00000000 PA USD 111541.22000000 0.039459361436 Long ABS-MBS CORP US N 2 2039-03-10 Fixed 3.95700000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796K81 8120000.00000000 PA USD 8119517.83000000 2.872399896110 Long DBT UST US N 2 2022-01-20 None 0.00000000 N N N N N N Voya CLO Ltd N/A 92915UAJ3 175000.00000000 PA USD 175308.10000000 0.062017841301 Long ABS-CBDO CORP KY N 2 2030-06-07 Floating 1.77375000 N N N N N N GSR Mortgage Loan Trust N/A 362631AC7 254655.43000000 PA USD 143266.62000000 0.050682692374 Long ABS-MBS CORP US N 2 2046-08-25 Floating 0.61163000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397UDV8 116436.78000000 PA USD 118412.62000000 0.041890221132 Long ABS-MBS USGSE US N 2 2041-06-25 Floating 0.66200000 N N N N N N MF1 Ltd N/A 59319WAA9 1166254.74000000 PA USD 1170767.90000000 0.414176514509 Long ABS-MBS USGSE US N 2 2035-07-15 Floating 2.21215000 N N N N N N One Market Plaza Trust N/A 68245HAG9 417000.00000000 PA USD 418712.99000000 0.148125932371 Long ABS-MBS CORP US N 2 2032-02-10 Fixed 4.14550000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FS41 380382.52000000 PA USD 378425.34000000 0.133873578463 Long ABS-MBS CORP US N 2 2045-07-25 Floating 1.01200000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46590JAY3 997139.56000000 PA USD 26955.27000000 0.009535826679 Long ABS-MBS CORP US N 2 2048-11-15 Variable 1.35540300 N N N N N N Park Place Securities Inc N/A 70069FEL7 342477.61000000 PA USD 344993.18000000 0.122046455853 Long ABS-O CORP US N 2 2035-02-25 Floating 1.66663000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45661EAB0 1178954.28000000 PA USD 1128955.18000000 0.399384644462 Long ABS-MBS CORP US N 2 2046-04-25 Floating 0.51163000 N N N N N N Credit Suisse Mortgage Trust N/A 22946BAP1 341998.54000000 PA USD 344529.26000000 0.121882337270 Long ABS-MBS CORP US N 2 2060-02-25 Variable 3.42525600 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FPAV1 39103.99000000 PA USD 42084.31000000 0.014887949038 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46647TAP3 66638.99000000 PA USD 66732.47000000 0.023607601326 Long ABS-MBS CORP US N 2 2050-03-15 Fixed 3.23970000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SJS7 61932.46000000 PA USD 64780.10000000 0.022916921473 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3.00000000 N N N N N N CSMCM 2021-RP11 CERT N/A 000000000 40000.00000000 PA USD 41924.00000000 0.014831236997 Long ABS-MBS CORP US N 2 2061-10-01 Floating 0.01000000 N N N N N N GS Mortgage Securities Trust 5493002EPQ51IPGGFX73 36251FAY2 29773130.02000000 PA USD 790580.81000000 0.279679690845 Long ABS-MBS CORP US N 2 2048-02-10 Variable 1.12941800 N N N N N N Homebanc Mortgage Trust N/A 43739EBU0 700000.00000000 PA USD 703782.66000000 0.248973557518 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.79663000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVKY0 160918.34000000 PA USD 171679.06000000 0.060734014560 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.50000000 N N N N N N BLACKROCK RAINIER CLO LTD N/A 09262BAA7 190983.35000000 PA USD 191048.86000000 0.067586368686 Long ABS-CBDO CORP US N 2 2032-04-17 Floating 1.47225000 N N N N N N CIM Trust N/A 12566LAB0 305942.84000000 PA USD 305646.11000000 0.108126846075 Long ABS-MBS CORP US N 2 2057-06-25 Variable 1.95100000 N N N N N N The Bancorp Commercial Mortgag N/A 05972MAJ3 924000.00000000 PA USD 918982.59000000 0.325103725530 Long ABS-MBS CORP US N 2 2036-03-15 Floating 2.43950000 N N N N N N Citigroup Commercial Mortgage N/A 17321JAJ3 751914.02000000 PA USD 9353.96000000 0.003309102128 Long ABS-MBS CORP US N 2 2046-09-10 Variable 0.99827800 N N N N N N Natixis Commercial Mortgage Se N/A 63875BAA3 415000.00000000 PA USD 415959.07000000 0.147151692313 Long ABS-MBS CORP US N 2 2036-10-15 Fixed 2.50730000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DRP9 73700.58000000 PA USD 75109.52000000 0.026571107048 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 2.00000000 N N N N N N Structured Asset Mortgage Inve N/A 86362XAP3 943534.89000000 PA USD 910022.98000000 0.321934130565 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.27163000 N N N N N N COMM Mortgage Trust N/A 12630DAZ7 24861319.94000000 PA USD 258694.46000000 0.091517003298 Long ABS-MBS CORP US N 2 2047-02-10 Variable 0.69378300 N N N N N N UBS-Barclays Commercial Mortga N/A 90270RBC7 161765.12000000 PA USD 162724.39000000 0.057566167193 Long ABS-MBS CORP US N 2 2045-12-10 Fixed 2.53280000 N N N N N N Residential Accredit Loans, In N/A 74923CAD4 213373.15000000 PA USD 206380.02000000 0.073009993994 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6.25000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CCZ2 5948000.00000000 PA USD 5875276.42000000 2.078466201043 Long DBT UST US N 2 2026-09-30 Fixed 0.87500000 N N N N N N MASTR Asset Backed Securities N/A 57644UAE5 1637442.82000000 PA USD 865464.84000000 0.306171027461 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.39163000 N N N N N N Merit N/A 590027AQ1 301770.82000000 PA USD 303934.70000000 0.107521409396 Long ABS-MBS CORP US N 2 2037-08-15 Floating 4.19000000 N N N N N N Barclays Commercial Mortgage S N/A 05547HAC5 120000.00000000 PA USD 133690.70000000 0.047295068602 Long ABS-MBS CORP US N 2 2035-08-10 Fixed 4.19700000 N N N N N N Invitation Homes Trust N/A 46185HAA0 721845.26000000 PA USD 722892.59000000 0.255733978776 Long ABS-O CORP US N 2 2037-06-17 Floating 0.99000000 N N N N N N Countrywide Alternative Loan T N/A 12667GMF7 246582.32000000 PA USD 230033.22000000 0.081377664420 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.57163000 N N N N N N Citigroup Mortgage Loan Trust N/A 17316AAF7 293872.01000000 PA USD 273116.86000000 0.096619141273 Long ABS-MBS CORP US N 2 2035-12-25 Variable 7.00000000 N N N N N N Residential Accredit Loans, In N/A 74922TAA4 376499.93000000 PA USD 363507.14000000 0.128596043882 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.28163000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796L98 5320000.00000000 PA USD 5319351.97000000 1.881799678984 Long DBT UST US N 2 2022-03-03 None 0.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TJX4 60682.01000000 PA USD 64287.20000000 0.022742550785 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 3.50000000 N N N N N N Lehman XS Trust N/A 52523MAD2 386479.89000000 PA USD 383034.73000000 0.135504218562 Long ABS-O CORP US N 2 2036-10-25 Floating 0.43163000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVK20 96009.52000000 PA USD 103557.99000000 0.036635175381 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.50000000 N N N N N N Credit-Based Asset Servicing a N/A 1248RHAA5 153113.46000000 PA USD 122040.78000000 0.043173736560 Long ABS-O CORP US N 2 2037-07-25 Floating 0.21163000 N N N N N N Lehman XS Trust N/A 52524YAC7 221781.75000000 PA USD 225179.22000000 0.079660489905 Long ABS-MBS CORP US N 2 2047-07-25 Floating 0.29163000 N N N N N N UBS-Barclays Commercial Mortga N/A 90269CAH3 5216035.01000000 PA USD 18922.21000000 0.006694012523 Long ABS-MBS CORP US N 2 2063-05-10 Variable 1.42647500 N N N N N N Luminent Mortgage Trust N/A 55028CAA3 1070185.33000000 PA USD 1047673.98000000 0.370630214049 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.41163000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F022618 48050000.00000000 PA USD 49138632.33000000 17.38352022311 Long ABS-MBS USGSE US N 2 2052-01-15 Fixed 2.50000000 N N N N N N COMM Mortgage Trust N/A 12592PBG7 16731476.02000000 PA USD 360317.36000000 0.127467611882 Long ABS-MBS CORP US N 2 2047-12-10 Variable 1.01068200 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335B5H5 146218.26000000 PA USD 157049.06000000 0.055558435004 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 12648VAL8 540815.16000000 PA USD 480051.82000000 0.169825453526 Long ABS-MBS CORP US N 2 2036-02-27 Variable 3.92557000 N N N N N N Countrywide Asset-Backed Certi N/A 126670RE0 350000.00000000 PA USD 346613.33000000 0.122619607953 Long ABS-O CORP US N 2 2036-05-25 Floating 0.57163000 N N N N N N MASTR Asset Backed Securities N/A 57643LHA7 370000.00000000 PA USD 370257.59000000 0.130984115721 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.09663000 N N N N N N NYT Mortgage Trust N/A 62954PAA8 450000.00000000 PA USD 450405.00000000 0.159337451101 Long ABS-MBS CORP US N 2 2035-12-15 Floating 1.29000000 N N N N N N Citigroup Commercial Mortgage N/A 29429CAJ4 4493061.81000000 PA USD 237846.52000000 0.084141735216 Long ABS-MBS CORP US N 2 2049-04-15 Variable 1.83271300 N N N N N N BXMT Ltd N/A 05608XAC6 860000.00000000 PA USD 860516.52000000 0.304420485846 Long ABS-MBS CORP KY N 2 2037-03-15 Floating 1.91215000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922F7Q5 176994.45000000 PA USD 169371.44000000 0.059917659748 Long ABS-MBS CORP US N 2 2045-12-25 Floating 0.67200000 N N N N N N SFAVE Commercial Mortgage Secu 549300FIGODFFTOAAU64 78413MAC2 270000.00000000 PA USD 295974.59000000 0.104705402385 Long ABS-MBS CORP US N 2 2043-01-05 Variable 3.65900000 N N N N N N Sabey Data Center Issuer LLC N/A 78520EAA4 650000.00000000 PA USD 680101.96000000 0.240596158558 Long ABS-O CORP US N 2 2045-04-20 Fixed 3.81200000 N N N N N N BCAP LLC Trust N/A 05530MAA7 108034.60720000 PA USD 105726.65000000 0.037402371031 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.43163000 N N N N N N Goldentree Loan Opportunities 549300IOBSI2NBFBJX90 38123HAN4 400000.00000000 PA USD 400190.56000000 0.141573347954 Long ABS-CBDO CORP KY N 2 2029-10-29 Floating 1.23863000 N N N N N N Shops at Crystals Trust 2016-C N/A 82510WAA8 170000.00000000 PA USD 175406.68000000 0.062052715439 Long ABS-MBS CORP US N 2 2036-07-05 Fixed 3.12550000 N N N N N N Merrill Lynch Mortgage Investo N/A 59023XAC0 1241228.94000000 PA USD 594457.93000000 0.210298312304 Long ABS-MBS CORP US N 2 2037-11-25 Floating 0.39163000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396EFY7 47795.61000000 PA USD 47908.45000000 0.016948324972 Long ABS-MBS USGSE US N 2 2035-04-15 Floating 0.38925000 N N N N N N Residential Accredit Loans, In N/A 761118VY1 3329864.26000000 PA USD 933376.94000000 0.330195940402 Long ABS-MBS CORP US N 2 2046-02-25 Floating 0.53163000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660GBB5 166939.97000000 PA USD 146964.52000000 0.051990879362 Long ABS-MBS CORP US N 2 2036-08-25 Variable 2.98263300 N N N N N N OWNIT Mortgage Loan Asset-Back N/A 69121TAD7 737861.55000000 PA USD 451708.22000000 0.159798484511 Long ABS-O CORP US N 2 2037-09-25 Floating 0.41163000 N N N N N N Golub Capital Partners CLO Ltd N/A 381743AA1 1100000.00000000 PA USD 1099928.75000000 0.389116114205 Long ABS-CBDO CORP KY N 2 2033-08-05 Floating 1.65065000 N N N N N N Washington Mutual Mortgage Pas N/A 93935YAB6 965528.61000000 PA USD 944104.30000000 0.333990903156 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.43200000 N N N N N N Bluemountain CLO Ltd 5493002GUQ80FGGGNP40 09630QAC5 60000.00000000 PA USD 60060.29000000 0.021247218661 Long ABS-CBDO CORP KY N 2 2033-01-15 Floating 1.92375000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QDKB9 694139.72000000 PA USD 731561.48000000 0.258800727228 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.00000000 N N N N N N Hudson Yards N/A 44421MAA8 75000.00000000 PA USD 79203.42000000 0.028019384912 Long ABS-MBS CORP US N 2 2041-12-10 Variable 3.04089300 N N N N N N FREMF Mortgage Trust N/A 35708TAQ0 21686166.00000000 PA USD 48811.22000000 0.017267693253 Long ABS-MBS USGSE US N 2 2049-07-25 Fixed 0.10000000 N N N N N N Soundview Home Equity Loan Tru N/A 83612TAC6 373204.56000000 PA USD 316000.21000000 0.111789762567 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.24163000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137A47J0 80499.37000000 PA USD 84129.96000000 0.029762221528 Long ABS-MBS USGSE US N 2 2025-12-15 Fixed 3.50000000 N N N N N N GSAA Home Equity Trust N/A 3622ECAH9 1900000.00000000 PA USD 250194.47000000 0.088510005727 Long ABS-MBS CORP US N 2 2037-05-25 Variable 5.99758000 N N N N N N CAMB Commercial Mortgage Trust N/A 12482HAS3 890000.00000000 PA USD 890802.78000000 0.315134699658 Long ABS-MBS CORP US N 2 2037-12-15 Floating 3.33900000 N N N N N N CAMB Commercial Mortgage Trust N/A 12482HAA2 332500.00000000 PA USD 332474.73000000 0.117617868438 Long ABS-MBS CORP US N 2 2037-12-15 Floating 1.15900000 N N N N N N Colony American Finance Ltd N/A 21871VAL7 237000.00000000 PA USD 239318.00000000 0.084662293097 Long ABS-O CORP US N 2 2049-10-15 Fixed 4.35800000 N N N N N N Merrill Lynch First Franklin M N/A 59023LAA0 379450.65000000 PA USD 226994.13000000 0.080302541244 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.23163000 N N N N N N DROP Mortgage Trust 2021-FILE N/A 26210YAA4 1165000.00000000 PA USD 1166133.08000000 0.412536878171 Long ABS-MBS CORP US N 2 2026-04-15 Floating 1.24000000 N N N N N N Textainer Marine Containers Li N/A 88315LAG3 889373.43260000 PA USD 890943.89000000 0.315184619414 Long ABS-O CORP BM N 2 2045-09-20 Fixed 2.10000000 N N N N N N AGL CLO 7 LTD N/A 008511AN7 1000000.00000000 PA USD 1003969.69000000 0.355169173051 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 1.82375000 N N N N N N Frost CMBS 635400USRLUMX8CQN243 000000000 800000.00000000 PA 1063957.12000000 0.376390616406 Long ABS-MBS CORP IE N 2 2026-11-22 None 0.00000000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36266CAE6 450000.00000000 PA USD 450562.50000000 0.159393169063 Long ABS-MBS CORP US N 2 2026-11-15 Floating 1.75000000 N N N N N N First Franklin Mtg Loan Asset N/A 32028PAE5 447067.10000000 PA USD 438504.11000000 0.155127334698 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.39163000 N N N N N N Small Business Lending Trust N/A 831645AD8 630000.00000000 PA USD 633429.59000000 0.224085115225 Long ABS-O CORP US N 2 2026-07-15 Fixed 6.30000000 N N N N N N Credit-Based Asset Servicing a N/A 81376WAC9 1202256.87000000 PA USD 951037.24000000 0.336443533540 Long ABS-O CORP US N 2 2036-06-25 Floating 0.37163000 N N N N N N Fremont Home Loan Trust N/A 35729PHN3 79297.80000000 PA USD 78972.69000000 0.027937760751 Long ABS-O CORP US N 2 2035-01-25 Floating 0.82663000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D2V3 1308244.50000000 PA USD 1334964.26000000 0.472263412929 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 2.00000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660L5S4 80104.52000000 PA USD 70176.17000000 0.024825861293 Long ABS-MBS CORP US N 2 2036-03-25 Variable 2.91867400 N N N N N N SLM Student Loan Trust 549300SRMXHPGI3BJ386 78444YAE5 65000.00000000 PA USD 64758.56000000 0.022909301378 Long ABS-O CORP US N 2 2073-07-25 Floating 1.97388000 N N N N N N JP Morgan Chase Commercial Mor N/A 46642CAD2 659863.94000000 PA USD 673387.98000000 0.238220988523 Long ABS-MBS CORP US N 2 2047-07-15 Fixed 3.53820000 N N N N N N Argent Securities Inc. N/A 040104QP9 221760.83000000 PA USD 217038.06000000 0.076780433770 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.73163000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45670BAL3 820547.16000000 PA USD 699985.64000000 0.247630305359 Long ABS-MBS CORP US N 2 2037-09-25 Variable 2.70701700 N N N N N N ARES CLO Ltd N/A 00192WAE7 700000.00000000 PA USD 700350.00000000 0.247759203115 Long ABS-CBDO CORP KY N 2 2034-01-25 Floating 0.01000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46641BAF0 4813841.34000000 PA USD 65181.34000000 0.023058866076 Long ABS-MBS CORP US N 2 2046-12-15 Variable 1.03630600 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92925DAB6 1046485.25000000 PA USD 1012448.00000000 0.358168501000 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.89833000 N N N N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 000000000 1.00000000 NC USD 449.94000000 0.000159172950 N/A DFE CORP US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 -15000.00000000 EUR 17489.10000000 USD 2022-01-07 449.94000000 N N N Long Beach Mortgage Loan Trust N/A 542514NC4 94809.76000000 PA USD 95412.94000000 0.033753743101 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.82663000 N N N N N N GPMT Ltd. N/A 36264BAA8 993762.64000000 PA USD 994786.22000000 0.351920384289 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 1.33875000 N N N N N N COMM Mortgage Trust N/A 12631DBC6 31285110.38000000 PA USD 606799.74000000 0.214664410698 Long ABS-MBS CORP US N 2 2047-05-10 Variable 1.12074900 N N N N N N Residential Accredit Loans, In N/A 761118EN4 535842.06000000 PA USD 458086.29000000 0.162054821401 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.39163000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36192CAG0 5770896.91000000 PA USD 74754.47000000 0.026445502843 Long ABS-MBS CORP US N 2 2046-02-10 Variable 1.62276200 N N N N N N JPMorgan 100% US Treasury Securities Money Market Fund 549300BS6M6EE7LNA816 4812A2835 15532775.63000000 NS USD 15532775.63000000 5.494949828310 Long STIV RF US N 1 N N N Wells Fargo Commercial Mortgag 549300XO83D3BDYP0P62 94989TBC7 1980320.70000000 PA USD 49758.13000000 0.017602676714 Long ABS-MBS CORP US N 2 2058-09-15 Variable 0.92867200 N N N N N N Countrywide Alternative Loan T N/A 02146PAF2 108945.04000000 PA USD 109687.87000000 0.038803711376 Long ABS-MBS CORP US N 2 2036-08-25 Variable 3.06128200 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3SX9 10529.52000000 PA USD 10912.48000000 0.003860451701 Long ABS-MBS USGSE US N 2 2047-05-25 Fixed 4.00000000 N N N N N N Morgan Stanley BAML Trust N/A 61690GAG6 4954305.47000000 PA USD 79783.14000000 0.028224469463 Long ABS-MBS CORP US N 2 2047-02-15 Variable 1.13284200 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796N47 25630000.00000000 PA USD 25624800.95000000 9.065153513756 Long DBT UST US N 2 2022-04-07 None 0.00000000 N N N N N N First Franklin Mtg Loan Asset N/A 320277AF3 565000.00000000 PA USD 535752.66000000 0.189530452071 Long ABS-O CORP US N 2 2036-05-25 Floating 0.57163000 N N N N N N JP Morgan Chase Commercial Mor N/A 46642CBL3 19073112.76870000 PA USD 266670.73000000 0.094338727149 Long ABS-MBS CORP US N 2 2047-07-15 Variable 1.00725500 N N N N N N Fannie Mae or Freddie Mac N/A 01F020612 49550000.00000000 PA USD 49488062.00000000 17.50713615312 Long ABS-MBS USGSE US N 2 2052-01-15 Fixed 2.00000000 N N N N N N COMM Mortgage Trust N/A 12591UAG8 1625152.55000000 PA USD 32905.28000000 0.011640730993 Long ABS-MBS CORP US N 2 2047-03-10 Variable 1.28431800 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B64Y6 102984.63000000 PA USD 103879.44000000 0.036748893088 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 0.54200000 N N N N N N GS Mortgage Securities Trust N/A 36256QAA5 763434.00000000 PA USD 764582.05000000 0.270482243769 Long ABS-MBS CORP US N 2 2038-06-15 Floating 1.29000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FNB25 300000.00000000 PA USD 28947.12000000 0.010240473168 Long ABS-MBS USGSE US N 2 2029-06-25 Variable 1.75891300 N N N N N N Wells Fargo Commercial Mortgag 5493001SKB2HKIF64L70 94989DAZ2 15311655.29000000 PA USD 360730.35000000 0.127613713222 Long ABS-MBS CORP US N 2 2048-02-15 Variable 1.02383900 N N N N N N Natixis Commercial Mortgage Se N/A 63875FAA4 1099586.00000000 PA USD 1101109.81000000 0.389533931702 Long ABS-MBS CORP US N 2 2036-07-15 Floating 1.59000000 N N N N N N Bear Stearns Mortgage Funding N/A 07401NAP4 120057.35000000 PA USD 112797.96000000 0.039903951856 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.28163000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU 549300UVB571ELWL8972 92890FAW6 3559851.34000000 PA USD 64104.38000000 0.022677875497 Long ABS-MBS CORP US N 2 2047-05-15 Variable 1.08153400 N N N N N N Banc of America Merrill Lynch N/A 05491YAA8 105000.00000000 PA USD 117799.63000000 0.041673366825 Long ABS-MBS CORP US N 2 2038-08-10 Variable 4.22710800 N N N N N N Park Place Securities Inc N/A 70069FDN4 338019.55000000 PA USD 340790.97000000 0.120559861720 Long ABS-O CORP US N 2 2034-12-25 Floating 1.89163000 N N N N N N JP Morgan Chase Commercial Mor N/A 46653DAC8 374000.00000000 PA USD 373779.86000000 0.132230170991 Long ABS-MBS CORP US N 2 2036-03-15 Floating 1.84000000 N N N N N N Countrywide Alternative Loan T N/A 02151CAE6 133171.42000000 PA USD 107842.82000000 0.038150997565 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75000000 N N N N N N Structured Asset Mortgage Inve N/A 86360UAF3 678615.02250000 PA USD 576893.35000000 0.204084581535 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.47163000 N N N N N N Navient Student Loan Trust N/A 63939LAC1 320000.00000000 PA USD 323376.61000000 0.114399273505 Long ABS-MBS CORP US N 2 2058-10-25 Floating 1.59200000 N N N N N N JP Morgan Mortgage Acquisition N/A 46626LAF7 17067.46000000 PA USD 17083.69000000 0.006043608796 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.79663000 N N N N N N DSLA Mortgage Loan Trust N/A 23332UFV1 445874.92000000 PA USD 436937.98000000 0.154573292975 Long ABS-MBS CORP US N 2 2045-10-19 Floating 0.66875000 N N N N N N Structured Asset Mortgage Inve N/A 86361HAB0 172875.11000000 PA USD 164128.06000000 0.058062736281 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.21163000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -2.00000000 NC USD -3957.39000000 -0.00139998542 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2022-03-22 -289823.86000000 USD -3957.39000000 N N N TREASURY BILL 254900HROIFWPRGM1V77 912796P78 15335000.00000000 PA USD 15334382.31000000 5.424765247933 Long DBT UST US N 2 2021-12-21 None 0.00000000 N N N N N N Banc of America Funding Corpor N/A 059522AC6 156928.32000000 PA USD 157495.79000000 0.055716472370 Long ABS-MBS CORP US N 2 2047-05-20 Floating 0.51113000 N N N N N N GS Mortgage Securities Trust N/A 36191YAA6 2082144.50000000 PA USD 20.82000000 0.000007365383 Long ABS-MBS CORP US N 2 2044-08-10 Variable 0.09307500 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TJY2 44727.72000000 PA USD 47720.72000000 0.016881912699 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 4.00000000 N N N N N N GSAMP Trust N/A 362341G52 176704.33000000 PA USD 176357.32000000 0.062389018443 Long ABS-O CORP US N 2 2035-11-25 Floating 0.76663000 N N N N N N Navient Student Loan Trust N/A 63941VAB7 975000.00000000 PA USD 992290.65000000 0.351037539377 Long ABS-O CORP US N 2 2068-07-25 Floating 1.64163000 N N N N N N BX Trust N/A 05608WAU8 750000.00000000 PA USD 745874.78000000 0.263864269460 Long ABS-MBS CORP US N 2 2038-06-15 Floating 3.84000000 N N N N N N Progress Residential Trust N/A 74333BAL2 1350000.00000000 PA USD 1358265.51000000 0.480506575821 Long ABS-O CORP US N 2 2035-08-17 Fixed 5.06100000 N N N N N N Merrill Lynch Mortgage Investo N/A 59022VAE1 1000000.00000000 PA USD 931746.90000000 0.329619289568 Long ABS-O CORP US N 2 2037-08-25 Floating 0.33163000 N N N N N N MHC Commercial Mortgage Trust N/A 55316VAJ3 205000.00000000 PA USD 205092.62000000 0.072554557144 Long ABS-MBS CORP US N 2 2038-04-15 Floating 2.19046200 N N N N N N CSAIL Commercial Mortgage Trus 54930025J96YEH8FQE77 12635RAZ1 6121213.96000000 PA USD 169663.52000000 0.060020987381 Long ABS-MBS CORP US N 2 2048-11-15 Variable 0.96396000 N N N N N N Trestles CLO LTD N/A 89532UAA1 2000000.00000000 PA USD 2000014.68000000 0.707534865903 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 0.01000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796Q85 2285000.00000000 PA USD 2284869.09000000 0.808306339631 Long DBT UST US N 2 2022-01-25 None 0.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92925CDA7 62023.22000000 PA USD 62676.71000000 0.022172816054 Long ABS-MBS CORP US N 2 2046-02-25 Floating 1.08317000 N N N N N N Credit Suisse Mortgage Trust N/A 12659XAA4 611000.00000000 PA USD 612525.97000000 0.216690149517 Long ABS-MBS CORP US N 2 2023-08-15 Floating 3.80440000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251YAD0 311996.64000000 PA USD 136417.82000000 0.048259827763 Long ABS-O CORP US N 2 2036-11-25 Floating 0.25163000 N N N N N N COMM Mortgage Trust N/A 12624QAT0 317000.00000000 PA USD 319765.41000000 0.113121757928 Long ABS-MBS CORP US N 2 2045-10-15 Fixed 3.25100000 N N N N N N Antares CLO N/A 03666LAL6 1200000.00000000 PA USD 1200600.00000000 0.424730062483 Long ABS-CBDO CORP KY N 2 2033-10-23 Floating 0.01000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163ABR3 117000.00000000 PA USD 117144.26000000 0.041441519964 Long ABS-MBS CORP US N 2 2053-07-15 Fixed 4.13900000 N N N N N N SFO Commerical Mortgage Trust N/A 78432WAE3 520000.00000000 PA USD 521164.59000000 0.184369705876 Long ABS-MBS CORP US N 2 2038-05-15 Floating 1.89000000 N N N N N N American Home Mortgage Assets N/A 026930AA5 391411.39000000 PA USD 373549.72000000 0.132148755552 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.21663000 N N N N N N Progress Residential Trust N/A 74332WAL7 1169000.00000000 PA USD 1180761.08000000 0.417711750196 Long ABS-O CORP US N 2 2036-09-17 Fixed 3.86700000 N N N N N N Barclays Commercial Mortgage S N/A 05493BAL2 545000.00000000 PA USD 547774.10000000 0.193783214825 Long ABS-MBS CORP US N 2 2037-10-15 Floating 4.72000000 N N N N N N COMM Mortgage Trust 549300MGZ5FI5VFL1177 12591KAF2 7565541.19000000 PA USD 130159.84000000 0.046045974492 Long ABS-MBS CORP US N 2 2046-10-10 Variable 1.27916000 N N N N N N DBUBS Mortgage Trust N/A 23305JAA0 120000.00000000 PA USD 125419.92000000 0.044369157469 Long ABS-MBS CORP US N 2 2034-10-10 Fixed 3.45200000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92930RAF9 626702.51000000 PA USD 5432.13000000 0.001921696580 Long ABS-MBS CORP US N 2 2045-11-15 Variable 2.01357300 N N N N N N Residential Accredit Loans, In N/A 74922MAA9 149945.33000000 PA USD 154931.96000000 0.054809479469 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.47163000 N N N N N N JP Morgan Chase Commercial Mor N/A 46639YAS6 1872268.58000000 PA USD 22868.64000000 0.008090120686 Long ABS-MBS CORP US N 2 2046-04-15 Variable 1.36892600 N N N N N N Flexential Issuer, LLC N/A 33938MAA7 610000.00000000 PA USD 607110.06000000 0.214774191002 Long ABS-O CORP US N 2 2051-11-27 Fixed 3.25000000 N N N N N N Wells Fargo Commercial Mortgag 549300DT2BKPLXAJ4C66 94989CBA8 8731748.39000000 PA USD 282830.06000000 0.100055329881 Long ABS-MBS CORP US N 2 2048-02-15 Variable 1.34417700 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796N21 640000.00000000 PA USD 639907.66000000 0.226376828598 Long DBT UST US N 2 2022-03-17 None 0.00000000 N N N N N N CIM Trust N/A 12598HAB1 726910.96000000 PA USD 725022.95000000 0.256487625233 Long ABS-MBS CORP US N 2 2061-05-01 Variable 2.00000000 N N N N N N Wells Fargo Commercial Mortgag N/A 94989NBH9 3505885.28000000 PA USD 99606.41000000 0.035237245329 Long ABS-MBS CORP US N 2 2058-09-15 Variable 1.03630100 N N N N N N Countrywide Asset-Backed Certi N/A 126673XC1 142749.32000000 PA USD 143211.98000000 0.050663362663 Long ABS-O CORP US N 2 2035-07-25 Floating 1.18663000 N N N N N N JP Morgan Mortgage Acquisition N/A 46630BAA4 136590.98000000 PA USD 103135.10000000 0.036485571770 Long ABS-O CORP US N 2 2036-12-25 Floating 0.22163000 N N N N N N LHOME Mortgage Trust N/A 50203RAA8 1275000.00000000 PA USD 1268016.19000000 0.448579539903 Long ABS-MBS CORP US N 2 2026-09-25 Variable 2.36300000 N N N N N N Elmwood CLO VI Ltd. N/A 29001VAN9 600000.00000000 PA USD 600019.52000000 0.212265807280 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 1.77375000 N N N N N N SLM Student Loan Trust 549300JQFJDGC1WO7674 78445CAD4 598891.91000000 PA USD 599193.51000000 0.211973593987 Long ABS-O CORP US N 2 2023-07-25 Floating 1.22388000 N N N N N N American Home Mortgage Investm N/A 026929AA7 1380824.31000000 PA USD 1335856.66000000 0.472579112669 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.45163000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8C94 65122.52000000 PA USD 69626.17000000 0.024631290633 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDG3 6455000.00000000 PA USD 6449957.03000000 2.281767992975 Long DBT UST US N 2 2026-10-31 Fixed 1.12500000 N N N N N N Park Avenue Institutional Advi N/A 70016RAQ8 150000.00000000 PA USD 150120.85000000 0.053107477928 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 1.73150000 N N N N N N Wells Fargo Commercial Mortgag 549300ZVNWG0TX42H716 94989VAG4 6939840.36000000 PA USD 203501.10000000 0.071991533332 Long ABS-MBS CORP US N 2 2057-09-15 Variable 1.04622400 N N N N N N Morgan Stanley BAML Trust N/A 61765TAG8 31503562.91000000 PA USD 985759.08000000 0.348726899585 Long ABS-MBS CORP US N 2 2048-10-15 Variable 1.19810400 N N N N N N GreenPoint Mortgage Funding Tr N/A 39538RAB5 364430.42000000 PA USD 347939.29000000 0.123088685975 Long ABS-MBS CORP US N 2 2045-06-25 Floating 0.53163000 N N N N N N Ameriquest Mortgage Securities N/A 03072SV36 290000.00000000 PA USD 289714.47000000 0.102490792058 Long ABS-O CORP US N 2 2036-01-25 Floating 0.84163000 N N N N N N JP Morgan Mortgage Acquisition N/A 46628TAD3 1509273.34000000 PA USD 880836.37000000 0.311608934255 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.39200000 N N N N N N BFLD Trust N/A 05554BAG9 200000.00000000 PA USD 200460.72000000 0.070915953798 Long ABS-MBS CORP US N 2 2038-06-15 Floating 2.59000000 N N N N N N Bear Stearns Adjustable Rate M N/A 07387AAB1 206338.11000000 PA USD 206593.49000000 0.073085512174 Long ABS-MBS CORP US N 2 2035-03-25 Variable 2.90103000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDJ7 14590000.00000000 PA USD 14503371.88000000 5.130782979186 Long DBT UST US N 2 2031-11-15 Fixed 1.37500000 N N N N N N Countrywide Home Loans N/A 12544QAA8 110737.50000000 PA USD 78486.04000000 0.027765601093 Long ABS-MBS CORP US N 2 2038-01-25 Fixed 6.50000000 N N N N N N COMM Mortgage Trust N/A 12591YBE4 21217826.35000000 PA USD 461127.02000000 0.163130524752 Long ABS-MBS CORP US N 2 2047-06-10 Variable 1.22389900 N N N N N N COMM Mortgage Trust N/A 12626GAG8 1120875.83000000 PA USD 15836.63000000 0.005602442819 Long ABS-MBS CORP US N 2 2046-08-10 Variable 1.17429800 N N N N N N Bear Stearns Alt-A Trust N/A 07386HQJ3 517820.86000000 PA USD 555901.92000000 0.196658551737 Long ABS-MBS CORP US N 2 2035-01-25 Floating 1.21663000 N N N N N N Colony American Finance Ltd N/A 21873BAC9 3056397.94000000 PA USD 397259.14000000 0.140536314637 Long ABS-O CORP US N 2 2054-07-15 Variable 3.16420700 N N N N N N 2022-01-25 First Trust Exchange-Traded Fund VIII Donald P. Swade Donald P. Swade Treasurer, Chief Financial Officer and Chief Accounting Officer XXXX